Document/Exhibit Description Pages Size
1: 8-K Current Report 6 24K
2: EX-4.1 Instrument Defining the Rights of Security Holders 272 920K
3: EX-99.1 Miscellaneous Exhibit 33 233K
4: EX-99.2 Miscellaneous Exhibit 8 29K
5: EX-99.3 Miscellaneous Exhibit 18 88K
6: EX-99.4 Miscellaneous Exhibit 29 116K
7: EX-99.5 Miscellaneous Exhibit 23 90K
8: EX-99.6 Miscellaneous Exhibit 6 26K
9: EX-99.7 Miscellaneous Exhibit 12 55K
10: EX-99.8 Miscellaneous Exhibit 40 169K
11: EX-99.9 Miscellaneous Exhibit 27 147K
Exhibit 99.1
THE MORTGAGE POOL
The following information sets forth in tabular format certain
information, as of the Statistical Calculation Date, about the Mortgage Loans
included in the Mortgage Pool in respect of Loan Group 1, Loan Group 2 and the
Mortgage Pool as a whole. Other than with respect to rates of interest,
percentages are approximate. In addition, the percentages in the column
entitled "Percent of Aggregate Principal Balance Outstanding" are stated by
that portion of the Statistical Calculation Date Pool Principal Balance
representing Loan Group 1, Loan Group 2 or the Mortgage Pool as a whole. The
sum of the columns below may not equal the total indicated due to rounding. In
addition, each weighted average Credit Bureau Risk Score set forth below has
been calculated without regard to any Mortgage Loan for which the Credit
Bureau Risk Score is unknown.
[Enlarge/Download Table]
GROUP 1 MORTGAGE LOANS
Mortgage Loan Programs for the Group 1 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Mortgage Loan Program Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ------------ ---------------- ------------- ----------- --------- ----------- ---------- --------
30-Year 6-month LIBOR..... 18 $ 4,318,432 0.79% $ 239,913 7.808% 359.96 589 86.9%
2/28 6-month LIBOR........ 1,412 227,273,358 41.70 160,958 8.411 359.79 591 81.6
2/38 6-month LIBOR........ 590 128,106,586 23.51 217,130 8.036 479.96 583 79.0
2/28 6-month LIBOR -
60-month Interest Only.. 161 37,200,817 6.83 231,061 7.450 359.89 659 83.1
2/28 6-month LIBOR
40/30-Year Balloon...... 47 10,135,694 1.86 215,653 8.131 359.44 574 75.5
3/27 6-month LIBOR........ 81 12,023,232 2.21 148,435 8.198 358.07 598 78.9
3/37 6-month LIBOR........ 23 5,337,347 0.98 232,059 7.241 480.00 597 76.4
3/27 6-month LIBOR -
60-month Interest Only.. 10 2,770,800 0.51 277,080 6.796 360.00 674 80.3
5/25 6-month LIBOR........ 20 4,704,317 0.86 235,216 7.748 359.92 585 80.9
5/35 6-month LIBOR........ 9 2,029,400 0.37 225,489 7.440 480.00 601 70.2
5/25 6-month LIBOR -
120-month Interest Only. 2 621,520 0.11 310,760 6.722 360.00 656 86.1
10-Year Fixed............. 2 156,639 0.03 78,319 8.023 119.00 598 54.9
15-Year Fixed............. 17 2,822,647 0.52 166,038 7.866 179.93 589 70.8
20-Year Fixed............. 11 2,296,900 0.42 208,809 7.441 240.00 600 71.5
25-Year Fixed............. 2 227,000 0.04 113,500 7.472 300.00 668 76.8
30-Year Fixed............. 460 80,805,734 14.83 175,665 7.845 359.58 603 75.3
30-Year Fixed - Credit
Comeback................ 15 1,948,752 0.36 129,917 8.770 358.50 588 81.6
40-Year Fixed............. 94 19,437,578 3.57 206,783 7.749 479.76 596 73.1
40-Year Fixed - Credit
Comeback................ 4 979,950 0.18 244,988 8.844 480.00 600 85.4
40/30-Year Fixed Balloon.. 6 1,801,648 0.33 300,275 7.862 359.38 620 77.0
---------- ---------------- -----------
Total/Avg./Wtd. Avg... 2,984 $ 544,998,352 100.00%
========== ================ ===========
[Enlarge/Download Table]
Original Terms to Stated Maturity for the Group 1 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Original Term (months) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
---------------------------- ---------- --------------- ----------- ---------- --------- --------- ---------- ---------
ARM 360................... 1,751 $ 299,048,171 54.87% $ 170,787 8.236% 359.73 600 81.5%
ARM 480................... 622 135,473,333 24.86 217,803 7.995 479.96 583 78.7
Fixed 120................. 2 156,639 0.03 78,319 8.023 119.00 598 54.9
Fixed 180................. 17 2,822,647 0.52 166,038 7.866 179.93 589 70.8
Fixed 240................. 11 2,296,900 0.42 208,809 7.441 240.00 600 71.5
Fixed 300................. 2 227,000 0.04 113,500 7.472 300.00 668 76.8
Fixed 360................. 481 84,556,134 15.51 175,792 7.867 359.55 603 75.5
Fixed 480................. 98 20,417,528 3.75 208,342 7.801 479.77 597 73.7
---------- --------------- ------------
Total/Avg./Wtd. Avg... 2,984 $544,998,352 100.00%
========== =============== ============
Mortgage Loan Principal Balances for the Group 1 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Mortgage Loan Mortgage Balance Balance Principal Mortgage Term Bureau Value
Principal Balances Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
---------------------------- ---------- --------------- ----------- ---------- --------- --------- ---------- ---------
$25,000.01 - $50,000.00... 10 $ 482,328 0.09% $ 48,233 9.518% 340.88 614 66.2%
$50,000.01 - $75,000.00... 213 13,546,820 2.49 63,600 9.584 360.72 600 84.8
$75,000.01 - $100,000.00.. 344 30,427,049 5.58 88,451 8.931 374.05 598 82.2
$100,000.01 - $150,000.00. 774 96,259,279 17.66 124,366 8.436 380.47 596 81.4
$150,000.01 - $200,000.00. 592 103,466,085 18.98 174,774 8.166 391.20 595 78.7
$200,000.01 - $250,000.00. 396 88,707,425 16.28 224,009 8.029 394.83 594 78.8
$250,000.01 - $300,000.00. 272 74,696,394 13.71 274,619 7.796 403.37 598 79.0
$300,000.01 - $350,000.00. 197 64,110,465 11.76 325,434 7.780 400.12 593 78.3
$350,000.01 - $400,000.00. 132 49,722,673 9.12 376,687 7.580 409.01 596 77.8
$400,000.01 - $450,000.00. 42 17,356,536 3.18 413,251 7.371 389.96 610 79.0
$450,000.01 - $500,000.00. 7 3,389,161 0.62 484,166 8.486 394.95 620 85.8
$500,000.01 - $550,000.00. 3 1,587,137 0.29 529,046 7.474 398.98 630 65.1
$600,000.01 - $650,000.00. 2 1,247,000 0.23 623,500 8.751 421.78 636 85.2
---------- ---------------- ------------
Total/Avg./Wtd. Avg... 2,984 $ 544,998,352 100.00%
========== ================ ============
2
State Distribution of the Mortgaged Properties for the Group 1 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to
Mortgage Balance Balance Principal Mortgage Term Bureau Value
State Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
---------------------------- ---------- --------------- ----------- ---------- --------- --------- ---------- ---------
Alabama................... 35 $ 4,071,324 0.75% $ 116,324 9.127% 371.89 598 88.1%
Alaska.................... 12 2,279,320 0.42 189,943 8.541 389.52 610 88.1
Arizona................... 111 19,630,015 3.60 176,847 8.062 401.89 608 77.4
Arkansas.................. 15 1,926,668 0.35 128,445 9.136 383.65 589 89.5
California................ 311 87,731,510 16.10 282,095 7.499 419.02 589 72.4
Colorado.................. 36 5,903,424 1.08 163,984 8.305 390.85 626 85.5
Connecticut............... 53 10,101,249 1.85 190,590 8.272 395.43 600 81.6
Delaware.................. 12 2,091,410 0.38 174,284 8.043 385.57 585 80.4
District of Columbia...... 7 1,818,750 0.33 259,821 7.461 375.84 597 70.2
Florida................... 303 58,620,773 10.76 193,468 8.086 392.98 598 78.9
Georgia................... 161 24,004,793 4.40 149,098 8.623 382.02 603 87.0
Hawaii.................... 12 4,593,670 0.84 382,806 7.930 390.07 620 81.6
Idaho..................... 21 3,211,400 0.59 152,924 8.039 378.33 589 86.6
Illinois.................. 142 28,025,861 5.14 197,365 8.434 386.65 608 83.4
Indiana................... 48 4,980,974 0.91 103,770 9.027 364.05 596 85.1
Iowa...................... 24 2,851,554 0.52 118,815 8.741 360.00 601 87.2
Kansas.................... 20 2,453,320 0.45 122,666 8.602 377.59 586 84.7
Kentucky.................. 22 2,980,944 0.55 135,497 8.832 375.93 597 90.7
Louisiana................. 29 3,873,095 0.71 133,555 8.202 372.87 603 85.1
Maine..................... 10 1,743,120 0.32 174,312 8.326 395.82 572 84.2
Maryland.................. 127 27,829,792 5.11 219,132 7.797 410.38 594 77.3
Massachusetts............. 72 16,744,540 3.07 232,563 7.754 394.04 593 75.4
Michigan.................. 82 10,236,502 1.88 124,835 8.668 382.18 598 86.3
Minnesota................. 53 9,690,694 1.78 182,843 8.165 378.98 606 80.2
Mississippi............... 27 3,341,166 0.61 123,747 7.901 358.77 609 85.5
Missouri.................. 84 10,495,141 1.93 124,942 8.759 382.52 601 86.4
Montana................... 10 1,609,997 0.30 161,000 8.535 359.90 600 81.6
Nebraska.................. 2 150,650 0.03 75,325 9.967 360.00 620 97.3
Nevada.................... 41 8,990,975 1.65 219,292 7.746 388.94 607 80.2
New Hampshire............. 7 1,368,220 0.25 195,460 8.280 383.90 586 74.8
New Jersey................ 99 24,771,116 4.55 250,213 8.020 388.40 590 77.9
New Mexico................ 24 3,492,397 0.64 145,517 8.452 390.28 576 79.2
New York.................. 118 29,875,446 5.48 253,182 7.487 378.94 590 70.7
North Carolina............ 87 10,673,216 1.96 122,681 8.790 379.49 598 85.8
North Dakota.............. 4 401,159 0.07 100,290 9.494 397.09 590 94.8
Ohio...................... 61 6,184,112 1.13 101,379 8.983 375.47 597 87.1
Oklahoma.................. 22 2,164,636 0.40 98,393 9.003 368.60 586 86.5
Oregon.................... 55 10,862,074 1.99 197,492 7.897 416.72 603 78.9
Pennsylvania.............. 64 9,317,028 1.71 145,579 8.484 377.56 585 84.0
Rhode Island.............. 5 1,340,150 0.25 268,030 8.586 420.32 572 84.4
South Carolina............ 33 4,621,813 0.85 140,055 8.486 381.46 589 78.6
South Dakota.............. 3 315,875 0.06 105,292 8.920 435.79 591 88.9
Tennessee................. 63 6,920,516 1.27 109,849 8.881 378.99 611 87.8
Texas..................... 179 20,635,386 3.79 115,281 8.533 361.53 596 83.4
Utah...................... 54 9,045,978 1.66 167,518 8.158 375.31 611 81.0
Vermont................... 9 1,581,007 0.29 175,667 8.245 413.47 606 78.9
Virginia.................. 90 16,920,492 3.10 188,005 7.980 390.95 579 79.4
Washington................ 77 15,882,545 2.91 206,267 8.012 405.97 590 80.9
West Virginia............. 7 1,140,399 0.21 162,914 8.250 367.70 606 77.3
Wisconsin................. 36 4,790,255 0.88 133,063 8.829 376.24 609 86.6
Wyoming................... 5 711,900 0.13 142,380 8.260 360.00 602 86.4
---------- --------------- ------------
Total/Avg./Wtd. Avg... 2,984 $ 544,998,352 100.00%
========== =============== ============
3
Loan-to-Value Ratios for the Group 1 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Loan-to-Value Mortgage Balance Balance Principal Mortgage Term Bureau Value
Ratios (%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
---------------------------- ---------- --------------- ----------- ---------- ---------- --------- ---------- ---------
50.00 or Less............. 125 $ 20,315,893 3.73% $ 162,527 7.641% 388.27 576 41.5%
50.01 - 55.00............. 62 13,085,448 2.40 211,056 7.176 404.83 581 52.8
55.01 - 60.00............. 77 16,489,096 3.03 214,144 7.340 402.45 575 57.6
60.01 - 65.00............. 129 27,142,795 4.98 210,409 7.606 396.93 580 63.2
65.01 - 70.00............. 149 32,000,514 5.87 214,769 7.763 401.93 574 68.4
70.01 - 75.00............. 228 49,758,620 9.13 218,240 7.923 391.63 571 73.7
75.01 - 80.00............. 833 142,806,985 26.20 171,437 7.971 389.71 614 79.5
80.01 - 85.00............. 378 71,690,932 13.15 189,659 8.203 396.42 581 84.3
85.01 - 90.00............. 504 97,930,865 17.97 194,307 8.196 391.75 603 89.4
90.01 - 95.00............. 309 49,463,965 9.08 160,078 8.847 390.84 611 94.6
95.01 - 100.00............ 190 24,313,239 4.46 127,964 9.335 379.51 622 99.8
---------- --------------- ------------
Total/Avg./Wtd. Avg... 2,984 $ 544,998,352 100.00%
========== =============== ============
Combined Loan-to-Value Ratios(1) for the Group 1 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Combined Mortgage Balance Balance Principal Mortgage Term Bureau Value
Loan-to-Value Ratios (%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
---------------------------- ---------- --------------- ----------- ---------- --------- ---------- ---------- ---------
50.00 or Less............. 124 $ 20,200,893 3.71% $ 162,910 7.634% 387.75 577 41.6%
50.01 - 55.00............. 62 12,923,448 2.37 208,443 7.221 406.46 578 52.6
55.01 - 60.00............. 77 16,489,096 3.03 214,144 7.340 402.45 575 57.6
60.01 - 65.00............. 128 27,234,145 5.00 212,767 7.577 396.81 580 63.1
65.01 - 70.00............. 149 31,856,114 5.85 213,799 7.754 402.12 574 68.4
70.01 - 75.00............. 218 48,196,945 8.84 221,087 7.931 392.66 569 73.7
75.01 - 80.00............. 406 77,964,998 14.31 192,032 8.036 393.21 583 79.2
80.01 - 85.00............. 374 71,497,847 13.12 191,171 8.191 396.69 582 84.2
85.01 - 90.00............. 512 98,973,070 18.16 193,307 8.207 391.59 603 89.2
90.01 - 95.00............. 315 50,392,640 9.25 159,977 8.853 391.44 611 94.3
95.01 - 100.00............ 619 89,269,156 16.38 144,215 8.269 382.85 643 85.4
---------- --------------- ------------
Total/Avg./Wtd. Avg... 2,984 $ 544,998,352 100.00%
========== =============== =============
------------
(1) The Combined Loan-to-Value Ratios presented in the foregoing table
reflect only certain junior lien mortgage loans secured by the related
Mortgaged Properties. See the definition of "Combined Loan-to-Value
Ratio" under "The Mortgage Pool--Loan-to-Value Ratio" in the Prospectus
Supplement.
4
Current Mortgage Rates for the Group 1 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Current Mortgage Mortgage Balance Balance Principal Mortgage Term Bureau Value
Rates (%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
---------------------------- ---------- --------------- ----------- ---------- --------- --------- ---------- --------
4.501 - 5.000............. 2 $ 601,200 0.11% $ 300,600 4.955% 436.33 553 66.3%
5.001 - 5.500............. 5 1,489,421 0.27 297,884 5.415 428.54 661 81.4
5.501 - 6.000............. 29 7,400,919 1.36 255,204 5.829 404.78 622 71.2
6.001 - 6.500............. 99 25,539,904 4.69 257,979 6.361 405.27 619 71.7
6.501 - 7.000............. 295 71,482,284 13.12 242,313 6.833 396.95 611 73.5
7.001 - 7.500............. 353 74,274,577 13.63 210,410 7.340 391.20 603 75.9
7.501 - 8.000............. 485 89,398,386 16.40 184,327 7.819 384.10 598 78.5
8.001 - 8.500............. 437 78,441,635 14.39 179,500 8.323 395.55 595 80.8
8.501 - 9.000............. 540 94,953,413 17.42 175,840 8.810 394.78 589 82.1
9.001 - 9.500............. 370 58,903,425 10.81 159,198 9.299 393.86 581 84.6
9.501 - 10.000............ 216 29,544,890 5.42 136,782 9.700 385.46 576 86.1
10.001 - 10.500........... 54 5,256,125 0.96 97,336 10.305 378.66 587 93.9
10.501 - 11.000........... 57 4,649,856 0.85 81,576 10.779 370.45 588 95.2
11.001 - 11.500........... 24 1,640,872 0.30 68,370 11.257 360.00 577 93.5
11.501 - 12.000........... 11 866,642 0.16 78,786 11.784 372.12 577 96.4
12.001 - 12.500........... 4 368,500 0.07 92,125 12.273 360.00 590 100.0
12.501 - 13.000........... 3 186,300 0.03 62,100 12.806 360.00 606 100.0
---------- --------------- --------------
Total/Avg./Wtd. Avg... 2,984 $ 544,998,352 100.00%
========== =============== ==============
Types of Mortgaged Properties for the Group 1 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Mortgaged Property Type Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
---------------------------- ---------- --------------- ----------- ---------- --------- --------- ---------- ---------
Single Family Residence... 2,350 $ 420,796,609 77.21% $ 179,062 8.112% 393.12 594 79.4%
Planned Unit Development.. 372 70,015,490 12.85 188,214 8.030 387.39 601 81.8
Two Family Home........... 103 25,372,620 4.66 246,336 7.990 398.94 607 76.2
Low-Rise Condominium...... 128 20,601,040 3.78 160,946 8.296 390.85 608 80.8
Three Family Home......... 14 3,717,245 0.68 265,517 7.548 418.58 600 66.7
Four Family Home.......... 10 2,705,887 0.50 270,589 7.785 347.63 634 66.3
High-Rise Condominium..... 7 1,789,461 0.33 255,637 8.134 405.46 618 76.3
---------- --------------- ------------
Total/Avg./Wtd. Avg... 2,984 $ 544,998,352 100.00%
========== =============== ============
Loan Purposes for the Group 1 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Loan Purpose Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
---------------------------- ---------- --------------- ----------- ---------- --------- --------- ---------- --------
Refinance - Cash Out...... 2,033 $ 417,478,130 76.60% $ 205,351 7.962% 395.79 590 77.6%
Purchase.................. 755 92,993,723 17.06 123,170 8.782 379.78 624 87.1
Refinance - Rate/Term..... 196 34,526,500 6.34 176,156 7.881 387.83 606 82.2
---------- --------------- ------------
Total/Avg./Wtd. Avg... 2,984 $ 544,998,352 100.00%
========== =============== ============
5
Occupancy Types for the Group 1 Mortgage Loans
in the Mortgage Pool(1)
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Occupancy Type Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
---------------------------- ---------- --------------- ----------- ---------- --------- --------- ---------- --------
Owner Occupied............ 2,841 $ 520,169,150 95.44% $ 183,094 8.083% 392.77 594 79.5%
Investment Property....... 99 16,248,731 2.98 164,129 8.461 394.51 650 78.9
Second Home............... 44 8,580,470 1.57 195,011 8.283 375.77 637 80.5
---------- --------------- ------------
Total/Avg./Wtd. Avg... 2,984 $ 544,998,352 100.00%
========= =============== ============
------------
(1) Based on representations by the Mortgagors at the time of origination of the related Mortgage Loans.
Remaining Terms to Stated Maturity for the Group 1 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Remaining Terms Mortgage Balance Balance Principal Mortgage Term Bureau Value
(months) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
---------------------------- ---------- --------------- ----------- ---------- --------- --------- ---------- --------
1 - 120................... 2 $ 156,639 0.03% $ 78,319 8.023% 119.00 598 54.9%
121 - 180................. 17 2,822,647 0.52 166,038 7.866 179.93 589 70.8
181 - 300................. 13 2,523,900 0.46 194,146 7.443 245.40 606 72.0
301 - 360................. 2,232 383,604,305 70.39 171,866 8.155 359.69 601 80.2
Greater than 360.......... 720 155,890,861 28.60 216,515 7.970 479.93 585 78.1
---------- --------------- ------------
Total/Avg./Wtd. Avg... 2,984 $ 544,998,352 100.00%
========== =============== ============
Loan Documentation Types for the Group 1 Mortgage Loans
in the Mortgage Pool
Weighted
Percent of Weighted Weighted Average Weighted
Aggregate Aggregate Average Average Average Credit Average
Number of Principal Principal Current Gross Remaining Bureau Loan-to-
Mortgage Balance Balance Principal Mortgage Term Risk Value
Loan Documentation Type Loans Outstanding Outstanding Balance Rate (months) Score Ratio
---------------------------- ---------- --------------- ----------- ---------- --------- --------- ---------- --------
Full Documentation........ 2,027 $ 339,789,315 62.35% $ 167,632 8.001% 393.15 589 80.9%
Stated Income............. 957 205,209,037 37.65 214,430 8.257 391.57 609 77.1
---------- --------------- ------------
Total/Avg./Wtd. Avg... 2,984 $ 544,998,352 100.00%
========== =============== ============
6
Credit Bureau Risk Scores(1) for the Group 1 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Credit Bureau Mortgage Balance Balance Principal Mortgage Term Bureau Value
Risk Scores Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
---------------------------- ---------- --------------- ----------- ---------- --------- --------- ---------- --------
801 - 820............... 1 $ 136,000 0.02% $ 136,000 6.325% 480.00 816 80.0%
781 - 800............... 6 1,268,650 0.23 211,442 7.605 388.57 789 83.4
761 - 780............... 3 532,655 0.10 177,552 8.586 382.26 771 81.6
741 - 760............... 5 1,258,669 0.23 251,734 7.711 359.84 753 81.4
721 - 740............... 27 4,800,119 0.88 177,782 7.689 372.84 730 82.1
701 - 720............... 44 8,917,801 1.64 202,677 7.639 387.41 710 83.2
681 - 700............... 78 15,157,596 2.78 194,328 7.655 377.59 688 78.6
661 - 680............... 171 32,651,809 5.99 190,946 7.707 381.72 670 82.1
641 - 660............... 289 54,120,287 9.93 187,267 7.767 380.31 650 82.0
621 - 640............... 326 58,176,128 10.67 178,454 7.806 385.94 631 82.4
601 - 620............... 409 70,855,424 13.00 173,241 8.057 397.29 609 81.5
581 - 600............... 391 66,738,933 12.25 170,688 8.322 391.64 590 81.4
561 - 580............... 431 77,284,018 14.18 179,313 8.288 394.24 570 79.6
541 - 560............... 341 65,250,104 11.97 191,349 8.273 399.31 551 77.3
521 - 540............... 286 54,857,411 10.07 191,809 8.330 404.77 531 73.9
501 - 520............... 169 31,208,949 5.73 184,668 8.454 402.88 512 71.8
500 or Less............. 7 1,783,800 0.33 254,829 7.581 376.82 500 63.4
----------- --------------- -----------
Total/Avg./Wtd. Avg... 2,984 $ 544,998,352 100.00%
=========== =============== ===========
------------
(1) The Credit Bureau Risk Scores referenced in this table with respect to
substantially all of the Group 1 Mortgage Loans were obtained by the
respective originators from one or more credit reporting agencies, and
were determined at the time of origination.
Credit Grade Categories for the Group 1 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Credit Grade Category Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
---------------------------- ---------- --------------- ----------- ---------- --------- --------- ---------- --------
A......................... 2,392 $ 428,400,618 78.61% $ 179,097 8.084% 391.22 605 81.1%
A-........................ 188 37,562,580 6.89 199,801 8.081 395.51 565 76.9
B......................... 263 51,908,036 9.52 197,369 8.132 395.64 565 74.4
C......................... 118 22,980,676 4.22 194,751 8.322 403.50 560 67.8
C-........................ 12 2,115,855 0.39 176,321 8.025 396.36 544 63.3
D......................... 11 2,030,587 0.37 184,599 7.741 413.23 545 60.8
---------- --------------- ------------
Total/Avg./Wtd. Avg... 2,984 $ 544,998,352 100.00%
========== =============== ============
7
Prepayment Penalty Periods for the Group 1 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Prepayment Penalty Period Mortgage Balance Balance Principal Mortgage Term Bureau Value
(months) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
---------------------------- ---------- --------------- ----------- ---------- --------- --------- ---------- --------
0......................... 986 $ 177,067,026 32.49% $ 179,581 8.258% 387.28 599 80.4%
12........................ 135 33,262,676 6.10 246,390 7.815 384.33 596 72.5
13........................ 1 199,826 0.04 199,826 6.700 359.00 635 54.8
24........................ 1,538 274,378,338 50.34 178,399 8.092 399.03 593 80.3
36........................ 324 60,090,486 11.03 185,464 7.806 383.22 605 76.7
---------- --------------- -----------
Total/Avg./Wtd. Avg... 2,984 $ 544,998,352 100.00%
========== =============== ===========
[Enlarge/Download Table]
Months to Next Adjustment Date for the Group 1 Adjustable Rate Mortgage Loans
in the Mortgage Pool
Weighted
Average Percent of Weighted Weighted Weighted Weighted
Months to Aggregate Aggregate Average Average Average Average Average
Next Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Months to Adjustment Mortgage Balance Balance Principal Mortgage Term Bureau Value
Next Adjustment Date Date Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------- ---------- ----------- ------------ ----------- --------- -------- ---------- ---------- ---------
0 - 6.............. 6 18 $ 4,318,432 0.99% $ 239,913 7.808% 359.96 589 86.9%
7 - 12............. 9 5 727,890 0.17 145,578 7.450 345.30 611 74.9
13 - 18............ 16 14 2,339,145 0.54 167,082 7.954 350.95 577 78.2
19 - 24............ 24 2,200 400,521,606 92.18 182,055 8.197 398.27 595 80.8
25 - 31............ 27 3 631,587 0.15 210,529 7.654 351.15 649 69.2
32 - 37............ 36 102 18,627,606 4.29 182,624 7.766 394.19 606 78.4
38 or Greater...... 60 31 7,355,237 1.69 237,266 7.576 393.06 596 78.4
---------- -------------- -----------
Total/Avg./Wtd. Avg.. 2,373 $ 434,521,504 100.00%
========== ============== ===========
[Enlarge/Download Table]
Gross Margins for the Group 1 Adjustable Rate Mortgage Loans
in the Mortgage Pool(1)
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Range of Gross Margins (%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
2.001 - 3.000............. 4 $ 1,049,850 0.24% $ 262,463 7.603% 381.84 568 70.2%
3.001 - 4.000............. 9 1,917,131 0.44 213,015 6.825 359.59 595 78.7
4.001 - 5.000............. 54 10,573,095 2.43 195,798 7.591 391.37 594 77.0
5.001 - 6.000............. 279 55,035,392 12.67 197,259 7.872 393.46 599 77.4
6.001 - 7.000............. 1,708 307,741,862 70.82 180,177 8.171 399.65 595 81.0
7.001 - 8.000............. 319 58,204,174 13.40 182,458 8.540 390.50 591 82.6
--------- --------------- ------------
Total/Avg./Wtd. Avg... 2,373 $ 434,521,504 100.00%
========= =============== ============
------------
(1) The weighted average Gross Margin for the Group 1 Adjustable Rate Mortgage Loans in the Mortgage Pool as of the
Cut-off Date was approximately 6.528%.
8
Maximum Mortgage Rates for the Group 1 Adjustable Rate Mortgage Loans
in the Mortgage Pool(1)
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Maximum Mortgage Balance Balance Principal Mortgage Term Bureau Value
Mortgage Rates(%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
11.501 - 12.000........... 5 $ 1,444,681 0.33% $ 288,936 5.408% 413.37 612 70.0%
12.001 - 12.500........... 12 3,367,904 0.78 280,659 5.915 411.53 652 74.8
12.501 - 13.000........... 45 10,783,621 2.48 239,636 6.221 405.96 617 69.8
13.001 - 13.500........... 99 23,879,722 5.50 241,209 6.579 407.35 610 72.9
13.501 - 14.000........... 216 50,126,496 11.54 232,067 7.027 403.89 606 76.1
14.001 - 14.500........... 278 58,865,877 13.55 211,748 7.468 397.73 602 78.9
14.501 - 15.000........... 369 67,394,314 15.51 182,640 7.950 392.00 596 79.5
15.001 - 15.500........... 361 66,318,318 15.26 183,707 8.431 400.92 591 81.5
15.501 - 16.000........... 421 75,608,448 17.40 179,593 8.834 394.53 588 83.1
16.001 - 16.500........... 264 41,993,530 9.66 159,066 9.293 397.28 583 85.3
16.501 - 17.000........... 172 23,651,573 5.44 137,509 9.715 389.50 575 86.7
17.001 - 17.500........... 47 4,560,178 1.05 97,025 10.303 381.57 589 94.1
17.501 - 18.000........... 49 3,938,600 0.91 80,380 10.771 367.71 588 95.1
18.001 - 18.500........... 20 1,381,880 0.32 69,094 11.259 360.00 576 93.2
18.501 - 19.000........... 9 712,063 0.16 79,118 11.805 359.84 572 95.6
19.001 - 19.500........... 4 368,500 0.08 92,125 12.273 360.00 590 100.0
Greater than 19.500....... 2 125,800 0.03 62,900 12.833 360.00 598 100.0
---------- --------------- ------------
Total/Avg./Wtd. Avg... 2,373 $ 434,521,504 100.00%
========== =============== ============
------------
(1) The weighted average Maximum Mortgage Rate for the Group 1 Adjustable Rate Mortgage Loans in the Mortgage Pool as of
the Cut-off Date was approximately 15.050%.
Initial Periodic Rate Caps for the Group 1 Adjustable Rate Mortgage Loans
in the Mortgage Pool(1)
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Initial Periodic Rate Cap Mortgage Balance Balance Principal Mortgage Term Bureau Value
(%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
1.000..................... 24 $ 5,638,402 1.30% $ 234,933 7.921% 373.69 588 85.2%
1.500..................... 1,961 354,150,809 81.50 180,597 8.176 399.17 596 81.4
2.000..................... 8 1,668,991 0.38 208,624 8.688 358.91 568 75.5
3.000..................... 379 72,725,944 16.74 191,889 8.091 390.04 593 76.9
3.500..................... 1 337,358 0.08 337,358 9.490 478.00 517 73.4
---------- --------------- ------------
Total/Avg./Wtd. Avg... 2,373 $ 434,521,504 100.00%
========== =============== ============
------------
(1) The weighted average Initial Periodic Rate Cap for the Group 1 Adjustable Rate Mortgage Loans in the Mortgage Pool
as of the Cut-off Date was approximately 1.748%.
9
Subsequent Periodic Rate Caps for the Group 1 Adjustable Rate Mortgage Loans
in the Mortgage Pool(1)
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Subsequent Periodic Rate Mortgage Balance Balance Principal Mortgage Term Bureau Value
Cap(%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
1.000..................... 357 $ 68,828,788 15.84% $ 192,798 8.130% 389.93 591 77.3%
1.500..................... 2,015 365,586,716 84.14 181,433 8.167 398.60 596 81.3
2.000..................... 1 106,000 0.02 106,000 8.250 360.00 613 70.9
---------- --------------- ------------
Total/Avg./Wtd. Avg... 2,373 $ 434,521,504 100.00%
========== =============== ============
------------
(1) The weighted average Subsequent Periodic Rate Cap for the Group 1 Adjustable Rate Mortgage Loans in the Mortgage Pool
as of the Cut-off Date was approximately 1.421%.
Minimum Mortgage Rates for the Group 1 Adjustable Rate Mortgage Loans
in the Mortgage Pool(1)
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Minimum Mortgage Balance Balance Principal Mortgage Term Bureau Value
Mortgage Rates(%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
4.001 - 5.000............. 2 $ 601,200 0.14% $ 300,600 4.955% 436.33 553 66.3%
5.001 - 6.000............. 33 8,621,341 1.98 261,253 5.752 410.28 627 72.9
6.001 - 7.000............. 272 65,799,389 15.14 241,910 6.681 408.14 611 74.4
7.001 - 8.000............. 629 124,535,684 28.66 197,990 7.606 393.46 600 78.9
8.001 - 9.000............. 808 147,889,802 34.04 183,032 8.588 398.26 591 82.0
9.001 - 10.000............ 494 75,464,827 17.37 152,763 9.437 393.60 578 85.1
Greater than 10.000....... 135 11,609,260 2.67 85,995 10.727 374.06 586 94.6
---------- --------------- ------------
Total/Avg./Wtd. Avg... 2,373 $ 434,521,504 100.00%
========== =============== ============
------------
(1) The weighted average Minimum Mortgage Rate for the Group 1 Adjustable Rate Mortgage Loans in the Mortgage Pool as of the
Cut-off Date was approximately 8.162%.
10
Next Adjustment Dates for the Group 1 Adjustable Rate Mortgage Loans
in the Mortgage Pool(1)
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Next Adjustment Date Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
June 2007................. 1 $ 184,382 0.04% $ 184,382 8.250% 359.00 543 90.0%
July 2007................. 13 2,950,050 0.68 226,927 7.933 360.00 573 86.0
August 2007............... 6 1,399,971 0.32 233,329 7.462 357.38 625 89.2
September 2007............ 1 177,887 0.04 177,887 7.800 344.00 599 85.7
November 2007............. 1 86,748 0.02 86,748 8.500 346.00 614 100.0
January 2008.............. 1 247,284 0.06 247,284 6.650 348.00 657 43.1
February 2008............. 4 552,372 0.13 138,093 7.953 349.00 605 81.7
March 2008................ 1 209,509 0.05 209,509 9.000 350.00 528 87.2
April 2008................ 2 408,266 0.09 204,133 7.931 351.00 536 81.3
June 2008................. 1 269,075 0.06 269,075 8.875 354.00 614 90.0
July 2008................. 6 899,922 0.21 149,987 7.447 351.43 577 69.0
August 2008............... 3 282,194 0.06 94,065 8.562 347.03 592 82.3
September 2008............ 7 919,162 0.21 131,309 7.815 364.86 584 69.3
October 2008.............. 3 380,695 0.09 126,898 8.167 353.90 610 80.3
November 2008............. 13 2,910,440 0.67 223,880 8.590 382.26 569 71.7
December 2008............. 135 25,929,580 5.97 192,071 8.324 377.85 599 79.3
January 2009.............. 1,593 292,243,012 67.26 183,454 8.173 401.24 594 81.3
February 2009............. 446 77,856,523 17.92 174,566 8.236 395.31 597 79.6
March 2009................ 1 387,257 0.09 387,257 7.915 350.00 681 74.3
April 2009................ 1 123,937 0.03 123,937 6.500 351.00 602 79.1
August 2009............... 1 120,393 0.03 120,393 8.000 355.00 595 42.5
October 2009.............. 2 186,014 0.04 93,007 9.402 357.00 624 93.3
November 2009............. 4 620,206 0.14 155,051 9.333 358.00 590 88.4
December 2009............. 14 1,846,616 0.42 131,901 8.762 359.00 581 78.3
January 2010.............. 60 10,911,550 2.51 181,859 7.566 398.32 611 77.7
February 2010............. 22 5,063,220 1.17 230,146 7.582 403.92 606 78.2
November 2011............. 1 194,970 0.04 194,970 8.750 358.00 663 80.0
January 2012.............. 23 5,628,067 1.30 244,699 7.514 397.19 598 78.6
February 2012............. 7 1,532,200 0.35 218,886 7.656 382.32 579 77.2
---------- --------------- ------------
Total/Avg./Wtd. Avg... 2,373 $ 434,521,504 100.00%
========== =============== ============
------------
(1) The weighted average Next Adjustment Date for the Group 1 Adjustable Rate Mortgage Loans in the Mortgage Pool as of the
Cut-off Date is January 2009.
Interest Only Periods for the Group 1 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Interest Only Period Mortgage Balance Balance Principal Mortgage Term Bureau Value
(Months) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
0......................... 2,811 $ 504,405,215 92.55% $ 179,440 8.154% 395.18 591 79.2%
60........................ 171 39,971,617 7.33 233,752 7.404 359.90 660 82.9
120....................... 2 621,520 0.11 310,760 6.722 360.00 656 86.1
---------- --------------- ------------
Total/Avg./Wtd. Avg... 2,984 $ 544,998,352 100.00%
========== =============== ============
11
GROUP 2 MORTGAGE LOANS
Mortgage Loan Programs for the Group 2 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Mortgate Loan Program Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
30-Year 6-month LIBOR..... 12 $ 4,646,623 0.44% $ 387,219 8.120% 360.00 577 85.8%
2/28 6-month LIBOR........ 1,401 255,768,606 24.43 182,561 8.862 359.52 610 84.2
2/38 6-month LIBOR........ 359 107,941,661 10.31 300,673 8.274 479.91 606 83.6
2/28 6-month LIBOR -
60-month Interest Only.. 988 297,848,689 28.45 301,466 7.624 359.90 636 83.1
2/28 6-month LIBOR 40/30-
Year Balloon............ 39 8,978,429 0.86 230,216 8.817 359.21 593 80.5
3/27 6-month LIBOR........ 104 14,793,394 1.41 142,244 9.086 355.82 609 84.6
3/37 6-month LIBOR........ 18 6,710,899 0.64 372,828 7.693 479.98 625 84.1
3/27 6-month LIBOR -
60-month Interest Only.. 48 12,962,237 1.24 270,047 7.356 359.70 633 80.9
5/25 6-month LIBOR........ 21 4,058,981 0.39 193,285 7.928 359.98 623 81.4
5/35 6-month LIBOR........ 14 5,810,850 0.56 415,061 6.967 479.84 629 78.6
5/25 6-month LIBOR -
120-month Interest Only. 58 19,677,887 1.88 339,274 7.069 359.96 640 81.7
10-Year Fixed............. 4 140,779 0.01 35,195 9.283 89.31 675 74.1
15-Year Fixed............. 73 4,470,506 0.43 61,240 8.893 155.01 600 68.0
15-Year Fixed - Credit
Comeback................ 6 487,928 0.05 81,321 9.396 153.23 611 81.3
20-Year Fixed............. 19 2,378,405 0.23 125,179 7.373 233.02 617 65.3
25-Year Fixed............. 5 841,150 0.08 168,230 8.403 300.00 605 64.3
30-Year Fixed............. 922 182,553,740 17.44 197,998 7.762 358.17 610 76.8
30-Year Fixed - Credit
Comeback................ 70 8,794,705 0.84 125,639 9.285 343.07 598 81.4
40-Year Fixed............. 218 58,018,591 5.54 266,140 7.480 479.98 607 77.5
40-Year Fixed - Credit
Comeback................ 10 1,781,890 0.17 178,189 8.645 480.00 582 75.4
30-Year Fixed - 60-month
Interest Only........... 137 46,377,817 4.43 338,524 7.109 359.79 628 78.0
30/15-Year Fixed Balloon.. 4 127,829 0.01 31,957 11.264 97.85 561 82.5
40/30-Year Fixed Balloon.. 9 1,742,877 0.17 193,653 8.412 359.55 618 89.2
---------- --------------- ------------
Total/Avg./Wtd. Avg... 4,539 $1,046,914,475 100.00%
========== =============== ============
Original Terms to Stated Maturity for the Group 2 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Original Term (months) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
ARM 360................... 2,671 $ 618,734,847 59.10% $ 231,649 8.171% 359.63 624 83.5%
ARM 480................... 391 120,463,410 11.51 308,091 8.178 479.91 608 83.4
Fixed 120................. 4 140,779 0.01 35,195 9.283 89.31 675 74.1
Fixed 180................. 83 5,086,263 0.49 61,280 9.000 153.40 600 69.6
Fixed 240................. 19 2,378,405 0.23 125,179 7.373 233.02 617 65.3
Fixed 300................. 5 841,150 0.08 168,230 8.403 300.00 605 64.3
Fixed 360................. 1,138 239,469,139 22.87 210,430 7.696 357.94 613 77.3
Fixed 480................. 228 59,800,481 5.71 262,283 7.514 479.98 606 77.5
---------- --------------- ------------
Total/Avg./Wtd. Avg... 4,539 $1,046,914,475 100.00%
========== =============== ============
12
Mortgage Loan Principal Balances for the Group 2 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Mortgage Loan Mortgage Balance Balance Principal Mortgage Term Bureau Value
Principal Balances Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
$0.01 - $25,000.00........ 33 $ 553,981 0.05% $ 16,787 11.343% 128.15 593 67.0%
$25,000.01 - $50,000.00... 96 3,979,071 0.38 41,449 10.881 267.75 593 73.8
$50,000.01 - $75,000.00... 352 22,419,148 2.14 63,691 9.992 349.58 593 83.0
$75,000.01 - $100,000.00.. 412 36,099,381 3.45 87,620 9.332 361.19 597 82.2
$100,000.01 - $150,000.00. 881 110,257,917 10.53 125,151 8.800 369.42 602 81.4
$150,000.01 - $200,000.00. 691 120,629,507 11.52 174,572 8.507 372.21 610 82.0
$200,000.01 - $250,000.00. 462 103,909,179 9.93 224,912 8.211 380.58 614 81.6
$250,000.01 - $300,000.00. 373 102,221,793 9.76 274,053 7.968 375.94 622 81.5
$300,000.01 - $350,000.00. 308 99,905,432 9.54 324,368 7.659 382.78 629 82.5
$350,000.01 - $400,000.00. 225 84,197,961 8.04 374,213 7.629 378.68 631 82.4
$400,000.01 - $450,000.00. 224 95,892,512 9.16 428,092 7.615 390.57 618 82.4
$450,000.01 - $500,000.00. 199 94,678,250 9.04 475,770 7.477 389.35 628 82.1
$500,000.01 - $550,000.00. 94 49,246,713 4.70 523,901 7.623 390.54 635 81.2
$550,000.01 - $600,000.00. 69 39,828,061 3.80 577,218 7.630 382.65 619 81.2
$600,000.01 - $650,000.00. 53 33,171,170 3.17 625,871 7.361 391.46 618 79.2
$650,000.01 - $700,000.00. 24 16,257,670 1.55 677,403 7.319 379.67 639 79.6
$700,000.01 - $750,000.00. 20 14,601,624 1.39 730,081 7.291 383.96 611 79.2
$750,000.01 - $800,000.00. 12 9,303,317 0.89 775,276 6.850 369.31 653 74.2
$800,000.01 - $850,000.00. 3 2,467,898 0.24 822,633 7.589 399.04 654 88.3
$850,000.01 - $900,000.00. 5 4,384,900 0.42 876,980 7.165 360.00 599 75.4
Greater than $900,000.00.. 3 2,908,991 0.28 969,664 7.479 360.00 630 63.3
---------- --------------- ------------
Total/Avg./Wtd. Avg... 4,539 $1,046,914,475 100.00%
========== =============== ============
13
State Distribution of the Mortgaged Properties for the Group 2 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
State Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
Alabama................... 70 $ 10,088,461 0.96% $ 144,121 9.349% 366.86 588 89.3%
Alaska.................... 4 873,180 0.08 218,295 7.875 360.00 615 80.0
Arizona................... 142 32,085,579 3.06 225,955 8.222 374.81 621 80.0
Arkansas.................. 15 1,866,830 0.18 124,455 9.715 372.37 614 92.9
California................ 810 297,612,662 28.43 367,423 7.210 386.30 625 79.8
Colorado.................. 77 15,934,636 1.52 206,943 8.312 385.00 620 84.7
Connecticut............... 41 11,867,413 1.13 289,449 7.809 364.12 594 77.3
Delaware.................. 9 2,631,200 0.25 292,356 7.409 365.66 621 83.6
District of Columbia...... 5 2,497,250 0.24 499,450 8.210 411.86 631 76.0
Florida................... 636 144,406,561 13.79 227,054 8.115 379.27 619 81.0
Georgia................... 145 28,769,492 2.75 198,410 8.681 374.79 607 83.6
Hawaii.................... 28 11,152,800 1.07 398,314 7.663 393.03 615 77.4
Idaho..................... 25 5,168,789 0.49 206,752 8.244 377.14 599 80.3
Illinois.................. 183 39,426,611 3.77 215,446 8.608 374.74 625 83.1
Indiana................... 67 7,494,658 0.72 111,861 9.774 359.28 586 86.5
Iowa...................... 15 1,469,230 0.14 97,949 9.983 357.23 587 92.4
Kansas.................... 18 2,382,324 0.23 132,351 9.264 360.00 619 86.5
Kentucky.................. 24 2,679,656 0.26 111,652 9.439 372.14 583 88.9
Louisiana................. 76 9,769,856 0.93 128,551 8.401 340.51 599 82.8
Maine..................... 12 2,600,069 0.25 216,672 8.165 388.97 608 84.9
Maryland.................. 88 23,690,223 2.26 269,207 7.929 388.13 619 80.7
Massachusetts............. 59 16,678,280 1.59 282,683 7.807 374.99 618 79.1
Michigan.................. 159 18,716,131 1.79 117,712 9.604 373.06 603 88.1
Minnesota................. 34 7,043,984 0.67 207,176 8.677 372.72 611 77.4
Mississippi............... 48 5,857,325 0.56 122,028 8.612 346.87 598 88.0
Missouri.................. 84 11,827,851 1.13 140,808 8.868 366.65 606 86.0
Montana................... 13 4,535,644 0.43 348,896 8.303 365.15 611 75.0
Nebraska.................. 9 872,225 0.08 96,914 9.359 345.51 613 89.2
Nevada.................... 75 21,215,704 2.03 282,876 7.962 381.14 626 83.6
New Hampshire............. 20 4,014,931 0.38 200,747 7.314 385.35 635 79.1
New Jersey................ 104 29,486,352 2.82 283,523 8.425 382.58 619 81.8
New Mexico................ 18 2,995,259 0.29 166,403 8.596 360.00 613 86.1
New York.................. 186 69,062,194 6.60 371,302 7.764 388.06 629 79.1
North Carolina............ 104 16,822,264 1.61 161,753 9.142 372.31 608 86.5
North Dakota.............. 3 489,600 0.05 163,200 10.547 446.47 543 79.4
Ohio...................... 54 6,850,227 0.65 126,856 9.454 375.54 606 88.0
Oklahoma.................. 35 4,141,377 0.40 118,325 9.085 354.55 598 84.2
Oregon.................... 55 11,879,597 1.13 215,993 8.033 384.95 611 80.2
Pennsylvania.............. 131 18,187,925 1.74 138,839 8.730 373.70 609 84.3
Rhode Island.............. 3 979,000 0.09 326,333 7.837 360.00 681 86.0
South Carolina............ 29 5,015,951 0.48 172,964 9.317 370.14 606 82.8
South Dakota.............. 3 318,166 0.03 106,055 7.353 357.89 615 83.3
Tennessee................. 96 13,049,716 1.25 135,935 8.589 365.88 626 83.1
Texas..................... 418 51,527,431 4.92 123,271 8.780 350.68 616 84.7
Utah...................... 48 10,653,544 1.02 221,949 8.532 371.17 611 85.5
Virginia.................. 97 23,402,965 2.24 241,268 7.918 391.94 613 80.7
Washington................ 101 27,337,253 2.61 270,666 7.834 370.88 612 81.7
West Virginia............. 17 1,838,667 0.18 108,157 9.302 358.47 594 85.8
Wisconsin................. 38 6,396,184 0.61 168,321 9.197 388.95 592 87.5
Wyoming................... 8 1,251,250 0.12 156,406 8.818 381.48 605 86.5
---------- --------------- ------------
Total/Avg./Wtd. Avg... 4,539 $1,046,914,475 100.00%
========== =============== ============
14
Loan-to-Value Ratios for the Group 2 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Loan-to-Value Mortgage Balance Balance Principal Mortgage Term Bureau Value
Ratios(%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
50.00 or Less............. 153 $ 25,683,054 2.45% $ 167,863 7.635% 375.13 588 40.5%
50.01 - 55.00............. 58 12,104,370 1.16 208,696 7.223 360.69 605 52.7
55.01 - 60.00............. 98 20,877,752 1.99 213,038 7.217 376.67 591 57.7
60.01 - 65.00............. 135 33,752,193 3.22 250,016 7.400 372.10 599 63.3
65.01 - 70.00............. 166 40,975,307 3.91 246,839 7.706 393.19 586 68.3
70.01 - 75.00............. 264 68,431,895 6.54 259,212 7.854 380.56 594 73.7
75.01 - 80.00............. 1,652 387,670,000 37.03 234,667 7.739 375.65 642 79.8
80.01 - 85.00............. 455 106,357,075 10.16 233,752 8.079 381.45 595 84.1
85.01 - 90.00............. 690 176,030,012 16.81 255,116 8.046 381.62 612 89.5
90.01 - 95.00............. 527 106,089,282 10.13 201,308 9.124 379.12 608 94.7
95.01 - 100.00............ 341 68,943,535 6.59 202,180 9.051 379.62 628 99.9
---------- --------------- ------------
Total/Avg./Wtd. Avg... 4,539 $1,046,914,475 100.00%
========== =============== ============
Combined Loan-to-Value Ratios(1) for the Group 2 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Combined Mortgage Balance Balance Principal Mortgage Term Bureau Value
Loan-to-Value Ratios (%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
50.00 or Less............. 152 $ 25,403,054 2.43% $ 167,125 7.603% 373.97 588 40.4%
50.01 - 55.00............. 58 12,104,370 1.16 208,696 7.223 360.69 605 52.7
55.01 - 60.00............. 95 19,801,754 1.89 208,440 7.242 380.43 592 57.8
60.01 - 65.00............. 135 34,171,791 3.26 253,124 7.381 370.30 600 63.2
65.01 - 70.00............. 167 41,505,907 3.96 248,538 7.695 392.76 586 68.2
70.01 - 75.00............. 239 61,042,441 5.83 255,408 7.921 381.98 588 73.6
75.01 - 80.00............. 458 102,471,678 9.79 223,737 7.880 377.21 595 79.0
80.01 - 85.00............. 447 104,724,403 10.00 234,283 8.078 380.74 594 84.1
85.01 - 90.00............. 698 176,956,820 16.90 253,520 8.052 381.51 612 89.4
90.01 - 95.00............. 554 112,830,759 10.78 203,666 9.042 378.85 609 93.9
95.01 - 100.00............ 1,536 355,901,497 34.00 231,707 7.944 376.20 653 83.8
---------- --------------- -------------
Total/Avg./Wtd. Avg... 4,539 $1,046,914,475 100.00%
========== ================ =============
------------
(1) The Combined Loan-to-Value Ratios presented in the foregoing table reflect only certain junior lien mortgage loans
secured by the related Mortgaged Properties. See the definition of "Combined Loan-to-Value Ratio" under "The Mortgage
Pool--Loan-to-Value Ratio" in the Prospectus Supplement.
15
Current Mortgage Rates for the Group 2 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Current Mortgage Mortgage Balance Balance Principal Mortgage Term Bureau Value
Rates(%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
4.501 - 5.000............. 1 $ 700,000 0.07% $ 700,000 4.750% 360.00 582 71.8%
5.001 - 5.500............. 18 6,741,020 0.64 374,501 5.444 382.04 653 82.3
5.501 - 6.000............. 94 35,398,654 3.38 376,581 5.858 385.26 640 76.4
6.001 - 6.500............. 304 110,167,346 10.52 362,393 6.341 381.29 633 75.5
6.501 - 7.000............. 512 160,578,521 15.34 313,630 6.829 377.42 624 77.2
7.001 - 7.500............. 485 132,293,732 12.64 272,771 7.302 379.07 632 80.2
7.501 - 8.000............. 594 147,632,512 14.10 248,540 7.795 380.15 631 82.0
8.001 - 8.500............. 465 103,585,943 9.89 222,765 8.291 382.52 627 83.8
8.501 - 9.000............. 460 104,792,134 10.01 227,809 8.781 376.45 617 84.8
9.001 - 9.500............. 341 64,257,183 6.14 188,437 9.306 377.73 607 87.1
9.501 - 10.000............ 475 77,003,979 7.36 162,114 9.825 380.38 586 85.7
10.001 - 10.500........... 317 51,182,892 4.89 161,460 10.283 370.45 579 85.9
10.501 - 11.000........... 224 28,566,299 2.73 127,528 10.762 379.89 571 86.7
11.001 - 11.500........... 126 13,329,727 1.27 105,791 11.263 360.90 569 85.7
11.501 - 12.000........... 76 8,334,649 0.80 109,666 11.792 360.74 557 85.1
12.001 - 12.500........... 26 1,636,054 0.16 62,925 12.274 332.24 573 81.0
12.501 - 13.000........... 7 303,585 0.03 43,369 12.868 267.57 578 81.5
13.001 - 13.500........... 7 162,030 0.02 23,147 13.338 206.40 602 69.2
13.501 - 14.000........... 7 248,215 0.02 35,459 13.864 293.41 589 77.7
---------- --------------- ------------
Total/Avg./Wtd. Avg... 4,539 $1,046,914,475 100.00%
========== =============== ============
Types of Mortgaged Properties for the Group 2 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Mortgaged Property Type Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
Single Family Residence... 3,303 $ 732,363,597 69.95% $ 221,727 8.017% 378.81 615 81.1%
Planned Unit Development.. 689 186,433,118 17.81 270,585 8.007 375.69 622 84.4
Low-Rise Condominium...... 328 69,229,061 6.61 211,064 8.187 376.66 629 83.0
Two Family Home........... 148 43,764,012 4.18 295,703 7.954 392.25 643 79.1
Three Family Home......... 25 7,405,092 0.71 296,204 7.974 374.50 610 68.5
High-Rise Condominium..... 15 3,948,207 0.38 263,214 8.195 379.25 646 81.2
Manufactured Housing(1)... 24 2,368,207 0.23 98,675 9.212 333.05 608 67.1
Four Family Home.......... 7 1,403,180 0.13 200,454 8.811 410.89 626 80.4
---------- --------------- ------------
Total/Avg./Wtd. Avg... 4,539 $1,046,914,475 100.00%
========== =============== ============
------------
(1) Treated as real property.
16
Loan Purposes for the Group 2 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Loan Purpose Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
Refinance - Cash Out...... 2,167 $ 535,737,044 51.17% $ 247,225 7.888% 381.51 601 78.7%
Purchase.................. 2,139 461,587,740 44.09 215,796 8.216 375.55 639 85.0
Refinance - Rate/Term..... 233 49,589,690 4.74 212,831 7.795 375.17 613 81.5
---------- --------------- ------------
Total/Avg./Wtd. Avg... 4,539 $1,046,914,475 100.00%
========== =============== ============
Occupancy Types for the Group 2 Mortgage Loans
in the Mortgage Pool(1)
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Occupancy Type Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
Owner Occupied........... 4,294 $1,006,628,381 96.15% $ 234,427 7.997% 378.93 617 81.5%
Investment Property...... 209 29,578,698 2.83 141,525 9.047 370.49 647 85.1
Second Home.............. 36 10,707,395 1.02 297,428 8.157 368.36 644 76.3
---------- --------------- ------------
Total/Avg./Wtd. Avg... 4,539 $1,046,914,475 100.00%
========== ================ ============
------------
(1) Based on representations by the Mortgagors at the time of origination of the related Mortgage Loans.
17
Remaining Terms to Stated Maturity for the Group 2 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Remaining Terms Mortgage Balance Balance Principal Mortgage Term Bureau Value
(months) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
1 - 120................... 56 $ 1,714,773 0.16% $ 30,621 10.579% 94.09 600 71.0%
121 - 180................. 39 3,800,456 0.36 97,448 8.465 177.56 602 69.3
181 - 300................. 87 7,932,661 0.76 91,180 9.186 266.82 614 72.5
301 - 360................. 3,738 853,202,694 81.50 228,251 8.025 359.68 621 81.8
Greater than 360.......... 619 180,263,891 17.22 291,218 7.958 479.93 607 81.4
---------- --------------- ------------
Total/Avg./Wtd. Avg... 4,539 $1,046,914,475 100.00%
========== =============== ============
Loan Documentation Types for the Group 2 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Loan Documentation Type Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
Full Documentation........ 2,816 $ 580,846,790 55.48% $ 206,267 7.826% 376.35 608 82.7%
Stated Income............. 1,723 466,067,684 44.52 270,498 8.280 381.36 631 80.1
---------- --------------- ------------
Total/Avg./Wtd. Avg... 4,539 $1,046,914,475 100.00%
========== ================ ============
Credit Bureau Risk Scores(1) for the Group 2 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Credit Bureau Mortgage Balance Balance Principal Mortgage Term Bureau Value
Risk Scores Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
801 - 820................. 1 $ 80,964 0.01% $ 80,964 9.930% 359.00 809 90.0%
781 - 800................. 8 1,911,442 0.18 238,930 7.797 359.94 786 85.3
761 - 780................. 21 6,007,031 0.57 286,049 7.020 390.12 771 80.1
741 - 760................. 32 9,476,006 0.91 296,125 7.585 397.46 750 81.4
721 - 740................. 63 15,174,535 1.45 240,866 7.746 371.38 730 84.7
701 - 720................. 105 29,437,454 2.81 280,357 7.631 376.93 709 80.8
681 - 700................. 216 61,022,729 5.83 282,513 7.597 374.01 689 81.5
661 - 680................. 365 101,358,374 9.68 277,694 7.529 375.43 670 81.1
641 - 660................. 548 137,418,362 13.13 250,763 7.665 375.12 650 81.7
621 - 640................. 575 137,323,256 13.12 238,823 7.786 376.03 629 82.9
601 - 620................. 710 164,427,571 15.71 231,588 7.900 373.87 610 83.5
581 - 600................. 558 128,561,613 12.28 230,397 8.138 375.75 591 83.4
561 - 580................. 513 105,440,511 10.07 205,537 8.318 381.02 571 82.0
541 - 560................. 340 66,935,938 6.39 196,870 8.705 399.90 551 79.2
521 - 540................. 261 43,713,526 4.18 167,485 9.320 388.77 531 76.3
501 - 520................. 211 36,420,465 3.48 172,609 9.616 388.97 511 72.4
500 or Less............... 12 2,204,700 0.21 183,725 9.477 380.06 500 70.5
---------- --------------- ------------
Total/Avg./Wtd. Avg... 4,539 $1,046,914,475 100.00%
========= =============== ============
------------
(1) The Credit Bureau Risk Scores referenced in this table with respect to substantially all of the Group 2 Mortgage Loans
were obtained by the respective originators from one or more credit reporting agencies, and were determined at the time
of origination.
18
Credit Grade Categories for the Group 2 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Credit Grade Category Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
A......................... 3,874 $ 914,878,279 87.39% $ 236,159 7.970% 378.06 625 82.7%
A-........................ 246 56,710,644 5.42 230,531 8.053 379.00 585 77.2
B......................... 251 50,012,395 4.78 199,253 8.415 389.60 570 73.7
C......................... 131 19,453,551 1.86 148,500 9.287 376.22 561 66.6
C-........................ 13 2,158,988 0.21 166,076 9.028 361.30 558 74.9
D......................... 24 3,700,617 0.35 154,192 9.608 374.60 555 61.5
---------- --------------- ------------
Total/Avg./Wtd. Avg... 4,539 $1,046,914,475 100.00%
========== =============== ============
Prepayment Penalty Periods for the Group 2 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Prepayment Penalty Period Mortgage Balance Balance Principal Mortgage Term Bureau Value
(months) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
0......................... 1,100 $ 237,302,600 22.67% $ 215,730 8.695% 375.20 616 82.1%
12........................ 259 91,675,301 8.76 353,959 7.834 386.93 631 79.6
13........................ 1 376,000 0.04 376,000 7.550 359.00 566 76.7
24........................ 1,905 448,003,604 42.79 235,172 7.997 377.94 620 83.7
36........................ 353 75,592,332 7.22 214,143 7.984 376.05 617 80.8
60........................ 921 193,964,638 18.53 210,602 7.393 381.28 613 77.4
---------- --------------- ------------
Total/Avg./Wtd. Avg... 4,539 $1,046,914,475 100.00%
========== =============== ============
[Enlarge/Download Table]
Months to Next Adjustment Date for the Group 2 Adjustable Rate Mortgage Loans
in the Mortgage Pool
Weighted
Average Percent of Weighted Weighted Weighted Weighted
Months to Aggregate Aggregate Average Average Average Average Average
Range of Next Number of Principal Principal Current Gross Remaining Credit Loan-to-
Months to Next Adjustment Mortgage Balance Balance Principal Mortgage Term Bureau Value
Adjustment Date Date Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
---------------- ---------- ----------- -------------- ------------ ---------- ---------- ---------- ---------- --------
0 - 6........... 6 29 $ 5,997,870 0.81% $ 206,823 8.745% 345.54 583 84.7%
7 - 12.......... 10 10 1,702,487 0.23 170,249 8.380 345.73 600 85.8
13 - 18......... 16 12 2,045,830 0.28 170,486 8.860 349.84 592 86.4
19 - 24......... 24 2,769 667,519,951 90.30 241,069 8.211 379.27 621 83.6
25 - 31......... 26 6 859,248 0.12 143,208 8.613 350.49 647 80.0
32 - 37......... 36 143 31,525,153 4.26 220,456 8.105 385.38 622 82.8
38 or Greater... 60 93 29,547,718 4.00 317,717 7.167 383.53 636 81.1
----------- --------------- ------------
Total/Avg./Wtd. Avg... 3,062 $ 739,198,258 100.00%
=========== =============== ============
19
Gross Margins for the Group 2 Adjustable Rate Mortgage Loans
in the Mortgage Pool(1)
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Gross Mortgage Balance Balance Principal Mortgage Term Bureau Value
Margins(%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
2.001 - 3.000............. 2 $ 979,500 0.13% $ 489,750 6.793% 359.33 658 81.6%
3.001 - 4.000............. 9 1,761,440 0.24 195,716 8.288 359.74 608 79.9
4.001 - 5.000............. 44 8,960,699 1.21 203,652 7.812 360.22 619 79.4
5.001 - 6.000............. 271 62,332,374 8.43 230,009 8.018 379.00 628 80.2
6.001 - 7.000............. 2,203 539,073,017 72.93 244,700 8.006 378.77 623 83.0
7.001 - 8.000............. 443 109,227,885 14.78 246,564 8.944 382.93 612 87.7
8.001 - 9.000............. 77 15,645,725 2.12 203,191 9.212 385.72 596 85.7
9.001 - 10.000............ 11 1,130,144 0.15 102,740 10.666 367.59 627 94.7
10.001 - 11.000........... 2 87,473 0.01 43,737 10.607 346.95 575 91.3
---------- --------------- ------------
Total/Avg./Wtd. Avg... 3,062 $ 739,198,258 100.00%
========== =============== ============
------------
(1) The weighted average Gross Margin for the Group 2 Adjustable Rate Mortgage Loans in the Mortgage Pool as of the
Cut-off Date was approximately 6.645%.
Maximum Mortgage Rates for the Group 2 Adjustable Rate Mortgage Loans
in the Mortgage Pool(1)
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Maximum Mortgage Balance Balance Principal Mortgage Term Bureau Value
Mortgage Rates(%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
11.001 - 11.500........... 1 $ 317,807 0.04% $ 317,807 5.300% 359.00 674 85.7%
11.501 - 12.000........... 4 1,340,090 0.18 335,023 5.323 359.66 600 72.7
12.001 - 12.500........... 22 7,727,630 1.05 351,256 5.647 379.15 646 80.4
12.501 - 13.000........... 83 30,718,684 4.16 370,105 5.929 384.68 639 78.6
13.001 - 13.500........... 157 55,703,636 7.54 354,800 6.476 375.99 641 81.5
13.501 - 14.000........... 293 94,956,077 12.85 324,082 6.949 375.58 629 80.3
14.001 - 14.500........... 334 90,978,741 12.31 272,391 7.391 380.30 640 81.6
14.501 - 15.000........... 444 114,702,927 15.52 258,340 7.890 381.56 636 83.1
15.001 - 15.500........... 343 84,274,669 11.40 245,699 8.404 384.29 626 83.7
15.501 - 16.000........... 355 85,005,109 11.50 239,451 8.907 377.65 613 85.0
16.001 - 16.500........... 259 51,608,891 6.98 199,262 9.411 378.53 604 87.9
16.501 - 17.000........... 326 54,635,708 7.39 167,594 9.874 379.88 587 86.5
17.001 - 17.500........... 202 35,754,827 4.84 177,004 10.304 370.14 584 87.2
17.501 - 18.000........... 130 18,649,018 2.52 143,454 10.771 387.32 574 87.6
18.001 - 18.500........... 60 7,431,470 1.01 123,858 11.274 374.64 571 87.3
18.501 - 19.000........... 34 4,306,435 0.58 126,660 11.783 374.38 562 87.9
19.001 - 19.500........... 9 763,932 0.10 84,881 12.263 356.95 573 82.2
Greater than 19.500....... 6 322,606 0.04 53,768 13.271 329.24 588 86.6
---------- --------------- ------------
Total/Avg./Wtd. Avg... 3,062 $ 739,198,258 100.00%
========== =============== ============
------------
(1) The weighted average Maximum Mortgage Rate for the Group 2 Adjustable Rate Mortgage Loans in the Mortgage Pool as of
the Cut-off Date was approximately 15.070%.
20
Initial Periodic Rate Caps for the Group 2 Adjustable Rate Mortgage Loans
in the Mortgage Pool(1)
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Initial Periodic Rate Mortgage Balance Balance Principal Mortgage Term Bureau Value
Cap(%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
1.000..................... 24 $ 7,269,711 0.98% $ 302,905 8.311% 377.24 590 84.7%
1.500..................... 2,529 609,452,687 82.45 240,986 8.128 379.11 622 83.7
2.000..................... 13 2,751,850 0.37 211,681 8.467 369.57 600 81.6
3.000..................... 495 119,579,830 16.18 241,575 8.379 380.22 619 82.4
7.000..................... 1 144,180 0.02 144,180 8.500 360.00 569 90.0
---------- --------------- ------------
Total/Avg./Wtd. Avg... 3,062 $ 739,198,258 100.00%
========== =============== ============
------------
(1) The weighted average Initial Periodic Rate Cap for the Group 2 Adjustable Rate Mortgage Loans in the Mortgage Pool as
of the Cut-off Date was approximately 1.741%.
Subsequent Periodic Rate Cap for the Group 2 Adjustable Rate Mortgage Loans
in the Mortgage Pool(1)
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Subsequent Periodic Rate Mortgage Balance Balance Principal Mortgage Term Bureau Value
Cap(%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
1.000..................... 420 $ 96,885,833 13.11% $ 230,681 8.665% 379.58 613 82.6%
1.500..................... 2,640 641,899,088 86.84 243,144 8.097 379.14 623 83.6
2.000..................... 2 413,336 0.06 206,668 9.225 433.53 625 94.8
---------- --------------- ------------
Total/Avg./Wtd. Avg... 3,062 $ 739,198,258 100.00%
========== =============== ============
------------
(1) The weighted average Subsequent Periodic Rate Cap for the Group 2 Adjustable Rate Mortgage Loans in the Mortgage Pool
as of the Cut-off Date was approximately 1.435%.
Minimum Mortgage Rates for the Group 2 Adjustable Rate Mortgage Loans
in the Mortgage Pool(1)
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Minimum Mortgage Balance Balance Principal Mortgage Term Bureau Value
Mortgage Rates(%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
4.001 - 5.000............. 1 $ 700,000 0.09% $ 700,000 4.750% 360.00 582 71.8%
5.001 - 6.000............. 93 35,246,501 4.77 378,995 5.773 385.50 642 79.3
6.001 - 7.000............. 394 135,136,222 18.28 342,985 6.652 375.00 632 80.6
7.001 - 8.000............. 770 205,784,732 27.84 267,253 7.577 380.16 638 82.0
8.001 - 9.000............. 683 168,723,953 22.83 247,034 8.540 380.99 625 84.6
9.001 - 10.000............ 625 116,850,545 15.81 186,961 9.574 380.20 596 86.7
Greater than 10.000....... 496 76,756,305 10.38 154,751 10.632 376.17 577 86.9
---------- --------------- ------------
Total/Avg./Wtd. Avg... 3,062 $ 739,198,258 100.00%
========== =============== ============
------------
(1) The weighted average Minimum Mortgage Rate for the Group 2 Adjustable
Rate Mortgage Loans in the Mortgage Pool as of the Cut-off Date was
approximately 8.172%.
21
Next Adjustment Dates for the Group 2 Adjustable Rate Mortgage Loans
in the Mortgage Pool(1)
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Next Adjustment Date Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
February 2007............. 2 $ 76,014 0.01% $ 38,007 12.690% 274.91 602 69.1%
March 2007................ 2 95,975 0.01 47,988 11.329 272.00 615 80.0
April 2007................ 5 381,498 0.05 76,300 11.778 281.68 608 76.7
May 2007.................. 4 374,417 0.05 93,604 10.756 294.69 600 89.1
June 2007................. 2 129,332 0.02 64,666 12.277 306.12 571 78.2
July 2007................. 13 4,446,534 0.60 342,041 7.922 357.63 577 85.0
August 2007............... 3 724,470 0.10 241,490 9.469 354.59 604 92.7
September 2007............ 3 505,842 0.07 168,614 8.138 344.00 632 92.7
October 2007.............. 1 135,742 0.02 135,742 6.800 345.00 615 80.0
November 2007............. 1 143,336 0.02 143,336 8.990 346.00 591 85.0
January 2008.............. 3 687,197 0.09 229,066 8.939 348.00 572 77.8
February 2008............. 2 574,131 0.08 287,065 8.924 349.00 585 90.0
March 2008................ 1 245,600 0.03 245,600 8.450 350.00 668 80.0
April 2008................ 2 337,421 0.05 168,710 7.952 351.00 619 81.0
June 2008................. 1 161,502 0.02 161,502 9.400 354.00 573 90.0
July 2008................. 6 727,177 0.10 121,196 9.248 348.99 562 87.6
August 2008............... 3 301,550 0.04 100,517 8.307 343.33 601 88.6
September 2008............ 11 1,680,416 0.23 152,765 8.710 352.11 611 87.2
October 2008.............. 7 1,315,356 0.18 187,908 9.194 353.70 611 80.5
November 2008............. 25 4,512,582 0.61 180,503 8.891 361.18 613 83.3
December 2008............. 203 55,668,001 7.53 274,227 8.288 380.09 627 83.4
January 2009.............. 1,933 473,106,646 64.00 244,753 8.129 379.79 620 83.6
February 2009............. 589 131,203,966 17.75 222,757 8.436 378.29 622 83.4
April 2009................ 3 495,346 0.07 165,115 8.419 351.00 670 80.0
May 2009.................. 1 95,337 0.01 95,337 9.600 352.00 666 80.0
October 2009.............. 2 287,617 0.04 143,809 10.039 357.00 587 80.0
November 2009............. 5 482,122 0.07 96,424 9.590 358.00 559 74.9
December 2009............. 22 3,495,073 0.47 158,867 8.580 363.26 608 76.8
January 2010.............. 95 22,755,770 3.08 239,534 7.903 387.34 626 83.5
February 2010............. 19 4,504,571 0.61 237,083 8.471 397.36 620 84.8
December 2011............. 5 1,899,321 0.26 379,864 7.202 419.25 667 83.7
January 2012.............. 78 24,567,831 3.32 314,972 7.095 382.41 628 80.9
February 2012............. 10 3,080,567 0.42 308,057 7.715 370.52 674 80.6
---------- --------------- ------------
Total/Avg./Wtd. Avg... 3,062 $ 739,198,258 100.00%
========== =============== ============
------------
(1) The weighted average Next Adjustment Date for the Group 2 Adjustable Rate Mortgage Loans in the Mortgage Pool as of the
Cut-off Date is February 2009.
Interest Only Periods for the Group 2 Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Interest Only Period Mortgage Balance Balance Principal Mortgage Term Bureau Value
(Months) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
0 ........................ 3,308 $ 670,047,844 64.00% $ 202,554 8.312% 389.10 609 81.2%
60........................ 1,173 357,188,744 34.12 304,509 7.548 359.87 635 82.4
120....................... 58 19,677,887 1.88 339,274 7.069 359.96 640 81.7
---------- -------------- ------------
Total/Avg./Wtd. Avg... 4,539 $1,046,914,475 100.00%
========= =============== ============
22
THE MORTGAGE LOANS
Mortgage Loan Programs for the Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Mortgage Loan Program Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- ------------- ----------- ----------- --------- ----------- ------------ --------
30-Year 6-month LIBOR..... 30 $ 8,965,056 0.56% $ 298,835 7.970% 359.98 583 86.3%
2/28 6-month LIBOR........ 2,813 483,041,964 30.34 171,718 8.650 359.65 601 83.0
2/38 6-month LIBOR........ 949 236,048,248 14.83 248,734 8.144 479.93 593 81.1
2/28 6-month LIBOR -
60-month Interest Only.. 1,149 335,049,506 21.05 291,601 7.605 359.90 639 83.1
2/28 6-month LIBOR 40/30-
Balloon................. 86 19,114,123 1.20 222,257 8.453 359.33 583 77.8
3/27 6-month LIBOR........ 185 26,816,627 1.68 144,955 8.688 356.83 604 82.0
3/37 6-month LIBOR........ 41 12,048,246 0.76 293,860 7.493 479.99 612 80.7
3/27 6-month LIBOR -
60-month Interest Only.. 58 15,733,037 0.99 271,259 7.257 359.75 640 80.7
5/25 6-month LIBOR........ 41 8,763,299 0.55 213,739 7.832 359.94 603 81.1
5/35 6-month LIBOR........ 23 7,840,250 0.49 340,880 7.090 479.88 622 76.4
5/25 6-month LIBOR -
120-month Interest Only. 60 20,299,407 1.28 338,323 7.058 359.96 641 81.9
10-Year Fixed............. 6 297,418 0.02 49,570 8.620 104.94 635 64.0
15-Year Fixed............. 90 7,293,153 0.46 81,035 8.495 164.65 596 69.1
15-Year Fixed - Credit
Comeback................ 6 487,928 0.03 81,321 9.396 153.23 611 81.3
20-Year Fixed............. 30 4,675,305 0.29 155,843 7.406 236.45 609 68.4
25-Year Fixed............. 7 1,068,150 0.07 152,593 8.205 300.00 618 67.0
30-Year Fixed............. 1,382 263,359,474 16.54 190,564 7.787 358.60 608 76.3
30-Year Fixed - Credit
Comeback................ 85 10,743,457 0.67 126,394 9.192 345.86 596 81.5
40-Year Fixed............. 312 77,456,169 4.87 248,257 7.547 479.93 604 76.4
40-Year Fixed - Credit
Comeback................ 14 2,761,840 0.17 197,274 8.716 480.00 589 78.9
30-Year Fixed - 60-month
Interest Only........... 137 46,377,817 2.91 338,524 7.109 359.79 628 78.0
30/15-Year Fixed Balloon.. 4 127,829 0.01 31,957 11.264 97.85 561 82.5
40/30-Year Fixed Balloon.. 15 3,544,526 0.22 236,302 8.133 359.47 619 83.0
-------- --------------- -----------
Total/Avg./Wtd. Avg... 7,523 $ 1,591,912,826 100.00%
======== =============== ===========
Original Terms to Stated Maturity for the Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Original Term (months) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- --------------- ----------- ---------- --------- ----------- ------------ --------
ARM 360................... 4,422 $ 917,783,018 57.65% $ 207,549 8.192% 359.66 616 82.8%
ARM 480................... 1,013 255,936,744 16.08 252,652 8.081 479.94 595 80.9
Fixed 120................. 6 297,418 0.02 49,570 8.620 104.94 635 64.0
Fixed 180................. 100 7,908,910 0.50 79,089 8.596 162.87 596 70.0
Fixed 240................. 30 4,675,305 0.29 155,843 7.406 236.45 609 68.4
Fixed 300................. 7 1,068,150 0.07 152,593 8.205 300.00 618 67.0
Fixed 360................. 1,619 324,025,273 20.35 200,139 7.741 358.36 610 76.8
Fixed 480................. 326 80,218,009 5.04 246,068 7.588 479.93 604 76.5
----------- ---------------- -----------
Total/Avg./Wtd. Avg... 7,523 $ 1,591,912,826 100.00%
=========== ================ ===========
23
Mortgage Loan Principal Balances for the Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Mortgage Loan Mortgage Balance Balance Principal Mortgage Term Bureau Value
Principal Balances Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- --------------- ----------- ----------- --------- ----------- ------------ -------
$0.01 - $25,000.00........ 33 $ 553,981 0.03% $ 16,787 11.343% 128.15 593 67.0%
$25,000.01 - $50,000.00... 106 4,461,399 0.28 42,089 10.734 275.65 595 73.0
$50,000.01 - $75,000.00... 565 35,965,968 2.26 63,657 9.838 353.77 596 83.7
$75,000.01 - $100,000.00.. 756 66,526,429 4.18 87,998 9.149 367.07 598 82.2
$100,000.01 - $150,000.00. 1,655 206,517,196 12.97 124,784 8.630 374.57 599 81.4
$150,000.01 - $200,000.00. 1,283 224,095,591 14.08 174,665 8.350 380.98 603 80.5
$200,000.01 - $250,000.00. 858 192,616,604 12.10 224,495 8.127 387.15 604 80.3
$250,000.01 - $300,000.00. 645 176,918,187 11.11 274,292 7.895 387.52 612 80.5
$300,000.01 - $350,000.00. 505 164,015,896 10.30 324,784 7.706 389.56 615 80.8
$350,000.01 - $400,000.00. 357 133,920,635 8.41 375,128 7.611 389.94 618 80.7
$400,000.01 - $450,000.00. 266 113,249,047 7.11 425,748 7.577 390.48 617 81.8
$450,000.01 - $500,000.00. 206 98,067,411 6.16 476,055 7.512 389.54 627 82.2
$500,000.01 - $550,000.00. 97 50,833,851 3.19 524,060 7.618 390.80 635 80.7
$550,000.01 - $600,000.00. 69 39,828,061 2.50 577,218 7.630 382.65 619 81.2
$600,000.01 - $650,000.00. 55 34,418,170 2.16 625,785 7.411 392.56 618 79.4
$650,000.01 - $700,000.00. 24 16,257,670 1.02 677,403 7.319 379.67 639 79.6
$700,000.01 - $750,000.00. 20 14,601,624 0.92 730,081 7.291 383.96 611 79.2
$750,000.01 - $800,000.00. 12 9,303,317 0.58 775,276 6.850 369.31 653 74.2
$800,000.01 - $850,000.00. 3 2,467,898 0.16 822,633 7.589 399.04 654 88.3
$850,000.01 - $900,000.00. 5 4,384,900 0.28 876,980 7.165 360.00 599 75.4
Greater than $900,000.00.. 3 2,908,991 0.18 969,664 7.479 360.00 630 63.3
-------- --------------- ---------
Total/Avg./Wtd. Avg... 7,523 $ 1,591,912,826 100.00%
========= =============== =========
24
State Distribution of the Mortgaged Properties for the Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
State Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
---------------------------- --------- --------------- ----------- ----------- ---------- ----------- ----------- --------
Alabama................... 105 $ 14,159,785 0.89% $ 134,855 9.285% 368.30 591 88.9%
Alaska.................... 16 3,152,500 0.20 197,031 8.357 381.34 611 85.9
Arizona................... 253 51,715,594 3.25 204,409 8.161 385.09 616 79.0
Arkansas.................. 30 3,793,498 0.24 126,450 9.421 378.10 601 91.2
California................ 1,121 385,344,172 24.21 343,750 7.276 393.75 617 78.1
Colorado.................. 113 21,838,060 1.37 193,257 8.310 386.58 621 84.9
Connecticut............... 94 21,968,662 1.38 233,709 8.022 378.52 597 79.3
Delaware.................. 21 4,722,610 0.30 224,886 7.690 374.47 605 82.2
District of Columbia...... 12 4,316,000 0.27 359,667 7.895 396.68 617 73.6
Florida................... 939 203,027,334 12.75 216,217 8.107 383.22 613 80.4
Georgia................... 306 52,774,285 3.32 172,465 8.654 378.08 605 85.1
Hawaii.................... 40 15,746,470 0.99 393,662 7.741 392.16 616 78.6
Idaho..................... 46 8,380,189 0.53 182,178 8.165 377.60 595 82.7
Illinois.................. 325 67,452,472 4.24 207,546 8.536 379.69 618 83.2
Indiana................... 115 12,475,632 0.78 108,484 9.476 361.19 590 85.9
Iowa...................... 39 4,320,784 0.27 110,789 9.163 359.06 596 89.0
Kansas.................... 38 4,835,644 0.30 127,254 8.928 368.92 602 85.6
Kentucky.................. 46 5,660,599 0.36 123,057 9.119 374.14 590 89.8
Louisiana................. 105 13,642,951 0.86 129,933 8.345 349.70 601 83.5
Maine..................... 22 4,343,189 0.27 197,418 8.230 391.72 593 84.7
Maryland.................. 215 51,520,015 3.24 239,628 7.858 400.15 606 78.9
Massachusetts............. 131 33,422,820 2.10 255,136 7.781 384.53 605 77.2
Michigan.................. 241 28,952,633 1.82 120,135 9.273 376.29 601 87.4
Minnesota................. 87 16,734,678 1.05 192,353 8.381 376.35 608 79.0
Mississippi............... 75 9,198,491 0.58 122,647 8.354 351.20 602 87.1
Missouri.................. 168 22,322,991 1.40 132,875 8.817 374.11 603 86.2
Montana................... 23 6,145,641 0.39 267,202 8.364 363.78 608 76.7
Nebraska.................. 11 1,022,875 0.06 92,989 9.448 347.64 614 90.4
Nevada.................... 116 30,206,679 1.90 260,402 7.898 383.46 620 82.6
New Hampshire............. 27 5,383,151 0.34 199,376 7.560 384.98 622 78.0
New Jersey................ 203 54,257,468 3.41 267,278 8.240 385.24 606 80.0
New Mexico................ 42 6,487,656 0.41 154,468 8.518 376.30 593 82.4
New York.................. 304 98,937,641 6.22 325,453 7.680 385.30 618 76.6
North Carolina............ 191 27,495,481 1.73 143,955 9.006 375.10 604 86.3
North Dakota.............. 7 890,759 0.06 127,251 10.073 424.23 565 86.4
Ohio...................... 115 13,034,339 0.82 113,342 9.231 375.51 601 87.6
Oklahoma.................. 57 6,306,013 0.40 110,632 9.057 359.37 594 85.0
Oregon.................... 110 22,741,671 1.43 206,742 7.968 400.13 607 79.6
Pennsylvania.............. 195 27,504,953 1.73 141,051 8.647 375.00 601 84.2
Rhode Island.............. 8 2,319,150 0.15 289,894 8.270 394.86 618 85.1
South Carolina............ 62 9,637,764 0.61 155,448 8.919 375.57 598 80.8
South Dakota.............. 6 634,041 0.04 105,673 8.134 396.70 603 86.1
Tennessee................. 159 19,970,232 1.25 125,599 8.690 370.42 621 84.7
Texas..................... 597 72,162,817 4.53 120,876 8.709 353.78 611 84.3
Utah...................... 102 19,699,522 1.24 193,133 8.360 373.07 611 83.5
Vermont................... 9 1,581,007 0.10 175,667 8.245 413.47 606 78.9
Virginia.................. 187 40,323,457 2.53 215,633 7.944 391.52 598 80.1
Washington................ 178 43,219,798 2.71 242,808 7.900 383.78 604 81.4
West Virginia............. 24 2,979,066 0.19 124,128 8.899 362.00 599 82.5
Wisconsin................. 74 11,186,439 0.70 151,168 9.039 383.51 599 87.1
Wyoming................... 13 1,963,150 0.12 151,012 8.616 373.69 604 86.4
---------- --------------- -----------
Total/Avg./Wtd. Avg... 7,523 $ 1,591,912,826 100.00%
========== =============== ===========
25
Loan-to-Value Ratios for the Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Loan-to-Value Mortgage Balance Balance Principal Mortgage Term Bureau Value
Ratios(%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
---------------------------- --------- --------------- ----------- ----------- ---------- ----------- ----------- --------
50.00 or Less............. 278 $ 45,998,947 2.89% $ 165,464 7.638% 380.93 583 40.9%
50.01 - 55.00............. 120 25,189,819 1.58 209,915 7.198 383.62 592 52.8
55.01 - 60.00............. 175 37,366,847 2.35 213,525 7.271 388.05 584 57.7
60.01 - 65.00............. 264 60,894,988 3.83 230,663 7.492 383.17 591 63.2
65.01 - 70.00............. 315 72,975,822 4.58 231,669 7.731 397.02 581 68.4
70.01 - 75.00............. 492 118,190,515 7.42 240,225 7.883 385.22 584 73.7
75.01 - 80.00............. 2,485 530,476,985 33.32 213,472 7.801 379.43 635 79.7
80.01 - 85.00............. 833 178,048,007 11.18 213,743 8.129 387.48 589 84.2
85.01 - 90.00............. 1,194 273,960,876 17.21 229,448 8.100 385.24 609 89.4
90.01 - 95.00............. 836 155,553,247 9.77 186,068 9.036 382.85 609 94.7
95.01 - 100.00............ 531 93,256,774 5.86 175,625 9.125 379.59 626 99.9
---------- --------------- ---------
Total/Avg./Wtd. Avg... 7,523 $ 1,591,912,826 100.00%
========== =============== =========
Combined Loan-to-Value Ratios(1) for the Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Combined Mortgage Balance Balance Principal Mortgage Term Bureau Value
Loan-to-Value Ratios(%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
---------------------------- --------- --------------- ----------- ----------- ---------- ----------- ----------- --------
50.00 or Less............. 276 $ 45,603,947 2.86% $ 165,232 7.617% 380.07 583 40.9%
50.01 - 55.00............. 120 25,027,819 1.57 208,565 7.222 384.33 591 52.6
55.01 - 60.00............. 172 36,290,849 2.28 210,993 7.287 390.44 584 57.7
60.01 - 65.00............. 263 61,405,936 3.86 233,483 7.468 382.06 591 63.1
65.01 - 70.00............. 316 73,362,022 4.61 232,158 7.720 396.83 580 68.3
70.01 - 75.00............. 457 109,239,386 6.86 239,036 7.926 386.69 579 73.6
75.01 - 80.00............. 864 180,436,676 11.33 208,839 7.947 384.12 590 79.1
80.01 - 85.00............. 821 176,222,250 11.07 214,643 8.124 387.21 590 84.2
85.01 - 90.00............. 1,210 275,929,890 17.33 228,041 8.107 385.12 609 89.3
90.01 - 95.00............. 869 163,223,399 10.25 187,829 8.983 382.74 609 94.0
95.01 - 100.00............ 2,155 445,170,653 27.96 206,576 8.009 377.53 651 84.1
--------- --------------- ----------
Total/Avg./Wtd. Avg... 7,523 $ 1,591,912,826 100.00%
========= =============== ==========
------------
(1) The Combined Loan-to-Value Ratios presented in the foregoing table reflect only certain junior lien mortgage loans
secured by the related Mortgaged Properties. See the definition of "Combined Loan-to-Value Ratio" under "The Mortgage
Pool--Loan-to-Value Ratio" in the Prospectus Supplement.
26
Current Mortgage Rates for the Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Current Mortgage Mortgage Balance Balance Principal Mortgage Term Bureau Value
Rates (%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
--------------------------- ----------- --------------- ----------- ---------- ---------- ---------- ---------- ---------
4.501 - 5.000............. 3 $ 1,301,200 0.08% $ 433,733 4.845% 395.27 569 69.3%
5.001 - 5.500............. 23 8,230,441 0.52 357,845 5.439 390.45 655 82.1
5.501 - 6.000............. 123 42,799,573 2.69 347,964 5.853 388.63 637 75.5
6.001 - 6.500............. 403 135,707,250 8.52 336,743 6.345 385.80 631 74.8
6.501 - 7.000............. 807 232,060,806 14.58 287,560 6.830 383.43 620 76.1
7.001 - 7.500............. 838 206,568,309 12.98 246,502 7.316 383.43 621 78.6
7.501 - 8.000............. 1,079 237,030,898 14.89 219,676 7.804 381.64 619 80.7
8.001 - 8.500............. 902 182,027,578 11.43 201,804 8.305 388.14 613 82.5
8.501 - 9.000............. 1,000 199,745,547 12.55 199,746 8.795 385.16 603 83.5
9.001 - 9.500............. 711 123,160,608 7.74 173,222 9.303 385.44 595 85.9
9.501 - 10.000............ 691 106,548,870 6.69 154,195 9.791 381.79 583 85.8
10.001 - 10.500........... 371 56,439,017 3.55 152,127 10.285 371.21 580 86.6
10.501 - 11.000........... 281 33,216,155 2.09 118,207 10.765 378.57 574 87.9
11.001 - 11.500........... 150 14,970,599 0.94 99,804 11.262 360.80 570 86.6
11.501 - 12.000........... 87 9,201,291 0.58 105,762 11.791 361.81 559 86.2
12.001 - 12.500........... 30 2,004,554 0.13 66,818 12.274 337.35 576 84.5
12.501 - 13.000........... 10 489,885 0.03 48,988 12.845 302.72 589 88.5
13.001 - 13.500........... 7 162,030 0.01 23,147 13.338 206.40 602 69.2
13.501 - 14.000........... 7 248,215 0.02 35,459 13.864 293.41 589 77.7
----------- ----------------- ----------
Total/Avg./Wtd. Avg... 7,523 $ 1,591,912,826 100.00%
=========== ================= ===========
Types of Mortgaged Properties for the Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Mortgaged Property Type Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
--------------------------- ----------- --------------- ----------- ----------- --------- ----------- ---------- ---------
Single Family Residence... 5,653 $ 1,153,160,206 72.44% $ 203,991 8.052% 384.03 607 80.5%
Planned Unit Development. 1,061 256,448,609 16.11 241,705 8.014 378.89 616 83.7
Low-Rise Condominium..... 456 89,830,101 5.64 196,996 8.212 379.91 624 82.5
Two Family Home.......... 251 69,136,632 4.34 275,445 7.967 394.71 629 78.0
Three Family Home........ 39 11,122,336 0.70 285,188 7.832 389.23 607 67.9
High-Rise Condominium.... 22 5,737,668 0.36 260,803 8.176 387.43 637 79.7
Four Family Home.......... 17 4,109,067 0.26 241,710 8.135 369.23 631 71.1
Manufactured Housing (1).. 24 2,368,207 0.15 98,675 9.212 333.05 608 67.1
---------- --------------- ------------
Total/Avg./Wtd. Avg... 7,523 $ 1,591,912,826 100.00%
========== =============== ============
------------
(1) Treated as real property.
Loan Purposes for the Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Loan Purpose Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ----------- --------------- ----------- ---------- --------- ---------- ----------- ---------
Refinance - Cash Out...... 4,200 $ 953,215,174 59.88% $ 226,956 7.921% 387.77 596 78.2%
Purchase................. 2,894 554,581,463 34.84 191,631 8.311 376.26 637 85.3
Refinance - Rate/Term.... 429 84,116,190 5.28 196,075 7.830 380.37 610 81.8
----------- ---------------- -----------
Total/Avg./Wtd. Avg... 7,523 $ 1,591,912,826 100.00%
=========== ================ ===========
27
Occupancy Types for the Mortgage Loans
in the Mortgage Pool(1)
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Occupancy Type Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
---------------------------- ---------- ---------------- ----------- ---------- --------- ---------- ---------- ---------
Owner Occupied............ 7,135 $ 1,526,797,532 95.91% $ 213,987 8.026% 383.65 609 80.8%
Investment Property...... 308 45,827,429 2.88 148,790 8.839 379.01 648 82.9
Second Home.............. 80 19,287,866 1.21 241,098 8.213 371.65 641 78.2
---------- ---------------- -----------
Total/Avg./Wtd. Avg... 7,523 $ 1,591,912,826 100.00%
========== ================ ===========
------------
(1) Based on representations by the Mortgagors at the time of origination of the related Mortgage Loans.
Remaining Terms to Stated Maturity for the Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Remaining Terms Mortgage Balance Balance Principal Mortgage Term Bureau Value
(months) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
---------------------------- ---------- ---------------- ----------- ---------- --------- ---------- ---------- ---------
1 - 120................... 58 $ 1,871,412 0.12% $ 32,266 10.365% 96.18 600 69.6%
121 - 180................. 56 6,623,103 0.42 118,270 8.210 178.57 596 69.9
181 - 300................. 100 10,456,561 0.66 104,566 8.766 261.65 612 72.3
301 - 360................. 5,970 1,236,806,998 77.69 207,170 8.065 359.68 615 81.3
Greater than 360.......... 1,339 336,154,752 21.12 251,049 7.964 479.93 597 79.9
---------- ---------------- ------------
Total/Avg./Wtd. Avg... 7,523 $ 1,591,912,826 100.00%
========== ================ ============
Loan Documentation Types for the Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Loan Documentation Type Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
---------------------------- ---------- ---------------- ----------- ---------- --------- ---------- ---------- ---------
Full Documentation........ 4,843 $ 920,636,106 57.83% $ 190,096 7.890% 382.55 601 82.1%
Stated Income............ 2,680 671,276,721 42.17 250,476 8.273 384.48 625 79.2
---------- ---------------- -----------
Total/Avg./Wtd. Avg... 7,523 $ 1,591,912,826 100.00%
========== ================ ===========
28
Credit Bureau Risk Scores(1) for the Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Credit Bureau Mortgage Balance Balance Principal Mortgage Term Bureau Value
Risk Scores Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
---------------------------- ---------- ---------------- ----------- ---------- --------- ---------- ---------- ---------
801 - 820................. 2 $ 216,964 0.01% $ 108,482 7.670% 434.85 813 83.7%
781 - 800................. 14 3,180,092 0.20 227,149 7.720 371.36 787 84.5
761 - 780................. 24 6,539,686 0.41 272,487 7.148 389.48 771 80.2
741 - 760................. 37 10,734,674 0.67 290,126 7.600 393.05 751 81.4
721 - 740................. 90 19,974,654 1.25 221,941 7.732 371.73 730 84.1
701 - 720................. 149 38,355,255 2.41 257,418 7.633 379.36 709 81.4
681 - 700................. 294 76,180,324 4.79 259,117 7.609 374.73 689 81.0
661 - 680................. 536 134,010,183 8.42 250,019 7.572 376.97 670 81.3
641 - 660................. 837 191,538,649 12.03 228,839 7.694 376.58 650 81.8
621 - 640................. 901 195,499,384 12.28 216,980 7.792 378.98 630 82.7
601 - 620................. 1,119 235,282,994 14.78 210,262 7.947 380.93 610 82.9
581 - 600................. 949 195,300,546 12.27 205,796 8.201 381.18 591 82.7
561 - 580................. 944 182,724,529 11.48 193,564 8.305 386.61 571 81.0
541 - 560................. 681 132,186,041 8.30 194,106 8.492 399.61 551 78.2
521 - 540................. 547 98,570,937 6.19 180,203 8.769 397.67 531 75.0
501 - 520................. 380 67,629,414 4.25 177,972 9.080 395.39 511 72.1
500 or Less............... 19 3,988,500 0.25 209,921 8.629 378.61 500 67.4
---------- ----------------- -----------
Total/Avg./Wtd. Avg... 7,523 $ 1,591,912,826 100.00%
========== ================= ===========
------------
(1) The Credit Bureau Risk Scores referenced in this table with respect to substantially all of the Mortgage Loans were
obtained by the respective originators from one or more credit reporting agencies, and were determined at the time of
origination.
Credit Grade Categories for the Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Credit Grade Category Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
---------------------------- ---------- ---------------- ----------- ---------- --------- ---------- ---------- ---------
A......................... 6,266 $ 1,343,278,897 84.38% $ 214,376 8.006% 382.26 619 82.2%
A-........................ 434 94,273,225 5.92 217,219 8.064 385.58 577 77.1
B......................... 514 101,920,430 6.40 198,289 8.271 392.67 567 74.1
C......................... 249 42,434,227 2.67 170,419 8.764 390.99 561 67.2
C-........................ 25 4,274,843 0.27 170,994 8.531 378.65 551 69.2
D......................... 35 5,731,204 0.36 163,749 8.947 388.28 551 61.2
---------- ---------------- ----------
Total/Avg./Wtd. Avg... 7,523 $ 1,591,912,826 100.00%
========== ================ ==========
Prepayment Penalty Periods for the Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Prepayment Penalty Period Mortgage Balance Balance Principal Mortgage Term Bureau Value
(months) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
---------------------------- ---------- ---------------- ----------- ---------- --------- ---------- ---------- ---------
0 ........................ 2,086 $ 414,369,626 26.03% $ 198,643 8.509% 380.36 609 81.4%
12........................ 394 124,937,977 7.85 317,101 7.829 386.24 622 77.7
13........................ 2 575,826 0.04 287,913 7.255 359.00 590 69.1
24........................ 3,443 722,381,941 45.38 209,812 8.033 385.95 609 82.4
36........................ 677 135,682,818 8.52 200,418 7.905 379.23 611 79.0
60........................ 921 193,964,638 12.18 210,602 7.393 381.28 613 77.4
---------- ---------------- -----------
Total/Avg./Wtd. Avg... 7,523 $ 1,591,912,826 100.00%
========== ================ ===========
29
[Enlarge/Download Table]
Months to Next Adjustment Date for the Adjustable Rate Mortgage Loans
in the Mortgage Pool
Weighted
Average Percent of Weighted Weighted Weighted Weighted
Months to Aggregate Aggregate Average Average Average Average Average
Range of Next Number of Principal Principal Current Gross Remaining Credit Loan-to-
Months to Next Adjustment Mortgage Balance Balance Principal Mortgage Term Bureau Value
Adjustment Date Date Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
--------------- ---------- ----------- --------------- ----------- ---------- ---------- --------- ---------- ----------
0 - 6....... 6 47 $ 10,316,303 0.88% $ 219,496 8.352% 351.57 586 85.6%
7 - 12...... 10 15 2,430,377 0.21 162,025 8.101 345.60 603 82.6
13 - 18..... 16 26 4,384,975 0.37 168,653 8.377 350.43 584 82.0
19 - 24..... 24 4,969 1,068,041,557 91.00 214,941 8.206 386.39 611 82.5
25 - 31..... 27 9 1,490,835 0.13 165,648 8.206 350.77 648 75.4
32 - 37..... 36 245 50,152,760 4.27 204,705 7.979 388.65 616 81.2
38 or Greater 60 124 36,902,955 3.14 297,604 7.248 385.43 628 80.5
----------- --------------- -----------
Total/Avg./Wtd. Avg.. 5,435 $ 1,173,719,762 100.00%
=========== =============== ===========
Gross Margins for the Adjustable Rate Mortgage Loans
in the Mortgage Pool(1)
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Range of Gross Margins (%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ---------- --------------- ----------- ---------- ---------- ---------- ---------- ----------
2.001 - 3.000............. 6 $ 2,029,350 0.17% $ 338,225 7.212% 370.97 612 75.7%
3.001 - 4.000............. 18 3,678,571 0.31 204,365 7.526 359.66 601 79.3
4.001 - 5.000............. 98 19,533,794 1.66 199,324 7.693 377.08 605 78.1
5.001 - 6.000............. 550 117,367,767 10.00 213,396 7.950 385.78 615 78.9
6.001 - 7.000............. 3,911 846,814,879 72.15 216,521 8.066 386.35 613 82.3
7.001 - 8.000............. 762 167,432,059 14.27 219,727 8.804 385.56 604 86.0
8.001 - 9.000............. 77 15,645,725 1.33 203,191 9.212 385.72 596 85.7
9.001 - 10.000............ 11 1,130,144 0.10 102,740 10.666 367.59 627 94.7
10.001 - 11.000........... 2 87,473 0.01 43,737 10.607 346.95 575 91.3
---------- --------------- ------------
Total/Avg./Wtd. Avg... 5,435 $ 1,173,719,762 100.00%
========== =============== ============
------------
(1) The weighted average Gross Margin for the Adjustable Rate Mortgage Loans in the Mortgage Pool as of the Cut-off Date was
approximately 6.601%.
30
Maximum Mortgage Rates for the Adjustable Rate Mortgage Loans
in the Mortgage Pool(1)
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Maximum Mortgage Balance Balance Principal Mortgage Term Bureau Value
Mortgage Rates(%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ---------- --------------- ----------- ---------- ---------- ---------- ---------- ----------
11.001 - 11.500........... 1 $ 317,807 0.03% $ 317,807 5.300% 359.00 674 85.7%
11.501 - 12.000........... 9 2,784,771 0.24 309,419 5.367 387.53 606 71.3
12.001 - 12.500........... 34 11,095,535 0.95 326,339 5.728 388.98 648 78.7
12.501 - 13.000........... 128 41,502,304 3.54 324,237 6.005 390.21 633 76.3
13.001 - 13.500........... 256 79,583,358 6.78 310,872 6.507 385.40 632 78.9
13.501 - 14.000........... 509 145,082,573 12.36 285,035 6.976 385.36 621 78.9
14.001 - 14.500........... 612 149,844,619 12.77 244,844 7.421 387.15 625 80.6
14.501 - 15.000........... 813 182,097,241 15.51 223,982 7.912 385.43 621 81.7
15.001 - 15.500........... 704 150,592,987 12.83 213,910 8.416 391.61 611 82.8
15.501 - 16.000........... 776 160,613,557 13.68 206,976 8.873 385.60 601 84.1
16.001 - 16.500........... 523 93,602,421 7.97 178,972 9.358 386.94 595 86.7
16.501 - 17.000........... 498 78,287,281 6.67 157,203 9.826 382.79 583 86.6
17.001 - 17.500........... 249 40,315,005 3.43 161,908 10.304 371.43 585 88.0
17.501 - 18.000........... 179 22,587,618 1.92 126,188 10.771 383.90 576 88.9
18.001 - 18.500........... 80 8,813,350 0.75 110,167 11.272 372.34 572 88.3
18.501 - 19.000........... 43 5,018,498 0.43 116,709 11.786 372.32 563 89.0
19.001 - 19.500........... 13 1,132,432 0.10 87,110 12.267 357.95 579 88.0
Greater than 19.500....... 8 448,406 0.04 56,051 13.148 337.87 591 90.3
---------- ---------------- -----------
Total/Avg./Wtd. Avg... 5,435 $ 1,173,719,762 100.00%
========== ================ ===========
------------
(1) The weighted average Maximum Mortgage Rate for the Adjustable Rate Mortgage Loans in the Mortgage Pool as of the
Cut-off Date was approximately 15.062%.
Initial Periodic Rate Caps for the Adjustable Rate Mortgage Loans
in the Mortgage Pool(1)
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Initial Periodic Rate Mortgage Balance Balance Principal Mortgage Term Bureau Value
Cap(%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ---------- --------------- ----------- ---------- ---------- ---------- ---------- ----------
1.000..................... 48 $ 12,908,113 1.10% $ 268,919 8.141% 375.69 589 84.9%
1.500..................... 4,490 963,603,496 82.10 214,611 8.146 386.48 612 82.8
2.000..................... 21 4,420,841 0.38 210,516 8.550 365.55 588 79.3
3.000..................... 874 192,305,774 16.38 220,029 8.270 383.93 609 80.3
3.500..................... 1 337,358 0.03 337,358 9.490 478.00 517 73.4
7.000..................... 1 144,180 0.01 144,180 8.500 360.00 569 90.0
---------- --------------- -----------
Total/Avg./Wtd. Avg... 5,435 $ 1,173,719,762 100.00%
========== =============== ===========
------------
(1) The weighted average Initial Periodic Rate Cap for the Adjustable Rate Mortgage Loans in the Mortgage Pool as of the
Cut-off Date was approximately 1.743%.
31
Subsequent Periodic Rate Caps for the Adjustable Rate Mortgage Loans
in the Mortgage Pool(1)
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Subsequent Periodic Rate Mortgage Balance Balance Principal Mortgage Term Bureau Value
Cap(%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ---------- --------------- ----------- ---------- ---------- ---------- ---------- ----------
1.000..................... 777 $ 165,714,621 14.12% $ 213,275 8.443% 383.88 604 80.4%
1.500..................... 4,655 1,007,485,805 85.84 216,431 8.122 386.20 613 82.7
2.000..................... 3 519,336 0.04 173,112 9.026 418.52 623 89.9
---------- --------------- -----------
Total/Avg./Wtd. Avg... 5,435 $ 1,173,719,762 100.00%
========== =============== ===========
------------
(1) The weighted average Subsequent Periodic Rate Cap for the Adjustable Rate Mortgage Loans in the Mortgage Pool as of the
Cut-off Date was approximately 1.430%.
Minimum Mortgage Rates for the Adjustable Rate Mortgage Loans
in the Mortgage Pool(1)
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Range of Minimum Mortgage Balance Balance Principal Mortgage Term Bureau Value
Mortgage Rates(%) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ---------- --------------- ----------- ---------- ---------- ---------- ---------- ----------
4.001 - 5.000............. 3 $ 1,301,200 0.11% $ 433,733 4.845% 395.27 569 69.3%
5.001 - 6.000............. 126 43,867,842 3.74 348,157 5.769 390.37 639 78.1
6.001 - 7.000............. 666 200,935,611 17.12 301,705 6.661 385.85 625 78.6
7.001 - 8.000............. 1,399 330,320,416 28.14 236,112 7.588 385.17 624 80.9
8.001 - 9.000............. 1,491 316,613,755 26.98 212,350 8.562 389.05 609 83.4
9.001 - 10.000............ 1,119 192,315,372 16.39 171,864 9.520 385.45 589 86.1
Greater than 10.000....... 631 88,365,565 7.53 140,041 10.645 375.90 578 87.9
---------- --------------- -----------
Total/Avg./Wtd. Avg... 5,435 $ 1,173,719,762 100.00%
========== =============== ===========
------------
(1) The weighted average Minimum Mortgage Rate for the Adjustable Rate Mortgage Loans in the Mortgage Pool as of the
Cut-off Date was approximately 8.168%.
32
Next Adjustment Dates for the Adjustable Rate Mortgage Loans
in the Mortgage Pool(1)
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Mortgage Balance Balance Principal Mortgage Term Bureau Value
Next Adjustment Date Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ---------- --------------- ----------- ---------- ---------- ---------- ---------- ----------
February 2007............. 2 $ 76,014 0.01% $ 38,007 12.690% 274.91 602 69.1%
March 2007................ 2 95,975 0.01 47,988 11.329 272.00 615 80.0
April 2007................ 5 381,498 0.03 76,300 11.778 281.68 608 76.7
May 2007.................. 4 374,417 0.03 93,604 10.756 294.69 600 89.1
June 2007................. 3 313,714 0.03 104,571 9.910 337.20 555 85.1
July 2007................. 26 7,396,584 0.63 284,484 7.926 358.58 576 85.4
August 2007............... 9 2,124,441 0.18 236,049 8.146 356.43 618 90.4
September 2007............ 4 683,728 0.06 170,932 8.050 344.00 623 90.9
October 2007.............. 1 135,742 0.01 135,742 6.800 345.00 615 80.0
November 2007............. 2 230,084 0.02 115,042 8.805 346.00 600 90.7
January 2008.............. 4 934,481 0.08 233,620 8.334 348.00 594 68.6
February 2008............. 6 1,126,503 0.10 187,750 8.448 349.00 595 85.9
March 2008................ 2 455,109 0.04 227,555 8.703 350.00 604 83.3
April 2008................ 4 745,687 0.06 186,422 7.941 351.00 573 81.1
June 2008................. 2 430,577 0.04 215,288 9.072 354.00 599 90.0
July 2008................. 12 1,627,099 0.14 135,592 8.252 350.34 571 77.3
August 2008............... 6 583,743 0.05 97,291 8.430 345.12 597 85.5
September 2008............ 18 2,599,578 0.22 144,421 8.393 356.62 602 80.9
October 2008.............. 10 1,696,052 0.14 169,605 8.964 353.74 611 80.5
November 2008............. 38 7,423,022 0.63 195,343 8.773 369.44 596 78.8
December 2008............. 338 81,597,581 6.95 241,413 8.300 379.38 618 82.1
January 2009.............. 3,526 765,349,658 65.21 217,059 8.146 387.98 610 82.8
February 2009............. 1,035 209,060,489 17.81 201,991 8.362 384.63 612 82.0
March 2009................ 1 387,257 0.03 387,257 7.915 350.00 681 74.3
April 2009................ 4 619,283 0.05 154,821 8.035 351.00 656 79.8
May 2009.................. 1 95,337 0.01 95,337 9.600 352.00 666 80.0
August 2009............... 1 120,393 0.01 120,393 8.000 355.00 595 42.5
October 2009.............. 4 473,632 0.04 118,408 9.789 357.00 602 85.2
November 2009............. 9 1,102,327 0.09 122,481 9.445 358.00 576 82.5
December 2009............. 36 5,341,689 0.46 148,380 8.643 361.79 599 77.3
January 2010.............. 155 33,667,321 2.87 217,209 7.794 390.90 621 81.6
February 2010............. 41 9,567,791 0.82 233,361 8.000 400.83 613 81.3
November 2011............. 1 194,970 0.02 194,970 8.750 358.00 663 80.0
December 2011............. 5 1,899,321 0.16 379,864 7.202 419.25 667 83.7
January 2012.............. 101 30,195,898 2.57 298,969 7.173 385.16 623 80.5
February 2012............. 17 4,612,767 0.39 271,339 7.695 374.44 642 79.4
---------- ---------------- ----------
Total/Avg./Wtd. Avg... 5,435 $ 1,173,719,762 100.00%
========== ================ ==========
------------
(1) The weighted average Next Adjustment Date for the Adjustable Rate Mortgage Loans in the Mortgage Pool as of the Cut-off
Date is February 2009.
Interest Only Periods for the Mortgage Loans
in the Mortgage Pool
Percent of Weighted Weighted Weighted Weighted
Aggregate Aggregate Average Average Average Average Average
Number of Principal Principal Current Gross Remaining Credit Loan-to-
Interest Only Period Mortgage Balance Balance Principal Mortgage Term Bureau Value
(Months) Loans Outstanding Outstanding Balance Rate (months) Risk Score Ratio
-------------------------- ---------- --------------- ----------- ---------- ---------- ---------- ---------- ----------
0 ........................ 6,119 $ 1,174,453,059 73.78% $ 191,935 8.244% 391.72 601 80.3%
60........................ 1,344 397,160,360 24.95 295,506 7.533 359.88 638 82.4
120....................... 60 20,299,407 1.28 338,323 7.058 359.96 641 81.9
---------- --------------- -----------
Total/Avg./Wtd. Avg... 7,523 $ 1,591,912,826 100.00%
========== =============== ===========
33
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