Filed Pursuant to Rule 433
Registration No. 333-130524
[Banc of America Securities Logo]
- --------------------------------------------------------------------------------
The asset-backed securities referred to in these materials, and the asset pools
backing them, are subject to modification or revision (including the possibility
that one or more classes of securities may be split, combined or eliminated at
any time prior to issuance or availability of a final prospectus) and are
offered on a "when, as and if issued" basis. You understand that, when you are
considering the purchase of these securities, a contract of sale will come into
being no sooner than the date on which the relevant class has been priced and we
have confirmed the allocation of securities to be made to you; any "indications
of interest" expressed by you, and any "soft circles" generated by us, will not
create binding contractual obligations for you or us.
Because the asset-backed securities are being offered on a "when, as and if
issued" basis, any contract of sale will terminate, by its terms, without any
further obligation or liability between us, if the securities themselves, or the
particular class to which the contract relates, are not issued. Because the
asset-backed securities are subject to modification or revision, any such
contract also is conditioned upon the understanding that no material change will
occur with respect to the relevant class of securities prior to the closing
date. If a material change does occur with respect to such class, our contract
will terminate, by its terms, without any further obligation or liability
between us (the "Automatic Termination"). If an Automatic Termination occurs, we
will provide you with revised offering materials reflecting the material change
and give you an opportunity to purchase such class. To indicate your interest in
purchasing the class, you must communicate to us your desire to do so within
such timeframe as may be designated in connection with your receipt of the
revised offering materials.
RMBS New Issue Term Sheet
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
Offered Certificates: A-3A, A-3B, A-3C, M-1, M-2, M-3, M-4, M-5, M-6, M-7, M-8 &
M-9
$574,601,000 (approximate)
Asset Backed Funding Corporation
Depositor
Bank of America, National Association
Sponsor
Option One Mortgage Corporation
Originator & Servicer
Clayton Fixed Income Services Inc.
Credit Risk Manager
October 31, 2006
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer.
The information contained in these materials may be based on assumptions
regarding market conditions and other matters as reflected herein. Banc of
America Securities LLC (the "Underwriter") makes no representation regarding the
reasonableness of such assumptions or the likelihood that any such assumptions
will coincide with actual market conditions or events, and these materials
should not be relied upon for such purposes. The Underwriter and its affiliates,
officers, directors, partners and employees, including persons involved in the
preparation or issuance of these materials, may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned herein or
derivatives thereof (including options). Information in these materials is
current as of the date appearing on the material only. Information in these
materials regarding any securities discussed herein supersedes all prior
information regarding such securities. These materials are not to be construed
as an offer to sell or the solicitation of any offer to buy any security in any
jurisdiction where such an offer or solicitation would be illegal.
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
DISCLAIMER
This free writing prospectus is being delivered to you solely to provide you
with information about the offering of the securities referred to in this free
writing prospectus and to solicit an offer to purchase the securities, when, as
and if issued. Any such offer to purchase made by you will not be accepted and
will not constitute a contractual commitment by you to purchase any of the
securities until we have accepted your offer to purchase securities. We will not
accept any offer by you to purchase the securities, and you will not have any
contractual commitment to purchase any of the securities until after you have
received certain additional information. You may withdraw your offer to purchase
securities at any time prior to our acceptance of your offer.
The information in this free writing prospectus supersedes information contained
in any prior similar free writing prospectus relating to these securities prior
to the time of your commitment to purchase.
This free writing prospectus is not an offer to sell or solicitation of an offer
to buy these securities in any state where such offer, solicitation or sale is
not permitted.
Any disclaimers or other notices that may appear below this document are not
applicable to this communication and should be disregarded. Such disclaimers or
other notices were automatically generated as a result of this communication
being sent via Bloomberg or another email system.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
2
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
TABLE OF CONTENTS
-----------------
o Summary of Certificates p. 4
o Important Dates and Contacts p. 5
o Summary of Terms p. 7
o Credit Enhancement p. 10
o Pass-Through Rates p. 12
o Interest Rate Swap Agreement p. 15
o Trigger Events p. 17
o Interest and Principal Distributions p. 18
o Bond Summary p. 26
o Group 3 and Pool Cap Schedule p. 30
o Breakeven Losses p. 32
o Excess Spread p. 33
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
3
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
SUMMARY OF CERTIFICATES
-----------------------
Expected Expected Expected Principal Expected Initial
Approximate Interest Principal WAL (yrs) Window (mos) Credit Enhancement Expected Ratings
Class Size ($)(1) Type Type Call/Mat Call/Mat Percentage Moody's Fitch
- -------------------------------------------------------------------------------------------------------------------------
A-1 114,273,000 Floating Sen Not Offered Hereby Aaa AAA
A-2 114,343,000 Floating Sen Not Offered Hereby Aaa AAA
A-3A 236,422,000 Floating Sen Seq 1.00 / 1.00 1 to 23 / 1 to 23 24.70% Aaa AAA
A-3B 165,145,000 Floating Sen Seq 3.00 / 3.19 23 to 71 / 23 to 119 24.70% Aaa AAA
A-3C 5,469,000 Floating Sen Seq 5.86 / 11.52 71 to 71 / 119 to 162 24.70% Aaa AAA
M-1 35,032,000 Floating Seq Mezz 3.93 / 3.93 44 to 52 / 44 to 52 20.55% Aa1 AA+
M-2 32,078,000 Floating Seq Mezz 4.71 / 4.71 52 to 68 / 52 to 68 16.75% Aa2 AA
M-3 18,572,000 Floating Seq Mezz 5.85 / 7.85 68 to 71 / 68 to 142 14.55% Aa3 AA-
M-4 16,039,000 Floating Mezz 4.32 / 4.72 43 to 71 / 43 to 124 12.65% A1 A+
M-5 15,617,000 Floating Mezz 4.26 / 4.65 41 to 71 / 41 to 120 10.80% A2 A
M-6 13,928,000 Floating Mezz 4.22 / 4.59 40 to 71 / 40 to 115 9.15% A3 A-
M-7 13,507,000 Floating Mezz 4.19 / 4.54 40 to 71 / 40 to 110 7.55% Baa1 BBB+
M-8 12,240,000 Floating Mezz 4.16 / 4.47 39 to 71 / 39 to 104 6.10% Baa2 BBB
M-9 10,552,000 Floating Mezz 4.14 / 4.41 38 to 71 / 38 to 97 4.85% Baa3 BBB-
B 10,130,000 Floating Sub Not Offered Hereby Ba1 BB+
- -------------------------------------------------------------------------------------------------------------------------
(1) The Approximate Size is subject to a permitted variance in the aggregate
of plus or minus 5%.
Structure:
- ----------
(1) The Class A-1 Certificates are backed primarily by the cash flow from the
Group 1 Mortgage Loans. The Class A-2 Certificates are backed primarily by
the cash flow from the Group 2 Mortgage Loans. The Class A-3A, Class A-3B
and Class A-3C Certificates are backed primarily by the cash flow from the
Group 3 Mortgage Loans. The Class M and Class B Certificates are backed by
the cash flows from all the Mortgage Loans.
(2) The margins on the Class A Certificates will double and the margins on the
Class M and Class B Certificates will increase to 1.5x their initial
margins after the Optional Termination Date.
(3) The Offered Certificates will accrue interest at a rate equal to one-month
LIBOR plus a related fixed margin, subject to certain caps.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
4
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
PRICING SPEED
-------------
Adjustable-rate 100% ARM PPC
Mortgage Loans 100% ARM PPC assumes that prepayments start at 5%
CPR in month one, increase by approximately 2.273%
each month to 30% CPR in month twelve, remain at
30% CPR through month twenty four, increase to 60%
CPR for the next three months and then remain at
35% CPR from month twenty eight and thereafter.
Fixed-rate Mortgage 100% FRM PPC
Loans 100% FRM PPC assumes that prepayments start at
2.3% CPR in month one, increase by 2.3% each month
to 23% CPR in month ten, and remain at 23% CPR
thereafter.
SUMMARY OF IMPORTANT DATES
--------------------------
Deal Information Collateral Information
Expected Pricing [November 2], 2006 Cut-off Date October 1, 2006
Expected Settlement November 14, 2006
First Distribution November 27, 2006
Expected Stepdown November 25, 2009
Bond Information
- ----------------
Initial
Class Accrual REMIC
Dated Date Days Accrual Method Delay Days Maturity Date (1)
- -----------------------------------------------------------------------------------------
A-1 November 14, 2006 Not Offered Hereby November 25, 2036
A-2 November 14, 2006 Not Offered Hereby November 25, 2036
A-3A November 14, 2006 0 Actual/360 0 November 25, 2036
A-3B November 14, 2006 0 Actual/360 0 November 25, 2036
A-3C November 14, 2006 0 Actual/360 0 November 25, 2036
M-1 November 14, 2006 0 Actual/360 0 November 25, 2036
M-2 November 14, 2006 0 Actual/360 0 November 25, 2036
M-3 November 14, 2006 0 Actual/360 0 November 25, 2036
M-4 November 14, 2006 0 Actual/360 0 November 25, 2036
M-5 November 14, 2006 0 Actual/360 0 November 25, 2036
M-6 November 14, 2006 0 Actual/360 0 November 25, 2036
M-7 November 14, 2006 0 Actual/360 0 November 25, 2036
M-8 November 14, 2006 0 Actual/360 0 November 25, 2036
M-9 November 14, 2006 0 Actual/360 0 November 25, 2036
B November 14, 2006 Not Offered Hereby November 25, 2036
(1) The REMIC Maturity Date is the Distribution Date following the maturity
date for the Mortgage Loan with the latest maturity date.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
5
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
CONTACTS
--------
Banc of America Securities LLC
Mortgage Trading/Syndicate Tel: (212) 847-5095
- --------------------------
Fax: (212) 847-5143
Patrick Beranek patrick.beranek@bankofamerica.com
Ileana Chu ileana.i.chu@bankofamerica.com
Charlene Balfour charlene.c.balfour@bankofamerica.com
Jordan Chirico jordan.chirico@bofasecurities.com
Jacqueline Markot jacqueline.l.markot@bofasecurities.com
Principal Finance Group Fax: (212) 847-5040
- -----------------------
Juanita Deane-Warner Tel: (212) 583-8405
Rajneesh Salhotra (Structuring) Tel: (212) 847-5434
Pauwla Rumli Tel: (212) 583-8447
Jay Wang (Structuring) Tel: (704) 387-1855
Luna Nguyen (Collateral) Tel: (704) 683-4190
Rating Agencies
- ---------------
Wen Hsu - Fitch (212) 908-0633
Cecilia Lam - Moody's (415) 274-1727
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
6
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
SUMMARY OF TERMS
----------------
Title of Securities: Asset Backed Funding Corporation
Asset-Backed Certificates, Series
2006-OPT3 (the "Trust").
Class A Certificates: The Class A-1 Certificates, Class A-2
Certificates and Class A-3
Certificates.
Class A-3 Certificates: The Class A-3A, Class A-3B and Class
A-3C Certificates.
As long as the certificate principal
balance of all of the Class M and
Class B Certificates and the
Overcollateralization Amount have not
been reduced to zero, principal
distributions to the Class A-3
Certificates shall be paid first, to
the Class A-3A Certificates until the
certificate principal balance of the
Class A-3A Certificates is reduced to
zero, second, to the Class A-3B
Certificates until the certificate
principal balance of the Class A-3B
Certificates is reduced to zero and
then, to the Class A-3C Certificates,
until the certificate principal
balance of the Class A-3C Certificates
is reduced to zero. After all of the
certificate principal balance of Class
M and Class B Certificates and the
Overcollateralization Amount have been
reduced to zero, principal will be
distributed to the Class A-3
Certificates on a pro rata basis based
on the certificate principal balances
of each such class.
Class M Certificates: The Class M-1, Class M-2, Class M-3,
Class M-4, Class M-5, Class M-6, Class
M-7, Class M-8 and Class M-9
Certificates.
Non-Offered Certificates: The Class A-1, Class A-2, Class B,
Class CE, Class P, Class R and Class
R-X.
Offering Type: The Class A-3 and Class M Certificates
(the "Offered Certificates") will be
offered publicly pursuant to a
Prospectus.
Depositor: Asset Backed Funding Corporation.
Sponsor: Bank of America, National Association.
Originator: Option One Mortgage Corporation
("Option One").
Servicer: Option One.
Swap Provider: TBD.
Trustee: Wells Fargo Bank, N.A.
Credit Risk Manager: Clayton Fixed Income Services Inc.
Lead Manager and Bookrunner: Banc of America Securities LLC.
Closing Date: On or about November 14, 2006.
Tax Status: All Offered Certificates represent
REMIC regular interests and, to a
limited extent, interests in certain
notional principal contract payments
including basis risk interest
carryover payments pursuant to the
payment priorities in the transaction.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
7
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
SUMMARY OF TERMS
----------------
ERISA Eligibility: Subject to certain conditions as
further described in the prospectus
supplement, after the termination of
the Interest Rate Swap Agreement, the
Class A Certificates are expected to
be eligible for purchase by or on
behalf of employee benefit plans
subject to the Employee Retirement
Income Security Act of 1974, as
amended, and plans subject to Section
4975 of the Internal Revenue Code of
1986, as amended (the "Code")
("Plans") so long as certain
conditions are met. When the Interest
Rate Swap Agreement is still in
effect, such a plan that meets the
requirements of an investor-based
class exemption is expected to be
eligible to purchase the Class A
Certificates. A fiduciary of an
employee benefit plan must determine
that the purchase of a Class A
Certificate is consistent with its
fiduciary duties under applicable law
and does not result in a nonexempt
prohibited transaction under
applicable law. The Class M
Certificates are not eligible for
purchase by Plans.
SMMEA Eligibility: The Class A, Class M-1, Class M-2 and
Class M-3 Certificates will constitute
"mortgage related securities" for
purposes of SMMEA.
Distribution Dates: The 25th of each month, or if such day
is not a business day, the next
succeeding business day, beginning in
November 2006.
Accrued Interest: The price to be paid by investors for
the Offered Certificates will not
include accrued interest (settle
flat).
Day Count: With respect to the Offered
Certificates, Actual/360.
Payment Delay: With respect to the Offered
Certificates, 0 days.
Stepped Servicing Fee Rate: Approximately 0.30% per annum on the
aggregate principal balance of the
Mortgage Loans for November 2006
through August 2007 Distribution
Dates, approximately 0.40% per annum
on the aggregate principal balance of
the Mortgage Loans for September 2007
through April 2009 Distribution Dates
and approximately 0.65% per annum on
the aggregate principal balance of the
Mortgage Loans for months May 2009 and
thereafter Distribution Dates.
Credit Risk Manager Fee Rate: Approximately 0.0150% per annum on the
aggregate principal balance of the
Mortgage Loans.
Cut-Off Date: For each of the Mortgage Loans, the
close of business on October 1, 2006.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
8
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
SUMMARY OF TERMS
----------------
Mortgage Loans: As of the Cut-off Date, the aggregate
principal balance of the Mortgage
Loans was approximately $844,159,461.
The pool of Mortgage Loans consist of
fixed-rate and adjustable-rate first
lien Mortgage Loans, of which: (i)
approximately $151,756,592 consists of
a pool of conforming balance
fixed-rate and adjustable-rate first
lien Mortgage Loans (the "Group 1
Mortgage Loans"), (ii) approximately
$151,850,026 consists of a pool of
conforming balance fixed-rate and
adjustable-rate first lien Mortgage
Loans (the "Group 2 Mortgage Loans")
and (iii) approximately $540,552,843
consists of a pool of conforming and
non-conforming balance fixed-rate and
adjustable-rate first lien Mortgage
Loans (the "Group 3 Mortgage Loans").
Optional Termination Date: The first Distribution Date following
the Distribution Date on which the
aggregate principal balance of the
Mortgage Loans is 10% or less of the
sum of the aggregate Principal Balance
of the Mortgage Loans as of the
Cut-off Date.
Monthly Servicer Advances: The Servicer will be obligated to
advance its own funds in an amount
equal to the aggregate of all payments
of principal and interest (net of any
Servicing Fees) that were due during
the related due period on the Mortgage
Loans. Advances are required to be
made only to the extent they are
deemed by the Servicer to be
recoverable from related late
collections, insurance proceeds,
condemnation proceeds or liquidation
proceeds.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
9
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
CREDIT ENHANCEMENT
------------------
Credit Enhancement: Credit enhancement for the structure
is provided by excess interest,
overcollateralization,
cross-collateralization and
subordination.
Expected Credit Support Percentage:
Class Initial Credit Support After-Stepdown Support
(Approximate) (Approximate)
-------------------------------------------------------
A 24.70% 49.40%
M-1 20.55% 41.10%
M-2 16.75% 33.50%
M-3 14.55% 29.10%
M-4 12.65% 25.30%
M-5 10.80% 21.60%
M-6 9.15% 18.30%
M-7 7.55% 15.10%
M-8 6.10% 12.20%
M-9 4.85% 9.70%
B 3.65% 7.30%
Targeted Overcollateralization Amount: The Targeted Overcollateralization
Amount means as of any Distribution
Date, (x) prior to the Stepdown Date,
approximately 3.65% of the aggregate
Principal Balance of the Mortgage
Loans on the Cut-off Date and (y) on
or after the Stepdown Date, the
greater of approximately (a) 7.30% of
the aggregate Principal Balance of the
Mortgage Loans at the end of the
related collection period after giving
effect to prepayments in the related
prepayment period and (b) 0.50% of the
Cut-off Principal Balance of the
Mortgage Loans; provided however, if a
Trigger Event has occurred, the
Targeted Overcollateralization Amount
will be equal to the Targeted
Overcollateralization Amount for the
immediately preceding Distribution
Date.
Stepdown Date: The earlier to occur of (i) the
Distribution Date following the
Distribution Date on which the
aggregate certificate principal
balance of the Class A Certificates
has been reduced to zero and (ii) the
later to occur of (a) the Distribution
Date in November 2009 and (b) the
first Distribution Date on which the
Credit Enhancement Percentage for the
Class A Certificates is greater than
or equal to approximately 49.40%.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
10
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
CREDIT ENHANCEMENT
------------------
Realized Losses: A Realized Loss is (i) as to any
Mortgage Loan that is liquidated, the
unpaid principal balance thereof less
the net proceeds from the liquidation
of, and any insurance proceeds from,
such Mortgage Loan and the related
mortgaged property which are applied
to the principal balance of such
Mortgage Loan, (ii) to the extent of
the amount of any reduction of
principal balance by a bankruptcy
court of the mortgaged property at
less than the amount of the Mortgage
Loan and (iii) a reduction in the
principal balance of a Mortgage Loan
resulting from a modification by the
Servicer.
All Realized Losses on the Mortgage
Loans will be allocated on each
Distribution Date, first, to the
Monthly Excess Cashflow Amount and any
Net Swap Payment from the Swap
Provider; second, in reduction of the
Overcollateralization Amount; third,
to the Class B Certificates; fourth,
to the Class M-9 Certificates; fifth,
to the Class M-8 Certificates; sixth,
to the Class M-7 Certificates;
seventh, to the Class M-6
Certificates; eighth, to the Class M-5
Certificates; ninth, to the Class M-4
Certificates; tenth, to the Class M-3
Certificates; eleventh, to the Class
M-2 Certificates; and twelfth, to the
Class M-1 Certificates. Realized
Losses will not be allocated to the
Class A Certificates. However it is
possible that under certain loss
scenarios there will not be enough
principal and interest on the Mortgage
Loans to pay the Class A Certificates
all interest and principal amounts to
which such Certificates are then
entitled.
Credit Enhancement Percentage: The Credit Enhancement Percentage for
any class of certificates for any
Distribution Date is the percentage
obtained by dividing (x) the sum of
(i) the aggregate Certificate
Principal Balance of the classes of
Certificates with a lower distribution
priority than such class before taking
into account the distribution of the
Principal Distribution Amount on such
Distribution Date and (ii) the
Overcollateralization Amount after
taking into account the distribution
of the Principal Distribution Amount
as of the prior Distribution Date by
(y) the aggregate principal balance of
the Mortgage Loans as of the last day
of the related collection period after
giving effect to principal prepayments
in the related prepayment period.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
11
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
PASS-THROUGH RATES*
-------------------
The Certificate Interest Rate for each class of the Offered Certificates for any
Distribution Date will be the lesser of (x) the Pass-Through Rate for such
Distribution Date and (y) the applicable Cap for such Distribution Date.
Pass-Through Rate: The Pass-Through Rate for the
Certificates is the lesser of:
(i) the sum of (a) one-month
LIBOR as determined for the
related period and (b) the
certificate margin for the
applicable class; and
(ii) the applicable Maximum Rate
Cap for such Distribution
Date.
On each Distribution Date after the
Optional Termination Date, the
certificate margins for the Class A
Certificates will be 2 times the
related initial certificate margins,
and the certificate margins for the
Class M and Class B Certificates will
be 1.5 times the related initial
certificate margins.
Group 1 Cap: The "Group 1 Cap" for any Distribution
Date and for the Class A-1
Certificates will be (i) a per annum
rate (subject to adjustment based on
the actual number of days elapsed in
the related Interest Accrual Period)
equal to the weighted average of the
Net Mortgage Interest Rates for the
Group 1 Mortgage Loans, weighted on
the basis of the Principal Balances of
the Group 1 Mortgage Loans as of the
first day of the related Collection
Period minus (ii) a percentage,
expressed as a per annum rate (subject
to an adjustment based on the actual
number of days elapsed in the related
Interest Accrual Period), calculated
as a fraction, the numerator of which
is the sum of (x) any Net Swap Payment
owed to the Swap Provider and (y) any
Swap Termination Payment (other than
any Swap Termination Payment resulting
from a Swap Provider Trigger Event)
payable by the Trust and the
denominator of which is the aggregate
principal balance of the Mortgage
Loans as of the first day of the
related Collection Period.
Group 1 Maximum Rate Cap: The "Group 1 Maximum Rate Cap" for any
Distribution Date and for the Class
A-1 Certificates will be a (a) per
annum rate (subject to adjustment
based on the actual number of days
elapsed in the related Interest
Accrual Period) equal to the weighted
average of the Net Maximum Mortgage
Interest Rates for the Group 1
Mortgage Loans, weighted on the basis
of the Principal Balances of the Group
1 Mortgage Loans as of the first day
of the related Collection Period minus
(b) a percentage, expressed as a per
annum rate (subject to an adjustment
based on the actual number of days
elapsed in the related Interest
Accrual Period), calculated as a
fraction, the numerator of which is
the sum of (i) any Net Swap Payment
owed to the Swap Provider and (ii) any
Swap Termination Payment (other than
any Swap Termination Payment resulting
from a Swap Provider Trigger Event),
payable by the Trust, and the
denominator of which is equal to the
aggregate principal balance of the
Mortgage Loans as of the first day of
the related Collection Period plus (c)
a percentage, expressed as a per annum
rate (subject to an adjustment based
on the actual number of days elapsed
in the related Interest Accrual
Period), calculated as a fraction, the
numerator of which is equal to any Net
Swap Payment made by the Swap Provider
and the denominator of which is equal
to the aggregate principal balance of
the Mortgage Loans as of the first day
of the related Collection Period.
* Capitalized terms used but not defined herein shall be defined in
subsequent offering materials.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
12
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
PASS-THROUGH RATES*
-------------------
Group 2 Cap: The "Group 2 Cap" for any Distribution
Date and for the Class A-2
Certificates will be (i) a per annum
rate (subject to adjustment based on
the actual number of days elapsed in
the related Interest Accrual Period)
equal to the weighted average of the
Net Mortgage Interest Rates for the
Group 2 Mortgage Loans, weighted on
the basis of the Principal Balances of
the Group 2 Mortgage Loans as of the
first day of the related Collection
Period minus (ii) a percentage,
expressed as a per annum rate (subject
to an adjustment based on the actual
number of days elapsed in the related
Interest Accrual Period), calculated
as a fraction, the numerator of which
is the sum of (x) any Net Swap Payment
owed to the Swap Provider and (y) any
Swap Termination Payment (other than
any Swap Termination Payment resulting
from a Swap Provider Trigger Event)
payable by the Trust and the
denominator of which is the aggregate
principal balance of the Mortgage
Loans as of the first day of the
related Collection Period.
Group 2 Maximum Rate Cap: The "Group 2 Maximum Rate Cap" for any
Distribution Date and for the Class
A-2 Certificates will be a (a) per
annum rate (subject to adjustment
based on the actual number of days
elapsed in the related Interest
Accrual Period) equal to the weighted
average of the Net Maximum Mortgage
Interest Rates for the Group 2
Mortgage Loans, weighted on the basis
of the Principal Balances of the Group
2 Mortgage Loans as of the first day
of the related Collection Period minus
(b) a percentage, expressed as a per
annum rate (subject to an adjustment
based on the actual number of days
elapsed in the related Interest
Accrual Period), calculated as a
fraction, the numerator of which is
the sum of (i) any Net Swap Payment
owed to the Swap Provider and (ii) any
Swap Termination Payment (other than
any Swap Termination Payment resulting
from a Swap Provider Trigger Event),
payable by the Trust, and the
denominator of which is equal to the
aggregate principal balance of the
Mortgage Loans as of the first day of
the related Collection Period plus (c)
a percentage, expressed as a per annum
rate (subject to an adjustment based
on the actual number of days elapsed
in the related Interest Accrual
Period), calculated as a fraction, the
numerator of which is equal to any Net
Swap Payment made by the Swap Provider
and the denominator of which is equal
to the aggregate principal balance of
the Mortgage Loans as of the first day
of the related Collection Period.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
13
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
* Capitalized terms used but not defined herein shall be defined in
subsequent offering materials.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
14
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
PASS-THROUGH RATES*
-------------------
Group 3 Cap: The "Group 3 Cap" for any Distribution
Date and for the Class A-3
Certificates will be (i) a per annum
rate (subject to adjustment based on
the actual number of days elapsed in
the related Interest Accrual Period)
equal to the weighted average of the
Net Mortgage Interest Rates for the
Group 3 Mortgage Loans, weighted on
the basis of the Principal Balances of
the Group 3 Mortgage Loans as of the
first day of the related Collection
Period minus (ii) a percentage,
expressed as a per annum rate (subject
to an adjustment based on the actual
number of days elapsed in the related
Interest Accrual Period), calculated
as a fraction, the numerator of which
is the sum of (x) any Net Swap Payment
owed to the Swap Provider and (y) any
Swap Termination Payment (other than
any Swap Termination Payment resulting
from a Swap Provider Trigger Event)
payable by the Trust and the
denominator of which is the sum of the
aggregate principal balance of the
Mortgage Loans as of the first day of
the related Collection Period.
Group 3 Maximum Rate Cap: The "Group 3 Maximum Rate Cap" for any
Distribution Date and for the Class
A-3 Certificates will be a (a) per
annum rate (subject to adjustment
based on the actual number of days
elapsed in the related Interest
Accrual Period) equal to the weighted
average of the Net Maximum Mortgage
Interest Rates for the Group 3
Mortgage Loans, weighted on the basis
of the Principal Balances of the Group
3 Mortgage Loans as of the first day
of the related Collection Period minus
(b) a percentage, expressed as a per
annum rate (subject to an adjustment
based on the actual number of days
elapsed in the related Interest
Accrual Period), calculated as a
fraction, the numerator of which is
the sum of (i) any Net Swap Payment
owed to the Swap Provider and (ii) any
Swap Termination Payment (other than
any Swap Termination Payment resulting
from a Swap Provider Trigger Event),
payable by the Trust, and the
denominator of which is equal to the
aggregate principal balance of the
Mortgage Loans as of the first day of
the related Collection Period plus (c)
a percentage, expressed as a per annum
rate (subject to an adjustment based
on the actual number of days elapsed
in the related Interest Accrual
Period), calculated as a fraction, the
numerator of which is equal to any Net
Swap Payment made by the Swap Provider
and the denominator of which is equal
to the sum of the aggregate principal
balance of the Mortgage Loans as of
the first day of the related
Collection Period.
Pool Cap: The "Pool Cap" for any Distribution
Date and for the Class M and Class B
Certificates will be a per annum rate
equal to the weighted average of the
Group 1 Cap, the Group 2 Cap and the
Group 3 Cap, weighted on the basis of
the related Group Subordinate Amount.
Pool Maximum Rate Cap: The "Pool Maximum Rate Cap" for any
Distribution Date and for the Class M
and Class B Certificates will be a per
annum rate equal to the weighted
average of the Group 1 Maximum Rate
Cap, the Group 2 Maximum Cap Rate and
the Group 3 Maximum Rate Cap, weighted
on the basis of the related Group
Subordinate Amount.
* Capitalized terms used but not defined herein shall be defined in
subsequent offering materials.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
15
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
INTEREST RATE SWAP AGREEMENT
Interest Rate Swap Agreement: On the Closing Date, the Trustee will
enter into an Interest Rate Swap
Agreement with notional amounts as
shown in the Interest Rate Swap
Schedule hereto. Under the Interest
Rate Swap Agreement, the Trust is
obligated to pay to the Swap Provider
a fixed payment equal to the product
of (x) [5.25]%, (y) the Notional
Amount for such Distribution Date and
(z) a fraction, the numerator of which
is 30 (or, for the first Distribution
Date, the number of days elapsed from
the closing date to but excluding the
first Distribution Date on a 30/360
basis), and the denominator of which
is 360 and the Swap Provider is
obligated to pay to the Trust a
floating amount equal to the product
of (x) one-month LIBOR, (y) the
Notional Amount for such Distribution
Date and (z) a fraction, the numerator
of which is the actual number of days
elapsed from the previous Distribution
Date to but excluding the current
Distribution Date (or, for the first
Distribution Date, the actual number
of days elapsed from the Closing Date
to but excluding the first
Distribution Date) and the denominator
of which is 360. Only the net amount
of the two obligations will be paid by
the appropriate party (the "Net Swap
Payment"). See the attached Interest
Rate Swap Schedule. Generally, the Net
Swap Payment will be deposited into a
swap account (the "Swap Account") by
the Trustee pursuant to the Pooling
and Servicing Agreement and amounts on
deposit in the Swap Account will be
distributed as described under "Swap
Payment Distribution" below. Upon
early termination of the Interest Rate
Swap Agreement, the Trust or the Swap
Provider may be liable to make a
termination payment (the "Swap
Termination Payment ") to the other
party (regardless of which party
caused the termination). The Swap
Termination Payment will be computed
in accordance with the procedures set
forth in the Interest Rate Swap
Agreement. In the event that the Trust
is required to make a Swap Termination
Payment, in certain instances that
payment will be paid on the related
Distribution Date and on any
subsequent Distribution Dates until
paid in full, prior to distributions
to Certificateholders.
Any Net Swap Payments and Swap
Termination Payments (other than any
Swap Termination Payment resulting
from a Swap Provider Trigger Event)
will be payable from interest
collections on the Mortgage Loans. To
the extent the sum of Net Swap
Payments and Swap Termination Payments
exceeds the interest collections for a
Distribution Date, such excess will be
paid from the principal collections
for such Distribution Date.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
16
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
Interest Rate Swap Schedule
---------------------------
Period Distribution Date Notional Amount ($) Period Distribution Date Notional Amount ($)
- ---------------------------------------------------------------------------------------------------
1 11/25/2006 836,173,837 31 5/25/2009 55,144,822
2 12/25/2006 826,307,936 32 6/25/2009 53,487,669
3 1/25/2007 814,574,131 33 7/25/2009 50,515,708
4 2/25/2007 800,997,057 34 8/25/2009 45,625,022
5 3/25/2007 785,613,894 35 9/25/2009 44,058,010
6 4/25/2007 768,474,526 36 10/25/2009 42,791,442
7 5/25/2007 749,641,590 37 11/25/2009 41,563,155
8 6/25/2007 729,325,017 38 12/25/2009 40,371,926
9 7/25/2007 707,651,518 39 1/25/2010 39,216,569
10 8/25/2007 684,741,318 40 2/25/2010 38,095,942
11 9/25/2007 662,572,532 41 3/25/2010 37,008,939
12 10/25/2007 641,123,821 42 4/25/2010 35,954,492
13 11/25/2007 620,371,731 43 5/25/2010 34,931,569
14 12/25/2007 600,293,578 44 6/25/2010 33,939,174
15 1/25/2008 580,867,414 45 7/25/2010 32,976,340
16 2/25/2008 562,072,009 46 8/25/2010 32,042,138
17 3/25/2008 543,886,827 47 9/25/2010 31,135,667
18 4/25/2008 526,292,001 48 10/25/2010 30,256,055
19 5/25/2008 509,268,311 49 11/25/2010 29,402,461
20 6/25/2008 492,797,166 50 12/25/2010 28,574,071
21 7/25/2008 474,970,432 51 1/25/2011 27,770,099
22 8/25/2008 77,025,785 52 2/25/2011 26,989,784
23 9/25/2008 73,167,123 53 3/25/2011 26,232,389
24 10/25/2008 69,540,723 54 4/25/2011 25,497,205
25 11/25/2008 66,323,214 55 5/25/2011 24,783,542
26 12/25/2008 64,285,757 56 6/25/2011 24,090,735
27 1/25/2009 62,336,872 57 7/25/2011 23,033,122
28 2/25/2009 60,450,412 58 8/25/2011 18,207,076
29 3/25/2009 58,624,263 59 9/25/2011 17,731,594
30 4/25/2009 56,856,388 60 10/25/2011 17,292,144
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
17
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
TRIGGER EVENTS
--------------
Trigger Event: A Trigger Event exists with respect to
any Distribution Date on or after the
Stepdown Date (i) if the three month
rolling average of 60+ day delinquent
loans (including loans that are in
bankruptcy or foreclosure and are 60+
days delinquent or that are REO) is
equal to or greater than the
applicable percentages of the Credit
Enhancement Percentage as set forth
below for the most senior class of
Class A, Class M and Class B
Certificates then outstanding
Class Percentage
Class A Certificates 40.85%
Class M-1 Certificates 49.10%
Class M-2 Certificates 60.25%
Class M-3 Certificates 69.35%
Class M-4 Certificates 79.75%
Class M-5 Certificates 93.45%
Class M-6 Certificates 110.30%
Class M-7 Certificates 133.65%
Class M-8 Certificates 165.45%
Class M-9 Certificates 208.10%
Class B Certificates 276.50%
or (ii) if the aggregate amount of
Realized Losses incurred since the
Cut-off Date through the last day of
the related collection period (reduced
by the aggregate amount of subsequent
recoveries received since the Cut-off
Date through the last day of the
related Collection Period) divided by
the aggregate principal balance of the
Mortgage Loans as of the Cut-off Date:
Distribution Dates Percentage
------------------ ----------
November 2008 - October 2009 1.85% for the first month, plus an additional 1/12th of
2.30% for each month thereafter,
November 2009 - October 2010 4.15% for the first month, plus an additional 1/12th of
2.30% for each month thereafter,
November 2010 - October 2011 6.45% for the first month, plus an additional 1/12th of
1.85% for each month thereafter,
November 2011 - October 2012 8.30% for the first month, plus an additional 1/12th of
1.00% for each month thereafter,
November 2012 and after 9.30%
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
18
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
INTEREST DISTRIBUTIONS*
-----------------------
On each Distribution Date, Interest Remittance Amount will be distributed in the
following order of priority to the extent available:
first, to the Credit Risk Manager, the Credit Risk Manager Fee;
second, concurrently, as follows:
(i) from the Group 1 Interest Remittance Amount, to the holders of the Class
A-1 Certificates, the Accrued Certificate Interest for such Distribution
Date;
(ii) from the Group 2 Interest Remittance Amount, to the holders of the Class
A-2 Certificates, the Accrued Certificate Interest for such Distribution
Date;
(iii) concurrently, from the Group 3 Interest Remittance Amount, to the holders
of the Class A-3 Certificates, pro rata, the Accrued Certificate Interest
for such Distribution Date;
third, concurrently, as follows:
(i) from the Group 1 Interest Remittance Amount, to the holders of the Class
A-1 Certificates, the Interest Carry Forward Amount for such Distribution
Date;
(ii) from the Group 2 Interest Remittance Amount, to the holders of the Class
A-2 Certificates, the Interest Carry Forward Amount for such Distribution
Date;
(iii) concurrently, from the Group 3 Interest Remittance Amount, to the holders
of the Class A-3 Certificates, pro rata, the Interest Carry Forward Amount
for such Distribution Date;
fourth, concurrently, as follows:
(i) if the Group 1 Interest Remittance Amount is insufficient to pay the Class
A-1 Certificates' Accrued Certificate Interest for such Distribution Date
in priority second above, from the remaining Group 2 Interest Remittance
Amount and Group 3 Interest Remittance Amount, to the Class A-1
Certificates, to cover such shortfall for such Distribution Date;
(ii) if the Group 2 Interest Remittance Amount is insufficient to pay the Class
A-2 Certificates' Accrued Certificate Interest for such Distribution Date
in priority second above, from the remaining Group 1 Interest Remittance
Amount and Group 3 Interest Remittance Amount, to the Class A-2
Certificates, to cover such shortfall for such Distribution Date;
(iii) if the Group 3 Interest Remittance Amount is insufficient to pay the Class
A-3 Certificates' Accrued Certificate Interest for such Distribution Date
in priority second above, concurrently, from the remaining Group 1
Interest Remittance Amount and Group 2 Interest Remittance Amount, to the
Class A-3 Certificates, pro rata, to cover such shortfall for such
Distribution Date;
* Capitalized terms used but not defined herein shall be defined in
subsequent offering materials.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
19
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
INTEREST DISTRIBUTIONS (Continued)*
-----------------------------------
fifth, concurrently, as follows:
(i) if the Group 1 Interest Remittance Amount is insufficient to pay the Class
A-1 Certificates' Interest Carry Forward Amount for such Distribution Date
in priority third above, from the remaining Group 2 Interest Remittance
Amount and Group 3 Interest Remittance Amount, to the Class A-1
Certificates, to cover such shortfall for such Distribution Date;
(ii) if the Group 2 Interest Remittance Amount is insufficient to pay the Class
A-2 Certificates' Interest Carry Forward Amount for such Distribution Date
in priority third above, from the remaining Group 1 Interest Remittance
Amount and Group 3 Interest Remittance Amount, to the Class A-2
Certificates, to cover such shortfall for such Distribution Date; and
(iii) if the Group 3 Interest Remittance Amount is insufficient to pay the Class
A-3 Certificates' applicable Interest Carry Forward Amount for such
Distribution Date in priority third above, concurrently, from the
remaining Group 1 Interest Remittance Amount and Group 2 Interest
Remittance Amount, to the Class A-3 Certificates, pro rata, to cover such
shortfall for such Distribution Date;
sixth, to the Class M-1 Certificates, the Accrued Certificate Interest for
such Distribution Date;
seventh, to the Class M-2 Certificates, the Accrued Certificate Interest
for such Distribution Date;
eighth, to the Class M-3 Certificates, the Accrued Certificate Interest
for such Distribution Date;
ninth, to the Class M-4 Certificates, the Accrued Certificate Interest for
such Distribution Date;
tenth, to the Class M-5 Certificates, the Accrued Certificate Interest for
such Distribution Date;
eleventh, to the Class M-6 Certificates, the Accrued Certificate Interest
for such Distribution Date;
twelfth, to the Class M-7 Certificates, the Accrued Certificate Interest
for such Distribution Date;
thirteenth, to the Class M-8 Certificates, the Accrued Certificate
Interest for such Distribution Date;
fourteenth, to the Class M-9 Certificates, the Accrued Certificate
Interest for such Distribution Date;
fifteenth, to the Class B Certificates, the Accrued Certificate Interest
for such Distribution Date; and
sixteenth, any remainder as described under "Monthly Excess Cashflow
Amount".
* Capitalized terms used but not defined herein shall be defined in
subsequent offering materials.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
20
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
PRINCIPAL DISTRIBUTIONS*
------------------------
I. On each Distribution Date, (a) prior to the Stepdown Date or (b) on which
a Trigger Event is in effect, the Principal Distribution Amount, to the
extent available, will be distributed in the following order of priority:
first, concurrently, as follows:
(i) the Group 1 Senior Principal Distribution Amount, to the holders of the
Class A-1 Certificates, until the certificate principal balance thereof
has been reduced to zero;
(ii) the Group 2 Senior Principal Distribution Amount, to the holders of the
Class A-2 Certificates, until the certificate principal balance thereof
has been reduced to zero; and
(iii) the Group 3 Senior Principal Distribution Amount, to the holders of the
Class A-3 Certificates as described below, until the certificate principal
balances thereof have been reduced to zero;
second, concurrently, as follows:
(i) the Group 1 Senior Principal Distribution Amount, concurrently, pro rata
based on remaining outstanding balance, to the holders of the Class A-2
Certificates and Class A-3 Certificates as described below, until the
certificate principal balances thereof have been reduced to zero, to the
extent not distributed pursuant to I(ii) and I(iii) above;
(ii) the Group 2 Senior Principal Distribution Amount, concurrently, pro rata
based on remaining outstanding balance, to the holders of the Class A-1
Certificates and Class A-3 Certificates as described below, until the
certificate principal balances thereof have been reduced to zero, to the
extent not distributed pursuant to I(i) and I(iii) above; and
(iii) the Group 3 Senior Principal Distribution Amount, concurrently, pro rata
based on remaining outstanding balance, to the holders of the Class A-1
Certificates and Class A-2 Certificates, until the certificate principal
balances thereof have been reduced to zero, to the extent not distributed
pursuant to I(i) and I(ii) above; and
third, to the Class M-1 Certificates until the certificate principal
balance thereof is reduced to zero;
fourth, to the Class M-2 Certificates until the certificate principal
balance thereof is reduced to zero;
fifth, to the Class M-3 Certificates until the certificate principal
balance thereof is reduced to zero;
sixth, to the Class M-4 Certificates until the certificate principal
balance thereof is reduced to zero;
seventh, to the Class M-5 Certificates until the certificate principal
balance thereof is reduced to zero;
eighth, to the Class M-6 Certificates until the certificate principal
balance thereof is reduced to zero;
ninth, to the Class M-7 Certificates until the certificate principal
balance thereof is reduced to zero;
tenth, to the Class M-8 Certificates until the certificate principal
balance thereof is reduced to zero;
eleventh, to the Class M-9 Certificates until the certificate principal
balance thereof is reduced to zero;
twelfth, to the Class B Certificates until the certificate principal
balance thereof is reduced to zero; and
thirteenth, any remaining Principal Distribution Amount will be
distributed as part of excess cashflow as described under "Monthly Excess
Cashflow Amount".
* Capitalized terms used but not defined herein shall be defined in
subsequent offering materials.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
21
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
PRINCIPAL DISTRIBUTIONS (Continued)*
------------------------------------
II. On each Distribution Date, (a) on or after the Stepdown Date and (b) on
which a Trigger Event is not in effect, the Principal Distribution Amount,
to the extent available, will be distributed in the following order of
priority:
first, concurrently, as follows:
(i) the Group 1 Senior Principal Distribution Amount, to the holders of the
Class A-1 Certificates, until the certificate principal balance thereof
has been reduced to zero;
(ii) the Group 2 Senior Principal Distribution Amount, to the holders of the
Class A-2 Certificates, until the certificate principal balance thereof
has been reduced to zero; and
(iii) the Group 3 Senior Principal Distribution Amount, to the holders of the
Class A-3 Certificates as described below, until the certificate principal
balances thereof have been reduced to zero; and
second, concurrently, as follows:
(i) the Group 1 Senior Principal Distribution Amount, concurrently, pro rata
based on remaining outstanding balance, to the holders of the Class A-2
Certificates and Class A-3 Certificates as described below, until the
certificate principal balances thereof have been reduced to zero, to the
extent not distributed pursuant to II(ii) and II (iii) above;
(ii) the Group 2 Senior Principal Distribution Amount, concurrently, pro rata
based on remaining outstanding balance, to the holders of the Class A-1
Certificates and Class A-3 Certificates as described below, until the
certificate principal balances thereof have been reduced to zero, to the
extent not distributed pursuant to II(i) and II(iii) above; and
(iii) the Group 3 Senior Principal Distribution Amount, concurrently, pro rata
based on remaining outstanding balance, to the holders of the Class A-1
Certificates and Class A-2 Certificates, until the certificate principal
balances thereof have been reduced to zero, to the extent not distributed
pursuant to II(i) and II(ii) above; and
third, to the Class M-1 Certificates, up to the Sequential Mezzanine
Principal Distribution Amount until the certificate principal balance
thereof is reduced to zero;
fourth, to the Class M-2 Certificates, up to the Sequential Mezzanine
Principal Distribution Amount until the certificate principal balance
thereof is reduced to zero;
fifth, to the Class M-3 Certificates, up to the Sequential Mezzanine
Principal Distribution Amount until the certificate principal balance
thereof is reduced to zero;
sixth, to the Class M-4 Certificates, up to the Class M-4 Principal
Distribution Amount until the certificate principal balance thereof is
reduced to zero;
seventh, to the Class M-5 Certificates, up to the Class M-5 Principal
Distribution Amount until the certificate principal balance thereof is
reduced to zero;
eighth, to the Class M-6 Certificates, up to the Class M-6 Principal
Distribution Amount until the certificate principal balance thereof is
reduced to zero;
ninth, to the Class M-7 Certificates, up to the Class M-7 Principal
Distribution Amount until the certificate principal balance thereof is
reduced to zero;
* Capitalized terms used but not defined herein shall be defined in
subsequent offering materials.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
22
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
PRINCIPAL DISTRIBUTIONS (Continued)*
tenth, the Class M-8 Certificates, up to the Class M-8 Principal
Distribution Amount until the certificate principal balance thereof is
reduced to zero;
eleventh, to the Class M-9 Certificates, up to the Class M-9 Principal
Distribution Amount until the certificate principal balance thereof is
reduced to zero;
twelfth, to the Class B Certificates, up to the Class B Principal
Distribution Amount until the certificate principal balance thereof is
reduced to zero; and
thirteenth, any remaining Principal Distribution Amount will be
distributed as part of excess cashflow as described under "Monthly Excess
Cashflow Amount".
With respect to the Class A-3 Certificates, as long as all of the Class M, Class
B Certificates and Overcollateralization Amount have not been reduced to zero,
all principal distributions to the Class A-3 Certificates will be paid first, to
the Class A-3A Certificates until the certificate principal balance of the Class
A-3A Certificates is reduced to zero; second, to the Class A-3B Certificates
until the certificate principal balance of the Class A-3B Certificates is
reduced to zero; and third, concurrently, to the Class A-3C Certificates until
the certificate principal balance of the Class A-3C Certificates is reduced to
zero.
* Capitalized terms used but not defined herein shall be defined in
subsequent offering materials.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
23
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
EXCESS CASHFLOW DISTRIBUTION*
-----------------------------
On each Distribution Date, any excess cashflow shall be paid as follows:
(i) to the Class A Certificates, pro rata, any remaining Accrued
Certificate Interest for such classes for that Distribution
Date;
(ii) to the Class A Certificates, pro rata, any Interest Carry
Forward Amounts for such classes for that Distribution Date;
(iii) to the Class M-1 Certificates, any remaining Accrued
Certificate Interest for this class for that Distribution
Date;
(iv) to the Class M-1 Certificates, any Interest Carry Forward
Amount for this class for that Distribution Date;
(v) to the Class M-1 Certificates, any related Realized Loss
Amortization Amounts for that Distribution Date;
(vi) to the Class M-2 Certificates, any remaining Accrued
Certificate Interest for this class for that Distribution
Date;
(vii) to the Class M-2 Certificates, any Interest Carry Forward
Amount for this class for that Distribution Date;
(viii) to the Class M-2 Certificates, any related Realized Loss
Amortization Amounts for that Distribution Date;
(ix) to the Class M-3 Certificates, any remaining Accrued
Certificate Interest for this class for that Distribution
Date;
(x) to the Class M-3 Certificates, any Interest Carry Forward
Amount for this class for that Distribution Date;
(xi) to the Class M-3 Certificates, any related Realized Loss
Amortization Amounts for that Distribution Date;
(xii) to the Class M-4 Certificates, any remaining Accrued
Certificate Interest for this class for that Distribution
Date;
(xiii) to the Class M-4 Certificates, any Interest Carry Forward
Amount for this class for that Distribution Date;
(xiv) to the Class M-4 Certificates, any related Realized Loss
Amortization Amounts for that Distribution Date;
(xv) to the Class M-5 Certificates, any remaining Accrued
Certificate Interest for this class for that Distribution
Date;
(xvi) to the Class M-5 Certificates, any Interest Carry Forward
Amount for this class for that Distribution Date;
(xvii) to the Class M-5 Certificates, any related Realized Loss
Amortization Amount for that Distribution Date;
(xviii) to the Class M-6 Certificates, any remaining Accrued
Certificate Interest for this class for that Distribution
Date;
(xix) to the Class M-6 Certificates, any Interest Carry Forward
Amount for this class for that Distribution Date;
(xx) to the Class M-6 Certificates, any related Realized Loss
Amortization Amount for that Distribution Date;
* Capitalized terms used but not defined herein shall be defined in
subsequent offering materials.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
24
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
EXCESS CASHFLOW DISTRIBUTION (Continued)*
-----------------------------------------
(xxi) to the Class M-7 Certificates, any remaining Accrued
Certificate Interest for this class for that Distribution
Date;
(xxii) to the Class M-7 Certificates, any Interest Carry Forward
Amount for this class for that Distribution Date;
(xxiii) to the Class M-7 Certificates, any related Realized Loss
Amortization Amount for that Distribution Date;
(xxiv) to the Class M-8 Certificates, any remaining Accrued
Certificate Interest for this class for that Distribution
Date;
(xxv) to the Class M-8 Certificates, any Interest Carry Forward
Amount for this class for that Distribution Date;
(xxvi) to the Class M-8 Certificates, any related Realized Loss
Amortization Amount for that Distribution Date;
(xxvii) to the Class M-9 Certificates, any remaining Accrued
Certificate Interest for this class for that Distribution
Date;
(xxviii) to the Class M-9 Certificates, any Interest Carry Forward
Amount for this class for that Distribution Date;
(xxix) to the Class M-9 Certificates, any related Realized Loss
Amortization Amount for that Distribution Date;
(xxx) to the Class B Certificates, any remaining Accrued Certificate
Interest for this class for that Distribution Date;
(xxxi) to the Class B Certificates, any Interest Carry Forward Amount
for this class for that Distribution Date;
(xxxii) to the Class B Certificates, any related Realized Loss
Amortization Amount for that Distribution Date;
(xxxiii) first, to the Class A Certificates, pro rata, and then
sequentially, to the Class M-1, Class M-2, Class M-3, Class
M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and
Class B Certificates, any Cap Carryover Amount for such class;
(xxxiv) to the Swap Provider, any Swap Termination Payment due to the
Swap Provider resulting from a Swap Provider Trigger Event;
and
(xxxv) any remaining amounts as specified in the pooling and
servicing agreement.
* Capitalized terms used but not defined herein shall be defined in
subsequent offering materials.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
25
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
SWAP PAYMENT DISTRIBUTION*
--------------------------
On each Distribution Date, following the distribution of the Monthly Excess
Cashflow Amount, payments from the Swap Account shall be distributed as follows:
(i) to the Swap Provider, any Net Swap Payment owed to the Swap
Provider pursuant to the Interest Rate Swap Agreement for such
Distribution Date;
(ii) to the Swap Provider, any Swap Termination Payment owed to the
Swap Provider not due to a Swap Provider Trigger Event pursuant
to the Interest Rate Swap Agreement;
(iii) concurrently, to each class of the Class A Certificates, the
related Accrued Certificate Interest and Interest Carry Forward
Amount remaining undistributed after the distributions of the
Interest Remittance Amount and Monthly Excess Cashflow Amount, on
a pro rata basis based on such respective remaining Accrued
Certificate Interest and Interest Carry Forward Amount;
(iv) sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4,
Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class B
Certificates, in that order, the related Accrued Certificate
Interest and Interest Carry Forward Amount, to the extent
remaining undistributed after the distributions of the Interest
Remittance Amount and the Monthly Excess Cashflow Amount;
(v) to the holders of the class or classes of Certificates then
entitled to receive distributions in respect of principal, in an
amount necessary to maintain the applicable Targeted
Overcollateralization Amount after taking into account
distributions made from the Monthly Excess Cashflow Amount;
(vi) concurrently, to each class of Class A Certificates, the related
Cap Carryover Amount, to the extent remaining undistributed after
distributions are made from the Monthly Excess Cashflow Amount,
on a pro rata basis based on such respective Cap Carryover
Amounts remaining;
(vii) sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4,
Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class B
Certificates, in that order, the related Cap Carryover Amount, to
the extent remaining undistributed after distributions are made
from the Monthly Excess Cashflow Amount;
(viii) sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4,
Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class B
Certificates, to the extent of any remaining related Unpaid
Realized Loss Amount for such class;
(ix) to the Swap Provider, any Swap Termination Payment owed to the
Swap Provider due to a Swap Provider Trigger Event pursuant to
the Interest Rate Swap Agreement; and
(x) to the Class CE Certificates, any remaining amounts.
* Capitalized terms used but not defined herein shall be defined in
subsequent offering materials.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
26
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
BOND SUMMARY*
To Maturity
-------------
- ----------------------------------------------------------------------------------------------------------------------------
FRM PPC / ARM PPC 0%|0% 50%|50% 75%|75% 100%|100% 125%|125% 150%|150% 175%|175%
- ----------------------------------------------------------------------------------------------------------------------------
Class A-3A (To Maturity)
- ----------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 18.15 1.71 1.24 1.00 0.83 0.71 0.62
First Principal Date 11/25/2006 11/25/2006 11/25/2006 11/25/2006 11/25/2006 11/25/2006 11/25/2006
Last Principal Date 4/25/2032 3/25/2010 1/25/2009 9/25/2008 5/25/2008 2/25/2008 12/25/2007
Principal Windows (mos.) 1 to 306 1 to 41 1 to 27 1 to 23 1 to 19 1 to 16 1 to 14
- ----------------------------------------------------------------------------------------------------------------------------
Class A-3B (To Maturity)
- ----------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 28.42 7.47 4.87 3.19 2.02 1.74 1.55
First Principal Date 4/25/2032 3/25/2010 1/25/2009 9/25/2008 5/25/2008 2/25/2008 12/25/2007
Last Principal Date 8/25/2036 2/25/2027 6/25/2020 9/25/2016 7/25/2009 11/25/2008 10/25/2008
Principal Windows (mos.) 306 to 358 41 to 244 27 to 164 23 to 119 19 to 33 16 to 25 14 to 24
- ----------------------------------------------------------------------------------------------------------------------------
Class A-3C (To Maturity)
- ----------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 29.78 23.09 15.81 11.52 2.71 2.03 1.95
First Principal Date 8/25/2036 2/25/2027 6/25/2020 9/25/2016 7/25/2009 11/25/2008 10/25/2008
Last Principal Date 8/25/2036 11/25/2032 3/25/2025 4/25/2020 8/25/2009 11/25/2008 10/25/2008
Principal Windows (mos.) 358 to 358 244 to 313 164 to 221 119 to 162 33 to 34 25 to 25 24 to 24
- ----------------------------------------------------------------------------------------------------------------------------
Class M-1 (To Maturity)
- ----------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 28.04 5.22 3.57 3.93 3.99 3.18 2.58
First Principal Date 5/25/2033 10/25/2010 12/25/2009 6/25/2010 8/25/2009 11/25/2008 10/25/2008
Last Principal Date 4/25/2036 7/25/2013 3/25/2011 2/25/2011 8/25/2011 6/25/2010 11/25/2009
Principal Windows (mos.) 319 to 354 48 to 81 38 to 53 44 to 52 34 to 58 25 to 44 24 to 37
- ----------------------------------------------------------------------------------------------------------------------------
Class M-2 (To Maturity)
- ----------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 29.74 8.91 5.83 4.71 5.54 4.25 3.56
First Principal Date 4/25/2036 7/25/2013 3/25/2011 2/25/2011 8/25/2011 6/25/2010 11/25/2009
Last Principal Date 8/25/2036 10/25/2018 8/25/2014 6/25/2012 7/25/2013 12/25/2011 2/25/2011
Principal Windows (mos.) 354 to 358 81 to 144 53 to 94 52 to 68 58 to 81 44 to 62 37 to 52
- ----------------------------------------------------------------------------------------------------------------------------
Class M-3 (To Maturity)
- ----------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 29.78 16.33 10.85 7.85 8.10 6.30 5.19
First Principal Date 8/25/2036 10/25/2018 8/25/2014 6/25/2012 7/25/2013 12/25/2011 2/25/2011
Last Principal Date 8/25/2036 5/25/2030 12/25/2022 8/25/2018 3/25/2017 12/25/2014 7/25/2013
Principal Windows (mos.) 358 to 358 144 to 283 94 to 194 68 to 142 81 to 125 62 to 98 52 to 81
- ---------------------------------------------------------------------------------------------------------------------------
* Prepayment rate is capped at 90%.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
27
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
BOND SUMMARY*
To Maturity
-------------
- ---------------------------------------------------------------------------------------------------------------------------
FRM PPC / ARM PPC 0%|0% 50%|50% 75%|75% 100%|100% 125%|125% 150%|150% 175%|175%
- ---------------------------------------------------------------------------------------------------------------------------
Class M-4 (To Maturity)
- ---------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 29.05 8.96 5.93 4.72 4.26 3.17 2.78
First Principal Date 5/25/2033 10/25/2010 12/25/2009 5/25/2010 7/25/2010 7/25/2009 4/25/2009
Last Principal Date 8/25/2036 11/25/2027 1/25/2021 2/25/2017 9/25/2014 12/25/2012 11/25/2011
Principal Windows (mos.) 319 to 358 48 to 253 38 to 171 43 to 124 45 to 95 33 to 74 30 to 61
- ---------------------------------------------------------------------------------------------------------------------------
Class M-5 (To Maturity)
- ---------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 29.05 8.94 5.91 4.65 4.10 3.06 2.68
First Principal Date 5/25/2033 10/25/2010 12/25/2009 3/25/2010 4/25/2010 5/25/2009 2/25/2009
Last Principal Date 8/25/2036 3/25/2027 7/25/2020 10/25/2016 5/25/2014 9/25/2012 9/25/2011
Principal Windows (mos.) 319 to 358 48 to 245 38 to 165 41 to 120 42 to 91 31 to 71 28 to 59
- ---------------------------------------------------------------------------------------------------------------------------
Class M-6 (To Maturity)
- ---------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 29.05 8.90 5.89 4.59 3.97 2.97 2.59
First Principal Date 5/25/2033 10/25/2010 12/25/2009 2/25/2010 3/25/2010 4/25/2009 1/25/2009
Last Principal Date 8/25/2036 6/25/2026 12/25/2019 5/25/2016 2/25/2014 6/25/2012 6/25/2011
Principal Windows (mos.) 319 to 358 48 to 236 38 to 158 40 to 115 41 to 88 30 to 68 27 to 56
- ---------------------------------------------------------------------------------------------------------------------------
Class M-7 (To Maturity)
- ---------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 29.05 8.85 5.85 4.54 3.87 2.89 2.53
First Principal Date 5/25/2033 10/25/2010 11/25/2009 2/25/2010 1/25/2010 3/25/2009 12/25/2008
Last Principal Date 8/25/2036 9/25/2025 5/25/2019 12/25/2015 10/25/2013 3/25/2012 4/25/2011
Principal Windows (mos.) 319 to 358 48 to 227 37 to 151 40 to 110 39 to 84 29 to 65 26 to 54
- ---------------------------------------------------------------------------------------------------------------------------
Class M-8 (To Maturity)
- ---------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 29.05 8.79 5.80 4.47 3.77 2.83 2.48
First Principal Date 5/25/2033 10/25/2010 11/25/2009 1/25/2010 12/25/2009 2/25/2009 12/25/2008
Last Principal Date 8/25/2036 10/25/2024 9/25/2018 6/25/2015 5/25/2013 11/25/2011 1/25/2011
Principal Windows (mos.) 319 to 358 48 to 216 37 to 143 39 to 104 38 to 79 28 to 61 26 to 51
- ---------------------------------------------------------------------------------------------------------------------------
Class M-9 (To Maturity)
- ---------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 29.05 8.70 5.73 4.41 3.69 2.77 2.41
First Principal Date 5/25/2033 10/25/2010 11/25/2009 12/25/2009 11/25/2009 2/25/2009 11/25/2008
Last Principal Date 8/25/2036 9/25/2023 1/25/2018 11/25/2014 12/25/2012 7/25/2011 10/25/2010
Principal Windows (mos.) 319 to 358 48 to 203 37 to 135 38 to 97 37 to 74 28 to 57 25 to 48
- ---------------------------------------------------------------------------------------------------------------------------
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
28
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
* Prepayment rate is capped at 90%.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
29
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
BOND SUMMARY*
To Call
-------------
- ----------------------------------------------------------------------------------------------------------------------------
FRM PPC / ARM PPC 0%|0% 50%|50% 75%|75% 100%|100% 125%|125% 150%|150% 175%|175%
- ----------------------------------------------------------------------------------------------------------------------------
Class A-3A (To Call)
- ----------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 18.15 1.71 1.24 1.00 0.83 0.71 0.62
First Principal Date 11/25/2006 11/25/2006 11/25/2006 11/25/2006 11/25/2006 11/25/2006 11/25/2006
Last Principal Date 4/25/2032 3/25/2010 1/25/2009 9/25/2008 5/25/2008 2/25/2008 12/25/2007
Principal Windows (mos.) 1 to 306 1 to 41 1 to 27 1 to 23 1 to 19 1 to 16 1 to 14
- ----------------------------------------------------------------------------------------------------------------------------
Class A-3B (To Call)
- ----------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 28.42 7.07 4.61 3.00 2.02 1.74 1.55
First Principal Date 4/25/2032 3/25/2010 1/25/2009 9/25/2008 5/25/2008 2/25/2008 12/25/2007
Last Principal Date 8/25/2036 3/25/2019 12/25/2014 9/25/2012 7/25/2009 11/25/2008 10/25/2008
Principal Windows (mos.) 306 to 358 41 to 149 27 to 98 23 to 71 19 to 33 16 to 25 14 to 24
- ----------------------------------------------------------------------------------------------------------------------------
Class A-3C (To Call)
- ----------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 29.78 12.36 8.11 5.86 2.71 2.03 1.95
First Principal Date 8/25/2036 3/25/2019 12/25/2014 9/25/2012 7/25/2009 11/25/2008 10/25/2008
Last Principal Date 8/25/2036 3/25/2019 12/25/2014 9/25/2012 8/25/2009 11/25/2008 10/25/2008
Principal Windows (mos.) 358 to 358 149 to 149 98 to 98 71 to 71 33 to 34 25 to 25 24 to 24
- ----------------------------------------------------------------------------------------------------------------------------
Class M-1 (To Call)
- ----------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 28.04 5.22 3.57 3.93 3.96 3.14 2.56
First Principal Date 5/25/2033 10/25/2010 12/25/2009 6/25/2010 8/25/2009 11/25/2008 10/25/2008
Last Principal Date 4/25/2036 7/25/2013 3/25/2011 2/25/2011 4/25/2011 3/25/2010 9/25/2009
Principal Windows (mos.) 319 to 354 48 to 81 38 to 53 44 to 52 34 to 54 25 to 41 24 to 35
- ----------------------------------------------------------------------------------------------------------------------------
Class M-2 (To Call)
- ----------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 29.74 8.91 5.83 4.71 4.45 3.36 2.86
First Principal Date 4/25/2036 7/25/2013 3/25/2011 2/25/2011 4/25/2011 3/25/2010 9/25/2009
Last Principal Date 8/25/2036 10/25/2018 8/25/2014 6/25/2012 4/25/2011 3/25/2010 9/25/2009
Principal Windows (mos.) 354 to 358 81 to 144 53 to 94 52 to 68 54 to 54 41 to 41 35 to 35
- ----------------------------------------------------------------------------------------------------------------------------
Class M-3 (To Call)
- ----------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 29.78 12.35 8.10 5.85 4.45 3.36 2.86
First Principal Date 8/25/2036 10/25/2018 8/25/2014 6/25/2012 4/25/2011 3/25/2010 9/25/2009
Last Principal Date 8/25/2036 3/25/2019 12/25/2014 9/25/2012 4/25/2011 3/25/2010 9/25/2009
Principal Windows (mos.) 358 to 358 144 to 149 94 to 98 68 to 71 54 to 54 41 to 41 35 to 35
- ----------------------------------------------------------------------------------------------------------------------------
* Prepayment rate is capped at 90%.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
30
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
BOND SUMMARY*
To Call
-------------
- ----------------------------------------------------------------------------------------------------------------------------
FRM PPC / ARM PPC 0%|0% 50%|50% 75%|75% 100%|100% 125%|125% 150%|150% 175%|175%
- ----------------------------------------------------------------------------------------------------------------------------
Class M-4 (To Call)
- ----------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 29.05 8.15 5.38 4.32 3.95 2.92 2.58
First Principal Date 5/25/2033 10/25/2010 12/25/2009 5/25/2010 7/25/2010 7/25/2009 4/25/2009
Last Principal Date 8/25/2036 3/25/2019 12/25/2014 9/25/2012 4/25/2011 3/25/2010 9/25/2009
Principal Windows (mos.) 319 to 358 48 to 149 38 to 98 43 to 71 45 to 54 33 to 41 30 to 35
- ----------------------------------------------------------------------------------------------------------------------------
Class M-5 (To Call)
- ----------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 29.05 8.15 5.38 4.26 3.80 2.82 2.49
First Principal Date 5/25/2033 10/25/2010 12/25/2009 3/25/2010 4/25/2010 5/25/2009 2/25/2009
Last Principal Date 8/25/2036 3/25/2019 12/25/2014 9/25/2012 4/25/2011 3/25/2010 9/25/2009
Principal Windows (mos.) 319 to 358 48 to 149 38 to 98 41 to 71 42 to 54 31 to 41 28 to 35
- ----------------------------------------------------------------------------------------------------------------------------
Class M-6 (To Call)
- ----------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 29.05 8.15 5.38 4.22 3.68 2.74 2.41
First Principal Date 5/25/2033 10/25/2010 12/25/2009 2/25/2010 3/25/2010 4/25/2009 1/25/2009
Last Principal Date 8/25/2036 3/25/2019 12/25/2014 9/25/2012 4/25/2011 3/25/2010 9/25/2009
Principal Windows (mos.) 319 to 358 48 to 149 38 to 98 40 to 71 41 to 54 30 to 41 27 to 35
- ----------------------------------------------------------------------------------------------------------------------------
Class M-7 (To Call)
- ----------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 29.05 8.15 5.37 4.19 3.60 2.68 2.36
First Principal Date 5/25/2033 10/25/2010 11/25/2009 2/25/2010 1/25/2010 3/25/2009 12/25/2008
Last Principal Date 8/25/2036 3/25/2019 12/25/2014 9/25/2012 4/25/2011 3/25/2010 9/25/2009
Principal Windows (mos.) 319 to 358 48 to 149 37 to 98 40 to 71 39 to 54 29 to 41 26 to 35
- ----------------------------------------------------------------------------------------------------------------------------
Class M-8 (To Call)
- ----------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 29.05 8.15 5.37 4.16 3.53 2.63 2.33
First Principal Date 5/25/2033 10/25/2010 11/25/2009 1/25/2010 12/25/2009 2/25/2009 12/25/2008
Last Principal Date 8/25/2036 3/25/2019 12/25/2014 9/25/2012 4/25/2011 3/25/2010 9/25/2009
Principal Windows (mos.) 319 to 358 48 to 149 37 to 98 39 to 71 38 to 54 28 to 41 26 to 35
- ----------------------------------------------------------------------------------------------------------------------------
Class M-9 (To Call)
- ----------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 29.05 8.15 5.37 4.14 3.49 2.60 2.28
First Principal Date 5/25/2033 10/25/2010 11/25/2009 12/25/2009 11/25/2009 2/25/2009 11/25/2008
Last Principal Date 8/25/2036 3/25/2019 12/25/2014 9/25/2012 4/25/2011 3/25/2010 9/25/2009
Principal Windows (mos.) 319 to 358 48 to 149 37 to 98 38 to 71 37 to 54 28 to 41 25 to 35
- ----------------------------------------------------------------------------------------------------------------------------
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
31
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
* Prepayment rate is capped at 90%.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
32
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
GROUP 3 CAP SCHEDULE
Class A-3 Certificates
----------------------
Effective Effective
Group 3 Group 3 Group 3 Group 3 Group 3 Group 3
Period Pay Date Cap(1) Cap(2) Cap(2)(3) Period Pay Date Cap(1) Cap(2) Cap(2)(3)
- --------------------------------------------------------------------------------------------------------------------
1 11/25/2006 23.08% 23.08% 37.69% 38 12/25/2009 10.38% 12.25% 14.52%
2 12/25/2006 8.46% 8.46% 23.02% 39 1/25/2010 10.05% 11.85% 14.16%
3 1/25/2007 8.19% 8.19% 22.87% 40 2/25/2010 10.04% 11.85% 14.17%
4 2/25/2007 8.19% 8.19% 22.81% 41 3/25/2010 11.07% 13.99% 16.24%
5 3/25/2007 8.77% 9.06% 23.10% 42 4/25/2010 10.04% 12.63% 14.97%
6 4/25/2007 8.19% 8.19% 22.68% 43 5/25/2010 10.37% 13.05% 15.37%
7 5/25/2007 8.46% 8.46% 22.72% 44 6/25/2010 10.03% 12.62% 14.98%
8 6/25/2007 8.19% 8.19% 22.54% 45 7/25/2010 10.36% 13.03% 15.38%
9 7/25/2007 8.46% 8.46% 22.57% 46 8/25/2010 10.02% 12.61% 15.00%
10 8/25/2007 8.19% 8.19% 22.37% 47 9/25/2010 10.02% 12.61% 15.02%
11 9/25/2007 8.09% 8.09% 22.23% 48 10/25/2010 10.35% 13.03% 15.42%
12 10/25/2007 8.36% 8.36% 22.29% 49 11/25/2010 10.01% 12.60% 15.03%
13 11/25/2007 8.09% 8.09% 22.13% 50 12/25/2010 10.34% 13.01% 15.43%
14 12/25/2007 8.36% 8.36% 22.19% 51 1/25/2011 10.00% 12.58% 15.04%
15 1/25/2008 8.09% 8.09% 22.03% 52 2/25/2011 10.00% 12.58% 15.05%
16 2/25/2008 8.09% 8.09% 21.98% 53 3/25/2011 11.02% 13.93% 16.33%
17 3/25/2008 8.54% 8.65% 22.16% 54 4/25/2011 9.99% 12.58% 15.07%
18 4/25/2008 8.09% 8.09% 21.88% 55 5/25/2011 10.32% 12.99% 15.47%
19 5/25/2008 8.36% 8.36% 21.94% 56 6/25/2011 9.98% 12.56% 15.08%
20 6/25/2008 8.09% 8.09% 21.78% 57 7/25/2011 10.31% 12.97% 15.44%
21 7/25/2008 8.36% 8.36% 21.79% 58 8/25/2011 9.98% 12.54% 14.59%
22 8/25/2008 8.10% 8.10% 10.37% 59 9/25/2011 10.09% 12.65% 14.71%
23 9/25/2008 10.14% 10.54% 12.76% 60 10/25/2011 10.42% 13.07% 15.12%
24 10/25/2008 10.47% 10.88% 13.12% 61 11/25/2011 10.08% 12.64% 12.64%
25 11/25/2008 10.12% 10.51% 12.83% 62 12/25/2011 10.41% 13.05% 13.05%
26 12/25/2008 10.45% 10.85% 13.24% 63 1/25/2012 10.07% 12.62% 12.62%
27 1/25/2009 10.11% 10.50% 12.92% 64 2/25/2012 10.07% 12.61% 12.61%
28 2/25/2009 10.11% 10.50% 12.93% 65 3/25/2012 10.78% 13.51% 13.51%
29 3/25/2009 11.32% 12.50% 14.85% 66 4/25/2012 10.08% 12.63% 12.63%
30 4/25/2009 10.26% 11.28% 13.74% 67 5/25/2012 10.41% 13.04% 13.04%
31 5/25/2009 10.35% 11.41% 13.84% 68 6/25/2012 10.07% 12.61% 12.61%
32 6/25/2009 10.02% 11.03% 13.50% 69 7/25/2012 10.40% 13.02% 13.02%
33 7/25/2009 10.35% 11.40% 13.78% 70 8/25/2012 10.06% 12.59% 12.59%
34 8/25/2009 10.02% 11.04% 13.30% 71 9/25/2012 10.05% 12.61% 12.61%
35 9/25/2009 10.06% 11.88% 14.13%
36 10/25/2009 10.39% 12.27% 14.51%
37 11/25/2009 10.05% 11.87% 14.15%
(1) Assumes 1-month LIBOR at 5.3200% and 6-month LIBOR at 5.4163% and is
run at the pricing speed to call.
(2) Assumes the 1-month and 6-month LIBOR are instantaneously increased
to a rate of 20.00% and is run at the pricing speed to call.
(3) Assumes the payments are received from the Interest Rate Swap
Agreement.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
33
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
POOL CAP SCHEDULE
Class M and Class B Certificates
--------------------------------
Pool Pool Effective Pool Pool Effective
Period Pay Date Cap(1) Cap(2) Pool Cap(2)(3) Period Pay Date Cap(1) Cap(2) Pool Cap(2)(3)
- ---------------------------------------------------------------------------------------------------------------------
1 11/25/2006 23.11% 23.11% 37.72% 38 12/25/2009 10.33% 12.19% 14.46%
2 12/25/2006 8.47% 8.47% 23.04% 39 1/25/2010 9.99% 11.79% 14.10%
3 1/25/2007 8.20% 8.20% 22.88% 40 2/25/2010 9.99% 11.81% 14.12%
4 2/25/2007 8.20% 8.20% 22.82% 41 3/25/2010 11.01% 13.91% 16.15%
5 3/25/2007 8.78% 9.08% 23.11% 42 4/25/2010 9.98% 12.55% 14.90%
6 4/25/2007 8.20% 8.20% 22.69% 43 5/25/2010 10.31% 12.96% 15.29%
7 5/25/2007 8.47% 8.47% 22.73% 44 6/25/2010 9.97% 12.54% 14.90%
8 6/25/2007 8.20% 8.20% 22.55% 45 7/25/2010 10.30% 12.95% 15.30%
9 7/25/2007 8.47% 8.47% 22.58% 46 8/25/2010 9.97% 12.52% 14.92%
10 8/25/2007 8.20% 8.20% 22.38% 47 9/25/2010 9.96% 12.53% 14.93%
11 9/25/2007 8.10% 8.10% 22.24% 48 10/25/2010 10.29% 12.94% 15.33%
12 10/25/2007 8.37% 8.37% 22.30% 49 11/25/2010 9.95% 12.51% 14.94%
13 11/25/2007 8.10% 8.10% 22.14% 50 12/25/2010 10.28% 12.92% 15.33%
14 12/25/2007 8.37% 8.37% 22.20% 51 1/25/2011 9.94% 12.49% 14.95%
15 1/25/2008 8.10% 8.10% 22.04% 52 2/25/2011 9.94% 12.49% 14.96%
16 2/25/2008 8.10% 8.10% 21.99% 53 3/25/2011 10.95% 13.83% 16.22%
17 3/25/2008 8.56% 8.66% 22.17% 54 4/25/2011 9.93% 12.48% 14.98%
18 4/25/2008 8.10% 8.10% 21.89% 55 5/25/2011 10.26% 12.89% 15.37%
19 5/25/2008 8.37% 8.37% 21.96% 56 6/25/2011 9.92% 12.46% 14.99%
20 6/25/2008 8.10% 8.10% 21.79% 57 7/25/2011 10.25% 12.87% 15.34%
21 7/25/2008 8.37% 8.37% 21.81% 58 8/25/2011 9.93% 12.46% 14.51%
22 8/25/2008 8.14% 8.14% 10.41% 59 9/25/2011 10.03% 12.56% 14.62%
23 9/25/2008 10.14% 10.52% 12.74% 60 10/25/2011 10.36% 12.97% 15.02%
24 10/25/2008 10.47% 10.86% 13.10% 61 11/25/2011 10.02% 12.54% 12.54%
25 11/25/2008 10.12% 10.49% 12.82% 62 12/25/2011 10.35% 12.95% 12.95%
26 12/25/2008 10.44% 10.83% 13.21% 63 1/25/2012 10.01% 12.52% 12.52%
27 1/25/2009 10.10% 10.47% 12.90% 64 2/25/2012 10.01% 12.52% 12.52%
28 2/25/2009 10.10% 10.48% 12.92% 65 3/25/2012 10.71% 13.41% 13.41%
29 3/25/2009 11.27% 12.46% 14.81% 66 4/25/2012 10.02% 12.53% 12.53%
30 4/25/2009 10.22% 11.25% 13.70% 67 5/25/2012 10.34% 12.94% 12.94%
31 5/25/2009 10.31% 11.37% 13.80% 68 6/25/2012 10.00% 12.51% 12.51%
32 6/25/2009 9.97% 11.00% 13.47% 69 7/25/2012 10.33% 12.91% 12.91%
33 7/25/2009 10.30% 11.36% 13.75% 70 8/25/2012 9.99% 12.49% 12.49%
34 8/25/2009 9.98% 11.02% 13.28% 71 9/25/2012 9.99% 12.51% 12.51%
35 9/25/2009 10.00% 11.82% 14.08%
36 10/25/2009 10.34% 12.21% 14.45%
37 11/25/2009 10.00% 11.81% 14.09%
(1) Assumes 1-month LIBOR at 5.3200% and 6-month LIBOR at 5.4163% and is
run at the pricing speed to call.
(2) Assumes the 1-month and 6-month LIBOR are instantaneously increased
to a rate of 20.00% and is run at the pricing speed to call.
(3) Assumes the payments are received from the Interest Rate Swap
Agreement.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
34
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
Breakeven Losses
----------------
Static LIBOR Forward LIBOR
Class CDR (%) Cum Loss (%) CDR (%) Cum Loss (%)
Class M-1 37.9% 24.18% 37.9% 24.18%
Class M-2 29.7% 20.87% 29.7% 20.87%
Class M-3 25.6% 18.95% 25.7% 19.00%
Class M-4 22.4% 17.31% 22.4% 17.31%
Class M-5 19.4% 15.63% 19.4% 15.63%
Class M-6 16.8% 14.06% 16.9% 14.12%
Class M-7 14.4% 12.50% 14.4% 12.50%
Class M-8 12.4% 11.11% 12.5% 11.18%
Class M-9 10.9% 10.00% 11.0% 10.08%
Assumptions:
------------
o Run at the Pricing Speed
o 40% loss severity
o 12 month lag from default to loss
o Run to maturity
o Triggers fail (i.e., no Stepdown)
o "Break" is first dollar of principal loss
o Defaults are in addition to prepayments
o Advancing Principal and Interest
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
35
- --------------------------------------------------------------------------------
Asset Backed Funding Corporation
Asset-Backed Certificates, Series 2006-OPT3
$574,601,000 (approximate)
- --------------------------------------------------------------------------------
Excess Spread
-------------
Static Forward Static Forward
XS Spread XS Spread Forward Forward XS Spread XS Spread Forward Forward
Period (bps) (bps) 1m LIBOR 6m LIBOR Period (bps) (bps) 1m LIBOR 6m LIBOR
- ---------------------------------------------------------------------------------------------------------------
1 651 651 5.3200% 5.4163% 38 474 465 5.0208% 5.0703%
2 312 312 5.3575% 5.4094% 39 456 448 5.0198% 5.0700%
3 311 311 5.3767% 5.3950% 40 461 453 5.0180% 5.0684%
4 311 311 5.3626% 5.3685% 41 513 506 5.0168% 5.0670%
5 313 313 5.3892% 5.3361% 42 467 463 5.0164% 5.0664%
6 311 311 5.3258% 5.2900% 43 484 479 5.0140% 5.0641%
7 311 311 5.2805% 5.2537% 44 469 464 5.0137% 5.0811%
8 310 310 5.2696% 5.2135% 45 484 479 5.0117% 5.0971%
9 311 311 5.2295% 5.1696% 46 468 464 5.0105% 5.1149%
10 310 310 5.1649% 5.1260% 47 468 469 5.0088% 5.1306%
11 300 300 5.1170% 5.0876% 48 482 483 5.0063% 5.1482%
12 301 301 5.1184% 5.0540% 49 467 460 5.1078% 5.1660%
13 299 300 5.0425% 5.0105% 50 481 475 5.1089% 5.1673%
14 301 301 5.0077% 4.9761% 51 466 459 5.1109% 5.1683%
15 299 300 4.9733% 4.9417% 52 465 459 5.1107% 5.1682%
16 299 299 4.9405% 4.9089% 53 511 506 5.1117% 5.1701%
17 302 303 4.9076% 4.8763% 54 465 461 5.1134% 5.1716%
18 298 299 4.8744% 4.8428% 55 480 476 5.1150% 5.1726%
19 300 301 4.8423% 4.8109% 56 464 461 5.1151% 5.1801%
20 298 299 4.8104% 4.8306% 57 479 475 5.1154% 5.1885%
21 300 301 4.7781% 4.8579% 58 466 463 5.1166% 5.1977%
22 283 329 4.7470% 4.8879% 59 476 476 5.1171% 5.2058%
23 490 509 4.7160% 4.9193% 60 492 491 5.1175% 5.2143%
24 504 524 4.6836% 4.9586% 61 472 470 5.1639% 5.2234%
25 488 486 4.9677% 5.0003% 62 490 487 5.1651% 5.2243%
26 502 500 4.9607% 4.9925% 63 471 469 5.1667% 5.2252%
27 487 486 4.9524% 4.9843% 64 471 468 5.1673% 5.2260%
28 487 486 4.9438% 4.9760% 65 508 506 5.1679% 5.2267%
29 545 536 4.9366% 4.9686% 66 471 470 5.1694% 5.2273%
30 500 493 4.9292% 4.9612% 67 489 487 5.1698% 5.2281%
31 490 483 4.9209% 4.9529% 68 470 468 5.1704% 5.2330%
32 474 469 4.9139% 4.9710% 69 487 486 5.1713% 5.2378%
33 489 483 4.9055% 4.9883% 70 468 467 5.1717% 5.2417%
34 475 471 4.8982% 5.0075% 71 468 468 5.1712% 5.2453%
35 478 479 4.8896% 5.0267%
36 493 494 4.8820% 5.0495%
37 478 468 5.0222% 5.0726%
Assumptions:
------------
o Run to call
o Calculated, for the related period, as (a) net interest collections
on the Mortgage Loans less the amount of interest accrued at the
related Certificate Interest Rate and paid on the related
Distribution Date on the Certificates plus swap payments received
from the Swap Provider minus swap payments paid to the Swap Provider
divided by (b) the aggregate principal balance of the Mortgage Loans
as of the beginning period and multiplied by (c) 120000.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
The depositor has filed a registration statement (including a prospectus) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement and other
documents the depositor has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by
visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer,
any underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-294-1322 or you
e-mail a request to dg.prospectus_distribution@bofasecurities.com. The
securities may not be suitable for all investors. Banc of America Securities LLC
and its affiliates may acquire, hold or sell positions in these securities, or
in related derivatives, and may have an investment or commercial banking
relationship with the issuer. The information contained in these materials may
be based on assumptions regarding market conditions and other matters as
reflected herein. Banc of America Securities LLC (the "Underwriter") makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any such assumptions will coincide with actual market conditions
or events, and these materials should not be relied upon for such purposes. The
Underwriter and its affiliates, officers, directors, partners and employees,
including persons involved in the preparation or issuance of these materials,
may, from time to time, have long or short positions in, and buy and sell, the
securities mentioned herein or derivatives thereof (including options).
Information in these materials is current as of the date appearing on the
material only. Information in these materials regarding any securities discussed
herein supersedes all prior information regarding such securities. These
materials are not to be construed as an offer to sell or the solicitation of any
offer to buy any security in any jurisdiction where such an offer or
solicitation would be illegal.
36
Group 1 Mortgage Loan Tables
1. Mortgage Coupons (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Mortgage Coupons (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
6.001 - 6.500 4 $1,220,443.84 0.80 42.23 6.396 659 97.45 360 2
6.501 - 7.000 20 5,651,772.57 3.72 41.90 6.768 681 97.80 360 3
7.001 - 7.500 38 9,779,980.49 6.44 46.57 7.320 663 97.45 360 2
7.501 - 8.000 76 19,520,197.79 12.86 44.64 7.826 639 97.92 360 3
8.001 - 8.500 99 21,867,266.26 14.41 45.74 8.304 634 97.32 360 2
8.501 - 9.000 159 28,964,630.30 19.09 44.29 8.782 633 97.80 360 2
9.001 - 9.500 146 24,260,587.64 15.99 43.84 9.257 628 97.45 360 2
9.501 - 10.000 171 24,384,921.72 16.07 43.46 9.762 621 98.02 358 2
10.001 - 10.500 79 10,539,025.03 6.94 41.70 10.216 621 97.44 360 2
10.501 - 11.000 36 4,296,684.23 2.83 41.48 10.723 620 97.81 360 2
11.001 - 11.500 11 1,079,318.74 0.71 40.38 11.183 641 97.95 360 2
11.501 - 12.000 2 191,763.17 0.13 43.41 11.728 662 97.10 360 3
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 841 $151,756,591.78 100.00 44.09 8.810 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
2. Original Combined Loan-To-Value (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Original Combined Mortgage Principal Principal Income Interest Credit Value Maturity Age
Loan-To-Value (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
90.01 - 95.00 354 $66,522,498.52 43.83 43.94 8.829 621 94.74 360 2
95.01 - 100.00 487 85,234,093.26 56.17 44.21 8.796 644 99.97 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 841 $151,756,591.78 100.00 44.09 8.810 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
3. Original Combined Loan-To-Value with Silent Seconds (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
Original Combined of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Loan-To-Value Mortgage Principal Principal Income Interest Credit Value Maturity Age
with Silent Seconds (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
90.01 - 95.00 353 $66,350,998.07 43.72 43.95 8.826 621 94.75 360 2
95.01 - 100.00 488 85,405,593.71 56.28 44.20 8.799 644 99.95 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 841 $151,756,591.78 100.00 44.09 8.810 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
4. Principal Balance ($)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Principal Balance ($) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
50,000.01 - 100,000.00 80 $7,213,981.45 4.75 40.21 10.245 624 98.75 358 2
100,000.01 - 150,000.00 273 34,290,111.05 22.60 43.02 9.461 624 97.97 359 2
150,000.01 - 200,000.00 204 35,327,791.50 23.28 44.29 8.950 634 97.58 360 2
200,000.01 - 250,000.00 127 28,446,998.15 18.75 45.51 8.677 637 97.53 360 2
250,000.01 - 300,000.00 97 26,449,469.00 17.43 45.33 8.260 639 97.40 360 2
300,000.01 - 350,000.00 47 15,042,626.80 9.91 42.91 7.908 641 97.59 360 2
350,000.01 - 400,000.00 12 4,477,613.83 2.95 44.16 7.586 656 97.06 360 3
500,000.01 - 550,000.00 1 508,000.00 0.33 48.59 8.500 657 100.00 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 841 $151,756,591.78 100.00 44.09 8.810 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
5. Original Term to Maturity (months)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Original Term Mortgage Principal Principal Income Interest Credit Value Maturity Age
to Maturity (months) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
180 2 $222,321.39 0.15 45.93 9.709 650 100.00 180 3
360 839 151,534,270.39 99.85 44.09 8.809 634 97.67 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 841 $151,756,591.78 100.00 44.09 8.810 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
6. Remaining Term to Maturity (months)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Remaining Term Mortgage Principal Principal Income Interest Credit Value Maturity Age
to Maturity (months) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
176 - 180 2 $222,321.39 0.15 45.93 9.709 650 100.00 180 3
346 - 350 1 142,084.86 0.09 26.80 8.390 581 95.00 360 11
351 - 355 4 520,116.07 0.34 42.56 9.185 637 95.40 360 6
356 - 360 834 150,872,069.46 99.42 44.11 8.808 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 841 $151,756,591.78 100.00 44.09 8.810 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
7. Credit Score
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Credit Score Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
801 - 825 1 $249,850.15 0.16 45.11 9.250 813 100.00 360 3
751 - 775 5 889,959.18 0.59 39.21 7.865 761 98.59 360 3
726 - 750 19 4,144,497.39 2.73 44.49 8.085 733 97.68 360 2
701 - 725 37 8,037,019.09 5.30 43.49 8.313 712 97.88 360 3
676 - 700 62 13,539,257.21 8.92 43.73 8.411 685 98.03 358 2
651 - 675 99 19,226,663.22 12.67 42.49 8.719 661 98.07 360 2
626 - 650 200 35,481,706.82 23.38 43.95 8.836 636 98.29 360 2
601 - 625 271 44,356,905.42 29.23 44.52 8.985 613 98.17 360 2
576 - 600 106 18,021,910.27 11.88 45.20 8.860 590 95.55 360 2
551 - 575 12 2,172,507.50 1.43 44.11 9.471 565 95.00 360 2
526 - 550 14 2,478,655.21 1.63 46.72 9.551 536 94.88 360 2
501 - 525 15 3,157,660.32 2.08 44.89 9.478 514 95.06 360 3
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 841 $151,756,591.78 100.00 44.09 8.810 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
8. Property Type
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Property Type Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 692 $123,186,117.98 81.17 44.07 8.788 632 97.65 360 2
Planned Unit Development 85 15,611,758.89 10.29 44.69 8.750 633 97.82 360 2
Condo - Low 36 7,634,564.43 5.03 44.48 8.943 647 98.30 360 2
2-4 Family 28 5,324,150.48 3.51 42.15 9.328 654 97.02 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 841 $151,756,591.78 100.00 44.09 8.810 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
9. Occupancy Status
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Occupancy Status Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
Primary 769 $139,318,532.90 91.80 44.20 8.735 632 97.83 360 2
Investor 55 9,353,562.46 6.16 43.18 9.815 662 95.56 360 2
Secondary 17 3,084,496.42 2.03 42.10 9.163 649 97.12 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 841 $151,756,591.78 100.00 44.09 8.810 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
10. Documentation
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Documentation Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
Full Documentation 725 $128,239,897.35 84.50 44.39 8.749 627 97.74 360 2
Stated Income 112 22,868,718.40 15.07 42.58 9.141 677 97.36 360 2
Business Bank Statements 3 404,612.08 0.27 41.23 9.511 621 100.00 360 2
Limited Documentation 1 243,363.95 0.16 35.41 9.200 509 90.28 360 3
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 841 $151,756,591.78 100.00 44.09 8.810 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
11. Loan Purpose
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Loan Purpose Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 360 $74,985,719.39 49.41 43.69 8.513 632 97.12 360 2
Purchase 404 61,771,925.44 40.70 44.56 9.211 637 98.48 360 2
Refinance - Rate Term 77 14,998,946.95 9.88 44.17 8.648 633 97.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 841 $151,756,591.78 100.00 44.09 8.810 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
12. Product Type
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Product Type Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
15 YR FIXED 1 $140,935.00 0.09 48.37 9.700 677 100.00 180 3
2/13 6ML 1 81,386.39 0.05 41.70 9.725 602 100.00 180 3
2/28 6ML 418 64,114,922.10 42.25 43.05 9.270 627 97.41 360 2
2/28 6ML with 5 yr IO 41 11,900,849.10 7.84 41.83 7.963 666 97.97 360 2
2/28 6ML 30/40 BALLOON 250 50,214,104.33 33.09 46.04 8.521 627 97.57 360 2
30 YR FIXED 62 11,891,897.72 7.84 42.59 8.840 660 99.06 360 2
30/40 BALLOON 15 3,407,445.41 2.25 46.93 8.344 638 98.51 360 3
3/27 6ML 3 411,013.87 0.27 42.67 9.568 629 100.00 360 2
3/27 6ML with 5 yr IO 3 609,000.00 0.40 42.53 7.894 661 97.35 360 2
3/27 6ML 30/40 BALLOON 10 1,715,278.94 1.13 48.56 8.780 602 95.81 360 3
5/25 6ML 16 2,837,156.37 1.87 44.48 8.781 648 98.00 360 2
5/25 6ML with 5 yr IO 5 1,243,405.07 0.82 44.88 7.413 681 97.52 360 3
5/25 6ML 30/40 BALLOON 16 3,189,197.48 2.10 42.55 8.294 640 98.02 360 3
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 841 $151,756,591.78 100.00 44.09 8.810 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
13. IO Term
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
IO Term (Months) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
0 792 $138,003,337.61 90.94 44.29 8.900 631 97.65 360 2
60 49 13,753,254.17 9.06 42.14 7.910 668 97.90 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 841 $151,756,591.78 100.00 44.09 8.810 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
14. Lien Position
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Lien Position Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
1 841 $151,756,591.78 100.00 44.09 8.810 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 841 $151,756,591.78 100.00 44.09 8.810 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
15. Prepayment Penalty Term (Months)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Prepayment Penalty Mortgage Principal Principal Income Interest Credit Value Maturity Age
Term (Months) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
0 195 $33,969,539.32 22.38 43.51 8.995 642 97.49 359 3
12 26 5,468,393.15 3.60 42.94 8.679 645 98.17 360 2
24 532 94,436,079.18 62.23 44.31 8.809 627 97.60 360 2
30 2 370,484.71 0.24 47.64 9.356 672 97.65 360 3
36 86 17,512,095.42 11.54 44.31 8.488 652 98.30 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 841 $151,756,591.78 100.00 44.09 8.810 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
16. City
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
City Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
SACRAMENTO ,CA 8 $2,336,883.42 1.54 44.99 7.874 662 97.35 360 2
ORLANDO ,FL 7 1,487,190.71 0.98 48.28 8.771 625 98.45 360 3
LAS VEGAS ,NV 6 1,461,793.01 0.96 49.01 8.228 597 98.10 360 3
BROCKTON ,MA 5 1,388,419.71 0.91 43.23 7.947 697 98.27 360 2
BAKERSFIELD ,CA 4 1,220,625.48 0.80 46.66 8.809 611 97.48 360 2
APPLE VALLEY ,CA 4 1,187,174.00 0.78 49.12 7.340 634 97.62 360 3
LAKELAND ,FL 5 1,127,628.58 0.74 44.20 8.469 674 97.98 360 2
TACOMA ,WA 4 997,340.43 0.66 45.80 7.633 619 98.53 360 3
STOCKTON ,CA 3 983,787.91 0.65 45.32 7.747 614 96.55 360 2
STATEN ISLAND ,NY 3 944,282.65 0.62 39.20 7.929 626 98.52 360 3
COLUMBUS ,OH 6 925,846.87 0.61 42.34 9.044 647 100.00 360 2
MIAMI ,FL 4 895,460.36 0.59 42.40 8.398 641 96.50 360 2
LEHIGH ACRES ,FL 3 878,468.44 0.58 48.74 7.969 641 96.62 360 2
MODESTO ,CA 3 865,219.76 0.57 38.35 8.353 649 94.95 360 2
LYNN ,MA 3 852,548.51 0.56 47.61 7.864 622 98.50 360 3
AURORA ,CO 4 823,668.94 0.54 46.94 8.568 645 100.00 360 2
DENVER ,CO 5 793,710.53 0.52 47.87 9.600 632 97.82 360 2
CHARLOTTE ,NC 5 745,798.50 0.49 43.64 9.439 595 98.68 360 3
WATERBURY ,CT 4 735,358.37 0.48 36.00 9.077 671 94.16 360 2
PORT ST LUCIE ,FL 3 724,838.51 0.48 49.81 8.351 671 96.65 360 3
Other 752 130,380,547.09 85.91 43.91 8.893 633 97.67 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 841 $151,756,591.78 100.00 44.09 8.810 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
17. Geographic Distribution
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Geographic Mortgage Principal Principal Income Interest Credit Value Maturity Age
Distribution Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
California 61 $18,567,243.21 12.23 43.52 8.006 645 97.13 360 2
Florida 86 17,639,051.54 11.62 45.01 8.665 637 96.99 360 2
Massachusetts 37 8,265,267.71 5.45 43.68 8.439 672 97.74 360 3
Michigan 57 8,247,237.83 5.43 45.50 9.321 624 97.65 360 2
Ohio 57 7,408,864.23 4.88 42.30 9.290 626 98.26 360 2
Colorado 34 6,466,779.09 4.26 46.31 8.739 634 98.80 360 2
Texas 47 5,942,931.88 3.92 43.62 9.609 619 98.12 360 3
Pennsylvania 37 5,922,851.33 3.90 42.00 8.961 637 98.15 360 2
Georgia 38 5,455,834.98 3.60 41.38 9.422 625 98.35 360 2
North Carolina 30 4,967,999.59 3.27 43.46 9.244 616 97.39 355 2
Washington 22 4,747,209.36 3.13 46.18 8.289 623 97.45 360 2
New York 26 4,707,309.77 3.10 41.41 8.818 637 98.61 360 3
Virginia 24 4,021,612.28 2.65 44.51 8.862 645 98.99 360 2
Indiana 26 3,641,930.59 2.40 43.14 9.333 628 98.12 360 2
South Carolina 21 3,496,649.02 2.30 42.70 8.828 622 97.47 360 3
Connecticut 17 3,406,236.22 2.24 44.04 8.929 649 95.86 360 2
Wisconsin 19 3,303,234.03 2.18 44.00 9.072 623 97.34 360 2
New Jersey 15 2,860,533.54 1.88 47.98 8.998 623 97.00 360 2
Maine 14 2,760,316.13 1.82 43.71 8.313 657 97.48 360 3
Nevada 10 2,485,831.47 1.64 49.06 8.326 612 97.22 360 3
Maryland 12 2,460,909.46 1.62 44.25 8.223 634 98.01 360 2
Oregon 11 2,423,516.34 1.60 46.32 8.298 630 97.20 360 2
Arizona 10 2,384,388.34 1.57 44.71 7.987 646 96.90 360 3
New Hampshire 10 2,269,253.62 1.50 44.58 8.260 623 98.89 360 3
Illinois 12 2,159,019.52 1.42 45.53 9.217 614 96.70 360 2
Utah 12 2,082,319.04 1.37 47.46 8.881 626 97.81 360 3
Missouri 12 1,670,753.54 1.10 42.55 9.311 619 97.32 360 2
Iowa 12 1,567,336.88 1.03 43.13 9.604 631 99.15 360 2
Alabama 12 1,501,055.57 0.99 44.03 9.536 620 98.81 350 3
Rhode Island 6 1,407,899.66 0.93 46.28 8.740 654 97.24 360 2
Tennessee 11 1,395,112.10 0.92 45.38 9.440 627 97.92 360 2
Minnesota 9 1,252,009.45 0.83 41.63 9.654 618 98.32 360 2
Kentucky 6 906,668.15 0.60 40.23 9.383 622 99.16 360 2
Oklahoma 5 624,730.07 0.41 40.29 9.451 600 96.83 360 2
Idaho 4 512,513.49 0.34 45.03 9.174 608 96.51 360 2
Hawaii 1 508,000.00 0.33 48.59 8.500 657 100.00 360 2
Kansas 3 363,171.83 0.24 33.77 9.956 615 98.41 360 2
Vermont 2 353,293.87 0.23 47.54 9.877 645 98.13 360 3
Arkansas 3 346,199.09 0.23 43.97 9.427 628 100.00 360 2
North Dakota 3 320,418.49 0.21 37.84 9.705 617 95.00 360 2
Wyoming 1 276,402.13 0.18 38.79 9.700 642 95.00 360 1
Louisiana 1 135,751.29 0.09 34.79 8.600 589 95.00 360 3
Alaska 1 134,955.54 0.09 42.17 9.880 664 100.00 360 2
Delaware 1 124,902.35 0.08 46.38 10.600 629 100.00 360 2
South Dakota 1 103,428.96 0.07 42.61 9.000 708 100.00 360 3
Mississippi 1 80,723.37 0.05 51.40 9.875 650 95.00 360 2
Nebraska 1 76,935.83 0.05 38.26 10.330 613 100.00 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 841 $151,756,591.78 100.00 44.09 8.810 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
18. ZIP
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
ZIP Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
2302 4 $1,038,419.71 0.68 43.41 8.165 691 97.69 360 2
95828 3 944,479.02 0.62 45.76 7.482 654 95.62 360 2
92592 2 658,507.42 0.43 42.64 7.999 595 97.26 360 3
10303 2 650,021.19 0.43 39.98 8.080 633 97.85 360 2
3053 3 640,861.67 0.42 41.69 8.466 633 98.28 360 2
95127 2 616,999.88 0.41 43.97 7.984 687 100.00 360 2
92307 2 613,676.25 0.40 51.59 7.377 607 97.56 360 3
80603 3 599,925.70 0.40 48.87 8.744 626 100.00 360 3
1902 2 596,542.58 0.39 45.85 7.698 623 100.00 360 2
4605 2 575,233.53 0.38 35.49 8.144 691 97.65 360 2
Other 816 144,821,924.83 95.43 44.10 8.849 633 97.66 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 841 $151,756,591.78 100.00 44.09 8.810 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
19. Gross Margin (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Gross Mortgage Principal Principal Income Interest Credit Value Maturity Age
Margin (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
4.001 - 4.500 1 $229,785.76 0.17 52.87 8.500 518 95.00 360 2
4.501 - 5.000 2 293,132.37 0.22 50.89 9.212 643 95.00 360 3
5.001 - 5.500 4 779,104.80 0.57 46.09 8.838 611 96.06 360 2
5.501 - 6.000 39 6,365,943.49 4.67 42.84 8.918 645 98.61 360 2
6.001 - 6.500 713 128,062,379.35 93.95 44.18 8.814 631 97.50 360 2
6.501 - 7.000 2 324,913.24 0.24 38.99 8.396 592 95.00 360 5
7.001 - 7.500 2 261,054.64 0.19 46.07 9.097 634 97.56 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 763 $136,316,313.65 100.00 44.15 8.819 632 97.53 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
20. Initial Periodic Cap (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Initial Mortgage Principal Principal Income Interest Credit Value Maturity Age
Periodic Cap (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
3.000 763 $136,316,313.65 100.00 44.15 8.819 632 97.53 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 763 $136,316,313.65 100.00 44.15 8.819 632 97.53 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
21. Subsequent Periodic Cap (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Subsequent Mortgage Principal Principal Income Interest Credit Value Maturity Age
Periodic Cap (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
1.000 763 $136,316,313.65 100.00 44.15 8.819 632 97.53 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 763 $136,316,313.65 100.00 44.15 8.819 632 97.53 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
22. Maximum Mortgage Interest Rate (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Maximum Mortgage Mortgage Principal Principal Income Interest Credit Value Maturity Age
Interest Rate (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
10.501 - 11.000 1 $289,605.56 0.21 51.19 7.950 641 100.00 360 2
11.001 - 11.500 1 179,953.84 0.13 55.18 8.380 624 100.00 360 1
12.001 - 12.500 3 582,039.30 0.43 46.07 7.623 640 96.29 360 2
12.501 - 13.000 18 4,808,196.01 3.53 43.09 6.855 678 97.76 360 3
13.001 - 13.500 31 8,099,613.17 5.94 46.74 7.334 663 97.33 360 2
13.501 - 14.000 72 18,629,306.71 13.67 44.67 7.841 639 97.95 360 3
14.001 - 14.500 92 20,337,455.31 14.92 45.66 8.295 634 97.31 360 2
14.501 - 15.000 146 26,438,047.32 19.39 44.47 8.782 630 97.62 360 2
15.001 - 15.500 133 21,839,989.92 16.02 43.58 9.251 623 97.23 360 2
15.501 - 16.000 149 20,475,953.21 15.02 43.09 9.762 618 97.68 359 2
16.001 - 16.500 73 9,605,742.99 7.05 41.78 10.220 619 97.26 360 2
16.501 - 17.000 33 3,954,541.86 2.90 41.70 10.726 617 97.62 360 2
17.001 - 17.500 10 995,346.03 0.73 40.35 11.162 640 97.78 360 2
17.501 - 18.000 1 80,522.42 0.06 44.48 11.525 667 100.00 360 3
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 763 $136,316,313.65 100.00 44.15 8.819 632 97.53 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
23. Minimum Mortgage Interest Rate (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Minimum Mortgage Mortgage Principal Principal Income Interest Credit Value Maturity Age
Interest Rate (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
6.001 - 6.500 1 $332,500.00 0.24 42.16 6.330 662 95.00 360 2
6.501 - 7.000 17 4,698,799.70 3.45 43.34 6.789 678 97.71 360 3
7.001 - 7.500 32 8,341,613.17 6.12 46.46 7.335 664 97.40 360 2
7.501 - 8.000 72 18,794,009.92 13.79 44.76 7.824 639 97.96 360 3
8.001 - 8.500 92 20,275,409.15 14.87 45.85 8.307 633 97.30 360 2
8.501 - 9.000 146 26,438,047.32 19.39 44.47 8.782 630 97.62 360 2
9.001 - 9.500 135 22,089,529.22 16.20 43.67 9.252 623 97.24 360 2
9.501 - 10.000 150 20,585,349.52 15.10 43.03 9.761 618 97.70 359 2
10.001 - 10.500 73 9,605,742.99 7.05 41.78 10.220 619 97.26 360 2
10.501 - 11.000 34 4,079,444.21 2.99 41.84 10.722 617 97.69 360 2
11.001 - 11.500 10 995,346.03 0.73 40.35 11.162 640 97.78 360 2
11.501 - 12.000 1 80,522.42 0.06 44.48 11.525 667 100.00 360 3
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 763 $136,316,313.65 100.00 44.15 8.819 632 97.53 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
24. Next Rate Adjustment Date
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Next Rate Mortgage Principal Principal Income Interest Credit Value Maturity Age
Adjustment Date Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
Nov-2007 1 $142,084.86 0.10 26.80 8.390 581 95.00 360 11
Apr-2008 1 120,815.29 0.09 42.08 8.600 691 95.00 360 6
May-2008 2 315,809.76 0.23 39.45 9.299 631 95.67 360 5
Jun-2008 4 622,502.06 0.46 45.45 8.944 617 95.84 360 4
Jul-2008 271 51,458,333.39 37.75 44.65 8.621 634 97.70 360 3
Aug-2008 371 63,307,006.01 46.44 43.82 8.999 627 97.48 360 2
Sep-2008 60 10,344,710.55 7.59 43.70 9.060 641 97.15 360 1
Mar-2009 1 83,491.02 0.06 54.99 9.600 586 95.00 360 7
Jul-2009 6 1,147,966.52 0.84 50.60 8.724 608 95.86 360 3
Aug-2009 6 947,598.29 0.70 41.39 8.743 638 98.24 360 2
Sep-2009 3 556,236.98 0.41 44.66 8.449 615 96.49 360 1
Jul-2011 15 3,060,735.36 2.25 40.08 8.016 661 97.83 360 3
Aug-2011 21 4,134,052.41 3.03 46.77 8.527 644 97.96 360 2
Sep-2011 1 74,971.15 0.05 22.04 10.650 606 100.00 360 1
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 763 $136,316,313.65 100.00 44.15 8.819 632 97.53 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
25. Debt-to-Income Ratio (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Debt-to-Income Mortgage Principal Principal Income Interest Credit Value Maturity Age
Ratio (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
20.01 - 25.00 19 $2,907,988.43 1.92 22.72 9.308 623 97.34 360 2
25.01 - 30.00 43 7,418,671.49 4.89 27.64 8.825 635 97.13 360 2
30.01 - 35.00 68 10,882,719.64 7.17 33.07 8.974 636 97.40 360 2
35.01 - 40.00 124 21,276,858.10 14.02 37.73 8.929 637 97.82 360 2
40.01 - 45.00 177 32,305,311.17 21.29 42.84 8.860 643 97.95 360 2
45.01 - 50.00 209 39,016,368.06 25.71 47.68 8.760 633 97.60 359 2
50.01 - 55.00 167 31,343,230.20 20.65 52.42 8.677 629 97.79 360 2
55.01 >= 34 6,605,444.69 4.35 56.04 8.612 612 97.01 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 841 $151,756,591.78 100.00 44.09 8.810 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
26. Delinquency Status
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Delinquency Status Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
0-29 841 $151,756,591.78 100.00 44.09 8.810 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 841 $151,756,591.78 100.00 44.09 8.810 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
27. Credit Grade
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Credit Grade Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
AA+ 740 132,775,352.12 87.49 44.03 8.801 638 97.85 360 2
AA 90 16,992,470.49 11.20 44.94 8.883 607 96.59 360 3
A 10 $1,854,078.39 1.22 40.59 8.769 590 95.43 360 3
B 1 134,690.78 0.09 45.56 9.300 689 95.00 360 3
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 841 $151,756,591.78 100.00 44.09 8.810 634 97.68 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
##
Group 2 Mortgage Loan Tables
1. Mortgage Coupons (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Mortgage Coupons (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
5.501 - 6.000 1 $227,500.00 0.15 46.64 5.750 610 100.00 360 3
6.001 - 6.500 7 2,423,629.64 1.60 45.59 6.438 662 96.09 360 2
6.501 - 7.000 16 5,681,892.22 3.74 47.99 6.784 647 96.53 360 2
7.001 - 7.500 27 8,870,540.47 5.84 47.74 7.314 643 97.23 360 2
7.501 - 8.000 62 19,849,788.44 13.07 45.45 7.811 643 97.62 360 3
8.001 - 8.500 77 25,392,183.27 16.72 45.40 8.293 638 97.44 360 2
8.501 - 9.000 93 25,242,543.95 16.62 44.56 8.795 634 97.14 358 2
9.001 - 9.500 106 24,624,857.65 16.22 45.11 9.256 632 98.07 360 2
9.501 - 10.000 108 20,629,385.82 13.59 42.20 9.795 624 97.89 360 2
10.001 - 10.500 65 10,141,338.95 6.68 43.41 10.257 621 99.00 360 2
10.501 - 11.000 58 6,766,796.23 4.46 39.49 10.725 629 98.93 360 2
11.001 - 11.500 14 1,622,366.30 1.07 39.12 11.239 629 99.27 360 2
11.501 - 12.000 3 193,803.90 0.13 38.45 11.744 646 98.26 360 2
12.001 - 12.500 3 183,398.76 0.12 37.99 12.189 645 100.00 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 640 $151,850,025.60 100.00 44.54 8.807 634 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
2. Original Combined Loan-To-Value (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Original Combined Mortgage Principal Principal Income Interest Credit Value Maturity Age
Loan-To-Value (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
90.01 - 95.00 228 $63,677,464.47 41.93 44.07 8.612 628 94.58 360 2
95.01 - 100.00 412 88,172,561.13 58.07 44.89 8.947 639 99.97 359 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 640 $151,850,025.60 100.00 44.54 8.807 634 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
3. Original Combined Loan-To-Value with Silent Seconds (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
Original Combined of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Loan-To-Value Mortgage Principal Principal Income Interest Credit Value Maturity Age
with Silent Seconds (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
90.01 - 95.00 228 $63,677,464.47 41.93 44.07 8.612 628 94.58 360 2
95.01 - 100.00 412 88,172,561.13 58.07 44.89 8.947 639 99.97 359 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 640 $151,850,025.60 100.00 44.54 8.807 634 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
4. Principal Balance ($)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Principal Balance ($) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
less than 50,000.00 1 $49,966.82 0.03 34.22 11.350 714 90.91 360 2
50,000.01 - 100,000.00 86 6,869,811.77 4.52 39.41 10.196 640 98.91 360 2
100,000.01 - 150,000.00 113 14,541,667.77 9.58 41.44 9.845 626 99.16 360 2
150,000.01 - 200,000.00 73 12,668,648.34 8.34 42.21 9.546 634 98.67 360 2
200,000.01 - 250,000.00 80 18,303,667.58 12.05 46.02 9.056 625 97.91 360 2
250,000.01 - 300,000.00 53 14,593,595.86 9.61 44.56 9.010 636 97.51 360 2
300,000.01 - 350,000.00 110 35,790,178.15 23.57 44.99 8.463 631 97.55 360 2
350,000.01 - 400,000.00 91 34,182,740.22 22.51 45.16 8.043 638 97.03 359 2
400,000.01 - 450,000.00 19 7,823,847.28 5.15 47.41 8.492 642 97.58 360 2
450,000.01 - 500,000.00 7 3,307,201.99 2.18 51.48 8.844 639 97.10 360 2
500,000.01 - 550,000.00 5 2,590,063.93 1.71 43.55 8.584 654 95.61 360 2
550,000.01 - 600,000.00 2 1,128,635.89 0.74 47.52 8.480 749 93.07 360 3
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 640 $151,850,025.60 100.00 44.54 8.807 634 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
5. Original Term to Maturity (months)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Original Term Mortgage Principal Principal Income Interest Credit Value Maturity Age
to Maturity (months) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
240 1 $368,244.73 0.24 54.32 8.625 635 100.00 240 3
360 639 151,481,780.87 99.76 44.52 8.807 634 97.70 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 640 $151,850,025.60 100.00 44.54 8.807 634 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
6. Remaining Term to Maturity (months)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Remaining Term Mortgage Principal Principal Income Interest Credit Value Maturity Age
to Maturity (months) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
236 - 240 1 $368,244.73 0.24 54.32 8.625 635 100.00 240 3
351 - 355 3 545,906.72 0.36 30.26 8.705 584 95.55 360 8
356 - 360 636 150,935,874.15 99.40 44.57 8.807 635 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 640 $151,850,025.60 100.00 44.54 8.807 634 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
7. Credit Score
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Credit Score Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
801 - 825 1 $170,820.15 0.11 52.47 9.200 809 95.00 360 2
776 - 800 3 800,118.52 0.53 48.08 8.930 781 98.03 360 2
751 - 775 9 1,932,486.23 1.27 40.52 8.448 761 95.61 360 2
726 - 750 16 4,830,125.28 3.18 41.05 8.520 738 96.78 360 2
701 - 725 20 5,099,447.50 3.36 41.09 7.825 713 97.35 360 2
676 - 700 29 6,523,026.56 4.30 44.89 8.844 685 98.10 360 2
651 - 675 94 24,895,236.38 16.39 44.06 8.533 663 98.38 360 2
626 - 650 151 36,360,109.47 23.94 44.87 8.779 636 98.00 359 2
601 - 625 208 44,119,763.83 29.05 45.70 9.064 613 98.38 360 2
576 - 600 89 21,725,520.03 14.31 43.22 8.871 590 96.12 360 3
551 - 575 10 2,551,590.34 1.68 49.19 9.230 564 95.29 360 2
526 - 550 7 1,728,133.28 1.14 46.93 9.204 541 95.00 360 2
501 - 525 3 1,113,648.03 0.73 41.85 8.794 511 94.46 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 640 $151,850,025.60 100.00 44.54 8.807 634 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
8. Property Type
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Property Type Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 516 $113,516,713.18 74.76 43.93 8.846 632 97.98 360 2
Planned Unit Development 69 20,287,222.75 13.36 46.88 8.479 630 97.21 360 2
2-4 Family 36 13,266,552.82 8.74 45.72 8.883 662 96.27 360 2
Condo - Low 18 4,454,956.58 2.93 45.36 9.099 630 97.02 360 3
Condo - Hi 1 324,580.27 0.21 51.45 8.205 673 100.00 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 640 $151,850,025.60 100.00 44.54 8.807 634 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
9. Occupancy Status
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Occupancy Status Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
Primary 585 $137,715,258.84 90.69 44.67 8.743 630 97.91 360 2
Investor 49 12,380,125.13 8.15 43.66 9.575 677 95.97 360 2
Secondary 6 1,754,641.63 1.16 41.07 8.410 664 94.12 360 3
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 640 $151,850,025.60 100.00 44.54 8.807 634 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
10. Documentation
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Documentation Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
Full Documentation 543 $126,420,216.01 83.25 45.48 8.754 627 97.86 360 2
Stated Income 95 25,309,247.60 16.67 39.83 9.062 672 96.97 360 2
Limited Documentation 1 60,758.75 0.04 37.46 11.250 731 95.00 360 2
Business Bank Statements 1 59,803.24 0.04 55.26 10.600 652 95.00 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 640 $151,850,025.60 100.00 44.54 8.807 634 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
11. Loan Purpose
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Loan Purpose Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 232 $75,035,552.11 49.41 44.25 8.440 631 97.11 359 2
Purchase 355 61,724,878.15 40.65 44.30 9.358 639 98.59 360 2
Refinance - Rate Term 53 15,089,595.34 9.94 46.99 8.375 631 97.07 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 640 $151,850,025.60 100.00 44.54 8.807 634 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
12. Product Type
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Product Type Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
15/15 6ML with 5 yr IO 1 $118,500.00 0.08 50.20 8.800 576 94.05 360 3
20 YR FIXED 1 368,244.73 0.24 54.32 8.625 635 100.00 240 3
2/28 6ML 321 61,347,855.29 40.40 42.34 9.405 635 97.97 360 2
2/28 6ML with 5 yr IO 79 20,808,437.40 13.70 47.36 8.392 616 97.30 360 2
2/28 6ML 30/40 BALLOON 152 42,764,966.67 28.16 46.18 8.480 630 97.63 360 2
30 YR FIXED 20 6,306,276.88 4.15 44.15 8.654 671 97.30 360 3
30 YR FIXED with 5 yr IO 2 507,300.00 0.33 44.51 7.587 688 100.00 360 2
30/40 BALLOON 22 7,779,278.23 5.12 44.89 7.896 660 97.89 360 3
3/27 6ML 3 330,143.79 0.22 32.45 10.230 633 100.00 360 2
3/27 6ML with 5 yr IO 1 215,000.00 0.14 49.41 8.975 624 100.00 360 2
3/27 6ML 30/40 BALLOON 5 1,329,773.32 0.88 46.91 8.971 625 97.61 360 3
5/25 6ML 9 2,322,982.12 1.53 45.16 8.768 640 96.95 360 2
5/25 6ML with 5 yr IO 8 2,486,539.56 1.64 44.87 7.864 624 97.08 360 2
5/25 6ML 30/40 BALLOON 16 5,164,727.61 3.40 44.50 8.100 651 97.30 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 640 $151,850,025.60 100.00 44.54 8.807 634 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
13. IO Term
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
IO Term (Months) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
0 549 $127,714,248.64 84.11 44.06 8.897 638 97.78 360 2
60 91 24,135,776.96 15.89 47.08 8.328 618 97.34 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 640 $151,850,025.60 100.00 44.54 8.807 634 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
14. Lien Position
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Lien Position Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
1 640 $151,850,025.60 100.00 44.54 8.807 634 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 640 $151,850,025.60 100.00 44.54 8.807 634 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
15. Prepayment Penalty Term (Months)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Prepayment Mortgage Principal Principal Income Interest Credit Value Maturity Age
Penalty Term (Months) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
0 176 $43,049,608.33 28.35 44.42 8.973 637 97.58 360 2
12 32 10,999,023.97 7.24 46.14 8.763 652 96.26 360 2
24 376 80,510,448.66 53.02 44.26 8.872 627 97.83 360 2
30 1 334,645.82 0.22 49.37 9.175 634 100.00 360 2
36 55 16,956,298.82 11.17 45.05 8.094 651 98.35 357 3
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 640 $151,850,025.60 100.00 44.54 8.807 634 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
16. City
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
City Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
LAS VEGAS ,NV 9 $2,727,422.75 1.80 51.09 7.973 650 95.02 360 2
SACRAMENTO ,CA 7 2,512,888.28 1.65 47.13 7.629 638 99.20 360 2
MIAMI ,FL 6 2,283,920.88 1.50 47.34 9.391 631 96.29 360 2
YUBA CITY ,CA 4 1,517,971.93 1.00 46.87 7.856 665 96.09 360 2
BRONX ,NY 3 1,447,038.37 0.95 50.09 8.721 678 94.64 360 2
BROCKTON ,MA 4 1,293,137.07 0.85 41.32 8.839 637 100.00 360 3
LYNN ,MA 2 914,177.35 0.60 45.29 8.266 631 100.00 360 2
STATEN ISLAND ,NY 2 909,322.55 0.60 40.53 8.332 643 98.92 360 2
PAWTUCKET ,RI 3 848,651.77 0.56 42.24 9.450 629 95.55 360 2
CANTON ,MI 3 839,402.56 0.55 52.27 8.996 613 97.82 360 2
TUCSON ,AZ 3 838,023.24 0.55 39.17 8.979 615 97.62 360 3
MANCHESTER ,NH 3 768,767.98 0.51 48.42 8.555 617 95.98 360 2
TEMECULA ,CA 2 729,363.74 0.48 41.42 6.474 723 94.84 360 3
RANCHO CORDOVA ,CA 2 714,574.42 0.47 48.48 7.908 664 100.00 360 2
FREDERICKSBURG ,VA 2 711,186.95 0.47 45.22 8.154 645 100.00 360 2
BRIDGEPORT ,CT 2 701,831.06 0.46 47.61 9.150 659 93.71 360 2
HOLDEN ,MA 2 694,228.28 0.46 55.23 8.074 654 100.00 360 2
VALLEY SPRINGS ,CA 2 679,770.02 0.45 47.95 7.845 612 100.00 360 2
ABINGTON ,MA 2 670,289.74 0.44 53.56 8.515 601 97.80 360 2
WESTMINSTER ,CO 2 665,783.01 0.44 38.01 7.414 615 94.51 360 2
Other 575 129,382,273.65 85.20 44.13 8.888 633 97.79 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 640 $151,850,025.60 100.00 44.54 8.807 634 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
17. Geographic Distribution
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Geographic Distribution Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
California 54 $19,034,942.77 12.54 46.37 7.729 637 97.71 360 2
Massachusetts 42 14,041,440.76 9.25 44.52 8.649 647 97.33 360 2
Florida 47 11,606,453.47 7.64 41.83 9.289 632 97.61 360 2
New York 21 6,983,093.76 4.60 45.29 8.577 671 96.34 360 2
New Jersey 21 6,788,067.15 4.47 48.07 8.738 618 96.85 360 2
Maryland 21 6,336,570.61 4.17 47.25 8.103 622 98.30 360 2
Virginia 23 6,027,602.27 3.97 45.49 8.683 626 98.09 360 2
Michigan 34 5,841,126.65 3.85 47.01 9.459 622 97.89 360 2
Colorado 23 5,440,602.26 3.58 43.74 8.435 632 97.03 360 2
Nevada 15 4,693,390.24 3.09 50.14 8.043 647 97.11 360 2
Washington 17 4,519,329.25 2.98 43.56 8.602 642 98.23 360 2
Georgia 21 4,376,906.38 2.88 44.69 9.330 630 98.34 350 3
Pennsylvania 19 4,065,240.42 2.68 46.98 9.041 634 98.35 360 2
Arizona 14 3,883,210.54 2.56 40.57 8.767 625 97.10 360 2
Connecticut 14 3,736,474.91 2.46 44.38 9.259 646 96.87 360 2
Texas 26 3,384,617.48 2.23 41.26 9.706 619 97.74 360 2
Ohio 25 3,143,029.90 2.07 42.00 9.954 624 99.69 360 2
Rhode Island 10 3,018,319.56 1.99 45.29 9.265 631 96.48 360 2
New Hampshire 12 2,903,370.39 1.91 44.38 8.607 635 97.10 360 3
Indiana 18 2,392,630.60 1.58 42.95 9.776 636 99.16 360 2
Hawaii 5 2,392,404.79 1.58 49.58 8.239 652 96.80 360 2
Vermont 11 2,336,850.71 1.54 39.17 8.968 648 98.03 360 3
Illinois 13 2,165,555.26 1.43 42.53 9.932 627 98.75 360 2
Maine 12 2,012,944.28 1.33 41.94 8.922 669 97.02 360 2
Wisconsin 13 1,911,594.95 1.26 41.10 9.941 627 99.27 360 2
South Carolina 9 1,762,939.48 1.16 40.70 8.980 618 97.84 360 3
Oklahoma 13 1,712,440.04 1.13 33.07 9.643 617 98.25 360 3
Idaho 8 1,649,805.73 1.09 43.73 8.736 645 97.98 360 2
Missouri 11 1,600,386.92 1.05 37.78 9.648 612 96.81 360 4
North Carolina 9 1,380,650.34 0.91 44.60 9.802 623 98.76 360 2
Alabama 6 1,375,222.39 0.91 43.64 8.709 614 97.94 360 2
Minnesota 8 1,347,543.45 0.89 40.27 9.635 607 97.60 360 2
Oregon 3 949,291.32 0.63 39.88 8.102 698 100.00 360 3
Kansas 6 857,532.24 0.56 49.97 9.906 627 100.00 360 2
Tennessee 8 850,977.32 0.56 43.26 10.050 602 98.24 360 2
Wyoming 3 774,355.49 0.51 45.33 8.929 612 100.00 360 2
Louisiana 4 547,760.43 0.36 50.46 9.693 627 100.00 360 2
Arkansas 4 531,542.06 0.35 38.09 10.204 609 98.22 360 2
Montana 2 481,500.00 0.32 51.18 9.841 606 97.53 360 2
Mississippi 2 461,985.40 0.30 38.71 8.365 631 94.83 360 2
Delaware 1 394,493.76 0.26 53.73 7.700 682 100.00 360 3
Iowa 2 389,879.13 0.26 41.97 9.008 617 100.00 360 1
South Dakota 2 375,266.85 0.25 44.51 9.292 637 100.00 360 2
District of Columbia 1 334,827.98 0.22 49.73 8.400 601 100.00 360 2
Kentucky 4 332,804.40 0.22 34.34 9.490 613 98.79 360 2
Utah 1 327,383.07 0.22 49.54 8.900 570 94.73 360 2
Alaska 1 214,790.99 0.14 39.88 9.575 627 100.00 360 2
North Dakota 1 160,877.45 0.11 44.90 10.725 601 100.00 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 640 $151,850,025.60 100.00 44.54 8.807 634 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
18. ZIP
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
ZIP Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
2302 4 $1,293,137.07 0.85 41.32 8.839 637 100.00 360 3
1902 2 914,177.35 0.60 45.29 8.266 631 100.00 360 2
95991 2 773,605.40 0.51 46.59 8.028 683 95.00 360 1
95993 2 744,366.53 0.49 47.15 7.677 646 97.21 360 3
92591 2 729,363.74 0.48 41.42 6.474 723 94.84 360 3
95670 2 714,574.42 0.47 48.48 7.908 664 100.00 360 2
8081 2 691,224.51 0.46 47.68 8.851 640 96.62 360 3
95252 2 679,770.02 0.45 47.95 7.845 612 100.00 360 2
2351 2 670,289.74 0.44 53.56 8.515 601 97.80 360 2
48188 2 668,453.27 0.44 53.57 8.682 612 97.26 360 2
Other 618 143,971,063.55 94.81 44.42 8.842 634 97.69 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 640 $151,850,025.60 100.00 44.54 8.807 634 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
19. Gross Margin (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Gross Margin (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
4.001 - 4.500 1 $81,904.51 0.06 41.38 10.650 599 100.00 360 3
4.501 - 5.000 2 311,999.50 0.23 51.05 9.968 594 96.20 360 3
5.001 - 5.500 2 481,352.34 0.35 53.59 9.488 610 97.49 360 2
5.501 - 6.000 37 8,420,414.55 6.15 45.50 8.671 625 98.18 360 2
6.001 - 6.500 545 126,198,342.53 92.19 44.38 8.874 632 97.67 360 2
6.501 - 7.000 5 1,006,053.37 0.73 48.59 8.936 617 99.32 360 2
7.001 - 7.500 1 59,821.32 0.04 26.58 10.950 649 100.00 360 8
7.501 - 8.000 1 116,731.52 0.09 54.45 9.375 612 95.00 360 2
8.001 - 8.500 1 212,306.12 0.16 37.91 9.875 659 94.44 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 595 $136,888,925.76 100.00 44.51 8.870 631 97.70 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
20. Initial Periodic Cap (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Initial Mortgage Principal Principal Income Interest Credit Value Maturity Age
Periodic Cap (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
3.000 595 $136,888,925.76 100.00 44.51 8.870 631 97.70 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 595 $136,888,925.76 100.00 44.51 8.870 631 97.70 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
21. Subsequent Periodic Cap (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Subsequent Mortgage Principal Principal Income Interest Credit Value Maturity Age
Periodic Cap (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
1.000 595 $136,888,925.76 100.00 44.51 8.870 631 97.70 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 595 $136,888,925.76 100.00 44.51 8.870 631 97.70 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
22. Maximum Mortgage Interest Rate (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Maximum Mortgage Mortgage Principal Principal Income Interest Credit Value Maturity Age
Interest Rate (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
10.001 - 10.500 1 $397,735.94 0.29 43.37 7.500 655 100.00 360 2
11.501 - 12.000 1 227,500.00 0.17 46.64 5.750 610 100.00 360 3
12.001 - 12.500 7 2,017,684.58 1.47 48.40 7.331 652 95.89 360 2
12.501 - 13.000 14 4,916,414.36 3.59 48.76 6.799 637 96.79 360 2
13.001 - 13.500 24 7,455,649.22 5.45 48.14 7.330 638 97.02 360 2
13.501 - 14.000 52 15,985,173.58 11.68 45.26 7.833 637 97.40 360 2
14.001 - 14.500 69 22,474,738.97 16.42 45.33 8.293 634 97.46 360 2
14.501 - 15.000 86 22,689,933.27 16.58 44.40 8.797 630 97.10 360 2
15.001 - 15.500 99 23,068,458.05 16.85 45.00 9.255 631 98.09 360 2
15.501 - 16.000 105 19,823,158.54 14.48 42.21 9.801 624 97.82 360 2
16.001 - 16.500 61 9,339,081.84 6.82 43.54 10.252 620 99.03 360 2
16.501 - 17.000 56 6,493,828.45 4.74 40.08 10.721 628 99.03 360 2
17.001 - 17.500 14 1,622,366.30 1.19 39.12 11.239 629 99.27 360 2
17.501 - 18.000 3 193,803.90 0.14 38.45 11.744 646 98.26 360 2
18.001 - 18.500 3 183,398.76 0.13 37.99 12.189 645 100.00 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 595 $136,888,925.76 100.00 44.51 8.870 631 97.70 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
23. Minimum Mortgage Interest Rate (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Minimum Mortgage Mortgage Principal Principal Income Interest Credit Value Maturity Age
Interest Rate (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
5.501 - 6.000 1 $227,500.00 0.17 46.64 5.750 610 100.00 360 3
6.001 - 6.500 5 1,693,900.65 1.24 47.47 6.720 658 96.06 360 2
6.501 - 7.000 14 4,916,414.36 3.59 48.76 6.799 637 96.79 360 2
7.001 - 7.500 24 7,765,423.68 5.67 48.06 7.308 639 97.14 360 2
7.501 - 8.000 50 15,553,734.44 11.36 45.12 7.814 637 97.44 360 2
8.001 - 8.500 69 22,474,738.97 16.42 45.33 8.293 634 97.46 360 2
8.501 - 9.000 86 22,689,933.27 16.58 44.40 8.797 630 97.10 360 2
9.001 - 9.500 102 23,743,740.59 17.35 45.20 9.254 631 98.01 360 2
9.501 - 10.000 105 19,823,158.54 14.48 42.21 9.801 624 97.82 360 2
10.001 - 10.500 62 9,427,043.32 6.89 43.44 10.251 620 99.04 360 2
10.501 - 11.000 57 6,573,768.98 4.80 40.18 10.722 628 99.05 360 2
11.001 - 11.500 14 1,622,366.30 1.19 39.12 11.239 629 99.27 360 2
11.501 - 12.000 3 193,803.90 0.14 38.45 11.744 646 98.26 360 2
12.001 - 12.500 3 183,398.76 0.13 37.99 12.189 645 100.00 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 595 $136,888,925.76 100.00 44.51 8.870 631 97.70 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
24. Next Rate Adjustment Date
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Next Rate Mortgage Principal Principal Income Interest Credit Value Maturity Age
Adjustment Date Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
Feb-2008 1 $59,821.32 0.04 26.58 10.950 649 100.00 360 8
May-2008 1 126,044.05 0.09 20.71 9.680 555 95.00 360 5
Jun-2008 3 369,728.90 0.27 46.78 10.060 608 97.03 360 4
Jul-2008 184 42,309,671.42 30.91 45.07 8.679 627 97.66 360 3
Aug-2008 322 72,255,745.05 52.78 43.97 9.051 632 97.74 360 2
Sep-2008 41 9,800,248.62 7.16 46.14 8.918 636 98.10 360 1
Jul-2009 4 1,033,910.27 0.76 45.70 8.605 630 98.17 360 3
Aug-2009 5 841,006.84 0.61 43.36 9.916 622 98.48 360 2
Jul-2011 13 4,027,617.81 2.94 46.55 8.414 655 97.70 360 3
Aug-2011 20 5,946,631.48 4.34 43.52 8.050 633 96.80 360 2
Jul-2021 1 118,500.00 0.09 50.20 8.800 576 94.05 360 3
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 595 $136,888,925.76 100.00 44.51 8.870 631 97.70 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
25. Debt-to-Income Ratio (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Debt-to-Income Ratio (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
0.01 - 5.00 1 $379,523.54 0.25 2.56 8.350 628 100.00 360 2
10.01 - 15.00 8 1,727,347.61 1.14 13.60 8.979 613 96.42 360 3
15.01 - 20.00 12 2,384,641.59 1.57 18.53 9.160 642 96.36 360 2
20.01 - 25.00 9 1,543,555.40 1.02 23.84 9.637 669 95.86 360 3
25.01 - 30.00 28 4,976,269.55 3.28 27.91 9.176 644 98.48 360 2
30.01 - 35.00 50 10,018,776.38 6.60 32.98 8.981 632 97.27 360 2
35.01 - 40.00 93 19,884,080.76 13.09 37.85 9.219 635 97.88 360 2
40.01 - 45.00 117 27,503,907.29 18.11 42.65 8.745 645 97.48 360 2
45.01 - 50.00 131 31,038,842.33 20.44 47.56 8.777 630 98.01 360 2
50.01 - 55.00 155 42,274,979.10 27.84 52.52 8.659 630 97.86 359 2
55.01 >= 36 10,118,102.05 6.66 55.99 8.296 629 97.20 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 640 $151,850,025.60 100.00 44.54 8.807 634 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
26. Delinquency Status
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Delinquency Status Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
0-29 640 $151,850,025.60 100.00 44.54 8.807 634 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 640 $151,850,025.60 100.00 44.54 8.807 634 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
27. Credit Grade
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Credit Grade Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
AA+ 567 131,958,862.36 86.90 44.40 8.802 637 97.75 360 2
AA 55 14,973,262.73 9.86 45.64 8.765 615 97.10 360 2
A 17 $4,593,044.92 3.02 44.34 9.073 614 98.25 360 2
B 1 324,855.59 0.21 52.36 8.880 621 100.00 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 640 $151,850,025.60 100.00 44.54 8.807 634 97.71 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Group 3 Mortgage Loan Tables
1. Mortgage Coupons (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Mortgage Coupons (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
5.501 - 6.000 6 $2,716,755.98 0.50 44.15 5.900 720 100.00 360 2
6.001 - 6.500 24 10,866,444.03 2.01 46.69 6.346 672 98.57 360 2
6.501 - 7.000 58 28,576,556.21 5.29 45.15 6.859 673 98.77 360 2
7.001 - 7.500 90 42,705,705.68 7.90 46.23 7.317 678 98.95 360 2
7.501 - 8.000 203 90,361,775.11 16.72 45.43 7.819 659 99.03 360 2
8.001 - 8.500 189 73,616,911.67 13.62 45.09 8.287 652 99.09 360 2
8.501 - 9.000 267 91,463,367.30 16.92 42.44 8.761 653 98.84 360 2
9.001 - 9.500 190 56,990,648.92 10.54 41.63 9.261 642 98.59 360 2
9.501 - 10.000 215 55,568,675.16 10.28 40.01 9.732 630 98.03 359 2
10.001 - 10.500 170 29,567,203.13 5.47 42.81 10.272 595 96.73 359 2
10.501 - 11.000 165 22,916,477.87 4.24 42.17 10.754 590 96.07 360 2
11.001 - 11.500 114 13,295,918.71 2.46 42.70 11.269 570 95.89 360 2
11.501 - 12.000 128 13,058,007.54 2.42 40.93 11.814 565 96.03 359 2
12.001 - 12.500 67 5,798,740.99 1.07 40.33 12.254 566 95.72 360 2
12.501 - 13.000 31 3,049,655.05 0.56 42.42 12.670 553 95.09 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,917 $540,552,843.35 100.00 43.46 8.776 643 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
2. Original Combined Loan-To-Value (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Original Combined Mortgage Principal Principal Income Interest Credit Value Maturity Age
Loan-To-Value (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
85.01 - 90.00 1 $179,157.18 0.03 40.54 8.800 560 90.00 360 3
90.01 - 95.00 778 168,181,616.74 31.11 42.92 9.515 607 94.81 359 2
95.01 - 100.00 1,127 369,726,751.82 68.40 43.72 8.441 659 99.98 360 2
100.01 to 103.00 11 2,465,317.61 0.46 40.82 8.670 630 101.04 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,917 $540,552,843.35 100.00 43.46 8.776 643 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
3. Original Combined Loan-To-Value with Silent Seconds (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
Original Combined of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Loan-To-Value Mortgage Principal Principal Income Interest Credit Value Maturity Age
with Silent Seconds (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
85.01 - 90.00 1 $179,157.18 0.03 40.54 8.800 560 90.00 360 3
90.01 - 95.00 772 167,537,917.89 30.99 42.91 9.509 608 94.81 359 2
95.01 - 100.00 1,133 370,370,450.67 68.52 43.73 8.445 659 99.97 360 2
100.01 to 103.00 11 2,465,317.61 0.46 40.82 8.670 630 101.04 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,917 $540,552,843.35 100.00 43.46 8.776 643 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
4. Principal Balance ($)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Principal Balance ($) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
less than 50,000.00 8 $399,714.48 0.07 34.73 11.222 605 97.73 360 2
50,000.01 - 100,000.00 307 22,549,626.93 4.17 38.96 11.294 603 96.63 358 2
100,000.01 - 150,000.00 271 34,140,297.58 6.32 40.40 10.630 588 96.34 360 2
150,000.01 - 200,000.00 214 37,197,532.84 6.88 39.40 9.848 608 97.67 360 2
200,000.01 - 250,000.00 188 42,455,977.13 7.85 42.59 9.395 622 98.29 360 2
250,000.01 - 300,000.00 186 51,680,374.52 9.56 43.36 8.999 634 98.52 360 2
300,000.01 - 350,000.00 141 45,699,777.15 8.45 45.98 8.524 649 98.94 360 2
350,000.01 - 400,000.00 109 40,758,179.46 7.54 45.17 8.322 654 99.27 358 2
400,000.01 - 450,000.00 121 51,849,575.15 9.59 44.65 8.201 652 98.78 360 2
450,000.01 - 500,000.00 103 49,224,491.39 9.11 45.55 8.020 663 98.70 360 2
500,000.01 - 550,000.00 91 47,800,788.92 8.84 44.30 8.219 660 98.55 360 2
550,000.01 - 600,000.00 69 39,766,446.77 7.36 45.84 8.028 663 98.49 360 2
600,000.01 - 650,000.00 49 30,660,416.11 5.67 44.80 8.052 659 98.86 360 2
650,000.01 - 700,000.00 20 13,645,165.08 2.52 41.00 8.390 668 98.67 360 2
700,000.01 - 750,000.00 7 5,154,588.44 0.95 40.51 8.043 671 99.31 360 2
750,000.01 - 800,000.00 13 10,199,310.08 1.89 39.28 8.226 654 98.68 360 2
800,000.01 - 850,000.00 11 9,141,350.13 1.69 41.55 8.387 665 97.43 360 2
850,000.01 - 900,000.00 4 3,523,674.58 0.65 44.39 8.403 703 100.00 360 2
900,000.01 - 950,000.00 3 2,780,748.92 0.51 46.17 7.770 622 96.61 360 2
950,000.01 - 1,000,000.00 2 1,924,807.69 0.36 30.04 8.368 663 97.48 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,917 $540,552,843.35 100.00 43.46 8.776 643 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
5. Original Term to Maturity (months)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Original Term to Mortgage Principal Principal Income Interest Credit Value Maturity Age
Maturity (months) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
180 3 $486,810.25 0.09 45.90 9.934 608 95.22 180 2
240 1 97,396.71 0.02 54.29 10.150 627 92.12 240 2
360 1,913 539,968,636.39 99.89 43.45 8.775 643 98.38 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,917 $540,552,843.35 100.00 43.46 8.776 643 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
6. Remaining Term to Maturity (months)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Remaining Term Mortgage Principal Principal Income Interest Credit Value Maturity Age
to Maturity (months) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
176 - 180 3 $486,810.25 0.09 45.90 9.934 608 95.22 180 2
236 - 240 1 97,396.71 0.02 54.29 10.150 627 92.12 240 2
351 - 355 25 4,482,591.32 0.83 43.18 9.719 598 95.88 360 5
356 - 360 1,888 535,486,045.07 99.06 43.46 8.767 643 98.40 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,917 $540,552,843.35 100.00 43.46 8.776 643 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
7. Credit Score
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Credit Score Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
801 - 825 2 $478,388.84 0.09 44.97 8.909 809 100.00 360 3
776 - 800 9 3,817,086.09 0.71 47.00 7.780 782 100.00 360 2
751 - 775 30 12,049,948.66 2.23 40.79 7.901 764 99.08 360 2
726 - 750 52 21,615,591.16 4.00 43.54 8.056 739 99.53 360 2
701 - 725 99 42,610,601.04 7.88 42.29 7.905 711 99.01 360 2
676 - 700 146 58,754,043.80 10.87 44.71 8.092 688 99.19 360 2
651 - 675 245 82,998,350.79 15.35 42.88 8.572 662 99.17 360 2
626 - 650 347 106,028,028.49 19.61 43.84 8.573 638 98.83 360 2
601 - 625 453 115,223,784.83 21.32 43.54 8.936 614 98.61 359 2
576 - 600 224 47,495,061.70 8.79 43.73 9.344 590 96.21 360 2
551 - 575 109 17,272,671.38 3.20 43.19 10.599 563 95.20 360 2
526 - 550 117 17,778,441.09 3.29 43.09 11.021 538 95.15 360 2
501 - 525 76 13,081,509.85 2.42 42.80 10.729 514 95.47 360 2
500 - 500 2 390,225.34 0.07 43.09 11.115 500 96.47 360 2
Not Available 6 959,110.29 0.18 39.43 11.188 0 95.00 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,917 $540,552,843.35 100.00 43.46 8.776 643 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
8. Property Type
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Property Type Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 1,487 $408,012,001.26 75.48 43.25 8.769 642 98.36 360 2
Planned Unit Development 235 69,535,292.71 12.86 44.79 8.799 627 98.46 360 2
2-4 Family 89 32,595,085.26 6.03 42.35 8.877 669 98.00 360 2
Condo - Low 98 28,264,069.07 5.23 44.51 8.696 654 98.75 360 2
Condo - Hi 8 2,146,395.05 0.40 42.48 8.913 695 98.77 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,917 $540,552,843.35 100.00 43.46 8.776 643 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
9. Occupancy Status
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Occupancy Status Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
Primary 1,799 $520,823,752.56 96.35 43.63 8.725 642 98.49 360 2
Investor 107 16,830,412.78 3.11 39.66 10.245 652 95.44 360 2
Secondary 11 2,898,678.01 0.54 34.27 9.477 631 94.39 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,917 $540,552,843.35 100.00 43.46 8.776 643 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
10. Documentation
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Documentation Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
Full Documentation 1,512 $373,197,144.23 69.04 44.11 8.876 624 98.14 360 2
Stated Income 391 162,569,344.30 30.07 41.98 8.550 685 98.89 360 2
Limited Documentation 9 3,481,272.71 0.64 45.63 8.725 654 99.55 360 2
Business Bank Statements 5 1,305,082.11 0.24 34.82 8.333 664 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,917 $540,552,843.35 100.00 43.46 8.776 643 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
11. Loan Purpose
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Loan Purpose Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
Purchase 1,517 $407,427,040.32 75.37 43.18 8.829 646 98.85 360 2
Refinance - Cashout 314 110,444,577.60 20.43 44.54 8.544 635 97.05 359 2
Refinance - Rate Term 86 22,681,225.43 4.20 43.09 8.962 621 96.17 359 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,917 $540,552,843.35 100.00 43.46 8.776 643 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
12. Product Type
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Product Type Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
15 YR FIXED 2 $418,936.20 0.08 45.99 9.899 610 95.71 180 2
20 YR FIXED 1 97,396.71 0.02 54.29 10.150 627 92.12 240 2
2/13 6ML 1 67,874.05 0.01 45.37 10.150 596 92.16 180 2
2/28 6ML 890 163,898,128.75 30.32 40.94 9.777 616 97.43 360 2
2/28 6ML with 5 yr IO 264 115,796,637.19 21.42 44.80 7.994 658 99.22 360 2
2/28 6ML 30/40 BALLOON 484 180,058,152.47 33.31 44.27 8.438 649 98.84 360 2
30 YR FIXED 114 25,925,541.27 4.80 43.94 9.019 656 97.28 360 3
30 YR FIXED with 5 yr IO 2 960,963.69 0.18 42.15 9.354 696 100.00 360 3
30/40 BALLOON 41 14,761,815.36 2.73 45.99 8.286 662 98.61 360 2
3/27 6ML 24 3,907,478.06 0.72 40.59 9.947 617 97.47 360 2
3/27 6ML with 5 yr IO 10 4,328,393.76 0.80 43.16 8.114 704 99.51 360 2
3/27 6ML 30/40 BALLOON 15 4,623,072.82 0.86 44.28 8.888 665 97.86 360 2
5/25 6ML 29 6,837,654.69 1.26 39.40 9.180 635 97.42 360 2
5/25 6ML with 5 yr IO 15 7,862,763.00 1.45 48.64 7.457 657 98.83 360 2
5/25 6ML 30/40 BALLOON 25 11,008,035.33 2.04 48.55 8.084 672 98.59 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,917 $540,552,843.35 100.00 43.46 8.776 643 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
13. IO Term
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
IO Term (Months) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
0 1,626 $411,604,085.71 76.15 42.99 9.027 637 98.11 360 2
60 291 128,948,757.64 23.85 44.96 7.975 660 99.21 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,917 $540,552,843.35 100.00 43.46 8.776 643 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
14. Lien Position
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Lien Position Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
1 1,917 $540,552,843.35 100.00 43.46 8.776 643 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,917 $540,552,843.35 100.00 43.46 8.776 643 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
15. Prepayment Penalty Term (Months)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Prepayment Mortgage Principal Principal Income Interest Credit Value Maturity Age
Penalty Term (Months) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
0 438 $111,045,751.23 20.54 42.60 9.401 636 97.88 360 2
12 143 59,828,920.50 11.07 42.56 8.494 673 98.57 360 2
24 1,152 315,042,442.42 58.28 43.60 8.678 637 98.53 360 2
30 5 1,219,083.23 0.23 45.59 10.402 551 96.62 360 2
36 179 53,416,645.97 9.88 45.36 8.336 659 98.29 359 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,917 $540,552,843.35 100.00 43.46 8.776 643 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
16. City
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
City Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
LOS ANGELES ,CA 12 $6,251,703.92 1.16 35.92 7.807 680 99.10 360 2
SAN JOSE ,CA 10 6,223,269.14 1.15 37.60 8.282 666 99.33 360 2
SAN DIEGO ,CA 12 6,178,670.16 1.14 46.52 7.662 652 98.06 360 2
VICTORVILLE ,CA 15 6,065,341.15 1.12 43.67 7.280 670 100.00 360 2
BROOKLYN ,NY 11 5,622,622.26 1.04 37.83 7.946 713 99.51 360 2
BRONX ,NY 10 4,853,491.84 0.90 40.54 8.335 701 97.47 360 2
LAS VEGAS ,NV 14 4,662,386.11 0.86 47.42 8.413 638 98.43 360 2
SACRAMENTO ,CA 12 4,638,010.33 0.86 47.70 8.727 663 100.00 360 3
STOCKTON ,CA 9 4,245,776.44 0.79 42.86 8.498 669 97.61 360 2
RIVERSIDE ,CA 8 4,234,654.43 0.78 45.53 8.262 629 98.90 360 2
OAKLAND ,CA 7 4,223,004.67 0.78 40.20 8.789 649 97.78 360 2
MURRIETA ,CA 7 4,126,866.34 0.76 48.51 8.661 644 97.56 360 2
FONTANA ,CA 8 4,120,035.05 0.76 41.35 8.215 692 98.74 360 2
ELK GROVE ,CA 7 3,477,813.76 0.64 42.35 8.328 664 99.52 360 2
VACAVILLE ,CA 7 3,265,576.57 0.60 48.16 7.787 652 98.16 360 3
MORENO VALLEY ,CA 8 2,796,984.07 0.52 45.37 7.663 636 100.00 360 3
HAYWARD ,CA 5 2,688,570.44 0.50 47.62 7.412 694 100.00 360 2
MIAMI ,FL 8 2,607,572.92 0.48 42.87 8.676 646 97.66 360 2
LINCOLN ,CA 5 2,566,131.94 0.47 41.57 7.999 639 99.12 360 3
ORLANDO ,FL 9 2,553,150.23 0.47 45.35 9.264 654 97.36 360 3
Other 1,733 455,151,211.58 84.20 43.54 8.891 639 98.30 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,917 $540,552,843.35 100.00 43.46 8.776 643 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
17. Geographic Distribution
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Geographic Distribution Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
California 410 $200,157,912.65 37.03 44.86 7.943 662 98.97 360 2
New York 127 48,939,271.34 9.05 42.49 8.472 671 98.53 360 2
Florida 146 39,492,330.79 7.31 44.00 8.998 639 98.20 360 2
Texas 220 31,806,017.37 5.88 41.47 10.349 583 96.79 360 2
Massachusetts 73 26,254,711.22 4.86 44.15 8.797 654 98.53 360 2
New Jersey 55 19,428,297.02 3.59 44.63 9.055 634 97.90 360 2
Colorado 43 12,509,136.57 2.31 43.10 8.374 629 99.15 360 2
Illinois 60 11,062,743.46 2.05 41.53 9.965 604 96.62 360 2
Georgia 61 10,522,212.50 1.95 42.09 9.966 610 97.89 360 2
Nevada 31 10,518,731.03 1.95 45.85 8.464 632 98.57 360 3
Ohio 74 10,484,405.26 1.94 40.85 9.987 611 97.67 360 2
Pennsylvania 52 9,193,443.92 1.70 41.77 9.263 634 97.66 360 2
Washington 30 9,017,302.27 1.67 43.55 8.449 646 99.11 360 2
Virginia 35 8,834,603.53 1.63 41.63 9.065 643 98.03 360 2
Maryland 27 8,488,861.19 1.57 48.39 8.922 640 98.12 360 2
Michigan 57 7,597,971.47 1.41 41.36 10.626 603 97.08 360 2
North Carolina 45 7,413,884.64 1.37 41.71 10.454 593 97.01 359 2
Hawaii 11 6,702,635.83 1.24 41.54 7.963 670 98.61 360 2
Arizona 21 4,998,549.86 0.92 42.88 8.881 638 99.39 360 3
Louisiana 22 4,481,308.96 0.83 40.41 9.762 612 97.67 360 2
South Carolina 26 4,444,067.26 0.82 38.72 9.524 605 97.25 360 2
Missouri 23 4,015,345.45 0.74 39.16 10.421 593 96.95 360 2
Indiana 28 3,618,277.98 0.67 40.33 10.423 623 98.17 360 2
Connecticut 14 3,613,542.34 0.67 40.87 9.121 655 97.98 360 2
Rhode Island 12 3,306,309.19 0.61 44.92 9.151 630 98.32 360 2
Oregon 11 3,275,588.23 0.61 39.80 8.850 654 98.40 360 2
Idaho 10 3,098,916.86 0.57 46.62 8.837 629 99.62 360 2
Wisconsin 25 2,935,787.46 0.54 41.40 10.786 593 96.30 360 2
New Hampshire 11 2,913,495.52 0.54 39.83 8.872 643 99.38 338 2
ZIP 23 2,868,973.89 0.53 41.74 10.147 601 97.84 356 2
Alabama 27 2,722,703.41 0.50 36.22 10.575 620 97.81 360 2
Utah 11 2,581,254.81 0.48 42.70 9.028 618 98.82 360 2
Kansas 10 2,104,410.84 0.39 42.90 10.210 638 98.82 360 2
Maine 11 1,691,864.21 0.31 36.70 9.467 637 98.27 360 2
Kentucky 12 1,605,239.58 0.30 37.99 10.040 608 98.76 360 2
Oklahoma 12 1,534,870.08 0.28 37.57 9.930 635 98.01 360 3
Iowa 14 1,459,147.70 0.27 41.20 11.137 572 96.26 360 2
Minnesota 8 1,082,682.89 0.20 46.85 11.025 572 95.26 360 3
Arkansas 9 908,936.37 0.17 36.82 11.132 581 96.65 360 3
Vermont 3 584,891.24 0.11 46.89 10.874 607 97.56 360 2
District of Columbia 2 570,663.54 0.11 49.77 9.377 610 98.17 360 2
Wyoming 3 504,992.74 0.09 38.36 11.164 550 96.46 360 4
South Dakota 2 352,269.45 0.07 32.81 9.669 653 98.83 360 2
Mississippi 5 312,338.94 0.06 42.34 11.344 609 94.31 360 2
Delaware 1 239,790.38 0.04 37.26 10.080 623 100.00 360 2
Nebraska 3 233,331.13 0.04 29.97 10.815 577 95.00 360 2
Montana 1 68,820.98 0.01 26.53 12.450 536 95.00 360 3
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,917 $540,552,843.35 100.00 43.46 8.776 643 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
18. ZIP
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
ZIP Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
92392 14 $5,718,441.15 1.06 44.10 7.311 674 100.00 360 3
95687 6 3,009,808.45 0.56 48.76 7.688 652 98.01 360 2
92336 5 2,825,358.43 0.52 39.61 8.052 681 98.17 360 2
95648 5 2,566,131.94 0.47 41.57 7.999 639 99.12 360 3
92563 4 2,347,203.82 0.43 48.36 8.781 651 97.67 360 2
92407 4 1,854,920.82 0.34 45.24 7.707 696 100.00 360 3
92065 3 1,846,274.90 0.34 48.91 7.505 641 98.33 360 2
95020 3 1,832,435.84 0.34 39.97 7.720 706 100.00 360 2
94509 3 1,829,019.54 0.34 44.72 7.265 684 100.00 360 2
92562 3 1,779,662.52 0.33 48.71 8.503 635 97.41 360 2
Other 1,867 514,943,585.94 95.26 43.39 8.825 642 98.34 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,917 $540,552,843.35 100.00 43.46 8.776 643 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
19. Gross Margin (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Gross Margin (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
2.501 - 3.000 2 $129,309.78 0.03 49.88 11.735 605 95.00 360 3
3.501 - 4.000 4 389,196.31 0.08 43.66 11.156 577 95.00 360 2
4.001 - 4.500 1 83,969.46 0.02 36.41 10.300 603 95.00 360 3
4.501 - 5.000 10 1,841,414.06 0.37 42.81 10.355 590 95.95 360 2
5.001 - 5.500 6 1,474,302.96 0.30 48.29 9.572 604 96.07 360 3
5.501 - 6.000 99 26,468,690.12 5.31 43.85 8.863 645 98.44 360 2
6.001 - 6.500 1,617 464,546,661.82 93.21 43.32 8.750 642 98.46 360 2
6.501 - 7.000 8 1,703,296.40 0.34 45.42 9.937 607 98.54 360 3
7.001 - 7.500 10 1,751,349.21 0.35 39.61 9.991 622 94.86 360 4
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,757 $498,388,190.12 100.00 43.36 8.776 641 98.42 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
20. Initial Periodic Cap (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Initial Periodic Cap (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
3.000 1,757 $498,388,190.12 100.00 43.36 8.776 641 98.42 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,757 $498,388,190.12 100.00 43.36 8.776 641 98.42 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
21. Subsequent Periodic Cap (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Subsequent Mortgage Principal Principal Income Interest Credit Value Maturity Age
Periodic Cap (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
1.000 1,757 $498,388,190.12 100.00 43.36 8.776 641 98.42 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,757 $498,388,190.12 100.00 43.36 8.776 641 98.42 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
22. Maximum Mortgage Interest Rate (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Maximum Mortgage Mortgage Principal Principal Income Interest Credit Value Maturity Age
Interest Rate (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
9.501 - 10.000 1 $265,789.80 0.05 44.97 6.880 679 95.00 360 2
11.501 - 12.000 9 3,299,276.68 0.66 44.12 6.423 706 100.00 360 2
12.001 - 12.500 22 9,588,033.67 1.92 47.24 6.354 665 98.50 360 2
12.501 - 13.000 46 22,778,047.30 4.57 44.80 6.855 668 98.98 360 2
13.001 - 13.500 83 38,700,524.69 7.77 46.06 7.325 676 99.02 360 2
13.501 - 14.000 194 85,805,325.75 17.22 45.30 7.820 659 99.06 360 2
14.001 - 14.500 184 71,227,777.50 14.29 45.11 8.292 651 99.07 360 2
14.501 - 15.000 247 84,776,344.09 17.01 42.37 8.763 653 98.85 360 2
15.001 - 15.500 181 54,889,191.00 11.01 41.54 9.268 641 98.67 360 2
15.501 - 16.000 184 47,167,582.48 9.46 39.42 9.722 625 98.25 360 2
16.001 - 16.500 152 26,822,861.09 5.38 42.83 10.271 594 96.74 360 2
16.501 - 17.000 154 21,446,254.74 4.30 42.06 10.756 589 95.97 360 2
17.001 - 17.500 96 11,257,182.66 2.26 41.94 11.278 565 95.61 360 2
17.501 - 18.000 119 12,373,833.69 2.48 41.23 11.812 562 95.94 360 2
18.001 - 18.500 59 5,295,935.83 1.06 40.84 12.245 564 95.68 360 2
18.501 - 19.000 26 2,694,229.15 0.54 42.32 12.672 549 95.10 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,757 $498,388,190.12 100.00 43.36 8.776 641 98.42 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
23. Minimum Mortgage Interest Rate (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Minimum Mortgage Mortgage Principal Principal Income Interest Credit Value Maturity Age
Interest Rate (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
5.501 - 6.000 6 $2,716,755.98 0.55 44.15 5.900 720 100.00 360 2
6.001 - 6.500 21 9,487,439.59 1.90 47.21 6.324 665 98.54 360 2
6.501 - 7.000 47 23,043,837.10 4.62 44.80 6.855 668 98.94 360 2
7.001 - 7.500 82 38,523,119.23 7.73 46.05 7.311 676 99.04 360 2
7.501 - 8.000 194 85,805,325.75 17.22 45.30 7.820 659 99.06 360 2
8.001 - 8.500 183 71,124,263.62 14.27 45.11 8.288 651 99.08 360 2
8.501 - 9.000 250 85,358,864.79 17.13 42.38 8.764 653 98.85 360 2
9.001 - 9.500 181 54,928,542.32 11.02 41.57 9.264 641 98.67 360 2
9.501 - 10.000 184 47,167,582.48 9.46 39.42 9.722 625 98.25 360 2
10.001 - 10.500 153 27,000,266.55 5.42 42.85 10.271 594 96.73 360 2
10.501 - 11.000 154 21,446,254.74 4.30 42.06 10.756 589 95.97 360 2
11.001 - 11.500 97 11,360,696.54 2.28 41.96 11.276 565 95.60 360 2
11.501 - 12.000 119 12,373,833.69 2.48 41.23 11.812 562 95.94 360 2
12.001 - 12.500 60 5,357,178.59 1.07 40.75 12.246 564 95.67 360 2
12.501 - 13.000 26 2,694,229.15 0.54 42.32 12.672 549 95.10 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,757 $498,388,190.12 100.00 43.36 8.776 641 98.42 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
24. Next Rate Adjustment Date
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Next Rate Mortgage Principal Principal Income Interest Credit Value Maturity Age
Adjustment Date Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
Jan-2008 1 $77,598.93 0.02 26.92 10.300 574 95.00 360 9
Feb-2008 3 352,808.98 0.07 47.86 9.471 635 95.00 360 8
Mar-2008 1 51,150.34 0.01 41.55 10.400 586 95.00 360 7
Apr-2008 2 181,440.53 0.04 45.51 10.102 627 95.00 360 6
May-2008 16 2,976,475.97 0.60 43.64 10.269 564 95.33 360 5
Jun-2008 10 3,937,973.76 0.79 42.49 8.051 682 99.74 360 4
Jul-2008 539 158,392,567.75 31.78 43.86 8.582 642 98.73 360 3
Aug-2008 949 266,441,149.04 53.46 43.00 8.867 639 98.30 360 2
Sep-2008 117 27,204,627.16 5.46 41.55 9.393 636 98.23 360 1
Oct-2008 1 205,000.00 0.04 50.94 10.125 605 100.00 360 0
Jul-2009 17 3,628,448.55 0.73 37.47 9.112 645 98.59 360 3
Aug-2009 27 7,726,586.34 1.55 44.14 8.981 672 98.03 360 2
Sep-2009 5 1,503,909.75 0.30 48.62 8.394 665 98.94 360 1
Jun-2011 1 94,871.28 0.02 42.41 11.300 594 95.00 360 4
Jul-2011 22 8,876,454.70 1.78 45.00 8.035 655 97.83 360 3
Aug-2011 36 14,127,153.69 2.83 46.94 8.058 664 98.77 360 2
Sep-2011 10 2,609,973.35 0.52 45.88 9.260 632 97.98 360 1
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,757 $498,388,190.12 100.00 43.36 8.776 641 98.42 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
25. Debt-to-Income Ratio (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Debt-to-Income Ratio (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
5.01 - 10.00 3 $1,313,117.56 0.24 6.89 9.233 656 98.04 360 2
10.01 - 15.00 11 4,519,058.84 0.84 11.57 8.854 644 97.81 360 2
15.01 - 20.00 26 5,540,277.28 1.02 17.81 8.903 632 97.84 360 2
20.01 - 25.00 57 9,165,275.32 1.70 22.61 9.830 629 97.36 359 2
25.01 - 30.00 120 23,149,390.70 4.28 27.80 9.182 627 98.26 360 2
30.01 - 35.00 188 43,905,598.83 8.12 32.67 9.192 636 98.35 360 2
35.01 - 40.00 269 69,572,021.22 12.87 37.66 8.964 644 98.26 360 2
40.01 - 45.00 406 114,466,102.57 21.18 42.63 8.861 649 98.43 360 2
45.01 - 50.00 429 140,056,840.19 25.91 47.59 8.523 654 98.76 359 2
50.01 - 55.00 332 100,851,486.30 18.66 52.58 8.685 631 98.18 360 2
55.01 >= 76 28,013,674.54 5.18 56.28 8.164 628 97.90 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,917 $540,552,843.35 100.00 43.46 8.776 643 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
26. Delinquency Status
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Delinquency Status Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
0-29 1,917 $540,552,843.35 100.00 43.46 8.776 643 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,917 $540,552,843.35 100.00 43.46 8.776 643 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
27. Credit Grade
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Credit Grade Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
AA+ 1,583 474,803,803.56 87.84 43.41 8.590 651 98.68 360 2
AA 292 56,373,580.04 10.43 43.78 10.202 577 95.92 360 2
A 33 $8,078,301.09 1.49 44.53 9.329 602 97.52 360 2
B 6 905,980.76 0.17 44.35 11.136 607 96.98 360 2
C 3 391,177.90 0.07 36.09 12.090 621 95.00 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 1,917 $540,552,843.35 100.00 43.46 8.776 643 98.37 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total Mortgage Loan Tables
1. Mortgage Coupons (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Mortgage Coupons (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
5.501 - 6.000 7 $2,944,255.98 0.35 44.35 5.888 712 100.00 360 2
6.001 - 6.500 35 14,510,517.51 1.72 46.13 6.366 669 98.06 360 2
6.501 - 7.000 94 39,910,221.00 4.73 45.09 6.836 670 98.31 360 2
7.001 - 7.500 155 61,356,226.64 7.27 46.50 7.317 670 98.46 360 2
7.501 - 8.000 341 129,731,761.34 15.37 45.31 7.819 653 98.65 360 2
8.001 - 8.500 365 120,876,361.20 14.32 45.27 8.291 646 98.42 360 2
8.501 - 9.000 519 145,670,541.55 17.26 43.17 8.771 646 98.34 360 2
9.001 - 9.500 442 105,876,094.21 12.54 42.95 9.259 636 98.21 360 2
9.501 - 10.000 494 100,582,982.70 11.92 41.29 9.752 627 98.00 359 2
10.001 - 10.500 314 50,247,567.11 5.95 42.70 10.257 606 97.34 360 2
10.501 - 11.000 259 33,979,958.33 4.03 41.55 10.744 602 96.86 360 2
11.001 - 11.500 139 15,997,603.75 1.90 42.18 11.260 581 96.37 360 2
11.501 - 12.000 133 13,443,574.61 1.59 40.93 11.811 567 96.08 359 2
12.001 - 12.500 70 5,982,139.75 0.71 40.26 12.252 568 95.85 360 2
12.501 - 13.000 31 3,049,655.05 0.36 42.42 12.670 553 95.09 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,398 $844,159,460.73 100.00 43.77 8.788 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
2. Original Combined Loan-To-Value (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Original Combined Mortgage Principal Principal Income Interest Credit Value Maturity Age
Loan-To-Value (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
85.01 - 90.00 1 $179,157.18 0.02 40.54 8.800 560 90.00 360 3
90.01 - 95.00 1,360 298,381,579.73 35.35 43.39 9.169 615 94.75 360 2
95.01 - 100.00 2,026 543,133,406.21 64.34 43.99 8.578 653 99.97 360 2
100.01 to 103.00 11 2,465,317.61 0.29 40.82 8.670 630 101.04 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,398 $844,159,460.73 100.00 43.77 8.788 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
3. Original Combined Loan-To-Value with Silent Seconds (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
Original Combined of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Loan-To-Value Mortgage Principal Principal Income Interest Credit Value Maturity Age
with Silent Seconds (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
85.01 - 90.00 1 $179,157.18 0.02 40.54 8.800 560 90.00 360 3
90.01 - 95.00 1,353 297,566,380.43 35.25 43.39 9.165 615 94.75 360 2
95.01 - 100.00 2,033 543,948,605.51 64.44 43.99 8.582 653 99.97 360 2
100.01 to 103.00 11 2,465,317.61 0.29 40.82 8.670 630 101.04 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,398 $844,159,460.73 100.00 43.77 8.788 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
4. Principal Balance ($)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Principal Balance ($) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
less than 50,000.00 9 $449,681.30 0.05 34.67 11.236 617 96.97 360 2
50,000.01 - 100,000.00 473 36,633,420.15 4.34 39.29 10.882 614 97.47 359 2
100,000.01 - 150,000.00 657 82,972,076.40 9.83 41.66 10.010 609 97.51 360 2
150,000.01 - 200,000.00 491 85,193,972.68 10.09 41.84 9.431 623 97.79 360 2
200,000.01 - 250,000.00 395 89,206,642.86 10.57 44.22 9.096 628 97.97 360 2
250,000.01 - 300,000.00 336 92,723,439.38 10.98 44.11 8.790 636 98.04 360 2
300,000.01 - 350,000.00 298 96,532,582.10 11.44 45.13 8.405 641 98.21 360 2
350,000.01 - 400,000.00 212 79,418,533.51 9.41 45.11 8.160 647 98.18 359 2
400,000.01 - 450,000.00 140 59,673,422.43 7.07 45.01 8.239 651 98.62 360 2
450,000.01 - 500,000.00 110 52,531,693.38 6.22 45.92 8.072 661 98.60 360 2
500,000.01 - 550,000.00 97 50,898,852.85 6.03 44.30 8.241 659 98.42 360 2
550,000.01 - 600,000.00 71 40,895,082.66 4.84 45.89 8.041 665 98.34 360 2
600,000.01 - 650,000.00 49 30,660,416.11 3.63 44.80 8.052 659 98.86 360 2
650,000.01 - 700,000.00 20 13,645,165.08 1.62 41.00 8.390 668 98.67 360 2
700,000.01 - 750,000.00 7 5,154,588.44 0.61 40.51 8.043 671 99.31 360 2
750,000.01 - 800,000.00 13 10,199,310.08 1.21 39.28 8.226 654 98.68 360 2
800,000.01 - 850,000.00 11 9,141,350.13 1.08 41.55 8.387 665 97.43 360 2
850,000.01 - 900,000.00 4 3,523,674.58 0.42 44.39 8.403 703 100.00 360 2
900,000.01 - 950,000.00 3 2,780,748.92 0.33 46.17 7.770 622 96.61 360 2
950,000.01 - 1,000,000.00 2 1,924,807.69 0.23 30.04 8.368 663 97.48 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,398 $844,159,460.73 100.00 43.77 8.788 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
5. Original Term to Maturity (months)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Original Term to Mortgage Principal Principal Income Interest Credit Value Maturity Age
Maturity (months) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
180 5 $709,131.64 0.08 45.91 9.864 621 96.72 180 2
240 2 465,641.44 0.06 54.31 8.944 633 98.35 240 3
360 3,391 842,984,687.65 99.86 43.76 8.787 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,398 $844,159,460.73 100.00 43.77 8.788 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
6. Remaining Term to Maturity (months)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Remaining Term Mortgage Principal Principal Income Interest Credit Value Maturity Age
to Maturity (months) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
176 - 180 5 $709,131.64 0.08 45.91 9.864 621 96.72 180 2
236 - 240 2 465,641.44 0.06 54.31 8.944 633 98.35 240 3
346 - 350 1 142,084.86 0.02 26.80 8.390 581 95.00 360 11
351 - 355 32 5,548,614.11 0.66 41.85 9.569 601 95.80 360 6
356 - 360 3,358 837,293,988.68 99.19 43.77 8.782 640 98.15 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,398 $844,159,460.73 100.00 43.77 8.788 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
7. Credit Score
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Credit Score Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
801 - 825 4 $899,059.14 0.11 46.44 9.059 810 99.05 360 3
776 - 800 12 4,617,204.61 0.55 47.19 7.980 782 99.66 360 2
751 - 775 44 14,872,394.07 1.76 40.66 7.970 763 98.60 360 2
726 - 750 87 30,590,213.83 3.62 43.28 8.133 738 98.84 360 2
701 - 725 156 55,747,067.63 6.60 42.36 7.957 712 98.69 360 2
676 - 700 237 78,816,327.57 9.34 44.56 8.209 687 98.90 360 2
651 - 675 438 127,120,250.39 15.06 43.05 8.586 662 98.85 360 2
626 - 650 698 177,869,844.78 21.07 44.07 8.668 638 98.55 360 2
601 - 625 932 203,700,454.08 24.13 44.22 8.974 613 98.47 360 2
576 - 600 419 87,242,492.00 10.33 43.91 9.126 590 96.05 360 2
551 - 575 131 21,996,769.22 2.61 43.98 10.328 563 95.19 360 2
526 - 550 138 21,985,229.58 2.60 43.80 10.713 538 95.11 360 2
501 - 525 94 17,352,818.20 2.06 43.12 10.377 513 95.33 360 2
500 - 500 2 390,225.34 0.05 43.09 11.115 500 96.47 360 2
Not Available 6 959,110.29 0.11 39.43 11.188 0 95.00 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,398 $844,159,460.73 100.00 43.77 8.788 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
8. Property Type
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Property Type Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
Single Family Residence 2,695 $644,714,832.42 76.37 43.53 8.786 639 98.16 360 2
Planned Unit Development 389 105,434,274.35 12.49 45.18 8.730 629 98.13 360 2
2-4 Family 153 51,185,788.56 6.06 43.20 8.925 665 97.45 360 2
Condo - Low 152 40,353,590.08 4.78 44.60 8.787 650 98.47 360 2
Condo - Hi 9 2,470,975.32 0.29 43.66 8.820 692 98.93 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,398 $844,159,460.73 100.00 43.77 8.788 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
9. Occupancy Status
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Occupancy Status Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
Primary 3,153 $797,857,544.30 94.52 43.91 8.730 638 98.27 360 2
Investor 211 38,564,100.37 4.57 41.80 9.926 662 95.64 360 2
Secondary 34 7,737,816.06 0.92 38.93 9.110 646 95.42 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,398 $844,159,460.73 100.00 43.77 8.788 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
10. Documentation
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Documentation Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
Full Documentation 2,780 $627,857,257.59 74.38 44.44 8.826 625 98.00 360 2
Stated Income 598 210,747,310.30 24.97 41.78 8.676 682 98.49 360 2
Limited Documentation 11 3,785,395.41 0.45 44.84 8.796 646 98.88 360 2
Business Bank Statements 9 1,769,497.43 0.21 36.98 8.679 653 98.63 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,398 $844,159,460.73 100.00 43.77 8.788 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
11. Loan Purpose
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Loan Purpose Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
Purchase 2,276 $530,923,843.91 62.89 43.47 8.935 644 98.78 360 2
Refinance - Cashout 906 260,465,849.10 30.86 44.21 8.505 633 97.09 359 2
Refinance - Rate Term 216 52,769,767.72 6.25 44.51 8.705 627 96.70 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,398 $844,159,460.73 100.00 43.77 8.788 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
12. Product Type
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Product Type Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
15 YR FIXED 3 $559,871.20 0.07 46.59 9.849 627 96.79 180 2
15/15 6ML with 5 yr IO 1 118,500.00 0.01 50.20 8.800 576 94.05 360 3
20 YR FIXED 2 465,641.44 0.06 54.31 8.944 633 98.35 240 3
2/13 6ML 2 149,260.44 0.02 43.37 9.918 599 96.43 180 3
2/28 6ML 1,629 289,360,906.14 34.28 41.70 9.585 623 97.54 360 2
2/28 6ML with 5 yr IO 384 148,505,923.69 17.59 44.92 8.047 653 98.85 360 2
2/28 6ML 30/40 Balloon 886 273,037,223.47 32.34 44.89 8.460 642 98.42 360 2
30 YR FIXED 196 44,123,715.87 5.23 43.61 8.919 659 97.76 360 3
30 YR FIXED with 5 yr IO 4 1,468,263.69 0.17 42.97 8.743 694 100.00 360 2
30/40 Balloon 78 25,948,539.00 3.07 45.79 8.177 658 98.38 360 3
3/27 6ML 30 4,648,635.72 0.55 40.20 9.934 619 97.87 360 2
3/27 6ML with 5 yr IO 14 5,152,393.76 0.61 43.35 8.124 696 99.27 360 2
3/27 6ML 30/40 Balloon 30 7,668,125.08 0.91 45.69 8.878 644 97.36 360 2
5/25 6ML 54 11,997,793.18 1.42 41.72 9.006 639 97.46 360 2
5/25 6ML with 5 yr IO 28 11,592,707.63 1.37 47.43 7.539 652 98.32 360 2
5/25 6ML 30/40 Balloon 57 19,361,960.42 2.29 46.48 8.123 661 98.15 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,398 $844,159,460.73 100.00 43.77 8.788 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
13. IO Term
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
IO Term (Months) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
0 2,967 $677,321,671.96 80.24 43.45 8.977 636 97.96 360 2
60 431 166,837,788.77 19.76 45.03 8.021 654 98.83 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,398 $844,159,460.73 100.00 43.77 8.788 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
14. Lien Position
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Lien Position Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
1 3,398 $844,159,460.73 100.00 43.77 8.788 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,398 $844,159,460.73 100.00 43.77 8.788 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
15. Prepayment Penalty Term (Months)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Prepayment Mortgage Principal Principal Income Interest Credit Value Maturity Age
Penalty Term (Months) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
0 809 $188,064,898.88 22.28 43.18 9.230 637 97.74 360 2
12 201 76,296,337.62 9.04 43.11 8.546 668 98.21 360 2
24 2,060 489,988,970.26 58.04 43.85 8.735 633 98.24 360 2
30 8 1,924,213.76 0.23 46.64 9.988 589 97.41 360 2
36 320 87,885,040.21 10.41 45.09 8.320 656 98.30 359 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,398 $844,159,460.73 100.00 43.77 8.788 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
17. City
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
City Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
SACRAMENTO ,CA 27 $9,487,782.03 1.12 46.88 8.226 656 99.13 360 2
LAS VEGAS ,NV 29 8,851,601.87 1.05 48.81 8.247 635 97.32 360 2
VICTORVILLE ,CA 17 6,865,616.98 0.81 44.23 7.278 670 100.00 360 3
SAN JOSE ,CA 12 6,840,269.02 0.81 38.18 8.255 668 99.39 360 2
BRONX ,NY 13 6,300,530.21 0.75 42.73 8.424 696 96.82 360 2
LOS ANGELES ,CA 12 6,251,703.92 0.74 35.92 7.807 680 99.10 360 2
BROOKLYN ,NY 12 6,200,928.10 0.73 39.32 7.994 717 98.74 360 2
SAN DIEGO ,CA 12 6,178,670.16 0.73 46.52 7.662 652 98.06 360 2
MIAMI ,FL 18 5,786,954.16 0.69 44.56 8.915 639 96.94 360 2
STOCKTON ,CA 13 5,479,564.35 0.65 43.81 8.281 661 97.53 360 2
RIVERSIDE ,CA 10 4,917,282.82 0.58 45.32 8.231 630 98.08 360 2
MURRIETA ,CA 8 4,533,115.23 0.54 48.55 8.579 646 97.70 360 2
OAKLAND ,CA 8 4,526,667.84 0.54 41.06 8.800 652 97.59 360 2
FONTANA ,CA 9 4,520,035.05 0.54 42.25 8.086 682 98.24 360 2
ORLANDO ,FL 16 4,040,340.94 0.48 46.43 9.083 643 97.77 360 3
APPLE VALLEY ,CA 11 3,901,207.59 0.46 47.01 8.093 643 98.17 360 3
ELK GROVE ,CA 8 3,883,399.62 0.46 42.95 8.336 663 99.57 360 2
BROCKTON ,MA 13 3,833,568.85 0.45 42.99 8.746 655 98.84 360 2
VACAVILLE ,CA 8 3,657,576.57 0.43 48.62 7.809 649 98.36 360 2
MORENO VALLEY ,CA 10 3,549,459.54 0.42 46.21 7.497 631 98.94 360 3
Other 3,132 734,553,185.88 87.02 43.72 8.876 637 98.10 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,398 $844,159,460.73 100.00 43.77 8.788 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
16. Geographic Distribution
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Geographic Distribution Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
California 525 $237,760,098.63 28.17 44.87 7.931 659 98.73 360 2
Florida 279 68,737,835.80 8.14 43.89 8.962 637 97.79 360 2
New York 174 60,629,674.87 7.18 42.73 8.511 668 98.28 360 2
Massachusetts 152 48,561,419.69 5.75 44.18 8.693 655 98.05 360 2
Texas 293 41,133,566.73 4.87 41.76 10.189 591 97.06 360 2
New Jersey 91 29,076,897.71 3.44 45.76 8.975 629 97.57 360 2
Colorado 100 24,416,517.92 2.89 44.09 8.484 631 98.58 360 2
Michigan 148 21,686,335.95 2.57 44.46 9.815 616 97.51 360 2
Ohio 156 21,036,299.39 2.49 41.54 9.736 618 98.18 360 2
Georgia 120 20,354,953.86 2.41 42.46 9.683 618 98.11 358 2
Pennsylvania 108 19,181,535.67 2.27 42.94 9.123 635 97.96 360 2
Virginia 82 18,883,818.08 2.24 43.48 8.900 638 98.26 360 2
Washington 69 18,283,840.88 2.17 44.24 8.446 639 98.46 360 2
Nevada 56 17,697,952.74 2.10 47.44 8.333 633 97.99 360 3
Maryland 60 17,286,341.26 2.05 47.38 8.522 632 98.17 360 2
Illinois 85 15,387,318.24 1.82 42.24 9.856 609 96.93 360 2
North Carolina 84 13,762,534.57 1.63 42.63 9.952 604 97.32 357 2
Arizona 45 11,266,148.74 1.33 42.47 8.653 635 98.08 360 3
Connecticut 45 10,756,253.47 1.27 43.10 9.108 650 96.93 360 2
South Carolina 56 9,703,655.76 1.15 40.52 9.175 614 97.44 360 3
Indiana 72 9,652,839.17 1.14 42.04 9.852 628 98.40 360 2
Hawaii 17 9,603,040.62 1.14 43.92 8.060 665 98.23 360 2
Wisconsin 57 8,150,616.44 0.97 42.38 9.893 613 97.42 360 2
New Hampshire 33 8,086,119.53 0.96 42.79 8.605 635 98.42 352 3
Rhode Island 28 7,732,528.41 0.92 45.32 9.121 635 97.41 360 2
Missouri 46 7,286,485.91 0.86 39.63 9.997 603 97.00 360 2
Oregon 25 6,648,395.89 0.79 42.19 8.542 652 98.19 360 2
Maine 37 6,465,124.62 0.77 41.33 8.805 656 97.54 360 2
Alabama 45 5,598,981.37 0.66 40.13 9.838 618 98.11 357 3
Idaho 22 5,261,236.08 0.62 45.56 8.838 632 98.80 360 2
Louisiana 27 5,164,820.68 0.61 41.33 9.724 613 97.85 360 2
Tennessee 42 5,115,063.31 0.61 42.99 9.938 609 97.93 358 2
Utah 24 4,990,956.92 0.59 45.14 8.958 618 98.13 360 2
Oklahoma 30 3,872,040.19 0.46 36.02 9.726 621 97.93 360 3
Minnesota 25 3,682,235.79 0.44 42.67 10.050 600 97.16 360 2
Iowa 28 3,416,363.71 0.40 42.17 10.191 605 98.01 360 2
Kansas 19 3,325,114.91 0.39 43.72 10.104 633 99.08 360 2
Vermont 16 3,275,035.82 0.39 41.45 9.406 640 97.96 360 2
Kentucky 22 2,844,712.13 0.34 38.28 9.766 613 98.89 360 2
Arkansas 16 1,786,677.52 0.21 38.58 10.526 599 97.77 360 3
Wyoming 7 1,555,750.36 0.18 41.91 9.791 597 97.96 360 2
District of Columbia 3 905,491.52 0.11 49.75 9.016 607 98.85 360 2
Mississippi 8 855,047.71 0.10 41.24 9.596 625 94.65 360 2
South Dakota 5 830,965.26 0.10 39.31 9.416 653 99.50 360 2
Delaware 3 759,186.49 0.09 47.32 8.929 655 100.00 360 3
Montana 3 550,320.98 0.07 48.09 10.167 598 97.22 360 2
North Dakota 4 481,295.94 0.06 40.20 10.046 612 96.67 360 2
Alaska 2 349,746.53 0.04 40.76 9.693 641 100.00 360 2
Nebraska 4 310,266.96 0.04 32.02 10.694 586 96.24 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,398 $844,159,460.73 100.00 43.77 8.788 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
18. ZIP
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
ZIP Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
92392 14 $5,718,441.15 0.68 44.10 7.311 674 100.00 360 3
02302 11 3,255,936.16 0.39 43.37 8.906 651 98.63 360 2
95687 6 3,009,808.45 0.36 48.76 7.688 652 98.01 360 2
92336 5 2,825,358.43 0.33 39.61 8.052 681 98.17 360 2
92563 5 2,753,452.71 0.33 48.45 8.629 653 97.89 360 2
95648 5 2,566,131.94 0.30 41.57 7.999 639 99.12 360 3
92307 7 2,347,349.78 0.28 46.10 8.198 637 98.67 360 3
92591 5 2,260,763.74 0.27 46.01 7.719 662 98.34 360 3
92504 4 2,017,124.56 0.24 49.66 8.266 603 95.31 360 2
02136 4 1,961,158.19 0.23 40.43 8.463 640 97.92 360 2
Other 3,332 815,443,935.62 96.60 43.73 8.814 639 98.12 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,398 $844,159,460.73 100.00 43.77 8.788 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
19. Gross Margin (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Gross Margin (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
2.501 - 3.000 2 $129,309.78 0.02 49.88 11.735 605 95.00 360 3
3.501 - 4.000 4 389,196.31 0.05 43.66 11.156 577 95.00 360 2
4.001 - 4.500 3 395,659.73 0.05 47.00 9.327 553 96.04 360 2
4.501 - 5.000 14 2,446,545.93 0.32 44.83 10.169 597 95.87 360 2
5.001 - 5.500 12 2,734,760.10 0.35 48.60 9.348 607 96.31 360 3
5.501 - 6.000 175 41,255,048.16 5.35 44.03 8.832 641 98.42 360 2
6.001 - 6.500 2,875 718,807,383.70 93.16 43.66 8.783 638 98.15 360 2
6.501 - 7.000 15 3,034,263.01 0.39 45.78 9.440 609 98.42 360 3
7.001 - 7.500 13 2,072,225.17 0.27 40.05 9.906 625 95.35 360 4
7.501 - 8.000 1 116,731.52 0.02 54.45 9.375 612 95.00 360 2
8.001 - 8.500 1 212,306.12 0.03 37.91 9.875 659 94.44 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,115 $771,593,429.53 100.00 43.70 8.800 638 98.14 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
20. Initial Periodic Cap (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Initial Periodic Cap (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
3.000 3,115 $771,593,429.53 100.00 43.70 8.800 638 98.14 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,115 $771,593,429.53 100.00 43.70 8.800 638 98.14 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
21. Subsequent Periodic Cap (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Subsequent Mortgage Principal Principal Income Interest Credit Value Maturity Age
Periodic Cap (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
1.000 3,115 $771,593,429.53 100.00 43.70 8.800 638 98.14 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,115 $771,593,429.53 100.00 43.70 8.800 638 98.14 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
22. Maximum Mortgage Interest Rate (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Maximum Mortgage Mortgage Principal Principal Income Interest Credit Value Maturity Age
Interest Rate (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
9.501 - 10.000 1 $265,789.80 0.03 44.97 6.880 679 95.00 360 2
10.001 - 10.500 1 397,735.94 0.05 43.37 7.500 655 100.00 360 2
10.501 - 11.000 1 289,605.56 0.04 51.19 7.950 641 100.00 360 2
11.001 - 11.500 1 179,953.84 0.02 55.18 8.380 624 100.00 360 1
11.501 - 12.000 10 3,526,776.68 0.46 44.28 6.380 700 100.00 360 2
12.001 - 12.500 32 12,187,757.55 1.58 47.37 6.576 662 97.96 360 2
12.501 - 13.000 78 32,502,657.67 4.21 45.14 6.847 665 98.47 360 2
13.001 - 13.500 138 54,255,787.08 7.03 46.45 7.327 669 98.49 360 2
13.501 - 14.000 318 120,419,806.04 15.61 45.20 7.825 653 98.67 360 2
14.001 - 14.500 345 114,039,971.78 14.78 45.25 8.293 645 98.44 360 2
14.501 - 15.000 479 133,904,324.68 17.35 43.13 8.773 645 98.31 360 2
15.001 - 15.500 413 99,797,638.97 12.93 42.79 9.261 635 98.22 360 2
15.501 - 16.000 438 87,466,694.23 11.34 40.91 9.749 623 98.02 360 2
16.001 - 16.500 286 45,767,685.92 5.93 42.75 10.256 605 97.32 360 2
16.501 - 17.000 243 31,894,625.05 4.13 41.61 10.745 601 96.80 360 2
17.001 - 17.500 120 13,874,894.99 1.80 41.50 11.265 578 96.19 360 2
17.501 - 18.000 123 12,648,160.01 1.64 41.21 11.809 564 96.00 360 2
18.001 - 18.500 62 5,479,334.59 0.71 40.75 12.243 567 95.83 360 2
18.501 - 19.000 26 2,694,229.15 0.35 42.32 12.672 549 95.10 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,115 $771,593,429.53 100.00 43.70 8.800 638 98.14 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
23. Minimum Mortgage Interest Rate (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Minimum Mortgage Mortgage Principal Principal Income Interest Credit Value Maturity Age
Interest Rate (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
5.501 - 6.000 7 $2,944,255.98 0.38 44.35 5.888 712 100.00 360 2
6.001 - 6.500 27 11,513,840.24 1.49 47.10 6.382 664 98.07 360 2
6.501 - 7.000 78 32,659,051.16 4.23 45.18 6.837 665 98.44 360 2
7.001 - 7.500 138 54,630,156.08 7.08 46.40 7.314 669 98.52 360 2
7.501 - 8.000 316 120,153,070.11 15.57 45.19 7.820 653 98.68 360 2
8.001 - 8.500 344 113,874,411.74 14.76 45.28 8.293 644 98.44 360 2
8.501 - 9.000 482 134,486,845.38 17.43 43.13 8.773 645 98.32 360 2
9.001 - 9.500 418 100,761,812.13 13.06 42.89 9.259 635 98.20 360 2
9.501 - 10.000 439 87,576,090.54 11.35 40.90 9.749 623 98.02 360 2
10.001 - 10.500 288 46,033,052.86 5.97 42.75 10.256 605 97.31 360 2
10.501 - 11.000 245 32,099,467.93 4.16 41.65 10.744 601 96.82 360 2
11.001 - 11.500 121 13,978,408.87 1.81 41.51 11.264 578 96.18 360 2
11.501 - 12.000 123 12,648,160.01 1.64 41.21 11.809 564 96.00 360 2
12.001 - 12.500 63 5,540,577.35 0.72 40.66 12.244 567 95.82 360 2
12.501 - 13.000 26 2,694,229.15 0.35 42.32 12.672 549 95.10 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,115 $771,593,429.53 100.00 43.70 8.800 638 98.14 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
24. Next Rate Adjustment Date
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Next Rate Mortgage Principal Principal Income Interest Credit Value Maturity Age
Adjustment Date Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
November-2007 1 $142,084.86 0.02 26.80 8.390 581 95.00 360 11
January-2008 1 77,598.93 0.01 26.92 10.300 574 95.00 360 9
February-2008 4 412,630.30 0.05 44.78 9.686 637 95.72 360 8
March-2008 1 51,150.34 0.01 41.55 10.400 586 95.00 360 7
April-2008 3 302,255.82 0.04 44.14 9.502 653 95.00 360 6
May-2008 19 3,418,329.78 0.44 42.41 10.158 570 95.35 360 5
June-2008 17 4,930,204.72 0.64 43.19 8.314 668 99.05 360 4
July-2008 994 252,160,572.56 32.68 44.23 8.606 638 98.34 360 3
August-2008 1,642 402,003,900.10 52.10 43.30 8.921 636 98.07 360 2
September-2008 218 47,349,586.33 6.14 42.97 9.222 637 97.97 360 1
October-2008 1 205,000.00 0.03 50.94 10.125 605 100.00 360 0
March-2009 1 83,491.02 0.01 54.99 9.600 586 95.00 360 7
July-2009 27 5,810,325.34 0.75 41.53 8.945 635 97.97 360 3
August-2009 38 9,515,191.47 1.23 43.80 9.040 664 98.09 360 2
September-2009 8 2,060,146.73 0.27 47.55 8.409 651 98.28 360 1
June-2011 1 94,871.28 0.01 42.41 11.300 594 95.00 360 4
July-2011 50 15,964,807.87 2.07 44.45 8.127 656 97.80 360 3
August-2011 77 24,207,837.58 3.14 46.07 8.136 653 98.15 360 2
September-2011 11 2,684,944.50 0.35 45.21 9.299 631 98.04 360 1
July-2021 1 118,500.00 0.02 50.20 8.800 576 94.05 360 3
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,115 $771,593,429.53 100.00 43.70 8.800 638 98.14 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
25. Debt-to-Income Ratio (%)
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Debt-to-Income Ratio (%) Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
0.01 - 5.00 1 $379,523.54 0.04 2.56 8.350 628 100.00 360 2
5.01 - 10.00 3 1,313,117.56 0.16 6.89 9.233 656 98.04 360 2
10.01 - 15.00 19 6,246,406.45 0.74 12.13 8.888 635 97.43 360 2
15.01 - 20.00 38 7,924,918.87 0.94 18.03 8.980 635 97.39 360 2
20.01 - 25.00 85 13,616,819.15 1.61 22.77 9.697 633 97.18 359 2
25.01 - 30.00 191 35,544,331.74 4.21 27.78 9.107 631 98.05 360 2
30.01 - 35.00 306 64,807,094.85 7.68 32.78 9.123 635 98.02 360 2
35.01 - 40.00 486 110,732,960.08 13.12 37.71 9.003 641 98.11 360 2
40.01 - 45.00 700 174,275,321.03 20.64 42.67 8.842 648 98.19 360 2
45.01 - 50.00 769 210,112,050.58 24.89 47.60 8.605 646 98.43 360 2
50.01 - 55.00 654 174,469,695.60 20.67 52.54 8.677 631 98.03 360 2
55.01 >= 146 44,737,221.28 5.30 56.18 8.260 626 97.61 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,398 $844,159,460.73 100.00 43.77 8.788 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
26. Delinquency Status
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Delinquency Status Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
0-29 3,398 $844,159,460.73 100.00 43.77 8.788 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,398 $844,159,460.73 100.00 43.77 8.788 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
27. Credit Grade
% of Weighted Weighted
Mortgage Average Average
Aggregate Loans by Weighted Weighted Original Original Weighted
Number Cut-off Cut-off Average Average Weighted Combined Term Average
of Date Date Debt-to- Mortgage Average Loan-to- to Loan
Mortgage Principal Principal Income Interest Credit Value Maturity Age
Credit Grade Loans Balance Balance Ratio Rate (%) Score Ratio (%) (months) (months)
- ------------------------------------------------------------------------------------------------------------------------------------
AA+ 2,890 739,538,018.04 87.61 43.70 8.666 646 98.37 360 2
AA 437 88,339,313.26 10.46 44.32 9.705 589 96.25 360 2
A 60 $14,525,424.40 1.72 43.96 9.177 604 97.48 360 2
B 8 1,365,527.13 0.16 46.38 10.418 619 97.50 360 2
C 3 391,177.90 0.05 36.09 12.090 621 95.00 360 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total: 3,398 $844,159,460.73 100.00 43.77 8.788 640 98.13 360 2
- ------------------------------------------------------------------------------------------------------------------------------------