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Citigroup HELOC Trust 2006-NCB1 – ‘FWP’ on 5/18/06 re: Citigroup HELOC Trust 2006-NCB1

On:  Thursday, 5/18/06, at 5:03pm ET   ·   Accession #:  882377-6-1741   ·   File #:  333-131136-03

Previous ‘FWP’:  ‘FWP’ on 5/18/06   ·   Next:  ‘FWP’ on 5/19/06   ·   Latest:  ‘FWP’ on 5/22/06

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  As Of                Filer                Filing    For·On·As Docs:Size              Issuer               Agent

 5/18/06  Citigroup HELOC Trust 2006-NCB1   FWP                    1:4.2M Citigroup HELOC Trust 2006-NCB1   Thacher Proffitt… LLP/FA

Free Writing Prospectus   —   Rule 163/433
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: FWP         Citigroup Mortgage Loan Trust, Inc.                 HTML   1.88M 


This is an HTML Document rendered as filed.  [ Alternative Formats ]



  Unassociated Document  

Filed pursuant to Rule 433(d)
Registration Statement No. 333-131139


Term Sheet                                       Date Prepared: May 17, 2006


Citigroup HELOC Trust 2006-NCB1 Notes and Certificates,
citigroup logo
Series 2006-NCB1


Approximate Total Offered Size: $794,331,000
Citigroup Global Markets Realty Corp.
Seller
National City Bank
Originator and Servicer
Citigroup Mortgage Loan Trust, Inc.
Depositor
 

 
Tranche
 
Amount(1)
 
Int. Type / Class
 
Cpns (2)
 
Ratings
(S&P/Moodys)
WAL (Call/
Mat)(3)
Window (Call/
Mat)(3)
OFFERED NOTES
Class 2A-1
$548,391,000
Variable /Senior
[ ]
AAA
Aaa
1.00/1.00
1-30 /1-30
Class 2A-2
$106,392,000
Variable /Senior
[ ]
AAA
Aaa
3.00/3.00
30-44 / 30-44
Class 2A-3
$129,678,000
Variable /Senior
[ ]
AAA
Aaa
4.48/5.47
44-57 / 44-113
Class M
$9,870,000
Variable/ Subordinate
[ ]
BBB
NR
1.85/2.01
1-57 / 1-113
NON-OFFERED NOTES
Class 1A-1 oes
$237,826,000
Variable /Senior
[ ]
AAA
Aaa
1.85/2.01
1-57 / 1-113
NON-OFFERED CERTIFICATES
Class N
$0
Variable/Senior
         
Class C
 
N/A/ Subordinate
         
Class R
 
N/A Residual
         
 
(1)
Sizes are subject to change (+/- 5%)
(2)
The interest bearing securities will bear interest at variable rates based on one-month LIBOR plus the applicable margin, subject to the related net wac rate cap and maximum cap described herein.
(3)
Based on Pricing Prepayment Assumption. Maturity is defined as the conversion repurchase date at the end of the draw period.

Transaction Overview:
Lead Manager:
 
Citigroup Global Markets, Inc
Expected Pricing Date:
 
Co-Manager
 
NatCity Investments, Inc.
Expected Settlement Date:
 
Rating Agencies:
 
S&P / Moody’s
Securities Administrator
 
Citibank N.A.
IndentureTrustee:
 
U.S. Bank National Association
     

 



For Further Information:

Mortgage Finance
Joel Katz 212-723-6508
Paul Humphrey 212-723-9548
Venkat Veerubhotla 212-723-6662
Kathryn Ebner 212-723-6879
MBS Trading
Eliot Rubenzahl 212-723-6325
Ted Counihan 212-723-6325
MBS Structuring
Oleg Saitskiy 212-723-4589
 

 
The issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this free writing prospectus relates. Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Website at www.sec.gov. Alternatively, the issuer, any underwriter or any dealer participating in the offering will arrange to send you the prospectus if you request it by calling 1-877-858-5407
 
This free writing prospectus 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 free writing prospectus is preliminary and is subject to completion or change.
 
The information in this free writing prospectus, if conveyed prior to the time of your commitment to purchase, supersedes information contained in any prior similar free writing prospectus relating to these securities.
 
This free writing prospectus is not an offer to sell or a solicitation of an offer to buy these securities in any state where such offer, solicitation or sale is not permitted.
 
The information in this free writing prospectus may be based on preliminary assumptions about the pool assets and the structure. Any such assumptions are subject to change.
 
The information in this free writing prospectus may reflect parameters, metrics or scenarios specifically requested by you. If so, prior to the time of your commitment to purchase, you should request updated information based on any parameters, metrics or scenarios specifically required by you.
 
This free writing prospectus is being delivered to you solely to provide you with information about the offering of the asset-backed securities referred to in this free writing prospectus 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
 



 

 
Transaction Overview
 
Title of the Securities:
Citigroup HELOC Trust 2006-NCB1Notes and Certificates, Series 2006-NCB1
Issuing Entity:
Citigroup HELOC Trust 2006-NCB1
Depositor:
Citigroup Mortgage Loan Trust Inc.
Underwriters:
Citigroup Global Markets Inc. and Nat City Investments, Inc.
Securities Administrator:
Citibank N.A.
Originator:
National City Bank
Servicer:
National City Bank
Seller:
Citigroup Global Markets Realty Corp.
IndentureTrustee:
U.S. Bank National Association
Owner Trustee
Wilmington Trust Company
Insurer
Certain payments on the Class A Notes will be unconditionally and irrevocably insured under a note guaranty insurance policy issued by Ambac Assurance Corporation. The policy will also insure certain payments on the Class N Certificates.
Settlement Date:
On or about May 23, 2006.
Payment Date:
Payments of principal and interest on the notes will be made on the 15th day of each month or, if such day is not a business day, on the first business day thereafter commencing in June 2006.
Static Pool Data:
Static Pool Data is available at https://www2.citimortgage.com/Remic/ in the Reg AB section for the CMLTI shelf.
Offered Notes:
Classes 2A-1, 2A-2, 2A-3 and M Notes.
Non-Offered Notes:
Class 1A-1 Notes.
Class A Notes
Classes 1A-1, 2A-1, 2A-2 and 2A-3 Notes.
Non-Offered Certificates:
Classes N, C and R Certificates.
Group 1 Notes
Class 1A-1 Notes which evidence interests in the Group 1 HELOCs.
Group 2 Notes
Class 2A-1, 2A-2 and 2A-3 Notes which evidence interests in the Group 2 HELOCs.
Cut-Off Date:
Collection Period:
For any Payment Date, the calendar month prior to that payment date.
Record Date:
For any Payment Date, the business day immediately preceding that payment date.
Legal Final Maturity:
For each class of notes, the legal final maturity is expected to be May 2036.
Legal Investment:
It is anticipated that the notes will not be SMMEA eligible.




 


Transaction Overview

ERISA Eligible:
The Class A Notes and Class M Notes are expected to be eligible for purchase by or on behalf of employee benefit plans subject to Title I of the Employee Retirement Income Security Act of 1974 and plans subject to Section 4975 of the Internal Revenue Code of 1986, subject to the considerations described in the prospectus.
 
Tax Treatment:
Portions of the trust will be treated as multiple real estate mortgage investment conduits, or REMICs, for federal income tax purposes.
The notes will represent regular interests in a REMIC, which will be treated as debt instruments of a REMIC, and interests in certain basis risk interest carry forward payments, pursuant to the payment priorities in the transaction. Each interest in basis risk interest carry forward payments will be treated as an interest rate cap contract for federal income tax purposes.
 
Minimum Denominations:
$100,000 and multiples of $1 in excess thereof.
 
Form of Registration:
All the notes will be issued in book-entry form through DTC.

Structure:
Senior/Subordinate/Overcollateralization
 
Pricing Speed:
45% CPR / 10% Draw Rate

Mortgage Pool:
The trust estate will consist primarily of adjustable-rate, first and junior lien, revolving home equity line of credit loans, referred to as the loans or HELOCs. The loans will have an aggregate principal balance as of the cut-off date of approximately $1,038,910,845, subject to a permitted variance of plus or minus 5%. The loans will be acquired by the issuer on the settlement date and held by the indenture trustee for the benefit of the noteholders, the certificateholders and the note insurer. The characteristics of the pool of HELOCs delivered on the settlement Date are not expected to differ materially from the characteristics of the HELOCs described herein although the range of mortgage rates, maturities and certain other characteristics of the HELOCs set forth in this term-sheet may vary by as much as 5%.
 
The loans will be divided into two loan groups, designated as loan group 1 and loan group 2. The loans in loan group 1 are sometimes referred to as the group 1 loans, and the loans in group 2 are sometimes referred to as the group 2 loans. Loan group 1 will consist of loans with credit limits that conform to Freddie Mac loan principal balance limits, and loan group 2 will consist of loans with credit limits that may or may not conform to Freddie Mac loan principal balance limits. In addition, certain of the conforming balance loans included in loan group 2 might otherwise have been included in loan group 1, but were excluded from loan group 1 because they did not meet Freddie Mac criteria (including published guidelines) for factors other than principal balance.
 
The group 1 loans will have an aggregate principal balance as of the cut-off date of approximately $241,678,057. The group 2 loans will have an aggregate principal balance as of the cut-off date of approximately $797,232,787.
 
Servicing Fee Rate:
0.50% per annum
 
Note Insurer Premium Rate:
0.105% per annum

 




Transaction Overview
 
Note Rate:
For any Interest Accrual Period with respect any class of notes will be a per annum rate equal to the lesser of (a) the related Formula Rate for such Interest Accrual Period and (b) the related Net WAC Rate for such Interest Accrual Period.
 
Pass-Through Rate:
For any Interest Accrual Period with respect the Class N Certificates will be a per annum rate equal to the lesser of (a) the related Formula Rate for such Interest Accrual Period and (b) the related Net WAC Rate for such Interest Accrual Period.
 
Formula Rate:
For the Class A Notes, Class N Certificates or Class M Notes and any Interest Accrual Period will be a per annum rate equal to the lesser of (a) the Base Rate for such class for such Interest Accrual Period and (b) the related Maximum Cap Rate for such class for such Interest Accrual Period.
 
Base Rate:
For the Class A Notes, Class N Certificates or Class M Notes and any Interest Accrual Period will be a per annum rate equal to the sum of (a) One-Month LIBOR as of the related Interest Determination Date and (b) a related margin (the “Note Margin”).
 
Class 1A-1 Net WAC Rate:
For any Interest Accrual Period, a per annum rate (subject to adjustment based on the actual number of days elapsed in the related Interest Accrual Period) equal to the excess, if any, of (i) the weighted average of the Expense Adjusted Net Loan Rates of the group 1 loans over (ii) the Note Insurer Premium Rate;
 
Class 2A Net WAC Rate:
For any Interest Accrual Period, a per annum rate (subject to adjustment based on the actual number of days elapsed in the related Interest Accrual Period) equal to the excess, if any, of (i) the weighted average of the Expense Adjusted Net Loan Rates of the group 2 loans over (ii) the Note Insurer Premium Rate;
 
Class M Net WAC Rate:
For any Interest Accrual Period, a per annum rate (subject to adjustment based on the actual number of days elapsed in the related Accrual Period) equal to the product (expressed as a percentage) of (x) the excess, if any, of (a) an amount equal to (i) the weighted average of the Expense Adjusted Net Loan Rates of the loans accrued on (ii) the aggregate Principal Balance of the loans minus the certificate principal balance of the Class N Certificates over (b) the sum of (I) an amount equal to the Net WAC Rate for the Class 1A-1 Notes accrued on the note principal balance of the Class 1A-1 Notes, (II) an amount equal to the Net WAC Rate for the Class 2A Notes accrued on the aggregate note principal balance of the Class 2A Notes and (III) an amount equal to the weighted average of the Expense Adjusted Net Loan Rates of the loans accrued on the certificate principal balance of the Class C Certificates and (y) a fraction, the numerator of which is twelve and the denominator of which is the note principal balance of the Class M Notes.
 
Expense Adjusted Net Loan Rate:
For any HELOC and any Interest Accrual Period will be a per annum rate equal to the applicable Loan Rate for such HELOC as of the first day of the month preceding the month in which the related payment date occurs minus the Servicing Fee Rate.
 
Expense Adjusted Net Maximum Loan Rate:
For any HELOC and any Interest Accrual Period will be a per annum rate equal to the applicable Maximum Loan Rate for such HELOC as of the first day of the month preceding the month in which the related payment date occurs minus the Servicing Fee Rate.
 
Maximum Cap Rate:
For any Interest Accrual Period and:
·  for the Class A Notes and the Class N Certificates a per annum rate (subject to adjustment based on the actual number of days elapsed in the related Interest Accrual Period) equal to the excess, if any, of (i) the weighted average of the Expense Adjusted Net Maximum Loan Rates of the loans over (ii) the Note Insurer Premium Rate; and
·  for the Class M Notes a per annum rate (subject to adjustment based on the actual number of days elapsed in the related Interest Accrual Period) equal to the weighted average of the Expense Adjusted Net Maximum Loan Rates of the loans.


Transaction Overview
 
Net WAC Rate Carryover Amount:
For any class of notes or the Class N Certificates and a Payment Date an amount equal to the sum of (i) the excess of (x) the amount of interest such class would have accrued for such payment date had the Note Rate or Pass-Through Rate, as applicable, thereon been the related Formula Rate, over (y) the amount of interest such class accrued for such payment date at the related Net WAC Rate and (ii) the unpaid portion of any related Net WAC Rate Carryover Amount from the prior payment date together with interest accrued on such unpaid portion for the most recently ended Interest Accrual Period at the Formula Rate applicable for such class for such Interest Accrual Period. Any Net WAC Rate Carryover Amount on a class of notes or on the Class N Certificates for any payment date will be paid on such payment date or future payment dates from and to the extent of funds available therefor as described below.
 
Interest Accrual Period
For any payment date for any class of notes or for the Class N Certificates will be the period commencing on the preceding payment date and ending on the business day immediately preceding the current payment date. With respect to the any class of notes and with respect to the Class N Certificates, interest in respect of any payment date will accrue during the related Interest Accrual Period on the basis of a 360-day year and the actual number of days elapsed.
 
Excess Interest:
Excess interest, to the extent it is not used for other required purposes, including to absorb realized losses on the HELOCs, to cover interest shortfalls on the Certificates or to fund any Overcollateralization Increase Amount and pay back applied realized loss amounts, will be available to make distributions of Net WAC Rate Carryover Amounts to the notes and the Certificates.
 
 
Available Funds:
For any Payment Date, will be equal to the sum of the following amounts with respect to the HELOCs: (i) the aggregate amount of monthly payments on the HELOCs received by the servicer during the related collection period and (ii) unscheduled collections in respect of the HELOCs received by the servicer during the related collection period, including prepayments, insurance proceeds, net liquidation proceeds, Subsequent Recoveries, proceeds from repurchases of and substitutions for HELOCs occurring during the related collection period and proceeds of any optional redemption effected by the servicer as described herein, minus (A) (x) in the case of each collection period during the Managed Amortization Period, principal amounts collected and used by the trust to acquire Additional Balances on the HELOCs or (y) in the case of each collection period after the Managed Amortization Period, any RAP Draw Repayment Amount payable to the servicer or an affiliate, (B) the premium payable to the note insurer, (C) servicing fees retained by the servicer and (D) any extraordinary trust expenses payable or reimbursable to the indenture trustee, any custodian, the securities administrator, the owner trustee, the servicer or the depositor.





Transaction Overview
 
Additional Balances:
The HELOCs may be drawn upon generally for a period of ten years. All draws that occur on the HELOCs during any collection period during the Managed Amortization Period will be funded by principal collections on the HELOCs during such collection period, and such principal collections during the Managed Amortization Period will not be payable to the holders of the notes or the Class N Certificates. In the event that draws during a particular collection period during the Managed Amortization Period are greater than principal collections for such collection period, the servicer or an affiliate, in its capacity as holder of the Class N Certificates, will fund the difference. With respect to each collection period after the Managed Amortization Period, principal collections on the HELOCs during such collection period will not be permitted to be used to fund draws that occur on the HELOCs during such collection period, and the servicer or an affiliate will fund the entire amount of such draws.
 
Draws that occur on the HELOCs after the cut-off date are referred to herein as “Additional Balances.” Any Additional Balances on the HELOCs resulting from draws on the HELOCs that occur during the Managed Amortization Period will be included in the trust. To the extent any Additional Balances are funded by the servicer or an affiliate, in its capacity as holder of the Class N Certificates, during the Managed Amortization Period as described above, the amounts so funded by such party are referred to herein as “Additional Balance Advance Amounts.” Any Additional Balance Advance Amounts will be added to the certificate principal balance of the Class N Certificates.
 
Managed Amortization Period:
The period commencing on the cut-off date and ending on the earlier of (x) the business day immediately preceding the tenth anniversary of the cut-off date and (y) the time that a Rapid Amortization Event occurs.
 
Rapid Amortization Events:
A Rapid Amortization Event shall include the following:
(i) breach of representation and warranties or covenants in a material manner which continues unremedied for a specified period of time after written notice;
(ii) a declaration of bankruptcy or insolvency by any of the trust, the depositor or the servicer;
(iii) the trust becomes subject to the Investment Company Act of 1940;
(iv) cumulative draws in respect of interest under the policy exceed 1% of the pool balance as of the cut-off date;
(v) the servicer is terminated; or
(vi) any REMIC shall fail to qualify as a REMIC.


Transaction Overview
 
Interest Payments:
The portion of the available funds attributable to interest will be used on each payment date to make payments of interest on the notes and certificates (or for payment of any reimbursement or other amounts owed the note insurer on such payment date), generally in the following order of priority:
 
(1) concurrently, to pay interest (including unpaid interest from prior payment dates) to the Class A Notes at the note rate thereon and to the Class N Certificates at the pass-through rate thereon;
 
(2) to the note insurer, any amount owing to the note insurer for reimbursement of claims paid under the policy, or otherwise owing to the note insurer, in each case with interest thereon;
 
(3) to pay current interest to the Class M Notes at the note rate thereon; and
 
(4) for application as part of net monthly excess cashflow, which will be used, subject to the priorities and certain allocations, to create and maintain overcollateralization at the required levels, to pay any unpaid interest to the Class M Notes and to reimburse the Class M Notes for any realized losses allocated thereto, to pay the notes and the Class N Certificates the amount of any Net WAC Rate Carryover Amounts, to reimburse the noteholders and Class N certificateholders for prepayment interest shortfalls and relief act interest shortfalls allocated thereto, with any remainder following such payments released to the Class N, Class C and Class R Certificates as provided in the indenture.
 
Interest on the Class 1A-1 Notes will generally be paid from available interest funds from the group 1 loans, and interest on the Class 2A Notes will generally be paid from available interest funds from the group 2 loans.
 
Principal Payments:
The portion of available funds attributable to principal (net of any overcollateralization above the required amount), plus any net monthly excess cashflow used to create or maintain overcollateralization at the required level and to pay any outstanding amounts payable or reimbursable to the note insurer, will be used on each payment date to make payments of principal on the notes and certificates, generally in the following order of priority:
 
(1) concurrently, to pay principal to the Class A Notes and the Class N Certificates, on a pro rata basis based on their respective note principal balances or certificate principal balances, to the extent necessary to eliminate any amount by which the aggregate note principal balance of the Class A Notes and certificate principal balance of the Class N Certificates exceeds the aggregate principal balance of the loans;
 
(2) to the note insurer, any amount (to the extent not covered by the payments of interest described above) owing to the note insurer for reimbursement of claims paid under the policy, or otherwise owing to the note insurer, in each case with interest thereon; and
 
(3) (a) if a Trigger Event is not in effect: concurrently, to pay principal to the Class A Notes, the Class N Certificates and the Class M Notes, on a pro rata basis based on their respective note principal balances or certificate principal balances remaining outstanding, as applicable; or (b) if a Trigger Event is in effect: first concurrently, to pay principal to the Class 1A, Class 2A Notes and the Class N Certificates, on a pro rata basis based on their respective note principal balances or certificate principal balances remaining outstanding, as applicable, and then to pay principal to the Class M Notes until its note principal balance has been reduced to zero. With respect to the Class 2A Notes, all principal distributions will be distributed sequentially, to the Class 2A-1, Class 2A-2 and Class 2A-3 Notes on that order.
 


Transaction Overview
 
 
Principal to the Class 1A-1 Notes will generally be paid first from available principal funds from the group 1 loans, and principal to the Class 2A Notes will generally be paid first from available principal funds from the group 2 loans.
 
Trigger Events:
Will be in effect with respect to any payment date if:
(i) A Rapid Amortization Event shall have occurred prior to such payment date or
 
(ii) the aggregate Principal Balance of HELOCs that are Delinquent 60 days or more (including HELOCs that are REO Properties, in foreclosure or bankruptcy) as of the last day of the previous six calendar months exceeds 3.00% or
 
(iii) the aggregate amount of realized losses incurred since the cut-off date through the last day of the related collection period (reduced by the aggregate amount of subsequent recoveries received since the cut-off date through the last day of the related collection period), expressed as a percentage of the aggregate principal balance of the HELOCs as of the cut-off date exceeds the applicable percentage set forth below with respect to such Payment Date:

Payment Date Occurring In
Percentage
June 2006 through May 2007
0.50%
June 2007 through May 2008
1.00%
June 2008 through May 2010
1.25%
June 2010 and thereafter
1.75%


Senior Credit Enhancement Percentage:
For any payment date will be the percentage equivalent of the fraction obtained by dividing (x) the aggregate certificate principal balance of the Class M Notes and the Class C Certificates by (y) the aggregate principal balance of the loans (calculated prior to taking into account collections of principal on the loans during the related collection period and the payment of the principal payment amount on such payment date to the classes of securities entitled thereto on such payment date).
 
Overcollaterlization:
As of the settlement date, (i) the aggregate principal balance of the loans as of the cut-off date will exceed (ii) the aggregate note principal balance of the notes plus the certificate principal balance of the Class N Certificates by approximately $6,753,845, which is approximately equal to the initial certificate principal balance of the Class C Certificates. Such amount will represent approximately 0.65% of the aggregate principal balance of the HELOCs as of the cut-off date, and thus it is approximately equal to initial Overcollateralization Target Amount.
 
Overcollateralization Target Amount:
With respect to any payment date (i) prior to the Stepdown Date, an amount equal to approximately 0.65% of the pool balance as of the cut-off date, (ii) on or after the Stepdown Date, provided a Trigger Event is not in effect, the greater of (x) approximately 1.30% of the pool balance of the end of the related collection period and (y) approximately 0.50% of the pool balance as of the cut-off date or (iii) on or after the Stepdown Date if a Trigger Event is in effect, the Overcollateralization Target Amount for the immediately preceding payment date plus 1.30% of the amount, if any, by which the pool balance increased during the collection period for the current payment date. Notwithstanding the foregoing, on and after any payment date following the reduction of the aggregate note principal balance of the notes and the certificate principal balance of the Class N Certificates to zero, the Overcollateralization Target Amount will be $0.




Transaction Overview
 
Stepdown Date:
The earlier to occur of (i) the first payment date on which the note principal balance of the Class A Notes and the certificate principal balance of the Class N Certificates have been reduced to zero and (ii) the later to occur of (x) the payment date occurring in December 2008 and (y) the first payment date on which the Senior Credit Enhancement Percentage (calculated for this purpose only after taking into account collections of principal on the loans during the related collection period but prior to the payment of the principal payment amount on such payment date to the classes of securities entitled thereto on such payment date) is greater than or equal to 2.25%.
 
Net Monthly Excess Cashflow:
With respect to any payment date will be an amount equal to the sum of (A) the interest funds remaining on such payment after taking into account the interest payments made as described above and (B) any Overcollateralization Release Amount. The net monthly excess cashflow for each payment date will have components: the Class N Net Monthly Excess Cashflow and the General Net Monthly Excess Cashflow. The Class N Net Monthly Excess Cashflow may not be used to cover basis risk or create overcollateralization. To the extent there is any Class N Net Monthly Excess Cashflow remaining after payments thereof to cover interest and principal shortfalls, amounts due to the insurer and allocated realized losses, that amount will be distributed to the Class N Certificates.
 
Overcollateralization Release Amount:
With respect to any payment date is amount equal to the lesser of (i) the net principal remittance amount on such payment date and (ii) the excess, if any, of (A) the Overcollateralized Amount for such payment date (calculated for this purpose only assuming that 100% of the net principal remittance amount is applied as a principal payment on the Class A Notes, the Class N Certificates and/or the Class M Notes on such payment date or to pay amounts owed to the note insurer) over (B) the Overcollateralization Target Amount for such payment date.
 
Net Monthly Excess Cashflow Distributions:
On each payment date, the Net Monthly Excess Cashflow, if any, will be paid as follows:
 
(i) to the holders of the class or classes of the Class A Notes and Class N Certificates then entitled to receive payments in respect of principal, and to the note insurer, in an amount equal to any Extra Principal Payment Amount, payable to such holders and the note insurer as part of the Principal Payment Amount as described under “—Allocation of Available Funds—Principal Payments” above;
 
(ii) to the holders of the Class M Notes, the Unpaid Interest Shortfall Amount, if any, for such class for such payment date;
 
(iii) to the holders of the Class M Notes, the Allocated Realized Loss Amount, if any, for such class for such payment date;
 
(iv) to the Net WAC Rate Carryover Reserve Account, the sum of (A) the excess of $1,000 over the amount on deposit therein and (B) amount of any Net WAC Rate Carryover Amounts for the Class A Notes, the Class N Certificates and the Class M Notes for such payment date;
 
(v) first, to pay the Class A noteholders and Class N certificateholders any prepayment interest shortfalls and relief act interest shortfalls allocated to reduce the interest due to such class, pro rata based on such reimbursement amount, and then to pay the Class M noteholders for any prepayment interest shortfalls and relief act interest shortfalls allocated to reduce the interest due to such class; and
 
(vi) to the holders of the Class N Certificates, the Class C Certificates and Class R Certificates as provided in the indenture.
 

Transaction Overview
 
 
Notwithstanding the foregoing,
 
·  the amount payable in each of clauses (i) through (iii) and (v) above will be paid first, from what is calculated to be the “Usable Class N Net Monthly Excess Cashflow” remaining undistributed for such payment date, and second, from what is calculated to be “General Net Monthly Excess Cashflow” remaining undistributed for such payment date; and
 
·  the amount payable in each of clause (iv) above will be paid solely from General Net Monthly Excess Cashflow remaining undistributed for such payment date.
 
Repurchase of Converted Loans:
Borrowers may at any time convert the loan rate with respect to all or any portion of the principal balance of the related HELOC from an adjustable rate to a fixed rate, and the servicer or an affiliate will be required to purchase from the trust any HELOC with respect to which the loan rate as to all or any portion of the principal balance has converted to a fixed rate. In addition, at the end of the draw period for each HELOC, the loan rate thereon will automatically convert to a fixed rate, and the servicer or an affiliate will be required to purchase each loan from the trust at the end of such loan's draw period. Any such purchases will be at a price generally equal to par plus accrued interest.
 
Optional Redemption:
10% cleanup call based on the Cut-off Date Principal Balance of the HELOCs. The servicer will have the right to exercise the clean-up call. If such call is exercised, the noteholders will be entitled, to the extent of funds available, to:
Ř  Outstanding Note Principal Balance of the Class A, Class M Notes and the Class N Certificates
Ř  Current interest accrued on such balance at the related Note Rate
Ř  Interest previously earned but not paid (if any)
Ř  Net WAC Rate Carryover Amount (if any)
 
Allocation of Losses:
 
 
 
Any realized losses on the HELOCs on any payment date will first have the effect of reducing the Net Monthly Excess Cashflow. If, on any payment date, as a result of realized losses on the HELOCs, the sum of the aggregate note principal balance of the notes and the aggregate certificate principal balance of the Class N Certificates after making all required payments on such payment date (other than payments made by the note insurer) exceeds the pool balance as of the last day of the related collection period, such excess will be allocated to the Class M Notes if they are still outstanding, in reduction of the note principal balance thereof. The indenture will not permit the allocation of realized losses to the Class A Notes or to the Class N Certificates. Investors in the Class A Notes should note that although realized losses cannot be allocated to the Class A Notes, under certain loss scenarios there will not be enough interest and principal on the HELOCs to pay to the Class A Notes all interest and principal amounts to which they are then entitled.
 
Advances:
The Servicer will not advance delinquent payments of principal and interest on the HELOCs.
 
Compensating Interest:
The Servicer will not be obligated to offset any prepayment interest shortfall, on any payment date, with compensating interest.
 





Transaction Overview
 
Monthly Interest Payable Amount
For any payment date and each class of the notes and the Class N Certificates will equal the amount of interest accrued on such class during the related Interest Accrual Period at the related note rate or pass-through rate, as applicable, on the note principal balance or certificate principal balance, as applicable, of such class immediately prior to such payment date, in each case, reduced by any Prepayment Interest Shortfalls allocated to such class and any shortfalls resulting from the application of the Relief Act or similar state laws allocated to such class.
 
Prepayment Interest Shortfalls and Relief Act Shortfalls
On any payment date, any prepayment interest shortfalls and any shortfalls resulting from the application of the Relief Act or similar state laws will be allocated first to excess interest and thereafter in reduction of the current interest entitlement of the notes and the Class N Certificates on a pro rata basis based on the respective amounts of current interest accrued on such notes for such payment date. The holders of the notes may be entitled to reimbursement for any such interest shortfalls on a subordinated basis based on the priority of payments set forth herein. If these shortfalls are allocated to the notes, the amount of interest paid to those notes will be reduced, adversely affecting the yield on your investment. The policy will not cover any prepayment interest shortfalls or any shortfalls caused by the Relief Act or similar state laws.
 







Aggregate Collateral: Summary
Statistics for the Mortgage Loans listed below are based on Cut-Off Date scheduled balances.
       
   
Minimum
Maximum
       
Scheduled Principal Balance:
$1,038,910,845
$0
$500,000
Number of Mortgage Loans
18,041
   
Average Scheduled Principal Balance:
$57,586
   
Weighted Average Gross Coupon:
8.089%
7.250%
11.750%
Credit Limit:
$1,890,598,046
$10,000
$500,000
Average Credit Limit:
$104,795
   
Weighted Average Original Credit Score:
737
640
839
Weighted Average Combined LTV Ratio:
82.50%
11.00%
100.00%
Weighted Average Credit Utilization Rate(1):
54.95%
0.00%
167.46%
Weighted Average Stated Remaining Term:
352 months
350 months
353 months
Weighted Average Original Term:
360 months
358 months
360 months
Weighted Average Gross Margin:
0.339%
-0.500%
4.000%
Weighted Average Gross Maximum Lifetime Rate:
18.000%
18.000%
18.000%
Weighted Average Gross Minimum Lifetime Rate:
3.000%
3.000%
3.000%
Weighted Average Debt-To-Income Ratio:
36.24%
1.00%
50.00%
Weighted Average Seasoning:
8 months
7 months
9 months
Weighted Average Origination Date:
August 2005
August 2005
September 2005
Percent Second Liens:
95.32%
   
Percent Interest Only Loans:
100.00%
   

(1)  
All Weighted Average Utilization percentages are weighted by the credit limit of the Mortgage Loans.





Distribution by Group

Pool
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
Group I
   
6,054
 
$
241,678,057.22
   
23.26
%
$
430,224,922.00
   
56.17
%
 
8.161
%
 
733
   
81.04
%
 
36.61
%
Group II
   
11,987
   
797,232,787.31
   
76.74
   
1,460,373,124.00
   
54.59
   
8.067
   
738
   
82.94
   
36.12
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%
 


Distribution by Current Unpaid Principal Balance

Range ($)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
0.00 - 0.00
   
3,248
 
$
0.00
   
0.00
%
$
387,877,728.00
   
0.00
%
 
N/A
   
N/A
   
N/A
   
N/A
 
0.01 - 10,000.00
   
1,024
   
5,293,767.02
   
0.51
   
77,953,122.00
   
6.79
   
8.460
   
744
   
80.59
   
35.82
 
10,000.01 - 20,000.00
   
1,331
   
20,531,228.69
   
1.98
   
79,825,786.00
   
25.72
   
8.738
   
740
   
82.04
   
35.81
 
20,000.01 - 30,000.00
   
2,029
   
51,857,469.07
   
4.99
   
107,140,851.00
   
48.40
   
8.396
   
737
   
84.15
   
35.71
 
30,000.01 - 40,000.00
   
1,638
   
57,705,617.97
   
5.55
   
99,003,984.00
   
58.29
   
8.308
   
736
   
85.15
   
35.89
 
40,000.01 - 50,000.00
   
1,412
   
63,944,753.15
   
6.15
   
103,880,429.00
   
61.56
   
8.260
   
734
   
84.04
   
36.47
 
50,000.01 - 60,000.00
   
1,163
   
64,563,540.24
   
6.21
   
95,914,858.00
   
67.31
   
8.142
   
737
   
83.22
   
36.60
 
60,000.01 - 70,000.00
   
1,049
   
68,605,542.85
   
6.60
   
91,722,291.00
   
74.80
   
8.071
   
733
   
84.01
   
36.34
 
70,000.01 - 80,000.00
   
808
   
60,774,516.55
   
5.85
   
82,666,661.00
   
73.52
   
8.033
   
737
   
83.03
   
36.21
 
80,000.01 - 90,000.00
   
586
   
49,866,093.12
   
4.80
   
68,228,102.00
   
73.09
   
8.036
   
736
   
83.33
   
36.20
 
90,000.01 - 100,000.00
   
682
   
65,746,261.70
   
6.33
   
83,049,250.00
   
79.17
   
8.049
   
735
   
81.25
   
36.18
 
100,000.01 - 150,000.00
   
1,524
   
189,434,695.17
   
18.23
   
234,889,593.00
   
80.65
   
8.031
   
736
   
82.85
   
36.67
 
150,000.01 - 200,000.00
   
1,004
   
181,563,746.33
   
17.48
   
201,645,217.00
   
90.04
   
8.055
   
738
   
80.35
   
35.76
 
200,000.01 - 250,000.00
   
222
   
50,634,358.81
   
4.87
   
59,657,699.00
   
84.87
   
7.943
   
740
   
82.69
   
37.42
 
250,000.01 - 300,000.00
   
135
   
37,344,809.67
   
3.59
   
41,842,658.00
   
89.25
   
7.941
   
732
   
82.12
   
36.54
 
300,000.01 - 350,000.00
   
91
   
30,072,329.91
   
2.89
   
31,762,679.00
   
94.68
   
7.887
   
734
   
82.28
   
37.94
 
350,000.01 - 400,000.00
   
34
   
12,729,534.14
   
1.23
   
14,292,120.00
   
89.07
   
7.838
   
747
   
81.77
   
34.41
 
400,000.01 - 450,000.00
   
25
   
10,720,910.60
   
1.03
   
11,434,890.00
   
93.76
   
7.821
   
757
   
83.71
   
33.26
 
450,000.01 - 500,000.00
   
36
   
17,521,669.54
   
1.69
   
17,810,128.00
   
98.38
   
7.744
   
749
   
75.15
   
33.85
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%
 
As of the cut-off date, the average current principal balance of the Mortgage Loans is approximately $57,586.



Distribution by Current Rate

Current Rate (%)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
7.250 - 8.000
   
10,659
 
$
673,937,021.78
   
64.87
%
$
1,307,916,777.00
   
51.53
%
 
7.822
%
 
738
   
80.08
%
 
36.43
%
8.001 - 9.000
   
5,961
   
330,898,852.79
   
31.85
   
532,988,010.00
   
62.08
   
8.469
   
734
   
86.65
   
35.98
 
9.001 - 10.000
   
900
   
27,040,141.79
   
2.60
   
39,824,492.00
   
67.90
   
9.430
   
737
   
90.20
   
35.09
 
10.001 - 11.000
   
447
   
6,132,948.48
   
0.59
   
8,501,495.00
   
72.14
   
10.485
   
724
   
88.50
   
35.18
 
11.001 - 11.750
   
74
   
901,879.69
   
0.09
   
1,367,272.00
   
65.96
   
11.280
   
752
   
92.61
   
32.97
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%
 
As of the cutoff date, the weighted average current rate of the Mortgage Loans is approximately 8.089%.

Distribution by Credit Score

FICO Distribution
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
640 - 650
   
130
 
$
7,460,497.04
   
0.72
%
$
10,372,869.00
   
71.92
%
 
8.260
%
 
645
   
72.64
%
 
37.12
%
651 - 675
   
767
   
46,528,846.11
   
4.48
   
65,526,984.00
   
71.01
   
8.181
   
665
   
80.78
   
38.40
 
676 - 700
   
1,948
   
119,690,970.86
   
11.52
   
177,735,528.00
   
67.34
   
8.079
   
689
   
83.08
   
37.06
 
701 - 725
   
3,627
   
234,493,035.37
   
22.57
   
370,920,452.00
   
63.22
   
8.094
   
713
   
82.41
   
37.07
 
726 - 750
   
4,043
   
241,665,798.90
   
23.26
   
413,059,111.00
   
58.51
   
8.115
   
737
   
84.37
   
36.28
 
751 - 775
   
3,855
   
211,927,590.74
   
20.40
   
419,991,515.00
   
50.46
   
8.075
   
763
   
83.08
   
35.59
 
776 - 800
   
2,817
   
137,725,360.26
   
13.26
   
327,596,067.00
   
42.04
   
8.044
   
786
   
80.41
   
34.65
 
801 - 825
   
828
   
38,554,160.30
   
3.71
   
102,189,300.00
   
37.73
   
8.013
   
808
   
78.20
   
34.94
 
826 - 839
   
26
   
864,584.95
   
0.08
   
3,206,220.00
   
26.97
   
8.019
   
830
   
59.33
   
31.13
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%
 
As of the cutoff date, the weighted average credit score of the Mortgage Loans is approximately 737.
 

Distribution by Combined Original LTV

Combined Original LTV (%)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit L imit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
11.00 - 15.00
   
21
 
$
973,116.39
   
0.09
%
$
1,984,285.00
   
49.04
%
 
8.114
%
 
722
   
13.88
%
 
30.32
%
15.01 - 20.00
   
34
   
1,117,245.01
   
0.11
   
3,810,650.00
   
29.32
   
8.152
   
751
   
18.20
   
29.18
 
20.01 - 25.00
   
42
   
2,136,318.00
   
0.21
   
5,147,824.00
   
41.50
   
8.128
   
782
   
23.59
   
29.24
 
25.01 - 30.00
   
63
   
3,149,831.07
   
0.30
   
7,480,500.00
   
42.11
   
7.970
   
758
   
28.29
   
30.50
 
30.01 - 35.00
   
86
   
4,428,972.64
   
0.43
   
10,046,400.00
   
44.09
   
8.121
   
741
   
32.66
   
32.19
 
35.01 - 40.00
   
124
   
5,992,390.75
   
0.58
   
15,338,540.00
   
39.07
   
7.961
   
747
   
37.98
   
35.41
 
40.01 - 45.00
   
161
   
8,058,785.81
   
0.78
   
20,309,500.00
   
39.68
   
7.924
   
748
   
43.25
   
36.90
 
45.01 - 50.00
   
241
   
12,642,537.59
   
1.22
   
30,263,320.00
   
41.78
   
7.966
   
747
   
48.25
   
35.87
 
50.01 - 55.00
   
287
   
14,418,266.26
   
1.39
   
37,872,656.00
   
38.07
   
7.939
   
742
   
53.00
   
35.34
 
55.01 - 60.00
   
405
   
22,947,948.43
   
2.21
   
55,369,162.00
   
41.45
   
7.963
   
740
   
58.00
   
36.90
 
60.01 - 65.00
   
546
   
29,923,859.59
   
2.88
   
72,577,503.00
   
41.23
   
7.952
   
738
   
63.10
   
37.12
 
65.01 - 70.00
   
700
   
42,940,908.85
   
4.13
   
94,952,689.00
   
45.22
   
7.945
   
738
   
67.92
   
36.75
 
70.01 - 75.00
   
946
   
58,786,618.25
   
5.66
   
131,103,606.00
   
44.84
   
7.958
   
738
   
73.24
   
36.65
 
75.01 - 80.00
   
1,584
   
101,789,936.93
   
9.80
   
200,671,377.00
   
50.72
   
8.010
   
730
   
78.49
   
36.27
 
80.01 - 85.00
   
2,021
   
131,671,019.46
   
12.67
   
240,767,754.00
   
54.69
   
8.005
   
731
   
83.45
   
36.22
 
85.01 - 90.00
   
8,104
   
452,597,421.15
   
43.56
   
765,783,842.00
   
59.10
   
8.027
   
737
   
88.63
   
36.38
 
90.01 - 95.00
   
1,974
   
107,276,103.59
   
10.33
   
145,488,773.00
   
73.74
   
8.471
   
737
   
94.31
   
36.48
 
95.01 - 100.00
   
702
   
38,059,564.76
   
3.66
   
51,629,665.00
   
73.72
   
8.953
   
754
   
99.57
   
33.65
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%
 
As of the cutoff date, the weighted average Combined original LTV of the Mortgage Loans is approximately 82.50%.
 

 

 

 

Distribution by Original Term to Maturity

Original Term to Maturity (Months)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
358
   
344
 
$
19,449,897.66
   
1.87
%
$
38,464,551.00
   
50.57
%
 
8.027
%
 
737
   
80.99
%
 
35.60
%
360
   
17,697
   
1,019,460,946.87
   
98.13
   
1,852,133,495.00
   
55.04
   
8.090
   
737
   
82.53
   
36.25
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%
 
As of the cutoff date, the weighted average original term to maturity of the Mortgage Loans is approximately 360 months.


Distribution by Remaining Term to Maturity

Remaining Term to Maturity (Months)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
350
   
195
 
$
11,539,830.02
   
1.11
%
$
21,293,749.00
   
54.19
%
 
8.013
%
 
736
   
82.01
%
 
36.09
%
351
   
150
   
7,929,724.61
   
0.76
   
17,211,802.00
   
46.07
   
8.049
   
737
   
79.54
   
34.90
 
352
   
9,934
   
576,462,254.96
   
55.49
   
1,044,256,499.00
   
55.20
   
8.085
   
736
   
82.45
   
36.15
 
353
   
7,762
   
442,979,034.94
   
42.64
   
807,835,996.00
   
54.84
   
8.097
   
737
   
82.62
   
36.37
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%
 
As of the cutoff date, the weighted average remaining term to maturity of the Mortgage Loans is approximately 352 months.


Distribution by Seasoning

Seasoning (Months)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
7
   
7,911
 
$
450,889,102.58
   
43.40
%
$
825,006,798.00
   
54.65
%
 
8.096
%
 
737
   
82.57
%
 
36.35
%
8
   
10,129
   
588,002,084.98
   
56.60
   
1,065,550,248.00
   
55.18
   
8.084
   
736
   
82.44
   
36.15
 
9
   
1
   
19,656.97
   
0.00
   
41,000.00
   
47.94
   
9.000
   
765
   
100.00
   
35.00
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%
As of the cutoff date, the weighted average seasoning of the Mortgage Loans is approximately 8 months.


Distribution by Lien Position

Lien Position
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
1
   
564
 
$
48,571,322.19
   
4.68
%
$
93,393,243.00
   
52.01
%
 
8.108
%
 
750
   
66.85
%
 
34.03
%
2
   
17,477
   
990,339,522.34
   
95.32
   
1,797,204,803.00
   
55.10
   
8.088
   
736
   
83.26
   
36.35
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%





Distribution by Property Type

Property Type
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
SINGLE FAMILY
   
15,180
 
$
879,674,550.76
   
84.67
%
$
1,624,673,215.00
   
54.14
%
 
8.078
%
 
736
   
82.20
%
 
36.26
%
CONDO
   
1,839
   
86,097,321.39
   
8.29
   
147,416,136.00
   
58.40
   
8.197
   
741
   
85.38
   
35.52
 
PUD
   
540
   
37,178,658.67
   
3.58
   
63,094,685.00
   
58.93
   
7.999
   
735
   
84.20
   
37.07
 
2 FAMILY
   
335
   
25,568,230.54
   
2.46
   
39,306,030.00
   
65.05
   
8.148
   
738
   
80.99
   
36.67
 
3 FAMILY
   
64
   
5,267,402.92
   
0.51
   
7,141,777.00
   
73.75
   
8.173
   
745
   
80.78
   
36.57
 
4 FAMILY
   
67
   
4,266,852.01
   
0.41
   
7,390,403.00
   
57.73
   
8.478
   
734
   
81.61
   
35.89
 
TOWNHOUSE
   
16
   
857,828.24
   
0.08
   
1,575,800.00
   
54.44
   
7.981
   
740
   
80.87
   
33.52
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%


Distribution by Occupancy Type

Occupancy Type
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
Primary Residence
   
16,943
 
$
983,903,089.37
   
94.71
%
$
1,799,296,864.00
   
54.68
%
 
8.059
%
 
736
   
82.57
%
 
36.33
%
Investment
   
725
   
32,698,949.06
   
3.15
   
54,288,897.00
   
60.23
   
8.963
   
740
   
81.47
   
35.00
 
Second Hm.
   
373
   
22,308,806.10
   
2.15
   
37,012,285.00
   
60.27
   
8.135
   
743
   
80.82
   
33.93
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%


Distribution by Purpose

Purpose Type
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
Purchase
   
4,343
 
$
214,105,549.54
   
20.61
%
$
328,245,269.00
   
65.23
%
 
8.203
%
 
745
   
89.22
%
 
35.84
%
Refinance
   
3,932
   
140,810,375.55
   
13.55
   
324,596,479.00
   
43.38
   
8.098
   
731
   
83.84
   
35.92
 
StandAlone
   
9,766
   
683,994,919.44
   
65.84
   
1,237,756,298.00
   
55.26
   
8.052
   
735
   
80.11
   
36.42
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%




Distribution by Geographic Location

Geographic Location
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
Arizona
   
1,229
 
$
77,622,996.38
   
7.47
%
$
125,798,258.00
   
61.70
%
 
8.075
%
 
734
   
84.17
%
 
35.97
%
Arkansas
   
6
   
314,951.19
   
0.03
   
490,900.00
   
64.16
   
8.116
   
708
   
78.34
   
36.90
 
California
   
5,202
   
365,038,606.08
   
35.14
   
719,615,824.00
   
50.73
   
8.011
   
735
   
80.97
   
37.03
 
Colorado
   
439
   
21,374,008.35
   
2.06
   
35,725,648.00
   
59.83
   
8.232
   
744
   
86.30
   
34.91
 
Connecticut
   
344
   
19,449,897.66
   
1.87
   
38,464,551.00
   
50.57
   
8.027
   
737
   
80.99
   
35.60
 
Delaware
   
40
   
2,617,376.66
   
0.25
   
3,473,533.00
   
75.35
   
8.125
   
748
   
81.23
   
30.67
 
District of Columbia
   
118
   
7,066,181.42
   
0.68
   
15,370,408.00
   
45.97
   
8.030
   
725
   
84.42
   
37.11
 
Florida
   
1,318
   
81,421,664.42
   
7.84
   
135,148,362.00
   
60.25
   
8.117
   
736
   
81.17
   
35.80
 
Hawaii
   
7
   
146,374.47
   
0.01
   
557,500.00
   
26.25
   
8.217
   
759
   
70.04
   
34.10
 
Idaho
   
29
   
1,156,796.85
   
0.11
   
1,720,840.00
   
67.22
   
8.146
   
760
   
84.06
   
35.12
 
Illinois
   
1,132
   
46,269,042.28
   
4.45
   
81,346,120.00
   
56.88
   
8.194
   
736
   
87.29
   
35.21
 
Indiana
   
123
   
3,796,878.99
   
0.37
   
5,967,306.00
   
63.63
   
8.523
   
739
   
86.20
   
33.65
 
Iowa
   
5
   
193,555.31
   
0.02
   
235,400.00
   
82.22
   
8.161
   
729
   
83.80
   
36.89
 
Kansas
   
27
   
764,632.43
   
0.07
   
1,490,256.00
   
51.31
   
8.456
   
736
   
89.86
   
35.61
 
Kentucky
   
44
   
1,089,069.39
   
0.10
   
1,869,678.00
   
58.25
   
8.468
   
745
   
88.02
   
31.72
 
Maine
   
10
   
505,927.56
   
0.05
   
1,043,500.00
   
48.48
   
8.018
   
752
   
77.23
   
27.56
 
Maryland
   
1,011
   
53,594,953.55
   
5.16
   
111,365,839.00
   
48.13
   
8.032
   
738
   
81.68
   
36.34
 
Massachusetts
   
691
   
34,644,036.24
   
3.33
   
68,783,188.00
   
50.37
   
8.052
   
741
   
81.06
   
36.67
 
Michigan
   
326
   
11,170,944.92
   
1.08
   
19,360,823.00
   
57.70
   
8.381
   
743
   
87.09
   
33.88
 
Minnesota
   
343
   
15,580,558.86
   
1.50
   
27,339,876.00
   
56.99
   
8.310
   
747
   
85.55
   
35.90
 
Mississippi
   
2
   
59,576.63
   
0.01
   
85,000.00
   
70.09
   
8.000
   
652
   
75.00
   
28.00
 
Missouri
   
185
   
5,025,220.19
   
0.48
   
10,833,166.00
   
46.39
   
8.309
   
739
   
84.47
   
33.95
 
Montana
   
3
   
104,788.88
   
0.01
   
117,000.00
   
89.56
   
8.527
   
680
   
84.23
   
36.85
 
Nebraska
   
1
   
15,636.63
   
0.00
   
15,750.00
   
99.28
   
9.750
   
741
   
83.00
   
37.00
 
Nevada
   
153
   
8,977,931.65
   
0.86
   
14,525,036.00
   
61.81
   
8.074
   
734
   
81.27
   
36.01
 
New Hampshire
   
55
   
1,884,004.31
   
0.18
   
3,781,230.00
   
49.83
   
8.060
   
727
   
83.78
   
35.02
 
New Mexico
   
28
   
1,278,730.13
   
0.12
   
2,022,150.00
   
63.24
   
8.175
   
709
   
83.65
   
32.62
 
New York
   
962
   
80,960,487.80
   
7.79
   
123,982,487.00
   
65.30
   
8.086
   
736
   
78.99
   
35.57
 
North Carolina
   
207
   
7,727,452.38
   
0.74
   
12,948,023.00
   
59.68
   
8.309
   
745
   
88.44
   
33.81
 
North Dakota
   
2
   
32,746.87
   
0.00
   
33,650.00
   
97.32
   
10.487
   
761
   
89.00
   
38.84
 
Ohio
   
567
   
19,451,977.74
   
1.87
   
31,375,137.00
   
62.00
   
8.482
   
738
   
87.02
   
34.20
 
Oklahoma
   
14
   
576,920.62
   
0.06
   
768,120.00
   
75.11
   
8.436
   
740
   
94.04
   
27.44
 
Oregon
   
379
   
18,994,296.21
   
1.83
   
31,545,845.00
   
60.21
   
8.166
   
743
   
86.51
   
35.31
 
Pennsylvania
   
630
   
23,758,973.73
   
2.29
   
41,314,390.00
   
57.51
   
8.185
   
738
   
84.34
   
35.41
 
Rhode Island
   
78
   
3,338,405.38
   
0.32
   
7,089,344.00
   
47.09
   
8.057
   
743
   
80.32
   
37.20
 
South Carolina
   
64
   
2,166,132.09
   
0.21
   
3,782,238.00
   
57.27
   
8.621
   
741
   
88.80
   
33.69
 
South Dakota
   
1
   
30,000.00
   
0.00
   
30,000.00
   
100.00
   
9.750
   
717
   
97.00
   
34.00
 
Tennessee
   
25
   
1,146,463.04
   
0.11
   
1,870,869.00
   
61.28
   
8.178
   
736
   
84.51
   
38.69
 
Utah
   
130
   
5,285,504.19
   
0.51
   
8,541,174.00
   
61.88
   
8.268
   
742
   
87.07
   
35.71
 
Vermont
   
17
   
423,464.11
   
0.04
   
1,198,685.00
   
35.33
   
8.403
   
727
   
82.33
   
37.42
 
Virginia
   
1,078
   
67,668,704.80
   
6.51
   
120,020,682.00
   
56.38
   
8.026
   
738
   
83.24
   
37.38
 
Washington
   
826
   
40,527,925.38
   
3.90
   
68,898,993.00
   
58.82
   
8.145
   
739
   
85.80
   
36.34
 
Wisconsin
   
189
   
5,632,233.99
   
0.54
   
10,626,317.00
   
53.00
   
8.338
   
738
   
87.37
   
35.08
 
Wyoming
   
1
   
24,814.77
   
0.00
   
24,950.00
   
99.46
   
8.000
   
766
   
89.00
   
10.00
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%




Distribution by Documentation Type

Documentation Type
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
Full
   
13,723
 
$
747,831,571.29
   
71.98
%
$
1,374,362,288.00
   
54.41
%
 
8.081
%
 
734
   
83.52
%
 
37.00
%
Stated Income
   
4,318
   
291,079,273.24
   
28.02
   
516,235,758.00
   
56.39
   
8.110
   
744
   
79.86
   
34.29
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%


Distribution by Gross Margin

Gross Margin (%)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
-0.500 - 0.000
   
6,374
 
$
403,933,309.79
   
38.88
%
$
822,926,035.00
   
49.09
%
 
7.704
%
 
741
   
80.36
%
 
37.03
%
0.001 - 0.500
   
6,649
   
421,439,394.61
   
40.57
   
740,230,128.00
   
56.93
   
8.090
   
735
   
82.00
   
35.96
 
0.501 - 1.000
   
2,948
   
155,782,869.03
   
14.99
   
245,198,850.00
   
63.53
   
8.602
   
733
   
86.50
   
35.45
 
1.001 - 1.500
   
1,078
   
40,130,211.01
   
3.86
   
57,991,046.00
   
69.20
   
9.102
   
735
   
90.56
   
34.77
 
1.501 - 2.000
   
401
   
9,236,206.63
   
0.89
   
12,663,563.00
   
72.94
   
9.667
   
729
   
90.56
   
35.13
 
2.001 - 2.500
   
250
   
3,913,191.32
   
0.38
   
5,201,098.00
   
75.24
   
10.163
   
729
   
88.35
   
36.13
 
2.501 - 3.000
   
237
   
3,194,404.02
   
0.31
   
4,434,124.00
   
72.04
   
10.612
   
721
   
88.01
   
34.19
 
3.001 - 3.500
   
95
   
1,210,544.17
   
0.12
   
1,760,847.00
   
68.75
   
11.172
   
733
   
91.24
   
33.25
 
3.501 - 4.000
   
9
   
70,713.95
   
0.01
   
192,355.00
   
36.76
   
11.631
   
767
   
89.81
   
35.47
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%
 
As of the cutoff date, the weighted average gross margin of the Mortgage Loans is approximately 0.339%.


Distribution by Maximum Mortgage Rates

Maximum Mortgage Rates (%)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
18.000 - 18.000
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%
 
As of the cutoff date, the weighted average maximum mortgage rate of the Mortgage Loans is approximately 18.000%.


Distribution by Minimum Mortgage Rates

Minimum Mortgage Rates (%)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
3.000 - 3.000
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%
 
As of the cutoff date, the weighted average minimum mortgage rate of the Mortgage Loans is approximately 3.000%.
 




 
Distribution by Credit Limit

Range ($)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
10,000 - 50,000
   
5,161
 
$
121,043,425.81
   
11.65
%
$
171,157,564.00
   
70.72
%
 
8.588
%
 
733
   
87.81
%
 
35.74
%
50,001 - 100,000
   
6,699
   
291,848,753.43
   
28.09
   
513,114,359.00
   
56.88
   
8.083
   
734
   
82.72
   
36.32
 
100,001 - 150,000
   
2,327
   
177,542,852.90
   
17.09
   
301,666,881.00
   
58.85
   
8.052
   
735
   
83.55
   
36.65
 
150,001 - 200,000
   
2,434
   
238,457,289.56
   
22.95
   
459,699,992.00
   
51.87
   
8.052
   
740
   
79.82
   
35.76
 
200,001 - 250,000
   
555
   
61,986,518.47
   
5.97
   
131,617,718.00
   
47.10
   
7.931
   
738
   
81.87
   
37.82
 
250,001 - 300,000
   
282
   
43,137,436.93
   
4.15
   
80,113,464.00
   
53.85
   
7.937
   
735
   
82.31
   
36.66
 
300,001 - 350,000
   
268
   
45,076,584.66
   
4.34
   
90,502,179.00
   
49.81
   
7.897
   
734
   
82.37
   
38.30
 
350,001 - 400,000
   
96
   
15,767,138.22
   
1.52
   
36,993,155.00
   
42.62
   
7.813
   
753
   
82.42
   
34.39
 
400,001 - 450,000
   
47
   
9,645,960.66
   
0.93
   
20,327,331.00
   
47.45
   
7.859
   
752
   
86.73
   
35.16
 
450,001 - 500,000
   
172
   
34,404,883.89
   
3.31
   
85,405,403.00
   
40.28
   
7.752
   
751
   
75.46
   
33.58
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%
 
As of the cutoff date, the weighted average credit limit of the Mortgage Loans is approximately $104,795.

Distribution by Credit Utilization

Credit Utilization (%)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
0.00 - 0.00
   
3,256
 
$
13.14
   
0.00
%
$
388,931,936.00
   
0.00
%
 
8.051
%
 
756
   
86.24
%
 
39.34
%
0.01 - 5.00
   
401
   
1,149,268.44
   
0.11
   
51,663,205.00
   
2.22
   
7.938
   
757
   
78.23
   
36.09
 
5.01 - 10.00
   
318
   
3,359,363.80
   
0.32
   
44,975,247.00
   
7.47
   
7.968
   
753
   
76.47
   
35.84
 
10.01 - 15.00
   
346
   
5,529,079.15
   
0.53
   
44,052,324.00
   
12.55
   
7.965
   
752
   
75.93
   
35.71
 
15.01 - 20.00
   
375
   
8,414,048.26
   
0.81
   
48,169,852.00
   
17.47
   
7.967
   
749
   
77.21
   
35.92
 
20.01 - 25.00
   
364
   
10,651,426.96
   
1.03
   
46,975,168.00
   
22.67
   
7.961
   
749
   
79.00
   
36.64
 
25.01 - 30.00
   
336
   
10,861,612.89
   
1.05
   
39,344,766.00
   
27.61
   
7.984
   
748
   
77.43
   
36.74
 
30.01 - 35.00
   
365
   
13,572,801.49
   
1.31
   
41,628,603.00
   
32.60
   
7.957
   
747
   
76.63
   
36.67
 
35.01 - 40.00
   
334
   
15,102,726.02
   
1.45
   
40,190,167.00
   
37.58
   
7.977
   
742
   
76.95
   
36.68
 
40.01 - 45.00
   
346
   
16,541,751.74
   
1.59
   
38,948,589.00
   
42.47
   
7.985
   
736
   
76.94
   
36.61
 
45.01 - 50.00
   
414
   
24,285,294.68
   
2.34
   
50,672,714.00
   
47.93
   
8.022
   
745
   
78.84
   
35.99
 
50.01 - 55.00
   
376
   
20,972,674.72
   
2.02
   
39,903,691.00
   
52.56
   
8.015
   
742
   
79.15
   
35.82
 
55.01 - 60.00
   
412
   
26,230,294.22
   
2.52
   
45,446,799.00
   
57.72
   
7.967
   
740
   
79.06
   
36.03
 
60.01 - 65.00
   
433
   
29,132,154.57
   
2.80
   
46,453,517.00
   
62.71
   
7.976
   
741
   
79.89
   
36.55
 
65.01 - 70.00
   
436
   
31,189,965.55
   
3.00
   
46,288,639.00
   
67.38
   
8.020
   
744
   
80.37
   
36.44
 
70.01 - 75.00
   
461
   
37,191,701.23
   
3.58
   
51,294,806.00
   
72.51
   
7.997
   
739
   
80.71
   
36.48
 
75.01 - 80.00
   
490
   
40,540,348.64
   
3.90
   
52,323,951.00
   
77.48
   
8.015
   
736
   
80.92
   
36.10
 
80.01 - 85.00
   
549
   
45,484,189.86
   
4.38
   
55,079,557.00
   
82.58
   
8.004
   
735
   
80.12
   
36.47
 
85.01 - 90.00
   
611
   
55,739,198.41
   
5.37
   
63,639,380.00
   
87.59
   
8.017
   
738
   
81.18
   
36.55
 
90.01 - 95.00
   
870
   
73,838,620.23
   
7.11
   
79,687,466.00
   
92.66
   
8.072
   
736
   
82.25
   
36.31
 
95.01 - 100.00
   
6,528
   
567,385,686.47
   
54.61
   
573,324,018.00
   
98.96
   
8.154
   
734
   
84.56
   
36.14
 
100.01 - 105.00
   
18
   
1,371,697.10
   
0.13
   
1,367,951.00
   
100.27
   
8.285
   
727
   
83.78
   
35.99
 
105.01 - 110.00
   
1
   
48,752.20
   
0.00
   
45,700.00
   
106.68
   
9.500
   
683
   
95.00
   
36.00
 
161.01 - 167.46
   
1
   
318,174.76
   
0.03
   
190,000.00
   
167.46
   
8.000
   
672
   
84.00
   
45.00
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%
 
As of the cutoff date, the weighted average credit utilization of the Mortgage Loans by credit limit is approximately 54.95%.




Distribution by Index

Index
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
Prime
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%


Distribution by Draw Term

Draw Term (Months)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
118
   
344
 
$
19,449,897.66
   
1.87
%
$
38,464,551.00
   
50.57
%
 
8.027
%
 
737
   
80.99
%
 
35.60
%
120
   
17,697
   
1,019,460,946.87
   
98.13
   
1,852,133,495.00
   
55.04
   
8.090
   
737
   
82.53
   
36.25
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%


Distribution by Remaining Draw Term

Remaining Draw Term (Months)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
110
   
195
 
$
11,539,830.02
   
1.11
%
$
21,293,749.00
   
54.19
%
 
8.013
%
 
736
   
82.01
%
 
36.09
%
111
   
150
   
7,929,724.61
   
0.76
   
17,211,802.00
   
46.07
   
8.049
   
737
   
79.54
   
34.90
 
112
   
9,934
   
576,462,254.96
   
55.49
   
1,044,256,499.00
   
55.20
   
8.085
   
736
   
82.45
   
36.15
 
113
   
7,762
   
442,979,034.94
   
42.64
   
807,835,996.00
   
54.84
   
8.097
   
737
   
82.62
   
36.37
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%


Distribution by Interest Only Term

IO Term (Months)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
118
   
344
 
$
19,449,897.66
   
1.87
%
$
38,464,551.00
   
50.57
%
 
8.027
%
 
737
   
80.99
%
 
35.60
%
120
   
17,697
   
1,019,460,946.87
   
98.13
   
1,852,133,495.00
   
55.04
   
8.090
   
737
   
82.53
   
36.25
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%


Distribution by Original Teaser Term

Original Teaser Term (Months)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
0
   
14,676
 
$
857,626,934.61
   
82.55
%
$
1,627,815,434.00
   
52.69
%
 
8.038
%
 
736
   
81.33
%
 
36.33
%
6
   
3,365
   
181,283,909.92
   
17.45
   
262,782,612.00
   
68.99
   
8.329
   
739
   
88.04
   
35.81
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%




Distribution by Remaining Teaser Term

Remaining Teaser Period (Months)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
0
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%


Distribution by Debt to Income Ratio

Debt to Income Ratio (%)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
1.01 - 10.00
   
47
 
$
2,431,473.81
   
0.23
%
$
5,630,961.00
   
43.18
%
 
8.216
%
 
744
   
83.24
%
 
7.14
%
10.01 - 20.00
   
865
   
49,189,164.76
   
4.73
   
101,983,451.00
   
48.23
   
8.044
   
748
   
78.65
   
16.90
 
20.01 - 30.00
   
3,621
   
192,271,937.01
   
18.51
   
363,330,956.00
   
52.92
   
8.103
   
742
   
82.20
   
26.46
 
30.01 - 40.00
   
7,433
   
430,216,803.42
   
41.41
   
758,478,721.00
   
56.72
   
8.147
   
738
   
83.78
   
36.03
 
40.01 - 50.00
   
6,075
   
364,801,465.53
   
35.11
   
661,173,957.00
   
55.17
   
8.018
   
731
   
81.66
   
44.44
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%


Distribution by Prepayment Penalty Term

Prepayment Penalty Term (Months)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
0
   
10,888
 
$
550,349,654.56
   
52.97
%
$
964,641,145.00
   
57.05
%
 
8.090
%
 
738
   
85.20
%
 
35.86
%
36
   
7,153
   
488,561,189.97
   
47.03
   
925,956,901.00
   
52.76
   
8.088
   
735
   
79.45
   
36.66
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%


Distribution by Prepayment Penalty Amount

Prepayment Penalty Amount ($)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
0
   
10,888
 
$
550,349,654.56
   
52.97
%
$
964,641,145.00
   
57.05
%
 
8.090
%
 
738
   
85.20
%
 
35.86
%
350
   
7,153
   
488,561,189.97
   
47.03
   
925,956,901.00
   
52.76
   
8.088
   
735
   
79.45
   
36.66
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%


Distribution by Origination Channel

Origination Channel
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
Retail
   
3,844
 
$
251,520,625.09
   
24.21
%
$
453,327,121.00
   
55.48
%
 
7.954
%
 
736
   
81.42
%
 
36.85
%
Wholesale
   
14,197
   
787,390,219.44
   
75.79
   
1,437,270,925.00
   
54.78
   
8.132
   
737
   
82.84
   
36.04
 
Total
   
18,041
 
$
1,038,910,844.53
   
100.00
%
$
1,890,598,046.00
   
54.95
%
 
8.089
%
 
737
   
82.50
%
 
36.24
%





Group I: Summary
Statistics for the Mortgage Loans listed below are based on Cut-Off Date scheduled balances.
       
   
Minimum
Maximum
       
Scheduled Principal Balance:
$241,678,057
$0
$397,500
Number of Mortgage Loans
6,054
   
Average Scheduled Principal Balance:
$39,920
   
Weighted Average Gross Coupon:
8.161%
7.250%
11.250%
Credit Limit:
$430,224,922
$10,000
$450,000
Average Credit Limit:
$71,065
   
Weighted Average Original Credit Score:
733
640
839
Weighted Average Combined LTV Ratio:
81.04%
11.00%
100.00%
Weighted Average Credit Utilization Rate(1):
56.17%
0.00%
100.57%
Weighted Average Stated Remaining Term:
352 months
350 months
353 months
Weighted Average Original Term:
360 months
358 months
360 months
Weighted Average Gross Margin:
0.411%
-0.500%
3.500%
Weighted Average Gross Maximum Lifetime Rate:
18.000%
18.000%
18.000%
Weighted Average Gross Minimum Lifetime Rate:
3.000%
3.000%
3.000%
Weighted Average Debt-To-Income Ratio:
36.61%
2.00%
50.00%
Weighted Average Seasoning:
8 months
7 months
9 months
Weighted Average Origination Date:
August 2005
August 2005
September 2005
Percent Second Liens:
94.97%
   
Percent Interest Only Loans:
100.00%
   

(1)  
All Weighted Average Utilization percentages are weighted by the credit limit of the Mortgage Loans.



Distribution by Group

Pool
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
Group I
   
6,054
 
$
241,678,057.22
   
100.00
%
$
430,224,922.00
   
56.17
%
 
8.161
%
 
733
   
81.04
%
 
36.61
%
Total
   
6,054
 
$
241,678,057.22
   
100.00
%
$
430,224,922.00
   
56.17
%
 
8.161
%
 
733
   
81.04
%
 
36.61
%



Distribution by Current Unpaid Principal Balance

Range ($)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
0.00 - 0.00
   
984
 
$
0.00
   
0.00
%
$
75,794,089.00
   
0.00
%
 
N/A
   
N/A
   
N/A
   
N/A
 
0.01 - 10,000.00
   
473
   
2,532,481.97
   
1.05
   
27,110,759.00
   
9.34
   
8.536
   
742
   
80.00
   
35.92
 
10,000.01 - 20,000.00
   
653
   
10,121,742.95
   
4.19
   
28,767,652.00
   
35.18
   
8.809
   
735
   
82.11
   
36.18
 
20,000.01 - 30,000.00
   
902
   
22,984,629.03
   
9.51
   
39,012,166.00
   
58.92
   
8.412
   
731
   
83.66
   
36.30
 
30,000.01 - 40,000.00
   
708
   
24,873,275.95
   
10.29
   
39,127,270.00
   
63.57
   
8.311
   
732
   
84.14
   
36.09
 
40,000.01 - 50,000.00
   
557
   
25,205,936.15
   
10.43
   
35,738,538.00
   
70.53
   
8.261
   
729
   
82.40
   
37.01
 
50,000.01 - 60,000.00
   
391
   
21,761,652.16
   
9.00
   
28,634,233.00
   
76.00
   
8.093
   
730
   
80.62
   
37.08
 
60,000.01 - 70,000.00
   
334
   
21,858,236.24
   
9.04
   
26,867,248.00
   
81.36
   
8.050
   
727
   
81.25
   
37.33
 
70,000.01 - 80,000.00
   
264
   
19,915,457.60
   
8.24
   
24,328,997.00
   
81.86
   
8.028
   
731
   
81.81
   
36.56
 
80,000.01 - 90,000.00
   
171
   
14,568,736.47
   
6.03
   
17,936,742.00
   
81.22
   
7.992
   
731
   
81.80
   
36.79
 
90,000.01 - 100,000.00
   
202
   
19,462,067.72
   
8.05
   
22,421,990.00
   
86.80
   
8.011
   
731
   
78.37
   
36.02
 
100,000.01 - 150,000.00
   
294
   
35,846,886.14
   
14.83
   
40,753,853.00
   
87.96
   
8.001
   
735
   
80.80
   
37.47
 
150,000.01 - 200,000.00
   
113
   
20,370,123.13
   
8.43
   
21,458,385.00
   
94.93
   
8.081
   
747
   
74.24
   
35.12
 
200,000.01 - 250,000.00
   
4
   
943,327.71
   
0.39
   
984,000.00
   
95.87
   
7.940
   
750
   
75.82
   
36.50
 
250,000.01 - 300,000.00
   
2
   
525,291.33
   
0.22
   
574,000.00
   
91.52
   
8.359
   
786
   
90.09
   
40.61
 
300,000.01 - 350,000.00
   
1
   
310,712.59
   
0.13
   
315,000.00
   
98.64
   
8.000
   
781
   
74.00
   
23.00
 
350,000.01 - 397,500.08
   
1
   
397,500.08
   
0.16
   
400,000.00
   
99.38
   
7.750
   
742
   
78.00
   
41.00
 
Total
   
6,054
 
$
241,678,057.22
   
100.00
%
$
430,224,922.00
   
56.17
%
 
8.161
%
 
733
   
81.04
%
 
36.61
%
 
As of the cut-off date, the average current principal balance of the Mortgage Loans is approximately $39,920.



Distribution by Current Rate

Current Rate (%)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
7.250 - 8.000
   
3,366
 
$
149,368,569.13
   
61.80
%
$
283,571,487.00
   
52.67
%
 
7.841
%
 
735
   
77.88
%
 
36.87
%
8.001 - 9.000
   
2,017
   
78,975,269.09
   
32.68
   
126,710,171.00
   
62.33
   
8.500
   
729
   
85.60
   
36.17
 
9.001 - 10.000
   
414
   
9,912,821.42
   
4.10
   
15,223,838.00
   
65.11
   
9.456
   
730
   
89.55
   
36.50
 
10.001 - 11.000
   
244
   
3,263,765.81
   
1.35
   
4,480,576.00
   
72.84
   
10.466
   
720
   
88.27
   
35.60
 
11.001 - 11.250
   
13
   
157,631.77
   
0.07
   
238,850.00
   
66.00
   
11.250
   
766
   
99.37
   
36.12
 
Total
   
6,054
 
$
241,678,057.22
   
100.00
%
$
430,224,922.00
   
56.17
%
 
8.161
%
 
733
   
81.04
%
 
36.61
%
 
As of the cutoff date, the weighted average current rate of the Mortgage Loans is approximately 8.161%.

Distribution by Credit Score

FICO Distribution
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
640 - 650
   
75
 
$
3,092,629.86
   
1.28
%
$
4,298,901.00
   
71.94
%
 
8.328
%
 
644
   
71.73
%
 
37.06
%
651 - 675
   
390
   
16,747,503.79
   
6.93
   
22,320,913.00
   
75.03
   
8.283
   
665
   
80.97
   
38.60
 
676 - 700
   
783
   
31,860,071.65
   
13.18
   
47,116,786.00
   
67.62
   
8.171
   
690
   
82.76
   
37.78
 
701 - 725
   
1,227
   
53,471,073.09
   
22.12
   
83,053,178.00
   
64.38
   
8.175
   
713
   
81.68
   
37.23
 
726 - 750
   
1,266
   
53,703,132.93
   
22.22
   
90,733,466.00
   
59.19
   
8.165
   
737
   
83.38
   
36.13
 
751 - 775
   
1,139
   
43,325,004.20
   
17.93
   
84,392,465.00
   
51.34
   
8.142
   
763
   
80.93
   
36.04
 
776 - 800
   
862
   
29,229,914.19
   
12.09
   
69,030,651.00
   
42.34
   
8.096
   
787
   
78.91
   
35.00
 
801 - 825
   
296
   
9,804,135.63
   
4.06
   
27,755,412.00
   
35.32
   
8.037
   
809
   
70.18
   
35.93
 
826 - 839
   
16
   
444,591.88
   
0.18
   
1,523,150.00
   
29.19
   
8.095
   
830
   
54.00
   
35.01
 
Total
   
6,054
 
$
241,678,057.22
   
100.00
%
$
430,224,922.00
   
56.17
%
 
8.161
%
 
733
   
81.04
%
 
36.61
%
 
As of the cutoff date, the weighted average credit score of the Mortgage Loans is approximately 733.
 


Distribution by Combined Original LTV

Combined Original LTV (%)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
11.00 - 15.00
   
3
 
$
56,000.00
   
0.02
%
$
270,000.00
   
20.74
%
 
7.750
%
 
821
   
11.00
%
 
44.00
%
15.01 - 20.00
   
8
   
199,011.98
   
0.08
   
847,650.00
   
23.48
   
7.776
   
749
   
17.69
   
25.58
 
20.01 - 25.00
   
16
   
692,574.42
   
0.29
   
1,855,000.00
   
37.34
   
8.352
   
790
   
23.70
   
34.12
 
25.01 - 30.00
   
32
   
1,432,901.42
   
0.59
   
3,958,500.00
   
36.20
   
8.047
   
769
   
28.36
   
29.22
 
30.01 - 35.00
   
47
   
1,705,314.66
   
0.71
   
4,645,500.00
   
36.71
   
7.942
   
747
   
32.34
   
34.63
 
35.01 - 40.00
   
69
   
3,012,092.97
   
1.25
   
7,586,400.00
   
39.70
   
8.033
   
753
   
37.83
   
33.16
 
40.01 - 45.00
   
80
   
3,218,685.83
   
1.33
   
8,177,350.00
   
39.36
   
7.974
   
757
   
43.24
   
36.31
 
45.01 - 50.00
   
107
   
5,000,652.20
   
2.07
   
10,168,500.00
   
49.18
   
7.992
   
745
   
48.19
   
37.52
 
50.01 - 55.00
   
125
   
4,737,645.90
   
1.96
   
11,051,599.00
   
42.87
   
7.971
   
737
   
53.04
   
35.56
 
55.01 - 60.00
   
159
   
5,886,816.94
   
2.44
   
15,020,396.00
   
39.19
   
7.990
   
742
   
57.98
   
37.46
 
60.01 - 65.00
   
194
   
7,706,920.35
   
3.19
   
16,314,554.00
   
47.24
   
8.000
   
734
   
62.80
   
37.96
 
65.01 - 70.00
   
236
   
9,361,386.24
   
3.87
   
20,684,657.00
   
45.26
   
7.976
   
735
   
67.77
   
36.03
 
70.01 - 75.00
   
320
   
12,396,171.37
   
5.13
   
25,870,944.00
   
47.92
   
7.988
   
732
   
73.24
   
38.19
 
75.01 - 80.00
   
546
   
24,735,159.96
   
10.23
   
43,864,057.00
   
56.39
   
8.044
   
721
   
78.46
   
36.60
 
80.01 - 85.00
   
681
   
28,367,694.03
   
11.74
   
48,767,811.00
   
58.17
   
8.065
   
728
   
83.41
   
36.36
 
85.01 - 90.00
   
2,495
   
97,702,793.80
   
40.43
   
162,334,041.00
   
60.19
   
8.091
   
731
   
88.54
   
37.01
 
90.01 - 95.00
   
659
   
24,366,804.74
   
10.08
   
32,868,386.00
   
74.13
   
8.644
   
732
   
94.12
   
36.69
 
95.01 - 100.00
   
277
   
11,099,430.41
   
4.59
   
15,939,577.00
   
69.63
   
9.059
   
753
   
99.51
   
33.53
 
Total
   
6,054
 
$
241,678,057.22
   
100.00
%
$
430,224,922.00
   
56.17
%
 
8.161
%
 
733
   
81.04
%
 
36.61
%
 
As of the cutoff date, the weighted average Combined original LTV of the Mortgage Loans is approximately 81.04%.
 

 

 

Distribution by Original Term to Maturity

Original Term to Maturity (Months)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
358
   
105
 
$
4,182,766.08
   
1.73
%
$
7,815,493.00
   
53.52
%
 
8.238
%
 
739
   
81.01
%
 
37.24
%
360
   
5,949
   
237,495,291.14
   
98.27
   
422,409,429.00
   
56.22
   
8.159
   
733
   
81.04
   
36.60
 
Total
   
6,054
 
$
241,678,057.22
   
100.00
%
$
430,224,922.00
   
56.17
%
 
8.161
%
 
733
   
81.04
%
 
36.61
%
 
As of the cutoff date, the weighted average original term to maturity of the Mortgage Loans is approximately 360 months.


Distribution by Remaining Term to Maturity

Remaining Term to Maturity (Months)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
350
   
60
 
$
2,767,850.91
   
1.15
%
$
4,949,533.00
   
55.92
%
 
8.202
%
 
742
   
82.35
%
 
38.37
%
351
   
46
   
1,434,572.14
   
0.59
   
2,906,960.00
   
49.35
   
8.318
   
732
   
78.67
   
35.04
 
352
   
3,351
   
133,771,649.08
   
55.35
   
235,402,963.00
   
56.83
   
8.159
   
733
   
81.27
   
36.53
 
353
   
2,597
   
103,703,985.09
   
42.91
   
186,965,466.00
   
55.47
   
8.160
   
733
   
80.73
   
36.68
 
Total
   
6,054
 
$
241,678,057.22
   
100.00
%
$
430,224,922.00
   
56.17
%
 
8.161
%
 
733
   
81.04
%
 
36.61
%
 
As of the cutoff date, the weighted average remaining term to maturity of the Mortgage Loans is approximately 352 months.

Distribution by Seasoning

Seasoning (Months)
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
7
   
2,642
 
$
105,118,900.26
   
43.50
%
$
189,831,426.00
   
55.37
%
 
8.162
%
 
733
   
80.70
%
 
36.66
%
8
   
3,411
   
136,539,499.99
   
56.50
   
240,352,496.00
   
56.81
   
8.160
   
733
   
81.30
   
36.57
 
9
   
1
   
19,656.97
   
0.01
   
41,000.00
   
47.94
   
9.000
   
765
   
100.00
   
35.00
 
Total
   
6,054
 
$
241,678,057.22
   
100.00
%
$
430,224,922.00
   
56.17
%
 
8.161
%
 
733
   
81.04
%
 
36.61
%
As of the cutoff date, the weighted average seasoning of the Mortgage Loans is approximately 8 months.

Distribution by Lien Position

Lien Position
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
1
   
160
 
$
12,146,033.90
   
5.03
%
$
24,399,952.00
   
49.78
%
 
8.153
%
 
754
   
66.27
%
 
33.10
%
2
   
5,894
   
229,532,023.32
   
94.97
   
405,824,970.00
   
56.56
   
8.161
   
732
   
81.82
   
36.80
 
Total
   
6,054
 
$
241,678,057.22
   
100.00
%
$
430,224,922.00
   
56.17
%
 
8.161
%
 
733
   
81.04
%
 
36.61
%


Distribution by Property Type

Property Type
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
SINGLE FAMILY
   
5,294
 
$
211,299,536.44
   
87.43
%
$
376,848,861.00
   
56.07
%
 
8.159
%
 
732
   
80.97
%
 
36.57
%
CONDO
   
494
   
17,387,750.24
   
7.19
   
31,915,115.00
   
54.48
   
8.208
   
739
   
82.89
   
36.76
 
PUD
   
194
   
8,764,752.70
   
3.63
   
14,129,531.00
   
62.03
   
8.107
   
728
   
83.24
   
37.50
 
2 FAMILY
   
54
   
3,060,244.08
   
1.27
   
5,274,295.00
   
58.02
   
8.075
   
742
   
73.90
   
36.26
 
3 FAMILY
   
5
   
385,648.08
   
0.16
   
620,670.00
   
62.13
   
8.873
   
774
   
43.81
   
39.44
 
4 FAMILY
   
6
   
329,285.39
   
0.14
   
721,450.00
   
45.64
   
8.552
   
726
   
84.84
   
36.91
 
TOWNHOUSE
   
7
   
450,840.29
   
0.19
   
715,000.00
   
63.06
   
7.861
   
722
   
75.62
   
31.69
 
Total
   
6,054
 
$
241,678,057.22
   
100.00
%
$
430,224,922.00
   
56.17
%
 
8.161
%
 
733
   
81.04
%
 
36.61
%
 
Distribution by Occupancy Type

Occupancy Type
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
Primary Residence
   
6,024
 
$
239,243,095.09
   
98.99
%
$
426,290,726.00
   
56.12
%
 
8.154
%
 
733
   
81.19
%
 
36.64
%
Investment
   
24
   
1,953,983.43
   
0.81
   
2,874,196.00
   
67.98
   
8.945
   
750
   
65.98
   
34.84
 
Second Hm.
   
6
   
480,978.70
   
0.20
   
1,060,000.00
   
45.38
   
8.105
   
769
   
63.69
   
26.66
 
Total
   
6,054
 
$
241,678,057.22
   
100.00
%
$
430,224,922.00
   
56.17
%
 
8.161
%
 
733
   
81.04
%
 
36.61
%


Distribution by Purpose

Purpose Type
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
Purchase
   
405
 
$
11,101,547.94
   
4.59
%
$
14,214,852.00
   
78.10
%
 
8.643
%
 
752
   
92.66
%
 
39.02
%
Refinance
   
1,759
   
40,649,761.90
   
16.82
   
87,682,724.00
   
46.36
   
8.297
   
727
   
85.42
   
36.32
 
StandAlone
   
3,890
   
189,926,747.38
   
78.59
   
328,327,346.00
   
57.85
   
8.103
   
733
   
79.42
   
36.53
 
Total
   
6,054
 
$
241,678,057.22
   
100.00
%
$
430,224,922.00
   
56.17
%
 
8.161
%
 
733
   
81.04
%
 
36.61
%

Distribution by Geographic Location

Geographic Location
 
Count
 
Current Unpaid Principal Balance ($)
 
Percent
 
Credit Limit ($)
 
WA Utilization (%)
 
WA GWAC (%)
 
WA FICO
 
WA Combined LTV (%)
 
WA DTI Ratio (%)
 
Arizona
   
657
 
$
30,820,625.20
   
12.75
%
$
48,670,479.00
   
63.33
%
 
8.104
%
 
726
   
83.35
%
 
37.12
%
Arkansas
   
2
   
82,396.90
   
0.03
   
83,900.00
   
98.21
   
8.286
   
712
   
89.00
   
31.28
 
California
   
1,014
   
43,454,607.94
   
17.98
   
93,056,591.00
   
46.70
   
8.048
   
734
   
72.30
   
37.64
 
Colorado
   
216
   
6,858,420.73
   
2.84
   
11,575,074.00
   
59.25
   
8.393
   
734
   
87.55
   
35.01
 
Connecticut
   
105
   
4,182,766.08
   
1.73
   
7,815,493.00
   
53.52
   
8.238
   
739
   
81.01
   
37.24
 
Delaware
   
14
   
801,999.98
   
0.33
   
1,150,637.00
   
69.70
   
8.037
   
721
   
89.57
   
33.40
 
District of Columbia
   
29
   
1,129,948.92
   
0.47
   
2,319,688.00
   
48.71
   
8.144
   
720
   
82.84
   
37.37
 
Florida
   
606
   
30,201,208.48
   
12.50
   
48,944,514.00
   
61.71
   
8.142
   
729
   
80.90
   
36.86
 
Hawaii
   
3
   
24,411.92
   
0.01
   
110,000.00
   
22.19
   
9.250
   
736
   
90.00
   
40.00
 
Idaho
   
10
   
366,998.02
   
0.15
   
655,762.00
   
55.97
   
8.202
   
751
   
77.02
   
37.60
 
Illinois
   
420
   
12,771,683.68
   
5.28
   
23,027,732.00
   
55.46
   
8.208
   
735
   
86.12
   
35.94
 
Indiana
   
46
   
939,624.52
   
0.39
   
1,517,215.00
   
61.93
   
8.838
   
732
   
90.34
   
36.13
 
Kansas
   
9
   
200,166.73
   
0.08
   
398,840.00
   
50.19
   
8.794
   
725
   
91.01
   
38.17
 
Kentucky
   
19
   
443,417.16
   
0.18
   
779,532.00
   
56.88
   
8.686
   
736
   
90.76
   
32.78
 
Maryland
   
460
   
18,250,844.04
   
7.55
   
36,647,245.00
   
49.80
   
8.056
   
734
   
80.09
   
36.39
 
Massachusetts
   
21
   
744,066.93
   
0.31
   
1,040,972.00
   
71.48
   
8.249
   
744
   
91.25
   
39.21
 
Michigan
   
155
   
4,034,813.96
   
1.67
   
6,910,195.00
   
58.39
   
8.463
   
741
   
88.38
   
35.79
 
Minnesota
   
95
   
3,645,897.08
   
1.51
   
5,885,178.00
   
61.95
   
8.287
   
744
   
85.29
   
35.72
 
Mississippi
   
1
   
0.00
   
0.00
   
25,000.00
   
0.00
   
N/A
   
N/A
   
N/A
   
N/A
 
Missouri
   
105
   
2,393,157.06
   
0.99
   
5,421,893.00
   
44.14
   
8.162
   
739
   
81.77
   
33.89
 
Montana
   
2
   
65,533.77
   
0.03
   
77,000.00
   
85.11
   
8.393
   
691
   
81.37
   
32.57
 
Nevada
   
77
   
3,708,424.87
   
1.53
   
6,047,094.00
   
61.33
   
8.027
   
723
   
74.27
   
34.12
 
New Hampshire
   
39
   
1,109,974.23
   
0.46
   
2,069,018.00
   
53.65
   
8.150
   
724
   
84.69
   
36.58
 
New Mexico
   
13
   
437,275.84
   
0.18
   
610,200.00
   
71.66
   
8.403
   
715
   
87.59
   
39.87
 
New York
   
190
   
13,509,647.30
   
5.59
   
20,644,587.00
   
65.44
   
8.103
   
738
   
72.09
   
35.00
 
North Carolina
   
86
   
2,254,278.02
   
0.93
   
4,127,020.00
   
54.62
   
8.564
   
741
   
90.76
   
34.63
 
Ohio
   
284
   
7,447,619.52
   
3.08
   
12,298,365.00
   
60.56
   
8.554
   
735
   
88.23
   
34.21
 
Oklahoma
   
9
   
193,963.56
   
0.08
   
362,708.00
   
53.48
   
8.766
   
748
   
92.44
   
27.54
 
Oregon
   
216