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As Of Filer Filing For·On·As Docs:Size Issuer Agent 2/24/06 Bear Stearns ABSs I Tr 2006-AC2 FWP 1:2.1M Bear Stearns ABSs I Tr 2006-AC2 Thacher Proffitt… LLP/FA |
Document/Exhibit Description Pages Size 1: FWP Bear Stearns Asset Backed Securities I LLC HTML 1.18M
New Issue Computational Materials
$289,176,000 (Approximately)
Asset-Backed Certificates, Series 2006-AC2
Group I
Bear Stearns Asset Backed Securities I Trust 2006-AC2
Issuing Entity
EMC Mortgage Corporation
Sponsor and Seller
Wells Fargo Bank, National Association
Master Servicer
This information should be considered only after reading the Bear Stearns’ Statement Regarding Assumptions as to Securities, Pricing Estimates and Other Information (the “Statement”), which should be attached. Do not use or rely on this information if you have not received and reviewed this Statement. You may obtain a copy of the Statement from your sales representative.
STATEMENT REGARDING FREE WRITING PROSPECTUS
The Issuing Entity has filed a registration statement (including a prospectus) with the SEC for the offering to which this free writing prospectus relates. Before you invest, you should read the prospectus in the registration statement and other documents the depositor has filed with the SEC for more complete information about the depositor, the Issuing Entity and this offering. You may get these documents for free by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, the depositor, any underwriter or any dealer participating in the offering will arrange to send you the prospectus you request it by calling toll free 1-866-803-9204.
This free writing prospectus does not contain all information that is required to be included in the base prospectus and the prospectus supplement. Please click here http://www.bearstearns.com/prospectus/bsabs or visit the following website: “www.bearstearns.com/prospectus/bsabs” for a copy of the base prospectus applicable to this offering.
The Information in this free writing prospectus is preliminary and is subject to completion or change.
The Information in this free writing prospectus supersedes information contained in any prior similar free writing prospectus relating to these securities prior to the time of your commitment to purchase.
This free writing prospectus is not an offer to sell or solicitation of an offer to buy these securities in any state where such offer, solicitation or sale is not permitted.
This information in this free writing prospectus is preliminary, and will be superseded by the preliminary prospectus. This free writing prospectus is being delivered to you solely to provide you with information about the offering of the Certificates referred to in this free writing prospectus and to solicit an offer to purchase the Certificates, when, as and if issued. 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 Certificates until we have accepted your offer to purchase Certificates. We will not accept any offer by you to purchase Certificates, and you will not have any contractual commitment to purchase any of the Certificates until after you have received the preliminary prospectus. You may withdraw your offer to purchase Certificates at any time prior to our acceptance of your offer.
The securities referred to in this free writing prospectus are being offered when, as and if issued. Our obligation to sell securities to you is conditioned on the securities having the characteristics described in this free writing prospectus. If that condition is not satisfied, we will notify you, and neither the Issuing Entity 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 non-delivery.
SECURITIES, PRICING ESTIMATES AND OTHER INFORMATION
The information contained in the attached materials (the “Information”) may include various forms of performance analysis, security characteristics and securities pricing estimates for the securities described therein. Should you receive Information that refers to the “Statement Regarding Assumptions and Other Information”, please refer to this statement instead. The Information is illustrative and is not intended to predict actual results which may differ substantially from those reflected in the Information. Performance analysis is based on certain assumptions with respect to significant factors that may prove not to be as assumed. Performance results are based on mathematical models that use inputs to calculate results. As with all models, results may vary significantly depending upon the value given to the inputs. Inputs to these models include but are not limited to: prepayment expectations (econometric prepayment models, single expected lifetime prepayments or a vector of periodic prepayments), interest rate assumptions (parallel and nonparallel changes for different maturity instruments), collateral assumptions (actual pool level data, aggregated pool level data, reported factors or imputed factors), volatility assumptions (historically observed or implied current) and reported information (paydown factors, rate resets, remittance reports and trustee statements). Models used in any analysis may be proprietary, the results therefore, may be difficult for any third party to reproduce. Contact your registered representative for detailed explanations of any modeling techniques employed in the Information.
The Information may not reflect the impact of all structural characteristics of the security, including call events and cash flow priorities at all prepayment speeds and/or interest rates. You should consider whether the behavior of these securities should be tested using assumptions different from those included in the Information. The assumptions underlying the Information, including structure and collateral, may be modified from time to time to reflect changed facts and circumstances. Offering Documents contain data that is current as of their publication dates and after publication may no longer be accurate, complete or current. Contact your registered representative for Offering Documents, current Information or additional materials, including other models for performance analysis, which are likely to produce different results, and any further explanation regarding the Information.
Any pricing estimates Bear Stearns has supplied at your request (a) represent our view, at the time determined, of the investment value of the securities between the estimated bid and offer levels, the spread between which may be significant due to market volatility or illiquidity, (b) do not constitute a bid by Bear Stearns or any other person for any security, (c) may not constitute prices at which the securities could have been purchased or sold in any market at any time, (d) have not been confirmed by actual trades, may vary from the value Bear Stearns assigns or may be assigned to any such security while in its inventory, and may not take into account the size of a position you have in the security, and (e) may have been derived from matrix pricing that uses data relating to other securities whose prices are more readily ascertainable to produce a hypothetical price based on the estimated yield spread relationship between the securities.
General Information: Bear Stearns and/or individuals associated therewith may have positions in these securities while the Information is circulating or during such period may engage in transactions with the Issuing Entity or its affiliates. We act as principal in transactions with you, and accordingly, you must determine the appropriateness for you of such transactions and address any legal, tax or accounting considerations applicable to you. Bear Stearns shall not be a fiduciary or advisor unless we have agreed in writing to receive compensation specifically to act in such capacities. If you are subject to ERISA, the Information is being furnished on the condition that it will not form a primary basis for any investment decision.
TRANSACTION SUMMARY (a), (b), (c)
|
Class |
Size |
Percent Of Pool Balance |
Credit Enhancement Percentage |
Coupon Type |
WAL To Call (yrs.) (b) |
Final Scheduled Dist. Date (b) |
Expected Ratings (Moody’s/S&P) |
|
I-A-1 |
$ 178,428,633 |
60.22% |
21.45% |
Floater (d)(e)(f) |
3.797 |
03/25/2036 |
Aaa / AAA |
|
I-A-2 |
54,304,367 |
18.33% |
21.45% |
Inverse Floater (d)(e)(g) |
3.797 |
03/25/2036 |
Aaa / AAA |
|
I-M-1 |
17,629,000 |
5.95% |
15.50% |
Floater (d)(e)(h) |
3.797 |
03/25/2036 |
Aa2 / AA |
|
I-M-2 |
15,407,000 |
5.20% |
10.30% |
Floater (d)(e)(i) |
3.797 |
03/25/2036 |
A2 / A |
|
I-M-3 |
5,926,000 |
2.00% |
8.30% |
Floater (d)(e)(j) |
3.797 |
03/25/2036 |
A3 / A- |
|
I-B-1 |
5,926,000 |
2.00% |
6.30% |
Floater (d)(e)(k) |
3.797 |
03/25/2036 |
Baa1 / BBB+ |
|
I-B-2 |
6,222,000 |
2.10% |
4.20% |
Floater (d)(e)(l) |
3.797 |
03/25/2036 |
Baa2 / BBB |
|
I-B-3 |
5,333,000 |
1.80% |
2.40% |
Floater (d)(e)(m) |
3.797 |
03/25/2036 |
Baa3 / BBB- |
|
I-B-4 |
5,926,000 |
2.00% |
0.40% (n) |
Floater (d)(e)(o) |
Not Offered |
Ba2 / BB | |
|
Total |
$ 295,102,000
|
99.60% |
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Notes: |
(a) The principal balance of each Class of Certificates is subject to a 10% variance. Class size and credit enhancement levels are subject to change based upon the final mortgage pool and rating agency valuation of subordination, overcollateralization, and excess spread. The principal balances of the Certificates are calculated using expected scheduled principal balances of the mortgage loans as of the Cut-off Date. The final sizes of the Certificates will be based on the final aggregate principal balances of the mortgage loans as of the Cut-off Date after taking into account among other things, unscheduled principal payments and the composition of the final mortgage pool. |
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(b) Prepayment Assumption: 8% CPR building to 20% CPR in 12 months, and remaining constant at 20% CPR thereafter. |
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(c) The Certificates will be priced to a cleanup call that can be exercised on or after the earlier of (i) the Distribution Date on which the aggregate stated principal balance of the group I mortgage loans has been reduced to less than or equal to 20% of the aggregate stated principal balance of such mortgage loans as of the Cut-off Date and (ii) the Distribution Date occurring in February 2016. |
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(d) See Group I Optional Redemption Definition. |
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(e) The Class I-A-1 Certificates will be subject to a cap equal to 7.50% and a floor equal to 0.35%, and will also be subject to a cap based on the weighted average of the net mortgage rates on the mortgage loans as described below. The Class I-A-2 Certificates will be subject to a cap equal to 23.492857% and a floor equal to 0.00% (if the Optional Redemption is not exercised the Class I-A-2 Certificates will be subject to a cap equal to 25.635714% and a floor equal to 2.142857%), and will also be subject to a cap based on the weighted average of the net mortgage rates on the mortgage loans as described below. The Class I-A-1 Certificates and Class I-A-2 Certificates will be subject to a cap based on the weighted average of the net mortgage rates on the mortgage loans and an assumed certificate with a certificate principal balance equal to the aggregate Certificate Principal Balance of the Class I-A-1 Certificates and Class I-A-2 Certificates and a fixed pass-through rate of 5.75% per annum a rate increase of 0.50% per annum after the 20% Clean-Up Call Date. If the weighted average of the net mortgage rates on the mortgage loans is less than 5.75% per annum (or, after the 20% Clean-Up Call Date, 6.25% per annum), the amount of the net wac shortfall which would occur with respect to such Certificates will be allocated among the Class I-A-1 Certificates and Class I-A-2 Certificates in proportion to their current entitlements to interest calculated without regard to this cap. The Class M Certificates and Class B Certificates will be subject to a cap equal to the lesser of (i) 11.00% per annum and (ii) the weighted average of the net mortgage rates on the mortgage loans. If on any Distribution Date, the pass-through rate for a class of Offered Certificates is based on a cap relating to the weighted average of the net mortgage rates of the mortgage loans, the resulting interest shortfall may be recovered by the holders of the related Certificates on the same Distribution Date or future Distribution Dates on a subordinated basis to the extent that on such Distribution Date there are available funds remaining after certain other distributions on the Offered Certificates and the payment of certain fees and expenses of the trust. (f) The pass-through rate for the Class I-A-1 Certificates will be a floating rate based on One-Month LIBOR + 0.35% per annum. (g) The pass-through rate for the Class I-A-2 Certificates will be a floating rate equal to 23.492857% minus the product of 3.285714 and One-Month LIBOR (per annum). |
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(h) The pass-through rate for the Class I-M-1 Certificates will be a floating rate based on One Month LIBOR + [0.40%] per annum. |
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(i) The pass-through rate for the Class I-M-2 Certificates will be a floating rate based on One Month LIBOR + [0.60%] per annum. |
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(j) The pass-through rate for the Class I-M-3 Certificates will be a floating rate based on One Month LIBOR + [0.68%] per annum. (k) The pass-through rate for the Class I-B-1 Certificates will be a floating rate based on One Month LIBOR + [1.25%] per annum. (l) The pass-through rate for the Class I-B-2 Certificates will be a floating rate based on One Month LIBOR + [1.50%] per annum. (m) The pass-through rate for the Class I-B-3 Certificates will be a floating rate based on One Month LIBOR + [2.50%] per annum |
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(n) The Class I-B-4 Certificates are mentioned herein for informational purposes only and are not offered hereby. Credit Enhancement for the Class I-B-4 Certificates will be available from the Overcollateralized Amount, which is expected to be 0.40% initially, with a floor of 0.40% of the original aggregate stated principal balance of the mortgage loans. (o) The pass-through rate for the Class I-B-4 Certificates will be a floating rate based on One Month LIBOR + [3.00%] per annum. |
THE COLLATERAL
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• |
Conventional, one-to-four-family, fixed-rate mortgage loans secured by first liens on residential mortgaged properties. |
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• |
The collateral related to group I will consist of a pool of mortgage loans with an unpaid principal balance of approximately $296,286,895 |
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• |
The mortgage loans were primarily originated by Waterfield Mortgage Company (approximately 22.92%) and Metrociti Mortgage, LLC (approximately 6.44%) with approximately one hundred and thirty-three other originators totaling approximately 70.64% (none of which represent greater than 5% of the pool) pursuant to underwriting guidelines as described in any other free writing prospectus and the prospectus supplement. |
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• |
The collateral information provided herein is preliminary and based upon information as of February 1, 2006. The characteristics of the mortgage loans as described herein and in the attached collateral tables may differ from the final pool due, among other things, to the possibility that certain mortgage loans may become delinquent or default or may be removed or substituted and that similar or different mortgage loans may be added to the pool prior to the closing date, such characteristics being subject to a variance of not more than plus or minus 10%. |
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• |
For purposes of this prospectus supplement, reference to the “mortgage loans” herein means the group I mortgage loans. |
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• |
Approximately 44.54% of the mortgage loans provide for payment by the mortgagor of a prepayment charge. |
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• |
All numbers and percentages in this term sheet are subject to a variance of 10%. |
The Structure
The Senior Certificates, Mezzanine Certificates and Subordinate Certificates will be paid principal on a pro rata basis.
Class I-A Certificates
The Class I-A-1 Certificates and Class I-A-2 Certificates (together the “Class I-A Certificates”) will be floating rate senior securities.
Class I-M-1 Certificates
The Class I-M-1 Certificates (and together with the Class I-M-2 Certificates and Class I-M-3 Certificates, the “Class I-M Certificates) will be issued as floating rate mezzanine securities. The Class I-M-1 Certificates will be subordinate to the Class I-A Certificates.
Class I-M-2 Certificates
The Class I-M-2 Certificates will be issued as floating rate mezzanine securities. The Class I-M-2 Certificates will be subordinate to the Class I-A Certificates and Class I-M-1 Certificates.
Class I-M-3 Certificates
The Class I-M-3 Certificates will be issued as floating rate mezzanine securities. The Class I-M-3 Certificates will be subordinate to the Class I-A, Class I-M-1 and Class I-M-2 Certificates.
Class I-B-1 Certificates
The Class I-B-1 Certificates (and together with the Class I-B-2 Certificates, Class I-B-3 Certificates and Class I-B-4 Certificates, the “Class I-B Certificates”) will be issued as floating rate subordinate securities. The Class I-B-1 Certificates will be subordinate to the Class I-A Certificates and the Class I-M Certificates.
Class I-B-2 Certificates
The Class I-B-2 Certificates will be issued as floating rate subordinate securities. The Class I-B-2 Certificates will be subordinate to the Class I-A, the Class I-M and the Class I-B-1 Certificates.
Class I-B-3 Certificates
The Class I-B-3 Certificates will be issued as floating rate subordinate securities. The Class I-B-3 Certificates will be subordinate to the Class I-A, the Class I-M, the Class I-B-1 and the Class I-B-2 Certificates.
Class I-B-4 Certificates
The Class I-B-4 Certificates will be issued as floating rate subordinate securities. The Class I-B-4 Certificates will be subordinate to the Class I-A, the Class I-M, the Class I-B-1, the Class I-B-2 and the Class I-B-3 Certificates.
Non-offered Certificates
The Class I-B-4, Class I-P, Class I-C and one or more Class I-R Certificates.
Class I-P Certificates
The Class I-P Certificates will be entitled to all prepayment charges in respect of the related mortgage loans.
Summary of Terms
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Depositor: |
Bear Stearns Asset Backed Securities I LLC. |
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Seller: |
EMC Mortgage Corporation. |
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Master Servicer: |
Wells Fargo Bank, National Association. |
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Servicers: |
EMC Mortgage Corporation (approximately 99.82%), HSBC Mortgage (approximately 0.14%) and Harbourside Mortgage (approximately 0.03%). |
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Originators: |
Waterfield (approximately 22.92%), Metrociti Mortgage (approximately 6.44%) and approximately 133 other originators (none of which represent more than 10% or more of the deal). |
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Sole Manager: |
Bear, Stearns & Co. Inc. |
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Trustee: |
U.S. Bank National Association. |
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Cut-off Date: |
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Closing Date: |
On or about February 28, 2006. |
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Distribution Date: |
25th day of each month (or if that 25th is not a business day, the next business day), commencing in March 2006. |
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Group I Optional Redemption: |
At its option the holder of the Class I-C Certificates, or, if there is no single holder, the majority holder of the Class I-C Certificates, may purchase all of the Group I Certificates on or after the earlier of (a) the 20% Clean-Up Call Date and (b) the Distribution Date occurring in February 2016. In addition, if the holder of the Class I-C Certificates does not exercise its option to purchase all of the remaining assets in loan group I (“Group I Optional Redemption”), at any time, the pass-through rate on the Class I-A-1, Class I-M and Class I-B Certificates will increase by the Rate Increase. The “Rate Increase” is equal to (A) on the first Distribution Date after the 20% Clean-Up Call Date, [2.142857%] per annum for the Class I-A-2 Certificates, [0.200%] per annum for the Class I-M-1 Certificates, [0.300%] per annum for the Class I-M-2 Certificates, [0.340%] per annum for the Class I-M-3 Certificates, [0.625%] per annum for the Class I-B-1 Certificates, [0.750%] per annum for the Class I-B-2 Certificates, [1.250%] per annum for the Class I-B-3 Certificates and [1.500%] for the Class I-B-4 Certificates; or (B) on the first Distribution Date after the Distribution Date in February 2016, [2.142857%] per annum for the Class I-A-2 Certificates, [0.200%] per annum for the Class I-M-1 Certificates, [0.300%] per annum for the Class I-M-2 Certificates, [0.340%] per annum for the Class I-M-3 Certificates, [0.625%] per annum for the Class I-B-1 Certificates, [0.750%] per annum for the Class I-B-2 Certificates, [1.250%] per annum for the Class I-B-3 Certificates and [1.500%] for the Class I-B-4 Certificates. Additionally, if the Group I Optional Redemption is not exercised by the earlier of (a) the first Distribution Date after the 20% Clean-Up Call Date, and (b) the Distribution Date occurring in February 2016, thereafter, all net monthly excess cashflow remaining after payment of any Unpaid Interest Shortfalls and amounts necessary to restore the related Overcollateralization Target Amount will be paid as principal to the Class I-A, Class I-M and Class I-B Certificates, pro rata, until their Certificate Principal Balances are reduced to zero. |
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Optional Termination Holder: |
The holder of the Class I-C Certificates. |
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20% Clean-Up Call Date: |
The first Distribution Date on which the aggregate stated principal balance of the mortgage loans as of the end of the due period is less than or equal to 20% of the Cut-off Date balance. |
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Available Distribution Amount: |
For any Distribution Date, an amount equal to the amount received by the Trustee and available in the Certificate Account on that Distribution Date. The Available Distribution Amount will generally be equal to the aggregate amount of scheduled payments on the mortgage loans, insurance proceeds and liquidation proceeds, received during the Due Period with respect to the mortgage loans, in each case net of amounts reimbursable therefrom to the Trustee, the Master Servicer and any Servicer and reduced by Servicing Fees, Master Servicing Fees and LPMI Fees (if applicable). |
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Net WAC Rate: |
For each Distribution Date, (a) with respect to the Class I-A Certificates, a per annum rate equal to the weighted average of the net mortgage rates of the mortgage loans as of the first day of the month preceding the month in which such Distribution Date occurs, and (b) with respect to the Class I-M Certificates and Class I-B Certificates, a per annum rate equal to the lesser of (i) 11.00% per annum and (ii) the weighted average of the net mortgage rates of the mortgage loans as of the first day of the month preceding the month in which such Distribution Date occurs, adjusted for the actual number of days elapsed in the Accrual Period. |
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Pass-Through Rates: |
The pass-through rate for the Class I-A Certificates will be a per annum floating rate, subject to a cap based on the Net WAC Rate described above. The pass-through rates for the Class I-M Certificates and Class I-B Certificates will be the lesser of (i) the related per annum floating rates as described herein and (ii) the Net WAC Rate. |
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Net WAC Rate Carryover Amount: |
With respect to each class of Offered Certificates and any Distribution Date, an amount equal to the sum of (i) the excess, if any, of (x) the amount of interest such class would have been entitled to receive on such Distribution Date if the pass-through rate applicable to such class would not have been reduced by the Net WAC Rate cap on such Distribution Date over (y) the amount of interest paid on such Distribution Date if the Pass-Through Rate is limited by the Net WAC Rate cap plus (ii) the Net WAC Rate Carryover Amount for the previous Distribution Date not previously distributed together with interest thereon at a rate equal to the pass-through rate for such class for the most recently ended Accrual Period. |
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Interest Payments: |
On each Distribution Date holders of the Offered Certificates will be entitled to receive the interest that has accrued on the Offered Certificates at the related pass-through rate during the related accrual period, and any interest due on a prior Distribution Date that was not paid less Prepayment Interest Shortfalls to the extent not covered by Compensating Interest and any Relief Act Shortfalls. The “Accrual Period” for the Class I-A, Class I-M and Class I-B Certificates will be the period from and including the 25th day of the calendar month preceding the month in which a Distribution Date occurs (or with respect to the first accrual period for the Class I-M Certificates and Class I-B Certificates, the Closing Date) to and including the 24th day of the calendar month in which that Distribution Date occurs. The Trustee will calculate interest on the Class A Certificates based on a 360-day year that consists of twelve 30-day months. The Trustee will calculate interest on the Class M Certificates and Class B Certificates based on a 360-day year and the actual number of days elapsed during the related Accrual Period. |
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Monthly Interest Distributable Amount: |
For any Distribution Date and each class of Offered Certificates, the amount of interest accrued during the related Accrual Period at the related pass-through rate on the Certificate Principal Balance of such Class immediately prior to such Distribution Date, in each case, reduced by any Unpaid Interest Shortfall Amounts plus any Monthly Interest Distributable Amount remaining unpaid from any prior Distribution Date with interest thereon at the related pass-through rate. |
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Principal Payments:
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On each Distribution Date the holders of each class of Offered Certificates shall be entitled to receive distributions in respect of principal to the extent of the Principal Distribution Amount on a pro rata basis, based on the Certificate Principal Balances thereof, until the Certificate Principal Balances thereof have been reduced to zero. |
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Stated Principal Balance:
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With respect to any mortgage loan as of any date of determination, the principal balance thereof as of the Cut-off Date, after application of all scheduled principal payments due on or before the Cut-off Date, whether or not received, reduced by all scheduled payments of principal due after the Cut-off Date, whether or not received, and as further reduced to the extent that any Realized Loss thereon has been incurred during the prior due period. |
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Prepayment Assumption:
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A 100% Prepayment Assumption assumes that the outstanding principal balance of a pool of mortgage loans prepays at a constant prepayment rate (“CPR”) of 8% in the first month of the life of such pool, such rate increasing by an additional approximate 1.09% CPR (precisely 12%//11) each month thereafter through the twelfth month of the like of such pool, and such rate thereafter remaining constant at 20% CPR for the remainder of the life of such pool. |
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Certificate Principal Balance:
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With respect to any class of Offered Certificates, as of any date of determination, the initial Certificate Principal Balance thereof, reduced by the aggregate of (a) all amounts allocable to principal previously distributed with respect to such Offered Certificates and (b) in the case of the Class I-M Certificates and Class I-B Certificates any reductions in the Certificate Principal Balance resulting from the allocations of Realized Losses in the manner described herein, and increased by any Subsequent Recoveries on the mortgage loans to the extent described in the term sheet supplement. |
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Principal Distribution Amount: |
With respect to any Distribution Date, the Basic Principal Distribution Amount plus the Extra Principal Distribution Amount. |
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Basic Principal Distribution Amount: |
With respect to any Distribution Date the Principal Remittance Amount for such Distribution Date. |
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Extra Principal Distribution Amount: |
With respect to any Distribution Date (other than the first Distribution Date) (a) on or prior to the earlier of (1) the 20% Clean-Up Call Date and (2) the Distribution Date in February 2016 (the “Early Turbo Payment Date”), the lesser of (x) the Net Monthly Excess Cashflow for loan group I for such Distribution Date and (y) the related Overcollateralization Increase Amount for such Distribution Date; and (b) thereafter, the Net Monthly Excess Cashflow remaining after payment of Unpaid Interest Shortfall Amounts for such Distribution Date, any Net WAC Rate Carryover Amounts and amounts necessary to restore or maintain the related Overcollateralization Target Amount. |
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Principal Remittance Amount: |
With respect to any Distribution Date, the sum of: 1. the principal portion of all scheduled monthly payments on the mortgage loans due on the related due date, to the extent received or advanced; 2. the principal portion of all proceeds of the repurchase of a mortgage loan (or, in the case of a substitution, certain amounts representing a principal adjustment) as required by the pooling and servicing agreement or the related servicing agreement during the preceding calendar month; and 3. the principal portion of all other unscheduled collections received during the preceding calendar month with respect to the mortgage loans, including full and partial prepayments, liquidation proceeds and insurance proceeds, in each case to the extent applied as recoveries of principal. |
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Net Interest Shortfall Amount: |
For each class of Offered Certificates and any Distribution Date, such Offered Certificates’ pro rata share, based on the amount of Monthly Interest Distributable Amount otherwise payable on such class of Offered Certificates on such Distribution Date, of (a) any Prepayment Interest Shortfalls, to the extent not covered by Compensating Interest, and (b) any Relief Act Shortfalls, plus interest on the amount of previously allocated Unpaid Interest Shortfall Amounts on such class of offered certificates that remains unreimbursed at the pass-through rate for such class for the related Accrual Period. |
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Net Monthly Excess Cashflow: |
For any Distribution Date, the excess of (x) the Available Distribution Amount for such Distribution Date over (y) the sum for such Distribution Date of (A) the Monthly Interest Distributable Amount for the Offered Certificates, and (B) the Principal Remittance Amount. |
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Priority of Payments: |
Distributions on the Offered Certificates will be made on the 25th day of each month (or if that 25th is not a business day, the next business day). The payments to the Offered Certificates, to the extent of the related Available Distribution Amount, will be made according to the following priority: Interest Distributions: 1. Payment of the Monthly Interest Distributable Amount to the holders of the Class I-A Certificates pro rata; 2. Payment of the Monthly Interest Distributable Amount to the holders of the Class I-M-1 Certificates; 3. Payment of the Monthly Interest Distributable Amount to the holders of the Class I-M-2 Certificates; 4. Payment of the Monthly Interest Distributable Amount to the holders of the Class I-M-3 Certificates; 5. Payment of the Monthly Interest Distributable Amount to the holders of the Class I-B-1 Certificates; 6. Payment of the Monthly Interest Distributable Amount to the holders of the Class I-B-2 Certificates; 7. Payment of the Monthly Interest Distributable Amount to the holders of the Class I-B-3 Certificates; and 8. Payment of the Monthly Interest Distributable Amount to the holders of the Class I-B-4 Certificates.
On any Distribution Date, any Prepayment Interest Shortfalls and any Relief Act Shortfalls to the extent not covered by Compensating Interest paid by the related Servicer or the Master Servicer will be allocated, first, in reduction of amounts otherwise distributable to the Class I-C Certificates, and thereafter, to the Monthly Interest Distributable Amounts with respect to the Certificates, on a pro rata basis, based on the respective amounts of interest accrued on such Certificates for such Distribution Date.
Principal Distributions: Payment of principal to the Class I-A, Class I-M and Class I-B Certificates will be paid on a pro rata basis, based on the Certificate Principal Balance of each such class.
Net Monthly Excess Cashflow: 1. Payment to the holders of the class or classes of Certificates then entitled to receive distributions in respect of principal, in an amount equal to any Extra Principal Distribution Amount, payable to such holders as part of the Principal Distribution Amount; 2. Payment of Unpaid Interest Shortfall Amounts first to the holders of the Class I-A Certificates, on a pro rata basis, then to the Class I-M-1 Certificates, then to the Class I-M-2 Certificates, then to the Class I-M-3 Certificates, then to the Class I-B-1 Certificates, then to the Class I-B-2 Certificates, then to the Class I-B-3 Certificates and then to the holders of Class I-B-4 Certificates, to the extent not previously reimbursed; 3. Payment of any allocated Realized Loss amount to the holders of the Class I-M-1 Certificates; 4. Payment of any allocated realized loss amount to the holders of the Class I-M-2 Certificates; 5. Payment of any allocated realized loss amount to the holders of the Class I-M-3 Certificates; 6. Payment of any allocated realized loss amount to the holders of the Class I-B-1 Certificates; 7. Payment of any allocated realized loss amount to the holders of the Class I-B-2 Certificates; 8. Payment of any allocated realized loss amount to the holders of the Class I-B-3 Certificates; 9. Payment of any allocated realized loss amount to the holders of the Class I-B-4 Certificates; 10. Payments to a reserve account to the extent necessary to pay any Net WAC Rate Carryover Amounts, first to the holders of the Class I-A Certificates pro rata, then to the Class I-M-1 Certificates, then to the Class I-M-2 Certificates, then to the Class I-M-3 Certificates, then to the Class I-B-1 Certificates, then to the Class I-B-2 Certificates, then to the Class I-B-3 Certificates and then to the holders of Class I-B-4 Certificates, to the extent not previously reimbursed provided; and 11. Payment to the Class I-C Certificates as described in the Pooling and Servicing Agreement.
|
|
Realized Losses: |
Any loss on a mortgage loan attributable to the mortgagor’s failure to make any payment of principal or interest as required under the related mortgage note. |
|
Allocation of Losses: |
Realized Losses on the mortgage loans will be allocated first to the Net Monthly Excess Cashflow for loan group I as part of the payment of the related Extra Principal Distribution Amount, then to the Overcollateralized Amount for loan group I until reduced to zero, then to the Class I-B-4 Certificates, then to the Class I-B-3 Certificates, then to the Class I-B-2 Certificates, then to the Class I-B-1 Certificates, then to the Class I-M-3 Certificates, then to the Class I-M-2 Certificates, and then to the Class I-M-1 Certificates, in each case until the Certificate Principal Balance of such class has been reduced to zero. Realized Losses will not be allocated to the Class I-A Certificates. Once Realized Losses have been allocated to the Class I-B Certificates and Class I-M Certificates such amounts with respect to such certificates will no longer accrue interest. However, such amounts may be paid to the holders of the Class I-B Certificates and Class I-M Certificates on future Distribution Dates to the extent of funds available from Net Monthly Excess Cashflow. |
|
Allocated Realized Loss Amount: |
With respect to the Class I-B Certificates and Class I-M Certificates and any Distribution Date, an amount equal to the sum of any Realized Loss allocated to that class of certificates on that Distribution Date and any Allocated Realized Loss Amount for that class remaining unpaid from the previous Distribution Date. |
|
Overcollateralization Increase Amount: |
For any Distribution Date and loan group I, the amount, if any, by which the Overcollateralization Target Amount for loan group I exceeds the related Overcollateralized Amount on such Distribution Date (after giving effect to distributions in respect of the related Basic Principal Distribution Amount on such Distribution Date). |
|
|
Overcollateralized Amount: |
For any Distribution Date, the amount, if any, by which (i) the aggregate principal balance of the mortgage loans (after giving effect to scheduled payments of principal due during the due period, to the extent received or advanced, and unscheduled collections of principal received during the related prepayment period, and after reduction for Realized Losses incurred during the related prepayment period) exceeds (ii) the aggregate Certificate Principal Balance of the certificates (other than the Class I-C Certificates) as of such Distribution Date (after giving effect to distributions to be made on such Distribution Date). |
|
|
Credit Enhancement: |
• Subordination: Initially, 21.45% for the Class I-A Certificates; 15.50% for the Class I-M-1 Certificates; 10.30% for the Class I-M-2 Certificates; 8.30% for the Class I-M-3 Certificates; 6.30% for the Class I-B-1 Certificates; 4.20% for the Class I-B-2 Certificates, 2.40% for the Class I-B-3 Certificates and the Overcollateralized Amount (0.40% initially), for the Class I-B-4 Certificates. • Overcollateralization Target Amount: 0.40% of the aggregate Stated Principal Balance of the mortgage loans as of the Cut-off Date.
|
|
|
Net Mortgage Rate: |
On any mortgage loan, the then applicable mortgage rate thereon minus the sum of (1) the Master Servicing Fee Rate, if applicable, (2) the Servicing Fee Rate, and (3) the Lender-Paid Mortgage Insurance Fee Rate (“LPMI Fee Rate”), if applicable. |
|
|
Monthly Fees: |
Servicing Fee Rate of 0.250% per annum, payable monthly, Master Servicing Fee Rate of [0.0075%] per annum, payable monthly. | |
|
P&I Advances: |
Each Servicer will be obligated to make, or cause to be made, cash advances with respect to delinquent payments of principal and interest on the mortgage loans serviced by such Servicer to the extent that such Servicer reasonably believes that such cash advances can be repaid from future payments on the mortgage loans. These cash advances are only intended to maintain a regular flow of scheduled interest and principal payments on the certificates and are not intended to guarantee or insure against losses. The Master Servicer will be obligated to back-stop the advancing obligations of the Servicers.
|
|
|
Compensating Interest: |
Each servicer is required to pay Compensating Interest up to the amount of the Servicing Fee to cover prepayment interest shortfalls (“Prepayment Interest Shortfalls”) due to partial and/or full prepayments on the Mortgage Loans. |
|
|
Registration: |
The Offered Certificates will be available in book-entry form through DTC. |
|
Denominations: |
The Certificates are issuable in minimum denominations of an original amount of $100,000 and multiples of $1 in excess thereof. |
|
Federal Tax Aspects: |
The Trust will be established as one or more REMICs for federal income tax purposes. |
|
ERISA Considerations: |
The Offered Certificates may be purchased by a pension or other employee benefit plan subject to the Employee Retirement Income Security Act of 1974 or Section 4975 of the Internal Revenue Code of 1986, or by an entity investing the assets of an employee benefit plan so long as certain conditions are met. |
|
SMMEA Eligibility: |
The Class I-A Certificates and Class I-M-1 Certificates will be “mortgage related securities” for purposes of the Secondary Mortgage Market Enhancement Act of 1984. |
|
Static Pool Information: |
Information concerning the sponsor’s prior residential mortgage loan securitization involving prime or alternative-a mortgage loans secured by first lien mortgages or deeds of trust in residential real properties issued by the depositor is available on the internet at http://www.bearstearns.com/transactions/bsabs_i/bsabs2006-ac2/ On this website, you can view for each of these securitizations, summary pool information as of the applicable securitization cut-off date and delinquency, cumulative loss, and prepayment information as of each distribution date by securitization for the past five years, or since the applicable securitization closing date if the applicable securitization closing date occurred less than five years from the date of this term sheet. Each of these mortgage loan securitizations is unique, and the characteristics of each securitized mortgage loan pool varies from each other as well as from the mortgage loans to be included in the trust that will issue the certificates offered by this term sheet. In addition, the performance information relating to the prior securitizations described above may have been influenced by factors beyond the sponsor’s control such as housing prices and market interest rates. Therefore, the performance of these prior mortgage loan securitizations is likely not to be indicative of the future performance of the mortgage loans to be included in the trust related to this offering. |
|
NET MONTHLY EXCESS CASHFLOW SCHEDULE |
|
Distribution Date |
Excess Spread (%) |
Distribution Date |
Excess Spread (%) |
Distribution Date |
Excess Spread (%) |
|
25-Mar-06 |
1.41 |
25-Oct-08 |
1.24 |
25-May-11 |
1.27 |
|
25-Apr-06 |
1.19 |
25-Nov-08 |
1.21 |
25-Jun-11 |
1.25 |
|
25-May-06 |
1.22 |
25-Dec-08 |
1.24 |
25-Jul-11 |
1.28 |
|
25-Jun-06 |
1.19 |
25-Jan-09 |
1.21 |
25-Aug-11 |
1.25 |
|
25-Jul-06 |
1.22 |
25-Feb-09 |
1.21 |
25-Sep-11 |
1.25 |
|
25-Aug-06 |
1.19 |
25-Mar-09 |
1.31 |
25-Oct-11 |
1.28 |
|
25-Sep-06 |
1.20 |
25-Apr-09 |
1.22 |
25-Nov-11 |
1.25 |
|
25-Oct-06 |
1.23 |
25-May-09 |
1.25 |
25-Dec-11 |
1.28 |
|
25-Nov-06 |
1.20 |
25-Jun-09 |
1.22 |
25-Jan-12 |
1.26 |
|
25-Dec-06 |
1.23 |
25-Jul-09 |
1.25 |
25-Feb-12 |
1.26 |
|
25-Jan-07 |
1.20 |
25-Aug-09 |
1.22 |
25-Mar-12 |
1.32 |
|
25-Feb-07 |
1.20 |
25-Sep-09 |
1.22 |
25-Apr-12 |
1.26 |
|
25-Mar-07 |
1.30 |
25-Oct-09 |
1.25 |
25-May-12 |
1.29 |
|
25-Apr-07 |
1.20 |
25-Nov-09 |
1.22 |
25-Jun-12 |
1.26 |
|
25-May-07 |
1.23 |
25-Dec-09 |
1.25 |
25-Jul-12 |
1.30 |
|
25-Jun-07 |
1.20 |
25-Jan-10 |
1.22 |
25-Aug-12 |
1.27 |
|
25-Jul-07 |
1.23 |
25-Feb-10 |
1.23 |
25-Sep-12 |
1.27 |
|
25-Aug-07 |
1.20 |
25-Mar-10 |
1.32 |
25-Oct-12 |
1.30 |
|
25-Sep-07 |
1.20 |
25-Apr-10 |
1.23 |
25-Nov-12 |
1.27 |
|
25-Oct-07 |
1.23 |
25-May-10 |
1.26 |
25-Dec-12 |
1.31 |
|
25-Nov-07 |
1.20 |
25-Jun-10 |
1.23 |
25-Jan-13 |
1.28 |
|
25-Dec-07 |
1.23 |
25-Jul-10 |
1.26 |
25-Feb-13 |
1.28 |
|
25-Jan-08 |
1.20 |
25-Aug-10 |
1.23 |
25-Mar-13 |
1.38 |
|
25-Feb-08 |
1.21 |
25-Sep-10 |
1.23 |
25-Apr-13 |
1.28 |
|
25-Mar-08 |
1.27 |
25-Oct-10 |
1.26 |
25-May-13 |
1.32 |
|
25-Apr-08 |
1.21 |
25-Nov-10 |
1.24 |
25-Jun-13 |
1.29 |
|
25-May-08 |
1.24 |
25-Dec-10 |
1.27 |
25-Jul-13 |
1.32 |
|
25-Jun-08 |
1.21 |
25-Jan-11 |
1.24 |
|
|
|
25-Jul-08 |
1.24 |
25-Feb-11 |
1.24 |
|
|
|
25-Aug-08 |
1.21 |
25-Mar-11 |
1.34 |
|
|
|
25-Sep-08 |
1.21 |
25-Apr-11 |
1.24 |
|
|
|
SUBORDINATE CAP SCHEDULE |
Note:
The Subordinate Cap is calculated by taking, a) interest funds available to pay monthly interest to the Class I-A, Class I-M and Class I-B Certificates less interest due to the Class I-A Certificates divided by b) the aggregate principal balance of the Class I-M and Class I-B Certificates. The result is expressed as a percentage which takes into consideration the actual number of days elapsed for each accrual period. Below is a table showing the Subordinate Cap for specified distribution dates assuming the Prepayment Assumption of 8% CPR building to 20% CPR in 12 months, and remaining constant at 20% CPR thereafter and no losses. The Subordinate Cap will be the lesser of 11% and the rate expressed in the schedule below.
|
Distribution Date |
Subordinate Cap (%) |
Distribution Date |
Subordinate Cap (%) |
Distribution Date |
Subordinate Cap (%) |
|
25-Mar-06 |
11.40 |
25-Nov-08 |
11.51 |
25-Jul-11 |
11.71 |
|
25-Apr-06 |
11.40 |
25-Dec-08 |
11.51 |
25-Aug-11 |
11.72 |
|
25-May-06 |
11.40 |
25-Jan-09 |
11.52 |
25-Sep-11 |
11.72 |
|
25-Jun-06 |
11.40 |
25-Feb-09 |
11.52 |
25-Oct-11 |
11.73 |
|
25-Jul-06 |
11.41 |
25-Mar-09 |
11.53 |
25-Nov-11 |
11.74 |
|
25-Aug-06 |
11.41 |
25-Apr-09 |
11.53 |
25-Dec-11 |
11.75 |
|
25-Sep-06 |
11.41 |
25-May-09 |
11.54 |
25-Jan-12 |
11.76 |
|
25-Oct-06 |
11.41 |
25-Jun-09 |
11.54 |
25-Feb-12 |
11.77 |
|
25-Nov-06 |
11.42 |
25-Jul-09 |
11.55 |
25-Mar-12 |
11.78 |
|
25-Dec-06 |
11.42 |
25-Aug-09 |
11.55 |
25-Apr-12 |
11.79 |
|
25-Jan-07 |
11.42 |
25-Sep-09 |
11.56 |
25-May-12 |
11.80 |
|
25-Feb-07 |
11.43 |
25-Oct-09 |
11.56 |
25-Jun-12 |
11.81 |
|
25-Mar-07 |
11.43 |
25-Nov-09 |
11.57 |
25-Jul-12 |
11.82 |
|
25-Apr-07 |
11.43 |
25-Dec-09 |
11.57 |
25-Aug-12 |
11.83 |
|
25-May-07 |
11.44 |
25-Jan-10 |
11.58 |
25-Sep-12 |
11.84 |
|
25-Jun-07 |
11.44 |
25-Feb-10 |
11.59 |
25-Oct-12 |
11.85 |
|
25-Jul-07 |
11.44 |
25-Mar-10 |
11.59 |
25-Nov-12 |
11.86 |
|
25-Aug-07 |
11.45 |
25-Apr-10 |
11.60 |
25-Dec-12 |
11.87 |
|
25-Sep-07 |
11.45 |
25-May-10 |
11.60 |
25-Jan-13 |
11.89 |
|
25-Oct-07 |
11.45 |
25-Jun-10 |
11.61 |
25-Feb-13 |
11.90 |
|
25-Nov-07 |
11.46 |
25-Jul-10 |
11.62 |
25-Mar-13 |
11.91 |
|
25-Dec-07 |
11.46 |
25-Aug-10 |
11.62 |
25-Apr-13 |
11.92 |
|
25-Jan-08 |
11.46 |
25-Sep-10 |
11.63 |
25-May-13 |
11.93 |
|
25-Feb-08 |
11.47 |
25-Oct-10 |
11.64 |
25-Jun-13 |
11.95 |
|
25-Mar-08 |
11.47 |
25-Nov-10 |
11.65 |
25-Jul-13 |
11.96 |
|
25-Apr-08 |
11.48 |
25-Dec-10 |
11.65 |
|
|
|
25-May-08 |
11.48 |
25-Jan-11 |
11.66 |
|
|
|
25-Jun-08 |
11.48 |
25-Feb-11 |
11.67 |
|
|
|
25-Jul-08 |
11.49 |
25-Mar-11 |
11.67 |
|
|
|
25-Aug-08 |
11.49 |
25-Apr-11 |
11.68 |
|
|
|
25-Sep-08 |
11.50 |
25-May-11 |
11.69 |
|
|
|
25-Oct-08 |
11.50 |
25-Jun-11 |
11.70 |
|
|
Selected Collateral Characteristics For the Mortgage Loans
As of the Cut-Off Date
|
Summary |
Total |
Minimum |
Maximum | |||
|
Aggregate Outstanding Principal Balance |
$296,286,895 |
|
| |||
|
Number of Loans |
1,103 |
|
| |||
|
Average Scheduled Principal Balance |
$268,619 |
$27,916 |
$3,677,057 | |||
|
(1) Original Loan-to-Value Ratio |
73.45% |
18.52% |
95.00% | |||
|
(1) Mortgage Rate |
7.1755% |
5.6250% |
9.7500% | |||
|
(1) Net Mortgage Rate |
6.9155% |
5.3750% |
9.5000% | |||
|
(1) Remaining Term to Stated Maturity (months) |
360 |
239 |
360 | |||
|
(1)] (1i)] Credit Score |
699 |
575 |
810 | |||
|
(1) Weighted Average reflected in Total. (1i)] Non-Zero Weighted Average Credit Score | ||||||
|
|
|
Percent of Cut-Off Date | ||||
|
|
Range |
Principal Balance | ||||
|
Product Type |
Fixed Rate |
100.00% |
| |||
|
|
|
|
| |||
|
Lien |
First |
100.00% |
| |||
|
|
|
|
| |||
|
Property Type |
Two- to four- family units |
8.45% |
| |||
|
|
CO-OP |
0.10% |
| |||
|
|
Condominium |
3.74% |
| |||
|
|
Hi-Rise Condo |
0.44% |
| |||
|
|
Manufactured Home |
0.16% |
| |||
|
|
Planned Unit Development |
27.65% |
| |||
|
|
Single-family |
58.67% |
| |||
|
|
Townhouse |
0.79% |
| |||
|
|
|
|
| |||
|
Geographic Distribution |
California |
19.88% |
| |||
|
|
Maryland |
11.31% |
| |||
|
|
Arizona |
10.30% |
| |||
|
|
Florida |
7.70% |
| |||
|
|
Texas |
5.78% |
| |||
|
|
Virginia |
5.78% |
| |||
|
|
Georgia |
5.02% |
| |||
|
|
|
|
| |||
|
|
|
|
| |||
|
|
|
|
| |||
|
Number of States (including DC) |
44 |
|
| |||
|
|
|
|
| |||
|
Documentation Type |
Full/Alternative |
15.34% |
| |||
|
|
Limited |
0.16% |
| |||
|
|
No Documentation |
16.15% |
| |||
|
|
No Income/No Asset |
0.52% |
| |||
|
|
No Ratio |
19.98% |
| |||
|
|
No Ratio/No VOE |
0.90% |
| |||
|
|
Stated Income |
43.37% |
| |||
|
|
Stated/Stated |
3.57% |
| |||
|
|
|
|
| |||
|
|
|
|
| |||
|
Loans with Prepayment Penalties |
|
43.07% |
| |||
|
Interest Only Loans |
|
76.55% |
| |||
Credit Score Distribution of the Mortgage Loans
|
Range of Credit Scores |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
N/A |
8 |
1,228,893 |
0.41 |
153,612 |
77.11 |
12.52 |
85.10 |
|
560 - 579 |
7 |
1,288,637 |
0.43 |
184,091 |
66.23 |
17.85 |
34.14 |
|
580 - 599 |
6 |
1,485,062 |
0.50 |
247,510 |
68.82 |
35.42 |
80.06 |
|
600 - 619 |
9 |
2,564,120 |
0.87 |
284,902 |
69.26 |
25.88 |
80.36 |
|
620 - 639 |
107 |
26,406,378 |
8.91 |
246,789 |
73.88 |
18.95 |
86.68 |
|
640 - 659 |
144 |
34,941,238 |
11.79 |
242,647 |
73.25 |
13.37 |
88.55 |
|
660 - 679 |
180 |
46,474,070 |
15.69 |
258,189 |
73.10 |
10.52 |
82.63 |
|
680 - 699 |
166 |
49,006,790 |
16.54 |
295,222 |
76.13 |
9.35 |
76.66 |
|
700 - 719 |
105 |
25,663,638 |
8.66 |
244,416 |
74.77 |
16.03 |
71.77 |
|
720 - 739 |
140 |
35,902,975 |
12.12 |
256,450 |
75.66 |
14.49 |
77.06 |
|
740 - 759 |
97 |
30,215,576 |
10.20 |
311,501 |
69.02 |
20.97 |
81.25 |
|
760 - 779 |
71 |
20,215,705 |
6.82 |
284,728 |
74.27 |
21.02 |
61.06 |
|
780 - 799 |
57 |
19,668,719 |
6.64 |
345,065 |
68.09 |
23.06 |
39.31 |
|
800 - 819 |
6 |
1,225,094 |
0.41 |
204,182 |
83.15 |
23.21 |
65.13 |
|
Total / Weighted Average: |
1,103 |
296,286,895 |
100.00 |
268,619 |
73.45 |
15.34 |
76.29 |
Debt-to-Income Ratios of the Mortgage Loans
|
Range of Debt-to-Income Ratios (%) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
0.00% - 0.00% |
356 |
111,060,590 |
37.48 |
311,968 |
701 |
70.55 |
0.00 |
75.77 |
|
0.01% - 5.00% |
5 |
800,783 |
0.27 |
160,157 |
727 |
80.00 |
13.49 |
100.00 |
|
5.01% - 10.00% |
7 |
1,172,471 |
0.40 |
167,496 |
720 |
79.48 |
55.78 |
100.00 |
|
10.01% - 15.00% |
13 |
3,468,502 |
1.17 |
266,808 |
731 |
73.66 |
63.21 |
96.96 |
|
15.01% - 20.00% |
21 |
5,508,548 |
1.86 |
262,312 |
709 |
74.28 |
25.77 |
71.61 |
|
20.01% - 25.00% |
37 |
6,064,664 |
2.05 |
163,910 |
708 |
76.83 |
32.23 |
68.11 |
|
25.01% - 30.00% |
64 |
17,452,957 |
5.89 |
272,702 |
714 |
73.53 |
27.43 |
72.34 |
|
30.01% - 35.00% |
102 |
28,756,046 |
9.71 |
281,922 |
698 |
74.82 |
13.53 |
72.89 |
|
35.01% - 40.00% |
169 |
41,565,441 |
14.03 |
245,949 |
690 |
75.47 |
16.86 |
76.10 |
|
40.01% - 45.00% |
159 |
35,327,441 |
11.92 |
222,185 |
694 |
77.88 |
20.23 |
82.82 |
|
45.01% - 50.00% |
111 |
27,316,083 |
9.22 |
246,091 |
690 |
74.96 |
30.92 |
83.02 |
|
50.01% - 55.00% |
59 |
17,793,369 |
6.01 |
301,583 |
712 |
71.26 |
44.03 |
63.71 |
|
Total / Weighted Average |
1,103 |
296,286,895 |
100.00 |
268,619 |
699 |
73.45 |
15.34 |
76.29 |
Original Mortgage Loan Principal Balances of the Mortgage Loans
|
Range of Original Mortgage Loan Principal Balances ($) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
$1 - $100,000 |
229 |
17,383,476 |
5.87 |
75,910 |
703 |
75.97 |
23.96 |
63.32 |
|
$100,001 - $200,000 |
381 |
55,505,983 |
18.73 |
145,685 |
691 |
77.27 |
23.52 |
80.04 |
|
$200,001 - $300,000 |
179 |
43,842,787 |
14.80 |
244,932 |
684 |
76.11 |
12.29 |
87.15 |
|
$300,001 - $359,650 |
51 |
16,659,946 |
5.62 |
326,666 |
684 |
76.12 |
11.61 |
90.61 |
|
$359,651 - $400,000 |
27 |
10,231,423 |
3.45 |
378,942 |
691 |
78.05 |
3.57 |
92.88 |
|
$400,001 - $500,000 |
100 |
45,586,058 |
15.39 |
455,861 |
708 |
73.35 |
16.78 |
63.80 |
|
$500,001 - $600,000 |
54 |
29,114,440 |
9.83 |
539,156 |
706 |
75.75 |
14.71 |
70.40 |
|
$600,001 - $700,000 |
28 |
18,017,795 |
6.08 |
643,493 |
719 |
68.63 |
21.35 |
53.84 |
|
$700,001 - $800,000 |
20 |
15,125,734 |
5.11 |
756,287 |
705 |
72.96 |
19.90 |
79.96 |
|
$800,001 - $900,000 |
9 |
7,633,729 |
2.58 |
848,192 |
683 |
72.68 |
0.00 |
89.11 |
|
$900,001 - $1,000,000 |
8 |
7,735,375 |
2.61 |
966,922 |
685 |
68.69 |
0.00 |
87.20 |
|
$1,000,001 - $1,100,000 |
1 |
1,075,040 |
0.36 |
1,075,040 |
737 |
70.00 |
0.00 |
0.00 |
|
$1,100,001 - $1,200,000 |
1 |
1,158,750 |
0.39 |
1,158,750 |
686 |
75.00 |
0.00 |
100.00 |
|
$1,200,001 - $1,300,000 |
3 |
3,871,400 |
1.31 |
1,290,467 |
720 |
67.81 |
0.00 |
100.00 |
|
$1,300,001 - $1,400,000 |
1 |
1,365,000 |
0.46 |
1,365,000 |
699 |
65.00 |
0.00 |
100.00 |
|
$1,400,001 - $1,500,000 |
3 |
4,450,294 |
1.50 |
1,483,431 |
716 |
39.23 |
0.00 |
100.00 |
|
$1,500,000 and greater |
8 |
17,529,665 |
5.92 |
2,191,208 |
725 |
61.93 |
9.98 |
68.66 |
|
Total / Weighted Average |
1,103 |
296,286,895 |
100.00 |
268,619 |
699 |
73.45 |
15.34 |
76.29 |
Current Mortgage Loan Principal Balances of the Mortgage Loans
|
Range of Original Mortgage Loan Principal Balances ($) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
$1 - $100,000 |
229 |
17,383,476 |
5.87 |
75,910 |
703 |
75.97 |
23.96 |
63.32 |
|
$100,001 - $200,000 |
381 |
55,505,983 |
18.73 |
145,685 |
691 |
77.27 |
23.52 |
80.04 |
|
$200,001 - $300,000 |
179 |
43,842,787 |
14.80 |
244,932 |
684 |
76.11 |
12.29 |
87.15 |
|
$300,001 - $359,650 |
51 |
16,659,946 |
5.62 |
326,666 |
684 |
76.12 |
11.61 |
90.61 |
|
$359,651 - $400,000 |
25 |
9,431,403 |
3.18 |
377,256 |
688 |
78.05 |
3.87 |
92.27 |
|
$400,001 - $500,000 |
102 |
46,386,078 |
15.66 |
454,765 |
708 |
73.43 |
16.49 |
64.43 |
|
$500,001 - $600,000 |
54 |
29,114,440 |
9.83 |
539,156 |
706 |
75.75 |
14.71 |
70.40 |
|
$600,001 - $700,000 |
28 |
18,017,795 |
6.08 |
643,493 |
719 |
68.63 |
21.35 |
53.84 |
|
$700,001 - $800,000 |
20 |
15,125,734 |
5.11 |
756,287 |
705 |
72.96 |
19.90 |
79.96 |
|
$800,001 - $900,000 |
9 |
7,633,729 |
2.58 |
848,192 |
683 |
72.68 |
0.00 |
89.11 |
|
$900,001 - $1,000,000 |
8 |
7,735,375 |
2.61 |
966,922 |
685 |
68.69 |
0.00 |
87.20 |
|
$1,000,001 - $1,100,000 |
1 |
1,075,040 |
0.36 |
1,075,040 |
737 |
70.00 |
0.00 |
0.00 |
|
$1,100,001 - $1,200,000 |
1 |
1,158,750 |
0.39 |
1,158,750 |
686 |
75.00 |
0.00 |
100.00 |
|
$1,200,001 - $1,300,000 |
3 |
3,871,400 |
1.31 |
1,290,467 |
720 |
67.81 |
0.00 |
100.00 |
|
$1,300,001 - $1,400,000 |
1 |
1,365,000 |
0.46 |
1,365,000 |
699 |
65.00 |
0.00 |
100.00 |
|
$1,400,001 - $1,500,000 |
3 |
4,450,294 |
1.50 |
1,483,431 |
716 |
39.23 |
0.00 |
100.00 |
|
$1,500,000 and greater |
8 |
17,529,665 |
5.92 |
2,191,208 |
725 |
61.93 |
9.98 |
68.66 |
|
Total / Weighted Average |
1,103 |
296,286,895 |
100.00 |
268,619 |
699 |
73.45 |
15.34 |
76.29 |
Net Mortgage Rates of the Mortgage Loans
|
Range of Net Mortgage Rates (%) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
5.000% - 5.499% |
2 |
609,400 |
0.21 |
304,700 |
760 |
65.16 |
100.00 |
100.00 |
|
5.500% - 5.999% |
25 |
6,424,295 |
2.17 |
256,972 |
732 |
72.07 |
46.72 |
55.81 |
|
6.000% - 6.499% |
177 |
64,675,115 |
21.83 |
365,396 |
713 |
68.67 |
27.38 |
68.38 |
|
6.500% - 6.999% |
264 |
79,345,212 |
26.78 |
300,550 |
699 |
71.50 |
14.66 |
67.68 |
|
7.000% - 7.499% |
340 |
87,579,443 |
29.56 |
257,587 |
694 |
75.93 |
10.73 |
86.58 |
|
7.500% - 7.999% |
186 |
39,029,134 |
13.17 |
209,834 |
691 |
77.58 |
7.15 |
88.23 |
|
8.000% - 8.499% |
85 |
13,264,772 |
4.48 |
156,056 |
686 |
79.35 |
1.62 |
70.96 |
|
8.500% - 8.999% |
15 |
3,232,078 |
1.09 |
215,472 |
680 |
76.06 |
0.00 |
82.31 |
|
9.000% - 9.499% |
7 |
1,786,645 |
0.60 |
255,235 |
663 |
79.15 |
0.00 |
69.57 |
|
9.500% - 9.999% |
2 |
340,800 |
0.12 |
170,400 |
792 |
80.00 |
28.17 |
100.00 |
|
Total / Weighted Average |
1,103 |
296,286,895 |
100.00 |
268,619 |
699 |
73.45 |
15.34 |
76.29 |
Mortgage Rates of the Mortgage Loans
|
Range of Mortgage Rates (%) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
5.500% - 5.999% |
11 |
3,085,546 |
1.04 |
280,504 |
748 |
72.69 |
69.27 |
43.27 |
|
6.000% - 6.499% |
93 |
31,489,114 |
10.63 |
338,593 |
718 |
68.44 |
32.09 |
64.22 |
|
6.500% - 6.999% |
255 |
84,201,816 |
28.42 |
330,203 |
700 |
69.73 |
20.07 |
72.23 |
|
7.000% - 7.499% |
273 |
75,529,068 |
25.49 |
276,663 |
702 |
75.14 |
13.81 |
75.85 |
|
7.500% - 7.999% |
314 |
71,895,529 |
24.27 |
228,967 |
691 |
76.30 |
6.24 |
86.96 |
|
8.000% - 8.499% |
94 |
20,095,573 |
6.78 |
213,783 |
689 |
78.22 |
5.33 |
79.77 |
|
8.500% - 8.999% |
51 |
7,149,382 |
2.41 |
140,184 |
679 |
77.55 |
3.00 |
77.45 |
|
9.000% - 9.499% |
8 |
2,028,067 |
0.68 |
253,508 |
663 |
78.18 |
0.00 |
73.19 |
|
9.500% - 9.999% |
4 |
812,800 |
0.27 |
203,200 |
719 |
80.00 |
11.81 |
100.00 |
|
Total / Weighted Average |
1,103 |
296,286,895 |
100.00 |
268,619 |
699 |
73.45 |
15.34 |
76.29 |
Original Loan-to-Value Ratios of the Mortgage Loans
|
Range of Original Loan-to-Value Ratios (%) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Percent Full Documentation |
Percent Interest Only |
|
15.01% - 20.00% |
2 |
335,000 |
0.11 |
167,500 |
633 |
0.00 |
100.00 |
|
20.01% - 25.00% |
2 |
1,815,000 |
0.61 |
907,500 |
728 |
0.00 |
100.00 |
|
25.01% - 30.00% |
4 |
701,325 |
0.24 |
175,331 |
737 |
7.12 |
27.34 |
|
30.01% - 35.00% |
6 |
1,282,001 |
0.43 |
213,667 |
655 |
58.35 |
100.00 |
|
35.01% - 40.00% |
3 |
1,750,047 |
0.59 |
583,349 |
662 |
0.00 |
91.44 |
|
40.01% - 45.00% |
7 |
2,102,206 |
0.71 |
300,315 |
647 |
39.45 |
58.55 |
|
45.01% - 50.00% |
8 |
2,867,542 |
0.97 |
358,443 |
710 |
32.86 |
47.25 |
|
50.01% - 55.00% |
14 |
8,624,801 |
2.91 |
616,057 |
746 |
14.14 |
34.25 |
|
55.01% - 60.00% |
26 |
18,073,704 |
6.10 |
695,142 |
704 |
5.33 |
84.08 |
|
60.01% - 65.00% |
76 |
28,831,125 |
9.73 |
379,357 |
702 |
4.08 |
74.48 |
|
65.01% - 70.00% |
78 |
26,832,772 |
9.06 |
344,010 |
703 |
26.60 |
66.67 |
|
70.01% - 75.00% |
103 |
27,179,776 |
9.17 |
263,881 |
709 |
4.12 |
70.74 |
|
75.01% - 80.00% |
745 |
169,925,185 |
57.35 |
228,088 |
695 |
17.43 |
81.46 |
|
80.01% - 85.00% |
5 |
546,680 |
0.18 |
109,336 |
702 |
0.00 |
30.57 |
|
85.01% - 90.00% |
14 |
2,775,062 |
0.94 |
198,219 |
675 |
25.55 |
73.60 |
|
90.01% - 95.00% |
10 |
2,644,669 |
0.89 |
264,467 |
699 |
34.96 |
32.91 |
|
Total / Weighted Average |
1,103 |
296,286,895 |
100.00 |
268,619 |
699 |
15.34 |
76.29 |
Geographic Distribution of Mortgaged Properties of the Mortgage Loans
|
State or Territory |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
California |
135 |
58,909,050 |
19.88 |
436,363 |
710 |
68.80 |
17.08 |
74.70 |
|
Maryland |
84 |
33,518,710 |
11.31 |
399,032 |
691 |
72.99 |
11.80 |
89.50 |
|
Arizona |
96 |
30,507,306 |
10.30 |
317,784 |
698 |
74.04 |
10.99 |
87.09 |
|
Florida |
81 |
22,818,223 |
7.70 |
281,706 |
698 |
75.83 |
8.10 |
78.39 |
|
Texas |
123 |
17,130,049 |
5.78 |
139,269 |
708 |
78.56 |
12.87 |
57.89 |
|
Virginia |
62 |
17,117,613 |
5.78 |
276,091 |
688 |
75.48 |
12.66 |
85.95 |
|
Georgia |
101 |
14,860,064 |
5.02 |
147,129 |
689 |
78.06 |
30.07 |
74.73 |
|
New Jersey |
41 |
11,166,558 |
3.77 |
272,355 |
687 |
72.54 |
7.64 |
77.52 |
|
New York |
19 |
9,640,040 |
3.25 |
507,371 |
689 |
70.88 |
23.81 |
68.02 |
|
Massachusetts |
21 |
8,100,235 |
2.73 |
385,725 |
666 |
73.81 |
20.01 |
73.01 |
|
Pennsylvania |
26 |
6,381,060 |
2.15 |
245,425 |
695 |
75.55 |
13.35 |
59.32 |
|
Colorado |
29 |
6,026,841 |
2.03 |
207,822 |
693 |
77.34 |
26.72 |
78.81 |
|
Other (1) |
285 |
60,111,146 |
20.29 |
210,916 |
708 |
73.80 |
16.90 |
70.19 |
|
Total / Weighted Average |
1,103 |
296,286,895 |
100.00 |
268,619 |
699 |
73.45 |
15.34 |
76.29 |
1) Other includes states and the District of Columbia with fewer than 2% concentrations individually.
Subordinate Financing of the Mortgage Loans
|
Range of Junior Ratios (%) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
NO |
355 |
129,010,615 |
43.54 |
363,410 |
698 |
68.34 |
13.07 |
67.18 |
|
YES |
748 |
167,276,279 |
56.46 |
223,631 |
700 |
77.39 |
17.09 |
83.32 |
|
Total / Weighted Average |
1,103 |
296,286,895 |
100.00 |
268,619 |
699 |
73.45 |
15.34 |
76.29 |
Mortgage Loan Purpose of the Mortgage Loans
|
Loan Purpose |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
Equity Refinance |
279 |
100,710,552 |
33.99 |
360,970 |
690 |
67.67 |
17.09 |
72.07 |
|
Purchase |
756 |
170,098,578 |
57.41 |
224,998 |
703 |
77.58 |
15.02 |
80.44 |
|
Rate/Term Refinance |
68 |
25,477,765 |
9.00 |
374,673 |
711 |
68.67 |
10.53 |
65.32 |
|
Total / Weighted Average |
1,103 |
296,286,895 |
100.00 |
268,619 |
699 |
73.45 |
15.34 |
76.29 |
Mortgage Loan Documentation Type of the Mortgage Loans
|
Documentation Type |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
Full/Alternative |
210 |
45,445,718 |
15.34 |
216,408 |
706 |
74.58 |
100.00 |
64.04 |
|
Limited |
1 |
464,000 |
0.16 |
464,000 |
660 |
76.69 |
0.00 |
100.00 |
|
No Documentation |
156 |
47,856,744 |
16.15 |
306,774 |
700 |
68.37 |
0.00 |
77.76 |
|
No Income/No Asset |
6 |
1545952.43 |
0.52 |
257,659 |
702 |
76.23 |
0.00 |
40.76 |
|
No Ratio |
181 |
59,201,065 |
19.98 |
327,078 |
700 |
71.87 |
0.00 |
75.98 |
|
No Ratio/No VOE |
14 |
2,676,828 |
0.90 |
191,202 |
710 |
77.59 |
0.00 |
57.91 |
|
Stated Income |
491 |
128,511,018 |
43.37 |
261,733 |
698 |
75.73 |
0.00 |
80.96 |
|
Stated/Stated |
44 |
10585568.90 |
3.57 |
240,581 |
673 |
71.10 |
0.00 |
76.18 |
|
Total / Weighted Average |
1,103 |
296,286,895 |
100.00 |
268,619 |
699 |
73.45 |
15.34 |
76.29 |
Occupancy Types of the Mortgage Loans
|
Occupancy |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
Investor |
436 |
67,830,257 |
22.89 |
155,574 |
715 |
75.13 |
18.45 |
82.33 |
|
Primary Residence |
617 |
212,911,038 |
71.86 |
345,075 |
692 |
73.07 |
14.92 |
75.85 |
|
Second/Vacation |
50 |
15,545,600 |
5.25 |
310,912 |
730 |
71.25 |
7.53 |
55.99 |
|
Total / Weighted Average |
1,103 |
296,286,895 |
100.00 |
268,619 |
699 |
73.45 |
15.34 |
76.29 |
Mortgaged Property Types of the Mortgage Loans
|
Property Type |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
Two- to four- family units |
112 |
25,022,918 |
8.45 |
223,419 |
711 |
72.42 |
13.88 |
85.60 |
|
CO-OP |
1 |
297,000 |
0.10 |
297,000 |
730 |
90.00 |
0.00 |
100.00 |
|
Condominium |
58 |
11,092,128 |
3.74 |
191,244 |
691 |
75.05 |
17.18 |
89.32 |
|
Hi-Rise Condo |
8 |
1,311,510 |
0.44 |
163,939 |
655 |
70.77 |
21.96 |
89.03 |
|
Manufactured Home |
1 |
479,597 |
0.16 |
479,597 |
726 |
79.60 |
0.00 |
0.00 |
|
Planned Unit Development |
291 |
81,912,261 |
27.65 |
281,485 |
698 |
75.77 |
10.80 |
73.39 |
|
Single-family |
618 |
173,824,445 |
58.67 |
281,269 |
699 |
72.42 |
17.51 |
75.39 |
|
Townhouse |
14 |
2,347,036 |
0.79 |
167,645 |
692 |
70.39 |
21.51 |
89.04 |
|
Total / Weighted Average |
1,103 |
296,286,895 |
100.00 |
268,619 |
699 |
73.45 |
15.34 |
76.29 |
Prepayment Penalty Terms of the Mortgage Loans
|
Prepayment Penalty Term |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
None |
608 |
164,331,709 |
55.46 |
270,282 |
702 |
74.03 |
16.71 |
72.28 |
|
4 Months |
1 |
575,500 |
0.19 |
575,500 |
724 |
79.99 |
0.00 |
100.00 |
|
6 Months |
228 |
72,061,223 |
24.32 |
316,058 |
699 |
70.96 |
15.37 |
82.16 |
|
7 Months |
1 |
900,000 |
0.30 |
900,000 |
665 |
75.00 |
0.00 |
100.00 |
|
12 Months |
27 |
5,459,975 |
1.84 |
202,221 |
693 |
69.43 |
18.34 |
90.81 |
|
24 Months |
1 |
643,831 |
0.22 |
643,831 |
788 |
75.00 |
0.00 |
0.00 |
|
36 Months |
236 |
52,099,654 |
17.58 |
220,761 |
693 |
75.33 |
11.33 |
79.47 |
|
60 Months |
1 |
215,003 |
0.07 |
215,003 |
640 |
79.63 |
0.00 |
100.00 |
|
Total / Weighted Average |
1,103 |
296,286,895 |
100.00 |
268,619 |
699 |
73.45 |
15.34 |
76.29 |
Interest Only Terms of the Mortgage Loans
|
Interest Only Term |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
Not Interest Only |
274 |
70,241,028 |
23.71 |
256,354 |
718 |
72.03 |
23.26 |
0.00 |
|
60 Months |
9 |
1,744,292 |
0.59 |
193,810 |
682 |
66.14 |
0.00 |
100.00 |
|
120 Months |
820 |
224,301,574 |
75.70 |
273,539 |
694 |
73.95 |
12.98 |
100.00 |
|
Total / Weighted Average |
1,103 |
296,286,895 |
100.00 |
268,619 |
699 |
73.45 |
15.34 |
76.29 |
Contact Information
Contacts
|
MBS Trading |
|
|
|
|
|
Scott Eichel |
Tel: (212) 272-5451 |
|
Sr. Managing Director |
|
|
|
|
|
Doug Lucas |
Tel: (212) 272-5451 |
|
Sr. Managing Director |
|
|
|
|
|
MBS Structuring |
|
|
|
|
|
Perry Rahbar |
Tel: (212) 272-5451 |
|
Vice-President |
|
|
|
|
|
MBS Banking |
|
|
|
|
|
Ernie Calabrese |
Tel: (212) 272-9529 |
|
Managing Director |
|
|
|
|
|
Michael Cohn |
Tel: (212) 272-6561 |
|
Analyst |
|
|
|
|
|
Syndicate |
|
|
|
|
|
Carol Fuller |
Tel: (212) 272-4955 |
|
Managing Director |
|
|
|
|
|
Angela Ward |
Tel: (212) 272-4955 |
|
Vice-President |
|
|
|
|
|
Rating Agencies |
|
|
|
|
|
Errol Arne – S&P |
Tel: (212) 438-2089 |
|
|
|
|
|
|
|
|
|
|
Wioletta Frankowicz – Moody’s |
Tel: (212) 553-1019 |
|
|
|
|
|
|
New Issue Computational Materials
$243,622,267 (Approximately)
Mortgage Pass-Through Certificates, Series 2006-AC2
Group II
Bear Stearns Asset Backed Securities I Trust 2006-AC2
Issuer
EMC Mortgage Corporation
Sponsor and Seller
Wells Fargo Bank, National Association
Master Servicer
This information should be considered only after reading Bear Stearns’ Statement Regarding Assumptions as to Securities, Pricing Estimates and Other Information (the “Statement”), which should be attached. Do not use or rely on this information if you have not received and reviewed this Statement. You may obtain a copy of the Statement from your sales representative. The collateral information contained on the following pages is furnished as background information for your use in reviewing the computational materials which are attached hereto and are a part hereof. This collateral information will be superseded by the description of the collateral contained in the Prospectus Supplement.
STATEMENT REGARDING FREE WRITING PROSPECTUS
The issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this free writing prospectus relates. Before you invest, you should read the prospectus in the registration statement and other documents the depositor has filed with the SEC for more complete information about the depositor, the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, the depositor, any underwriter or any dealer participating in the offering will arrange to send you the prospectus you request it by calling toll free 1-866-803-9204.
This free writing prospectus does not contain all information that is required to be included in the base prospectus and the prospectus supplement. Please click here http://www.bearstearns.com/prospectus/bsabs or visit the following website: “www.bearstearns.com/prospectus/bsabs” for a copy of the base prospectus applicable to this offering.
The Information in this free writing prospectus is preliminary and is subject to completion or change.
The Information in this free writing prospectus supersedes information contained in any prior similar free writing prospectus relating to these securities prior to the time of your commitment to purchase.
This free writing prospectus is not an offer to sell or solicitation of an offer to buy these securities in any state where such offer, solicitation or sale is not permitted.
This information in this free writing prospectus is preliminary, and will be superseded by the preliminary prospectus. This free writing prospectus is being delivered to you solely to provide you with information about the offering of the Certificates referred to in this free writing prospectus and to solicit an offer to purchase the Certificates, when, as and if issued. 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 Certificates until we have accepted your offer to purchase Certificates. We will not accept any offer by you to purchase Certificates, and you will not have any contractual commitment to purchase any of the Certificates until after you have received the preliminary prospectus. You may withdraw your offer to purchase Certificates at any time prior to our acceptance of your offer.
The securities referred to in this free writing prospectus are being offered when, as and if issued. Our obligation to sell securities to you is conditioned on the securities having the characteristics described in this free writing prospectus. If that condition is not satisfied, we 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 non-delivery
.
SECURITIES, PRICING ESTIMATES AND OTHER INFORMATION
The information contained in the attached materials (the “Information”) may include various forms of performance analysis, security characteristics and securities pricing estimates for the securities described therein. Should you receive Information that refers to the “Statement Regarding Assumptions and Other Information”, please refer to this statement instead. The Information is illustrative and is not intended to predict actual results which may differ substantially from those reflected in the Information. Performance analysis is based on certain assumptions with respect to significant factors that may prove not to be as assumed. Performance results are based on mathematical models that use inputs to calculate results. As with all models, results may vary significantly depending upon the value given to the inputs. Inputs to these models include but are not limited to: prepayment expectations (econometric prepayment models, single expected lifetime prepayments or a vector of periodic prepayments), interest rate assumptions (parallel and nonparallel changes for different maturity instruments), collateral assumptions (actual pool level data, aggregated pool level data, reported factors or imputed factors), volatility assumptions (historically observed or implied current) and reported information (paydown factors, rate resets, remittance reports and trustee statements). Models used in any analysis may be proprietary, the results therefore, may be difficult for any third party to reproduce. Contact your registered representative for detailed explanations of any modeling techniques employed in the Information.
The Information may not reflect the impact of all structural characteristics of the security, including call events and cash flow priorities at all prepayment speeds and/or interest rates. You should consider whether the behavior of these securities should be tested using assumptions different from those included in the Information. The assumptions underlying the Information, including structure and collateral, may be modified from time to time to reflect changed facts and circumstances. Offering Documents contain data that is current as of their publication dates and after publication may no longer be accurate, complete or current. Contact your registered representative for Offering Documents, current Information or additional materials, including other models for performance analysis, which are likely to produce different results, and any further explanation regarding the Information.
Any pricing estimates Bear Stearns has supplied at your request (a) represent our view, at the time determined, of the investment value of the securities between the estimated bid and offer levels, the spread between which may be significant due to market volatility or illiquidity, (b) do not constitute a bid by Bear Stearns or any other person for any security, (c) may not constitute prices at which the securities could have been purchased or sold in any market at any time, (d) have not been confirmed by actual trades, may vary from the value Bear Stearns assigns or may be assigned to any such security while in its inventory, and may not take into account the size of a position you have in the security, and (e) may have been derived from matrix pricing that uses data relating to other securities whose prices are more readily ascertainable to produce a hypothetical price based on the estimated yield spread relationship between the securities.
General Information: Bear Stearns and/or individuals associated therewith may have positions in these securities while the Information is circulating or during such period may engage in transactions with the issuer or its affiliates. We act as principal in transactions with you, and accordingly, you must determine the appropriateness for you of such transactions and address any legal, tax or accounting considerations applicable to you. Bear Stearns shall not be a fiduciary or advisor unless we have agreed in writing to receive compensation specifically to act in such capacities. If you are subject to ERISA, the Information is being furnished on the condition that it will not form a primary basis for any investment decision.
TRANSACTION SUMMARY (a), (b), (c)
|
Class |
Size |
Percent Of Pool Balance |
Credit Enhance |
Coupon |
WAL |
Final |
Expected |
|
II-1A-1 |
$62,167,000 |
24.98% |
11.37% |
Fixed 6.000% (d) |
3.100 |
3/25/36 |
Aaa/AAA |
|
II-1A-2 |
3,100,000 |
1.25% |
7.00% |
Fixed 6.000% (d) |
3.100 |
3/25/36 |
Aaa/AAA |
|
II-1A-3 |
22,321,000 |
8.97% |
7.00% |
Fixed 6.000% (d) |
10.060 |
3/25/36 |
Aaa/AAA |
|
II-1A-4 |
55,864,000 |
22.45% |
7.00% |
Fixed 6.000% (d) |
2.289 |
3/25/36 |
Aaa/AAA |
|
II-1A-5 |
500,000 |
0.20% |
7.00% |
Fixed 6.000% (d) |
14.855 |
3/25/36 |
Aaa/AAA |
|
II-1A-6 |
1,000,000 |
0.40% |
7.00% |
Fixed 6.000% (d) |
22.016 |
3/25/36 |
Aaa/AAA |
|
II-2A-1 |
37,250,800 |
14.97% |
7.00% |
Floater (e)(f) |
4.223 |
3/25/36 |
Aaa/AAA |
|
II-2A-2 |
11,337,200 |
4.56% |
7.00% |
Inverse Floater (e)(g) |
4.223 |
3/25/36 |
Aaa/AAA |
|
II-2A-3 |
36,441,000 |
14.64% |
7.00% |
Floater (e)(h) |
4.223 |
3/25/36 |
Aaa/AAA |
|
II-2A-4 |
36,441,000 |
Notional |
|
Inverse Floater (e)(i) |
4.223 |
3/25/36 |
Aaa/AAA |
|
II-X |
249,041,806 |
Notional |
|
Interest Only (j)(k) |
2.850 |
3/25/36 |
Aaa/AAA |
|
II-PO |
1,448,267 |
0.58% |
7.00% |
Principal Only (l) |
4.348 |
3/25/36 |
Aaa/AAA |
|
II-B-1 |
5,847,000 |
2.35% |
4.65% |
Variable (m) |
10.478 |
3/25/36 |
Aa2/AA |
|
II-B-2 |
3,857,000 |
1.55% |
3.10% |
Variable (m) |
10.478 |
3/25/36 |
A2/A |
|
II-B-3 |
2,489,000 |
1.00% |
2.10% |
Variable (m) |
10.478 |
3/25/36 |
Baa2/BBB |
|
II-B-4 |
2,861,000 |
1.15% |
0.95% |
Variable (m) |
10.478 |
3/25/36 |
NR/BB |
|
II-B-5 |
1,246,000 |
0.50% |
0.45% |
Variable (m) |
10.478 |
3/25/36 |
NR/B |
|
II-B-6 |
1,121,724 |
0.45% |
0.00% |
Variable (m) |
10.478 |
3/25/36 |
NR/NR |
|
Total |
$ 249,125,991 |
100.00% |
|
|
|
|
|
|
Notes: |
(a) The principal balance of each class of Certificates is subject to a 10% variance. Class size and credit enhancement levels are subject to change based upon the final mortgage pool and rating agency valuation.
|
|
|
(b) Prepayment Pricing Speed Assumption: 8% CPR building to 20% CPR in 12 months, and remaining constant at 20% CPR thereafter.
|
|
|
(c) The Certificates will be subject to the 10% cleanup call.
|
|
|
(d) The Class II-1A-1, II-1A-2, II-1A-3, II-1A-4, II-1A-5 and Class II-1A-6 Certificates will be subject to a cap equal to the weighted average of the net mortgage rates on the group II-1 mortgage loans.
|
|
|
(e) The Class II-2A-1 Certificates will be subject to a cap equal to 5.750% and a floor equal to 0.35%, and will also be subject to a cap based on the weighted average of the net mortgage rates on the group II-2 mortgage loans as described below. The Class II-2A-2 Certificates will be subject to a cap equal to 23.49% and a floor equal to 0.00%, and will also be subject to a cap based on the weighted average of the net mortgage rates on the group II-2 mortgage loans as described below. The Class II-2A-3 Certificates will be subject to a cap equal to 7.50% and a floor equal to 0.35%, and will also be subject to a cap based on the weighted average of the net mortgage rates on the group II-2 mortgage loans as described below. The Class II-2A-4 Certificates will be subject to a cap equal to 7.15% and a floor equal to 0.00%, and will also be subject to a cap based on the weighted average of the net mortgage rates on the group II-2 mortgage loans as described below. The Class II-2A-1, Class II-2A-2, Class II-2A-3 and Class II-2A-4 Certificates will be subject to a cap based on the weighted average of the net mortgage rates on the group II-2 mortgage loans, calculated based on a certificate principal balance equal to the Certificate Principal Balance of the Class II-2A-1, Class II-2A-2 and Class II-2A-3 Certificates and a fixed pass-through rate of 6.50% per annum. If the weighted average of the net mortgage rates on the group II-2 mortgage loans is less than 6.50% per annum, the amount of the net wac shortfall which would occur with respect to such Certificates will be allocated among the Class II-2A-1, Class II-2A-2, II-2A-3 and Class II-2A-4 Certificates in proportion to their current entitlements to interest calculated without regard to this cap.
|
|
|
(f) The pass-through rate for the Class II-2A-1 Certificates will be a floating rate based on One-Month LIBOR + [0.35%] per annum.
|
|
|
(g) The pass-through rate for the Class II-2A-2 Certificates will be a floating rate equal to 23.49% minus the product of -3.29 and One-Month LIBOR (per annum).
|
|
|
(h) The pass-through rate for the Class II-2A-3 Certificates will be a floating rate based on One-Month LIBOR + [0.35%] per annum
|
|
|
(i) The Class II-2A-4 Certificates will not have a Certificate Principal Balance and will not be entitled to distributions of principal. The Class II-2A-4 Certificates will accrue interest on its notional amount, which will be equal to the aggregate stated principal balance of the Class II-2A-3 Certificates. The pass-through rate for the Class II-2A-4 Certificates will be a floating rate equal to 7.15% minus One-Month LIBOR (per annum).
|
|
|
(j) The Class II-X Certificates will not have a Certificate Principal Balance and will not be entitled to distributions of principal. The Class II-X Certificates will accrue interest on its notional amount, which will be equal to the aggregate stated principal balance of the group II mortgage loans.
|
|
|
(k) The pass-through rate for the Class II-X Certificates is equal to the weighted average of the excess of (a) the net mortgage rate on each group II-1 mortgage loan and group II-2 mortgage loan with a net mortgage rate greater than 6.00% per annum and 6.50% per annum, respectively, over (b) 6.00% per annum and 6.50% respectively.
|
|
|
(l) The Class II-PO Certificates will not be entitled to distributions of interest. The Class II-PO Certificates will receive a portion of the principal payments only on the group II-1 mortgage loans and group II-2 mortgage loans that have net mortgage rates lower than 6.00% and 6.50%, respectively.
|
|
|
(m) The Pass-Through Rate applicable to the Class II-B Certificates will be equal to the weighted average of (i) 6.000% per annum and (ii) 6.500% per annum, weighted in proportion to the results of subtracting from the aggregate Stated Principal Balance of the mortgage loans in loan group II-1 and loan group II-2 (other than the portion of the mortgage loans attributable to the related Class II-PO Certificates), respectively, the aggregate Certificate Principal Balance of the related class or classes of group II senior certificates, other than the related Class II-PO Certificates.
|
THE COLLATERAL
|
|
• Conventional, one-to-four-family, fixed-rate mortgage loans secured by first liens on residential mortgaged properties. • The collateral related to loan group II will consist of a pool of mortgage loans (the “Mortgage Loans”) with an unpaid principal balance of approximately $249,125,991. • The Mortgage Loans were primarily originated by American Home Mortgage Corporation (approximately 76%), with approximately 70 other originators totaling approximately 24% (none of which represent greater than 3% of the pool) pursuant to underwriting guidelines as described in the free writing prospectus and the prospectus supplement. • The collateral information provided herein is preliminary and based upon information as of January 1, 2006. The characteristics of the mortgage loans as described herein and in the attached collateral tables may differ from the final pool due, among other things, to the possibility of certain mortgage loans becoming delinquent or defaulting or substituted and that similar or different mortgage loans may be added to the pool prior to the closing date, such characteristics being subject to a variance of not more than plus or minus 10%. • For purposes of this term sheet, reference to the “mortgage loans” herein means the group II mortgage loans. • All of the numbers and percentages in this term sheet are subject to a variance of 10%.
|
THE STRUCTURE
Senior/subordinate shifting interest structure.
The Group II Certificates:
The trust will issue certificates consisting of senior certificates designated as the Class II-1A-1, Class II-1A-2, Class II-1A-3, Class II-1A-4, Class II-1A-5, Class II-1A-6, Class II-2A-1, Class II-2A-2, Class II-2A-3, Class II-2A-4, Class II-X and Class II-PO Certificates (the “Senior Certificates”) and the Class II-B-1, Class II-B-2 and Class II-B-3 Certificates (the “Offered Subordinate Certificates”, and together with the Senior Certificates, the “Offered Certificates”). The trust will also issue Class II-B-4, Class II-B-5 and Class II-B-6 Certificates which are not offered hereby. The Class II-P Certificates will be entitled to all prepayment charges received in respect of the related mortgage loans. The Class II-1R-1, Class II-1R-2 and Class II-2R-1 Certificates will each be issued as a single Certificate of $50 in certificated fully registered form.
Summary of Terms:
|
Depositor: |
Bear Stearns Asset Backed Securities I LLC. |
|
Seller and Sponsor: |
EMC Mortgage Corporation. |
|
Master Servicer: |
Wells Fargo Bank, National Association. |
|
Servicers: |
EMC Mortgage Corporation (approximately 25%), HSBC Mortgage Corporation (USA) (less than 1%) and Wells Fargo Bank (approximately 74%). |
|
Originators: |
American Home Mortgage Corporation (approximately 76%) and approximately 70 other originators totaling approximately 24%, none of which represent greater than 3% of the pool. |
|
Sole Manager: |
Bear, Stearns & Co. Inc. |
|
Trustee: |
U.S. Bank National Association. |
|
Cut-off Date: |
|
|
Closing Date: |
On or about February 28, 2006. |
|
Distribution Date: |
25th day of each month (or if that 25th is not a business day, the next business day), commencing in March 2006. |
|
Prepayment Period: |
With respect to any Distribution Date, the period commencing on the 16th day of the month prior to the month in which the related Distribution Date occurs and ending on the 15th day of the month in which such Distribution Date occurs in the case of the Mortgage Loans for which EMC is servicer or such other period as provided in the related servicing agreement with respect to the other servicers. |
|
Pass Through Rates: |
The pass-through rates for each class of Certificates is shown in the table above. |
|
Interest Payments: |
On each Distribution Date, holders of the Certificates entitled to the distributions of interest will be entitled to receive the interest that has accrued on the Certificates at the related Pass-Through Rate during the related Accrual Period. The “Accrual Period” for the Certificates will be the calendar month immediately preceding the calendar month in which a Distribution Date occurs. The trustee will calculate interest on all of the Certificates based on a 360-day year that consists of twelve 30-day months. The Class II-PO Certificates will not be entitled to distributions of interest. |
|
Principal Payments: |
The Senior Optimal Principal Amount will be an amount equal to the sum of (i) the Senior Percentage of scheduled principal payments of the group II mortgage loans, (ii) the Senior Prepayment Percentage of all full and partial prepayments of the group II mortgage loans and (iii) the lesser of the Senior Percentage of the Stated Principal Balance of a liquidated mortgage loan or the Senior Prepayment Percentage of the net liquidation proceeds of such mortgage Loan. Subordinate Optimal Principal Amount: The Subordinate Optimal Principal Amount will be an amount equal to the sum of (i) The Subordinate Percentage of scheduled principal payments, (ii) Subordinate Prepayment Percentage of all full and partial prepayments, (iii) the excess of net liquidation proceeds over the amount included in clause (iii) of the Senior Optimal Principal Amount definition and (iv) on the Distribution Date on which the Certificate Principal Balances of the Senior Certificates have been reduced to zero, 100% of any Senior Optimal Principal Amount. |
|
Stated Principal Balance: |
With respect to any mortgage loan as of any date of determination, the principal balance thereof as of the Cut-off Date, after application of all scheduled principal payments due on or before the Cut-off Date, whether or not received, reduced by all amounts allocable to principal that have been distributed to certificateholders with respect to such Mortgage Loan on or before such date, and as further reduced to the extent that any realized loss thereon has been allocated to one or more classes of certificates on or before the date of determination. |
|
Prepayment Assumption: |
A 100% Prepayment Assumption assumes that the outstanding principal balance of a pool of mortgage loans prepays at a constant prepayment rate (“CPR”) of 8% in the first month of the life of such pool, such rate increasing by an additional approximate 1.09% CPR (precisely 12%/11) each month thereafter through the twelfth month of the like of such pool, and such rate thereafter remaining constant at 20% CPR for the remainder of the life of such pool. |
|
Certificate Principal Balance: |
With respect to any Certificates as of any date of determination, the initial Certificate Principal Balance thereof, reduced by the aggregate of (a) all amounts allocable to principal previously distributed with respect to such certificates and (b) any reductions in the Certificate Principal Balance thereof deemed to have occurred in connection with allocations of realized losses in the manner described herein, plus any subsequent recoveries allocated to such Class. |
|
Available Distribution Amount: |
For any Distribution Date, an amount equal to the amount received by the Trustee and available in the Certificate Account on that Distribution Date. The Available Distribution Amount will generally be equal to the sum of (1) the aggregate amount of scheduled payments on the Mortgage Loans, insurance proceeds and liquidation proceeds, received during the related Prepayment Period, in each case net of amounts reimbursable therefrom to the Trustee, the Master Servicer and any subservicer and reduced by the master servicing fees and servicing fees. |
|
P&I Advances: |
The Servicers will be obligated to advance, or cause to be advanced, cash advances with respect to delinquent payments of principal and interest on the Mortgage Loans to the extent that the Servicer reasonably believes that such cash advances can be repaid from future payments on the related Mortgage Loans. These cash advances are only intended to maintain a regular flow of scheduled interest and principal payments on the Certificates and are not intended to guarantee or insure against losses. The Master Servicer will be obligated to back-stop the Servicer’s advancing obligations. |
|
Priority of Payments: |
Distributions on the Certificates will be made on the 25th day of each month (or next business day). The payments to the Certificates, to the extent of the Available Distribution Amount, will be made according to the following order of priority: 1. Payment of the accrued and unpaid interest to the holders of the Senior Certificates entitled to the distributions of interest on a pro rata basis at the applicable Pass-Through Rate; 2. Payment of principal to the Senior Certificates entitled to the distributions of principal up to an amount equal to the Senior Optimal Principal Amount in the priority described herein; 3. Payment of interest and principal sequentially to the Class II-B-1, Class II-II-B-2, Class II-B-3, Class II-B-4, Class II-B-5 and Class II-B-6 Certificates, in that order, so that each such Class receives (i) first, accrued and unpaid interest at the applicable Pass-Through Rate, and (ii) such class’s allocable share of the Subordinate Optimal Principal Amount.
On any Distribution Date, any Prepayment Interest Shortfalls and any Relief Act Shortfalls to the extent not covered by compensating interest paid by the related Servicer or the Master Servicer will reduce the amount of interest distributions with respect to the Certificates, on a pro rata basis, based on the respective amounts of interest accrued on such Certificates for such Distribution Date.
Principal Distributions on the Senior Certificates: 1. Payment of the Available Distribution Amount for group II-1 remaining after interest distributions to the related Senior Certificates as described above, pro rata to the Aggregate PAC Schedule (attached below), to the holders of the Class II-1A-1, II-1A-2 until the Certificate Principal Balance of each such class has been reduced to zero; 2. Payment of the Available Distribution Amount for group II-1 remaining after interest distributions to the related Senior Certificates as described above, sequentially to the Aggregate PAC Schedule (attached below), to the holders of the Class II-1A-3 until the Certificate Principal Balance has been reduced to zero; 3. Payment of the Available Distribution Amount for group II-1 remaining after interest distributions to the related Senior Certificates as described above, sequentially, to the holders of the Class II-1A-4 and Class II-1A-5 Certificates, until the Certificate Principal Balance of each such class has been reduced to zero; 4. Payment of the Available Distribution Amount for group II-1 remaining after interest distributions to the related Senior Certificates as described above, pro rata with out regard to the Aggregate PAC Schedule (attached below), to the holders of the Class II-1A-1 and Class II-1A-2 certificates, until the Certificate Principal Balance of each such class has been reduced to zero; 5. Payment of the Available Distribution Amount for group II-1 remaining after interest distributions to the related Senior Certificates as described above, sequentially with out regard to the Aggregate PAC Schedule (attached below), to the holders of the Class II-1A-3 until the Certificate Principal Balance has been reduced to zero; 6. Payment of the Available Distribution Amount for group II-1 remaining after interest distributions to the related Senior Certificates as described above, to the holders of the Class II-1A-6 Certificates, until the Certificate Principal Balance of such class has been reduced to zero; 7. Payment of the Available Distribution Amount for group II-2 remaining after interest distributions to the related Senior Certificates as described above, pro rata, to the holders of the Class II-2A-1, Class II-2A-2 and Class II-2A-3 Certificates, until the Certificate Principal Balance thereof has been reduced to zero; 8. Payment of the Class PO principal distribution amount, to the holders of the Class PO Certificates, until the Certificate Principal Balance thereof has been reduced to zero.
|
|
Shifting Interest: |
The Senior Certificates will be entitled to recThe Senior Certificates will be entitled to receive 100% of the prepayments on the Mortgage Loans up to and including the Distribution Date in February 2011. The Senior Prepayment Percentage can be reduced to the Senior Percentage plus 70%, 60%, 40%, 20% and 0% of the Subordinate Percentage over the next four years provided that (i) the principal balance of the Mortgage Loans 61 days or more delinquent, averaged over the last 6 months, as a percentage of the Current Principal Amount of the Subordinate Certificates does not exceed 50% and (ii) cumulative realized losses for the Mortgage Loans do not exceed 30%, 35%, 40%, 45% or 50% for each test date. |
|
Net Mortgage Rate: |
On any Mortgage Loan, the then applicable mortgage rate thereon minus the Servicing Fee Rate and the Master Servicing Fee Rate. The Servicing Fee Rate will be equal to 0.25% per annum and the Master Servicing Fee Rate will be equal to [0.01]% per annum. |
|
Discount Mortgage Rate: |
6.00% per annum with respect to the group II-1 mortgage loans and 6.50% per annum with respect to the group II-2 mortgage loans. |
|
Allocation of Losses: |
Realized losses on the Mortgage Loans will be allocated sequentially to the most junior class of Certificates outstanding beginning with the Class II-B-6 Certificates, until the Certificate Principal Balance of each Subordinate Class has been reduced to zero. Thereafter, realized losses will be allocated to the Senior Certificates (other than the Class II-X Certificates and Class II-2A-4 Certificates) from their respective Mortgage Loan Groups on a pro rata basis, except in the case of the II-1A-1 which will allocate its pro rata share of losses to the II-1A-2 until its balance is reduced to zero. | |
|
Credit Enhancement: |
Subordination: The initial Credit Enhancement Percentages are as follows: | |
|
|
Class II-1A-1 |
11.37% |
|
|
Class II-A (except II-1A-1) |
7.00% |
|
|
Class II-B-1 |
4.65% |
|
|
Class II-B-2 |
3.10% |
|
|
Class II-B-3 |
2.10% |
|
Optional Termination: |
At its option, EMC (the “Optional Termination Holder”) may purchase all of the Mortgage Loans, together with any properties in respect thereof acquired on behalf of the trust, and thereby effect termination and early retirement of the Certificates, after the aggregate principal balance of the Mortgage Loans, and properties acquired in respect thereof, remaining in the trust has been reduced to less than or equal to 10% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. | |
|
Registration: |
The Offered Certificates will be available in book-entry form through DTC. | |
|
Denominations: |
The Certificates (other than the Class II-1A-6) are issuable in minimum denominations of an original amount of $100,000 and multiples of $1 in excess thereof. The Class II-1A-6 Certificates are issuable in minimum denominations of an original amount of $1,000 and multiples of $1 in excess thereof. | |
|
Federal Tax Aspects: |
The Trust will be established as one or more REMICs for federal income tax purposes. | |
|
ERISA Considerations: |
The Offered Certificates may be purchased by a pension or other employee benefit plan subject to the Employee Retirement Income Security Act of 1974 or Section 4975 of the Internal Revenue Code of 1986, or by an entity investing the assets of an employee benefit plan so long as certain conditions are met. | |
|
SMMEA Eligibility: |
The Senior Certificates and Class II-B-1 Certificates will be “mortgage related securities” for purposes of the Secondary Mortgage Market Enhancement Act of 1984. | |
|
Aggregate PAC Schedule (Class II-1A-1, II-1A-2 and Class II-1A-3) 7% - 20% CPR |
|
Date |
Aggregate Certificate Balance |
Date |
Aggregate Certificate Balance |
Date |
Aggregate Certificate Balance |
|
25-Feb-06 |
87,588,000.00 |
25-Feb-09 |
54,275,796.25 |
25-Feb-12 |
27,824,038.79 |
|
25-Mar-06 |
86,559,146.33 |
25-Mar-09 |
53,452,333.69 |
25-Mar-12 |
27,188,640.28 |
|
25-Apr-06 |
85,536,614.48 |
25-Apr-09 |
52,633,970.87 |
25-Apr-12 |
26,557,269.84 |
|
25-May-06 |
84,520,366.75 |
25-May-09 |
51,820,677.54 |
25-May-12 |
25,929,903.06 |
|
25-Jun-06 |
83,510,365.66 |
25-Jun-09 |
51,012,423.66 |
25-Jun-12 |
25,306,515.67 |
|
25-Jul-06 |
82,506,573.94 |
25-Jul-09 |
50,209,179.34 |
25-Jul-12 |
24,691,189.24 |
|
25-Aug-06 |
81,508,954.57 |
25-Aug-09 |
49,410,914.92 |
25-Aug-12 |
24,088,521.37 |
|
25-Sep-06 |
80,517,470.76 |
25-Sep-09 |
48,617,600.87 |
25-Sep-12 |
23,498,266.28 |
|
25-Oct-06 |
79,532,085.91 |
25-Oct-09 |
47,829,207.88 |
25-Oct-12 |
22,920,182.81 |
|
25-Nov-06 |
78,552,763.69 |
25-Nov-09 |
47,045,706.80 |
25-Nov-12 |
22,354,034.40 |
|
25-Dec-06 |
77,579,467.96 |
25-Dec-09 |
46,267,068.67 |
25-Dec-12 |
21,799,588.93 |
|
25-Jan-07 |
76,612,162.80 |
25-Jan-10 |
45,493,264.70 |
25-Jan-13 |
21,256,618.72 |
|
25-Feb-07 |
75,650,812.54 |
25-Feb-10 |
44,724,266.27 |
25-Feb-13 |
20,724,900.38 |
|
25-Mar-07 |
74,695,381.68 |
25-Mar-10 |
43,960,044.97 |
25-Mar-13 |
20,236,630.10 |
|
25-Apr-07 |
73,745,834.98 |
25-Apr-10 |
43,200,572.52 |
25-Apr-13 |
19,758,510.06 |
|
25-May-07 |
72,802,137.40 |
25-May-10 |
42,445,820.84 |
25-May-13 |
19,290,339.07 |
|
25-Jun-07 |
71,864,254.10 |
25-Jun-10 |
41,695,762.02 |
25-Jun-13 |
18,831,919.78 |
|
25-July-07 |
70,932,150.47 |
25-Jul-10 |
40,950,368.32 |
25-Jul-13 |
18,383,058.70 |
|
25-Aug-07 |
70,005,792.12 |
25-Aug-10 |
40,209,401.38 |
25-Aug-13 |
17,943,566.03 |
|
25-Sep-07 |
69,085,144.84 |
25-Sep-10 |
39,472,770.59 |
25-Sep-13 |
17,513,255.64 |
|
25-Oct-07 |
68,170,174.65 |
25-Oct-10 |
38,739,067.00 |
25-Oct-13 |
17,091,945.01 |
|
25-Nov-07 |
67,260,847.77 |
25-Nov-10 |
38,009,697.71 |
25-Nov-13 |
16,679,455.11 |
|
25-Dec-07 |
66,357,130.64 |
25-Dec-10 |
37,284,876.52 |
25-Dec-13 |
16,275,610.41 |
|
25-Jan-08 |
65,458,989.89 |
25-Jan-11 |
36,564,576.58 |
25-Jan-14 |
15,880,238.73 |
|
25-Feb-08 |
64,566,392.37 |
25-Feb-11 |
35,848,771.24 |
25-Feb-14 |
15,493,171.24 |
|
25-Mar-08 |
63,679,305.10 |
25-Mar-11 |
35,156,474.51 |
25-Mar-14 |
15,142,225.51 |
|
25-Apr-08 |
62,797,695.35 |
25-Apr-11 |
34,468,549.60 |
25-Apr-14 |
14,798,468.68 |
|
25-May-08 |
61,921,530.55 |
25-May-11 |
33,784,970.19 |
25-May-14 |
14,461,757.56 |
|
25-Jun-08 |
61,050,778.34 |
25-Jun-11 |
33,105,710.12 |
25-Jun-14 |
14,131,951.76 |
|
25-July-08 |
60,185,406.57 |
25-Jul-11 |
32,430,743.39 |
25-Jul-14 |
13,808,913.63 |
|
25-Aug-08 |
59,325,383.28 |
25-Aug-11 |
31,760,044.16 |
25-Aug-14 |
13,492,508.20 |
|
25-Sep-08 |
58,470,676.70 |
25-Sep-11 |
31,093,586.74 |
25-Sep-14 |
13,182,603.16 |
|
25-Oct-08 |
57,621,255.26 |
25-Oct-11 |
30,431,345.61 |
25-Oct-14 |
12,879,068.76 |
|
25-Nov-08 |
56,777,087.59 |
25-Nov-11 |
29,773,295.39 |
25-Nov-14 |
12,581,777.81 |
|
25-Dec-08 |
55,938,142.49 |
25-Dec-11 |
29,119,410.87 |
25-Dec-14 |
12,290,605.57 |
|
25-Jan-09 |
55,104,388.98 |
25-Jan-12 |
28,469,666.97 |
25-Jan-15 |
12,005,429.78 |
|
Aggregate PAC Schedule (Class II-1A-1, II-1A-2 and Class II-1A-3) 7% - 20% CPR |
|
Date |
Aggregate Certificate Balance |
Date |
Aggregate Certificate Balance |
Date |
Aggregate Certificate Balance |
|
25-Feb-15 |
11,726,130.56 |
25-Feb-18 |
5,028,578.96 |
25-Feb-21 |
1,752,964.37 |
|
25-Mar-15 |
11,475,662.18 |
25-Mar-18 |
4,901,222.68 |
25-Mar-21 |
1,693,356.04 |
|
25-Apr-15 |
11,230,013.95 |
25-Apr-18 |
4,776,423.92 |
25-Apr-21 |
1,634,960.45 |
|
25-May-15 |
10,989,094.43 |
25-May-18 |
4,654,132.81 |
25-May-21 |
1,577,753.77 |
|
25-Jun-15 |
10,752,813.88 |
25-Jun-18 |
4,534,300.46 |
25-Jun-21 |
1,521,712.65 |
|
25-Jul-15 |
10,521,084.24 |
25-Jul-18 |
4,416,878.88 |
25-Jul-21 |
1,466,814.17 |
|
25-Aug-15 |
10,293,797.36 |
25-Aug18 |
4,301,821.03 |
25-Aug-21 |
1,413,035.84 |
|
25-Sep-15 |
10,070,355.19 |
25-Sep-18 |
4,189,080.75 |
25-Sep-21 |
1,360,355.64 |
|
25-Oct-15 |
9,850,829.08 |
25-Oct-18 |
4,078,612.78 |
25-Oct-21 |
1,308,751.94 |
|
25-Nov-15 |
9,635,210.78 |
25-Nov-18 |
3,970,372.72 |
25-Nov-21 |
1,258,203.54 |
|
25-Dec-15 |
9,422,888.94 |
25-Dec-18 |
3,864,317.01 |
25-Dec-21 |
1,208,689.65 |
|
25-Jan-16 |
9,211,428.66 |
25-Jan-19 |
3,760,402.94 |
25-Jan-22 |
1,160,189.87 |
|
25-Feb-16 |
9,000,723.97 |
25-Feb-19 |
3,658,588.62 |
25-Feb-22 |
1,112,684.21 |
|
25-Mar-16 |
8,794,194.05 |
25-Mar-19 |
3,558,832.96 |
25-Mar-22 |
1,066,153.04 |
|
25-Apr-16 |
8,591,758.20 |
25-Apr-19 |
3,461,095.64 |
25-Apr-22 |
1,020,577.14 |
|
25-May-16 |
8,393,337.21 |
25-May-19 |
3,365,337.16 |
25-May-22 |
975,937.64 |
|
25-Jun-16 |
8,198,853.42 |
25-Jun-19 |
3,271,518.72 |
25-Jun-22 |
932,216.03 |
|
25-July-16 |
8,008,230.63 |
25-Jul-19 |
3,179,602.30 |
25-Jul-22 |
889,394.18 |
|
25-Aug-16 |
7,821,394.10 |
25-Aug-19 |
3,089,550.62 |
25-Aug-22 |
847,454.28 |
|
25-Sep-16 |
7,638,270.49 |
25-Sep-19 |
3,001,327.08 |
25-Sep-22 |
806,378.89 |
|
25-Oct-16 |
7,458,787.90 |
25-Oct-19 |
2,914,895.82 |
25-Oct-22 |
766,150.89 |
|
25-Nov-16 |
7,282,875.75 |
25-Nov-19 |
2,830,221.64 |
25-Nov-22 |
726,753.51 |
|
25-Dec-16 |
7,110,464.86 |
25-Dec-19 |
2,747,270.03 |
25-Dec-22 |
688,170.28 |
|
25-Jan-17 |
6,941,487.32 |
25-Jan-20 |
2,666,024.10 |
25-Jan-23 |
650,385.06 |
|
25-Feb-17 |
6,775,876.55 |
25-Feb-20 |
2,586,433.16 |
25-Feb-23 |
613,382.03 |
|
25-Mar-17 |
6,613,567.22 |
25-Mar-20 |
2,508,464.66 |
25-Mar-23 |
577,145.66 |
|
25-Apr-17 |
6,454,495.25 |
25-Apr-20 |
2,432,086.68 |
25-Apr-23 |
541,660.72 |
|
25-May-17 |
6,298,597.79 |
25-May-20 |
2,357,267.92 |
25-May-23 |
506,912.31 |
|
25-Jun-17 |
6,145,813.18 |
25-Jun-20 |
2,283,977.69 |
25-Jun-23 |
472,885.77 |
|
25-July-17 |
5,996,080.95 |
25-Jul-20 |
2,212,185.86 |
25-Jul-23 |
439,566.74 |
|
25-Aug-17 |
5,849,341.78 |
25-Aug-20 |
2,142,052.39 |
25-Aug-23 |
406,941.17 |
|
25-Sep-17 |
5,705,537.48 |
25-Sep-20 |
2,073,489.48 |
25-Sep-23 |
374,995.23 |
|
25-Oct-17 |
5,564,610.96 |
25-Oct-20 |
2,006,369.12 |
25-Oct-23 |
343,715.40 |
|
25-Nov-17 |
5,426,506.24 |
25-Nov-20 |
1,940,621.00 |
25-Nov-23 |
313,088.41 |
|
25-Dec-17 |
5,291,168.41 |
25-Dec-20 |
1,876,432.71 |
25-Dec-23 |
283,101.22 |
|
25-Jan-18 |
5,158,543.59 |
25-Jan-21 |
1,813,809.74 |
25-Jan-24 |
253,741.09 |
|
Aggregate PAC Schedule (Class II-1A-1, II-1A-2 and Class II-1A-3) 7% - 20% CPR |
|
Date |
Aggregate Certificate Balance |
|
25-Feb-24 |
224,995.50 |
|
25-Mar-24 |
196,852.17 |
|
25-Apr-24 |
169,299.07 |
|
25-May-24 |
142,324.40 |
|
25-Jun-24 |
115,916.59 |
|
25-Jul-24 |
90,064.29 |
|
25-Aug-24 |
64,756.38 |
|
25-Sep-24 |
39,981.94 |
|
25-Oct-24 |
15,730.29 |
|
25-Nov-24 |
0.00 |
Selected Collateral Characteristics For the Mortgage Loans In Loan Group II-1
As of the Cut-Off Date
|
Summary |
Total |
Minimum |
Maximum | |||
|
Aggregate Outstanding Principal Balance |
$157,411,741 |
|
| |||
|
Number of Loans |
769 |
|
| |||
|
Average Scheduled Principal Balance |
$204,697 |
$27,650 |
$1,452,500 | |||
|
(1) Original Loan-to-Value Ratio |
72.19% |
16.09% |
95.00% | |||
|
(1) Mortgage Rate |
6.7590% |
5.3750% |
9.6250% | |||
|
(1) Net Mortgage Rate |
6.4990% |
5.1150% |
9.3650% | |||
|
(1) Remaining Term to Stated Maturity (months) |
350 |
166 |
360 | |||
|
(1)] (1i)] Credit Score |
715 |
627 |
835 | |||
|
(1) Weighted Average reflected in Total. (i1)] Non-Zero Weighted Average Credit Score | ||||||
|
|
|
Percent of Cut-Off Date | ||||
|
|
Range |
Principal Balance | ||||
|
Product Type |
Fixed Rate |
100.00% |
| |||
|
|
|
|
| |||
|
Lien |
First |
100.00% |
| |||
|
|
|
|
| |||
|
Property Type |
2-4 Family |
12.98% |
| |||
|
|
Condominium |
6.85% |
| |||
|
|
Hi-Rise Condo |
0.28% |
| |||
|
|
PUD |
18.57% |
| |||
|
|
Single Family |
61.12% |
| |||
|
|
Townhouse |
0.20% |
| |||
|
|
|
|
| |||
|
Geographic Distribution |
California |
16.39% |
| |||
|
|
Florida |
14.02% |
| |||
|
|
Texas |
8.63% |
| |||
|
|
New York |
6.00% |
| |||
|
|
|
|
| |||
|
|
|
|
| |||
|
|
|
|
| |||
|
Number of States (including DC) |
44 |
|
| |||
|
|
|
|
| |||
|
Documentation Type |
Full/Alternative |
16.40% |
| |||
|
|
No Documentation |
17.38% |
| |||
|
|
No Income/No Asset |
0.31% |
| |||
|
|
No Ratio |
15.69% |
| |||
|
|
No Ratio/No VOE |
0.14% |
| |||
|
|
Stated Income |
44.54% |
| |||
|
|
Stated/Stated |
5.53% |
| |||
|
|
|
|
| |||
|
|
|
|
| |||
|
|
|
|
| |||
|
Loans with Prepayment Penalties |
|
39.89% |
| |||
|
Interest Only Loans |
|
38.78% |
| |||
|
|
|
|
| |||
Credit Score Distribution of the Mortgage Loans in Loan Group II-1
|
Range of Credit Scores |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
N/A |
7 |
1,365,188 |
0.87 |
195,027 |
70.26 |
5.27 |
0.00 |
|
600 - 619 |
1 |
349,747 |
0.22 |
349,747 |
45.16 |
100.00 |
0.00 |
|
620 - 639 |
10 |
1,976,138 |
1.26 |
197,614 |
76.26 |
57.41 |
21.94 |
|
640 - 659 |
28 |
5,347,350 |
3.40 |
190,977 |
73.16 |
50.47 |
23.80 |
|
660 - 679 |
135 |
23,760,247 |
15.09 |
176,002 |
73.09 |
9.93 |
34.64 |
|
680 - 699 |
173 |
33,778,129 |
21.46 |
195,249 |
73.18 |
13.15 |
44.79 |
|
700 - 719 |
130 |
27,388,351 |
17.40 |
210,680 |
73.12 |
18.69 |
38.92 |
|
720 - 739 |
88 |
17,103,525 |
10.87 |
194,358 |
73.12 |
7.49 |
38.58 |
|
740 - 759 |
71 |
15,352,184 |
9.75 |
216,228 |
68.88 |
20.44 |
50.74 |
|
760 - 779 |
77 |
19,238,054 |
12.22 |
249,845 |
71.72 |
20.55 |
37.67 |
|
780 - 799 |
39 |
9,231,334 |
5.86 |
236,701 |
68.87 |
5.65 |
27.55 |
|
800 - 819 |
9 |
2,022,005 |
1.28 |
224,667 |
71.32 |
36.69 |
56.04 |
|
820 - 839 |
1 |
499,490 |
0.32 |
499,490 |
61.73 |
0.00 |
0.00 |
|
Total / Weighted Average: |
769 |
157,411,741 |
100.00 |
204,697 |
72.19 |
16.40 |
38.78 |
Debt-to-Income Ratios of the Mortgage Loans in Loan Group II-1
|
Range of Debt-to-Income Ratios (%) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
0.00% - 0.00% |
255 |
52,779,286 |
33.53 |
206,978 |
716 |
68.78 |
0.00 |
43.42 |
|
0.01% - 5.00% |
1 |
308,000 |
0.20 |
308,000 |
701 |
80.00 |
0.00 |
0.00 |
|
5.01% - 10.00% |
7 |
580,591 |
0.37 |
82,942 |
728 |
79.19 |
0.00 |
0.00 |
|
10.01% - 15.00% |
8 |
1,415,650 |
0.90 |
176,956 |
694 |
77.06 |
3.81 |
44.93 |
|
15.01% - 20.00% |
24 |
2,497,508 |
1.59 |
104,063 |
691 |
70.79 |
25.66 |
22.65 |
|
20.01% - 25.00% |
33 |
6,618,869 |
4.20 |
200,572 |
735 |
73.71 |
36.36 |
40.98 |
|
25.01% - 30.00% |
63 |
11,776,032 |
7.48 |
186,921 |
710 |
72.58 |
20.85 |
29.05 |
|
30.01% - 35.00% |
97 |
22,277,876 |
14.15 |
229,669 |
714 |
72.18 |
13.90 |
39.28 |
|
35.01% - 40.00% |
102 |
20,833,575 |
13.24 |
204,251 |
716 |
75.20 |
29.56 |
42.02 |
|
40.01% - 45.00% |
120 |
25,010,427 |
15.89 |
208,420 |
714 |
74.55 |
27.79 |
40.99 |
|
45.01% - 50.00% |
54 |
11,811,244 |
7.50 |
218,727 |
714 |
74.63 |
30.10 |
21.91 |
|
50.01% - 55.00% |
5 |
1,502,685 |
0.95 |
300,537 |
728 |
75.14 |
32.74 |
29.39 |
|
Total / Weighted Average |
769 |
157,411,741 |
100.00 |
204,697 |
715 |
72.19 |
16.40 |
38.78 |
Original Mortgage Loan Principal Balances of the Mortgage Loans in Loan Group II-1
|
Range of Original Mortgage Loan Principal Balances ($) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
$1 - $100,000 |
268 |
18,662,047 |
11.86 |
69,635 |
709 |
74.12 |
18.64 |
18.73 |
|
$100,000 - $200,000 |
251 |
35,310,143 |
22.43 |
140,678 |
709 |
74.54 |
19.85 |
37.93 |
|
$200,000 - $300,000 |
99 |
24,522,265 |
15.58 |
247,700 |
705 |
74.46 |
16.10 |
58.77 |
|
$300,000 - $359,650 |
33 |
10,992,961 |
6.98 |
333,120 |
723 |
69.34 |
15.79 |
61.78 |
|
$359,651 - $400,000 |
9 |
3,388,575 |
2.15 |
376,508 |
715 |
73.01 |
0.00 |
45.73 |
|
$400,001 - $500,000 |
52 |
23,769,540 |
15.10 |
457,107 |
726 |
70.75 |
15.78 |
40.76 |
|
$500,001 - $600,000 |
19 |
10,348,382 |
6.57 |
544,652 |
730 |
65.82 |
25.38 |
42.23 |
|
$600,001 - $700,000 |
19 |
12,381,361 |
7.87 |
651,651 |
719 |
72.45 |
10.52 |
31.58 |
|
$700,001 - $800,000 |
6 |
4,448,752 |
2.83 |
741,459 |
705 |
67.84 |
0.00 |
32.82 |
|
$800,001 - $900,000 |
2 |
1,717,538 |
1.09 |
858,769 |
746 |
68.26 |
0.00 |
0.00 |
|
$900,001 - $1,000,000 |
8 |
7,762,701 |
4.93 |
970,338 |
717 |
70.31 |
25.19 |
25.38 |
|
$1,300,001 - $1,400,000 |
2 |
2,654,975 |
1.69 |
1,327,488 |
720 |
70.00 |
0.00 |
0.00 |
|
$1,400,001 - $1,500,000 |
1 |
1,452,500 |
0.92 |
1,452,500 |
722 |
70.00 |
0.00 |
0.00 |
|
Total / Weighted Average |
769 |
157,411,741 |
100.00 |
204,697 |
715 |
72.19 |
16.40 |
38.78 |
Current Mortgage Loan Principal Balances of the Mortgage Loans in Loan Group II-1
|
Range of Original Mortgage Loan Principal Balances ($) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
$1 - $100,000 |
268 |
18,662,047 |
11.86 |
69,635 |
709 |
74.12 |
18.64 |
18.73 |
|
$100,000 - $200,000 |
251 |
35,310,143 |
22.43 |
140,678 |
709 |
74.54 |
19.85 |
37.93 |
|
$200,000 - $300,000 |
99 |
24,522,265 |
15.58 |
247,700 |
705 |
74.46 |
16.10 |
58.77 |
|
$300,000 - $359,650 |
33 |
10,992,961 |
6.98 |
333,120 |
723 |
69.34 |
15.79 |
61.78 |
|
$359,651 - $400,000 |
9 |
3,388,575 |
2.15 |
376,508 |
715 |
73.01 |
0.00 |
45.73 |
|
$400,001 - $500,000 |
52 |
23,769,540 |
15.10 |
457,107 |
726 |
70.75 |
15.78 |
40.76 |
|
$500,001 - $600,000 |
19 |
10,348,382 |
6.57 |
544,652 |
730 |
65.82 |
25.38 |
42.23 |
|
$600,001 - $700,000 |
19 |
12,381,361 |
7.87 |
651,651 |
719 |
72.45 |
10.52 |
31.58 |
|
$700,001 - $800,000 |
6 |
4,448,752 |
2.83 |
741,459 |
705 |
67.84 |
0.00 |
32.82 |
|
$800,001 - $900,000 |
2 |
1,717,538 |
1.09 |
858,769 |
746 |
68.26 |
0.00 |
0.00 |
|
$900,001 - $1,000,000 |
8 |
7,762,701 |
4.93 |
970,338 |
717 |
70.31 |
25.19 |
25.38 |
|
$1,300,001 - $1,400,000 |
2 |
2,654,975 |
1.69 |
1,327,488 |
720 |
70.00 |
0.00 |
0.00 |
|
$1,400,001 - $1,500,000 |
1 |
1,452,500 |
0.92 |
1,452,500 |
722 |
70.00 |
0.00 |
0.00 |
|
Total / Weighted Average |
769 |
157,411,741 |
100.00 |
204,697 |
715 |
72.19 |
16.40 |
38.78 |
Net Mortgage Rates of the Mortgage Loans in Loan Group II-1
|
Range of Net Mortgage Rates (%) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
5.000% - 5.499% |
15 |
5,386,211 |
3.42 |
359,081 |
760 |
66.46 |
18.65 |
36.15 |
|
5.500% - 5.999% |
125 |
33,629,131 |
21.36 |
269,033 |
723 |
68.13 |
16.63 |
62.59 |
|
6.000% - 6.499% |
215 |
53,936,254 |
34.26 |
250,866 |
717 |
71.20 |
24.08 |
60.20 |
|
6.500% - 6.999% |
185 |
34,750,943 |
22.08 |
187,843 |
702 |
73.95 |
11.02 |
7.93 |
|
7.000% - 7.499% |
161 |
20,540,079 |
13.05 |
127,578 |
704 |
77.30 |
9.08 |
12.60 |
|
7.500% - 7.999% |
44 |
6,465,618 |
4.11 |
146,946 |
728 |
77.51 |
5.29 |
3.59 |
|
8.000% - 8.499% |
21 |
2,012,574 |
1.28 |
95,837 |
716 |
79.37 |
9.40 |
0.00 |
|
8.500% - 8.999% |
1 |
275,532 |
0.18 |
275,532 |
742 |
80.00 |
0.00 |
0.00 |
|
9.000% - 9.499% |
2 |
415,399 |
0.26 |
207,700 |
690 |
79.99 |
0.00 |
0.00 |
|
Total / Weighted Average |
769 |
157,411,741 |
100.00 |
204,697 |
715 |
72.19 |
16.40 |
38.78 |
Mortgage Rates of the Mortgage Loans in Loan Group II-1
|
Range of Mortgage Rates (%) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
5.000% - 5.499% |
1 |
140,800 |
0.09 |
140,800 |
688 |
80.00 |
100.00 |
100.00 |
|
5.500% - 5.999% |
39 |
11,115,968 |
7.06 |
285,025 |
745 |
67.81 |
17.22 |
54.65 |
|
6.000% - 6.499% |
151 |
38,985,718 |
24.77 |
258,184 |
722 |
68.45 |
14.10 |
62.85 |
|
6.500% - 6.999% |
223 |
55,203,893 |
35.07 |
247,551 |
712 |
71.63 |
24.69 |
47.98 |
|
7.000% - 7.499% |
159 |
26,355,884 |
16.74 |
165,760 |
705 |
75.30 |
9.65 |
6.40 |
|
7.500% - 7.999% |
146 |
19,307,340 |
12.27 |
132,242 |
703 |
77.22 |
8.99 |
11.12 |
|
8.000% - 8.499% |
32 |
4,260,206 |
2.71 |
133,131 |
737 |
79.41 |
6.83 |
0.00 |
|
8.500% - 8.999% |
16 |
1,626,533 |
1.03 |
101,658 |
721 |
78.92 |
3.32 |
0.00 |
|
9.500% - 9.999% |
2 |
415,399 |
0.26 |
207,700 |
690 |
79.99 |
0.00 |
0.00 |
|
Total / Weighted Average |
769 |
157,411,741 |
100.00 |
204,697 |
715 |
72.19 |
16.40 |
38.78 |
Original Loan-to-Value Ratios of the Mortgage Loans in Loan Group II-1
|
Range of Original Loan-to-Value Ratios (%) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Percent Full Documentation |
Percent Interest Only |
|
15.01% - 20.00% |
2 |
129,900 |
0.08 |
64,950 |
735 |
0.00 |
46.11 |
|
20.01% - 25.00% |
3 |
1,197,437 |
0.76 |
399,146 |
753 |
0.00 |
50.11 |
|
30.01% - 35.00% |
1 |
461,000 |
0.29 |
461,000 |
764 |
0.00 |
100.00 |
|
35.01% - 40.00% |
4 |
300,806 |
0.19 |
75,201 |
701 |
0.00 |
50.53 |
|
40.01% - 45.00% |
4 |
962,163 |
0.61 |
240,541 |
687 |
76.06 |
9.98 |
|
45.01% - 50.00% |
10 |
3,070,869 |
1.95 |
307,087 |
727 |
11.39 |
56.12 |
|
50.01% - 55.00% |
9 |
3,079,163 |
1.96 |
342,129 |
722 |
0.00 |
82.11 |
|
55.01% - 60.00% |
13 |
4,188,651 |
2.66 |
322,204 |
729 |
1.19 |
29.33 |
|
60.01% - 65.00% |
36 |
9,280,415 |
5.90 |
257,789 |
729 |
24.55 |
36.62 |
|
65.01% - 70.00% |
254 |
55,338,304 |
35.16 |
217,867 |
715 |
12.39 |
43.24 |
|
70.01% - 75.00% |
75 |
16,518,860 |
10.49 |
220,251 |
708 |
17.83 |
43.33 |
|
75.01% - 80.00% |
321 |
58,337,152 |
37.06 |
181,736 |
714 |
21.09 |
32.09 |
|
80.01% - 85.00% |
22 |
2,474,338 |
1.57 |
112,470 |
715 |
0.00 |
17.94 |
|
85.01% - 90.00% |
12 |
1,517,763 |
0.96 |
126,480 |
681 |
10.61 |
16.90 |
|
90.01% - 95.00% |
3 |
554,921 |
0.35 |
184,974 |
750 |
23.26 |
51.85 |
|
Total / Weighted Average |
769 |
157,411,741 |
100.00 |
204,697 |
715 |
16.40 |
38.78 |
Geographic Distribution of Mortgaged Properties of the Mortgage Loans in Loan Group II-1
|
State or Territory |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
California |
66 |
25,792,322 |
16.39 |
390,793 |
723 |
66.66 |
9.40 |
55.18 |
|
Florida |
91 |
22,070,973 |
14.02 |
242,538 |
710 |
72.00 |
23.11 |
54.88 |
|
Texas |
99 |
13,577,934 |
8.63 |
137,151 |
704 |
76.23 |
14.37 |
12.19 |
|
New York |
27 |
9,448,257 |
6.00 |
349,935 |
729 |
70.59 |
5.77 |
24.16 |
|
Maryland |
25 |
6,195,293 |
3.94 |
247,812 |
704 |
72.84 |
26.45 |
73.65 |
|
North Carolina |
28 |
6,135,856 |
3.90 |
219,138 |
692 |
72.67 |
6.32 |
19.18 |
|
Virginia |
22 |
5,200,048 |
3.30 |
236,366 |
731 |
71.20 |
1.56 |
39.88 |
|
Massachusetts |
14 |
4,736,269 |
3.01 |
338,305 |
717 |
68.18 |
25.53 |
26.19 |
|
Washington |
22 |
4,197,731 |
2.67 |
190,806 |
707 |
73.40 |
24.21 |
89.37 |
|
Arizona |
16 |
4,154,906 |
2.64 |
259,682 |
741 |
71.29 |
11.63 |
32.68 |
|
Georgia |
25 |
4,097,248 |
2.60 |
163,890 |
727 |
77.10 |
24.95 |
35.91 |
|
Illinois |
24 |
4,081,038 |
2.59 |
170,043 |
700 |
72.18 |
14.76 |
18.65 |
|
New Jersey |
13 |
3,719,677 |
2.36 |
286,129 |
706 |
75.36 |
8.95 |
0.00 |
|
Pennsylvania |
25 |
3,652,184 |
2.32 |
146,087 |
717 |
74.53 |
20.06 |
0.00 |
|
Louisiana |
28 |
3,484,556 |
2.21 |
124,448 |
718 |
76.11 |
40.94 |
9.56 |
|
Ohio |
34 |
3,410,781 |
2.17 |
100,317 |
699 |
74.64 |
31.20 |
52.69 |
|
Oregon |
14 |
3,376,900 |
2.15 |
241,207 |
714 |
72.88 |
10.43 |
56.69 |
|
Other (1) |
196 |
30,079,769 |
19.11 |
153,468 |
719 |
74.11 |
18.07 |
34.30 |
|
Total / Weighted Average |
769 |
157,411,741 |
100.00 |
204,697 |
715 |
72.19 |
16.40 |
38.78 |
1) Other includes states and the District of Columbia with fewer than 2% concentrations individually.
Subordinate Financing of the Mortgage Loans in Loan Group II-1
|
Range of Junior Ratios (%) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
NO |
296 |
68,834,812 |
43.73 |
232,550 |
719 |
68.93 |
14.99 |
40.02 |
|
YES |
473 |
88,576,929 |
56.27 |
187,266 |
713 |
74.72 |
17.49 |
37.81 |
|
Total / Weighted Average |
769 |
157,411,741 |
100.00 |
204,697 |
715 |
72.19 |
16.40 |
38.78 |
Mortgage Loan Purpose of the Mortgage Loans in Loan Group II-1
|
Loan Purpose |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
Equity Refinance |
220 |
54,961,124 |
34.92 |
249,823 |
709 |
69.41 |
16.41 |
34.78 |
|
Purchase |
432 |
78,994,084 |
50.18 |
182,857 |
720 |
75.20 |
16.16 |
39.39 |
|
Rate/Term Refinance |
117 |
23,456,533 |
14.90 |
200,483 |
714 |
68.54 |
17.13 |
46.09 |
|
Total / Weighted Average |
769 |
157,411,741 |
100.00 |
204,697 |
715 |
72.19 |
16.40 |
38.78 |
Mortgage Loan Documentation Type of the Mortgage Loans in Loan Group II-1
|
Documentation Type |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
Full/Alternative |
139 |
25,807,775 |
16.40 |
185,667 |
711 |
73.53 |
100.00 |
46.90 |
|
No Documentation |
122 |
27,360,471 |
17.38 |
224,266 |
721 |
65.08 |
0.00 |
39.25 |
|
No Income/No Asset |
1 |
489,000 |
0.31 |
489,000 |
664 |
54.64 |
0.00 |
100.00 |
|
No Ratio |
130 |
24,703,533 |
15.69 |
190,027 |
713 |
73.07 |
0.00 |
47.33 |
|
No Ratio/No VOE |
2 |
226,282 |
0.14 |
113,141 |
704 |
79.90 |
0.00 |
0.00 |
|
Stated Income |
333 |
70,113,601 |
44.54 |
210,551 |
718 |
74.17 |
0.00 |
32.27 |
|
Stated/Stated |
42 |
8,711,079 |
5.53 |
207,407 |
705 |
72.87 |
0.00 |
38.89 |
|
Total / Weighted Average |
769 |
157,411,741 |
100.00 |
204,697 |
715 |
72.19 |
16.40 |
38.78 |
Occupancy Types of the Mortgage Loans in Loan Group II-1
|
Occupancy |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
Investor |
340 |
44,254,185 |
28.11 |
130,159 |
717 |
71.82 |
15.34 |
36.49 |
|
Primary Residence |
391 |
101,151,675 |
64.26 |
258,700 |
712 |
72.93 |
16.22 |
39.56 |
|
Second/Vacation |
38 |
12,005,882 |
7.63 |
315,944 |
741 |
67.31 |
21.74 |
40.63 |
|
Total / Weighted Average |
769 |
157,411,741 |
100.00 |
204,697 |
715 |
72.19 |
16.40 |
38.78 |
Mortgaged Property Types of the Mortgage Loans in Loan Group II-1
|
Property Type |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
Two- to four- family units |
117 |
20,431,206 |
12.98 |
174,626 |
709 |
71.86 |
13.81 |
33.75 |
|
Condominium |
64 |
10,782,504 |
6.85 |
168,477 |
730 |
69.82 |
34.54 |
60.60 |
|
Hi-Rise Condo |
2 |
441,070 |
0.28 |
220,535 |
767 |
77.20 |
0.00 |
44.06 |
|
Planned Unit Development |
121 |
29,232,957 |
18.57 |
241,595 |
719 |
73.57 |
17.49 |
45.07 |
|
Single-family |
460 |
96,210,642 |
61.12 |
209,154 |
714 |
72.07 |
14.70 |
35.59 |
|
Townhouse |
5 |
313,361 |
0.20 |
62,672 |
719 |
76.80 |
0.00 |
0.00 |
|
Total / Weighted Average |
769 |
157,411,741 |
100.00 |
204,697 |
715 |
72.19 |
16.40 |
38.78 |
Prepayment Penalty Terms of the Mortgage Loans in Loan Group II-1
|
Prepayment Penalty Term |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
None |
431 |
94,617,907 |
60.11 |
219,531 |
716 |
71.77 |
17.40 |
21.62 |
|
6 Months |
2 |
490,316 |
0.31 |
245,158 |
670 |
80.00 |
0.00 |
75.87 |
|
12 Months |
9 |
2,937,763 |
1.87 |
326,418 |
734 |
72.19 |
23.90 |
64.96 |
|
24 Months |
54 |
10,639,914 |
6.76 |
197,035 |
722 |
72.50 |
12.99 |
60.21 |
|
36 Months |
199 |
35,602,176 |
22.62 |
178,905 |
712 |
73.22 |
13.69 |
57.40 |
|
60 Months |
74 |
13,123,666 |
8.34 |
177,347 |
711 |
71.87 |
18.16 |
87.33 |
|
Total / Weighted Average |
769 |
157,411,741 |
100.00 |
204,697 |
715 |
72.19 |
16.40 |
38.78 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Only Terms of the Mortgage Loans in Loan Group II-1
|
Interest Only Term |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Combined Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
Not Interest Only |
518 |
96,372,369 |
61.22 |
186,047 |
714 |
73.10 |
14.22 |
0.00 |
|
60 Months |
12 |
2,662,990 |
1.69 |
221,916 |
707 |
70.34 |
21.21 |
100.00 |
|
120 Months |
239 |
58,376,382 |
37.09 |
244,253 |
717 |
70.76 |
19.77 |
100.00 |
|
Total / Weighted Average |
769 |
157,411,741 |
100.00 |
204,697 |
715 |
72.19 |
16.40 |
38.78 |
Selected Collateral Characteristics For the Mortgage Loans In Loan Group II-2
As of the Cut-Off Date
|
Summary |
Total |
Minimum |
Maximum | ||||
|
Aggregate Outstanding Principal Balance |
$91,439,250 |
|
| ||||
|
Number of Loans |
342 |
|
| ||||
|
Average Scheduled Principal Balance |
$267,366 |
$80,850 |
$2,324,400 | ||||
|
(1) Original Loan-to-Value Ratio |
71.73% |
20.37% |
90.00% | ||||
|
(1) Mortgage Rate |
7.2552% |
6.7500% |
8.3750% | ||||
|
(1) Net Mortgage Rate |
6.9952% |
6.4900% |
8.1150% | ||||
|
(1) Remaining Term to Stated Maturity (months) |
359 |
355 |
359 | ||||
|
(1)] (1i)] Credit Score |
710 |
623 |
817 | ||||
|
(1) Weighted Average reflected in Total. (i1)] Non-Zero Weighted Average Credit Score | |||||||
|
|
|
Percent of Cut-Off Date | |||||
|
|
Range |
Principal Balance | |||||
|
Product Type |
Fixed Rate |
100.00% |
| ||||
|
|
|
|
| ||||
|
Lien |
First |
100.00% |
| ||||
|
|
|
|
| ||||
|
Property Type |
Two- to four- family units |
18.43% |
| ||||
|
|
Condominium |
8.87% |
| ||||
|
|
Hi-Condo |
1.85% |
| ||||
|
|
PUD |
19.12% |
| ||||
|
|
Single-family |
51.73% |
| ||||
|
|
|
|
| ||||
|
Geographic Distribution |
California |
16.01% |
| ||||
|
|
Florida |
15.72% |
| ||||
|
|
New York |
10.03% |
| ||||
|
|
Illinois |
9.23% |
| ||||
|
|
|
|
| ||||
|
|
|
|
| ||||
|
Number of States (including DC) |
40 |
|
| ||||
|
|
|
|
| ||||
|
Documentation Type |
Full/Alternative |
14.73% |
| ||||
|
|
No Documentation |
10.88% |
| ||||
|
|
No Ratio |
21.28% |
| ||||
|
|
Stated Income |
44.83% |
| ||||
|
|
Stated/Stated |
8.28% |
| ||||
|
|
|
|
| ||||
|
|
|
|
| ||||
|
|
|
|
| ||||
|
Loans with Prepayment Penalties |
|
24.43% |
| ||||
|
Interest Only Loans |
|
100.00% |
| ||||
|
|
|
|
| ||||
Credit Score Distribution of the Mortgage Loans in Loan Group II-2
|
Range of Credit Scores |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
620 – 639 |
4 |
634,000 |
0.69 |
158,500 |
78.81 |
100.00 |
100.00 |
|
640 – 659 |
8 |
1,108,100 |
1.21 |
138,513 |
75.96 |
71.08 |
100.00 |
|
660 – 679 |
84 |
21,373,442 |
23.37 |
254,446 |
73.60 |
11.67 |
100.00 |
|
680 – 699 |
66 |
18,485,011 |
20.22 |
280,076 |
70.20 |
3.06 |
100.00 |
|
700 – 719 |
62 |
18,187,152 |
19.89 |
293,341 |
70.61 |
10.19 |
100.00 |
|
720 – 739 |
51 |
13,403,837 |
14.66 |
262,820 |
72.11 |
15.42 |
100.00 |
|
740 – 759 |
41 |
8,134,928 |
8.90 |
198,413 |
73.44 |
20.08 |
100.00 |
|
760 – 779 |
19 |
6,178,230 |
6.76 |
325,170 |
73.38 |
20.76 |
100.00 |
|
780 – 799 |
4 |
3,269,250 |
3.58 |
817,313 |
62.29 |
65.83 |
100.00 |
|
800 – 819 |
3 |
665,300 |
0.73 |
221,767 |
73.27 |
0.00 |
100.00 |
|
Total / Weighted Average: |
342 |
91,439,250 |
100.00 |
267,366 |
71.73 |
14.73 |
100.00 |
Debt-to-Income Ratios of the Mortgage Loans in Loan Group II-2
|
Range of Debt-to-Income Ratios (%) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
0.00% - 0.00% |
87 |
29,405,260 |
32.16 |
337,991 |
719 |
70.40 |
0.00 |
100.00 |
|
0.01% - 5.00% |
2 |
163,450 |
0.18 |
81,725 |
698 |
70.00 |
0.00 |
100.00 |
|
5.01% - 10.00% |
4 |
1,919,900 |
2.10 |
479,975 |
695 |
66.20 |
2.79 |
100.00 |
|
10.01% - 15.00% |
3 |
497,850 |
0.54 |
165,950 |
685 |
78.23 |
0.00 |
100.00 |
|
15.01% - 20.00% |
14 |
1,417,750 |
1.55 |
101,268 |
714 |
77.43 |
17.61 |
100.00 |
|
20.01% - 25.00% |
11 |
1,077,850 |
1.18 |
97,986 |
723 |
74.99 |
25.41 |
100.00 |
|
25.01% - 30.00% |
25 |
6,750,494 |
7.38 |
270,020 |
709 |
73.54 |
17.91 |
100.00 |
|
30.01% - 35.00% |
47 |
10,020,328 |
10.96 |
213,198 |
710 |
73.33 |
19.18 |
100.00 |
|
35.01% - 40.00% |
68 |
19,048,105 |
20.83 |
280,119 |
710 |
71.27 |
27.23 |
100.00 |
|
40.01% - 45.00% |
52 |
11,475,090 |
12.55 |
220,675 |
690 |
72.58 |
18.74 |
100.00 |
|
45.01% - 50.00% |
27 |
9,086,153 |
9.94 |
336,524 |
711 |
72.08 |
21.76 |
100.00 |
|
50.01% - 55.00% |
2 |
577,020 |
0.63 |
288,510 |
667 |
76.30 |
77.73 |
100.00 |
|
Total / Weighted Average |
342 |
91,439,250 |
100.00 |
267,366 |
710 |
71.73 |
14.73 |
100.00 |
Original Mortgage Loan Principal Balances of the Mortgage Loans in Loan Group II-2
|
Range of Original Mortgage Loan Principal Balances ($) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
$1 - $100,000 |
99 |
6,730,368 |
7.36 |
67,984 |
710 |
74.13 |
36.48 |
100.00 |
|
$100,000 - $200,000 |
103 |
14,195,136 |
15.52 |
137,817 |
703 |
73.42 |
28.49 |
100.00 |
|
$200,000 - $300,000 |
46 |
11,023,022 |
12.06 |
239,631 |
689 |
75.49 |
6.52 |
100.00 |
|
$300,000 - $359,650 |
12 |
3,956,747 |
4.33 |
329,729 |
710 |
77.65 |
16.91 |
100.00 |
|
$359,651 - $400,000 |
10 |
3,828,680 |
4.19 |
382,868 |
714 |
72.97 |
10.37 |
100.00 |
|
$400,001 - $500,000 |
22 |
9,987,370 |
10.92 |
453,971 |
716 |
70.55 |
14.16 |
100.00 |
|
$500,001 - $600,000 |
11 |
5,986,665 |
6.55 |
544,242 |
723 |
70.82 |
17.60 |
100.00 |
|
$600,001 - $700,000 |
13 |
8,311,000 |
9.09 |
639,308 |
714 |
72.12 |
0.00 |
100.00 |
|
$700,001 - $800,000 |
6 |
4,529,640 |
4.95 |
754,940 |
690 |
67.88 |
15.81 |
100.00 |
|
$800,001 - $900,000 |
8 |
6,846,222 |
7.49 |
855,778 |
707 |
72.41 |
0.00 |
100.00 |
|
$900,001 - $1,000,000 |
6 |
5,952,500 |
6.51 |
992,083 |
719 |
69.85 |
0.00 |
100.00 |
|
$1,000,001 - $1,200,000 |
1 |
1,190,000 |
1.30 |
1,190,000 |
735 |
70.00 |
0.00 |
100.00 |
|
$1,200,001 - $1,400,000 |
1 |
1,387,500 |
1.52 |
1,387,500 |
752 |
75.12 |
0.00 |
100.00 |
|
$1,400,001 - $1,500,000 |
1 |
1,500,000 |
1.64 |
1,500,000 |
718 |
60.00 |
0.00 |
100.00 |
|
$1,500,001 and greater |
3 |
6,014,400 |
6.58 |
2,004,800 |
728 |
62.22 |
33.25 |
100.00 |
|
Total / Weighted Average |
342 |
91,439,250 |
100.00 |
267,366 |
710 |
71.73 |
14.73 |
100.00 |
Current Mortgage Loan Principal Balances of the Mortgage Loans in Loan Group II-2
|
Range of Original Mortgage Loan Principal Balances ($) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
$1 - $100,000 |
99 |
6,730,368 |
7.36 |
67,984 |
710 |
74.13 |
36.48 |
100.00 |
|
$100,000 - $200,000 |
103 |
14,195,136 |
15.52 |
137,817 |
703 |
73.42 |
28.49 |
100.00 |
|
$200,000 - $300,000 |
46 |
11,023,022 |
12.06 |
239,631 |
689 |
75.49 |
6.52 |
100.00 |
|
$300,000 - $359,650 |
12 |
3,956,747 |
4.33 |
329,729 |
710 |
77.65 |
16.91 |
100.00 |
|
$359,651 - $400,000 |
10 |
3,828,680 |
4.19 |
382,868 |
714 |
72.97 |
10.37 |
100.00 |
|
$400,001 - $500,000 |
22 |
9,987,370 |
10.92 |
453,971 |
716 |
70.55 |
14.16 |
100.00 |
|
$500,001 - $600,000 |
11 |
5,986,665 |
6.55 |
544,242 |
723 |
70.82 |
17.60 |
100.00 |
|
$600,001 - $700,000 |
13 |
8,311,000 |
9.09 |
639,308 |
714 |
72.12 |
0.00 |
100.00 |
|
$700,001 - $800,000 |
6 |
4,529,640 |
4.95 |
754,940 |
690 |
67.88 |
15.81 |
100.00 |
|
$800,001 - $900,000 |
8 |
6,846,222 |
7.49 |
855,778 |
707 |
72.41 |
0.00 |
100.00 |
|
$900,001 - $1,000,000 |
6 |
5,952,500 |
6.51 |
992,083 |
719 |
69.85 |
0.00 |
100.00 |
|
$1,000,001 - $1,200,000 |
1 |
1,190,000 |
1.30 |
1,190,000 |
735 |
70.00 |
0.00 |
100.00 |
|
$1,200,001 - $1,400,000 |
1 |
1,387,500 |
1.52 |
1,387,500 |
752 |
75.12 |
0.00 |
100.00 |
|
$1,400,001 - $1,500,000 |
1 |
1,500,000 |
1.64 |
1,500,000 |
718 |
60.00 |
0.00 |
100.00 |
|
$1,500,001 and greater |
3 |
6,014,400 |
6.58 |
2,004,800 |
728 |
62.22 |
33.25 |
100.00 |
|
Total / Weighted Average |
342 |
91,439,250 |
100.00 |
267,366 |
710 |
71.73 |
14.73 |
100.00 |
Net Mortgage Rates of the Mortgage Loans in Loan Group II-2
|
Range of Net Mortgage Rates (%) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
6.000% - 6.499% |
34 |
5,329,047 |
5.83 |
156,737 |
697 |
72.85 |
17.73 |
100.00 |
|
6.500% - 6.999% |
185 |
51,749,521 |
56.59 |
279,727 |
713 |
71.11 |
16.02 |
100.00 |
|
7.000% - 7.499% |
80 |
23,097,849 |
25.26 |
288,723 |
706 |
71.42 |
16.60 |
100.00 |
|
7.500% - 7.999% |
29 |
8,438,893 |
9.23 |
290,996 |
716 |
74.13 |
3.07 |
100.00 |
|
8.000% - 8.499% |
14 |
2,823,940 |
3.09 |
201,710 |
699 |
76.17 |
5.03 |
100.00 |
|
Total / Weighted Average |
342 |
91,439,250 |
100.00 |
267,366 |
710 |
71.73 |
14.73 |
100.00 |
Mortgage Rates of the Mortgage Loans in Loan Group II-2
|
Range of Mortgage Rates (%) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
6.500% - 6.999% |
123 |
30,589,775 |
33.45 |
248,697 |
713 |
71.74 |
17.71 |
100.00 |
|
7.000% - 7.499% |
116 |
29,993,112 |
32.80 |
258,561 |
708 |
70.70 |
16.59 |
100.00 |
|
7.500% - 7.999% |
81 |
25,444,723 |
27.83 |
314,132 |
709 |
72.25 |
10.91 |
100.00 |
|
8.000% - 8.499% |
22 |
5,411,640 |
5.92 |
245,984 |
712 |
74.93 |
5.51 |
100.00 |
|
Total / Weighted Average |
342 |
91,439,250 |
100.00 |
267,366 |
710 |
71.73 |
14.73 |
100.00 |
Original Loan-to-Value Ratios of the Mortgage Loans in Loan Group II-2
|
Range of Original Loan-to-Value Ratios (%) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Percent Full Documentation |
Percent Interest Only |
|
20.01% - 25.00% |
1 |
165,000 |
0.18 |
165,000 |
752 |
0.00 |
100.00 |
|
40.01% - 45.00% |
1 |
70,000 |
0.08 |
70,000 |
738 |
0.00 |
100.00 |
|
45.01% - 50.00% |
1 |
416,000 |
0.45 |
416,000 |
719 |
0.00 |
100.00 |
|
50.01% - 55.00% |
1 |
126,000 |
0.14 |
126,000 |
670 |
0.00 |
100.00 |
|
55.01% - 60.00% |
4 |
5,030,000 |
5.50 |
1,257,500 |
740 |
39.76 |
100.00 |
|
60.01% - 65.00% |
11 |
7,271,150 |
7.95 |
661,014 |
704 |
15.36 |
100.00 |
|
65.01% - 70.00% |
160 |
41,845,159 |
45.76 |
261,532 |
712 |
9.03 |
100.00 |
|
70.01% - 75.00% |
48 |
14,072,440 |
15.39 |
293,176 |
705 |
6.16 |
100.00 |
|
75.01% - 80.00% |
101 |
21,154,626 |
23.14 |
209,452 |
703 |
23.26 |
100.00 |
|
80.01% - 85.00% |
9 |
503,625 |
0.55 |
55,958 |
711 |
0.00 |
100.00 |
|
85.01% - 90.00% |
5 |
785,250 |
0.86 |
157,050 |
757 |
100.00 |
100.00 |
|
Total / Weighted Average |
342 |
91,439,250 |
100.00 |
267,366 |
710 |
14.73 |
100.00 |
Geographic Distribution of Mortgaged Properties of the Mortgage Loans in Loan Group II-2
|
State or Territory |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
California |
28 |
14,637,650 |
16.01 |
522,773 |
714 |
72.95 |
9.46 |
100.00 |
|
Florida |
42 |
14,370,615 |
15.72 |
342,158 |
710 |
69.53 |
1.80 |
100.00 |
|
New York |
21 |
9,170,530 |
10.03 |
436,692 |
708 |
71.97 |
23.68 |
100.00 |
|
Illinois |
35 |
8,440,752 |
9.23 |
241,164 |
696 |
72.67 |
10.09 |
100.00 |
|
Virginia |
12 |
4,480,470 |
4.90 |
373,373 |
729 |
71.64 |
5.38 |
100.00 |
|
Maine |
4 |
4,271,900 |
4.67 |
1,067,975 |
718 |
66.73 |
3.37 |
100.00 |
|
North Carolina |
23 |
3,994,100 |
4.37 |
173,657 |
709 |
72.63 |
30.26 |
100.00 |
|
South Carolina |
12 |
3,490,220 |
3.82 |
290,852 |
772 |
64.74 |
57.30 |
100.00 |
|
Maryland |
11 |
2,732,200 |
2.99 |
248,382 |
688 |
71.53 |
15.67 |
100.00 |
|
Colorado |
10 |
2,642,583 |
2.89 |
264,258 |
705 |
74.32 |
18.43 |
100.00 |
|
Massachusetts |
10 |
2,457,080 |
2.69 |
245,708 |
702 |
69.94 |
11.74 |
100.00 |
|
Nevada |
5 |
2,125,850 |
2.32 |
425,170 |
680 |
70.85 |
17.08 |
100.00 |
|
Other (1) |
129 |
18,625,300 |
20.37 |
144,382 |
704 |
74.20 |
19.56 |
100.00 |
|
Total / Weighted Average |
342 |
91,439,250 |
100.00 |
267,366 |
710 |
71.73 |
14.73 |
100.00 |
1) Other includes states and the District of Columbia with fewer than 2% concentrations individually.
Subordinate Financing of the Mortgage Loans in Loan Group II-2
|
Range of Junior Ratios (%) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
NO |
113 |
27,151,887 |
29.69 |
240,282 |
712 |
71.73 |
17.40 |
100.00 |
|
YES |
229 |
64,287,363 |
70.31 |
280,731 |
709 |
71.73 |
13.60 |
100.00 |
|
Total / Weighted Average |
342 |
91,439,250 |
100.00 |
267,366 |
710 |
71.73 |
14.73 |
100.00 |
Mortgage Loan Purpose of the Mortgage Loans in Loan Group II-2
|
Loan Purpose |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
Equity Refinance |
118 |
35,735,920 |
39.08 |
302,847 |
710 |
69.85 |
19.17 |
100.00 |
|
Purchase |
183 |
47,292,887 |
51.72 |
258,431 |
714 |
72.67 |
11.02 |
100.00 |
|
Rate/Term Refinance |
41 |
8,410,443 |
9.20 |
205,133 |
692 |
74.39 |
16.71 |
100.00 |
|
Total / Weighted Average |
342 |
91,439,250 |
100.00 |
267,366 |
710 |
71.73 |
14.73 |
100.00 |
Mortgage Loan Documentation Type of the Mortgage Loans in Loan Group II-2
|
Documentation Type |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
Full/Alternative |
79 |
13,469,658 |
14.73 |
170,502 |
721 |
72.58 |
100.00 |
100.00 |
|
No Documentation |
23 |
9,944,163 |
10.88 |
432,355 |
721 |
68.51 |
0.00 |
100.00 |
|
No Ratio |
64 |
19,461,097 |
21.28 |
304,080 |
718 |
71.36 |
0.00 |
100.00 |
|
Stated Income |
155 |
40,994,507 |
44.83 |
264,481 |
700 |
72.54 |
0.00 |
100.00 |
|
Stated/Stated |
21 |
7,569,825 |
8.28 |
360,468 |
708 |
70.96 |
0.00 |
100.00 |
|
Total / Weighted Average |
342 |
91,439,250 |
100.00 |
267,366 |
710 |
71.73 |
14.73 |
100.00 |
Occupancy Types of the Mortgage Loans in Loan Group II-2
|
Occupancy |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
Investor |
162 |
25,271,574 |
27.64 |
155,997 |
711 |
72.75 |
24.02 |
100.00 |
|
Primary Residence |
163 |
57,495,769 |
62.88 |
352,735 |
704 |
72.14 |
8.11 |
100.00 |
|
Second/Vacation |
17 |
8,671,907 |
9.48 |
510,112 |
746 |
66.04 |
31.57 |
100.00 |
|
Total / Weighted Average |
342 |
91,439,250 |
100.00 |
267,366 |
710 |
71.73 |
14.73 |
100.00 |
Mortgaged Property Types of the Mortgage Loans in Loan Group II-2
|
Property Type |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
Two- to four- family units |
59 |
16,856,441 |
18.43 |
285,702 |
712 |
72.96 |
22.96 |
100.00 |
|
Condominium |
45 |
8,107,222 |
8.87 |
180,160 |
714 |
72.40 |
18.64 |
100.00 |
|
Hi-Rise Condo |
1 |
1,690,000 |
1.85 |
1,690,000 |
693 |
65.00 |
0.00 |
100.00 |
|
Planned Unit Development |
43 |
17,484,718 |
19.12 |
406,621 |
711 |
70.63 |
17.68 |
100.00 |
|
Single-family |
194 |
47,300,869 |
51.73 |
243,819 |
709 |
71.82 |
10.56 |
100.00 |
|
Total / Weighted Average |
342 |
91,439,250 |
100.00 |
267,366 |
710 |
71.73 |
14.73 |
100.00 |
Prepayment Penalty Terms of the Mortgage Loans in Loan Group II-2
|
Prepayment Penalty Term |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
None |
250 |
69,099,510 |
75.57 |
276,398 |
712 |
71.86 |
15.29 |
100.00 |
|
12 Months |
5 |
976,150 |
1.07 |
195,230 |
707 |
71.32 |
0.00 |
100.00 |
|
24 Months |
28 |
5,031,662 |
5.50 |
179,702 |
706 |
72.27 |
19.55 |
100.00 |
|
36 Months |
39 |
12,082,153 |
13.21 |
309,799 |
704 |
69.41 |
7.39 |
100.00 |
|
60 Months |
20 |
4,249,775 |
4.65 |
212,489 |
699 |
75.58 |
24.14 |
100.00 |
|
Total / Weighted Average |
342 |
91,439,250 |
100.00 |
267,366 |
710 |
71.73 |
14.73 |
100.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Only Terms of the Mortgage Loans in Loan Group II-2
|
Interest Only Term |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Combined Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
60 Months |
3 |
523,992 |
0.57 |
174,664 |
692 |
80.00 |
0.00 |
100.00 |
|
120 Months |
339 |
90,915,258 |
99.43 |
268,187 |
710 |
71.68 |
14.82 |
100.00 |
|
Total / Weighted Average |
342 |
91,439,250 |
100.00 |
267,366 |
710 |
71.73 |
14.73 |
100.00 |
Selected Collateral Characteristics For the Mortgage Loans In Loan Group II
As of the Cut-Off Date
|
Summary |
Total |
Minimum |
Maximum | |||
|
Aggregate Outstanding Principal Balance |
$248,850,991 |
|
| |||
|
Number of Loans |
1,111 |
|
| |||
|
Average Scheduled Principal Balance |
$223,988 |
$27,650 |
$2,324,400 | |||
|
(1) Original Loan-to-Value Ratio |
72.02% |
16.09% |
95.00% | |||
|
(1) Mortgage Rate |
6.9413% |
5.3750% |
9.6250% | |||
|
(1) Net Mortgage Rate |
6.6813% |
5.1150% |
9.3650% | |||
|
(1) Remaining Term to Stated Maturity (months) |
353 |
166 |
360 | |||
|
(1)] (1i)] Credit Score |
713 |
623 |
835 | |||
|
(1) Weighted Average reflected in Total. (i1)] Non-Zero Weighted Average Credit Score | ||||||
|
|
|
Percent of Cut-Off Date | ||||
|
|
Range |
Principal Balance | ||||
|
Product Type |
Fixed Rate |
100.00% |
| |||
|
|
|
|
| |||
|
Lien |
First |
100.00% |
| |||
|
|
|
|
| |||
|
Property Type |
Two- to four- family units |
14.98% |
| |||
|
|
Condominium |
7.59% |
| |||
|
|
Hi-Condo |
0.86% |
| |||
|
|
PUD |
18.77% |
| |||
|
|
Single-family |
57.67% |
| |||
|
|
Townhouse |
0.13% |
| |||
|
|
|
|
| |||
|
Geographic Distribution |
California |
16.25% |
| |||
|
|
Florida |
14.64% |
| |||
|
|
New York |
7.48% |
| |||
|
|
Texas |
5.58% |
| |||
|
|
Illinois |
5.03% |
| |||
|
|
|
|
| |||
|
|
|
|
| |||
|
|
|
|
| |||
|
Number of States (including DC) |
44 |
|
| |||
|
|
|
|
| |||
|
Documentation Type |
Full/Alternative |
15.78% |
| |||
|
|
No Documentation |
14.99% |
| |||
|
|
No Income/No Asset |
0.20% |
| |||
|
|
No Ratio |
17.75% |
| |||
|
|
No Ratio/No VOE |
0.09% |
| |||
|
|
Stated Income |
44.65% |
| |||
|
|
Stated/Stated |
6.54% |
| |||
|
|
|
|
| |||
|
|
|
|
| |||
|
|
|
|
| |||
|
Loans with Prepayment Penalties |
|
34.21% |
| |||
|
Interest Only Loans |
|
61.27% |
| |||
|
|
|
|
| |||
Credit Score Distribution of the Mortgage Loans in Loan Group II
|
Range of Credit Scores |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
N/A |
7 |
1,365,188 |
0.55 |
195,027 |
70.26 |
5.27 |
0.00 |
|
600 - 619 |
1 |
349,747 |
0.14 |
349,747 |
45.16 |
100.00 |
0.00 |
|
620 - 639 |
14 |
2,610,138 |
1.05 |
186,438 |
76.88 |
67.75 |
40.90 |
|
640 - 659 |
36 |
6,455,450 |
2.59 |
179,318 |
73.64 |
54.01 |
36.88 |
|
660 - 679 |
219 |
45,133,689 |
18.14 |
206,090 |
73.33 |
10.75 |
65.59 |
|
680 - 699 |
239 |
52,263,140 |
21.00 |
218,674 |
72.13 |
9.58 |
64.32 |
|
700 - 719 |
192 |
45,575,503 |
18.31 |
237,372 |
72.12 |
15.30 |
63.30 |
|
720 - 739 |
139 |
30,507,362 |
12.26 |
219,477 |
72.67 |
10.97 |
65.57 |
|
740 - 759 |
112 |
23,487,112 |
9.44 |
209,706 |
70.46 |
20.31 |
67.80 |
|
760 - 779 |
96 |
25,416,284 |
10.21 |
264,753 |
72.12 |
20.60 |
52.82 |
|
780 - 799 |
43 |
12,500,584 |
5.02 |
290,711 |
67.15 |
21.39 |
46.50 |
|
800 - 819 |
12 |
2,687,305 |
1.08 |
223,942 |
71.81 |
27.61 |
66.92 |
|
820 - 839 |
1 |
499,490 |
0.20 |
499,490 |
61.73 |
0.00 |
0.00 |
|
Total / Weighted Average: |
1,111 |
248,850,991 |
100.00 |
223,988 |
72.02 |
15.78 |
61.27 |
Debt-to-Income Ratios of the Mortgage Loans in Loan Group II
|
Range of Debt-to-Income Ratios (%) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
0.00% - 0.00% |
342 |
82,184,546 |
33.03 |
240,306 |
717 |
69.36 |
0.00 |
63.67 |
|
0.01% - 5.00% |
3 |
471,450 |
0.19 |
157,150 |
700 |
76.53 |
0.00 |
34.67 |
|
5.01% - 10.00% |
11 |
2,500,491 |
1.00 |
227,317 |
702 |
69.22 |
2.14 |
76.78 |
|
10.01% - 15.00% |
11 |
1,913,500 |
0.77 |
173,955 |
691 |
77.37 |
2.82 |
59.26 |
|
15.01% - 20.00% |
38 |
3,915,258 |
1.57 |
103,033 |
699 |
73.20 |
22.74 |
50.66 |
|
20.01% - 25.00% |
44 |
7,696,719 |
3.09 |
174,925 |
734 |
73.89 |
34.83 |
49.25 |
|
25.01% - 30.00% |
88 |
18,526,526 |
7.44 |
210,529 |
710 |
72.93 |
19.78 |
54.90 |
|
30.01% - 35.00% |
144 |
32,298,204 |
12.98 |
224,293 |
713 |
72.54 |
15.54 |
58.12 |
|
35.01% - 40.00% |
170 |
39,881,680 |
16.03 |
234,598 |
713 |
73.32 |
28.45 |
69.71 |
|
40.01% - 45.00% |
172 |
36,485,517 |
14.66 |
212,125 |
707 |
73.93 |
24.94 |
59.55 |
|
45.01% - 50.00% |
81 |
20,897,397 |
8.40 |
257,993 |
713 |
73.52 |
26.47 |
55.86 |
|
50.01% - 55.00% |
7 |
2,079,705 |
0.84 |
297,101 |
711 |
75.46 |
45.22 |
48.98 |
|
Total / Weighted Average |
1,111 |
248,850,991 |
100.00 |
223,988 |
713 |
72.02 |
15.78 |
61.27 |
Original Mortgage Loan Principal Balances of the Mortgage Loans in Loan Group II
|
Range of Original Mortgage Loan Principal Balances ($) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
$1 - $100,000 |
367 |
25,392,415 |
10.20 |
69,189 |
709 |
74.12 |
23.37 |
40.27 |
|
$100,000 - $200,000 |
354 |
49,505,279 |
19.89 |
139,845 |
707 |
74.22 |
22.33 |
55.73 |
|
$200,000 - $300,000 |
145 |
35,545,287 |
14.28 |
245,140 |
700 |
74.78 |
13.13 |
71.55 |
|
$300,000 - $359,650 |
45 |
14,949,708 |
6.01 |
332,216 |
719 |
71.54 |
16.09 |
71.90 |
|
$359,651 - $400,000 |
19 |
7,217,255 |
2.90 |
379,856 |
714 |
72.99 |
5.50 |
74.52 |
|
$400,001 - $500,000 |
74 |
33,756,910 |
13.57 |
456,174 |
723 |
70.69 |
15.30 |
58.29 |
|
$500,001 - $600,000 |
30 |
16,335,047 |
6.56 |
544,502 |
727 |
67.65 |
22.53 |
63.40 |
|
$600,001 - $700,000 |
32 |
20,692,361 |
8.32 |
646,636 |
717 |
72.32 |
6.30 |
59.06 |
|
$700,001 - $800,000 |
12 |
8,978,392 |
3.61 |
748,199 |
698 |
67.86 |
7.98 |
66.71 |
|
$800,001 - $900,000 |
10 |
8,563,760 |
3.44 |
856,376 |
715 |
71.58 |
0.00 |
79.94 |
|
$900,001 - $1,000,000 |
14 |
13,715,201 |
5.51 |
979,657 |
718 |
70.11 |
14.26 |
57.76 |
|
$1,100,001 - $1,200,000 |
1 |
1,190,000 |
0.48 |
1,190,000 |
735 |
70.00 |
0.00 |
100.00 |
|
$1,300,001 - $1,400,000 |
3 |
4,042,475 |
1.62 |
1,347,492 |
731 |
71.76 |
0.00 |
34.32 |
|
$1,400,001 - $1,500,000 |
2 |
2,952,500 |
1.19 |
1,476,250 |
720 |
64.92 |
0.00 |
50.80 |
|
$1,500,000 and greater |
3 |
6,014,400 |
2.42 |
2,004,800 |
728 |
62.22 |
33.25 |
100.00 |
|
Total / Weighted Average |
1,111 |
248,850,991 |
100.00 |
223,988 |
713 |
72.02 |
15.78 |
61.27 |
Current Mortgage Loan Principal Balances of the Mortgage Loans in Loan Group II
|
Range of Original Mortgage Loan Principal Balances ($) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
$1 - $100,000 |
367 |
25,392,415 |
10.20 |
69,189 |
709 |
74.12 |
23.37 |
40.27 |
|
$100,000 - $200,000 |
354 |
49,505,279 |
19.89 |
139,845 |
707 |
74.22 |
22.33 |
55.73 |
|
$200,000 - $300,000 |
145 |
35,545,287 |
14.28 |
245,140 |
700 |
74.78 |
13.13 |
71.55 |
|
$300,000 - $359,650 |
45 |
14,949,708 |
6.01 |
332,216 |
719 |
71.54 |
16.09 |
71.90 |
|
$359,651 - $400,000 |
19 |
7,217,255 |
2.90 |
379,856 |
714 |
72.99 |
5.50 |
74.52 |
|
$400,001 - $500,000 |
74 |
33,756,910 |
13.57 |
456,174 |
723 |
70.69 |
15.30 |
58.29 |
|
$500,001 - $600,000 |
30 |
16,335,047 |
6.56 |
544,502 |
727 |
67.65 |
22.53 |
63.40 |
|
$600,001 - $700,000 |
32 |
20,692,361 |
8.32 |
646,636 |
717 |
72.32 |
6.30 |
59.06 |
|
$700,001 - $800,000 |
12 |
8,978,392 |
3.61 |
748,199 |
698 |
67.86 |
7.98 |
66.71 |
|
$800,001 - $900,000 |
10 |
8,563,760 |
3.44 |
856,376 |
715 |
71.58 |
0.00 |
79.94 |
|
$900,001 - $1,000,000 |
14 |
13,715,201 |
5.51 |
979,657 |
718 |
70.11 |
14.26 |
57.76 |
|
$1,100,001 - $1,200,000 |
1 |
1,190,000 |
0.48 |
1,190,000 |
735 |
70.00 |
0.00 |
100.00 |
|
$1,300,001 - $1,400,000 |
3 |
4,042,475 |
1.62 |
1,347,492 |
731 |
71.76 |
0.00 |
34.32 |
|
$1,400,001 - $1,500,000 |
2 |
2,952,500 |
1.19 |
1,476,250 |
720 |
64.92 |
0.00 |
50.80 |
|
$1,500,000 and greater |
3 |
6,014,400 |
2.42 |
2,004,800 |
728 |
62.22 |
33.25 |
100.00 |
|
Total / Weighted Average |
1,111 |
248,850,991 |
100.00 |
223,988 |
713 |
72.02 |
15.78 |
61.27 |
Net Mortgage Rates of the Mortgage Loans in Loan Group II
|
Range of Net Mortgage Rates (%) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
5.000% - 5.499% |
15 |
5,386,211 |
2.16 |
359,081 |
760 |
66.46 |
18.65 |
36.15 |
|
5.500% - 5.999% |
125 |
33,629,131 |
13.51 |
269,033 |
723 |
68.13 |
16.63 |
62.59 |
|
6.000% - 6.499% |
249 |
59,265,301 |
23.82 |
238,013 |
715 |
71.35 |
23.51 |
63.78 |
|
6.500% - 6.999% |
370 |
86,500,464 |
34.76 |
233,785 |
708 |
72.25 |
14.01 |
63.01 |
|
7.000% - 7.499% |
241 |
43,637,928 |
17.54 |
181,070 |
705 |
74.19 |
13.06 |
58.86 |
|
7.500% - 7.999% |
73 |
14,904,511 |
5.99 |
204,171 |
721 |
75.60 |
4.03 |
58.18 |
|
8.000% - 8.499% |
35 |
4,836,514 |
1.94 |
138,186 |
706 |
77.50 |
6.85 |
58.39 |
|
8.500% - 8.999% |
1 |
275,532 |
0.11 |
275,532 |
742 |
80.00 |
0.00 |
0.00 |
|
9.000% - 9.499% |
2 |
415,399 |
0.17 |
207,700 |
690 |
79.99 |
0.00 |
0.00 |
|
Total / Weighted Average |
1,111 |
248,850,991 |
100.00 |
223,988 |
713 |
72.02 |
15.78 |
61.27 |
Mortgage Rates of the Mortgage Loans in Loan Group II
|
Range of Mortgage Rates (%) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
5.000% - 5.499% |
1 |
140,800 |
0.06 |
140,800 |
688 |
80.00 |
100.00 |
100.00 |
|
5.500% - 5.999% |
39 |
11,115,968 |
4.47 |
285,025 |
745 |
67.81 |
17.22 |
54.65 |
|
6.000% - 6.499% |
151 |
38,985,718 |
15.67 |
258,184 |
722 |
68.45 |
14.10 |
62.85 |
|
6.500% - 6.999% |
346 |
85,793,668 |
34.48 |
247,959 |
712 |
71.67 |
22.20 |
66.53 |
|
7.000% - 7.499% |
275 |
56,348,996 |
22.64 |
204,905 |
707 |
72.85 |
13.35 |
56.22 |
|
7.500% - 7.999% |
227 |
44,752,063 |
17.98 |
197,146 |
707 |
74.39 |
10.08 |
61.65 |
|
8.000% - 8.499% |
54 |
9,671,846 |
3.89 |
179,108 |
723 |
76.90 |
6.09 |
55.95 |
|
8.500% - 8.999% |
16 |
1,626,533 |
0.65 |
101,658 |
721 |
78.92 |
3.32 |
0.00 |
|
9.500% - 9.999% |
2 |
415,399 |
0.17 |
207,700 |
690 |
79.99 |
0.00 |
0.00 |
|
Total / Weighted Average |
1,111 |
248,850,991 |
100.00 |
223,988 |
713 |
72.02 |
15.78 |
61.27 |
Original Loan-to-Value Ratios of the Mortgage Loans in Loan Group II
|
Range of Original Loan-to-Value Ratios (%) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Percent Full Documentation |
Percent Interest Only |
|
15.01% - 20.00% |
2 |
129,900 |
0.05 |
64,950 |
735 |
0.00 |
46.11 |
|
20.01% - 25.00% |
4 |
1,362,437 |
0.55 |
340,609 |
753 |
0.00 |
56.15 |
|
30.01% - 35.00% |
1 |
461,000 |
0.19 |
461,000 |
764 |
0.00 |
100.00 |
|
35.01% - 40.00% |
4 |
300,806 |
0.12 |
75,201 |
701 |
0.00 |
50.53 |
|
40.01% - 45.00% |
5 |
1,032,163 |
0.41 |
206,433 |
690 |
70.91 |
16.08 |
|
45.01% - 50.00% |
11 |
3,486,869 |
1.40 |
316,988 |
726 |
10.03 |
61.36 |
|
50.01% - 55.00% |
10 |
3,205,163 |
1.29 |
320,516 |
720 |
0.00 |
82.81 |
|
55.01% - 60.00% |
17 |
9,218,651 |
3.70 |
542,274 |
735 |
22.24 |
67.89 |
|
60.01% - 65.00% |
47 |
16,551,565 |
6.65 |
352,161 |
718 |
20.51 |
64.46 |
|
65.01% - 70.00% |
414 |
97,183,463 |
39.05 |
234,743 |
714 |
10.95 |
67.68 |
|
70.01% - 75.00% |
123 |
30,591,300 |
12.29 |
248,710 |
707 |
12.46 |
69.40 |
|
75.01% - 80.00% |
422 |
79,491,778 |
31.94 |
188,369 |
711 |
21.67 |
50.16 |
|
80.01% - 85.00% |
31 |
2,977,963 |
1.20 |
96,063 |
714 |
0.00 |
31.82 |
|
85.01% - 90.00% |
17 |
2,303,013 |
0.93 |
135,471 |
707 |
41.09 |
45.23 |
|
90.01% - 95.00% |
3 |
554,921 |
0.22 |
184,974 |
750 |
23.26 |
51.85 |
|
Total / Weighted Average |
1,111 |
248,850,991 |
100.00 |
223,988 |
713 |
15.78 |
61.27 |
Geographic Distribution of Mortgaged Properties of the Mortgage Loans in Loan Group II
|
State or Territory |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
California |
94 |
40,429,972 |
16.25 |
430,106 |
720 |
68.93 |
9.42 |
71.41 |
|
Florida |
133 |
36,441,588 |
14.64 |
273,997 |
710 |
71.03 |
14.71 |
72.67 |
|
New York |
48 |
18,618,787 |
7.48 |
387,891 |
719 |
71.27 |
14.59 |
61.51 |
|
Texas |
103 |
13,889,334 |
5.58 |
134,848 |
703 |
76.14 |
15.81 |
14.16 |
|
Illinois |
59 |
12,521,790 |
5.03 |
212,234 |
697 |
72.51 |
11.61 |
73.49 |
|
North Carolina |
51 |
10,129,956 |
4.07 |
198,627 |
698 |
72.65 |
15.76 |
51.05 |
|
Virginia |
34 |
9,680,518 |
3.89 |
284,721 |
730 |
71.41 |
3.33 |
67.71 |
|
Maryland |
36 |
8,927,493 |
3.59 |
247,986 |
699 |
72.44 |
23.15 |
81.71 |
|
Massachusetts |
24 |
7,193,349 |
2.89 |
299,723 |
712 |
68.78 |
20.82 |
51.40 |
|
Georgia |
36 |
5,835,198 |
2.34 |
162,089 |
722 |
76.33 |
20.86 |
55.00 |
|
South Carolina |
27 |
5,491,604 |
2.21 |
203,393 |
756 |
65.53 |
37.33 |
84.70 |
|
Louisiana |
44 |
5,162,274 |
2.07 |
117,324 |
722 |
76.67 |
44.36 |
38.95 |
|
Oregon |
18 |
5,157,547 |
2.07 |
286,530 |
710 |
73.46 |
6.83 |
71.64 |
|
Pennsylvania |
37 |
5,018,584 |
2.02 |
135,637 |
711 |
74.37 |
18.02 |
27.23 |
|
Aarizona |
20 |
5,000,406 |
2.01 |
250,020 |
731 |
71.61 |
16.21 |
44.06 |
|
Other (1) |
347 |
59,352,592 |
23.85 |
171,045 |
711 |
73.70 |
17.92 |
58.38 |
|
Total / Weighted Average |
1,111 |
248,850,991 |
100.00 |
223,988 |
713 |
72.02 |
15.78 |
61.27 |
1) Other includes states and the District of Columbia with fewer than 2% concentrations individually.
Subordinate Financing of the Mortgage Loans in Loan Group II
|
Range of Junior Ratios (%) |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
NO |
409 |
95,986,699 |
38.57 |
234,686 |
717 |
69.72 |
15.67 |
56.99 |
|
YES |
702 |
152,864,292 |
61.43 |
217,755 |
711 |
73.46 |
15.85 |
63.96 |
|
Total / Weighted Average |
1,111 |
248,850,991 |
100.00 |
223,988 |
713 |
72.02 |
15.78 |
61.27 |
Mortgage Loan Purpose of the Mortgage Loans in Loan Group II
|
Loan Purpose |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
Equity Refinance |
338 |
90,697,044 |
36.45 |
268,334 |
709 |
69.58 |
17.50 |
60.48 |
|
Purchase |
615 |
126,286,971 |
50.75 |
205,345 |
718 |
74.26 |
14.24 |
62.09 |
|
Rate/Term Refinance |
158 |
31,866,976 |
12.81 |
201,690 |
708 |
70.09 |
17.02 |
60.32 |
|
Total / Weighted Average |
1,111 |
248,850,991 |
100.00 |
223,988 |
713 |
72.02 |
15.78 |
61.27 |
Mortgage Loan Documentation Type of the Mortgage Loans in Loan Group II
|
Documentation Type |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
Full/Alternative |
218 |
39,277,433 |
15.78 |
180,172 |
714 |
73.20 |
100.00 |
65.11 |
|
No Documentation |
145 |
37,304,634 |
14.99 |
257,273 |
721 |
65.99 |
0.00 |
55.44 |
|
No Income/No Asset |
1 |
489,000 |
0.20 |
489,000 |
664 |
54.64 |
0.00 |
100.00 |
|
No Ratio |
194 |
44,164,630 |
17.75 |
227,653 |
715 |
72.32 |
0.00 |
70.54 |
|
No Ratio/No VOE |
2 |
226,282 |
0.09 |
113,141 |
704 |
79.90 |
0.00 |
0.00 |
|
Stated Income |
488 |
111,108,108 |
44.65 |
227,681 |
711 |
73.57 |
0.00 |
57.26 |
|
Stated/Stated |
63 |
16,280,904 |
6.54 |
258,427 |
706 |
71.98 |
0.00 |
67.30 |
|
Total / Weighted Average |
1,111 |
248,850,991 |
100.00 |
223,988 |
713 |
72.02 |
15.78 |
61.27 |
Occupancy Types of the Mortgage Loans in Loan Group II
|
Occupancy |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
Investor |
502 |
69,525,759 |
27.94 |
138,498 |
715 |
72.16 |
18.49 |
59.58 |
|
Primary Residence |
554 |
158,647,444 |
63.75 |
286,367 |
709 |
72.64 |
13.28 |
61.46 |
|
Second/Vacation |
55 |
20,677,789 |
8.31 |
375,960 |
743 |
66.78 |
25.86 |
65.53 |
|
Total / Weighted Average |
1,111 |
248,850,991 |
100.00 |
223,988 |
713 |
72.02 |
15.78 |
61.27 |
Mortgaged Property Types of the Mortgage Loans in Loan Group II
|
Property Type |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
Two- to four- family units |
176 |
37,287,647 |
14.98 |
211,862 |
710 |
72.36 |
17.95 |
63.70 |
|
Condominium |
109 |
18,889,726 |
7.59 |
173,300 |
723 |
70.93 |
27.72 |
77.51 |
|
Hi-Rise Condo |
3 |
2,131,070 |
0.86 |
710,357 |
701 |
67.53 |
0.00 |
88.42 |
|
Planned Unit Development |
164 |
46,717,675 |
18.77 |
284,864 |
716 |
72.47 |
17.56 |
65.63 |
|
Single-family |
654 |
143,511,511 |
57.67 |
219,437 |
712 |
71.98 |
13.34 |
56.82 |
|
Townhouse |
5 |
313,361 |
0.13 |
62,672 |
719 |
76.80 |
0.00 |
0.00 |
|
Total / Weighted Average |
1,111 |
248,850,991 |
100.00 |
223,988 |
713 |
72.02 |
15.78 |
61.27 |
Prepayment Penalty Terms of the Mortgage Loans in Loan Group II
|
Prepayment Penalty Term |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
None |
681 |
163,717,417 |
65.79 |
240,407 |
714 |
71.81 |
16.51 |
54.70 |
|
6 Months |
2 |
490,316 |
0.20 |
245,158 |
670 |
80.00 |
0.00 |
75.87 |
|
12 Months |
14 |
3,913,913 |
1.57 |
279,565 |
728 |
71.97 |
17.94 |
73.70 |
|
24 Months |
82 |
15,671,576 |
6.30 |
191,117 |
717 |
72.43 |
15.10 |
72.99 |
|
36 Months |
238 |
47,684,329 |
19.16 |
200,354 |
710 |
72.26 |
12.09 |
68.19 |
|
60 Months |
94 |
17,373,441 |
6.98 |
184,824 |
708 |
72.78 |
19.63 |
90.43 |
|
Total / Weighted Average |
1,111 |
248,850,991 |
100.00 |
223,988 |
713 |
72.02 |
15.78 |
61.27 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Only Terms of the Mortgage Loans in Loan Group II
|
Interest Only Term |
Number of Mortgage Loans |
Principal Balance |
Percentage of Total Mortgage Loans |
Average Principal Balance |
Weighted Average Credit Score |
Weighted Average Combined Loan-to-Value Ratio |
Percent Full Documentation |
Percent Interest Only |
|
Not Interest Only |
518 |
96,372,369 |
38.73 |
186,047 |
714 |
73.10 |
14.22 |
0.00 |
|
60 Months |
15 |
3,186,982 |
1.28 |
212,465 |
705 |
71.93 |
17.73 |
100.00 |
|
120 Months |
578 |
149,291,640 |
59.99 |
258,290 |
713 |
71.32 |
16.75 |
100.00 |
|
Total / Weighted Average |
1,111 |
248,850,991 |
100.00 |
223,988 |
713 |
72.02 |
15.78 |
61.27 |
|
Contact Information | |
|
|
|
|
MBS Trading |
|
|
|
|
|
Scott Eichel |
Tel: (212) 272-5451 |
|
|
|
|
Doug Lucas |
Tel: (212) 272-5451 |
|
|
|
|
MBS Structuring |
|
|
|
|
|
Perry Rahbar |
Tel: (212) 272-5451 |
|
|
|
|
MBS Banking |
|
|
|
|
|
Ernie Calabrese |
Tel: (212) 272-9529 |
|
|
|
|
Nicholas Smith |
Tel: (212) 272-1241 |
|
|
|
|
Robert Durden |
Tel: (212) 272-5714 |
|
|
|
|
Syndicate |
|
|
|
|
|
Carol Fuller |
Tel: (212) 272-4955 |
|
|
|
|
Angela Ward |
Tel: (212) 272-4955 |
|
|
|
|
Rating Agencies |
|
|
|
|
|
Marilyn Perez – Fitch |
Tel: (212) 908-0387 |
|
|
|
|
Todd Swanson – Moody’s |
Tel: (415) 274-1714 |
|
|
|
Collateral Grouped by Loan Type
Collateral Grouped by Loan Type Count Balance Percent GWAC WA Strip NWAC Stated WAM Calc WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI WA REM
COMBINED IO TERM
LTV
30Y IO 829 226,045,866.32 100 7.226 0.25 6.976 360 360 0 5.625 9.75 272,673 73.89 85.08 694 37.6 119
TOTAL 829 226,045,866.32 100 7.226 0.25 6.976 360 360 0 5.625 9.75 272,673 73.89 85.08 694 37.6 119
Collateral Grouped by Original Term
Collateral Grouped by Original Term Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal Min WAM Max WAM WA LTV WA WA FICO WA DTI
COMBINED
LTV
181 - 360 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,673 352 360 73.89 85.08 694 37.6
TOTAL 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,673 352 360 73.89 85.08 694 37.6
Collateral Grouped by Original Balance
Collateral Grouped by Original Balance Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
-75,000 55 3,419,603 1.51 7.608 7.358 360 0 6.25 9.375 62,175 76.15 95.43 712 35.83
75,001 - 417,000 618 117,277,704 51.88 7.3748 7.1248 360 0 5.625 9.75 189,770 76.97 91.57 687 37.06
417,001 - 650,000 108 54,783,528 24.24 7.0638 6.8138 359 1 5.625 8.5 507,255 73.9 82.09 701 37.08
650,001 - 1,000,000 34 27,684,060 12.25 7.1173 6.8673 360 0 6.25 8 814,237 71.81 80.53 695 37.91
1,000,001 + 14 22,880,972 10.12 6.9259 6.6759 359 1 6.125 8 1,634,355 60.23 62.91 705 41.18
TOTAL 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,673 73.89 85.08 694 37.6
Collateral Grouped by Current Balance
Collateral Grouped by Current Balance Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
-75,000 55 3,419,603 1.51 7.608 7.358 360 0 6.25 9.375 62,175 76.15 95.43 712 35.83
75,001 - 333,700 570 99,423,344 43.98 7.3803 7.1303 360 0 5.625 9.75 174,427 76.79 91.24 689 36.45
333,701 - 400,000 40 14,597,940 6.46 7.3197 7.0697 360 0 6.25 9.125 364,949 77.97 93.91 681 40.94
400,001 - 650,000 116 58,039,948 25.68 7.0858 6.8358 359 1 5.625 8.625 500,344 74.13 82.6 699 37.29
650,001 - 1,000,000 34 27,684,060 12.25 7.1173 6.8673 360 0 6.25 8 814,237 71.81 80.53 695 37.91
1,000,001 + 14 22,880,972 10.12 6.9259 6.6759 359 1 6.125 8 1,634,355 60.23 62.91 705 41.18
TOTAL 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,673 73.89 85.08 694 37.6
Collateral Grouped by Current Gross Coupon
Collateral Grouped by Current Gross Coupon Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
30_Yr 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,673 73.89 85.08 694 37.6
5.500 - 5.749 2 609,400 0.27 5.625 5.375 356 4 5.625 5.625 304,700 65.16 65.16 760 36.73
5.750 - 5.999 3 725,714 0.32 5.8519 5.6019 356 4 5.75 5.875 241,905 77.9 84.74 742 44.82
6.000 - 6.249 8 2,859,393 1.26 6.0996 5.8496 355 5 6 6.125 357,424 69.06 74.19 742 41.29
6.250 - 6.499 48 17,362,287 7.68 6.3073 6.0573 359 1 6.25 6.375 361,714 69.86 76.61 697 36.15
6.500 - 6.749 68 26,861,390 11.88 6.5584 6.3084 359 1 6.5 6.625 395,020 68.72 75.61 711 37.43
6.750 - 6.999 107 33,954,418 15.02 6.8189 6.5689 360 0 6.75 6.875 317,331 70.07 78.68 686 38.94
7.000 - 7.249 82 19,748,911 8.74 7.057 6.807 360 0 7 7.125 240,840 76.83 89.09 690 35.95
7.250 - 7.499 140 37,541,011 16.61 7.3053 7.0553 360 0 7.25 7.375 268,150 76.31 88.99 696 36.76
7.500 - 7.749 148 38,288,809 16.94 7.5491 7.2991 360 0 7.5 7.625 258,708 74.67 86.85 691 38.94
7.750 - 7.999 113 24,229,804 10.72 7.7964 7.5464 360 0 7.75 7.875 214,423 77.58 93.85 690 37.31
8.000 - 8.249 38 10,207,375 4.52 8.0229 7.7729 360 0 8 8.125 268,615 76.73 88.7 684 38.53
8.250 - 8.499 30 5,823,104 2.58 8.2979 8.0479 360 0 8.25 8.375 194,103 79.15 94.45 688 35.22
8.500 - 8.749 23 3,590,125 1.59 8.5488 8.2988 360 0 8.5 8.625 156,092 77.83 96.08 678 37.04
8.750 - 8.999 8 1,946,984 0.86 8.8211 8.5711 360 0 8.75 8.875 243,373 74.82 87.54 674 34.7
9.000 - 9.249 3 713,422 0.32 9.0988 8.8488 359 1 9 9.125 237,807 76.95 92.18 666 23.83
9.250 - 9.499 4 770,920 0.34 9.2615 9.0115 360 0 9.25 9.375 192,730 78.04 90.28 679 42.98
9.500 - 9.749 2 472,000 0.21 9.5 9.25 360 0 9.5 9.5 236,000 80 100 667 33.89
9.750 - 9.999 2 340,800 0.15 9.75 9.5 360 0 9.75 9.75 170,400 80 96.41 792 11.63
TOTAL 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,673 73.89 85.08 694 37.6
Collateral Grouped by Current Net Coupon
Collateral Grouped by Current Net Coupon Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal Min WAM Max WAM WA LTV WA WA FICO WA DTI
COMBINED
LTV
5.250 - 5.499 2 609,400 0.27 5.625 5.375 356 4 5.625 5.625 304,700 355 358 65.16 65.16 760 36.73
5.500 - 5.749 3 725,714 0.32 5.8519 5.6019 356 4 5.75 5.875 241,905 354 359 77.9 84.74 742 44.82
5.750 - 5.999 8 2,859,393 1.26 6.0996 5.8496 355 5 6 6.125 357,424 353 360 69.06 74.19 742 41.29
6.000 - 6.249 48 17,362,287 7.68 6.3073 6.0573 359 1 6.25 6.375 361,714 352 360 69.86 76.61 697 36.15
6.250 - 6.499 68 26,861,390 11.88 6.5584 6.3084 359 1 6.5 6.625 395,020 353 360 68.72 75.61 711 37.43
6.500 - 6.749 107 33,954,418 15.02 6.8189 6.5689 360 0 6.75 6.875 317,331 354 360 70.07 78.68 686 38.94
6.750 - 6.999 82 19,748,911 8.74 7.057 6.807 360 0 7 7.125 240,840 357 360 76.83 89.09 690 35.95
7.000 - 7.249 140 37,541,011 16.61 7.3053 7.0553 360 0 7.25 7.375 268,150 357 360 76.31 88.99 696 36.76
7.250 - 7.499 148 38,288,809 16.94 7.5491 7.2991 360 0 7.5 7.625 258,708 354 360 74.67 86.85 691 38.94
7.500 - 7.749 113 24,229,804 10.72 7.7964 7.5464 360 0 7.75 7.875 214,423 358 360 77.58 93.85 690 37.31
7.750 - 7.999 38 10,207,375 4.52 8.0229 7.7729 360 0 8 8.125 268,615 358 360 76.73 88.7 684 38.53
8.000 - 8.249 30 5,823,104 2.58 8.2979 8.0479 360 0 8.25 8.375 194,103 356 360 79.15 94.45 688 35.22
8.250 - 8.499 23 3,590,125 1.59 8.5488 8.2988 360 0 8.5 8.625 156,092 357 360 77.83 96.08 678 37.04
8.500 - 8.749 8 1,946,984 0.86 8.8211 8.5711 360 0 8.75 8.875 243,373 359 360 74.82 87.54 674 34.7
8.750 - 8.999 3 713,422 0.32 9.0988 8.8488 359 1 9 9.125 237,807 358 360 76.95 92.18 666 23.83
9.000 - 9.249 4 770,920 0.34 9.2615 9.0115 360 0 9.25 9.375 192,730 360 360 78.04 90.28 679 42.98
9.250 - 9.499 2 472,000 0.21 9.5 9.25 360 0 9.5 9.5 236,000 360 360 80 100 667 33.89
9.500 - 9.749 2 340,800 0.15 9.75 9.5 360 0 9.75 9.75 170,400 359 360 80 96.41 792 11.63
TOTAL 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,673 352 360 73.89 85.08 694 37.6
Collateral Grouped by Remaining Term
Collateral Grouped by Remaining Term Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal Min WAM Max WAM WA LTV WA WA FICO WA DTI
COMBINED
LTV
181 - 360 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,673 352 360 73.89 85.08 694 37.6
TOTAL 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,673 352 360 73.89 85.08 694 37.6
Collateral Grouped by Loan-to-Value
Collateral Grouped by Loan-to-Value Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal Min WAM Max WAM WA LTV WA WA FICO WA DTI
COMBINED
LTV
0.00 - 30.00 6 2,341,770 1.04 6.7843 6.5343 360 0 6.5 7.875 390,295 359 360 20.93 22.82 716 27.18
30.01 - 40.00 8 2,882,295 1.28 6.579 6.329 359 1 6.25 7.875 360,287 358 360 35.26 35.26 658 43.89
40.01 - 50.00 8 2,585,808 1.14 6.807 6.557 359 1 6.5 7.125 323,226 359 360 45.57 45.57 638 35.99
50.01 - 60.00 25 18,149,884 8.03 6.9317 6.6817 360 0 5.625 7.75 725,995 355 360 57.6 61.44 697 41.67
60.01 - 70.00 112 39,364,551 17.41 7.0728 6.8228 359 1 6 8.75 351,469 353 360 66.57 74.87 695 35.08
70.01 - 79.99 143 38,108,860 16.86 7.1951 6.9451 360 0 5.875 9.25 266,496 353 360 76.75 86.09 702 38.29
80.00 - 80.00 514 119,532,861 52.88 7.368 7.118 360 0 5.625 9.75 232,554 352 360 80 94.82 692 37.3
80.01 - 90.00 9 2,209,526 0.98 7.2974 7.0474 359 1 6.25 8 245,503 354 360 89.36 90.03 684 36.15
90.01 - 95.00 4 870,312 0.39 6.5403 6.2903 358 2 6.375 6.875 217,578 354 360 94.99 94.99 655 40.83
TOTAL 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,673 352 360 73.89 85.08 694 37.6
Collateral Grouped by Combined Loan-to-Value
Collateral Grouped by Combined Loan-to-Value Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal Min WAM Max WAM WA LTV WA WA FICO WA DTI
COMBINED
LTV
0.00 - 30.00 5 2,278,500 1.01 6.7575 6.5075 360 0 6.5 7.875 455,700 359 360 20.68 20.68 717 26.37
30.01 - 40.00 8 2,882,295 1.28 6.579 6.329 359 1 6.25 7.875 360,287 358 360 35.26 35.26 658 43.89
40.01 - 50.00 8 2,585,808 1.14 6.807 6.557 359 1 6.5 7.125 323,226 359 360 45.57 45.57 638 35.99
50.01 - 60.00 20 13,674,884 6.05 6.9176 6.6676 360 0 5.625 7.5 683,744 355 360 57.5 57.5 691 41.51
60.01 - 70.00 53 26,176,353 11.58 6.8253 6.5753 359 1 6 8 493,893 353 360 64.82 65.82 692 39.91
70.01 - 79.99 58 20,189,240 8.93 7.1898 6.9398 360 0 6.375 9.25 348,090 353 360 75.26 76.46 695 37.39
80.00 - 80.00 79 27,272,196 12.06 7.2655 7.0155 359 1 5.625 9.125 345,218 354 360 76.72 80 684 34.56
80.01 - 90.00 74 20,763,123 9.19 7.287 7.037 359 1 5.875 9 280,583 354 360 78.59 88.24 691 38.38
90.01 - 95.00 88 22,031,138 9.75 7.2595 7.0095 359 1 6 9.75 250,354 352 360 78.44 94.65 698 36.96
95.01 - 100.00 436 88,192,329 39.02 7.4117 7.1617 360 0 5.75 9.75 202,276 354 360 79.15 99.93 699 37.62
TOTAL 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,673 352 360 73.89 85.08 694 37.6
Collateral Grouped by Documentation Type
Collateral Grouped by Documentation Type Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
Full/Alternative 135 29,104,341 12.88 6.8493 6.5993 359 1 5.625 9.5 215,588 75.67 88.79 705 37.06
0.00 - 10.00 4 761,959 0.34 7.5563 7.3063 360 0 7.25 7.75 190,490 80 98.82 707 8.27
10.01 - 20.00 6 2,270,700 1 6.7482 6.4982 358 2 6.5 9.5 378,450 72.12 84.24 750 11.82
20.01 - 25.00 5 678,401 0.3 7.1042 6.8542 358 2 6.875 7.625 135,680 80 92.66 695 23.2
25.01 - 30.00 10 3,398,596 1.5 6.5861 6.3361 359 1 6.25 7 339,860 66.89 74.56 750 27.97
30.01 - 35.00 15 2,934,757 1.3 6.8502 6.6002 359 1 5.625 7.75 195,650 76.59 93.56 725 32.83
35.01 - 40.00 30 5,016,333 2.22 7.0262 6.7762 360 0 6.25 7.875 167,211 76.76 88.01 675 37.6
40.01 - 45.00 29 5,125,080 2.27 7.0676 6.8176 359 1 5.625 7.75 176,727 78.92 94.52 675 42.49
45.01 - 50.00 25 6,466,971 2.86 6.721 6.471 359 1 6 7.75 258,679 75.17 86.58 698 46.66
50.01 - 55.00 11 2,451,545 1.08 6.5365 6.2865 360 0 6.125 6.75 222,868 79.82 98.25 722 53.09
Limited 1 464,000 0.21 6.75 6.5 360 0 6.75 6.5 464,000 76.69 76.69 660 40.12
40.01 - 45.00 1 464,000 0.21 6.75 6.5 360 0 6.75 6.5 464,000 76.69 76.69 660 40.12
No Documentation 118 37,211,119 16.46 7.2255 6.9755 360 0 6.25 9.5 315,348 67.46 74.96 689 0
0.00 - 10.00 118 37,211,119 16.46 7.2255 6.9755 360 0 6.25 9.5 315,348 67.46 74.96 689 0
No Income/No Asset 3 630,105 0.28 7.5299 7.2799 360 0 7.25 7.5 210,035 70.74 80 718 0
0.00 - 10.00 3 630,105 0.28 7.5299 7.2799 360 0 7.25 7.5 210,035 70.74 80 718 0
No Ratio 150 44,978,660 19.9 7.2748 7.0248 360 0 5.75 9.125 299,858 73.67 85.69 692 0
0.00 - 10.00 150 44,978,660 19.9 7.2748 7.0248 360 0 5.75 9.125 299,858 73.67 85.69 692 0
No Ratio/No VOE 7 1,550,196 0.69 7.579 7.329 359 1 6.5 8.125 221,457 77.65 90.23 680 42.4
0.00 - 10.00 6 1,330,196 0.59 7.7574 7.5074 359 1 6.75 8.125 221,699 77.26 88.61 681 0
40.01 - 45.00 1 220,000 0.1 6.5 6.25 360 0 6.5 6.25 220,000 80 100 676 42.4
Stated Income 384 104,043,639 46.03 7.2899 7.0399 360 0 5.875 9.25 270,947 75.98 87.71 695 37.8
0.00 - 10.00 8 1,211,295 0.54 7.7416 7.4916 360 0 7.5 8.25 151,412 79.5 94.54 733 4.84
10.01 - 20.00 22 5,037,104 2.23 7.1128 6.8628 360 0 6.25 8.375 228,959 74.69 82.92 700 16.68
20.01 - 25.00 21 3,452,110 1.53 7.4454 7.1954 360 0 6.25 8.875 164,386 77.51 92.81 712 22.94
25.01 - 30.00 36 8,930,404 3.95 7.2122 6.9622 359 1 6.25 8.5 248,067 75.52 87.76 701 27.31
30.01 - 35.00 54 15,404,783 6.81 7.2931 7.0431 360 0 6 9.25 285,274 76.01 88.8 689 32.56
35.01 - 40.00 91 22,973,777 10.16 7.2886 7.0386 360 0 6.25 9.25 252,459 77.55 91.21 687 37.53
40.01 - 45.00 85 22,316,756 9.87 7.2607 7.0107 360 0 5.875 9 262,550 78.52 90.22 695 42.38
45.01 - 50.00 52 15,832,444 7 7.4108 7.1608 360 0 5.875 9 304,470 75.11 86.73 687 46.93
50.01 - 55.00 15 8,884,965 3.93 7.2019 6.9519 360 0 6.5 7.625 592,331 67.12 71.96 721 52.65
Stated/Stated 31 8,063,807 3.57 7.428 7.178 359 1 6.25 8.375 260,123 70.73 80.89 673 36.57
25.01 - 30.00 2 296,000 0.13 6.4865 6.2365 355 5 6.25 6.5 148,000 80 89.46 710 27.73
30.01 - 35.00 7 2,619,773 1.16 7.3924 7.1424 360 0 6.5 8.125 374,253 65.75 69.8 641 31.29
35.01 - 40.00 11 3,639,350 1.61 7.507 7.257 359 1 6.5 7.75 330,850 71.4 83.18 685 38.03
40.01 - 45.00 8 1,131,084 0.5 7.5321 7.2821 359 1 6.625 8.375 141,386 75.4 92.6 699 42.78
45.01 - 50.00 3 377,600 0.17 7.3404 7.0904 358 2 7.25 7.625 125,867 77.57 94.02 657 47.4
TOTAL 829 226,045,866 100 7.226 6.976 360 0 5.625 9.5 272,673 73.89 85.08 694 37.6
Collateral Grouped by Loan Purpose
Collateral Grouped by Loan Purpose Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
Cash Out Refinance 186 72,577,345 32.11 7.0588 6.8088 360 0 5.625 9.25 390,200.78 67.39 72 681 36.28
Purchase 599 136,827,667 60.53 7.3261 7.0761 360 0 5.625 9.75 228,426.82 77.77 93 699 37.22
Rate/Term Refinance 44 16,640,855 7.36 7.1324 6.8824 359 1 6.125 8 378,201.25 70.3 75 706 44.17
TOTAL 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,672.94 73.89 85 694 37.6
Collateral Grouped by Property Type
Collateral Grouped by Property Type Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
2-4 Family 92 21,418,806 9.48 7.401 7.151 360 0 6.25 9.75 232,813 72.92 85.42 709 34.64
CO-OP 1 297,000 0.13 6.25 6 358 2 6.25 6.25 297,000 90 90 730 27.85
Condominium 53 9,907,972 4.38 7.3042 7.0542 359 1 6.25 9.25 186,943 74.98 84.89 687 37.96
Hi-Rise Condo 7 1,167,600 0.52 7.3263 7.0763 360 0 6.75 8 166,800 69.63 82.01 665 41.39
PUD 225 60,117,069 26.6 7.2443 6.9943 360 0 6 9 267,187 76.68 88.92 692 36.98
Single Family 440 131,047,579 57.97 7.1896 6.9396 359 1 5.625 9.75 297,835 72.77 83.46 693 38.26
Townhouse 11 2,089,840 0.92 6.9028 6.6528 360 0 5.625 8.625 189,985 68.76 74.4 690 41.44
TOTAL 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,673 73.89 85.08 694 37.6
Collateral Grouped by Occupancy Type
Collateral Grouped by Occupancy Type Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
Investor 342 55,842,397 24.7 7.5283 7.2783 360 0 5.625 9.75 163,282 75.53 89.66 713 34.78
Owner Occupied 454 161,499,887 71.45 7.1114 6.8614 360 0 5.625 9.125 355,727 73.25 83.37 687 38.77
Second Home 33 8,703,582 3.85 7.4133 7.1633 360 0 6.625 8.25 263,745 75.19 87.47 700 36.75
TOTAL 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,673 73.89 85.08 694 37.6
Collateral Grouped by Mortgage Ins. Company
Collateral Grouped by Mortgage Ins. Company Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
GE Capital MI 1 427,410 0.19 7.25 7 360 0 7.25 7.25 427,410 90 90 729 0
Mortgage Guaranty In 4 1,184,732 0.52 7.2214 6.9714 358 2 6.375 8 296,183 90.74 90.74 661 41.79
No MI 818 223,370,036 98.82 7.2285 6.9785 360 0 5.625 9.75 273,069 73.69 85 694 37.59
PMI 3 640,697 0.28 6.7106 6.4606 359 1 6.5 7.875 213,566 92.69 94.99 655 39.7
Radian Guaranty 1 69,000 0.03 7.75 7.5 358 2 7.75 7.75 69,000 84.15 84.15 716 28.92
Republic MIC 1 56,991 0.03 7.75 7.5 360 0 7.75 7.75 56,991 89.57 89.57 705 0
United Guaranty 1 297,000 0.13 6.25 6 358 2 6.25 6.25 297,000 90 90 730 27.85
TOTAL 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,673 73.89 85.08 694 37.6
Collateral Grouped by State
Collateral Grouped by State Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
AL 3 575,120 0.25 7.6419 7.3919 359 1 5.875 9.25 191,707 65.29 72.18 637 44.36
AZ 88 26,568,266 11.75 7.3294 7.0794 360 0 5.625 8.875 301,912 74.79 85.26 696 38.12
CA 98 44,002,547 19.47 6.9742 6.7242 359 1 5.625 9.25 449,006 69.81 78.51 701 34.11
CO 24 4,749,743 2.1 7.045 6.795 359 1 6.125 8.25 197,906 77.26 93.77 688 38.27
CT 3 892,800 0.39 6.9187 6.6687 360 0 6.75 7.25 297,600 80 98.82 718 43.8
DC 6 1,966,350 0.87 7.503 7.253 358 2 6.25 8.625 327,725 72.69 80.06 680 41.67
DE 2 392,000 0.17 7.2092 6.9592 360 0 6.75 7.75 196,000 80 88.11 674 38.17
FL 66 17,886,316 7.91 7.344 7.094 359 1 6 9 271,005 76.65 87.2 696 38.14
GA 75 11,104,376 4.91 7.3478 7.0978 359 1 6.125 9.5 148,058 78.47 95.28 682 38.38
HI 3 3,167,828 1.4 6.4495 6.1995 356 4 6.125 7 1,055,943 66.96 66.96 728 53.15
IA 3 391,520 0.17 7.6279 7.3779 360 0 7.375 8.5 130,507 80 96.46 664 39.27
ID 7 1,367,375 0.6 7.0712 6.8212 360 0 6.5 7.75 195,339 72.65 85.77 725 33.93
IL 16 3,213,289 1.42 7.5673 7.3173 360 0 6.875 9.125 200,831 77.62 96.35 678 32.22
IN 1 52,840 0.02 7.75 7.5 360 0 7.75 7.75 52,840 80 100 765 0
KS 1 116,000 0.05 7.5 7.25 358 2 7.5 7.5 116,000 80 100 762 40.17
KY 8 1,670,795 0.74 7.1914 6.9414 360 0 6.5 7.75 208,849 80.73 96.95 678 37.94
LA 2 174,510 0.08 8.0442 7.7942 358 2 7.25 8.625 87,255 73.66 95 725 35.03
MA 16 5,913,613 2.62 7.3268 7.0768 359 1 6.5 7.875 369,601 73.9 87.62 669 39.73
MD 71 30,000,203 13.27 7.2483 6.9983 360 0 6 8.625 422,538 72.76 80.23 691 41.76
ME 2 390,400 0.17 8.791 8.541 360 0 7.5 9.5 195,200 80 100 652 37.84
MI 6 1,362,077 0.6 7.4483 7.1983 360 0 7 7.75 227,013 79.05 98.42 698 35.87
MN 6 1,374,875 0.61 6.9846 6.7346 359 1 6.375 8.25 229,146 76.9 99.21 699 32.96
MO 5 618,171 0.27 7.658 7.408 360 0 7.125 8.375 123,634 75.41 83.08 727 26.48
MS 5 815,440 0.36 7.1538 6.9038 358 2 6.25 7.5 163,088 79.96 99.85 684 37.24
MT 3 433,750 0.19 7.1937 6.9437 360 0 7 7.75 144,583 68.87 85.16 659 44.73
NC 24 2,845,883 1.26 7.3795 7.1295 359 1 6.375 9.25 118,578 73.41 91.56 690 39.79
NH 2 347,900 0.15 7.6064 7.3564 359 1 7.5 7.75 173,950 79.99 99.99 696 34.23
NJ 34 8,656,795 3.83 7.5112 7.2612 360 0 6.625 8.75 254,612 71.58 83.17 691 42.47
NM 13 1,825,639 0.81 7.1978 6.9478 360 0 6.75 8.5 140,434 77.14 87.77 689 37.57
NV 12 3,319,204 1.47 7.0297 6.7797 360 0 6.25 9.125 276,600 78.85 93.25 686 37.49
NY 13 6,556,910 2.9 7.1657 6.9157 360 0 6.25 8.375 504,378 69.44 78.84 685 40.91
OH 14 1,819,190 0.8 7.9852 7.7352 360 0 6.875 9.75 129,942 76.96 95.27 683 27.12
OK 2 164,250 0.07 7.0113 6.7613 360 0 6.75 7.25 82,125 77.38 99.99 738 31.91
OR 6 1,358,850 0.6 6.7508 6.5008 360 0 6.375 7.75 226,475 69.93 77.59 707 26.71
PA 17 3,784,945 1.67 7.4087 7.1587 360 0 6.5 8.875 222,644 74.71 86.37 668 21.74
SC 9 1,275,081 0.56 6.9964 6.7464 359 1 5.75 8.125 141,676 76.2 91.77 707 37.95
TN 8 1,822,004 0.81 7.0255 6.7755 359 1 6.125 8.375 227,751 80.43 88.96 704 37.7
TX 69 9,916,517 4.39 7.4472 7.1972 360 0 6.125 8.75 143,718 78.76 96.18 706 34.59
UT 12 2,539,600 1.12 7.2779 7.0279 360 0 6.5 8 211,633 77.52 95.04 720 40.63
VA 52 14,712,180 6.51 7.2045 6.9545 360 0 5.875 8.25 282,927 75.6 86.24 681 38.46
WA 15 5,171,240 2.29 7.0593 6.8093 360 0 6.5 9.75 344,749 69.85 79.71 709 35.22
WI 7 729,475 0.32 8.1057 7.8557 360 0 7.625 8.625 104,211 70.34 97.45 723 33.72
TOTAL 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,673 73.89 85.08 694 37.6
Collateral Grouped by FICO Score
Collateral Grouped by FICO Score Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
0 - 0 6 1,045,846 0.46 7.6206 7.3706 360 0 5.875 8.875 174,308 77.06 82.26 0 43.37
550 - 599 7 1,629,000 0.72 7.2769 7.0269 360 0 6.625 7.75 232,714 67.05 67.05 584 36.56
600 - 624 34 10,247,217 4.53 7.4546 7.2046 360 0 6.375 8.875 301,389 69.57 76.83 618 33.79
625 - 649 111 28,006,214 12.39 7.3553 7.1053 360 0 6.125 9.5 252,308 74.6 83.18 639 39.45
650 - 674 176 48,447,618 21.43 7.2292 6.9792 360 0 6.125 9.125 275,271 72.73 82.89 662 38.24
675 - 699 156 45,156,657 19.98 7.2277 6.9777 360 0 6.125 9.5 289,466 75.91 87.98 687 38.52
700 - 724 102 26,621,757 11.78 7.1776 6.9276 359 1 6.25 9.25 260,998 76.05 89.18 712 38.18
725 - 749 115 28,905,081 12.79 7.17 6.92 359 1 5.625 8.875 251,349 75.43 90.75 736 34.35
750 - 774 70 23,913,593 10.58 7.1201 6.8701 359 1 5.625 8.75 341,623 68.88 78.74 758 38.5
775 - 799 47 11,274,965 4.99 7.1315 6.8815 360 0 5.75 9.75 239,893 74.98 87.08 783 36.1
800 + 5 797,919 0.35 6.9948 6.7448 359 1 6.125 7.75 159,584 76.8 86.4 806 24.04
TOTAL 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,673 73.89 85.08 694 37.6
Collateral Grouped by FICO Score2
Collateral Grouped by FICO Score2 Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
-639 106 27,624,154 12.22 7.4205 7.1705 360 0 5.875 9.25 260,605 72.61 80.81 624 37.09
640 + 723 198,421,712 87.78 7.1989 6.9489 359 1 5.625 9.75 274,442 74.07 85.67 703 37.67
TOTAL 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,673 73.89 85.08 694 37.6
Collateral Grouped by Prepayment Penalty
Collateral Grouped by Prepayment Penalty Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
No 440 118,786,221 52.55 7.2154 6.9654 360 0 5.625 9.75 269,969 74.9 86.02 694 39.51
NO PP 440 118,786,221 52.55 7.2154 6.9654 360 0 5.625 9.75 269,969 74.9 86.02 694 39.51
Yes 389 107,259,645 47.45 7.2378 6.9878 360 0 5.625 9.75 275,732 72.76 84.04 693 35.58
1Y PP 23 4,958,204 2.19 7.249 6.999 360 0 6.5 8.75 215,574 68.78 79.05 691 39.78
3Y PP 170 41,403,876 18.32 7.3758 7.1258 359 1 6 9.75 243,552 75.15 87.11 689 36.17
4M PP 1 575,500 0.25 7.25 7 359 1 7.25 7.25 575,500 79.99 79.99 724 38.7
5Y PP 1 215,003 0.1 6.875 6.625 358 2 6.875 6.875 215,003 79.63 79.63 640 46.65
6M PP 193 59,207,063 26.19 7.1357 6.8857 360 0 5.625 9.5 306,772 71.3 82.5 697 34.67
7M PP 1 900,000 0.4 7.625 7.375 360 0 7.625 7.625 900,000 75 75 665 30.26
TOTAL 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,673 73.89 85.08 694 37.6
Collateral Grouped by Lien Status
Collateral Grouped by Lien Status Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
First Lien 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,673 73.89 85.08 694 37.6
TOTAL 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,673 73.89 85.08 694 37.6
Collateral Grouped by Loan-to-Value & Mtg Ins.
Collateral Grouped by Loan-to-Value & Mtg Ins. Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA MAX LTV WA FICO WA DTI
COMBINED
LTV
LTV GT 80 w MI 11 2,675,830 1.18 7.0207 6.7707 359 1 6.25 8 243,257 90.81 91.36 95 680 38
LTV GT 80 w/out MI 2 404,008 0.18 7.4988 7.2488 358 2 6.875 7.875 202,004 91.88 91.88 95 648 43.23
LTV LE 80 816 222,966,028 98.64 7.228 6.978 360 0 5.625 9.75 273,243 73.65 84.99 80 694 37.58
TOTAL 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,673 73.89 85.08 95 694 37.6
Collateral Grouped by Balloon Flag
Collateral Grouped by Balloon Flag Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
No 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,673 73.89 85.08 694 37.6
TOTAL 829 226,045,866 100 7.226 6.976 360 0 5.625 9.75 272,673 73.89 85.08 694 37.6
Collateral Grouped by IO
Collateral Grouped by IO Count Total Pct of Wtd Avg Wtd Avg Wtd Avg Wtd Avg Wtd Avg Wtd Min Max Avg Wtd Avg Wtd Avg Wtd Avg Wtd Avg
CURRENT overall CURRENT TOTAL CURRENT STATED REMAINING Avg CURRENT CURRENT CURRENT LOAN O LTV FICO BACK
BALANCE CURRENT GROSS STRIP NET REM TERM AGE GROSS GROSS BALANCE TO SCORE RATIO
BALANCE COUPON COUPON TERM COUPON COUPON VALUE
Y 829 226,045,866.32 100 7.226 0.25 6.976 360 360 0 5.625 9.75 272,673 73.89 85.08 694 37.6
120 820 224,301,574.32 99.23 7.2254 0.25 6.9754 360 360 0 5.625 9.75 273,539 73.95 85.13 694 37.61
60 9 1,744,292.00 0.77 7.2982 0.25 7.0482 359 359 1 6.75 9 193,810 66.14 77.99 682 34.33
TOTAL 829 226,045,866.32 100 7.226 0.25 6.976 360 360 0 5.625 9.75 272,673 73.89 85.08 694 37.6
Collateral Grouped by Subordinate Fin. Flag
Collateral Grouped by Subordinate Fin. Flag Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
NO 225 86,663,322 38.34 7.0246 6.7746 359 1 5.625 9 385,170 68.1 68.1 685 38.58
YES 604 139,382,544 61.66 7.3513 7.1013 360 0 5.75 9.5 230,766 77.49 95.64 699 37.07
TOTAL 829 226,045,866 100 7.226 6.976 360 0 5.625 9.5 272,673 73.89 85.08 694 37.6
Collateral Grouped by Servicer
Collateral Grouped by Servicer Count Balance Percent GWAC WA Strip NWAC Stated Calc WA Age Min Max Avg Bal WA LTV WA WA FICO WA DTI
WAM WAM GWAC GWAC COMBINED
LTV
EMC MORTGAGE 620 168,493,757.32 74.54 7.2249 0.25 6.9749 359 359 1 5.625 9 271,764 74.56 85.9 696 38.47
HARBOURSIDE MOR 1 98,000.00 0.04 6.625 0.25 6.375 360 360 0 6.625 6.625 98,000 30.63 30.63 672 37.63
WATERFIELD_SUB 208 57,454,109.00 25.42 7.2304 0.25 6.9804 360 360 0 6.25 9.75 276,222 71.98 82.76 688 35.02
TOTAL 829 226,045,866.32 100 7.226 0.25 6.976 360 360 0 5.625 9.75 272,673 73.89 85.08 694 37.6
STATEMENT REGARDING FREE WRITING PROSPECTUS
The issuer has filed a registration statement (including a prospectus) with the
SEC for the offering to which this free writing prospectus relates. Before you
invest, you should read the prospectus in the registration statement and other
documents the depositor has filed with the SEC for more complete information
about the depositor, the issuer and this offering. You may get these documents
for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively,
the depositor, any underwriter or any dealer participating in the offering will
arrange to send you the prospectus you request it by calling toll free
1-866-803-9204.
This free writing prospectus does not contain all information that is required
to be included in the base prospectus and the prospectus supplement. Please
click here http://www.bearstearns.com/prospectus/bsabs or visit the following
website: "www.bearstearns.com/prospectus/bsabs" for a copy of the base
prospectus applicable to this offering.
This free writing prospectus is not an offer to sell or solicitation of an offer
to buy these securities in any state where such offer, solicitation or sale is
not Permitted.
The Information in this free writing prospectus supersedes information contained
in any prior similar free writing prospectus relating to these securities prior
to the time of your commitment to purchase.
This free writing prospectus is being delivered to you solely to provide you
with information about the offering of the Certificates referred to in this free
writing prospectus and to solicit an offer to purchase the Certificates, when,
as and if issued. 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
Certificates until we have accepted your offer to purchase Certificates. We will
not accept any offer by you to purchase Certificates, and you will not have any
contractual commitment to purchase any of the Certificates until after you have
received the preliminary prospectus. You may withdraw your offer to purchase
Certificates at any time prior to our acceptance of your offer.
Collateral Grouped by Loan Type
Collateral Grouped by Loan Type Count Balance Percent GWAC WA Strip NWAC Stated Calc WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI WA REM
WAM COMBINED IO TERM
LTV
30Y 144 27,893,734.77 16.68 7.2117 0.25 6.9617 360 362 0 5.75 8.75 193,706 76.89 95.26 708 40.57 0
30Y IO 604 139,382,544.46 83.32 7.3513 0.25 7.1013 360 360 0 5.75 9.75 230,766 77.49 95.64 699 37.07 119
TOTAL 748 167,276,279.23 100 7.328 0.25 7.078 360 360 0 5.75 9.75 223,631 77.39 95.57 700 37.67 119
Collateral Grouped by Original Term
Collateral Grouped by Original Term Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal Min WAM Max WAM WA LTV WA WA FICO WA DTI
COMBINED
LTV
181 - 360 748 167,276,279 100 7.328 7.078 360 0 5.75 9.75 223,631 238 479 77.39 95.57 700 37.67
TOTAL 748 167,276,279 100 7.328 7.078 360 0 5.75 9.75 223,631 238 479 77.39 95.57 700 37.67
Collateral Grouped by Original Balance
Collateral Grouped by Original Balance Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
-75,000 75 4,621,347 2.76 7.7113 7.4613 358 0 5.75 9.375 61,618 77.12 98.17 712 36.44
75,001 - 417,000 573 101,205,577 60.5 7.4094 7.1594 360 0 5.75 9.75 176,624 78.73 98.12 695 38.16
417,001 - 650,000 74 37,394,745 22.36 7.1699 6.9199 361 0 6.25 8.5 505,334 76.22 93.13 708 38.2
650,001 - 1,000,000 22 18,370,860 10.98 7.2458 6.9958 360 0 6.375 8 835,039 74.95 90.68 704 36.12
1,000,001 + 4 5,683,750 3.4 6.8719 6.6219 359 1 6.5 7.75 1,420,938 69.22 79.98 727 33.68
TOTAL 748 167,276,279 100 7.328 7.078 360 0 5.75 9.75 223,631 77.39 95.57 700 37.67
Collateral Grouped by Current Balance
Collateral Grouped by Current Balance Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
-75,000 75 4,621,347 2.76 7.7113 7.4613 358 0 5.75 9.375 61,618 77.12 98.17 712 36.44
75,001 - 333,700 534 86,767,185 51.87 7.4314 7.1814 360 0 5.75 9.75 162,485 78.77 98.13 697 37.9
333,701 - 400,000 33 12,005,372 7.18 7.2739 7.0239 360 0 6.25 9.125 363,799 78.33 98.32 684 40.47
400,001 - 650,000 80 39,827,765 23.81 7.1776 6.9276 361 1 5.875 8.5 497,847 76.4 93.37 706 38.3
650,001 - 1,000,000 22 18,370,860 10.98 7.2458 6.9958 360 0 6.375 8 835,039 74.95 90.68 704 36.12
1,000,001 + 4 5,683,750 3.4 6.8719 6.6219 359 1 6.5 7.75 1,420,938 69.22 79.98 727 33.68
TOTAL 748 167,276,279 100 7.328 7.078 360 0 5.75 9.75 223,631 77.39 95.57 700 37.67
Collateral Grouped by Current Gross Coupon
Collateral Grouped by Current Gross Coupon Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
20_Yr 1 50,025 0.03 5.75 5.5 238 1 5.75 5.75 50,025 67 100 757 41.42
5.750 - 5.999 1 50,025 0.03 5.75 5.5 238 1 5.75 5.75 50,025 67 100 757 41.42
30_Yr 747 167,226,254 99.97 7.3285 7.0785 360 0 5.75 9.75 223,864 77.39 95.57 700 37.67
5.750 - 5.999 3 683,465 0.41 5.8505 5.6005 356 4 5.75 5.875 227,822 77.77 89.41 745 39.62
6.000 - 6.249 8 1,453,055 0.87 6.0842 5.8342 358 2 6 6.125 181,632 79.84 94.53 689 45.49
6.250 - 6.499 36 10,432,908 6.24 6.3144 6.0644 359 1 6.25 6.375 289,803 75.51 93.41 721 39.09
6.500 - 6.749 44 15,103,268 9.03 6.5577 6.3077 359 1 6.5 6.625 343,256 72.23 86.95 717 36.59
6.750 - 6.999 87 21,499,138 12.85 6.8276 6.5776 359 0 6.75 6.875 247,117 78.39 96.1 697 39.87
7.000 - 7.249 73 15,946,756 9.53 7.0566 6.8066 361 0 7 7.125 218,449 78.45 96.22 693 35.32
7.250 - 7.499 123 27,606,908 16.5 7.3144 7.0644 360 0 7.25 7.375 224,446 78.37 97.53 706 38.46
7.500 - 7.749 138 29,913,468 17.88 7.5582 7.3082 362 0 7.5 7.625 216,764 77.32 95.69 692 36.74
7.750 - 7.999 106 22,128,048 13.23 7.7985 7.5485 360 0 7.75 7.875 208,755 78.08 97.85 698 37.89
8.000 - 8.249 41 7,900,082 4.72 8.0247 7.7747 360 0 8 8.125 192,685 77.61 95.3 690 36.01
8.250 - 8.499 40 7,343,114 4.39 8.2912 8.0412 359 0 8.25 8.375 183,578 79.46 97.65 700 34.24
8.500 - 8.749 31 3,727,118 2.23 8.5513 8.3013 359 0 8.5 8.625 120,230 77.78 99.21 683 38.59
8.750 - 8.999 8 1,694,783 1.01 8.7852 8.5352 359 1 8.75 8.875 211,848 73.92 93.83 701 36.63
9.000 - 9.249 2 509,422 0.3 9.0882 8.8382 360 0 9 9.125 254,711 75.72 97.05 671 23.83
9.250 - 9.499 3 471,920 0.28 9.2689 9.0189 360 0 9.25 9.375 157,307 80 100 674 39.83
9.500 - 9.749 2 472,000 0.28 9.5 9.25 360 0 9.5 9.5 236,000 80 100 667 33.89
9.750 - 9.999 2 340,800 0.2 9.75 9.5 360 0 9.75 9.75 170,400 80 96.41 792 11.63
TOTAL 748 167,276,279 100 7.328 7.078 360 0 5.75 9.75 223,631 77.39 95.57 700 37.67
Collateral Grouped by Current Net Coupon
Collateral Grouped by Current Net Coupon Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal Min WAM Max WAM WA LTV WA WA FICO WA DTI
COMBINED
LTV
5.500 - 5.749 4 733,491 0.44 5.8437 5.5937 348 4 5.75 5.875 183,373 238 359 77.04 90.13 746 39.77
5.750 - 5.999 8 1,453,055 0.87 6.0842 5.8342 358 2 6 6.125 181,632 354 360 79.84 94.53 689 45.49
6.000 - 6.249 36 10,432,908 6.24 6.3144 6.0644 359 1 6.25 6.375 289,803 352 360 75.51 93.41 721 39.09
6.250 - 6.499 44 15,103,268 9.03 6.5577 6.3077 359 1 6.5 6.625 343,256 354 360 72.23 86.95 717 36.59
6.500 - 6.749 87 21,499,138 12.85 6.8276 6.5776 359 0 6.75 6.875 247,117 354 360 78.39 96.1 697 39.87
6.750 - 6.999 73 15,946,756 9.53 7.0566 6.8066 361 0 7 7.125 218,449 354 479 78.45 96.22 693 35.32
7.000 - 7.249 123 27,606,908 16.5 7.3144 7.0644 360 0 7.25 7.375 224,446 357 360 78.37 97.53 706 38.46
7.250 - 7.499 138 29,913,468 17.88 7.5582 7.3082 362 0 7.5 7.625 216,764 358 479 77.32 95.69 692 36.74
7.500 - 7.749 106 22,128,048 13.23 7.7985 7.5485 360 0 7.75 7.875 208,755 357 360 78.08 97.85 698 37.89
7.750 - 7.999 41 7,900,082 4.72 8.0247 7.7747 360 0 8 8.125 192,685 358 360 77.61 95.3 690 36.01
8.000 - 8.249 40 7,343,114 4.39 8.2912 8.0412 359 0 8.25 8.375 183,578 356 360 79.46 97.65 700 34.24
8.250 - 8.499 31 3,727,118 2.23 8.5513 8.3013 359 0 8.5 8.625 120,230 357 360 77.78 99.21 683 38.59
8.500 - 8.749 8 1,694,783 1.01 8.7852 8.5352 359 1 8.75 8.875 211,848 358 360 73.92 93.83 701 36.63
8.750 - 8.999 2 509,422 0.3 9.0882 8.8382 360 0 9 9.125 254,711 359 360 75.72 97.05 671 23.83
9.000 - 9.249 3 471,920 0.28 9.2689 9.0189 360 0 9.25 9.375 157,307 360 360 80 100 674 39.83
9.250 - 9.499 2 472,000 0.28 9.5 9.25 360 0 9.5 9.5 236,000 360 360 80 100 667 33.89
9.500 - 9.749 2 340,800 0.2 9.75 9.5 360 0 9.75 9.75 170,400 359 360 80 96.41 792 11.63
TOTAL 748 167,276,279 100 7.328 7.078 360 0 5.75 9.75 223,631 238 479 77.39 95.57 700 37.67
Collateral Grouped by Remaining Term
Collateral Grouped by Remaining Term Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal Min WAM Max WAM WA LTV WA WA FICO WA DTI
COMBINED
LTV
181 - 360 745 166,543,428 99.56 7.3273 7.0773 359 0 5.75 9.75 223,548 238 360 77.39 95.56 700 37.62
361 + 3 732,851 0.44 7.4776 7.2276 479 0 7 7.625 244,284 478 479 77.18 99.23 667 46.66
TOTAL 748 167,276,279 100 7.328 7.078 360 0 5.75 9.75 223,631 238 479 77.39 95.57 700 37.67
Collateral Grouped by Loan-to-Value
Collateral Grouped by Loan-to-Value Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal Min WAM Max WAM WA LTV WA WA FICO WA DTI
COMBINED
LTV
0.00 - 30.00 1 63,270 0.04 7.75 7.5 360 0 7.75 7.75 63,270 360 360 30 100 714 34.41
50.01 - 60.00 8 6,101,383 3.65 6.8303 6.5803 360 0 6.25 7.75 762,673 358 360 57.52 74.5 728 39.88
60.01 - 70.00 73 18,717,343 11.19 7.2942 7.0442 360 0 5.75 8.75 256,402 238 479 67.88 88.11 708 30.73
70.01 - 79.99 110 24,104,217 14.41 7.2402 6.9902 360 0 5.875 9.125 219,129 354 478 77.09 94.61 702 39.44
80.00 - 80.00 554 118,139,954 70.63 7.3756 7.1256 360 0 5.75 9.75 213,249 352 479 80 98.04 697 37.93
80.01 - 90.00 2 150,113 0.09 8.1779 7.9279 360 0 7.875 8.75 75,057 360 360 81.35 96.74 721 34.68
TOTAL 748 167,276,279 100 7.328 7.078 360 0 5.75 9.75 223,631 238 479 77.39 95.57 700 37.67
Collateral Grouped by Combined Loan-to-Value
Collateral Grouped by Combined Loan-to-Value Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal Min WAM Max WAM WA LTV WA WA FICO WA DTI
COMBINED
LTV
60.01 - 70.00 4 3,462,813 2.07 6.5311 6.2811 360 0 6.375 6.625 865,703 358 360 57.43 67.08 738 39.87
70.01 - 79.99 6 3,111,175 1.86 7.3513 7.1013 359 0 6.625 8.75 518,529 359 360 66.32 77.32 663 0
80.00 - 80.00 11 6,866,475 4.1 7.1169 6.8669 359 1 6.5 8 624,225 358 360 65.5 80 714 25.84
80.01 - 90.00 85 24,072,219 14.39 7.1897 6.9397 359 0 5.875 9 283,203 354 360 76.6 88.39 697 38.66
90.01 - 95.00 102 24,428,723 14.6 7.2811 7.0311 360 0 6 9.75 239,497 352 478 77.92 94.59 699 37.81
95.01 - 100.00 540 105,334,873 62.97 7.4097 7.1597 360 0 5.75 9.75 195,065 238 479 79.2 99.93 700 38.16
TOTAL 748 167,276,279 100 7.328 7.078 360 0 5.75 9.75 223,631 238 479 77.39 95.57 700 37.67
Collateral Grouped by Documentation Type
Collateral Grouped by Documentation Type Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
Full/Alternative 158 28,588,805 17.09 6.9451 6.6951 359 1 5.75 9.5 180,942 78.45 96.8 703 38.76
0.00 - 10.00 4 761,959 0.46 7.5563 7.3063 360 0 7.25 7.75 190,490 80 98.82 707 8.27
10.01 - 20.00 5 2,192,600 1.31 6.757 6.507 358 2 6.5 9.5 438,520 71.48 84.04 748 11.56
20.01 - 25.00 6 1,121,893 0.67 7.0973 6.8473 358 1 6.5 7.625 186,982 80 99.55 691 23.96
25.01 - 30.00 9 2,286,094 1.37 6.5331 6.2831 358 1 5.875 7 254,010 74.47 92.32 745 28.07
30.01 - 35.00 16 2,682,557 1.6 7.0586 6.8086 359 1 6.375 7.75 167,660 79.64 99.4 714 32.56
35.01 - 40.00 27 3,600,700 2.15 7.2849 7.0349 360 0 6.375 8.375 133,359 79.91 98.87 690 37.95
40.01 - 45.00 31 4,816,703 2.88 7.1536 6.9036 358 1 5.75 8.375 155,378 78.75 99.36 684 42.66
45.01 - 50.00 30 5,289,024 3.16 6.8211 6.5711 358 2 6 7.75 176,301 79.47 97.08 697 46.86
50.01 - 55.00 30 5,837,275 3.49 6.7463 6.4963 359 0 6 7.625 194,576 79.52 97.74 696 52.76
No Documentation 62 17,249,081 10.31 7.4794 7.2294 360 0 6.25 9.5 278,211 74.47 93.3 713 0
0.00 - 10.00 62 17,249,081 10.31 7.4794 7.2294 360 0 6.25 9.5 278,211 74.47 93.3 713 0
No Income/No Asset 5 1,287,452 0.77 7.5103 7.2603 359 0 7.25 8 257,490 80 95 707 0
0.00 - 10.00 5 1,287,452 0.77 7.5103 7.2603 359 0 7.25 8 257,490 80 95 707 0
No Ratio 130 34,882,287 20.85 7.4345 7.1845 360 0 5.75 9.125 268,325 77.42 95.28 692 0
0.00 - 10.00 130 34,882,287 20.85 7.4345 7.1845 360 0 5.75 9.125 268,325 77.42 95.28 692 0
No Ratio/No VOE 11 2,255,292 1.35 7.538 7.288 359 1 6.25 8.125 205,027 78.97 95.2 717 42.4
0.00 - 10.00 10 2,035,292 1.22 7.6502 7.4002 359 1 6.25 8.125 203,529 78.86 94.69 721 0
40.01 - 45.00 1 220,000 0.13 6.5 6.25 360 0 6.5 6.25 220,000 80 100 676 42.4
Stated Income 352 76,962,825 46.01 7.346 7.096 361 0 5.875 9.25 218,644 77.58 95.73 700 37.22
0.00 - 10.00 7 1,107,295 0.66 7.6704 7.4204 360 0 7.5 8.25 158,185 79.45 95.9 736 4.69
10.01 - 20.00 16 2,388,794 1.43 7.4108 7.1608 360 0 6.25 8.375 149,300 78.39 96.21 700 16.07
20.01 - 25.00 19 2,872,115 1.72 7.5288 7.2788 359 0 6.25 8.875 151,164 78.84 98.65 711 22.91
25.01 - 30.00 29 6,611,483 3.95 7.289 7.039 359 1 6 8.5 227,982 78.09 96.55 713 27.45
30.01 - 35.00 55 13,200,400 7.89 7.4574 7.2074 360 0 6.25 9.25 240,007 77.63 96.51 697 32.92
35.01 - 40.00 86 19,476,811 11.64 7.3004 7.0504 360 0 6.25 9.25 226,475 77.01 94.71 701 37.49
40.01 - 45.00 74 16,485,372 9.86 7.2936 7.0436 359 0 5.875 9 222,775 78.99 96.65 691 42.46
45.01 - 50.00 51 12,042,109 7.2 7.3468 7.0968 366 0 6.25 8.375 236,120 75.21 93.17 696 46.82
50.01 - 55.00 15 2,778,447 1.66 7.2049 6.9549 359 1 6.5 7.625 185,230 79.22 99.24 722 52.38
Stated/Stated 30 6,050,537 3.62 7.7454 7.4954 359 1 6.5 8.5 201,685 76.93 96.25 691 38.09
25.01 - 30.00 2 927,430 0.55 7.4929 7.2429 358 1 6.75 7.375 463,715 80 100 701 28.92
30.01 - 35.00 6 705,988 0.42 7.6791 7.4291 358 2 6.5 8.125 117,665 79.71 97.89 704 32.61
35.01 - 40.00 8 2,507,600 1.5 7.6795 7.4295 359 1 6.5 8.25 313,450 74.55 92.1 679 38.07
40.01 - 45.00 8 1,221,957 0.73 8.0313 7.7813 359 1 7.25 8.5 152,745 77.42 100 716 42.27
45.01 - 50.00 5 576,353 0.34 7.8158 7.5658 359 1 7.25 8.375 115,271 77.35 97.6 663 48.17
50.01 - 55.00 1 111,209 0.07 8.25 8 359 0 8.25 8 111,209 80 100 672 51.25
TOTAL 748 167,276,279 100 7.328 7.078 360 0 5.75 9.5 223,631 77.39 95.57 700 37.67
Collateral Grouped by Loan Purpose
Collateral Grouped by Loan Purpose Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
Cash Out Refinance 82 27,540,241 16.46 7.1184 6.8684 360 1 5.875 8.75 335,856.60 73.78 89 694 36.06
Purchase 637 133,891,919 80.04 7.3745 7.1245 360 0 5.75 9.75 210,191.39 78.2 97 703 37.85
Rate/Term Refinance 29 5,844,120 3.49 7.251 7.001 359 0 5.75 8 201,521.37 75.79 93 678 41.36
TOTAL 748 167,276,279 100 7.328 7.078 360 0 5.75 9.75 223,631.39 77.39 96 700 37.67
Collateral Grouped by Property Type
Collateral Grouped by Property Type Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
2-4 Family 79 14,581,978 8.72 7.5946 7.3446 359 1 6.25 9.75 184,582 75.47 96.15 715 36.44
Condominium 34 5,630,970 3.37 7.3566 7.1066 360 0 6.375 8.375 165,617 79.32 98.32 700 39
Hi-Rise Condo 5 817,600 0.49 7.3467 7.0967 360 0 6.875 8 163,520 80 97.68 665 41.59
PUD 210 50,912,838 30.44 7.327 7.077 361 0 5.875 9 242,442 77.96 96 700 37.9
Single Family 412 94,578,026 56.54 7.2846 7.0346 360 0 5.75 9.75 229,558 77.22 95.05 699 37.57
Townhouse 8 754,867 0.45 7.4484 7.1984 359 1 6.5 8.625 94,358 80 98.16 718 41.83
TOTAL 748 167,276,279 100 7.328 7.078 360 0 5.75 9.75 223,631 77.39 95.57 700 37.67
Collateral Grouped by Occupancy Type
Collateral Grouped by Occupancy Type Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
Investor 331 47,102,792 28.16 7.653 7.403 360 0 5.75 9.75 142,305 77.41 96.84 718 35.81
Owner Occupied 380 111,927,513 66.91 7.1815 6.9315 360 0 5.75 9.125 294,546 77.3 94.87 691 38.72
Second Home 37 8,245,974 4.93 7.4594 7.2094 359 0 5.875 8.375 222,864 78.52 97.88 721 36.89
TOTAL 748 167,276,279 100 7.328 7.078 360 0 5.75 9.75 223,631 77.39 95.57 700 37.67
Collateral Grouped by Mortgage Ins. Company
Collateral Grouped by Mortgage Ins. Company Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
No MI 747 167,178,136 99.94 7.3277 7.0777 360 0 5.75 9.75 223,799 77.39 95.57 700 37.67
PMI 1 98,143 0.06 7.875 7.625 360 0 7.875 7.875 98,143 80.02 95.02 721 0
TOTAL 748 167,276,279 100 7.328 7.078 360 0 5.75 9.75 223,631 77.39 95.57 700 37.67
Collateral Grouped by State
Collateral Grouped by State Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
AL 4 552,571 0.33 7.6387 7.3887 348 0 5.75 9.25 138,143 78.82 100 689 47.42
AZ 68 17,267,186 10.32 7.3875 7.1375 359 0 6.25 8.875 253,929 77.68 96.58 714 39.06
CA 62 25,190,245 15.06 7.0719 6.8219 360 0 6.25 8.375 406,294 75.92 93.3 710 33.07
CO 23 4,981,427 2.98 7.1265 6.8765 371 0 6.125 8.25 216,584 78.76 98.36 689 40.87
CT 3 892,800 0.53 6.9187 6.6687 360 0 6.75 7.25 297,600 80 98.82 718 43.8
DC 4 1,059,950 0.63 7.1726 6.9226 356 4 6.25 8.125 264,988 80 95.36 733 40.94
DE 2 696,226 0.42 7.0978 6.8478 359 0 6.75 7.25 348,113 80 91.52 673 39.57
FL 47 11,200,670 6.7 7.457 7.207 360 0 6 9 238,312 78.33 97.73 711 36.43
GA 86 12,234,178 7.31 7.3483 7.0983 359 1 5.875 9.5 142,258 78.64 97.9 690 40.11
IA 4 471,520 0.28 7.5638 7.3138 360 0 7.25 8.5 117,880 80 97.06 662 38.21
ID 4 954,455 0.57 7.0526 6.8026 360 0 6.5 7.75 238,614 72.32 91.11 751 33.84
IL 18 3,531,218 2.11 7.7624 7.5124 360 0 6.875 9.125 196,179 77.83 99.17 694 34.95
IN 7 633,438 0.38 7.3013 7.0513 359 0 6.75 8.25 90,491 79.85 96.62 685 44.05
KS 1 116,000 0.07 7.5 7.25 358 2 7.5 7.5 116,000 80 100 762 40.17
KY 8 1,411,610 0.84 7.3752 7.1252 360 0 7.25 7.75 176,451 76.61 97.61 683 38.97
LA 4 367,485 0.22 7.7231 7.4731 358 1 7.25 8.625 91,871 76.99 97.63 710 40.45
MA 17 6,050,865 3.62 7.3997 7.1497 359 1 6.5 8.25 355,933 76.88 95.05 680 39.61
MD 43 14,579,243 8.72 7.4281 7.1781 361 0 6.125 8.625 339,052 79.18 95.14 685 41.68
ME 3 546,262 0.33 8.173 7.923 360 0 6.625 9.5 182,087 80 98.36 649 41.19
MI 10 2,329,903 1.39 7.4868 7.2368 359 0 6.625 8.625 232,990 79.45 97.74 712 38.56
MN 7 1,472,808 0.88 7.0438 6.7938 359 1 6.375 8.25 210,401 76.44 99.26 698 35.37
MO 5 500,700 0.3 8.2941 8.0441 360 0 7.75 8.625 100,140 80 97.3 707 33.43
MS 8 1,692,497 1.01 7.0184 6.7684 358 1 6.25 8.375 211,562 69.9 86.55 726 36.91
MT 3 433,750 0.26 7.1937 6.9437 360 0 7 7.75 144,583 68.87 85.16 659 44.73
NC 27 2,896,967 1.73 7.4777 7.2277 359 0 6.375 9.25 107,295 78.83 98.74 697 40.08
NH 3 543,739 0.33 7.388 7.138 359 0 7 7.75 181,246 80 100 730 41.61
NJ 26 6,208,318 3.71 7.6692 7.4192 359 0 6.5 8.75 238,781 76.29 97.15 695 43.44
NM 8 1,114,389 0.67 7.2198 6.9698 359 1 6.75 8.25 139,299 77.42 94.84 697 37.38
NV 10 2,958,941 1.77 6.896 6.646 360 0 6.25 7.375 295,894 79.53 97.56 686 37.49
NY 9 3,646,516 2.18 7.2654 7.0154 360 0 6.25 8.375 405,168 74.02 92.13 680 42.31
OH 19 2,368,279 1.42 7.5627 7.3127 360 0 6.625 9.75 124,646 77.91 99.01 683 32.12
OK 2 164,250 0.1 7.0113 6.7613 360 0 6.75 7.25 82,125 77.38 99.99 738 31.91
OR 3 461,720 0.28 7.0822 6.8322 360 0 6.5 7.75 153,907 77.45 99.99 679 29.87
PA 17 3,699,877 2.21 7.2022 6.9522 360 0 6.5 8.75 217,640 72.56 88.97 689 25.28
SC 10 2,108,999 1.26 6.9701 6.7201 359 0 5.75 8.75 210,900 73.05 87.99 708 39.2
TN 6 845,981 0.51 7.6396 7.3896 359 1 6.125 8.375 140,997 80 100 714 33.76
TX 100 14,024,667 8.38 7.4897 7.2397 360 0 6.125 8.75 140,247 79.14 98.05 710 35.9
UT 12 2,539,600 1.52 7.2779 7.0279 360 0 6.5 8 211,633 77.52 95.04 720 40.63
VA 33 9,728,600 5.82 7.2245 6.9745 360 0 5.875 8.25 294,806 78.78 94.87 683 39.15
WA 14 3,949,163 2.36 7.1815 6.9315 360 0 6 9.75 282,083 71.59 84.7 714 37.55
WI 7 729,475 0.44 8.1057 7.8557 360 0 7.625 8.625 104,211 70.34 97.45 723 33.72
WY 1 119,793 0.07 6.75 6.5 358 1 6.75 6.75 119,793 80 100 758 54.32
TOTAL 748 167,276,279 100 7.328 7.078 360 0 5.75 9.75 223,631 77.39 95.57 700 37.67
Collateral Grouped by FICO Score
Collateral Grouped by FICO Score Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
0 - 0 2 360,328 0.22 7.6605 7.4105 360 0 7 7.875 180,164 80 100 0 43.23
600 - 624 23 4,986,799 2.98 7.6386 7.3886 360 0 6.375 8.5 216,817 79.32 97.5 621 41.17
625 - 649 77 16,048,442 9.59 7.4713 7.2213 363 0 6.125 9.5 208,421 78.68 95.75 638 39.99
650 - 674 149 32,201,674 19.25 7.3311 7.0811 360 0 6 8.75 216,119 77.48 95.37 663 38.73
675 - 699 148 37,037,417 22.14 7.3555 7.1055 360 0 6.125 9.5 250,253 78.65 96.5 686 38.45
700 - 724 102 23,413,735 14 7.2727 7.0227 360 0 6 9.25 229,546 76.19 94.58 713 38.86
725 - 749 121 26,183,257 15.65 7.2701 7.0201 359 1 5.875 8.875 216,391 76.22 95.26 736 33.43
750 - 774 76 15,539,160 9.29 7.2387 6.9887 359 1 5.75 8.75 204,463 77.76 96.3 760 35.55
775 - 799 47 11,065,650 6.62 7.2352 6.9852 359 0 5.75 9.75 235,439 74.77 93.58 785 38.41
800 + 3 439,819 0.26 7.6363 7.3863 360 0 7.25 7.75 146,606 78.79 96.21 804 24.91
TOTAL 748 167,276,279 100 7.328 7.078 360 0 5.75 9.75 223,631 77.39 95.57 700 37.67
Collateral Grouped by FICO Score2
Collateral Grouped by FICO Score2 Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
-639 67 14,694,443 8.78 7.6005 7.3505 360 0 6.125 9.25 219,320 78.84 96.18 628 40.22
640 + 681 152,581,836 91.22 7.3017 7.0517 360 0 5.75 9.75 224,056 77.25 95.52 707 37.43
TOTAL 748 167,276,279 100 7.328 7.078 360 0 5.75 9.75 223,631 77.39 95.57 700 37.67
Collateral Grouped by Prepayment Penalty
Collateral Grouped by Prepayment Penalty Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
No 404 91,854,726 54.91 7.2914 7.0414 360 0 5.75 9.75 227,363 77.83 95.84 699 39.43
NO PP 404 91,854,726 54.91 7.2914 7.0414 360 0 5.75 9.75 227,363 77.83 95.84 699 39.43
Yes 344 75,421,553 45.09 7.3725 7.1225 360 0 6 9.75 219,249 76.85 95.25 702 35.71
1Y PP 21 3,679,944 2.2 7.3626 7.1126 360 0 6.5 8.75 175,235 76.5 92.68 706 37.35
3Y PP 175 33,203,611 19.85 7.5035 7.2535 360 1 6 9.75 189,735 78.63 97.72 701 36.66
6M PP 148 38,537,998 23.04 7.2606 7.0106 360 0 6 9.5 260,392 75.35 93.37 702 34.65
TOTAL 748 167,276,279 100 7.328 7.078 360 0 5.75 9.75 223,631 77.39 95.57 700 37.67
Collateral Grouped by Lien Status
Collateral Grouped by Lien Status Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
First Lien 748 167,276,279 100 7.328 7.078 360 0 5.75 9.75 223,631 77.39 95.57 700 37.67
TOTAL 748 167,276,279 100 7.328 7.078 360 0 5.75 9.75 223,631 77.39 95.57 700 37.67
Collateral Grouped by Loan-to-Value & Mtg Ins.
Collateral Grouped by Loan-to-Value & Mtg Ins. Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA MAX LTV WA FICO WA DTI
COMBINED
LTV
LTV GT 80 w MI 1 98,143 0.06 7.875 7.625 360 0 7.875 7.875 98,143 80.02 95.02 80.02 721 0
LTV GT 80 w/out MI 1 51,970 0.03 8.75 8.5 360 0 8.75 8.75 51,970 83.87 100 83.87 721 34.68
LTV LE 80 746 167,126,166 99.91 7.3272 7.0772 360 0 5.75 9.75 224,030 77.38 95.57 80 700 37.67
TOTAL 748 167,276,279 100 7.328 7.078 360 0 5.75 9.75 223,631 77.39 95.57 83.87 700 37.67
Collateral Grouped by Balloon Flag
Collateral Grouped by Balloon Flag Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
No 745 166,543,428 99.56 7.3273 7.0773 359 0 5.75 9.75 223,548 77.39 95.56 700 37.62
Yes 3 732,851 0.44 7.4776 7.2276 479 0 7 7.625 244,284 77.18 99.23 667 46.66
TOTAL 748 167,276,279 100 7.328 7.078 360 0 5.75 9.75 223,631 77.39 95.57 700 37.67
Collateral Grouped by IO
Collateral Grouped by IO Count Total Pct of Wtd Avg Wtd Avg Wtd Avg Wtd Avg Wtd Avg Wtd Avg Min Max Avg Wtd Avg Wtd Avg Wtd Avg Wtd Avg
CURRENT overall CURRENT TOTAL CURRENT STATED REMAINING AGE CURRENT CURRENT CURRENT LOAN O LTV FICO SCORE BACK RATIO
BALANCE CURRENT GROSS STRIP NET REM TERM GROSS GROSS BALANCE TO
BALANCE COUPON COUPON TERM COUPON COUPON VALUE
N 144 27,893,734.77 16.68 7.2117 0.25 6.9617 360 362 0 5.75 8.75 193,706 76.89 95.26 708 40.57
0 144 27,893,734.77 16.68 7.2117 0.25 6.9617 360 362 0 5.75 8.75 193,706 76.89 95.26 708 40.57
Y 604 139,382,544.46 83.32 7.3513 0.25 7.1013 360 360 0 5.75 9.75 230,766 77.49 95.64 699 37.07
120 598 138,505,012.46 82.8 7.3498 0.25 7.0998 360 360 0 5.75 9.75 231,614 77.51 95.62 699 37.08
60 6 877,532.00 0.52 7.5785 0.25 7.3285 358 358 2 6.75 9 146,255 74.33 97.87 708 36.67
TOTAL 748 167,276,279.23 100 7.328 0.25 7.078 360 360 0 5.75 9.75 223,631 77.39 95.57 700 37.67
Collateral Grouped by Subordinate Fin. Flag
Collateral Grouped by Subordinate Fin. Flag Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
YES 748 167,276,279 100 7.328 7.078 360 0 5.75 9.5 223,631 77.39 95.57 700 37.67
TOTAL 748 167,276,279 100 7.328 7.078 360 0 5.75 9.5 223,631 77.39 95.57 700 37.67
Collateral Grouped by Servicer
Collateral Grouped by Servicer Count Balance Percent GWAC WA Strip NWAC Stated WAM Calc WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
EMC MORTGAGE 597 130,831,985.44 78.21 7.3267 0.25 7.0767 360 360 0 5.75 9 219,149 77.63 95.89 702 38.34
WATERFIELD_SUB 151 36,444,293.79 21.79 7.3325 0.25 7.0825 360 360 0 6 9.75 241,353 76.52 94.45 695 35.38
TOTAL 748 167,276,279.23 100 7.328 0.25 7.078 360 360 0 5.75 9.75 223,631 77.39 95.57 700 37.67
STATEMENT REGARDING FREE WRITING PROSPECTUS
The issuer has filed a registration statement (including a prospectus) with the
SEC for the offering to which this free writing prospectus relates. Before you
invest, you should read the prospectus in the registration statement and other
documents the depositor has filed with the SEC for more complete information
about the depositor, the issuer and this offering. You may get these documents
for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively,
the depositor, any underwriter or any dealer participating in the offering will
arrange to send you the prospectus you request it by calling toll free
1-866-803-9204.
This free writing prospectus does not contain all information that is required
to be included in the base prospectus and the prospectus supplement. Please
click here http://www.bearstearns.com/prospectus/bsabs or visit the following
website: "www.bearstearns.com/prospectus/bsabs" for a copy of the base
prospectus applicable to this offering.
This free writing prospectus is not an offer to sell or solicitation of an offer
to buy these securities in any state where such offer, solicitation or sale is
not Permitted.
The Information in this free writing prospectus supersedes information contained
in any prior similar free writing prospectus relating to these securities prior
to the time of your commitment to purchase.
This free writing prospectus is being delivered to you solely to provide you
with information about the offering of the Certificates referred to in this free
writing prospectus and to solicit an offer to purchase the Certificates, when,
as and if issued. 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
Certificates until we have accepted your offer to purchase Certificates. We will
not accept any offer by you to purchase Certificates, and you will not have any
contractual commitment to purchase any of the Certificates until after you have
received the preliminary prospectus. You may withdraw your offer to purchase
Certificates at any time prior to our acceptance of your offer.
Collateral Grouped by Loan Type
Collateral Grouped by Loan Type Count Balance Percent GWAC WA Strip NWAC Stated Calc WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI WA REM
WAM COMBINED IO TERM
LTV
30Y 94 11,987,859.31 17.67 7.3315 0.25 7.0815 360 362 0 6 8.75 127,530 73.32 83.83 723 42.12 0
30Y IO 342 55,842,397.28 82.33 7.5283 0.25 7.2783 360 360 0 5.625 9.75 163,282 75.53 89.66 713 34.78 119
TOTAL 436 67,830,256.59 100 7.4936 0.25 7.2436 360 360 0 5.625 9.75 155,574 75.13 88.63 715 36.27 119
Collateral Grouped by Original Term
Collateral Grouped by Original Term Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal Min WAM Max WAM WA LTV WA WA FICO WA DTI
COMBINED
LTV
181 - 360 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.75 155,574 352 479 75.13 88.63 715 36.27
TOTAL 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.75 155,574 352 479 75.13 88.63 715 36.27
Collateral Grouped by Original Balance
Collateral Grouped by Original Balance Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
-75,000 77 4,564,144 6.73 7.621 7.371 359 0 6.125 9.375 59,275 76.38 91.58 711 34.94
75,001 - 417,000 338 52,792,414 77.83 7.5646 7.3146 360 0 5.625 9.75 156,191 76.57 91.55 712 36.25
417,001 - 650,000 21 10,473,699 15.44 7.08 6.83 359 1 6.25 8.375 498,748 67.35 72.63 730 37.25
TOTAL 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.75 155,574 75.13 88.63 715 36.27
Collateral Grouped by Current Balance
Collateral Grouped by Current Balance Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
-75,000 77 4,564,144 6.73 7.621 7.371 359 0 6.125 9.375 59,275 76.38 91.58 711 34.94
75,001 - 333,700 330 49,797,099 73.41 7.5473 7.2973 360 0 5.625 9.75 150,900 76.68 91.99 712 35.91
333,701 - 400,000 6 2,188,898 3.23 7.7949 7.5449 360 0 6.25 8.875 364,816 72.93 82.09 707 45.53
400,001 - 650,000 23 11,280,116 16.63 7.1462 6.8962 359 1 6.25 8.625 490,440 68.25 73.87 727 37.49
TOTAL 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.75 155,574 75.13 88.63 715 36.27
Collateral Grouped by Current Gross Coupon
Collateral Grouped by Current Gross Coupon Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
30_Yr 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.75 155,574 75.13 88.63 715 36.27
5.500 - 5.749 1 170,400 0.25 5.625 5.375 358 2 5.625 5.625 170,400 80 80 741 41.96
5.750 - 5.999 1 133,911 0.2 5.75 5.5 359 1 5.75 5.75 133,911 80 100 786 0
6.000 - 6.249 6 598,258 0.88 6.068 5.818 359 1 6 6.125 99,710 70.04 73.04 692 32.69
6.250 - 6.499 24 4,929,312 7.27 6.2814 6.0314 358 1 6.25 6.375 205,388 67.38 72.52 729 39.78
6.500 - 6.749 15 2,869,332 4.23 6.5821 6.3321 359 1 6.5 6.625 191,289 69.59 80.44 727 35.2
6.750 - 6.999 42 7,296,267 10.76 6.8148 6.5648 362 0 6.75 6.875 173,721 69.57 75.99 703 40.83
7.000 - 7.249 33 5,615,917 8.28 7.0553 6.8053 363 0 7 7.125 170,179 73.05 82.64 725 36.58
7.250 - 7.499 57 9,209,998 13.58 7.3117 7.0617 360 0 7.25 7.375 161,579 77.49 92.93 723 35.15
7.500 - 7.749 75 11,090,563 16.35 7.5507 7.3007 360 0 7.5 7.625 147,874 77.06 93.74 711 33.86
7.750 - 7.999 77 9,889,248 14.58 7.8 7.55 360 0 7.75 7.875 128,432 76.68 93.87 717 35.56
8.000 - 8.249 30 5,119,838 7.55 8.0443 7.7943 360 0 8 8.125 170,661 78.36 94.42 713 36.04
8.250 - 8.499 25 3,914,329 5.77 8.3295 8.0795 359 1 8.25 8.375 156,573 79.1 95.18 718 35.14
8.500 - 8.749 33 3,606,210 5.32 8.5734 8.3234 359 0 8.5 8.625 109,279 78.1 94.59 686 37.44
8.750 - 8.999 9 1,802,956 2.66 8.7998 8.5498 359 1 8.75 8.875 200,328 75.55 90.65 706 36.65
9.250 - 9.499 4 770,920 1.14 9.2615 9.0115 360 0 9.25 9.375 192,730 78.04 90.28 679 42.98
9.500 - 9.749 2 472,000 0.7 9.5 9.25 360 0 9.5 9.5 236,000 80 100 667 33.89
9.750 - 9.999 2 340,800 0.5 9.75 9.5 360 0 9.75 9.75 170,400 80 96.41 792 11.63
TOTAL 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.75 155,574 75.13 88.63 715 36.27
Collateral Grouped by Current Net Coupon
Collateral Grouped by Current Net Coupon Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal Min WAM Max WAM WA LTV WA WA FICO WA DTI
COMBINED
LTV
5.250 - 5.499 1 170,400 0.25 5.625 5.375 358 2 5.625 5.625 170,400 358 358 80 80 741 41.96
5.500 - 5.749 1 133,911 0.2 5.75 5.5 359 1 5.75 5.75 133,911 359 359 80 100 786 0
5.750 - 5.999 6 598,258 0.88 6.068 5.818 359 1 6 6.125 99,710 357 360 70.04 73.04 692 32.69
6.000 - 6.249 24 4,929,312 7.27 6.2814 6.0314 358 1 6.25 6.375 205,388 352 360 67.38 72.52 729 39.78
6.250 - 6.499 15 2,869,332 4.23 6.5821 6.3321 359 1 6.5 6.625 191,289 354 360 69.59 80.44 727 35.2
6.500 - 6.749 42 7,296,267 10.76 6.8148 6.5648 362 0 6.75 6.875 173,721 357 479 69.57 75.99 703 40.83
6.750 - 6.999 33 5,615,917 8.28 7.0553 6.8053 363 0 7 7.125 170,179 354 479 73.05 82.64 725 36.58
7.000 - 7.249 57 9,209,998 13.58 7.3117 7.0617 360 0 7.25 7.375 161,579 357 360 77.49 92.93 723 35.15
7.250 - 7.499 75 11,090,563 16.35 7.5507 7.3007 360 0 7.5 7.625 147,874 354 360 77.06 93.74 711 33.86
7.500 - 7.749 77 9,889,248 14.58 7.8 7.55 360 0 7.75 7.875 128,432 357 360 76.68 93.87 717 35.56
7.750 - 7.999 30 5,119,838 7.55 8.0443 7.7943 360 0 8 8.125 170,661 358 360 78.36 94.42 713 36.04
8.000 - 8.249 25 3,914,329 5.77 8.3295 8.0795 359 1 8.25 8.375 156,573 356 360 79.1 95.18 718 35.14
8.250 - 8.499 33 3,606,210 5.32 8.5734 8.3234 359 0 8.5 8.625 109,279 356 360 78.1 94.59 686 37.44
8.500 - 8.749 9 1,802,956 2.66 8.7998 8.5498 359 1 8.75 8.875 200,328 357 360 75.55 90.65 706 36.65
9.000 - 9.249 4 770,920 1.14 9.2615 9.0115 360 0 9.25 9.375 192,730 360 360 78.04 90.28 679 42.98
9.250 - 9.499 2 472,000 0.7 9.5 9.25 360 0 9.5 9.5 236,000 360 360 80 100 667 33.89
9.500 - 9.749 2 340,800 0.5 9.75 9.5 360 0 9.75 9.75 170,400 359 360 80 96.41 792 11.63
TOTAL 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.75 155,574 352 479 75.13 88.63 715 36.27
Collateral Grouped by Remaining Term
Collateral Grouped by Remaining Term Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal Min WAM Max WAM WA LTV WA WA FICO WA DTI
COMBINED
LTV
181 - 360 434 67,505,203 99.52 7.4963 7.2463 359 0 5.625 9.75 155,542 352 360 75.15 88.64 715 36.23
361 + 2 325,054 0.48 6.9328 6.6828 479 0 6.875 7 162,527 479 479 72.34 86.22 704 48.83
TOTAL 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.75 155,574 352 479 75.13 88.63 715 36.27
Collateral Grouped by Loan-to-Value
Collateral Grouped by Loan-to-Value Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal Min WAM Max WAM WA LTV WA WA FICO WA DTI
COMBINED
LTV
0.00 - 30.00 1 63,270 0.09 7.75 7.5 360 0 7.75 7.75 63,270 360 360 30 100 714 34.41
30.01 - 40.00 2 335,000 0.49 7.4142 7.1642 360 0 7 7.75 167,500 360 360 34.72 34.72 682 40.51
40.01 - 50.00 3 870,095 1.28 6.3123 6.0623 359 0 6 6.875 290,032 357 360 47.57 47.57 765 52.81
50.01 - 60.00 11 3,378,482 4.98 6.6373 6.3873 360 0 6.25 7.25 307,135 357 360 56.5 56.5 696 48.51
60.01 - 70.00 64 11,841,245 17.46 7.2971 7.0471 361 0 6.125 8.75 185,019 358 479 65.96 80.78 708 34.99
70.01 - 79.99 78 10,395,730 15.33 7.4949 7.2449 361 1 6 9.25 133,279 354 479 75.87 87.8 712 36.81
80.00 - 80.00 268 40,269,705 59.37 7.6384 7.3884 359 0 5.625 9.75 150,260 352 360 80 95.13 718 35.54
80.01 - 90.00 9 676,730 1 8.0989 7.8489 358 1 6.5 8.75 75,192 354 360 87.44 90.86 709 32.42
TOTAL 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.75 155,574 352 479 75.13 88.63 715 36.27
Collateral Grouped by Combined Loan-to-Value
Collateral Grouped by Combined Loan-to-Value Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal Min WAM Max WAM WA LTV WA WA FICO WA DTI
COMBINED
LTV
30.01 - 40.00 2 335,000 0.49 7.4142 7.1642 360 0 7 7.75 167,500 360 360 34.72 34.72 682 40.51
40.01 - 50.00 3 870,095 1.28 6.3123 6.0623 359 0 6 6.875 290,032 357 360 47.57 47.57 765 52.81
50.01 - 60.00 11 3,378,482 4.98 6.6373 6.3873 360 0 6.25 7.25 307,135 357 360 56.5 56.5 696 48.51
60.01 - 70.00 18 4,629,679 6.83 6.8688 6.6188 360 0 6.125 7.75 257,204 358 360 64.94 64.94 700 36.04
70.01 - 79.99 27 4,504,344 6.64 7.575 7.325 364 1 6 9.25 166,828 354 479 73.8 75.31 697 32.47
80.00 - 80.00 45 9,121,896 13.45 7.2968 7.0468 359 1 5.625 8.75 202,709 354 360 76.42 80 715 35.38
80.01 - 90.00 44 5,629,935 8.3 7.5768 7.3268 359 0 6.25 8.75 127,953 354 360 77.68 89.68 695 36.94
90.01 - 95.00 55 7,706,388 11.36 7.6256 7.3756 359 1 6.125 9.75 140,116 352 360 79.31 94.71 718 29.47
95.01 - 100.00 231 31,654,436 46.67 7.7078 7.4578 360 0 5.75 9.75 137,032 354 479 78.15 99.93 722 37.34
TOTAL 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.75 155,574 352 479 75.13 88.63 715 36.27
Collateral Grouped by Documentation Type
Collateral Grouped by Documentation Type Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
Full/Alternative 90 12,517,675 18.45 7.1657 6.9157 359 1 5.625 9.5 139,085 76.37 90.67 726 37.61
0.00 - 10.00 4 761,959 1.12 7.5563 7.3063 360 0 7.25 7.75 190,490 80 98.82 707 8.27
10.01 - 20.00 5 520,700 0.77 7.5822 7.3322 359 1 6.5 9.5 104,140 79.23 98.49 754 13.31
20.01 - 25.00 2 190,000 0.28 7.5461 7.2961 359 1 7.25 7.625 95,000 80 97.37 739 21.84
25.01 - 30.00 4 786,396 1.16 6.5768 6.3268 357 2 6 7 196,599 78.3 94.34 742 26.58
30.01 - 35.00 9 1,291,279 1.9 7.4689 7.2189 360 0 6.75 7.75 143,475 79.59 98.87 720 32.17
35.01 - 40.00 25 2,720,194 4.01 7.3658 7.1158 360 0 6.25 8.375 108,808 79.61 93.91 713 37.77
40.01 - 45.00 21 2,956,887 4.36 7.1805 6.9305 359 0 5.625 8.375 140,804 77.34 90.53 721 42.22
45.01 - 50.00 16 1,986,762 2.93 7.1432 6.8932 358 2 6.25 8.375 124,173 79.75 95.97 708 46.96
50.01 - 55.00 4 1,303,498 1.92 6.3538 6.1038 359 0 6.25 7.25 325,874 54.11 56.94 783 53.74
No Documentation 33 6,726,359 9.92 7.3728 7.1228 360 0 6.25 9.5 203,829 68.44 71.72 711 0
0.00 - 10.00 33 6,726,359 9.92 7.3728 7.1228 360 0 6.25 9.5 203,829 68.44 71.72 711 0
No Ratio 62 11,519,518 16.98 7.5949 7.3449 362 0 5.75 9.125 185,799 73.85 88.21 707 0
0.00 - 10.00 62 11,519,518 16.98 7.5949 7.3449 362 0 5.75 9.125 185,799 73.85 88.21 707 0
No Ratio/No VOE 4 580,760 0.86 7.637 7.387 359 1 6.75 8.125 145,190 72.9 81.87 698 0
0.00 - 10.00 4 580,760 0.86 7.637 7.387 359 1 6.75 8.125 145,190 72.9 81.87 698 0
Stated Income 229 33,886,045 49.96 7.5693 7.3193 360 0 6 9.25 147,974 76.62 91.26 715 35.38
0.00 - 10.00 8 1,211,295 1.79 7.7416 7.4916 360 0 7.5 8.25 151,412 79.5 94.54 733 4.84
10.01 - 20.00 17 2,532,992 3.73 7.3835 7.1335 359 0 6.25 8.375 149,000 77.61 88.98 710 15.38
20.01 - 25.00 17 2,001,543 2.95 7.4246 7.1746 360 0 6.125 8.25 117,738 77.16 88.39 738 22.35
25.01 - 30.00 19 2,451,758 3.61 7.4242 7.1742 359 1 6.125 8.5 129,040 75.83 91.05 717 26.83
30.01 - 35.00 29 4,442,777 6.55 7.7237 7.4737 360 0 7 9.25 153,199 76.44 93.4 717 32.65
35.01 - 40.00 48 7,985,684 11.77 7.5618 7.3118 359 0 6.25 9.25 166,368 75.38 90.81 712 37.71
40.01 - 45.00 48 7,173,133 10.58 7.6342 7.3842 359 0 6.375 9 149,440 75.93 88.6 711 42.27
45.01 - 50.00 35 4,937,369 7.28 7.5524 7.3024 363 0 6 9 141,068 78.01 94.44 711 47.27
50.01 - 55.00 8 1,149,494 1.69 7.4826 7.2326 359 1 7 7.625 143,687 79.86 96.21 709 52.8
Stated/Stated 18 2,599,900 3.83 7.9156 7.6656 359 1 6.875 8.5 144,439 73.27 91.55 703 41.37
30.01 - 35.00 4 495,570 0.73 8.0395 7.7895 358 2 6.875 8.125 123,893 79.6 98.01 696 33.09
35.01 - 40.00 3 558,000 0.82 7.6487 7.3987 360 0 7.375 8.25 186,000 71.2 92.19 736 37.35
40.01 - 45.00 5 849,237 1.25 8.3177 8.0677 359 1 7.5 8.5 169,847 76.28 100 720 42.25
45.01 - 50.00 6 697,093 1.03 7.5512 7.3012 359 0 6.875 8.375 116,182 66.77 76.17 660 49.39
TOTAL 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.5 155,574 75.13 88.63 715 36.27
Collateral Grouped by Loan Purpose
Collateral Grouped by Loan Purpose Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
Cash Out Refinance 68 14,538,667 21.43 7.2423 6.9923 359 0 5.625 9.25 213,803.92 67.73 71 697 37.75
Purchase 347 50,410,583 74.32 7.5695 7.3195 360 0 5.75 9.75 145,275.46 77.35 94 721 35.7
Rate/Term Refinance 21 2,881,006 4.25 7.4324 7.1824 366 1 6.875 8.625 137,190.78 73.68 80 682 40.78
TOTAL 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.75 155,573.98 75.13 89 715 36.27
Collateral Grouped by Property Type
Collateral Grouped by Property Type Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
2-4 Family 88 16,379,663 24.15 7.4915 7.2415 359 0 6.25 9.75 186,133 72.44 85.56 718 35.46
Condominium 21 2,799,361 4.13 7.5287 7.2787 360 0 6.25 9.25 133,303 73.18 83.69 702 34.11
Hi-Rise Condo 3 650,000 0.96 7.2054 6.9554 360 0 6.75 7.75 216,667 61.37 68.29 669 36.45
PUD 92 14,105,064 20.79 7.5891 7.3391 360 0 6 8.875 153,316 78.27 93.66 723 35.95
Single Family 219 31,617,016 46.61 7.4931 7.2431 361 0 5.75 9.75 144,370 75.95 89.73 713 36.74
Townhouse 13 2,279,153 3.36 6.962 6.712 359 1 5.625 8.75 175,319 70.1 76.12 691 42.42
TOTAL 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.75 155,574 75.13 88.63 715 36.27
Collateral Grouped by Occupancy Type
Collateral Grouped by Occupancy Type Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
Investor 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.75 155,574 75.13 88.63 715 36.27
TOTAL 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.75 155,574 75.13 88.63 715 36.27
Collateral Grouped by Mortgage Ins. Company
Collateral Grouped by Mortgage Ins. Company Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
Mortgage Guaranty In 3 268,854 0.4 7.9613 7.7113 356 3 6.5 8.75 89,618 89.99 89.99 732 24.09
No MI 428 67,205,496 99.08 7.4884 7.2384 360 0 5.625 9.75 157,022 75.02 88.61 715 36.3
PMI 2 178,645 0.26 8.213 7.963 360 0 7.875 8.625 89,323 84.52 92.76 693 44.93
Radian Guaranty 1 69,000 0.1 7.75 7.5 358 2 7.75 7.75 69,000 84.15 84.15 716 28.92
Republic MIC 2 108,261 0.16 8.162 7.912 360 0 7.75 8.62 54,130 89.77 89.77 668 43.58
TOTAL 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.75 155,574 75.13 88.63 715 36.27
Collateral Grouped by State
Collateral Grouped by State Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
AL 3 506,414 0.75 8.0944 7.8444 360 0 6.75 9.25 168,805 63.29 75.98 665 43.73
AZ 36 6,625,636 9.77 7.7756 7.5256 360 0 5.625 8.875 184,045 77.78 94.78 728 38
CA 35 10,108,547 14.9 7.1005 6.8505 361 0 6.25 9.25 288,816 68.53 75.5 719 37.72
CO 15 1,529,829 2.26 7.3872 7.1372 359 1 6 8.25 101,989 73.95 92.38 710 36.94
CT 1 321,600 0.47 6.75 6.5 360 0 6.75 6.75 321,600 80 100 763 48.53
DC 5 1,466,350 2.16 7.5751 7.3251 357 3 6.25 8.625 293,270 80 91.1 705 41.67
DE 1 180,000 0.27 7.75 7.5 360 0 7.75 7.75 180,000 80 80 703 36.52
FL 24 4,254,378 6.27 7.4958 7.2458 360 0 6.25 8.875 177,266 76.29 86.53 698 32.23
GA 43 5,154,584 7.6 7.6432 7.3932 359 1 6.25 9.5 119,874 78.18 95.18 702 40.41
HI 1 246,400 0.36 7 6.75 357 3 7 7 246,400 80 80 781 46.23
IA 1 138,720 0.2 7.375 7.125 360 0 7.375 7.375 138,720 80 90 692 48.28
ID 4 707,800 1.04 7.3856 7.1356 360 0 6.875 7.75 176,950 73.65 90.28 691 31.66
IL 9 1,378,060 2.03 7.8065 7.5565 360 0 7 8.25 153,118 76.03 98.18 734 18.83
IN 6 464,328 0.68 7.4565 7.2065 359 1 6.75 8.25 77,388 79.8 95.39 700 40.14
KY 6 309,301 0.46 7.9267 7.6767 360 0 7.625 8.625 51,550 81.68 92.4 681 35.25
LA 3 263,644 0.39 7.8602 7.6102 359 1 7.25 8.625 87,881 75.81 96.69 705 40.45
MA 5 1,753,240 2.58 7.3166 7.0666 360 0 6.625 7.62 350,648 66.68 81.54 696 37.75
MD 16 3,790,379 5.59 7.3164 7.0664 360 0 6 8.625 236,899 72.45 81.77 713 36.66
ME 1 252,000 0.37 9.5 9.25 360 0 9.5 9.5 252,000 80 100 646 36.37
MI 6 607,382 0.9 7.7808 7.5308 360 0 7.5 8.625 101,230 77.88 93.44 682 40.53
MN 4 972,840 1.43 6.9374 6.6874 358 2 6.375 7.875 243,210 78.44 90.87 752 38.01
MO 7 805,950 1.19 7.9298 7.6798 360 0 7.125 8.625 115,136 79.37 90.12 717 32.4
MS 1 52,000 0.08 7.5 7.25 360 0 7.5 7.5 52,000 80 100 731 27.37
MT 2 321,750 0.47 7 6.75 360 0 7 7 160,875 65 80 669 0
NC 14 1,247,839 1.84 8.075 7.825 360 0 6.875 9.25 89,131 78.31 98.78 720 37.95
ND 3 205,800 0.3 6.125 5.875 360 0 6.125 6.125 68,600 70 70 672 25.24
NH 1 148,000 0.22 7.75 7.5 360 0 7.75 7.75 148,000 80 100 744 34.06
NJ 16 4,000,305 5.9 7.5647 7.3147 359 0 6.5 8.75 250,019 70.55 85.13 707 40.74
NM 10 1,377,855 2.03 7.0116 6.7616 360 0 6.75 8.5 137,786 76.21 83.8 691 37.96
NV 3 600,181 0.88 6.6468 6.3968 395 0 6.25 7 200,060 72.02 77.75 734 0
NY 1 171,360 0.25 8.375 8.125 360 0 8.375 8.375 171,360 80 90 643 0
OH 10 1,166,644 1.72 8.4245 8.1745 360 0 7.375 9.75 116,664 76.35 92.11 701 26.63
OK 3 192,166 0.28 7.2458 6.9958 359 1 6.75 8.625 64,055 77.76 97.09 726 32.69
OR 4 571,270 0.84 6.908 6.658 360 0 6.375 7.75 142,818 73.38 85.44 718 23.11
PA 10 1,517,145 2.24 7.4731 7.2231 360 0 6.875 7.625 151,715 79.75 93.12 705 16.76
SC 6 600,573 0.89 7.4434 7.1934 360 0 5.75 8.75 100,096 80.33 99.05 741 35.69
TN 5 355,267 0.52 7.9141 7.6641 358 1 6.5 8.625 71,053 81.59 91.96 762 29.7
TX 75 8,130,672 11.99 7.4753 7.2253 359 0 6.125 8.75 108,409 78.69 96.01 724 36.01
UT 5 445,200 0.66 7.5531 7.3031 360 0 7 8 89,040 80 99.98 764 48.91
VA 19 2,595,661 3.83 7.4229 7.1729 360 0 6.25 8.75 136,614 76.91 86.21 710 34.85
WA 9 1,563,712 2.31 8.0031 7.7531 360 0 7.25 9.75 173,746 80 93.59 739 26.67
WI 7 729,475 1.08 8.1057 7.8557 360 0 7.625 8.625 104,211 70.34 97.45 723 33.72
TOTAL 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.75 155,574 75.13 88.63 715 36.27
Collateral Grouped by FICO Score
Collateral Grouped by FICO Score Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
0 - 0 3 489,613 0.72 8.0409 7.7909 360 0 7 8.875 163,204 76.56 76.56 0 36.53
600 - 624 3 370,750 0.55 8.1531 7.9031 360 0 7.625 8.5 123,583 75.01 78.08 621 27.35
625 - 649 29 4,044,264 5.96 7.8252 7.5752 359 0 6.25 9.5 139,457 71.11 79.54 639 38.71
650 - 674 68 10,870,992 16.03 7.311 7.061 360 0 6.125 8.75 159,868 71.42 80.86 662 37.93
675 - 699 71 11,381,020 16.78 7.693 7.443 361 0 6 9.5 160,296 77.36 91.51 688 37.73
700 - 724 80 11,708,037 17.26 7.5114 7.2614 361 1 6 9.25 146,350 76.75 91.14 712 36.16
725 - 749 92 13,273,611 19.57 7.5118 7.2618 359 0 5.625 8.875 144,278 77.55 95.45 737 33.86
750 - 774 48 7,373,250 10.87 7.3506 7.1006 360 0 6.375 8.375 153,609 75.71 92.09 761 32.88
775 - 799 38 7,800,802 11.5 7.2986 7.0486 359 0 5.75 9.75 205,284 71.63 82.13 787 41.4
800 + 4 517,919 0.76 7.465 7.215 359 1 6.5 7.75 129,480 80.48 95.27 804 24.04
TOTAL 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.75 155,574 75.13 88.63 715 36.27
Collateral Grouped by FICO Score2
Collateral Grouped by FICO Score2 Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
-639 21 3,047,015 4.49 7.9124 7.6624 359 0 6.25 9.25 145,096 72.14 78.37 632 36.67
640 + 415 64,783,241 95.51 7.4739 7.2239 360 0 5.625 9.75 156,104 75.28 89.11 718 36.25
TOTAL 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.75 155,574 75.13 88.63 715 36.27
Collateral Grouped by Prepayment Penalty
Collateral Grouped by Prepayment Penalty Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
No 208 33,125,963 48.84 7.3783 7.1283 360 0 5.75 9.75 159,259 74.29 86.88 716 38.15
NO PP 208 33,125,963 48.84 7.3783 7.1283 360 0 5.75 9.75 159,259 74.29 86.88 716 38.15
Yes 228 34,704,294 51.16 7.6036 7.3536 360 1 5.625 9.75 152,212 75.95 90.3 713 34.66
1Y PP 20 2,254,355 3.32 7.5847 7.3347 359 0 6.5 8.375 112,718 72.99 87.78 694 35.03
3Y PP 118 16,521,774 24.36 7.6503 7.4003 360 1 6.25 9.75 140,015 77.7 92.2 712 35.92
6M PP 90 15,928,165 23.48 7.5577 7.3077 360 0 5.625 9.5 176,980 74.55 88.68 717 33.17
TOTAL 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.75 155,574 75.13 88.63 715 36.27
Collateral Grouped by Lien Status
Collateral Grouped by Lien Status Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
First Lien 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.75 155,574 75.13 88.63 715 36.27
TOTAL 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.75 155,574 75.13 88.63 715 36.27
Collateral Grouped by Loan-to-Value & Mtg Ins.
Collateral Grouped by Loan-to-Value & Mtg Ins. Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA MAX LTV WA FICO WA DTI
COMBINED
LTV
LTV GT 80 w MI 8 624,760 0.92 8.0447 7.7947 358 2 6.5 8.75 78,095 87.74 90.1 90 708 32.1
LTV GT 80 w/out MI 1 51,970 0.08 8.75 8.5 360 0 8.75 8.75 51,970 83.87 100 83.87 721 34.68
LTV LE 80 427 67,153,526 99 7.4875 7.2375 360 0 5.625 9.75 157,268 75.01 88.61 80 715 36.3
TOTAL 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.75 155,574 75.13 88.63 90 715 36.27
Collateral Grouped by Balloon Flag
Collateral Grouped by Balloon Flag Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
No 434 67,505,203 99.52 7.4963 7.2463 359 0 5.625 9.75 155,542 75.15 88.64 715 36.23
Yes 2 325,054 0.48 6.9328 6.6828 479 0 6.875 7 162,527 72.34 86.22 704 48.83
TOTAL 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.75 155,574 75.13 88.63 715 36.27
Collateral Grouped by IO
Collateral Grouped by IO Count Total Pct of Wtd Avg Wtd Avg Wtd Avg Wtd Avg Wtd Avg Wtd Avg Min Max Avg Wtd Avg Wtd Avg Wtd Avg Wtd Avg
CURRENT overall CURRENT TOTAL CURRENT STATED REMAINING AGE CURRENT CURRENT CURRENT LOAN O LTV FICO SCORE BACK RATIO
BALANCE CURRENT GROSS STRIP NET REM TERM GROSS GROSS BALANCE TO
BALANCE COUPON COUPON TERM COUPON COUPON VALUE
N 94 11,987,859.31 17.67 7.3315 0.25 7.0815 360 362 0 6 8.75 127,530 73.32 83.83 723 42.12
0 94 11,987,859.31 17.67 7.3315 0.25 7.0815 360 362 0 6 8.75 127,530 73.32 83.83 723 42.12
Y 342 55,842,397.28 82.33 7.5283 0.25 7.2783 360 360 0 5.625 9.75 163,282 75.53 89.66 713 34.78
120 337 55,133,877.28 81.28 7.5294 0.25 7.2794 360 360 0 5.625 9.75 163,602 75.56 89.67 712 34.84
60 5 708,520.00 1.04 7.4434 0.25 7.1934 359 359 1 7 7.875 141,704 72.98 88.84 727 29.52
TOTAL 436 67,830,256.59 100 7.4936 0.25 7.2436 360 360 0 5.625 9.75 155,574 75.13 88.63 715 36.27
Collateral Grouped by Subordinate Fin. Flag
Collateral Grouped by Subordinate Fin. Flag Count Balance Percent GWAC NWAC WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
NO 105 20,727,464 30.56 7.1313 6.8813 360 1 5.625 9 197,404 69.97 69.97 707 37.67
YES 331 47,102,792 69.44 7.653 7.403 360 0 5.75 9.5 142,305 77.41 96.84 718 35.81
TOTAL 436 67,830,257 100 7.4936 7.2436 360 0 5.625 9.5 155,574 75.13 88.63 715 36.27
Collateral Grouped by Servicer
Collateral Grouped by Servicer Count Balance Percent GWAC WA Strip NWAC Stated WAM Calc WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI
COMBINED
LTV
EMC MORTGAGE 355 54,842,196.59 80.85 7.4241 0.25 7.1741 360 360 1 5.625 8.875 154,485 74.77 88.18 719 38.08
WATERFIELD_SUB 81 12,988,060.00 19.15 7.7868 0.25 7.5368 360 360 0 6.375 9.75 160,346 76.69 90.52 697 28.47
TOTAL 436 67,830,256.59 100 7.4936 0.25 7.2436 360 360 0 5.625 9.75 155,574 75.13 88.63 715 36.27
STATEMENT REGARDING FREE WRITING PROSPECTUS
The issuer has filed a registration statement (including a prospectus) with the
SEC for the offering to which this free writing prospectus relates. Before you
invest, you should read the prospectus in the registration statement and other
documents the depositor has filed with the SEC for more complete information
about the depositor, the issuer and this offering. You may get these documents
for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively,
the depositor, any underwriter or any dealer participating in the offering will
arrange to send you the prospectus you request it by calling toll free
1-866-803-9204.
This free writing prospectus does not contain all information that is required
to be included in the base prospectus and the prospectus supplement. Please
click here http://www.bearstearns.com/prospectus/bsabs or visit the following
website: "www.bearstearns.com/prospectus/bsabs" for a copy of the base
prospectus applicable to this offering.
This free writing prospectus is not an offer to sell or solicitation of an offer
to buy these securities in any state where such offer, solicitation or sale is
not Permitted.
The Information in this free writing prospectus supersedes information contained
in any prior similar free writing prospectus relating to these securities prior
to the time of your commitment to purchase.
This free writing prospectus is being delivered to you solely to provide you
with information about the offering of the Certificates referred to in this free
writing prospectus and to solicit an offer to purchase the Certificates, when,
as and if issued. 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
Certificates until we have accepted your offer to purchase Certificates. We will
not accept any offer by you to purchase Certificates, and you will not have any
contractual commitment to purchase any of the Certificates until after you have
received the preliminary prospectus. You may withdraw your offer to purchase
Certificates at any time prior to our acceptance of your offer.
DEAL NAME: BSABS 2006 AC2
THE PERCENTAGES PER TABLE SHOULD ADD UP TO 100%
FICO & DOCUMENTATION & PURPOSE OF LOAN
-------------------------------- ------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ----------------
FULL STATED OTHER ALL AVG PRIN CURRENT IO SILENT
FICO SCORE DOC DOC DOC DOCS PURCH CO REFI WAC BAL ($) LTV LOANS 2NDS
-------------------------------- ------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ----------------
LESS THAN 450 0.05 0.27 0.10 0.41 0.00 0.01 7.5281 153,611.57 77.11 0.35 0.12
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ----------------
451-500 0.00 0.00 0.00 0.00 0.08 0.07 0.0000 0.00 0.00 0.00 0.00
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ----------------
501-550 0.00 0.00 0.00 0.00 0.22 0.14 0.0000 0.00 0.00 0.00 0.00
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ----------------
551-600 0.26 0.45 0.34 1.04 0.16 0.08 7.1771 220,621.38 62.79 0.66 0.00
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ----------------
601-650 2.92 7.52 5.10 15.53 0.11 0.05 7.3899 244,817.21 74.03 13.28 7.32
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ----------------
651-700 3.77 19.08 15.90 38.75 0.00 0.00 7.1986 270,747.84 74.38 31.54 23.45
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ----------------
701-750 4.50 13.52 8.13 26.15 0.57 0.34 7.1400 263,516.51 74.21 19.88 16.58
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ----------------
751-800 3.75 6.12 7.91 17.78 0.00 0.00 6.9853 309,889.62 70.14 10.39 8.93
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ----------------
801-850 0.10 0.00 0.24 0.33 0.00 0.00 6.9806 198,298.74 83.89 0.19 0.07
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ----------------
TOTAL 15.34 46.95 37.71 100.00 0.00 0.00 7.1755 268,619.12 73.45 76.29 56.46
-------------------------------- ------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ----------------
LTV & FICO
-------------------------------- ------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
FICO
LESS
THAN 450 - 501 - 551 - 601 - 651 - 701 - 751 - 801 - TOTAL AVG PRIN GROSS LIMITED STATED IO SILENT
CURRENT LTV 450 500 550 600 650 700 750 800 850 FICO BAL ($) WAC MARGIN DOC DOC LOANS 2NDS
-------------------------------- ------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
10.01-20 0.00 0.00 0.00 0.00 0.11 0.00 0.00 0.00 0.00 633 167,500.00 6.8489 0.00 0.00 0.08 0.11 0.00
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
20.01-30 0.00 0.00 0.00 0.12 0.00 0.00 0.16 0.55 0.00 731 490,610.93 6.7293 0.00 0.00 0.11 0.66 0.00
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
30.01-40 0.00 0.00 0.00 0.07 0.08 0.82 0.05 0.00 0.00 659 336,894.27 6.5998 0.00 0.00 0.11 0.97 0.00
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
40.01-50 0.00 0.00 0.00 0.06 0.46 0.68 0.16 0.32 0.00 683 331,316.54 6.6157 0.00 0.00 0.03 0.87 0.00
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
50.01-60 0.00 0.00 0.00 0.10 1.34 1.64 1.57 2.30 0.00 715 643,660.06 6.9329 0.00 0.00 2.96 4.62 0.00
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
60.01-70 0.06 0.00 0.00 0.19 2.25 4.87 3.20 2.96 0.09 703 475,404.33 6.7747 0.00 0.00 4.64 8.83 1.17
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
70.01-80 0.23 0.00 0.00 0.50 3.79 8.26 5.69 3.42 0.00 695 322,579.31 7.1619 0.00 0.16 12.04 16.02 3.37
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
80.01-90 0.00 0.00 0.00 0.00 1.63 3.83 2.00 1.71 0.03 695 267,096.55 7.2093 0.00 0.00 4.54 7.01 8.12
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
90.01-100 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
100+ 0.12 0.00 0.00 0.00 5.88 18.64 13.32 6.52 0.21 700 203,080.16 7.3786 0.00 0.00 22.44 37.20 43.80
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
TOTAL 0.41 0.00 0.00 1.04 15.53 38.75 26.15 17.78 0.33 699 268,619.12 7.1755 0.00 0.16 46.95 76.29 56.46
-------------------------------- ------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
PRIN BALANCE & FICO
-------------------------------- ------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
FICO
LESS
THAN 450 - 501 - 551 - 601 - 651 - 701 - 751 - 801 - TOTAL CURRENT GROSS LIMITED STATED IO SILENT
PRIN BALANCE 450 500 550 600 650 700 750 800 850 FICO LTV WAC MARGIN DOC DOC LOANS 2NDS
-------------------------------- ------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
$1-$50,000 0.00 0.00 0.00 0.02 0.06 0.08 0.03 0.04 0.00 683 70.73 7.7447 0.00 0.00 0.14 0.07 0.13
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
$50,001-$100,000 0.12 0.00 0.00 0.00 0.72 1.95 1.82 0.96 0.06 704 76.19 7.5269 0.00 0.00 2.82 3.64 4.35
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
$100,001-$150,000 0.00 0.00 0.00 0.09 1.40 3.56 2.45 1.63 0.04 698 77.24 7.3504 0.00 0.00 4.99 6.94 7.69
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
$150,001 - $200,000 0.12 0.00 0.00 0.18 2.33 3.63 2.69 0.62 0.00 685 77.3 7.213 0.00 0.00 4.20 8.05 6.86
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
$200,001 - $250,000 0.08 0.00 0.00 0.15 1.80 3.62 1.50 0.87 0.00 684 76.53 7.3954 0.00 0.00 4.22 6.96 5.07
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
$250,001 - $300,000 0.09 0.00 0.00 0.38 1.19 3.19 1.20 0.65 0.09 684 75.61 7.3513 0.00 0.00 2.51 5.94 4.27
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
$300,001 - $350,000 0.00 0.00 0.00 0.11 1.23 1.85 1.08 0.63 0.00 686 75.7 7.2537 0.00 0.00 1.94 4.37 3.51
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
$350,001 - $400,000 0.00 0.00 0.00 0.12 0.75 1.75 1.02 0.26 0.00 684 78.22 7.3496 0.00 0.00 2.16 3.66 3.01
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
$400,001 - $450,000 0.00 0.00 0.00 0.00 0.99 1.89 2.77 1.79 0.14 710 74.77 6.9196 0.00 0.00 3.33 4.91 4.21
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
$450,001 - $500,000 0.00 0.00 0.00 0.00 1.12 2.91 2.28 1.77 0.00 707 72.17 7.0236 0.00 0.16 3.21 5.17 2.43
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
$500,001 - $550,000 0.00 0.00 0.00 0.00 1.06 2.47 1.21 1.76 0.00 706 75.82 7.2565 0.00 0.00 2.64 4.57 3.32
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
$550,001 - $600,000 0.00 0.00 0.00 0.00 0.40 1.56 0.59 0.78 0.00 705 75.6 6.8544 0.00 0.00 1.77 2.35 1.55
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
$600,001 - $650,000 0.00 0.00 0.00 0.00 0.44 2.15 0.63 1.72 0.00 717 67.21 6.9179 0.00 0.00 1.73 2.58 1.93
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
$700,001 - $750,000 0.00 0.00 0.00 0.00 0.24 0.93 1.47 0.71 0.00 719 69.56 6.8166 0.00 0.00 1.67 2.40 0.70
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
$ 700,000 + 0.00 0.00 0.00 0.00 1.81 7.21 5.41 3.59 0.00 706 66.02 7.0699 0.00 0.00 9.61 14.66 7.42
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
TOTAL 0.41 0.00 0.00 1.04 15.53 38.75 26.15 17.78 0.33 699 73.45 7.1755 0.00 0.16 46.95 76.29 56.46
-------------------------------- ------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- -----------
MORTG RATES & FICO
-------------------------------- ------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- ----------- -----------
FICO
LESS
THAN 450 - 501 - 551 - 601 - 651 - 701 - 751 - 801 - TOTAL CURRENT GROSS AVG PRIN LIMITED STATED IO SILENT
MORTG RATES 450 500 550 600 650 700 750 800 850 FICO LTV WAC MARGIN BAL ($) DOC DOC LOANS 2NDS
-------------------------------- ------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- ----------- -----------
5.501-6.0% 0.06 0.00 0.00 0.00 0.00 0.13 0.78 0.47 0.00 739 72.09 5.8268 0.00 251,342.02 0.00 0.51 0.65 0.41
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- ----------- -----------
6.001-6.5% 0.00 0.00 0.00 0.10 1.44 5.52 4.70 4.60 0.12 715 68.92 6.3708 0.00 343,571.59 0.00 5.71 11.46 6.60
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- ----------- -----------
6.501-7.0% 0.06 0.00 0.00 0.30 3.93 11.93 6.32 4.40 0.00 697 70.79 6.8067 0.00 310,441.69 0.16 12.49 19.31 12.55
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- ----------- -----------
7.001-7.5% 0.08 0.00 0.00 0.46 4.13 11.22 8.26 5.22 0.18 701 74.80 7.3252 0.00 271,821.97 0.00 14.72 23.56 17.15
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- ----------- -----------
7.501-8.0% 0.12 0.00 0.00 0.14 4.35 7.22 4.40 2.32 0.04 688 77.28 7.7728 0.00 227,632.55 0.00 9.63 16.07 14.31
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- ----------- -----------
8.001-8.5% 0.00 0.00 0.00 0.05 0.98 1.69 1.14 0.63 0.00 693 78.98 8.3053 0.00 170,356.58 0.00 2.22 3.34 3.75
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- ----------- -----------
8.501-9.0% 0.08 0.00 0.00 0.00 0.35 0.68 0.49 0.04 0.00 682 77.84 8.7300 0.00 142,668.81 0.00 0.96 1.18 1.14
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- ----------- -----------
9.001-9.5% 0.00 0.00 0.00 0.00 0.36 0.37 0.07 0.00 0.00 665 78.43 9.3029 0.00 261,143.92 0.00 0.70 0.61 0.44
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- ----------- -----------
9.501-10.0% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.12 0.00 792 80.00 9.7500 0.00 170,400.00 0.00 0.00 0.12 0.12
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- ----------- -----------
TOTAL 0.41 0.00 0.00 1.04 15.53 38.75 26.15 17.78 0.33 699 73.45 7.1755 0.00 268,619.12 0.16 46.95 76.29 56.46
-------------------------------- ------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ---------- ----------- ----------- -----------
MORTG RATES & LTV
-------------------------------- ------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ----------
LTV
40.01- 50.01 - 60.01 - 70.01 - 80.01 - 90.01 - TOTAL AVG GROSS AVG PRIN LIMITED STATED IO SILENT
MORTG RATES 50 60 70 80 90 100 100+ LTV FICO MARGIN BAL ($) DOC DOC LOANS 2NDS
-------------------------------- ------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ----------
5.501-6.0% 0.03 0.15 0.57 0.57 0.11 0.00 0 72.09 739 0.00 251,342.02 0.00 0.51 0.65 0.41
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ----------
6.001-6.5% 0.72 2.10 4.67 7.72 0.13 0.30 0 68.92 715 0.00 343,571.59 0.00 5.71 11.46 6.60
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ----------
6.501-7.0% 0.87 2.69 5.62 16.55 0.16 0.09 0 70.79 697 0.00 310,441.69 0.16 12.49 19.31 12.55
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ----------
7.001-7.5% 0.05 3.47 5.19 20.10 0.14 0.50 0 74.80 701 0.00 271,821.97 0.00 14.72 23.56 17.15
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ----------
7.501-8.0% 0.00 0.60 2.10 15.40 0.37 0.00 0 77.28 688 0.00 227,632.55 0.00 9.63 16.07 14.31
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ----------
8.001-8.5% 0.00 0.00 0.39 3.98 0.11 0.00 0 78.98 693 0.00 170,356.58 0.00 2.22 3.34 3.75
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ----------
8.501-9.0% 0.00 0.00 0.24 1.30 0.09 0.00 0 77.84 682 0.00 142,668.81 0.00 0.96 1.18 1.14
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ----------
9.001-9.5% 0.00 0.00 0.00 0.79 0.00 0.00 0 78.43 665 0.00 261,143.92 0.00 0.70 0.61 0.44
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ----------
9.501-10.0% 0.00 0.00 0.00 0.12 0.00 0.00 0 80.00 792 0.00 170,400.00 0.00 0.00 0.12 0.12
------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ----------
TOTAL 1.68 9.01 18.79 66.53 1.12 0.89 0 73.45 699 0.00 268,619.12 0.16 46.95 76.29 56.46
-------------------------------- ------------ --------- ------------ ------------ ------------- ---------- --------- -------------- --------------- ----------- ---------------- ---------- ----------- -------------- ----------
STATEMENT REGARDING FREE WRITING PROSPECTUS
The issuer has filed a registration statement (including a prospectus) with the
SEC for the offering to which this free writing prospectus relates. Before you
invest, you should read the prospectus in the registration statement and other
documents the depositor has filed with the SEC for more complete information
about the depositor, the issuer and this offering. You may get these documents
for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively,
the depositor, any underwriter or any dealer participating in the offering will
arrange to send you the prospectus you request it by calling toll free
1-866-803-9204.
This free writing prospectus does not contain all information that is required
to be included in the base prospectus and the prospectus supplement. Please
click here http://www.bearstearns.com/prospectus/bsabs or visit the following
website: "www.bearstearns.com/prospectus/bsabs" for a copy of the base
prospectus applicable to this offering.
This free writing prospectus is not an offer to sell or solicitation of an offer
to buy these securities in any state where such offer, solicitation or sale is
not Permitted.
The Information in this free writing prospectus supersedes information contained
in any prior similar free writing prospectus relating to these securities prior
to the time of your commitment to purchase.
This free writing prospectus is being delivered to you solely to provide you
with information about the offering of the Certificates referred to in this free
writing prospectus and to solicit an offer to purchase the Certificates, when,
as and if issued. 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
Certificates until we have accepted your offer to purchase Certificates. We will
not accept any offer by you to purchase Certificates, and you will not have any
contractual commitment to purchase any of the Certificates until after you have
received the preliminary prospectus. You may withdraw your offer to purchase
Certificates at any time prior to our acceptance of your offer.
INSTRUCTIONS: PLEASE ALSO PROVIDE INFO ON CONFORMING AND NON-CONFORMING POOL (CELLS HAVE
ALREADY BEEN FORMATTED IN COLUMN B, C, D, E)
aggregate pool group: ______ group: ______ group: ______
------------------------------
gross WAC 7.18%
------------------------------
------------------------------
------------------------------
------------------------------
------------------------------
wtd avg FICO 699
------------------------------
FICO less than 600 1%
------------------------------
FICO 600-650 15%
------------------------------
------------------------------
------------------------------
------------------------------
wtd avg CLTV 84%
------------------------------
CLTV equals 80 11%
------------------------------
CLTV greater than 80.01 54%
------------------------------
LTV 95.01 -100 0%
------------------------------
Full Doc (%) 15%
------------------------------
Stated Doc (%) 47%
------------------------------
------------------------------
purch (%) 57%
------------------------------
CO refi (%) 34%
------------------------------
Own Occ (%) 72%
------------------------------
Prepay Penalty (%) 45%
------------------------------
DTI (%) 38%
------------------------------
ARM ? (%) 0%
------------------------------
2/28 (%) 0%
------------------------------
3/27 (%) $ -
------------------------------
1st Lien (%) 100
------------------------------
Avg Loan Balance 268619
------------------------------
# of Loans 1103
------------------------------
Loan Bal less than $100k 5.77%
------------------------------
Mtg Rates greater than 12% 0
------------------------------
Manuf Housing (%) 0.16
------------------------------
------------------------------
largest state CA
------------------------------
silent 2nd (%) 56%
------------------------------
IO loans (%) 76%
------------------------------
5yr IO 1
------------------------------
2 yr IO 0%
------------------------------
IO: FICO 694%
------------------------------
IO LTV 74%
------------------------------
IO DTI 38%
------------------------------
IO full doc 16%
------------------------------
IO: purch 46%
------------------------------
STATEMENT REGARDING FREE WRITING PROSPECTUS
The issuer has filed a registration statement (including a prospectus) with the
SEC for the offering to which this free writing prospectus relates. Before you
invest, you should read the prospectus in the registration statement and other
documents the depositor has filed with the SEC for more complete information
about the depositor, the issuer and this offering. You may get these documents
for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively,
the depositor, any underwriter or any dealer participating in the offering will
arrange to send you the prospectus you request it by calling toll free
1-866-803-9204.
This free writing prospectus does not contain all information that is required
to be included in the base prospectus and the prospectus supplement. Please
click here http://www.bearstearns.com/prospectus/bsabs or visit the following
website: "www.bearstearns.com/prospectus/bsabs" for a copy of the base
prospectus applicable to this offering.
This free writing prospectus is not an offer to sell or solicitation of an offer
to buy these securities in any state where such offer, solicitation or sale is
not Permitted.
The Information in this free writing prospectus supersedes information contained
in any prior similar free writing prospectus relating to these securities prior
to the time of your commitment to purchase.
This free writing prospectus is being delivered to you solely to provide you
with information about the offering of the Certificates referred to in this free
writing prospectus and to solicit an offer to purchase the Certificates, when,
as and if issued. 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
Certificates until we have accepted your offer to purchase Certificates. We will
not accept any offer by you to purchase Certificates, and you will not have any
contractual commitment to purchase any of the Certificates until after you have
received the preliminary prospectus. You may withdraw your offer to purchase
Certificates at any time prior to our acceptance of your offer.
Collateral Grouped by State
Collateral Grouped by State Count Balance Percent
AL 6 929,371.00 0.31
AZ 96 30,507,306.00 10.30
CA 135 58,909,050.00 19.88
CO 29 6,026,841.00 2.03
CT 3 892,800.00 0.30
DC 7 2,086,350.00 0.70
DE 5 5,112,752.00 1.73
FL 81 22,818,223.00 7.70
GA 101 14,860,064.00 5.02
HI 3 3,167,828.00 1.07
IA 4 471,520.00 0.16
ID 7 1,367,375.00 0.46
IL 19 3,971,218.00 1.34
IN 7 633,438.00 0.21
KS 1 116,000.00 0.04
KY 12 1,883,854.00 0.64
LA 4 367,485.00 0.12
MA 21 8,100,235.00 2.73
MD 84 33,518,710.00 11.31
ME 3 546,262.00 0.18
MI 12 2,834,444.00 0.96
MN 8 1,917,065.00 0.65
MO 9 915,107.00 0.31
MS 8 1,692,497.00 0.57
MT 3 433,750.00 0.15
NC 29 3,755,673.00 1.27
ND 3 205,800.00 0.07
NH 3 543,739.00 0.18
NJ 41 11,166,558.00 3.77
NM 13 1,825,639.00 0.62
NV 15 4,000,929.00 1.35
NY 19 9,640,040.00 3.25
OH 24 3,416,556.00 1.15
OK 3 192,166.00 0.06
OR 9 2,661,921.00 0.90
PA 26 6,381,060.00 2.15
SC 14 2,652,764.00 0.90
TN 12 2,100,930.00 0.71
TX 123 17,130,049.00 5.78
UT 12 2,539,600.00 0.86
VA 62 17,117,613.00 5.78
WA 18 5,910,200.00 1.99
WI 8 846,321.00 0.29
WY 1 119,793.00 0.04
TOTAL 1,103 296,286,894.00 100.00
STATEMENT REGARDING FREE WRITING PROSPECTUS
The issuer has filed a registration statement (including a prospectus) with the
SEC for the offering to which this free writing prospectus relates. Before you
invest, you should read the prospectus in the registration statement and other
documents the depositor has filed with the SEC for more complete information
about the depositor, the issuer and this offering. You may get these documents
for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively,
the depositor, any underwriter or any dealer participating in the offering will
arrange to send you the prospectus you request it by calling toll free
1-866-803-9204.
This free writing prospectus does not contain all information that is required
to be included in the base prospectus and the prospectus supplement. Please
click here http://www.bearstearns.com/prospectus/bsabs or visit the following
website: "www.bearstearns.com/prospectus/bsabs" for a copy of the base
prospectus applicable to this offering.
This free writing prospectus is not an offer to sell or solicitation of an offer
to buy these securities in any state where such offer, solicitation or sale is
not Permitted.
The Information in this free writing prospectus supersedes information contained
in any prior similar free writing prospectus relating to these securities prior
to the time of your commitment to purchase.
This free writing prospectus is being delivered to you solely to provide you
with information about the offering of the Certificates referred to in this free
writing prospectus and to solicit an offer to purchase the Certificates, when,
as and if issued. 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
Certificates until we have accepted your offer to purchase Certificates. We will
not accept any offer by you to purchase Certificates, and you will not have any
contractual commitment to purchase any of the Certificates until after you have
received the preliminary prospectus. You may withdraw your offer to purchase
Certificates at any time prior to our acceptance of your offer.
Collateral Grouped by Loan Type
Collateral Grouped by Loan Type Count Balance Percent GWAC WA Strip NWAC Stated WAM Calc WAM WA Age Min GWAC Max GWAC Avg Bal WA LTV WA WA FICO WA DTI WA REM
COMBINED IO TERM
LTV
30Y 1 277,043.75 23.65 7 0.25 6.75 359 358 1 7 7 277,044 75 75 689 0 0
30Y IO 3 894,400.00 76.35 6.9501 0.25 6.7001 359 359 1 6.375 8 298,133 79.98 89.35 719 35.7 119
TOTAL 4 1,171,443.75 100 6.9619 0.25 6.7119 359 359 1 6.375 8 292,861 78.8 85.96 712 35.7 119
STATEMENT REGARDING FREE WRITING PROSPECTUS
The issuer has filed a registration statement (including a prospectus) with the
SEC for the offering to which this free writing prospectus relates. Before you
invest, you should read the prospectus in the registration statement and other
documents the depositor has filed with the SEC for more complete information
about the depositor, the issuer and this offering. You may get these documents
for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively,
the depositor, any underwriter or any dealer participating in the offering will
arrange to send you the prospectus you request it by calling toll free
1-866-803-9204.
This free writing prospectus does not contain all information that is required
to be included in the base prospectus and the prospectus supplement. Please
click here http://www.bearstearns.com/prospectus/bsabs or visit the following
website: "www.bearstearns.com/prospectus/bsabs" for a copy of the base
prospectus applicable to this offering.
This free writing prospectus is not an offer to sell or solicitation of an offer
to buy these securities in any state where such offer, solicitation or sale is
not Permitted.
The Information in this free writing prospectus supersedes information contained
in any prior similar free writing prospectus relating to these securities prior
to the time of your commitment to purchase.
This free writing prospectus is being delivered to you solely to provide you
with information about the offering of the Certificates referred to in this free
writing prospectus and to solicit an offer to purchase the Certificates, when,
as and if issued. 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
Certificates until we have accepted your offer to purchase Certificates. We will
not accept any offer by you to purchase Certificates, and you will not have any
contractual commitment to purchase any of the Certificates until after you have
received the preliminary prospectus. You may withdraw your offer to purchase
Certificates at any time prior to our acceptance of your offer.
| This ‘FWP’ Filing | Date | Other Filings | ||
|---|---|---|---|---|
 | ||||
| 2/28/06 | 424B5, 8-K | |||
| Filed on: | 2/24/06 | |||
| 2/21/06 | ||||
| 2/15/06 | ||||
| 2/1/06 | ||||
| 1/1/06 | ||||
| List all Filings | ||||