SEC Info℠ | Home | Search | My Interests | Help | Sign In | Please Sign In | ||||||||||||||||||||
As Of Filer Filing For·On·As Docs:Size Issuer Agent 5/23/06 Argent Securities Trust 2006-W5 424B5 1:6.7M Thacher Proffitt… LLP/FA |
Document/Exhibit Description Pages Size 1: 424B5 Argent Securities Trust 2006-W5 HTML 3.50M
Unassociated Document |
$1,343,036,000
(Approximate)
Argent
Securities Trust 2006-W5
Issuing
Entity
Asset-Backed
Pass-Through Certificates,
Series
2006-W5
Argent
Securities Inc.
Depositor
Ameriquest
Mortgage Company
Seller,
Sponsor and Master Servicer
|
|
•
|
will
represent senior or mezzanine interests in the trust and will receive
distributions from the assets of the
trust;
|
•
|
will
have credit enhancement in the form of excess interest, subordination,
overcollateralization and a primary mortgage insurance policy;
and
|
Class(1)
|
Original
Certificate Principal Balance(2)
|
Price
to Public
|
Underwriting
Discount
|
Proceeds
to the Depositor(3)
|
Class(1)
|
Original
Certificate Principal Balance(2)
|
Price
to Public
|
Underwriting
Discount
|
Proceeds
to the Depositor(3)
|
Class
A-1
|
$
535,800,000
|
100.0000%
|
0.1200%
|
99.8800%
|
Class
M-4
|
$
22,693,000
|
100.0000%
|
0.1500%
|
99.8500%
|
Class
A-2A
|
$
246,000,000
|
100.0000%
|
0.1500%
|
99.8500%
|
Class
M-5
|
$
23,381,000
|
100.0000%
|
0.1500%
|
99.8500%
|
Class
A-2B
|
$
119,000,000
|
100.0000%
|
0.1500%
|
99.8500%
|
Class
M-6
|
$
19,943,000
|
100.0000%
|
0.1500%
|
99.8500%
|
Class
A-2C
|
$
145,000,000
|
100.0000%
|
0.1500%
|
99.8500%
|
Class
M-7
|
$
18,567,000
|
100.0000%
|
0.1500%
|
99.8500%
|
Class
A-2D
|
$
53,798,000
|
100.0000%
|
0.1500%
|
99.8500%
|
Class
M-8
|
$
15,817,000
|
100.0000%
|
0.1500%
|
99.8500%
|
Class
M-1
|
$
48,137,000
|
100.0000%
|
0.1500%
|
99.8500%
|
Class
M-9
|
$
11,003,000
|
100.0000%
|
0.1500%
|
99.8500%
|
Class
M-2
|
$
42,636,000
|
100.0000%
|
0.1500%
|
99.8500%
|
Class
M-10
|
$
13,754,000
|
91.2500%
|
0.1500%
|
91.1000%
|
Class
M-3
|
$
27,507,000
|
100.0000%
|
0.1500%
|
99.8500%
|
(1)
|
The
pass-through rates on such classes will be based on one-month LIBOR
plus
the applicable margin, subject to certain caps as described in this
prospectus supplement.
|
RBS
Greenwich Capital
|
Barclays
Capital
|
|
Deutsche Bank Securities
|
Merrill Lynch & Co.
|
•
|
the
accompanying prospectus, which provides general information, some
of which
may not apply to this series of certificates;
and
|
Depositor
|
Argent
Securities Inc. (the “Depositor”), a direct wholly-owned subsidiary of
Argent Mortgage Company, L.L.C. The Depositor will deposit the mortgage
loans into the trust. See “The Depositor” in the
prospectus.
|
Trustee
and Custodian
|
Deutsche
Bank National Trust Company (the “Trustee”), a national banking
association, will be the Trustee of the trust, will perform administrative
functions with respect to the certificates and will act as the custodian,
initial paying agent and certificate registrar. See “The Trustee” in this
prospectus supplement.
|
PMI
Insurer
|
Mortgage
Guaranty Insurance Corporation, a Wisconsin stock insurance corporation
(the “PMI Insurer”). Certain of the mortgage loans are covered by primary
mortgage insurance provided by the PMI Insurer, which may provide
limited
protection to the trust in the event such mortgage loans default.
See
“Description of the Certificates—The PMI Policy” in this prospectus
supplement.
|
NIMS
Insurer
|
One
or more insurance companies (together, the “NIMS Insurer”) may issue a
financial guaranty insurance policy covering certain payments to
be made
on net interest margin securities to be issued by a separate trust
and
secured by, among other things, all or a portion of the Class CE,
Class P
and/or Residual Certificates.
|
Distribution
Dates
|
Distributions
on the Certificates will be made on the 25th
day of each month, or, if such day is not a business day, on the
next
succeeding business day, beginning in June 2006 (each, a “Distribution
Date”).
|
Certificates
|
The
classes of Certificates, their pass-through rates and initial certificate
principal balances are shown or described in the table
below.
|
Class
|
Initial
Certificate
Principal
Balance(1)
|
Pass-Through
Rate
|
Margin
(2)(%) (3)(%)
|
Ratings
|
|||
Fitch
|
Moody’s
|
S&P
|
|||||
Offered
Certificates
|
|||||||
A-1
|
$
535,800,000
|
Variable(4)
|
0.150
|
0.300
|
AAA
|
Aaa
|
AAA
|
A-2A
|
$
246,000,000
|
Variable(4)
|
0.040
|
0.080
|
AAA
|
Aaa
|
AAA
|
A-2B
|
$
119,000,000
|
Variable(4)
|
0.100
|
0.200
|
AAA
|
Aaa
|
AAA
|
A-2C
|
$
145,000,000
|
Variable(4)
|
0.150
|
0.300
|
AAA
|
Aaa
|
AAA
|
A-2D
|
$
53,798,000
|
Variable(4)
|
0.240
|
0.480
|
AAA
|
Aaa
|
AAA
|
M-1
|
$
48,137,000
|
Variable(4)
|
0.290
|
0.435
|
AA+
|
Aa1
|
AA+
|
M-2
|
$
42,636,000
|
Variable(4)
|
0.310
|
0.465
|
AA+
|
Aa2
|
AA+
|
M-3
|
$
27,507,000
|
Variable(4)
|
0.330
|
0.495
|
AA
|
Aa3
|
AA
|
M-4
|
$
22,693,000
|
Variable(4)
|
0.370
|
0.555
|
AA-
|
A1
|
AA
|
M-5
|
$
23,381,000
|
Variable(4)
|
0.390
|
0.585
|
A+
|
A2
|
AA-
|
M-6
|
$
19,943,000
|
Variable(4)
|
0.480
|
0.720
|
A
|
A3
|
A+
|
M-7
|
$
18,567,000
|
Variable(4)
|
0.950
|
1.425
|
BBB+
|
Baa1
|
A
|
M-8
|
$
15,817,000
|
Variable(4)
|
1.050
|
1.575
|
BBB
|
Baa2
|
A-
|
M-9
|
$
11,003,000
|
Variable(4)
|
1.950
|
2.925
|
BBB
|
Baa3
|
BBB+
|
M-10
|
$
13,754,000
|
Variable(4)
|
2.500
|
3.750
|
BB+
|
Ba1
|
BBB
|
Non-Offered
Certificates(6)
|
|||||||
CE
|
$ 32,320,564
(5)
|
N/A
|
N/A
|
N/A
|
N/R
|
N/R
|
N/R
|
P
|
$
100
|
N/A
|
N/A
|
N/A
|
N/R
|
N/R
|
N/R
|
R
|
N/A
|
N/A
|
N/A
|
N/A
|
N/R
|
N/R
|
N/R
|
R-X
|
N/A
|
N/A
|
N/A
|
N/A
|
N/R
|
N/R
|
N/R
|
Number
of Group I Mortgage Loans:
|
4,067
|
Aggregate
Scheduled Principal Balance:
|
$670,168,258
|
Group
I Mortgage Loans with prepayment charges:
|
55.93%
|
Fixed-rate
Group I Mortgage Loans:
|
18.71%
|
Adjustable-rate
Group I Mortgage Loans:
|
81.29%
|
Interest-only
Group I Mortgage Loans:
|
9.13%
|
Stepped-rate
Group I Mortgage Loans:
|
13.99%
|
First
lien Group I Mortgage Loans:
|
99.46%
|
Second
lien Group I Mortgage Loans:
|
0.54%
|
Range
of current mortgage rates:
|
6.200%-
13.250%
|
Weighted
average current mortgage rate:
|
8.569%
|
Weighted
average gross margin of the adjustable-rate Group I Mortgage
Loans:
|
5.920%
|
Weighted
average minimum mortgage rate of the adjustable-rate Group I Mortgage
Loans:
|
8.655%
|
Weighted
average maximum mortgage rate of the adjustable-rate Group I Mortgage
Loans:
|
14.655%
|
Weighted
average next adjustment date of the adjustable-rate Group I Mortgage
Loans:
|
July
2008
|
Weighted
average remaining term to maturity:
|
358
months
|
Range
of principal balances as of the Cut-off Date:
|
$19,989
- $798,921
|
Average
principal balance as of the Cut-off Date:
|
$164,782
|
Range
of original loan-to-value ratios:
|
17.39%
- 100.00%
|
Weighted
average original loan-to-value ratio:
|
80.03%
|
Geographic
concentrations in excess of 5%:
|
California
|
14.79%
|
Illinois
|
12.12%
|
Florida
|
9.22%
|
Arizona
|
6.92%
|
Number
of Group II Mortgage Loans:
|
2,492
|
Aggregate
Scheduled Principal Balance:
|
$705,188,406
|
Group
II Mortgage Loans with prepayment charges:
|
63.69%
|
Fixed-rate
Group II Mortgage Loans:
|
7.74%
|
Adjustable-rate
Group II Mortgage Loans:
|
92.26%
|
Interest-only
Group II Mortgage Loans:
|
27.56%
|
Stepped-rate
Group II Mortgage Loans:
|
24.98%
|
First
lien Group II Mortgage Loans:
|
98.08%
|
Second
lien Group II Mortgage Loans:
|
1.92%
|
Range
of current mortgage rates:
|
6.150%-
13.250%
|
Weighted
average current mortgage rate:
|
8.326%
|
Weighted
average gross margin of the adjustable-rate Group II Mortgage
Loans:
|
5.981%
|
Weighted
average minimum mortgage rate of the adjustable-rate Group II Mortgage
Loans:
|
8.270%
|
Weighted
average maximum mortgage rate of the adjustable-rate Group II Mortgage
Loans:
|
14.270%
|
Weighted
average next adjustment date of the adjustable-rate Group II Mortgage
Loans:
|
June
2008
|
Weighted
average remaining term to maturity:
|
359
months
|
Range
of principal balances as of the Cut-off Date:
|
$19,982
- $998,584
|
Average
principal balance as of the Cut-off Date:
|
$282,981
|
Range
of original loan-to-value ratios:
|
24.60%
- 100.00%
|
Weighted
average original loan-to-value ratio:
|
82.48%
|
Geographic
concentrations in excess of 5%:
|
California
|
46.62%
|
Florida
|
11.83%
|
Arizona
|
6.23%
|
Illinois
|
5.48%
|
New
York
|
5.44%
|
· |
Economic
conditions in states with high concentrations of Mortgage Loans may
affect
the ability of mortgagors to repay their loans on time even if such
conditions do not affect real property
values.
|
· |
Declines
in the residential real estate markets in states with high concentrations
of Mortgage Loans may reduce the value of properties located in those
states, which would result in an increase in loan-to-value
ratios.
|
· |
Any
increase in the market value of properties located in states with
high
concentrations of Mortgage Loans would reduce loan-to-value ratios
and
could, therefore, make alternative sources of financing available
to
mortgagors at lower interest rates, which could result in an increased
rate of prepayment of the Mortgage
Loans.
|
· |
the
Federal Truth-in-Lending Act and Regulation Z promulgated thereunder,
which require certain disclosures to the mortgagors regarding the
terms of
the Mortgage Loans;
|
· |
the
Equal Credit Opportunity Act and Regulation B promulgated thereunder,
which prohibit discrimination on the basis of age, race, color, sex,
religion, marital status, national origin, receipt of public assistance
or
the exercise of any right under the Consumer Credit Protection Act,
in the
extension of credit;
|
· |
the
Fair Credit Reporting Act, which regulates the use and reporting
of
information related to the mortgagor’s credit
experience;
|
· |
the
Depository Institutions Deregulation and Monetary Control Act of
1980,
which preempts certain state usury laws;
and
|
· |
the
Alternative Mortgage Transaction Parity Act of 1982, which preempts
certain state lending laws which regulate alternative mortgage
transactions.
|
•
|
The
pass-through rates for the Class A and Mezzanine Certificates may
adjust
monthly while the mortgage rates on the adjustable-rate Mortgage
Loans
adjust less frequently and the mortgage rates on the fixed-rate Mortgage
Loans do not adjust at all. Furthermore, all of the adjustable-rate
Mortgage Loans will have the first adjustment to their mortgage rates
two
or three years after their origination. Consequently, the limits
on the
pass-through rates on the Class A and Mezzanine Certificates may
prevent
any increases in the pass-through rate on one or more classes of
such
certificates for extended periods in a rising interest rate
environment.
|
•
|
If
prepayments, defaults and liquidations occur more rapidly on the
applicable Mortgage Loans with relatively higher mortgage rates than
on
the Mortgage Loans with relatively lower mortgage rates, the pass-through
rate on one or more classes of Class A and Mezzanine Certificates
is more
likely to be limited.
|
•
|
The
mortgage rates on the adjustable-rate Mortgage Loans may respond
to
different economic and market factors than does one-month LIBOR.
It is
possible that the mortgage rates on the adjustable-rate Mortgage
Loans may
decline while the pass-through rates on the Class A and Mezzanine
Certificates are stable or rising. It is also possible that the mortgage
rates on the adjustable-rate Mortgage Loans and the pass-through
rates on
the Class A and Mezzanine Certificates may both decline or increase
during
the same period, but that the pass-through rates on the Class A and
Mezzanine Certificates may decline more slowly or increase more
rapidly.
|
•
|
Each
time a Mortgage Loan is prepaid in full, liquidated, written off
or
repurchased, excess interest may be reduced because the Mortgage
Loan will
no longer be outstanding and generating interest or, in the case
of a
partial prepayment, will be generating less
interest.
|
•
|
If
the rates of delinquencies, defaults or losses on the Mortgage Loans
are
higher than expected, excess interest will be reduced by the amount
necessary to compensate for any shortfalls in cash available to make
required distributions on the Class A and Mezzanine
Certificates.
|
•
|
The
adjustable-rate Mortgage Loans have mortgage rates that adjust less
frequently than, and on the basis of an index that is different from,
the
index used to determine the pass-through rates on the Class A and
Mezzanine Certificates, and the fixed-rate Mortgage Loans have mortgage
rates that do not adjust. As a result, the pass-through rates on
the
related Class A and Mezzanine Certificates may increase relative
to
mortgage rates on the applicable Mortgage Loans, requiring that a
greater
portion of the interest generated by those Mortgage Loans be applied
to
cover interest on the related Class A and Mezzanine
Certificates.
|
•
|
any
insurance policy issued by the NIMS Insurer, if any, will not cover,
and
will not benefit, in any manner whatsoever, the Class A or Mezzanine
Certificates;
|
•
|
the
interests of the NIMS Insurer, if any, may be inconsistent with,
and
adverse to, the interests of the holders of the Class A and Mezzanine
Certificates and the NIMS Insurer, if any, has no obligation or duty
to
consider the interests of the Class A and Mezzanine Certificates
in
connection with the exercise or non-exercise of such NIMS Insurer’s
rights;
|
•
|
such
NIMS Insurer’s, if any, exercise of the rights and consents set forth
above may negatively affect the Class A and Mezzanine Certificates
and the
existence of such NIMS Insurer’s, if any, rights, whether or not
exercised, may adversely affect the liquidity of the Class A and
Mezzanine
Certificates relative to other asset-backed certificates backed by
comparable mortgage loans and with comparable payment priorities
and
ratings; and
|
•
|
there
may be more than one series of notes insured by the NIMS Insurer
and the
NIMS Insurer will have the rights set forth herein so long as any
such
series of notes remain outstanding.
|
Maximum
Original Loan Amount
|
||
Number
of Units
|
Continental
United States or Puerto
Rico
|
Alaska,
Guam, Hawaii or
Virgin
Islands
|
1
|
$417,000
|
$
625,500
|
2
|
$533,850
|
$
800,775
|
3
|
$645,300
|
$
967,950
|
4
|
$801,950
|
$1,202,925
|
Year
Ended December 31,
|
|||
2004
|
2005
|
||
(Dollars
in Thousands)
|
|||
Originations
|
$21,140,156
|
$47,319,352
|
$45,935,261
|
Whole
Loan Sales and Securitizations
|
$16,461,828
|
$45,864,688
|
$43,303,444
|
|
I
|
II
|
III
|
IV
|
V
|
Mortgage
History (Last 12 Months)
|
None
|
3
x
30
|
1
x
60
|
1
x
90
|
1
x
120
or
greater
|
Bankruptcy
or Foreclosure
|
AND
none
in last 36 months
|
AND
none
in last 24 months
|
AND
none
in last 12 months
|
OR
in
last 12 months
|
Not
currently in
|
FICO
Score
|
Maximum
LTV(4)
|
||||
680
|
100%(5)
|
95%
|
90%
|
80%
|
75%
|
650
|
100%(5)
|
95%
|
90%
|
80%
|
75%
|
620
|
100%(5)
|
95%
|
90%
|
80%
|
70%
|
600
|
100%(5)
|
95%
|
90%
|
80%
|
70%
|
580
|
95%
|
95%
|
90%
|
75%
|
70%
|
550
|
90%
|
90%
|
90%
|
75%
|
70%
|
525
|
85%
|
85%
|
80%
|
75%
|
70%
|
500
|
80%
|
80%
|
80%
|
75%
|
70%
|
Maximum
Debt Ratio(6)
|
50%
|
50%
|
50%
|
50%
|
55%
|
Other
Credit(7)
|
max
$5,000 open major derogatory credit
|
max
$5,000 open major derogatory credit
|
max
$5,000 open major derogatory credit
|
max
$5,000 open major derogatory credit
|
max
$5,000 open major derogatory
credit
|
(1)
|
Loans
between $500,000 and $850,000 are available for all income documentation
types. In addition, the underwriting guidelines provide for lower
maximum
LTV’s depending on loan size; no bankruptcies in the last 36 months and
mortgaged properties that are owner occupied. Rural properties and
manufactured homes are excluded. Loans between $850,001 and $1,000,000
with a maximum LTV of 85% are available for borrowers who meet the
following conditions: (i) full and limited documentation types; (ii)
mortgaged properties that are owner occupied; (iii) a mortgage history
of
no worse than 3x30; and(iv) no bankruptcies in the last 24 months.
These
loans are not available in all
states.
|
(2)
|
Interest-only
loans are available for all income documentation types, with a maximum
LTV
ratio of 95%. Interest-only loans are available with interest-only
periods
of 2, 3 or 5 years. In addition to the program specific guidelines,
the
interest only guidelines require: a minimum FICO score of 600; a
mortgage
history of 3x30; no bankruptcies in the last 24 months; and mortgaged
properties that are owner occupied. Mortgaged properties that are
secured
by manufactured homes are excluded.
|
(3)
|
Stepped-rate
loans are available for all income documentation types. Stepped-rate
loans
require: a minimum FICO score of 550; a mortgage history of 3x30;
no
bankruptcies in the last 24 months; mortgaged properties that are
owner
occupied; no rural or 3-4 unit properties; no interest-only periods
and a
maximum loan amount of $850,000.
|
(4)
|
The
maximum LTV referenced is for mortgagors providing Full Documentation.
The
LTV may be reduced up to 5% for each of the following characteristics:
non-owner occupancy and second homes. LTV may be reduced up to 10%
for
each of the following characteristics: 3-4 unit properties, manufactured
homes, rural locations, and no mortgage or rental history.
|
(5)
|
LTV
if originated under the 100% Advantage Program (allows qualified
applicants the ability to borrow up to 100% LTV on a first-lien)
or CLTV
if originated under the 80/20 Combo Advantage Program (first lien
and
second lien mortgage loan closed simultaneously to allow applicants
to
borrow up to 100% combined CLTV). Also requires no bankruptcy or
foreclosure in the last 24 months.
|
(6)
|
Debt
ratios may be increased if the LTV ratio is decreased. LTV equal
to or
less than 75% may have a 55% debt ratio. LTV equal to or less than
100%
may have a 50% debt ratio.
|
At
December 31,
|
|||
2004
|
2005
|
||
(Dollar
Amounts in thousands)
|
|||
Aggregate
Principal Balance of Mortgage Loans Originated
by Sponsor and its affiliates
|
$41,694,619
|
$82,757,745
|
$75,459,156
|
%
of Mortgage Loans Securitized
|
70.6%
|
59.6%
|
65.7%
|
At
December 31,
|
|||
2004
|
2005
|
||
(Dollars
in Thousands)
|
|||
Total
Outstanding Principal Balance
|
|||
Number
of Loans
|
|||
DELINQUENCY
|
|||
Period
of Delinquency:
|
|||
31-60
Days
|
|||
1.41%
|
1.51%
|
2.03%
|
|
|
|
|
|
61-90
Days
|
|||
0.70%
|
0.83%
|
1.09%
|
|
0.86%
|
1.03%
|
1.28%
|
|
91
Days or More
|
|||
3.87%
|
3.69%
|
4.25%
|
|
4.96%
|
4.83%
|
5.28%
|
|
Total
Delinquencies:
|
|||
5.98%
|
6.02%
|
7.38%
|
|
7.51%
|
7.72%
|
8.91%
|
|
FORECLOSURES
PENDING(1)
|
|||
|
|
|
|
3.25%
|
3.66%
|
3.34%
|
|
NET
LOAN LOSSES for the Period
(2)
|
$105,463
|
$151,988
|
$$193,490
|
NET
LOAN LOSSES as a Percentage of Total Outstanding
Principal Balance
|
0.52%
|
0.43%
|
0.46%
|
At
December 31,
|
|||
2004
|
2005
|
||
(Dollars
in Thousands)
|
|||
Total
Outstanding Principal Balance
|
|||
Number
of Loans
|
|||
DELINQUENCY
|
|||
Period
of Delinquency:
|
|||
31-60
Days
|
|||
0.85%
|
1.26%
|
1.93%
|
|
0.92%
|
1.43%
|
2.20%
|
|
61-90
Days
|
|||
0.38%
|
0.67%
|
1.05%
|
|
0.41%
|
0.75%
|
1.24%
|
|
91
Days or More
|
|||
1.24%
|
2.49%
|
3.45%
|
|
1.30%
|
2.95%
|
4.45%
|
|
Total
Delinquencies:
|
|||
2.47%
|
4.42%
|
6.43%
|
|
2.62%
|
5.13%
|
7.90%
|
|
FORECLOSURES
PENDING(1)
|
|||
0.69%
|
1.94%
|
2.30%
|
|
0.74%
|
2.29%
|
2.92%
|
|
NET
LOAN LOSSES for the Period
(2)
|
$7,935
|
$47,076
|
$$130,511
|
NET
LOAN LOSSES as a Percentage of Total Outstanding Principal
Balance
|
0.06%
|
0.14%
|
0.37%
|
(i)
|
In
the case of the fixed-rate Mortgage Loans, 100% of the Fixed-Rate
Vector.
The “Fixed-Rate Vector” means a constant prepayment rate (“CPR”) of 2% per
annum of the then unpaid principal balance of such Mortgage Loans
in the
first month of the life of such Mortgage Loans and an additional
2% per
annum in each month thereafter until the 10th
month, and then beginning in the 10th
month and in each month thereafter during the life of such Mortgage
Loans,
a CPR of 20% per annum.
|
(ii)
|
In
the case of the adjustable-rate Mortgage Loans, 100% of the
Adjustable-Rate Vector. The “Adjustable-Rate Vector” means (a) a constant
prepayment rate (“CPR”) of 5% per annum of the then unpaid principal
balance of such Mortgage Loans in the first month of the life of
such
Mortgage Loans and an additional 2% per annum in each month thereafter
until the 12th
month, and then beginning in the 12th
month and in each month thereafter until the 23rd
month, a CPR of 27% per annum, (b) beginning in the 24th
month and in each month thereafter until the 27th
month, a CPR of 60% per annum and (c) beginning in the 28th
month and in each month thereafter during the life of such Mortgage
Loans,
a CPR of 30% per annum. However, the prepayment rate will not exceed
85%
CPR per annum in any period for any percentage of the Adjustable-Rate
Vector.
|
I
|
II
|
III
|
IV
|
V
|
VI
|
|
Fixed-rate
Mortgage Loans:
|
0%
|
50%
|
75%
|
100%
|
125%
|
150%
|
Adjustable-rate
Mortgage Loans:
|
0%
|
50%
|
75%
|
100%
|
125%
|
150%
|
Class
A-1
Prepayment
Scenario
|
||||||
Distribution
Date
|
I
|
II
|
III
|
IV
|
V
|
VI
|
Initial
Percentage
|
100%
|
100%
|
100%
|
100%
|
100%
|
100%
|
99
|
88
|
83
|
78
|
72
|
66
|
|
98
|
70
|
57
|
45
|
33
|
22
|
|
98
|
55
|
37
|
22
|
9
|
0
|
|
97
|
43
|
29
|
20
|
9
|
0
|
|
96
|
35
|
23
|
15
|
9
|
0
|
|
95
|
30
|
18
|
11
|
6
|
0
|
|
94
|
25
|
14
|
8
|
4
|
0
|
|
93
|
22
|
11
|
6
|
3
|
0
|
|
91
|
19
|
9
|
4
|
2
|
0
|
|
90
|
16
|
7
|
3
|
1
|
0
|
|
88
|
13
|
6
|
2
|
1
|
0
|
|
86
|
11
|
4
|
2
|
*
|
0
|
|
84
|
10
|
3
|
1
|
*
|
0
|
|
81
|
8
|
3
|
1
|
0
|
0
|
|
78
|
7
|
2
|
*
|
0
|
0
|
|
75
|
6
|
2
|
*
|
0
|
0
|
|
72
|
5
|
1
|
0
|
0
|
0
|
|
68
|
4
|
1
|
0
|
0
|
0
|
|
64
|
3
|
1
|
0
|
0
|
0
|
|
60
|
3
|
*
|
0
|
0
|
0
|
|
54
|
2
|
*
|
0
|
0
|
0
|
|
49
|
2
|
0
|
0
|
0
|
0
|
|
43
|
1
|
0
|
0
|
0
|
0
|
|
36
|
1
|
0
|
0
|
0
|
0
|
|
32
|
1
|
0
|
0
|
0
|
0
|
|
27
|
*
|
0
|
0
|
0
|
0
|
|
21
|
*
|
0
|
0
|
0
|
0
|
|
14
|
0
|
0
|
0
|
0
|
0
|
|
7
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
Weighted
Average Life (years) to Maturity(2)
|
20.45
|
5.34
|
3.68
|
2.73
|
2.04
|
1.44
|
Weighted
Average Life (years) to Optional Termination(2)(3)
|
20.42
|
4.97
|
3.38
|
2.49
|
1.84
|
1.44
|
Class
A-2A
Prepayment
Scenario
|
||||||
Distribution
Date
|
I
|
II
|
III
|
IV
|
V
|
VI
|
Initial
Percentage
|
100%
|
100%
|
100%
|
100%
|
100%
|
100%
|
99
|
73
|
61
|
48
|
35
|
22
|
|
97
|
31
|
0
|
0
|
0
|
0
|
|
96
|
0
|
0
|
0
|
0
|
0
|
|
95
|
0
|
0
|
0
|
0
|
0
|
|
94
|
0
|
0
|
0
|
0
|
0
|
|
92
|
0
|
0
|
0
|
0
|
0
|
|
90
|
0
|
0
|
0
|
0
|
0
|
|
88
|
0
|
0
|
0
|
0
|
0
|
|
85
|
0
|
0
|
0
|
0
|
0
|
|
82
|
0
|
0
|
0
|
0
|
0
|
|
78
|
0
|
0
|
0
|
0
|
0
|
|
74
|
0
|
0
|
0
|
0
|
0
|
|
69
|
0
|
0
|
0
|
0
|
0
|
|
63
|
0
|
0
|
0
|
0
|
0
|
|
57
|
0
|
0
|
0
|
0
|
0
|
|
50
|
0
|
0
|
0
|
0
|
0
|
|
43
|
0
|
0
|
0
|
0
|
0
|
|
34
|
0
|
0
|
0
|
0
|
0
|
|
25
|
0
|
0
|
0
|
0
|
0
|
|
14
|
0
|
0
|
0
|
0
|
0
|
|
2
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
Weighted
Average Life (years) to Maturity(2)
|
14.83
|
1.58
|
1.22
|
1.00
|
0.85
|
0.75
|
Weighted
Average Life (years) to Optional Termination(2)(3)
|
14.83
|
1.58
|
1.22
|
1.00
|
0.85
|
0.75
|
Class
A-2B
Prepayment
Scenario
|
||||||
Distribution
Date
|
I
|
II
|
III
|
IV
|
V
|
VI
|
Initial
Percentage
|
100%
|
100%
|
100%
|
100%
|
100%
|
100%
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
38
|
0
|
0
|
|
100
|
86
|
0
|
0
|
0
|
0
|
|
100
|
30
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
78
|
0
|
0
|
0
|
0
|
0
|
|
47
|
0
|
0
|
0
|
0
|
0
|
|
12
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
Weighted
Average Life (years) to Maturity(2)
|
22.93
|
3.70
|
2.44
|
2.00
|
1.77
|
1.54
|
Weighted
Average Life (years) to Optional Termination(2)(3)
|
22.93
|
3.70
|
2.44
|
2.00
|
1.77
|
1.54
|
Class
A-2C
Prepayment
Scenario
|
||||||
Distribution
Date
|
I
|
II
|
III
|
IV
|
V
|
VI
|
Initial
Percentage
|
100%
|
100%
|
100%
|
100%
|
100%
|
100%
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
100
|
82
|
38
|
|
100
|
100
|
99
|
38
|
0
|
0
|
|
100
|
100
|
72
|
36
|
0
|
0
|
|
100
|
95
|
48
|
15
|
0
|
0
|
|
100
|
75
|
29
|
0
|
0
|
0
|
|
100
|
58
|
15
|
0
|
0
|
0
|
|
100
|
44
|
3
|
0
|
0
|
0
|
|
100
|
31
|
0
|
0
|
0
|
0
|
|
100
|
21
|
0
|
0
|
0
|
0
|
|
100
|
12
|
0
|
0
|
0
|
0
|
|
100
|
4
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
91
|
0
|
0
|
0
|
0
|
0
|
|
71
|
0
|
0
|
0
|
0
|
0
|
|
47
|
0
|
0
|
0
|
0
|
0
|
|
21
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
Weighted
Average Life (years) to Maturity(2)
|
26.85
|
7.95
|
5.19
|
3.46
|
2.25
|
2.01
|
Weighted
Average Life (years) to Optional Termination(2)(3)
|
26.85
|
7.95
|
5.19
|
3.46
|
2.25
|
2.01
|
Class
A-2D
Prepayment
Scenario
|
||||||
Distribution
Date
|
I
|
II
|
III
|
IV
|
V
|
VI
|
Initial
Percentage
|
100%
|
100%
|
100%
|
100%
|
100%
|
100%
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
100
|
62
|
0
|
|
100
|
100
|
100
|
100
|
62
|
0
|
|
100
|
100
|
100
|
100
|
62
|
0
|
|
100
|
100
|
100
|
100
|
51
|
0
|
|
100
|
100
|
100
|
71
|
33
|
0
|
|
100
|
100
|
100
|
50
|
22
|
0
|
|
100
|
100
|
84
|
36
|
14
|
0
|
|
100
|
100
|
66
|
26
|
9
|
0
|
|
100
|
100
|
51
|
18
|
4
|
0
|
|
100
|
100
|
39
|
13
|
*
|
0
|
|
100
|
93
|
31
|
9
|
0
|
0
|
|
100
|
78
|
24
|
5
|
0
|
0
|
|
100
|
65
|
18
|
1
|
0
|
0
|
|
100
|
54
|
14
|
0
|
0
|
0
|
|
100
|
45
|
11
|
0
|
0
|
0
|
|
100
|
37
|
7
|
0
|
0
|
0
|
|
100
|
31
|
4
|
0
|
0
|
0
|
|
100
|
25
|
1
|
0
|
0
|
0
|
|
100
|
20
|
0
|
0
|
0
|
0
|
|
100
|
16
|
0
|
0
|
0
|
0
|
|
100
|
13
|
0
|
0
|
0
|
0
|
|
100
|
10
|
0
|
0
|
0
|
0
|
|
100
|
6
|
0
|
0
|
0
|
0
|
|
100
|
2
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
79
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
Weighted
Average Life (years) to Maturity(2)
|
29.38
|
17.51
|
12.04
|
8.80
|
5.88
|
2.42
|
Weighted
Average Life (years) to Optional Termination(2)(3)
|
28.98
|
14.04
|
9.41
|
6.80
|
4.35
|
2.42
|
Class
M-1
Prepayment
Scenario
|
||||||
Distribution
Date
|
I
|
II
|
III
|
IV
|
V
|
VI
|
Initial
Percentage
|
100%
|
100%
|
100%
|
100%
|
100%
|
100%
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
100
|
100
|
87
|
|
100
|
100
|
77
|
52
|
100
|
87
|
|
100
|
92
|
60
|
37
|
43
|
87
|
|
100
|
78
|
47
|
27
|
14
|
72
|
|
100
|
67
|
37
|
19
|
10
|
44
|
|
100
|
57
|
29
|
14
|
6
|
26
|
|
100
|
48
|
23
|
10
|
4
|
11
|
|
100
|
41
|
18
|
7
|
2
|
2
|
|
100
|
35
|
14
|
5
|
0
|
0
|
|
100
|
29
|
11
|
4
|
0
|
0
|
|
100
|
25
|
8
|
2
|
0
|
0
|
|
100
|
21
|
7
|
0
|
0
|
0
|
|
100
|
17
|
5
|
0
|
0
|
0
|
|
100
|
15
|
4
|
0
|
0
|
0
|
|
100
|
12
|
3
|
0
|
0
|
0
|
|
100
|
10
|
1
|
0
|
0
|
0
|
|
100
|
8
|
0
|
0
|
0
|
0
|
|
100
|
7
|
0
|
0
|
0
|
0
|
|
100
|
6
|
0
|
0
|
0
|
0
|
|
100
|
4
|
0
|
0
|
0
|
0
|
|
100
|
4
|
0
|
0
|
0
|
0
|
|
100
|
1
|
0
|
0
|
0
|
0
|
|
86
|
0
|
0
|
0
|
0
|
0
|
|
72
|
0
|
0
|
0
|
0
|
0
|
|
57
|
0
|
0
|
0
|
0
|
0
|
|
39
|
0
|
0
|
0
|
0
|
0
|
|
20
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
Weighted
Average Life (years) to Maturity(2)
|
27.28
|
10.31
|
6.93
|
5.43
|
5.40
|
6.74
|
Weighted
Average Life (years) to Optional Termination(2)(3)
|
27.18
|
9.41
|
6.24
|
4.89
|
4.95
|
3.99
|
Class
M-2
Prepayment
Scenario
|
||||||
Distribution
Date
|
I
|
II
|
III
|
IV
|
V
|
VI
|
Initial
Percentage
|
100%
|
100%
|
100%
|
100%
|
100%
|
100%
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
77
|
52
|
96
|
100
|
|
100
|
92
|
60
|
37
|
22
|
49
|
|
100
|
78
|
47
|
27
|
14
|
8
|
|
100
|
67
|
37
|
19
|
10
|
5
|
|
100
|
57
|
29
|
14
|
6
|
0
|
|
100
|
48
|
23
|
10
|
4
|
0
|
|
100
|
41
|
18
|
7
|
0
|
0
|
|
100
|
35
|
14
|
5
|
0
|
0
|
|
100
|
29
|
11
|
4
|
0
|
0
|
|
100
|
25
|
8
|
0
|
0
|
0
|
|
100
|
21
|
7
|
0
|
0
|
0
|
|
100
|
17
|
5
|
0
|
0
|
0
|
|
100
|
15
|
4
|
0
|
0
|
0
|
|
100
|
12
|
*
|
0
|
0
|
0
|
|
100
|
10
|
0
|
0
|
0
|
0
|
|
100
|
8
|
0
|
0
|
0
|
0
|
|
100
|
7
|
0
|
0
|
0
|
0
|
|
100
|
6
|
0
|
0
|
0
|
0
|
|
100
|
4
|
0
|
0
|
0
|
0
|
|
100
|
3
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
86
|
0
|
0
|
0
|
0
|
0
|
|
72
|
0
|
0
|
0
|
0
|
0
|
|
57
|
0
|
0
|
0
|
0
|
0
|
|
39
|
0
|
0
|
0
|
0
|
0
|
|
20
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
Weighted
Average Life (years) to Maturity(2)
|
27.28
|
10.29
|
6.90
|
5.32
|
4.90
|
5.18
|
Weighted
Average Life (years) to Optional Termination(2)(3)
|
27.18
|
9.41
|
6.24
|
4.80
|
4.49
|
4.17
|
Class
M-3
Prepayment
Scenario
|
||||||
Distribution
Date
|
I
|
II
|
III
|
IV
|
V
|
VI
|
Initial
Percentage
|
100%
|
100%
|
100%
|
100%
|
100%
|
100%
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
77
|
52
|
34
|
98
|
|
100
|
92
|
60
|
37
|
22
|
13
|
|
100
|
78
|
47
|
27
|
14
|
8
|
|
100
|
67
|
37
|
19
|
10
|
5
|
|
100
|
57
|
29
|
14
|
6
|
0
|
|
100
|
48
|
23
|
10
|
3
|
0
|
|
100
|
41
|
18
|
7
|
0
|
0
|
|
100
|
35
|
14
|
5
|
0
|
0
|
|
100
|
29
|
11
|
1
|
0
|
0
|
|
100
|
25
|
8
|
0
|
0
|
0
|
|
100
|
21
|
7
|
0
|
0
|
0
|
|
100
|
17
|
5
|
0
|
0
|
0
|
|
100
|
15
|
2
|
0
|
0
|
0
|
|
100
|
12
|
0
|
0
|
0
|
0
|
|
100
|
10
|
0
|
0
|
0
|
0
|
|
100
|
8
|
0
|
0
|
0
|
0
|
|
100
|
7
|
0
|
0
|
0
|
0
|
|
100
|
6
|
0
|
0
|
0
|
0
|
|
100
|
4
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
99
|
0
|
0
|
0
|
0
|
0
|
|
86
|
0
|
0
|
0
|
0
|
0
|
|
72
|
0
|
0
|
0
|
0
|
0
|
|
57
|
0
|
0
|
0
|
0
|
0
|
|
39
|
0
|
0
|
0
|
0
|
0
|
|
20
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
Weighted
Average Life (years) to Maturity(2)
|
27.28
|
10.26
|
6.88
|
5.25
|
4.66
|
4.53
|
Weighted
Average Life (years) to Optional Termination(2)(3)
|
27.18
|
9.41
|
6.24
|
4.75
|
4.27
|
4.15
|
Class
M-4
Prepayment
Scenario
|
||||||
Distribution
Date
|
I
|
II
|
III
|
IV
|
V
|
VI
|
Initial
Percentage
|
100%
|
100%
|
100%
|
100%
|
100%
|
100%
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
77
|
52
|
34
|
21
|
|
100
|
92
|
60
|
37
|
22
|
13
|
|
100
|
78
|
47
|
27
|
14
|
8
|
|
100
|
67
|
37
|
19
|
10
|
1
|
|
100
|
57
|
29
|
14
|
6
|
0
|
|
100
|
48
|
23
|
10
|
0
|
0
|
|
100
|
41
|
18
|
7
|
0
|
0
|
|
100
|
35
|
14
|
5
|
0
|
0
|
|
100
|
29
|
11
|
0
|
0
|
0
|
|
100
|
25
|
8
|
0
|
0
|
0
|
|
100
|
21
|
7
|
0
|
0
|
0
|
|
100
|
17
|
5
|
0
|
0
|
0
|
|
100
|
15
|
0
|
0
|
0
|
0
|
|
100
|
12
|
0
|
0
|
0
|
0
|
|
100
|
10
|
0
|
0
|
0
|
0
|
|
100
|
8
|
0
|
0
|
0
|
0
|
|
100
|
7
|
0
|
0
|
0
|
0
|
|
100
|
6
|
0
|
0
|
0
|
0
|
|
100
|
*
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
99
|
0
|
0
|
0
|
0
|
0
|
|
86
|
0
|
0
|
0
|
0
|
0
|
|
72
|
0
|
0
|
0
|
0
|
0
|
|
57
|
0
|
0
|
0
|
0
|
0
|
|
39
|
0
|
0
|
0
|
0
|
0
|
|
20
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
Weighted
Average Life (years) to Maturity(2)
|
27.28
|
10.23
|
6.85
|
5.20
|
4.52
|
4.24
|
Weighted
Average Life (years) to Optional Termination(2)(3)
|
27.18
|
9.41
|
6.24
|
4.72
|
4.15
|
3.95
|
Class
M-5
Prepayment
Scenario
|
||||||
Distribution
Date
|
I
|
II
|
III
|
IV
|
V
|
VI
|
Initial
Percentage
|
100%
|
100%
|
100%
|
100%
|
100%
|
100%
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
77
|
52
|
34
|
21
|
|
100
|
92
|
60
|
37
|
22
|
13
|
|
100
|
78
|
47
|
27
|
14
|
8
|
|
100
|
67
|
37
|
19
|
10
|
0
|
|
100
|
57
|
29
|
14
|
6
|
0
|
|
100
|
48
|
23
|
10
|
0
|
0
|
|
100
|
41
|
18
|
7
|
0
|
0
|
|
100
|
35
|
14
|
1
|
0
|
0
|
|
100
|
29
|
11
|
0
|
0
|
0
|
|
100
|
25
|
8
|
0
|
0
|
0
|
|
100
|
21
|
7
|
0
|
0
|
0
|
|
100
|
17
|
*
|
0
|
0
|
0
|
|
100
|
15
|
0
|
0
|
0
|
0
|
|
100
|
12
|
0
|
0
|
0
|
0
|
|
100
|
10
|
0
|
0
|
0
|
0
|
|
100
|
8
|
0
|
0
|
0
|
0
|
|
100
|
7
|
0
|
0
|
0
|
0
|
|
100
|
2
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
99
|
0
|
0
|
0
|
0
|
0
|
|
86
|
0
|
0
|
0
|
0
|
0
|
|
72
|
0
|
0
|
0
|
0
|
0
|
|
57
|
0
|
0
|
0
|
0
|
0
|
|
39
|
0
|
0
|
0
|
0
|
0
|
|
20
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
Weighted
Average Life (years) to Maturity(2)
|
27.28
|
10.19
|
6.81
|
5.15
|
4.41
|
4.04
|
Weighted
Average Life (years) to Optional Termination(2)(3)
|
27.18
|
9.41
|
6.24
|
4.70
|
4.06
|
3.77
|
Class
M-6
Prepayment
Scenario
|
||||||
Distribution
Date
|
I
|
II
|
III
|
IV
|
V
|
VI
|
Initial
Percentage
|
100%
|
100%
|
100%
|
100%
|
100%
|
100%
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
77
|
52
|
34
|
21
|
|
100
|
92
|
60
|
37
|
22
|
13
|
|
100
|
78
|
47
|
27
|
14
|
7
|
|
100
|
67
|
37
|
19
|
10
|
0
|
|
100
|
57
|
29
|
14
|
1
|
0
|
|
100
|
48
|
23
|
10
|
0
|
0
|
|
100
|
41
|
18
|
6
|
0
|
0
|
|
100
|
35
|
14
|
0
|
0
|
0
|
|
100
|
29
|
11
|
0
|
0
|
0
|
|
100
|
25
|
8
|
0
|
0
|
0
|
|
100
|
21
|
2
|
0
|
0
|
0
|
|
100
|
17
|
0
|
0
|
0
|
0
|
|
100
|
15
|
0
|
0
|
0
|
0
|
|
100
|
12
|
0
|
0
|
0
|
0
|
|
100
|
10
|
0
|
0
|
0
|
0
|
|
100
|
8
|
0
|
0
|
0
|
0
|
|
100
|
3
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
99
|
0
|
0
|
0
|
0
|
0
|
|
86
|
0
|
0
|
0
|
0
|
0
|
|
72
|
0
|
0
|
0
|
0
|
0
|
|
57
|
0
|
0
|
0
|
0
|
0
|
|
39
|
0
|
0
|
0
|
0
|
0
|
|
20
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
Weighted
Average Life (years) to Maturity(2)
|
27.27
|
10.13
|
6.77
|
5.10
|
4.31
|
3.88
|
Weighted
Average Life (years) to Optional Termination(2)(3)
|
27.18
|
9.41
|
6.24
|
4.69
|
3.99
|
3.63
|
Class
M-7
Prepayment
Scenario
|
||||||
Distribution
Date
|
I
|
II
|
III
|
IV
|
V
|
VI
|
Initial
Percentage
|
100%
|
100%
|
100%
|
100%
|
100%
|
100%
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
77
|
52
|
34
|
21
|
|
100
|
92
|
60
|
37
|
22
|
13
|
|
100
|
78
|
47
|
27
|
14
|
0
|
|
100
|
67
|
37
|
19
|
10
|
0
|
|
100
|
57
|
29
|
14
|
0
|
0
|
|
100
|
48
|
23
|
10
|
0
|
0
|
|
100
|
41
|
18
|
0
|
0
|
0
|
|
100
|
35
|
14
|
0
|
0
|
0
|
|
100
|
29
|
11
|
0
|
0
|
0
|
|
100
|
25
|
5
|
0
|
0
|
0
|
|
100
|
21
|
0
|
0
|
0
|
0
|
|
100
|
17
|
0
|
0
|
0
|
0
|
|
100
|
15
|
0
|
0
|
0
|
0
|
|
100
|
12
|
0
|
0
|
0
|
0
|
|
100
|
10
|
0
|
0
|
0
|
0
|
|
100
|
4
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
99
|
0
|
0
|
0
|
0
|
0
|
|
86
|
0
|
0
|
0
|
0
|
0
|
|
72
|
0
|
0
|
0
|
0
|
0
|
|
57
|
0
|
0
|
0
|
0
|
0
|
|
39
|
0
|
0
|
0
|
0
|
0
|
|
20
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
Weighted
Average Life (years) to Maturity(2)
|
27.27
|
10.05
|
6.70
|
5.03
|
4.22
|
3.74
|
Weighted
Average Life (years) to Optional Termination(2)(3)
|
27.18
|
9.41
|
6.24
|
4.67
|
3.94
|
3.52
|
Class
M-8
Prepayment
Scenario
|
||||||
Distribution
Date
|
I
|
II
|
III
|
IV
|
V
|
VI
|
Initial
Percentage
|
100%
|
100%
|
100%
|
100%
|
100%
|
100%
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
77
|
52
|
34
|
21
|
|
100
|
92
|
60
|
37
|
22
|
13
|
|
100
|
78
|
47
|
27
|
14
|
0
|
|
100
|
67
|
37
|
19
|
*
|
0
|
|
100
|
57
|
29
|
14
|
0
|
0
|
|
100
|
48
|
23
|
3
|
0
|
0
|
|
100
|
41
|
18
|
0
|
0
|
0
|
|
100
|
35
|
14
|
0
|
0
|
0
|
|
100
|
29
|
6
|
0
|
0
|
0
|
|
100
|
25
|
0
|
0
|
0
|
0
|
|
100
|
21
|
0
|
0
|
0
|
0
|
|
100
|
17
|
0
|
0
|
0
|
0
|
|
100
|
15
|
0
|
0
|
0
|
0
|
|
100
|
12
|
0
|
0
|
0
|
0
|
|
100
|
3
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
99
|
0
|
0
|
0
|
0
|
0
|
|
86
|
0
|
0
|
0
|
0
|
0
|
|
72
|
0
|
0
|
0
|
0
|
0
|
|
57
|
0
|
0
|
0
|
0
|
0
|
|
39
|
0
|
0
|
0
|
0
|
0
|
|
20
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
Weighted
Average Life (years) to Maturity(2)
|
27.26
|
9.93
|
6.61
|
4.96
|
4.12
|
3.63
|
Weighted
Average Life (years) to Optional Termination(2)(3)
|
27.18
|
9.41
|
6.24
|
4.67
|
3.90
|
3.45
|
Class
M-9
Prepayment
Scenario
|
||||||
Distribution
Date
|
I
|
II
|
III
|
IV
|
V
|
VI
|
Initial
Percentage
|
100%
|
100%
|
100%
|
100%
|
100%
|
100%
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
77
|
52
|
34
|
21
|
|
100
|
92
|
60
|
37
|
22
|
2
|
|
100
|
78
|
47
|
27
|
12
|
0
|
|
100
|
67
|
37
|
19
|
0
|
0
|
|
100
|
57
|
29
|
10
|
0
|
0
|
|
100
|
48
|
23
|
0
|
0
|
0
|
|
100
|
41
|
18
|
0
|
0
|
0
|
|
100
|
35
|
9
|
0
|
0
|
0
|
|
100
|
29
|
0
|
0
|
0
|
0
|
|
100
|
25
|
0
|
0
|
0
|
0
|
|
100
|
21
|
0
|
0
|
0
|
0
|
|
100
|
17
|
0
|
0
|
0
|
0
|
|
100
|
13
|
0
|
0
|
0
|
0
|
|
100
|
*
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
99
|
0
|
0
|
0
|
0
|
0
|
|
86
|
0
|
0
|
0
|
0
|
0
|
|
72
|
0
|
0
|
0
|
0
|
0
|
|
57
|
0
|
0
|
0
|
0
|
0
|
|
39
|
0
|
0
|
0
|
0
|
0
|
|
20
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
Weighted
Average Life (years) to Maturity(2)
|
27.24
|
9.78
|
6.50
|
4.87
|
4.04
|
3.52
|
Weighted
Average Life (years) to Optional Termination(2)(3)
|
27.18
|
9.41
|
6.24
|
4.66
|
3.88
|
3.40
|
Class
M-10
Prepayment
Scenario
|
||||||
Distribution
Date
|
I
|
II
|
III
|
IV
|
V
|
VI
|
Initial
Percentage
|
100%
|
100%
|
100%
|
100%
|
100%
|
100%
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
100
|
100
|
100
|
|
100
|
100
|
100
|
100
|
100
|
83
|
|
100
|
100
|
77
|
52
|
34
|
21
|
|
100
|
92
|
60
|
37
|
22
|
0
|
|
100
|
78
|
47
|
27
|
0
|
0
|
|
100
|
67
|
37
|
15
|
0
|
0
|
|
100
|
57
|
29
|
0
|
0
|
0
|
|
100
|
48
|
23
|
0
|
0
|
0
|
|
100
|
41
|
9
|
0
|
0
|
0
|
|
100
|
35
|
0
|
0
|
0
|
0
|
|
100
|
29
|
0
|
0
|
0
|
0
|
|
100
|
25
|
0
|
0
|
0
|
0
|
|
100
|
20
|
0
|
0
|
0
|
0
|
|
100
|
8
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
100
|
0
|
0
|
0
|
0
|
0
|
|
99
|
0
|
0
|
0
|
0
|
0
|
|
86
|
0
|
0
|
0
|
0
|
0
|
|
72
|
0
|
0
|
0
|
0
|
0
|
|
57
|
0
|
0
|
0
|
0
|
0
|
|
39
|
0
|
0
|
0
|
0
|
0
|
|
16
|
0
|
0
|
0
|
0
|
0
|
|
0
|
0
|
0
|
0
|
0
|
0
|
|
Weighted
Average Life (years) to Maturity(2)
|
27.21
|
9.54
|
6.32
|
4.71
|
3.90
|
3.39
|
Weighted
Average Life (years) to Optional Termination(2)(3)
|
27.18
|
9.41
|
6.23
|
4.64
|
3.84
|
3.35
|
Class
|
Percentage
Interest (1)
|
A
|
79.95%
|
M-1
|
3.50%
|
M-2
|
3.10%
|
M-3
|
2.00%
|
M-4
|
1.65%
|
M-5
|
1.70%
|
M-6
|
1.45%
|
M-7
|
1.35%
|
M-8
|
1.15%
|
M-9
|
0.80%
|
M-10
|
1.00%
|
CE
|
2.35%
|
Fee
or Amount Payable to:
|
Frequency
of Payment:
|
Amount
of Fee:
|
How
and When Fee Is Payable:
|
Master
Servicer
|
Monthly
|
For
each Mortgage Loan, a monthly fee paid to the Master Servicer. The
monthly
fee is calculated as one-twelfth of the Servicing Fee Rate on the
unpaid
Principal Balance of the Mortgage Loan at the end of the applicable
Due
Period.
|
Withdrawn
from amounts on deposit in the Collection Account, before distributions
to
Certificateholders.(1)
|
Trustee
|
Monthly
|
For
each Mortgage Loan, a monthly fee payable to the Trustee.
The monthly fee is calculated as one-twelfth of the Trustee Fee Rate
on
the unpaid Principal Balance of the Mortgage Loan at the beginning
of the
applicable Due Period.
|
Withdrawn
from amounts on deposit in the Distribution Account, before distributions
to Certificateholders.
|
Interest
Rate Swap Provider
|
Monthly
|
The
Interest Rate Swap Provider is entitled to a monthly payment from
amounts
on deposit in the Distribution Account equal to one-twelfth of 5.344%
on
the Base Calculation Amount (as defined herein) for such Distribution
Date
multiplied by 250. Simultaneously, the Issuing Entity is entitled
to an
amount equal to one-month LIBOR (as set forth in the Interest Rate
Swap
Agreement and calculated on an actual/360 basis) on the Base Calculation
Amount for such Distribution Date multiplied by 250.
|
Only
the positive net payment of the two obligations will be paid by the
applicable party. If a net payment is owed to the Interest Rate Swap
Provider, the Trustee will pay such amount from the Distribution
Account
before distributions are made on the Certificates.
|
PMI
Insurer
|
Monthly
|
For
each PMI Mortgage Loan, a monthly fee payable to the PMI Insurer.
The
monthly fee is calculated as one-twelfth of the PMI Insurer Fee Rate
on
the unpaid Principal Balance of the PMI Mortgage Loan at the beginning
of
the applicable Due Period.
|
Withdrawn
from amounts on deposit in the Distribution Account, before distributions
to Certificateholders.
|
Certificate
Margin
|
||
Class
|
(1)
(%)
|
(2)
(%)
|
A-1
|
0.150
|
0.300
|
A-2A
|
0.040
|
0.080
|
A-2B
|
0.100
|
0.200
|
A-2C
|
0.150
|
0.300
|
A-2D
|
0.240
|
0.480
|
M-1
|
0.290
|
0.435
|
M-2
|
0.310
|
0.465
|
M-3
|
0.330
|
0.495
|
M-4
|
0.370
|
0.555
|
M-5
|
0.390
|
0.585
|
M-6
|
0.480
|
0.720
|
M-7
|
0.950
|
1.425
|
M-8
|
1.050
|
1.575
|
M-9
|
1.950
|
2.925
|
M-10
|
2.500
|
3.750
|
•
|
“Illegality”
(which generally relates to changes in law causing it to become unlawful
for either party to perform its obligations under the Interest Rate
Swap
Agreement),
|
•
|
“Tax
Event” (which generally relates to either party to the Interest Rate Swap
Agreement receiving a payment under the Interest Rate Swap Agreement
from
which an amount has been deducted or withheld for or on account of
taxes
or paying an additional amount on account of an indemnifiable tax)
and
|
•
|
“Tax
Event Upon Merger” (which generally relates to either party to the
Interest Rate Swap Agreement receiving a payment under the Interest
Rate
Swap Agreement from which an amount has been deducted or withheld
for or
on account of taxes or paying an additional amount on account of
an
indemnifiable tax in either case as a result of a
merger),
|
Class
|
Percentage
|
Class
A Certificates
|
39.90%
|
Class
M-1 Certificates
|
48.34%
|
Class
M-2 Certificates
|
59.48%
|
Class
M-3 Certificates
|
69.87%
|
Class
M-4 Certificates
|
81.63%
|
Class
M-5 Certificates
|
98.77%
|
Class
M-6 Certificates
|
120.30%
|
Class
M-7 Certificates
|
150.94%
|
Class
M-8 Certificates
|
192.77%
|
Class
M-9 Certificates
|
238.81%
|
Class
M-10 Certificates
|
340.43%
|
Distribution
Date Occurring In
|
Percentage
|
June
2008 through May 2009
|
1.35%
for the first month plus an additional 1/12th
of
1.65% for each month thereafter
|
June
2009 through May 2010
|
3.00%
for the first month plus an additional 1/12th
of
1.70% for each month thereafter
|
June
2010 through May 2011
|
4.70%
for the first month plus an additional 1/12th
of
1.35 % for each month thereafter
|
June
2011 through May 2012
|
6.05%
for the first month plus an additional 1/12th
of
0.45% for each month thereafter
|
June
2012 and thereafter
|
6.50%
|
Months
(following the Closing Date)
|
Cumulative
Loss (%)
|
37-48
|
4.75
|
6.25
|
|
61-72
|
7.50
|
73
and thereafter
|
8.00
|
(i)
|
100%
of the then outstanding Certificate Principal Balance of the Class
A and
Mezzanine Certificates, plus
|
(ii)
|
one
month’s interest on the then outstanding Certificate Principal Balance
thereof at the then applicable Pass-Through Rate for such class,
plus
|
(iii)
|
any
previously accrued but undistributed interest thereon to which the
holders
of such Certificates are entitled, together with the amount of any
Net WAC
Rate Carryover Amounts (payable to and from the Net WAC Rate Carryover
Reserve Account or the Swap Account);
plus
|
(iv)
|
in
the case of the Mezzanine Certificates, any previously undistributed
Allocated Realized Loss Amount.
|
Underwriters
|
Original
Certificate
Principal
Balance
of
the
Class A-1
Certificates
($)
|
Original
Certificate
Principal
Balance
of
the
Class A-2A
Certificates
($)
|
Original
Certificate
Principal
Balance
of
the
Class A-2B
Certificates
($)
|
Original
Certificate
Principal
Balance
of
the
Class A-2C
Certificates
($)
|
Original
Certificate
Principal
Balance
of
the
Class A-2D
Certificates
($)
|
Original
Certificate
Principal
Balance
of
the
Class M-1
Certificates
($)
|
Original
Certificate
Principal
Balance
of
the
Class M-2
Certificates
($)
|
Greenwich
Capital Markets, Inc.
|
$241,110,000
|
$110,700,000
|
$53,550,000
|
$65,250,000
|
$24,209,100
|
$21,661,650
|
$19,186,200
|
Barclays
Capital Inc.
|
$241,110,000
|
$110,700,000
|
$53,550,000
|
$65,250,000
|
$24,209,100
|
$21,661,650
|
$19,186,200
|
Deutsche
Bank Securities Inc.
|
$26,790,000
|
$12,300,000
|
$5,950,000
|
$7,250,000
|
$2,689,900
|
$2,406,850
|
$2,131,800
|
Merrill
Lynch, Pierce, Fenner & Smith Incorporated
|
$26,790,000
|
$12,300,000
|
$5,950,000
|
$7,250,000
|
$2,689,900
|
$2,406,850
|
$2,131,800
|
Underwriters
|
Original
Certificate
Principal
Balance
of
the
Class M-3
Certificates
($)
|
Original
Certificate
Principal
Balance
of
the
Class M-4
Certificates
($)
|
Original
Certificate
Principal
Balance
of
the
Class M-5
Certificates
($)
|
Original
Certificate
Principal
Balance
of
the
Class M-6
Certificates
($)
|
Original
Certificate
Principal
Balance
of
the
Class M-7
Certificates
($)
|
Original
Certificate
Principal
Balance
of
the
Class M-8
Certificates
($)
|
Original
Certificate
Principal
Balance
of
the
Class M-9
Certificates
($)
|
Original
Certificate
Principal
Balance
of
the
Class M-10
Certificates
($)
|
Greenwich
Capital Markets, Inc.
|
$12,378,150
|
$10,211,850
|
$10,521,450
|
$8,974,350
|
$8,355,150
|
$7,117,650
|
$4,951,350
|
$6,189,300
|
Barclays
Capital Inc.
|
$12,378,150
|
$10,211,850
|
$10,521,450
|
$8,974,350
|
$8,355,150
|
$7,117,650
|
$4,951,350
|
$6,189,300
|
Deutsche
Bank Securities Inc.
|
$1,375,350
|
$1,134,650
|
$1,169,050
|
$997,150
|
$928,350
|
$790,850
|
$550,150
|
$687,700
|
Merrill
Lynch, Pierce, Fenner & Smith Incorporated
|
$1,375,350
|
$1,134,650
|
$1,169,050
|
$997,150
|
$928,350
|
$790,850
|
$550,150
|
$687,700
|
Class
of Certificates
|
Selling
Concession
|
Reallowance
Discount
|
Class
A-1
|
0.0720%
|
0.0360%
|
Class
A-2A
|
0.0900%
|
0.0450%
|
Class
A-2B
|
0.0900%
|
0.0450%
|
Class
A-2C
|
0.0900%
|
0.0450%
|
Class
A-2D
|
0.0900%
|
0.0450%
|
Class
M-1
|
0.0900%
|
0.0450%
|
Class
M-2
|
0.0900%
|
0.0450%
|
Class
M-3
|
0.0900%
|
0.0450%
|
Class
M-4
|
0.0900%
|
0.0450%
|
Class
M-5
|
0.0900%
|
0.0450%
|
Class
M-6
|
0.0900%
|
0.0450%
|
Class
M-7
|
0.0900%
|
0.0450%
|
Class
M-8
|
0.0900%
|
0.0450%
|
Class
M-9
|
0.0900%
|
0.0450%
|
Class
M-10
|
0.0900%
|
0.0450%
|
Offered
Certificates
|
Fitch
|
Moody’s
|
S&P
|
A-1
|
AAA
|
Aaa
|
AAA
|
A-2A
|
AAA
|
Aaa
|
AAA
|
A-2B
|
AAA
|
Aaa
|
AAA
|
A-2C
|
AAA
|
Aaa
|
AAA
|
A-2D
|
AAA
|
Aaa
|
AAA
|
M-1
|
AA+
|
Aa1
|
AA+
|
M-2
|
AA+
|
Aa2
|
AA+
|
M-3
|
AA
|
Aa3
|
AA
|
M-4
|
AA-
|
A1
|
AA
|
M-5
|
A+
|
A2
|
AA-
|
M-6
|
A
|
A3
|
A+
|
M-7
|
BBB+
|
Baa1
|
A
|
M-8
|
BBB
|
Baa2
|
A-
|
M-9
|
BBB
|
Baa3
|
BBB+
|
M-10
|
BB+
|
Ba1
|
BBB
|
Group
|
Original
IO Term (mos.)
|
Cut-Off
Date Balance ($)
|
Mortgage
Rate (%)
|
Original
Term to Maturity (mos.)
|
Remaining
Term to Maturity (mos.)
|
Original
Amort. Term (mos.)
|
Gross
Margin (%)
|
Max.
Mort. Rate (%)
|
Min.
Mort. Rate (%)
|
Mos
to Next Rate Roll
|
Rate
Adjust. Freq. (mos.)
|
Initial
Rate Cap (%)
|
Periodic
Rate Cap (%)
|
1
|
0
|
166,429.04
|
10.17500
|
360
|
359
|
360
|
6.00000
|
16.17500
|
10.17500
|
23
|
6
|
2.00000
|
1.00000
|
1
|
0
|
451,284.32
|
9.66648
|
360
|
359
|
360
|
6.00000
|
15.66648
|
9.66648
|
23
|
6
|
2.00000
|
1.00000
|
1
|
0
|
530,187.84
|
10.47500
|
360
|
359
|
360
|
6.00000
|
16.47500
|
10.47500
|
23
|
6
|
2.00000
|
1.00000
|
1
|
0
|
3,312,369.48
|
9.22640
|
360
|
359
|
360
|
6.00000
|
15.22640
|
9.22640
|
23
|
6
|
2.00000
|
1.00000
|
1
|
0
|
126,827.73
|
8.80000
|
360
|
359
|
360
|
6.00000
|
14.80000
|
8.80000
|
23
|
6
|
2.00000
|
1.00000
|
1
|
0
|
9,886,162.46
|
9.07957
|
360
|
359
|
360
|
6.00000
|
15.07957
|
9.07957
|
23
|
6
|
2.00000
|
1.00000
|
1
|
0
|
4,445,819.25
|
9.01744
|
360
|
359
|
360
|
6.00000
|
15.01744
|
9.01744
|
23
|
6
|
2.00000
|
1.00000
|
1
|
0
|
148,963,572.20
|
8.77435
|
360
|
359
|
360
|
6.00166
|
14.77435
|
8.77435
|
23
|
6
|
2.00000
|
1.00000
|
1
|
0
|
21,250,003.22
|
8.67366
|
360
|
359
|
360
|
6.00000
|
14.67366
|
8.67366
|
23
|
6
|
2.00000
|
1.00000
|
1
|
0
|
83,943.52
|
7.99000
|
360
|
359
|
360
|
6.00000
|
13.99000
|
7.99000
|
23
|
6
|
2.00000
|
1.00000
|
1
|
0
|
233,377.18
|
8.57646
|
360
|
359
|
480
|
6.00000
|
14.57646
|
8.57646
|
23
|
6
|
2.00000
|
1.00000
|
1
|
0
|
295,929.87
|
8.65000
|
360
|
359
|
480
|
6.00000
|
14.65000
|
8.65000
|
23
|
6
|
2.00000
|
1.00000
|
1
|
0
|
85,482.27
|
9.10000
|
360
|
359
|
480
|
6.00000
|
15.10000
|
9.10000
|
23
|
6
|
2.00000
|
1.00000
|
1
|
0
|
2,789,296.19
|
8.79546
|
360
|
359
|
480
|
6.00000
|
14.79546
|
8.79546
|
23
|
6
|
2.00000
|
1.00000
|
1
|
0
|
703,826.24
|
8.56537
|
360
|
359
|
480
|
6.00000
|
14.56537
|
8.56537
|
23
|
6
|
2.00000
|
1.00000
|
1
|
0
|
32,628,291.10
|
8.06488
|
360
|
359
|
480
|
6.00000
|
14.06488
|
8.06488
|
23
|
6
|
2.00000
|
1.00000
|
1
|
0
|
5,242,954.59
|
7.48205
|
360
|
359
|
480
|
6.00000
|
13.48205
|
7.48205
|
23
|
6
|
2.00000
|
1.00000
|
1
|
0
|
11,538,649.42
|
8.57390
|
360
|
359
|
480
|
5.79502
|
14.57390
|
8.57390
|
23
|
6
|
2.00000
|
1.00000
|
1
|
0
|
1,330,287.36
|
8.71113
|
360
|
359
|
480
|
5.56170
|
14.71113
|
8.71113
|
23
|
6
|
2.00000
|
1.00000
|
1
|
24
|
248,000.00
|
7.85000
|
360
|
353
|
360
|
6.00000
|
13.85000
|
7.85000
|
17
|
6
|
2.00000
|
1.00000
|
1
|
60
|
2,475,550.00
|
7.42061
|
360
|
359
|
360
|
6.00000
|
13.42061
|
7.42061
|
23
|
6
|
2.00000
|
1.00000
|
1
|
60
|
966,000.00
|
8.25116
|
360
|
359
|
360
|
6.00000
|
14.25116
|
8.25116
|
23
|
6
|
2.00000
|
1.00000
|
1
|
60
|
20,110,025.65
|
7.51692
|
360
|
359
|
360
|
5.97990
|
13.51692
|
7.51692
|
23
|
6
|
2.00000
|
1.00000
|
1
|
60
|
8,252,980.00
|
7.65088
|
360
|
359
|
360
|
6.00000
|
13.65088
|
7.65088
|
23
|
6
|
2.00000
|
1.00000
|
1
|
60
|
5,186,879.00
|
8.57751
|
360
|
359
|
360
|
5.94464
|
14.57751
|
8.57751
|
23
|
6
|
2.00000
|
1.00000
|
1
|
60
|
2,905,950.00
|
8.36657
|
360
|
359
|
360
|
6.00000
|
14.36657
|
8.36657
|
23
|
6
|
2.00000
|
1.00000
|
1
|
0
|
209,594.41
|
6.95000
|
240
|
239
|
240
|
6.00000
|
12.95000
|
6.95000
|
23
|
6
|
2.00000
|
1.00000
|
1
|
0
|
297,938.19
|
9.32500
|
240
|
238
|
240
|
6.00000
|
15.32500
|
9.32500
|
22
|
6
|
2.00000
|
1.00000
|
1
|
0
|
65,296,328.91
|
9.36652
|
360
|
359
|
360
|
5.89744
|
15.36652
|
9.36652
|
23
|
6
|
2.00000
|
1.00000
|
1
|
0
|
16,002,098.81
|
9.58177
|
360
|
359
|
360
|
5.90965
|
15.58177
|
9.58177
|
23
|
6
|
2.00000
|
1.00000
|
1
|
0
|
70,096.88
|
9.15000
|
240
|
239
|
240
|
6.00000
|
15.15000
|
9.15000
|
35
|
6
|
2.00000
|
1.00000
|
1
|
0
|
367,625.63
|
8.92198
|
360
|
359
|
360
|
6.00000
|
14.92198
|
8.92198
|
35
|
6
|
2.00000
|
1.00000
|
1
|
0
|
80,456.93
|
9.10000
|
360
|
359
|
360
|
6.00000
|
15.10000
|
9.10000
|
35
|
6
|
2.00000
|
1.00000
|
1
|
0
|
498,531.24
|
9.12560
|
360
|
359
|
360
|
6.00000
|
15.12560
|
9.12560
|
35
|
6
|
2.00000
|
1.00000
|
1
|
0
|
1,336,563.08
|
8.68988
|
360
|
358
|
360
|
6.00000
|
14.68988
|
8.68988
|
34
|
6
|
2.00000
|
1.00000
|
1
|
0
|
207,190.17
|
8.85000
|
360
|
359
|
360
|
6.00000
|
14.85000
|
8.85000
|
35
|
6
|
2.00000
|
1.00000
|
1
|
0
|
2,019,301.82
|
9.20161
|
360
|
359
|
360
|
5.86636
|
15.20161
|
9.20161
|
35
|
6
|
2.00000
|
1.00000
|
1
|
0
|
293,781.21
|
10.01866
|
360
|
359
|
360
|
6.00000
|
16.01866
|
10.01866
|
35
|
6
|
2.00000
|
1.00000
|
1
|
0
|
23,887,751.16
|
8.72407
|
360
|
359
|
360
|
5.99533
|
14.72407
|
8.72407
|
35
|
6
|
2.00000
|
1.00000
|
1
|
0
|
3,716,093.71
|
8.65831
|
360
|
358
|
360
|
6.00000
|
14.65831
|
8.65831
|
34
|
6
|
2.00000
|
1.00000
|
1
|
0
|
94,475.19
|
8.30000
|
360
|
359
|
480
|
6.00000
|
14.30000
|
8.30000
|
35
|
6
|
2.00000
|
1.00000
|
1
|
0
|
673,825.06
|
8.37435
|
360
|
359
|
480
|
6.00000
|
14.37435
|
8.37435
|
35
|
6
|
2.00000
|
1.00000
|
1
|
0
|
350,992.33
|
7.77151
|
360
|
359
|
480
|
6.00000
|
13.77151
|
7.77151
|
35
|
6
|
2.00000
|
1.00000
|
1
|
0
|
4,066,540.96
|
7.93896
|
360
|
359
|
480
|
6.00000
|
13.93896
|
7.93896
|
35
|
6
|
2.00000
|
1.00000
|
1
|
0
|
413,634.42
|
8.77784
|
360
|
359
|
480
|
6.00000
|
14.77784
|
8.77784
|
35
|
6
|
2.00000
|
1.00000
|
1
|
0
|
16,962,179.34
|
8.23530
|
360
|
359
|
480
|
5.76438
|
14.23530
|
8.23530
|
35
|
6
|
2.00000
|
1.00000
|
1
|
0
|
2,549,567.95
|
7.96029
|
360
|
359
|
480
|
5.85567
|
13.96029
|
7.96029
|
35
|
6
|
2.00000
|
1.00000
|
1
|
60
|
68,850.00
|
10.45000
|
360
|
359
|
360
|
6.00000
|
16.45000
|
10.45000
|
35
|
6
|
2.00000
|
1.00000
|
1
|
60
|
716,000.00
|
7.09930
|
360
|
359
|
360
|
6.00000
|
13.09930
|
7.09930
|
35
|
6
|
2.00000
|
1.00000
|
1
|
60
|
86,400.00
|
8.85000
|
360
|
359
|
360
|
6.00000
|
14.85000
|
8.85000
|
35
|
6
|
2.00000
|
1.00000
|
1
|
60
|
3,525,075.23
|
7.36745
|
360
|
359
|
360
|
6.00000
|
13.36745
|
7.36745
|
35
|
6
|
2.00000
|
1.00000
|
1
|
60
|
1,191,150.00
|
7.39465
|
360
|
358
|
360
|
6.00000
|
13.39465
|
7.39465
|
34
|
6
|
2.00000
|
1.00000
|
1
|
60
|
7,386,113.00
|
7.66222
|
360
|
359
|
360
|
5.81164
|
13.66222
|
7.66222
|
35
|
6
|
2.00000
|
1.00000
|
1
|
60
|
2,822,000.00
|
7.52558
|
360
|
359
|
360
|
5.63669
|
13.52558
|
7.52558
|
35
|
6
|
2.00000
|
1.00000
|
1
|
0
|
195,635.03
|
7.25000
|
240
|
239
|
240
|
6.00000
|
13.25000
|
7.25000
|
35
|
6
|
2.00000
|
1.00000
|
1
|
0
|
90,951,114.67
|
8.64069
|
360
|
359
|
360
|
5.75000
|
14.64069
|
8.64069
|
35
|
6
|
2.00000
|
1.00000
|
1
|
0
|
14,212,771.44
|
8.74423
|
360
|
359
|
360
|
5.84237
|
14.74423
|
8.74423
|
35
|
6
|
2.00000
|
1.00000
|
1
|
0
|
311,215.59
|
9.55000
|
180
|
179
|
180
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
104,670.17
|
7.05000
|
180
|
179
|
180
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
953,569.87
|
8.39172
|
180
|
179
|
180
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
111,290.14
|
8.45000
|
180
|
179
|
180
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
64,878.22
|
7.20000
|
240
|
239
|
240
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
87,861.40
|
8.60000
|
240
|
239
|
240
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
1,211,591.78
|
7.94395
|
240
|
239
|
240
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
154,728.56
|
7.75000
|
240
|
239
|
240
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
109,927.67
|
8.10000
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
84,441.55
|
7.85000
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
714,793.56
|
8.33695
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
367,918.35
|
9.57038
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
5,611,707.82
|
7.71258
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
1,450,955.44
|
7.97164
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
672,019.65
|
9.10528
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
799,639.94
|
9.25442
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
33,970,605.53
|
8.19202
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
7,684,498.06
|
7.77142
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
2,921,279.22
|
12.66388
|
360
|
358
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
702,670.79
|
11.65060
|
360
|
358
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
1,318,175.53
|
7.61825
|
360
|
359
|
480
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
319,392.82
|
7.45000
|
360
|
359
|
480
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
229,943.46
|
8.52500
|
360
|
359
|
480
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
7,076,492.20
|
7.59280
|
360
|
359
|
480
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
1,057,111.70
|
7.13873
|
360
|
359
|
480
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
3,411,331.66
|
8.31194
|
360
|
359
|
480
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
372,498.06
|
8.03543
|
360
|
358
|
480
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
60
|
316,000.00
|
7.95000
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
60
|
2,474,350.00
|
7.36296
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
60
|
645,900.00
|
7.57298
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
60
|
1,504,352.68
|
7.50875
|
360
|
358
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
60
|
324,400.00
|
8.18644
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
873,108.45
|
7.89218
|
180
|
179
|
180
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
126,438.76
|
8.16422
|
180
|
179
|
180
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
515,715.65
|
7.70800
|
240
|
239
|
240
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
43,400,551.93
|
8.21991
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1
|
0
|
3,352,477.12
|
7.38313
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
0
|
112,194.33
|
11.30000
|
360
|
354
|
360
|
6.00000
|
17.30000
|
11.30000
|
18
|
6
|
2.00000
|
1.00000
|
2
|
0
|
2,453,256.42
|
8.95269
|
360
|
359
|
360
|
6.00000
|
14.95269
|
8.95269
|
23
|
6
|
2.00000
|
1.00000
|
2
|
0
|
13,690,941.75
|
8.78433
|
360
|
359
|
360
|
6.00000
|
14.78433
|
8.78433
|
23
|
6
|
2.00000
|
1.00000
|
2
|
0
|
1,946,467.13
|
8.50054
|
360
|
359
|
360
|
6.00000
|
14.50054
|
8.50054
|
23
|
6
|
2.00000
|
1.00000
|
2
|
0
|
110,626,731.52
|
8.38304
|
360
|
359
|
360
|
6.00000
|
14.38304
|
8.38304
|
23
|
6
|
2.00000
|
1.00000
|
2
|
0
|
21,783,088.59
|
7.92294
|
360
|
359
|
360
|
6.00000
|
13.92294
|
7.92294
|
23
|
6
|
2.00000
|
1.00000
|
2
|
0
|
203,884.15
|
9.65000
|
360
|
359
|
480
|
6.00000
|
15.65000
|
9.65000
|
23
|
6
|
2.00000
|
1.00000
|
2
|
0
|
10,666,116.48
|
8.47163
|
360
|
359
|
480
|
6.00000
|
14.47163
|
8.47163
|
23
|
6
|
2.00000
|
1.00000
|
2
|
0
|
4,364,282.82
|
8.04949
|
360
|
359
|
480
|
6.00000
|
14.04949
|
8.04949
|
23
|
6
|
2.00000
|
1.00000
|
2
|
0
|
63,726,250.84
|
8.02449
|
360
|
359
|
480
|
6.00000
|
14.02449
|
8.02449
|
23
|
6
|
2.00000
|
1.00000
|
2
|
0
|
25,449,922.37
|
7.94074
|
360
|
359
|
480
|
6.00000
|
13.94074
|
7.94074
|
23
|
6
|
2.00000
|
1.00000
|
2
|
0
|
22,111,054.01
|
8.89680
|
360
|
359
|
480
|
6.00000
|
14.89680
|
8.89680
|
23
|
6
|
2.00000
|
1.00000
|
2
|
0
|
10,399,062.22
|
8.75908
|
360
|
359
|
480
|
5.96793
|
14.75908
|
8.75908
|
23
|
6
|
2.00000
|
1.00000
|
2
|
60
|
115,050.00
|
6.55000
|
240
|
239
|
240
|
6.00000
|
12.55000
|
6.55000
|
23
|
6
|
2.00000
|
1.00000
|
2
|
60
|
7,316,006.00
|
7.80766
|
360
|
359
|
360
|
6.00000
|
13.80766
|
7.80766
|
23
|
6
|
2.00000
|
1.00000
|
2
|
60
|
7,613,590.00
|
7.93750
|
360
|
359
|
360
|
6.00000
|
13.93750
|
7.93750
|
23
|
6
|
2.00000
|
1.00000
|
2
|
60
|
70,760,364.69
|
7.56396
|
360
|
359
|
360
|
6.00820
|
13.56396
|
7.56396
|
23
|
6
|
2.00000
|
1.00000
|
2
|
60
|
42,056,676.00
|
7.56939
|
360
|
359
|
360
|
6.00000
|
13.56939
|
7.56939
|
23
|
6
|
2.00000
|
1.00000
|
2
|
60
|
18,821,522.00
|
8.51882
|
360
|
359
|
360
|
6.00000
|
14.51882
|
8.51882
|
23
|
6
|
2.00000
|
1.00000
|
2
|
60
|
12,251,805.00
|
8.26835
|
360
|
359
|
360
|
6.00000
|
14.26835
|
8.26835
|
23
|
6
|
2.00000
|
1.00000
|
2
|
0
|
47,672,190.13
|
9.15643
|
360
|
359
|
360
|
5.96139
|
15.15643
|
9.15643
|
23
|
6
|
2.00000
|
1.00000
|
2
|
0
|
18,701,902.78
|
8.72164
|
360
|
359
|
360
|
5.94283
|
14.72164
|
8.72164
|
23
|
6
|
2.00000
|
1.00000
|
2
|
0
|
554,794.01
|
9.21876
|
360
|
359
|
360
|
6.00000
|
15.21876
|
9.21876
|
35
|
6
|
2.00000
|
1.00000
|
2
|
0
|
119,646.40
|
10.40000
|
360
|
359
|
360
|
6.00000
|
16.40000
|
10.40000
|
35
|
6
|
2.00000
|
1.00000
|
2
|
0
|
223,034.35
|
7.50000
|
360
|
359
|
360
|
6.00000
|
13.50000
|
7.50000
|
35
|
6
|
2.00000
|
1.00000
|
2
|
0
|
451,319.77
|
9.67411
|
360
|
359
|
360
|
6.00000
|
15.67411
|
9.67411
|
35
|
6
|
2.00000
|
1.00000
|
2
|
0
|
297,092.62
|
9.00000
|
360
|
359
|
360
|
6.00000
|
15.00000
|
9.00000
|
35
|
6
|
2.00000
|
1.00000
|
2
|
0
|
14,071,878.81
|
8.37661
|
360
|
359
|
360
|
6.00000
|
14.37661
|
8.37661
|
35
|
6
|
2.00000
|
1.00000
|
2
|
0
|
2,379,629.45
|
8.38395
|
360
|
359
|
360
|
6.00000
|
14.38395
|
8.38395
|
35
|
6
|
2.00000
|
1.00000
|
2
|
0
|
420,577.10
|
9.32687
|
360
|
359
|
480
|
6.00000
|
15.32687
|
9.32687
|
35
|
6
|
2.00000
|
1.00000
|
2
|
0
|
447,871.29
|
7.99000
|
360
|
359
|
480
|
6.00000
|
13.99000
|
7.99000
|
35
|
6
|
2.00000
|
1.00000
|
2
|
0
|
4,543,019.81
|
7.86084
|
360
|
359
|
480
|
6.00000
|
13.86084
|
7.86084
|
35
|
6
|
2.00000
|
1.00000
|
2
|
0
|
1,445,656.45
|
8.00630
|
360
|
359
|
480
|
6.00000
|
14.00630
|
8.00630
|
35
|
6
|
2.00000
|
1.00000
|
2
|
0
|
19,321,050.53
|
8.63292
|
360
|
359
|
480
|
5.91975
|
14.63292
|
8.63292
|
35
|
6
|
2.00000
|
1.00000
|
2
|
0
|
6,208,926.42
|
8.26863
|
360
|
359
|
480
|
5.89734
|
14.26863
|
8.26863
|
35
|
6
|
2.00000
|
1.00000
|
2
|
60
|
631,120.00
|
7.31327
|
360
|
359
|
360
|
6.00000
|
13.31327
|
7.31327
|
35
|
6
|
2.00000
|
1.00000
|
2
|
60
|
620,000.00
|
6.75000
|
360
|
359
|
360
|
6.00000
|
12.75000
|
6.75000
|
35
|
6
|
2.00000
|
1.00000
|
2
|
60
|
433,000.00
|
6.99000
|
360
|
359
|
360
|
6.00000
|
12.99000
|
6.99000
|
35
|
6
|
2.00000
|
1.00000
|
2
|
60
|
350,400.00
|
7.25000
|
360
|
359
|
360
|
6.00000
|
13.25000
|
7.25000
|
35
|
6
|
2.00000
|
1.00000
|
2
|
60
|
6,380,100.00
|
7.30189
|
360
|
359
|
360
|
6.00000
|
13.30189
|
7.30189
|
35
|
6
|
2.00000
|
1.00000
|
2
|
60
|
3,443,873.00
|
7.41612
|
360
|
359
|
360
|
6.00000
|
13.41612
|
7.41612
|
35
|
6
|
2.00000
|
1.00000
|
2
|
60
|
12,745,889.00
|
8.86208
|
360
|
359
|
360
|
5.94228
|
14.86208
|
8.86208
|
35
|
6
|
2.00000
|
1.00000
|
2
|
60
|
7,628,142.00
|
8.17447
|
360
|
359
|
360
|
5.90168
|
14.17447
|
8.17447
|
35
|
6
|
2.00000
|
1.00000
|
2
|
0
|
43,942,616.01
|
8.64772
|
360
|
359
|
360
|
5.90286
|
14.64772
|
8.64772
|
35
|
6
|
2.00000
|
1.00000
|
2
|
0
|
11,101,295.53
|
8.19033
|
360
|
359
|
360
|
5.85111
|
14.19033
|
8.19033
|
35
|
6
|
2.00000
|
1.00000
|
2
|
0
|
67,317.56
|
8.75000
|
180
|
179
|
180
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
0
|
575,854.94
|
8.38091
|
180
|
179
|
180
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
0
|
82,115.93
|
7.67500
|
240
|
238
|
240
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
0
|
62,671.51
|
9.87500
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
0
|
358,858.94
|
8.91214
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
0
|
835,521.48
|
8.80458
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
0
|
799,357.81
|
7.95000
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
0
|
802,787.17
|
7.38787
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
0
|
70,306.05
|
8.35000
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
0
|
14,000,345.11
|
7.89976
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
0
|
3,495,694.04
|
7.93907
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
0
|
9,186,711.41
|
12.51324
|
360
|
358
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
0
|
4,385,141.14
|
11.88234
|
360
|
358
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
0
|
452,860.54
|
7.75000
|
360
|
359
|
480
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
0
|
3,662,724.07
|
7.31497
|
360
|
359
|
480
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
0
|
1,084,920.46
|
8.09027
|
360
|
359
|
480
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
0
|
1,148,291.33
|
8.35035
|
360
|
359
|
480
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
0
|
527,861.38
|
8.30000
|
360
|
359
|
480
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
60
|
532,000.00
|
7.35000
|
360
|
356
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
60
|
542,400.00
|
7.80000
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
60
|
1,092,100.00
|
8.01718
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
60
|
921,410.00
|
7.65439
|
360
|
358
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
60
|
115,192.00
|
11.15000
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
0
|
72,881.36
|
8.35000
|
240
|
239
|
240
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
0
|
6,833,723.33
|
7.93537
|
360
|
359
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
2
|
0
|
2,876,066.41
|
7.71924
|
360
|
358
|
360
|
0.00000
|
0.00000
|
0.00000
|
0
|
0
|
0.00000
|
0.00000
|
1,375,356,663.78
|
DESCRIPTION
OF THE TOTAL COLLATERAL
|
Collateral
Summary
|
||
Statistics
given below are for the Mortgage Loans in the pool as of the
Cut-off Date.
Balances and percentages are based on the Cut-off Date scheduled
balances
of such Mortgage Loans (except in the case of Debt-to-Income
and FICO,
which are determined at origination).
|
||
Summary
Statistics
|
Range
(if applicable)
|
|
Number
of Mortgage Loans
|
6,559
|
|
Aggregate
Current Principal Balance
|
$1,375,356,664
|
|
Average
Current Principal Balance
|
$209,690
|
$19,982
to $998,584
|
Aggregate
Original Principal Balance
|
$1,376,110,189
|
|
Average
Original Principal Balance
|
$209,805
|
$20,000
to $1,000,000
|
Fully
Amortizing Mortgage Loans
|
100.00%
|
|
1st
Lien
|
98.75%
|
|
Weighted
Avg. Gross Coupon
|
8.444%
|
6.150%
to 13.250%
|
Weighted
Avg. Original Term (months)
|
359
|
180
to 360
|
Weighted
Avg. Remaining Term (months)
|
358
|
178
to 360
|
Weighted
Avg. Margin (ARM Loans Only)
|
5.953%
|
3.750%
to 7.125%
|
Weighted
Avg. Maximum Rate (ARM Loans Only)
|
14.446%
|
12.150%
to 18.600%
|
Weighted
Avg. Minimum Rate (ARM Loans Only)
|
8.446%
|
6.150%
to 12.600%
|
Weighted
Avg. Original LTV (1)
|
81.29%
|
17.39%
to 100.00%
|
Weighted
Avg. Borrower FICO
|
616
|
500
to 811
|
Geographic
Distribution (Top 5)
|
CA
(31.11%)
|
|
FL
(10.56%)
|
||
IL
(8.71%)
|
||
AZ
(6.57%)
|
||
NY
(5.01%)
|
DESCRIPTION
OF THE TOTAL COLLATERAL
|
Collateral
Type
|
||||||||||||
COLLATERAL
TYPE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS
OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON (%)
|
FICO
|
OLTV1
(%)
|
||||
2/6
MONTH LIBOR
|
2,518
|
488,009,332.03
|
35.48
|
359
|
40.20
|
8.799
|
599
|
81.26
|
||||
2/6
MONTH LIBOR -2 YR IO
|
1
|
248,000.00
|
0.02
|
353
|
40.00
|
7.850
|
644
|
80.00
|
||||
2/6
MONTH LIBOR - 5 YR IO
|
600
|
198,832,398.34
|
14.46
|
359
|
39.66
|
7.760
|
657
|
82.08
|
||||
2/6
MONTH LIBOR - 40YR
|
677
|
191,768,667.11
|
13.94
|
359
|
42.48
|
8.226
|
630
|
81.11
|
||||
3/6
MONTH LIBOR
|
1,069
|
210,978,219.92
|
15.34
|
359
|
40.84
|
8.627
|
598
|
81.37
|
||||
3/6
MONTH LIBOR - 40 YR
|
215
|
57,498,316.85
|
4.18
|
359
|
42.58
|
8.313
|
621
|
82.79
|
||||
3/6
MONTH LIBOR - 5 YR IO
|
152
|
48,028,112.23
|
3.49
|
359
|
40.68
|
7.932
|
650
|
83.33
|
||||
FIXED
RATE
|
1,203
|
150,863,909.41
|
10.97
|
353
|
39.57
|
8.572
|
609
|
79.89
|
||||
FIXED
RATE - 40 YR
|
91
|
20,661,603.21
|
1.50
|
359
|
40.89
|
7.747
|
614
|
77.92
|
||||
FIXED
RATE - 5YR IO
|
33
|
8,468,104.68
|
0.62
|
359
|
38.02
|
7.653
|
649
|
77.79
|
||||
Total:
|
6,559
|
1,375,356,663.78
|
100.00
|
358
|
40.58
|
8.444
|
616
|
81.29
|
1
Original
LTV if first lien, combined LTV if second lien.
|
||||||||||||
Principal
Balances at Origination*
|
||||||||||||
RANGE
OF
PRINCIPAL
BALANCES
AT
ORIGINATION ($)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF
ORIGINATION
($)
|
%
OF PRINCIPAL
BALANCE
AS
OF
ORIGINATION
|
REMAINING
TERM
TO
MATURITY
(months)*
|
DEBT-TO-INCOME
(%)*
|
GROSS
COUPON (%)*
|
FICO*
|
OLTV1
(%)*
|
||||
0.01
- 25,000.00
|
31
|
682,605.00
|
0.05
|
358
|
41.41
|
12.200
|
619
|
99.87
|
||||
25,000.01
- 50,000.00
|
132
|
4,906,161.00
|
0.36
|
358
|
43.07
|
12.524
|
640
|
99.99
|
||||
50,000.01
- 100,000.00
|
1,462
|
115,101,399.00
|
8.36
|
355
|
38.74
|
9.275
|
597
|
84.30
|
||||
100,000.01
- 150,000.00
|
1,321
|
165,003,940.00
|
11.99
|
358
|
39.89
|
8.786
|
602
|
80.74
|
||||
150,000.01
- 200,000.00
|
1,030
|
179,865,105.00
|
13.07
|
358
|
40.35
|
8.579
|
608
|
79.96
|
||||
200,000.01
- 250,000.00
|
675
|
151,669,190.00
|
11.02
|
358
|
40.67
|
8.354
|
610
|
79.77
|
||||
250,000.01
- 300,000.00
|
492
|
134,649,745.00
|
9.78
|
358
|
40.59
|
8.240
|
621
|
80.12
|
||||
300,000.01
- 350,000.00
|
359
|
116,431,737.00
|
8.46
|
358
|
41.16
|
8.304
|
621
|
80.79
|
||||
350,000.01
- 400,000.00
|
306
|
114,540,408.00
|
8.32
|
359
|
41.50
|
8.140
|
620
|
80.88
|
||||
400,000.01
- 450,000.00
|
223
|
95,135,143.00
|
6.91
|
359
|
41.52
|
8.198
|
630
|
82.24
|
||||
450,000.01
- 500,000.00
|
204
|
97,337,193.00
|
7.07
|
359
|
41.12
|
8.202
|
631
|
82.94
|
||||
500,000.01
- 550,000.00
|
104
|
54,564,984.00
|
3.97
|
359
|
41.02
|
8.050
|
636
|
82.07
|
||||
550,000.01
- 600,000.00
|
82
|
47,212,820.00
|
3.43
|
359
|
41.40
|
8.329
|
630
|
84.12
|
||||
600,000.01
- 650,000.00
|
48
|
30,148,600.00
|
2.19
|
359
|
40.22
|
8.226
|
624
|
83.86
|
||||
650,000.01
- 700,000.00
|
26
|
17,445,391.00
|
1.27
|
359
|
42.50
|
8.227
|
626
|
82.51
|
||||
700,000.01
- 750,000.00
|
17
|
12,349,845.00
|
0.90
|
358
|
36.57
|
7.908
|
620
|
79.13
|
||||
750,000.01
>=
|
47
|
39,065,923.00
|
2.84
|
359
|
40.40
|
8.039
|
613
|
77.97
|
||||
Total:
|
6,559
|
1,376,110,189.00
|
100.00
|
358
|
40.58
|
8.444
|
616
|
81.29
|
DESCRIPTION
OF THE TOTAL COLLATERAL
|
Principal
Balance as of the Cut-Off Date
|
||||||||
RANGE
OF PRINCIPAL BALANCES AS OF THE
CUT-OFF
DATE ($)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS
OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
0.01
- 25,000.00
|
31
|
682,255.50
|
0.05
|
358
|
41.41
|
12.200
|
619
|
99.87
|
25,000.01
- 50,000.00
|
132
|
4,903,949.35
|
0.36
|
358
|
43.07
|
12.524
|
640
|
99.99
|
50,000.01
- 100,000.00
|
1,462
|
114,997,513.81
|
8.36
|
355
|
38.74
|
9.276
|
597
|
84.30
|
100,000.01
- 150,000.00
|
1,321
|
164,890,610.34
|
11.99
|
358
|
39.89
|
8.786
|
602
|
80.74
|
150,000.01
- 200,000.00
|
1,030
|
179,760,654.84
|
13.07
|
358
|
40.35
|
8.579
|
608
|
79.96
|
200,000.01
- 250,000.00
|
675
|
151,585,452.68
|
11.02
|
358
|
40.67
|
8.354
|
610
|
79.77
|
250,000.01
- 300,000.00
|
492
|
134,581,109.44
|
9.79
|
358
|
40.59
|
8.240
|
621
|
80.12
|
300,000.01
- 350,000.00
|
359
|
116,376,082.77
|
8.46
|
358
|
41.16
|
8.304
|
621
|
80.79
|
350,000.01
- 400,000.00
|
306
|
114,480,171.11
|
8.32
|
359
|
41.50
|
8.140
|
620
|
80.88
|
400,000.01
- 450,000.00
|
223
|
95,099,459.27
|
6.91
|
359
|
41.52
|
8.198
|
630
|
82.25
|
450,000.01
- 500,000.00
|
204
|
97,301,228.89
|
7.07
|
359
|
41.12
|
8.202
|
631
|
82.94
|
500,000.01
- 550,000.00
|
104
|
54,538,657.05
|
3.97
|
359
|
41.02
|
8.050
|
636
|
82.07
|
550,000.01
- 600,000.00
|
82
|
47,195,971.07
|
3.43
|
359
|
41.40
|
8.329
|
630
|
84.12
|
600,000.01
- 650,000.00
|
48
|
30,138,931.24
|
2.19
|
359
|
40.22
|
8.226
|
625
|
83.86
|
650,000.01
- 700,000.00
|
26
|
17,439,214.84
|
1.27
|
359
|
42.50
|
8.227
|
626
|
82.51
|
700,000.01
- 750,000.00
|
17
|
12,341,065.37
|
0.90
|
358
|
36.57
|
7.908
|
620
|
79.14
|
750,000.01
>=
|
47
|
39,044,336.21
|
2.84
|
359
|
40.40
|
8.039
|
613
|
77.97
|
Total:
|
6,559
|
1,375,356,663.78
|
100.00
|
358
|
40.58
|
8.444
|
616
|
81.29
|
Remaining
Term to Maturity
|
||||||||
RANGE
OF MONTHS REMAINING
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS
OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
121
to 180
|
32
|
3,123,465.48
|
0.23
|
179
|
35.52
|
8.321
|
608
|
70.52
|
181
to 240
|
25
|
3,078,087.41
|
0.22
|
239
|
34.44
|
7.897
|
618
|
74.36
|
301
to 360
|
6,502
|
1,369,155,110.89
|
99.55
|
359
|
40.61
|
8.446
|
616
|
81.33
|
Total:
|
6,559
|
1,375,356,663.78
|
100.00
|
358
|
40.58
|
8.444
|
616
|
81.29
|
DESCRIPTION
OF THE TOTAL COLLATERAL
|
Mortgage
Rates
|
|||||||||
RANGE
OF CURRENT
MORTGAGE
RATES
(%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
|
6.000
- 6.499
|
34
|
10,911,257.71
|
0.79
|
358
|
42.79
|
6.355
|
625
|
76.82
|
|
6.500
- 6.999
|
358
|
102,524,391.18
|
7.45
|
358
|
39.06
|
6.823
|
632
|
77.18
|
|
7.000
- 7.499
|
676
|
180,725,797.99
|
13.14
|
358
|
39.44
|
7.247
|
630
|
77.43
|
|
7.500
- 7.999
|
1,082
|
267,258,452.00
|
19.43
|
358
|
41.42
|
7.758
|
632
|
78.43
|
|
8.000
- 8.499
|
952
|
207,098,040.12
|
15.06
|
358
|
41.13
|
8.243
|
615
|
80.33
|
|
8.500
- 8.999
|
1,080
|
226,178,379.74
|
16.45
|
358
|
41.08
|
8.722
|
608
|
82.13
|
|
9.000
- 9.499
|
708
|
135,181,874.92
|
9.83
|
358
|
40.39
|
9.217
|
603
|
84.71
|
|
9.500
- 9.999
|
688
|
117,454,105.38
|
8.54
|
358
|
40.15
|
9.746
|
595
|
85.93
|
|
10.000
- 10.499
|
338
|
53,436,736.61
|
3.89
|
358
|
40.11
|
10.197
|
598
|
87.36
|
|
10.500
- 10.999
|
208
|
34,497,683.69
|
2.51
|
359
|
39.43
|
10.714
|
595
|
87.29
|
|
11.000
- 11.499
|
93
|
14,336,633.09
|
1.04
|
357
|
38.62
|
11.227
|
588
|
87.55
|
|
11.500
- 11.999
|
82
|
10,045,246.26
|
0.73
|
359
|
40.45
|
11.780
|
610
|
87.32
|
|
12.000
- 12.499
|
64
|
5,283,895.30
|
0.38
|
358
|
41.63
|
12.178
|
609
|
91.56
|
|
12.500
- 12.999
|
172
|
9,481,230.86
|
0.69
|
359
|
45.74
|
12.729
|
630
|
99.99
|
|
13.000
- 13.499
|
24
|
942,938.93
|
0.07
|
359
|
45.79
|
13.089
|
599
|
100.00
|
|
Total:
|
6,559
|
1,375,356,663.78
|
100.00
|
358
|
40.58
|
8.444
|
616
|
81.29
|
Original
Loan-to-Value Ratios(1)
|
||||||||
RANGE
OF ORIGINAL
LOAN-TO-VALUE
RATIOS
(%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV2
(%)
|
0.01
to 25.00
|
6
|
449,004.91
|
0.03
|
313
|
44.73
|
7.996
|
605
|
20.77
|
25.01
to 30.00
|
4
|
387,291.44
|
0.03
|
358
|
46.37
|
8.687
|
600
|
28.66
|
30.01
to 35.00
|
15
|
2,057,878.23
|
0.15
|
346
|
40.39
|
8.303
|
593
|
32.08
|
35.01
to 40.00
|
22
|
2,956,334.22
|
0.21
|
350
|
38.92
|
8.007
|
581
|
37.52
|
40.01
to 45.00
|
31
|
5,708,662.27
|
0.42
|
356
|
40.74
|
7.690
|
587
|
42.38
|
45.01
to 50.00
|
41
|
7,182,487.27
|
0.52
|
355
|
37.93
|
7.958
|
604
|
47.83
|
50.01
to 55.00
|
79
|
15,927,984.29
|
1.16
|
355
|
41.53
|
7.747
|
576
|
53.13
|
55.01
to 60.00
|
121
|
24,684,202.99
|
1.79
|
359
|
40.55
|
8.073
|
583
|
58.16
|
60.01
to 65.00
|
198
|
37,227,052.47
|
2.71
|
356
|
39.66
|
8.275
|
580
|
63.40
|
65.01
to 70.00
|
268
|
61,125,778.32
|
4.44
|
358
|
40.37
|
8.136
|
583
|
68.71
|
70.01
to 75.00
|
451
|
98,282,037.27
|
7.15
|
358
|
41.96
|
8.232
|
575
|
74.09
|
75.01
to 80.00
|
2,403
|
585,522,423.05
|
42.57
|
358
|
41.07
|
8.029
|
634
|
79.80
|
80.01
to 85.00
|
551
|
112,982,653.09
|
8.21
|
358
|
39.95
|
8.463
|
595
|
84.52
|
85.01
to 90.00
|
1,462
|
281,610,738.93
|
20.48
|
358
|
39.24
|
8.911
|
611
|
89.78
|
90.01
to 95.00
|
543
|
113,749,126.99
|
8.27
|
358
|
40.91
|
9.329
|
631
|
94.84
|
95.01
to 100.00
|
364
|
25,503,008.04
|
1.85
|
358
|
42.32
|
11.762
|
648
|
99.96
|
Total:
|
6,559
|
1,375,356,663.78
|
100.00
|
358
|
40.58
|
8.444
|
616
|
81.29
|
DESCRIPTION
OF THE TOTAL COLLATERAL
|
FICO
Score at Origination
|
||||||||
RANGE
OF FICO SCORES
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON (%)
|
FICO
|
OLTV1
(%)
|
500
to 519
|
396
|
68,925,546.68
|
5.01
|
358
|
41.98
|
9.150
|
510
|
75.93
|
520
to 539
|
526
|
94,355,933.48
|
6.86
|
358
|
41.92
|
8.983
|
530
|
77.56
|
540
to 559
|
611
|
113,437,176.71
|
8.25
|
358
|
40.51
|
8.697
|
550
|
79.67
|
560
to 579
|
523
|
100,004,874.87
|
7.27
|
358
|
40.27
|
8.670
|
569
|
79.73
|
580
to 599
|
710
|
133,024,434.50
|
9.67
|
358
|
40.92
|
8.484
|
589
|
81.65
|
600
to 619
|
888
|
187,382,229.67
|
13.62
|
358
|
40.19
|
8.319
|
609
|
82.54
|
620
to 639
|
970
|
224,071,295.54
|
16.29
|
358
|
40.86
|
8.255
|
629
|
81.94
|
640
to 659
|
677
|
154,344,516.45
|
11.22
|
358
|
40.19
|
8.220
|
650
|
82.12
|
660
to 679
|
454
|
106,526,689.73
|
7.75
|
358
|
40.11
|
8.233
|
668
|
82.75
|
680
to 699
|
320
|
76,458,627.98
|
5.56
|
358
|
39.81
|
8.225
|
688
|
82.48
|
700
to 719
|
198
|
49,796,140.85
|
3.62
|
358
|
41.49
|
8.198
|
709
|
83.45
|
720
to 739
|
116
|
28,563,541.59
|
2.08
|
359
|
39.05
|
8.293
|
728
|
83.71
|
740
to 759
|
95
|
23,524,401.44
|
1.71
|
359
|
39.10
|
8.322
|
749
|
82.47
|
760
to 779
|
52
|
10,685,247.96
|
0.78
|
359
|
40.86
|
8.459
|
769
|
83.44
|
780
to 799
|
18
|
3,313,107.20
|
0.24
|
359
|
35.17
|
9.243
|
786
|
88.70
|
800
or greater
|
5
|
942,899.13
|
0.07
|
359
|
42.71
|
8.748
|
804
|
85.34
|
Total:
|
6,559
|
1,375,356,663.78
|
100.00
|
358
|
40.58
|
8.444
|
616
|
81.29
|
Debt-to-Income
Ratio
|
|||||||||
RANGE
OF DEBT-TO-INCOME RATIOS (%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
|
0.01
- 20.00
|
304
|
62,842,926.16
|
4.57
|
357
|
13.93
|
8.403
|
620
|
81.16
|
|
20.01
- 25.00
|
290
|
54,166,489.44
|
3.94
|
357
|
23.12
|
8.457
|
613
|
81.12
|
|
25.01
- 30.00
|
432
|
79,572,047.55
|
5.79
|
357
|
27.98
|
8.492
|
615
|
80.99
|
|
30.01
- 35.00
|
654
|
128,806,532.32
|
9.37
|
358
|
33.20
|
8.390
|
622
|
81.01
|
|
35.01
- 40.00
|
1,018
|
206,081,991.16
|
14.98
|
358
|
38.22
|
8.410
|
616
|
81.48
|
|
40.01
- 45.00
|
1,476
|
320,445,920.35
|
23.30
|
358
|
43.23
|
8.397
|
621
|
81.44
|
|
45.01
- 50.00
|
2,169
|
474,364,637.61
|
34.49
|
358
|
48.16
|
8.512
|
615
|
82.72
|
|
50.01
- 55.00
|
216
|
49,076,119.19
|
3.57
|
358
|
53.20
|
8.344
|
571
|
67.22
|
|
Total:
|
6,559
|
1,375,356,663.78
|
100.00
|
358
|
40.58
|
8.444
|
616
|
81.29
|
DESCRIPTION
OF THE TOTAL COLLATERAL
|
Geographic
Distribution
|
||||||||
STATE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
Alabama
|
15
|
1,383,851.14
|
0.10
|
358
|
43.32
|
9.622
|
563
|
84.89
|
Alaska
|
10
|
2,545,367.45
|
0.19
|
359
|
39.72
|
7.858
|
604
|
82.26
|
Arizona
|
525
|
90,357,332.46
|
6.57
|
358
|
40.68
|
8.531
|
617
|
80.25
|
Arkansas
|
12
|
1,664,541.33
|
0.12
|
359
|
38.00
|
9.666
|
625
|
83.66
|
California
|
1,180
|
427,846,169.58
|
31.11
|
359
|
41.28
|
8.152
|
629
|
80.54
|
Colorado
|
70
|
14,760,882.78
|
1.07
|
358
|
40.37
|
8.456
|
610
|
82.18
|
Connecticut
|
56
|
11,436,707.20
|
0.83
|
359
|
40.67
|
8.677
|
613
|
79.75
|
Delaware
|
10
|
2,352,119.34
|
0.17
|
359
|
43.28
|
8.589
|
622
|
78.03
|
Florida
|
716
|
145,224,235.48
|
10.56
|
358
|
39.62
|
8.456
|
621
|
79.28
|
Georgia
|
26
|
3,755,574.36
|
0.27
|
359
|
41.57
|
8.602
|
584
|
85.19
|
Hawaii
|
32
|
12,336,592.63
|
0.90
|
359
|
38.87
|
7.640
|
650
|
77.18
|
Idaho
|
9
|
951,441.33
|
0.07
|
359
|
37.24
|
8.593
|
616
|
77.75
|
Illinois
|
598
|
119,821,511.62
|
8.71
|
359
|
41.63
|
8.664
|
613
|
82.82
|
Indiana
|
159
|
14,648,757.55
|
1.07
|
357
|
37.40
|
9.180
|
616
|
87.60
|
Iowa
|
34
|
3,164,010.57
|
0.23
|
359
|
35.98
|
9.322
|
593
|
84.25
|
Kansas
|
29
|
3,795,915.03
|
0.28
|
359
|
38.16
|
9.411
|
597
|
85.30
|
Kentucky
|
37
|
4,438,212.19
|
0.32
|
358
|
41.31
|
8.661
|
598
|
87.18
|
Louisiana
|
72
|
8,298,907.43
|
0.60
|
356
|
39.70
|
9.163
|
593
|
84.85
|
Maine
|
13
|
2,972,334.75
|
0.22
|
359
|
42.94
|
8.706
|
554
|
66.34
|
Maryland
|
213
|
47,966,129.23
|
3.49
|
358
|
41.35
|
8.098
|
592
|
78.74
|
Massachusetts
|
95
|
25,808,057.08
|
1.88
|
358
|
41.99
|
8.319
|
604
|
79.33
|
Michigan
|
253
|
29,434,175.79
|
2.14
|
358
|
40.31
|
9.089
|
594
|
85.39
|
Minnesota
|
46
|
8,695,534.38
|
0.63
|
359
|
41.74
|
9.021
|
594
|
84.33
|
Mississippi
|
22
|
2,256,302.17
|
0.16
|
359
|
39.74
|
8.647
|
615
|
83.91
|
Missouri
|
194
|
22,489,692.23
|
1.64
|
359
|
38.56
|
9.230
|
601
|
87.47
|
Montana
|
1
|
173,841.16
|
0.01
|
359
|
32.00
|
6.450
|
674
|
85.29
|
Nebraska
|
35
|
4,350,258.59
|
0.32
|
358
|
37.20
|
8.830
|
609
|
86.64
|
Nevada
|
128
|
32,299,169.87
|
2.35
|
359
|
37.40
|
8.320
|
626
|
81.62
|
New
Hampshire
|
6
|
1,023,490.50
|
0.07
|
359
|
39.97
|
8.453
|
635
|
74.50
|
New
Jersey
|
196
|
50,905,762.80
|
3.70
|
357
|
41.07
|
8.508
|
598
|
79.09
|
New
Mexico
|
47
|
7,292,981.30
|
0.53
|
359
|
38.76
|
8.778
|
608
|
83.32
|
New
York
|
205
|
68,958,198.02
|
5.01
|
357
|
41.39
|
8.161
|
626
|
79.92
|
North
Carolina
|
45
|
6,025,532.64
|
0.44
|
359
|
39.26
|
8.962
|
586
|
85.45
|
North
Dakota
|
3
|
263,328.20
|
0.02
|
358
|
47.00
|
10.969
|
563
|
81.96
|
Ohio
|
330
|
32,277,558.59
|
2.35
|
356
|
38.19
|
8.753
|
584
|
86.87
|
Oklahoma
|
43
|
4,479,743.94
|
0.33
|
355
|
35.81
|
9.026
|
586
|
82.93
|
Oregon
|
35
|
6,247,090.96
|
0.45
|
359
|
42.01
|
8.419
|
586
|
79.45
|
Pennsylvania
|
137
|
18,899,816.31
|
1.37
|
354
|
37.79
|
8.663
|
586
|
82.71
|
Rhode
Island
|
24
|
4,975,982.59
|
0.36
|
359
|
38.66
|
8.077
|
622
|
80.27
|
South
Carolina
|
29
|
3,188,309.24
|
0.23
|
359
|
42.67
|
8.795
|
588
|
86.99
|
Tennessee
|
44
|
5,191,052.29
|
0.38
|
353
|
39.72
|
9.508
|
559
|
88.92
|
Texas
|
414
|
49,254,818.89
|
3.58
|
355
|
39.49
|
8.826
|
605
|
82.32
|
Utah
|
139
|
25,533,910.63
|
1.86
|
359
|
40.58
|
8.547
|
643
|
82.89
|
Vermont
|
1
|
156,434.50
|
0.01
|
359
|
46.00
|
9.000
|
552
|
65.00
|
Washington
|
115
|
25,132,053.36
|
1.83
|
359
|
39.74
|
8.342
|
609
|
82.14
|
Wisconsin
|
147
|
19,162,324.48
|
1.39
|
358
|
43.08
|
9.404
|
595
|
85.72
|
Wyoming
|
9
|
1,160,649.82
|
0.08
|
359
|
40.18
|
8.136
|
639
|
82.80
|
Total:
|
6,559
|
1,375,356,663.78
|
100.00
|
358
|
40.58
|
8.444
|
616
|
81.29
|
DESCRIPTION
OF THE TOTAL COLLATERAL
|
Occupancy
Status
|
||||||||
OCCUPANCY
STATUS*
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON (%)
|
FICO
|
OLTV1
(%)
|
Primary
|
5,757
|
1,247,219,293.88
|
90.68
|
358
|
41.22
|
8.362
|
613
|
80.90
|
Investor
|
742
|
115,084,564.41
|
8.37
|
358
|
33.77
|
9.301
|
646
|
85.33
|
Second
Home
|
60
|
13,052,805.49
|
0.95
|
359
|
39.99
|
8.762
|
647
|
82.89
|
Total:
|
6,559
|
1,375,356,663.78
|
100.00
|
358
|
40.58
|
8.444
|
616
|
81.29
|
Documentation
Type
|
||||||||
INCOME
DOCUMENTATION
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON (%)
|
FICO
|
OLTV1
(%)
|
Full
Documentation
|
3,751
|
722,205,673.18
|
52.51
|
358
|
39.87
|
8.142
|
596
|
80.27
|
Stated
Documentation
|
2,308
|
532,320,649.88
|
38.70
|
358
|
42.02
|
8.870
|
645
|
82.60
|
Limited
Documentation
|
500
|
120,830,340.72
|
8.79
|
358
|
38.51
|
8.369
|
607
|
81.59
|
Total:
|
6,559
|
1,375,356,663.78
|
100.00
|
358
|
40.58
|
8.444
|
616
|
81.29
|
Loan
Purpose
|
||||||||
PURPOSE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON (%)
|
FICO
|
OLTV1
(%)
|
Purchase
|
3,283
|
676,101,729.19
|
49.16
|
359
|
40.56
|
8.544
|
641
|
84.16
|
Refinance-Debt
Consolidation No Cash Out**
|
334
|
62,087,856.53
|
4.51
|
358
|
40.12
|
8.199
|
613
|
81.43
|
Refinance-Debt
Consolidation Cash Out***
|
2,942
|
637,167,078.06
|
46.33
|
357
|
40.65
|
8.362
|
589
|
78.23
|
Total:
|
6,559
|
1,375,356,663.78
|
100.00
|
358
|
40.58
|
8.444
|
616
|
81.29
|
DESCRIPTION
OF THE TOTAL COLLATERAL
|
Credit
Grade
|
||||||||
RISK
CATEGORY
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
I
|
5,041
|
1,052,704,803.55
|
76.54
|
358
|
40.56
|
8.333
|
630
|
82.24
|
II
|
942
|
200,734,343.39
|
14.60
|
357
|
40.13
|
8.574
|
581
|
80.77
|
III
|
287
|
62,973,142.59
|
4.58
|
358
|
40.08
|
8.986
|
562
|
78.11
|
IV
|
235
|
47,333,163.70
|
3.44
|
358
|
42.67
|
9.025
|
550
|
70.33
|
V
|
54
|
11,611,210.55
|
0.84
|
358
|
44.80
|
10.926
|
552
|
65.55
|
Total:
|
6,559
|
1,375,356,663.78
|
100.00
|
358
|
40.58
|
8.444
|
616
|
81.29
|
Property
Type
|
||||||||
PROPERTY
TYPE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
Single
Family
|
4,927
|
1,013,612,518.24
|
73.70
|
358
|
40.43
|
8.425
|
613
|
81.19
|
PUD
|
659
|
157,756,562.25
|
11.47
|
358
|
40.97
|
8.341
|
616
|
80.88
|
Two-to-Four
Family
|
467
|
108,309,779.98
|
7.88
|
358
|
41.74
|
8.619
|
629
|
81.65
|
Condo
|
478
|
90,218,106.43
|
6.56
|
359
|
40.22
|
8.631
|
638
|
82.65
|
PUD
Attached
|
23
|
4,584,754.76
|
0.33
|
357
|
40.83
|
8.376
|
621
|
82.15
|
Single
Family Attached
|
5
|
874,942.12
|
0.06
|
359
|
37.44
|
8.100
|
642
|
77.72
|
Total:
|
6,559
|
1,375,356,663.78
|
100.00
|
358
|
40.58
|
8.444
|
616
|
81.29
|
Prepayment
Charge Term
|
||||||||
PREPAYMENT
CHARGE
TERM
AT ORIGINATION
(MONTHS)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
No
Prepayment Penalty
|
2,672
|
551,403,255.84
|
40.09
|
358
|
40.92
|
8.804
|
615
|
82.41
|
12
Months
|
283
|
82,658,132.24
|
6.01
|
358
|
40.76
|
8.378
|
630
|
81.30
|
24
Months
|
2,697
|
588,762,465.18
|
42.81
|
359
|
40.57
|
8.208
|
616
|
80.60
|
36
Months
|
907
|
152,532,810.52
|
11.09
|
356
|
39.32
|
8.092
|
612
|
79.88
|
Total:
|
6,559
|
1,375,356,663.78
|
100.00
|
358
|
40.58
|
8.444
|
616
|
81.29
|
Conforming
Balances
|
||||||||
CONFORMING
BALANCE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
Conforming
|
5,897
|
1,036,016,300.34
|
75.33
|
358
|
40.41
|
8.514
|
612
|
80.94
|
Non-Conforming
|
662
|
339,340,363.44
|
24.67
|
359
|
41.10
|
8.229
|
627
|
82.35
|
Total:
|
6,559
|
1,375,356,663.78
|
100.00
|
358
|
40.58
|
8.444
|
616
|
81.29
|
DESCRIPTION
OF THE TOTAL COLLATERAL
|
Maximum
Mortgage Rates of the Adjustable-Rate Loans
|
|||||||||
RANGE
OF MAXIMUM
MORTGAGE
RATES (%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
|
12.000
- 12.499
|
33
|
10,813,414.50
|
0.90
|
359
|
42.73
|
6.355
|
625
|
76.84
|
|
12.500
- 12.999
|
263
|
81,090,175.84
|
6.78
|
358
|
39.15
|
6.813
|
634
|
77.75
|
|
13.000
- 13.499
|
498
|
142,832,100.61
|
11.95
|
359
|
39.83
|
7.244
|
631
|
78.05
|
|
13.500
- 13.999
|
888
|
233,156,947.11
|
19.51
|
359
|
41.75
|
7.759
|
634
|
78.82
|
|
14.000
- 14.499
|
762
|
182,263,433.34
|
15.25
|
359
|
41.36
|
8.243
|
618
|
80.66
|
|
14.500
- 14.999
|
938
|
207,090,020.11
|
17.32
|
359
|
41.23
|
8.725
|
610
|
82.43
|
|
15.000
- 15.499
|
630
|
126,287,358.83
|
10.56
|
358
|
40.33
|
9.218
|
605
|
84.87
|
|
15.500
- 15.999
|
620
|
109,910,044.75
|
9.19
|
359
|
40.15
|
9.746
|
595
|
86.09
|
|
16.000
- 16.499
|
275
|
46,539,632.54
|
3.89
|
359
|
40.10
|
10.197
|
598
|
87.56
|
|
16.500
- 16.999
|
183
|
32,282,411.23
|
2.70
|
359
|
39.35
|
10.710
|
595
|
87.23
|
|
17.000
- 17.499
|
81
|
13,132,448.86
|
1.10
|
358
|
38.40
|
11.223
|
586
|
87.26
|
|
17.500
- 17.999
|
46
|
7,708,128.42
|
0.64
|
359
|
40.18
|
11.771
|
582
|
84.14
|
|
18.000
- 18.499
|
14
|
2,113,966.13
|
0.18
|
358
|
39.59
|
12.158
|
568
|
78.93
|
|
18.500
- 18.999
|
1
|
142,964.21
|
0.01
|
359
|
18.00
|
12.600
|
600
|
100.00
|
|
Total:
|
5,232
|
1,195,363,046.48
|
100.00
|
359
|
40.72
|
8.446
|
617
|
81.55
|
Minimum
Mortgage Rates of the Adjustable-Rate Loans
|
|||||||||
RANGE
OF MINIMUM
MORTGAGE
RATES (%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
|
6.000
- 6.499
|
33
|
10,813,414.50
|
0.90
|
359
|
42.73
|
6.355
|
625
|
76.84
|
|
6.500
- 6.999
|
263
|
81,090,175.84
|
6.78
|
358
|
39.15
|
6.813
|
634
|
77.75
|
|
7.000
- 7.499
|
498
|
142,832,100.61
|
11.95
|
359
|
39.83
|
7.244
|
631
|
78.05
|
|
7.500
- 7.999
|
888
|
233,156,947.11
|
19.51
|
359
|
41.75
|
7.759
|
634
|
78.82
|
|
8.000
- 8.499
|
762
|
182,263,433.34
|
15.25
|
359
|
41.36
|
8.243
|
618
|
80.66
|
|
8.500
- 8.999
|
938
|
207,090,020.11
|
17.32
|
359
|
41.23
|
8.725
|
610
|
82.43
|
|
9.000
- 9.499
|
630
|
126,287,358.83
|
10.56
|
358
|
40.33
|
9.218
|
605
|
84.87
|
|
9.500
- 9.999
|
620
|
109,910,044.75
|
9.19
|
359
|
40.15
|
9.746
|
595
|
86.09
|
|
10.000
- 10.499
|
275
|
46,539,632.54
|
3.89
|
359
|
40.10
|
10.197
|
598
|
87.56
|
|
10.500
- 10.999
|
183
|
32,282,411.23
|
2.70
|
359
|
39.35
|
10.710
|
595
|
87.23
|
|
11.000
- 11.499
|
81
|
13,132,448.86
|
1.10
|
358
|
38.40
|
11.223
|
586
|
87.26
|
|
11.500
- 11.999
|
46
|
7,708,128.42
|
0.64
|
359
|
40.18
|
11.771
|
582
|
84.14
|
|
12.000
- 12.499
|
14
|
2,113,966.13
|
0.18
|
358
|
39.59
|
12.158
|
568
|
78.93
|
|
12.500
- 12.999
|
1
|
142,964.21
|
0.01
|
359
|
18.00
|
12.600
|
600
|
100.00
|
|
Total:
|
5,232
|
1,195,363,046.48
|
100.00
|
359
|
40.72
|
8.446
|
617
|
81.55
|
Gross
Margins of the Adjustable-Rate Loans
|
||||||||
RANGE
OF GROSS
MARGINS
(%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
3.500
- 3.999
|
1
|
156,845.80
|
0.01
|
354
|
48.00
|
10.250
|
570
|
85.00
|
4.000
- 4.499
|
2
|
331,587.71
|
0.03
|
355
|
44.72
|
9.619
|
545
|
91.14
|
4.500
- 4.999
|
165
|
37,227,111.42
|
3.11
|
359
|
41.42
|
8.713
|
599
|
82.16
|
6.000
- 6.499
|
5,062
|
1,156,850,418.22
|
96.78
|
359
|
40.70
|
8.437
|
617
|
81.52
|
7.000
- 7.499
|
2
|
797,083.33
|
0.07
|
359
|
40.58
|
8.228
|
636
|
85.29
|
Total:
|
5,232
|
1,195,363,046.48
|
100.00
|
359
|
40.72
|
8.446
|
617
|
81.55
|
DESCRIPTION
OF THE TOTAL COLLATERAL
|
Next
Rate Adjustment Date of the Adjustable-Rate
Loans
|
||||||||
NEXT
RATE ADJUSTMENT
DATE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
2
|
403,287.05
|
0.03
|
352
|
37.79
|
8.709
|
522
|
80.49
|
|
15
|
2,400,020.08
|
0.20
|
353
|
43.84
|
8.767
|
600
|
86.99
|
|
26
|
5,854,007.16
|
0.49
|
354
|
38.24
|
7.780
|
606
|
84.76
|
|
24
|
4,750,083.37
|
0.40
|
355
|
41.99
|
8.829
|
604
|
83.72
|
|
58
|
13,445,953.66
|
1.12
|
356
|
42.00
|
9.116
|
592
|
82.72
|
|
96
|
22,433,898.40
|
1.88
|
357
|
41.99
|
8.874
|
595
|
81.20
|
|
124
|
29,679,238.49
|
2.48
|
357
|
39.51
|
8.335
|
614
|
82.58
|
|
3,447
|
798,930,414.27
|
66.84
|
359
|
40.55
|
8.421
|
621
|
81.30
|
|
4
|
961,495.00
|
0.08
|
360
|
45.50
|
7.778
|
626
|
80.69
|
|
6
|
820,081.95
|
0.07
|
353
|
39.16
|
8.444
|
598
|
89.43
|
|
17
|
3,209,808.83
|
0.27
|
354
|
44.15
|
7.940
|
579
|
87.59
|
|
8
|
1,395,098.00
|
0.12
|
355
|
39.85
|
8.122
|
608
|
88.14
|
|
17
|
2,551,779.92
|
0.21
|
356
|
41.09
|
8.146
|
577
|
81.42
|
|
42
|
8,951,380.73
|
0.75
|
357
|
40.72
|
8.518
|
593
|
82.79
|
|
67
|
14,163,509.74
|
1.18
|
358
|
40.01
|
8.118
|
602
|
83.96
|
|
1,279
|
285,412,989.83
|
23.88
|
359
|
41.18
|
8.491
|
611
|
81.69
|
|
Total:
|
5,232
|
1,195,363,046.48
|
100.00
|
359
|
40.72
|
8.446
|
617
|
81.55
|
Initial
Periodic Rate Cap of the Adjustable-Rate Loans
|
||||||||
INITIAL
PERIODIC
CAP
(%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
2.000
|
5,232
|
1,195,363,046.48
|
100.00
|
359
|
40.72
|
8.446
|
617
|
81.55
|
Total:
|
5,232
|
1,195,363,046.48
|
100.00
|
359
|
40.72
|
8.446
|
617
|
81.55
|
Periodic
Rate Cap of the Adjustable-Rate Loans
|
||||||||
PERIODIC
CAP
(%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
1.000
|
5,232
|
1,195,363,046.48
|
100.00
|
359
|
40.72
|
8.446
|
617
|
81.55
|
Total:
|
5,232
|
1,195,363,046.48
|
100.00
|
359
|
40.72
|
8.446
|
617
|
81.55
|
Historical
Delinquency of the Mortgage Loans Since
Origination
|
||||||||
STATUS
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
55
|
9,888,428.16
|
0.72
|
355
|
42.53
|
8.682
|
588
|
83.51
|
|
Never
Delinquent
|
6,504
|
1,365,468,235.62
|
99.28
|
358
|
40.57
|
8.442
|
616
|
81.27
|
Total:
|
6,559
|
1,375,356,663.78
|
100.00
|
358
|
40.58
|
8.444
|
616
|
81.29
|
DESCRIPTION
OF THE GROUP I COLLATERAL
|
Collateral
Summary
|
||
Statistics
given below are for the Mortgage Loans in the pool as of the
Cut-off Date.
Balances and percentages are based on the Cut-off Date scheduled
balances
of such Mortgage Loans (except in the case of Debt-to-Income
and FICO,
which are determined at origination).
|
||
Summary
Statistics
|
Range
(if applicable)
|
|
Number
of Mortgage Loans
|
4,067
|
|
Aggregate
Current Principal Balance
|
$670,168,258
|
|
Average
Current Principal Balance
|
$164,782
|
$19,989
to $798,921
|
Aggregate
Original Principal Balance
|
$670,623,296
|
|
Average
Original Principal Balance
|
$164,894
|
$20,000
to $800,000
|
Fully
Amortizing Mortgage Loans
|
100.00%
|
|
1st
Lien
|
99.46%
|
|
Weighted
Avg. Gross Coupon
|
8.569%
|
6.200%
to 13.250%
|
Weighted
Avg. Original Term (months)
|
359
|
180
to 360
|
Weighted
Avg. Remaining Term (months)
|
358
|
178
to 360
|
Weighted
Avg. Margin (ARM Loans Only)
|
5.920%
|
3.750%
to 7.125%
|
Weighted
Avg. Maximum Rate (ARM Loans Only)
|
14.655%
|
12.200%
to 18.325%
|
Weighted
Avg. Minimum Rate (ARM Loans Only)
|
8.655%
|
6.200%
to 12.325%
|
Weighted
Avg. Original LTV (1)
|
80.03%
|
17.39%
to 100.00%
|
Weighted
Avg. Borrower FICO
|
600
|
500
to 811
|
Geographic
Distribution (Top 5)
|
CA
(14.79%)
|
|
IL
(12.12%)
|
||
FL
(9.22%)
|
||
AZ
(6.92%)
|
||
NJ
(4.83%)
|
DESCRIPTION
OF THE GROUP I COLLATERAL
|
Collateral
Type
|
|||||||||||
COLLATERAL
TYPE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS
OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON (%)
|
FICO
|
OLTV1
(%)
|
|||
2/6
MONTH LIBOR
|
1,716
|
271,022,559.38
|
40.44
|
358
|
39.82
|
8.982
|
590
|
80.50
|
|||
2/6
MONTH LIBOR -2 YR IO
|
1
|
248,000.00
|
0.04
|
353
|
40.00
|
7.850
|
644
|
80.00
|
|||
2/6
MONTH LIBOR - 5 YR IO
|
164
|
39,897,384.65
|
5.95
|
359
|
37.84
|
7.756
|
646
|
81.84
|
|||
2/6
MONTH LIBOR - 40YR
|
271
|
54,848,094.22
|
8.18
|
359
|
41.95
|
8.182
|
611
|
78.73
|
|||
3/6
MONTH LIBOR
|
800
|
137,836,912.97
|
20.57
|
358
|
40.86
|
8.679
|
593
|
81.01
|
|||
3/6
MONTH LIBOR - 40 YR
|
122
|
25,111,215.25
|
3.75
|
359
|
43.45
|
8.166
|
613
|
81.42
|
|||
3/6
MONTH LIBOR - 5 YR IO
|
70
|
15,795,588.23
|
2.36
|
359
|
40.55
|
7.545
|
647
|
81.58
|
|||
FIXED
RATE
|
833
|
106,358,555.22
|
15.87
|
352
|
39.78
|
8.280
|
600
|
77.57
|
|||
FIXED
RATE - 40 YR
|
67
|
13,784,945.43
|
2.06
|
359
|
41.24
|
7.763
|
609
|
76.95
|
|||
FIXED
RATE - 5YR IO
|
23
|
5,265,002.68
|
0.79
|
359
|
38.08
|
7.516
|
640
|
77.08
|
|||
Total:
|
4,067
|
670,168,258.03
|
100.00
|
358
|
40.25
|
8.569
|
600
|
80.03
|
|||
1
Original
LTV if first lien, combined LTV if second lien.
|
|||||||||||
Principal
Balances at Origination*
|
RANGE
OF
PRINCIPAL
BALANCES
AT
ORIGINATION ($)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF
ORIGINATION
($)
|
%
OF PRINCIPAL
BALANCE
AS
OF
ORIGINATION
|
REMAINING
TERM
TO
MATURITY
(months)*
|
DEBT-TO-INCOME
(%)*
|
GROSS
COUPON (%)*
|
FICO*
|
OLTV1
(%)*
|
||||
0.01
- 25,000.00
|
26
|
571,625.00
|
0.09
|
358
|
42.88
|
12.506
|
620
|
99.85
|
||||
25,000.01
- 50,000.00
|
64
|
2,216,136.00
|
0.33
|
358
|
44.90
|
12.529
|
638
|
99.98
|
||||
50,000.01
- 100,000.00
|
1,091
|
86,977,659.00
|
12.97
|
355
|
38.65
|
9.133
|
593
|
83.44
|
||||
100,000.01
- 150,000.00
|
1,034
|
128,729,545.00
|
19.20
|
357
|
40.32
|
8.717
|
597
|
80.18
|
||||
150,000.01
- 200,000.00
|
725
|
126,298,493.00
|
18.83
|
358
|
40.36
|
8.580
|
599
|
79.18
|
||||
200,000.01
- 250,000.00
|
433
|
97,191,476.00
|
14.49
|
358
|
40.70
|
8.387
|
599
|
78.45
|
||||
250,000.01
- 300,000.00
|
278
|
75,964,666.00
|
11.33
|
358
|
40.83
|
8.308
|
603
|
78.65
|
||||
300,000.01
- 350,000.00
|
183
|
59,473,901.00
|
8.87
|
358
|
39.56
|
8.447
|
602
|
79.61
|
||||
350,000.01
- 400,000.00
|
160
|
59,963,857.00
|
8.94
|
359
|
41.13
|
8.213
|
600
|
79.68
|
||||
400,000.01
- 450,000.00
|
46
|
19,137,988.00
|
2.85
|
359
|
38.75
|
8.111
|
613
|
79.95
|
||||
450,000.01
- 500,000.00
|
16
|
7,667,650.00
|
1.14
|
359
|
41.04
|
8.185
|
627
|
83.85
|
||||
500,000.01
- 550,000.00
|
6
|
3,091,150.00
|
0.46
|
359
|
43.01
|
7.883
|
688
|
81.72
|
||||
550,000.01
- 600,000.00
|
1
|
585,000.00
|
0.09
|
359
|
50.00
|
8.000
|
649
|
90.00
|
||||
600,000.01
- 650,000.00
|
2
|
1,216,000.00
|
0.18
|
359
|
44.01
|
8.667
|
605
|
79.48
|
||||
700,000.01
- 750,000.00
|
1
|
738,150.00
|
0.11
|
359
|
46.00
|
8.300
|
713
|
85.93
|
||||
750,000.01
>=
|
1
|
800,000.00
|
0.12
|
358
|
48.00
|
7.990
|
675
|
80.00
|
||||
Total:
|
4,067
|
670,623,296.00
|
100.00
|
358
|
40.25
|
8.568
|
600
|
80.03
|
DESCRIPTION
OF THE GROUP I COLLATERAL
|
Principal
Balance as of the Cut-Off Date
|
||||||||
RANGE
OF PRINCIPAL BALANCES AS OF THE
CUT-OFF
DATE ($)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS
OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
0.01
- 25,000.00
|
26
|
571,373.22
|
0.09
|
358
|
42.88
|
12.506
|
620
|
99.85
|
25,000.01
- 50,000.00
|
64
|
2,215,049.09
|
0.33
|
358
|
44.90
|
12.529
|
638
|
99.98
|
50,000.01
- 100,000.00
|
1,091
|
86,894,988.86
|
12.97
|
355
|
38.65
|
9.133
|
593
|
83.44
|
100,000.01
- 150,000.00
|
1,034
|
128,635,690.04
|
19.19
|
357
|
40.32
|
8.717
|
597
|
80.18
|
150,000.01
- 200,000.00
|
725
|
126,217,269.21
|
18.83
|
358
|
40.36
|
8.580
|
599
|
79.18
|
200,000.01
- 250,000.00
|
433
|
97,132,178.80
|
14.49
|
358
|
40.70
|
8.387
|
599
|
78.45
|
250,000.01
- 300,000.00
|
278
|
75,917,847.37
|
11.33
|
358
|
40.83
|
8.308
|
603
|
78.65
|
300,000.01
- 350,000.00
|
183
|
59,438,710.45
|
8.87
|
358
|
39.56
|
8.447
|
602
|
79.62
|
350,000.01
- 400,000.00
|
160
|
59,925,466.17
|
8.94
|
359
|
41.13
|
8.213
|
600
|
79.68
|
400,000.01
- 450,000.00
|
46
|
19,128,774.80
|
2.85
|
359
|
38.75
|
8.111
|
613
|
79.95
|
450,000.01
- 500,000.00
|
16
|
7,663,444.50
|
1.14
|
359
|
41.04
|
8.185
|
627
|
83.85
|
500,000.01
- 550,000.00
|
6
|
3,090,523.36
|
0.46
|
359
|
43.01
|
7.883
|
688
|
81.72
|
550,000.01
- 600,000.00
|
1
|
584,607.47
|
0.09
|
359
|
50.00
|
8.000
|
649
|
90.00
|
600,000.01
- 650,000.00
|
2
|
1,215,729.94
|
0.18
|
359
|
44.01
|
8.666
|
605
|
79.48
|
700,000.01
- 750,000.00
|
1
|
737,684.09
|
0.11
|
359
|
46.00
|
8.300
|
713
|
85.93
|
750,000.01
>=
|
1
|
798,920.66
|
0.12
|
358
|
48.00
|
7.990
|
675
|
80.00
|
Total:
|
4,067
|
670,168,258.03
|
100.00
|
358
|
40.25
|
8.569
|
600
|
80.03
|
Remaining
Term to Maturity
|
||||||||
RANGE
OF MONTHS REMAINING
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS
OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
121
to 180
|
25
|
2,480,292.98
|
0.37
|
179
|
37.21
|
8.296
|
614
|
69.71
|
181
to 240
|
22
|
2,808,040.12
|
0.42
|
239
|
34.87
|
7.947
|
617
|
74.41
|
301
to 360
|
4,020
|
664,879,924.93
|
99.21
|
359
|
40.29
|
8.572
|
600
|
80.10
|
Total:
|
4,067
|
670,168,258.03
|
100.00
|
358
|
40.25
|
8.569
|
600
|
80.03
|
DESCRIPTION
OF THE GROUP I COLLATERAL
|
Mortgage
Rates
|
|||||||||
RANGE
OF CURRENT
MORTGAGE
RATES
(%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
|
6.000
- 6.499
|
24
|
5,911,290.97
|
0.88
|
359
|
39.28
|
6.365
|
634
|
72.55
|
|
6.500
- 6.999
|
219
|
49,540,879.64
|
7.39
|
358
|
39.88
|
6.816
|
616
|
73.93
|
|
7.000
- 7.499
|
384
|
79,844,669.73
|
11.91
|
356
|
39.66
|
7.246
|
619
|
76.18
|
|
7.500
- 7.999
|
570
|
104,574,257.08
|
15.60
|
357
|
41.14
|
7.761
|
609
|
75.18
|
|
8.000
- 8.499
|
563
|
91,643,853.01
|
13.67
|
358
|
40.84
|
8.248
|
595
|
78.85
|
|
8.500
- 8.999
|
681
|
112,182,670.79
|
16.74
|
358
|
40.45
|
8.729
|
591
|
80.59
|
|
9.000
- 9.499
|
505
|
77,173,725.67
|
11.52
|
358
|
39.67
|
9.219
|
590
|
84.05
|
|
9.500
- 9.999
|
496
|
71,288,791.92
|
10.64
|
357
|
39.77
|
9.738
|
591
|
85.77
|
|
10.000
- 10.499
|
256
|
35,901,475.11
|
5.36
|
359
|
40.04
|
10.210
|
598
|
86.23
|
|
10.500
- 10.999
|
164
|
23,826,039.32
|
3.56
|
359
|
39.78
|
10.718
|
595
|
85.65
|
|
11.000
- 11.499
|
62
|
8,203,753.37
|
1.22
|
356
|
38.88
|
11.221
|
585
|
86.06
|
|
11.500
- 11.999
|
41
|
4,995,295.46
|
0.75
|
359
|
39.48
|
11.746
|
597
|
85.43
|
|
12.000
- 12.499
|
30
|
2,612,334.63
|
0.39
|
358
|
40.53
|
12.180
|
572
|
82.94
|
|
12.500
- 12.999
|
60
|
2,146,831.18
|
0.32
|
358
|
46.73
|
12.782
|
627
|
99.95
|
|
13.000
- 13.499
|
12
|
322,390.15
|
0.05
|
359
|
45.63
|
13.098
|
621
|
100.00
|
|
Total:
|
4,067
|
670,168,258.03
|
100.00
|
358
|
40.25
|
8.569
|
600
|
80.03
|
Original
Loan-to-Value Ratios(1)
|
||||||||
RANGE
OF ORIGINAL
LOAN-TO-VALUE
RATIOS
(%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV2
(%)
|
0.01
to 25.00
|
5
|
387,052.33
|
0.06
|
306
|
43.25
|
8.100
|
592
|
20.15
|
25.01
to 30.00
|
4
|
387,291.44
|
0.06
|
358
|
46.37
|
8.687
|
600
|
28.66
|
30.01
to 35.00
|
15
|
2,057,878.23
|
0.31
|
346
|
40.39
|
8.303
|
593
|
32.08
|
35.01
to 40.00
|
17
|
2,567,531.73
|
0.38
|
359
|
38.29
|
8.019
|
584
|
37.52
|
40.01
to 45.00
|
28
|
4,744,309.54
|
0.71
|
355
|
38.46
|
7.625
|
597
|
42.41
|
45.01
to 50.00
|
37
|
5,752,445.91
|
0.86
|
354
|
38.78
|
8.064
|
597
|
47.63
|
50.01
to 55.00
|
67
|
12,293,180.64
|
1.83
|
354
|
40.27
|
7.730
|
582
|
53.14
|
55.01
to 60.00
|
99
|
19,856,125.76
|
2.96
|
358
|
40.20
|
8.054
|
577
|
58.21
|
60.01
to 65.00
|
171
|
30,139,997.24
|
4.50
|
356
|
40.08
|
8.235
|
574
|
63.29
|
65.01
to 70.00
|
215
|
41,537,766.53
|
6.20
|
358
|
40.66
|
8.169
|
576
|
68.78
|
70.01
to 75.00
|
359
|
66,983,482.60
|
10.00
|
358
|
41.22
|
8.297
|
576
|
74.07
|
75.01
to 80.00
|
1,071
|
189,575,090.06
|
28.29
|
357
|
40.55
|
8.163
|
608
|
79.56
|
80.01
to 85.00
|
411
|
68,718,467.72
|
10.25
|
358
|
40.20
|
8.563
|
592
|
84.56
|
85.01
to 90.00
|
1,094
|
166,391,667.87
|
24.83
|
358
|
39.27
|
9.105
|
609
|
89.77
|
90.01
to 95.00
|
338
|
50,804,845.37
|
7.58
|
358
|
40.86
|
9.376
|
626
|
94.84
|
95.01
to 100.00
|
136
|
7,971,125.06
|
1.19
|
359
|
43.06
|
11.314
|
651
|
99.98
|
Total:
|
4,067
|
670,168,258.03
|
100.00
|
358
|
40.25
|
8.569
|
600
|
80.03
|
DESCRIPTION
OF THE GROUP I COLLATERAL
|
FICO
Score at Origination
|
||||||||
RANGE
OF FICO SCORES
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON (%)
|
FICO
|
OLTV1
(%)
|
500
to 519
|
327
|
52,537,993.24
|
7.84
|
358
|
41.70
|
9.106
|
510
|
75.55
|
520
to 539
|
433
|
69,384,813.51
|
10.35
|
358
|
42.63
|
8.968
|
530
|
77.03
|
540
to 559
|
474
|
74,261,627.80
|
11.08
|
358
|
40.85
|
8.760
|
550
|
78.63
|
560
to 579
|
387
|
63,244,966.94
|
9.44
|
358
|
40.35
|
8.523
|
569
|
78.17
|
580
to 599
|
437
|
66,284,258.33
|
9.89
|
357
|
40.41
|
8.408
|
589
|
79.39
|
600
to 619
|
576
|
99,115,148.97
|
14.79
|
358
|
39.61
|
8.396
|
609
|
81.41
|
620
to 639
|
499
|
83,278,992.58
|
12.43
|
356
|
40.36
|
8.308
|
629
|
80.55
|
640
to 659
|
321
|
56,279,792.02
|
8.40
|
358
|
39.57
|
8.344
|
649
|
81.82
|
660
to 679
|
233
|
41,465,229.10
|
6.19
|
357
|
38.62
|
8.431
|
668
|
83.70
|
680
to 699
|
148
|
24,969,877.56
|
3.73
|
357
|
38.51
|
8.504
|
688
|
84.09
|
700
to 719
|
103
|
18,389,328.50
|
2.74
|
358
|
40.17
|
8.427
|
709
|
85.07
|
720
to 739
|
52
|
8,665,622.61
|
1.29
|
359
|
35.35
|
8.602
|
729
|
84.62
|
740
to 759
|
44
|
7,418,527.07
|
1.11
|
359
|
35.69
|
8.923
|
749
|
82.23
|
760
to 779
|
23
|
3,034,840.18
|
0.45
|
359
|
38.37
|
8.652
|
770
|
85.33
|
780
to 799
|
8
|
1,606,007.35
|
0.24
|
359
|
33.13
|
9.358
|
785
|
84.52
|
800
or greater
|
2
|
231,232.27
|
0.03
|
359
|
33.83
|
9.460
|
805
|
97.02
|
Total:
|
4,067
|
670,168,258.03
|
100.00
|
358
|
40.25
|
8.569
|
600
|
80.03
|
Debt-to-Income
Ratio
|
|||||||||
RANGE
OF DEBT-TO-INCOME RATIOS (%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
|
0.01
- 20.00
|
199
|
32,137,297.10
|
4.80
|
356
|
13.74
|
8.597
|
622
|
79.17
|
|
20.01
- 25.00
|
192
|
30,970,396.73
|
4.62
|
356
|
23.23
|
8.622
|
609
|
80.08
|
|
25.01
- 30.00
|
267
|
40,898,706.77
|
6.10
|
356
|
28.02
|
8.664
|
603
|
79.95
|
|
30.01
- 35.00
|
428
|
69,468,613.03
|
10.37
|
357
|
33.17
|
8.507
|
606
|
79.25
|
|
35.01
- 40.00
|
635
|
99,218,755.80
|
14.81
|
358
|
38.19
|
8.561
|
602
|
80.14
|
|
40.01
- 45.00
|
887
|
146,566,998.64
|
21.87
|
358
|
43.19
|
8.534
|
601
|
80.39
|
|
45.01
- 50.00
|
1,289
|
218,211,347.02
|
32.56
|
358
|
48.14
|
8.614
|
597
|
82.21
|
|
50.01
- 55.00
|
170
|
32,696,142.94
|
4.88
|
357
|
53.23
|
8.371
|
569
|
66.16
|
|
Total:
|
4,067
|
670,168,258.03
|
100.00
|
358
|
40.25
|
8.569
|
600
|
80.03
|
DESCRIPTION
OF THE GROUP I COLLATERAL
|
Geographic
Distribution
|
||||||||
STATE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
Alabama
|
13
|
1,116,692.96
|
0.17
|
359
|
42.44
|
9.650
|
565
|
83.67
|
Alaska
|
4
|
1,131,558.85
|
0.17
|
359
|
46.60
|
7.737
|
591
|
80.78
|
Arizona
|
300
|
46,392,258.68
|
6.92
|
357
|
41.24
|
8.571
|
609
|
78.24
|
Arkansas
|
10
|
1,489,675.49
|
0.22
|
359
|
37.09
|
9.534
|
635
|
83.83
|
California
|
353
|
99,099,689.86
|
14.79
|
358
|
39.62
|
8.147
|
600
|
74.66
|
Colorado
|
49
|
8,367,258.11
|
1.25
|
357
|
41.21
|
8.637
|
595
|
82.15
|
Connecticut
|
46
|
7,702,642.95
|
1.15
|
359
|
40.49
|
8.635
|
610
|
76.38
|
Delaware
|
7
|
1,295,018.90
|
0.19
|
359
|
43.13
|
8.302
|
598
|
79.60
|
Florida
|
344
|
61,805,045.07
|
9.22
|
358
|
38.72
|
8.568
|
604
|
76.69
|
Georgia
|
21
|
2,922,288.68
|
0.44
|
359
|
40.85
|
8.644
|
584
|
85.87
|
Hawaii
|
20
|
6,880,333.20
|
1.03
|
359
|
38.10
|
7.767
|
637
|
77.05
|
Idaho
|
9
|
951,441.33
|
0.14
|
359
|
37.24
|
8.593
|
616
|
77.75
|
Illinois
|
469
|
81,198,504.31
|
12.12
|
359
|
41.92
|
8.649
|
605
|
81.65
|
Indiana
|
139
|
12,701,520.93
|
1.90
|
357
|
38.06
|
9.173
|
620
|
87.40
|
Iowa
|
29
|
2,684,052.80
|
0.40
|
359
|
35.59
|
9.517
|
594
|
84.82
|
Kansas
|
23
|
2,591,116.88
|
0.39
|
359
|
39.50
|
9.409
|
579
|
84.20
|
Kentucky
|
28
|
2,666,328.72
|
0.40
|
358
|
42.07
|
9.361
|
575
|
88.11
|
Louisiana
|
47
|
5,130,596.71
|
0.77
|
357
|
40.27
|
9.087
|
586
|
85.13
|
Maine
|
8
|
1,204,190.06
|
0.18
|
359
|
42.94
|
8.035
|
571
|
71.02
|
Maryland
|
155
|
30,911,537.43
|
4.61
|
358
|
40.94
|
8.092
|
587
|
76.99
|
Massachusetts
|
64
|
15,167,133.44
|
2.26
|
357
|
42.45
|
8.210
|
592
|
76.11
|
Michigan
|
189
|
21,824,393.07
|
3.26
|
358
|
40.81
|
9.137
|
596
|
86.25
|
Minnesota
|
40
|
7,209,334.23
|
1.08
|
359
|
41.49
|
9.066
|
601
|
84.00
|
Mississippi
|
16
|
1,476,137.71
|
0.22
|
359
|
39.04
|
9.018
|
622
|
85.50
|
Missouri
|
154
|
17,243,772.83
|
2.57
|
359
|
38.86
|
9.358
|
604
|
87.88
|
Montana
|
1
|
173,841.16
|
0.03
|
359
|
32.00
|
6.450
|
674
|
85.29
|
Nebraska
|
29
|
3,235,567.48
|
0.48
|
358
|
39.05
|
8.944
|
609
|
87.49
|
Nevada
|
50
|
10,374,140.63
|
1.55
|
359
|
38.75
|
8.362
|
613
|
80.27
|
New
Hampshire
|
6
|
1,023,490.50
|
0.15
|
359
|
39.97
|
8.453
|
635
|
74.50
|
New
Jersey
|
144
|
32,342,868.73
|
4.83
|
357
|
42.15
|
8.485
|
585
|
76.42
|
New
Mexico
|
34
|
5,024,957.44
|
0.75
|
359
|
38.13
|
8.804
|
589
|
83.43
|
New
York
|
109
|
30,586,549.44
|
4.56
|
355
|
39.25
|
7.997
|
618
|
78.65
|
North
Carolina
|
38
|
4,912,087.54
|
0.73
|
359
|
38.26
|
9.017
|
576
|
84.96
|
North
Dakota
|
3
|
263,328.20
|
0.04
|
358
|
47.00
|
10.969
|
563
|
81.96
|
Ohio
|
253
|
25,278,763.81
|
3.77
|
357
|
38.84
|
8.775
|
582
|
86.89
|
Oklahoma
|
33
|
3,337,771.36
|
0.50
|
354
|
34.37
|
9.038
|
578
|
83.13
|
Oregon
|
27
|
4,900,574.87
|
0.73
|
359
|
43.18
|
8.416
|
568
|
78.98
|
Pennsylvania
|
105
|
14,366,006.91
|
2.14
|
352
|
37.38
|
8.700
|
589
|
82.25
|
Rhode
Island
|
19
|
3,383,128.76
|
0.50
|
359
|
41.12
|
8.378
|
602
|
79.71
|
South
Carolina
|
23
|
2,447,873.45
|
0.37
|
359
|
43.44
|
8.700
|
587
|
87.10
|
Tennessee
|
30
|
3,573,773.24
|
0.53
|
355
|
38.65
|
9.464
|
558
|
88.20
|
Texas
|
298
|
31,584,898.38
|
4.71
|
353
|
39.37
|
8.780
|
594
|
81.36
|
Utah
|
97
|
15,465,976.40
|
2.31
|
359
|
40.94
|
8.688
|
641
|
84.02
|
Vermont
|
1
|
156,434.50
|
0.02
|
359
|
46.00
|
9.000
|
552
|
65.00
|
Washington
|
94
|
19,611,197.04
|
2.93
|
359
|
40.74
|
8.340
|
606
|
81.97
|
Wisconsin
|
130
|
16,401,710.10
|
2.45
|
358
|
43.49
|
9.419
|
590
|
85.35
|
Wyoming
|
6
|
560,794.89
|
0.08
|
359
|
38.26
|
8.559
|
580
|
85.80
|
Total:
|
4,067
|
670,168,258.03
|
100.00
|
358
|
40.25
|
8.569
|
600
|
80.03
|
DESCRIPTION
OF THE GROUP I COLLATERAL
|
Occupancy
Status
|
||||||||
OCCUPANCY
STATUS*
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON (%)
|
FICO
|
OLTV1
(%)
|
Primary
|
3,357
|
559,396,760.61
|
83.47
|
358
|
41.46
|
8.426
|
591
|
79.06
|
Investor
|
655
|
99,854,320.80
|
14.90
|
358
|
33.68
|
9.351
|
647
|
85.13
|
Second
Home
|
55
|
10,917,176.62
|
1.63
|
359
|
38.76
|
8.690
|
644
|
83.23
|
Total:
|
4,067
|
670,168,258.03
|
100.00
|
358
|
40.25
|
8.569
|
600
|
80.03
|
Documentation
Type
|
||||||||
INCOME
DOCUMENTATION
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON (%)
|
FICO
|
OLTV1
(%)
|
Full
Documentation
|
2,602
|
412,192,434.24
|
61.51
|
357
|
40.35
|
8.287
|
583
|
78.95
|
Stated
Documentation
|
1,222
|
214,990,436.49
|
32.08
|
358
|
40.43
|
9.078
|
635
|
81.97
|
Limited
Documentation
|
243
|
42,985,387.30
|
6.41
|
357
|
38.40
|
8.718
|
589
|
80.80
|
Total:
|
4,067
|
670,168,258.03
|
100.00
|
358
|
40.25
|
8.569
|
600
|
80.03
|
Loan
Purpose
|
||||||||
PURPOSE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON (%)
|
FICO
|
OLTV1
(%)
|
Purchase
|
1,316
|
166,108,954.05
|
24.79
|
359
|
39.68
|
9.136
|
636
|
87.00
|
Refinance-Debt
Consolidation No Cash Out**
|
292
|
45,880,463.70
|
6.85
|
357
|
39.82
|
8.281
|
604
|
81.13
|
Refinance-Debt
Consolidation Cash Out***
|
2,459
|
458,178,840.28
|
68.37
|
357
|
40.50
|
8.391
|
587
|
77.40
|
Total:
|
4,067
|
670,168,258.03
|
100.00
|
358
|
40.25
|
8.569
|
600
|
80.03
|
DESCRIPTION
OF THE GROUP I COLLATERAL
|
Credit
Grade
|
||||||||
RISK
CATEGORY
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
I
|
2,857
|
453,119,211.00
|
67.61
|
358
|
40.06
|
8.445
|
615
|
81.57
|
II
|
738
|
130,227,393.49
|
19.43
|
357
|
40.19
|
8.568
|
578
|
79.35
|
III
|
237
|
45,233,096.31
|
6.75
|
359
|
40.43
|
9.020
|
561
|
77.19
|
IV
|
194
|
33,912,398.71
|
5.06
|
357
|
41.90
|
9.096
|
548
|
69.25
|
V
|
41
|
7,676,158.52
|
1.15
|
359
|
44.52
|
10.889
|
551
|
65.15
|
Total:
|
4,067
|
670,168,258.03
|
100.00
|
358
|
40.25
|
8.569
|
600
|
80.03
|
Property
Type
|
||||||||
PROPERTY
TYPE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
Single
Family
|
3,191
|
510,442,306.65
|
76.17
|
357
|
40.22
|
8.553
|
597
|
79.95
|
Two-to-Four
Family
|
321
|
63,940,972.56
|
9.54
|
359
|
40.58
|
8.688
|
618
|
79.65
|
PUD
|
295
|
55,764,681.96
|
8.32
|
357
|
41.25
|
8.430
|
596
|
79.46
|
Condo
|
244
|
37,324,615.74
|
5.57
|
359
|
38.71
|
8.807
|
627
|
82.84
|
PUD
Attached
|
12
|
2,084,638.13
|
0.31
|
354
|
41.16
|
8.239
|
606
|
79.04
|
Single
Family Attached
|
4
|
611,042.99
|
0.09
|
359
|
37.19
|
8.579
|
610
|
76.74
|
Total:
|
4,067
|
670,168,258.03
|
100.00
|
358
|
40.25
|
8.569
|
600
|
80.03
|
Prepayment
Charge Term
|
||||||||
PREPAYMENT
CHARGE
TERM
AT ORIGINATION
(MONTHS)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
No
Prepayment Penalty
|
1,751
|
295,351,931.85
|
44.07
|
358
|
40.70
|
8.741
|
601
|
81.02
|
12
Months
|
153
|
32,879,470.92
|
4.91
|
357
|
39.92
|
8.498
|
620
|
78.77
|
24
Months
|
1,522
|
247,627,008.83
|
36.95
|
359
|
40.15
|
8.516
|
594
|
79.30
|
36
Months
|
641
|
94,309,846.43
|
14.07
|
355
|
39.24
|
8.189
|
606
|
79.30
|
Total:
|
4,067
|
670,168,258.03
|
100.00
|
358
|
40.25
|
8.569
|
600
|
80.03
|
Conforming
Balances
|
||||||||
CONFORMING
BALANCE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
Conforming
|
4,067
|
670,168,258.03
|
100.00
|
358
|
40.25
|
8.569
|
600
|
80.03
|
Total:
|
4,067
|
670,168,258.03
|
100.00
|
358
|
40.25
|
8.569
|
600
|
80.03
|
DESCRIPTION
OF THE GROUP I COLLATERAL
|
Maximum
Mortgage Rates of the Adjustable-Rate Loans
|
|||||||||
RANGE
OF MAXIMUM
MORTGAGE
RATES (%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
|
12.000
- 12.499
|
24
|
5,911,290.97
|
1.09
|
359
|
39.28
|
6.365
|
634
|
72.55
|
|
12.500
- 12.999
|
139
|
32,746,659.67
|
6.01
|
358
|
40.24
|
6.800
|
612
|
73.63
|
|
13.000
- 13.499
|
252
|
55,040,667.60
|
10.10
|
358
|
39.44
|
7.246
|
620
|
76.74
|
|
13.500
- 13.999
|
416
|
80,188,591.34
|
14.72
|
359
|
41.85
|
7.765
|
609
|
75.51
|
|
14.000
- 14.499
|
406
|
71,468,901.33
|
13.12
|
359
|
41.10
|
8.251
|
597
|
79.32
|
|
14.500
- 14.999
|
566
|
97,155,741.51
|
17.83
|
359
|
40.65
|
8.734
|
592
|
81.03
|
|
15.000
- 15.499
|
440
|
69,635,500.87
|
12.78
|
358
|
39.45
|
9.219
|
591
|
84.25
|
|
15.500
- 15.999
|
447
|
65,710,959.48
|
12.06
|
359
|
39.75
|
9.739
|
592
|
85.99
|
|
16.000
- 16.499
|
209
|
30,599,096.43
|
5.62
|
359
|
39.83
|
10.212
|
599
|
86.59
|
|
16.500
- 16.999
|
143
|
21,894,523.13
|
4.02
|
359
|
39.72
|
10.714
|
595
|
85.53
|
|
17.000
- 17.499
|
57
|
7,779,252.54
|
1.43
|
358
|
38.97
|
11.221
|
588
|
86.33
|
|
17.500
- 17.999
|
32
|
4,633,570.02
|
0.85
|
359
|
39.11
|
11.752
|
591
|
84.81
|
|
18.000
- 18.499
|
13
|
1,994,999.81
|
0.37
|
358
|
40.41
|
12.164
|
558
|
77.68
|
|
Total:
|
3,144
|
544,759,754.70
|
100.00
|
359
|
40.34
|
8.655
|
600
|
80.62
|
Minimum
Mortgage Rates of the Adjustable-Rate Loans
|
|||||||||
RANGE
OF MINIMUM
MORTGAGE
RATES (%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
|
6.000
- 6.499
|
24
|
5,911,290.97
|
1.09
|
359
|
39.28
|
6.365
|
634
|
72.55
|
|
6.500
- 6.999
|
139
|
32,746,659.67
|
6.01
|
358
|
40.24
|
6.800
|
612
|
73.63
|
|
7.000
- 7.499
|
252
|
55,040,667.60
|
10.10
|
358
|
39.44
|
7.246
|
620
|
76.74
|
|
7.500
- 7.999
|
416
|
80,188,591.34
|
14.72
|
359
|
41.85
|
7.765
|
609
|
75.51
|
|
8.000
- 8.499
|
406
|
71,468,901.33
|
13.12
|
359
|
41.10
|
8.251
|
597
|
79.32
|
|
8.500
- 8.999
|
566
|
97,155,741.51
|
17.83
|
359
|
40.65
|
8.734
|
592
|
81.03
|
|
9.000
- 9.499
|
440
|
69,635,500.87
|
12.78
|
358
|
39.45
|
9.219
|
591
|
84.25
|
|
9.500
- 9.999
|
447
|
65,710,959.48
|
12.06
|
359
|
39.75
|
9.739
|
592
|
85.99
|
|
10.000
- 10.499
|
209
|
30,599,096.43
|
5.62
|
359
|
39.83
|
10.212
|
599
|
86.59
|
|
10.500
- 10.999
|
143
|
21,894,523.13
|
4.02
|
359
|
39.72
|
10.714
|
595
|
85.53
|
|
11.000
- 11.499
|
57
|
7,779,252.54
|
1.43
|
358
|
38.97
|
11.221
|
588
|
86.33
|
|
11.500
- 11.999
|
32
|
4,633,570.02
|
0.85
|
359
|
39.11
|
11.752
|
591
|
84.81
|
|
12.000
- 12.499
|
13
|
1,994,999.81
|
0.37
|
358
|
40.41
|
12.164
|
558
|
77.68
|
|
Total:
|
3,144
|
544,759,754.70
|
100.00
|
359
|
40.34
|
8.655
|
600
|
80.62
|
Gross
Margins of the Adjustable-Rate Loans
|
||||||||
RANGE
OF GROSS
MARGINS
(%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
3.500
- 3.999
|
1
|
156,845.80
|
0.03
|
354
|
48.00
|
10.250
|
570
|
85.00
|
4.000
- 4.499
|
2
|
331,587.71
|
0.06
|
355
|
44.72
|
9.619
|
545
|
91.14
|
4.500
- 4.999
|
146
|
28,668,049.53
|
5.26
|
359
|
42.44
|
8.720
|
594
|
81.49
|
6.000
- 6.499
|
2,994
|
515,322,188.33
|
94.60
|
359
|
40.22
|
8.650
|
600
|
80.56
|
7.000
- 7.499
|
1
|
281,083.33
|
0.05
|
359
|
49.00
|
10.300
|
602
|
95.00
|
Total:
|
3,144
|
544,759,754.70
|
100.00
|
359
|
40.34
|
8.655
|
600
|
80.62
|
DESCRIPTION
OF THE GROUP I COLLATERAL
|
Next
Rate Adjustment Date of the Adjustable-Rate
Loans
|
||||||||
NEXT
RATE ADJUSTMENT
DATE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
2
|
403,287.05
|
0.07
|
352
|
37.79
|
8.709
|
522
|
80.49
|
|
12
|
1,637,619.23
|
0.30
|
353
|
42.15
|
9.183
|
585
|
83.68
|
|
20
|
3,708,218.45
|
0.68
|
354
|
38.45
|
7.873
|
593
|
84.09
|
|
18
|
2,529,542.12
|
0.46
|
355
|
39.18
|
9.045
|
566
|
84.76
|
|
35
|
5,576,146.51
|
1.02
|
356
|
40.59
|
9.377
|
584
|
81.41
|
|
71
|
12,724,457.00
|
2.34
|
357
|
41.52
|
9.158
|
570
|
80.21
|
|
79
|
14,794,947.09
|
2.72
|
356
|
39.64
|
8.793
|
596
|
81.71
|
|
1,912
|
323,879,320.80
|
59.45
|
359
|
39.87
|
8.704
|
602
|
80.22
|
|
3
|
762,500.00
|
0.14
|
360
|
44.33
|
7.723
|
621
|
80.87
|
|
6
|
820,081.95
|
0.15
|
353
|
39.16
|
8.444
|
598
|
89.43
|
|
12
|
1,933,291.19
|
0.35
|
354
|
43.78
|
8.098
|
558
|
84.35
|
|
5
|
618,619.92
|
0.11
|
355
|
30.35
|
8.713
|
590
|
88.57
|
|
13
|
2,254,145.84
|
0.41
|
356
|
42.19
|
8.080
|
580
|
81.06
|
|
28
|
4,540,944.96
|
0.83
|
357
|
42.03
|
8.748
|
565
|
79.55
|
|
50
|
8,174,937.96
|
1.50
|
358
|
38.83
|
8.352
|
593
|
84.54
|
|
878
|
160,401,694.63
|
29.44
|
359
|
41.30
|
8.518
|
602
|
80.87
|
|
Total:
|
3,144
|
544,759,754.70
|
100.00
|
359
|
40.34
|
8.655
|
600
|
80.62
|
Initial
Periodic Rate Cap of the Adjustable-Rate Loans
|
||||||||
INITIAL
PERIODIC
CAP
(%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
2.000
|
3,144
|
544,759,754.70
|
100.00
|
359
|
40.34
|
8.655
|
600
|
80.62
|
Total:
|
3,144
|
544,759,754.70
|
100.00
|
359
|
40.34
|
8.655
|
600
|
80.62
|
Periodic
Rate Cap of the Adjustable-Rate Loans
|
||||||||
PERIODIC
CAP
(%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
1.000
|
3,144
|
544,759,754.70
|
100.00
|
359
|
40.34
|
8.655
|
600
|
80.62
|
Total:
|
3,144
|
544,759,754.70
|
100.00
|
359
|
40.34
|
8.655
|
600
|
80.62
|
Historical
Delinquency of the Mortgage Loans Since
Origination
|
||||||||
STATUS
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
1
x
30
|
40
|
6,036,392.34
|
0.90
|
355
|
42.90
|
8.802
|
573
|
83.81
|
Never
Delinquent
|
4,027
|
664,131,865.69
|
99.10
|
358
|
40.23
|
8.566
|
601
|
80.00
|
Total:
|
4,067
|
670,168,258.03
|
100.00
|
358
|
40.25
|
8.569
|
600
|
80.03
|
DESCRIPTION
OF THE GROUP II COLLATERAL
|
Collateral
Summary
|
||
Statistics
given below are for the Mortgage Loans in the pool as of the
Cut-off Date.
Balances and percentages are based on the Cut-off Date scheduled
balances
of such Mortgage Loans (except in the case of Debt-to-Income
and FICO,
which are determined at origination).
|
||
Summary
Statistics
|
Range
(if applicable)
|
|
Number
of Mortgage Loans
|
2,492
|
|
Aggregate
Current Principal Balance
|
||
Average
Current Principal Balance
|
$282,981
|
$19,982
to $998,584
|
Aggregate
Original Principal Balance
|
$705,486,893
|
|
Average
Original Principal Balance
|
$283,101
|
$20,000
to $1,000,000
|
Fully
Amortizing Mortgage Loans
|
100.00%
|
|
1st
Lien
|
98.08%
|
|
Weighted
Avg. Gross Coupon
|
8.326%
|
6.150%
to
13.250%
|
Weighted
Avg. Original Term (months)
|
360
|
180
to 360
|
Weighted
Avg. Remaining Term (months)
|
359
|
179
to 360
|
Weighted
Avg. Margin (ARM Loans Only)
|
5.981%
|
4.500%
to 7.125%
|
Weighted
Avg. Maximum Rate (ARM Loans Only)
|
14.270%
|
12.150%
to 18.600%
|
Weighted
Avg. Minimum Rate (ARM Loans Only)
|
8.270%
|
6.150%
to 12.600%
|
Weighted
Avg. Original LTV (1)
|
82.48%
|
24.60%
to 100.00%
|
Weighted
Avg. Borrower FICO
|
631
|
500
to 811
|
Geographic
Distribution (Top 5)
|
CA
(46.62%)
|
|
FL
(11.83%)
|
||
AZ
(6.23%)
|
||
IL
(5.48%)
|
||
NY
(5.44%)
|
DESCRIPTION
OF THE GROUP II COLLATERAL
|
Collateral
Type
|
||||||||||||
COLLATERAL
TYPE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS
OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON (%)
|
FICO
|
OLTV1
(%)
|
||||
2/6
MONTH LIBOR
|
802
|
216,986,772.65
|
30.77
|
359
|
40.67
|
8.570
|
611
|
82.20
|
||||
2/6
MONTH LIBOR - 5 YR IO
|
436
|
158,935,013.69
|
22.54
|
359
|
40.11
|
7.761
|
660
|
82.14
|
||||
2/6
MONTH LIBOR - 40YR
|
406
|
136,920,572.89
|
19.42
|
359
|
42.70
|
8.244
|
638
|
82.07
|
||||
3/6
MONTH LIBOR
|
269
|
73,141,306.95
|
10.37
|
359
|
40.81
|
8.529
|
607
|
82.06
|
||||
3/6
MONTH LIBOR - 40 YR
|
93
|
32,387,101.60
|
4.59
|
359
|
41.90
|
8.427
|
627
|
83.85
|
||||
3/6
MONTH LIBOR - 5 YR IO
|
82
|
32,232,524.00
|
4.57
|
359
|
40.74
|
8.122
|
652
|
84.19
|
||||
FIXED
RATE
|
370
|
44,505,354.19
|
6.31
|
356
|
39.05
|
9.270
|
631
|
85.42
|
||||
FIXED
RATE - 40 YR
|
24
|
6,876,657.78
|
0.98
|
359
|
40.19
|
7.714
|
623
|
79.86
|
||||
FIXED
RATE - 5YR IO
|
10
|
3,203,102.00
|
0.45
|
358
|
37.92
|
7.878
|
665
|
78.95
|
||||
Total:
|
2,492
|
705,188,405.75
|
100.00
|
359
|
40.89
|
8.326
|
631
|
82.48
|
||||
1
Original
LTV if first lien, combined LTV if second lien.
|
||||||||||||
Principal
Balances at Origination*
|
||||||||||||
RANGE
OF
PRINCIPAL
BALANCES
AT
ORIGINATION ($)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF
ORIGINATION
($)
|
%
OF PRINCIPAL
BALANCE
AS
OF
ORIGINATION
|
REMAINING
TERM
TO
MATURITY
(months)*
|
DEBT-TO-INCOME
(%)*
|
GROSS
COUPON (%)*
|
FICO*
|
OLTV1
(%)*
|
||||
0.01
- 25,000.00
|
5
|
110,980.00
|
0.02
|
358
|
33.84
|
10.621
|
617
|
100.00
|
||||
25,000.01
- 50,000.00
|
68
|
2,690,025.00
|
0.38
|
358
|
41.57
|
12.519
|
642
|
100.00
|
||||
50,000.01
- 100,000.00
|
371
|
28,123,740.00
|
3.99
|
355
|
39.03
|
9.714
|
609
|
86.96
|
||||
100,000.01
- 150,000.00
|
287
|
36,274,395.00
|
5.14
|
358
|
38.35
|
9.030
|
619
|
82.71
|
||||
150,000.01
- 200,000.00
|
305
|
53,566,612.00
|
7.59
|
359
|
40.30
|
8.577
|
629
|
81.82
|
||||
200,000.01
- 250,000.00
|
242
|
54,477,714.00
|
7.72
|
358
|
40.62
|
8.295
|
630
|
82.12
|
||||
250,000.01
- 300,000.00
|
214
|
58,685,079.00
|
8.32
|
359
|
40.28
|
8.152
|
644
|
82.02
|
||||
300,000.01
- 350,000.00
|
176
|
56,957,836.00
|
8.07
|
359
|
42.83
|
8.155
|
641
|
82.01
|
||||
350,000.01
- 400,000.00
|
146
|
54,576,551.00
|
7.74
|
359
|
41.90
|
8.061
|
642
|
82.19
|
||||
400,000.01
- 450,000.00
|
177
|
75,997,155.00
|
10.77
|
359
|
42.21
|
8.220
|
635
|
82.82
|
||||
450,000.01
- 500,000.00
|
188
|
89,669,543.00
|
12.71
|
359
|
41.12
|
8.204
|
632
|
82.86
|
||||
500,000.01
- 550,000.00
|
98
|
51,473,834.00
|
7.30
|
359
|
40.90
|
8.060
|
633
|
82.09
|
||||
550,000.01
- 600,000.00
|
81
|
46,627,820.00
|
6.61
|
359
|
41.29
|
8.334
|
630
|
84.04
|
||||
600,000.01
- 650,000.00
|
46
|
28,932,600.00
|
4.10
|
359
|
40.06
|
8.207
|
625
|
84.04
|
||||
650,000.01
- 700,000.00
|
26
|
17,445,391.00
|
2.47
|
359
|
42.50
|
8.227
|
626
|
82.51
|
||||
700,000.01
- 750,000.00
|
16
|
11,611,695.00
|
1.65
|
358
|
35.97
|
7.883
|
614
|
78.70
|
||||
750,000.01
>=
|
46
|
38,265,923.00
|
5.42
|
359
|
40.24
|
8.040
|
612
|
77.92
|
||||
Total:
|
2,492
|
705,486,893.00
|
100.00
|
359
|
40.89
|
8.326
|
631
|
82.48
|
DESCRIPTION
OF THE GROUP II COLLATERAL
|
Principal
Balance as of the Cut-Off Date
|
||||||||
RANGE
OF PRINCIPAL BALANCES AS OF THE
CUT-OFF
DATE ($)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS
OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
0.01
- 25,000.00
|
5
|
110,882.28
|
0.02
|
358
|
33.84
|
10.621
|
617
|
100.00
|
25,000.01
- 50,000.00
|
68
|
2,688,900.26
|
0.38
|
358
|
41.57
|
12.519
|
642
|
100.00
|
50,000.01
- 100,000.00
|
371
|
28,102,524.95
|
3.99
|
355
|
39.03
|
9.715
|
609
|
86.97
|
100,000.01
- 150,000.00
|
287
|
36,254,920.30
|
5.14
|
358
|
38.35
|
9.030
|
619
|
82.71
|
150,000.01
- 200,000.00
|
305
|
53,543,385.63
|
7.59
|
359
|
40.30
|
8.577
|
629
|
81.82
|
200,000.01
- 250,000.00
|
242
|
54,453,273.88
|
7.72
|
358
|
40.62
|
8.295
|
630
|
82.12
|
250,000.01
- 300,000.00
|
214
|
58,663,262.07
|
8.32
|
359
|
40.28
|
8.152
|
644
|
82.02
|
300,000.01
- 350,000.00
|
176
|
56,937,372.32
|
8.07
|
359
|
42.83
|
8.155
|
641
|
82.01
|
350,000.01
- 400,000.00
|
146
|
54,554,704.94
|
7.74
|
359
|
41.90
|
8.061
|
642
|
82.19
|
400,000.01
- 450,000.00
|
177
|
75,970,684.47
|
10.77
|
359
|
42.21
|
8.220
|
635
|
82.82
|
450,000.01
- 500,000.00
|
188
|
89,637,784.39
|
12.71
|
359
|
41.12
|
8.204
|
632
|
82.86
|
500,000.01
- 550,000.00
|
98
|
51,448,133.69
|
7.30
|
359
|
40.90
|
8.060
|
633
|
82.09
|
550,000.01
- 600,000.00
|
81
|
46,611,363.60
|
6.61
|
359
|
41.29
|
8.334
|
630
|
84.04
|
600,000.01
- 650,000.00
|
46
|
28,923,201.30
|
4.10
|
359
|
40.06
|
8.207
|
625
|
84.04
|
650,000.01
- 700,000.00
|
26
|
17,439,214.84
|
2.47
|
359
|
42.50
|
8.227
|
626
|
82.51
|
700,000.01
- 750,000.00
|
16
|
11,603,381.28
|
1.65
|
358
|
35.97
|
7.883
|
614
|
78.70
|
750,000.01
>=
|
46
|
38,245,415.55
|
5.42
|
359
|
40.24
|
8.040
|
612
|
77.92
|
Total:
|
2,492
|
705,188,405.75
|
100.00
|
359
|
40.89
|
8.326
|
631
|
82.48
|
Remaining
Term to Maturity
|
||||||||
RANGE
OF MONTHS REMAINING
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS
OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
121
to 180
|
7
|
643,172.50
|
0.09
|
179
|
28.99
|
8.420
|
586
|
73.64
|
181
to 240
|
3
|
270,047.29
|
0.04
|
239
|
30.03
|
7.378
|
628
|
73.82
|
301
to 360
|
2,482
|
704,275,185.96
|
99.87
|
359
|
40.91
|
8.326
|
631
|
82.49
|
Total:
|
2,492
|
705,188,405.75
|
100.00
|
359
|
40.89
|
8.326
|
631
|
82.48
|
DESCRIPTION
OF THE GROUP II COLLATERAL
|
Mortgage
Rates
|
|||||||||
RANGE
OF CURRENT
MORTGAGE
RATES
(%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
|
6.000
- 6.499
|
10
|
4,999,966.74
|
0.71
|
358
|
46.95
|
6.344
|
614
|
81.88
|
|
6.500
- 6.999
|
139
|
52,983,511.54
|
7.51
|
358
|
38.29
|
6.830
|
646
|
80.22
|
|
7.000
- 7.499
|
292
|
100,881,128.26
|
14.31
|
358
|
39.27
|
7.247
|
638
|
78.42
|
|
7.500
- 7.999
|
512
|
162,684,194.92
|
23.07
|
359
|
41.60
|
7.756
|
646
|
80.52
|
|
8.000
- 8.499
|
389
|
115,454,187.11
|
16.37
|
359
|
41.37
|
8.239
|
630
|
81.50
|
|
8.500
- 8.999
|
399
|
113,995,708.95
|
16.17
|
359
|
41.70
|
8.715
|
625
|
83.65
|
|
9.000
- 9.499
|
203
|
58,008,149.25
|
8.23
|
359
|
41.34
|
9.215
|
620
|
85.58
|
|
9.500
- 9.999
|
192
|
46,165,313.46
|
6.55
|
359
|
40.72
|
9.759
|
601
|
86.19
|
|
10.000
- 10.499
|
82
|
17,535,261.50
|
2.49
|
358
|
40.25
|
10.168
|
597
|
89.67
|
|
10.500
- 10.999
|
44
|
10,671,644.37
|
1.51
|
359
|
38.64
|
10.703
|
594
|
90.94
|
|
11.000
- 11.499
|
31
|
6,132,879.72
|
0.87
|
358
|
38.28
|
11.235
|
591
|
89.53
|
|
11.500
- 11.999
|
41
|
5,049,950.80
|
0.72
|
358
|
41.41
|
11.814
|
622
|
89.18
|
|
12.000
- 12.499
|
34
|
2,671,560.67
|
0.38
|
358
|
42.72
|
12.176
|
644
|
100.00
|
|
12.500
- 12.999
|
112
|
7,334,399.68
|
1.04
|
359
|
45.45
|
12.714
|
630
|
100.00
|
|
13.000
- 13.499
|
12
|
620,548.78
|
0.09
|
359
|
45.88
|
13.085
|
588
|
100.00
|
|
Total:
|
2,492
|
705,188,405.75
|
100.00
|
359
|
40.89
|
8.326
|
631
|
82.48
|
Original
Loan-to-Value Ratios(1)
|
||||||||
RANGE
OF ORIGINAL
LOAN-TO-VALUE
RATIOS
(%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV2
(%)
|
0.01
to 25.00
|
1
|
61,952.58
|
0.01
|
359
|
54.00
|
7.350
|
689
|
24.60
|
35.01
to 40.00
|
5
|
388,802.49
|
0.06
|
295
|
43.06
|
7.930
|
562
|
37.51
|
40.01
to 45.00
|
3
|
964,352.73
|
0.14
|
359
|
51.98
|
8.010
|
537
|
42.22
|
45.01
to 50.00
|
4
|
1,430,041.36
|
0.20
|
359
|
34.48
|
7.530
|
631
|
48.64
|
50.01
to 55.00
|
12
|
3,634,803.65
|
0.52
|
359
|
45.77
|
7.803
|
555
|
53.11
|
55.01
to 60.00
|
22
|
4,828,077.23
|
0.68
|
359
|
41.99
|
8.150
|
608
|
57.94
|
60.01
to 65.00
|
27
|
7,087,055.23
|
1.00
|
357
|
37.87
|
8.449
|
603
|
63.84
|
65.01
to 70.00
|
53
|
19,588,011.79
|
2.78
|
358
|
39.75
|
8.067
|
598
|
68.58
|
70.01
to 75.00
|
92
|
31,298,554.67
|
4.44
|
358
|
43.55
|
8.090
|
573
|
74.14
|
75.01
to 80.00
|
1,332
|
395,947,332.99
|
56.15
|
359
|
41.32
|
7.965
|
647
|
79.92
|
80.01
to 85.00
|
140
|
44,264,185.37
|
6.28
|
358
|
39.57
|
8.308
|
599
|
84.46
|
85.01
to 90.00
|
368
|
115,219,071.06
|
16.34
|
359
|
39.18
|
8.631
|
613
|
89.79
|
90.01
to 95.00
|
205
|
62,944,281.62
|
8.93
|
358
|
40.95
|
9.290
|
634
|
94.84
|
95.01
to 100.00
|
228
|
17,531,882.98
|
2.49
|
358
|
41.99
|
11.966
|
647
|
99.95
|
Total:
|
2,492
|
705,188,405.75
|
100.00
|
359
|
40.89
|
8.326
|
631
|
82.48
|
DESCRIPTION
OF THE GROUP II COLLATERAL
|
FICO
Score at Origination
|
||||||||
RANGE
OF FICO SCORES
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON (%)
|
FICO
|
OLTV1
(%)
|
500
to 519
|
69
|
16,387,553.44
|
2.32
|
358
|
42.90
|
9.291
|
510
|
77.14
|
520
to 539
|
93
|
24,971,119.97
|
3.54
|
358
|
39.95
|
9.023
|
531
|
79.01
|
540
to 559
|
137
|
39,175,548.91
|
5.56
|
359
|
39.87
|
8.577
|
550
|
81.65
|
560
to 579
|
136
|
36,759,907.93
|
5.21
|
358
|
40.13
|
8.922
|
570
|
82.42
|
580
to 599
|
273
|
66,740,176.17
|
9.46
|
358
|
41.43
|
8.559
|
589
|
83.91
|
600
to 619
|
312
|
88,267,080.70
|
12.52
|
358
|
40.84
|
8.232
|
609
|
83.81
|
620
to 639
|
471
|
140,792,302.96
|
19.97
|
359
|
41.16
|
8.224
|
629
|
82.76
|
640
to 659
|
356
|
98,064,724.43
|
13.91
|
359
|
40.54
|
8.149
|
650
|
82.30
|
660
to 679
|
221
|
65,061,460.63
|
9.23
|
359
|
41.06
|
8.106
|
668
|
82.15
|
680
to 699
|
172
|
51,488,750.42
|
7.30
|
359
|
40.44
|
8.090
|
688
|
81.70
|
700
to 719
|
95
|
31,406,812.35
|
4.45
|
359
|
42.26
|
8.064
|
710
|
82.50
|
720
to 739
|
64
|
19,897,918.98
|
2.82
|
359
|
40.65
|
8.159
|
728
|
83.31
|
740
to 759
|
51
|
16,105,874.37
|
2.28
|
359
|
40.67
|
8.046
|
748
|
82.58
|
760
to 779
|
29
|
7,650,407.78
|
1.08
|
359
|
41.85
|
8.383
|
769
|
82.69
|
780
to 799
|
10
|
1,707,099.85
|
0.24
|
359
|
37.10
|
9.134
|
786
|
92.64
|
800
or greater
|
3
|
711,666.86
|
0.10
|
359
|
45.59
|
8.516
|
804
|
81.54
|
Total:
|
2,492
|
705,188,405.75
|
100.00
|
359
|
40.89
|
8.326
|
631
|
82.48
|
Debt-to-Income
Ratio
|
|||||||||
RANGE
OF DEBT-TO-INCOME RATIOS (%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
|
0.01
- 20.00
|
105
|
30,705,629.06
|
4.35
|
358
|
14.12
|
8.200
|
618
|
83.24
|
|
20.01
- 25.00
|
98
|
23,196,092.71
|
3.29
|
358
|
22.98
|
8.237
|
620
|
82.51
|
|
25.01
- 30.00
|
165
|
38,673,340.78
|
5.48
|
357
|
27.94
|
8.309
|
628
|
82.10
|
|
30.01
- 35.00
|
226
|
59,337,919.29
|
8.41
|
359
|
33.23
|
8.252
|
641
|
83.06
|
|
35.01
- 40.00
|
383
|
106,863,235.36
|
15.15
|
359
|
38.24
|
8.268
|
630
|
82.72
|
|
40.01
- 45.00
|
589
|
173,878,921.71
|
24.66
|
359
|
43.27
|
8.281
|
638
|
82.33
|
|
45.01
- 50.00
|
880
|
256,153,290.59
|
36.32
|
359
|
48.17
|
8.426
|
631
|
83.15
|
|
50.01
- 55.00
|
46
|
16,379,976.25
|
2.32
|
358
|
53.14
|
8.288
|
574
|
69.34
|
|
Total:
|
2,492
|
705,188,405.75
|
100.00
|
359
|
40.89
|
8.326
|
631
|
82.48
|
DESCRIPTION
OF THE GROUP II COLLATERAL
|
Geographic
Distribution
|
||||||||
STATE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
Alabama
|
2
|
267,158.18
|
0.04
|
356
|
47.00
|
9.508
|
554
|
90.00
|
Alaska
|
6
|
1,413,808.60
|
0.20
|
359
|
34.22
|
7.954
|
615
|
83.45
|
Arizona
|
225
|
43,965,073.78
|
6.23
|
359
|
40.10
|
8.488
|
626
|
82.37
|
Arkansas
|
2
|
174,865.84
|
0.02
|
356
|
45.72
|
10.789
|
536
|
82.17
|
California
|
827
|
328,746,479.72
|
46.62
|
359
|
41.78
|
8.153
|
638
|
82.31
|
Colorado
|
21
|
6,393,624.67
|
0.91
|
359
|
39.29
|
8.218
|
629
|
82.22
|
Connecticut
|
10
|
3,734,064.25
|
0.53
|
359
|
41.02
|
8.763
|
620
|
86.70
|
Delaware
|
3
|
1,057,100.44
|
0.15
|
358
|
43.47
|
8.941
|
652
|
76.09
|
Florida
|
372
|
83,419,190.41
|
11.83
|
358
|
40.29
|
8.374
|
634
|
81.19
|
Georgia
|
5
|
833,285.68
|
0.12
|
359
|
44.08
|
8.455
|
583
|
82.81
|
Hawaii
|
12
|
5,456,259.43
|
0.77
|
359
|
39.83
|
7.481
|
666
|
77.34
|
Illinois
|
129
|
38,623,007.31
|
5.48
|
359
|
41.03
|
8.694
|
631
|
85.29
|
Indiana
|
20
|
1,947,236.62
|
0.28
|
359
|
33.14
|
9.231
|
586
|
88.90
|
Iowa
|
5
|
479,957.77
|
0.07
|
359
|
38.14
|
8.232
|
587
|
81.08
|
Kansas
|
6
|
1,204,798.15
|
0.17
|
359
|
35.30
|
9.416
|
637
|
87.68
|
Kentucky
|
9
|
1,771,883.47
|
0.25
|
359
|
40.15
|
7.606
|
634
|
85.77
|
Louisiana
|
25
|
3,168,310.72
|
0.45
|
355
|
38.77
|
9.286
|
603
|
84.40
|
Maine
|
5
|
1,768,144.69
|
0.25
|
358
|
42.93
|
9.162
|
543
|
63.15
|
Maryland
|
58
|
17,054,591.80
|
2.42
|
359
|
42.07
|
8.108
|
602
|
81.92
|
Massachusetts
|
31
|
10,640,923.64
|
1.51
|
359
|
41.33
|
8.473
|
622
|
83.91
|
Michigan
|
64
|
7,609,782.72
|
1.08
|
359
|
38.87
|
8.951
|
587
|
82.92
|
Minnesota
|
6
|
1,486,200.15
|
0.21
|
359
|
42.91
|
8.803
|
559
|
85.95
|
Mississippi
|
6
|
780,164.46
|
0.11
|
359
|
41.06
|
7.944
|
600
|
80.91
|
Missouri
|
40
|
5,245,919.40
|
0.74
|
359
|
37.59
|
8.812
|
593
|
86.11
|
Nebraska
|
6
|
1,114,691.11
|
0.16
|
358
|
31.83
|
8.499
|
610
|
84.18
|
Nevada
|
78
|
21,925,029.24
|
3.11
|
359
|
36.76
|
8.299
|
632
|
82.27
|
New
Jersey
|
52
|
18,562,894.07
|
2.63
|
359
|
39.18
|
8.548
|
620
|
83.74
|
New
Mexico
|
13
|
2,268,023.86
|
0.32
|
359
|
40.13
|
8.720
|
649
|
83.09
|
New
York
|
96
|
38,371,648.58
|
5.44
|
359
|
43.10
|
8.292
|
632
|
80.94
|
North
Carolina
|
7
|
1,113,445.10
|
0.16
|
359
|
43.69
|
8.718
|
628
|
87.61
|
Ohio
|
77
|
6,998,794.78
|
0.99
|
354
|
35.85
|
8.675
|
593
|
86.80
|
Oklahoma
|
10
|
1,141,972.58
|
0.16
|
359
|
40.02
|
8.991
|
609
|
82.33
|
Oregon
|
8
|
1,346,516.09
|
0.19
|
359
|
37.75
|
8.429
|
653
|
81.14
|
Pennsylvania
|
32
|
4,533,809.40
|
0.64
|
359
|
39.08
|
8.545
|
576
|
84.16
|
Rhode
Island
|
5
|
1,592,853.83
|
0.23
|
359
|
33.44
|
7.435
|
664
|
81.47
|
South
Carolina
|
6
|
740,435.79
|
0.10
|
359
|
40.13
|
9.108
|
590
|
86.61
|
Tennessee
|
14
|
1,617,279.05
|
0.23
|
349
|
42.09
|
9.607
|
562
|
90.50
|
Texas
|
116
|
17,669,920.51
|
2.51
|
359
|
39.69
|
8.910
|
625
|
84.04
|
Utah
|
42
|
10,067,934.23
|
1.43
|
359
|
40.03
|
8.331
|
647
|
81.16
|
Washington
|
21
|
5,520,856.32
|
0.78
|
359
|
36.22
|
8.349
|
619
|
82.74
|
Wisconsin
|
17
|
2,760,614.38
|
0.39
|
359
|
40.61
|
9.314
|
620
|
87.91
|
Wyoming
|
3
|
599,854.93
|
0.09
|
359
|
41.98
|
7.740
|
693
|
80.00
|
Total:
|
2,492
|
705,188,405.75
|
100.00
|
359
|
40.89
|
8.326
|
631
|
82.48
|
DESCRIPTION
OF THE GROUP II COLLATERAL
|
Occupancy
Status
|
||||||||
OCCUPANCY
STATUS*
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON (%)
|
FICO
|
OLTV1
(%)
|
Primary
|
2,400
|
687,822,533.27
|
97.54
|
359
|
41.02
|
8.309
|
631
|
82.39
|
Investor
|
87
|
15,230,243.61
|
2.16
|
359
|
34.35
|
8.970
|
641
|
86.64
|
Second
Home
|
5
|
2,135,628.87
|
0.30
|
359
|
46.30
|
9.131
|
662
|
81.18
|
Total:
|
2,492
|
705,188,405.75
|
100.00
|
359
|
40.89
|
8.326
|
631
|
82.48
|
Documentation
Type
|
||||||||
INCOME
DOCUMENTATION
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON (%)
|
FICO
|
OLTV1
(%)
|
Full
Documentation
|
1,149
|
310,013,238.94
|
43.96
|
358
|
39.23
|
7.950
|
613
|
82.03
|
Stated
Documentation
|
1,086
|
317,330,213.39
|
45.00
|
359
|
43.09
|
8.730
|
651
|
83.03
|
Limited
Documentation
|
257
|
77,844,953.42
|
11.04
|
359
|
38.57
|
8.176
|
617
|
82.03
|
Total:
|
2,492
|
705,188,405.75
|
100.00
|
359
|
40.89
|
8.326
|
631
|
82.48
|
Loan
Purpose
|
||||||||
PURPOSE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON (%)
|
FICO
|
OLTV1
(%)
|
Purchase
|
1,967
|
509,992,775.14
|
72.32
|
359
|
40.85
|
8.351
|
643
|
83.23
|
Refinance-Debt
Consolidation No Cash Out**
|
42
|
16,207,392.83
|
2.30
|
359
|
40.98
|
7.967
|
639
|
82.29
|
Refinance-Debt
Consolidation Cash Out***
|
483
|
178,988,237.78
|
25.38
|
358
|
41.03
|
8.286
|
595
|
80.35
|
Total:
|
2,492
|
705,188,405.75
|
100.00
|
359
|
40.89
|
8.326
|
631
|
82.48
|
DESCRIPTION
OF THE GROUP II COLLATERAL
|
Credit
Grade
|
||||||||
RISK
CATEGORY
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
I
|
2,184
|
599,585,592.55
|
85.02
|
359
|
40.93
|
8.249
|
640
|
82.75
|
II
|
204
|
70,506,949.90
|
10.00
|
358
|
40.03
|
8.584
|
588
|
83.39
|
III
|
50
|
17,740,046.28
|
2.52
|
358
|
39.20
|
8.900
|
566
|
80.45
|
IV
|
41
|
13,420,764.99
|
1.90
|
359
|
44.62
|
8.845
|
554
|
73.05
|
V
|
13
|
3,935,052.03
|
0.56
|
358
|
45.35
|
10.998
|
552
|
66.32
|
Total:
|
2,492
|
705,188,405.75
|
100.00
|
359
|
40.89
|
8.326
|
631
|
82.48
|
Property
Type
|
||||||||
PROPERTY
TYPE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
Single
Family
|
1,736
|
503,170,211.59
|
71.35
|
359
|
40.65
|
8.296
|
629
|
82.46
|
PUD
|
364
|
101,991,880.29
|
14.46
|
359
|
40.81
|
8.293
|
626
|
81.65
|
Condo
|
234
|
52,893,490.69
|
7.50
|
359
|
41.28
|
8.507
|
645
|
82.51
|
Two-to-Four
Family
|
146
|
44,368,807.42
|
6.29
|
358
|
43.42
|
8.520
|
646
|
84.52
|
PUD
Attached
|
11
|
2,500,116.63
|
0.35
|
359
|
40.55
|
8.490
|
634
|
84.75
|
Single
Family Attached
|
1
|
263,899.13
|
0.04
|
359
|
38.00
|
6.990
|
716
|
80.00
|
Total:
|
2,492
|
705,188,405.75
|
100.00
|
359
|
40.89
|
8.326
|
631
|
82.48
|
Prepayment
Charge Term
|
||||||||
PREPAYMENT
CHARGE
TERM
AT ORIGINATION
(MONTHS)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
No
Prepayment Penalty
|
921
|
256,051,323.99
|
36.31
|
359
|
41.18
|
8.876
|
631
|
84.01
|
12
Months
|
130
|
49,778,661.32
|
7.06
|
359
|
41.31
|
8.299
|
636
|
82.96
|
24
Months
|
1,175
|
341,135,456.35
|
48.38
|
359
|
40.87
|
7.983
|
632
|
81.54
|
36
Months
|
266
|
58,222,964.09
|
8.26
|
357
|
39.44
|
7.934
|
622
|
80.83
|
Total:
|
2,492
|
705,188,405.75
|
100.00
|
359
|
40.89
|
8.326
|
631
|
82.48
|
Conforming
Balances
|
||||||||
CONFORMING
BALANCE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
Conforming
|
1,830
|
365,848,042.31
|
51.88
|
358
|
40.70
|
8.415
|
635
|
82.60
|
Non-Conforming
|
662
|
339,340,363.44
|
48.12
|
359
|
41.10
|
8.229
|
627
|
82.35
|
Total:
|
2,492
|
705,188,405.75
|
100.00
|
359
|
40.89
|
8.326
|
631
|
82.48
|
DESCRIPTION
OF THE GROUP II COLLATERAL
|
Maximum
Mortgage Rates of the Adjustable-Rate Loans
|
|||||||||
RANGE
OF MAXIMUM
MORTGAGE
RATES (%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
|
12.000
- 12.499
|
9
|
4,902,123.53
|
0.75
|
358
|
46.89
|
6.344
|
614
|
82.02
|
|
12.500
- 12.999
|
124
|
48,343,516.17
|
7.43
|
358
|
38.41
|
6.822
|
650
|
80.53
|
|
13.000
- 13.499
|
246
|
87,791,433.01
|
13.49
|
359
|
40.08
|
7.243
|
637
|
78.87
|
|
13.500
- 13.999
|
472
|
152,968,355.77
|
23.51
|
359
|
41.70
|
7.755
|
647
|
80.55
|
|
14.000
- 14.499
|
356
|
110,794,532.01
|
17.03
|
359
|
41.53
|
8.238
|
631
|
81.52
|
|
14.500
- 14.999
|
372
|
109,934,278.60
|
16.90
|
359
|
41.74
|
8.717
|
625
|
83.68
|
|
15.000
- 15.499
|
190
|
56,651,857.96
|
8.71
|
359
|
41.40
|
9.216
|
621
|
85.64
|
|
15.500
- 15.999
|
173
|
44,199,085.27
|
6.79
|
359
|
40.74
|
9.758
|
601
|
86.24
|
|
16.000
- 16.499
|
66
|
15,940,536.11
|
2.45
|
359
|
40.62
|
10.167
|
595
|
89.43
|
|
16.500
- 16.999
|
40
|
10,387,888.10
|
1.60
|
359
|
38.56
|
10.702
|
594
|
90.81
|
|
17.000
- 17.499
|
24
|
5,353,196.32
|
0.82
|
359
|
37.57
|
11.227
|
583
|
88.62
|
|
17.500
- 17.999
|
14
|
3,074,558.40
|
0.47
|
358
|
41.79
|
11.799
|
569
|
83.14
|
|
18.000
- 18.499
|
1
|
118,966.32
|
0.02
|
359
|
26.00
|
12.050
|
730
|
100.00
|
|
18.500
- 18.999
|
1
|
142,964.21
|
0.02
|
359
|
18.00
|
12.600
|
600
|
100.00
|
|
Total:
|
2,088
|
650,603,291.78
|
100.00
|
359
|
41.04
|
8.270
|
631
|
82.32
|
|
|||||||||
Minimum
Mortgage Rates of the Adjustable-Rate Loans
|
|||||||||
RANGE
OF MINIMUM
MORTGAGE
RATES (%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
|
6.000
- 6.499
|
9
|
4,902,123.53
|
0.75
|
358
|
46.89
|
6.344
|
614
|
82.02
|
|
6.500
- 6.999
|
124
|
48,343,516.17
|
7.43
|
358
|
38.41
|
6.822
|
650
|
80.53
|
|
7.000
- 7.499
|
246
|
87,791,433.01
|
13.49
|
359
|
40.08
|
7.243
|
637
|
78.87
|
|
7.500
- 7.999
|
472
|
152,968,355.77
|
23.51
|
359
|
41.70
|
7.755
|
647
|
80.55
|
|
8.000
- 8.499
|
356
|
110,794,532.01
|
17.03
|
359
|
41.53
|
8.238
|
631
|
81.52
|
|
8.500
- 8.999
|
372
|
109,934,278.60
|
16.90
|
359
|
41.74
|
8.717
|
625
|
83.68
|
|
9.000
- 9.499
|
190
|
56,651,857.96
|
8.71
|
359
|
41.40
|
9.216
|
621
|
85.64
|
|
9.500
- 9.999
|
173
|
44,199,085.27
|
6.79
|
359
|
40.74
|
9.758
|
601
|
86.24
|
|
10.000
- 10.499
|
66
|
15,940,536.11
|
2.45
|
359
|
40.62
|
10.167
|
595
|
89.43
|
|
10.500
- 10.999
|
40
|
10,387,888.10
|
1.60
|
359
|
38.56
|
10.702
|
594
|
90.81
|
|
11.000
- 11.499
|
24
|
5,353,196.32
|
0.82
|
359
|
37.57
|
11.227
|
583
|
88.62
|
|
11.500
- 11.999
|
14
|
3,074,558.40
|
0.47
|
358
|
41.79
|
11.799
|
569
|
83.14
|
|
12.000
- 12.499
|
1
|
118,966.32
|
0.02
|
359
|
26.00
|
12.050
|
730
|
100.00
|
|
12.500
- 12.999
|
1
|
142,964.21
|
0.02
|
359
|
18.00
|
12.600
|
600
|
100.00
|
|
Total:
|
2,088
|
650,603,291.78
|
100.00
|
359
|
41.04
|
8.270
|
631
|
82.32
|
Gross
Margins of the Adjustable-Rate Loans
|
||||||||
RANGE
OF GROSS
MARGINS
(%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
4.500
- 4.999
|
19
|
8,559,061.89
|
1.32
|
359
|
37.98
|
8.688
|
616
|
84.43
|
6.000
- 6.499
|
2,068
|
641,528,229.89
|
98.61
|
359
|
41.09
|
8.265
|
631
|
82.30
|
7.000
- 7.499
|
1
|
516,000.00
|
0.08
|
359
|
36.00
|
7.100
|
655
|
80.00
|
Total:
|
2,088
|
650,603,291.78
|
100.00
|
359
|
41.04
|
8.270
|
631
|
82.32
|
DESCRIPTION
OF THE GROUP II COLLATERAL
|
Next
Rate Adjustment Date of the Adjustable-Rate
Loans
|
||||||||
NEXT
RATE ADJUSTMENT
DATE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
3
|
762,400.85
|
0.12
|
353
|
47.46
|
7.874
|
634
|
94.08
|
|
6
|
2,145,788.71
|
0.33
|
354
|
37.89
|
7.618
|
630
|
85.91
|
|
6
|
2,220,541.25
|
0.34
|
355
|
45.19
|
8.583
|
646
|
82.53
|
|
23
|
7,869,807.15
|
1.21
|
356
|
42.99
|
8.932
|
597
|
83.64
|
|
25
|
9,709,441.40
|
1.49
|
357
|
42.61
|
8.502
|
628
|
82.49
|
|
45
|
14,884,291.40
|
2.29
|
358
|
39.37
|
7.880
|
631
|
83.45
|
|
1,535
|
475,051,093.47
|
73.02
|
359
|
41.01
|
8.228
|
634
|
82.04
|
|
1
|
198,995.00
|
0.03
|
360
|
50.00
|
7.990
|
645
|
80.00
|
|
5
|
1,276,517.64
|
0.20
|
354
|
44.73
|
7.701
|
611
|
92.49
|
|
3
|
776,478.08
|
0.12
|
355
|
47.41
|
7.652
|
621
|
87.80
|
|
4
|
297,634.08
|
0.05
|
356
|
32.76
|
8.649
|
556
|
84.14
|
|
14
|
4,410,435.77
|
0.68
|
357
|
39.37
|
8.280
|
622
|
86.12
|
|
17
|
5,988,571.78
|
0.92
|
358
|
41.64
|
7.799
|
614
|
83.17
|
|
401
|
125,011,295.20
|
19.21
|
359
|
41.03
|
8.455
|
623
|
82.73
|
|
Total:
|
2,088
|
650,603,291.78
|
100.00
|
359
|
41.04
|
8.270
|
631
|
82.32
|
Initial
Periodic Rate Cap of the Adjustable-Rate Loans
|
||||||||
INITIAL
PERIODIC
CAP
(%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
2.000
|
2,088
|
650,603,291.78
|
100.00
|
359
|
41.04
|
8.270
|
631
|
82.32
|
Total:
|
2,088
|
650,603,291.78
|
100.00
|
359
|
41.04
|
8.270
|
631
|
82.32
|
Periodic
Rate Cap of the Adjustable-Rate Loans
|
||||||||
PERIODIC
CAP
(%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
1.000
|
2,088
|
650,603,291.78
|
100.00
|
359
|
41.04
|
8.270
|
631
|
82.32
|
Total:
|
2,088
|
650,603,291.78
|
100.00
|
359
|
41.04
|
8.270
|
631
|
82.32
|
Historical
Delinquency of the Mortgage Loans Since
Origination
|
||||||||
STATUS
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
1
x
30
|
15
|
3,852,035.82
|
0.55
|
355
|
41.94
|
8.493
|
610
|
83.04
|
Never
Delinquent
|
2,477
|
701,336,369.93
|
99.45
|
359
|
40.89
|
8.325
|
631
|
82.48
|
Total:
|
2,492
|
705,188,405.75
|
100.00
|
359
|
40.89
|
8.326
|
631
|
82.48
|
DESCRIPTION
OF THE INTEREST ONLY
COLLATERAL
|
Collateral
Summary
|
||
Statistics
given below are for the Mortgage Loans in the pool as of the
Cut-off Date.
Balances and percentages are based on the Cut-off Date scheduled
balances
of such Mortgage Loans (except in the case of Debt-to-Income
and FICO,
which are determined at origination).
|
||
Summary
Statistics
|
Range
(if applicable)
|
|
Number
of Mortgage Loans
|
786
|
|
Aggregate
Current Principal Balance
|
$255,576,615
|
|
Average
Current Principal Balance
|
$325,161
|
$65,000
to $820,000
|
Aggregate
Original Principal Balance
|
$255,577,793
|
|
Average
Original Principal Balance
|
$325,163
|
$65,000
to $820,000
|
Fully
Amortizing Mortgage Loans
|
100.00%
|
|
1st
Lien
|
100.00%
|
|
Weighted
Avg. Gross Coupon
|
7.789%
|
6.150%
to 11.487%
|
Weighted
Avg. Original Term (months)
|
360
|
240
to 360
|
Weighted
Avg. Remaining Term (months)
|
359
|
239
to 360
|
Weighted
Avg. Margin (ARM Loans Only)
|
5.984%
|
4.500%
to 7.125%
|
Weighted
Avg. Maximum Rate (ARM Loans Only)
|
13.794%
|
12.150%
to 17.487%
|
Weighted
Avg. Minimum Rate (ARM Loans Only)
|
7.794%
|
6.150%
to 11.487%
|
Weighted
Avg. Original LTV (1)
|
82.17%
|
35.14%
to 95.00%
|
Weighted
Avg. Borrower FICO
|
655
|
600
to 804
|
Geographic
Distribution (Top 5)
|
CA
(57.37%)
|
|
FL
(9.11%)
|
||
AZ
(6.80%)
|
||
NY
(4.06%)
|
||
IL
(3.88%)
|
DESCRIPTION
OF THE INTEREST ONLY
COLLATERAL
|
Collateral
Type
|
||||||||||||
COLLATERAL
TYPE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS
OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON (%)
|
FICO
|
OLTV1
(%)
|
||||
2/6
MONTH LIBOR -2 YR IO
|
1
|
248,000.00
|
0.10
|
353
|
40.00
|
7.850
|
644
|
80.00
|
||||
2/6
MONTH LIBOR - 5 YR IO
|
600
|
198,832,398.34
|
77.80
|
359
|
39.66
|
7.760
|
657
|
82.08
|
||||
3/6
MONTH LIBOR - 5 YR IO
|
152
|
48,028,112.23
|
18.79
|
359
|
40.68
|
7.932
|
650
|
83.33
|
||||
FIXED
RATE - 5YR IO
|
33
|
8,468,104.68
|
3.31
|
359
|
38.02
|
7.653
|
649
|
77.79
|
||||
Total:
|
786
|
255,576,615.25
|
100.00
|
359
|
39.79
|
7.789
|
655
|
82.17
|
||||
1
Original
LTV if first lien, combined LTV if second
lien.
|
Principal
Balances at Origination*
|
||||||||||||
RANGE
OF
PRINCIPAL
BALANCES
AT
ORIGINATION ($)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF
ORIGINATION
($)
|
%
OF PRINCIPAL
BALANCE
AS
OF
ORIGINATION
|
REMAINING
TERM
TO
MATURITY
(months)*
|
DEBT-TO-INCOME
(%)*
|
GROSS
COUPON (%)*
|
FICO*
|
OLTV1
(%)*
|
||||
50,000.01
- 100,000.00
|
16
|
1,389,650.00
|
0.54
|
358
|
33.61
|
8.664
|
651
|
83.43
|
||||
100,000.01
- 150,000.00
|
78
|
9,975,276.00
|
3.90
|
358
|
39.04
|
8.016
|
657
|
78.57
|
||||
150,000.01
- 200,000.00
|
109
|
19,107,259.00
|
7.48
|
359
|
40.05
|
7.952
|
658
|
81.80
|
||||
200,000.01
- 250,000.00
|
99
|
22,477,457.00
|
8.79
|
359
|
39.49
|
7.796
|
649
|
80.79
|
||||
250,000.01
- 300,000.00
|
95
|
26,389,171.00
|
10.33
|
359
|
39.06
|
7.673
|
655
|
81.73
|
||||
300,000.01
- 350,000.00
|
71
|
22,907,643.00
|
8.96
|
359
|
38.67
|
7.824
|
657
|
81.96
|
||||
350,000.01
- 400,000.00
|
70
|
26,250,084.00
|
10.27
|
359
|
40.43
|
7.545
|
651
|
80.95
|
||||
400,000.01
- 450,000.00
|
75
|
32,109,494.00
|
12.56
|
359
|
41.31
|
7.719
|
650
|
82.63
|
||||
450,000.01
- 500,000.00
|
70
|
33,145,129.00
|
12.97
|
359
|
40.54
|
7.707
|
663
|
82.69
|
||||
500,000.01
- 550,000.00
|
30
|
15,728,820.00
|
6.15
|
359
|
39.63
|
7.803
|
663
|
82.84
|
||||
550,000.01
- 600,000.00
|
35
|
20,149,710.00
|
7.88
|
359
|
40.47
|
8.087
|
653
|
84.91
|
||||
600,000.01
- 650,000.00
|
18
|
11,202,100.00
|
4.38
|
359
|
38.32
|
7.583
|
663
|
83.50
|
||||
650,000.01
- 700,000.00
|
6
|
4,024,050.00
|
1.57
|
358
|
45.37
|
8.229
|
657
|
80.27
|
||||
700,000.01
- 750,000.00
|
5
|
3,621,500.00
|
1.42
|
358
|
28.78
|
7.897
|
658
|
85.03
|
||||
750,000.01
>=
|
9
|
7,100,450.00
|
2.78
|
359
|
39.25
|
7.904
|
651
|
82.96
|
||||
Total:
|
786
|
255,577,793.00
|
100.00
|
359
|
39.79
|
7.789
|
655
|
82.17
|
DESCRIPTION
OF THE INTEREST ONLY
COLLATERAL
|
Principal
Balance as of the Cut-Off Date
|
||||||||
RANGE
OF PRINCIPAL BALANCES AS OF THE
CUT-OFF
DATE ($)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS
OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
50,000.01
- 100,000.00
|
16
|
1,389,125.23
|
0.54
|
358
|
33.60
|
8.664
|
651
|
83.43
|
100,000.01
- 150,000.00
|
78
|
9,975,276.00
|
3.90
|
358
|
39.04
|
8.016
|
657
|
78.57
|
150,000.01
- 200,000.00
|
109
|
19,107,210.30
|
7.48
|
359
|
40.05
|
7.952
|
658
|
81.80
|
200,000.01
- 250,000.00
|
99
|
22,477,457.00
|
8.79
|
359
|
39.49
|
7.796
|
649
|
80.79
|
250,000.01
- 300,000.00
|
95
|
26,389,170.99
|
10.33
|
359
|
39.06
|
7.673
|
655
|
81.73
|
300,000.01
- 350,000.00
|
71
|
22,907,639.03
|
8.96
|
359
|
38.67
|
7.824
|
657
|
81.96
|
350,000.01
- 400,000.00
|
70
|
26,249,984.00
|
10.27
|
359
|
40.43
|
7.545
|
651
|
80.95
|
400,000.01
- 450,000.00
|
75
|
32,108,994.00
|
12.56
|
359
|
41.31
|
7.719
|
650
|
82.63
|
450,000.01
- 500,000.00
|
70
|
33,145,128.76
|
12.97
|
359
|
40.54
|
7.707
|
663
|
82.69
|
500,000.01
- 550,000.00
|
30
|
15,728,820.00
|
6.15
|
359
|
39.63
|
7.803
|
663
|
82.84
|
550,000.01
- 600,000.00
|
35
|
20,149,709.95
|
7.88
|
359
|
40.47
|
8.087
|
653
|
84.91
|
600,000.01
- 650,000.00
|
18
|
11,202,099.99
|
4.38
|
359
|
38.32
|
7.583
|
663
|
83.50
|
650,000.01
- 700,000.00
|
6
|
4,024,050.00
|
1.57
|
358
|
45.37
|
8.229
|
657
|
80.27
|
700,000.01
- 750,000.00
|
5
|
3,621,500.00
|
1.42
|
358
|
28.78
|
7.897
|
658
|
85.03
|
750,000.01
>=
|
9
|
7,100,450.00
|
2.78
|
359
|
39.25
|
7.904
|
651
|
82.96
|
Total:
|
786
|
255,576,615.25
|
100.00
|
359
|
39.79
|
7.789
|
655
|
82.17
|
Remaining
Term to Maturity
|
||||||||
RANGE
OF MONTHS REMAINING
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS
OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
181
to 240
|
1
|
115,050.00
|
0.05
|
239
|
25.00
|
6.550
|
659
|
65.00
|
301
to 360
|
785
|
255,461,565.25
|
99.95
|
359
|
39.80
|
7.790
|
655
|
82.18
|
Total:
|
786
|
255,576,615.25
|
100.00
|
359
|
39.79
|
7.789
|
655
|
82.17
|
DESCRIPTION
OF THE INTEREST ONLY
COLLATERAL
|
Mortgage
Rates
|
|||||||||
RANGE
OF CURRENT
MORTGAGE
RATES
(%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
|
6.000
- 6.499
|
12
|
4,124,000.00
|
1.61
|
359
|
40.55
|
6.345
|
663
|
78.54
|
|
6.500
- 6.999
|
112
|
41,060,689.46
|
16.07
|
358
|
38.01
|
6.811
|
653
|
80.11
|
|
7.000
- 7.499
|
178
|
57,290,572.94
|
22.42
|
359
|
39.16
|
7.224
|
653
|
80.71
|
|
7.500
- 7.999
|
221
|
71,288,015.00
|
27.89
|
359
|
41.09
|
7.752
|
657
|
80.91
|
|
8.000
- 8.499
|
103
|
31,764,684.23
|
12.43
|
359
|
39.86
|
8.255
|
660
|
83.71
|
|
8.500
- 8.999
|
94
|
28,301,161.62
|
11.07
|
359
|
40.14
|
8.735
|
662
|
85.24
|
|
9.000
- 9.499
|
30
|
10,702,513.00
|
4.19
|
358
|
40.91
|
9.230
|
648
|
88.10
|
|
9.500
- 9.999
|
24
|
7,466,785.00
|
2.92
|
359
|
38.36
|
9.692
|
641
|
87.12
|
|
10.000
- 10.499
|
5
|
1,374,182.00
|
0.54
|
359
|
34.79
|
10.082
|
670
|
92.19
|
|
10.500
- 10.999
|
4
|
1,535,725.00
|
0.60
|
359
|
42.91
|
10.711
|
619
|
92.53
|
|
11.000
- 11.499
|
3
|
668,287.00
|
0.26
|
359
|
44.29
|
11.283
|
613
|
92.41
|
|
Total:
|
786
|
255,576,615.25
|
100.00
|
359
|
39.79
|
7.789
|
655
|
82.17
|
Original
Loan-to-Value Ratios(1)
|
||||||||
RANGE
OF ORIGINAL
LOAN-TO-VALUE
RATIOS
(%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV2
(%)
|
35.01
to 40.00
|
3
|
562,000.00
|
0.22
|
359
|
35.74
|
7.651
|
648
|
36.85
|
40.01
to 45.00
|
1
|
230,000.00
|
0.09
|
359
|
28.00
|
6.300
|
638
|
41.07
|
45.01
to 50.00
|
3
|
325,000.00
|
0.13
|
359
|
41.12
|
7.686
|
614
|
45.49
|
50.01
to 55.00
|
3
|
570,250.00
|
0.22
|
359
|
35.03
|
7.738
|
638
|
52.71
|
55.01
to 60.00
|
7
|
2,542,500.00
|
0.99
|
359
|
38.15
|
7.283
|
656
|
58.34
|
60.01
to 65.00
|
13
|
3,244,177.68
|
1.27
|
355
|
36.50
|
7.251
|
628
|
62.85
|
65.01
to 70.00
|
10
|
2,894,250.00
|
1.13
|
359
|
29.13
|
7.077
|
640
|
68.83
|
70.01
to 75.00
|
20
|
6,911,906.00
|
2.70
|
359
|
39.02
|
7.348
|
633
|
74.17
|
75.01
to 80.00
|
507
|
161,141,531.93
|
63.05
|
359
|
40.53
|
7.678
|
661
|
79.92
|
80.01
to 85.00
|
39
|
13,969,650.00
|
5.47
|
358
|
37.73
|
7.624
|
643
|
84.32
|
85.01
to 90.00
|
97
|
35,625,856.00
|
13.94
|
359
|
38.49
|
7.859
|
648
|
89.63
|
90.01
to 95.00
|
83
|
27,559,493.64
|
10.78
|
358
|
40.33
|
8.745
|
651
|
94.78
|
Total
|
786
|
255,576,615.25
|
100.00
|
359
|
39.79
|
7.789
|
655
|
82.17
|
DESCRIPTION
OF THE INTEREST ONLY
COLLATERAL
|
FICO
Score at Origination
|
||||||||
RANGE
OF FICO SCORES
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON (%)
|
FICO
|
OLTV1
(%)
|
600
to 619
|
103
|
32,254,975.29
|
12.62
|
359
|
39.68
|
7.966
|
609
|
83.52
|
620
to 639
|
232
|
75,236,739.25
|
29.44
|
359
|
39.80
|
7.700
|
629
|
81.89
|
640
to 659
|
163
|
54,929,824.71
|
21.49
|
358
|
39.75
|
7.842
|
650
|
82.15
|
660
to 679
|
119
|
36,215,405.00
|
14.17
|
359
|
40.06
|
7.760
|
668
|
81.35
|
680
to 699
|
70
|
23,874,812.00
|
9.34
|
359
|
40.27
|
7.750
|
689
|
81.67
|
700
to 719
|
37
|
12,576,698.00
|
4.92
|
359
|
41.00
|
7.773
|
710
|
82.55
|
720
to 739
|
25
|
9,330,400.00
|
3.65
|
359
|
37.32
|
7.796
|
728
|
83.39
|
740
to 759
|
26
|
7,133,341.00
|
2.79
|
359
|
39.12
|
7.687
|
748
|
82.31
|
760
to 779
|
6
|
2,038,820.00
|
0.80
|
359
|
41.29
|
7.507
|
769
|
80.73
|
780
to 799
|
3
|
1,351,850.00
|
0.53
|
359
|
32.80
|
8.566
|
783
|
85.72
|
800
or greater
|
2
|
633,750.00
|
0.25
|
359
|
45.87
|
8.483
|
803
|
83.26
|
Total:
|
786
|
255,576,615.25
|
100.00
|
359
|
39.79
|
7.789
|
655
|
82.17
|
Debt-to-Income
Ratio
|
|||||||||
RANGE
OF DEBT-TO-INCOME RATIOS (%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
|
0.01
- 20.00
|
36
|
12,523,195.00
|
4.90
|
359
|
13.11
|
7.744
|
654
|
82.12
|
|
20.01
- 25.00
|
24
|
7,088,349.94
|
2.77
|
357
|
22.74
|
7.346
|
648
|
78.61
|
|
25.01
- 30.00
|
57
|
15,101,975.62
|
5.91
|
359
|
28.04
|
7.756
|
657
|
81.70
|
|
30.01
- 35.00
|
78
|
26,417,415.00
|
10.34
|
359
|
33.03
|
7.836
|
660
|
83.10
|
|
35.01
- 40.00
|
152
|
47,165,010.99
|
18.45
|
359
|
38.22
|
7.761
|
656
|
81.56
|
|
40.01
- 45.00
|
210
|
71,891,573.68
|
28.13
|
359
|
43.19
|
7.765
|
656
|
82.30
|
|
45.01
- 50.00
|
226
|
74,258,189.26
|
29.06
|
359
|
48.25
|
7.867
|
653
|
82.37
|
|
50.01
- 55.00
|
3
|
1,130,905.76
|
0.44
|
356
|
51.98
|
7.967
|
633
|
93.78
|
|
Total:
|
786
|
255,576,615.25
|
100.00
|
359
|
39.79
|
7.789
|
655
|
82.17
|
DESCRIPTION
OF THE INTEREST ONLY
COLLATERAL
|
Geographic
Distribution
|
||||||||
STATE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
Alaska
|
2
|
858,764.00
|
0.34
|
359
|
45.14
|
7.285
|
637
|
80.00
|
Arizona
|
87
|
17,383,505.99
|
6.80
|
358
|
40.33
|
7.750
|
652
|
80.38
|
California
|
361
|
146,631,876.74
|
57.37
|
359
|
40.32
|
7.723
|
655
|
82.24
|
Colorado
|
7
|
2,021,438.00
|
0.79
|
358
|
38.20
|
8.469
|
688
|
86.55
|
Connecticut
|
3
|
644,400.00
|
0.25
|
359
|
34.05
|
7.998
|
680
|
74.49
|
Florida
|
93
|
23,278,564.99
|
9.11
|
359
|
38.09
|
7.870
|
658
|
79.64
|
Georgia
|
4
|
746,361.00
|
0.29
|
359
|
46.74
|
8.433
|
629
|
91.18
|
Hawaii
|
12
|
5,513,450.00
|
2.16
|
359
|
36.61
|
7.626
|
684
|
80.26
|
Illinois
|
36
|
9,922,607.00
|
3.88
|
359
|
41.92
|
8.328
|
653
|
86.91
|
Indiana
|
2
|
441,500.00
|
0.17
|
359
|
26.17
|
8.553
|
685
|
73.90
|
Iowa
|
1
|
216,000.00
|
0.08
|
359
|
40.00
|
7.750
|
629
|
80.00
|
Kentucky
|
3
|
917,197.00
|
0.36
|
359
|
45.55
|
7.084
|
652
|
86.09
|
Maryland
|
22
|
5,609,052.68
|
2.19
|
359
|
41.34
|
7.686
|
639
|
81.49
|
Massachusetts
|
6
|
1,986,705.00
|
0.78
|
359
|
40.80
|
7.967
|
638
|
86.28
|
Michigan
|
11
|
2,078,062.00
|
0.81
|
359
|
40.02
|
7.886
|
662
|
78.67
|
Minnesota
|
3
|
601,500.00
|
0.24
|
358
|
38.03
|
8.551
|
663
|
91.61
|
Missouri
|
6
|
1,076,117.00
|
0.42
|
359
|
34.86
|
8.572
|
633
|
87.49
|
Nebraska
|
2
|
368,000.00
|
0.14
|
356
|
37.77
|
7.634
|
682
|
80.00
|
Nevada
|
25
|
7,881,754.00
|
3.08
|
359
|
32.69
|
7.754
|
660
|
81.63
|
New
Jersey
|
6
|
1,636,675.00
|
0.64
|
358
|
41.55
|
8.269
|
623
|
88.24
|
New
Mexico
|
3
|
366,320.00
|
0.14
|
359
|
36.76
|
8.264
|
651
|
80.00
|
New
York
|
25
|
10,366,705.00
|
4.06
|
358
|
41.19
|
7.714
|
656
|
82.71
|
North
Carolina
|
1
|
113,400.00
|
0.04
|
359
|
19.00
|
8.500
|
630
|
90.00
|
Ohio
|
3
|
431,155.23
|
0.17
|
358
|
35.13
|
8.281
|
654
|
94.19
|
Oregon
|
2
|
328,000.00
|
0.13
|
359
|
35.42
|
7.313
|
631
|
84.17
|
Pennsylvania
|
1
|
144,000.00
|
0.06
|
359
|
37.00
|
8.700
|
706
|
90.00
|
Rhode
Island
|
2
|
1,011,920.00
|
0.40
|
359
|
31.58
|
6.711
|
672
|
80.00
|
South
Carolina
|
1
|
189,600.00
|
0.07
|
359
|
46.00
|
6.990
|
631
|
80.00
|
Texas
|
10
|
2,082,116.00
|
0.81
|
359
|
39.06
|
8.145
|
683
|
88.10
|
Utah
|
25
|
5,847,318.62
|
2.29
|
359
|
40.21
|
8.210
|
664
|
82.49
|
Washington
|
18
|
4,343,750.00
|
1.70
|
359
|
39.33
|
7.629
|
640
|
81.54
|
Wisconsin
|
1
|
220,000.00
|
0.09
|
359
|
45.00
|
8.650
|
631
|
78.57
|
Wyoming
|
2
|
318,800.00
|
0.12
|
359
|
30.57
|
7.837
|
626
|
84.84
|
Total:
|
786
|
255,576,615.25
|
100.00
|
359
|
39.79
|
7.789
|
655
|
82.17
|
DESCRIPTION
OF THE INTEREST ONLY
COLLATERAL
|
Occupancy
Status
|
||||||||
OCCUPANCY
STATUS*
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON (%)
|
FICO
|
OLTV1
(%)
|
Primary
|
773
|
252,161,425.25
|
98.66
|
359
|
39.86
|
7.777
|
655
|
82.18
|
Second
Home
|
13
|
3,415,190.00
|
1.34
|
359
|
35.23
|
8.711
|
687
|
81.72
|
Total:
|
786
|
255,576,615.25
|
100.00
|
359
|
39.79
|
7.789
|
655
|
82.17
|
Documentation
Type
|
||||||||
INCOME
DOCUMENTATION
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON (%)
|
FICO
|
OLTV1
(%)
|
Full
Documentation
|
453
|
142,011,619.41
|
55.57
|
359
|
38.78
|
7.399
|
653
|
81.58
|
Stated
Documentation
|
261
|
90,707,136.00
|
35.49
|
359
|
41.95
|
8.417
|
660
|
82.66
|
Limited
Documentation
|
72
|
22,857,859.84
|
8.94
|
359
|
37.53
|
7.717
|
653
|
83.89
|
Total:
|
786
|
255,576,615.25
|
100.00
|
359
|
39.79
|
7.789
|
655
|
82.17
|
Loan
Purpose
|
||||||||
PURPOSE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON (%)
|
FICO
|
OLTV1
(%)
|
Purchase
|
503
|
162,401,821.94
|
63.54
|
359
|
40.05
|
7.845
|
664
|
81.96
|
Refinance-Debt
Consolidation Cash Out***
|
246
|
80,922,693.31
|
31.66
|
358
|
39.16
|
7.705
|
639
|
82.55
|
Refinance-Debt
Consolidation No Cash Out**
|
37
|
12,252,100.00
|
4.79
|
359
|
40.52
|
7.607
|
654
|
82.48
|
Total:
|
786
|
255,576,615.25
|
100.00
|
359
|
39.79
|
7.789
|
655
|
82.17
|
DESCRIPTION
OF THE INTEREST ONLY
COLLATERAL
|
Credit
Grade
|
||||||||
RISK
CATEGORY
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
I
|
723
|
233,640,996.25
|
91.42
|
359
|
39.85
|
7.757
|
657
|
81.92
|
II
|
63
|
21,935,619.00
|
8.58
|
359
|
39.21
|
8.136
|
641
|
84.80
|
Total:
|
786
|
255,576,615.25
|
100.00
|
359
|
39.79
|
7.789
|
655
|
82.17
|
Property
Type
|
||||||||
PROPERTY
TYPE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
Single
Family
|
588
|
197,542,626.26
|
77.29
|
359
|
39.80
|
7.786
|
655
|
82.44
|
PUD
|
97
|
28,053,070.00
|
10.98
|
359
|
39.24
|
7.741
|
656
|
80.48
|
Condo
|
66
|
16,683,961.00
|
6.53
|
359
|
40.94
|
7.932
|
661
|
81.64
|
Two-to-Four
Family
|
31
|
12,233,057.99
|
4.79
|
358
|
39.87
|
7.751
|
658
|
82.98
|
PUD
Attached
|
3
|
823,900.00
|
0.32
|
359
|
38.64
|
7.772
|
653
|
76.73
|
Single
Family Attached
|
1
|
240,000.00
|
0.09
|
359
|
22.00
|
8.300
|
667
|
75.00
|
Total:
|
786
|
255,576,615.25
|
100.00
|
359
|
39.79
|
7.789
|
655
|
82.17
|
Prepayment
Charge Term
|
||||||||
PREPAYMENT
CHARGE
TERM
AT ORIGINATION
(MONTHS)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
No
Prepayment Penalty
|
209
|
71,692,244.68
|
28.05
|
359
|
40.62
|
8.353
|
654
|
83.62
|
12
Months
|
54
|
20,154,266.00
|
7.89
|
359
|
40.45
|
7.770
|
666
|
81.89
|
24
Months
|
454
|
144,056,146.34
|
56.37
|
359
|
39.24
|
7.563
|
655
|
81.80
|
36
Months
|
69
|
19,673,958.23
|
7.70
|
359
|
40.17
|
7.412
|
651
|
79.92
|
Total:
|
786
|
255,576,615.25
|
100.00
|
359
|
39.79
|
7.789
|
655
|
82.17
|
Conforming
Balances
|
||||||||
CONFORMING
BALANCE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
Conforming
|
574
|
144,649,979.55
|
56.60
|
359
|
39.45
|
7.761
|
654
|
81.46
|
Non-Conforming
|
212
|
110,926,635.70
|
43.40
|
359
|
40.24
|
7.826
|
657
|
83.10
|
Total:
|
786
|
255,576,615.25
|
100.00
|
359
|
39.79
|
7.789
|
655
|
82.17
|
DESCRIPTION
OF THE INTEREST ONLY
COLLATERAL
|
Maximum
Mortgage Rates of the Adjustable-Rate Loans
|
|||||||||
RANGE
OF MAXIMUM
MORTGAGE
RATES (%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
|
12.000
- 12.499
|
12
|
4,124,000.00
|
1.67
|
359
|
40.55
|
6.345
|
663
|
78.54
|
|
12.500
- 12.999
|
108
|
39,911,236.78
|
16.15
|
358
|
38.02
|
6.808
|
654
|
80.28
|
|
13.000
- 13.499
|
166
|
54,348,662.94
|
21.99
|
359
|
39.20
|
7.221
|
654
|
80.68
|
|
13.500
- 13.999
|
213
|
68,581,615.00
|
27.75
|
359
|
41.30
|
7.750
|
656
|
81.25
|
|
14.000
- 14.499
|
98
|
30,847,134.23
|
12.48
|
359
|
39.82
|
8.258
|
661
|
83.65
|
|
14.500
- 14.999
|
92
|
27,895,561.62
|
11.29
|
359
|
40.18
|
8.737
|
662
|
85.32
|
|
15.000
- 15.499
|
29
|
10,470,513.00
|
4.24
|
358
|
40.80
|
9.233
|
649
|
88.28
|
|
15.500
- 15.999
|
24
|
7,466,785.00
|
3.02
|
359
|
38.36
|
9.692
|
641
|
87.12
|
|
16.000
- 16.499
|
5
|
1,374,182.00
|
0.56
|
359
|
34.79
|
10.082
|
670
|
92.19
|
|
16.500
- 16.999
|
4
|
1,535,725.00
|
0.62
|
359
|
42.91
|
10.711
|
619
|
92.53
|
|
17.000
- 17.499
|
2
|
553,095.00
|
0.22
|
359
|
43.93
|
11.311
|
609
|
95.00
|
|
Total:
|
753
|
247,108,510.57
|
100.00
|
359
|
39.85
|
7.794
|
656
|
82.32
|
|
|
|||||||||
Minimum
Mortgage Rates of the Adjustable-Rate Loans
|
|||||||||
RANGE
OF MINIMUM
MORTGAGE
RATES (%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
|
6.000
- 6.499
|
12
|
4,124,000.00
|
1.67
|
359
|
40.55
|
6.345
|
663
|
78.54
|
|
6.500
- 6.999
|
108
|
39,911,236.78
|
16.15
|
358
|
38.02
|
6.808
|
654
|
80.28
|
|
7.000
- 7.499
|
166
|
54,348,662.94
|
21.99
|
359
|
39.20
|
7.221
|
654
|
80.68
|
|
7.500
- 7.999
|
213
|
68,581,615.00
|
27.75
|
359
|
41.30
|
7.750
|
656
|
81.25
|
|
8.000
- 8.499
|
98
|
30,847,134.23
|
12.48
|
359
|
39.82
|
8.258
|
661
|
83.65
|
|
8.500
- 8.999
|
92
|
27,895,561.62
|
11.29
|
359
|
40.18
|
8.737
|
662
|
85.32
|
|
9.000
- 9.499
|
29
|
10,470,513.00
|
4.24
|
358
|
40.80
|
9.233
|
649
|
88.28
|
|
9.500
- 9.999
|
24
|
7,466,785.00
|
3.02
|
359
|
38.36
|
9.692
|
641
|
87.12
|
|
10.000
- 10.499
|
5
|
1,374,182.00
|
0.56
|
359
|
34.79
|
10.082
|
670
|
92.19
|
|
10.500
- 10.999
|
4
|
1,535,725.00
|
0.62
|
359
|
42.91
|
10.711
|
619
|
92.53
|
|
11.000
- 11.499
|
2
|
553,095.00
|
0.22
|
359
|
43.93
|
11.311
|
609
|
95.00
|
|
Total:
|
753
|
247,108,510.57
|
100.00
|
359
|
39.85
|
7.794
|
656
|
82.32
|
Gross
Margins of the Adjustable-Rate Loans
|
||||||||
RANGE
OF GROSS
MARGINS
(%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
4.500
- 4.999
|
11
|
3,062,425.00
|
1.24
|
359
|
38.48
|
8.382
|
653
|
83.47
|
6.000
- 6.499
|
741
|
243,530,085.57
|
98.55
|
359
|
39.88
|
7.788
|
656
|
82.31
|
7.000
- 7.499
|
1
|
516,000.00
|
0.21
|
359
|
36.00
|
7.100
|
655
|
80.00
|
Total:
|
753
|
247,108,510.57
|
100.00
|
359
|
39.85
|
7.794
|
656
|
82.32
|
DESCRIPTION
OF THE INTEREST ONLY
COLLATERAL
|
Next
Rate Adjustment Date of the Adjustable-Rate
Loans
|
||||||||
NEXT
RATE ADJUSTMENT
DATE
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
3
|
981,399.76
|
0.40
|
353
|
46.34
|
7.918
|
647
|
91.21
|
|
6
|
2,312,711.02
|
0.94
|
354
|
39.43
|
7.136
|
632
|
87.01
|
|
2
|
683,000.00
|
0.28
|
355
|
39.72
|
7.555
|
637
|
87.25
|
|
5
|
1,896,350.00
|
0.77
|
356
|
34.45
|
8.424
|
654
|
88.29
|
|
13
|
4,843,648.62
|
1.96
|
357
|
40.27
|
8.176
|
640
|
86.61
|
|
23
|
9,545,869.95
|
3.86
|
358
|
37.28
|
8.012
|
631
|
85.60
|
|
548
|
178,618,423.99
|
72.28
|
359
|
39.78
|
7.736
|
659
|
81.57
|
|
May
1,2008
|
1
|
198,995.00
|
0.08
|
360
|
50.00
|
7.990
|
645
|
80.00
|
3
|
720,875.23
|
0.29
|
354
|
48.46
|
8.732
|
627
|
92.88
|
|
1
|
580,500.00
|
0.23
|
355
|
49.00
|
7.750
|
626
|
90.00
|
|
1
|
151,200.00
|
0.06
|
356
|
49.00
|
7.250
|
618
|
80.00
|
|
4
|
1,827,200.00
|
0.74
|
357
|
35.41
|
7.528
|
662
|
87.47
|
|
4
|
1,460,200.00
|
0.59
|
358
|
43.32
|
6.671
|
683
|
84.94
|
|
139
|
43,288,137.00
|
17.52
|
359
|
40.54
|
7.984
|
650
|
82.87
|
|
Total:
|
753
|
247,108,510.57
|
100.00
|
359
|
39.85
|
7.794
|
656
|
82.32
|
Initial
Periodic Rate Cap of the Adjustable-Rate Loans
|
||||||||
INITIAL
PERIODIC
CAP
(%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
2.000
|
753
|
247,108,510.57
|
100.00
|
359
|
39.85
|
7.794
|
656
|
82.32
|
Total:
|
753
|
247,108,510.57
|
100.00
|
359
|
39.85
|
7.794
|
656
|
82.32
|
Periodic
Rate Cap of the Adjustable-Rate Loans
|
||||||||
PERIODIC
CAP
(%)
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
1.000
|
753
|
247,108,510.57
|
100.00
|
359
|
39.85
|
7.794
|
656
|
82.32
|
Total:
|
753
|
247,108,510.57
|
100.00
|
359
|
39.85
|
7.794
|
656
|
82.32
|
Historical
Delinquency of the Mortgage Loans Since
Origination
|
||||||||
STATUS
|
NUMBER
OF MORTGAGE LOANS
|
PRINCIPAL
BALANCE
AS
OF THE
CUT-OFF
DATE ($)
|
%
OF PRINCIPAL
BALANCE
AS OF
THE
CUT-OFF DATE
|
REMAINING
TERM
TO
MATURITY
(months)
|
DEBT-TO-INCOME
(%)
|
GROSS
COUPON
(%)
|
FICO
|
OLTV1
(%)
|
1
x
30
|
5
|
2,021,465.00
|
0.79
|
355
|
42.50
|
7.543
|
633
|
85.71
|
Never
Delinquent
|
781
|
253,555,150.25
|
99.21
|
359
|
39.77
|
7.791
|
656
|
82.14
|
Total:
|
786
|
255,576,615.25
|
100.00
|
359
|
39.79
|
7.789
|
655
|
82.17
|
Distribution
Date
|
Base
Calculation Amount ($)
|
Distribution
Date
|
Base
Calculation Amount ($)
|
6/25/06
|
5,111,375.51
|
5/25/09
|
952,185.03
|
7/25/06
|
5,078,013.53
|
6/25/09
|
922,025.93
|
8/25/06
|
5,042,623.15
|
7/25/09
|
892,995.28
|
9/25/06
|
4,978,039.33
|
8/25/09
|
865,038.44
|
10/25/06
|
4,913,041.39
|
9/25/09
|
837,998.76
|
11/25/06
|
4,846,623.41
|
10/25/09
|
811,851.50
|
12/25/06
|
4,750,423.89
|
11/25/09
|
786,382.88
|
1/25/07
|
4,655,004.11
|
12/25/09
|
761,498.84
|
2/25/07
|
4,558,244.91
|
1/25/10
|
737,091.62
|
3/25/07
|
4,405,459.51
|
2/25/10
|
713,167.52
|
4/25/07
|
4,256,561.99
|
3/25/10
|
690,013.38
|
5/25/07
|
4,109,983.08
|
4/25/10
|
667,564.07
|
6/25/07
|
3,922,196.34
|
5/25/10
|
645,885.60
|
7/25/07
|
3,743,120.98
|
6/25/10
|
624,870.91
|
8/25/07
|
3,572,379.07
|
7/25/10
|
604,558.86
|
9/25/07
|
3,409,531.70
|
8/25/10
and
|
0.00
|
10/25/07
|
3,254,215.78
|
thereafter
|
|
11/25/07
|
3,103,395.74
|
||
12/25/07
|
2,888,908.20
|
||
1/25/08
|
2,689,677.70
|
||
2/25/08
|
2,502,885.22
|
||
3/25/08
|
2,283,574.46
|
||
4/25/08
|
2,084,498.65
|
||
5/25/08
|
1,456,932.38
|
||
6/25/08
|
1,423,133.20
|
||
7/25/08
|
1,389,334.02
|
||
8/25/08
|
1,355,534.84
|
||
9/25/08
|
1,321,735.65
|
||
10/25/08
|
1,287,936.47
|
||
11/25/08
|
1,254,137.29
|
||
12/25/08
|
1,079,917.09
|
||
1/25/09
|
1,054,370.68
|
||
2/25/09
|
1,028,824.27
|
||
3/25/09
|
1,003,277.86
|
||
4/25/09
|
977,731.45
|
RISK
FACTORS
|
DESCRIPTION
OF THE TRUST FUNDS
|
Description
of the Mortgage Assets to Be Included in a Trust Fund
|
Description
of the Pre-funding Account for the Purchase of Additional Mortgage
Loans
|
THE
DEPOSITOR
|
USE
OF PROCEEDS
|
YIELD
AND MATURITY CONSIDERATIONS
|
Maturity
and Weighted Average Life
|
Foreclosures
and Payment Plans
|
THE
DEPOSITOR’S MORTGAGE LOAN PURCHASE PROGRAM
|
Underwriting
Standards
|
Qualifications
of Originators and Mortgage Loan Sellers
|
Representations
by or on Behalf of Mortgage Loan Sellers; Remedies for Breach
of
Representation
|
DESCRIPTION
OF THE SECURITIES
|
Assignment
of Trust Fund Assets; Review of Files by Trustee
|
Representations
and Warranties; Repurchases
|
Establishment
of Collection Account; Deposits to Collection Account in Respect
of Trust
Fund Assets
|
Deposits
to Distribution Account
|
Book-Entry
Certificates
|
Distributions
on the Securities
|
Advances
by Master Servicer in Respect of Delinquencies on the Trust Fund
Assets
|
Form
of Reports to Securityholders
|
Collection
and Other Servicing Procedures Employed by the Master
Servicer
|
Description
of Sub-Servicing
|
Procedures
for Realization upon Defaulted Mortgage Assets
|
Retained
Interest; Servicing or Administration Compensation and Payment
of
Expenses
|
Annual
Evidence as to the Compliance of the Master Servicer
|
Matters
Regarding the Master Servicer and the Depositor
|
Events
of Default under the Governing Agreement and Rights upon Events
of
Default
|
Amendment
of the Governing Agreements
|
Termination
of the Trust Fund and Disposition of Trust Fund Assets
|
Optional
Purchase by the Master Servicer of Defaulted Mortgage
Loans
|
Duties
of the Trustee
|
Description
of the Trustee
|
DESCRIPTION
OF CREDIT SUPPORT
|
Subordination
|
Letter
of Credit
|
Mortgage
Pool Insurance Policy
|
Special
Hazard Insurance Policy
|
Bankruptcy
Bond
|
Financial
Guarantee Insurance
|
Reserve
Fund
|
Overcollateralization
|
Cross-Support
Features
|
OTHER
FINANCIAL OBLIGATIONS RELATED TO THE SECURITIES
|
Swaps
and Yield Supplement Agreements
|
Purchase
Obligations
|
DESCRIPTION
OF PRIMARY INSURANCE POLICIES
|
Primary
Mortgage Insurance Policies
|
Primary
Hazard Insurance Policies
|
FHA
Insurance
|
VA
Guarantees
|
LEGAL
ASPECTS OF MORTGAGE ASSETS
|
Mortgage
Loans
|
Cooperative
Loans
|
Manufactured
Housing Contracts
|
Home
Improvement Contracts
|
Foreclosure
on Mortgages
|
Foreclosure
on Mortgaged Properties Located in the Commonwealth of Puerto
Rico
|
Foreclosure
on Cooperative Shares
|
Repossession
with Respect to Manufactured Housing Contracts
|
Rights
of Redemption with Respect to Mortgage Loans
|
Notice
of Sale; Redemption Rights with Respect to Manufactured Housing
Contracts
|
Anti-Deficiency
Legislation and Other Limitations on Lenders
|
Junior
Mortgages
|
Home
Equity Line of Credit Loans
|
Prepayment
Charges
|
Other
Limitations
|
Enforceability
of Provisions
|
Leases
and Rents
|
Subordinate
Financing
|
Applicability
of Usury Laws
|
Alternative
Mortgage Instruments
|
Formaldehyde
Litigation with Respect to Manufactured Homes
|
Servicemembers
Civil Relief Act
|
Environmental
Legislation
|
Forfeitures
in Drug and RICO Proceedings
|
Negative
Amortization Loans
|
Installment
Contracts
|
FEDERAL
INCOME TAX CONSEQUENCES
|
General
|
REMICs
|
Notes
|
Grantor
Trust Funds
|
Partnership
Trust Funds
|
STATE
AND OTHER TAX CONSEQUENCES
|
CONSIDERATIONS
FOR BENEFIT PLAN INVESTORS
|
Investors
Affected
|
Fiduciary
Standards for ERISA Plans and Related Investment
Vehicles
|
Prohibited
Transaction Issues for ERISA Plans, Keogh Plans, IRAs and Related
Investment Vehicles
|
Possible
Exemptive Relief
|
Consultation
with Counsel
|
Government
Plans
|
Required
Deemed Representations of Investors
|
LEGAL
INVESTMENT
|
METHODS
OF DISTRIBUTION
|
LEGAL
MATTERS
|
FINANCIAL
INFORMATION
|
RATING
|
AVAILABLE
INFORMATION
|
INCORPORATION
OF CERTAIN INFORMATION BY REFERENCE
|
GLOSSARY
|
· |
how
payments of principal are allocated among the classes of securities
of
that series as specified in the related prospectus
supplement;
|
· |
if
any party has an option to terminate the related trust fund early,
the
effect of the exercise of the
option;
|
· |
repurchases
of assets in the related trust fund as a result of material breaches
of
representations and warranties made by the depositor, master
servicer or
mortgage loan seller.
|
· |
a
segregated pool of various types of first and junior lien mortgage
loans,
cooperative apartment loans, manufactured housing conditional
sales
contracts and installment loan agreements or home improvement
installment
sales contracts and installment loan agreements as are subject
to the
related agreement governing the trust
fund;
|
· |
amounts
on deposit in the distribution account, pre-funding account,
if
applicable, or any other account maintained for the benefit of
the
securityholders;
|
· |
property
acquired on behalf of securityholders by foreclosure, deed in
lieu of
foreclosure or repossession and any revenues received on the
property;
|
· |
the
rights of the depositor under any hazard insurance policies,
FHA insurance
policies, VA guarantees and primary mortgage insurance policies
to be
included in the trust fund, each as described under “Description of
Primary Insurance Policies”;
|
· |
the
rights of the depositor under the agreement or agreements under
which it
acquired the mortgage loans to be included in the trust
fund;
|
· |
the
rights of the trustee in any cash advance reserve fund or surety
bond to
be included in the trust fund, each as described under “Advances by Master
Servicer in Respect of Delinquencies on the Trust Fund Assets”;
and
|
· |
any
letter of credit, mortgage pool insurance policy, special hazard
insurance
policy, bankruptcy bond, financial guarantee insurance policy,
reserve
fund, currency or interest rate exchange agreement or guarantee,
each as
described under “Description of Credit
Support.”
|
· |
first
or junior liens on one- to four-family residential properties
including
detached and attached dwellings, townhouses, rowhouses, individual
condominium units, individual units in planned-unit developments
and
individual units in de
minimis
planned-unit developments. Loans secured by this type of property
are
referred to in this prospectus as single-family loans and may
be
conventional loans, FHA-insured loans or VA-guaranteed loans
as specified
in the related prospectus
supplement;
|
· |
first
or junior liens secured by shares in a private cooperative housing
corporation that give the owner of the shares the right to occupy
a
particular dwelling unit in the
cooperative;
|
· |
rental
apartments or projects, including apartment buildings owned by
cooperative
housing corporations, containing five or more dwelling units.
The
multifamily properties may include high-rise, mid-rise or garden
apartments. Loans secured by this type of property may be conventional
loans or FHA-insured loans as specified in the related prospectus
supplement;
|
· |
commercial
properties including office buildings, retail buildings and a
variety of
other commercial properties as may be described in the related
prospectus
supplement;
|
· |
manufactured
homes that, in the case of mortgage loans, are permanently affixed
to
their site or, in the case of manufactured home conditional sales
contracts and installment loan agreements, may be relocated;
or
|
· |
real
property acquired upon foreclosure or comparable conversion of
the
mortgage loans included in a trust
fund.
|
· |
Fully
amortizing mortgage assets with a fixed rate of interest and
level monthly
payments to maturity;
|
· |
Fully
amortizing mortgage assets with an interest rate that adjusts
periodically, with corresponding adjustments in the amount of
monthly
payments, to equal the sum, which may be rounded, of a fixed
percentage
amount and an index, such as a one-month LIBOR index or six-month
LIBOR
index;
|
· |
ARM
Loans that provide for an election, at the borrower’s option, to convert
the adjustable interest rate to a fixed interest rate, which
will be
described in the related prospectus
supplement;
|
· |
ARM
Loans that provide for negative amortization or accelerated amortization
resulting from delays in or limitations on the payment adjustments
necessary to amortize fully the outstanding principal balance
of the loan
at its then applicable interest rate over its remaining
term;
|
· |
Fully
amortizing mortgage assets with a fixed interest rate and level
monthly
payments, or payments of interest only, during the early years
of the
term, followed by periodically increasing monthly payments of
principal
and interest for the duration of the term or for a specified
number of
years, which will be described in the related prospectus
supplement;
|
· |
Fixed
interest rate mortgage assets providing for level payment of
principal and
interest on the basis of an assumed amortization schedule and
a balloon
payment at the end of a specified
term;
|
· |
Mortgage
assets that provide for a line of credit under which amounts
may be
advanced to the borrower from time to
time;
|
· |
Fixed
interest rate mortgage assets that provide that the interest
may increase
upon default, which increased rate may be subject to adjustment
and may or
may not convert back to the original fixed interest rate upon
cure of the
default; and
|
· |
Fixed
interest rate mortgage assets that provide for reductions in
the interest
rate, and corresponding monthly payment due thereon during the
first 36
months of the term thereof.
|
· |
If
a condominium project is subject to developer control or to incomplete
phasing or add-ons, at least 50% of the units have been sold
to bona fide
purchasers to be occupied as primary residences or vacation or
second
homes.
|
· |
If
a condominium project has been controlled by the unit owners,
other than
the developer, and is not subject to incomplete phasing or add-ons,
at
least 50% of the units been are occupied as primary residences
or vacation
or second homes.
|
· |
the
aggregate outstanding principal balance, the largest, smallest
and average
outstanding principal balance of the mortgage
assets,
|
· |
the
type of property securing the mortgage assets and the percentage
of
mortgage assets in the related mortgage pool which are secured
by that
type of property,
|
· |
the
aggregate principal balance of mortgage loans having loan-to-value
ratios
at origination exceeding 80%, or, with respect to mortgage loans
secured
by a junior lien, the aggregate principal balance of mortgage
loans having
combined loan-to-value ratios exceeding
80%,
|
· |
with
respect to ARM Loans, the index, the adjustment dates, the highest,
lowest
and weighted average gross margin, and the maximum interest rate
variation
at the time of any adjustment and over the life of the ARM
Loan,
|
· |
the
range of debt service coverage ratios for mortgage loans secured
by
multifamily properties or commercial properties,
and
|
· |
whether
the mortgage loans provide for payments of interest only for
any period
and the frequency and amount by which, and the term during which,
monthly
payments adjust.
|
· |
purchases
of mortgage assets in the event of optional termination of the
trust fund
or breaches of representations made in respect of such mortgage
assets by
the depositor, the master servicer and others,
and
|
· |
in
the case of securities evidencing interests in ARM Loans, by
changes in
the interest rates or the conversions of ARM Loans to a fixed
interest
rate.
|
· |
in
the case of multifamily loans and commercial loans, the quality
of
management of the mortgaged properties,
and
|
· |
that
any required hazard insurance was effective at the origination
of each
mortgage loan, and that each required policy remained in effect
on the
date of purchase of the mortgage loan from the mortgage loan
seller by or
on behalf of the depositor;
|
· |
that
either (A) title insurance insuring, subject only to permissible
title
insurance exceptions, the lien status of the Mortgage was effective
at the
origination of each mortgage loan and the policy remained in
effect on the
date of purchase of the mortgage loan from the mortgage loan
seller by or
on behalf of the depositor or (B) if the mortgaged property securing
any
mortgage loan is located in an area where title insurance policies
are
generally not available, there is in the related mortgage file
an
attorney’s certificate of title indicating, subject to permissible
exceptions set forth therein, the lien status of the
mortgage;
|
· |
that
the mortgage loan seller had good title to each mortgage loan
and each
mortgage loan was subject to no valid offsets, defenses, counterclaims
or
rights of rescission except to the extent that any buydown agreement
described herein may forgive some indebtedness of a
borrower;
|
· |
that
each Mortgage constituted a valid lien on, or security interest
in, the
mortgaged property, subject only to permissible title insurance
exceptions
and senior liens, if any, and that the mortgaged property was
free from
material damage and was in good
repair;
|
· |
that
each mortgage loan was not currently more than 90 days delinquent
as to
required monthly payments of principal and interest;
and
|
· |
that
each mortgage loan was made in compliance with, and is enforceable
under,
all applicable local, state and federal laws and regulations
in all
material respects.
|
· |
a
single class of securities evidencing the entire beneficial ownership
of
or indebtedness of the related trust
fund;
|
· |
two
or more classes of securities evidencing the entire beneficial
ownership
of or indebtedness of the related trust fund, one or more classes
of which
will be senior in right of payment to one or more of the other
classes;
|
· |
two
or more classes of securities, one or more classes of which are
entitled
to (a) principal distributions, with disproportionate, nominal
or no
interest distributions or (b) interest distributions, with
disproportionate, nominal or no principal distributions;
and
|
· |
two
or more classes of securities which differ as to timing, sequential
order,
priority of payment, security interest rate or amount of distributions
of
principal or interest or both, or as to which distributions of
principal
or interest or both on any class may be made upon the occurrence
of
specified events, in accordance with a schedule or formula, or
on the
basis of collections from designated portions of the mortgage
pool, which
series may include one or more classes of securities, as to which
accrued
interest or a portion thereof will not be distributed but rather
will be
added to the principal balance of the security on each distribution
date
in the manner described in the related prospectus
supplement.
|
· |
With
respect to each mortgage loan, (1) the mortgage note endorsed,
without
recourse, to the order of the trustee or in blank, (2) the original
Mortgage with evidence of recording indicated thereon and an
assignment of
the Mortgage to the trustee or in blank, in recordable form.
If, however,
a mortgage loan has not yet been returned from the public recording
office, the depositor will deliver or cause to be delivered a
copy of the
Mortgage together with its certificate that the original of the
Mortgage
was delivered to the recording office. The depositor will promptly
cause
the assignment of each related mortgage loan to be recorded in
the
appropriate public office for real property records, except for
Mortgages
held under the MERS(R)
System and except in the State of California or in other states
where, in
the opinion of counsel acceptable to the trustee, recording of
the
assignment is not required to protect the trustee’s interest in the
mortgage loan against the claim of any subsequent transferee
or any
successor to or creditor of the depositor, the master servicer,
the
relevant mortgage loan seller or any other prior holder of the
mortgage
loan. If the depositor uses the MERS(R)
System, it will deliver evidence that the Mortgage is held for
the trustee
through the MERS(R)
System instead of an assignment of the Mortgage in recordable
form.
|
· |
With
respect to each cooperative loan, (1) the cooperative note, (2)
the
original security agreement, (3) the proprietary lease or occupancy
agreement, (4) the related stock certificate and related stock
powers
endorsed in blank, and (5) a copy of the original filed financing
statement together with an assignment thereof to the trustee
in a form
sufficient for filing. The depositor will promptly cause the
assignment
and financing statement of each related cooperative loan to be
filed in
the appropriate public office, except in states where in the
opinion of
counsel acceptable to the trustee, filing of the assignment and
financing
statement is not required to protect the trustee’s interest in the
cooperative loan against the claim of any subsequent transferee
or any
successor to or creditor of the depositor, the master servicer,
the
relevant mortgage loan seller or any prior holder of the cooperative
loan.
|
· |
With
respect to each manufactured housing contract or home improvement
contract, (1) the original contract endorsed, without recourse,
to the
order of the trustee and copies of documents and (2) instruments
related
to the contract and the security interest in the property securing
the
contract, and (3) a blanket assignment to the trustee of all
contracts in
the related trust fund and the documents and instruments. In
order to give
notice of the right, title and interest of the securityholders
to the
contracts, the depositor will cause to be executed and delivered
to the
trustee a UCC-1 financing statement identifying the trustee as
the secured
party and identifying all contracts as
collateral.
|
· |
the
payment status of the mortgage asset; and the accuracy of the
information
set forth for each mortgage asset on the related mortgage loan
schedule.
|
(1) |
have
an outstanding principal balance, after deduction of all scheduled
payments due in the month of substitution, not in excess of,
and not more
than $10,000 less than, the outstanding principal balance, after
deduction
of all unpaid scheduled payments due as of the date of substitution,
of
the deleted mortgage asset,
|
(2) |
have
an interest rate not less than, and not more than 1% greater
than, the
interest rate of the deleted mortgage
asset,
|
(3) |
have
a remaining term to maturity not greater than, and not more than
one year
less than, that of the deleted mortgage
asset,
|
(4) |
have
a Lockout Date, if applicable, not earlier than the Lockout Date
on the
deleted mortgage loan, and
|
(5) |
comply
with all of the representations and warranties set forth in the
pooling
and servicing agreement or indenture as of the date of
substitution.
|
· |
maintained
with a bank or trust company, and in a manner, satisfactory to
the rating
agency or agencies rating any class of securities of the series
or
|
· |
an
account or accounts the deposits in which are insured by the
BIF or the
SAIF, to the limits established by the FDIC, and the uninsured
deposits in
which are otherwise secured so that the securityholders have
a claim with
respect to the funds in the collection account or a perfected
first
priority security interest against any collateral securing the
funds that
is superior to the claims of any other depositors or general
creditors of
the institution with which the collection account is
maintained.
|
(2) |
all
payments on account of interest on the mortgage assets, net of
any portion
retained by the master servicer or by a sub-servicer as its servicing
compensation and net of any retained
interest;
|
(3) |
all
proceeds of the hazard insurance policies and any special hazard
insurance
policy, other than amounts to be not applied to the restoration
or repair
of the property or released to the mortgagor in accordance with
the normal
servicing procedures of the master servicer or the related sub-servicer,
subject to the terms and conditions of the related Mortgage and
mortgage
note, any primary mortgage insurance policy, any FHA insurance
policy, any
VA guarantee, any bankruptcy bond and any mortgage pool insurance
policy
and all other amounts received and retained in connection with
the
liquidation of defaulted mortgage loans, by foreclosure or otherwise,
together with the net proceeds on a monthly basis with respect
to any
mortgaged properties acquired for the benefit of securityholders
by
foreclosure or by deed in lieu of foreclosure or
otherwise;
|
(4) |
any
amounts required to be paid under any letter of credit, as described
below
under “Description of Credit Support—Letter of
Credit”;
|
(5) |
any
advances made as described below under “Advances by the Master Servicer in
respect of Delinquencies on the Trust Funds
Assets”;
|
(6) |
if
applicable, all amounts required to be transferred to the collection
account from a reserve fund, as described below under “Description of
Credit Support—Reserve Funds”;
|
(7) |
any
buydown funds, and, if applicable, investment earnings thereon,
required
to be deposited in the collection account as described in the
first
paragraph below;
|
(8) |
all
proceeds of any mortgage loan or property in respect of the mortgage
asset
purchased by the master servicer, the depositor, any sub-servicer
or any
mortgage loan seller as described under “The Depositor’s Mortgage Loan
Purchase Program-Representations by or on behalf of Mortgage
Loan Sellers;
Remedies for Breach of Representations” or “—Assignment of Trust Fund
Assets; Review of Files by Trustee” above, exclusive of the retained
interest, if any, in respect of the mortgage
asset;
|
(10) |
all
payments required to be deposited in the collection account with
respect
to any deductible clause in any blanket insurance policy described
under
“Description of Primary Insurance Policies—Primary Hazard Insurance
Policies”; and
|
(11) |
any
amount required to be deposited by the master servicer in connection
with
net losses realized on investments for the benefit of the master
servicer
of funds held in the collection
account.
|
(2) |
to
reimburse the master servicer or any other specified person for
unreimbursed amounts advanced by it in respect of mortgage loans
in the
trust fund as described under “Advances by Master Servicer in Respect of
Delinquencies on the Trust Fund Assets” above, these reimbursement to be
made out of amounts received which were identified and applied
by the
master servicer as late collections of interest (net of related
servicing
fees) on and principal of the particular mortgage assets with
respect to
which the advances were made or out of amounts drawn under any
form of
credit enhancement with respect to the mortgage
assets;
|
(3) |
to
reimburse the master servicer or a special servicer for unpaid
servicing
fees earned by it and some unreimbursed servicing expenses incurred
by it
with respect to mortgage assets in the trust fund and properties
acquired
in respect thereof, these reimbursement to be made out of amounts
that
represent Liquidation Proceeds and Insurance Proceeds collected
on the
particular mortgage assets and properties, and net income collected
on the
particular properties, with respect to which the fees were earned
or the
expenses were incurred or out of amounts drawn under any form
of credit
enhancement with respect to the mortgage assets and
properties;
|
(4) |
to
reimburse the master servicer or any other specified person for
any
advances described in clause (2) above made by it and any servicing
expenses referred to in clause (3) above incurred by it which,
in the good
faith judgment of the master servicer or the other person, will
not be
recoverable from the amounts described in clauses (2) and (3),
respectively, the reimbursement to be made from amounts collected
on other
mortgage assets in the trust fund or, if and to the extent so
provided by
the related servicing agreement or indenture and described in
the related
prospectus supplement, only from that portion of amounts collected
on the
other mortgage assets that is otherwise distributable on one
or more
classes of subordinate securities of the related
series;
|
(5) |
if
and to the extent described in the related prospectus supplement,
to pay
the master servicer, a special servicer or another specified
entity
(including a provider of credit enhancement) interest accrued
on the
advances described in clause (2) above made by it and the servicing
expenses described in clause (3) above incurred by it while these
remain
outstanding and unreimbursed;
|
(6) |
to
reimburse the master servicer, the company, or any of their respective
directors, officers, employees and agents, as the case may be,
for
expenses, costs and liabilities incurred thereby, as and to the
extent
described under “Matters Regarding the Master Servicer and the
Depositor”;
|
(7) |
if
and to the extent described in the related prospectus supplement
to pay
the fees of the trustee and to the extent described in the related
prospectus supplement, the trustee may, as part of its compensation,
withdraw investment income of funds held in deposit for the
trust;
|
(8) |
to
reimburse the trustee or any of its directors, officers, employees
and
agents, as the case may be, for expenses, costs and liabilities
incurred
thereby, as and to the extent described under “Description of the
Trustee”;
|
(9) |
to
pay the master servicer or the trustee, as additional compensation,
interest and investment income earned in respect of amounts held
in the
collection account;
|
(10) |
to
pay, generally from related income, the master servicer or a
special
servicer for costs incurred in connection with the operation,
management
and maintenance of any mortgaged property acquired by the trust
fund by
foreclosure or by deed in lieu of
foreclosure;
|
(11) |
if
one or more elections have been made to treat the trust fund
or designated
portions thereof as a REMIC, to pay any federal, state or local
taxes
imposed on the trust fund or its assets or transactions, as and
to the
extent described under “Federal Income Tax Consequences—REMICS—Prohibited
Transactions and Other Possible REMIC
Taxes”;
|
(12) |
to
pay for the cost of an independent appraiser or other expert
in real
estate matters retained to determine a fair sale price for a
defaulted
mortgage loan or a property acquired in respect thereof in connection
with
the liquidation of the mortgage loan or
property;
|
(13) |
to
pay for the cost of various opinions of counsel obtained pursuant
to the
related servicing agreement or indenture for the benefit of the
related
securityholders;
|
(14) |
to
pay to itself, the depositor, a mortgage loan seller or any other
appropriate person all amounts received with respect to each
mortgage loan
purchased, repurchased or removed from the trust fund pursuant
to the
terms of the related servicing agreement and not required to
be
distributed as of the date on which the related purchase price
is
determined;
|
(15) |
to
make any other withdrawals permitted by the related pooling and
servicing
agreement or the related servicing agreement and indenture and
described
in the related prospectus
supplement;
|
(16) |
to
pay for costs and expenses incurred by the trust fund for environmental
site assessments performed with respect to multifamily or commercial
properties that constitute security for defaulted mortgage loans,
and for
any containment, clean-up or remediation of hazardous wastes
and materials
present on that mortgaged properties, as described under “Procedures for
Realization Upon Defaulted Mortgage Loans”;
and
|
· |
DTC
or the Depositor advises the Trustee in writing that DTC is no
longer
willing, qualified or able to discharge properly its responsibilities
as
nominee and depository with respect to the book- entry certificates
and
the Depositor or the Trustee is unable to locate a qualified
successor;
|
· |
the
Depositor, at its sole option, with the consent of the Trustee,
elects to
terminate a book-entry system through DTC
or
|
· |
after
the occurrence of an event of default, certificate owners having
percentage interests aggregating not less than 51% of the book-entry
certificates advise the Trustee and DTC through the financial
intermediaries and the DTC participants in writing that the continuation
of a book-entry system through DTC, or a successor to DTC, is
no longer in
the best interests of certificate
owners.
|
(1) |
the
total amount of all cash on deposit in the related distribution
account as
of the corresponding determination date, exclusive
of:
|
(a)all
scheduled payments of principal and interest collected but due
on a date
subsequent to the related Due
Period,
|
(b)all
prepayments, together with related payments of the interest thereon,
Liquidation Proceeds, Insurance Proceeds and other unscheduled
recoveries
received subsequent to the related Prepayment Period,
and
|
(c)all
amounts in the distribution account that are due or reimbursable
to the
depositor, the trustee, a mortgage loan seller, a sub-servicer
or the
master servicer or that are payable in respect of specified expenses
of
the related trust fund;
|
(2) |
if
the related prospectus supplement so provides, interest or investment
income on amounts on deposit in the distribution
account;
|
(4) |
if
the related prospectus supplement so provides, amounts paid with
respect
to interest shortfalls resulting from prepayments during the
related
Prepayment Period;
|
(5) |
to
the extent not on deposit in the related distribution account
as of the
corresponding determination date, any amounts collected under,
from or in
respect of any credit support with respect to the distribution
date;
and
|
(1) |
all
amounts received on the mortgage loans during the related due
period and
the related prepayment period (separately identifying scheduled
payments
and prepayments) and any amounts received from any other source
used to
make distributions on the securities (separately identifying
the source of
such funds);
|
(2) |
the
amount of the distribution to holders of securities of that class
applied
to reduce the principal balance of the
securities;
|
(4) |
the
amount of related administration or servicing compensation received
by the
trustee or the master servicer or any sub-servicer and the amount
of any
fees and expenses (including extraordinary expenses) of the trust
fund and
to whom such fees and expenses were
paid;
|
(5) |
if
applicable, the aggregate amount of advances included in the
distribution
and the aggregate amount of unreimbursed advances and the aggregate
amount
of advances reimbursed to the master servicer from amounts on
deposit in
the an account established for the benefit of the
trust;
|
(6) |
the
amount on deposit in any collection account, distribution account,
and any
other account maintained for the benefit of the holders of the
securities
as of the previous distribution date and of the related distribution
date,
and any material account activity during the
period;
|
(7) |
the
aggregate principal balance of the mortgage loans as of such
distribution
date and of the previous distribution date and the weighted remaining
term
to maturity and weighted average mortgage rate of the mortgage
loans;
|
(8) |
the
number and aggregate principal balance of mortgage loans (a)
delinquent
30-59 days, (b) delinquent 60-89 days, (c) delinquent 90 days
or more and
(d) as to which foreclosure proceedings have been
commenced;
|
(9) |
with
respect to any mortgaged property acquired on behalf of securityholders
through foreclosure or deed in lieu of foreclosure during the
preceding
calendar month, the principal balance of the related mortgage
loan as the
related distribution date;
|
(10) |
the
aggregate principal balance of each class of securities (including
any
class of securities not offered hereby) issued by the issuing
entity as of
such distribution date after giving effect to all distributions
and
allocations made on such distribution date, separately identifying
any
reduction in the principal balance due to the allocation of any
realized
loss;
|
(11) |
the
amount of any realized losses allocated to the subordinate securities,
if
any, at the close of business on that distribution
date;
|
(12) |
the
amount on deposit in any reserve fund as of the distribution
date after
giving effect to all distributions and allocations made on such
distribution date;
|
(13) |
if
applicable, any tests or calculations to determine whether any
trigger
events were met or not, as well as any material modifications
or waivers
of trigger events;
|
(14) |
the
aggregate unpaid accrued interest, if any, on each class of securities
at
the close of business on that distribution
date;
|
(15) |
in
the case of securities that accrue interest at a variable rate,
the
security interest rate applicable to that distribution date,
as calculated
in accordance with the method specified in the related prospectus
supplement;
|
(16) |
as
to any series which includes credit support, the amount of coverage
of
each instrument of credit support included in the trust fund
as of the
close of business on that distribution date as well any amounts
drawn on
such credit support to the extent applicable;
|
(17) |
material
breaches of representations and warranties or covenants, as well
as any
material modifications, extensions or waivers to pool asset terms,
fees,
penalties or payments during the distribution period or that
cumulatively
become material over time; and
|
(18) |
if
the related prospectus supplement provides for pre-funding, the
aggregate
principal balance of all subsequent mortgage loans added to the
mortgage
pool and the balance remaining in the pre-funding
account.
|
· |
maintaining
primary hazard insurance as described in this prospectus and
in any
related prospectus supplement,
|
· |
filing
and settling claims under primary hazard insurance policies,
which may be
subject to the right of the master servicer to approve in advance
any
settlement,
|
· |
maintaining
escrow or impoundment accounts of borrowers for payment of taxes,
insurance and other items required to be paid by any borrower
in
accordance with the mortgage asset,
|
(1) |
the
mortgaged property is in compliance with applicable environmental
laws and
regulations or, if not, that taking actions as are necessary
to bring the
mortgaged property into compliance with these laws is reasonably
likely to
produce a greater recovery on a present value basis than not
taking those
actions; and
|
(2) |
there
are no circumstances or conditions present at the mortgaged property
that
have resulted in any contamination for which investigation, testing,
monitoring, containment, clean-up or remediation could be required
under
any applicable environmental laws and regulations or, if those
circumstances or conditions are present for which any such action
could be
required, taking those actions with respect to the mortgaged
property is
reasonably likely to produce a greater recovery on a present
value basis
than not taking those actions. See “Legal Aspects of Mortgage
Assets—Environmental Legislation.”
|
· |
any
failure by the master servicer to distribute or cause to be distributed
to
securityholders, or to remit to the trustee for distribution
to
securityholders, any required payment that continues unremedied
for a
specified number of business days after the giving of written
notice of
the failure to the master servicer by the trustee or the depositor,
or to
the master servicer, the depositor and the trustee by the holders
of
certificates evidencing not less than 25% of the voting
rights;
|
· |
any
failure by the master servicer duly to observe or perform in
any material
respect any of its other covenants or obligations under the agreement
which continues unremedied for a specified number of days after
the giving
of written notice of the failure to the master servicer by the
trustee or
the depositor, or to the master servicer, the depositor and the
trustee by
the holders of certificates evidencing not less than 25% of the
voting
rights; and
|
· |
events
of insolvency, readjustment of debt, marshalling of assets and
liabilities
or similar proceedings and actions by or on behalf of the master
servicer
indicating its insolvency or inability to pay its
obligations.
|
· |
the
holders of certificates evidencing not less than 25% of the voting
rights
have made written request upon the trustee to institute the proceeding
in
its own name as trustee thereunder,
|
· |
the
trustee for fifteen days has neglected or refused to institute
a
proceeding. The trustee, however, is under no obligation to exercise
any
of the trusts or powers vested in it by any pooling and servicing
agreement or to make any investigation of matters arising thereunder
or to
institute, conduct or defend any litigation at the request, order
or
direction of any of the holders of certificates covered by the
agreement,
unless the certificateholders have offered to the trustee reasonable
security or indemnity against the costs, expenses and liabilities
which
may be incurred.
|
· |
any
failure by the master servicer to make a required deposit to
the
collection account or, if the master servicer is so required,
to
distribute to the holders of any class of notes or equity certificates
of
the series any required payment which continues unremedied for
a specified
number of business days after the giving of written notice of
the failure
to the master servicer by the trustee or the
issuer;
|
· |
any
failure by the master servicer duly to observe or perform in
any material
respect any other of its covenants or agreements in the servicing
agreement with respect to the series of notes which continues
unremedied
for a specified number of days after the giving of written notice
of the
failure to the master servicer by the trustee or the
issuer;
|
· |
events
of insolvency, readjustment of debt, marshalling of assets and
liabilities
or similar proceedings regarding the master servicer and actions
by the
master servicer indicating its insolvency or inability to pay
its
obligations and
|
· |
a
default for a specified number of days or more in the payment
of any
principal of or interest on any note of the
series;
|
· |
failure
to perform any other covenant of the depositor or the trust fund
in the
indenture which continues for a specified number of days after
notice of
failure is given in accordance with the procedures described
in the
related prospectus supplement;
|
· |
any
representation or warranty made by the depositor or the trust
fund in the
indenture or in any related certificate or other writing having
been
incorrect in a material respect as of the time made, and the
breach is not
cured within a specified number of days after notice of breach
is given in
accordance with the procedures described in the related prospectus
supplement;
|
· |
the
holders of 100% of the then aggregate outstanding amount of the
notes of
the series consent to the sale,
|
· |
accrued
interest, due and unpaid, on the outstanding notes of the series
at the
date of the sale, or
|
· |
the
trustee determines that the collateral would not be sufficient
on an
ongoing basis to make all payments on the notes as the payments
would have
become due if the notes had not been declared due and payable,
and the
trustee obtains the consent of the holders of 66 2/3% of the
then
aggregate outstanding amount of the notes of the
series.
|
· |
the
holder previously has given to the trustee written notice of
default and
the default is continuing,
|
· |
the
holders of notes or equity certificates of any class evidencing
not less
than 25% of the aggregate percentage interests constituting the
class (1)
have made written request upon the trustee to institute a proceeding
in
its own name as trustee thereunder and (2) have offered to the
trustee
reasonable indemnity,
|
· |
the
trustee has neglected or refused to institute a proceeding for
60 days
after receipt of the request and indemnity,
and
|
· |
no
direction inconsistent with the written request has been given
to the
trustee during the 60 day period by the holders of a majority
of the note
balances of the class. However, the trustee will be under no
obligation to
exercise any of the trusts or powers vested in it by the applicable
agreement or to institute, conduct or defend any litigation at
the
request, order or direction of any of the holders of notes or
equity
certificates covered by the agreement, unless the holders have
offered to
the trustee reasonable security or indemnity against the costs,
expenses
and liabilities which may be incurred therein or
thereby.
|
· |
reduce
in any manner the amount of or delay the timing of, payments
received on
trust fund assets which are required to be distributed on any
certificate
without the consent of the holder of the
certificate,
|
· |
adversely
affect in any material respect the interests of the holders of
any class
of certificates in a manner other than as described in the preceding
bullet point (as evidenced by either an opinion of counsel or
a
confirmation by the rating agencies that such amendment will
not result in
the downgrading of the securities),
or
|
· |
reduce
the percentage of voting rights required by the preceding bullet
point for
the consent to any amendment without the consent of the holders
of all
certificates covered by the agreement then
outstanding.
|
· |
reduce
in any manner the amount of or delay the timing of, payments
received on
trust fund assets which are required to be distributed on any
note without
the consent of the holder of that
note,
|
· |
adversely
affect in any material respect the interests of the holders of
any class
of notes in a manner other than as described in the preceding
bullet point
(as evidenced by either an opinion of counsel or a confirmation
by the
rating agencies that such amendment will not result in the downgrading
of
the notes), without the consent of the holders of notes of that
class
evidencing not less than 66% of the aggregate voting rights of
that class,
or
|
· |
reduce
the percentage of voting rights required by the preceding bullet
point for
the consent to any amendment without the consent of the holders
of all
notes covered by the agreement then outstanding. The voting rights
evidenced by any note will be the portion of the voting rights
of all of
the notes in the related series allocated in the manner described
in the
related prospectus supplement.
|
· |
the
final payment or other liquidation of the last asset included
in the
related trust fund or the disposition of all underlying property
subject
to the trust fund assets acquired upon foreclosure of the trust
fund
assets, and
|
· |
the
purchase of all of the assets of the trust fund by the party
entitled to
effect the termination, under the circumstances and in the manner
set
forth in the related prospectus
supplement.
|
· |
the
sum of (a) 100% of the stated principal balance of each mortgage
asset as
of the day of the purchase plus accrued interest thereon at the
applicable
interest rate net of the rates at which the servicing fees and
the
retained interest, if any, are calculated to the first day of
the month
following the purchase plus (b) the appraised value of any underlying
property subject to the mortgage assets acquired for the benefit
of
securityholders, and
|
· |
the
aggregate fair market value of all of the assets in the trust
fund, as
determined by the trustee, the master servicer, and, if different
than
both such persons, the person entitled to effect the termination,
in each
case taking into account accrued interest at the applicable interest
rate
net of the rates at which the servicing fees and the retained
interest, if
any, are calculated to the first day of the month following the
purchase.
|
· |
the
conditions under which the amount of coverage under the credit
support may
be reduced, terminated or replaced,
and
|
· |
Additionally,
the related prospectus supplement will set forth certain information
with
respect to the credit support provider,
including:
|
· |
its
principal place of business, place of incorporation and the jurisdiction
under which it is chartered or licensed to do
business,
|
· |
if
applicable, the identity of regulatory agencies that exercise
primary
jurisdiction over the conduct of its business,
and
|
· |
its
total assets and its stockholders’ or policyholders’ surplus, if
applicable, as of the date specified in the prospectus
supplement.
|
(1) |
For
any mortgage asset that became a liquidated asset during the
related
Prepayment Period, other than mortgage assets as to which amounts
paid or
payable under any related hazard insurance instrument, including
the
letter of credit as described in (2) below, are not sufficient
either to
restore the mortgaged property or to pay the outstanding principal
balance
of the mortgage asset plus accrued interest, an amount which,
together
with all Liquidation Proceeds, Insurance Proceeds, and other
collections
on the liquidated loan, net of amounts payable or reimbursable
therefrom
to the master servicer for related unpaid servicing fees and
unreimbursed
servicing expenses, will equal the sum of (A) the unpaid principal
balance
of the liquidated asset, plus accrued interest at the applicable
interest
rate net of the rates at which the servicing fee and retained
interest are
calculated, plus (B) the amount of related servicing expenses,
if any, not
reimbursed to the master servicer from Liquidation Proceeds,
Insurance
Proceeds and other collections on the liquidation asset, which
shall be
paid to the master servicer;
|
(2) |
For
each mortgage asset that is delinquent and as to which the mortgaged
property has suffered damage, other than physical damage caused
by hostile
or warlike action in time of war or peace, by any weapons of
war, by any
insurrection or rebellion, or by any nuclear reaction or nuclear
radiation
or nuclear contamination whether controlled or uncontrolled,
or by any
action taken by any governmental authority in response to any
of the
foregoing, and for which any amounts paid or payable under the
related
primary hazard insurance policy or any special hazard insurance
policy are
not sufficient to pay either of the following amounts, an amount
which,
together with all Insurance Proceeds paid or payable under the
related
primary hazard insurance policy or any special hazard insurance
policy,
net, if the proceeds are not to be applied to restore the mortgaged
property, of all amounts payable or reimbursable therefrom to
the master
servicer for related unpaid servicing fees and unreimbursed servicing
expenses, will be equal to the lesser of (A) the amount required
to
restore the mortgaged property and (B) the sum of (1) the unpaid
principal
balance of the mortgage asset plus accrued interest at the applicable
interest rate net of the rates at which the servicing fees and
retained
interest, if any, are calculated, plus (2) the amount of related
servicing
expenses, if any, not reimbursed to the master servicer from
Insurance
Proceeds paid under the related primary hazard insurance policy
or any
special hazard insurance policy;
and
|
(3) |
For
any mortgage asset that has been subject to bankruptcy proceedings
as
described above, the amount of any debt service reduction or
the amount by
which the principal balance of the mortgage asset has been reduced
by the
bankruptcy court.
|
· |
an
acceptable primary mortgage insurance policy, if the initial
loan-to-value
ratio of the mortgage loan exceeded 80%, has been kept in force
until the
loan-to-value ratio is reduced to
80%;
|
· |
premiums
on the primary hazard insurance policy have been paid by the
insured and
real estate taxes and foreclosure, protection and preservation
expenses
have been advanced by or on behalf of the insured, as approved
by the
insurer;
|
· |
if
there has been physical loss or damage to the mortgaged property,
it has
been restored to its physical condition at the time the mortgage
loan
became insured under the mortgage pool insurance policy, subject
to
reasonable wear and tear; and
|
· |
the
insured has acquired good and merchantable title to the mortgaged
property, free and clear of all liens and encumbrances, except
permitted
encumbrances, including any right of redemption by or on behalf
of the
mortgagor, and if required by the insurer, has sold the property
with the
approval of the insurer.
|
· |
loss
by reason of damage to mortgaged properties caused by certain
hazards,
including earthquakes and mudflows, not insured against under
the primary
hazard insurance policies or a flood insurance policy if the
property is
in a designated flood area, and
|
· |
loss
from partial damage caused by reason of the application of the
co-insurance clause contained in the primary hazard insurance
policies.
|
(2) |
upon
transfer of the property to the insurer, the unpaid principal
balance of
the mortgage asset at the time of acquisition of the property
by
foreclosure, deed in lieu of foreclosure or repossession, plus
accrued
interest to the date of claim settlement and expenses incurred
by or on
behalf of the master servicer with respect to the
property.
|
· |
advance
or discharge (1) hazard insurance premiums and (2) as necessary
and
approved in advance by the insurer, real estate taxes, property
protection
and preservation expenses and foreclosure and related
costs,
|
· |
in
the event of any physical loss or damage to the mortgaged property,
have
the mortgaged property restored to at least its condition at
the effective
date of the primary mortgage insurance policy, ordinary wear
and tear
excepted, and
|
· |
interest
on the unpaid loan obligation from the date of default to the
date of the
initial submission of the insurance claim, plus 15 calendar days
(the
total period not to exceed nine months) at a rate of 7% per
annum,
|
· |
Except
in those states where the debtor must receive notice of the right
to cure
a default, repossession can commence immediately upon default
without
prior notice. Repossession maybe effected either through self-
help
pursuant to a peaceable retaking without court order, voluntary
repossession or through judicial process by means of repossession
under a
court-issued writ of replevin. The self-help or voluntary repossession
methods are more commonly employed, and are accomplished simply
by
retaking possession of the manufactured home. In cases in which
the debtor
objects or raises a defense to repossession, a court order must
be
obtained from the appropriate state court, and the manufactured
home must
then be repossessed in accordance with that order. Whether the
method
employed is self-help, voluntary repossession or judicial repossession,
the repossession can be accomplished either by an actual physical
removal
of the manufactured home to a secure location for refurbishment
and resale
or by removing the occupants and their belongings from the manufactured
home and maintaining possession of the manufactured home on the
location
where the occupants were residing. Various factors may affect
whether the
manufactured home is physically removed or left on location,
such as the
nature and term of the lease of the site on which it is located
and the
condition of the unit. In many cases, leaving the manufactured
home on
location is preferable if the home is already set up because
the expenses
of retaking and redelivery will be saved. However, in those cases
where
the home is left on location, expenses for site rentals will
usually be
incurred.
|
· |
Once
repossession has been achieved, preparation for the subsequent
disposition
of the manufactured home can commence. The disposition may be
by public or
private sale provided the method, manner, time, place and terms
of the
sale are commercially reasonable.
|
· |
Sale
proceeds are to be applied first to repossession expenses like
those
expenses incurred in retaking, storage, preparing for sale including
refurbishing costs and selling, and then to satisfaction of the
indebtedness. While several states impose prohibitions or limitations
on
deficiency judgments if the net proceeds from resale do not cover
the full
amount of the indebtedness, the remainder may be sought from
the debtor in
the form of a deficiency judgment in those states that do not
prohibit or
limit deficiency judgments. The deficiency judgment is a personal
judgment
against the debtor for the shortfall. Occasionally, after resale
of a
manufactured home and payment of all expenses and indebtedness,
there is a
surplus of funds. In that case, the UCC requires the party suing
for the
deficiency judgment to remit the surplus to the debtor. Because
the
defaulting owner of a manufactured home generally has very little
capital
or income available following repossession, a deficiency judgment
may not
be sought in many cases or, if obtained, will be settled at a
significant
discount in light of the defaulting owner’s strained financial
condition.
|
· |
state-chartered
banks may originate alternative mortgage instruments, including
ARM Loans,
in accordance with regulations promulgated by the Comptroller
of the
Currency with respect to origination of alternative mortgage
instruments
by national banks,
|
· |
state-chartered
credit unions may originate alternative mortgage instruments
in accordance
with regulations promulgated by the National Credit Union Administration
with respect to origination of alternative mortgage instruments
by federal
credit unions, and
|
· |
all
other non-federally chartered housing creditors, including, without
limitation, state-chartered savings and loan associations, savings
banks
and mutual savings banks and mortgage banking companies may originate
alternative mortgage instruments in accordance with the regulations
promulgated by the Federal Home Loan Bank Board, predecessor
to the Office
of Thrift Supervision, with respect to origination of alternative
mortgage
instruments by federal savings and loan
associations.
|
· |
the
mortgage loan seller breached its obligation to repurchase the
loan or
contract in the event an obligor is successful in asserting the
claim,
and
|
· |
the
mortgage loan seller, the depositor or the trustee were unsuccessful
in
asserting any claim of contribution or subrogation on behalf
of the
securityholders against the manufacturer or other persons who
were
directly liable to the plaintiff for the
damages.
|
· |
REMIC
Certificates representing interests in a trust fund, or a portion
thereof,
that the trustee will elect to have treated as a REMIC under
the REMIC
Provisions of the Code,
|
· |
Grantor
Trust Certificates representing interests in a Grantor Trust
Fund as to
which no REMIC election will be
made,
|
· |
Partnership
Certificates representing interests in a Partnership Trust Fund
which is
treated as a partnership for federal income tax purposes,
and
|
· |
Debt
Certificates representing indebtedness of a Partnership Trust
Fund for
federal income tax purposes.
|
(2) |
in
the case of a REMIC Regular Certificate issued without original
issue
discount, in an amount that bears the same ratio to the total
remaining
market discount as the stated interest paid in the accrual period
bears to
the total amount of stated interest remaining to be paid on the
REMIC
Regular Certificate as of the beginning of the accrual period,
or
|
(3) |
in
the case of a REMIC Regular Certificate issued with original
issue
discount, in an amount that bears the same ratio to the total
remaining
market discount as the original issue discount accrued in the
accrual
period bears to the total original issue discount remaining on
the REMIC
Regular Certificate at the beginning of the accrual
period.
|
(2) |
the
sum of the daily accruals for each day during the quarter that
the REMIC
Residual Certificate was held by the REMIC Residual
Certificateholder.
|
(1) |
will
not be permitted to be offset by deductions, losses or loss carryovers
from other activities,
|
(2) |
will
be treated as unrelated business taxable income to an otherwise
tax-exempt
organization and
|
(3) |
will
not be eligible for any rate reduction or exemption under any
applicable
tax treaty with respect to the 30% United States withholding
tax imposed
on distributions to REMIC Residual Certificateholders that are
foreign
investors. See, however, “—Foreign Investors in REMIC Certificates”
below.
|
· |
an
amount equal to the individual’s, estate’s or trust’s share of the fees
and expenses will be added to the gross income of the holder,
and
|
· |
the
individual’s, estate’s or trust’s share of the fees and expenses will be
treated as a miscellaneous itemized deduction allowable subject
to the
limitation of Section 67 of the
Code.
|
· |
increased
by income reported by such certificateholder with respect to
the REMIC
Regular Certificate, including original issue discount and market
discount
income, and
|
· |
reduced,
but not below zero, by distributions on the REMIC Regular Certificate
received by the certificateholder and by any amortized
premium.
|
· |
the
present value, discounted using the applicable Federal rate for
obligations whose term ends on the close of the last quarter
in which
excess inclusions are expected to accrue with respect to the
REMIC
Residual Certificate, of the total anticipated excess inclusions
with
respect to the REMIC Residual Certificate for periods after the
transfer
and
|
· |
information
necessary for the application of the tax described herein will
be made
available. Restrictions on the transfer of REMIC Residual Certificates
and
other provisions that are intended to meet this requirement will
be
included in the pooling and servicing agreement, and will be
discussed
more fully in any prospectus supplement relating to the offering
of any
REMIC Residual Certificate.
|
· |
the
holder’s social security number and a statement under penalties of perjury
that the social security number is that of the record holder
or
|
· |
a
statement under penalties of perjury that the record holder is
not a
disqualified organization. Notwithstanding the preceding two
sentences, in
the case of a REMIC Residual Certificate held by an electing
large
partnership, as defined in Section 775 of the Code, all interests
in the
partnership shall be treated as held by disqualified organizations,
without regard to whether the record holders of the partnership
furnish
statements described in the preceding sentence, and the amount
that is
subject to tax under the second preceding sentence is excluded
from the
gross income of the partnership allocated to the partners, in
lieu of
allocating to the partners a deduction for the tax paid by the
partnership.
|
· |
the
United States, any State or political subdivision thereof, any
foreign
government, any international organization, or any agency or
instrumentality of the foregoing, not including, however,
instrumentalities described in Section 168(h)(2)(D) of the Code
or the
Federal Home Loan Mortgage
Corporation,
|
· |
any
organization, other than a cooperative described in Section 521
of the
Code, that is exempt from federal income tax, unless it is subject
to the
tax imposed by Section 511 of the Code
or
|
(1) |
Partnership
Certificates held by a thrift institution taxed as a domestic
building and
loan association will not constitute “loans ... secured by an interest in
real property” within the meaning of Code Section
7701(a)(19)(C)(v);
|
(2) |
Partnership
Certificates held by a real estate investment trust will constitute
real
estate assets within the meaning of Code Section 856(c)(5)(B)
and interest
on Partnership Certificates will be treated as “interest on obligations
secured by mortgages on real property or on interests in real
property”
within the meaning of Code Section 856(c)(3)(B), based on the
real estate
investments trust’s proportionate interest in the assets of the
Partnership Trust Fund based on capital accounts;
and
|
(3) |
Partnership
Certificates held by a regulated investment company will not
constitute
Government securities within the meaning of Code Section
851(b)(3)(A)(i).
|
· |
a
pension or other employee benefit plan of employers in the private
sector
that are regulated under ERISA, referred to as an ERISA
plan,
|
· |
an
individual retirement account or annuity, called an IRA, or a
pension or
other benefit plan for self-employed individuals, called a Keogh
plan,
|
· |
a
pension and other benefit plan for the employees of state and
local
governments, called a government plan,
or
|
· |
an
insurance company general or separate account, a bank collective
investment fund or other pooled investment vehicle which includes
the
assets of ERISA plans, IRAs, Keogh plans, and/or government
plans.
|
· |
PTCE
84-14, which exempts certain transactions approved on behalf
of the plan
by a qualified professional asset manager, or
QPAM.
|
· |
PTCE
90-1, which exempts certain transactions entered into by insurance
company
pooled separate accounts in which plans have made
investments.
|
· |
PTCE
91-38, which exempts certain transactions entered into by bank
collective
investment funds in which plans have made
investments.
|
· |
PTCE
96-23, which exempts certain transaction approved on behalf of
a plan by
an in-house investment manager, or
INHAM.
|
· |
PTCE
83-1, which exempts certain transactions involving the purchase
of pass-
through certificates in mortgage pool investment trusts from,
and the sale
of such certificates to, the pool sponsor, as well as transactions
in
connection with the servicing and operation of the
pool.
|
· |
The
ratio of the amount allocated to the pre-funding account to the
total
principal amount of the securities being offered must be less
than or
equal to 25%.
|
· |
All
additional obligations transferred to the trust after the closing
date of
the offering of securities must meet the same terms and conditions
of
eligibility for inclusion in the trust as the obligations placed
in the
trust at or prior to the closing date, and these terms and conditions
must
have been approved by Standard & Poor’s Rating Services, Inc., Moody’s
Investors Service, Inc. or Fitch Ratings, called the Exemption
Rating
Agencies. These terms and conditions may be changed if the changes
receive
prior approval of either an Exemption Rating Agency or a majority
vote of
outstanding certificateholders.
|
· |
After
the transfer of additional obligations to the trust, the securities
must
have a credit rating from one of the Exemption Rating Agencies
at least a
high as the rating assigned at the time of the initial issuance
of the
securities.
|
· |
The
use of pre-funding does not, in and of itself, cause a reduction
of 100
basis points or more in the weighted average annual percentage
interest
rate of all of the obligations included in the trust between
the time of
initial issuance of the securities and the end of the pre-funding
period.
|
· |
Either
the characteristics of the obligations added to the trust during
the pre-
funding period must be monitored by an independent insurer or
other
independent credit support provider, or an independent accountant
must
furnish a letter, prepared using the same type of procedures
as were
applicable to the obligations which were transferred to the trust
as of
the closing date of the initial offering of securities, stating
whether or
not the characteristics of the additional obligations conform
to the
characteristics described in the prospectus or prospectus
supplement.
|
· |
The
pre-funding period must end no later than three months, or 90
days if
later, after the closing date of the initial issuance of securities,
or
earlier in certain circumstances if the unused balance in the
pre-funding
account falls below a specified minimum level or an event of
default
occurs.
|
· |
Amounts
transferred to any pre-funding account and/or capitalized interest
account
used in connection with the pre-funding may be invested only
in
investments which are described in the pooling and servicing
agreement,
are permitted by the Exemption Rating Agencies rating the securities
and
have been rated, or the obligor has been rated, in one of the
three
highest generic rating categories by one of the Exemption Rating
Agencies
or else are either direct obligations of, or obligations fully
guaranteed
as to timely payment of principal and interest by, the United
States or
any agency or instrumentality thereof, provided that such obligations
are
backed by the full faith and credit of the United
States.
|
· |
The
trustee, or any agent with which the trustee contracts to provide
trust
services, must be a substantial financial institution or trust
company
experienced in trust activities and familiar with its duties,
responsibilities and liabilities with ERISA and the trustee,
as legal
owner of the assets of the trust, must enforce all the rights
created in
favor of Securityholders of the trust, including ERISA
plans.
|
· |
The
acquisition of securities by an ERISA Plan, a Keogh Plan, an
IRA or a
related investment vehicle is on terms, including price, that
are at least
as favorable to the buyer as they would be in an arm’s-length transaction
with an unrelated party.
|
· |
The
rights and interests evidenced by the securities acquired by
the ERISA
Plan, Keogh Plan, IRA or related investment vehicle are not subordinated
to the rights and interests evidenced by other securities of
the same
trust unless none of the mortgage loans or other assets has a
loan-to-value ratio that exceeds 100% as of the date of the issuance
of
the securities.
|
· |
The
securities acquired by the ERISA Plan, Keogh Plan, IRA or related
investment vehicle have received a rating that is in one of four
highest
generic rating categories from the Exemption Rating Agencies.
The
securities must be rated in one of the two highest generic categories
by
the Exemption Rating Agencies if the loan-to-value ratio of any
one-to-four-family residential mortgage loan or home equity loan
held in
the trust exceeds 100% at the date of issuance of the securities.
However,
in that case the Underwriters’ Exemptions will not apply (a) to any of the
securities if (x) any mortgage loan or other asset held in the
trust
(other than a one- to four-family residential mortgage loan or
home equity
loan) has a loan-to-value ratio that exceeds 100% at the date
of issuance
of the securities or (y) any one- to four-family residential
mortgage loan
or home equity loan has a loan-to-value ratio that exceeds 125%
at the
date of the issuance of the securities or (b) to any subordinate
securities.
|
· |
The
trustee of the trust is not an affiliate of the trust sponsor,
any
servicer, any underwriter, any insurer, any swap counterparty
or any
obligor with respect to obligations or receivables constituting
more than
5% of the aggregate unamortized principal balance of the assets
in the
trust, determined on the date of initial issuance of securities,
or any
affiliate of any of these entities.
|
· |
The
sum of all payments made to and retained by the underwriter(s)
or selling
agents must represent not more than reasonable compensation for
underwriting the securities; the sum of all payments made to
and retained
by the sponsor pursuant to the assignment of the assets to the
trust must
represent not more than the fair market value of such obligations;
and the
sum of all payments made to and retained by all servicers must
represent
not more than reasonable compensation for such persons’ services and
reimbursement of such person’s reasonable expenses in connection with such
services.
|
· |
The
investing ERISA plan, Keogh plan, IRA or related investment vehicle
must
be an accredited investor as defined in Rule 501(a)(1) of Regulation
D of
the Commission under the Securities Act of 1933, as
amended.
|
· |
In
the case of certain types of issuers, the pooling and servicing
agreement
contains restrictions necessary to ensure that the assets of
the trust may
not be reached by creditors of the depositor in the event of
its
bankruptcy or insolvency and prohibits all parties from filing
an
involuntary bankruptcy or insolvency petition against the trust,
and a
true sale opinion is issued in connection with the transfer of
assets to
the trust.
|
· |
The
purchaser or seller is not an ERISA plan, an IRA or a Keogh plan
that is
sponsored by an underwriter or selling agent, a trust’s sponsor, the
trustee, any insurer, any servicer or any obligor with respect
to
obligations or receivables included in the trust constituting
more than 5%
of the aggregate unamortized principal balance of the assets
in the trust,
determined on the date of initial issuance of the securities,
or any
affiliate of any of these entities.
|
· |
Solely
in the case of initial issuance of securities, at least 50% of
each class
of securities issued by the trust is acquired by persons independent
of
the underwriters or selling agents, the trust’s sponsor, the trustee, any
insurer, any servicer, any obligor with respect to obligations
or
receivables included in the trust constituting more than 5% of
the
aggregate unamortized principal balance of the assets in the
trust,
determined on the date of initial issuance of the securities,
and any
affiliate of any of these entities.
|
· |
The
purchaser’s investment in each class of securities issued by the trust
does not exceed 25% of all of the securities in such class outstanding
at
the time of the issuance.
|
· |
Immediately
after the acquisition, no more than 25% of the purchaser’s assets are
invested in securities issued by trusts containing assets sold
or serviced
by an entity that has discretionary authority over the purchaser
or
renders investment advice to the purchaser for a
fee.
|
· |
The
transactions are carried out in accordance with the terms of
a binding
pooling and servicing agreement.
|
· |
The
pooling and servicing agreement is provided to, or fully described
in the
prospectus or offering memorandum provided to, investing ERISA
plans,
Keogh plans, IRAs and related investment vehicles before they
purchase
securities issued by the trust.
|
1.
|
By
negotiated firm commitment or best efforts underwriting and public
re-offering by underwriters;
|
RBS
Greenwich Capital
|
Barclays
Capital
|
Deutsche
Bank Securities
|
Merrill
Lynch & Co.
|
This ‘424B5’ Filing | Date | Other Filings | ||
---|---|---|---|---|
5/25/36 | ||||
5/1/36 | ||||
5/25/35 | ||||
5/25/34 | ||||
5/25/33 | ||||
5/25/32 | ||||
5/25/31 | ||||
5/25/30 | ||||
5/25/29 | ||||
5/25/28 | ||||
5/25/27 | ||||
5/25/26 | ||||
5/25/25 | ||||
5/25/24 | ||||
5/25/23 | ||||
5/25/22 | ||||
5/25/21 | ||||
5/25/20 | ||||
5/25/19 | ||||
5/25/18 | ||||
5/25/17 | ||||
5/25/16 | ||||
5/25/15 | ||||
5/25/14 | ||||
5/25/13 | ||||
5/25/12 | ||||
5/25/11 | ||||
5/25/10 | ||||
5/25/09 | ||||
4/1/09 | ||||
3/1/09 | ||||
2/1/09 | ||||
1/1/09 | ||||
12/1/08 | ||||
11/1/08 | ||||
10/1/08 | ||||
5/25/08 | ||||
5/1/08 | ||||
4/1/08 | ||||
3/1/08 | ||||
2/1/08 | ||||
1/1/08 | ||||
12/1/07 | ||||
11/1/07 | ||||
10/1/07 | ||||
9/1/07 | ||||
5/25/07 | ||||
3/1/07 | ||||
6/1/06 | ||||
5/25/06 | ||||
Filed on: | 5/23/06 | FWP | ||
5/12/06 | 8-K, FWP | |||
5/11/06 | FWP | |||
5/2/06 | ||||
5/1/06 | ||||
3/31/06 | ||||
1/23/06 | ||||
1/1/06 | ||||
12/31/05 | ||||
11/1/05 | ||||
10/1/05 | ||||
12/31/04 | ||||
12/31/03 | ||||
7/1/03 | ||||
1/1/03 | ||||
12/18/01 | ||||
9/11/01 | ||||
7/5/01 | ||||
11/13/00 | ||||
1/5/00 | ||||
12/1/98 | ||||
5/26/98 | ||||
4/23/98 | ||||
10/20/97 | ||||
7/21/97 | ||||
8/20/96 | ||||
6/14/96 | ||||
10/1/95 | ||||
1/4/95 | ||||
List all Filings |