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As Of Filer Filing For·On·As Docs:Size Issuer Agent 4/05/07 WaMu Asset Acceptance Corp. FWP 2:3.3M WaMu Asset-Backed Certi… 2007-HE2 Kelly Cecelia Anne/FA |
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WaMu Asset-Backed Certificates
WaMu Series 2007-HE2 Trust
Issuing Entity
$1,042,353,000
(+/-5% Approximate)
WaMu Asset Acceptance Corp.
Depositor
Washington Mutual Bank
Sponsor and Servicer
|
LEHMAN BROTHERS |
Important Notice About Information Presented in this Preliminary Term Sheet
The depositor has filed a registration statement (including a prospectus) with the SEC for the offering to which this preliminary term sheet relates. Before you invest, you should read the prospectus in that registration statement and other documents the depositor has filed with the SEC for more complete information about the depositor and this offering. You may obtain the documents for free by visiting EDGAR on the SEC web site at www.sec.gov. Alternatively, the depositor, any underwriter or any dealer participating in the offering will arrange to send you the prospectus if you so request by calling toll-free 1-800-667-9569.
This preliminary term sheet is not required to contain all information that is required to be included in the base prospectus and the prospectus supplement.
The information in this preliminary term sheet is preliminary and is subject to completion or change.
The information in this preliminary term sheet supersedes information contained in any prior communication relating to these securities.
Numerous assumptions were used in preparing this preliminary term sheet which may or may not be stated herein. This preliminary term sheet should not be construed as either projections or predictions or as legal, tax, financial or accounting advice.
This preliminary term sheet is not an offer to sell or a solicitation of any offer to buy nor shall there be any sale of the securities discussed in this preliminary term sheet in any state in which such offer, solicitation or sale would be unlawful prior to registration or qualification under the securities laws of any such state.
Please be advised that asset-backed securities may not be appropriate for all investors. Potential investors must be willing to assume, among other things, market price volatility, prepayments, yield curve and interest rate risk. Investors should fully consider the risk of an investment in these securities.
This preliminary term sheet is being delivered to you solely to provide you with information about the offering of the asset-backed securities referred to in this preliminary term sheet and to solicit an indication of your interest in purchasing such securities, when, as and if issued. Any such indication of interest will not constitute a contractual commitment by you to purchase any of the securities. You may withdraw your indication of interest at any time.
IMPORTANT NOTICE RELATING TO AUTOMATICALLY GENERATED EMAIL DISCLAIMERS
Any legends, disclaimers or other notices that may appear at the bottom of the email communication to which this preliminary term sheet is attached relating to (1) no representation that these materials are accurate or complete and may not be updated or (2) these materials possibly being confidential are not applicable to these materials and should be disregarded. Such legends, disclaimers or other notices have been automatically generated as a result of these materials having been sent via Bloomberg or another system.
Preliminary Term Sheet |
Date Revised: April 2, 2007 |
|
|
$1,042,353,000
(+/- 5% Approximate)
WaMu Asset-Backed Certificates
WaMu Series 2007-HE2 Trust
Class(1,2) |
Principal |
Expected Rating |
Assumed Final |
Certificate |
|
|
|
|
|
491,550,000 |
AAA/Aaa/AAA |
Floating Rate Senior |
||
II-A1 |
357,425,000 |
AAA/Aaa/AAA |
Floating Rate Senior |
|
II-A2 |
125,322,000 |
AAA/ Aaa/AAA |
Floating Rate Senior |
|
II-A3 |
199,414,000 |
AAA/ Aaa/AAA |
Floating Rate Senior |
|
II-A4 |
117,955,000 |
AAA/ Aaa/AAA |
Floating Rate Senior |
|
M-1 |
50,997,000 |
AA+/ Aa1/AA+ |
Floating Rate Subordinate |
|
M-2 |
44,623,000 |
AA/Aa2/AA |
Floating Rate Subordinate |
|
M-3 |
27,092,000 |
AA-/Aa3/AA- |
Floating Rate Subordinate |
|
M-4 |
23,905,000 |
A+/A1/A+ |
Floating Rate Subordinate |
|
M-5 |
23,108,000 |
A/A2/A |
Floating Rate Subordinate |
|
M-6 |
21,514,000 |
A-/A3/A- |
Floating Rate Subordinate |
|
M-7 |
20,718,000 |
BBB+/Baa1/BBB+ |
Floating Rate Subordinate |
|
M-8(3) |
14,343,000 |
BBB/Baa2/BBB |
Floating Rate Subordinate |
|
M-9(3) |
15,937,000 |
BBB-/Baa3/BBB- |
Floating Rate Subordinate |
|
Total |
$1,533,903,000 |
|
|
|
(1) The Class I-A Certificates will be backed primarily by the Group I Mortgage Loans. The Class II-A1, Class II-A2, Class II-A3 and Class II-A4 Certificates will be backed primarily by the Group II Mortgage Loans. The Class M Certificates (as defined herein) will be backed by the cash flows from the Mortgage Loans. The principal balance of each class of the Certificates is subject to a 5% variance.
(2) The Certificates are priced to a 10% Clean-up Call. The margin on the Class I-A, Class II-A1, Class II-A2, Class II-A3 and Class II‑A4 Certificates will be equal to 2.0x the original margin beginning on the first Distribution Date after the 10% Clean-up Call may first be exercised. The margin on the Class M Certificates will be equal to 1.5x the original margin beginning on the first Distribution Date after which the 10% Clean-up Call may first be exercised.
(3) Not offered hereby.
Depositor: WaMu Asset Acceptance Corp.
Sponsor and Servicer: Washington Mutual Bank.
Issuing Entity: WaMu Asset-Backed Certificates WaMu Series 2007-HE2 Trust. The Issuing Entity is also referred to herein as the “Trust.”
Servicing Fee Rate: 0.50% per annum.
Co-Lead Managers: WaMu Capital Corp. and Lehman Brothers Inc.
Co-Manager: Banc of America Securities LLC.
Trustee: Citibank, N.A.
Delaware Trustee: Christiana Bank & Trust Company.
Trustee Fee: Compensation to the Trustee will consist of interest earned on amounts in the distribution account prior to any Distribution Date.
Swap Counterparty: ABN Amro Bank N.V.
Group I Certificates: The Class I-A Certificates.
Group II Certificates: The Class II-A1, Class II-A2, Class II-A3 and Class II-A4 Certificates.
Class A Certificates: The Group I Certificates and the Group II Certificates.
Class M Certificates: The Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8 and Class M-9 Certificates.
Certificates: The Class A and Class M Certificates.
Federal Tax Status: The Certificates will represent ownership of REMIC regular interests and an undivided right to receive any Net WAC Rate Carryover Amounts and an obligation to make payments to the swap account for tax purposes.
Registration: The Certificates will be available in book-entry form through the Depository Trust Company and, upon request, through Clearstream, Luxembourg and the Euroclear System. The Certificates will be issued in minimum denominations of $25,000 original certificate principal balance and integral multiples of $1 in excess thereof.
Cut-off Date: April 1, 2007.
Expected Pricing Date: Week of April 2, 2007.
Expected Closing Date: On or about April 10, 2007.
Expected Settlement Date: On or about April 10, 2007.
Distribution Date: The 25th day of each month (or if such day is not a business day, the next succeeding business day) commencing in May 2007.
Final Scheduled Distribution Date: April 2037. The actual final Distribution Date for each class of the Certificates may be earlier or later, and could be substantially earlier, than the Distribution Date in April 2037.
Due Period: With respect to any Distribution Date, the period commencing on the 2nd day of the month preceding the month in which the Distribution Date occurs and ending on the 1st day of the month in which such Distribution Date occurs.
Prepayment Period: With respect to any Distribution Date, (i) the period commencing on the 15th day of the month preceding the month in which the Distribution Date occurs (or in the case of the first Distribution Date, the Cut-off Date) and ending on the 14th day of the month in which such Distribution Date occurs, for purposes of prepayments in full; and (ii) the calendar month immediately preceding the month in which the Distribution Date occurs, for any other purpose.
Accrued Interest: The price to be paid by investors for the Certificates will not include accrued interest (settling flat).
Interest Accrual Period: With respect to each Distribution Date, the period commencing on the previous Distribution Date (or, in the case of the first Distribution Date, the Closing Date) and ending on the day prior to such Distribution Date (on an actual/360 basis).
ERISA Eligibility: It is expected that the Class A and Class M Certificates may be purchased by a pension or other employee benefit plan subject to the Employee Retirement Income Security Act of 1974 or Section 4975 of the Internal Revenue Code of 1986, as amended, so long as the conditions of certain class exemptions are met. Investors should consult their own advisors.
SMMEA Eligibility: None of the Certificates is expected to be SMMEA eligible.
Clean-up Call: The terms of the transaction will allow for a clean-up call of the Mortgage Loans and the retirement of the Certificates, which may be exercised by the Servicer on the Distribution Date following the determination date in which the aggregate stated principal balance of the Mortgage Loans is less than or equal to 10% of the aggregate stated principal balance of the Mortgage Loans as of the Cut-off Date.
Mortgage Loans: The mortgage loans will consist of a pool of fixed-rate and adjustable-rate, one- to four-family, first and second lien residential mortgage loans. The description of the mortgage loans is on the basis of their scheduled principal balances as of the Cut-off Date. As of the Cut-off Date, the mortgage loans expected to be delivered to the Trust on the Closing Date have an aggregate scheduled principal balance of approximately $1,593,665,287 of which: (i) approximately $606,476,772 consist of a pool of conforming balance, first and second lien, fixed-rate and adjustable-rate mortgage loans (the “Group I Mortgage Loans”) and (ii) approximately $987,188,515 consist of a pool of conforming and non-conforming balance, first and second lien, fixed-rate and adjustable-rate mortgage loans (the “Group II Mortgage Loans” and together with the Group I Mortgage Loans, the “Mortgage Loans”). The Mortgage Loans have the characteristics described on Exhibit A.
Approximately 4.23% of the Mortgage Loans are 40-Year Mortgage Loans, approximately 4.93% of the Group I Mortgage Loans are 40-Year Mortgage Loans, and approximately 3.79% of the Group II Mortgage Loans are 40-Year Mortgage Loans.
40-Year Mortgage Loans: Mortgage Loans with an original term to maturity equal to 480 months.
Adjusted Net Mortgage Rate: With respect to any Mortgage Loan, the mortgage rate for such Mortgage Loan less the servicing fee rate and the PMI Insurer fee rate, if applicable.
Adjusted Net Maximum Mortgage Rate: With respect to any Mortgage Loan, the maximum mortgage rate for such Mortgage Loan (or the mortgage rate for such Mortgage Loan, if such Mortgage Loan has a fixed rate) less the servicing fee rate and the PMI Insurer fee rate, if applicable.
Primary Mortgage Insurance: Approximately 10.35% of the Mortgage Loans, approximately 13.94% of the Group I Mortgage Loans and approximately 8.14% of the Group II Mortgage Loans will be covered by a mortgage insurance policy (the “PMI Policy”) issued by Radian Guaranty Inc. (the “PMI Insurer”). For each of those Mortgage Loans, the PMI Insurer provides insurance coverage, subject to certain carveouts, down to 60% of the value of the related mortgaged property. The PMI Insurer will be paid a fee each month equal to approximately 1.200% per annum of the insured Mortgage Loans (which equals approximately 0.124% of all Mortgage Loans).
Pass-Through Rate: With respect to each class of Certificates on any Distribution Date, a per annum rate equal to the lesser of (i) the related Formula Rate and (ii) the related Net WAC Rate.
Formula Rate: With respect to each class of Certificates, a per annum rate equal to the lesser of (i) One Month LIBOR plus the related margin for such class and (ii) the related Maximum Cap.
Group I Net WAC Rate: With respect to any Distribution Date (other than the first Distribution Date) and the Group I Certificates, a per annum rate equal to (A) the weighted average of the Adjusted Net Mortgage Rates of the Group I Mortgage Loans (adjusted for principal payments distributed on a prior distribution date) less (B) the annualized percentage equivalent of a fraction, (i) the numerator of which is equal to the sum of (a) any net swap payment (including any swap termination payment other than those triggered by a Swap Counterparty trigger event) made to the Swap Counterparty allocable to the Group I Mortgage Loans, and (b) the Coupon Strip allocable to the Group I Mortgage Loans and (ii) the denominator of which is the aggregate stated principal balance of the Group I Mortgage Loans (adjusted to an effective rate reflecting the accrual of interest on an actual/360 basis).
Group II Net WAC Rate: With respect to any Distribution Date (other than the first Distribution Date) and the Group II Certificates, a per annum rate equal to (A) the weighted average of the Adjusted Net Mortgage Rates of the Group II Mortgage Loans (adjusted for principal payments distributed on a prior distribution date) less (B) the annualized percentage equivalent of a fraction, (i) the numerator of which is equal to the sum of (a) any net swap payment (including any swap termination payment other than those triggered by a Swap Counterparty trigger event) made to the Swap Counterparty allocable to the Group II Mortgage Loans, and (b) the Coupon Strip allocable to the Group II Mortgage Loans and (ii) the denominator of which is the aggregate stated principal balance of the Group II Mortgage Loans (adjusted to an effective rate reflecting the accrual of interest on an actual/360 basis).
Subordinate Net WAC Rate: With respect to any Distribution Date (other than the first Distribution Date) and the Class M Certificates, a per annum rate equal to the weighted average (weighted in proportion to the results of subtracting from the aggregate principal balance of each loan group as of the due date in the month preceding the month of such distribution date (adjusted for principal payments distributed on a prior distribution date) the principal balance of the related Class A Certificates), of (i) the Group I Net WAC Rate and (ii) the Group II Net WAC Rate.
Group I Maximum Cap Rate: With respect to the Group I Certificates, a per annum rate equal to the product of (A) the weighted average of the Adjusted Net Maximum Mortgage Rates of the Group I Mortgage Loans (adjusted for principal payments distributed on a prior distribution date) and (B) the quotient (i) the numerator of which is aggregate stated principal balance of the Mortgage Loans and (ii) the denominator of which is the aggregate principal balance of the Certificates, plus the annualized percentage equivalent of a fraction, (x) the numerator of which is equal to (i) any net swap payment received from the Swap Counterparty less any net swap payment (including any swap termination payment other than those triggered by a Swap Counterparty trigger event) made to the Swap Counterparty less (ii) the Coupon Strip and (y) the denominator of which is the aggregate principal balance of the Certificates (adjusted to an effective rate reflecting the accrual of interest on an actual/360 basis).
Group II Maximum Cap Rate: With respect to the Group II Certificates, a per annum rate equal to the product of (A) the weighted average of the Adjusted Net Maximum Mortgage Rates of the Group II Mortgage Loans (adjusted for principal payments distributed on a prior distribution date) and (B) the quotient (i) the numerator of which is aggregate stated principal balance of the Mortgage Loans and (ii) the denominator of which is the aggregate balance of the Certificates, plus the annualized percentage equivalent of a fraction, (x) the numerator of which is equal to (i) any net swap payment received from the Swap Counterparty less any net swap payment (including any swap termination payment other than those triggered by a Swap Counterparty trigger event) made to the Swap Counterparty less (ii) the Coupon Strip (y) the denominator of which is the aggregate principal balance of the Certificates (adjusted to an effective rate reflecting the accrual of interest on an actual/360 basis).
Subordinate Maximum Cap Rate: With respect to the Class M Certificates, a per annum rate equal to the weighted average (weighted in proportion to the results of subtracting from the aggregate principal balance of each loan group as of the due date in the month preceding the month of such distribution date (adjusted for principal payments distributed on a prior distribution date) the principal balance of the related Class A Certificates) of the Group I Maximum Cap Rate and the Group II Maximum Cap Rate.
Net WAC Rate Carryover Amount: With respect to any class of Certificates on any Distribution Date on which the Pass-Through Rate for such class of Certificates is limited by the related Net WAC Rate, an amount equal to the sum of (i) the excess of (a) the amount of interest that would have accrued on such class based on the related Formula Rate over (b) the amount of interest actually accrued on such class based on the related Net WAC Rate, and (ii) the unpaid portion of any related Net WAC Rate Carryover Amount from the prior Distribution Date together with accrued interest thereon at the related Formula Rate. With respect to any class of Certificates on any Distribution Date on which the Pass-Through Rate for such class of Certificates is the related Formula Rate, the unpaid portion of any related Net WAC Rate Carryover Amount from the prior Distribution Date together with accrued interest thereon at the related Formula Rate. Any Net WAC Rate Carryover Amount will be paid on such Distribution Date or future Distribution Dates to the extent of funds available.
Group I Interest Distribution Amount: With respect to any Distribution Date, an amount equal to the sum of (a) the portion of available funds attributable to interest received or advanced with respect to the Group I Mortgage Loans and (b) compensating interest paid by the Servicer with respect to the Group I Mortgage Loans.
Group II Interest Distribution Amount: With respect to any Distribution Date, an amount equal to the sum of (a) the portion of available funds attributable to interest received or advanced with respect to the Group II Mortgage Loans and (b) compensating interest paid by the Servicer with respect to the Group II Mortgage Loans.
Final Maturity Reserve Fund: On or after the 121st Distribution Date through the 240th Distribution Date, if on such any Distribution Date if the constant prepayment rate of the Mortgage Loans is equal to or less than 15%, an amount equal to 0.80% of the aggregate principal balance of the 40-Year Mortgage Loans (such amount is in each case the “Coupon Strip”) will be placed into a reserve fund (the “Final Maturity Reserve Fund”). On and after the 241st Distribution Date, all amounts otherwise payable to the Class C Certificates will be deposited into the Final Maturity Reserve Fund until the amounts on deposit therein are equal to the stated principal balance of the Mortgage Loans with 40-year original term to maturity less the certificate principal balance of the Class C Certificates. Amounts in the Final Maturity Reserve Fund will be available if needed to make a payment to certificateholders on the 360th Distribution Date.
Group I Principal Allocation Percentage: With respect to any Distribution Date, the principal remittance amount for the Group I Mortgage Loans divided by the aggregate principal remittance amount for all of the Mortgage Loans.
Group II Principal Allocation Percentage: With respect to any Distribution Date, the principal remittance amount for the Group II Mortgage Loans divided by the aggregate principal remittance amount for all of the Mortgage Loans.
Group I and Group II Principal Distribution Amounts: With respect to any Distribution Date, generally an amount determined by multiplying the related Group I Principal Allocation Percentage or Group II Principal Allocation Percentage by the aggregate principal remittance amount for the Mortgage Loans.
Group I Senior Principal Distribution Amount: With respect to any Distribution Date, an amount equal to the lesser of (I) the aggregate principal balance of the Group I Certificates immediately prior to such Distribution Date and (II) the excess of (x) the aggregate principal balance of the Group I Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) 62.10% and (ii) the aggregate stated principal balance of the Group I Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the aggregate stated principal balance of the Group I Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus 0.50% of the aggregate stated principal balance of the Group I Mortgage Loans as of the Cut-off Date.
Group II Senior Principal Distribution Amount: With respect to any Distribution Date, an amount equal to the lesser of (I) the aggregate principal balance of the Group II Certificates immediately prior to such Distribution Date and (II) the excess of (x) the aggregate principal balance of the Group II Certificates immediately prior to such Distribution Date over (y) the lesser of (A) the product of (i) 62.10% and (ii) the aggregate stated principal balance of the Group II Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the aggregate stated principal balance of the Group II Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus 0.50% of the aggregate stated principal balance of the Group II Mortgage Loans as of the Cut-off Date.
Overcollateralization Target Amount: With respect to any Distribution Date:
(i) prior to the Stepdown Date, 3.75% of the aggregate stated principal balance of the Mortgage Loans as of the Cut-off Date; and,
(ii) on or after the Stepdown Date, the greater of:
(a) the lesser of (x) 3.75% of the aggregate stated principal balance of the Mortgage Loans as of the Cut-off Date and (y) 7.50% of the current aggregate stated principal balance of the Mortgage Loans; and
(b) 0.50% of the aggregate stated principal balance of the Mortgage Loans as of the Cut-off Date (the “OC Floor”); provided however, that on any Distribution Date on which a Trigger Event is in effect, the Overcollateralization Target Amount will be equal to the Overcollateralization Target Amount as of the preceding Distribution Date.
Stepdown Date: The earlier to occur of:
(i) the Distribution Date following the Distribution Date on which the aggregate principal balance of the Class A Certificates is reduced to zero; and,
(ii) the later to occur of
(x) the Distribution Date occurring in May 2010 and
(y) the first Distribution Date on which the Credit Enhancement Percentage is greater than or equal to 37.90%.
Interest Coverage Account: On the Closing Date, the Depositor will pay to the Trustee for deposit in an interest coverage account an amount which will be applied by the Trustee to cover shortfalls in the amount of interest generated by the related Mortgage Loans arising from the long first accrual period.
Credit Enhancement: Consists of the following:
1) Monthly Excess Cashflow;
2) Overcollateralized Amount;
3) Subordination; and
4) A Primary Mortgage Insurance Policy
The Class A and Class M Certificates will have the benefit of Net swap payments received from the Swap Counterparty (if any).
Monthly Excess Cashflow: With respect to any Distribution Date, an amount equal to the available funds remaining after priorities (I) and (II) under “Priority of Distributions.”
Overcollateralized Amount: With respect to any Distribution Date, the excess of the aggregate stated principal balance of the Mortgage Loans on the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) over the aggregate principal balance of the Class A, Class M and Class P Certificates (not offered hereby) (assuming that 100% of the aggregate principal remittance amount is applied as a principal payment on such Distribution Date). On the Closing Date, the Overcollateralized Amount will be fully funded at approximately 3.75% of the aggregate stated principal balance of the Mortgage Loans as of the Cut-off Date. To the extent the Overcollateralized Amount is reduced below the Overcollateralization Target Amount, Monthly Excess Cashflow will be distributed to the Certificates as described below to build the Overcollateralized Amount until the Overcollateralization Target Amount is reached.
Credit Enhancement Percentage: With respect to any Distribution Date an amount equal to (i) the sum of (a) the aggregate principal balance of the Class M Certificates and (b) the Overcollateralized Amount divided by (ii) the aggregate stated principal balance of the Mortgage Loans.
Delinquency Trigger Event: With respect to any Distribution Date on or after the Stepdown Date, if the percentage of aggregate stated principal balance of (i) Mortgage Loans delinquent 60 days or more, (ii) REO properties and (iii) Mortgage Loans in foreclosure and in bankruptcy (excluding any such Mortgage Loans which are less than 60 days delinquent under the bankruptcy plan) exceeds [42.00]% of the Credit Enhancement Percentage.
Loss Trigger Event: With respect to any Distribution Date in or after May 2009, if the cumulative Realized Losses on the Mortgage Loans as a percentage of the aggregate stated principal balance of the Mortgage Loans as of the Cut-off Date, for the related Distribution Date are greater than:
Distribution Date |
Cumulative Realized Loss Percentage |
May 2009 to April 2010 |
[1.50]% for the first month, plus an additional 1/12th of [1.85]% for each month thereafter |
May 2010 to April 2011 |
[3.35]% for the first month, plus an additional 1/12th of [1.90]% for each month thereafter |
May 2011 to April 2012 |
[5.25]% for the first month, plus an additional 1/12th of [1.50]% for each month thereafter |
May 2012 to April 2013 |
[6.75]% for the first month, plus an additional 1/12th of [0.85]% for each month thereafter |
May 2013 to April 2014 |
[7.60]% for the first month, plus an additional 1/12th of [0.05]% for each month thereafter |
May 2014 and thereafter |
[7.65]% |
Trigger Event: With respect to any Distribution Date if either a Loss Trigger Event or a Delinquency Trigger Event is in effect on such Distribution Date.
Credit Support:
Initial Credit |
Target Credit Enhancement Percentage |
||
Class |
Percent |
Class |
Percent |
A |
18.95% |
A |
37.90% |
M-1 |
15.75% |
M-1 |
31.50% |
M-2 |
12.95% |
M-2 |
25.90% |
M-3 |
11.25% |
M-3 |
22.50% |
M-4 |
9.75% |
M-4 |
19.50% |
M-5 |
8.30% |
M-5 |
16.60% |
M-6 |
6.95% |
M-6 |
13.90% |
M-7 |
5.65% |
M-7 |
11.30% |
M-8 |
4.75% |
M-8 |
9.50% |
M-9 |
3.75% |
M-9 |
7.50% |
Realized Losses: If a Mortgage Loan becomes a liquidated loan, the net liquidation proceeds relating thereto may be less than the principal balance on such Mortgage Loan. The amount of such insufficiency is a “Realized Loss.” Realized Losses on the Mortgage Loans will be absorbed first, by the Monthly Excess Cashflow, second by certain payments made by the Swap Counterparty and third by a reduction of the Overcollateralized Amount. Following the reduction of the Overcollateralized Amount to zero, all remaining Realized Losses will be applied to reduce the principal balance of the Class M Certificates in reverse sequential order, first to the Class M-9 Certificates, second to the Class M-8 Certificates, third to the Class M-7 Certificates, fourth to the Class M-6 Certificates, fifth to the Class M-5 Certificates, sixth to the Class M-4 Certificates, seventh to the Class M-3 Certificates, eighth to the Class M-2 Certificates and ninth to the Class M‑1 Certificates.
Swap Agreement: On the Closing Date, the Trust will enter into an agreement with the Swap Counterparty pursuant to which on each Distribution Date for the second Distribution Date through the 60th Distribution Date, until the swap is retired (i) the Trust shall be obligated to pay the Swap Counterparty an amount equal to the product of (x) a fixed rate equal to 4.760% per annum, (y) the swap notional amount for such Distribution Date set forth in the schedule below, and (z) a fraction, the numerator of which is 30 and the denominator of which is 360 and (ii) the Swap Counterparty will be required to pay to the Trust an amount equal to product of (x) One-Month LIBOR as determined pursuant to the Swap Agreement, (y) the swap notional amount for such Distribution Date set forth in the schedule below, and (z) a fraction, the numerator of which is 30 and the denominator of which is 360. Only the net amount of the two obligations above will be paid by the appropriate party. To the extent that the Trust is obligated to make a payment to the Swap Counterparty on a Distribution Date (other than any swap termination payment triggered by a Swap Counterparty trigger event, an Event of Default where the Swap Counterparty is the Defaulting Party or a Termination Event where the Swap Counterparty is the Sole Affected Party, each as will be defined in the Swap Agreement (the “Swap Counterparty trigger event”)), amounts otherwise available to certificateholders will be applied to make such payment. Such amount will be applied to pay the Swap Counterparty any net swap payment due to the Swap Counterparty, including any unpaid swap termination payment owed to the Swap Counterparty pursuant to the swap agreement for such Distribution Date, other than any swap termination payment triggered by a Swap Counterparty trigger event. To the extent that the Swap Counterparty is obligated to make a swap payment to the Trust, any swap payment will be deposited in a swap account (the “Swap Account”) and used as follows:
1) If the NIM Notes (not offered hereby) are outstanding, according to the Monthly Excess Cashflow priorities (III)(i) through (III)(xiv) to the extent not paid after distribution of the Monthly Excess Cashflow.
2) If the NIM Notes are not outstanding, according to the Monthly Excess Cashflow priorities (III)(i) through (III)(xiii) to the extent not paid after distribution of the Monthly Excess Cashflow.
Any remaining swap payments received by the Trust from the Swap Counterparty after payment priority (2) above will reside in the Swap Account and will be distributed according to payment priority (2) above for future Distribution Dates. Swap payments received by the Trust from the Swap Counterparty will not be released to the Class C Certificates (not offered hereby).
Upon early termination of the swap agreement, the Trust or the Swap Counterparty may be liable to make a termination payment (the “swap termination payment”) to the other party (regardless of which party caused the termination). The swap termination payment will be computed in accordance with the procedures set forth in the swap agreement. In the event that the Trust is required to make a swap termination payment, in certain instances, that payment will be paid on the related Distribution Date, and on any subsequent Distribution Dates until paid in full, prior to distributions to certificateholders.
Swap Schedule
Distribution Date |
Swap Notional Amount ($) |
Distribution Date |
Swap Notional Amount ($) |
1 |
0 |
31 |
385,089,087 |
2 |
1,253,344,121 |
32 |
372,236,954 |
3 |
1,243,068,537 |
33 |
360,062,889 |
4 |
1,230,041,615 |
34 |
348,409,140 |
5 |
1,214,606,839 |
35 |
334,777,980 |
6 |
1,196,822,361 |
36 |
318,283,400 |
7 |
1,191,110,912 |
37 |
316,054,868 |
8 |
1,183,050,254 |
38 |
293,072,557 |
9 |
1,172,887,876 |
39 |
281,924,113 |
10 |
1,160,456,279 |
40 |
271,614,947 |
11 |
1,144,148,225 |
41 |
262,060,457 |
12 |
1,121,386,840 |
42 |
253,140,756 |
13 |
1,092,385,394 |
43 |
244,764,716 |
14 |
1,061,837,984 |
44 |
236,933,740 |
15 |
1,032,516,446 |
45 |
229,594,729 |
16 |
1,004,876,102 |
46 |
222,805,535 |
17 |
978,878,653 |
47 |
216,194,575 |
18 |
954,294,699 |
48 |
209,757,987 |
19 |
930,756,873 |
49 |
203,539,820 |
20 |
908,297,406 |
50 |
197,470,889 |
21 |
887,012,627 |
51 |
191,575,911 |
22 |
866,856,552 |
52 |
185,794,923 |
23 |
841,467,404 |
53 |
180,157,951 |
24 |
530,405,115 |
54 |
174,663,659 |
25 |
498,854,082 |
55 |
169,312,436 |
26 |
471,895,501 |
56 |
164,103,557 |
27 |
449,719,440 |
57 |
159,032,956 |
28 |
430,700,970 |
58 |
154,150,784 |
29 |
413,909,249 |
59 |
149,466,158 |
30 |
398,788,047 |
60 |
144,987,350 |
Priority of Distributions:
I. Interest Distribution: Group I and Group II Interest Distribution Amounts will be distributed as follows:
i) To pay the Swap Counterparty any net swap payment, provided a swap default has not occurred and is not continuing, and any unpaid swap termination payment (not due to a Swap Counterparty trigger event) owed to the Swap Counterparty pursuant to the swap agreement;
ii) To pay the Coupon Strip, if applicable;
iii) Pro-rata to the Class A Certificates generally from the related loan group, current interest plus any unpaid interest; and then from the unrelated loan groups, any current interest plus any unpaid interest not paid from the related loan group.
iv) To the Class M-1 Certificates current interest;
v) To the Class M-2 Certificates current interest;
vi) To the Class M-3 Certificates current interest;
vii) To the Class M-4 Certificates current interest;
viii) To the Class M-5 Certificates current interest;
ix) To the Class M-6 Certificates current interest;
x) To the Class M-7 Certificates current interest;
xi) To the Class M-8 Certificates current interest;
xii) To the Class M-9 Certificates current interest; and
xiii) Any interest distribution amounts remaining undistributed following (i) through (xii) above will be distributed as Monthly Excess Cashflow for such Distribution Date.
II. Principal Distribution:
(A) On each Distribution Date prior to the Stepdown Date, or if a Trigger Event is in effect:
i) To pay the Swap Counterparty any net swap payment, provided a swap default has not occurred and is not continuing, and any unpaid swap termination payment (not due to a Swap Counterparty trigger event) owed to the Swap Counterparty pursuant to the swap agreement, to the extent not paid in (I)(i) above;
ii) To pay the Coupon Strip, if applicable, to the extent not paid in (I)(ii) above;
iii) An amount equal to the Group I Principal Distribution Amount will be distributed to the Group I Certificates, until the Group I Certificates have been reduced to zero;
iv) An amount equal to the Group II Principal Distribution Amount will be distributed to the Group II Certificates (according to the priorities described below), until the principal balance thereof has been reduced to zero;
v) Any remaining Group I Principal Distribution Amounts will be distributed to the Group II Certificates (according to the priorities described below), until the principal balance thereof has been reduced to zero.
vi) Any remaining Group II Principal Distribution Amounts will be distributed to the Group I Certificates, until the Group I Certificates have been reduced to zero;
vii) To the Class M-1 Certificates until the principal balance thereof is reduced to zero;
viii) To the Class M-2 Certificates until the principal balance thereof is reduced to zero;
ix) To the Class M-3 Certificates until the principal balance thereof is reduced to zero;
x) To the Class M-4 Certificates until the principal balance thereof is reduced to zero;
xi) To the Class M-5 Certificates until the principal balance thereof is reduced to zero;
xii) To the Class M-6 Certificates until the principal balance thereof is reduced to zero;
xiii) To the Class M-7 Certificates until the principal balance thereof is reduced to zero;
xiv) To the Class M-8 Certificates until the principal balance thereof is reduced to zero;
xv) To the Class M-9 Certificates until the principal balance thereof is reduced to zero; and
xvi) Any Principal Distribution amounts remaining undistributed following (i) through (xv) above will be distributed as Monthly Excess Cashflow, if any, for such Distribution Date.
(B) On each Distribution Date on or after the Stepdown Date and if a Trigger Event is not in effect:
i) To pay the Swap Counterparty any net swap payment, provided a swap default has not occurred and is not continuing, and any unpaid swap termination payment (not due to a Swap Counterparty trigger event) owed to the Swap Counterparty pursuant to the swap agreement, to the extent not paid in (I)(i) above;
ii) To pay the Coupon Strip, if applicable, to the extent not paid in (I)(ii) above;
iii) The Group I Principal Distribution Amount will be distributed as follows:
a. To the Group I Certificates, the Group I Senior Principal Distribution Amount, until the Group I Certificates have been retired.
b. To the Group II Certificates, the Group II Senior Principal Distribution Amount, to extent not paid in clause (B)(iv)(a) below, according to the payment priority in clause (B)(iv)(a) below.
iv) The Group II Principal Distribution Amount will be distributed as follows:
a. To the Group II Certificates, the Group II Senior Principal Distribution Amount (to be distributed according to the priorities described below), until the Group II Certificates have been retired.
b. To the Group I Certificates, the Group I Senior Principal Distribution Amount, to extent not paid in clause (B)(iii)(a) above.
v) The sum of any remaining Principal Distribution Amounts will be distributed in the following order.
a. To the Class M-1 Certificates until it reaches a 31.50% Target Credit Enhancement Percentage (based on 2x the Class M-1 Initial Credit Enhancement Percentage);
b. To the Class M-2 Certificates until it reaches a 25.90% Target Credit Enhancement Percentage (based on 2x the Class M-2 Initial Credit Enhancement Percentage);
c. To the Class M-3 Certificates until it reaches a 22.50% Target Credit Enhancement Percentage (based on 2x the Class M-3 Initial Credit Enhancement Percentage);
d. To the Class M-4 Certificates until it reaches a 19.50% Target Credit Enhancement Percentage (based on 2x the Class M-4 Initial Credit Enhancement Percentage);
e. To the Class M-5 Certificates until it reaches a 16.60% Target Credit Enhancement Percentage (based on 2x the Class M-5 Initial Credit Enhancement Percentage);
f. To the Class M-6 Certificates until it reaches a 13.90% Target Credit Enhancement Percentage (based on 2x the Class M-6 Initial Credit Enhancement Percentage);
g. To the Class M-7 Certificates until it reaches a 11.30% Target Credit Enhancement Percentage (based on 2x the Class M-7 Initial Credit Enhancement Percentage);
h. To the Class M-8 Certificates until it reaches a 9.50% Target Credit Enhancement Percentage (based on 2x the Class M-8 Initial Credit Enhancement Percentage);
i. To the Class M-9 Certificates until it reaches a 7.50% Target Credit Enhancement Percentage (based on 2x the Class M-9 Initial Credit Enhancement Percentage); and
j. Any Principal Distribution Amounts remaining undistributed following (a) through (i) above will be distributed as Monthly Excess Cashflow, if any, for such Distribution Date.
With respect to the Group II Certificates, all principal distributions will be allocated sequentially, to the Class II-A1, Class II-A2, Class II-A3 and Class II-A4 Certificates, in each case, until their principal balances have been reduced to zero, with the exception that beginning on the first Distribution Date on or after which the principal balances of the Class M Certificates have been reduced to zero and the Monthly Excess Cashflow and Overcollateralized Amount for such Distribution Date are insufficient to cover Realized Losses on the Group II Mortgage Loans, principal distributions among the Group II Certificates will be allocated, pro rata, based on their principal balances, in each case, until their principal balances have been reduced to zero.
Monthly Excess Cashflow:
i) As principal to the Certificates to replenish or maintain the Overcollateralized Amount as described under Principal Distribution above;
ii) Pro-rata to the Class A Certificates, in an amount equal to unpaid interest;
iii) To the Class M-1 Certificates, an amount equal to unpaid interest, then any unpaid applied Realized Loss amounts;
iv) To the Class M-2 Certificates, an amount equal to unpaid interest, then any unpaid applied Realized Loss amounts;
v) To the Class M-3 Certificates, an amount equal to unpaid interest, then any unpaid applied Realized Loss amounts;
vi) To the Class M-4 Certificates, an amount equal to unpaid interest, then any unpaid applied Realized Loss amounts;
vii) To the Class M-5 Certificates, an amount equal to unpaid interest, then any unpaid applied Realized Loss amounts;
viii) To the Class M-6 Certificates, an amount equal to unpaid interest, then any unpaid applied Realized Loss amounts;
ix) To the Class M-7 Certificates, an amount equal to unpaid interest, then any unpaid applied Realized Loss amounts;
x) To the Class M-8 Certificates, an amount equal to unpaid interest, then any unpaid applied Realized Loss amounts; and
xi) To the Class M-9 Certificates, an amount equal to unpaid interest, then any unpaid applied Realized Loss amounts.
xii) Any funds remaining after distributions described in (i) through (xi) above will be distributed to pay any related Net WAC Rate Carryover Amounts as follows: first to the Class A Certificates, pro rata, based on their respective Net WAC Rate Carryover Amounts, then to the Class M‑1 Certificates, then to the Class M-2 Certificates, then to the Class M-3 Certificates, then to the Class M-4 Certificates, then to the Class M-5 Certificates, then to the Class M-6 Certificates, then to the Class M-7 Certificates, then to the Class M-8 Certificates and then to the Class M-9 Certificates, sequentially, in that order, in each case up to their respective Net WAC Rate Carryover Amount.
xiii) To the Swap Counterparty, any unpaid swap termination payment due to the Swap Counterparty as a result of a Swap Counterparty trigger event.
xiv) Any remaining funds will be distributed to the holders of the Class C Certificates as further described in the pooling agreement.
FOR ADDITIONAL INFORMATION PLEASE CALL: |
|
|
|
WaMu Capital Corp. |
|
|
|
Trading |
|
|
|
David Nagle |
(206) 554-2425 |
Kevin Richmond |
(212) 702-6921 |
Tim O'Brien |
(212) 702-6919 |
Albert Chang |
(212) 702-6934 |
|
|
Finance |
|
|
|
Vinny Varca |
(212) 702-6931 |
Tom Lazar |
(206) 554-2416 |
Jason Laukaitis |
(206) 302-4189 |
|
Exhibit A
Mortgage Loan Statistics
|
|
|
Minimum |
Maximum |
Scheduled Principal Balance |
$1,593,665,287 |
|
$9,987 |
$1,198,268 |
Average Scheduled Principle Balance |
$237,047 |
|
|
|
Number of Mortgage Loans |
6,723 |
|
|
|
|
|
|
|
|
Weighted Average Gross Coupon |
8.142% |
|
5.400% |
13.350% |
Weighted Average FICO Score |
635 |
|
500 |
811 |
Weighted Average Original LTV* |
81.29% |
|
8.00% |
100.00% |
Weighted Average Original LTV with MI** |
78.33% |
|
8.00% |
100.00% |
Weighted Average Combined Original LTV*** |
86.11% |
|
8.00% |
100.00% |
Weighted Average DTI |
41.66% |
|
0.72% |
83.41% |
|
|
|
|
|
Weighted Average Original Term |
364 months |
|
120 months |
480 months |
Weighted Average Stated Remaining Term |
362 months |
|
118 months |
479 months |
Weighted Average Seasoning |
2 months |
|
1 month |
10 months |
|
|
|
|
|
Weighted Average Gross Margin |
5.152% |
|
4.990% |
7.250% |
Weighted Average Minimum Interest Rate |
8.116% |
|
5.400% |
13.350% |
Weighted Average Maximum Interest Rate |
14.116% |
|
11.400% |
19.350% |
Weighted Average Initial Rate Cap |
2.199% |
|
1.000% |
3.000% |
Weighted Average Subsequent Rate Cap |
1.000% |
|
1.000% |
1.000% |
Weighted Average Months to Roll |
28 months |
|
14 months |
59 months |
|
|
|
|
|
Maturity Date |
|
|
February 1,2017 |
March 1,2047 |
Adj Rate Mortgage |
75.10% |
|
Full |
62.50% |
Fixed Rate Mortgage |
24.90% |
|
Limited |
5.01% |
|
|
|
Stated |
32.49% |
ARM—2 Yr/6 Mth |
15.45% |
|
|
|
ARM—2 Yr/6 Mth 40 Yr |
2.24% |
|
Cash-Out Refi |
55.75% |
ARM—2 Yr/6 Mth IO |
7.01% |
|
Purchase |
30.22% |
ARM—3 Yr/6 Mth |
5.96% |
|
Rate/Term Refi |
14.03% |
ARM—3 Yr/6 Mth 40 Yr |
0.76% |
|
|
|
ARM—3 Yr/6 Mth IO |
1.42% |
|
Condominium |
6.86% |
ARM—5 Yr/6 Mth |
1.67% |
|
Planned Unit Developement |
12.92% |
ARM—5 Yr/6 Mth 40 Yr |
0.38% |
|
Single Family |
72.48% |
ARM—5 Yr/6 Mth IO |
2.67% |
|
Townhouse |
0.16% |
Balloon—2 Yr/6 Mnth |
28.46% |
|
Two to Four Family |
7.56% |
Balloon—3 Yr/6 Mnth |
5.98% |
|
|
|
Balloon—30 Year |
3.77% |
|
Investor |
7.85% |
Balloon—5 Yr/6 Mnth |
3.09% |
|
Owner-Occupied |
90.64% |
Fixed—10 Year |
0.03% |
|
Second Home |
1.51% |
Fixed—15 Year |
0.35% |
|
|
|
Fixed—20 Year |
0.23% |
|
First Lien |
94.29% |
Fixed—30 Year |
19.67% |
|
Second Lien |
5.71% |
Fixed—40 Year |
0.85% |
|
|
|
|
|
|
Top 5 Locations: |
|
Not Interest Only |
88.89% |
|
California |
39.91% |
Interest Only |
11.11% |
|
Florida |
7.49% |
|
|
|
Maryland |
5.58% |
Prepay Penalty: N/A |
19.14% |
|
New York |
5.35% |
Prepay Penalty: 12 months |
9.18% |
|
Texas |
5.08% |
Prepay Penalty: 24 months |
36.07% |
|
|
|
Prepay Penalty: 36 months |
35.61% |
|
|
|
*Original LTV for all first lien loans and combined original LTV for all second lien loans |
**Original LTV for all first lien loans and combined original LTV for all second lien loans, in each case adjusted for MI |
***Combined LTV including simultaneous seconds for all first lien loans and combined original LTV for all second lien loans |
Current Balance ($) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
0.00—50000.00 |
513 |
$18,258,559.89 |
1.15% |
10.674% |
93.69% |
641 |
64.26% |
15.20% |
2.07% |
50000.00—100000.00 |
1,251 |
$95,028,239.99 |
5.96% |
9.773% |
87.24% |
641 |
61.29% |
40.31% |
9.02% |
100000.00—150000.00 |
1,043 |
$129,387,883.95 |
8.12% |
9.057% |
84.19% |
631 |
66.65% |
51.09% |
10.02% |
150000.00—200000.00 |
795 |
$139,311,449.63 |
8.74% |
8.360% |
79.69% |
623 |
69.66% |
65.69% |
8.14% |
200000.00—250000.00 |
618 |
$139,311,783.20 |
8.74% |
7.949% |
79.60% |
628 |
72.23% |
76.05% |
13.18% |
250000.00—300000.00 |
582 |
$159,498,464.85 |
10.01% |
7.853% |
80.40% |
629 |
65.91% |
81.97% |
14.39% |
300000.00—350000.00 |
414 |
$134,124,002.39 |
8.42% |
7.862% |
80.68% |
631 |
62.23% |
81.13% |
11.12% |
350000.00—400000.00 |
332 |
$124,641,802.60 |
7.82% |
7.779% |
80.77% |
637 |
58.35% |
81.89% |
14.09% |
400000.00—450000.00 |
276 |
$117,197,285.68 |
7.35% |
7.799% |
80.97% |
633 |
57.22% |
87.35% |
15.49% |
450000.00—500000.00 |
219 |
$104,286,427.75 |
6.54% |
7.809% |
81.40% |
647 |
53.97% |
83.61% |
12.34% |
500000.00—550000.00 |
192 |
$100,809,691.47 |
6.33% |
7.661% |
81.29% |
654 |
55.73% |
78.63% |
15.18% |
550000.00—600000.00 |
156 |
$89,801,205.76 |
5.63% |
7.973% |
81.72% |
640 |
50.89% |
85.87% |
12.85% |
600000.00—650000.00 |
111 |
$69,692,295.04 |
4.37% |
7.860% |
80.50% |
635 |
64.75% |
89.09% |
0.00% |
650000.00—700000.00 |
75 |
$51,051,621.91 |
3.20% |
7.815% |
80.39% |
645 |
57.26% |
81.32% |
0.00% |
700000.00—750000.00 |
42 |
$30,568,645.76 |
1.92% |
7.532% |
80.90% |
653 |
64.35% |
80.82% |
0.00% |
750000.00—800000.00 |
35 |
$27,297,978.75 |
1.71% |
8.444% |
79.65% |
642 |
48.64% |
94.35% |
0.00% |
800000.00—850000.00 |
17 |
$14,021,390.46 |
0.88% |
8.205% |
74.09% |
626 |
52.92% |
76.62% |
0.00% |
850000.00—900000.00 |
16 |
$14,001,861.60 |
0.88% |
8.064% |
77.77% |
607 |
87.50% |
87.41% |
0.00% |
900000.00—950000.00 |
9 |
$8,400,955.38 |
0.53% |
8.242% |
80.42% |
646 |
78.11% |
77.44% |
0.00% |
950000.00—1000000.00 |
23 |
$22,629,002.68 |
1.42% |
7.790% |
77.01% |
624 |
78.18% |
78.58% |
0.00% |
>= 1000000.00 |
4 |
$4,344,738.31 |
0.27% |
7.605% |
77.09% |
661 |
100.00% |
75.41% |
0.00% |
Total |
6,723 |
$1,593,665,287.05 |
100.00% |
8.142% |
81.29% |
635 |
62.50% |
75.10% |
10.35% |
Mortgage Interest Rate (%) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
5.000—5.499 |
2 |
$855,200.00 |
0.05% |
5.400% |
80.00% |
746 |
100.00% |
100.00% |
0.00% |
5.500—5.999 |
87 |
$30,057,685.06 |
1.89% |
5.787% |
75.32% |
684 |
94.69% |
97.48% |
16.69% |
6.000—6.499 |
373 |
$132,006,698.44 |
8.28% |
6.265% |
74.35% |
674 |
90.04% |
42.30% |
14.38% |
6.500—6.999 |
608 |
$190,433,403.42 |
11.95% |
6.763% |
78.06% |
652 |
80.70% |
64.24% |
20.01% |
7.000—7.499 |
748 |
$221,160,877.37 |
13.88% |
7.255% |
79.01% |
642 |
69.17% |
80.16% |
15.94% |
7.500—7.999 |
920 |
$261,324,249.09 |
16.40% |
7.743% |
79.79% |
636 |
62.39% |
82.22% |
11.65% |
8.000—8.499 |
674 |
$192,319,827.44 |
12.07% |
8.240% |
81.14% |
629 |
53.20% |
88.79% |
8.58% |
8.500—8.999 |
694 |
$193,029,832.35 |
12.11% |
8.736% |
81.69% |
622 |
49.69% |
89.70% |
6.17% |
9.000—9.499 |
410 |
$92,878,758.29 |
5.83% |
9.250% |
83.02% |
607 |
46.17% |
89.83% |
4.87% |
9.500—9.999 |
640 |
$106,145,750.69 |
6.66% |
9.746% |
86.25% |
609 |
52.53% |
80.12% |
2.45% |
10.000—10.499 |
352 |
$55,007,420.56 |
3.45% |
10.215% |
88.94% |
607 |
62.85% |
72.03% |
2.28% |
10.500—10.999 |
334 |
$42,721,619.73 |
2.68% |
10.717% |
87.86% |
607 |
44.77% |
69.77% |
0.51% |
11.000—11.499 |
531 |
$45,437,638.79 |
2.85% |
11.223% |
96.35% |
638 |
40.39% |
22.75% |
0.14% |
11.500—11.999 |
258 |
$21,948,879.82 |
1.38% |
11.693% |
97.49% |
638 |
33.39% |
15.12% |
0.00% |
12.000—12.499 |
75 |
$6,936,186.88 |
0.44% |
12.200% |
97.41% |
666 |
25.20% |
9.86% |
0.00% |
12.500—12.999 |
16 |
$1,327,474.71 |
0.08% |
12.671% |
97.41% |
639 |
11.39% |
11.21% |
0.00% |
13.000—13.499 |
1 |
$73,784.41 |
0.00% |
13.350% |
90.00% |
632 |
0.00% |
100.00% |
0.00% |
Total |
6,723 |
$1,593,665,287.05 |
100.00% |
8.142% |
81.29% |
635 |
62.50% |
75.10% |
10.35% |
FICO |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
500—524 |
195 |
$45,127,325.58 |
2.83% |
9.703% |
74.18% |
514 |
73.81% |
88.94% |
0.00% |
525—549 |
280 |
$70,095,738.12 |
4.40% |
9.244% |
77.11% |
539 |
80.37% |
89.26% |
0.00% |
550—574 |
484 |
$118,649,922.48 |
7.45% |
8.568% |
78.99% |
564 |
79.89% |
83.39% |
0.00% |
575—599 |
540 |
$144,632,794.79 |
9.08% |
8.347% |
82.67% |
587 |
80.51% |
85.36% |
10.98% |
600—624 |
1,325 |
$284,328,642.32 |
17.84% |
8.113% |
81.64% |
613 |
70.61% |
76.35% |
11.61% |
625—649 |
1,341 |
$309,759,739.05 |
19.44% |
7.947% |
81.72% |
638 |
61.04% |
71.05% |
11.92% |
650—674 |
1,155 |
$270,388,976.39 |
16.97% |
8.015% |
82.37% |
661 |
51.35% |
70.90% |
11.36% |
675—699 |
660 |
$164,989,511.86 |
10.35% |
7.940% |
82.28% |
686 |
41.40% |
74.00% |
12.41% |
>= 700 |
743 |
$185,692,636.46 |
11.65% |
7.645% |
81.29% |
732 |
52.84% |
65.03% |
15.02% |
Total |
6,723 |
$1,593,665,287.05 |
100.00% |
8.142% |
81.29% |
635 |
62.50% |
75.10% |
10.35% |
Original Combined LTV (%)* |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
First Lien Loans: |
|
|
|
|
|
|
|
|
|
Less than 60.01% |
368 |
$77,716,904.66 |
4.88% |
7.37% |
49.79% |
627 |
68.25% |
54.58% |
0.00% |
60.01 to 70.00% |
451 |
$121,488,328.67 |
7.62% |
7.52% |
66.70% |
609 |
63.45% |
68.71% |
0.00% |
70.01 to 80.00% |
2592 |
$768,202,186.47 |
48.20% |
7.79% |
78.95% |
642 |
58.40% |
82.67% |
0.00% |
80.01 to 85.00% |
|
|
|
|
|
|
|
|
|
With MI: |
154 |
$41,035,897.89 |
2.57% |
7.18% |
84.35% |
653 |
71.73% |
58.31% |
100.00% |
Without MI: |
288 |
$82,899,318.85 |
5.20% |
8.76% |
84.69% |
598 |
57.80% |
85.79% |
0.00% |
85.01 to 90.00% |
|
|
|
|
|
|
|
|
|
With MI: |
476 |
$113,811,192.39 |
7.14% |
7.48% |
89.60% |
651 |
83.91% |
61.43% |
100.00% |
Without MI: |
877 |
$214,261,460.85 |
13.44% |
8.80% |
89.70% |
623 |
59.56% |
92.62% |
0.00% |
90.01 to 95.00% |
|
|
|
|
|
|
|
|
|
With MI: |
39 |
$10,056,370.15 |
0.63% |
7.40% |
94.37% |
696 |
88.54% |
58.14% |
100.00% |
Without MI: |
198 |
$55,637,070.98 |
3.49% |
8.95% |
94.64% |
616 |
81.02% |
91.14% |
0.00% |
95.01 to 100.00% |
|
|
|
|
|
|
|
|
|
With MI: |
0 |
$- |
0.00% |
0.00% |
0.00% |
0 |
0.00% |
0.00% |
0.00% |
Without MI: |
78 |
$17,486,207.42 |
1.10% |
9.52% |
99.86% |
623 |
91.30% |
91.10% |
0.00% |
Subtotal (First Lien): |
5521 |
$1,502,594,938.33 |
94.29% |
7.97% |
80.18% |
634 |
63.17% |
79.65% |
10.97% |
|
|
|
|
|
|
|
|
|
|
Second Lien Loans: |
|
|
|
|
|
|
|
|
|
80.01 to 85.00% |
1 |
$45,332.57 |
0.00% |
11.15% |
40.00% |
601 |
0.00% |
0.00% |
0.00% |
85.01 to 90.00% |
11 |
$988,220.94 |
0.06% |
10.75% |
89.58% |
671 |
63.48% |
0.00% |
0.00% |
90.01 to 95.00% |
51 |
$3,541,599.47 |
0.22% |
11.17% |
94.63% |
645 |
76.52% |
0.00% |
0.00% |
95.01 to 100.00% |
1139 |
$86,495,195.74 |
5.43% |
11.05% |
99.96% |
663 |
50.33% |
0.00% |
0.00% |
Subtotal (Second Lien): |
1202 |
$91,070,348.72 |
5.71% |
11.05% |
99.61% |
662 |
51.47% |
0.00% |
0.00% |
Total |
6,723 |
$1,593,665,287.05 |
100.00% |
8.142% |
81.29% |
635 |
62.50% |
75.10% |
10.35% |
*Original LTV for all first lien loans and combined original LTV for all second lien loans
Original Effective Combined LTV (%)** |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
First Lien Loans: |
|
|
|
|
|
|
|
|
|
Less than 60.01% |
1037 |
$242,620,365.09 |
15.22% |
7.39% |
76.16% |
646 |
77.02% |
58.57% |
67.97% |
60.01 to 70.00% |
451 |
$121,488,328.67 |
7.62% |
7.52% |
66.70% |
609 |
63.45% |
68.71% |
0.00% |
70.01 to 80.00% |
2592 |
$768,202,186.47 |
48.20% |
7.79% |
78.95% |
642 |
58.40% |
82.67% |
0.00% |
80.01 to 85.00% |
288 |
$82,899,318.85 |
5.20% |
8.76% |
84.69% |
598 |
57.80% |
85.79% |
0.00% |
85.01 to 90.00% |
877 |
$214,261,460.85 |
13.44% |
8.80% |
89.70% |
623 |
59.56% |
92.62% |
0.00% |
90.01 to 95.00% |
198 |
$55,637,070.98 |
3.49% |
8.95% |
94.63% |
616 |
81.02% |
91.14% |
0.00% |
95.01 to 100.00% |
78 |
$17,486,207.42 |
1.10% |
9.52% |
99.86% |
623 |
91.30% |
91% |
0.00% |
Subtotal (First Lien): |
5521 |
$1,502,594,938.33 |
94.29% |
7.97% |
80.18% |
634 |
63.17% |
79.65% |
10.97% |
|
|
|
|
|
|
|
|
|
|
Second Lien Loans: |
|
|
|
|
|
|
|
|
|
80.01 to 85.00% |
1 |
$45,332.57 |
0.00% |
11.15% |
40.00% |
601 |
0.00% |
0.00% |
0.00% |
85.01 to 90.00% |
11 |
$988,220.94 |
0.06% |
10.75% |
89.58% |
671 |
63.48% |
0.00% |
0.00% |
90.01 to 95.00% |
51 |
$3,541,599.47 |
0.22% |
11.17% |
94.63% |
645 |
76.52% |
0.00% |
0.00% |
95.01 to 100.00% |
1139 |
$86,495,195.74 |
5.43% |
11.05% |
99.96% |
663 |
50.33% |
0.00% |
0.00% |
Subtotal (Second Lien): |
1202 |
$91,070,348.72 |
5.71% |
11.05% |
99.61% |
662 |
51.47% |
0.00% |
0.00% |
Total |
6,723 |
$1,593,665,287.05 |
100.00% |
8.142% |
81.29% |
635 |
62.50% |
75.10% |
10.35% |
**Original LTV for all first lien loans and combined original LTV for all second lien loans, in each case adjusted for MI
Original Term (months) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
120 |
1 |
$460,387.21 |
0.03% |
6.950% |
85.00% |
752 |
0.00% |
0.00% |
100.00% |
180 |
43 |
$5,628,689.85 |
0.35% |
7.743% |
73.07% |
642 |
93.28% |
0.00% |
4.28% |
240 |
24 |
$3,587,095.04 |
0.23% |
7.615% |
65.48% |
641 |
60.76% |
0.00% |
10.73% |
360 |
6,418 |
$1,516,648,347.95 |
95.17% |
8.150% |
81.36% |
635 |
62.59% |
75.37% |
10.28% |
480 |
237 |
$67,340,767.00 |
4.23% |
8.019% |
81.33% |
641 |
58.38% |
79.88% |
11.80% |
Total |
6,723 |
$1,593,665,287.05 |
100.00% |
8.142% |
81.29% |
635 |
62.50% |
75.10% |
10.35% |
Stated Remaining Term (months) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
61—120 |
1 |
$460,387.21 |
0.03% |
6.950% |
85.00% |
752 |
0.00% |
0.00% |
100.00% |
121—180 |
43 |
$5,628,689.85 |
0.35% |
7.743% |
73.07% |
642 |
93.28% |
0.00% |
4.28% |
181—240 |
24 |
$3,587,095.04 |
0.23% |
7.615% |
65.48% |
641 |
60.76% |
0.00% |
10.73% |
301—360 |
6,418 |
$1,516,648,347.95 |
95.17% |
8.150% |
81.36% |
635 |
62.59% |
75.37% |
10.28% |
>= 361 |
237 |
$67,340,767.00 |
4.23% |
8.019% |
81.33% |
641 |
58.38% |
79.88% |
11.80% |
Total |
6,723 |
$1,593,665,287.05 |
100.00% |
8.142% |
81.29% |
635 |
62.50% |
75.10% |
10.35% |
Debt Ratio (%) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
0.01—20.00 |
339 |
$73,159,331.42 |
4.59% |
8.329% |
81.58% |
647 |
75.65% |
71.81% |
11.07% |
20.01—25.00 |
273 |
$56,181,550.24 |
3.53% |
8.365% |
80.57% |
644 |
62.23% |
74.31% |
7.60% |
25.01—30.00 |
406 |
$79,797,805.84 |
5.01% |
8.286% |
79.13% |
629 |
60.80% |
75.37% |
11.82% |
30.01—35.00 |
615 |
$126,814,596.46 |
7.96% |
8.182% |
80.04% |
638 |
63.39% |
70.69% |
12.11% |
35.01—40.00 |
888 |
$201,546,865.88 |
12.65% |
8.098% |
80.27% |
638 |
58.16% |
76.76% |
11.34% |
40.01—45.00 |
1,413 |
$327,150,418.28 |
20.53% |
8.175% |
81.77% |
641 |
55.08% |
76.46% |
9.59% |
45.01—50.00 |
1,893 |
$455,975,201.17 |
28.61% |
8.189% |
82.83% |
641 |
61.01% |
73.49% |
9.44% |
50.01—55.00 |
828 |
$249,804,033.14 |
15.67% |
7.892% |
80.17% |
613 |
73.70% |
76.86% |
11.23% |
55.01—60.00 |
66 |
$21,688,274.23 |
1.36% |
8.003% |
80.62% |
604 |
71.77% |
91.49% |
11.29% |
>= 60.01 |
2 |
$1,547,210.39 |
0.10% |
7.405% |
78.89% |
585 |
100.00% |
64.50% |
0.00% |
Total |
6,723 |
$1,593,665,287.05 |
100.00% |
8.142% |
81.29% |
635 |
62.50% |
75.10% |
10.35% |
Product |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
ARM—2 Yr/6 Mth |
1,204 |
$246,295,530.76 |
15.45% |
8.834% |
80.58% |
606 |
56.84% |
100.00% |
6.30% |
ARM—2 Yr/6 Mth 40 Yr |
123 |
$35,680,443.53 |
2.24% |
8.403% |
82.11% |
636 |
46.42% |
100.00% |
7.28% |
ARM—2 Yr/6 Mth IO |
293 |
$111,780,916.54 |
7.01% |
7.541% |
80.82% |
662 |
62.04% |
100.00% |
0.00% |
ARM—3 Yr/6 Mth |
444 |
$95,011,137.65 |
5.96% |
8.458% |
78.97% |
615 |
60.56% |
100.00% |
9.28% |
ARM—3 Yr/6 Mth 40 Yr |
44 |
$12,103,620.46 |
0.76% |
8.326% |
84.86% |
630 |
61.08% |
100.00% |
17.03% |
ARM—3 Yr/6 Mth IO |
62 |
$22,656,603.54 |
1.42% |
7.093% |
79.16% |
656 |
79.86% |
100.00% |
0.00% |
ARM—5 Yr/6 Mth |
116 |
$26,685,953.92 |
1.67% |
7.659% |
77.79% |
639 |
75.06% |
100.00% |
11.13% |
ARM—5 Yr/6 Mth 40 Yr |
22 |
$6,004,560.41 |
0.38% |
7.377% |
78.78% |
649 |
71.05% |
100.00% |
10.81% |
ARM—5 Yr/6 Mth IO |
106 |
$42,556,336.56 |
2.67% |
6.980% |
78.67% |
679 |
78.04% |
100.00% |
18.02% |
Balloon—2 Yr/6 Mnth |
1,302 |
$453,598,987.42 |
28.46% |
8.106% |
82.01% |
628 |
53.44% |
100.00% |
7.09% |
Balloon—3 Yr/6 Mnth |
291 |
$95,227,153.73 |
5.98% |
7.893% |
82.56% |
642 |
59.72% |
100.00% |
18.55% |
Balloon—30 Year |
215 |
$60,067,285.08 |
3.77% |
7.336% |
80.20% |
647 |
84.98% |
0.00% |
30.16% |
Balloon—5 Yr/6 Mnth |
145 |
$49,227,590.83 |
3.09% |
7.213% |
79.85% |
647 |
72.55% |
100.00% |
19.43% |
Fixed—10 Year |
1 |
$460,387.21 |
0.03% |
6.950% |
85.00% |
752 |
0.00% |
0.00% |
100.00% |
Fixed—15 Year |
43 |
$5,628,689.85 |
0.35% |
7.743% |
73.07% |
642 |
93.28% |
0.00% |
4.28% |
Fixed—20 Year |
24 |
$3,587,095.04 |
0.23% |
7.615% |
65.48% |
641 |
60.76% |
0.00% |
10.73% |
Fixed—30 Year |
2,240 |
$313,540,851.92 |
19.67% |
8.459% |
82.85% |
650 |
71.77% |
0.00% |
13.83% |
Fixed—40 Year |
48 |
$13,552,142.60 |
0.85% |
7.017% |
77.25% |
661 |
81.84% |
0.00% |
19.47% |
Total |
6,723 |
$1,593,665,287.05 |
100.00% |
8.142% |
81.29% |
635 |
62.50% |
75.10% |
10.35% |
Interest Only |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
Interest Ony |
461 |
$176,993,856.64 |
11.11% |
7.349% |
80.09% |
666 |
68.17% |
100.00% |
4.33% |
Not Interest Only |
6,262 |
$1,416,671,430.41 |
88.89% |
8.241% |
81.44% |
631 |
61.79% |
71.99% |
11.10% |
Total |
6,723 |
$1,593,665,287.05 |
100.00% |
8.142% |
81.29% |
635 |
62.50% |
75.10% |
10.35% |
Interest Only Term (months) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
N/A |
6,262 |
$1,416,671,430.41 |
88.89% |
8.241% |
81.44% |
631 |
61.79% |
71.99% |
11.10% |
24 |
293 |
$111,780,916.54 |
7.01% |
7.541% |
80.82% |
662 |
62.04% |
100.00% |
0.00% |
36 |
62 |
$22,656,603.54 |
1.42% |
7.093% |
79.16% |
656 |
79.86% |
100.00% |
0.00% |
60 |
106 |
$42,556,336.56 |
2.67% |
6.980% |
78.67% |
679 |
78.04% |
100.00% |
18.02% |
Total |
6,723 |
$1,593,665,287.05 |
100.00% |
8.142% |
81.29% |
635 |
62.50% |
75.10% |
10.35% |
Prepayment Penalty Term (months) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
N/A |
1,499 |
$305,008,256.96 |
19.14% |
8.900% |
82.25% |
631 |
53.88% |
76.95% |
6.71% |
12 |
479 |
$146,317,630.61 |
9.18% |
8.329% |
81.09% |
640 |
62.09% |
88.52% |
9.49% |
24 |
2,400 |
$574,778,957.62 |
36.07% |
8.315% |
82.38% |
628 |
58.83% |
91.32% |
6.49% |
36 |
2,345 |
$567,560,441.86 |
35.61% |
7.510% |
79.73% |
644 |
70.95% |
54.22% |
16.43% |
Total |
6,723 |
$1,593,665,287.05 |
100.00% |
8.142% |
81.29% |
635 |
62.50% |
75.10% |
10.35% |
Lien Position |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
First Lien |
5,521 |
$1,502,594,938.33 |
94.29% |
7.965% |
80.18% |
634 |
63.17% |
79.65% |
10.97% |
Second Lien |
1,202 |
$91,070,348.72 |
5.71% |
11.051% |
99.61% |
662 |
51.47% |
0.00% |
0.00% |
Total |
6,723 |
$1,593,665,287.05 |
100.00% |
8.142% |
81.29% |
635 |
62.50% |
75.10% |
10.35% |
Documentation Type |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
Full |
4,303 |
$996,010,883.93 |
62.50% |
7.845% |
81.36% |
626 |
100.00% |
70.42% |
13.44% |
Limited |
353 |
$79,846,187.02 |
5.01% |
8.228% |
83.11% |
631 |
0.00% |
81.04% |
5.61% |
Stated |
2,067 |
$517,808,216.10 |
32.49% |
8.698% |
80.88% |
654 |
0.00% |
83.18% |
5.14% |
Total |
6,723 |
$1,593,665,287.05 |
100.00% |
8.142% |
81.29% |
635 |
62.50% |
75.10% |
10.35% |
Loan Purpose |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
Cash-Out Refi |
3,228 |
$888,511,369.03 |
55.75% |
7.915% |
79.00% |
621 |
66.50% |
73.95% |
13.30% |
Purchase |
2,543 |
$481,628,988.92 |
30.22% |
8.619% |
84.85% |
658 |
49.03% |
80.55% |
4.14% |
Rate/Term Refi |
952 |
$223,524,929.10 |
14.03% |
8.015% |
82.73% |
640 |
75.60% |
67.92% |
11.97% |
Total |
6,723 |
$1,593,665,287.05 |
100.00% |
8.142% |
81.29% |
635 |
62.50% |
75.10% |
10.35% |
Property Type |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
Condominium |
508 |
$109,391,777.21 |
6.86% |
8.210% |
82.45% |
649 |
53.79% |
79.21% |
9.94% |
Planned Unit Developement |
806 |
$205,979,301.56 |
12.92% |
8.144% |
82.22% |
634 |
67.57% |
76.97% |
11.16% |
Single Family |
4,951 |
$1,155,134,362.60 |
72.48% |
8.130% |
81.28% |
633 |
63.60% |
74.14% |
10.39% |
Townhouse |
21 |
$2,616,187.21 |
0.16% |
8.667% |
80.61% |
630 |
53.96% |
77.09% |
15.33% |
Two to Four Family |
437 |
$120,543,658.47 |
7.56% |
8.173% |
78.76% |
650 |
51.34% |
77.35% |
8.80% |
Total |
6,723 |
$1,593,665,287.05 |
100.00% |
8.142% |
81.29% |
635 |
62.50% |
75.10% |
10.35% |
Occupancy Type |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
Investor |
750 |
$125,139,174.16 |
7.85% |
9.261% |
83.82% |
667 |
39.41% |
88.78% |
9.09% |
Owner-Occupied |
5,889 |
$1,444,527,921.60 |
90.64% |
8.042% |
81.06% |
632 |
64.78% |
73.67% |
10.31% |
Second Home |
84 |
$23,998,191.29 |
1.51% |
8.307% |
82.11% |
638 |
45.85% |
89.96% |
19.15% |
Total |
6,723 |
$1,593,665,287.05 |
100.00% |
8.142% |
81.29% |
635 |
62.50% |
75.10% |
10.35% |
Loan Type |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
Adj Rate Mortgage |
4,152 |
$1,196,828,835.35 |
75.10% |
8.116% |
81.07% |
631 |
58.61% |
100.00% |
8.33% |
Fixed Rate Mortgage |
2,571 |
$396,836,451.70 |
24.90% |
8.220% |
81.97% |
649 |
74.24% |
0.00% |
16.43% |
Total |
6,723 |
$1,593,665,287.05 |
100.00% |
8.142% |
81.29% |
635 |
62.50% |
75.10% |
10.35% |
Gross Margin (%) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
<= 4.999 |
3,453 |
$1,006,601,879.78 |
84.11% |
8.007% |
81.59% |
639 |
56.47% |
100.00% |
9.54% |
5.000—5.999 |
516 |
$145,997,524.02 |
12.20% |
8.577% |
79.86% |
593 |
68.08% |
100.00% |
2.52% |
6.000—6.999 |
172 |
$41,183,584.19 |
3.44% |
9.006% |
73.11% |
557 |
75.62% |
100.00% |
0.00% |
>= 7.000 |
11 |
$3,045,847.36 |
0.25% |
9.800% |
75.31% |
553 |
80.31% |
100.00% |
0.00% |
Total |
4,152 |
$1,196,828,835.35 |
100.00% |
8.116% |
81.07% |
631 |
58.61% |
100.00% |
8.33% |
Minimum Interest Rate (%) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
5.000—5.499 |
2 |
$855,200.00 |
0.07% |
5.400% |
80.00% |
746 |
100.00% |
100.00% |
0.00% |
5.500—5.999 |
85 |
$29,300,123.94 |
2.45% |
5.791% |
75.99% |
683 |
94.55% |
100.00% |
17.12% |
6.000—6.499 |
155 |
$55,841,297.53 |
4.67% |
6.301% |
76.79% |
658 |
85.75% |
100.00% |
17.23% |
6.500—6.999 |
362 |
$122,334,136.05 |
10.22% |
6.760% |
79.40% |
650 |
80.39% |
100.00% |
15.56% |
7.000—7.499 |
552 |
$177,279,719.38 |
14.81% |
7.261% |
79.69% |
643 |
67.61% |
100.00% |
12.68% |
7.500—7.999 |
704 |
$214,857,465.63 |
17.95% |
7.743% |
79.89% |
637 |
57.65% |
100.00% |
8.19% |
8.000—8.499 |
550 |
$170,754,241.05 |
14.27% |
8.243% |
81.43% |
630 |
51.22% |
100.00% |
6.75% |
8.500—8.999 |
568 |
$173,139,851.34 |
14.47% |
8.739% |
81.73% |
624 |
47.12% |
100.00% |
5.16% |
9.000—9.499 |
342 |
$83,433,515.62 |
6.97% |
9.249% |
82.97% |
606 |
43.72% |
100.00% |
3.49% |
9.500—9.999 |
361 |
$85,042,043.19 |
7.11% |
9.729% |
84.91% |
601 |
47.17% |
100.00% |
2.45% |
10.000—10.499 |
180 |
$39,621,338.21 |
3.31% |
10.213% |
86.96% |
595 |
55.92% |
100.00% |
0.93% |
10.500—10.999 |
179 |
$29,808,575.98 |
2.49% |
10.705% |
84.72% |
591 |
36.79% |
100.00% |
0.41% |
11.000—11.499 |
67 |
$10,334,922.97 |
0.86% |
11.173% |
86.87% |
587 |
23.62% |
100.00% |
0.00% |
11.500—11.999 |
30 |
$3,319,742.31 |
0.28% |
11.721% |
87.71% |
583 |
46.76% |
100.00% |
0.00% |
12.000—12.499 |
11 |
$684,057.28 |
0.06% |
12.183% |
85.03% |
624 |
23.61% |
100.00% |
0.00% |
12.500—12.999 |
3 |
$148,820.46 |
0.01% |
12.603% |
83.90% |
599 |
0.00% |
100.00% |
0.00% |
13.000—13.499 |
1 |
$73,784.41 |
0.01% |
13.350% |
90.00% |
632 |
0.00% |
100.00% |
0.00% |
Total |
4,152 |
$1,196,828,835.35 |
100.00% |
8.116% |
81.07% |
631 |
58.61% |
100.00% |
8.33% |
Maximum Interest Rate (%) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
11.000—11.499 |
2 |
$855,200.00 |
0.07% |
5.400% |
80.00% |
746 |
100.00% |
100.00% |
0.00% |
11.500—11.999 |
85 |
$29,300,123.94 |
2.45% |
5.791% |
75.99% |
683 |
94.55% |
100.00% |
17.12% |
12.000—12.499 |
155 |
$55,841,297.53 |
4.67% |
6.301% |
76.79% |
658 |
85.75% |
100.00% |
17.23% |
12.500—12.999 |
362 |
$122,334,136.05 |
10.22% |
6.760% |
79.40% |
650 |
80.39% |
100.00% |
15.56% |
13.000—13.499 |
552 |
$177,279,719.38 |
14.81% |
7.261% |
79.69% |
643 |
67.61% |
100.00% |
12.68% |
13.500—13.999 |
704 |
$214,857,465.63 |
17.95% |
7.743% |
79.89% |
637 |
57.65% |
100.00% |
8.19% |
14.000—14.499 |
550 |
$170,754,241.05 |
14.27% |
8.243% |
81.43% |
630 |
51.22% |
100.00% |
6.75% |
14.500—14.999 |
568 |
$173,139,851.34 |
14.47% |
8.739% |
81.73% |
624 |
47.12% |
100.00% |
5.16% |
15.000—15.499 |
342 |
$83,433,515.62 |
6.97% |
9.249% |
82.97% |
606 |
43.72% |
100.00% |
3.49% |
15.500—15.999 |
361 |
$85,042,043.19 |
7.11% |
9.729% |
84.91% |
601 |
47.17% |
100.00% |
2.45% |
16.000—16.499 |
180 |
$39,621,338.21 |
3.31% |
10.213% |
86.96% |
595 |
55.92% |
100.00% |
0.93% |
16.500—16.999 |
179 |
$29,808,575.98 |
2.49% |
10.705% |
84.72% |
591 |
36.79% |
100.00% |
0.41% |
17.000—17.499 |
67 |
$10,334,922.97 |
0.86% |
11.173% |
86.87% |
587 |
23.62% |
100.00% |
0.00% |
17.500—17.999 |
30 |
$3,319,742.31 |
0.28% |
11.721% |
87.71% |
583 |
46.76% |
100.00% |
0.00% |
18.000—18.499 |
11 |
$684,057.28 |
0.06% |
12.183% |
85.03% |
624 |
23.61% |
100.00% |
0.00% |
18.500—18.999 |
3 |
$148,820.46 |
0.01% |
12.603% |
83.90% |
599 |
0.00% |
100.00% |
0.00% |
19.000—19.499 |
1 |
$73,784.41 |
0.01% |
13.350% |
90.00% |
632 |
0.00% |
100.00% |
0.00% |
Total |
4,152 |
$1,196,828,835.35 |
100.00% |
8.116% |
81.07% |
631 |
58.61% |
100.00% |
8.33% |
Initial Periodic Cap (%) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
1.000 |
293 |
$111,780,916.54 |
9.34% |
7.541% |
80.82% |
662 |
62.04% |
100.00% |
0.00% |
2.000 |
2,629 |
$735,574,961.71 |
61.46% |
8.364% |
81.54% |
621 |
54.24% |
100.00% |
6.84% |
3.000 |
1,230 |
$349,472,957.10 |
29.20% |
7.776% |
80.16% |
640 |
66.71% |
100.00% |
14.14% |
Total |
4,152 |
$1,196,828,835.35 |
100.00% |
8.116% |
81.07% |
631 |
58.61% |
100.00% |
8.33% |
Subsequent Periodic Cap (%) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
1.000 |
4,152 |
$1,196,828,835.35 |
100.00% |
8.116% |
81.07% |
631 |
58.61% |
100.00% |
8.33% |
Total |
4,152 |
$1,196,828,835.35 |
100.00% |
8.116% |
81.07% |
631 |
58.61% |
100.00% |
8.33% |
Next Rate Change Date |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
6/1/2008 |
1 |
$36,909.32 |
0.00% |
10.900% |
65.00% |
506 |
0.00% |
100.00% |
0.00% |
7/1/2008 |
1 |
$339,392.51 |
0.03% |
9.350% |
85.00% |
594 |
0.00% |
100.00% |
0.00% |
8/1/2008 |
1 |
$119,419.51 |
0.01% |
10.750% |
85.00% |
535 |
100.00% |
100.00% |
0.00% |
9/1/2008 |
3 |
$1,447,629.24 |
0.12% |
8.774% |
80.00% |
630 |
45.79% |
100.00% |
0.00% |
10/1/2008 |
20 |
$4,970,312.32 |
0.42% |
8.430% |
81.79% |
621 |
76.30% |
100.00% |
0.00% |
11/1/2008 |
33 |
$10,436,010.18 |
0.87% |
8.182% |
80.63% |
644 |
68.24% |
100.00% |
1.07% |
12/1/2008 |
67 |
$15,257,361.86 |
1.27% |
8.365% |
83.54% |
640 |
47.78% |
100.00% |
10.45% |
1/1/2009 |
1,123 |
$355,302,225.62 |
29.69% |
8.174% |
81.83% |
630 |
52.24% |
100.00% |
5.32% |
2/1/2009 |
1,497 |
$411,562,336.34 |
34.39% |
8.284% |
81.03% |
623 |
56.80% |
100.00% |
6.48% |
3/1/2009 |
176 |
$47,884,281.35 |
4.00% |
8.545% |
81.58% |
622 |
62.43% |
100.00% |
6.29% |
9/1/2009 |
1 |
$93,298.63 |
0.01% |
7.825% |
100.00% |
615 |
100.00% |
100.00% |
0.00% |
10/1/2009 |
4 |
$1,034,877.63 |
0.09% |
7.995% |
80.81% |
626 |
57.55% |
100.00% |
0.00% |
11/1/2009 |
12 |
$3,134,170.20 |
0.26% |
8.339% |
80.96% |
617 |
76.42% |
100.00% |
24.91% |
12/1/2009 |
12 |
$3,114,338.90 |
0.26% |
8.475% |
88.09% |
654 |
63.48% |
100.00% |
43.30% |
1/1/2010 |
332 |
$95,274,303.15 |
7.96% |
7.981% |
81.59% |
632 |
66.04% |
100.00% |
10.76% |
2/1/2010 |
431 |
$110,089,387.05 |
9.20% |
8.121% |
80.10% |
632 |
58.36% |
100.00% |
13.60% |
3/1/2010 |
49 |
$12,258,139.82 |
1.02% |
8.222% |
79.40% |
623 |
62.53% |
100.00% |
9.72% |
8/1/2011 |
3 |
$1,419,122.30 |
0.12% |
9.284% |
80.38% |
656 |
23.96% |
100.00% |
0.00% |
9/1/2011 |
2 |
$463,261.72 |
0.04% |
7.179% |
76.40% |
678 |
100.00% |
100.00% |
0.00% |
10/1/2011 |
2 |
$475,234.65 |
0.04% |
8.896% |
81.56% |
637 |
0.00% |
100.00% |
0.00% |
11/1/2011 |
8 |
$2,162,459.99 |
0.18% |
7.758% |
75.62% |
673 |
51.42% |
100.00% |
0.00% |
12/1/2011 |
9 |
$3,821,630.69 |
0.32% |
7.277% |
80.96% |
652 |
85.08% |
100.00% |
0.00% |
1/1/2012 |
149 |
$48,343,218.66 |
4.04% |
7.199% |
78.94% |
658 |
79.53% |
100.00% |
16.22% |
2/1/2012 |
202 |
$63,447,289.75 |
5.30% |
7.213% |
79.31% |
655 |
72.37% |
100.00% |
19.46% |
3/1/2012 |
14 |
$4,342,223.96 |
0.36% |
6.880% |
73.26% |
648 |
85.04% |
100.00% |
15.37% |
Total |
4,152 |
$1,196,828,835.35 |
100.00% |
8.116% |
81.07% |
631 |
58.61% |
100.00% |
8.33% |
Location |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
Alabama |
51 |
$8,692,701.49 |
0.55% |
8.521% |
84.23% |
622 |
87.81% |
68.69% |
11.13% |
Alaska |
31 |
$7,362,898.84 |
0.46% |
7.551% |
79.95% |
631 |
78.24% |
58.03% |
17.31% |
Arizona |
113 |
$25,231,937.84 |
1.58% |
8.308% |
79.28% |
621 |
69.43% |
75.79% |
8.70% |
Arkansas |
10 |
$1,631,813.38 |
0.10% |
8.445% |
80.34% |
610 |
100.00% |
43.28% |
0.00% |
California |
2,026 |
$635,963,510.09 |
39.91% |
8.015% |
81.02% |
645 |
53.48% |
81.09% |
4.64% |
Colorado |
97 |
$23,144,994.09 |
1.45% |
8.228% |
82.66% |
627 |
67.84% |
75.81% |
12.55% |
Connecticut |
66 |
$15,993,389.83 |
1.00% |
8.195% |
82.00% |
627 |
75.75% |
72.33% |
8.12% |
Delaware |
9 |
$2,151,447.85 |
0.13% |
8.345% |
84.60% |
585 |
90.56% |
74.42% |
11.91% |
District of Columbia |
52 |
$16,168,883.97 |
1.01% |
7.847% |
80.54% |
639 |
63.94% |
62.12% |
15.10% |
Florida |
572 |
$119,411,907.77 |
7.49% |
8.369% |
81.02% |
629 |
55.29% |
73.93% |
7.60% |
Georgia |
120 |
$25,185,380.53 |
1.58% |
8.496% |
85.58% |
621 |
69.84% |
75.24% |
18.22% |
Hawaii |
32 |
$11,894,651.79 |
0.75% |
7.433% |
76.08% |
651 |
81.22% |
54.41% |
15.17% |
Idaho |
38 |
$7,121,684.26 |
0.45% |
8.339% |
83.55% |
608 |
85.98% |
78.11% |
22.63% |
Illinois |
240 |
$48,275,712.71 |
3.03% |
8.515% |
82.54% |
638 |
65.08% |
78.00% |
16.45% |
Indiana |
86 |
$7,565,302.41 |
0.47% |
9.827% |
88.13% |
645 |
51.71% |
70.79% |
24.95% |
Iowa |
22 |
$2,297,403.95 |
0.14% |
7.928% |
83.31% |
618 |
89.89% |
72.91% |
27.83% |
Kansas |
10 |
$751,055.73 |
0.05% |
9.247% |
87.37% |
611 |
100.00% |
93.30% |
9.16% |
Kentucky |
22 |
$4,443,092.31 |
0.28% |
7.899% |
83.26% |
631 |
89.15% |
89.84% |
27.41% |
Louisiana |
23 |
$3,655,058.12 |
0.23% |
8.696% |
81.98% |
607 |
86.18% |
47.35% |
19.72% |
Maine |
36 |
$6,667,445.31 |
0.42% |
7.790% |
82.61% |
604 |
78.31% |
55.17% |
28.47% |
Maryland |
356 |
$88,909,283.18 |
5.58% |
7.587% |
81.83% |
634 |
71.77% |
72.39% |
23.71% |
Massachusetts |
95 |
$27,411,587.54 |
1.72% |
8.627% |
77.45% |
612 |
62.78% |
81.71% |
3.12% |
Michigan |
171 |
$21,042,071.85 |
1.32% |
9.225% |
84.54% |
630 |
62.85% |
78.30% |
12.99% |
Minnesota |
54 |
$9,844,523.44 |
0.62% |
8.626% |
84.65% |
636 |
62.14% |
78.67% |
10.78% |
Missouri |
100 |
$9,763,627.89 |
0.61% |
9.034% |
85.64% |
623 |
74.20% |
70.17% |
21.05% |
Montana |
11 |
$1,677,702.50 |
0.11% |
8.634% |
80.61% |
610 |
49.24% |
82.06% |
0.00% |
Nebraska |
35 |
$4,255,899.83 |
0.27% |
8.784% |
87.34% |
612 |
79.62% |
70.74% |
22.89% |
Nevada |
30 |
$9,258,203.65 |
0.58% |
7.781% |
80.67% |
629 |
83.26% |
74.47% |
5.50% |
New Hampshire |
10 |
$2,251,511.14 |
0.14% |
7.595% |
83.67% |
631 |
78.01% |
49.63% |
20.97% |
New Jersey |
229 |
$62,063,978.72 |
3.89% |
8.581% |
81.18% |
626 |
58.41% |
82.29% |
9.30% |
New Mexico |
26 |
$3,319,785.92 |
0.21% |
8.621% |
82.80% |
642 |
62.77% |
68.96% |
13.61% |
New York |
257 |
$85,306,179.25 |
5.35% |
7.377% |
78.45% |
640 |
73.43% |
50.40% |
23.66% |
North Carolina |
61 |
$11,072,660.34 |
0.69% |
8.610% |
85.38% |
615 |
82.52% |
78.55% |
26.66% |
Ohio |
55 |
$7,572,183.80 |
0.48% |
8.360% |
84.95% |
625 |
90.41% |
56.52% |
21.07% |
Oklahoma |
17 |
$1,510,079.50 |
0.09% |
9.292% |
87.48% |
626 |
66.76% |
47.03% |
18.88% |
Oregon |
151 |
$33,106,303.41 |
2.08% |
8.003% |
82.81% |
637 |
74.43% |
79.17% |
17.47% |
Pennsylvania |
160 |
$23,095,074.78 |
1.45% |
8.520% |
81.26% |
617 |
68.97% |
64.78% |
21.01% |
Rhode Island |
13 |
$4,331,176.16 |
0.27% |
8.012% |
81.43% |
618 |
70.29% |
57.30% |
12.81% |
South Carolina |
10 |
$1,401,343.49 |
0.09% |
9.043% |
85.48% |
606 |
69.26% |
64.15% |
34.12% |
South Dakota |
1 |
$137,439.97 |
0.01% |
10.300% |
100.00% |
584 |
100.00% |
100.00% |
0.00% |
Tennessee |
69 |
$8,101,230.25 |
0.51% |
8.959% |
86.66% |
624 |
59.94% |
64.46% |
10.82% |
Texas |
600 |
$80,972,030.44 |
5.08% |
8.630% |
80.91% |
632 |
63.97% |
55.31% |
3.59% |
Utah |
21 |
$4,234,793.48 |
0.27% |
8.670% |
82.17% |
602 |
62.33% |
75.06% |
11.43% |
Vermont |
10 |
$3,264,830.71 |
0.20% |
7.497% |
79.08% |
658 |
66.79% |
77.62% |
0.00% |
Virginia |
104 |
$27,576,180.88 |
1.73% |
8.230% |
81.08% |
625 |
62.79% |
82.13% |
7.62% |
Washington |
331 |
$77,010,628.86 |
4.83% |
8.061% |
81.10% |
622 |
78.93% |
82.45% |
14.09% |
West Virginia |
7 |
$786,257.14 |
0.05% |
7.738% |
77.43% |
636 |
72.56% |
27.44% |
28.80% |
Wisconsin |
81 |
$10,436,918.19 |
0.65% |
8.222% |
82.22% |
610 |
85.28% |
85.52% |
24.31% |
Wyoming |
2 |
$341,528.47 |
0.02% |
7.923% |
79.49% |
597 |
100.00% |
73.10% |
0.00% |
Total |
6,723 |
$1,593,665,287.05 |
100.00% |
8.142% |
81.29% |
635 |
62.50% |
75.10% |
10.35% |
Mortgage Loan Statistics—Group I
|
|
|
Minimum |
Maximum |
Scheduled Principal Balance |
$606,476,772 |
|
$9,987 |
$698,567 |
Average Scheduled Principle Balance |
$191,620 |
|
|
|
Number of Mortgage Loans |
3,165 |
|
|
|
|
|
|
|
|
Weighted Average Gross Coupon |
8.022% |
|
5.500% |
12.800% |
Weighted Average FICO Score |
618 |
|
500 |
811 |
Weighted Average Original LTV* |
79.59% |
|
8.00% |
100.00% |
Weighted Average Original LTV with MI** |
75.62% |
|
8.00% |
100.00% |
Weighted Average Combined Original LTV*** |
81.82% |
|
8.00% |
100.00% |
Weighted Average DTI |
42.98% |
|
20.04% |
58.82% |
|
|
|
|
|
Weighted Average Original Term |
365 months |
|
180 months |
480 months |
Weighted Average Stated Remaining Term |
362 months |
|
176 months |
479 months |
Weighted Average Seasoning |
2 months |
|
1 month |
10 months |
|
|
|
|
|
Weighted Average Gross Margin |
5.239% |
|
4.990% |
7.250% |
Weighted Average Minimum Interest Rate |
8.108% |
|
5.500% |
12.600% |
Weighted Average Maximum Interest Rate |
14.108% |
|
11.500% |
18.600% |
Weighted Average Initial Rate Cap |
2.310% |
|
1.000% |
3.000% |
Weighted Average Subsequent Rate Cap |
1.000% |
|
1.000% |
1.000% |
Weighted Average Months to Roll |
28 months |
|
14 months |
59 months |
|
|
|
|
|
Maturity Date |
|
|
December 1,2021 |
March 1,2047 |
Adj Rate Mortgage |
75.86% |
|
Full |
70.45% |
Fixed Rate Mortgage |
24.14% |
|
Limited |
3.82% |
|
|
|
Stated |
25.73% |
ARM—2 Yr/6 Mth |
20.00% |
|
|
|
ARM—2 Yr/6 Mth 40 Yr |
2.25% |
|
Cash-Out Refi |
74.96% |
ARM—2 Yr/6 Mth IO |
1.79% |
|
Purchase |
7.74% |
ARM—3 Yr/6 Mth |
8.68% |
|
Rate/Term Refi |
17.30% |
ARM—3 Yr/6 Mth 40 Yr |
1.13% |
|
|
|
ARM—3 Yr/6 Mth IO |
0.43% |
|
Condominium |
6.27% |
ARM—5 Yr/6 Mth |
2.52% |
|
Planned Unit Developement |
11.00% |
ARM—5 Yr/6 Mth 40 Yr |
0.47% |
|
Single Family |
74.26% |
ARM—5 Yr/6 Mth IO |
1.61% |
|
Townhouse |
0.29% |
Balloon—2 Yr/6 Mnth |
26.53% |
|
Two to Four Family |
8.18% |
Balloon—3 Yr/6 Mnth |
6.53% |
|
|
|
Balloon—30 Year |
4.23% |
|
Investor |
6.60% |
Balloon—5 Yr/6 Mnth |
3.91% |
|
Owner-Occupied |
92.05% |
Fixed—15 Year |
0.53% |
|
Second Home |
1.34% |
Fixed—20 Year |
0.34% |
|
|
|
Fixed—30 Year |
17.96% |
|
First Lien |
98.12% |
Fixed—40 Year |
1.07% |
|
Second Lien |
1.88% |
|
|
|
|
|
Not Interest Only |
96.16% |
|
Top 5 Locations: |
|
Interest Only |
3.84% |
|
California |
25.55% |
|
|
|
Maryland |
8.58% |
Prepay Penalty: N/A |
18.97% |
|
Florida |
8.12% |
Prepay Penalty: 12 months |
6.98% |
|
Washington |
6.91% |
Prepay Penalty: 24 months |
34.86% |
|
New York |
5.28% |
Prepay Penalty: 36 months |
39.19% |
|
|
|
*Original LTV for all first lien loans and combined original LTV for all second lien loans |
**Original LTV for all first lien loans and combined original LTV for all second lien loans, in each case adjusted for MI |
***Combined LTV including simultaneous seconds for all first lien loans and combined original LTV for all second lien loans |
Current Balance ($) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
0.00—50000.00 |
280 |
$9,442,677.18 |
1.56% |
10.595% |
92.39% |
632 |
72.71% |
16.82% |
1.01% |
50000.00—100000.00 |
487 |
$38,360,837.49 |
6.33% |
8.953% |
79.95% |
620 |
75.25% |
56.47% |
8.95% |
100000.00—150000.00 |
537 |
$67,426,419.48 |
11.12% |
8.246% |
78.38% |
610 |
79.78% |
69.45% |
12.65% |
150000.00—200000.00 |
507 |
$89,099,068.16 |
14.69% |
8.093% |
77.16% |
611 |
74.93% |
74.61% |
9.19% |
200000.00—250000.00 |
420 |
$94,605,047.93 |
15.60% |
7.889% |
79.11% |
619 |
77.47% |
75.52% |
16.26% |
250000.00—300000.00 |
368 |
$100,888,300.57 |
16.64% |
7.886% |
79.64% |
616 |
70.47% |
82.89% |
13.81% |
300000.00—350000.00 |
256 |
$82,942,075.30 |
13.68% |
7.804% |
80.31% |
619 |
63.91% |
78.84% |
15.30% |
350000.00—400000.00 |
209 |
$78,397,951.15 |
12.93% |
7.745% |
80.81% |
625 |
62.05% |
82.30% |
16.68% |
400000.00—450000.00 |
68 |
$27,962,634.98 |
4.61% |
7.845% |
81.68% |
613 |
57.22% |
88.28% |
20.50% |
450000.00—500000.00 |
15 |
$7,103,035.07 |
1.17% |
7.300% |
79.35% |
667 |
53.13% |
80.44% |
26.35% |
500000.00—550000.00 |
8 |
$4,190,820.87 |
0.69% |
6.911% |
76.74% |
689 |
37.19% |
49.96% |
37.60% |
550000.00—600000.00 |
7 |
$4,099,155.36 |
0.68% |
7.703% |
79.66% |
670 |
57.78% |
100.00% |
0.00% |
600000.00—650000.00 |
2 |
$1,260,181.21 |
0.21% |
8.549% |
82.53% |
554 |
100.00% |
100.00% |
0.00% |
650000.00—700000.00 |
1 |
$698,567.11 |
0.12% |
7.950% |
80.00% |
622 |
0.00% |
100.00% |
0.00% |
Total |
3,165 |
$606,476,771.86 |
100.00% |
8.022% |
79.59% |
618 |
70.45% |
75.86% |
13.94% |
Mortgage Interest Rate (%) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
5.500—5.999 |
48 |
$12,376,230.30 |
2.04% |
5.770% |
73.93% |
668 |
92.84% |
99.40% |
15.13% |
6.000—6.499 |
185 |
$47,793,186.12 |
7.88% |
6.272% |
71.35% |
667 |
90.00% |
46.90% |
21.29% |
6.500—6.999 |
345 |
$81,456,801.59 |
13.43% |
6.750% |
75.88% |
641 |
82.01% |
60.22% |
24.97% |
7.000—7.499 |
410 |
$91,555,415.03 |
15.10% |
7.250% |
79.20% |
636 |
73.52% |
74.69% |
24.21% |
7.500—7.999 |
465 |
$98,049,585.23 |
16.17% |
7.734% |
79.33% |
621 |
71.99% |
81.79% |
16.52% |
8.000—8.499 |
351 |
$72,128,036.15 |
11.89% |
8.232% |
80.51% |
610 |
64.40% |
85.60% |
10.33% |
8.500—8.999 |
364 |
$72,301,631.92 |
11.92% |
8.736% |
81.10% |
599 |
63.52% |
85.61% |
6.91% |
9.000—9.499 |
236 |
$41,767,226.06 |
6.89% |
9.249% |
82.90% |
584 |
56.67% |
89.55% |
1.45% |
9.500—9.999 |
293 |
$44,253,021.75 |
7.30% |
9.747% |
83.92% |
578 |
58.71% |
84.26% |
0.85% |
10.000—10.499 |
131 |
$17,184,653.37 |
2.83% |
10.201% |
85.02% |
578 |
67.20% |
70.88% |
2.02% |
10.500—10.999 |
138 |
$16,780,280.76 |
2.77% |
10.705% |
84.60% |
570 |
55.89% |
76.68% |
0.00% |
11.000—11.499 |
128 |
$6,752,536.85 |
1.11% |
11.237% |
94.61% |
627 |
47.97% |
35.64% |
0.00% |
11.500—11.999 |
57 |
$3,321,216.87 |
0.55% |
11.697% |
92.04% |
599 |
52.75% |
43.54% |
0.00% |
12.000—12.499 |
12 |
$659,567.63 |
0.11% |
12.208% |
85.81% |
607 |
20.44% |
70.30% |
0.00% |
12.500—12.999 |
2 |
$97,382.23 |
0.02% |
12.707% |
75.34% |
542 |
0.00% |
46.63% |
0.00% |
Total |
3,165 |
$606,476,771.86 |
100.00% |
8.022% |
79.59% |
618 |
70.45% |
75.86% |
13.94% |
FICO |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
500—524 |
157 |
$28,456,953.45 |
4.69% |
9.573% |
73.86% |
513 |
78.96% |
84.80% |
0.00% |
525—549 |
212 |
$41,884,992.44 |
6.91% |
9.204% |
77.12% |
538 |
81.09% |
88.16% |
0.00% |
550—574 |
351 |
$70,339,710.65 |
11.60% |
8.428% |
77.50% |
563 |
82.84% |
85.45% |
0.00% |
575—599 |
370 |
$78,838,993.11 |
13.00% |
8.198% |
81.77% |
587 |
82.96% |
82.99% |
9.90% |
600—624 |
653 |
$113,256,700.02 |
18.67% |
7.935% |
80.30% |
612 |
71.82% |
75.21% |
15.58% |
625—649 |
574 |
$107,651,173.84 |
17.75% |
7.725% |
80.38% |
637 |
61.86% |
69.84% |
18.56% |
650—674 |
419 |
$77,848,213.62 |
12.84% |
7.648% |
81.52% |
661 |
59.81% |
71.19% |
23.11% |
675—699 |
214 |
$44,737,198.42 |
7.38% |
7.418% |
79.61% |
686 |
53.12% |
66.91% |
24.34% |
>= 700 |
215 |
$43,462,836.31 |
7.17% |
7.142% |
77.90% |
734 |
66.51% |
63.88% |
23.49% |
Total |
3,165 |
$606,476,771.86 |
100.00% |
8.022% |
79.59% |
618 |
70.45% |
75.86% |
13.94% |
Original Combined LTV (%)* |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
First Lien Loans: |
|
|
|
|
|
|
|
|
|
Less than 60.01% |
260 |
$46,262,768.77 |
7.63% |
7.39% |
49.41% |
624 |
65.38% |
58.22% |
0.00% |
60.01 to 70.00% |
309 |
$67,672,093.81 |
11.16% |
7.56% |
66.53% |
600 |
69.58% |
71.54% |
0.00% |
70.01 to 80.00% |
1206 |
$242,551,089.53 |
39.99% |
7.91% |
78.41% |
620 |
66.01% |
80.36% |
0.00% |
80.01 to 85.00% |
|
|
|
|
|
|
|
|
|
With MI: |
93 |
$21,862,479.52 |
3.60% |
7.06% |
84.53% |
648 |
81.22% |
63.31% |
100.00% |
Without MI: |
176 |
$38,270,702.31 |
6.31% |
8.84% |
84.70% |
585 |
59.24% |
88.38% |
0.00% |
85.01 to 90.00% |
|
|
|
|
|
|
|
|
|
With MI: |
261 |
$58,367,539.81 |
9.62% |
7.35% |
89.55% |
648 |
88.29% |
62.73% |
100.00% |
Without MI: |
374 |
$80,575,899.94 |
13.29% |
8.69% |
89.74% |
603 |
69.24% |
89.83% |
0.00% |
90.01 to 95.00% |
|
|
|
|
|
|
|
|
|
With MI: |
20 |
$4,288,038.79 |
0.71% |
7.34% |
94.41% |
678 |
100.00% |
41.91% |
100.00% |
Without MI: |
125 |
$27,515,065.06 |
4.54% |
8.96% |
94.74% |
610 |
84.84% |
90.60% |
0.00% |
95.01 to 100.00% |
|
|
|
|
|
|
|
|
|
With MI: |
0 |
$- |
0.00% |
0.00% |
0.00% |
0 |
0.00% |
0.00% |
0.00% |
Without MI: |
51 |
$7,732,462.08 |
1.27% |
9.19% |
99.77% |
636 |
80.32% |
83.24% |
0.00% |
Subtotal (First Lien): |
2875 |
$595,098,139.62 |
98.12% |
7.97% |
79.21% |
617 |
70.41% |
77.31% |
14.20% |
|
|
|
|
|
|
|
|
|
|
Second Lien Loans: |
|
|
|
|
|
|
|
|
|
80.01 to 85.00% |
0 |
$- |
0.00% |
0.00% |
0.00% |
0 |
0.00% |
0.00% |
0.00% |
85.01 to 90.00% |
2 |
$48,154.71 |
0.01% |
11.17% |
90.00% |
678 |
0.00% |
0.00% |
0.00% |
90.01 to 95.00% |
22 |
$778,996.78 |
0.13% |
11.14% |
94.64% |
654 |
57.65% |
0.00% |
0.00% |
95.01 to 100.00% |
266 |
$10,551,480.75 |
1.74% |
10.83% |
99.96% |
652 |
73.90% |
0.00% |
0.00% |
Subtotal (Second Lien): |
290 |
$11,378,632.24 |
1.88% |
10.85% |
99.55% |
652 |
72.48% |
0.00% |
0.00% |
Total |
3,165 |
$606,476,771.86 |
100.00% |
8.022% |
79.59% |
618 |
70.45% |
75.86% |
13.94% |
*Original LTV for all first lien loans and combined original LTV for all second lien loans
Original Effective Combined LTV (%)** |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
First Lien Loans: |
|
|
|
|
|
|
|
|
|
Less than 60.01% |
634 |
$130,780,826.89 |
21.56% |
7.31% |
74.67% |
641 |
79.39% |
60.55% |
64.63% |
60.01 to 70.00% |
309 |
$67,672,093.81 |
11.16% |
7.56% |
66.53% |
600 |
69.58% |
71.54% |
0.00% |
70.01 to 80.00% |
1206 |
$242,551,089.53 |
39.99% |
7.91% |
78.41% |
620 |
66.01% |
80.36% |
0.00% |
80.01 to 85.00% |
176 |
$38,270,702.31 |
6.31% |
8.84% |
84.70% |
585 |
59.24% |
88.38% |
0.00% |
85.01 to 90.00% |
374 |
$80,575,899.94 |
13.29% |
8.69% |
89.74% |
603 |
69.24% |
89.83% |
0.00% |
90.01 to 95.00% |
125 |
$27,515,065.06 |
4.54% |
8.96% |
94.74% |
610 |
84.84% |
90.60% |
0.00% |
95.01 to 100.00% |
51 |
$7,732,462.08 |
1.27% |
9.19% |
99.77% |
636 |
80.32% |
83.24% |
0.00% |
Subtotal (First Lien): |
2875 |
$595,098,139.62 |
98.12% |
7.97% |
79.21% |
618 |
70.41% |
77.31% |
14.20% |
|
|
|
|
|
|
|
|
|
|
Second Lien Loans: |
|
|
|
|
|
|
|
|
|
80.01 to 85.00% |
0 |
$- |
0.00% |
0.00% |
0.00% |
0 |
0.00% |
0.00% |
0.00% |
85.01 to 90.00% |
2 |
$48,154.71 |
0.01% |
11.17% |
90.00% |
678 |
0.00% |
0.00% |
0.00% |
90.01 to 95.00% |
22 |
$778,996.78 |
0.13% |
11.14% |
94.64% |
654 |
57.65% |
0.00% |
0.00% |
95.01 to 100.00% |
266 |
$10,551,480.75 |
1.74% |
10.83% |
99.96% |
652 |
73.90% |
0.00% |
0.00% |
Subtotal (Second Lien): |
290 |
$11,378,632.24 |
1.88% |
10.85% |
99.55% |
652 |
72.48% |
0.00% |
0.00% |
Total |
3,165 |
$606,476,771.86 |
100.00% |
8.022% |
79.59% |
618 |
70.45% |
75.86% |
13.94% |
**Original LTV for all first lien loans and combined original LTV for all second lien loans, in each case adjusted for MI
Original Term (months) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
180 |
24 |
$3,243,662.87 |
0.53% |
7.369% |
69.72% |
645 |
95.93% |
0.00% |
7.42% |
240 |
14 |
$2,066,581.44 |
0.34% |
7.224% |
56.89% |
626 |
69.84% |
0.00% |
0.00% |
360 |
2,992 |
$571,286,706.78 |
94.20% |
8.032% |
79.62% |
617 |
70.64% |
76.45% |
13.71% |
480 |
135 |
$29,879,820.77 |
4.93% |
7.953% |
81.78% |
632 |
64.13% |
78.19% |
19.96% |
Total |
3,165 |
$606,476,771.86 |
100.00% |
8.022% |
79.59% |
618 |
70.45% |
75.86% |
13.94% |
Stated Remaining Term (months) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
121—180 |
24 |
$3,243,662.87 |
0.53% |
7.369% |
69.72% |
645 |
95.93% |
0.00% |
7.42% |
181—240 |
14 |
$2,066,581.44 |
0.34% |
7.224% |
56.89% |
626 |
69.84% |
0.00% |
0.00% |
301—360 |
2,992 |
$571,286,706.78 |
94.20% |
8.032% |
79.62% |
617 |
70.64% |
76.45% |
13.71% |
>= 361 |
135 |
$29,879,820.77 |
4.93% |
7.953% |
81.78% |
632 |
64.13% |
78.19% |
19.96% |
Total |
3,165 |
$606,476,771.86 |
100.00% |
8.022% |
79.59% |
618 |
70.45% |
75.86% |
13.94% |
Debt Ratio (%) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
20.01—25.00 |
129 |
$20,080,078.90 |
3.31% |
8.180% |
78.13% |
631 |
60.91% |
72.75% |
15.35% |
25.01—30.00 |
218 |
$35,109,555.62 |
5.79% |
8.028% |
75.05% |
623 |
65.84% |
76.37% |
11.47% |
30.01—35.00 |
312 |
$53,749,277.06 |
8.86% |
7.899% |
77.24% |
625 |
71.86% |
68.13% |
16.27% |
35.01—40.00 |
472 |
$86,959,027.43 |
14.34% |
8.074% |
79.55% |
623 |
64.63% |
77.56% |
14.24% |
40.01—45.00 |
662 |
$123,702,569.47 |
20.40% |
7.949% |
79.65% |
625 |
66.23% |
75.76% |
14.23% |
45.01—50.00 |
844 |
$163,007,150.04 |
26.88% |
8.045% |
81.54% |
622 |
72.28% |
74.34% |
15.06% |
50.01—55.00 |
491 |
$115,071,606.90 |
18.97% |
8.052% |
79.36% |
596 |
79.24% |
80.10% |
10.99% |
55.01—60.00 |
37 |
$8,797,506.44 |
1.45% |
8.086% |
82.03% |
603 |
70.15% |
85.53% |
16.83% |
Total |
3,165 |
$606,476,771.86 |
100.00% |
8.022% |
79.59% |
618 |
70.45% |
75.86% |
13.94% |
Product |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
ARM—2 Yr/6 Mth |
689 |
$121,323,696.19 |
20.00% |
8.761% |
79.63% |
588 |
67.92% |
100.00% |
5.52% |
ARM—2 Yr/6 Mth 40 Yr |
62 |
$13,647,566.68 |
2.25% |
8.386% |
82.60% |
624 |
49.61% |
100.00% |
11.21% |
ARM—2 Yr/6 Mth IO |
41 |
$10,884,598.06 |
1.79% |
7.170% |
79.57% |
680 |
51.24% |
100.00% |
0.00% |
ARM—3 Yr/6 Mth |
289 |
$52,629,365.66 |
8.68% |
8.279% |
78.49% |
608 |
67.18% |
100.00% |
9.84% |
ARM—3 Yr/6 Mth 40 Yr |
30 |
$6,880,303.53 |
1.13% |
8.147% |
86.15% |
634 |
79.92% |
100.00% |
29.96% |
ARM—3 Yr/6 Mth IO |
10 |
$2,635,944.64 |
0.43% |
7.143% |
82.78% |
672 |
87.56% |
100.00% |
0.00% |
ARM—5 Yr/6 Mth |
81 |
$15,274,023.24 |
2.52% |
7.600% |
76.61% |
628 |
76.98% |
100.00% |
12.51% |
ARM—5 Yr/6 Mth 40 Yr |
15 |
$2,833,986.71 |
0.47% |
7.557% |
76.99% |
631 |
47.13% |
100.00% |
5.46% |
ARM—5 Yr/6 Mth IO |
33 |
$9,789,880.62 |
1.61% |
6.513% |
77.07% |
689 |
79.39% |
100.00% |
29.53% |
Balloon—2 Yr/6 Mnth |
629 |
$160,887,105.48 |
26.53% |
7.968% |
81.21% |
613 |
63.59% |
100.00% |
11.75% |
Balloon—3 Yr/6 Mnth |
162 |
$39,590,790.49 |
6.53% |
7.799% |
81.90% |
624 |
67.08% |
100.00% |
22.53% |
Balloon—30 Year |
117 |
$25,628,973.06 |
4.23% |
7.450% |
80.43% |
641 |
85.56% |
0.00% |
35.66% |
Balloon—5 Yr/6 Mnth |
92 |
$23,706,349.91 |
3.91% |
7.264% |
78.24% |
634 |
74.95% |
100.00% |
16.87% |
Fixed—15 Year |
24 |
$3,243,662.87 |
0.53% |
7.369% |
69.72% |
645 |
95.93% |
0.00% |
7.42% |
Fixed—20 Year |
14 |
$2,066,581.44 |
0.34% |
7.224% |
56.89% |
626 |
69.84% |
0.00% |
0.00% |
Fixed—30 Year |
849 |
$108,935,979.43 |
17.96% |
7.889% |
77.64% |
634 |
82.45% |
0.00% |
18.97% |
Fixed—40 Year |
28 |
$6,517,963.85 |
1.07% |
7.013% |
77.53% |
649 |
85.25% |
0.00% |
34.04% |
Total |
3,165 |
$606,476,771.86 |
100.00% |
8.022% |
79.59% |
618 |
70.45% |
75.86% |
13.94% |
Interest Only |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
Interest Ony |
84 |
$23,310,423.32 |
3.84% |
6.891% |
78.88% |
683 |
67.17% |
100.00% |
12.40% |
Not Interest Only |
3,081 |
$583,166,348.54 |
96.16% |
8.067% |
79.62% |
616 |
70.58% |
74.90% |
14.00% |
Total |
3,165 |
$606,476,771.86 |
100.00% |
8.022% |
79.59% |
618 |
70.45% |
75.86% |
13.94% |
Interest Only Term (months) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
N/A |
3,081 |
$583,166,348.54 |
96.16% |
8.067% |
79.62% |
616 |
70.58% |
74.90% |
14.00% |
24 |
41 |
$10,884,598.06 |
1.79% |
7.170% |
79.57% |
680 |
51.24% |
100.00% |
0.00% |
36 |
10 |
$2,635,944.64 |
0.43% |
7.143% |
82.78% |
672 |
87.56% |
100.00% |
0.00% |
60 |
33 |
$9,789,880.62 |
1.61% |
6.513% |
77.07% |
689 |
79.39% |
100.00% |
29.53% |
Total |
3,165 |
$606,476,771.86 |
100.00% |
8.022% |
79.59% |
618 |
70.45% |
75.86% |
13.94% |
Prepayment Penalty Term (months) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
N/A |
720 |
$115,027,396.92 |
18.97% |
8.687% |
80.63% |
614 |
64.29% |
78.33% |
9.72% |
12 |
184 |
$42,317,408.80 |
6.98% |
8.167% |
79.46% |
620 |
71.72% |
92.27% |
16.53% |
24 |
1,067 |
$211,434,626.76 |
34.86% |
8.216% |
80.76% |
607 |
68.87% |
96.04% |
9.86% |
36 |
1,194 |
$237,697,339.38 |
39.19% |
7.501% |
78.07% |
630 |
74.61% |
53.80% |
19.14% |
Total |
3,165 |
$606,476,771.86 |
100.00% |
8.022% |
79.59% |
618 |
70.45% |
75.86% |
13.94% |
Lien Position |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
First Lien |
2,875 |
$595,098,139.62 |
98.12% |
7.968% |
79.21% |
618 |
70.41% |
77.31% |
14.20% |
Second Lien |
290 |
$11,378,632.24 |
1.88% |
10.850% |
99.55% |
652 |
72.48% |
0.00% |
0.00% |
Total |
3,165 |
$606,476,771.86 |
100.00% |
8.022% |
79.59% |
618 |
70.45% |
75.86% |
13.94% |
Documentation Type |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
Full |
2,314 |
$427,275,209.67 |
70.45% |
7.845% |
80.26% |
612 |
100.00% |
71.48% |
17.22% |
Limited |
120 |
$23,164,448.67 |
3.82% |
8.261% |
81.48% |
617 |
0.00% |
81.63% |
4.19% |
Stated |
731 |
$156,037,113.52 |
25.73% |
8.471% |
77.48% |
636 |
0.00% |
87.00% |
6.39% |
Total |
3,165 |
$606,476,771.86 |
100.00% |
8.022% |
79.59% |
618 |
70.45% |
75.86% |
13.94% |
Loan Purpose |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
Cash-Out Refi |
2,136 |
$454,606,893.58 |
74.96% |
7.978% |
78.27% |
613 |
68.29% |
76.09% |
14.55% |
Purchase |
454 |
$46,943,549.25 |
7.74% |
8.472% |
84.97% |
635 |
81.76% |
78.77% |
7.22% |
Rate/Term Refi |
575 |
$104,926,329.03 |
17.30% |
8.009% |
82.90% |
632 |
74.77% |
73.58% |
14.26% |
Total |
3,165 |
$606,476,771.86 |
100.00% |
8.022% |
79.59% |
618 |
70.45% |
75.86% |
13.94% |
Property Type |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
Condominium |
217 |
$38,043,629.78 |
6.27% |
8.008% |
81.23% |
631 |
66.95% |
77.82% |
17.42% |
Planned Unit Developement |
338 |
$66,712,742.44 |
11.00% |
8.037% |
81.31% |
612 |
77.67% |
74.10% |
13.57% |
Single Family |
2,411 |
$450,376,153.93 |
74.26% |
8.037% |
79.66% |
616 |
71.70% |
75.64% |
14.22% |
Townhouse |
11 |
$1,738,898.75 |
0.29% |
8.439% |
76.23% |
609 |
50.32% |
89.83% |
4.65% |
Two to Four Family |
188 |
$49,605,346.96 |
8.18% |
7.863% |
75.53% |
641 |
52.85% |
78.30% |
9.47% |
Total |
3,165 |
$606,476,771.86 |
100.00% |
8.022% |
79.59% |
618 |
70.45% |
75.86% |
13.94% |
Occupancy Type |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
Investor |
221 |
$40,046,574.42 |
6.60% |
8.922% |
80.40% |
658 |
40.90% |
85.74% |
5.77% |
Owner-Occupied |
2,905 |
$558,276,388.93 |
92.05% |
7.954% |
79.50% |
615 |
73.00% |
75.05% |
14.39% |
Second Home |
39 |
$8,153,808.51 |
1.34% |
8.279% |
81.70% |
629 |
40.95% |
82.63% |
23.09% |
Total |
3,165 |
$606,476,771.86 |
100.00% |
8.022% |
79.59% |
618 |
70.45% |
75.86% |
13.94% |
Loan Type |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
Adj Rate Mortgage |
2,133 |
$460,083,611.21 |
75.86% |
8.108% |
80.21% |
613 |
66.38% |
100.00% |
11.36% |
Fixed Rate Mortgage |
1,032 |
$146,393,160.65 |
24.14% |
7.752% |
77.65% |
636 |
83.24% |
0.00% |
22.04% |
Total |
3,165 |
$606,476,771.86 |
100.00% |
8.022% |
79.59% |
618 |
70.45% |
75.86% |
13.94% |
Gross Margin (%) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
<= 4.999 |
1,639 |
$356,349,046.18 |
77.45% |
7.947% |
81.14% |
624 |
63.40% |
100.00% |
14.06% |
5.000—5.999 |
340 |
$73,072,183.86 |
15.88% |
8.501% |
78.50% |
583 |
75.91% |
100.00% |
2.93% |
6.000—6.999 |
147 |
$29,385,203.56 |
6.39% |
9.009% |
73.20% |
554 |
77.46% |
100.00% |
0.00% |
>= 7.000 |
7 |
$1,277,177.61 |
0.28% |
9.587% |
78.97% |
548 |
100.00% |
100.00% |
0.00% |
Total |
2,133 |
$460,083,611.21 |
100.00% |
8.108% |
80.21% |
613 |
66.38% |
100.00% |
11.36% |
Minimum Interest Rate (%) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
5.500—5.999 |
47 |
$12,301,461.93 |
2.67% |
5.770% |
74.14% |
668 |
92.79% |
100.00% |
15.22% |
6.000—6.499 |
83 |
$22,413,899.63 |
4.87% |
6.298% |
75.08% |
655 |
85.40% |
100.00% |
25.71% |
6.500—6.999 |
200 |
$49,052,192.22 |
10.66% |
6.748% |
77.10% |
637 |
79.74% |
100.00% |
23.51% |
7.000—7.499 |
288 |
$68,385,203.92 |
14.86% |
7.252% |
79.88% |
633 |
70.76% |
100.00% |
21.10% |
7.500—7.999 |
362 |
$80,190,238.83 |
17.43% |
7.737% |
79.23% |
619 |
69.33% |
100.00% |
13.03% |
8.000—8.499 |
280 |
$61,739,853.72 |
13.42% |
8.233% |
81.03% |
609 |
62.51% |
100.00% |
7.80% |
8.500—8.999 |
289 |
$61,900,077.92 |
13.45% |
8.743% |
81.17% |
599 |
61.21% |
100.00% |
4.80% |
9.000—9.499 |
201 |
$37,403,552.78 |
8.13% |
9.250% |
82.95% |
584 |
53.94% |
100.00% |
0.36% |
9.500—9.999 |
187 |
$37,287,595.11 |
8.10% |
9.738% |
83.64% |
574 |
54.35% |
100.00% |
0.77% |
10.000—10.499 |
71 |
$12,179,972.60 |
2.65% |
10.210% |
83.96% |
572 |
59.75% |
100.00% |
0.00% |
10.500—10.999 |
81 |
$12,867,500.87 |
2.80% |
10.707% |
82.79% |
564 |
48.63% |
100.00% |
0.00% |
11.000—11.499 |
23 |
$2,406,822.35 |
0.52% |
11.166% |
86.38% |
605 |
25.87% |
100.00% |
0.00% |
11.500—11.999 |
13 |
$1,446,169.53 |
0.31% |
11.749% |
85.82% |
567 |
39.34% |
100.00% |
0.00% |
12.000—12.499 |
7 |
$463,662.55 |
0.10% |
12.199% |
82.66% |
606 |
23.59% |
100.00% |
0.00% |
12.500—12.999 |
1 |
$45,407.25 |
0.01% |
12.600% |
70.00% |
510 |
0.00% |
100.00% |
0.00% |
Total |
2,133 |
$460,083,611.21 |
100.00% |
8.108% |
80.21% |
613 |
66.38% |
100.00% |
11.36% |
Maximum Interest Rate (%) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
11.500—11.999 |
47 |
$12,301,461.93 |
2.67% |
5.770% |
74.14% |
668 |
92.79% |
100.00% |
15.22% |
12.000—12.499 |
83 |
$22,413,899.63 |
4.87% |
6.298% |
75.08% |
655 |
85.40% |
100.00% |
25.71% |
12.500—12.999 |
200 |
$49,052,192.22 |
10.66% |
6.748% |
77.10% |
637 |
79.74% |
100.00% |
23.51% |
13.000—13.499 |
288 |
$68,385,203.92 |
14.86% |
7.252% |
79.88% |
633 |
70.76% |
100.00% |
21.10% |
13.500—13.999 |
362 |
$80,190,238.83 |
17.43% |
7.737% |
79.23% |
619 |
69.33% |
100.00% |
13.03% |
14.000—14.499 |
280 |
$61,739,853.72 |
13.42% |
8.233% |
81.03% |
609 |
62.51% |
100.00% |
7.80% |
14.500—14.999 |
289 |
$61,900,077.92 |
13.45% |
8.743% |
81.17% |
599 |
61.21% |
100.00% |
4.80% |
15.000—15.499 |
201 |
$37,403,552.78 |
8.13% |
9.250% |
82.95% |
584 |
53.94% |
100.00% |
0.36% |
15.500—15.999 |
187 |
$37,287,595.11 |
8.10% |
9.738% |
83.64% |
574 |
54.35% |
100.00% |
0.77% |
16.000—16.499 |
71 |
$12,179,972.60 |
2.65% |
10.210% |
83.96% |
572 |
59.75% |
100.00% |
0.00% |
16.500—16.999 |
81 |
$12,867,500.87 |
2.80% |
10.707% |
82.79% |
564 |
48.63% |
100.00% |
0.00% |
17.000—17.499 |
23 |
$2,406,822.35 |
0.52% |
11.166% |
86.38% |
605 |
25.87% |
100.00% |
0.00% |
17.500—17.999 |
13 |
$1,446,169.53 |
0.31% |
11.749% |
85.82% |
567 |
39.34% |
100.00% |
0.00% |
18.000—18.499 |
7 |
$463,662.55 |
0.10% |
12.199% |
82.66% |
606 |
23.59% |
100.00% |
0.00% |
18.500—18.999 |
1 |
$45,407.25 |
0.01% |
12.600% |
70.00% |
510 |
0.00% |
100.00% |
0.00% |
Total |
2,133 |
$460,083,611.21 |
100.00% |
8.108% |
80.21% |
613 |
66.38% |
100.00% |
11.36% |
Initial Periodic Cap (%) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
1.000 |
41 |
$10,884,598.06 |
2.37% |
7.170% |
79.57% |
680 |
51.24% |
100.00% |
0.00% |
2.000 |
1,380 |
$295,858,368.35 |
64.31% |
8.312% |
80.63% |
603 |
64.72% |
100.00% |
9.17% |
3.000 |
712 |
$153,340,644.80 |
33.33% |
7.779% |
79.45% |
626 |
70.66% |
100.00% |
16.38% |
Total |
2,133 |
$460,083,611.21 |
100.00% |
8.108% |
80.21% |
613 |
66.38% |
100.00% |
11.36% |
Subsequent Periodic Cap (%) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
1.000 |
2,133 |
$460,083,611.21 |
100.00% |
8.108% |
80.21% |
613 |
66.38% |
100.00% |
11.36% |
Total |
2,133 |
$460,083,611.21 |
100.00% |
8.108% |
80.21% |
613 |
66.38% |
100.00% |
11.36% |
Next Rate Change Date |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
6/1/2008 |
1 |
$36,909.32 |
0.01% |
10.900% |
65.00% |
506 |
0.00% |
100.00% |
0.00% |
7/1/2008 |
1 |
$339,392.51 |
0.07% |
9.350% |
85.00% |
594 |
0.00% |
100.00% |
0.00% |
8/1/2008 |
1 |
$119,419.51 |
0.03% |
10.750% |
85.00% |
535 |
100.00% |
100.00% |
0.00% |
10/1/2008 |
15 |
$3,084,095.98 |
0.67% |
8.517% |
79.29% |
614 |
61.81% |
100.00% |
0.00% |
11/1/2008 |
12 |
$2,088,426.05 |
0.45% |
8.717% |
81.67% |
567 |
91.58% |
100.00% |
5.34% |
12/1/2008 |
19 |
$3,768,697.24 |
0.82% |
8.171% |
84.06% |
623 |
74.24% |
100.00% |
19.19% |
1/1/2009 |
508 |
$113,794,071.88 |
24.73% |
8.185% |
80.83% |
609 |
60.47% |
100.00% |
7.43% |
2/1/2009 |
769 |
$164,080,794.56 |
35.66% |
8.262% |
80.23% |
604 |
65.94% |
100.00% |
9.67% |
3/1/2009 |
95 |
$19,431,159.36 |
4.22% |
8.762% |
81.57% |
606 |
68.57% |
100.00% |
10.22% |
9/1/2009 |
1 |
$93,298.63 |
0.02% |
7.825% |
100.00% |
615 |
100.00% |
100.00% |
0.00% |
10/1/2009 |
1 |
$299,376.97 |
0.07% |
8.125% |
80.00% |
601 |
100.00% |
100.00% |
0.00% |
11/1/2009 |
4 |
$1,380,523.07 |
0.30% |
7.385% |
79.35% |
621 |
100.00% |
100.00% |
50.24% |
12/1/2009 |
4 |
$930,373.38 |
0.20% |
8.918% |
91.84% |
665 |
60.87% |
100.00% |
42.51% |
1/1/2010 |
187 |
$39,720,234.75 |
8.63% |
8.046% |
81.48% |
616 |
70.95% |
100.00% |
15.18% |
2/1/2010 |
260 |
$52,393,579.28 |
11.39% |
8.041% |
79.55% |
620 |
65.98% |
100.00% |
15.63% |
3/1/2010 |
34 |
$6,919,018.24 |
1.50% |
8.219% |
79.81% |
612 |
66.99% |
100.00% |
12.27% |
8/1/2011 |
1 |
$254,122.30 |
0.06% |
10.300% |
67.11% |
519 |
0.00% |
100.00% |
0.00% |
9/1/2011 |
2 |
$463,261.72 |
0.10% |
7.179% |
76.40% |
678 |
100.00% |
100.00% |
0.00% |
10/1/2011 |
2 |
$475,234.65 |
0.10% |
8.896% |
81.56% |
637 |
0.00% |
100.00% |
0.00% |
11/1/2011 |
3 |
$337,536.12 |
0.07% |
9.191% |
80.66% |
617 |
46.71% |
100.00% |
0.00% |
12/1/2011 |
3 |
$605,705.15 |
0.13% |
7.503% |
74.28% |
614 |
100.00% |
100.00% |
0.00% |
1/1/2012 |
84 |
$18,975,369.58 |
4.12% |
7.216% |
78.34% |
650 |
77.30% |
100.00% |
16.40% |
2/1/2012 |
117 |
$28,105,467.43 |
6.11% |
7.174% |
78.03% |
641 |
74.72% |
100.00% |
20.25% |
3/1/2012 |
9 |
$2,387,543.53 |
0.52% |
7.159% |
64.71% |
619 |
72.79% |
100.00% |
6.48% |
Total |
2,133 |
$460,083,611.21 |
100.00% |
8.108% |
80.21% |
613 |
66.38% |
100.00% |
11.36% |
Location |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
Alabama |
25 |
$3,363,405.09 |
0.55% |
8.572% |
85.05% |
587 |
96.48% |
79.19% |
15.69% |
Alaska |
23 |
$5,288,587.05 |
0.87% |
7.740% |
81.90% |
622 |
70.96% |
69.32% |
16.33% |
Arizona |
63 |
$11,865,333.10 |
1.96% |
8.129% |
78.94% |
619 |
66.91% |
74.92% |
7.39% |
Arkansas |
7 |
$859,885.53 |
0.14% |
9.477% |
82.95% |
572 |
100.00% |
71.10% |
0.00% |
California |
572 |
$154,944,391.90 |
25.55% |
7.653% |
76.07% |
630 |
54.31% |
83.27% |
8.00% |
Colorado |
56 |
$10,877,180.51 |
1.79% |
8.419% |
84.05% |
604 |
74.81% |
67.71% |
10.66% |
Connecticut |
40 |
$7,835,722.75 |
1.29% |
8.050% |
83.06% |
617 |
93.23% |
84.28% |
7.74% |
Delaware |
5 |
$1,166,293.88 |
0.19% |
8.065% |
82.96% |
586 |
82.58% |
100.00% |
0.00% |
District of Columbia |
30 |
$6,740,642.80 |
1.11% |
7.458% |
73.59% |
619 |
80.09% |
53.79% |
6.63% |
Florida |
255 |
$49,254,197.06 |
8.12% |
8.153% |
79.27% |
608 |
65.42% |
75.45% |
11.28% |
Georgia |
76 |
$11,705,700.62 |
1.93% |
8.495% |
85.38% |
617 |
77.38% |
74.10% |
22.79% |
Hawaii |
14 |
$4,440,087.78 |
0.73% |
7.194% |
74.29% |
640 |
74.66% |
44.02% |
22.36% |
Idaho |
27 |
$4,683,223.45 |
0.77% |
8.493% |
81.19% |
597 |
85.57% |
74.70% |
8.00% |
Illinois |
149 |
$26,247,971.19 |
4.33% |
8.372% |
82.69% |
620 |
76.16% |
80.37% |
21.10% |
Indiana |
27 |
$2,300,173.49 |
0.38% |
9.453% |
85.29% |
612 |
66.44% |
85.61% |
12.04% |
Iowa |
20 |
$2,229,273.25 |
0.37% |
7.878% |
83.16% |
618 |
89.58% |
73.34% |
28.68% |
Kansas |
7 |
$511,439.66 |
0.08% |
9.054% |
86.14% |
612 |
100.00% |
90.17% |
0.00% |
Kentucky |
11 |
$1,552,310.48 |
0.26% |
7.489% |
84.51% |
626 |
77.11% |
90.63% |
41.66% |
Louisiana |
16 |
$2,248,020.22 |
0.37% |
8.636% |
76.46% |
590 |
82.81% |
46.46% |
0.00% |
Maine |
25 |
$4,408,288.24 |
0.73% |
7.897% |
83.22% |
610 |
74.95% |
62.28% |
18.92% |
Maryland |
236 |
$52,063,191.84 |
8.58% |
7.600% |
81.84% |
617 |
80.89% |
73.15% |
25.00% |
Massachusetts |
51 |
$12,803,326.42 |
2.11% |
8.332% |
78.27% |
612 |
69.51% |
87.50% |
3.65% |
Michigan |
75 |
$7,813,181.24 |
1.29% |
9.102% |
84.11% |
597 |
83.65% |
78.92% |
11.74% |
Minnesota |
35 |
$6,293,113.80 |
1.04% |
8.597% |
84.80% |
626 |
78.87% |
83.59% |
9.87% |
Missouri |
52 |
$5,054,532.94 |
0.83% |
8.939% |
84.62% |
615 |
88.04% |
69.82% |
19.37% |
Montana |
7 |
$1,117,582.97 |
0.18% |
8.958% |
81.87% |
583 |
63.19% |
87.69% |
0.00% |
Nebraska |
27 |
$2,890,760.63 |
0.48% |
8.767% |
85.93% |
616 |
70.89% |
87.71% |
12.17% |
Nevada |
17 |
$3,677,984.90 |
0.61% |
7.873% |
82.14% |
593 |
81.56% |
76.82% |
0.00% |
New Hampshire |
8 |
$1,671,671.54 |
0.28% |
7.843% |
83.41% |
641 |
70.39% |
66.85% |
0.00% |
New Jersey |
116 |
$25,407,055.40 |
4.19% |
8.413% |
79.01% |
611 |
66.70% |
83.09% |
14.58% |
New Mexico |
15 |
$1,442,730.15 |
0.24% |
8.762% |
86.57% |
635 |
86.13% |
71.01% |
31.32% |
New York |
125 |
$32,026,673.93 |
5.28% |
7.210% |
75.28% |
628 |
72.14% |
47.72% |
25.71% |
North Carolina |
33 |
$4,598,079.49 |
0.76% |
8.780% |
85.06% |
590 |
86.74% |
71.71% |
23.65% |
Ohio |
30 |
$3,738,256.22 |
0.62% |
8.670% |
84.53% |
614 |
97.03% |
40.32% |
33.11% |
Oklahoma |
6 |
$687,788.94 |
0.11% |
9.068% |
87.43% |
593 |
100.00% |
50.28% |
11.37% |
Oregon |
87 |
$16,121,084.02 |
2.66% |
7.996% |
82.55% |
635 |
81.03% |
90.85% |
21.01% |
Pennsylvania |
102 |
$13,819,684.20 |
2.28% |
8.410% |
80.75% |
606 |
74.59% |
60.57% |
21.41% |
Rhode Island |
8 |
$1,860,864.84 |
0.31% |
8.166% |
81.91% |
594 |
70.58% |
65.43% |
29.81% |
South Carolina |
8 |
$934,011.54 |
0.15% |
9.240% |
82.96% |
599 |
53.89% |
55.93% |
10.88% |
South Dakota |
1 |
$137,439.97 |
0.02% |
10.300% |
100.00% |
584 |
100.00% |
100.00% |
0.00% |
Tennessee |
39 |
$4,463,667.66 |
0.74% |
8.564% |
85.47% |
607 |
75.86% |
64.72% |
13.62% |
Texas |
291 |
$30,012,145.30 |
4.95% |
8.725% |
80.60% |
613 |
72.84% |
57.37% |
2.81% |
Utah |
13 |
$2,391,521.16 |
0.39% |
9.076% |
81.44% |
587 |
91.03% |
73.62% |
0.00% |
Vermont |
6 |
$1,072,057.97 |
0.18% |
7.833% |
76.20% |
634 |
64.11% |
83.78% |
0.00% |
Virginia |
52 |
$10,751,184.30 |
1.77% |
8.006% |
78.86% |
610 |
72.40% |
76.58% |
16.99% |
Washington |
206 |
$41,916,329.21 |
6.91% |
8.126% |
80.40% |
614 |
80.77% |
87.67% |
14.98% |
West Virginia |
3 |
$464,519.94 |
0.08% |
7.728% |
83.56% |
645 |
76.77% |
23.23% |
48.74% |
Wisconsin |
67 |
$8,474,545.35 |
1.40% |
8.140% |
82.45% |
609 |
86.68% |
89.16% |
25.68% |
Wyoming |
1 |
$249,657.94 |
0.04% |
7.950% |
89.29% |
598 |
100.00% |
100.00% |
0.00% |
Total |
3,165 |
$606,476,771.86 |
100.00% |
8.022% |
79.59% |
618 |
70.45% |
75.86% |
13.94% |
Mortgage Loan Statistics—Group II
|
|
|
Minimum |
Maximum |
Scheduled Principal Balance |
$987,188,515 |
|
$13,932 |
$1,198,268 |
Average Scheduled Principle Balance |
$277,456 |
|
|
|
Number of Mortgage Loans |
3,558 |
|
|
|
|
|
|
|
|
Weighted Average Gross Coupon |
8.215% |
|
5.400% |
13.350% |
Weighted Average FICO Score |
646 |
|
501 |
806 |
Weighted Average Original LTV* |
82.34% |
|
12.99% |
100.00% |
Weighted Average Original LTV with MI** |
80.00% |
|
12.99% |
100.00% |
Weighted Average Combined Original LTV*** |
88.74% |
|
12.99% |
100.00% |
Weighted Average DTI |
40.84% |
|
0.72% |
83.41% |
|
|
|
|
|
Weighted Average Original Term |
364 months |
|
120 months |
480 months |
Weighted Average Stated Remaining Term |
361 months |
|
118 months |
479 months |
Weighted Average Seasoning |
2 months |
|
1 month |
8 months |
|
|
|
|
|
Weighted Average Gross Margin |
5.097% |
|
4.990% |
7.250% |
Weighted Average Minimum Interest Rate |
8.121% |
|
5.400% |
13.350% |
Weighted Average Maximum Interest Rate |
14.121% |
|
11.400% |
19.350% |
Weighted Average Initial Rate Cap |
2.129% |
|
1.000% |
3.000% |
Weighted Average Subsequent Rate Cap |
1.000% |
|
1.000% |
1.000% |
Weighted Average Months to Roll |
27 months |
|
17 months |
59 months |
|
|
|
|
|
Maturity Date |
|
|
February 1,2017 |
March 1,2047 |
Adj Rate Mortgage |
74.63% |
|
Full |
57.61% |
Fixed Rate Mortgage |
25.37% |
|
Limited |
5.74% |
|
|
|
Stated |
36.65% |
ARM—2 Yr/6 Mth |
12.66% |
|
|
|
ARM—2 Yr/6 Mth 40 Yr |
2.23% |
|
Cash-Out Refi |
43.95% |
ARM—2 Yr/6 Mth IO |
10.22% |
|
Purchase |
44.03% |
ARM—3 Yr/6 Mth |
4.29% |
|
Rate/Term Refi |
12.01% |
ARM—3 Yr/6 Mth 40 Yr |
0.53% |
|
|
|
ARM—3 Yr/6 Mth IO |
2.03% |
|
Condominium |
7.23% |
ARM—5 Yr/6 Mth |
1.16% |
|
Planned Unit Developement |
14.11% |
ARM—5 Yr/6 Mth 40 Yr |
0.32% |
|
Single Family |
71.39% |
ARM—5 Yr/6 Mth IO |
3.32% |
|
Townhouse |
0.09% |
Balloon—2 Yr/6 Mnth |
29.65% |
|
Two to Four Family |
7.19% |
Balloon—3 Yr/6 Mnth |
5.64% |
|
|
|
Balloon—30 Year |
3.49% |
|
Investor |
8.62% |
Balloon—5 Yr/6 Mnth |
2.59% |
|
Owner-Occupied |
89.78% |
Fixed—10 Year |
0.05% |
|
Second Home |
1.61% |
Fixed—15 Year |
0.24% |
|
|
|
Fixed—20 Year |
0.15% |
|
First Lien |
91.93% |
Fixed—30 Year |
20.73% |
|
Second Lien |
8.07% |
Fixed—40 Year |
0.71% |
|
|
|
|
|
|
Top 5 Locations: |
|
Not Interest Only |
84.43% |
|
California |
48.73% |
Interest Only |
15.57% |
|
Florida |
7.11% |
|
|
|
New York |
5.40% |
Prepay Penalty: N/A |
19.24% |
|
Texas |
5.16% |
Prepay Penalty: 12 months |
10.53% |
|
Maryland |
3.73% |
Prepay Penalty: 24 months |
36.81% |
|
|
|
Prepay Penalty: 36 months |
33.41% |
|
|
|
*Original LTV for all first lien loans and combined original LTV for all second lien loans |
**Original LTV for all first lien loans and combined original LTV for all second lien loans, in each case adjusted for MI |
***Combined LTV including simultaneous seconds for all first lien loans and combined original LTV for all second lien loans |
Current Balance ($) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
0.00—50000.00 |
233 |
$8,815,882.71 |
0.89% |
10.759% |
95.09% |
650 |
55.21% |
13.47% |
3.20% |
50000.00—100000.00 |
764 |
$56,667,402.50 |
5.74% |
10.328% |
92.18% |
656 |
51.83% |
29.37% |
9.06% |
100000.00—150000.00 |
506 |
$61,961,464.47 |
6.28% |
9.939% |
90.50% |
655 |
52.38% |
31.11% |
7.15% |
150000.00—200000.00 |
288 |
$50,212,381.47 |
5.09% |
8.835% |
84.18% |
645 |
60.31% |
49.87% |
6.27% |
200000.00—250000.00 |
198 |
$44,706,735.27 |
4.53% |
8.078% |
80.63% |
649 |
61.13% |
77.19% |
6.66% |
250000.00—300000.00 |
214 |
$58,610,164.28 |
5.94% |
7.797% |
81.71% |
651 |
58.07% |
80.40% |
15.38% |
300000.00—350000.00 |
158 |
$51,181,927.09 |
5.18% |
7.956% |
81.28% |
649 |
59.52% |
84.83% |
4.36% |
350000.00—400000.00 |
123 |
$46,243,851.45 |
4.68% |
7.836% |
80.71% |
659 |
52.08% |
81.20% |
9.70% |
400000.00—450000.00 |
208 |
$89,234,650.70 |
9.04% |
7.785% |
80.74% |
639 |
57.23% |
87.06% |
13.92% |
450000.00—500000.00 |
204 |
$97,183,392.68 |
9.84% |
7.846% |
81.55% |
645 |
54.03% |
83.84% |
11.31% |
500000.00—550000.00 |
184 |
$96,618,870.60 |
9.79% |
7.694% |
81.49% |
652 |
56.53% |
79.87% |
14.20% |
550000.00—600000.00 |
149 |
$85,702,050.40 |
8.68% |
7.986% |
81.82% |
638 |
50.56% |
85.19% |
13.46% |
600000.00—650000.00 |
109 |
$68,432,113.83 |
6.93% |
7.848% |
80.47% |
636 |
64.10% |
88.89% |
0.00% |
650000.00—700000.00 |
74 |
$50,353,054.80 |
5.10% |
7.813% |
80.40% |
645 |
58.05% |
81.06% |
0.00% |
700000.00—750000.00 |
42 |
$30,568,645.76 |
3.10% |
7.532% |
80.90% |
653 |
64.35% |
80.82% |
0.00% |
750000.00—800000.00 |
35 |
$27,297,978.75 |
2.77% |
8.444% |
79.65% |
642 |
48.64% |
94.35% |
0.00% |
800000.00—850000.00 |
17 |
$14,021,390.46 |
1.42% |
8.205% |
74.09% |
626 |
52.92% |
76.62% |
0.00% |
850000.00—900000.00 |
16 |
$14,001,861.60 |
1.42% |
8.064% |
77.77% |
607 |
87.50% |
87.41% |
0.00% |
900000.00—950000.00 |
9 |
$8,400,955.38 |
0.85% |
8.242% |
80.42% |
646 |
78.11% |
77.44% |
0.00% |
950000.00—1000000.00 |
23 |
$22,629,002.68 |
2.29% |
7.790% |
77.01% |
624 |
78.18% |
78.58% |
0.00% |
>= 1000000.00 |
4 |
$4,344,738.31 |
0.44% |
7.605% |
77.09% |
661 |
100.00% |
75.41% |
0.00% |
Total |
3,558 |
$987,188,515.19 |
100.00% |
8.215% |
82.34% |
646 |
57.61% |
74.63% |
8.14% |
Mortgage Interest Rate (%) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
5.000—5.499 |
2 |
$855,200.00 |
0.09% |
5.400% |
80.00% |
746 |
100.00% |
100.00% |
0.00% |
5.500—5.999 |
39 |
$17,681,454.76 |
1.79% |
5.799% |
76.30% |
695 |
95.98% |
96.14% |
17.77% |
6.000—6.499 |
188 |
$84,213,512.32 |
8.53% |
6.261% |
76.05% |
677 |
90.07% |
39.69% |
10.46% |
6.500—6.999 |
263 |
$108,976,601.83 |
11.04% |
6.773% |
79.69% |
661 |
79.73% |
67.25% |
16.30% |
7.000—7.499 |
338 |
$129,605,462.34 |
13.13% |
7.259% |
78.88% |
646 |
66.10% |
84.02% |
10.11% |
7.500—7.999 |
455 |
$163,274,663.86 |
16.54% |
7.749% |
80.07% |
644 |
56.62% |
82.48% |
8.73% |
8.000—8.499 |
323 |
$120,191,791.29 |
12.18% |
8.244% |
81.51% |
640 |
46.47% |
90.70% |
7.54% |
8.500—8.999 |
330 |
$120,728,200.43 |
12.23% |
8.736% |
82.04% |
636 |
41.40% |
92.14% |
5.73% |
9.000—9.499 |
174 |
$51,111,532.23 |
5.18% |
9.250% |
83.13% |
626 |
37.59% |
90.06% |
7.66% |
9.500—9.999 |
347 |
$61,892,728.94 |
6.27% |
9.746% |
87.92% |
631 |
48.12% |
77.16% |
3.60% |
10.000—10.499 |
221 |
$37,822,767.19 |
3.83% |
10.221% |
90.72% |
621 |
60.88% |
72.55% |
2.40% |
10.500—10.999 |
196 |
$25,941,338.97 |
2.63% |
10.726% |
89.97% |
630 |
37.58% |
65.31% |
0.83% |
11.000—11.499 |
403 |
$38,685,101.94 |
3.92% |
11.220% |
96.65% |
640 |
39.07% |
20.49% |
0.17% |
11.500—11.999 |
201 |
$18,627,662.95 |
1.89% |
11.692% |
98.46% |
645 |
29.94% |
10.06% |
0.00% |
12.000—12.499 |
63 |
$6,276,619.25 |
0.64% |
12.199% |
98.62% |
672 |
25.70% |
3.51% |
0.00% |
12.500—12.999 |
14 |
$1,230,092.48 |
0.12% |
12.668% |
99.16% |
646 |
12.29% |
8.41% |
0.00% |
13.000—13.499 |
1 |
$73,784.41 |
0.01% |
13.350% |
90.00% |
632 |
0.00% |
100.00% |
0.00% |
Total |
3,558 |
$987,188,515.19 |
100.00% |
8.215% |
82.34% |
646 |
57.61% |
74.63% |
8.14% |
Original Combined LTV (%)* |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
First Lien Loans: |
|
|
|
|
|
|
|
|
|
Less than 60.01% |
108 |
$31,454,135.89 |
3.19% |
7.35% |
50.35% |
632 |
72.48% |
49.22% |
0.00% |
60.01 to 70.00% |
142 |
$53,816,234.86 |
5.45% |
7.47% |
66.91% |
621 |
55.73% |
65.15% |
0.00% |
70.01 to 80.00% |
1386 |
$525,651,096.94 |
53.25% |
7.74% |
79.19% |
652 |
54.88% |
83.73% |
0.00% |
80.01 to 85.00% |
|
|
|
|
|
|
|
|
|
With MI: |
61 |
$19,173,418.37 |
1.94% |
7.33% |
84.13% |
658 |
60.90% |
52.60% |
100.00% |
Without MI: |
112 |
$44,628,616.54 |
4.52% |
8.69% |
84.69% |
610 |
56.57% |
83.56% |
0.00% |
85.01 to 90.00% |
|
|
|
|
|
|
|
|
|
With MI: |
215 |
$55,443,652.58 |
5.62% |
7.61% |
89.65% |
654 |
79.29% |
60.06% |
100.00% |
Without MI: |
503 |
$133,685,560.91 |
13.54% |
8.86% |
89.68% |
635 |
53.73% |
94.30% |
0.00% |
90.01 to 95.00% |
|
|
|
|
|
|
|
|
|
With MI: |
19 |
$5,768,331.36 |
0.58% |
7.45% |
94.35% |
710 |
80.02% |
70.20% |
100.00% |
Without MI: |
73 |
$28,122,005.92 |
2.85% |
8.93% |
94.54% |
622 |
77.29% |
91.67% |
0.00% |
95.01 to 100.00% |
|
|
|
|
|
|
|
|
|
With MI: |
0 |
$- |
0.00% |
0.00% |
0.00% |
0 |
0.00% |
0.00% |
0.00% |
Without MI: |
27 |
$9,753,745.34 |
0.99% |
9.79% |
99.94% |
613 |
100.00% |
97.34% |
0.00% |
Subtotal (First Lien): |
2646 |
$907,496,798.71 |
91.93% |
7.96% |
80.82% |
644 |
58.41% |
81.18% |
8.86% |
|
|
|
|
|
|
|
|
|
|
Second Lien Loans: |
|
|
|
|
|
|
|
|
|
80.01 to 85.00% |
1 |
$45,332.57 |
0.00% |
11.15% |
40.00% |
601 |
0.00% |
0.00% |
0.00% |
85.01 to 90.00% |
9 |
$940,066.23 |
0.10% |
10.73% |
89.56% |
670 |
66.74% |
0.00% |
0.00% |
90.01 to 95.00% |
29 |
$2,762,602.69 |
0.28% |
11.18% |
94.63% |
642 |
81.84% |
0.00% |
0.00% |
95.01 to 100.00% |
873 |
$75,943,714.99 |
7.69% |
11.08% |
99.96% |
664 |
47.06% |
0.00% |
0.00% |
Subtotal (Second Lien): |
912 |
$79,691,716.48 |
8.07% |
11.08% |
99.62% |
663 |
48.47% |
0.00% |
0.00% |
Total |
3,558 |
$987,188,515.19 |
100.00% |
8.215% |
82.34% |
646 |
57.61% |
74.63% |
8.14% |
*Original LTV for all first lien loans and combined original LTV for all second lien loans
Original Effective Combined LTV (%)** |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
First Lien Loans: |
|
|
|
|
|
|
|
|
|
Less than 60.01% |
403 |
$111,839,538.20 |
11.33% |
7.48% |
77.89% |
651 |
74.26% |
56.26% |
71.88% |
60.01 to 70.00% |
142 |
$53,816,234.86 |
5.45% |
7.47% |
66.91% |
621 |
55.73% |
65.15% |
0.00% |
70.01 to 80.00% |
1386 |
$525,651,096.94 |
53.25% |
7.74% |
79.19% |
652 |
54.88% |
83.73% |
0.00% |
80.01 to 85.00% |
112 |
$44,628,616.54 |
4.52% |
8.69% |
84.69% |
610 |
56.57% |
83.56% |
0.00% |
85.01 to 90.00% |
503 |
$133,685,560.91 |
13.54% |
8.86% |
89.68% |
635 |
53.73% |
94.30% |
0.00% |
90.01 to 95.00% |
73 |
$28,122,005.92 |
2.85% |
8.93% |
94.54% |
622 |
77.29% |
91.67% |
0.00% |
95.01 to 100.00% |
27 |
$9,753,745.34 |
0.99% |
9.79% |
99.94% |
613 |
100.00% |
97.34% |
0.00% |
Subtotal (First Lien): |
2646 |
$907,496,798.71 |
91.93% |
7.96% |
80.82% |
644 |
58.41% |
81.18% |
10.97% |
|
|
|
|
|
|
|
|
|
|
Second Lien Loans: |
|
|
|
|
|
|
|
|
|
80.01 to 85.00% |
1 |
$45,332.57 |
0.00% |
11.15% |
40.00% |
601 |
0.00% |
0.00% |
0.00% |
85.01 to 90.00% |
9 |
$940,066.23 |
0.10% |
10.73% |
89.56% |
670 |
66.74% |
0.00% |
0.00% |
90.01 to 95.00% |
29 |
$2,762,602.69 |
0.28% |
11.18% |
94.63% |
642 |
81.84% |
0.00% |
0.00% |
95.01 to 100.00% |
873 |
$75,943,714.99 |
7.69% |
11.08% |
99.96% |
664 |
47.06% |
0.00% |
0.00% |
Subtotal (Second Lien): |
912 |
$79,691,716.48 |
8.07% |
11.08% |
99.62% |
663 |
48.47% |
0.00% |
0.00% |
Total |
3,558 |
$987,188,515.19 |
100.00% |
8.215% |
82.34% |
646 |
57.61% |
74.63% |
8.14% |
**Original LTV for all first lien loans and combined original LTV for all second lien loans, in each case adjusted for MI
FICO |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
500—524 |
38 |
$16,670,372.13 |
1.69% |
9.925% |
74.74% |
515 |
65.00% |
96.01% |
0.00% |
525—549 |
68 |
$28,210,745.68 |
2.86% |
9.304% |
77.10% |
540 |
79.31% |
90.89% |
0.00% |
550—574 |
133 |
$48,310,211.83 |
4.89% |
8.772% |
81.17% |
565 |
75.59% |
80.39% |
0.00% |
575—599 |
170 |
$65,793,801.68 |
6.66% |
8.525% |
83.75% |
588 |
77.58% |
88.20% |
12.27% |
600—624 |
672 |
$171,071,942.30 |
17.33% |
8.230% |
82.53% |
613 |
69.81% |
77.09% |
8.98% |
625—649 |
767 |
$202,108,565.21 |
20.47% |
8.065% |
82.43% |
638 |
60.61% |
71.70% |
8.38% |
650—674 |
736 |
$192,540,762.77 |
19.50% |
8.163% |
82.71% |
661 |
47.94% |
70.79% |
6.62% |
675—699 |
446 |
$120,252,313.44 |
12.18% |
8.135% |
83.28% |
687 |
37.04% |
76.64% |
7.97% |
>= 700 |
528 |
$142,229,800.15 |
14.41% |
7.799% |
82.33% |
731 |
48.66% |
65.38% |
12.44% |
Total |
3,558 |
$987,188,515.19 |
100.00% |
8.215% |
82.34% |
646 |
57.61% |
74.63% |
8.14% |
Original Term (months) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
120 |
1 |
$460,387.21 |
0.05% |
6.950% |
85.00% |
752 |
0.00% |
0.00% |
100.00% |
180 |
19 |
$2,385,026.98 |
0.24% |
8.251% |
77.63% |
638 |
89.69% |
0.00% |
0.00% |
240 |
10 |
$1,520,513.60 |
0.15% |
8.147% |
77.16% |
661 |
48.41% |
0.00% |
25.31% |
360 |
3,426 |
$945,361,641.17 |
95.76% |
8.221% |
82.41% |
646 |
57.72% |
74.71% |
8.20% |
480 |
102 |
$37,460,946.23 |
3.79% |
8.072% |
80.97% |
648 |
53.79% |
81.22% |
5.29% |
Total |
3,558 |
$987,188,515.19 |
100.00% |
8.215% |
82.34% |
646 |
57.61% |
74.63% |
8.14% |
Stated Remaining Term (months) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
61—120 |
1 |
$460,387.21 |
0.05% |
6.950% |
85.00% |
752 |
0.00% |
0.00% |
100.00% |
121—180 |
19 |
$2,385,026.98 |
0.24% |
8.251% |
77.63% |
638 |
89.69% |
0.00% |
0.00% |
181—240 |
10 |
$1,520,513.60 |
0.15% |
8.147% |
77.16% |
661 |
48.41% |
0.00% |
25.31% |
301—360 |
3,426 |
$945,361,641.17 |
95.76% |
8.221% |
82.41% |
646 |
57.72% |
74.71% |
8.20% |
>= 361 |
102 |
$37,460,946.23 |
3.79% |
8.072% |
80.97% |
648 |
53.79% |
81.22% |
5.29% |
Total |
3,558 |
$987,188,515.19 |
100.00% |
8.215% |
82.34% |
646 |
57.61% |
74.63% |
8.14% |
Debt Ratio (%) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
0.01—20.00 |
339 |
$73,159,331.42 |
7.41% |
8.329% |
81.58% |
647 |
75.65% |
71.81% |
11.07% |
20.01—25.00 |
144 |
$36,101,471.34 |
3.66% |
8.468% |
81.93% |
651 |
62.96% |
75.18% |
3.28% |
25.01—30.00 |
188 |
$44,688,250.22 |
4.53% |
8.490% |
82.34% |
633 |
56.83% |
74.59% |
12.10% |
30.01—35.00 |
303 |
$73,065,319.40 |
7.40% |
8.390% |
82.10% |
648 |
57.17% |
72.57% |
9.05% |
35.01—40.00 |
416 |
$114,587,838.45 |
11.61% |
8.117% |
80.81% |
650 |
53.26% |
76.14% |
9.13% |
40.01—45.00 |
751 |
$203,447,848.81 |
20.61% |
8.313% |
83.06% |
651 |
48.30% |
76.88% |
6.77% |
45.01—50.00 |
1,049 |
$292,968,051.13 |
29.68% |
8.269% |
83.54% |
651 |
54.73% |
73.01% |
6.31% |
50.01—55.00 |
337 |
$134,732,426.24 |
13.65% |
7.755% |
80.86% |
628 |
68.97% |
74.10% |
11.43% |
55.01—60.00 |
29 |
$12,890,767.79 |
1.31% |
7.947% |
79.66% |
605 |
72.88% |
95.55% |
7.50% |
>= 60.01 |
2 |
$1,547,210.39 |
0.16% |
7.405% |
78.89% |
585 |
100.00% |
64.50% |
0.00% |
Total |
3,558 |
$987,188,515.19 |
100.00% |
8.215% |
82.34% |
646 |
57.61% |
74.63% |
8.14% |
Product |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
ARM—2 Yr/6 Mth |
515 |
$124,971,834.57 |
12.66% |
8.906% |
81.49% |
624 |
46.07% |
100.00% |
7.05% |
ARM—2 Yr/6 Mth 40 Yr |
61 |
$22,032,876.85 |
2.23% |
8.414% |
81.81% |
644 |
44.44% |
100.00% |
4.84% |
ARM—2 Yr/6 Mth IO |
252 |
$100,896,318.48 |
10.22% |
7.581% |
80.95% |
660 |
63.20% |
100.00% |
0.00% |
ARM—3 Yr/6 Mth |
155 |
$42,381,771.99 |
4.29% |
8.681% |
79.57% |
623 |
52.35% |
100.00% |
8.59% |
ARM—3 Yr/6 Mth 40 Yr |
14 |
$5,223,316.93 |
0.53% |
8.562% |
83.16% |
624 |
36.26% |
100.00% |
0.00% |
ARM—3 Yr/6 Mth IO |
52 |
$20,020,658.90 |
2.03% |
7.087% |
78.69% |
654 |
78.84% |
100.00% |
0.00% |
ARM—5 Yr/6 Mth |
35 |
$11,411,930.68 |
1.16% |
7.738% |
79.37% |
653 |
72.49% |
100.00% |
9.29% |
ARM—5 Yr/6 Mth 40 Yr |
7 |
$3,170,573.70 |
0.32% |
7.215% |
80.38% |
666 |
92.43% |
100.00% |
15.60% |
ARM—5 Yr/6 Mth IO |
73 |
$32,766,455.94 |
3.32% |
7.120% |
79.15% |
677 |
77.64% |
100.00% |
14.58% |
Balloon—2 Yr/6 Mnth |
673 |
$292,711,881.94 |
29.65% |
8.181% |
82.46% |
636 |
47.86% |
100.00% |
4.53% |
Balloon—3 Yr/6 Mnth |
129 |
$55,636,363.24 |
5.64% |
7.960% |
83.03% |
655 |
54.48% |
100.00% |
15.73% |
Balloon—30 Year |
98 |
$34,438,312.02 |
3.49% |
7.250% |
80.02% |
651 |
84.55% |
0.00% |
26.07% |
Balloon—5 Yr/6 Mnth |
53 |
$25,521,240.92 |
2.59% |
7.167% |
81.35% |
659 |
70.32% |
100.00% |
21.80% |
Fixed—10 Year |
1 |
$460,387.21 |
0.05% |
6.950% |
85.00% |
752 |
0.00% |
0.00% |
100.00% |
Fixed—15 Year |
19 |
$2,385,026.98 |
0.24% |
8.251% |
77.63% |
638 |
89.69% |
0.00% |
0.00% |
Fixed—20 Year |
10 |
$1,520,513.60 |
0.15% |
8.147% |
77.16% |
661 |
48.41% |
0.00% |
25.31% |
Fixed—30 Year |
1,391 |
$204,604,872.49 |
20.73% |
8.762% |
85.63% |
658 |
66.09% |
0.00% |
11.10% |
Fixed—40 Year |
20 |
$7,034,178.75 |
0.71% |
7.021% |
76.99% |
672 |
78.67% |
0.00% |
5.97% |
Total |
3,558 |
$987,188,515.19 |
100.00% |
8.215% |
82.34% |
646 |
57.61% |
74.63% |
8.14% |
Interest Only |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
Interest Ony |
377 |
$153,683,433.32 |
15.57% |
7.418% |
80.27% |
663 |
68.32% |
100.00% |
3.11% |
Not Interest Only |
3,181 |
$833,505,081.87 |
84.43% |
8.362% |
82.72% |
642 |
55.64% |
69.95% |
9.07% |
Total |
3,558 |
$987,188,515.19 |
100.00% |
8.215% |
82.34% |
646 |
57.61% |
74.63% |
8.14% |
Interest Only Term (months) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
N/A |
3,181 |
$833,505,081.87 |
84.43% |
8.362% |
82.72% |
642 |
55.64% |
69.95% |
9.07% |
24 |
252 |
$100,896,318.48 |
10.22% |
7.581% |
80.95% |
660 |
63.20% |
100.00% |
0.00% |
36 |
52 |
$20,020,658.90 |
2.03% |
7.087% |
78.69% |
654 |
78.84% |
100.00% |
0.00% |
60 |
73 |
$32,766,455.94 |
3.32% |
7.120% |
79.15% |
677 |
77.64% |
100.00% |
14.58% |
Total |
3,558 |
$987,188,515.19 |
100.00% |
8.215% |
82.34% |
646 |
57.61% |
74.63% |
8.14% |
Prepayment Penalty Term (months) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
N/A |
779 |
$189,980,860.04 |
19.24% |
9.029% |
83.22% |
641 |
47.58% |
76.11% |
4.88% |
12 |
295 |
$104,000,221.81 |
10.53% |
8.394% |
81.75% |
648 |
58.17% |
87.00% |
6.62% |
24 |
1,333 |
$363,344,330.86 |
36.81% |
8.373% |
83.32% |
641 |
52.98% |
88.57% |
4.53% |
36 |
1,151 |
$329,863,102.48 |
33.41% |
7.516% |
80.92% |
653 |
68.32% |
54.52% |
14.48% |
Total |
3,558 |
$987,188,515.19 |
100.00% |
8.215% |
82.34% |
646 |
57.61% |
74.63% |
8.14% |
Lien Position |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
First Lien |
2,646 |
$907,496,798.71 |
91.93% |
7.964% |
80.82% |
644 |
58.41% |
81.18% |
8.86% |
Second Lien |
912 |
$79,691,716.48 |
8.07% |
11.079% |
99.62% |
663 |
48.47% |
0.00% |
0.00% |
Total |
3,558 |
$987,188,515.19 |
100.00% |
8.215% |
82.34% |
646 |
57.61% |
74.63% |
8.14% |
Documentation Type |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
Full |
1,989 |
$568,735,674.26 |
57.61% |
7.846% |
82.19% |
636 |
100.00% |
69.63% |
10.59% |
Limited |
233 |
$56,681,738.35 |
5.74% |
8.214% |
83.77% |
637 |
0.00% |
80.80% |
6.19% |
Stated |
1,336 |
$361,771,102.58 |
36.65% |
8.797% |
82.34% |
662 |
0.00% |
81.53% |
4.59% |
Total |
3,558 |
$987,188,515.19 |
100.00% |
8.215% |
82.34% |
646 |
57.61% |
74.63% |
8.14% |
Loan Purpose |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
Cash-Out Refi |
1,092 |
$433,904,475.45 |
43.95% |
7.848% |
79.76% |
630 |
64.64% |
71.71% |
11.99% |
Purchase |
2,089 |
$434,685,439.67 |
44.03% |
8.635% |
84.84% |
661 |
45.49% |
80.75% |
3.81% |
Rate/Term Refi |
377 |
$118,598,600.07 |
12.01% |
8.020% |
82.58% |
648 |
76.33% |
62.91% |
9.95% |
Total |
3,558 |
$987,188,515.19 |
100.00% |
8.215% |
82.34% |
646 |
57.61% |
74.63% |
8.14% |
Property Type |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
Condominium |
291 |
$71,348,147.43 |
7.23% |
8.317% |
83.10% |
659 |
46.77% |
79.95% |
5.95% |
Planned Unit Developement |
468 |
$139,266,559.12 |
14.11% |
8.195% |
82.65% |
644 |
62.73% |
78.35% |
10.01% |
Single Family |
2,540 |
$704,758,208.67 |
71.39% |
8.190% |
82.32% |
644 |
58.43% |
73.18% |
7.94% |
Townhouse |
10 |
$877,288.46 |
0.09% |
9.118% |
89.28% |
671 |
61.17% |
51.83% |
36.48% |
Two to Four Family |
249 |
$70,938,311.51 |
7.19% |
8.391% |
81.02% |
656 |
50.29% |
76.69% |
8.32% |
Total |
3,558 |
$987,188,515.19 |
100.00% |
8.215% |
82.34% |
646 |
57.61% |
74.63% |
8.14% |
Occupancy Type |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
Investor |
529 |
$85,092,599.74 |
8.62% |
9.420% |
85.42% |
671 |
38.70% |
90.22% |
10.65% |
Owner-Occupied |
2,984 |
$886,251,532.67 |
89.78% |
8.098% |
82.04% |
643 |
59.59% |
72.79% |
7.74% |
Second Home |
45 |
$15,844,382.78 |
1.61% |
8.322% |
82.32% |
643 |
48.38% |
93.74% |
17.13% |
Total |
3,558 |
$987,188,515.19 |
100.00% |
8.215% |
82.34% |
646 |
57.61% |
74.63% |
8.14% |
Loan Type |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
Adj Rate Mortgage |
2,019 |
$736,745,224.14 |
74.63% |
8.121% |
81.60% |
642 |
53.75% |
100.00% |
6.44% |
Fixed Rate Mortgage |
1,539 |
$250,443,291.05 |
25.37% |
8.494% |
84.49% |
657 |
68.97% |
0.00% |
13.16% |
Total |
3,558 |
$987,188,515.19 |
100.00% |
8.215% |
82.34% |
646 |
57.61% |
74.63% |
8.14% |
Gross Margin (%) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
<= 4.999 |
1,814 |
$650,252,833.60 |
88.26% |
8.040% |
81.83% |
648 |
52.67% |
100.00% |
7.06% |
5.000—5.999 |
176 |
$72,925,340.16 |
9.90% |
8.653% |
81.22% |
604 |
60.24% |
100.00% |
2.10% |
6.000—6.999 |
25 |
$11,798,380.63 |
1.60% |
8.996% |
72.90% |
564 |
71.01% |
100.00% |
0.00% |
>= 7.000 |
4 |
$1,768,669.75 |
0.24% |
9.953% |
72.67% |
557 |
66.09% |
100.00% |
0.00% |
Total |
2,019 |
$736,745,224.14 |
100.00% |
8.121% |
81.60% |
642 |
53.75% |
100.00% |
6.44% |
Minimum Interest Rate (%) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
5.000—5.499 |
2 |
$855,200.00 |
0.12% |
5.400% |
80.00% |
746 |
100.00% |
100.00% |
0.00% |
5.500—5.999 |
38 |
$16,998,662.01 |
2.31% |
5.806% |
77.33% |
693 |
95.82% |
100.00% |
18.49% |
6.000—6.499 |
72 |
$33,427,397.90 |
4.54% |
6.303% |
77.93% |
660 |
85.99% |
100.00% |
11.54% |
6.500—6.999 |
162 |
$73,281,943.83 |
9.95% |
6.768% |
80.94% |
659 |
80.82% |
100.00% |
10.24% |
7.000—7.499 |
264 |
$108,894,515.46 |
14.78% |
7.267% |
79.57% |
649 |
65.64% |
100.00% |
7.39% |
7.500—7.999 |
342 |
$134,667,226.80 |
18.28% |
7.747% |
80.28% |
647 |
50.69% |
100.00% |
5.31% |
8.000—8.499 |
270 |
$109,014,387.33 |
14.80% |
8.249% |
81.66% |
641 |
44.83% |
100.00% |
6.16% |
8.500—8.999 |
279 |
$111,239,773.42 |
15.10% |
8.736% |
82.05% |
637 |
39.28% |
100.00% |
5.36% |
9.000—9.499 |
141 |
$46,029,962.84 |
6.25% |
9.249% |
82.99% |
625 |
35.41% |
100.00% |
6.02% |
9.500—9.999 |
174 |
$47,754,448.08 |
6.48% |
9.723% |
85.91% |
621 |
41.56% |
100.00% |
3.76% |
10.000—10.499 |
109 |
$27,441,365.61 |
3.72% |
10.215% |
88.28% |
605 |
54.22% |
100.00% |
1.34% |
10.500—10.999 |
98 |
$16,941,075.11 |
2.30% |
10.702% |
86.18% |
612 |
27.79% |
100.00% |
0.72% |
11.000—11.499 |
44 |
$7,928,100.62 |
1.08% |
11.174% |
87.02% |
582 |
22.93% |
100.00% |
0.00% |
11.500—11.999 |
17 |
$1,873,572.78 |
0.25% |
11.699% |
89.16% |
595 |
52.49% |
100.00% |
0.00% |
12.000—12.499 |
4 |
$220,394.73 |
0.03% |
12.148% |
90.00% |
661 |
23.67% |
100.00% |
0.00% |
12.500—12.999 |
2 |
$103,413.21 |
0.01% |
12.604% |
90.00% |
637 |
0.00% |
100.00% |
0.00% |
13.000—13.499 |
1 |
$73,784.41 |
0.01% |
13.350% |
90.00% |
632 |
0.00% |
100.00% |
0.00% |
Total |
2,019 |
$736,745,224.14 |
100.00% |
8.121% |
81.60% |
642 |
53.75% |
100.00% |
6.44% |
Maximum Interest Rate (%) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
11.000—11.499 |
2 |
$855,200.00 |
0.12% |
5.400% |
80.00% |
746 |
100.00% |
100.00% |
0.00% |
11.500—11.999 |
38 |
$16,998,662.01 |
2.31% |
5.806% |
77.33% |
693 |
95.82% |
100.00% |
18.49% |
12.000—12.499 |
72 |
$33,427,397.90 |
4.54% |
6.303% |
77.93% |
660 |
85.99% |
100.00% |
11.54% |
12.500—12.999 |
162 |
$73,281,943.83 |
9.95% |
6.768% |
80.94% |
659 |
80.82% |
100.00% |
10.24% |
13.000—13.499 |
264 |
$108,894,515.46 |
14.78% |
7.267% |
79.57% |
649 |
65.64% |
100.00% |
7.39% |
13.500—13.999 |
342 |
$134,667,226.80 |
18.28% |
7.747% |
80.28% |
647 |
50.69% |
100.00% |
5.31% |
14.000—14.499 |
270 |
$109,014,387.33 |
14.80% |
8.249% |
81.66% |
641 |
44.83% |
100.00% |
6.16% |
14.500—14.999 |
279 |
$111,239,773.42 |
15.10% |
8.736% |
82.05% |
637 |
39.28% |
100.00% |
5.36% |
15.000—15.499 |
141 |
$46,029,962.84 |
6.25% |
9.249% |
82.99% |
625 |
35.41% |
100.00% |
6.02% |
15.500—15.999 |
174 |
$47,754,448.08 |
6.48% |
9.723% |
85.91% |
621 |
41.56% |
100.00% |
3.76% |
16.000—16.499 |
109 |
$27,441,365.61 |
3.72% |
10.215% |
88.28% |
605 |
54.22% |
100.00% |
1.34% |
16.500—16.999 |
98 |
$16,941,075.11 |
2.30% |
10.702% |
86.18% |
612 |
27.79% |
100.00% |
0.72% |
17.000—17.499 |
44 |
$7,928,100.62 |
1.08% |
11.174% |
87.02% |
582 |
22.93% |
100.00% |
0.00% |
17.500—17.999 |
17 |
$1,873,572.78 |
0.25% |
11.699% |
89.16% |
595 |
52.49% |
100.00% |
0.00% |
18.000—18.499 |
4 |
$220,394.73 |
0.03% |
12.148% |
90.00% |
661 |
23.67% |
100.00% |
0.00% |
18.500—18.999 |
2 |
$103,413.21 |
0.01% |
12.604% |
90.00% |
637 |
0.00% |
100.00% |
0.00% |
19.000—19.499 |
1 |
$73,784.41 |
0.01% |
13.350% |
90.00% |
632 |
0.00% |
100.00% |
0.00% |
Total |
2,019 |
$736,745,224.14 |
100.00% |
8.121% |
81.60% |
642 |
53.75% |
100.00% |
6.44% |
Initial Periodic Cap (%) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
1.000 |
252 |
$100,896,318.48 |
13.69% |
7.581% |
80.95% |
660 |
63.20% |
100.00% |
0.00% |
2.000 |
1,249 |
$439,716,593.36 |
59.68% |
8.399% |
82.15% |
633 |
47.18% |
100.00% |
5.26% |
3.000 |
518 |
$196,132,312.30 |
26.62% |
7.774% |
80.72% |
651 |
63.61% |
100.00% |
12.38% |
Total |
2,019 |
$736,745,224.14 |
100.00% |
8.121% |
81.60% |
642 |
53.75% |
100.00% |
6.44% |
Subsequent Periodic Cap (%) |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
1.000 |
2,019 |
$736,745,224.14 |
100.00% |
8.121% |
81.60% |
642 |
53.75% |
100.00% |
6.44% |
Total |
2,019 |
$736,745,224.14 |
100.00% |
8.121% |
81.60% |
642 |
53.75% |
100.00% |
6.44% |
Next Rate Change Date |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
9/1/2008 |
3 |
$1,447,629.24 |
0.20% |
8.774% |
80.00% |
630 |
45.79% |
100.00% |
0.00% |
10/1/2008 |
5 |
$1,886,216.34 |
0.26% |
8.287% |
85.88% |
633 |
100.00% |
100.00% |
0.00% |
11/1/2008 |
21 |
$8,347,584.13 |
1.13% |
8.048% |
80.37% |
663 |
62.40% |
100.00% |
0.00% |
12/1/2008 |
48 |
$11,488,664.62 |
1.56% |
8.429% |
83.37% |
645 |
39.10% |
100.00% |
7.58% |
1/1/2009 |
615 |
$241,508,153.74 |
32.78% |
8.169% |
82.30% |
640 |
48.37% |
100.00% |
4.33% |
2/1/2009 |
728 |
$247,481,541.78 |
33.59% |
8.299% |
81.57% |
636 |
50.75% |
100.00% |
4.37% |
3/1/2009 |
81 |
$28,453,121.99 |
3.86% |
8.398% |
81.58% |
634 |
58.24% |
100.00% |
3.60% |
10/1/2009 |
3 |
$735,500.66 |
0.10% |
7.942% |
81.14% |
636 |
40.28% |
100.00% |
0.00% |
11/1/2009 |
8 |
$1,753,647.13 |
0.24% |
9.091% |
82.24% |
613 |
57.85% |
100.00% |
4.97% |
12/1/2009 |
8 |
$2,183,965.52 |
0.30% |
8.286% |
86.50% |
649 |
64.58% |
100.00% |
43.63% |
1/1/2010 |
145 |
$55,554,068.40 |
7.54% |
7.935% |
81.67% |
644 |
62.54% |
100.00% |
7.60% |
2/1/2010 |
171 |
$57,695,807.77 |
7.83% |
8.194% |
80.60% |
642 |
51.44% |
100.00% |
11.76% |
3/1/2010 |
15 |
$5,339,121.58 |
0.72% |
8.226% |
78.88% |
638 |
56.74% |
100.00% |
6.40% |
8/1/2011 |
2 |
$1,165,000.00 |
0.16% |
9.062% |
83.27% |
686 |
29.18% |
100.00% |
0.00% |
11/1/2011 |
5 |
$1,824,923.87 |
0.25% |
7.493% |
74.69% |
683 |
52.29% |
100.00% |
0.00% |
12/1/2011 |
6 |
$3,215,925.54 |
0.44% |
7.234% |
82.22% |
659 |
82.27% |
100.00% |
0.00% |
1/1/2012 |
65 |
$29,367,849.08 |
3.99% |
7.188% |
79.33% |
663 |
80.97% |
100.00% |
16.11% |
2/1/2012 |
85 |
$35,341,822.32 |
4.80% |
7.244% |
80.33% |
667 |
70.50% |
100.00% |
18.83% |
3/1/2012 |
5 |
$1,954,680.43 |
0.27% |
6.540% |
83.71% |
684 |
100.00% |
100.00% |
26.24% |
Total |
2,019 |
$736,745,224.14 |
100.00% |
8.121% |
81.60% |
642 |
53.75% |
100.00% |
6.44% |
Location |
# of Loans |
Current Principal Balance($) |
Pct by Curr Prin Bal(%) |
Weighted Average Gross Coupon(%) |
Weighted Average Orig LTV(%) |
Weighted Average FICO |
Full Doc (%) |
ARM (%) |
MI (%) |
Alabama |
26 |
$5,329,296.40 |
0.54% |
8.488% |
83.72% |
645 |
82.33% |
62.07% |
8.25% |
Alaska |
8 |
$2,074,311.79 |
0.21% |
7.069% |
74.96% |
654 |
96.79% |
29.24% |
19.81% |
Arizona |
50 |
$13,366,604.74 |
1.35% |
8.466% |
79.58% |
623 |
71.66% |
76.57% |
9.86% |
Arkansas |
3 |
$771,927.85 |
0.08% |
7.296% |
77.43% |
652 |
100.00% |
12.29% |
0.00% |
California |
1,454 |
$481,019,118.19 |
48.73% |
8.131% |
82.61% |
650 |
53.21% |
80.39% |
3.55% |
Colorado |
41 |
$12,267,813.58 |
1.24% |
8.059% |
81.44% |
647 |
61.66% |
82.99% |
14.23% |
Connecticut |
26 |
$8,157,667.08 |
0.83% |
8.334% |
80.98% |
636 |
58.96% |
60.85% |
8.49% |
Delaware |
4 |
$985,153.97 |
0.10% |
8.677% |
86.54% |
584 |
100.00% |
44.13% |
26.02% |
District of Columbia |
22 |
$9,428,241.17 |
0.96% |
8.126% |
85.51% |
652 |
52.39% |
68.08% |
21.16% |
Florida |
317 |
$70,157,710.71 |
7.11% |
8.522% |
82.25% |
643 |
48.18% |
72.87% |
5.01% |
Georgia |
44 |
$13,479,679.91 |
1.37% |
8.497% |
85.76% |
624 |
63.29% |
76.23% |
14.25% |
Hawaii |
18 |
$7,454,564.01 |
0.76% |
7.574% |
77.15% |
658 |
85.13% |
60.59% |
10.89% |
Idaho |
11 |
$2,438,460.81 |
0.25% |
8.043% |
88.08% |
629 |
86.75% |
84.67% |
50.73% |
Illinois |
91 |
$22,027,741.52 |
2.23% |
8.685% |
82.36% |
659 |
51.87% |
75.18% |
10.92% |
Indiana |
59 |
$5,265,128.92 |
0.53% |
9.991% |
89.37% |
659 |
45.28% |
64.32% |
30.59% |
Iowa |
2 |
$68,130.70 |
0.01% |
9.550% |
88.27% |
614 |
100.00% |
58.64% |
0.00% |
Kansas |
3 |
$239,616.07 |
0.02% |
9.659% |
90.00% |
611 |
100.00% |
100.00% |
28.71% |
Kentucky |
11 |
$2,890,781.83 |
0.29% |
8.120% |
82.58% |
634 |
95.62% |
89.42% |
19.75% |
Louisiana |
7 |
$1,407,037.90 |
0.14% |
8.793% |
90.80% |
634 |
91.57% |
48.77% |
51.23% |
Maine |
11 |
$2,259,157.07 |
0.23% |
7.581% |
81.43% |
592 |
84.87% |
41.30% |
47.09% |
Maryland |
120 |
$36,846,091.34 |
3.73% |
7.568% |
81.81% |
658 |
58.89% |
71.30% |
21.88% |
Massachusetts |
44 |
$14,608,261.12 |
1.48% |
8.885% |
76.73% |
612 |
56.88% |
76.63% |
2.66% |
Michigan |
96 |
$13,228,890.61 |
1.34% |
9.297% |
84.79% |
649 |
50.56% |
77.93% |
13.73% |
Minnesota |
19 |
$3,551,409.64 |
0.36% |
8.678% |
84.37% |
654 |
32.49% |
69.93% |
12.41% |
Missouri |
48 |
$4,709,094.95 |
0.48% |
9.136% |
86.75% |
630 |
59.35% |
70.55% |
22.86% |
Montana |
4 |
$560,119.53 |
0.06% |
7.987% |
78.10% |
664 |
21.39% |
70.83% |
0.00% |
Nebraska |
8 |
$1,365,139.20 |
0.14% |
8.820% |
90.33% |
604 |
98.10% |
34.81% |
45.59% |
Nevada |
13 |
$5,580,218.75 |
0.57% |
7.721% |
79.70% |
654 |
84.38% |
72.91% |
9.12% |
New Hampshire |
2 |
$579,839.60 |
0.06% |
6.880% |
84.43% |
602 |
100.00% |
0.00% |
81.42% |
New Jersey |
113 |
$36,656,923.32 |
3.71% |
8.697% |
82.68% |
636 |
52.67% |
81.74% |
5.63% |
New Mexico |
11 |
$1,877,055.77 |
0.19% |
8.513% |
79.90% |
647 |
44.82% |
67.39% |
0.00% |
New York |
132 |
$53,279,505.32 |
5.40% |
7.477% |
80.36% |
647 |
74.21% |
52.01% |
22.43% |
North Carolina |
28 |
$6,474,580.85 |
0.66% |
8.490% |
85.62% |
633 |
79.52% |
83.40% |
28.80% |
Ohio |
25 |
$3,833,927.58 |
0.39% |
8.058% |
85.35% |
636 |
83.96% |
72.31% |
9.34% |
Oklahoma |
11 |
$822,290.56 |
0.08% |
9.479% |
87.53% |
654 |
38.95% |
44.32% |
25.16% |
Oregon |
64 |
$16,985,219.39 |
1.72% |
8.010% |
83.05% |
639 |
68.16% |
68.10% |
14.10% |
Pennsylvania |
58 |
$9,275,390.58 |
0.94% |
8.683% |
82.03% |
634 |
60.60% |
71.06% |
20.42% |
Rhode Island |
5 |
$2,470,311.32 |
0.25% |
7.895% |
81.07% |
635 |
70.07% |
51.17% |
0.00% |
South Carolina |
2 |
$467,331.95 |
0.05% |
8.648% |
90.51% |
620 |
100.00% |
80.57% |
80.57% |
Tennessee |
30 |
$3,637,562.59 |
0.37% |
9.443% |
88.11% |
646 |
40.42% |
64.13% |
7.38% |
Texas |
309 |
$50,959,885.14 |
5.16% |
8.574% |
81.10% |
644 |
58.75% |
54.09% |
4.06% |
Utah |
8 |
$1,843,272.32 |
0.19% |
8.143% |
83.12% |
622 |
25.09% |
76.92% |
26.25% |
Vermont |
4 |
$2,192,772.74 |
0.22% |
7.333% |
80.49% |
669 |
68.11% |
74.60% |
0.00% |
Virginia |
52 |
$16,824,996.58 |
1.70% |
8.374% |
82.49% |
634 |
56.64% |
85.67% |
1.63% |
Washington |
125 |
$35,094,299.65 |
3.55% |
7.984% |
81.93% |
632 |
76.72% |
76.21% |
13.03% |
West Virginia |
4 |
$321,737.20 |
0.03% |
7.752% |
68.56% |
624 |
66.47% |
33.53% |
0.00% |
Wisconsin |
14 |
$1,962,372.84 |
0.20% |
8.577% |
81.26% |
612 |
79.26% |
69.78% |
18.39% |
Wyoming |
1 |
$91,870.53 |
0.01% |
7.850% |
52.87% |
596 |
100.00% |
0.00% |
0.00% |
Total |
3,558 |
$987,188,515.19 |
100.00% |
8.215% |
82.34% |
646 |
57.61% |
74.63% |
8.14% |
This ‘FWP’ Filing | Date | Other Filings | ||
---|---|---|---|---|
4/25/37 | ||||
4/10/07 | 8-K, 8-K/A | |||
Filed as of: | 4/5/07 | 424B5 | ||
Filed on: | 4/4/07 | |||
4/2/07 | ||||
4/1/07 | ||||
List all Filings |