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Argent Securities Trust 2006-W5 – ‘FWP’ on 5/23/06 re: Argent Securities Trust 2006-W5

On:  Tuesday, 5/23/06, at 3:15pm ET   ·   Accession #:  882377-6-1780   ·   File #:  333-131895-02

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

 5/23/06  Argent Securities Trust 2006-W5   FWP                    1:3.2M Argent Securities Trust 2006-W5   Thacher Proffitt..LLP/FA

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

Document/Exhibit                   Description                      Pages   Size 

 1: FWP         Argent Securities Inc.                              HTML   1.42M 


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  Unassociated Document  

Argent Securities Inc., Asset-Backed Pass-Through Certificates, Series 2006-W5

Argent Securities Inc.

Asset-Backed Pass-Through Certificates, Series 2006-W5

$807,236,000 (Approximate Offered Amount)

Subject to Revision
 
May 10, 2006 - Computational Materials


PRELIMINARY TERM SHEET
$807,236,000
(Approximate Offered Certificates)
 
Asset-Backed Pass-Through Certificates,
Series 2006-W5
 
Argent Securities Inc. 

 
Argent Securities Inc.
(Depositor)
Argent Mortgage Company, L.L.C.
(Originator)
Ameriquest Mortgage Company
(Master Servicer)






 
Filed pursuant to Rule 433(d)
Registration Number: 333-131895
The issuer has filed a registration statement (including a base prospectus) with the SEC for the offering to which this free writing prospectus relates. Before you invest in this offering, you should read the base 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 Web site at www.sec.gov <http://www.sec.gov/>. Alternatively, RBS Greenwich Capital will arrange to send you the base prospectus at no charge if you request it by calling 1-866-884-2071 or emailing offeringmaterials@rbsgc.com.

This free writing prospectus is being delivered to you solely to provide you with information about the offering and to solicit an offer to purchase the offered securities. Any such offer to purchase made by you will not be accepted and will not constitute a contractual commitment by you to purchase any of the securities until we have accepted your offer to purchase such securities. Any such commitment shall be subject to the conditions specified below.

This free writing prospectus is not required to contain all of the 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 the offered securities, supersedes any prior version of this free writing prospectus and any information contained in any prior similar free writing prospectus relating to these securities. If a preliminary prospectus is conveyed to you prior to your commitment to purchase, that document supersedes all other information provided to you concerning the offered 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 securities referred to in this free writing prospectus are being offered when, as and if issued. The issuer is not obligated to issue any such securities or any similar securities, and all or a portion of the securities may not be issued that have the characteristics described herein. The underwriters' obligation to deliver such securities is subject to the terms and conditions of the underwriting agreement with the issuer and the availability of the securities having the characteristics described herein. If, for any reason, the issuer does not deliver such securities, the underwriter will notify you, and neither the issuer nor any underwriter will have any obligation to you to deliver all or any portion of the securities which you have committed to purchase, and there will be no liability between us as a consequence of the non-delivery.

For asset-backed and mortgage-backed securities: Certain of the information contained herein may be based on numerous assumptions (including preliminary assumptions about the pool assets and structure), which may not be specifically identified as assumptions in the information. Any such information or assumptions are subject to change. The information in this free writing prospectus may reflect assumptions specifically requested by you. If so, prior to the time of your commitment to purchase, you should request updated information based on any assumptions specifically required by you.

Any legends, disclaimers or other notices that may appear below or on any electronic communication to which this free writing prospectus is attached which state that (1) these materials do not constitute an offer (or a solicitation of an offer), (2) no representation is made as to the accuracy or completeness of these materials and that these materials may not be updated or (3) these materials may be confidential are not applicable to this communication and should be disregarded. Such legends, disclaimers or other notices have been automatically generated as a result of this communication having been sent via Bloomberg or another system.


PRELIMINARY TERM SHEET DATED May 10, 2006
 
Argent Securities Inc.
Asset-Backed Pass-Through Certificates, Series 2006-W5
 
$ 807,236,000
(Approximate Offered Certificates)
Subject to Revision
 

 
Class
Approximate
Size ($)
Type1,2
WAL
(yrs)
Call3 / Mat4
Principal
Payment
Window
Call3 / Mat4
Pmt
Delay
(days)
Interest
Accrual
Basis
Stated
Final
Maturity
Expected
Ratings
Moody’s/S&P/Fitch
Initial Credit Enhancement (%)
Offered Certificates
             
A-2A
246,000,000
FLT/SEQ/SR
1.00 / 1.00
1-21 / 1-21
0
Actual/360
June 2036
Aaa/AAA/AAA
20.05%
A-2B
119,000,000
FLT/SEQ/SR
2.00 / 2.00
21-26 / 21-26
0
Actual/360
June 2036
Aaa/AAA/AAA
20.05%
A-2C
145,000,000
FLT/SEQ/SR
3.46 / 3.46
26-72 / 26-72
0
Actual/360
June 2036
Aaa/AAA/AAA
20.05%
A-2D
53,798,000
FLT/SEQ/SR
6.80 / 8.80
72-83 / 72-187
0
Actual/360
June 2036
Aaa/AAA/AAA
20.05%
M-1
48,137,000
FLT/MEZ
4.89 / 5.43
44-83 / 44-166
0
Actual/360
June 2036
Aa1/AA+/AA+
16.55%
M-2
42,636,000
FLT/MEZ
4.80 / 5.32
42-83 / 42-153
0
Actual/360
June 2036
Aa2/AA+/AA+
13.45%
M-3
27,507,000
FLT/MEZ
4.75 / 5.25
41-83 / 41-145
0
Actual/360
June 2036
Aa3/AA/AA
11.45%
M-4
22,693,000
FLT/MEZ
4.72 / 5.20
40-83 / 40-139
0
Actual/360
June 2036
A1/AA/AA-
9.80%
M-5
23,381,000
FLT/MEZ
4.70 / 5.15
39-83 / 39-134
0
Actual/360
June 2036
A2/AA-/A+
8.10%
M-6
19,943,000
FLT/MEZ
4.69 / 5.10
39-83 / 39-127
0
Actual/360
June 2036
A3/A+/A
6.65%
M-7
18,567,000
FLT/MEZ
4.67 / 5.03
38-83 / 38-119
0
Actual/360
June 2036
Baa1/A/BBB+
5.30%
M-8
15,817,000
FLT/MEZ
4.67 / 4.96
38-83 / 38-111
0
Actual/360
June 2036
Baa2/A-/BBB
4.15%
M-9
11,003,000
FLT/MEZ
4.66 / 4.87
37-83 / 37-102
0
Actual/360
June 2036
Baa3/BBB+/BBB
3.35%
M-10
13,754,000
FLT/MEZ
4.64 / 4.71
37-83 / 37-94
0
Actual/360
June 2036
Ba1/BBB/BB+
2.35%
Non-Offered Certificates
   
 
     
A-1
535,800,000
FLT/SR
Not Offered
0
Actual/360
June 2036
Aaa/AAA/AAA
20.05%
CE
 
N/A
Not Offered
N/A
   
NR
N/A
P
100
N/A
Not Offered
N/A
   
NR
N/A
R
N/A
N/A
Not Offered
N/A
   
NR
N/A
R-X
N/A
N/A
Not Offered
N/A
   
NR
N/A

(1) The interest rate on each of the Certificates is subject to the related Net WAC Rate Cap.
(2) The Adjustable-Rate Certificates will accrue interest at a rate not greater than the related Maximum Cap Rate.
(3) To 10% Optional Termination at the pricing speed.
(4) To maturity at the pricing speed.
 
Pricing Speed (“PPC”)
Fixed-Rate Mortgage Loans
2% CPR growing to 20% CPR over 10 months.
Adjustable-Rate Mortgage Loans
100% PPC, which is 5% CPR in month 1, an additional 2% CPR for each month thereafter, building to 27% CPR in month 12 and remaining constant at 27% CPR until month 23, increasing to and remaining constant at 60% CPR from month 24 until month 27 and decreasing and remaining constant at 30% CPR from month 28 and thereafter; provided, however, the prepayment rate will not exceed 85% CPR per annum in any period for any percentage of PPC.



Part I: Key Terms
Parties:
Depositor:
 
Argent Securities Inc.
   
Originator:
Argent Mortgage Company, L.L.C.
   
Seller, Sponsor and Master Servicer:
Ameriquest Mortgage Company.
Static pool information regarding delinquencies, cumulative losses and prepayments for prior securitized pools sponsored by the Sponsor and serviced by the Master Servicer for the last five years can be obtained from the following website: http://www.amcinvestors.com/arsi.
   
Trustee, Custodian and Swap Administrator:
Deutsche Bank National Trust Company.
   
Swap Provider:
[TBD]
   
Co-Lead Underwriters:
Greenwich Capital Markets, Inc. and Barclays Capital Inc.
   
Co-Manager:
Merrill Lynch, Pierce, Fenner & Smith Incorporated. and Deutsche Bank Securities Inc.
   
Collateral:
 
   
Mortgage Loans:
As of the Cut-off Date, 6,559 Adjustable-Rate and Fixed-Rate, first-lien and second-lien, closed-end, subprime mortgage loans with LTVs at origination not in excess of 100% and an aggregate scheduled principal balance as of the Cut-off Date of approximately $1,375,356,664 (the “Mortgage Loans”). References to percentages or balances herein are based on the aggregate scheduled principal balance of such Mortgage Loans on the Cut-off Date. For the purpose of calculating interest and principal on the Class A Certificates, the Mortgage Loans have been divided into two loan groups, designated as follows:
   
 
Group I Mortgage Loans: 4,067 Adjustable-Rate and Fixed-Rate Mortgage Loans with an aggregate scheduled principal balance as of the Cut-off Date of approximately $670,168,258 and with principal balances at origination that conform to principal balance limits of Freddie Mac.
 
Group II Mortgage Loans: 2,492 Adjustable-Rate and Fixed-Rate Mortgage Loans with an aggregate scheduled principal balance as of the Cut-off Date of approximately $705,188,406 and with principal balances at origination that may or may not conform to principal balance limits of Fannie Mae and Freddie Mac.
   
Primary Mortgage Insurance Policy:
As of the Cut-off Date, approximately 10.23% of the Mortgage Loans will be covered by a mortgage insurance policy (the “PMI Policy”) issued by Mortgage Guaranty Insurance Corporation (the “Mortgage Insurance Provider”). For each of those Mortgage Loans, the Mortgage Insurance Provider provides insurance coverage, subject to certain carveouts, down to 60% of the value of the related mortgaged property.
 
Dates:
 
   
Cut-off Date:
The close of business on May 1, 2006.
   
Distribution Dates:
The 25th day of each month or, if the 25th day is not a business day, the next business day, beginning in June 2006.
   
Record Date:
Adjustable-Rate Certificates: the close of business on the business day immediately preceding the related Distribution Date.
 
Retained Certificates: the close of business on the last business day of the month preceding the month in which the related Distribution Date occurs.
   
Expected Pricing Date:
The week of May 8, 2006.
   
Expected Closing Date:
On or about May 25, 2006.
   
Designations:
 
   
Certificates:
Argent Securities Inc., Asset-Backed Pass-Through Certificates, Series 2006-W5.
   
Adjustable-Rate Certificates:
Class A Certificates and Class M Certificates.
   
Class A Certificates:
Class A-1, Class A-2A, Class A-2B, Class A-2C, and Class A-2D Certificates.
   
Class M Certificates:
Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates.
   
Offered Certificates:
Class A-2A, Class A-2B, Class A-2C, Class A-2D, and Class M Certificates.
   
Non-Offered Certificates:
Class A-1, Class CE, Class P and Residual Certificates.
   
Residual Certificates:
Class R and Class R-X Certificates.
   
Retained Certificates:
Class CE, Class P and Residual Certificates.
   
Group I Certificates:
Class A-1 Certificates, which evidence interests in the Group I Mortgage Loans.
   
Group II Certificates:
Class A-2A, Class A-2B, Class A-2C, and Class A-2D Certificates, which evidence interests in the Group II Mortgage Loans.
   
Other Terms:
 
   
Source for Calculation of One-Month LIBOR:
Moneyline Telerate page 3750.
   
ERISA:
The Offered Certificates will not be ERISA eligible as of the Closing Date.
   
SMMEA Eligibility:
The Offered Certificates will not constitute “mortgage related securities” for purposes of SMMEA.
   
Federal Taxation:
Designated portions of the Trust will be established as multiple REMICs for federal income tax purposes.
   
Form of Registration:
Book-entry form through DTC, Clearstream and Euroclear.
   
Minimum Denominations:
With respect to the Class A and Class M Certificates, $100,000 and integral multiples of $1 in excess.

 
Part II: Definitions/Description of the Certificates

Determination Date:
The 10th day of the month or, if such day is not a business day, the business day immediately preceding such 10th day.
   
Due Period:
For each Distribution Date, the period from the second day of the immediately preceding month to the first day of the month in which such Distribution Date occurs.
   
Prepayment Period:
For the first Distribution Date, the Cut-off Date to and including the initial Determination Date, and for all other Distribution Dates, the day after the prior Determination Date to and including the Determination Date in the month in which such Distribution Date occurs.
   
Interest Accrual Basis:
Actual/360. The Adjustable-Rate Certificates will settle flat and will have no payment delay.
   
Administrative Fee Rate:
The sum of (a) the Servicing Fee Rate (0.50% per annum), (b) the Trustee Fee Rate (0.0016% per annum) and (c) the PMI Insurer Fee Rate, if applicable.
   
Expense Adjusted Net Mortgage Rate:
The mortgage rate of each Mortgage Loan minus the Administrative Fee Rate.
   
Expense Adjusted Net Maximum Mortgage Rate:
The per annum rate equal to the applicable maximum mortgage rate (or the mortgage rate for such Mortgage Loan in the case of the fixed-rate Mortgage Loans) of each Mortgage Loan minus the Administrative Fee Rate.
   
Optional Termination:
The majority holders of the Class CE Certificates, the Master Servicer and the NIMS Insurer, if any, in that order, may purchase all of the Mortgage Loans and REO properties and retire the Certificates on or after the Optional Termination Date.
   
Optional Termination Date:
The first Distribution Date on which the aggregate principal balance of the Mortgage Loans is less than 10% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date.
   
Credit Enhancement:
Excess Interest;
Overcollateralization ("OC");
Subordination; and
Primary Mortgage Insurance Policy.
   
Initial Overcollateralization Target Percentage:
Approximately 2.35%.
   
Overcollateralization Floor:
The aggregate principal balance of the Mortgage Loans as of the Cut-off Date multiplied by 0.50%.
   
Overcollateralization Target Amount:
For any Distribution Date, (i) prior to the Stepdown Date, an amount equal to the Initial Overcollateralization Target Percentage of the aggregate principal balance of the Mortgage Loans 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) 2x the Initial Overcollateralization Target Percentage of the then current aggregate outstanding principal balance of the 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 (y) the Overcollateralization Floor or (iii) on or after the Stepdown Date and if a Trigger Event is in effect, the Overcollateralization Target Amount for the immediately preceding Distribution Date.
   
Stepdown Date:
The earlier of (i) the first Distribution Date on which the aggregate Certificate Principal Balance of the Class A Certificates has been reduced to zero and (ii) the later of (A) the 37th Distribution Date and (B) the date that the Credit Enhancement Percentage for the Class A Certificates is greater than or equal to 2x the Initial Credit Enhancement Percentage.



Credit Enhancement Percentage:
The percentage obtained by dividing (x) the aggregate Certificate Principal Balance of each class of Certificates with a lower distribution priority by (y) the aggregate principal balance of the Mortgage Loans.
   
Class
Initial CE%
Target CE% On/After Stepdown Date
   
Class A
20.05%
2x Initial CE%
   
M-1
16.55%
2x Initial CE%
   
M-2
13.45%
2x Initial CE%
   
M-3
11.45%
2x Initial CE%
   
M-4
9.80%
2x Initial CE%
   
M-5
8.10%
2x Initial CE%
   
M-6
6.65%
2x Initial CE%
   
M-7
5.30%
2x Initial CE%
   
M-8
4.15%
2x Initial CE%
   
M-9
3.35%
2x Initial CE%
   
M-10
2.35%
2x Initial CE%
         
 
Overcollateralization Reduction Amount:
For any Distribution Date, the lesser of (A) the principal remittance amount on such Distribution Date and (B) the excess, if any, of (i) the Overcollateralized Amount for such Distribution Date (calculated for this purpose only after assuming that 100% of the principal remittance amount on such Distribution Date has been distributed) over (ii) the Overcollateralization Target Amount for such Distribution Date.
   
Overcollateralized Amount:
For any Distribution Date, will be the excess, if any, of (a) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments received or advanced on or before the related Determination Date and principal prepayments received during the related Prepayment Period) over (b) the aggregate Certificate Principal Balance of the Class A and Class M Certificates plus the Certificate Principal Balance of the Class P Certificates, after giving effect to distributions to be made on such Distribution Date.
 
Net Monthly Excess Cashflow:
For any Distribution Date, the sum of (x) the Overcollateralization Reduction Amount, if any, and (y) the excess of the Available Funds, net of any Net Swap Payment made by the Trustee and the Swap Termination Payments (only if such Swap Termination Payment is not due to a Swap Provider Trigger Event (as defined in the Swap Agreement)), if any, made by the Trustee, over the sum of (i) the monthly interest accrued and any unpaid interest on the Class A Certificates and the monthly interest accrued on the Class M Certificates and (ii) the principal remittance amount.

Allocation of Losses:
Any Realized Losses on the Mortgage Loans on any Distribution Date will first be absorbed by the Class CE Certificates.
If on any Distribution Date as a result of Realized Losses on the Mortgage Loans, the aggregate certificate principal balance of the Certificates exceeds the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period, such excess, (the “Realized Loss Amount”) will be allocated to the classes of Class M Certificates, sequentially, in descending numerical order.
There will be no allocation of Realized Losses on the Mortgage Loans to the Class A Certificates or the Class P Certificates. Investors in the Class A Certificates should note, however, that although Realized Losses cannot be allocated to such Certificates, under certain loss scenarios there may not be enough principal and interest on the Mortgage Loans to distribute to the holders of such Certificates all principal and interest amounts to which they are then entitled. Once Realized Losses are allocated to the Class M Certificates, such amounts with respect to such Certificates will no longer accrue interest. However, the amount of any Realized Losses allocated to the Class M Certificates may be distributed to the holders of those certificates from the Net Monthly Excess Cashflow (and from certain amounts received by the Swap Administrator from the Swap Agreement, if any), sequentially, as described in the Pooling and Servicing Agreement.
 
Net WAC Rate Cap:
 
 
 
 
 
Group I Certificates: The per annum rate (subject to adjustment based on the actual number of days elapsed in the related Interest Accrual Period) equal to (x) the weighted average of the Expense Adjusted Net Mortgage Rates of the Group I Mortgage Loans minus (y) the Net Swap Payment or Swap Termination Payment, if any, made to the Swap Provider (only if such Swap Termination Payment is not due to a Swap Provider Trigger Event (as defined in the Swap Agreement)) expressed as a percentage, equal to a fraction, the numerator of which is equal to the Net Swap Payment or Swap Termination Payment made to the Swap Provider by the Trust and the denominator of which is equal to the aggregate principal balance of the Mortgage Loans, multiplied by 12.
 
Group II Certificates: The per annum rate (subject to adjustment based on the actual number of days elapsed in the related Interest Accrual Period) equal to (x) the weighted average of the Expense Adjusted Net Mortgage Rates of the Group II Mortgage Loans minus (y) the Net Swap Payment or Swap Termination Payment, if any, made to the Swap Provider (only if such Swap Termination Payment is not due to a Swap Provider Trigger Event (as defined in the Swap Agreement)) expressed as a percentage, equal to a fraction, the numerator of which is equal to the Net Swap Payment or Swap Termination Payment made to the Swap Provider by the Trust and the denominator of which is equal to the aggregate principal balance of the Mortgage Loans, multiplied by 12.
 
Class M Certificates: The 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, the current certificate principal balance of the related Class A Certificates), of (i) the Net WAC Rate Cap for the Group I Certificates and (ii) the Net WAC Rate Cap for the Group II Certificates.
   
Pass-Through Rate:
For any Distribution Date, the lesser of (x) the related Formula Rate for such Distribution Date and (y) the related Net WAC Rate Cap for such Distribution Date.
   
Formula Rate:
For any Distribution Date and any class of Adjustable-Rate Certificates, the lesser of (i) LIBOR plus the applicable certificate margin and (ii) the related Maximum Cap Rate.
   
Maximum Cap Rate:
The Maximum Cap Rate for any Distribution Date and any Adjustable-Rate Certificates is calculated in the same manner as the related Net WAC Rate Cap, but based on the Expense Adjusted Net Maximum Mortgage Rates of the applicable Mortgage Loans rather than the Expense Adjusted Net Mortgage Rates of the applicable Mortgage Loans, plus, an amount, expressed as a per annum rate, equal to a fraction, the numerator of which is equal to the Net Swap Payment made by the Swap Provider and the denominator of which is equal to the aggregate principal balance of the Mortgage Loans multiplied by 12.
 
Coupon Step-up:
 
After the Optional Termination Date, if the majority holders of the Class CE Certificates, the Master Servicer (or NIMs Insurer, if any) fails to exercise its right to terminate the Trust, the certificate margins with respect to the Adjustable-Rate Certificates on any then outstanding Certificates will increase according to the following:
   
 
Certificates
After Optional Termination
 
Class A Certificates
2x Applicable Margin
 
Class M Certificates
1.5x Applicable Margin
   
Net WAC Rate Carryover Amount:
For any Distribution Date, (i) the excess of (a) the amount of interest such class would have accrued for such Distribution Date had the applicable Pass-Through Rate not been subject to the Net WAC Rate Cap, over (b) the amount of interest such class of Certificates accrued for such Distribution Date based on the Net WAC Rate Cap, together with the unpaid portion of any such amounts from the prior Distribution Date and (ii) accrued interest thereon at the then applicable Pass-Through Rate, without giving effect to the Net WAC Rate Cap. The Net WAC Rate Carryover Amount will be distributed from certain amounts received by the Swap Administrator from the Swap Agreement, if any, and from the Net Monthly Excess Cashflow on a subordinated basis on the same Distribution Date or in any subsequent period. The ratings on each class of Certificates do not address the likelihood of the payment of any Net WAC Rate Carryover Amount.
   
Swap Agreement:
On the Closing Date, the Trustee will enter into a Swap Agreement with an initial notional amount of $1,277,843,876.32 (the “Swap Agreement”). Under the Swap Agreement, the Trust will be obligated to pay an amount equal to [5.40]% per annum on the notional amount as set forth in the Swap Agreement to the Swap Provider, and the Trust will be entitled to receive an amount equal to one-month LIBOR on the notional amount as set forth in the Swap Agreement from the Swap Provider, until the Swap Agreement is terminated. Only the net amount of the two obligations will be paid by the appropriate party (“Net Swap Payment”). See the attached schedule.
 
Generally, the Net Swap Payment will be deposited into a swap account (the “Swap Account”) by the Swap Administrator pursuant to the Pooling and Servicing Agreement and a swap administration agreement and amounts on deposit in the Swap Account will be distributed in accordance with the terms set forth in the Pooling and Servicing Agreement.
 
Upon early termination of the Swap Agreement, the Trust or the Swap Provider may be liable to make a termination payment (the ‘‘Swap Termination Payment’’) to the other party (regardless of which party caused the termination). The Swap Termination Payment will be computed in accordance with the procedures set forth in the Swap Agreement. In the event that the Trust is required to make a Swap Termination Payment, that payment will be paid on the related Distribution Date, and on any subsequent Distribution Dates until paid in full, solely from collections on the Mortgage Loans and generally, prior to distributions to Certificateholders.
 
In the event that the Trust receives a Swap Termination Payment, and a successor Swap Provider cannot be obtained, then such Swap Termination Payment will be deposited into a reserve account and the Swap Administrator, on each subsequent Distribution Date, will withdraw the amount of any Net Swap Payment due to the Trust (calculated in accordance with the terms of the original Swap Agreement) and administer such Net Swap Payment in accordance with the terms of the Pooling and Servicing Agreement and the swap administration agreement.
 
Interest Carry Forward Amount:
For each class of Class A and Class M Certificates, on any Distribution Date, the sum of (i) the excess of (a) the accrued certificate interest for such class with respect to the prior Distribution Date (excluding any Net WAC Rate Carryover Amount with respect to such class), plus any unpaid Interest Carry Forward Amount from the prior Distribution Date, over (b) the amount actually distributed to such class with respect to interest on such prior Distribution Date and (ii) interest on such excess at the Pass-Through Rate for such class.
   
Available Funds:
For any Distribution Date, the sum, net of amounts reimbursable to the Master Servicer or the Trustee, of: (i) the aggregate amount of scheduled monthly payments on the Mortgage Loans due during the related Due Period and received on or prior to the related Determination Date; (ii) unscheduled payments in respect of the Mortgage Loans (including prepayments, insurance proceeds, liquidation proceeds, subsequent recoveries and proceeds from repurchases of and substitutions for the Mortgage Loans occurring during the related Prepayment Period or proceeds from the repurchase of the Mortgage Loans due to the Optional Termination of the Trust); (iii) all Master Servicer Advances with respect to the Mortgage Loans received for such Distribution Date and (iv) all compensating interest paid by the Master Servicer in respect of prepayment interest shortfalls on the Mortgage Loans for the related period.
   
Class A Principal Distribution Amount:
With respect to the Class A Certificates, prior to the Stepdown Date, or if a Trigger Event is in effect, the Class A Certificates will receive the principal collected on the Mortgage Loans plus any Net Monthly Excess Cashflow and any net swap payment received from the Swap Provider required to maintain the Overcollateralization Target Amount until the aggregate Certificate Principal Balance of the Class A Certificates has been reduced to zero. On or after the Stepdown Date, if no Trigger Event is in effect, principal paid on the Class A Certificates will be an amount such that each of the Class A Certificates will maintain 2x the Initial Credit Enhancement Percentage as set forth in the Credit Enhancement Percentage table included herein.
 
Principal distributions on the Group II Certificates will be allocated sequentially, to the Class A-2A, the Class A-2B, Class A-2C, and the Class A-2D Certificates, in that order, until their respective certificate principal balances have been reduced to zero. Notwithstanding the foregoing, if the aggregate Certificate Principal Balance of the Group II Certificates exceeds the aggregate principal balance of the Group II Mortgage Loans, principal distributions will be allocated concurrently, on a pro rata basis.
 
Notwithstanding the foregoing, if the aggregate Certificate Principal Balance of the Group I or Group II Certificates is reduced to zero, then the amount of principal distributions from the related loan group on subsequent Distribution Dates will be distributed to the group(s) of Class A Certificates remaining outstanding, to the extent necessary to provide all required principal distributions to such Certificates.
   
Class M Principal Distribution Amount:
The Class M Certificates will not receive any principal payments prior to the Stepdown Date. On or after the Stepdown Date (if no Trigger Event is in effect), principal will be paid on the Class M Certificates in the following order: to the Class M-1 Certificates until it reaches 2x the Class M-1 Initial Credit Enhancement Percentage, then to the Class M-2 Certificates until it reaches 2x the Class M-2 Initial Credit Enhancement Percentage, then to the Class M-3 Certificates until it reaches 2x the Class M-3 Initial Credit Enhancement Percentage, then to the Class M-4 Certificates until it reaches 2x the Class M-4 Initial Credit Enhancement Percentage, then to the Class M-5 Certificates until it reaches 2x the Class M-5 Initial Credit Enhancement Percentage, then to the Class M-6 Certificates until it reaches 2x the Class M-6 Initial Credit Enhancement Percentage, then to the Class M-7 Certificates until it reaches 2x the Class M-7 Initial Credit Enhancement Percentage, then to the Class M-8 Certificates until it reaches 2x the Class M-8 Initial Credit Enhancement Percentage, then to the Class M-9 Certificates until it reaches 2x the Class M-9 Initial Credit Enhancement Percentage and then to the Class M-10 Certificates until it reaches 2x the Class M-10 Initial Credit Enhancement Percentage in each case, as set forth in the Credit Enhancement Percentage table included herein.
 
If a Trigger Event is in effect, principal payments will be paid sequentially first to the Class A Certificates and then to the Class M Certificates in their order of seniority until the Certificate Principal Balance of each such class is reduced to zero.
 
Trigger Event:
If either the Delinquency Trigger Event or Cumulative Loss Test is violated.
   
Delinquency Trigger Event:
The percentage obtained by dividing (x) the 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 by (y) the aggregate Stated Principal Balance of the Mortgage Loans, in each case, as of the last day of the previous calendar month, exceeds a percentage (as specified in the Pooling and Servicing Agreement) of the Credit Enhancement Percentage for the most senior class of Certificates then outstanding. In the case of the Class A Certificates, the percentage will be [39.90]%.
 
Cumulative Loss Test:
The aggregate amount of Realized Losses incurred with respect to the Mortgage Loans since the Cut-off Date through the last day of the related Due Period (reduced by the aggregate amount of subsequent recoveries received with respect to the Mortgage Loans from the Cut-off Date through the last day of the related Due Period) divided by the aggregate principal balance of the Mortgage Loans as of the Cut-off Date exceeds the approximate applicable percentages set forth below with respect to such Distribution Date:
   
 
Distribution Date Occurring In
Percentage
 
June 2008 through May 2009
[1.35]% for the first month plus an additional 1/12th of [1.65]% for each month thereafter
 
June 2009 through May 2010
[3.00]% for the first month plus an additional 1/12th of
[1.70]% for each month thereafter
 
June 2010 through May 2011
[4.70]% for the first month plus an additional 1/12th of [1.35 ]% for each month thereafter
 
June 2011 through May 2012
[6.05]% for the first month plus an additional 1/12th of [0.45]% for each month thereafter
 
June 2012 and thereafter
[6.50]%
     
Payment Priority:
On each Distribution Date, distributions will be made as follows:
 
First, to pay any Net Swap Payment or the Swap Termination Payment (not caused by a Swap Provider Trigger Event (as defined in the Swap Agreement)) owed to the Swap Provider and other fees and expenses of the Trust.
 
From Available Funds, to pay interest on the Class A Certificates pro rata, including any accrued unpaid interest from a prior Distribution Date and then to pay interest excluding any accrued unpaid interest from prior Distribution Dates to the Class M Certificates, sequentially.
 
From Available Funds, to pay principal on the Class A and the Class M Certificates, in accordance with the principal payment provisions described above.
 
From Net Monthly Excess Cashflow, if any, to the Certificates then entitled to receive distributions in respect of principal an additional payment of principal in order to reduce the Certificate Principal Balance of such Certificates to the extent necessary to maintain the required Overcollateralization Target Amount.
 
From Net Monthly Excess Cashflow, if any, to pay Interest Carry Forward Amounts to the Class M Certificates, sequentially.
 
From Net Monthly Excess Cashflow, if any, to pay any Realized Losses allocated to the Class M Certificates, sequentially.
 
From Net Monthly Excess Cashflow, if any, to pay the Net WAC Rate Carryover Amount on the Class A and Class M Certificates in the same order of priority as described above.
 
From Net Monthly Excess Cashflow, if any, to pay the Swap Termination Payment (caused by a Swap Provider Trigger Event) owed to the Swap Provider.
 
From Net Monthly Excess Cashflow, if any, to pay any remaining amount to the Class CE and Class R Certificates in accordance with the Pooling and Servicing Agreement.
 
From the Swap Account, to pay any unpaid interest on the Class A Certificates, pro rata, including any accrued unpaid interest from a prior Distribution Date and then to pay any unpaid interest including any accrued unpaid interest from prior Distribution Dates to the Class M Certificates, sequentially.
 
From the Swap Account, to pay the Net WAC Rate Carryover Amount on the Adjustable-Rate Certificates remaining unpaid in the same order of priority as described above.
 
From the Swap Account, to pay any principal on the Adjustable-Rate Certificates then entitled to distributions of principal, in accordance with the principal payment provisions described above in an amount necessary to maintain the applicable Overcollateralization Target Amount.
 
From the Swap Account, to pay any Realized Losses remaining on the Class M Certificates, sequentially.

 
Part III: Swap Schedule
 
Distribution Date
Notional Schedule ($)
Distribution Date
Notional Schedule ($)
6/25/06
1,277,843,876.32
5/25/09
238,046,258.54
7/25/06
1,269,503,381.39
6/25/09
230,506,482.01
8/25/06
1,260,655,786.29
7/25/09
223,248,819.03
9/25/06
1,244,509,831.71
8/25/09
216,259,610.16
10/25/06
1,228,260,346.50
9/25/09
209,499,690.64
11/25/06
1,211,655,852.27
10/25/09
202,962,874.03
12/25/06
1,187,605,972.53
11/25/09
196,595,719.18
1/25/07
1,163,751,026.76
12/25/09
190,374,710.25
2/25/07
1,139,561,228.60
1/25/10
184,272,904.87
3/25/07
1,101,364,878.63
2/25/10
178,291,881.21
4/25/07
1,064,140,496.83
3/25/10
172,503,343.93
5/25/07
1,027,495,769.21
4/25/10
166,891,017.70
6/25/07
980,549,084.88
5/25/10
161,471,401.02
7/25/07
935,780,244.83
6/25/10
156,217,728.24
8/25/07
893,094,768.65
7/25/10
151,139,715.37
9/25/07
852,382,924.47
8/25/10 and
0.00
10/25/07
813,553,944.34
thereafter
 
11/25/07
775,848,934.53
   
12/25/07
722,227,048.91
   
1/25/08
672,419,424.19
   
2/25/08
625,721,305.06
   
3/25/08
570,893,615.32
   
4/25/08
521,124,661.68
   
5/25/08
364,233,096.19
   
6/25/08
355,783,300.50
   
7/25/08
347,333,504.80
   
8/25/08
338,883,709.11
   
9/25/08
330,433,913.42
   
10/25/08
321,984,117.72
   
11/25/08
313,534,322.03
   
12/25/08
269,979,272.44
   
1/25/09
263,592,669.66
   
2/25/09
257,206,066.88
   
3/25/09
250,819,464.10
   
4/25/09
244,432,861.32
   

 
PART IV: COLLATERAL STATISTICS


DESCRIPTION OF THE TOTAL COLLATERAL

Collateral Summary
Statistics given below are for the Mortgage Loans in the pool as of the Cut-off Date. Balances and percentages are based on the Cut-off Date scheduled balances of such Mortgage Loans (except in the case of Debt-to-Income and FICO, which are determined at origination).
 
Summary Statistics
Range (if applicable)
     
Number of Mortgage Loans
6,559
 
     
Aggregate Current Principal Balance
$1,375,356,664
 
Average Current Principal Balance
$209,690
$19,982 to $998,584
     
Aggregate Original Principal Balance
$1,376,110,189
 
Average Original Principal Balance
$209,805
$20,000 to $1,000,000
     
Fully Amortizing Mortgage Loans
100.00%
 
     
1st Lien
98.75%
 
     
Weighted Avg. Gross Coupon
8.444%
6.150% to 13.250%
     
Weighted Avg. Original Term (months)
359
180 to 360
Weighted Avg. Remaining Term (months)
358
178 to 360
     
Weighted Avg. Margin (ARM Loans Only)
5.953%
3.750% to 7.125%
     
Weighted Avg. Maximum Rate (ARM Loans Only)
14.446%
12.150% to 18.600%
     
Weighted Avg. Minimum Rate (ARM Loans Only)
8.446%
6.150% to 12.600%
     
Weighted Avg. Original LTV (1)
81.29%
17.39% to 100.00%
     
Weighted Avg. Borrower FICO
616
500 to 811
     
Geographic Distribution (Top 5)
CA (31.11%)
 
 
FL (10.56%)
 
 
IL (8.71%)
 
 
AZ (6.57%)
 
 
NY (5.01%)
 
(1)The loan-to-value(“OLTV”) of a first-lien mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is the principal balance of the mortgage loan at the date of origination and the denominator of which is the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The OLTV of a second lien mortgage loan at any given time is a fraction, expressed as a percentage the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) the outstanding balance of the senior mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan.



DESCRIPTION OF THE TOTAL COLLATERAL

 
 
Collateral Type
COLLATERAL TYPE
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE
AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME (%)
GROSS COUPON (%)
FICO
OLTV1
(%)
2/6 MONTH LIBOR
2,518
488,009,332.03
35.48
359
40.20
8.799
599
81.26
2/6 MONTH LIBOR -2 YR IO
1
248,000.00
0.02
353
40.00
7.850
644
80.00
2/6 MONTH LIBOR - 5 YR IO
600
198,832,398.34
14.46
359
39.66
7.760
657
82.08
2/6 MONTH LIBOR - 40YR
677
191,768,667.11
13.94
359
42.48
8.226
630
81.11
3/6 MONTH LIBOR
1,069
210,978,219.92
15.34
359
40.84
8.627
598
81.37
3/6 MONTH LIBOR - 40 YR
215
57,498,316.85
4.18
359
42.58
8.313
621
82.79
3/6 MONTH LIBOR - 5 YR IO
152
48,028,112.23
3.49
359
40.68
7.932
650
83.33
FIXED RATE
1,203
150,863,909.41
10.97
353
39.57
8.572
609
79.89
FIXED RATE - 40 YR
91
20,661,603.21
1.50
359
40.89
7.747
614
77.92
FIXED RATE - 5YR IO
33
8,468,104.68
0.62
359
38.02
7.653
649
77.79
Total:
6,559
1,375,356,663.78
100.00
358
40.58
8.444
616
81.29
1 Original LTV if first lien, combined LTV if second lien.
 
 
 
Principal Balances at Origination*
RANGE OF
PRINCIPAL BALANCES
AT ORIGINATION ($)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF
ORIGINATION ($)
% OF PRINCIPAL
BALANCE
AS OF
ORIGINATION
REMAINING
TERM TO
MATURITY
(months)*
DEBT-TO-INCOME (%)*
GROSS COUPON (%)*
FICO*
OLTV1
(%)*
0.01 - 25,000.00
31
682,605.00
0.05
358
41.41
12.200
619
99.87
25,000.01 - 50,000.00
132
4,906,161.00
0.36
358
43.07
12.524
640
99.99
50,000.01 - 100,000.00
1,462
115,101,399.00
8.36
355
38.74
9.275
597
84.30
100,000.01 - 150,000.00
1,321
165,003,940.00
11.99
358
39.89
8.786
602
80.74
150,000.01 - 200,000.00
1,030
179,865,105.00
13.07
358
40.35
8.579
608
79.96
200,000.01 - 250,000.00
675
151,669,190.00
11.02
358
40.67
8.354
610
79.77
250,000.01 - 300,000.00
492
134,649,745.00
9.78
358
40.59
8.240
621
80.12
300,000.01 - 350,000.00
359
116,431,737.00
8.46
358
41.16
8.304
621
80.79
350,000.01 - 400,000.00
306
114,540,408.00
8.32
359
41.50
8.140
620
80.88
400,000.01 - 450,000.00
223
95,135,143.00
6.91
359
41.52
8.198
630
82.24
450,000.01 - 500,000.00
204
97,337,193.00
7.07
359
41.12
8.202
631
82.94
500,000.01 - 550,000.00
104
54,564,984.00
3.97
359
41.02
8.050
636
82.07
550,000.01 - 600,000.00
82
47,212,820.00
3.43
359
41.40
8.329
630
84.12
600,000.01 - 650,000.00
48
30,148,600.00
2.19
359
40.22
8.226
624
83.86
650,000.01 - 700,000.00
26
17,445,391.00
1.27
359
42.50
8.227
626
82.51
700,000.01 - 750,000.00
17
12,349,845.00
0.90
358
36.57
7.908
620
79.13
750,000.01 >=
47
39,065,923.00
2.84
359
40.40
8.039
613
77.97
Total:
6,559
1,376,110,189.00
100.00
358
40.58
8.444
616
81.29

1 Original LTV if first lien, combined LTV if second lien.

*Based on the original balances of the Mortgage Loans.
 
DESCRIPTION OF THE TOTAL COLLATERAL


Principal Balance as of the Cut-Off Date
RANGE OF PRINCIPAL BALANCES AS OF THE
CUT-OFF DATE ($)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE
AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
0.01 - 25,000.00
31
682,255.50
0.05
358
41.41
12.200
619
99.87
25,000.01 - 50,000.00
132
4,903,949.35
0.36
358
43.07
12.524
640
99.99
50,000.01 - 100,000.00
1,462
114,997,513.81
8.36
355
38.74
9.276
597
84.30
100,000.01 - 150,000.00
1,321
164,890,610.34
11.99
358
39.89
8.786
602
80.74
150,000.01 - 200,000.00
1,030
179,760,654.84
13.07
358
40.35
8.579
608
79.96
200,000.01 - 250,000.00
675
151,585,452.68
11.02
358
40.67
8.354
610
79.77
250,000.01 - 300,000.00
492
134,581,109.44
9.79
358
40.59
8.240
621
80.12
300,000.01 - 350,000.00
359
116,376,082.77
8.46
358
41.16
8.304
621
80.79
350,000.01 - 400,000.00
306
114,480,171.11
8.32
359
41.50
8.140
620
80.88
400,000.01 - 450,000.00
223
95,099,459.27
6.91
359
41.52
8.198
630
82.25
450,000.01 - 500,000.00
204
97,301,228.89
7.07
359
41.12
8.202
631
82.94
500,000.01 - 550,000.00
104
54,538,657.05
3.97
359
41.02
8.050
636
82.07
550,000.01 - 600,000.00
82
47,195,971.07
3.43
359
41.40
8.329
630
84.12
600,000.01 - 650,000.00
48
30,138,931.24
2.19
359
40.22
8.226
625
83.86
650,000.01 - 700,000.00
26
17,439,214.84
1.27
359
42.50
8.227
626
82.51
700,000.01 - 750,000.00
17
12,341,065.37
0.90
358
36.57
7.908
620
79.14
750,000.01 >=
47
39,044,336.21
2.84
359
40.40
8.039
613
77.97
Total:
6,559
1,375,356,663.78
100.00
358
40.58
8.444
616
81.29
1 Original LTV if first lien, combined LTV if second lien.


Remaining Term to Maturity
RANGE OF MONTHS REMAINING
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE
AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
121 to 180
32
3,123,465.48
0.23
179
35.52
8.321
608
70.52
181 to 240
25
3,078,087.41
0.22
239
34.44
7.897
618
74.36
301 to 360
6,502
1,369,155,110.89
99.55
359
40.61
8.446
616
81.33
Total:
6,559
1,375,356,663.78
100.00
358
40.58
8.444
616
81.29
1 Original LTV if first lien, combined LTV if second lien.

 
DESCRIPTION OF THE TOTAL COLLATERAL
Mortgage Rates
RANGE OF CURRENT
MORTGAGE RATES
(%)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
6.000 - 6.499
34
10,911,257.71
0.79
358
42.79
6.355
625
76.82
6.500 - 6.999
358
102,524,391.18
7.45
358
39.06
6.823
632
77.18
7.000 - 7.499
676
180,725,797.99
13.14
358
39.44
7.247
630
77.43
7.500 - 7.999
1,082
267,258,452.00
19.43
358
41.42
7.758
632
78.43
8.000 - 8.499
952
207,098,040.12
15.06
358
41.13
8.243
615
80.33
8.500 - 8.999
1,080
226,178,379.74
16.45
358
41.08
8.722
608
82.13
9.000 - 9.499
708
135,181,874.92
9.83
358
40.39
9.217
603
84.71
9.500 - 9.999
688
117,454,105.38
8.54
358
40.15
9.746
595
85.93
10.000 - 10.499
338
53,436,736.61
3.89
358
40.11
10.197
598
87.36
10.500 - 10.999
208
34,497,683.69
2.51
359
39.43
10.714
595
87.29
11.000 - 11.499
93
14,336,633.09
1.04
357
38.62
11.227
588
87.55
11.500 - 11.999
82
10,045,246.26
0.73
359
40.45
11.780
610
87.32
12.000 - 12.499
64
5,283,895.30
0.38
358
41.63
12.178
609
91.56
12.500 - 12.999
172
9,481,230.86
0.69
359
45.74
12.729
630
99.99
13.000 - 13.499
24
942,938.93
0.07
359
45.79
13.089
599
100.00
Total:
6,559
1,375,356,663.78
100.00
358
40.58
8.444
616
81.29
 
 
Original Loan-to-Value Ratios(1)
RANGE OF ORIGINAL
LOAN-TO-VALUE
RATIOS (%)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV2
(%)
0.01 to 25.00
6
449,004.91
0.03
313
44.73
7.996
605
20.77
25.01 to 30.00
4
387,291.44
0.03
358
46.37
8.687
600
28.66
30.01 to 35.00
15
2,057,878.23
0.15
346
40.39
8.303
593
32.08
35.01 to 40.00
22
2,956,334.22
0.21
350
38.92
8.007
581
37.52
40.01 to 45.00
31
5,708,662.27
0.42
356
40.74
7.690
587
42.38
45.01 to 50.00
41
7,182,487.27
0.52
355
37.93
7.958
604
47.83
50.01 to 55.00
79
15,927,984.29
1.16
355
41.53
7.747
576
53.13
55.01 to 60.00
121
24,684,202.99
1.79
359
40.55
8.073
583
58.16
60.01 to 65.00
198
37,227,052.47
2.71
356
39.66
8.275
580
63.40
65.01 to 70.00
268
61,125,778.32
4.44
358
40.37
8.136
583
68.71
70.01 to 75.00
451
98,282,037.27
7.15
358
41.96
8.232
575
74.09
75.01 to 80.00
2,403
585,522,423.05
42.57
358
41.07
8.029
634
79.80
80.01 to 85.00
551
112,982,653.09
8.21
358
39.95
8.463
595
84.52
85.01 to 90.00
1,462
281,610,738.93
20.48
358
39.24
8.911
611
89.78
90.01 to 95.00
543
113,749,126.99
8.27
358
40.91
9.329
631
94.84
95.01 to 100.00
364
25,503,008.04
1.85
358
42.32
11.762
648
99.96
Total:
6,559
1,375,356,663.78
100.00
358
40.58
8.444
616
81.29

(1)The loan-to-value(“OLTV”) of a first-lien mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is the principal balance of the mortgage loan at the date of origination and the denominator of which is the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The OLTV of a second lien mortgage loan at any given time is a fraction, expressed as a percentage the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) the outstanding balance of the senior mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan.

2 Original LTV if first lien, combined LTV if second lien.



DESCRIPTION OF THE TOTAL COLLATERAL

FICO Score at Origination
RANGE OF FICO SCORES
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME (%)
GROSS COUPON (%)
FICO
OLTV1
(%)
500 to 519
396
68,925,546.68
5.01
358
41.98
9.150
510
75.93
520 to 539
526
94,355,933.48
6.86
358
41.92
8.983
530
77.56
540 to 559
611
113,437,176.71
8.25
358
40.51
8.697
550
79.67
560 to 579
523
100,004,874.87
7.27
358
40.27
8.670
569
79.73
580 to 599
710
133,024,434.50
9.67
358
40.92
8.484
589
81.65
600 to 619
888
187,382,229.67
13.62
358
40.19
8.319
609
82.54
620 to 639
970
224,071,295.54
16.29
358
40.86
8.255
629
81.94
640 to 659
677
154,344,516.45
11.22
358
40.19
8.220
650
82.12
660 to 679
454
106,526,689.73
7.75
358
40.11
8.233
668
82.75
680 to 699
320
76,458,627.98
5.56
358
39.81
8.225
688
82.48
700 to 719
198
49,796,140.85
3.62
358
41.49
8.198
709
83.45
720 to 739
116
28,563,541.59
2.08
359
39.05
8.293
728
83.71
740 to 759
95
23,524,401.44
1.71
359
39.10
8.322
749
82.47
760 to 779
52
10,685,247.96
0.78
359
40.86
8.459
769
83.44
780 to 799
18
3,313,107.20
0.24
359
35.17
9.243
786
88.70
800 or greater
5
942,899.13
0.07
359
42.71
8.748
804
85.34
Total:
6,559
1,375,356,663.78
100.00
358
40.58
8.444
616
81.29

1 Original LTV if first lien, combined LTV if second lien.


Debt-to-Income Ratio
RANGE OF DEBT-TO-INCOME RATIOS (%)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
0.01 - 20.00
304
62,842,926.16
4.57
357
13.93
8.403
620
81.16
20.01 - 25.00
290
54,166,489.44
3.94
357
23.12
8.457
613
81.12
25.01 - 30.00
432
79,572,047.55
5.79
357
27.98
8.492
615
80.99
30.01 - 35.00
654
128,806,532.32
9.37
358
33.20
8.390
622
81.01
35.01 - 40.00
1,018
206,081,991.16
14.98
358
38.22
8.410
616
81.48
40.01 - 45.00
1,476
320,445,920.35
23.30
358
43.23
8.397
621
81.44
45.01 - 50.00
2,169
474,364,637.61
34.49
358
48.16
8.512
615
82.72
50.01 - 55.00
216
49,076,119.19
3.57
358
53.20
8.344
571
67.22
Total:
6,559
1,375,356,663.78
100.00
358
40.58
8.444
616
81.29
1 Original LTV if first lien, combined LTV if second lien.




DESCRIPTION OF THE TOTAL COLLATERAL

Geographic Distribution
STATE
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
Alabama
15
1,383,851.14
0.10
358
43.32
9.622
563
84.89
Alaska
10
2,545,367.45
0.19
359
39.72
7.858
604
82.26
Arizona
525
90,357,332.46
6.57
358
40.68
8.531
617
80.25
Arkansas
12
1,664,541.33
0.12
359
38.00
9.666
625
83.66
California
1,180
427,846,169.58
31.11
359
41.28
8.152
629
80.54
Colorado
70
14,760,882.78
1.07
358
40.37
8.456
610
82.18
Connecticut
56
11,436,707.20
0.83
359
40.67
8.677
613
79.75
Delaware
10
2,352,119.34
0.17
359
43.28
8.589
622
78.03
Florida
716
145,224,235.48
10.56
358
39.62
8.456
621
79.28
Georgia
26
3,755,574.36
0.27
359
41.57
8.602
584
85.19
Hawaii
32
12,336,592.63
0.90
359
38.87
7.640
650
77.18
Idaho
9
951,441.33
0.07
359
37.24
8.593
616
77.75
Illinois
598
119,821,511.62
8.71
359
41.63
8.664
613
82.82
Indiana
159
14,648,757.55
1.07
357
37.40
9.180
616
87.60
Iowa
34
3,164,010.57
0.23
359
35.98
9.322
593
84.25
Kansas
29
3,795,915.03
0.28
359
38.16
9.411
597
85.30
Kentucky
37
4,438,212.19
0.32
358
41.31
8.661
598
87.18
Louisiana
72
8,298,907.43
0.60
356
39.70
9.163
593
84.85
Maine
13
2,972,334.75
0.22
359
42.94
8.706
554
66.34
Maryland
213
47,966,129.23
3.49
358
41.35
8.098
592
78.74
Massachusetts
95
25,808,057.08
1.88
358
41.99
8.319
604
79.33
Michigan
253
29,434,175.79
2.14
358
40.31
9.089
594
85.39
Minnesota
46
8,695,534.38
0.63
359
41.74
9.021
594
84.33
Mississippi
22
2,256,302.17
0.16
359
39.74
8.647
615
83.91
Missouri
194
22,489,692.23
1.64
359
38.56
9.230
601
87.47
Montana
1
173,841.16
0.01
359
32.00
6.450
674
85.29
Nebraska
35
4,350,258.59
0.32
358
37.20
8.830
609
86.64
Nevada
128
32,299,169.87
2.35
359
37.40
8.320
626
81.62
New Hampshire
6
1,023,490.50
0.07
359
39.97
8.453
635
74.50
New Jersey
196
50,905,762.80
3.70
357
41.07
8.508
598
79.09
New Mexico
47
7,292,981.30
0.53
359
38.76
8.778
608
83.32
New York
205
68,958,198.02
5.01
357
41.39
8.161
626
79.92
North Carolina
45
6,025,532.64
0.44
359
39.26
8.962
586
85.45
North Dakota
3
263,328.20
0.02
358
47.00
10.969
563
81.96
Ohio
330
32,277,558.59
2.35
356
38.19
8.753
584
86.87
Oklahoma
43
4,479,743.94
0.33
355
35.81
9.026
586
82.93
Oregon
35
6,247,090.96
0.45
359
42.01
8.419
586
79.45
Pennsylvania
137
18,899,816.31
1.37
354
37.79
8.663
586
82.71
Rhode Island
24
4,975,982.59
0.36
359
38.66
8.077
622
80.27
South Carolina
29
3,188,309.24
0.23
359
42.67
8.795
588
86.99
Tennessee
44
5,191,052.29
0.38
353
39.72
9.508
559
88.92
Texas
414
49,254,818.89
3.58
355
39.49
8.826
605
82.32
Utah
139
25,533,910.63
1.86
359
40.58
8.547
643
82.89
Vermont
1
156,434.50
0.01
359
46.00
9.000
552
65.00
Washington
115
25,132,053.36
1.83
359
39.74
8.342
609
82.14
Wisconsin
147
19,162,324.48
1.39
358
43.08
9.404
595
85.72
Wyoming
9
1,160,649.82
0.08
359
40.18
8.136
639
82.80
Total:
6,559
1,375,356,663.78
100.00
358
40.58
8.444
616
81.29
1 Original LTV if first lien, combined LTV if second lien.



DESCRIPTION OF THE TOTAL COLLATERAL

Occupancy Status
OCCUPANCY
STATUS*
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME (%)
GROSS COUPON (%)
FICO
OLTV1
(%)
Primary
5,757
1,247,219,293.88
90.68
358
41.22
8.362
613
80.90
Investor
742
115,084,564.41
8.37
358
33.77
9.301
646
85.33
Second Home
60
13,052,805.49
0.95
359
39.99
8.762
647
82.89
Total:
6,559
1,375,356,663.78
100.00
358
40.58
8.444
616
81.29
1 Original LTV if first lien, combined LTV if second lien.

*Based on mortgagor representation at origination.

Documentation Type
INCOME DOCUMENTATION
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME (%)
GROSS COUPON (%)
FICO
OLTV1
(%)
Full Documentation
3,751
722,205,673.18
52.51
358
39.87
8.142
596
80.27
Stated Documentation
2,308
532,320,649.88
38.70
358
42.02
8.870
645
82.60
Limited Documentation
500
120,830,340.72
8.79
358
38.51
8.369
607
81.59
Total:
6,559
1,375,356,663.78
100.00
358
40.58
8.444
616
81.29
1 Original LTV if first lien, combined LTV if second lien.


Loan Purpose
PURPOSE
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME (%)
GROSS COUPON (%)
FICO
OLTV1
(%)
Purchase
3,283
676,101,729.19
49.16
359
40.56
8.544
641
84.16
Refinance-Debt Consolidation No Cash Out**
334
62,087,856.53
4.51
358
40.12
8.199
613
81.43
Refinance-Debt Consolidation Cash Out***
2,942
637,167,078.06
46.33
357
40.65
8.362
589
78.23
Total:
6,559
1,375,356,663.78
100.00
358
40.58
8.444
616
81.29
1 Original LTV if first lien, combined LTV if second lien.

** Cash proceeds to the borrower inclusive of debt consolidation payments do not exceed 2% or $2,000 of the original principal balance of the related loan. Excludes home equity loans originated in Texas with any cash proceeds.

*** Cash proceeds to the borrower inclusive of debt consolidation payments exceed 2% or $2,000 of the original principal balance of the related loan. Also includes all home equity loans originated in Texas with any cash proceeds.
 

DESCRIPTION OF THE TOTAL COLLATERAL

Credit Grade
RISK CATEGORY
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
I
5,041
1,052,704,803.55
76.54
358
40.56
8.333
630
82.24
II
942
200,734,343.39
14.60
357
40.13
8.574
581
80.77
III
287
62,973,142.59
4.58
358
40.08
8.986
562
78.11
IV
235
47,333,163.70
3.44
358
42.67
9.025
550
70.33
V
54
11,611,210.55
0.84
358
44.80
10.926
552
65.55
Total:
6,559
1,375,356,663.78
100.00
358
40.58
8.444
616
81.29
1 Original LTV if first lien, combined LTV if second lien.


Property Type
PROPERTY TYPE
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
Single Family
4,927
1,013,612,518.24
73.70
358
40.43
8.425
613
81.19
PUD
659
157,756,562.25
11.47
358
40.97
8.341
616
80.88
Two-to-Four Family
467
108,309,779.98
7.88
358
41.74
8.619
629
81.65
Condo
478
90,218,106.43
6.56
359
40.22
8.631
638
82.65
PUD Attached
23
4,584,754.76
0.33
357
40.83
8.376
621
82.15
Single Family Attached
5
874,942.12
0.06
359
37.44
8.100
642
77.72
Total:
6,559
1,375,356,663.78
100.00
358
40.58
8.444
616
81.29
1 Original LTV if first lien, combined LTV if second lien.
 

Prepayment Charge Term
PREPAYMENT CHARGE
TERM AT ORIGINATION
(MONTHS)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
No Prepayment Penalty
2,672
551,403,255.84
40.09
358
40.92
8.804
615
82.41
12 Months
283
82,658,132.24
6.01
358
40.76
8.378
630
81.30
24 Months
2,697
588,762,465.18
42.81
359
40.57
8.208
616
80.60
36 Months
907
152,532,810.52
11.09
356
39.32
8.092
612
79.88
Total:
6,559
1,375,356,663.78
100.00
358
40.58
8.444
616
81.29
1 Original LTV if first lien, combined LTV if second lien.


Conforming Balances
CONFORMING BALANCE
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
Conforming
5,897
1,036,016,300.34
75.33
358
40.41
8.514
612
80.94
Non-Conforming
662
339,340,363.44
24.67
359
41.10
8.229
627
82.35
Total:
6,559
1,375,356,663.78
100.00
358
40.58
8.444
616
81.29
1 Original LTV if first lien, combined LTV if second lien.

 
DESCRIPTION OF THE TOTAL COLLATERAL

Maximum Mortgage Rates of the Adjustable-Rate Loans
RANGE OF MAXIMUM
MORTGAGE RATES (%)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
12.000 - 12.499
33
10,813,414.50
0.90
359
42.73
6.355
625
76.84
12.500 - 12.999
263
81,090,175.84
6.78
358
39.15
6.813
634
77.75
13.000 - 13.499
498
142,832,100.61
11.95
359
39.83
7.244
631
78.05
13.500 - 13.999
888
233,156,947.11
19.51
359
41.75
7.759
634
78.82
14.000 - 14.499
762
182,263,433.34
15.25
359
41.36
8.243
618
80.66
14.500 - 14.999
938
207,090,020.11
17.32
359
41.23
8.725
610
82.43
15.000 - 15.499
630
126,287,358.83
10.56
358
40.33
9.218
605
84.87
15.500 - 15.999
620
109,910,044.75
9.19
359
40.15
9.746
595
86.09
16.000 - 16.499
275
46,539,632.54
3.89
359
40.10
10.197
598
87.56
16.500 - 16.999
183
32,282,411.23
2.70
359
39.35
10.710
595
87.23
17.000 - 17.499
81
13,132,448.86
1.10
358
38.40
11.223
586
87.26
17.500 - 17.999
46
7,708,128.42
0.64
359
40.18
11.771
582
84.14
18.000 - 18.499
14
2,113,966.13
0.18
358
39.59
12.158
568
78.93
18.500 - 18.999
1
142,964.21
0.01
359
18.00
12.600
600
100.00
Total:
5,232
1,195,363,046.48
100.00
359
40.72
8.446
617
81.55
·  1Original LTV if first lien, combined LTV if second lien
Minimum Mortgage Rates of the Adjustable-Rate Loans
RANGE OF MINIMUM
MORTGAGE RATES (%)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
6.000 - 6.499
33
10,813,414.50
0.90
359
42.73
6.355
625
76.84
6.500 - 6.999
263
81,090,175.84
6.78
358
39.15
6.813
634
77.75
7.000 - 7.499
498
142,832,100.61
11.95
359
39.83
7.244
631
78.05
7.500 - 7.999
888
233,156,947.11
19.51
359
41.75
7.759
634
78.82
8.000 - 8.499
762
182,263,433.34
15.25
359
41.36
8.243
618
80.66
8.500 - 8.999
938
207,090,020.11
17.32
359
41.23
8.725
610
82.43
9.000 - 9.499
630
126,287,358.83
10.56
358
40.33
9.218
605
84.87
9.500 - 9.999
620
109,910,044.75
9.19
359
40.15
9.746
595
86.09
10.000 - 10.499
275
46,539,632.54
3.89
359
40.10
10.197
598
87.56
10.500 - 10.999
183
32,282,411.23
2.70
359
39.35
10.710
595
87.23
11.000 - 11.499
81
13,132,448.86
1.10
358
38.40
11.223
586
87.26
11.500 - 11.999
46
7,708,128.42
0.64
359
40.18
11.771
582
84.14
12.000 - 12.499
14
2,113,966.13
0.18
358
39.59
12.158
568
78.93
12.500 - 12.999
1
142,964.21
0.01
359
18.00
12.600
600
100.00
Total:
5,232
1,195,363,046.48
100.00
359
40.72
8.446
617
81.55
·  1Original LTV if first lien, combined LTV if second lien
·  
Gross Margins of the Adjustable-Rate Loans
RANGE OF GROSS
MARGINS (%)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
3.500 - 3.999
1
156,845.80
0.01
354
48.00
10.250
570
85.00
4.000 - 4.499
2
331,587.71
0.03
355
44.72
9.619
545
91.14
4.500 - 4.999
165
37,227,111.42
3.11
359
41.42
8.713
599
82.16
6.000 - 6.499
5,062
1,156,850,418.22
96.78
359
40.70
8.437
617
81.52
7.000 - 7.499
2
797,083.33
0.07
359
40.58
8.228
636
85.29
Total:
5,232
1,195,363,046.48
100.00
359
40.72
8.446
617
81.55
1 Original LTV if first lien, combined LTV if second lien.


DESCRIPTION OF THE TOTAL COLLATERAL


Next Rate Adjustment Date of the Adjustable-Rate Loans
NEXT RATE ADJUSTMENT
DATE
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
2
403,287.05
0.03
352
37.79
8.709
522
80.49
15
2,400,020.08
0.20
353
43.84
8.767
600
86.99
26
5,854,007.16
0.49
354
38.24
7.780
606
84.76
24
4,750,083.37
0.40
355
41.99
8.829
604
83.72
58
13,445,953.66
1.12
356
42.00
9.116
592
82.72
96
22,433,898.40
1.88
357
41.99
8.874
595
81.20
124
29,679,238.49
2.48
357
39.51
8.335
614
82.58
3,447
798,930,414.27
66.84
359
40.55
8.421
621
81.30
4
961,495.00
0.08
360
45.50
7.778
626
80.69
6
820,081.95
0.07
353
39.16
8.444
598
89.43
17
3,209,808.83
0.27
354
44.15
7.940
579
87.59
8
1,395,098.00
0.12
355
39.85
8.122
608
88.14
17
2,551,779.92
0.21
356
41.09
8.146
577
81.42
42
8,951,380.73
0.75
357
40.72
8.518
593
82.79
67
14,163,509.74
1.18
358
40.01
8.118
602
83.96
1,279
285,412,989.83
23.88
359
41.18
8.491
611
81.69
Total:
5,232
1,195,363,046.48
100.00
359
40.72
8.446
617
81.55
1 Original LTV if first lien, combined LTV if second lien.


Initial Periodic Rate Cap of the Adjustable-Rate Loans
INITIAL PERIODIC
CAP (%)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
2.000
5,232
1,195,363,046.48
100.00
359
40.72
8.446
617
81.55
Total:
5,232
1,195,363,046.48
100.00
359
40.72
8.446
617
81.55
1 Original LTV if first lien, combined LTV if second lien.


Periodic Rate Cap of the Adjustable-Rate Loans
PERIODIC
CAP (%)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
1.000
5,232
1,195,363,046.48
100.00
359
40.72
8.446
617
81.55
Total:
5,232
1,195,363,046.48
100.00
359
40.72
8.446
617
81.55
1 Original LTV if first lien, combined LTV if second lien.




Historical Delinquency of the Mortgage Loans Since Origination
STATUS
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
55
9,888,428.16
0.72
355
42.53
8.682
588
83.51
Never Delinquent
6,504
1,365,468,235.62
99.28
358
40.57
8.442
616
81.27
Total:
6,559
1,375,356,663.78
100.00
358
40.58
8.444
616
81.29

 
DESCRIPTION OF THE GROUP I COLLATERAL

Collateral Summary
Statistics given below are for the Mortgage Loans in the pool as of the Cut-off Date. Balances and percentages are based on the Cut-off Date scheduled balances of such Mortgage Loans (except in the case of Debt-to-Income and FICO, which are determined at origination).
 
Summary Statistics
Range (if applicable)
     
Number of Mortgage Loans
4,067
 
     
Aggregate Current Principal Balance
$670,168,258
 
Average Current Principal Balance
$164,782
$19,989 to $798,921
     
Aggregate Original Principal Balance
$670,623,296
 
Average Original Principal Balance
$164,894
$20,000 to $800,000
     
Fully Amortizing Mortgage Loans
100.00%
 
     
1st Lien
99.46%
 
     
Weighted Avg. Gross Coupon
8.569%
6.200% to 13.250%
     
Weighted Avg. Original Term (months)
359
180 to 360
Weighted Avg. Remaining Term (months)
358
178 to 360
     
Weighted Avg. Margin (ARM Loans Only)
5.920%
3.750% to 7.125%
     
Weighted Avg. Maximum Rate (ARM Loans Only)
14.655%
12.200% to 18.325%
     
Weighted Avg. Minimum Rate (ARM Loans Only)
8.655%
6.200% to 12.325%
     
Weighted Avg. Original LTV (1)
80.03%
17.39% to 100.00%
     
Weighted Avg. Borrower FICO
600
500 to 811
     
Geographic Distribution (Top 5)
CA (14.79%)
 
 
IL (12.12%)
 
 
FL (9.22%)
 
 
AZ (6.92%)
 
 
NJ (4.83%)
 
(1)The loan-to-value(“OLTV”) of a first-lien mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is the principal balance of the mortgage loan at the date of origination and the denominator of which is the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The OLTV of a second lien mortgage loan at any given time is a fraction, expressed as a percentage the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) the outstanding balance of the senior mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan.



DESCRIPTION OF THE GROUP I COLLATERAL


Collateral Type
COLLATERAL TYPE
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE
AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME (%)
GROSS COUPON (%)
FICO
OLTV1
(%)
2/6 MONTH LIBOR
1,716
271,022,559.38
40.44
358
39.82
8.982
590
80.50
2/6 MONTH LIBOR -2 YR IO
1
248,000.00
0.04
353
40.00
7.850
644
80.00
2/6 MONTH LIBOR - 5 YR IO
164
39,897,384.65
5.95
359
37.84
7.756
646
81.84
2/6 MONTH LIBOR - 40YR
271
54,848,094.22
8.18
359
41.95
8.182
611
78.73
3/6 MONTH LIBOR
800
137,836,912.97
20.57
358
40.86
8.679
593
81.01
3/6 MONTH LIBOR - 40 YR
122
25,111,215.25
3.75
359
43.45
8.166
613
81.42
3/6 MONTH LIBOR - 5 YR IO
70
15,795,588.23
2.36
359
40.55
7.545
647
81.58
FIXED RATE
833
106,358,555.22
15.87
352
39.78
8.280
600
77.57
FIXED RATE - 40 YR
67
13,784,945.43
2.06
359
41.24
7.763
609
76.95
FIXED RATE - 5YR IO
23
5,265,002.68
0.79
359
38.08
7.516
640
77.08
Total:
4,067
670,168,258.03
100.00
358
40.25
8.569
600
80.03
1 Original LTV if first lien, combined LTV if second lien.

 
Principal Balances at Origination*
RANGE OF
PRINCIPAL BALANCES
AT ORIGINATION ($)
NUMBER OF MORTGAGE LOANS 
PRINCIPAL
BALANCE
AS OF
ORIGINATION ($) 
% OF PRINCIPAL
BALANCE
AS OF
ORIGINATION
REMAINING
TERM TO
MATURITY
(months)* 
DEBT-TO-INCOME (%)*
GROSS COUPON (%)*
FICO*
OLTV1
(%)*
0.01 - 25,000.00
26
571,625.00
0.09
358
42.88
12.506
620
99.85
25,000.01 - 50,000.00
64
2,216,136.00
0.33
358
44.90
12.529
638
99.98
50,000.01 - 100,000.00
1,091
86,977,659.00
12.97
355
38.65
9.133
593
83.44
100,000.01 - 150,000.00
1,034
128,729,545.00
19.20
357
40.32
8.717
597
80.18
150,000.01 - 200,000.00
725
126,298,493.00
18.83
358
40.36
8.580
599
79.18
200,000.01 - 250,000.00
433
97,191,476.00
14.49
358
40.70
8.387
599
78.45
250,000.01 - 300,000.00
278
75,964,666.00
11.33
358
40.83
8.308
603
78.65
300,000.01 - 350,000.00
183
59,473,901.00
8.87
358
39.56
8.447
602
79.61
350,000.01 - 400,000.00
160
59,963,857.00
8.94
359
41.13
8.213
600
79.68
400,000.01 - 450,000.00
46
19,137,988.00
2.85
359
38.75
8.111
613
79.95
450,000.01 - 500,000.00
16
7,667,650.00
1.14
359
41.04
8.185
627
83.85
500,000.01 - 550,000.00
6
3,091,150.00
0.46
359
43.01
7.883
688
81.72
550,000.01 - 600,000.00
1
585,000.00
0.09
359
50.00
8.000
649
90.00
600,000.01 - 650,000.00
2
1,216,000.00
0.18
359
44.01
8.667
605
79.48
700,000.01 - 750,000.00
1
738,150.00
0.11
359
46.00
8.300
713
85.93
750,000.01 >=
1
800,000.00
0.12
358
48.00
7.990
675
80.00
Total:
4,067
670,623,296.00
100.00
358
40.25
8.568
600
80.03

1 Original LTV if first lien, combined LTV if second lien.

*Based on the original balances of the Mortgage Loans.

 
DESCRIPTION OF THE GROUP I COLLATERAL
 
Principal Balance as of the Cut-Off Date
RANGE OF PRINCIPAL BALANCES AS OF THE
CUT-OFF DATE ($)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE
AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
0.01 - 25,000.00
26
571,373.22
0.09
358
42.88
12.506
620
99.85
25,000.01 - 50,000.00
64
2,215,049.09
0.33
358
44.90
12.529
638
99.98
50,000.01 - 100,000.00
1,091
86,894,988.86
12.97
355
38.65
9.133
593
83.44
100,000.01 - 150,000.00
1,034
128,635,690.04
19.19
357
40.32
8.717
597
80.18
150,000.01 - 200,000.00
725
126,217,269.21
18.83
358
40.36
8.580
599
79.18
200,000.01 - 250,000.00
433
97,132,178.80
14.49
358
40.70
8.387
599
78.45
250,000.01 - 300,000.00
278
75,917,847.37
11.33
358
40.83
8.308
603
78.65
300,000.01 - 350,000.00
183
59,438,710.45
8.87
358
39.56
8.447
602
79.62
350,000.01 - 400,000.00
160
59,925,466.17
8.94
359
41.13
8.213
600
79.68
400,000.01 - 450,000.00
46
19,128,774.80
2.85
359
38.75
8.111
613
79.95
450,000.01 - 500,000.00
16
7,663,444.50
1.14
359
41.04
8.185
627
83.85
500,000.01 - 550,000.00
6
3,090,523.36
0.46
359
43.01
7.883
688
81.72
550,000.01 - 600,000.00
1
584,607.47
0.09
359
50.00
8.000
649
90.00
600,000.01 - 650,000.00
2
1,215,729.94
0.18
359
44.01
8.666
605
79.48
700,000.01 - 750,000.00
1
737,684.09
0.11
359
46.00
8.300
713
85.93
750,000.01 >=
1
798,920.66
0.12
358
48.00
7.990
675
80.00
Total:
4,067
670,168,258.03
100.00
358
40.25
8.569
600
80.03
1 Original LTV if first lien, combined LTV if second lien.


Remaining Term to Maturity
RANGE OF MONTHS REMAINING
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE
AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
121 to 180
25
2,480,292.98
0.37
179
37.21
8.296
614
69.71
181 to 240
22
2,808,040.12
0.42
239
34.87
7.947
617
74.41
301 to 360
4,020
664,879,924.93
99.21
359
40.29
8.572
600
80.10
Total:
4,067
670,168,258.03
100.00
358
40.25
8.569
600
80.03
1 Original LTV if first lien, combined LTV if second lien.

 
DESCRIPTION OF THE GROUP I COLLATERAL

Mortgage Rates
RANGE OF CURRENT
MORTGAGE RATES
(%)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
6.000 - 6.499
24
5,911,290.97
0.88
359
39.28
6.365
634
72.55
6.500 - 6.999
219
49,540,879.64
7.39
358
39.88
6.816
616
73.93
7.000 - 7.499
384
79,844,669.73
11.91
356
39.66
7.246
619
76.18
7.500 - 7.999
570
104,574,257.08
15.60
357
41.14
7.761
609
75.18
8.000 - 8.499
563
91,643,853.01
13.67
358
40.84
8.248
595
78.85
8.500 - 8.999
681
112,182,670.79
16.74
358
40.45
8.729
591
80.59
9.000 - 9.499
505
77,173,725.67
11.52
358
39.67
9.219
590
84.05
9.500 - 9.999
496
71,288,791.92
10.64
357
39.77
9.738
591
85.77
10.000 - 10.499
256
35,901,475.11
5.36
359
40.04
10.210
598
86.23
10.500 - 10.999
164
23,826,039.32
3.56
359
39.78
10.718
595
85.65
11.000 - 11.499
62
8,203,753.37
1.22
356
38.88
11.221
585
86.06
11.500 - 11.999
41
4,995,295.46
0.75
359
39.48
11.746
597
85.43
12.000 - 12.499
30
2,612,334.63
0.39
358
40.53
12.180
572
82.94
12.500 - 12.999
60
2,146,831.18
0.32
358
46.73
12.782
627
99.95
13.000 - 13.499
12
322,390.15
0.05
359
45.63
13.098
621
100.00
Total:
4,067
670,168,258.03
100.00
358
40.25
8.569
600
80.03

 
Original Loan-to-Value Ratios(1)
RANGE OF ORIGINAL
LOAN-TO-VALUE
RATIOS (%)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV2
(%)
0.01 to 25.00
5
387,052.33
0.06
306
43.25
8.100
592
20.15
25.01 to 30.00
4
387,291.44
0.06
358
46.37
8.687
600
28.66
30.01 to 35.00
15
2,057,878.23
0.31
346
40.39
8.303
593
32.08
35.01 to 40.00
17
2,567,531.73
0.38
359
38.29
8.019
584
37.52
40.01 to 45.00
28
4,744,309.54
0.71
355
38.46
7.625
597
42.41
45.01 to 50.00
37
5,752,445.91
0.86
354
38.78
8.064
597
47.63
50.01 to 55.00
67
12,293,180.64
1.83
354
40.27
7.730
582
53.14
55.01 to 60.00
99
19,856,125.76
2.96
358
40.20
8.054
577
58.21
60.01 to 65.00
171
30,139,997.24
4.50
356
40.08
8.235
574
63.29
65.01 to 70.00
215
41,537,766.53
6.20
358
40.66
8.169
576
68.78
70.01 to 75.00
359
66,983,482.60
10.00
358
41.22
8.297
576
74.07
75.01 to 80.00
1,071
189,575,090.06
28.29
357
40.55
8.163
608
79.56
80.01 to 85.00
411
68,718,467.72
10.25
358
40.20
8.563
592
84.56
85.01 to 90.00
1,094
166,391,667.87
24.83
358
39.27
9.105
609
89.77
90.01 to 95.00
338
50,804,845.37
7.58
358
40.86
9.376
626
94.84
95.01 to 100.00
136
7,971,125.06
1.19
359
43.06
11.314
651
99.98
Total:
4,067
670,168,258.03
100.00
358
40.25
8.569
600
80.03

(1)The loan-to-value(“OLTV”) of a first-lien mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is the principal balance of the mortgage loan at the date of origination and the denominator of which is the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The OLTV of a second lien mortgage loan at any given time is a fraction, expressed as a percentage the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) the outstanding balance of the senior mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan.

2 Original LTV if first lien, combined LTV if second lien.



DESCRIPTION OF THE GROUP I COLLATERAL

FICO Score at Origination
RANGE OF FICO SCORES
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME (%)
GROSS COUPON (%)
FICO
OLTV1
(%)
500 to 519
327
52,537,993.24
7.84
358
41.70
9.106
510
75.55
520 to 539
433
69,384,813.51
10.35
358
42.63
8.968
530
77.03
540 to 559
474
74,261,627.80
11.08
358
40.85
8.760
550
78.63
560 to 579
387
63,244,966.94
9.44
358
40.35
8.523
569
78.17
580 to 599
437
66,284,258.33
9.89
357
40.41
8.408
589
79.39
600 to 619
576
99,115,148.97
14.79
358
39.61
8.396
609
81.41
620 to 639
499
83,278,992.58
12.43
356
40.36
8.308
629
80.55
640 to 659
321
56,279,792.02
8.40
358
39.57
8.344
649
81.82
660 to 679
233
41,465,229.10
6.19
357
38.62
8.431
668
83.70
680 to 699
148
24,969,877.56
3.73
357
38.51
8.504
688
84.09
700 to 719
103
18,389,328.50
2.74
358
40.17
8.427
709
85.07
720 to 739
52
8,665,622.61
1.29
359
35.35
8.602
729
84.62
740 to 759
44
7,418,527.07
1.11
359
35.69
8.923
749
82.23
760 to 779
23
3,034,840.18
0.45
359
38.37
8.652
770
85.33
780 to 799
8
1,606,007.35
0.24
359
33.13
9.358
785
84.52
800 or greater
2
231,232.27
0.03
359
33.83
9.460
805
97.02
Total:
4,067
670,168,258.03
100.00
358
40.25
8.569
600
80.03
1 Original LTV if first lien, combined LTV if second lien.


Debt-to-Income Ratio
RANGE OF DEBT-TO-INCOME RATIOS (%)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
0.01 - 20.00
199
32,137,297.10
4.80
356
13.74
8.597
622
79.17
20.01 - 25.00
192
30,970,396.73
4.62
356
23.23
8.622
609
80.08
25.01 - 30.00
267
40,898,706.77
6.10
356
28.02
8.664
603
79.95
30.01 - 35.00
428
69,468,613.03
10.37
357
33.17
8.507
606
79.25
35.01 - 40.00
635
99,218,755.80
14.81
358
38.19
8.561
602
80.14
40.01 - 45.00
887
146,566,998.64
21.87
358
43.19
8.534
601
80.39
45.01 - 50.00
1,289
218,211,347.02
32.56
358
48.14
8.614
597
82.21
50.01 - 55.00
170
32,696,142.94
4.88
357
53.23
8.371
569
66.16
Total:
4,067
670,168,258.03
100.00
358
40.25
8.569
600
80.03
1 Original LTV if first lien, combined LTV if second lien.

 
DESCRIPTION OF THE GROUP I COLLATERAL

Geographic Distribution
STATE
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
Alabama
13
1,116,692.96
0.17
359
42.44
9.650
565
83.67
Alaska
4
1,131,558.85
0.17
359
46.60
7.737
591
80.78
Arizona
300
46,392,258.68
6.92
357
41.24
8.571
609
78.24
Arkansas
10
1,489,675.49
0.22
359
37.09
9.534
635
83.83
California
353
99,099,689.86
14.79
358
39.62
8.147
600
74.66
Colorado
49
8,367,258.11
1.25
357
41.21
8.637
595
82.15
Connecticut
46
7,702,642.95
1.15
359
40.49
8.635
610
76.38
Delaware
7
1,295,018.90
0.19
359
43.13
8.302
598
79.60
Florida
344
61,805,045.07
9.22
358
38.72
8.568
604
76.69
Georgia
21
2,922,288.68
0.44
359
40.85
8.644
584
85.87
Hawaii
20
6,880,333.20
1.03
359
38.10
7.767
637
77.05
Idaho
9
951,441.33
0.14
359
37.24
8.593
616
77.75
Illinois
469
81,198,504.31
12.12
359
41.92
8.649
605
81.65
Indiana
139
12,701,520.93
1.90
357
38.06
9.173
620
87.40
Iowa
29
2,684,052.80
0.40
359
35.59
9.517
594
84.82
Kansas
23
2,591,116.88
0.39
359
39.50
9.409
579
84.20
Kentucky
28
2,666,328.72
0.40
358
42.07
9.361
575
88.11
Louisiana
47
5,130,596.71
0.77
357
40.27
9.087
586
85.13
Maine
8
1,204,190.06
0.18
359
42.94
8.035
571
71.02
Maryland
155
30,911,537.43
4.61
358
40.94
8.092
587
76.99
Massachusetts
64
15,167,133.44
2.26
357
42.45
8.210
592
76.11
Michigan
189
21,824,393.07
3.26
358
40.81
9.137
596
86.25
Minnesota
40
7,209,334.23
1.08
359
41.49
9.066
601
84.00
Mississippi
16
1,476,137.71
0.22
359
39.04
9.018
622
85.50
Missouri
154
17,243,772.83
2.57
359
38.86
9.358
604
87.88
Montana
1
173,841.16
0.03
359
32.00
6.450
674
85.29
Nebraska
29
3,235,567.48
0.48
358
39.05
8.944
609
87.49
Nevada
50
10,374,140.63
1.55
359
38.75
8.362
613
80.27
New Hampshire
6
1,023,490.50
0.15
359
39.97
8.453
635
74.50
New Jersey
144
32,342,868.73
4.83
357
42.15
8.485
585
76.42
New Mexico
34
5,024,957.44
0.75
359
38.13
8.804
589
83.43
New York
109
30,586,549.44
4.56
355
39.25
7.997
618
78.65
North Carolina
38
4,912,087.54
0.73
359
38.26
9.017
576
84.96
North Dakota
3
263,328.20
0.04
358
47.00
10.969
563
81.96
Ohio
253
25,278,763.81
3.77
357
38.84
8.775
582
86.89
Oklahoma
33
3,337,771.36
0.50
354
34.37
9.038
578
83.13
Oregon
27
4,900,574.87
0.73
359
43.18
8.416
568
78.98
Pennsylvania
105
14,366,006.91
2.14
352
37.38
8.700
589
82.25
Rhode Island
19
3,383,128.76
0.50
359
41.12
8.378
602
79.71
South Carolina
23
2,447,873.45
0.37
359
43.44
8.700
587
87.10
Tennessee
30
3,573,773.24
0.53
355
38.65
9.464
558
88.20
Texas
298
31,584,898.38
4.71
353
39.37
8.780
594
81.36
Utah
97
15,465,976.40
2.31
359
40.94
8.688
641
84.02
Vermont
1
156,434.50
0.02
359
46.00
9.000
552
65.00
Washington
94
19,611,197.04
2.93
359
40.74
8.340
606
81.97
Wisconsin
130
16,401,710.10
2.45
358
43.49
9.419
590
85.35
Wyoming
6
560,794.89
0.08
359
38.26
8.559
580
85.80
Total:
4,067
670,168,258.03
100.00
358
40.25
8.569
600
80.03
1 Original LTV if first lien, combined LTV if second lien.



DESCRIPTION OF THE GROUP I COLLATERAL

Occupancy Status
OCCUPANCY
STATUS*
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME (%)
GROSS COUPON (%)
FICO
OLTV1
(%)
Primary
3,357
559,396,760.61
83.47
358
41.46
8.426
591
79.06
Investor
655
99,854,320.80
14.90
358
33.68
9.351
647
85.13
Second Home
55
10,917,176.62
1.63
359
38.76
8.690
644
83.23
Total:
4,067
670,168,258.03
100.00
358
40.25
8.569
600
80.03
1 Original LTV if first lien, combined LTV if second lien.

*Based on mortgagor representation at origination.

Documentation Type
INCOME DOCUMENTATION
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME (%)
GROSS COUPON (%)
FICO
OLTV1
(%)
Full Documentation
2,602
412,192,434.24
61.51
357
40.35
8.287
583
78.95
Stated Documentation
1,222
214,990,436.49
32.08
358
40.43
9.078
635
81.97
Limited Documentation
243
42,985,387.30
6.41
357
38.40
8.718
589
80.80
Total:
4,067
670,168,258.03
100.00
358
40.25
8.569
600
80.03
1 Original LTV if first lien, combined LTV if second lien.


Loan Purpose
PURPOSE
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME (%)
GROSS COUPON (%)
FICO
OLTV1
(%)
Purchase
1,316
166,108,954.05
24.79
359
39.68
9.136
636
87.00
Refinance-Debt Consolidation No Cash Out**
292
45,880,463.70
6.85
357
39.82
8.281
604
81.13
Refinance-Debt Consolidation Cash Out***
2,459
458,178,840.28
68.37
357
40.50
8.391
587
77.40
Total:
4,067
670,168,258.03
100.00
358
40.25
8.569
600
80.03
1 Original LTV if first lien, combined LTV if second lien.

** Cash proceeds to the borrower inclusive of debt consolidation payments do not exceed 2% or $2,000 of the original principal balance of the related loan. Excludes home equity loans originated in Texas with any cash proceeds.

*** Cash proceeds to the borrower inclusive of debt consolidation payments exceed 2% or $2,000 of the original principal balance of the related loan. Also includes all home equity loans originated in Texas with any cash proceeds.

 
DESCRIPTION OF THE GROUP I COLLATERAL

Credit Grade
RISK CATEGORY
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
I
2,857
453,119,211.00
67.61
358
40.06
8.445
615
81.57
II
738
130,227,393.49
19.43
357
40.19
8.568
578
79.35
III
237
45,233,096.31
6.75
359
40.43
9.020
561
77.19
IV
194
33,912,398.71
5.06
357
41.90
9.096
548
69.25
V
41
7,676,158.52
1.15
359
44.52
10.889
551
65.15
Total:
4,067
670,168,258.03
100.00
358
40.25
8.569
600
80.03
1 Original LTV if first lien, combined LTV if second lien.


Property Type
PROPERTY TYPE
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
Single Family
3,191
510,442,306.65
76.17
357
40.22
8.553
597
79.95
Two-to-Four Family
321
63,940,972.56
9.54
359
40.58
8.688
618
79.65
PUD
295
55,764,681.96
8.32
357
41.25
8.430
596
79.46
Condo
244
37,324,615.74
5.57
359
38.71
8.807
627
82.84
PUD Attached
12
2,084,638.13
0.31
354
41.16
8.239
606
79.04
Single Family Attached
4
611,042.99
0.09
359
37.19
8.579
610
76.74
Total:
4,067
670,168,258.03
100.00
358
40.25
8.569
600
80.03
1 Original LTV if first lien, combined LTV if second lien.
 

Prepayment Charge Term
PREPAYMENT CHARGE
TERM AT ORIGINATION
(MONTHS)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
No Prepayment Penalty
1,751
295,351,931.85
44.07
358
40.70
8.741
601
81.02
12 Months
153
32,879,470.92
4.91
357
39.92
8.498
620
78.77
24 Months
1,522
247,627,008.83
36.95
359
40.15
8.516
594
79.30
36 Months
641
94,309,846.43
14.07
355
39.24
8.189
606
79.30
Total:
4,067
670,168,258.03
100.00
358
40.25
8.569
600
80.03
1 Original LTV if first lien, combined LTV if second lien.


Conforming Balances
CONFORMING BALANCE
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
Conforming
4,067
670,168,258.03
100.00
358
40.25
8.569
600
80.03
Total:
4,067
670,168,258.03
100.00
358
40.25
8.569
600
80.03
1 Original LTV if first lien, combined LTV if second lien.

 
DESCRIPTION OF THE GROUP I COLLATERAL

Maximum Mortgage Rates of the Adjustable-Rate Loans
RANGE OF MAXIMUM
MORTGAGE RATES (%)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
12.000 - 12.499
24
5,911,290.97
1.09
359
39.28
6.365
634
72.55
12.500 - 12.999
139
32,746,659.67
6.01
358
40.24
6.800
612
73.63
13.000 - 13.499
252
55,040,667.60
10.10
358
39.44
7.246
620
76.74
13.500 - 13.999
416
80,188,591.34
14.72
359
41.85
7.765
609
75.51
14.000 - 14.499
406
71,468,901.33
13.12
359
41.10
8.251
597
79.32
14.500 - 14.999
566
97,155,741.51
17.83
359
40.65
8.734
592
81.03
15.000 - 15.499
440
69,635,500.87
12.78
358
39.45
9.219
591
84.25
15.500 - 15.999
447
65,710,959.48
12.06
359
39.75
9.739
592
85.99
16.000 - 16.499
209
30,599,096.43
5.62
359
39.83
10.212
599
86.59
16.500 - 16.999
143
21,894,523.13
4.02
359
39.72
10.714
595
85.53
17.000 - 17.499
57
7,779,252.54
1.43
358
38.97
11.221
588
86.33
17.500 - 17.999
32
4,633,570.02
0.85
359
39.11
11.752
591
84.81
18.000 - 18.499
13
1,994,999.81
0.37
358
40.41
12.164
558
77.68
Total:
3,144
544,759,754.70
100.00
359
40.34
8.655
600
80.62
·  1Original LTV if first lien, combined LTV if second lien
 
Minimum Mortgage Rates of the Adjustable-Rate Loans
RANGE OF MINIMUM
MORTGAGE RATES (%)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
6.000 - 6.499
24
5,911,290.97
1.09
359
39.28
6.365
634
72.55
6.500 - 6.999
139
32,746,659.67
6.01
358
40.24
6.800
612
73.63
7.000 - 7.499
252
55,040,667.60
10.10
358
39.44
7.246
620
76.74
7.500 - 7.999
416
80,188,591.34
14.72
359
41.85
7.765
609
75.51
8.000 - 8.499
406
71,468,901.33
13.12
359
41.10
8.251
597
79.32
8.500 - 8.999
566
97,155,741.51
17.83
359
40.65
8.734
592
81.03
9.000 - 9.499
440
69,635,500.87
12.78
358
39.45
9.219
591
84.25
9.500 - 9.999
447
65,710,959.48
12.06
359
39.75
9.739
592
85.99
10.000 - 10.499
209
30,599,096.43
5.62
359
39.83
10.212
599
86.59
10.500 - 10.999
143
21,894,523.13
4.02
359
39.72
10.714
595
85.53
11.000 - 11.499
57
7,779,252.54
1.43
358
38.97
11.221
588
86.33
11.500 - 11.999
32
4,633,570.02
0.85
359
39.11
11.752
591
84.81
12.000 - 12.499
13
1,994,999.81
0.37
358
40.41
12.164
558
77.68
Total:
3,144
544,759,754.70
100.00
359
40.34
8.655
600
80.62
·  1Original LTV if first lien, combined LTV if second lien
·  
Gross Margins of the Adjustable-Rate Loans
RANGE OF GROSS
MARGINS (%)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
3.500 - 3.999
1
156,845.80
0.03
354
48.00
10.250
570
85.00
4.000 - 4.499
2
331,587.71
0.06
355
44.72
9.619
545
91.14
4.500 - 4.999
146
28,668,049.53
5.26
359
42.44
8.720
594
81.49
6.000 - 6.499
2,994
515,322,188.33
94.60
359
40.22
8.650
600
80.56
7.000 - 7.499
1
281,083.33
0.05
359
49.00
10.300
602
95.00
Total:
3,144
544,759,754.70
100.00
359
40.34
8.655
600
80.62
1 Original LTV if first lien, combined LTV if second lien.

 
DESCRIPTION OF THE GROUP I COLLATERAL


Next Rate Adjustment Date of the Adjustable-Rate Loans
NEXT RATE ADJUSTMENT
DATE
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
2
403,287.05
0.07
352
37.79
8.709
522
80.49
12
1,637,619.23
0.30
353
42.15
9.183
585
83.68
20
3,708,218.45
0.68
354
38.45
7.873
593
84.09
18
2,529,542.12
0.46
355
39.18
9.045
566
84.76
35
5,576,146.51
1.02
356
40.59
9.377
584
81.41
71
12,724,457.00
2.34
357
41.52
9.158
570
80.21
79
14,794,947.09
2.72
356
39.64
8.793
596
81.71
1,912
323,879,320.80
59.45
359
39.87
8.704
602
80.22
3
762,500.00
0.14
360
44.33
7.723
621
80.87
6
820,081.95
0.15
353
39.16
8.444
598
89.43
12
1,933,291.19
0.35
354
43.78
8.098
558
84.35
5
618,619.92
0.11
355
30.35
8.713
590
88.57
13
2,254,145.84
0.41
356
42.19
8.080
580
81.06
28
4,540,944.96
0.83
357
42.03
8.748
565
79.55
50
8,174,937.96
1.50
358
38.83
8.352
593
84.54
878
160,401,694.63
29.44
359
41.30
8.518
602
80.87
Total:
3,144
544,759,754.70
100.00
359
40.34
8.655
600
80.62
1 Original LTV if first lien, combined LTV if second lien.


Initial Periodic Rate Cap of the Adjustable-Rate Loans
INITIAL PERIODIC
CAP (%)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
2.000
3,144
544,759,754.70
100.00
359
40.34
8.655
600
80.62
Total:
3,144
544,759,754.70
100.00
359
40.34
8.655
600
80.62
1 Original LTV if first lien, combined LTV if second lien.


Periodic Rate Cap of the Adjustable-Rate Loans
PERIODIC
CAP (%)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
1.000
3,144
544,759,754.70
100.00
359
40.34
8.655
600
80.62
Total:
3,144
544,759,754.70
100.00
359
40.34
8.655
600
80.62
1 Original LTV if first lien, combined LTV if second lien.

 
Historical Delinquency of the Mortgage Loans Since Origination
STATUS
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
1 x 30
40
6,036,392.34
0.90
355
42.90
8.802
573
83.81
Never Delinquent
4,027
664,131,865.69
99.10
358
40.23
8.566
601
80.00
Total:
4,067
670,168,258.03
100.00
358
40.25
8.569
600
80.03

 
DESCRIPTION OF THE GROUP II COLLATERAL

Collateral Summary
Statistics given below are for the Mortgage Loans in the pool as of the Cut-off Date. Balances and percentages are based on the Cut-off Date scheduled balances of such Mortgage Loans (except in the case of Debt-to-Income and FICO, which are determined at origination).
 
Summary Statistics
Range (if applicable)
     
Number of Mortgage Loans
2,492
 
     
Aggregate Current Principal Balance
$705,188,406
 
Average Current Principal Balance
$282,981
$19,982 to $998,584
     
Aggregate Original Principal Balance
$705,486,893
 
Average Original Principal Balance
$283,101
$20,000 to $1,000,000
     
Fully Amortizing Mortgage Loans
100.00%
 
     
1st Lien
98.08%
 
     
Weighted Avg. Gross Coupon
8.326%
6.150% to 13.250%
     
Weighted Avg. Original Term (months)
360
180 to 360
Weighted Avg. Remaining Term (months)
359
179 to 360
     
Weighted Avg. Margin (ARM Loans Only)
5.981%
4.500% to 7.125%
     
Weighted Avg. Maximum Rate (ARM Loans Only)
14.270%
12.150% to 18.600%
     
Weighted Avg. Minimum Rate (ARM Loans Only)
8.270%
6.150% to 12.600%
     
Weighted Avg. Original LTV (1)
82.48%
24.60% to 100.00%
     
Weighted Avg. Borrower FICO
631
500 to 811
     
Geographic Distribution (Top 5)
CA (46.62%)
 
 
FL (11.83%)
 
 
AZ (6.23%)
 
 
IL (5.48%)
 
 
NY (5.44%)
 
(1)The loan-to-value(“OLTV”) of a first-lien mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is the principal balance of the mortgage loan at the date of origination and the denominator of which is the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The OLTV of a second lien mortgage loan at any given time is a fraction, expressed as a percentage the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) the outstanding balance of the senior mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan.



DESCRIPTION OF THE GROUP II COLLATERAL
Collateral Type
COLLATERAL TYPE
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE
AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME (%)
GROSS COUPON (%)
FICO
OLTV1
(%)
2/6 MONTH LIBOR
802
216,986,772.65
30.77
359
40.67
8.570
611
82.20
2/6 MONTH LIBOR - 5 YR IO
436
158,935,013.69
22.54
359
40.11
7.761
660
82.14
2/6 MONTH LIBOR - 40YR
406
136,920,572.89
19.42
359
42.70
8.244
638
82.07
3/6 MONTH LIBOR
269
73,141,306.95
10.37
359
40.81
8.529
607
82.06
3/6 MONTH LIBOR - 40 YR
93
32,387,101.60
4.59
359
41.90
8.427
627
83.85
3/6 MONTH LIBOR - 5 YR IO
82
32,232,524.00
4.57
359
40.74
8.122
652
84.19
FIXED RATE
370
44,505,354.19
6.31
356
39.05
9.270
631
85.42
FIXED RATE - 40 YR
24
6,876,657.78
0.98
359
40.19
7.714
623
79.86
FIXED RATE - 5YR IO
10
3,203,102.00
0.45
358
37.92
7.878
665
78.95
Total:
2,492
705,188,405.75
100.00
359
40.89
8.326
631
82.48
1 Original LTV if first lien, combined LTV if second lien.
 
 
 
 
Principal Balances at Origination*
RANGE OF
PRINCIPAL BALANCES
AT ORIGINATION ($)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF
ORIGINATION ($)
% OF PRINCIPAL
BALANCE
AS OF
ORIGINATION
REMAINING
TERM TO
MATURITY
(months)*
DEBT-TO-INCOME (%)*
GROSS COUPON (%)*
FICO*
OLTV1
(%)*
0.01 - 25,000.00
5
110,980.00
0.02
358
33.84
10.621
617
100.00
25,000.01 - 50,000.00
68
2,690,025.00
0.38
358
41.57
12.519
642
100.00
50,000.01 - 100,000.00
371
28,123,740.00
3.99
355
39.03
9.714
609
86.96
100,000.01 - 150,000.00
287
36,274,395.00
5.14
358
38.35
9.030
619
82.71
150,000.01 - 200,000.00
305
53,566,612.00
7.59
359
40.30
8.577
629
81.82
200,000.01 - 250,000.00
242
54,477,714.00
7.72
358
40.62
8.295
630
82.12
250,000.01 - 300,000.00
214
58,685,079.00
8.32
359
40.28
8.152
644
82.02
300,000.01 - 350,000.00
176
56,957,836.00
8.07
359
42.83
8.155
641
82.01
350,000.01 - 400,000.00
146
54,576,551.00
7.74
359
41.90
8.061
642
82.19
400,000.01 - 450,000.00
177
75,997,155.00
10.77
359
42.21
8.220
635
82.82
450,000.01 - 500,000.00
188
89,669,543.00
12.71
359
41.12
8.204
632
82.86
500,000.01 - 550,000.00
98
51,473,834.00
7.30
359
40.90
8.060
633
82.09
550,000.01 - 600,000.00
81
46,627,820.00
6.61
359
41.29
8.334
630
84.04
600,000.01 - 650,000.00
46
28,932,600.00
4.10
359
40.06
8.207
625
84.04
650,000.01 - 700,000.00
26
17,445,391.00
2.47
359
42.50
8.227
626
82.51
700,000.01 - 750,000.00
16
11,611,695.00
1.65
358
35.97
7.883
614
78.70
750,000.01 >=
46
38,265,923.00
5.42
359
40.24
8.040
612
77.92
Total:
2,492
705,486,893.00
100.00
359
40.89
8.326
631
82.48

1 Original LTV if first lien, combined LTV if second lien.

*Based on the original balances of the Mortgage Loans.

 
DESCRIPTION OF THE GROUP II COLLATERAL


Principal Balance as of the Cut-Off Date
RANGE OF PRINCIPAL BALANCES AS OF THE
CUT-OFF DATE ($)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE
AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
0.01 - 25,000.00
5
110,882.28
0.02
358
33.84
10.621
617
100.00
25,000.01 - 50,000.00
68
2,688,900.26
0.38
358
41.57
12.519
642
100.00
50,000.01 - 100,000.00
371
28,102,524.95
3.99
355
39.03
9.715
609
86.97
100,000.01 - 150,000.00
287
36,254,920.30
5.14
358
38.35
9.030
619
82.71
150,000.01 - 200,000.00
305
53,543,385.63
7.59
359
40.30
8.577
629
81.82
200,000.01 - 250,000.00
242
54,453,273.88
7.72
358
40.62
8.295
630
82.12
250,000.01 - 300,000.00
214
58,663,262.07
8.32
359
40.28
8.152
644
82.02
300,000.01 - 350,000.00
176
56,937,372.32
8.07
359
42.83
8.155
641
82.01
350,000.01 - 400,000.00
146
54,554,704.94
7.74
359
41.90
8.061
642
82.19
400,000.01 - 450,000.00
177
75,970,684.47
10.77
359
42.21
8.220
635
82.82
450,000.01 - 500,000.00
188
89,637,784.39
12.71
359
41.12
8.204
632
82.86
500,000.01 - 550,000.00
98
51,448,133.69
7.30
359
40.90
8.060
633
82.09
550,000.01 - 600,000.00
81
46,611,363.60
6.61
359
41.29
8.334
630
84.04
600,000.01 - 650,000.00
46
28,923,201.30
4.10
359
40.06
8.207
625
84.04
650,000.01 - 700,000.00
26
17,439,214.84
2.47
359
42.50
8.227
626
82.51
700,000.01 - 750,000.00
16
11,603,381.28
1.65
358
35.97
7.883
614
78.70
750,000.01 >=
46
38,245,415.55
5.42
359
40.24
8.040
612
77.92
Total:
2,492
705,188,405.75
100.00
359
40.89
8.326
631
82.48
1 Original LTV if first lien, combined LTV if second lien.


Remaining Term to Maturity
RANGE OF MONTHS REMAINING
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE
AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
121 to 180
7
643,172.50
0.09
179
28.99
8.420
586
73.64
181 to 240
3
270,047.29
0.04
239
30.03
7.378
628
73.82
301 to 360
2,482
704,275,185.96
99.87
359
40.91
8.326
631
82.49
Total:
2,492
705,188,405.75
100.00
359
40.89
8.326
631
82.48
1 Original LTV if first lien, combined LTV if second lien.

 
DESCRIPTION OF THE GROUP II COLLATERAL

Mortgage Rates
RANGE OF CURRENT
MORTGAGE RATES
(%)
NUMBER OF MORTGAGE LOANS 
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($) 
 
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months) 
 
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
 
FICO
OLTV1
(%) 
6.000 - 6.499
10
4,999,966.74
0.71
358
46.95
6.344
614
81.88
6.500 - 6.999
139
52,983,511.54
7.51
358
38.29
6.830
646
80.22
7.000 - 7.499
292
100,881,128.26
14.31
358
39.27
7.247
638
78.42
7.500 - 7.999
512
162,684,194.92
23.07
359
41.60
7.756
646
80.52
8.000 - 8.499
389
115,454,187.11
16.37
359
41.37
8.239
630
81.50
8.500 - 8.999
399
113,995,708.95
16.17
359
41.70
8.715
625
83.65
9.000 - 9.499
203
58,008,149.25
8.23
359
41.34
9.215
620
85.58
9.500 - 9.999
192
46,165,313.46
6.55
359
40.72
9.759
601
86.19
10.000 - 10.499
82
17,535,261.50
2.49
358
40.25
10.168
597
89.67
10.500 - 10.999
44
10,671,644.37
1.51
359
38.64
10.703
594
90.94
11.000 - 11.499
31
6,132,879.72
0.87
358
38.28
11.235
591
89.53
11.500 - 11.999
41
5,049,950.80
0.72
358
41.41
11.814
622
89.18
12.000 - 12.499
34
2,671,560.67
0.38
358
42.72
12.176
644
100.00
12.500 - 12.999
112
7,334,399.68
1.04
359
45.45
12.714
630
100.00
13.000 - 13.499
12
620,548.78
0.09
359
45.88
13.085
588
100.00
Total:
2,492
705,188,405.75
100.00
359
40.89
8.326
631
82.48
1 Original LTV if first lien, combined LTV if second lien.


Original Loan-to-Value Ratios(1)
RANGE OF ORIGINAL
LOAN-TO-VALUE
RATIOS (%)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV2
(%)
0.01 to 25.00
1
61,952.58
0.01
359
54.00
7.350
689
24.60
35.01 to 40.00
5
388,802.49
0.06
295
43.06
7.930
562
37.51
40.01 to 45.00
3
964,352.73
0.14
359
51.98
8.010
537
42.22
45.01 to 50.00
4
1,430,041.36
0.20
359
34.48
7.530
631
48.64
50.01 to 55.00
12
3,634,803.65
0.52
359
45.77
7.803
555
53.11
55.01 to 60.00
22
4,828,077.23
0.68
359
41.99
8.150
608
57.94
60.01 to 65.00
27
7,087,055.23
1.00
357
37.87
8.449
603
63.84
65.01 to 70.00
53
19,588,011.79
2.78
358
39.75
8.067
598
68.58
70.01 to 75.00
92
31,298,554.67
4.44
358
43.55
8.090
573
74.14
75.01 to 80.00
1,332
395,947,332.99
56.15
359
41.32
7.965
647
79.92
80.01 to 85.00
140
44,264,185.37
6.28
358
39.57
8.308
599
84.46
85.01 to 90.00
368
115,219,071.06
16.34
359
39.18
8.631
613
89.79
90.01 to 95.00
205
62,944,281.62
8.93
358
40.95
9.290
634
94.84
95.01 to 100.00
228
17,531,882.98
2.49
358
41.99
11.966
647
99.95
Total:
2,492
705,188,405.75
100.00
359
40.89
8.326
631
82.48

(1)The loan-to-value(“OLTV”) of a first-lien mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is the principal balance of the mortgage loan at the date of origination and the denominator of which is the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The OLTV of a second lien mortgage loan at any given time is a fraction, expressed as a percentage the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) the outstanding balance of the senior mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan.

2 Original LTV if first lien, combined LTV if second lien.



DESCRIPTION OF THE GROUP II COLLATERAL

FICO Score at Origination
RANGE OF FICO SCORES
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME (%)
GROSS COUPON (%)
FICO
OLTV1
(%)
500 to 519
69
16,387,553.44
2.32
358
42.90
9.291
510
77.14
520 to 539
93
24,971,119.97
3.54
358
39.95
9.023
531
79.01
540 to 559
137
39,175,548.91
5.56
359
39.87
8.577
550
81.65
560 to 579
136
36,759,907.93
5.21
358
40.13
8.922
570
82.42
580 to 599
273
66,740,176.17
9.46
358
41.43
8.559
589
83.91
600 to 619
312
88,267,080.70
12.52
358
40.84
8.232
609
83.81
620 to 639
471
140,792,302.96
19.97
359
41.16
8.224
629
82.76
640 to 659
356
98,064,724.43
13.91
359
40.54
8.149
650
82.30
660 to 679
221
65,061,460.63
9.23
359
41.06
8.106
668
82.15
680 to 699
172
51,488,750.42
7.30
359
40.44
8.090
688
81.70
700 to 719
95
31,406,812.35
4.45
359
42.26
8.064
710
82.50
720 to 739
64
19,897,918.98
2.82
359
40.65
8.159
728
83.31
740 to 759
51
16,105,874.37
2.28
359
40.67
8.046
748
82.58
760 to 779
29
7,650,407.78
1.08
359
41.85
8.383
769
82.69
780 to 799
10
1,707,099.85
0.24
359
37.10
9.134
786
92.64
800 or greater
3
711,666.86
0.10
359
45.59
8.516
804
81.54
Total:
2,492
705,188,405.75
100.00
359
40.89
8.326
631
82.48
1 Original LTV if first lien, combined LTV if second lien.


Debt-to-Income Ratio
RANGE OF DEBT-TO-INCOME RATIOS (%)
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
0.01 - 20.00
105
30,705,629.06
4.35
358
14.12
8.200
618
83.24
20.01 - 25.00
98
23,196,092.71
3.29
358
22.98
8.237
620
82.51
25.01 - 30.00
165
38,673,340.78
5.48
357
27.94
8.309
628
82.10
30.01 - 35.00
226
59,337,919.29
8.41
359
33.23
8.252
641
83.06
35.01 - 40.00
383
106,863,235.36
15.15
359
38.24
8.268
630
82.72
40.01 - 45.00
589
173,878,921.71
24.66
359
43.27
8.281
638
82.33
45.01 - 50.00
880
256,153,290.59
36.32
359
48.17
8.426
631
83.15
50.01 - 55.00
46
16,379,976.25
2.32
358
53.14
8.288
574
69.34
Total:
2,492
705,188,405.75
100.00
359
40.89
8.326
631
82.48
1 Original LTV if first lien, combined LTV if second lien.



DESCRIPTION OF THE GROUP II COLLATERAL

Geographic Distribution
STATE
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME
(%)
GROSS COUPON
(%)
FICO
OLTV1
(%)
Alabama
2
267,158.18
0.04
356
47.00
9.508
554
90.00
Alaska
6
1,413,808.60
0.20
359
34.22
7.954
615
83.45
Arizona
225
43,965,073.78
6.23
359
40.10
8.488
626
82.37
Arkansas
2
174,865.84
0.02
356
45.72
10.789
536
82.17
California
827
328,746,479.72
46.62
359
41.78
8.153
638
82.31
Colorado
21
6,393,624.67
0.91
359
39.29
8.218
629
82.22
Connecticut
10
3,734,064.25
0.53
359
41.02
8.763
620
86.70
Delaware
3
1,057,100.44
0.15
358
43.47
8.941
652
76.09
Florida
372
83,419,190.41
11.83
358
40.29
8.374
634
81.19
Georgia
5
833,285.68
0.12
359
44.08
8.455
583
82.81
Hawaii
12
5,456,259.43
0.77
359
39.83
7.481
666
77.34
Illinois
129
38,623,007.31
5.48
359
41.03
8.694
631
85.29
Indiana
20
1,947,236.62
0.28
359
33.14
9.231
586
88.90
Iowa
5
479,957.77
0.07
359
38.14
8.232
587
81.08
Kansas
6
1,204,798.15
0.17
359
35.30
9.416
637
87.68
Kentucky
9
1,771,883.47
0.25
359
40.15
7.606
634
85.77
Louisiana
25
3,168,310.72
0.45
355
38.77
9.286
603
84.40
Maine
5
1,768,144.69
0.25
358
42.93
9.162
543
63.15
Maryland
58
17,054,591.80
2.42
359
42.07
8.108
602
81.92
Massachusetts
31
10,640,923.64
1.51
359
41.33
8.473
622
83.91
Michigan
64
7,609,782.72
1.08
359
38.87
8.951
587
82.92
Minnesota
6
1,486,200.15
0.21
359
42.91
8.803
559
85.95
Mississippi
6
780,164.46
0.11
359
41.06
7.944
600
80.91
Missouri
40
5,245,919.40
0.74
359
37.59
8.812
593
86.11
Nebraska
6
1,114,691.11
0.16
358
31.83
8.499
610
84.18
Nevada
78
21,925,029.24
3.11
359
36.76
8.299
632
82.27
New Jersey
52
18,562,894.07
2.63
359
39.18
8.548
620
83.74
New Mexico
13
2,268,023.86
0.32
359
40.13
8.720
649
83.09
New York
96
38,371,648.58
5.44
359
43.10
8.292
632
80.94
North Carolina
7
1,113,445.10
0.16
359
43.69
8.718
628
87.61
Ohio
77
6,998,794.78
0.99
354
35.85
8.675
593
86.80
Oklahoma
10
1,141,972.58
0.16
359
40.02
8.991
609
82.33
Oregon
8
1,346,516.09
0.19
359
37.75
8.429
653
81.14
Pennsylvania
32
4,533,809.40
0.64
359
39.08
8.545
576
84.16
Rhode Island
5
1,592,853.83
0.23
359
33.44
7.435
664
81.47
South Carolina
6
740,435.79
0.10
359
40.13
9.108
590
86.61
Tennessee
14
1,617,279.05
0.23
349
42.09
9.607
562
90.50
Texas
116
17,669,920.51
2.51
359
39.69
8.910
625
84.04
Utah
42
10,067,934.23
1.43
359
40.03
8.331
647
81.16
Washington
21
5,520,856.32
0.78
359
36.22
8.349
619
82.74
Wisconsin
17
2,760,614.38
0.39
359
40.61
9.314
620
87.91
Wyoming
3
599,854.93
0.09
359
41.98
7.740
693
80.00
Total:
2,492
705,188,405.75
100.00
359
40.89
8.326
631
82.48
1 Original LTV if first lien, combined LTV if second lien.

 
DESCRIPTION OF THE GROUP II COLLATERAL

Occupancy Status
OCCUPANCY
STATUS*
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME (%)
GROSS COUPON (%)
FICO
OLTV1
(%)
Primary
2,400
687,822,533.27
97.54
359
41.02
8.309
631
82.39
Investor
87
15,230,243.61
2.16
359
34.35
8.970
641
86.64
Second Home
5
2,135,628.87
0.30
359
46.30
9.131
662
81.18
Total:
2,492
705,188,405.75
100.00
359
40.89
8.326
631
82.48
1 Original LTV if first lien, combined LTV if second lien.

*Based on mortgagor representation at origination.

Documentation Type
INCOME DOCUMENTATION
NUMBER OF MORTGAGE LOANS
PRINCIPAL
BALANCE
AS OF THE
CUT-OFF DATE ($)
% OF PRINCIPAL
BALANCE AS OF
THE CUT-OFF DATE
REMAINING
TERM TO
MATURITY
(months)
DEBT-TO-INCOME (%)
GROSS COUPON (%)
FICO
OLTV1
(%)
Full Documentation
1,149
310,013,238.94
43.96
358
39.23
7.950
613
82.03
Stated Documentation
1,086
317,330,213.39
45.00
359
43.09
8.730
651
83.03
Limited Documentation