FWP 1 formfwp.htm FORM FWP FORM FWP

 

Free Writing Prospectus

Filed Pursuant to Rule 433

 Registration No. 333-127352

 January 20, 2006




Thornburg Mortgage Securities Trust 2006-1




$1,954,216,629 (Approximate)

Offered Certificates

Adjustable Rate Residential Mortgage Loans



Greenwich Capital Acceptance, Inc.

Depositor




Greenwich Capital Markets, Inc.

Lead Manager


Bear, Stearns & Co. Inc. and Lehman Brothers Inc.

Co-Managers




FREE WRITING PROSPECTUS LEGEND


The issuer has filed a registration statement (including a base prospectus) with the SEC for the offering to which this free writing prospectus relates.  Before you invest in this offering, you should read the base prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov <http://www.sec.gov/>. Alternatively, RBS Greenwich Capital will arrange to send you the base prospectus at no charge if you request it by calling 1-866-884-2071 or emailing offeringmaterials@rbsgc.com.


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


This free writing prospectus is not required to contain all of the information that is required to be included in the base prospectus and the prospectus supplement.  The information in this free writing prospectus is preliminary and is subject to completion or change. The information in this free writing prospectus, if conveyed prior to the time of your commitment to purchase the offered securities, supersedes any prior version of this free writing prospectus and any information contained in any prior similar free writing prospectus relating to these securities.  If a preliminary prospectus is conveyed to you prior to your commitment to purchase, that document supersedes all other information provided to you concerning the offered securities.


This free writing prospectus is not an offer to sell or a solicitation of an offer to buy these securities in any state where such offer, solicitation or sale is not permitted.


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


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

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









Free Writing Prospectus                                                                                           Date Prepared: January 20, 2006



Thornburg Mortgage Securities Trust 2006-1



Mortgage Pass-Through Certificates

$677,577,000 (Approximate, Subject to Final Collateral)

Offered Certificates

Adjustable Rate Residential Mortgage Loans




Class (1)


Principal

   Balance (2)


WAL (Yrs) to Mand. Auction (3)

Pmt Window (Mths) to Mand. Auction (3)


Certificate Interest Rates



Tranche Type


Expected Ratings

Moody’s/S&P

       

A-1

$200,510,000

2.16

1-36

Floater (4)

Senior

Aaa/AAA

A-2

$477,047,000

2.16

1-36

Floater (4)

Senior

Aaa/AAA

A-3

$1,207,285,000

Not Marketed Hereby

Senior

Aaa/AAA

A-X

Notional (5)

Senior/Interest Only

Aaa/AAA

A-R

$100

Senior

Aaa/AAA

B-1

$33,222,000

Subordinate

NR / AA

B-2

$13,680,000

Subordinate

NR / A

B-3

$7,817,000

Subordinate

NR / BBB

B-4

$5,863,000

Subordinate

NR / BB

B-5

$4,886,000

Subordinate

NR / B

B-6

$3,906,529

Subordinate

NR / NR

      

Total

$1,954,216,629


    

(1)

Each Class of Class A Certificates is subject to a Mandatory Auction Call (as described herein).

(2)

The Class A-1 Certificates are backed primarily by the cash flow from the Group 1 Mortgage Loans (as defined herein), the Class A-2 Certificates are backed primarily by the cash flow from the Group 2 Mortgage Loans (as defined herein) and the Class A-3 Certificates are backed primarily by the cash flow from the Group 3 Mortgage Loans (as defined herein).  Class sizes are subject to final collateral and rating agency approval and are subject to a +/-10% variance.

(3)

The WAL and Payment Windows for each class of Class A Certificates is shown to the Auction Distribution Date in January 2009 (as described herein) at the Pricing Prepayment Speed.

(4)

For every Distribution Date prior to the Auction Distribution Date, the Class A-1 and Class A-2 Certificates will have an interest rate equal to One Month LIBOR plus the related margin, subject to the related Available Funds Cap, and the Class A-3 Certificates will have an interest rate equal to One Month LIBOR plus the related margin, subject to the lesser of (i) the related Available Funds Cap and (ii) 11.00%.  For every Distribution Date after the Auction Distribution Date, the interest rate for each class of Class A Certificates will be equal to the net WAC of the related loan group.

(5)

The Class A-X Certificate Notional Balance for any Distribution Date on or prior to the Auction Distribution Date will be equal to the aggregate certificate balance of the Class A Certificates. Following the Auction Distribution Date the Class A-X Certificate Notional Balance will be zero.








Seller:

Thornburg Mortgage Home Loans, Inc.


Depositor:

Greenwich Capital Acceptance, Inc.


Lead Manager:

Greenwich Capital Markets, Inc.


Co-Managers:

Bear, Stearns & Co. Inc. and Lehman Brothers Inc.


Master Servicer/

Securities

Administrator:

Wells Fargo Bank, N.A.


Servicers:

Thornburg Mortgage Home Loans, Inc., Countrywide Home Loans, Wells Fargo Bank, N.A. and PHH Mortgage Corporation each service at least 10% of the aggregate principal balance of Mortgage Loans.  There are four additional Servicers that service, in aggregate, 11.43% of the aggregate principal balance of the Mortgage Loans.


Trustee/Custodian:

LaSalle Bank N.A.


Delaware Trustee:

Wilmington Trust Company.


Rating Agencies:

Moody’s and S&P will rate the Class A Certificates.  It is expected that the Certificates other than the Class B-6 Certificates will be assigned the credit ratings on page 3 of this Free Writing Prospectus.


Cut-off Date:

January 1, 2006.


Closing Date:

On or about January 31, 2006.


Distribution Dates:

The 25th day of each month (or if not a business day, the next succeeding business day), commencing in February 2006.


Certificates:

The “Senior Certificates” will consist of the Class A-1, Class A-2, Class A-3 Certificates (together, the “Class A Certificates”), the Class A-R and the Class A-X Certificates.  The “Subordinate Certificates” will consist of the Class B-1, Class B-2, Class B-3, Class B-4, Class B-5 and Class B-6 Certificates.  The Senior Certificates and the Subordinate Certificates are collectively referred to herein as the “Certificates”.  The Class A Certificates are being offered publicly (collectively, the Offered Certificates”).


Registration:

The Class A Certificates will be made available in book-entry form through DTC, and upon request, through Clearstream, Luxembourg and the Euroclear system.  


Federal Tax Treatment:

It is anticipated that the Offered Certificates will represent ownership of REMIC regular interests, combined with a right to receive payments in certain circumstances from the yield maintenance agreements and the Class A-X Certificates, and pursuant to the auction. 


ERISA Eligibility:

The Class A Certificates are expected to be ERISA eligible if exemptive relief is available under a class exemption.  Prospective investors should review with their legal advisors whether the purchase and holding of the Class A Certificates could give rise to a transaction prohibited or not otherwise permissible under ERISA, the Internal Revenue Code or other similar laws.  


SMMEA Treatment:

The Class A Certificates are expected to constitute “mortgage related securities” for purposes of SMMEA.


Optional Securities

Purchase Right:

Thornburg Mortgage Inc., the parent of the Seller will have the option of purchasing the Certificates at a purchase price equal to their current principal amount plus accrued interest once the aggregate principal balance of the Mortgage Loans is equal to 20% or less of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date (the “Optional Call Date”).  


Clean-Up Call:

The terms of the transaction allow for a termination of the trust and retirement of the Certificates once the aggregate principal balance of the Mortgage Loans is equal to 10% or less of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date (the “Clean-Up Call Date”).


Mortgage Loans:

As of the Closing Date, the aggregate Cut-off Date principal balance of the mortgage loans described herein is expected to be approximately $1,954,216,629 (the “Mortgage Loans”). The Mortgage Loans will be comprised of the Group 1 Mortgage Loans, the Group 2 Mortgage Loans and the Group 3 Mortgage Loans.  Approximately 1.67%, 8.97%, 25.31% and 64.05% are adjustable rate mortgage loans with initial rate adjustments generally occurring approximately three, five, seven or ten years, respectively, after the date of origination of such mortgage loan, and thereafter adjust their rate based on various indices.  Approximately 85.16% of the Mortgage Loans are required to make payments of interest only for up to the first 120 months following origination.  After such interest only period, such mortgage loans are scheduled to amortize over the remaining term of the loan.


As of the Closing Date, the aggregate Cut-off Date principal balance of the Group 1 Mortgage Loans described herein is expected to be approximately $207,890,585 (the “Group 1 Mortgage Loans”).  The Group 1 Mortgage Loans consist of hybrid adjustable rate mortgage loans which have an initial rate adjustment occurring approximately 3 or 5 years following origination.


As of the Closing Date, the aggregate Cut-off Date principal balance of the Group 2 Mortgage Loans described herein is expected to be approximately $494,605,093 (the “Group 2 Mortgage Loans”).  The Group 2 Mortgage Loans consist of hybrid adjustable rate mortgage loans which have an initial rate adjustment occurring approximately 7 years following origination.


As of the Closing Date, the aggregate Cut-off Date principal balance of the Group 3 Mortgage Loans described herein is expected to be approximately $1,251,720,952 (the “Group 3 Mortgage Loans”).  The Group 3 Mortgage Loans consist of hybrid adjustable rate mortgage loans which have an initial rate adjustment occurring approximately 10 years following origination.


See attached collateral descriptions for additional information on the Mortgage Loans.


Mandatory Auction:

Five business days prior to the Distribution Date (such Distribution Date, the “Auction Distribution Date”), the Auction Administrator will auction each of the Class A-1, Class A-2 and Class A-3 Certificates in January 2009 to third-party investors.  The proceeds of the auction and amounts received from the Swap Counterparty, if any, will be received by the Auction Administrator who will then distribute an amount equal to the Par Price to each of the holders of the Class A-1, Class A-2 and Class A-3 Certificates on the Auction Distribution Date.  These holders will be obligated to tender their respective Certificates to the Auction Administrator.


The Swap Counterparty, pursuant to a swap contract with the Auction Administrator, will agree to pay the excess, if any, of the Par Price over the Auction Price.


Swap Counterparty:

Greenwich Capital Derivatives, Inc.  The obligations of the auction swap counterparty will be guaranteed by The Royal Bank of Scotland plc.  The long-term obligations of RBS are rated “AA” by S&P, “AA+” by Fitch and “Aa1” by Moody’s.


Auction Administrator:

Wells Fargo Bank, N.A.

 

Auction Price:

The price at which the Auction Administrator sells each of the Class A-1, Class A-2 and Class A-3 Certificates to the third-party investors.


Par Price:

With respect to each of the Class A-1, Class A-2 and Class A-3 Certificates, the sum of (i) the principal balance of the related Class A-1, Class A-2 and Class A-3 Certificates, after reducing the principal balance of such Class A Certificates by the related principal distributions and losses on the Auction Distribution Date, and (ii) any related Available Funds Cap Shortfalls.


Pricing Prepayment

Speed:

The Offered Certificates will be priced to a prepayment speed of 20% CPR.

 

Accrual Period:

The Accrual Period for the Class A Certificates on any Distribution Date on or prior to the Auction Distribution Date will be the period from the 25th day of the calendar month preceding the related Distribution Date (or, in the case of the first Distribution Date, the Closing Date) up to and including the 24th day of the calendar month of the related Distribution Date (on an Actual/360 basis).


The Accrual Period for the Class A-R Certificates and the Subordinate Certificates on any Distribution Date will be the prior calendar month on a 30/360 basis.


Net Mortgage Rate:

The “Net Mortgage Rate” for any Mortgage Loan is equal to the rate of the related mortgage loan less the master servicing and related servicing fee rate.  The Master Servicer will pay the Trustee from its fee.  The master servicing fee rate on each Mortgage Loan is approximately 0.005% per annum, and the weighted average servicing fee rate as of the Cut-off Date is approximately 0.265%.


Available Funds Cap:

For any Distribution Date, on or prior to the Auction Distribution Date, the “Available Funds Cap” with respect to each class of Class A Certificates is equal to the weighted average of the Net Mortgage Rates of the related loan group, adjusted to an effective rate reflecting the accrual of interest on an actual/360 basis.


Certificate Interest Rate:

For each Distribution Date on or prior to the Auction Distribution Date, the “Certificate Interest Rate” for the Class A-1 and Class A-2 Certificates will be equal to One Month LIBOR plus the related margin, subject to the related Available Funds Cap, and for the Class A-3 Certificates will be equal to One Month LIBOR plus the related margin, subject to the lesser of (i) the related Available Funds Cap and (ii) 11.00%.


The Certificate Interest Rate with respect to the Class A-X Certificates for any Distribution Date on or prior to the Auction Distribution Date will be equal to an annual rate calculated as the weighted average of the excess of (a) net WAC of each loan group over (b) the Certificate Interest Rate of the related class of Class A Certificates (adjusted to an effective rate reflecting the accrual of interest on a 30/360 basis).  Following the Auction Distribution Date the Certificate Interest Rate with respect to the Class A-X Certificates will be zero.


The Certificate Interest Rate with respect to the Class A-R Certificates will be equal to the net WAC of the Group 1 Mortgage Loans.


Available Funds Cap

Shortfall:

If on any Distribution Date, the Certificate Interest Rate for any Class A Certificate is subject to the related Available Funds Cap, such Certificates will be entitled to payment of an amount equal to the sum of (i) the excess of (a) interest accrued at the respective Certificate Interest Rate (without giving effect to the related Available Funds Cap) over (b) the amount of interest received on such Certificates based on the related Available Funds Cap, plus (ii) the unpaid portion of any such excess from previous Distribution Dates (and any interest thereon at the then applicable Certificate Interest Rate without giving effect to the related Available Funds Cap) (together, the related “Available Funds Cap Shortfall”).


Yield Maintenance

Agreements:

On the Closing Date, the Trustee will enter into three “Yield Maintenance Agreements”, or “YMA”s, with a counterparty (the “YMA Counterparty”) rated no lower than AA- or Aa3, each for the benefit of one class of Class A Certificates.  The notional balance of each YMA on each Distribution Date will be an amount equal to the lesser of (i) the related notional balance schedule and (ii) the aggregate principal balance of the related Class A Certificates.  The YMA Counterparty will be obligated to make monthly payments to the Trustee when One Month LIBOR exceeds the specified strike rate, subject to, in the case of the Class A-3 Certificates, a maximum of 11.00% less the related margin on such Certificates.  Each YMA will terminate on the Auction Distribution Date.  Any payments received from the YMAs will be used to pay Available Funds Cap Shortfalls on the related Class A Certificates.


Credit Enhancement:

Senior/subordinate, shifting interest structure.


Credit enhancement for the Senior Certificates will consist of the subordination of the Subordinate Certificates (total subordination provided by the subordinate certificates initially 3.55%).


Shifting Interest:

Until the Distribution Date occurring in February 2013 the Subordinate Certificates will be locked out from receipt of unscheduled principal payments (unless the Senior Certificates are paid down to zero or the credit enhancement provided by the Subordinate Certificates has doubled prior to such date as described below).  After such time and subject to standard collateral performance triggers (as described in the prospectus supplement), the Subordinate Certificates will receive increasing portions of unscheduled principal payments.


The prepayment percentages on the Subordinate Certificates are as follows:


Periods:

Unscheduled Principal Payments (%)

February 2006 – January 2013

0% Pro Rata Share

February 2013 – January 2014

30% Pro Rata Share

February 2014 – January 2015

40% Pro Rata Share

February 2015 – January 2016

60% Pro Rata Share

February 2016 – January 2017

80% Pro Rata Share

February 2017 and after

100% Pro Rata Share


Notwithstanding the foregoing, if the credit enhancement provided by the Subordinate Certificates doubles, all principal payments will be paid pro-rata between the Senior and Subordinate Certificates (subject to performance triggers).  However, if the credit enhancement provided by the Subordinate Certificates has doubled (i) prior to the Distribution Date in February 2009, the Subordinate Certificates will be entitled to 50% of their pro rata share of unscheduled principal payments or (ii) on or after the Distribution Date in February 2009, the Subordinate Certificates will be entitled to 100% of their pro rata share of unscheduled principal payments.


Any unscheduled principal not allocated to the Subordinate Certificates will be allocated to the Senior Certificates.  In the event the current senior percentage related to the loan group (aggregate principal balance of the related Senior Certificates, divided by the aggregate principal balance of the related Mortgage Loans) exceeds the applicable initial senior percentage (aggregate principal balance of the related Senior Certificates as of the Closing Date, divided by the aggregate principal balance of the related Mortgage Loans as of the Cut-off Date), the related Senior Certificates will receive all unscheduled principal payments for the Mortgage Loans, regardless of any unscheduled principal payment percentages above.


Allocation of

Realized Losses:

Any realized losses on the Mortgage Loans will be allocated as follows: first, to the Subordinate Certificates in reverse order of their numerical Class designations, in each case until the respective certificate principal balance has been reduced to zero; thereafter, to the related Class A Certificates in reduction of their certificate principal balance.


Certificates Priority of

Distributions:

Available funds from the Mortgage Loans will be distributed in the following order of priority:

1)

Senior Certificates, accrued and unpaid interest at the related Certificate Interest Rate, provided, however, that any interest otherwise distributable with respect to the Class A-X Certificate will be reduced to the extent needed to pay any Available Funds Cap Shortfall to the Class A Certificates in 4) below;

2)

Class A-R Certificate, principal from collections on the Group 1 Mortgage Loans, until its balance is reduced to zero;

3)

Pay concurrently, to the Class A Certificates

a.

Class A-1 Certificates, principal, until the principal balance thereof has been reduced to zero, generally from the Group 1 Mortgage Loans;

b.

Class A-2 Certificates, principal, until the principal balance thereof has been reduced to zero, generally from the Group 2 Mortgage Loans;

c.

Class A-3 Certificates, principal, until the principal balance thereof has been reduced to zero, generally from the Group 3 Mortgage Loans;

4)

Class A Certificates, to pay the Available Funds Cap Shortfall, from payments received under the related YMA and amounts representing interest otherwise distributable to the Class A-X Certificates;

5)

Class B-1, Class B-2, Class B-3, Class B-4, Class B-5 and Class B-6 Certificates, in sequential order, accrued and unpaid interest and the respective shares of principal allocable to such Classes;

6)

Class A-R Certificate, any remaining amount.


In certain limited circumstances described in the prospectus supplement, principal will be distributed to the Class A Certificates from the unrelated loan group, to the extent not received from the related loan group.








Class A-1 Yield Maintenance Agreement Schedule


 

    

 

    

Period

Notional Amount ($)

Cap Strike (%)

Cap Ceiling (%)

 

1

N/A

N/A

N/A

 

2

197,704,869

5.35520

N/A

 

3

194,937,459

5.35520

N/A

 

4

192,207,360

5.35520

N/A

 

5

189,514,070

5.35520

N/A

 

6

186,857,093

5.35520

N/A

 

7

184,235,939

5.35520

N/A

 

8

181,650,127

5.35520

N/A

 

9

179,099,181

5.35520

N/A

 

10

176,582,629

5.35520

N/A

 

11

174,100,010

5.35520

N/A

 

12

171,650,867

5.35520

N/A

 

13

169,234,747

5.35520

N/A

 

14

166,851,207

5.35520

N/A

 

15

164,499,808

5.35520

N/A

 

16

162,180,117

5.35520

N/A

 

17

159,891,705

5.35520

N/A

 

18

157,634,154

5.35520

N/A

 

19

155,407,045

5.35520

N/A

 

20

153,209,970

5.35520

N/A

 

21

151,042,524

5.35520

N/A

 

22

148,904,307

5.35520

N/A

 

23

146,794,927

5.35520

N/A

 

24

144,713,994

5.35520

N/A

 

25

142,661,125

5.35520

N/A

 

26

140,635,943

5.35520

N/A

 

27

138,638,073

5.35520

N/A

 

28

136,667,149

5.35520

N/A

 

29

134,722,808

5.35520

N/A

 

30

132,804,690

5.35520

N/A

 

31

130,912,443

5.35520

N/A

 

32

129,045,719

5.35520

N/A

 

33

127,204,174

5.35520

N/A

 

34

125,387,468

5.35520

N/A

 

35

123,595,266

5.35520

N/A

 

36

121,827,239

5.35520

N/A

 

37 and thereafter

0

0.00000

N/A

 







Class A-2 Yield Maintenance Agreement Schedule


 

    

 

    

Period

Notional Amount ($)

Cap Strike (%)

Cap Ceiling (%)

 

1

N/A

N/A

N/A

 

2

470,339,961

5.22282

N/A

 

3

463,723,667

5.22282

N/A

 

4

457,196,894

5.22282

N/A

 

5

450,758,435

5.22282

N/A

 

6

444,407,096

5.22282

N/A

 

7

438,141,702

5.22282

N/A

 

8

431,961,093

5.22282

N/A

 

9

425,864,125

5.22282

N/A

 

10

419,849,668

5.22282

N/A

 

11

413,916,609

5.22282

N/A

 

12

408,063,849

5.22282

N/A

 

13

402,290,303

5.22282

N/A

 

14

396,594,904

5.22282

N/A

 

15

390,976,595

5.22282

N/A

 

16

385,434,337

5.22282

N/A

 

17

379,967,102

5.22282

N/A

 

18

374,573,878

5.22282

N/A

 

19

369,253,665

5.22282

N/A

 

20

364,005,478

5.22282

N/A

 

21

358,828,345

5.22282

N/A

 

22

353,721,306

5.22282

N/A

 

23

348,683,416

5.22282

N/A

 

24

343,713,739

5.22282

N/A

 

25

338,811,357

5.22282

N/A

 

26

333,975,359

5.22282

N/A

 

27

329,204,849

5.22282

N/A

 

28

324,498,945

5.22282

N/A

 

29

319,856,772

5.22282

N/A

 

30

315,277,471

5.22282

N/A

 

31

310,760,193

5.22282

N/A

 

32

306,304,100

5.22282

N/A

 

33

301,908,366

5.22282

N/A

 

34

297,572,177

5.22282

N/A

 

35

293,294,727

5.22282

N/A

 

36

289,075,224

5.22282

N/A

 

37 and thereafter

0

0.00000

N/A

 







Class A-1 Effective Available Funds Schedule


 

    
 

Effective Available

  

Effective Available

Period

Funds Schedule (1) (%)

 

Period

Funds Schedule (1) (%)

1

n/a

 

23

20.21

2

20.21

 

24

20.21

3

20.21

 

25

20.21

4

20.21

 

26

20.21

5

20.21

 

27

20.21

6

20.21

 

28

20.21

7

20.21

 

29

20.21

8

20.21

 

30

20.21

9

20.21

 

31

20.21

10

20.21

 

32

20.21

11

20.21

 

33

20.21

12

20.21

 

34

20.21

13

20.21

 

35

20.21

14

20.21

 

36

20.21

15

20.21

   

16

20.21

   

17

20.21

   

18

20.21

   

19

20.21

   

20

20.21

   

21

20.21

   

22

20.21

   
    


(1) The Effective Available Funds Schedule for the Class A Certificates is calculated assuming that the current rate for all indices is 20.00% and is run at the Pricing Prepayment Speed to the Auction Distribution Date (Actual/ 360 basis).  Includes proceeds from the Yield Maintenance Agreements.








Class A-2 Effective Available Funds Schedule


 

    
 

Effective Available

  

Effective Available

Period

Funds Schedule (1) (%)

 

Period

Funds Schedule (1) (%)

1

n/a

 

23

20.22

2

20.22

 

24

20.22

3

20.22

 

25

20.22

4

20.22

 

26

20.22

5

20.22

 

27

20.22

6

20.22

 

28

20.22

7

20.22

 

29

20.22

8

20.22

 

30

20.22

9

20.22

 

31

20.22

10

20.22

 

32

20.22

11

20.22

 

33

20.22

12

20.22

 

34

20.22

13

20.22

 

35

20.22

14

20.22

 

36

20.22

15

20.22

   

16

20.22

   

17

20.22

   

18

20.22

   

19

20.22

   

20

20.22

   

21

20.22

   

22

20.22

   
    


(1) The Effective Available Funds Schedule for the Class A Certificates is calculated assuming that the current rate for all indices is 20.00% and is run at the Pricing Prepayment Speed to the Auction Distribution Date (Actual/ 360 basis).  Includes proceeds from the Yield Maintenance Agreements.







Weighted Average Life Tables


Class A-1 Certificates to Auction Distribution Date

      

Flat

 

 

 

 

 

 

 

Price

0% CPR

 10% CPR

 15% CPR

 20% CPR

 25% CPR

 30% CPR

 40% CPR

 WAL (yr)

2.98

2.55

2.35

2.16

1.98

1.82

1.51

 MDUR (yr)

2.72

2.34

2.16

1.99

1.83

1.68

1.40

 First Prin Pay

1

1

1

1

1

1

1

 Last Prin Pay

36

36

36

36

36

36

36



Class A-2 Certificates to Auction Distribution Date

      

Flat

 

 

 

 

 

 

 

Price

0% CPR

 10% CPR

 15% CPR

 20% CPR

 25% CPR

 30% CPR

 40% CPR

 WAL (yr)

2.98

2.55

2.35

2.16

1.98

1.81

1.51

 MDUR (yr)

2.72

2.33

2.16

1.99

1.83

1.68

1.40

 First Prin Pay

1

1

1

1

1

1

1

 Last Prin Pay

36

36

36

36

36

36

36









Aggregate Mortgage Loans

As of the Cut-off Date


Total Current Balance                  

$1,954,216,629

     

Total Original Balance                 

$1,958,418,214

     

Number of Loans                          

3,144

     

 

      
   

Minimum

 

Maximum

 

Average Current Balance                                   

$621,570.17

 

$23,840.58

 

$11,250,000.00

 

Average Original Loan Amount                              

$622,906.56

 

$23,840.58

 

$11,250,000.00

 

 

      

WAVG Gross Coupon                                          

5.843

%       

4.125

%       

7.625

%       

 

      

WAVG Gross Margin                                          

2.243

%       

1.875

%       

3.125

%       

WAVG Maximum Interest Rate                                 

10.868

%       

9.125

%       

12.625

%       

WAVG Minimum Interest Rate                                 

2.230

%       

1.875

%       

3.400

%       

WAVG Periodic Rate Cap                                     

1.827

%       

1.000

%       

2.000

%       

WAVG First Rate Cap                                        

4.989

%       

2.000

%       

6.000

%       

 

      

WAVG Original LTV                                          

68.11

%       

3.51

%       

100.00

%       

WAVG Effective LTV                                         

67.72

%       

3.51

%       

95.00

%       

 

      

WAVG Borrower FICO Score                                   

750

        

607

        

820

        

 

      

WAVG Original Term                                         

360

months  

240

months  

480

months  

WAVG Remaining Term                                        

358

months  

238

months  

479

months  

WAVG Seasoning                                             

2

months  

0

months  

53

months  

 

      

WAVG Next Rate Reset                                       

102

months  

33

months  

120

months  

WAVG Rate Adjustment Frequency                             

11

months  

1

month

12

months  

WAVG First Rate Adjustment Frequency                             

104

months  

36

months  

120

months  

 

      

WAVG Prepay Origination Term                                      

28

months  

6

months  

60

months  

WAVG Prepay Remaining Term                                       

27

months  

5

months  

60

months  

 

      

WAVG IO Origination Term                                          

111

months  

36

months  

120

months  

WAVG IO Remaining Term                                           

108

months  

33

months  

120

months  

 

      

Top State Concentrations ($)                    

 36.47 %  California,  6.96 %  New York,  6.60 %  Florida

 

Maximum Zip Code Concentration ($)             

   0.74 %  92651

     

 

      

Note Date                                      

  

 Jul. 27, 2001

  Dec. 29, 2005

First Pay Date                                 

  

 Sep. 01, 2001

  Feb. 01, 2006

 

Rate Change Date                                  

  

 Oct. 01, 2008

  Jan. 01, 2016

 

Maturity Date                                    

  

 Nov. 01, 2025

  Dec. 01, 2045









   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Current Balance ($)                            

Mortgage Loans

the Cut-off Date

the Cut-off Date

    23,841  -   100,000                     

27

$2,278,879.52

 0.12%

   100,001  -   200,000                     

183

28,952,816.50

1.48

   200,001  -   300,000                     

211

53,032,905.71

2.71

   300,001  -   400,000                     

394

145,174,218.46

7.43

   400,001  -   500,000                     

674

306,655,526.81

15.69

   500,001  -   600,000                     

559

308,710,677.02

15.80

   600,001  -   700,000                     

319

208,048,925.85

10.65

   700,001  -   800,000                     

205

153,565,331.51

7.86

   800,001  -   900,000                     

118

100,761,717.09

5.16

   900,001  - 1,000,000                     

192

188,252,127.97

9.63

 1,000,001  - 1,100,000                     

29

31,104,089.19

1.59

 1,100,001  - 1,200,000                     

25

29,174,097.01

1.49

 1,200,001  - 1,300,000                     

37

46,450,606.30

2.38

 1,300,001  - 1,400,000                     

22

29,736,237.98

1.52

 1,400,001  - 1,500,000                     

37

54,856,183.33

2.81

 Greater than  1,500,000                     

112

267,462,289.07

13.69

Total

3,144

$1,954,216,629.32

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Original Term (Months)                             

Mortgage Loans

the Cut-off Date

the Cut-off Date

 240                                       

1

$332,922.72

 0.02%

 300                                       

1

172,441.88

0.01

 350                                       

1

1,190,000.00

0.06

 360                                       

3,139

1,951,466,442.77

99.86

 480                                       

2

1,054,821.95

0.05

Total

3,144

$1,954,216,629.32

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Remaining Term (Months)                             

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Less than or equal to 240                                 

1

$332,922.72

 0.02%

 241  - 300                                 

1

172,441.88

0.01

 301  - 360                                 

3,140

1,952,656,442.77

99.92

 421  - 479                                 

2

1,054,821.95

0.05

Total

3,144

$1,954,216,629.32

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Property Type                                        

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Single Family Detached                               

1,951

$1,275,583,979.07

 65.27%

 PUD Detached                                         

648

386,882,858.64

19.80

 Condominium                                          

429

224,433,137.27

11.48

 Two-Four Family                                      

54

34,332,331.58

1.76

 Cooperative                                          

27

16,325,694.30

0.84

 PUD Attached                                         

32

15,038,258.46

0.77

 Single Family Attached                               

3

1,620,370.00

0.08

Total

3,144

$1,954,216,629.32

 100.00%

    







   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Occupancy                                            

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Primary                                              

2,593

$1,631,845,722.24

 83.50%

 Second Home                                          

351

244,030,000.75

12.49

 Investor                                             

200

78,340,906.33

4.01

Total

3,144

$1,954,216,629.32

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Purpose                                              

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Purchase                                             

1,849

$1,107,073,021.66

 56.65%

 Cash Out Refinance                                   

735

471,586,771.48

24.13

 Rate/Term Refinance                                  

560

375,556,836.18

19.22

Total

3,144

$1,954,216,629.32

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Documentation                                        

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Full Documentation                                   

1,528

$988,442,839.19

50.58%

 Preferred Documentation                              

551

305,783,676.19

15.65

 Full/Alternative Documentation                       

326

213,165,115.89

10.91

 Stated Documentation                                 

131

102,002,004.78

5.22

 Asset Verification Only                              

193

89,321,795.78

4.57

 Rapid Documentation                                  

112

71,068,060.58

3.64

 Full Doc/No Income                                   

89

59,859,525.82

3.06

 Alternative Documentation                            

81

45,314,179.89

2.32

 Standard Documentation                               

55

34,370,582.06

1.76

 Limited Documentation                                

34

18,420,156.95

0.94

 Full Doc/Stated Income                               

16

10,149,062.57

0.52

 Reduced Documentation                                

16

7,796,268.60

0.40

 No Ratio Documentation                               

9

5,996,929.77

0.31

 No Income Verification                               

2

1,995,000.00

0.10

 All Ready Home                                       

1

531,431.25

0.03

Total

3,144

$1,954,216,629.32

 100.00%

    







   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Original LTV (%)                               

Mortgage Loans

the Cut-off Date

the Cut-off Date

  Less than or equal to 30.00                           

61

$41,124,591.30

 2.10%

  30.01  -  35.00                           

45

30,164,447.43

1.54

  35.01  -  40.00                           

53

32,197,479.85

1.65

  40.01  -  45.00                           

73

55,672,913.58

2.85

  45.01  -  50.00                           

109

93,624,807.55

4.79

  50.01  -  55.00                           

124

95,265,056.33

4.87

  55.01  -  60.00                           

193

155,482,241.79

7.96

  60.01  -  65.00                           

234

168,657,178.30

8.63

  65.01  -  70.00                           

351

258,723,799.52

13.24

  70.01  -  75.00                           

325

233,387,594.28

11.94

  75.01  -  80.00                           

1,495

748,954,014.62

38.33

  80.01  -  85.00                           

11

5,466,362.22

0.28

  85.01  -  90.00                           

21

9,712,655.07

0.50

  90.01  -  95.00                           

16

8,146,612.94

0.42

  95.01  - 100.00                           

33

17,636,874.54

0.90

Total

3,144

$1,954,216,629.32

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Effective LTV (%)                              

Mortgage Loans

the Cut-off Date

the Cut-off Date

  Less than or equal to 30.00                           

61

$41,124,591.30

 2.10%

  30.01  -  35.00                           

45

30,164,447.43

1.54

  35.01  -  40.00                           

53

32,197,479.85

1.65

  40.01  -  45.00                           

73

55,672,913.58

2.85

  45.01  -  50.00                           

110

93,724,807.55

4.80

  50.01  -  55.00                           

124

95,265,056.33

4.87

  55.01  -  60.00                           

194

157,237,241.79

8.05

  60.01  -  65.00                           

237

172,162,178.30

8.81

  65.01  -  70.00                           

389

282,846,551.43

14.47

  70.01  -  75.00                           

324

231,632,594.28

11.85

  75.01  -  80.00                           

1,500

749,887,094.53

38.37

  80.01  -  85.00                           

9

3,151,362.22

0.16

  85.01  -  90.00                           

15

5,504,203.88

0.28

  90.01  -  95.00                           

10

3,646,106.85

0.19

Total

3,144

$1,954,216,629.32

 100.00%

    







   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

State                                                

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Alabama                                              

11

$4,661,820.11

 0.24%

 Alaska                                               

1

1,240,000.00

0.06

 Arizona                                              

64

33,602,800.79

1.72

 Arkansas                                             

1

245,000.00

0.01

 California                                           

1,052

712,683,384.75

36.47

 Colorado                                             

150

111,253,216.20

5.69

 Connecticut                                          

47

48,187,515.97

2.47

 Delaware                                             

11

5,234,645.59

0.27

 District of Columbia                                 

12

8,776,619.22

0.45

 Florida                                              

232

129,067,780.27

6.60

 Georgia                                              

87

39,178,959.51

2.00

 Hawaii                                               

20

18,454,779.78

0.94

 Idaho                                                

7

4,501,688.91

0.23

 Illinois                                             

102

64,691,639.75

3.31

 Indiana                                              

11

3,748,353.72

0.19

 Iowa                                                 

2

1,234,146.00

0.06

 Kansas                                               

4

2,668,917.13

0.14

 Kentucky                                             

4

2,139,201.86

0.11

 Louisiana                                            

8

2,522,692.80

0.13

 Maine                                                

5

2,216,482.94

0.11

 Maryland                                             

79

41,104,326.56

2.10

 Massachusetts                                        

74

50,902,351.78

2.60

 Michigan                                             

24

11,656,573.80

0.60

 Minnesota                                            

78

36,449,760.02

1.87

 Missouri                                             

15

8,031,442.58

0.41

 Montana                                              

4

2,438,158.19

0.12

 Nebraska                                             

6

3,369,236.39

0.17

 Nevada                                               

78

39,528,112.19

2.02

 New Hampshire                                        

6

3,483,525.29

0.18

 New Jersey                                           

146

90,156,758.61

4.61

 New Mexico                                           

25

10,775,407.01

0.55

 New York                                             

171

136,084,535.63

6.96

 North Carolina                                       

61

31,435,071.13

1.61

 Ohio                                                 

22

9,285,335.47

0.48

 Oklahoma                                             

5

2,733,800.00

0.14

 Oregon                                               

24

11,902,998.39

0.61

 Pennsylvania                                         

67

39,801,087.15

2.04

 Rhode Island                                         

4

2,480,159.81

0.13

 South Carolina                                       

54

24,937,295.78

1.28

 South Dakota                                         

1

900,000.00

0.05

 Tennessee                                            

28

10,364,031.83

0.53

 Texas                                                

57

37,945,373.49

1.94

 Utah                                                 

21

14,082,276.44

0.72

 Vermont                                              

4

1,823,650.00

0.09

 Virginia                                             

132

69,008,228.62

3.53

 Washington                                           

109

54,265,194.02

2.78

 West Virginia                                        

1

407,200.00

0.02

 Wisconsin                                            

13

10,801,327.39

0.55

 Wyoming                                              

4

1,753,766.45

0.09

Total

3,144

$1,954,216,629.32

 100.00%

    







   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Loan Rate (%)                                  

Mortgage Loans

the Cut-off Date

the Cut-off Date

  4.125  -  4.250                           

1

$214,360.00

 0.01%

  4.251  -  4.500                           

3

1,709,428.51

0.09

  4.501  -  4.750                           

2

563,600.55

0.03

  4.751  -  5.000                           

23

14,185,585.03

0.73

  5.001  -  5.250                           

131

91,815,233.86

4.70

  5.251  -  5.500                           

410

255,930,498.57

13.10

  5.501  -  5.750                           

899

544,527,979.32

27.86

  5.751  -  6.000                           

965

576,452,723.88

29.50

  6.001  -  6.250                           

513

317,185,253.76

16.23

  6.251  -  6.500                           

151

96,343,485.53

4.93

  6.501  -  6.750                           

38

31,114,315.31

1.59

  6.751  -  7.000                           

4

5,002,625.00

0.26

  7.001  -  7.250                           

2

7,500,000.00

0.38

  7.251  -  7.500                           

1

11,250,000.00

0.58

  7.501  -  7.625                           

1

421,540.00

0.02

Total

3,144

$1,954,216,629.32

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Maximum Loan Rate (%)                          

Mortgage Loans

the Cut-off Date

the Cut-off Date

  9.125  -  9.250                           

1

$214,360.00

 0.01%

  9.251  -  9.500                           

3

1,709,428.51

0.09

  9.501  -  9.750                           

2

563,600.55

0.03

  9.751  - 10.000                           

23

14,185,585.03

0.73

 10.001  - 10.250                           

128

87,374,033.86

4.47

 10.251  - 10.500                           

397

240,753,877.11

12.32

 10.501  - 10.750                           

878

526,439,446.03

26.94

 10.751  - 11.000                           

952

567,028,723.88

29.02

 11.001  - 11.250                           

514

319,309,953.76

16.34

 11.251  - 11.500                           

162

110,229,291.15

5.64

 11.501  - 11.750                           

59

49,202,848.60

2.52

 11.751  - 12.000                           

17

14,426,625.00

0.74

 12.001  - 12.250                           

5

10,639,000.00

0.54

 12.251  - 12.500                           

2

11,718,315.84

0.60

 12.501  - 12.625                           

1

421,540.00

0.02

Total

3,144

$1,954,216,629.32

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Minimum Loan Rate (%)                          

Mortgage Loans

the Cut-off Date

the Cut-off Date

  1.875  -  2.000                           

1,331

$863,246,478.44

 44.17%

  2.001  -  2.250                           

1,003

604,050,063.62

30.91

  2.251  -  2.500                           

45

39,658,366.67

2.03

  2.501  -  2.750                           

761

445,180,573.50

22.78

  2.751  -  3.000                           

1

459,000.00

0.02

  3.001  -  3.250                           

2

799,647.09

0.04

  3.251  -  3.400                           

1

822,500.00

0.04

Total

3,144

$1,954,216,629.32

 100.00%

    







   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Gross Margin (%)                               

Mortgage Loans

the Cut-off Date

the Cut-off Date

  1.875  -  2.000                           

1,162

$756,557,204.55

 38.71%

  2.001  -  2.250                           

1,171

709,389,337.51

36.30

  2.251  -  2.500                           

47

41,830,866.67

2.14

  2.501  -  2.750                           

761

445,180,573.50

22.78

  2.751  -  3.000                           

1

459,000.00

0.02

  3.001  -  3.125                           

2

799,647.09

0.04

Total

3,144

$1,954,216,629.32

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Index Code                                           

Mortgage Loans

the Cut-off Date

the Cut-off Date

 1-Year LIBOR                                         

1,810

$1,132,478,770.28

 57.95%

 1-Year CMT                                           

798

465,418,844.72

23.82

 6-Month LIBOR                                        

516

336,197,514.32

17.20

 1-Month LIBOR                                        

20

20,121,500.00

1.03

Total

3,144

$1,954,216,629.32

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Initial Rate Cap (%)                          

Mortgage Loans

the Cut-off Date

the Cut-off Date

  2.000                                    

3

$1,414,100.00

 0.07%

  4.000                                    

55

32,570,526.41

1.67

  5.000                                    

3,069

1,904,761,903.78

97.47

  6.000                                    

17

15,470,099.13

0.79

Total

3,144

$1,954,216,629.32

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Periodic Rate Cap (%)                         

Mortgage Loans

the Cut-off Date

the Cut-off Date

  N/A

20

$20,121,500.00

 1.03%

  1.000                                    

513

335,260,933.39

17.16

  2.000                                    

2,611

1,598,834,195.93

81.81

Total

3,144

$1,954,216,629.32

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Rate Adjustment Frequency (Months)                             

Mortgage Loans

the Cut-off Date

the Cut-off Date

   1                                       

20

$20,121,500.00

 1.03%

   6                                       

516

336,197,514.32

17.20

  12                                       

2,608

1,597,897,615.00

81.77

Total

3,144

$1,954,216,629.32

 100.00%

    







   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Rate Change Date           

Mortgage Loans

the Cut-off Date

the Cut-off Date

 10/01/08  - 10/31/08         

5

$1,591,839.98

 0.08%

 11/01/08  - 11/30/08         

25

13,466,900.85

0.69

 12/01/08  - 12/31/08         

21

14,801,143.91

0.76

 01/01/09  - 01/31/09         

3

1,110,900.00

0.06

 09/01/10  - 09/30/10         

9

6,078,553.12

0.31

 10/01/10  - 10/31/10         

12

4,835,096.43

0.25

 11/01/10  - 11/30/10         

105

64,122,114.54

3.28

 12/01/10  - 12/31/10         

111

70,868,815.82

3.63

 01/01/11  - 01/31/11         

26

31,505,200.00

1.61

 07/01/12  - 07/31/12         

4

2,624,693.77

0.13

 08/01/12  - 08/31/12         

6

5,666,980.62

0.29

 09/01/12  - 09/30/12         

19

10,603,968.98

0.54

 10/01/12  - 10/31/12         

171

93,749,867.34

4.80

 11/01/12  - 11/30/12         

425

230,178,551.28

11.78

 12/01/12  - 12/31/12         

193

120,296,583.86

6.16

 01/01/13  - 01/31/13         

39

30,994,467.22

1.59

 02/01/15  - 02/28/15         

1

983,841.68

0.05

 04/01/15  - 04/30/15         

1

822,500.00

0.04

 05/01/15  - 05/31/15         

4

2,674,352.52

0.14

 06/01/15  - 06/30/15         

12

5,253,564.35

0.27

 07/01/15  - 07/31/15         

13

10,254,393.62

0.52

 08/01/15  - 08/31/15         

19

12,731,374.86

0.65

 09/01/15  - 09/30/15         

79

44,050,210.42

2.25

 10/01/15  - 10/31/15         

249

157,134,077.85

8.04

 11/01/15  - 11/30/15         

756

454,857,342.30

23.28

 12/01/15  - 12/31/15         

721

482,820,367.09

24.71

 01/01/16  - 01/31/16         

115

80,138,926.91

4.10

Total

3,144

$1,954,216,629.32

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

FICO Score                                 

Mortgage Loans

the Cut-off Date

the Cut-off Date

 607  - 650                                 

13

$8,631,366.32

 0.44%

 651  - 700                                 

320

192,474,427.25

9.85

 701  - 750                                 

1,121

726,261,447.94

37.16

 751  - 800                                 

1,479

908,383,458.67

46.48

 801  - 820                                 

211

118,465,929.14

6.06

Total

3,144

$1,954,216,629.32

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

IO Flag                                              

Mortgage Loans

the Cut-off Date

the Cut-off Date

 IO                                                   

2,632

$1,664,188,885.14

 85.16%

 Not IO                                               

512

290,027,744.18

14.84

Total

3,144

$1,954,216,629.32

 100.00%

    







   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Origination Channel                                  

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Bulk Purchase                                        

2,375

$1,392,626,687.69

 71.26%

 Correspondent                                        

713

540,091,561.28

27.64

 Retail                                               

56

21,498,380.35

1.10

Total

3,144

$1,954,216,629.32

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Servicer                                             

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Thornburg Mortgage Home Loans, Inc.                  

701

$493,640,236.81

 25.26%

 Countrywide                                          

723

427,374,045.35

21.87

 Wells Fargo                                          

752

426,902,678.05

21.85

 PHH                                                  

634

382,839,329.45

19.59

 Bank of America                                      

168

105,970,073.89

5.42

 Chase                                                

99

54,020,889.07

2.76

 First Republic Bank                                  

51

50,053,154.75

2.56

 Colonial Savings, F.A.                               

16

13,416,221.95

0.69

Total

3,144

$1,954,216,629.32

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Originator              

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Countrywide                  

723

$427,374,045.35

 21.87%

 Wells Fargo                  

752

426,902,678.05

21.85

 PHH                          

634

382,839,329.45

19.59

 Bank of America              

168

105,970,073.89

5.42

 Chase                        

95

52,385,889.07

2.68

 First Republic Bank          

51

50,053,154.75

2.56

 Luxury Mortgage Corporation  

15

34,852,158.00

1.78

 Metrocities Mortgage, LLC    

23

22,374,050.51

1.14

 First Capital Group, L.P.    

19

22,065,385.97

1.13

 Thornburg Mortgage Home Loans

56

21,498,380.35

1.10

 All Others ( 125 )           

608

407,901,483.93

20.87

Total

3,144

$1,954,216,629.32

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Servicers of Additional Collateral                   

Mortgage Loans

the Cut-off Date

the Cut-off Date

 No Additional Collateral                             

3,095

$1,921,800,797.50

98.34%

 Non-Thornburg Additional Collateral                      

43

29,482,751.91

1.51

 Thornburg Additional Collateral

6

2,933,079.91

0.15

Total

3,144

$1,954,216,629.32

 100.00%

    







   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Prepay Original Term (Months)                          

Mortgage Loans

the Cut-off Date

the Cut-off Date

N/A

2,851

$1,722,782,056.52

 88.16%

   6                                       

1

418,611.92

0.02

  12                                       

174

117,696,758.99

6.02

  24                                       

3

8,188,994.80

0.42

  33                                       

1

500,000.00

0.03

  36                                       

54

51,353,625.94

2.63

  48                                       

4

6,740,000.00

0.34

  60                                       

56

46,536,581.15

2.38

Total

3,144

$1,954,216,629.32

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Prepay Remaining Term (Months)                           

Mortgage Loans

the Cut-off Date

the Cut-off Date

N/A

2,851

$1,722,782,056.52

 88.16%

   5                                       

2

918,611.92

0.05

   8                                       

1

699,000.00

0.04

   9                                       

11

4,992,252.38

0.26

  10                                       

57

31,816,758.00

1.63

  11                                       

89

62,356,808.61

3.19

  12                                       

16

17,831,940.00

0.91

  21                                       

1

4,778,994.80

0.24

  22                                       

1

3,000,000.00

0.15

  23                                       

1

410,000.00

0.02

  27                                       

1

822,500.00

0.04

  33                                       

1

258,560.00

0.01

  34                                       

13

6,650,884.69

0.34

  35                                       

32

20,166,881.25

1.03

  36                                       

7

23,454,800.00

1.20

  46                                       

2

2,515,000.00

0.13

  47                                       

1

1,495,000.00

0.08

  48                                       

1

2,730,000.00

0.14

  57                                       

3

1,233,647.09

0.06

  58                                       

10

7,615,020.06

0.39

  59                                       

35

31,185,914.00

1.60

  60                                       

8

6,502,000.00

0.33

Total

3,144

$1,954,216,629.32

 100.00%









   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Product:                                              

Mortgage Loans

the Cut-off Date

the Cut-off Date

 10/1 Hybrid Arm IO                                   

1,289

$836,033,638.51

42.78%

 7/1 Hybrid Arm IO                                    

561

321,409,858.44

16.45

 10/1 Hybrid Arm                                      

379

225,912,591.78

11.56

 10/6 Hybrid Arm IO                                   

297

187,373,897.65

9.59

 5/1 Hybrid Arm IO                                    

231

148,387,475.27

7.59

 7/6 Hybrid Arm IO                                    

189

120,068,946.31

6.14

 7/1 Hybrid Arm                                       

108

53,126,288.23

2.72

 3/1 Hybrid Arm IO                                    

47

26,995,545.81

1.38

 5/6 Hybrid Arm IO                                    

16

20,785,223.15

1.06

 5/1 Hybrid Arm                                       

13

5,412,110.29

0.28

 3/6 Hybrid Arm IO                                    

2

3,134,300.00

0.16

 10/6 Hybrid Arm                                      

5

2,400,823.66

0.12

 3/1 Hybrid Arm                                       

5

2,049,099.67

0.10

 5/6 Hybrid Arm                                       

1

735,249.62

0.04

 3/6 Hybrid Arm                                       

1

391,580.93

0.02

Total

3,144

$1,954,216,629.32

100.00%








Group 1 Mortgage Loans

As of the Cut-off Date


Total Current Balance                  

$207,890,585

     

Total Original Balance                 

$209,513,819

     

Number of Loans                          

316

     

 

      
   

Minimum

 

Maximum

 

Average Current Balance                                   

$657,881.60

 

$75,000.00

 

$11,250,000.00

 

Average Original Loan Amount                              

$663,018.41

 

$75,000.00

 

$11,250,000.00

 

 

      

WAVG Gross Coupon                                          

5.944

%       

5.100

%       

7.375

%       

 

      

WAVG Gross Margin                                          

2.000

%       

1.875

%       

2.750

%       

WAVG Maximum Interest Rate                                 

10.988

%       

10.250

%       

12.375

%       

WAVG Minimum Interest Rate                                 

2.000

%       

1.875

%       

2.750

%       

WAVG Periodic Rate Cap                                     

1.882

%       

1.000

%       

2.000

%       

WAVG First Rate Cap                                        

4.870

%       

4.000

%       

6.000

%       

 

      

WAVG Original LTV                                          

67.14

%       

16.67

%       

100.00

%       

WAVG Effective LTV                                         

67.01

%       

16.67

%       

95.00

%       

 

      

WAVG Borrower FICO Score                                   

737

        

607

        

815

        

 

      

WAVG Original Term                                         

360

months  

300

months  

480

months  

WAVG Remaining Term                                        

355

months  

250

months  

479

months  

WAVG Seasoning                                             

5

months  

0

months  

53

months  

 

      

WAVG Next Rate Reset                                       

55

months  

33

months  

60

months  

WAVG Rate Adjustment Frequency                             

11

months  

1

month

12

months  

WAVG First Rate Adjustment Frequency                             

56

months  

36

months  

60

months  

 

      

WAVG Prepay Origination Term                                      

30

months  

12

months  

48

months  

WAVG Prepay Remaining Term                                       

29

months  

9

months  

48

months  

 

      

WAVG IO Origination Term                                          

109

months  

36

months  

120

months  

WAVG IO Remaining Term                                           

105

months  

33

months  

120

months  

 

      

Top State Concentrations ($)                    

 21.90 %  California,  12.64 %  Florida,  11.83 %  Colorado

 

Maximum Zip Code Concentration ($)             

   5.41 %  92651

     

 

      

Note Date                                      

  

 Jul. 27, 2001

  Dec. 23, 2005

First Pay Date                                 

  

 Sep. 01, 2001

  Feb. 01, 2006

 

Rate Change Date                                  

  

 Oct. 01, 2008

  Jan. 01, 2011

 

Maturity Date                                    

  

 Nov. 01, 2026

  Dec. 01, 2045









   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Current Balance ($)                            

Mortgage Loans

the Cut-off Date

the Cut-off Date

    75,000  -   100,000                     

5

$427,886.18

 0.21%

   100,001  -   200,000                     

64

9,851,430.38

4.74

   200,001  -   300,000                     

53

12,927,670.41

6.22

   300,001  -   400,000                     

46

16,237,574.68

7.81

   400,001  -   500,000                     

33

15,000,155.23

7.22

   500,001  -   600,000                     

22

12,199,225.51

5.87

   600,001  -   700,000                     

12

7,776,446.05

3.74

   700,001  -   800,000                     

14

10,525,838.81

5.06

   800,001  -   900,000                     

10

8,585,152.71

4.13

   900,001  - 1,000,000                     

10

9,808,999.00

4.72

 1,000,001  - 1,100,000                     

2

2,083,750.00

1.00

 1,100,001  - 1,200,000                     

6

6,968,400.00

3.35

 1,200,001  - 1,300,000                     

4

5,065,500.00

2.44

 1,300,001  - 1,400,000                     

1

1,387,500.00

0.67

 1,400,001  - 1,500,000                     

4

5,992,675.15

2.88

 Greater than 1,500,000                     

30

83,052,380.63

39.95

Total

316

$207,890,584.74

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Original Term (Months)                             

Mortgage Loans

the Cut-off Date

the Cut-off Date

 300                                       

1

$172,441.88

 0.08%

 350                                       

1

1,190,000.00

0.57

 360                                       

313

206,218,320.91

99.20

 480                                       

1

309,821.95

0.15

Total

316

$207,890,584.74

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Remaining Term (Months)                             

Mortgage Loans

the Cut-off Date

the Cut-off Date

 250  - 300                                 

1

$172,441.88

 0.08%

 301  - 360                                 

314

207,408,320.91

99.77

 421  - 479                                 

1

309,821.95

0.15

Total

316

$207,890,584.74

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Property Type                                        

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Single Family Detached                               

152

$110,572,049.60

 53.19%

 PUD Detached                                         

75

56,956,543.70

27.40

 Condominium                                          

59

26,590,370.63

12.79

 Two-Four Family                                      

11

7,228,716.83

3.48

 PUD Attached                                         

16

4,738,304.00

2.28

 Cooperative                                          

3

1,804,599.98

0.87

Total

316

$207,890,584.74

 100.00%

    







   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Occupancy                                            

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Primary                                              

173

$135,409,343.62

 65.13%

 Second Home                                          

44

40,768,134.72

19.61

 Investor                                             

99

31,713,106.40

15.25

Total

316

$207,890,584.74

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Purpose                                              

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Purchase                                             

171

$100,604,841.11

 48.39%

 Cash Out Refinance                                   

98

65,368,695.49

31.44

 Rate/Term Refinance                                  

47

41,917,048.14

20.16

Total

316

$207,890,584.74

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Documentation                                        

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Full Documentation                                   

284

$174,658,238.82

84.01%

 Stated Documentation                                 

27

29,099,484.29

14.00

 No Ratio Documentation                               

5

4,132,861.63

1.99

Total

316

$207,890,584.74

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Original LTV (%)                               

Mortgage Loans

the Cut-off Date

the Cut-off Date

  Less than or equal to  30.00                           

5

$6,955,000.00

 3.35%

  30.01  -  35.00                           

3

1,061,450.39

0.51

  35.01  -  40.00                           

1

800,000.00

0.38

  40.01  -  45.00                           

3

3,802,750.00

1.83

  45.01  -  50.00                           

9

18,996,279.83

9.14

  50.01  -  55.00                           

5

9,141,500.00

4.40

  55.01  -  60.00                           

17

22,390,877.47

10.77

  60.01  -  65.00                           

21

13,885,867.81

6.68

  65.01  -  70.00                           

41

30,933,164.51

14.88

  70.01  -  75.00                           

46

33,016,933.15

15.88

  75.01  -  80.00                           

156

64,304,763.24

30.93

  80.01  -  85.00                           

1

177,600.00

0.09

  85.01  -  90.00                           

4

938,042.18

0.45

  90.01  -  95.00                           

1

236,375.56

0.11

  95.01  - 100.00                           

3

1,249,980.60

0.60

Total

316

$207,890,584.74

 100.00%

    







   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Effective LTV (%)                              

Mortgage Loans

the Cut-off Date

the Cut-off Date

  Less than or equal to  30.00                           

5

$6,955,000.00

 3.35%

  30.01  -  35.00                           

3

1,061,450.39

0.51

  35.01  -  40.00                           

1

800,000.00

0.38

  40.01  -  45.00                           

3

3,802,750.00

1.83

  45.01  -  50.00                           

9

18,996,279.83

9.14

  50.01  -  55.00                           

5

9,141,500.00

4.40

  55.01  -  60.00                           

17

22,390,877.47

10.77

  60.01  -  65.00                           

21

13,885,867.81

6.68

  65.01  -  70.00                           

41

30,933,164.51

14.88

  70.01  -  75.00                           

46

33,016,933.15

15.88

  75.01  -  80.00                           

159

65,554,743.84

31.53

  80.01  -  85.00                           

1

177,600.00

0.09

  85.01  -  90.00                           

4

938,042.18

0.45

  90.01  -  95.00                           

1

236,375.56

0.11

Total

316

$207,890,584.74

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

State                                                

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Alabama                                              

2

$280,000.00

 0.13%

 Arizona                                              

15

5,718,544.98

2.75

 California                                           

45

45,520,671.33

21.90

 Colorado                                             

32

24,588,988.32

11.83

 Connecticut                                          

1

410,000.00

0.20

 District of Columbia                                 

1

2,100,000.00

1.01

 Florida                                              

50

26,275,992.04

12.64

 Georgia                                              

23

9,108,194.72

4.38

 Hawaii                                               

1

3,060,000.00

1.47

 Illinois                                             

14

7,703,566.71

3.71

 Indiana                                              

1

184,999.70

0.09

 Louisiana                                            

1

216,000.00

0.10

 Maryland                                             

5

1,944,645.13

0.94

 Massachusetts                                        

3

2,315,000.00

1.11

 Michigan                                             

2

1,115,000.00

0.54

 Minnesota                                            

12

5,241,203.15

2.52

 Nevada                                               

5

1,883,100.00

0.91

 New Jersey                                           

16

10,222,752.50

4.92

 New Mexico                                           

11

3,471,182.99

1.67

 New York                                             

9

13,532,690.98

6.51

 North Carolina                                       

10

4,777,362.18

2.30

 Ohio                                                 

3

987,656.49

0.48

 Oregon                                               

3

2,678,281.91

1.29

 Pennsylvania                                         

5

7,247,316.99

3.49

 South Carolina                                       

15

5,885,814.20

2.83

 Tennessee                                            

3

496,984.00

0.24

 Texas                                                

5

5,044,149.62

2.43

 Virginia                                             

10

4,570,442.16

2.20

 Washington                                           

11

6,971,686.48

3.35

 Wisconsin                                            

2

4,338,358.16

2.09

Total

316

$207,890,584.74

 100.00%

    







   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Loan Rate (%)                                  

Mortgage Loans

the Cut-off Date

the Cut-off Date

  5.100  -  5.250                           

15

$16,864,632.10

 8.11%

  5.251  -  5.500                           

44

23,501,508.23

11.30

  5.501  -  5.750                           

100

63,299,561.45

30.45

  5.751  -  6.000                           

87

51,937,180.01

24.98

  6.001  -  6.250                           

35

17,383,582.95

8.36

  6.251  -  6.500                           

24

6,832,045.00

3.29

  6.501  -  6.750                           

6

8,507,450.00

4.09

  6.751  -  7.000                           

2

814,625.00

0.39

  7.001  -  7.250                           

2

7,500,000.00

3.61

  7.251  -  7.375                           

1

11,250,000.00

5.41

Total

316

$207,890,584.74

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Maximum Loan Rate (%)                          

Mortgage Loans

the Cut-off Date

the Cut-off Date

 10.250  - 10.250                           

12

$12,423,432.10

 5.98%

 10.251  - 10.500                           

43

23,143,508.23

11.13

 10.501  - 10.750                           

96

58,980,561.45

28.37

 10.751  - 11.000                           

87

51,937,180.01

24.98

 11.001  - 11.250                           

38

21,824,782.95

10.50

 11.251  - 11.500                           

25

7,190,045.00

3.46

 11.501  - 11.750                           

10

12,826,450.00

6.17

 11.751  - 12.000                           

2

814,625.00

0.39

 12.001  - 12.250                           

2

7,500,000.00

3.61

 12.251  - 12.375                           

1

11,250,000.00

5.41

Total

316

$207,890,584.74

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Minimum Loan Rate (%)                          

Mortgage Loans

the Cut-off Date

the Cut-off Date

  1.875  -  2.000                           

295

$165,630,246.62

 79.67%

  2.001  -  2.250                           

6

16,972,828.12

8.16

  2.251  -  2.500                           

11

9,350,010.00

4.50

  2.501  -  2.750                           

4

15,937,500.00

7.67

Total

316

$207,890,584.74

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Gross Margin (%)                               

Mortgage Loans

the Cut-off Date

the Cut-off Date

  1.875  -  2.000                           

295

$165,630,246.62

 79.67%

  2.001  -  2.250                           

6

16,972,828.12

8.16

  2.251  -  2.500                           

11

9,350,010.00

4.50

  2.501  -  2.750                           

4

15,937,500.00

7.67

Total

316

$207,890,584.74

 100.00%

    







   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Index Code                                           

Mortgage Loans

the Cut-off Date

the Cut-off Date

 1-Year LIBOR                                         

282

$170,190,221.04

 81.87%

 6-Month LIBOR                                        

20

25,046,353.70

12.05

 1-Year CMT                                           

11

9,350,010.00

4.50

 1-Month LIBOR                                        

3

3,304,000.00

1.59

Total

316

$207,890,584.74

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Initial Rate Cap (%)                          

Mortgage Loans

the Cut-off Date

the Cut-off Date

  4.000                                    

55

$32,570,526.41

 15.67%

  5.000                                    

257

169,717,058.33

81.64

  6.000                                    

4

5,603,000.00

2.70

Total

316

$207,890,584.74

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Periodic Rate Cap (%)                         

Mortgage Loans

the Cut-off Date

the Cut-off Date

  N/A

3

$3,304,000.00

 1.59%

  1.000                                    

17

24,109,772.77

11.60

  2.000                                    

296

180,476,811.97

86.81

Total

316

$207,890,584.74

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Rate Adjustment Frequency  (Months)                             

Mortgage Loans

the Cut-off Date

the Cut-off Date

   1                                       

3

$3,304,000.00

 1.59%

   6                                       

20

25,046,353.70

12.05

  12                                       

293

179,540,231.04

86.36

Total

316

$207,890,584.74

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Rate Change Date           

Mortgage Loans

the Cut-off Date

the Cut-off Date

 10/01/08  - 10/31/08         

5

$1,591,839.98

 0.77%

 11/01/08  - 11/30/08         

25

13,466,900.85

6.48

 12/01/08  - 12/31/08         

21

14,801,143.91

7.12

 01/01/09  - 01/31/09         

3

1,110,900.00

0.53

 09/01/10  - 09/30/10         

9

6,078,553.12

2.92

 10/01/10  - 10/31/10         

12

4,835,096.43

2.33

 11/01/10  - 11/30/10         

104

63,632,134.63

30.61

 12/01/10  - 12/31/10         

111

70,868,815.82

34.09

 01/01/11  - 01/31/11         

26

31,505,200.00

15.15

Total

316

$207,890,584.74

 100.00%

    







   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

FICO score                                 

Mortgage Loans

the Cut-off Date

the Cut-off Date

 607  - 650                                 

5

$1,789,715.73

 0.86%

 651  - 700                                 

55

41,061,243.61

19.75

 701  - 750                                 

105

85,132,664.29

40.95

 751  - 800                                 

136

72,011,350.71

34.64

 801  - 815                                 

15

7,895,610.40

3.80

Total

316

$207,890,584.74

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

IO Flag                                              

Mortgage Loans

the Cut-off Date

the Cut-off Date

 IO                                                   

296

$199,302,544.23

 95.87%

 Not IO                                               

20

8,588,040.51

4.13

Total

316

$207,890,584.74

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Origination Channel                                  

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Correspondent                                        

291

$198,344,099.57

 95.41%

 Retail                                               

25

9,546,485.17

4.59

Total

316

$207,890,584.74

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Servicer                                             

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Thornburg Mortgage Home Loans, Inc.                  

298

$186,426,734.67

 89.68%

 First Republic Bank                                  

7

8,907,000.00

4.28

 Colonial Savings, F.A.                               

10

8,076,521.95

3.88

 Countrywide                                          

1

4,480,328.12

2.16

Total

316

$207,890,584.74

 100.00%

    







   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Originator              

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Luxury Mortgage Corporation  

4

$12,012,500.00

 5.78%

 Resource Mortgage Banking    

1

11,250,000.00

5.41

 Thornburg Mortgage Home Loans

25

9,546,485.17

4.59

 First Republic Bank          

7

8,907,000.00

4.28

 Universal American Mortgage  

31

8,743,788.50

4.21

 Colonial Savings, F.A.       

10

8,076,521.95

3.88

 American Mortgage Network    

21

8,029,506.39

3.86

 Eagle Home Mortage, Inc.     

10

6,074,195.48

2.92

 Wall Street Mortgage         

6

5,792,560.98

2.79

 Megastar Financial Corp.     

6

5,563,570.00

2.68

 Cherry Creek Mortgage        

5

5,224,000.00

2.51

 Affiliated Financial         

3

4,834,250.00

2.33

 Trident Mortgage Company     

4

4,802,585.50

2.31

 First Horizon Home Loan Corpo

10

4,753,790.97

2.29

 Countrywide                  

1

4,480,328.12

2.16

 BancMortgage Financial Corp.

7

4,471,336.03

2.15

 North Shore Community Bank &

4

4,358,080.60

2.10

 Amerihome Mortgage Company, L

2

4,338,358.16

2.09

 Worldwide Financial Resources

2

4,167,900.00

2.00

 NexGen Lending               

8

3,671,283.00

1.77

 Synovus Mortgage Corp        

10

3,525,138.00

1.70

 First Capital Group, L.P.    

3

3,351,000.00

1.61

 Platinum Capital Group       

2

3,281,570.00

1.58

 First Financial Equities     

3

3,258,375.83

1.57

 America's Mortgage, LLC      

1

2,817,500.00

1.36

 Sunshine Mortgage Corp.      

7

2,810,219.99

1.35

 Metrocities Mortgage, LLC    

6

2,709,276.55

1.30

 Mortgage Access Corp d/b/a We

6

2,469,734.59

1.19

 Arlington Capital Mortgage Co

3

2,345,316.99

1.13

 AmTrust Mortgage Corporation

3

2,174,950.00

1.05

 Tradition Mortgage           

3

2,158,200.00

1.04

 First Savings Mortgage Corp  

1

2,100,000.00

1.01

 All Others ( 56 )            

101

45,791,261.94

22.03

Total

316

$207,890,584.74

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Servicers of Additional Collateral                   

Mortgage Loans

the Cut-off Date

the Cut-off Date

 No Additional Collateral                             

313

$206,640,604.14

99.40%

 Thornburg Additional Collateral                      

3

1,249,980.60

0.60

Total

316

$207,890,584.74

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Prepay Original Term (Months)                          

Mortgage Loans

the Cut-off Date

the Cut-off Date

N/A

305

$175,226,584.74

 84.29%

  12                                       

4

11,824,000.00

5.69

  36                                       

3

14,100,000.00

6.78

  48                                       

4

6,740,000.00

3.24

Total

316

$207,890,584.74

 100.00%

    







   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Prepay Remaining Term (Months)                           

Mortgage Loans

the Cut-off Date

the Cut-off Date

N/A

305

$175,226,584.74

 84.29%

   9                                       

1

424,000.00

0.20

  11                                       

1

3,900,000.00

1.88

  12                                       

2

7,500,000.00

3.61

  36                                       

3

14,100,000.00

6.78

  46                                       

2

2,515,000.00

1.21

  47                                       

1

1,495,000.00

0.72

  48                                       

1

2,730,000.00

1.31

Total

316

$207,890,584.74

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Product:                                              

Mortgage Loans

the Cut-off Date

the Cut-off Date

 5/1 Hybrid Arm IO                                    

231

$148,387,475.27

71.38%

 3/1 Hybrid Arm IO                                    

47

26,995,545.81

12.99

 5/6 Hybrid Arm IO                                    

16

20,785,223.15

10.00

 5/1 Hybrid Arm                                       

13

5,412,110.29

2.60

 3/6 Hybrid Arm IO                                    

2

3,134,300.00

1.51

 3/1 Hybrid Arm                                       

5

2,049,099.67

0.99

 5/6 Hybrid Arm                                       

1

735,249.62

0.35

 3/6 Hybrid Arm                                       

1

391,580.93

0.19

Total

316

$207,890,584.74

100.00%








Group 2 Mortgage Loans

As of the Cut-off Date


Total Current Balance                  

$494,605,093

     

Total Original Balance                 

$494,882,232

     

Number of Loans                          

858

     

 

      
   

Minimum

 

Maximum

 

Average Current Balance                                   

$576,462.81

 

$23,840.58

 

$6,750,000.00

 

Average Original Loan Amount                              

$576,785.82

 

$23,840.58

 

$6,750,000.00

 

 

      

WAVG Gross Coupon                                          

5.844

%       

4.280

%       

6.875

%       

 

      

WAVG Gross Margin                                          

2.142

%       

1.875

%       

3.125

%       

WAVG Maximum Interest Rate                                 

10.854

%       

9.280

%       

12.125

%       

WAVG Minimum Interest Rate                                 

2.142

%       

1.875

%       

3.125

%       

WAVG Periodic Rate Cap                                     

1.755

%       

1.000

%       

2.000

%       

WAVG First Rate Cap                                        

5.004

%       

5.000

%       

6.000

%       

 

      

WAVG Original LTV                                          

68.82

%       

3.51

%       

100.00

%       

WAVG Effective LTV                                         

68.26

%       

3.51

%       

95.00

%       

 

      

WAVG Borrower FICO Score                                   

750

        

620

        

817

        

 

      

WAVG Original Term                                         

360

months  

360

months  

480

months  

WAVG Remaining Term                                        

358

months  

318

months  

479

months  

WAVG Seasoning                                             

2

months  

0

months  

42

months  

 

      

WAVG Next Rate Reset                                       

82

months  

58

months  

84

months  

WAVG Rate Adjustment Frequency                             

11

months  

6

months  

12

months  

WAVG First Rate Adjustment Frequency                             

84

months  

84

months  

84

months  

 

      

WAVG Prepay Origination Term                                      

21

months  

12

months  

60

months  

WAVG Prepay Remaining Term                                       

19

months  

8

months  

60

months  

 

      

WAVG IO Origination Term                                          

91

months  

84

months  

120

months  

WAVG IO Remaining Term                                           

89

months  

78

months  

120

months  

 

      

Top State Concentrations ($)                    

 37.72 %  California,  8.61 %  Florida,  5.70 %  New Jersey

 

Maximum Zip Code Concentration ($)             

   1.36 %  90077

     

 

      

Note Date                                      

  

 Jun. 18, 2002

  Dec. 21, 2005

First Pay Date                                 

  

 Aug. 01, 2002

  Feb. 01, 2006

Rate Change Date                                  

  

 Nov. 01, 2010

  Jan. 01, 2013

Maturity Date                                    

  

 Jul. 01, 2032

  Dec. 01, 2045









   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Current Balance ($)                            

Mortgage Loans

the Cut-off Date

the Cut-off Date

    23,841  -   100,000                     

9

$729,979.16

 0.15%

   100,001  -   200,000                     

30

4,676,974.31

0.95

   200,001  -   300,000                     

35

8,561,560.48

1.73

   300,001  -   400,000                     

194

73,809,723.28

14.92

   400,001  -   500,000                     

166

76,001,342.95

15.37

   500,001  -   600,000                     

166

91,269,340.61

18.45

   600,001  -   700,000                     

79

51,197,296.31

10.35

   700,001  -   800,000                     

60

44,613,363.10

9.02

   800,001  -   900,000                     

27

22,878,291.86

4.63

   900,001  - 1,000,000                     

51

49,851,838.54

10.08

 1,000,001  - 1,100,000                     

6

6,474,950.00

1.31

 1,100,001  - 1,200,000                     

2

2,392,145.53

0.48

 1,200,001  - 1,300,000                     

6

7,514,336.85

1.52

 1,300,001  - 1,400,000                     

6

8,167,100.00

1.65

 1,400,001  - 1,500,000                     

4

5,819,600.00

1.18

 Greater than  1,500,000                     

17

40,647,250.00

8.22

Total

858

$494,605,092.98

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Original Term (Months)                             

Mortgage Loans

the Cut-off Date

the Cut-off Date

 360                                       

857

$493,860,092.98

 99.85%

 480                                       

1

745,000.00

0.15

Total

858

$494,605,092.98

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Remaining Term (Months)                             

Mortgage Loans

the Cut-off Date

the Cut-off Date

 318  - 360                                 

857

$493,860,092.98

 99.85%

 421  - 479                                 

1

745,000.00

0.15

Total

858

$494,605,092.98

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Property Type                                        

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Single Family Detached                               

434

$275,336,076.45

 55.67%

 PUD Detached                                         

273

145,355,613.59

29.39

 Condominium                                          

122

59,281,431.39

11.99

 Two-Four Family                                      

14

6,602,893.00

1.33

 Cooperative                                          

7

3,801,786.31

0.77

 PUD Attached                                         

6

3,146,922.24

0.64

 Single Family Attached                               

2

1,080,370.00

0.22

Total

858

$494,605,092.98

 100.00%

    







   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Occupancy                                            

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Primary                                              

724

$416,944,169.37

 84.30%

 Second Home                                          

98

59,298,778.51

11.99

 Investor                                             

36

18,362,145.10

3.71

Total

858

$494,605,092.98

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Purpose                                              

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Purchase                                             

472

$260,377,298.32

 52.64%

 Cash Out Refinance                                   

231

139,456,191.52

28.20

 Rate/Term Refinance                                  

155

94,771,603.14

19.16

Total

858

$494,605,092.98

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Documentation                                        

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Full Documentation                                   

391

$235,223,177.81

47.56%

 Preferred Documentation                              

305

163,033,670.65

32.96

 Alternative Documentation                            

54

29,638,140.20

5.99

 Full Doc/No Income                                   

40

26,438,821.36

5.35

 Limited Documentation                                

21

9,137,922.95

1.85

 Full Doc/Stated Income                               

14

9,068,062.57

1.83

 Full/Alternative Documentation                       

11

7,013,942.27

1.42

 Stated Documentation                                 

7

6,964,000.00

1.41

 Reduced Documentation                                

9

4,570,996.45

0.92

 No Ratio Documentation                               

3

1,445,456.22

0.29

 Asset Verification Only                              

2

1,070,902.50

0.22

 No Income Verification                               

1

1,000,000.00

0.20

Total

858

$494,605,092.98

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Original LTV (%)                               

Mortgage Loans

the Cut-off Date

the Cut-off Date

  Less than or equal to 30.00                           

17

$11,424,264.55

 2.31%

  30.01  -  35.00                           

21

15,948,617.56

3.22

  35.01  -  40.00                           

14

7,359,584.30

1.49

  40.01  -  45.00                           

24

17,032,561.61

3.44

  45.01  -  50.00                           

23

12,517,994.02

2.53

  50.01  -  55.00                           

29

23,577,303.28

4.77

  55.01  -  60.00                           

50

29,421,530.18

5.95

  60.01  -  65.00                           

55

38,337,823.24

7.75

  65.01  -  70.00                           

78

50,921,264.14

10.30

  70.01  -  75.00                           

75

54,819,329.84

11.08

  75.01  -  80.00                           

437

216,133,234.55

43.70

  80.01  -  85.00                           

4

2,094,692.96

0.42

  85.01  -  90.00                           

10

6,006,612.66

1.21

  90.01  -  95.00                           

7

2,465,702.09

0.50

  95.01  - 100.00                           

14

6,544,578.00

1.32

Total

858

$494,605,092.98

 100.00%

    







   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Effective LTV (%)                              

Mortgage Loans

the Cut-off Date

the Cut-off Date

  Less than or equal to 30.00                           

17

$11,424,264.55

 2.31%

  30.01  -  35.00                           

21

15,948,617.56

3.22

  35.01  -  40.00                           

14

7,359,584.30

1.49

  40.01  -  45.00                           

24

17,032,561.61

3.44

  45.01  -  50.00                           

24

12,617,994.02

2.55

  50.01  -  55.00                           

29

23,577,303.28

4.77

  55.01  -  60.00                           

51

31,176,530.18

6.30

  60.01  -  65.00                           

55

38,337,823.24

7.75

  65.01  -  70.00                           

94

60,269,257.14

12.19

  70.01  -  75.00                           

74

53,064,329.84

10.73

  75.01  -  80.00                           

439

217,505,883.86

43.98

  80.01  -  85.00                           

3

1,094,692.96

0.22

  85.01  -  90.00                           

7

2,912,913.35

0.59

  90.01  -  95.00                           

6

2,283,337.09

0.46

Total

858

$494,605,092.98

 100.00%

    







   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

State                                                

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Alabama                                              

4

$1,907,632.00

 0.39%

 Arizona                                              

18

9,056,619.73

1.83

 California                                           

295

186,542,309.20

37.72

 Colorado                                             

32

21,299,839.56

4.31

 Connecticut                                          

19

13,434,451.28

2.72

 Delaware                                             

3

1,348,664.28

0.27

 District of Columbia                                 

4

2,943,500.00

0.60

 Florida                                              

76

42,597,452.75

8.61

 Georgia                                              

28

13,504,176.16

2.73

 Hawaii                                               

2

1,105,000.00

0.22

 Idaho                                                

1

1,480,000.00

0.30

 Illinois                                             

19

11,087,363.92

2.24

 Indiana                                              

3

1,084,711.21

0.22

 Iowa                                                 

1

635,000.00

0.13

 Kansas                                               

3

1,348,917.13

0.27

 Kentucky                                             

1

415,000.00

0.08

 Louisiana                                            

3

1,307,702.50

0.26

 Maine                                                

2

1,322,081.75

0.27

 Maryland                                             

10

6,144,415.86

1.24

 Massachusetts                                        

28

15,679,985.27

3.17

 Michigan                                             

5

1,991,499.00

0.40

 Minnesota                                            

16

8,118,697.86

1.64

 Missouri                                             

4

2,277,441.00

0.46

 Nevada                                               

42

19,506,945.52

3.94

 New Hampshire                                        

1

611,200.00

0.12

 New Jersey                                           

50

28,178,174.55

5.70

 New Mexico                                           

2

987,786.61

0.20

 New York                                             

33

20,914,947.53

4.23

 North Carolina                                       

11

6,192,535.90

1.25

 Ohio                                                 

5

1,795,993.00

0.36

 Oklahoma                                             

4

2,013,800.00

0.41

 Oregon                                               

6

2,655,104.25

0.54

 Pennsylvania                                         

14

7,615,709.07

1.54

 South Carolina                                       

18

9,056,057.58

1.83

 Tennessee                                            

13

5,757,492.00

1.16

 Texas                                                

19

11,888,998.11

2.40

 Utah                                                 

8

5,090,950.00

1.03

 Vermont                                              

1

420,000.00

0.08

 Virginia                                             

30

14,449,786.40

2.92

 Washington                                           

21

9,279,952.00

1.88

 West Virginia                                        

1

407,200.00

0.08

 Wisconsin                                            

1

650,000.00

0.13

 Wyoming                                              

1

500,000.00

0.10

Total

858

$494,605,092.98

 100.00%

    







   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Loan Rate (%)                                  

Mortgage Loans

the Cut-off Date

the Cut-off Date

  4.280  -  4.500                           

2

$1,469,191.51

 0.30%

  4.501  -  4.750                           

1

387,500.55

0.08

  4.751  -  5.000                           

7

3,501,045.39

0.71

  5.001  -  5.250                           

19

11,824,907.65

2.39

  5.251  -  5.500                           

87

51,218,374.21

10.36

  5.501  -  5.750                           

262

147,462,811.65

29.81

  5.751  -  6.000                           

306

169,349,675.22

34.24

  6.001  -  6.250                           

127

77,090,469.49

15.59

  6.251  -  6.500                           

32

20,423,280.22

4.13

  6.501  -  6.750                           

14

9,672,337.09

1.96

  6.751  -  6.875                           

1

2,205,500.00

0.45

Total

858

$494,605,092.98

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Maximum Loan Rate (%)                          

Mortgage Loans

the Cut-off Date

the Cut-off Date

  9.280  -  9.500                           

2

$1,469,191.51

 0.30%

  9.501  -  9.750                           

1

387,500.55

0.08

  9.751  - 10.000                           

7

3,501,045.39

0.71

 10.001  - 10.250                           

19

11,824,907.65

2.39

 10.251  - 10.500                           

85

48,718,374.21

9.85

 10.501  - 10.750                           

261

145,712,811.65

29.46

 10.751  - 11.000                           

306

169,349,675.22

34.24

 11.001  - 11.250                           

126

76,576,469.49

15.48

 11.251  - 11.500                           

34

22,923,280.22

4.63

 11.501  - 11.750                           

15

11,422,337.09

2.31

 11.751  - 12.000                           

1

2,205,500.00

0.45

 12.001  - 12.125                           

1

514,000.00

0.10

Total

858

$494,605,092.98

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Minimum Loan Rate (%)                          

Mortgage Loans

the Cut-off Date

the Cut-off Date

  1.875  -  2.000                           

319

$192,652,515.18

 38.95%

  2.001  -  2.250                           

524

289,151,835.26

58.46

  2.251  -  2.500                           

7

9,201,700.00

1.86

  2.501  -  2.750                           

5

2,340,395.45

0.47

  2.751  -  3.000                           

1

459,000.00

0.09

  3.001  -  3.125                           

2

799,647.09

0.16

Total

858

$494,605,092.98

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Gross Margin (%)                               

Mortgage Loans

the Cut-off Date

the Cut-off Date

  1.875  -  2.000                           

319

$192,652,515.18

 38.95%

  2.001  -  2.250                           

524

289,151,835.26

58.46

  2.251  -  2.500                           

7

9,201,700.00

1.86

  2.501  -  2.750                           

5

2,340,395.45

0.47

  2.751  -  3.000                           

1

459,000.00

0.09

  3.001  -  3.125                           

2

799,647.09

0.16

Total

858

$494,605,092.98

 100.00%








   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Index Code                                           

Mortgage Loans

the Cut-off Date

the Cut-off Date

 1-Year LIBOR                                         

657

$365,991,653.67

 74.00%

 6-Month LIBOR                                        

194

121,376,439.31

24.54

 1-Year CMT                                           

7

7,237,000.00

1.46

Total

858

$494,605,092.98

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Initial Rate Cap (%)                          

Mortgage Loans

the Cut-off Date

the Cut-off Date

  5.000                                    

857

$492,855,092.98

 99.65%

  6.000                                    

1

1,750,000.00

0.35

Total

858

$494,605,092.98

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Periodic Rate Cap (%)                         

Mortgage Loans

the Cut-off Date

the Cut-off Date

  1.000                                    

194

$121,376,439.31

 24.54%

  2.000                                    

664

373,228,653.67

75.46

Total

858

$494,605,092.98

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Rate Adjustment Frequency (Months)                             

Mortgage Loans

the Cut-off Date

the Cut-off Date

   6                                       

194

$121,376,439.31

 24.54%

  12                                       

664

373,228,653.67

75.46

Total

858

$494,605,092.98

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Rate Change Date           

Mortgage Loans

the Cut-off Date

the Cut-off Date

 11/01/10  - 11/30/10         

1

$489,979.91

 0.10%

 07/01/12  - 07/31/12         

4

2,624,693.77

0.53

 08/01/12  - 08/31/12         

6

5,666,980.62

1.15

 09/01/12  - 09/30/12         

19

10,603,968.98

2.14

 10/01/12  - 10/31/12         

171

93,749,867.34

18.95

 11/01/12  - 11/30/12         

425

230,178,551.28

46.54

 12/01/12  - 12/31/12         

193

120,296,583.86

24.32

 01/01/13  - 01/31/13         

39

30,994,467.22

6.27

Total

858

$494,605,092.98

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

FICO Score                                 

Mortgage Loans

the Cut-off Date

the Cut-off Date

 620  - 650                                 

4

$2,646,650.59

 0.54%

 651  - 700                                 

75

37,667,106.61

7.62

 701  - 750                                 

352

197,579,026.64

39.95

 751  - 800                                 

369

225,969,767.06

45.69

 801  - 817                                 

58

30,742,542.08

6.22

Total

858

$494,605,092.98

 100.00%

    







   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

IO Flag                                              

Mortgage Loans

the Cut-off Date

the Cut-off Date

 IO                                                   

750

$441,478,804.75

 89.26%

 Not IO                                               

108

53,126,288.23

10.74

Total

858

$494,605,092.98

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Origination Channel                                  

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Bulk Purchase                                        

707

$394,086,301.66

 79.68%

 Correspondent                                        

142

96,667,791.32

19.54

 Retail                                               

9

3,851,000.00

0.78

Total

858

$494,605,092.98

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Servicer                                             

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Countrywide                                          

381

$203,783,881.85

 41.20%

 PHH                                                  

282

166,648,434.69

33.69

 Thornburg Mortgage Home Loans, Inc.                  

146

94,163,091.32

19.04

 Chase                                                

44

23,653,985.12

4.78

 Colonial Savings, F.A.                               

3

3,505,700.00

0.71

 First Republic Bank                                  

2

2,850,000.00

0.58

Total

858

$494,605,092.98

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Originator              

Mortgage Loans

the Cut-off Date

the Cut-off Date

 Countrywide                  

381

$203,783,881.85

 41.20%

 PHH                          

282

166,648,434.69

33.69

 Chase                        

40

22,018,985.12

4.45

 Luxury Mortgage Corporation  

6

14,602,000.00

2.95

 All Others ( 68 )            

149

87,551,791.32

17.70

Total

858

$494,605,092.98

 100.00%

    
   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Servicers of Additional Collateral                   

Mortgage Loans

the Cut-off Date

the Cut-off Date

 No Additional Collateral                             

838

$482,029,450.67

97.46%

 Non-Thornburg Additional Collateral                  

18

11,202,993.00

2.27

 Thornburg Additional Collateral                      

2

1,372,649.31

0.28

Total

858

$494,605,092.98

 100.00%

    







   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Prepay Original Term (Months)                          

Mortgage Loans

the Cut-off Date

the Cut-off Date

N/A

766

$434,555,635.51

 87.86%

  12                                       

70

42,436,010.38

8.58

  24                                       

1

410,000.00

0.08

  36                                       

12

12,046,800.00

2.44

  60                                       

9

5,156,647.09

1.04

Total

858

$494,605,092.98

 100.00%


   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Prepay Remaining Term (Months)                           

Mortgage Loans

the Cut-off Date

the Cut-off Date

N/A

766

$434,555,635.51

 87.86%

   8                                       

1

699,000.00

0.14

   9                                       

10

4,568,252.38

0.92

  10                                       

56

31,416,758.00

6.35

  11                                       

2

2,955,500.00

0.60

  12                                       

1

2,796,500.00

0.57

  23                                       

1

410,000.00

0.08

  34                                       

10

5,182,000.00

1.05

  36                                       

2

6,864,800.00

1.39

  57                                       

3

1,233,647.09

0.25

  58                                       

4

2,173,000.00

0.44

  59                                       

1

650,000.00

0.13

  60                                       

1

1,100,000.00

0.22

Total

858

$494,605,092.98

 100.00%









Group 3 Mortgage Loans

As of the Cut-off Date


Total Current Balance                  

$1,251,720,952

     

Total Original Balance                 

$1,254,022,163

     

Number of Loans                          

1,970

     

 

      
   

Minimum

 

Maximum

 

Average Current Balance                                   

$635,391.35

 

$51,700.00

 

$6,545,000.00

 

Average Original Loan Amount                              

$636,559.47

 

$51,700.00

 

$6,545,000.00

 

 

      

WAVG Gross Coupon                                          

5.825

%       

4.125

%       

7.625

%       

 

      

WAVG Gross Margin                                          

2.324

%       

1.875

%       

2.750

%       

WAVG Maximum Interest Rate                                 

10.854

%       

9.125

%       

12.625

%       

WAVG Minimum Interest Rate                                 

2.303

%       

1.875

%       

3.400

%       

WAVG Periodic Rate Cap                                     

1.846

%       

1.000

%       

2.000

%       

WAVG First Rate Cap                                        

5.003

%       

2.000

%       

6.000

%       

 

      

WAVG Original LTV                                          

67.99

%       

10.53

%       

100.00

%       

WAVG Effective LTV                                         

67.63

%       

10.53

%       

95.00

%       

 

      

WAVG Borrower FICO Score                                   

752

        

639

        

820

        

 

      

WAVG Original Term                                         

360

months  

240

months  

360

months  

WAVG Remaining Term                                        

358

months  

238

months  

360

months  

WAVG Seasoning                                             

2

months  

0

months  

47

months  

 

      

WAVG Next Rate Reset                                       

118

months  

109

months  

120

months  

WAVG Rate Adjustment Frequency                             

11

months  

1

month  

12

months  

WAVG First Rate Adjustment Frequency                             

120

months  

120

months  

120

months  

 

      

WAVG Prepay Origination Term                                      

31

months  

6

months  

60

months  

WAVG Prepay Remaining Term                                       

30

months  

5

months  

60

months  

 

      

WAVG IO Origination Term                                          

120

months  

60

months  

120

months  

WAVG IO Remaining Term                                           

118

months  

57

months  

120

months  

 

      

Top State Concentrations ($)                    

 38.40 %  California,  8.12 %  New York,  5.22 %  Colorado

 

Maximum Zip Code Concentration ($)             

   0.71 %  92037

     

 

      

Note Date                                      

  

 Jan. 04, 2002

  Dec. 29, 2005

First Pay Date                                 

  

 Mar. 01, 2002

  Feb. 01, 2006

Rate Change Date                                  

  

 Feb. 01, 2015

  Jan. 01, 2016

Maturity Date                                    

  

 Nov. 01, 2025

  Jan. 01, 2036









   

% of Aggregate

  

Principal Balance

Principal Balance

 

Number of

Outstanding as of

Outstanding as of

Current Balance ($)                            

Mortgage Loans

the Cut-off Date

the Cut-off Date

    51,700  -   100,000                     

13

$1,121,014.18

 0.09%

   100,001  -   200,000                     

89

14,424,411.81

1.15

   200,001  -   300,000                     

123

31,543,674.82

2.52

   300,001  -   400,000                     

154

55,126,920.50

4.40

   400,001  -   500,000                     

475

215,654,028.63

17.23<