-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, JnUgRUtgaUlwaWIByRBIsKpVuO/AZYIyS0aCFzwCvFE4vL06ai1Whq2UoU2UHi15 Nt5bARRSWqfy1TKYntqLmw== 0001125282-05-006095.txt : 20051121 0001125282-05-006095.hdr.sgml : 20051121 20051121094233 ACCESSION NUMBER: 0001125282-05-006095 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20051116 ITEM INFORMATION: Other Events ITEM INFORMATION: Financial Statements and Exhibits FILED AS OF DATE: 20051121 DATE AS OF CHANGE: 20051121 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FINANCIAL ASSET SECURITIES CORP CENTRAL INDEX KEY: 0001003197 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] IRS NUMBER: 061442101 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 333-99463 FILM NUMBER: 051216750 BUSINESS ADDRESS: STREET 1: 600 STEAMBOAT ROAD CITY: GREENWICH STATE: CT ZIP: 92618 BUSINESS PHONE: 2036252700 MAIL ADDRESS: STREET 1: 600 STEAMBOAT RD CITY: GREENWICH STATE: CT ZIP: 92618 8-K 1 b409942_8k.txt CURRENT REPORT - ------------------------------------------------------------------------------- SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 8-K CURRENT REPORT Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 Date of Report (Date of earliest event reported) November 16, 2005 Financial Asset Securities Corp. -------------------------------- (Exact name of registrant as specified in its charter) ------------------------------------------------------------------------------ DELAWARE 333-127352-01 06-1442101 ---------- (State or Other Jurisdiction (Commission (I.R.S. Employer of Incorporation) File Number) Identification No.) 600 Steamboat Road Greenwich, Connecticut 06830 ---------------------- ---------- (Address of Principal (Zip Code) Executive Offices) Registrant's telephone number, including area code: (203) 625-2700 -------------- - ------------------------------------------------------------------------------- Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions (see General Instruction A.2. below): [ ] Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) [ ] Soliciting material pursuant to Rule 14a-12(b) under the Exchange Act (17 CFR 240.14a-12(b)) [ ] Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) [ ] Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)) 2 Item 8.01 Other Events Description of the Certificates and the Mortgage Pool Financial Asset Securities Corp. (the "Registrant") plans a series of certificates, entitled Home Loan Mortgage Loan Trust 2005-1, Asset-Backed Certificates, Series 2005-1 (the "Certificates"), to be issued pursuant to a pooling and servicing agreement, dated as of November 1, 2005, among the Registrant as depositor, Ocean Bank, F.S.B., as servicer and Deutsche Bank National Trust Company as trustee. The Certificates to be designated as the Series 2005-1 Certificates will represent in the aggregate the entire beneficial ownership interest in a trust fund (the "Trust Fund") consisting primarily of a pool (the "Mortgage Pool") of conventional, one- to four-family, second lien adjustable-rate and fixed-rate residential mortgage loans having original terms to maturity up to 30 years (the "Mortgage Loans"). Computational Materials Greenwich Capital Markets, Inc. (the "Underwriter") has advised the Registrant that it has furnished to certain prospective purchasers of Certificates certain materials, herein referred to as "Computational Materials", in written form, which Computational Materials are in the nature of data tables and term sheet information relating to the Mortgage Loans or other assets of the Trust Fund, the structure of the Certificates and terms of certain classes of Certificates, and the hypothetical characteristics and hypothetical performance of certain classes of Certificates under certain assumptions and scenarios. The Computational Materials have been provided by the Underwriter. The Computational Materials were prepared by the Underwriter at the request of certain prospective investors. The Computational Materials may be based on information that differs from the information set forth in the Prospectus Supplement. 3 Item 9.01 Financial Statements and Exhibits (a) Not applicable (b) Not applicable (c) Exhibits Exhibit No. Description - ----------- ----------- 99.1 Computational Materials (as defined in Item 5) that have been provided by Greenwich Capital Markets, Inc. to certain prospective purchasers of Home Loan Mortgage Loan Trust 2005-1, Asset-Backed Certificates, Series 2005-1. 4 SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized. Dated: November 21, 2005 FINANCIAL ASSET SECURITIES CORP. By: /s/ Frank Skibo --------------------------------- Name: Frank Skibo Title: Managing Director 5 Index to Exhibits -----------------
Sequentially Exhibit No. Description Numbered Page - ----------- ----------- ------------- 99.1 Computational Materials (as defined in Item 5) that have been P provided by Greenwich Capital Markets, Inc. to certain prospective purchasers of Home Loan Mortgage Loan Trust 2005-1, Asset-Backed Certificates, Series 2005-1.
6 EX-99.1 2 b409942_ex99-1.txt COMPUTATIONAL MATERIAL Exhibit 99.1 HOME LOAN MORTGAGE LOAN TRUST 2005-1 ASSET-BACKED CERTIFICATES, SERIES 2005-1 MARKETING MATERIALS $170,000,000 (APPROXIMATE) OFFERED CERTIFICATES [AMBAC LOGO] Certificate Insurer FINANCIAL ASSET SECURITIES CORP. Depositor OCEAN BANK, F.S.B. Originator and Servicer [RBS GREENWICH CAPITAL LOGO] Underwriter FOR ADDITIONAL INFORMATION PLEASE CALL - ------------------------------------------------------------------------------- RBS Greenwich Capital - ------------------------------------------------------------------------------- ASSET BACKED FINANCE Vinu Phillips (203) 618-5626 Greg McSweeney (203) 618-2429 TRADING Ron Weibye (203) 625-6160 Peter McMullin (203) 625-6160 - ------------------------------------------------------------------------------- - ------------------------------------------------------------------------------- Rating Agency Contacts - ------------------------------------------------------------------------------- STANDARD & POOR'S Keith Smith (212) 438-1643 MOODY'S Carlos Maymi (212) 553-4635 - ------------------------------------------------------------------------------- [RBS Greenwich Capital Logo] 2 The information contained herein is furnished to you solely by Greenwich Capital Markets, Inc. (the "Underwriter") (and not by the issuer of the securities or any of its affiliates) to assist you in making a preliminary analysis of the securities referenced herein. This information is not an offer to sell securities or a solicitation of an offer to buy securities in any state where such offer or sale is prohibited. The Underwriter is acting in its capacity as underwriter and not as agent for the issuer of its affiliates in connection with the proposed transaction. The information contained herein is preliminary and subject to completion and change, and supersedes all information relating to the subject securities that has been made available to you previously. You are urged to read the related final base prospectus and prospectus supplement and other relevant documents filed or to be filed with the Securities and Exchange Commission because they contain important information affecting the subject securities that is not contained herein. You are urged to conduct such investigation as you deem necessary and consult your own legal, tax, financial and accounting advisors in order to make an independent determination of the suitability, risks and consequences of an investment in such securities. Certain of the information contained herein may be based upon numerous assumptions (which assumptions may not be specifically identified in the information), and changed in such assumptions may dramatically affect information such as the weighted average lives, yields, principal payment periods, etc. The Underwriter does not make any representation regarding the likelihood that any of such assumptions will coincide with actual market conditions or events. The information should not be construed as either projections or predictions or as legal, tax, financial or accounting advice. The Underwriter and its affiliates may, from time to time, have long or short positions in, and buy and sell, the securities mentioned herein or similar securities, and perform investment banking services for any company mentioned herein. [RBS Greenwich Capital Logo] 3 PRELIMINARY TERM SHEET DATE PREPARED: NOVEMBER 15, 2005 $170,000,000 (APPROXIMATE) HOME LOAN MORTGAGE LOAN TRUST 2005-1 ASSET-BACKED CERTIFICATES, SERIES 2005-1 [AMBAC LOGO] Certificate Insurer
- ----------------------------------------------------------------------------------------------------------------------------------- PRINCIPAL WAL (YEARS) PYMT WINDOW EXPECTED RATING ASSUMED FINAL CERTIFICATE CLASS(1,3,4) AMOUNT ($) CALL/MAT (2) (MTHS) CALL/MAT(2) (MOODY'S/S&P) DISTRIBUTION DATE TYPE - -------------- ----------- ------------ ------------------ --------------- ----------------- ------------ A-1 $92,500,000 1.00 / 1.00 1-27 / 1-27 Aaa/AAA April 2036 Floating Rate Senior A-2 $35,250,000 3.00 / 3.00 27-48 / 27-48 Aaa/AAA April 2036 Floating Rate Senior A-3 $42,250,000 5.60 / 6.72 48-78 / 48-363 Aaa/AAA April 2036 Floating Rate Senior - ----------------------------------------------------------------------------------------------------------------------------------- TOTAL: $170,000,000 - -----------------------------------------------------------------------------------------------------------------------------------
(1) The Class A Certificates are backed primarily by the cash flow from the Mortgage Loans (as defined herein). The certificate principal balance of each Class of Offered Certificates (as defined herein) is subject to a 10% variance. (2) See "Pricing Prepayment Speed" herein. (3) The Class A Certificates are priced to call. The margin on the Class A Certificates doubles after the optional redemption date. (4) See "Available Funds Cap Rate" herein. Depositor: Financial Asset Securities Corp. Originator and Servicer: Ocean Bank, F.S.B.(formerly known as Home Loan and Investment Bank, F.S.B.) Underwriter: Greenwich Capital Markets, Inc. ("RBS GREENWICH CAPITAL") Trustee: Deutsche Bank National Trust Company. Certificate Insurer: Ambac Assurance Corporation. Offered Certificates: The Class A-1, Class A-2 and Class A-3 Certificates (the "OFFERED CERTIFICATES" and collectively the "CLASS A CERTIFICATES"). Federal Tax Status: It is anticipated that the Offered Certificates generally will represent ownership of REMIC regular interests for tax purposes. Registration: The Offered Certificates will be available in book-entry form through DTC and only upon request through Clearstream, Luxembourg and the Euroclear System. Cut-off Date: For each Mortgage Loan in the mortgage pool on the Closing Date, the later of (i) the origination date of the Mortgage Loan or (ii) October 31, 2005. For each Mortgage Loan subsequently acquired by the trust with funds from the Pre-Funding Account, the later of the (i) origination date of the Mortgage Loan or (ii) the last day of the month preceding the month in which such Mortgage Loan is acquired. Expected Pricing Date: On or about November [15], 2005. Expected Closing Date: On or about November 29, 2005.
4 [RBS Greenwich Capital Logo] Expected Settlement Date: On or about November 29, 2005. Distribution Date: The 15th day of each month (or if not a business day, the next succeeding business day) commencing in December 2005. Accrued Interest: The price to be paid by investors for the Offered Certificates will not include accrued interest (settling flat). Interest Accrual Period: The interest accrual period for each Distribution Date with respect to the Offered Certificates will be the period beginning with the previous Distribution Date (or, in the case of the first Distribution Date, the Closing Date) and ending on the day prior to such Distribution Date (on an actual/360 basis). ERISA Eligibility: The Offered Certificates are expected to be ERISA eligible. SMMEA Eligibility: The Offered Certificates are not expected to constitute "mortgage related securities" for purposes of SMMEA. Servicing Fee: Approximately 0.50% of the aggregate principal balance of the Mortgage Loans. Trustee Fee: Approximately 0.012% per annum on the aggregate principal balance of the Mortgage Loans and any funds on deposit in the Pre-Funding Account. Optional Redemption: The terms of the transaction allow for a clean-up call of the Mortgage Loans (the "CLEAN-UP CALL"), which may be exercised once the aggregate principal balance of the Mortgage Loans is less than or equal to 10% of the sum of (i) the Closing Date Mortgage Loans as of the Cut-off Date and (ii) the amounts on deposit in the Pre-Funding Account on the Closing Date. Pricing Prepayment Speed: The Offered Certificates will be priced based on the following collateral prepayment assumptions: FRM Loans: 23% CPR ARM Loans: 30% CPR Initial Mortgage Loans: As of the Cut-off Date, the aggregate principal balance of the Initial Mortgage Loans was approximately $112,016,063 consisting primarily of first and second lien, fixed rate and adjustable rate mortgage loans (the "INITIAL MORTGAGE LOANS"). See the attached collateral descriptions for additional information on the Initial Mortgage Loans. Additional Mortgage Loans: On or prior to the Closing Date, approximately $17,983,937 of additional mortgage loans having similar characteristics to the Initial Mortgage Loans will be delivered to the trust (the "ADDITIONAL MORTGAGE LOANS", together with the Initial Mortgage Loans, the "CLOSING DATE MORTGAGE LOANS"). Pre-Funding Account: An account (the "PRE-FUNDING ACCOUNT") will be established on the Closing Date into which approximately $40,000,000 will be deposited (the "PRE-FUNDED AMOUNT"), and will be used to purchase subsequent fixed-rate and adjustable-rate mortgage loans (the "SUBSEQUENT MORTGAGE LOANS"). On or prior to February 24, 2006 (the "PRE-FUNDING PERIOD"), the amounts on deposit in the Pre-Funding Account will be used to purchase Subsequent Mortgage Loans having similar characteristics to the Initial Mortgage Loans (with any unused portion of such deposit amount to be paid as principal to the Offered Certificates on the Distribution Date immediately following such date).
5 [RBS Greenwich Capital Logo] Preemption Loans: Following the sale of the subsequent mortgage loans to the trust, up to approximately 10.5% of the mortgage loans in the mortgage pool, by cut-off date principal balance, will be high cost loans under various state and local laws and regulations (the "High Cost Loans"), the majority of which will be subject to the New Jersey Home Ownership and Equity Protection Act of 2002 (the "New Jersey Act"). Because the originator is a federally chartered thrift, it is not subject to the New Jersey Act or such other state and local laws and regulations by virtue of federal preemption. The High Cost Loans will be sold, however, to the depositor, an entity that is neither a federal thrift nor a national bank and is an entity which may not invoke federal preemption to avoid compliance with the New Jersey Act or such other state and local laws and regulations. The depositor will then assign these loans to the trustee which is a national bank and is exempt from the New Jersey Act and such other state and local laws and regulations. The availability of a preemption defense by the trust on behalf of the certificateholders with respect to these loans is not free from doubt. Certificate Interest Rate: The "CERTIFICATE INTEREST RATE" on the Class A Certificates will be equal to the lesser of (i) the Formula Rate and (ii) the Available Funds Cap Rate. Formula Rate: The "FORMULA RATE" on the Class A Certificates will be the per annum rate equal to the lesser of (i) One Month LIBOR plus the related margin for such Class and (ii) 14%. Available Funds Cap Rate: The "AVAILABLE FUNDS CAP RATE" for any Distribution Date is a per annum rate equal to the product of (a) a fraction, expressed as a percentage, the numerator of which is (i) the amount of interest which accrued on the Mortgage Loans in the prior calendar month minus (ii) the sum of the Servicing Fee, the Trustee Fee and the Certificate Insurer premium for such Distribution Date and the denominator of which is the sum of (i) the aggregate Principal Balance of the Mortgage Loans as of the last day of the immediately preceding Due Period (or as of the Cut-off Date with respect to the first Distribution Date) and (ii) any amounts on deposit in the Pre-Funding Account and (b) a fraction whose numerator is 360 and whose denominator is the actual number of days in the related Accrual Period. Available Funds Cap Rate Carryover Amount: If on any Distribution Date the Certificate Interest Rate for the Class A Certificates is limited by the Available Funds Cap Rate, the "AVAILABLE FUNDS CAP RATE CARRYOVER AMOUNT" for the Class A Certificates is equal to the sum of (i) the excess of (a) the amount of interest that would have accrued on the Class A Certificates based on the Formula Rate over (b) the amount of interest actually accrued on the Class A Certificates based on the Available Funds Cap Rate and (ii) the unpaid portion of the Available Funds Cap Rate Carryover Amount from the prior Distribution Date together with accrued interest at the Formula Rate. Any Available Funds Cap Rate Carryover Amount will be paid on such Distribution Date or future Distribution Dates to the extent of funds available.
6 [RBS Greenwich Capital Logo] Credit Enhancement: Consists of the following: 1) Excess Cashflow; 2) The Spread Account; and, 3) Certificate Insurance Policy. Certificate Insurance Policy: The Certificate Insurer will issue a "CERTIFICATE INSURANCE POLICY" (or the "POLICY") with respect to the Class A Certificates which will guarantee timely payment of interest and ultimate payment of principal to the Class A Certificateholders. The Policy will not cover net prepayment interest shortfalls or relief act shortfalls. Excess Cashflow: The "EXCESS CASHFLOW" for any Distribution Date will be equal to the available funds remaining after priorities 1) thru 5) under "Priority of Payments." Spread Account: The "SPREAD ACCOUNT" will be established for the benefit of the Certificate Insurer and the Certificateholders. Excess Cashflow will be deposited in the Spread Account until the Base Spread Account Requirement is reached. The Trustee will withdraw amounts on deposit in the Spread Account, prior to making any draws on the Policy, to pay any unpaid principal or interest on the Class A Certificates. On the Closing Date the amount on deposit in the Spread Account will be 0.50% of the aggregate principal balance of the Closing Date Mortgage Loans as of the Cut-off Date and the Pre-Funded Amount on the Closing Date.
7 [RBS Greenwich Capital Logo] Base Spread Account Requirement: The "BASE SPREAD ACCOUNT REQUIREMENT" will be an amount equal to (a) with respect to any Distribution Date occurring during the period commencing after the Closing Date and ending on the later of (i) the Distribution Date occurring in November 2007 and (ii) the Distribution Date upon which the certificate principal balance of the Class A Certificates is less than or equal to 50% of the sum of the aggregate principal balance of the Closing Date Mortgage Loans as of the Cut-off Date and the Pre-Funded Amount on the Closing Date, 3.10% of the sum of the aggregate principal balance of the Closing Date Mortgage Loans as of the Cut-off Date and the Pre-Funded Amount on the Closing Date, and (b) with respect to each Distribution Date thereafter, the greater of (A) 6.20% of the aggregate principal balance of the Mortgage Loans for the related Distribution Date, (B) the greater of (1) 0.50% of the sum of the aggregate principal balance of the Closing Date Mortgage Loans as of the Cut-off Date and the Pre-Funded Amount on the Closing Date and (2) the sum of the principal balances of the three largest outstanding Mortgage Loans, and (C) an amount based on the delinquency and loss performance of the Mortgage Loans as further described in the pooling and servicing agreement. The Base Spread Account Requirement will not exceed the aggregate principal balance of the Mortgage Loans on any Distribution Date. Realized Losses: If a Mortgage Loan becomes a liquidated loan, the net liquidation proceeds relating thereto may be less than the principal balance on such Mortgage Loan. The amount of such insufficiency is a "REALIZED LOSS." Realized Losses on the Mortgage Loans (to the extent such amount is not covered by available funds) will first be absorbed by the Spread Account. Following the reduction of the Spread Account to zero, any additional Realized Losses will be covered by the Certificate Insurer. Priority of Payments: Available funds from the Mortgage Loans will be paid as follows: 1) To the Servicer, the Servicing Fee and to the Trustee, the Trustee Fee. 2) To the holders of the Class A-1, Class A-2 and Class A-3 Certificates, on a pro-rata basis, monthly interest plus any previously unpaid interest. 3) To the holders of the Class A-1, Class A-2 and Class A-3 Certificates, monthly principal paid sequentially in that order until each respective certificate balance is reduced to zero. 4) To the Certificate Insurer an amount equal to the sum of (i) the related monthly premium for the Policy, (ii) unreimbursed insured amounts paid on the Policy and (iii) any other amounts owed under the insurance agreement. 5) To the Servicer certain reimbursable expenses and unreimbursed nonrecoverable advances. 6) To the Spread Account, any remaining amount until the Base Spread Account Requirement is reached. 7) To the holders of the Class A Certificates, the Available Funds Cap Rate Carryover Amount, after taking into account any payments from the Yield Maintenance Agreement. 8) Any remaining amounts to the holder of the residual certificates.
8 [RBS Greenwich Capital Logo] Yield Maintenance Agreement: On the Closing Date, the Trustee will enter into a "YIELD MAINTENANCE AGREEMENT" with a counterparty ("the COUNTERPARTY") for the benefit of the Offered Certificates. The Counterparty will be obligated to make monthly payments to the Trustee when one-month LIBOR exceeds the strike rate. Such payments to the Offered Certificates will be capped at their maximum amount when one-month LIBOR equals or exceeds 10.50%. The notional balance of the Yield Maintenance Agreement on any Distribution Date will be subject to a maximum equal to the aggregate principal balance of the Class A Certificates immediately prior to such Distribution Date. The Yield Maintenance Agreement will terminate after the Distribution Date in January 2009. Any payments received from the Yield Maintenance Agreement will be paid to the Offered Certificates to the extent of any Available Funds Cap Rate Carryover Amount.
- --------------------------------------------------------------------------------------- YIELD MAINTENANCE AGREEMENT SCHEDULE - --------------------------------------------------------------------------------------- PERIOD NOTIONAL ($) STRIKE (%) PERIOD NOTIONAL ($) STRIKE (%) - ---------- -------------------- ------------ --------- ------------------ ------------- 1 170,000,000.00 8.70060 21 94,933,785.00 7.86615 2 166,688,509.00 6.06224 22 92,136,677.00 8.07629 3 162,353,255.00 6.03927 23 89,424,262.00 8.35301 4 158,145,752.00 7.65568 24 86,791,602.00 8.08237 5 153,471,798.00 6.91457 25 84,236,167.00 8.38721 6 148,935,575.00 7.14482 26 81,756,451.00 8.56306 7 144,533,029.00 6.91411 27 79,354,918.00 8.92229 8 140,260,228.00 7.14434 28 77,026,572.00 9.88482 9 136,113,354.00 6.91364 29 74,769,657.00 9.24850 10 132,088,702.00 6.91340 30 72,578,693.00 9.55440 11 128,182,675.00 7.14360 31 70,451,691.00 9.30202 12 124,391,782.00 6.91292 32 68,387,612.00 9.84487 13 120,712,636.00 7.14655 33 66,385,771.00 9.88693 14 117,142,017.00 6.91577 34 64,444,444.00 10.08699 15 113,676,661.00 6.91552 35 62,561,056.00 10.42997 16 110,313,469.00 7.65619 36 60,732,608.00 10.09039 17 107,049,434.00 6.91501 37 58,957,389.00 10.46845 18 103,881,639.00 7.14525 38 57,234,388.00 10.36537 19 100,807,250.00 6.99306 20 97,825,685.00 7.31860 - ---------- -------------------- ------------ --------- ------------------ -------------
9 [RBS Greenwich Capital Logo] AVAILABLE FUNDS CAP RATE FOR THE CERTIFICATES
- ------------------------------------------------------------------------------------------------------------- DISTRIBUTION NET WAC EFFECTIVE NET DISTRIBUTION NET WAC EFFECTIVE NET PERIOD DATE RATE(1,2) WAC RATE(2)(3) PERIOD DATE RATE((1,2) WAC RATE(2)(3) - ------------------------------------------------------------------------------------------------------------- 1 12/15/2005 8.70 8.70 42 5/15/2009 11.29 11.29 2 1/15/2006 6.06 10.50 43 6/15/2009 10.96 10.96 3 2/15/2006 6.04 10.50 44 7/15/2009 11.56 11.56 4 3/15/2006 7.66 10.50 45 8/15/2009 11.54 11.54 5 4/15/2006 6.91 10.50 46 9/15/2009 11.74 11.74 6 5/15/2006 7.14 10.50 47 10/15/2009 12.13 12.13 7 6/15/2006 6.91 10.50 48 11/15/2009 11.74 11.74 8 7/15/2006 7.14 10.50 49 12/15/2009 12.14 12.14 9 8/15/2006 6.91 10.50 50 1/15/2010 11.94 11.94 10 9/15/2006 6.91 10.50 51 2/15/2010 12.00 12.00 11 10/15/2006 7.14 10.50 52 3/15/2010 13.41 13.41 12 11/15/2006 6.91 10.50 53 4/15/2010 12.11 12.11 13 12/15/2006 7.15 10.50 54 5/15/2010 12.50 12.50 14 1/15/2007 6.92 10.50 55 6/15/2010 12.10 12.10 15 2/15/2007 6.92 10.50 56 7/15/2010 12.54 12.54 16 3/15/2007 7.66 10.50 57 8/15/2010 12.13 12.13 17 4/15/2007 6.92 10.50 58 9/15/2010 12.14 12.14 18 5/15/2007 7.15 10.50 59 10/15/2010 12.55 12.55 19 6/15/2007 6.99 10.50 60 11/15/2010 12.14 12.14 20 7/15/2007 7.32 10.50 61 12/15/2010 12.54 12.54 21 8/15/2007 7.87 10.50 62 1/15/2011 12.13 12.13 22 9/15/2007 8.08 10.50 63 2/15/2011 12.13 12.13 23 10/15/2007 8.35 10.50 64 3/15/2011 13.42 13.42 24 11/15/2007 8.08 10.50 65 4/15/2011 12.12 12.12 25 12/15/2007 8.39 10.50 66 5/15/2011 12.52 12.52 26 1/15/2008 8.56 10.50 67 6/15/2011 12.11 12.11 27 2/15/2008 8.92 10.50 68 7/15/2011 12.51 12.51 28 3/15/2008 9.88 10.50 69 8/15/2011 12.10 12.10 29 4/15/2008 9.25 10.50 70 9/15/2011 12.09 12.09 30 5/15/2008 9.55 10.50 71 10/15/2011 12.49 12.49 31 6/15/2008 9.30 10.50 72 11/15/2011 12.08 12.08 32 7/15/2008 9.84 10.50 73 12/15/2011 12.48 12.48 33 8/15/2008 9.89 10.50 74 1/15/2012 12.07 12.07 34 9/15/2008 10.09 10.50 75 2/15/2012 12.06 12.06 35 10/15/2008 10.43 10.50 76 3/15/2012 12.89 12.89 36 11/15/2008 10.09 10.50 77 4/15/2012 12.05 12.05 37 12/15/2008 10.47 10.50 78 5/15/2012 12.45 12.45 38 1/15/2009 10.37 10.50 39 2/15/2009 10.72 10.72 40 3/15/2009 12.10 12.10 41 4/15/2009 10.93 10.93 - -------------------------------------------------------------------------------------------------------------
(1) Assumes 1-month LIBOR remains constant at 4.115% and is run at the pricing prepayment speed to call. (2) Assumes 6-month LIBOR equals 20% and is run at the pricing prepayment speed to call. (3) Assumes 1-month LIBOR equals 20% and payments are received from the Yield Maintenance Agreement. 10 [RBS Greenwich Capital Logo] WEIGHTED AVERAGE LIFE TABLES
CLASS A-1 TO CALL - -------------------------------------------------------------------------------------------- ARM PREPAY SPEED 20 CPR 25 CPR 30 CPR 35 CPR 40 CPR FRM PREPAY SPEED 15 CPR 20 CPR 23 CPR 28 CPR 32 CPR ============================================================================================ WAL (YR) 1.54 1.21 1.00 0.84 0.72 MDUR (YR) 1.44 1.15 0.95 0.80 0.69 FIRST PRIN PAY 1 1 1 1 1 LAST PRIN PAY 42 33 27 23 20 - -------------------------------------------------------------------------------------------- CLASS A-1 TO MATURITY - -------------------------------------------------------------------------------------------- ARM PREPAY SPEED 20 CPR 25 CPR 30 CPR 35 CPR 40 CPR FRM PREPAY SPEED 15 CPR 20 CPR 23 CPR 28 CPR 32 CPR ============================================================================================ WAL (YR) 1.54 1.21 1.00 0.84 0.72 MDUR (YR) 1.44 1.15 0.95 0.80 0.69 FIRST PRIN PAY 1 1 1 1 1 LAST PRIN PAY 42 33 27 23 20 - -------------------------------------------------------------------------------------------- CLASS A-2 TO CALL - -------------------------------------------------------------------------------------------- ARM PREPAY SPEED 20 CPR 25 CPR 30 CPR 35 CPR 40 CPR FRM PREPAY SPEED 15 CPR 20 CPR 23 CPR 28 CPR 32 CPR ============================================================================================ WAL (YR) 4.66 3.66 3.00 2.50 2.13 MDUR (YR) 4.12 3.30 2.75 2.31 1.99 FIRST PRIN PAY 42 33 27 23 20 LAST PRIN PAY 74 58 48 40 34 - -------------------------------------------------------------------------------------------- CLASS A-2 TO MATURITY - -------------------------------------------------------------------------------------------- ARM PREPAY SPEED 20 CPR 25 CPR 30 CPR 35 CPR 40 CPR FRM PREPAY SPEED 15 CPR 20 CPR 23 CPR 28 CPR 32 CPR ============================================================================================ WAL (YR) 4.66 3.66 3.00 2.50 2.13 MDUR (YR) 4.12 3.30 2.75 2.31 1.99 FIRST PRIN PAY 42 33 27 23 20 LAST PRIN PAY 74 58 48 40 34 - --------------------------------------------------------------------------------------------
11 [RBS Greenwich Capital Logo] WEIGHTED AVERAGE LIFE TABLES
CLASS A-3 TO CALL - -------------------------------------------------------------------------------------------- ARM PREPAY SPEED 20 CPR 25 CPR 30 CPR 35 CPR 40 CPR FRM PREPAY SPEED 15 CPR 20 CPR 23 CPR 28 CPR 32 CPR ============================================================================================ WAL (YR) 8.65 6.82 5.60 4.66 3.95 MDUR (YR) 6.98 5.73 4.83 4.10 3.53 FIRST PRIN PAY 74 58 48 40 34 LAST PRIN PAY 120 95 78 65 55 - -------------------------------------------------------------------------------------------- CLASS A-3 TO MATURITY - -------------------------------------------------------------------------------------------- ARM PREPAY SPEED 20 CPR 25 CPR 30 CPR 35 CPR 40 CPR FRM PREPAY SPEED 15 CPR 20 CPR 23 CPR 28 CPR 32 CPR ============================================================================================ WAL (YR) 10.26 8.13 6.72 5.60 4.76 MDUR (YR) 7.84 6.52 5.56 4.76 4.13 FIRST PRIN PAY 74 58 48 40 34 LAST PRIN PAY 363 363 363 363 363 - --------------------------------------------------------------------------------------------
12 [RBS Greenwich Capital Logo] EXCESS SPREAD (1,2)
- ------------- ------------ ------------- ----------- ------------ ------------- ------------ ------------ ----------- -------------- FWD 1 FWD 1 FWD 6 MONTH FWD 6 MONTH STATIC FORWARD MONTH MONTH STATIC FORWARD PERIOD LIBOR % LIBOR % LIBOR (%) LIBOR (%) PERIOD LIBOR % LIBOR % LIBOR (%) LIBOR (%) - ------------- ------------ ------------- ----------- ------------ ------------- ------------ ------------ ----------- -------------- 1 4.115 4.538 2.33 2.33 42 4.915 4.979 5.52 5.09 2 4.410 4.666 1.79 1.49 43 4.919 4.985 5.37 4.90 3 4.425 4.745 1.77 1.45 44 4.924 4.991 5.51 5.08 4 4.541 4.823 3.10 2.71 45 4.929 4.997 5.36 4.90 5 4.674 4.885 2.67 2.09 46 4.935 5.004 5.35 4.90 6 4.808 4.925 2.81 2.12 47 4.941 5.011 5.50 5.07 7 4.869 4.938 2.66 1.88 48 4.949 5.018 5.34 4.87 8 4.872 4.940 2.80 2.04 49 4.956 5.024 5.49 5.04 9 4.885 4.942 2.65 1.86 50 4.963 5.030 5.33 4.86 10 4.901 4.939 2.65 1.84 51 4.969 5.036 5.33 4.87 11 4.910 4.931 2.79 2.00 52 4.975 5.041 5.78 5.40 12 4.887 4.921 2.64 1.84 53 4.981 5.046 5.32 4.86 13 4.881 4.911 2.79 2.02 54 4.986 5.050 5.47 5.03 14 4.883 4.903 2.64 1.84 55 4.991 5.054 5.32 4.84 15 4.865 4.896 2.63 1.86 56 4.996 5.058 5.46 5.02 16 4.856 4.894 3.06 2.37 57 5.000 5.061 5.31 4.84 17 4.850 4.888 2.62 1.86 58 5.003 5.065 5.31 4.84 18 4.832 4.859 2.76 2.05 59 5.006 5.069 5.45 5.01 19 4.830 4.829 2.69 1.96 60 5.009 5.074 5.30 4.83 20 4.845 4.826 2.93 2.20 61 5.012 5.078 5.45 5.00 21 4.851 4.823 3.59 2.83 62 5.017 5.083 5.30 4.82 22 4.820 4.822 3.80 3.07 63 5.022 5.088 5.29 4.82 23 4.681 4.827 3.95 3.38 64 5.027 5.093 5.74 5.35 24 4.655 4.858 3.80 3.24 65 5.032 5.098 5.28 4.81 25 4.815 4.895 3.97 3.27 66 5.037 5.103 5.43 4.98 26 4.828 4.907 4.28 3.54 67 5.042 5.108 5.28 4.79 27 4.840 4.917 4.64 3.90 68 5.046 5.112 5.42 4.97 28 4.853 4.927 5.27 4.56 69 5.051 5.117 5.27 4.79 29 4.864 4.935 4.97 4.20 70 5.056 5.121 5.27 4.78 30 4.874 4.941 5.12 4.36 71 5.060 5.126 5.41 4.96 31 4.883 4.945 4.99 4.21 72 5.065 5.130 5.26 4.77 32 4.890 4.948 5.33 4.59 73 5.069 5.134 5.41 4.94 33 4.895 4.950 5.23 4.61 74 5.073 5.138 5.25 4.76 34 4.899 4.952 5.34 4.76 75 5.077 5.142 5.25 4.76 35 4.900 4.953 5.49 4.94 76 5.081 5.146 5.54 5.12 36 4.899 4.955 5.34 4.76 77 5.085 5.150 5.24 4.75 37 4.899 4.958 5.49 4.94 78 5.089 5.154 5.39 4.92 38 4.902 4.961 5.37 4.87 39 4.905 4.965 5.37 4.87 40 4.908 4.969 5.83 5.45 41 4.911 4.974 5.38 4.92 - ------------- ------------ ------------- ----------- ------------ ------------- ------------ ------------ ----------- --------------
(1) Assumes the pricing prepayment speed to call. (2) Calculated as (a) interest collections on the Mortgage Loans (net of the Servicing Fee, Trustee Fee and the Certificate Insurer premium), less aggregate interest on the Certificates divided by (b) aggregate principal balance of the Mortgage Loans and the Pre-Funded Amount as of the beginning of the period. 13 [RBS Greenwich Capital Logo] INITIAL MORTGAGE LOAN STATISTICS AS OF THE CUT-OFF DATE
MINIMUM MAXIMUM ------- ------- Scheduled Principal Balance $112,016,063 $9,579 $643,154 Average Scheduled Principal Balance $69,532 Number of Mortgage Loans 1,611 Weighted Average Gross Coupon 7.858% 5.100% 12.950% Weighted Average FICO Score* 608 458 810 Weighted Average Combined Original LTV 69.47% 5.79% 90.00% Weighted Average Original Term 334 months 60 months 360 months Weighted Average Stated Remaining Term 330 months 46 months 360 months Weighted Average Seasoning 4 months 0 months 23 months Weighted Average Gross Margin 6.633% 3.900% 11.050% Weighted Average Minimum Interest Rate 7.887% 5.150% 12.300% Weighted Average Maximum Interest Rate 14.233% 11.150% 19.660% Weighted Average Initial Rate Cap 2.176% 2.000% 3.000% Weighted Average Subsequent Rate Cap 1.000% 1.000% 1.000% Weighted Average Months to Roll 20 months 1 months 35 months Maturity Date Aug 26 2009 Nov 1 2035 Maximum Zip Code Concentration 0.79% 02886 ARM 90.10% 2-4 Units 10.69% Fixed Rate 9.90% Condominium 3.45% PUD Attached 1.94% 2/28 6 MO LIBOR 87.67% PUD Detached 5.64% 3/27 6 MO LIBOR 2.43% Single Family Attached 5.20% Fixed Rate 9.90% Single Family Detached 73.06% Townhouse 0.01% Not Interest Only 100.00% Non-owner Occupied 3.94% Prepay Penalty: 0 months 21.68% Owner Occupied 96.06% Prepay Penalty: 36 months 78.32% Top 5 States: First Lien 72.17% New Jersey 17.75% Second Lien 27.83% New York 12.41% Rhode Island 10.30% Full Documentation 100.00% Pennsylvania 7.23% Florida 6.25% Cash Out Refinance 99.09% Purchase 0.91%
*Loans with seasoning greater than 6 months are shown with updated FICO scores while all other loans are shown with FICO scores as of origination. 14 [RBS Greenwich Capital Logo]
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE CURRENT PRINCIPAL BALANCE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- 0.01 - 50,000.00 895 27,178,791.52 24.26% 8.511 291 64.03 603 50,000.01 - 100,000.00 408 28,180,427.02 25.16% 8.077 329 67.57 610 100,000.01 - 150,000.00 147 18,093,954.11 16.15% 7.662 342 70.51 612 150,000.01 - 200,000.00 76 13,357,229.47 11.92% 7.430 347 72.47 615 200,000.01 - 250,000.00 32 7,212,558.73 6.44% 7.089 355 72.03 614 250,000.01 - 300,000.00 23 6,340,297.07 5.66% 7.571 357 77.36 602 300,000.01 - 350,000.00 15 4,791,372.13 4.28% 7.498 357 76.78 595 350,000.01 - 400,000.00 5 1,847,451.29 1.65% 7.408 357 74.06 604 400,000.01 - 450,000.00 2 817,857.43 0.73% 6.873 357 74.45 608 450,000.01 - 500,000.00 4 1,916,301.04 1.71% 7.273 356 77.97 591 500,000.01 - 550,000.00 2 1,036,162.33 0.93% 6.625 355 65.80 659 600,000.01 - 650,000.00 2 1,243,660.79 1.11% 6.607 357 80.96 611 - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- TOTAL 1,611 112,016,062.93 100.00% 7.858 330 69.47 608
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE CURRENT GROSS RATE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- 5.000 - 5.499 6 445,771.55 0.40% 5.240 274 51.58 678 5.500 - 5.999 27 4,488,992.86 4.01% 5.777 338 67.43 674 6.000 - 6.499 34 3,921,034.27 3.50% 6.267 327 71.23 653 6.500 - 6.999 162 18,837,630.17 16.82% 6.793 335 70.87 643 7.000 - 7.499 198 15,812,230.49 14.12% 7.193 335 68.36 622 7.500 - 7.999 348 25,022,224.24 22.34% 7.691 333 70.11 602 8.000 - 8.499 264 15,640,600.95 13.96% 8.159 323 67.62 585 8.500 - 8.999 147 8,469,956.14 7.56% 8.665 330 72.48 582 9.000 - 9.499 108 4,616,530.67 4.12% 9.245 321 70.13 585 9.500 - 9.999 132 7,140,147.21 6.37% 9.668 326 67.91 571 10.000 - 10.499 60 2,969,774.21 2.65% 10.139 337 68.22 578 10.500 - 10.999 82 3,201,463.50 2.86% 10.606 313 71.16 572 11.000 - 11.499 24 862,675.45 0.77% 11.071 318 68.26 558 11.500 - 11.999 15 471,861.19 0.42% 11.590 317 64.50 558 12.000 - 12.499 2 88,241.18 0.08% 12.213 356 60.30 574 12.500 - 12.999 2 26,928.85 0.02% 12.746 232 69.78 631 - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- TOTAL 1,611 112,016,062.93 100.00% 7.858 330 69.47 608
15 [RBS Greenwich Capital Logo]
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE FICO* LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- 400-499 14 1,324,549.04 1.18% 9.223 346 70.28 479 500-524 28 1,982,652.59 1.77% 8.172 339 66.23 515 525-549 109 7,402,609.31 6.61% 9.179 339 63.90 539 550-574 309 19,529,771.58 17.43% 8.600 337 68.78 561 575-599 295 19,898,558.69 17.76% 8.129 332 70.59 588 600-624 303 20,633,898.96 18.42% 7.609 333 71.24 611 625-649 240 19,029,381.02 16.99% 7.342 328 71.94 636 650-674 150 10,450,183.72 9.33% 7.287 320 70.47 661 675-699 77 5,448,734.57 4.86% 6.965 313 65.96 684 700+ 69 5,275,470.79 4.71% 6.602 309 66.07 730 None 17 1,040,252.66 0.93% 8.146 352 51.78 0 - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- TOTAL 1,611 112,016,062.93 100.00% 7.858 330 69.47 608
*Loans with seasoning greater than 6 months are shown with updated FICO scores while all other loans are shown with FICO scores as of origination.
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE COMBINED ORIGINAL LTV LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- 0.01- 49.99 277 14,563,978.49 13.00% 7.718 307 37.72 610 50.00- 54.99 100 5,361,100.96 4.79% 7.991 325 52.31 607 55.00- 59.99 91 5,995,933.25 5.35% 7.660 326 57.53 616 60.00- 64.99 116 7,296,223.65 6.51% 8.202 323 62.41 596 65.00- 69.99 148 10,094,882.42 9.01% 7.941 334 67.31 602 70.00- 74.99 198 13,787,347.72 12.31% 7.904 332 72.35 606 75.00- 79.99 223 16,618,972.53 14.84% 7.752 331 77.09 612 80.00 132 9,808,173.70 8.76% 8.084 340 80.00 598 80.01- 84.99 139 10,609,575.29 9.47% 7.893 330 83.44 615 85.00- 89.99 183 17,279,223.20 15.43% 7.706 344 85.07 616 90.00- 94.99 4 600,651.72 0.54% 8.406 358 90.00 549 - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- TOTAL 1,611 112,016,062.93 100.00% 7.858 330 69.47 608
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE ORIGINAL TERM (MONTHS) LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- 60 11 298,411.67 0.27% 7.227 55 34.56 659 84 1 16,408.57 0.01% 7.500 80 62.02 641 120 71 2,254,322.75 2.01% 8.037 115 61.25 629 180 175 6,168,529.33 5.51% 7.926 175 62.37 619 240 239 9,359,947.50 8.36% 8.213 235 66.88 620 300 9 525,725.45 0.47% 7.663 292 70.31 634 360 1,105 93,392,717.66 83.37% 7.817 356 70.51 605 - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- TOTAL 1,611 112,016,062.93 100.00% 7.858 330 69.47 608
16 [RBS Greenwich Capital Logo]
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE STATED REMAINING TERM (MONTHS) LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- 1- 60 11 298,411.67 0.27% 7.227 55 34.56 659 61-120 72 2,270,731.32 2.03% 8.034 115 61.25 629 121-180 175 6,168,529.33 5.51% 7.926 175 62.37 619 181-240 239 9,359,947.50 8.36% 8.213 235 66.88 620 241-300 9 525,725.45 0.47% 7.663 292 70.31 634 301-360 1,105 93,392,717.66 83.37% 7.817 356 70.51 605 - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- TOTAL 1,611 112,016,062.93 100.00% 7.858 330 69.47 608
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE FRM/ARM LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- ARM 1,489 100,922,820.51 90.10% 7.887 330 69.39 605 Fixed Rate 122 11,093,242.42 9.90% 7.595 328 70.22 642 - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- TOTAL 1,611 112,016,062.93 100.00% 7.858 330 69.47 608
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE PRODUCT LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- 2/28 6 MO LIBOR 1,454 98,205,248.28 87.67% 7.896 331 69.30 604 3/27 6 MO LIBOR 35 2,717,572.23 2.43% 7.558 327 72.70 614 Fixed Rate 122 11,093,242.42 9.90% 7.595 328 70.22 642 - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- TOTAL 1,611 112,016,062.93 100.00% 7.858 330 69.47 608
17 [RBS Greenwich Capital Logo]
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE INTEREST ONLY LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- Not Interest Only 1,611 112,016,062.93 100.00% 7.858 330 69.47 608 - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- TOTAL 1,611 112,016,062.93 100.00% 7.858 330 69.47 608
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE PREPAYMENT PENALTY ORIGINAL TERM (MONTHS) LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- Prepay Penalty: 0 months 243 24,282,145.61 21.68% 7.858 342 72.09 610 Prepay Penalty: 36 months 1,368 87,733,917.32 78.32% 7.858 327 68.75 608 - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- TOTAL 1,611 112,016,062.93 100.00% 7.858 330 69.47 608
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE LIEN LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- First Lien 874 80,842,403.44 72.17% 7.630 342 69.68 606 Second Lien 737 31,173,659.49 27.83% 8.449 301 68.93 614 - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- TOTAL 1,611 112,016,062.93 100.00% 7.858 330 69.47 608
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE DOCUMENTATION TYPE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- Full Documentation 1,611 112,016,062.93 100.00% 7.858 330 69.47 608 - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- TOTAL 1,611 112,016,062.93 100.00% 7.858 330 69.47 608
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE LOAN PURPOSE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- Cash Out Refinance 1,602 110,997,865.08 99.09% 7.863 330 69.51 608 Purchase 9 1,018,197.85 0.91% 7.247 330 65.82 645 - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- TOTAL 1,611 112,016,062.93 100.00% 7.858 330 69.47 608
18 [RBS Greenwich Capital Logo]
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE PROPERTY TYPE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- 2-4 Units 116 11,976,502.03 10.69% 7.542 338 67.87 617 Condominium 62 3,868,543.99 3.45% 7.448 322 64.80 618 PUD Attached 30 2,174,315.23 1.94% 8.333 334 67.97 601 PUD Detached 71 6,319,771.93 5.64% 8.048 340 71.28 604 Single Family Attached 124 5,819,718.35 5.20% 8.064 321 72.28 606 Single Family Detached 1,207 81,842,235.33 73.06% 7.881 329 69.64 607 Townhouse 1 14,976.07 0.01% 8.500 239 42.25 557 - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- TOTAL 1,611 112,016,062.93 100.00% 7.858 330 69.47 608
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE OCCUPANCY STATUS LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- Non-owner Occupied 63 4,418,027.68 3.94% 7.654 340 71.64 641 Owner Occupied 1,548 107,598,035.25 96.06% 7.866 330 69.39 607 - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- TOTAL 1,611 112,016,062.93 100.00% 7.858 330 69.47 608
19 [RBS Greenwich Capital Logo]
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE STATE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- Arizona 17 1,668,463.75 1.49% 8.146 346 76.93 598 California 30 2,671,513.41 2.38% 8.060 340 72.38 594 Colorado 3 438,001.68 0.39% 7.734 343 82.56 607 Connecticut 33 1,874,061.31 1.67% 8.538 314 71.99 594 Delaware 19 1,394,360.03 1.24% 8.562 340 65.73 582 Florida 120 6,999,730.33 6.25% 8.348 332 69.62 598 Georgia 52 3,160,822.78 2.82% 8.104 330 72.55 593 Illinois 65 2,761,896.20 2.47% 7.787 315 71.79 609 Indiana 23 887,940.18 0.79% 7.766 326 74.17 618 Kentucky 10 586,281.20 0.52% 7.917 352 76.83 586 Louisiana 14 691,671.50 0.62% 8.242 299 64.38 597 Maine 32 2,258,684.57 2.02% 7.840 345 66.37 601 Maryland 76 6,227,240.94 5.56% 7.776 346 71.90 609 Massachusetts 58 4,758,236.32 4.25% 8.159 336 71.49 591 Michigan 58 3,315,369.28 2.96% 8.060 341 70.07 597 Minnesota 12 498,077.29 0.44% 8.204 322 73.35 596 Nevada 20 1,380,589.14 1.23% 8.194 337 76.81 610 New Hampshire 16 706,152.65 0.63% 8.551 308 64.54 593 New Jersey 254 19,887,738.61 17.75% 7.527 322 68.39 619 New York 164 13,899,122.66 12.41% 7.637 330 66.20 615 North Carolina 30 1,941,000.57 1.73% 7.994 323 69.07 610 Ohio 58 2,585,752.59 2.31% 8.177 318 68.72 597 Oklahoma 10 386,838.87 0.35% 8.121 305 65.63 614 Oregon 1 177,908.43 0.16% 6.990 356 85.00 547 Pennsylvania 172 8,098,923.22 7.23% 8.182 322 70.62 603 Rhode Island 103 11,541,612.02 10.30% 7.394 337 69.18 622 Tennessee 22 1,100,116.62 0.98% 7.773 291 67.15 605 Texas 28 1,194,759.40 1.07% 10.243 305 67.93 597 Utah 3 266,046.47 0.24% 7.852 359 73.67 594 Virginia 81 6,420,068.43 5.73% 7.712 340 67.62 612 Washington 6 391,826.08 0.35% 7.658 340 75.78 597 Wisconsin 21 1,845,256.40 1.65% 7.569 340 69.34 611 - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- TOTAL 1,611 112,016,062.93 100.00% 7.858 330 69.47 608
20 [RBS Greenwich Capital Logo]
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE GROSS MARGIN LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- 3.500 - 3.999 1 51,776.53 0.05% 5.150 341 17.10 728 4.000 - 4.499 8 903,682.80 0.90% 5.477 299 69.71 668 4.500 - 4.999 22 3,134,581.13 3.11% 5.936 334 69.20 668 5.000 - 5.499 58 7,027,316.29 6.96% 6.441 338 72.45 643 5.500 - 5.999 170 15,476,205.17 15.33% 6.936 327 67.42 640 6.000 - 6.499 284 21,293,365.08 21.10% 7.385 337 69.84 612 6.500 - 6.999 278 19,113,567.94 18.94% 7.879 332 69.44 593 7.000 - 7.499 230 13,174,883.96 13.05% 8.357 323 67.84 577 7.500 - 7.999 84 4,565,871.53 4.52% 8.952 334 76.44 587 8.000 - 8.499 150 6,867,084.98 6.80% 9.417 324 68.45 571 8.500 - 8.999 80 4,228,962.02 4.19% 9.892 331 67.90 573 9.000 - 9.499 65 2,917,284.51 2.89% 10.420 324 69.85 567 9.500 - 9.999 47 1,739,928.41 1.72% 10.850 325 71.02 554 10.000 -10.499 11 391,310.16 0.39% 11.426 311 67.03 555 11.000 -11.499 1 37,000.00 0.04% 12.300 360 53.78 573 - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- TOTAL 1,489 100,922,820.51 100.00% 7.887 330 69.39 605
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE MINIMUM INTEREST RATE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- 5.000 - 5.499 4 243,979.53 0.24% 5.250 239 35.15 687 5.500 - 5.999 18 3,098,869.20 3.07% 5.811 341 71.13 663 6.000 - 6.499 29 3,319,763.25 3.29% 6.245 322 71.68 651 6.500 - 6.999 143 15,471,961.93 15.33% 6.782 333 69.77 643 7.000 - 7.499 193 15,041,463.21 14.90% 7.194 335 68.28 621 7.500 - 7.999 338 23,793,436.75 23.58% 7.685 333 69.90 601 8.000 - 8.499 247 14,643,217.03 14.51% 8.158 326 67.66 582 8.500 - 8.999 138 7,882,939.62 7.81% 8.662 331 72.18 578 9.000 - 9.499 98 4,108,406.06 4.07% 9.243 318 70.40 582 9.500 - 9.999 124 6,815,635.51 6.75% 9.659 331 67.95 569 10.000 -10.499 52 2,554,507.15 2.53% 10.134 336 69.12 576 10.500 -10.999 77 2,918,419.88 2.89% 10.609 318 70.52 565 11.000 -11.499 20 730,991.29 0.72% 11.065 318 71.33 554 11.500 -11.999 7 262,230.10 0.26% 11.521 311 68.89 542 12.000 -12.499 1 37,000.00 0.04% 12.300 360 53.78 573 - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- TOTAL 1,489 100,922,820.51 100.00% 7.887 330 69.39 605
21 [RBS Greenwich Capital Logo]
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE MAXIMUM INTEREST RATE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- 11.000 -11.499 4 243,979.53 0.24% 5.250 239 35.15 687 11.500 -11.999 18 3,098,869.20 3.07% 5.811 341 71.13 663 12.000 -12.499 29 3,026,781.69 3.00% 6.252 317 69.69 650 12.500 -12.999 141 15,304,675.92 15.16% 6.788 333 69.56 644 13.000 -13.499 189 14,760,735.80 14.63% 7.193 335 68.20 622 13.500 -13.999 308 20,697,655.23 20.51% 7.665 333 70.23 604 14.000 -14.499 211 13,067,207.74 12.95% 8.113 327 66.82 581 14.500 -14.999 82 5,163,450.37 5.12% 8.565 335 69.72 566 15.000 -15.499 40 1,979,714.56 1.96% 9.073 325 61.33 553 15.500 -15.999 85 7,081,555.73 7.02% 8.883 338 64.07 567 16.000 -16.499 61 3,358,987.28 3.33% 9.032 332 70.87 580 16.500 -16.999 85 4,096,652.55 4.06% 9.191 325 71.88 589 17.000 -17.499 66 2,624,922.87 2.60% 9.317 314 78.28 599 17.500 -17.999 68 2,626,681.16 2.60% 9.635 312 77.90 586 18.000 -18.499 29 1,141,166.61 1.13% 10.159 324 76.43 597 18.500 -18.999 51 1,829,792.15 1.81% 10.602 317 77.11 571 19.000 -19.499 15 557,762.02 0.55% 11.068 324 73.79 557 19.500 -19.999 7 262,230.10 0.26% 11.521 311 68.89 542 - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- TOTAL 1,489 100,922,820.51 100.00% 7.887 330 69.39 605
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE INITIAL PERIODIC RATE CAP LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- 2.000 1,124 83,160,901.88 82.40% 7.648 332 67.99 608 3.000 365 17,761,918.63 17.60% 9.005 323 75.96 590 - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- TOTAL 1,489 100,922,820.51 100.00% 7.887 330 69.39 605
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE SUBSEQUENT PERIODIC RATE CAP LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- 1.000 1,489 100,922,820.51 100.00% 7.887 330 69.39 605 - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- TOTAL 1,489 100,922,820.51 100.00% 7.887 330 69.39 605
22 [RBS Greenwich Capital Logo]
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE NEXT RATE CHANGE DATE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- November-05 1 189,241.33 0.19% 8.500 337 80.00 602 December-05 6 419,445.28 0.42% 6.229 294 67.72 685 January-06 4 151,781.38 0.15% 8.041 227 76.79 581 February-06 9 696,174.01 0.69% 6.526 305 77.57 601 March-06 13 988,976.29 0.98% 6.387 274 67.57 685 April-06 8 731,978.67 0.73% 5.941 302 67.15 655 May-06 9 621,405.82 0.62% 7.896 307 67.31 589 June-06 10 441,998.14 0.44% 6.972 230 68.89 657 July-06 6 341,250.56 0.34% 6.862 241 66.96 665 August-06 7 200,405.52 0.20% 7.944 236 55.65 578 September-06 3 85,559.04 0.08% 7.961 179 73.11 608 October-06 1 22,640.20 0.02% 8.750 228 85.00 738 November-06 4 181,817.98 0.18% 7.851 313 67.06 591 December-06 11 642,307.73 0.64% 7.862 318 76.42 616 January-07 21 1,063,607.27 1.05% 8.527 308 74.29 622 February-07 42 3,755,977.15 3.72% 7.711 337 69.19 631 March-07 112 7,127,137.60 7.06% 7.633 328 67.06 614 April-07 125 7,589,298.42 7.52% 8.039 327 71.16 600 May-07 148 8,309,838.92 8.23% 7.965 325 70.66 603 June-07 169 13,791,137.00 13.67% 7.667 336 68.84 601 July-07 135 8,793,540.89 8.71% 8.095 332 69.16 594 August-07 196 12,484,745.92 12.37% 8.116 334 69.05 594 September-07 217 15,833,604.34 15.69% 8.095 333 70.26 596 October-07 204 14,028,951.60 13.90% 7.937 343 67.31 609 November-07 1 140,000.00 0.14% 7.500 360 80.00 608 March-08 2 71,677.69 0.07% 9.500 353 83.16 614 April-08 1 12,747.98 0.01% 9.250 354 84.92 609 May-08 6 590,927.37 0.59% 6.966 318 72.44 651 June-08 5 135,705.50 0.13% 9.259 238 52.76 615 July-08 7 881,144.82 0.87% 8.113 357 73.69 572 August-08 4 516,847.03 0.51% 6.872 327 83.47 639 September-08 2 80,949.06 0.08% 8.755 359 68.91 602 - ------------------------------------------- ------- --------------- ----------- ----------- ------------- ------------ ----------- TOTAL 1,489 100,922,820.51 100.00% 7.887 330 69.39 605
23 [RBS Greenwich Capital Logo] HOME LOAN: 2005-1 FRMS
MINIMUM MAXIMUM ------- ------- Scheduled Principal Balance $11,093,242 $9,956 $600,506 Average Scheduled Principal Balance $90,928 Number of Mortgage Loans 122 Weighted Average Gross Coupon 7.595% 5.100% 12.950% Weighted Average FICO Score 642 528 797 Weighted Average Combined Original LTV 70.22% 9.48% 90.00% Weighted Average Original Term 330 months 60 months 360 months Weighted Average Stated Remaining Term 328 months 55 months 360 months Weighted Average Seasoning 3 months 0 months 21 months Weighted Average Gross Margin 0.000% 0.000% 0.000% Weighted Average Minimum Interest Rate 0.000% 0.000% 0.000% Weighted Average Maximum Interest Rate 0.000% 0.000% 0.000% Weighted Average Initial Rate Cap 0.000% 0.000% 0.000% Weighted Average Subsequent Rate Cap 0.000% 0.000% 0.000% Weighted Average Months to Roll months months months Maturity Date May 23 2010 Nov 1 2035 Maximum Zip Code Concentration 5.41% '07746 Fixed Rate 100.00% Fixed Rate 100.00% Not Interest Only 100.00% Prepay Penalty: 0 months 47.91% Prepay Penalty: 36 months 52.09% First Lien 85.13% Second Lien 14.87% Full Documentation 100.00% Cash Out Refinance 98.40% Purchase 1.60% 2-4 Units 14.86% Condominium 3.63% PUD Attached 3.45% PUD Detached 4.69% Single Family Attached 5.12% Single Family Detached 68.24% Non-owner Occupied 8.29% Owner Occupied 91.71% Top 5 States: Rhode Island 28.39% New Jersey 15.93% Texas 10.77% Massachusetts 8.55% Virginia 7.48%
HOME LOAN: 2005-1 FRMS
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE CURRENT PRINCIPAL BALANCE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - ------------------------------------------------------------------------------------------------------------------------- 0.01 - 50,000.00 50 1,545,057.80 13.93% 9.494 265 64.73 625 50,000.01 - 100,000.00 40 2,974,095.43 26.81% 8.388 313 64.82 637 100,000.01 - 150,000.00 11 1,353,445.19 12.20% 7.328 330 75.77 639 150,000.01 - 200,000.00 9 1,601,806.99 14.44% 6.171 344 63.11 681 200,000.01 - 250,000.00 4 883,150.74 7.96% 6.602 360 77.05 663 250,000.01 - 300,000.00 4 1,085,978.94 9.79% 6.634 359 78.62 664 300,000.01 - 350,000.00 2 642,837.86 5.79% 7.237 356 80.54 599 400,000.01 - 450,000.00 1 406,363.08 3.66% 7.250 358 67.83 626 600,000.01 - 650,000.00 1 600,506.39 5.41% 6.990 358 82.90 596 - ------------------------------------------------------------------------------------------------------------------------- TOTAL 122 11,093,242.42 100.00% 7.595 328 70.22 642
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE CURRENT GROSS RATE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- 5.000 - 5.499 2 201,792.02 1.82% 5.229 317 71.45 668 5.500 - 5.999 9 1,390,123.66 12.53% 5.701 331 59.19 698 6.000 - 6.499 5 601,271.02 5.42% 6.386 359 68.76 670 6.500 - 6.999 19 3,365,668.24 30.34% 6.842 346 75.95 645 7.000 - 7.499 5 770,767.28 6.95% 7.175 336 69.82 640 7.500 - 7.999 10 1,228,787.49 11.08% 7.811 325 74.13 622 8.000 - 8.499 17 997,383.92 8.99% 8.186 288 66.96 631 8.500 - 8.999 9 587,016.52 5.29% 8.707 316 76.55 643 9.000 - 9.499 10 508,124.61 4.58% 9.262 349 67.95 605 9.500 - 9.999 8 324,511.70 2.93% 9.875 222 67.10 623 10.000 -10.499 8 415,267.06 3.74% 10.167 342 62.72 587 10.500 -10.999 5 283,043.62 2.55% 10.571 258 77.77 642 11.000 -11.499 4 131,684.16 1.19% 11.106 316 51.19 578 11.500 -11.999 8 209,631.09 1.89% 11.675 325 59.00 578 12.000 -12.499 1 51,241.18 0.46% 12.150 353 65.00 574 12.500 -12.999 2 26,928.85 0.24% 12.746 232 69.78 631 - ------------------------------------------------------------------------------------------------------------------------- TOTAL 122 11,093,242.42 100.00% 7.595 328 70.22 642
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE FICO LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- 525-549 4 308,048.77 2.78% 8.700 295 73.70 538 550-574 12 1,049,114.22 9.46% 8.302 349 76.04 564 575-599 17 1,747,188.83 15.75% 8.283 336 74.89 590 600-624 23 1,562,775.40 14.09% 8.107 321 70.33 615 625-649 15 1,340,447.20 12.08% 8.002 346 64.57 632 650-674 20 1,899,665.26 17.12% 7.039 323 73.47 666 675-699 15 1,604,709.02 14.47% 6.898 325 68.39 685 700+ 16 1,581,293.72 14.25% 6.673 309 63.15 733 - ------------------------------------------------------------------------------------------------------------------------- TOTAL 122 11,093,242.42 100.00% 7.595 328 70.22 642
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE COMBINED ORIGINAL LTV LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- 0.01- 49.99 22 1,419,591.17 12.80% 7.260 286 36.59 674 50.00- 54.99 10 717,154.48 6.46% 7.776 330 52.41 647 55.00- 59.99 2 59,515.68 0.54% 10.750 234 58.27 639 60.00- 64.99 7 507,911.57 4.58% 8.411 306 63.00 603 65.00- 69.99 10 1,478,299.26 13.33% 7.464 357 67.04 639 70.00- 74.99 13 1,045,975.84 9.43% 7.400 303 72.72 659 75.00- 79.99 21 1,850,732.50 16.68% 7.637 325 76.27 649 80.00 10 549,716.47 4.96% 9.142 314 80.00 646 80.01- 84.99 13 1,573,069.58 14.18% 7.575 346 82.89 621 85.00- 89.99 12 1,635,285.98 14.74% 7.152 346 85.76 624 90.00- 94.99 2 255,989.89 2.31% 7.468 357 90.00 649 - ------------------------------------------------------------------------------------------------------------------------- TOTAL 122 11,093,242.42 100.00% 7.595 328 70.22 642
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE ORIGINAL TERM (MONTHS) LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- 60 2 62,168.85 0.56% 6.598 56 20.32 725 120 8 357,252.81 3.22% 8.448 117 59.53 658 180 13 627,342.24 5.66% 8.475 176 64.23 639 240 18 920,820.17 8.30% 8.192 237 68.75 668 300 1 72,923.11 0.66% 7.990 298 81.11 603 360 80 9,052,735.24 81.61% 7.443 358 71.46 639 - ------------------------------------------------------------------------------------------------------------------------- TOTAL 122 11,093,242.42 100.00% 7.595 328 70.22 642
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE STATED REMAINING TERM (MONTHS) LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- 1- 60 2 62,168.85 0.56% 6.598 56 20.32 725 61-120 8 357,252.81 3.22% 8.448 117 59.53 658 121-180 13 627,342.24 5.66% 8.475 176 64.23 639 181-240 18 920,820.17 8.30% 8.192 237 68.75 668 241-300 1 72,923.11 0.66% 7.990 298 81.11 603 301-360 80 9,052,735.24 81.61% 7.443 358 71.46 639 - ------------------------------------------------------------------------------------------------------------------------- TOTAL 122 11,093,242.42 100.00% 7.595 328 70.22 642
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE DEBT RATIO LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- 0.01 -20.00 4 170,438.98 1.54% 8.109 265 62.65 635 20.01 -25.00 7 398,806.46 3.60% 6.830 256 52.98 718 25.01 -30.00 12 657,060.89 5.92% 8.691 312 74.04 655 30.01 -35.00 8 731,435.33 6.59% 7.104 313 62.46 619 35.01 -40.00 26 2,298,805.21 20.72% 7.729 332 72.13 639 40.01 -45.00 29 3,241,743.64 29.22% 7.463 342 71.77 630 45.01 -50.00 32 3,037,378.57 27.38% 7.821 327 72.02 647 50.01 -55.00 2 338,087.97 3.05% 6.784 358 80.59 622 55.01 -60.00 1 174,033.40 1.57% 5.500 355 45.45 694 None 1 45,451.97 0.41% 5.990 55 9.48 724 - ------------------------------------------------------------------------------------------------------------------------- TOTAL 122 11,093,242.42 100.00% 7.595 328 70.22 642
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE FRM/ARM LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- Fixed Rate 122 11,093,242.42 100.00% 7.595 328 70.22 642 - ------------------------------------------------------------------------------------------------------------------------- TOTAL 122 11,093,242.42 100.00% 7.595 328 70.22 642
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE PRODUCT LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- Fixed Rate 122 11,093,242.42 100.00% 7.595 328 70.22 642 - ------------------------------------------------------------------------------------------------------------------------- TOTAL 122 11,093,242.42 100.00% 7.595 328 70.22 642
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE INTEREST ONLY LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- Not Interest Only 122 11,093,242.42 100.00% 7.595 328 70.22 642 - ------------------------------------------------------------------------------------------------------------------------- TOTAL 122 11,093,242.42 100.00% 7.595 328 70.22 642
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED PREPAYMENT PENALTY # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE ORIGINAL TERM (MONTHS) LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- Prepay Penalty: 0 months 56 5,314,920.73 47.91% 7.536 335 70.00 648 Prepay Penalty: 36 months 66 5,778,321.69 52.09% 7.648 321 70.43 636 - ------------------------------------------------------------------------------------------------------------------------- TOTAL 122 11,093,242.42 100.00% 7.595 328 70.22 642
TERM (MONTHS)
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE LIEN LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- First Lien 88 9,443,680.81 85.13% 7.353 334 70.15 641 Second Lien 34 1,649,561.61 14.87% 8.979 288 70.61 648 - ------------------------------------------------------------------------------------------------------------------------- TOTAL 122 11,093,242.42 100.00% 7.595 328 70.22 642
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE DOCUMENTATION TYPE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- Full Documentation 122 11,093,242.42 100.00% 7.595 328 70.22 642 - ------------------------------------------------------------------------------------------------------------------------- TOTAL 122 11,093,242.42 100.00% 7.595 328 70.22 642
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE LOAN PURPOSE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- Cash Out Refinance 121 10,915,327.45 98.40% 7.629 329 70.64 640 Purchase 1 177,914.97 1.60% 5.500 235 44.44 782 - ------------------------------------------------------------------------------------------------------------------------- TOTAL 122 11,093,242.42 100.00% 7.595 328 70.22 642
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE PROPERTY TYPE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- 2-4 Units 12 1,648,585.69 14.86% 7.036 340 77.39 641 Condominium 5 402,836.04 3.63% 6.112 286 55.83 703 PUD Attached 3 383,157.60 3.45% 8.094 359 63.39 649 PUD Detached 3 520,065.01 4.69% 7.869 358 66.40 619 Single Family Attached 6 568,103.61 5.12% 7.633 344 68.23 681 Single Family Detached 93 7,570,494.47 68.24% 7.748 322 70.18 637 - ------------------------------------------------------------------------------------------------------------------------- TOTAL 122 11,093,242.42 100.00% 7.595 328 70.22 642
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE OCCUPANCY STATUS LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- Non-owner Occupied 6 919,387.28 8.29% 6.715 347 71.61 712 Owner Occupied 116 10,173,855.14 91.71% 7.674 326 70.09 636 - ------------------------------------------------------------------------------------------------------------------------- TOTAL 122 11,093,242.42 100.00% 7.595 328 70.22 642
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE STATE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- Arizona 1 127,087.97 1.15% 8.500 355 82.19 548 California 2 78,843.03 0.71% 10.001 179 79.70 578 Delaware 1 26,500.00 0.24% 9.450 360 81.38 626 Florida 5 249,285.91 2.25% 8.683 338 57.86 597 Georgia 2 160,897.02 1.45% 7.430 359 82.75 635 Illinois 4 124,678.57 1.12% 7.936 165 66.41 650 Louisiana 1 97,000.00 0.87% 6.990 120 46.19 686 Maine 3 297,808.03 2.68% 6.862 359 60.67 655 Maryland 2 107,751.16 0.97% 10.024 329 62.49 600 Massachusetts 8 948,677.03 8.55% 7.252 340 67.24 641 Michigan 3 247,500.00 2.23% 7.763 360 68.76 643 New Jersey 15 1,767,552.48 15.93% 7.670 321 72.24 633 New York 6 496,906.39 4.48% 7.384 309 62.34 653 North Carolina 2 316,067.25 2.85% 6.826 360 73.01 697 Ohio 4 190,078.68 1.71% 7.998 321 77.30 618 Pennsylvania 8 545,342.91 4.92% 7.968 322 81.65 672 Rhode Island 20 3,149,487.83 28.39% 6.500 335 71.22 659 Texas 28 1,194,759.40 10.77% 10.243 305 67.93 597 Virginia 5 830,113.08 7.48% 7.533 356 67.89 647 Wisconsin 2 136,905.68 1.23% 7.049 359 81.82 643 - ------------------------------------------------------------------------------------------------------------------------- TOTAL 122 11,093,242.42 100.00% 7.595 328 70.22 642
HOME LOAN: 2005-1 - ----------------- SECOND LIENS
MINIMUM MAXIMUM ------- ------- Scheduled Principal Balance $31,173,659 $9,579 $516,813 Average Scheduled Principal Balance $42,298 Number of Mortgage Loans 737 Weighted Average Gross Coupon 8.449% 5.100% 12.950% Weighted Average FICO Score 614 472 805 Weighted Average Combined Original LTV 68.93% 9.34% 85.05% Weighted Average Original Term 305 months 60 months 360 months Weighted Average Stated Remaining Term 301 months 46 months 360 months Weighted Average Seasoning 5 months 0 months 22 months Weighted Average Gross Margin 7.171% 4.400% 11.050% Weighted Average Minimum Interest Rate 8.420% 5.650% 12.300% Weighted Average Maximum Interest Rate 15.086% 11.650% 19.660% Weighted Average Initial Rate Cap 2.336% 2.000% 3.000% Weighted Average Subsequent Rate Cap 1.000% 1.000% 1.000% Weighted Average Months to Roll 19 months 2 months 35 months Maturity Date Aug 26 2009 Oct 30 2035 Maximum Zip Code Concentration 1.66% '02835 ARM 94.71% Fixed Rate 5.29% 2/28 6 MO LIBOR 92.02% 3/27 6 MO LIBOR 2.69% Fixed Rate 5.29% Not Interest Only 100.00% Prepay Penalty: 0 months 13.27% Prepay Penalty: 36 months 86.73% Second Lien 100.00% Full Documentation 100.00% Cash Out Refinance 99.90% Purchase 0.10% 2-4 Units 6.22% Condominium 4.59% PUD Attached 1.90% PUD Detached 7.55% Single Family Attached 3.51% Single Family Detached 76.18% Townhouse 0.05% Non-owner Occupied 1.54% Owner Occupied 98.46% Top 5 States: New Jersey 22.91% New York 14.62% Florida 9.29% Rhode Island 8.53% Maryland 6.14%
HOME LOAN: 2005-1 - ----------------- SECOND LIENS
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE CURRENT PRINCIPAL BALANCE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- 0.01 - 50,000.00 543 15,452,061.85 49.57% 8.715 279 69.39 608 50,000.01 - 100,000.00 159 10,461,999.80 33.56% 8.458 317 69.86 615 100,000.01 - 150,000.00 26 3,035,705.36 9.74% 7.663 322 68.99 641 150,000.01 - 200,000.00 5 846,705.56 2.72% 8.371 333 75.07 581 200,000.01 - 250,000.00 2 461,365.68 1.48% 7.861 354 56.69 577 350,000.01 - 400,000.00 1 399,008.66 1.28% 6.990 356 43.41 645 500,000.01 - 550,000.00 1 516,812.58 1.66% 6.750 353 56.55 674 - -------------------------------------------------------------------------------------------------------------------------- TOTAL 737 31,173,659.49 100.00% 8.449 301 68.93 614
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE CURRENT GROSS RATE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- 5.000 - 5.499 1 28,637.53 0.09% 5.100 114 53.21 760 5.500 - 5.999 4 227,010.25 0.73% 5.811 243 64.21 688 6.000 - 6.499 11 755,214.55 2.42% 6.234 255 70.51 679 6.500 - 6.999 42 2,714,125.64 8.71% 6.855 283 59.42 668 7.000 - 7.499 52 2,604,399.16 8.35% 7.153 310 69.68 648 7.500 - 7.999 148 6,649,275.95 21.33% 7.655 307 66.36 623 8.000 - 8.499 128 5,038,176.09 16.16% 8.174 297 65.38 599 8.500 - 8.999 77 3,038,464.78 9.75% 8.697 301 70.75 611 9.000 - 9.499 62 2,116,073.45 6.79% 9.199 304 80.69 619 9.500 - 9.999 74 2,782,976.82 8.93% 9.612 285 75.62 586 10.000 -10.499 36 1,537,921.39 4.93% 10.104 324 71.30 601 10.500 -10.999 74 2,731,468.61 8.76% 10.612 316 71.10 562 11.000 -11.499 17 578,258.45 1.85% 11.079 312 70.73 566 11.500 -11.999 9 321,492.01 1.03% 11.553 315 68.82 547 12.000 -12.499 1 37,000.00 0.12% 12.300 360 53.78 573 12.500 -12.999 1 13,164.81 0.04% 12.950 233 80.00 663 - -------------------------------------------------------------------------------------------------------------------------- TOTAL 737 31,173,659.49 100.00% 8.449 301 68.93 614
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE FICO LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- 400-499 5 297,009.83 0.95% 8.940 318 63.66 490 500-524 10 254,968.46 0.82% 9.985 286 62.68 516 525-549 41 1,714,886.95 5.50% 10.266 326 61.67 540 550-574 136 5,051,812.26 16.21% 9.402 309 66.57 563 575-599 136 5,835,172.27 18.72% 8.786 310 71.16 586 600-624 133 5,441,735.07 17.46% 8.053 314 71.83 611 625-649 117 5,028,282.28 16.13% 7.942 289 68.55 638 650-674 87 4,294,242.93 13.78% 7.857 296 69.51 662 675-699 36 1,650,848.02 5.30% 7.840 274 68.71 683 700+ 35 1,569,877.77 5.04% 7.083 242 68.66 736 None 1 34,823.65 0.11% 7.750 353 37.76 0 - -------------------------------------------------------------------------------------------------------------------------- TOTAL 737 31,173,659.49 100.00% 8.449 301 68.93 614
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE COMBINED ORIGINAL LTV LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- 0.01- 49.99 76 3,060,685.52 9.82% 8.060 295 41.97 606 50.00- 54.99 47 2,044,558.12 6.56% 8.334 305 52.92 614 55.00- 59.99 49 2,728,547.37 8.75% 7.967 303 57.55 623 60.00- 64.99 68 3,042,751.21 9.76% 8.229 302 62.66 606 65.00- 69.99 78 3,508,415.58 11.25% 8.380 317 67.45 601 70.00- 74.99 103 4,235,309.17 13.59% 8.293 295 72.67 615 75.00- 79.99 115 4,597,447.20 14.75% 8.457 293 78.24 614 80.00 47 2,248,966.47 7.21% 8.423 312 80.00 631 80.01- 84.99 94 3,514,004.63 11.27% 9.189 289 83.68 619 85.00- 89.99 60 2,192,974.22 7.03% 9.250 309 85.00 620 - -------------------------------------------------------------------------------------------------------------------------- TOTAL 737 31,173,659.49 100.00% 8.449 301 68.93 614
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE ORIGINAL TERM (MONTHS) LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- 60 5 105,414.59 0.34% 7.835 54 52.69 649 84 1 16,408.57 0.05% 7.500 80 62.02 641 120 45 1,130,411.49 3.63% 8.348 114 71.12 649 180 110 3,402,233.87 10.91% 8.072 174 68.46 632 240 180 6,380,605.10 20.47% 8.492 235 69.12 615 300 6 274,417.91 0.88% 7.636 287 62.28 651 360 390 19,864,167.96 63.72% 8.522 356 69.01 608 - -------------------------------------------------------------------------------------------------------------------------- TOTAL 737 31,173,659.49 100.00% 8.449 301 68.93 614
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE STATED REMAINING TERM (MONTHS) LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- 1- 60 5 105,414.59 0.34% 7.835 54 52.69 649 61-120 46 1,146,820.06 3.68% 8.336 113 70.99 649 121-180 110 3,402,233.87 10.91% 8.072 174 68.46 632 181-240 180 6,380,605.10 20.47% 8.492 235 69.12 615 241-300 6 274,417.91 0.88% 7.636 287 62.28 651 301-360 390 19,864,167.96 63.72% 8.522 356 69.01 608 - -------------------------------------------------------------------------------------------------------------------------- TOTAL 737 31,173,659.49 100.00% 8.449 301 68.93 614
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE DEBT RATIO LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- 0.01 -20.00 4 77,387.01 0.25% 8.096 178 43.74 607 20.01 -25.00 15 487,757.81 1.56% 8.516 297 61.25 605 25.01 -30.00 35 1,184,747.00 3.80% 8.546 280 67.10 618 30.01 -35.00 87 4,132,808.46 13.26% 8.333 299 65.68 620 35.01 -40.00 165 6,291,095.02 20.18% 8.454 284 68.49 619 40.01 -45.00 371 15,952,389.93 51.17% 8.459 305 70.73 612 45.01 -50.00 60 3,047,474.26 9.78% 8.510 324 67.42 609 - -------------------------------------------------------------------------------------------------------------------------- TOTAL 737 31,173,659.49 100.00% 8.449 301 68.93 614
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE FRM/ARM LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- ARM 703 29,524,097.88 94.71% 8.420 301 68.84 612 Fixed Rate 34 1,649,561.61 5.29% 8.979 288 70.61 648 - -------------------------------------------------------------------------------------------------------------------------- TOTAL 737 31,173,659.49 100.00% 8.449 301 68.93 614
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE PRODUCT LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- 2/28 6 MO LIBOR 681 28,684,559.00 92.02% 8.420 302 68.82 612 3/27 6 MO LIBOR 22 839,538.88 2.69% 8.419 291 69.45 623 Fixed Rate 34 1,649,561.61 5.29% 8.979 288 70.61 648 - -------------------------------------------------------------------------------------------------------------------------- TOTAL 737 31,173,659.49 100.00% 8.449 301 68.93 614
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE INTEREST ONLY LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- Not Interest Only 737 31,173,659.49 100.00% 8.449 301 68.93 614 - -------------------------------------------------------------------------------------------------------------------------- TOTAL 737 31,173,659.49 100.00% 8.449 301 68.93 614
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED PREPAYMENT PENALTY # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE ORIGINAL TERMS (MONTHS) LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- Prepay Penalty: 0 months 82 4,136,020.45 13.27% 8.696 317 70.84 612 Prepay Penalty: 36 months 655 27,037,639.04 86.73% 8.412 298 68.64 614 - -------------------------------------------------------------------------------------------------------------------------- TOTAL 737 31,173,659.49 100.00% 8.449 301 68.93 614
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE LIEN LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- Second Lien 737 31,173,659.49 100.00% 8.449 301 68.93 614 - -------------------------------------------------------------------------------------------------------------------------- TOTAL 737 31,173,659.49 100.00% 8.449 301 68.93 614
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE DOCUMENTATION TYPE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- Full Documentation 737 31,173,659.49 100.00% 8.449 301 68.93 614 - -------------------------------------------------------------------------------------------------------------------------- TOTAL 737 31,173,659.49 100.00% 8.449 301 68.93 614
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE LOAN PURPOSE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- Cash Out Refinance 736 31,142,423.59 99.90% 8.452 301 68.93 614 Purchase 1 31,235.90 0.10% 6.250 164 74.15 686 - -------------------------------------------------------------------------------------------------------------------------- TOTAL 737 31,173,659.49 100.00% 8.449 301 68.93 614
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE PROPERTY PURPOSE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- 2-4 Units 44 1,937,455.04 6.22% 8.105 287 69.86 644 Condominium 36 1,432,025.84 4.59% 7.995 305 63.37 613 PUD Attached 18 592,396.78 1.90% 9.193 288 69.32 583 PUD Detached 50 2,355,056.95 7.55% 8.602 313 68.53 607 Single Family Attached 36 1,093,912.67 3.51% 8.774 291 74.08 605 Single Family Detached 552 23,747,836.14 76.18% 8.456 301 69.00 614 Townhouse 1 14,976.07 0.05% 8.500 239 42.25 557 - -------------------------------------------------------------------------------------------------------------------------- TOTAL 737 31,173,659.49 100.00% 8.449 301 68.93 614
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE OCCUPANCY STATUS LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- Non-owner Occupied 9 480,169.89 1.54% 7.984 332 73.37 683 Owner Occupied 728 30,693,489.60 98.46% 8.457 300 68.86 613 - -------------------------------------------------------------------------------------------------------------------------- TOTAL 737 31,173,659.49 100.00% 8.449 301 68.93 614
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE STATE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- Arizona 9 369,427.37 1.19% 8.834 312 73.12 628 California 25 1,134,682.87 3.64% 8.644 319 73.47 616 Colorado 1 52,890.20 0.17% 8.250 239 74.14 635 Connecticut 23 714,357.80 2.29% 8.975 305 71.27 597 Delaware 12 583,735.49 1.87% 8.740 314 67.36 583 Florida 77 2,894,493.16 9.29% 9.072 299 69.86 598 Georgia 13 635,541.28 2.04% 8.517 314 70.55 606 Illinois 21 660,756.13 2.12% 8.664 279 72.69 616 Indiana 2 44,039.56 0.14% 9.812 241 83.90 633 Louisiana 1 39,853.33 0.13% 9.600 356 72.20 605 Maine 7 289,948.77 0.93% 8.319 295 78.16 610 Maryland 45 1,914,750.72 6.14% 8.451 323 65.42 602 Massachusetts 41 1,775,534.47 5.70% 8.747 311 68.37 602 Michigan 11 372,484.86 1.19% 8.977 308 78.34 608 Minnesota 3 62,004.47 0.20% 9.458 253 76.11 567 Nevada 14 528,007.43 1.69% 8.833 306 74.78 610 New Hampshire 13 403,284.69 1.29% 8.426 270 68.02 620 New Jersey 163 7,141,410.72 22.91% 8.064 286 66.97 626 New York 84 4,557,254.74 14.62% 8.117 309 67.85 616 North Carolina 9 357,102.83 1.15% 8.687 257 71.34 615 Ohio 14 334,563.08 1.07% 9.747 272 78.63 584 Pennsylvania 43 1,327,684.71 4.26% 9.259 294 70.07 592 Rhode Island 51 2,660,583.65 8.53% 7.774 306 66.38 643 Tennessee 4 97,423.02 0.31% 7.799 153 69.12 658 Texas 4 183,387.57 0.59% 10.833 317 76.63 595 Utah 1 22,577.00 0.07% 9.250 360 85.00 612 Virginia 41 1,832,237.60 5.88% 8.587 316 69.23 606 Washington 2 54,883.74 0.18% 8.465 305 81.73 605 Wisconsin 3 128,758.23 0.41% 7.642 265 74.11 651 - -------------------------------------------------------------------------------------------------------------------------- TOTAL 737 31,173,659.49 100.00% 8.449 301 68.93 614
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE GROSS MARGIN LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- 4.000 - 4.499 1 69,998.96 0.24% 5.650 161 79.67 753 4.500 - 4.999 5 241,907.23 0.82% 6.023 174 68.26 746 5.000 - 5.499 12 693,170.89 2.35% 6.316 271 69.64 655 5.500 - 5.999 55 3,612,723.99 12.24% 6.910 294 61.96 670 6.000 - 6.499 109 4,742,471.99 16.06% 7.433 301 67.35 626 6.500 - 6.999 113 5,204,604.61 17.63% 7.848 311 65.27 613 7.000 - 7.499 112 3,961,261.32 13.42% 8.354 291 64.94 588 7.500 - 7.999 58 2,288,091.17 7.75% 8.859 311 78.11 618 8.000 - 8.499 86 3,131,844.07 10.61% 9.397 301 76.22 592 8.500 - 8.999 43 1,577,087.18 5.34% 9.902 299 76.33 598 9.000 - 9.499 54 2,010,138.68 6.81% 10.457 311 72.29 575 9.500 - 9.999 43 1,562,487.63 5.29% 10.843 323 70.70 559 10.000 -10.499 11 391,310.16 1.33% 11.426 311 67.03 555 11.000 -11.499 1 37,000.00 0.13% 12.300 360 53.78 573 - -------------------------------------------------------------------------------------------------------------------------- TOTAL 703 29,524,097.88 100.00% 8.420 301 68.84 612
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE MINIMUM INTEREST RATE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- 5.500 - 5.999 3 139,816.17 0.47% 5.700 176 70.63 742 6.000 - 6.499 11 755,214.55 2.56% 6.234 255 70.51 679 6.500 - 6.999 42 2,714,125.64 9.19% 6.855 283 59.42 668 7.000 - 7.499 52 2,604,399.16 8.82% 7.153 310 69.68 648 7.500 - 7.999 146 6,524,845.77 22.10% 7.650 307 66.13 622 8.000 - 8.499 121 4,707,549.02 15.94% 8.170 298 65.01 592 8.500 - 8.999 72 2,716,011.15 9.20% 8.690 301 70.56 602 9.000 - 9.499 58 1,936,607.22 6.56% 9.180 302 80.52 617 9.500 - 9.999 68 2,552,665.04 8.65% 9.587 295 75.60 583 10.000 -10.499 31 1,263,907.00 4.28% 10.088 319 73.81 605 10.500 -10.999 74 2,731,468.61 9.25% 10.612 316 71.10 562 11.000 -11.499 17 578,258.45 1.96% 11.079 312 70.73 566 11.500 -11.999 7 262,230.10 0.89% 11.521 311 68.89 542 12.000 -12.499 1 37,000.00 0.13% 12.300 360 53.78 573 - -------------------------------------------------------------------------------------------------------------------------- TOTAL 703 29,524,097.88 100.00% 8.420 301 68.84 612
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE MAXIMUM INTEREST RATE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- 11.500 -11.999 3 139,816.17 0.47% 5.700 176 70.63 742 12.000 -12.499 11 755,214.55 2.56% 6.234 255 70.51 679 12.500 -12.999 42 2,807,032.14 9.51% 6.900 286 59.76 668 13.000 -13.499 52 2,604,399.16 8.82% 7.153 310 69.68 648 13.500 -13.999 134 5,732,324.49 19.42% 7.635 306 65.70 621 14.000 -14.499 99 3,829,340.13 12.97% 8.169 302 62.13 587 14.500 -14.999 39 1,458,761.12 4.94% 8.556 299 62.94 583 15.000 -15.499 8 252,793.48 0.86% 9.250 292 66.51 551 15.500 -15.999 25 1,365,916.68 4.63% 8.679 306 63.96 587 16.000 -16.499 28 1,146,878.06 3.88% 8.632 288 73.59 616 16.500 -16.999 58 2,223,817.69 7.53% 9.551 310 70.33 591 17.000 -17.499 54 1,819,511.08 6.16% 9.310 302 80.85 621 17.500 -17.999 54 1,847,363.14 6.26% 9.604 292 82.08 595 18.000 -18.499 26 1,032,237.83 3.50% 10.157 321 76.53 600 18.500 -18.999 50 1,803,900.95 6.11% 10.604 316 77.60 571 19.000 -19.499 13 442,561.11 1.50% 11.085 320 74.39 575 19.500 -19.999 7 262,230.10 0.89% 11.521 311 68.89 542 - -------------------------------------------------------------------------------------------------------------------------- TOTAL 703 29,524,097.88 100.00% 8.420 301 68.84 612
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE INITIAL PERIODIC RATE CAP LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- 2.000 436 19,617,092.49 66.44% 7.872 299 63.84 617 3.000 267 9,907,005.39 33.56% 9.504 306 78.74 602 - -------------------------------------------------------------------------------------------------------------------------- TOTAL 703 29,524,097.88 100.00% 8.420 301 68.84 612
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE SUBSEQUENT PERIODIC RATE CAP LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- 1.000 703 29,524,097.88 100.00% 8.420 301 68.84 612 - -------------------------------------------------------------------------------------------------------------------------- TOTAL 703 29,524,097.88 100.00% 8.420 301 68.84 612
WEIGHTED WEIGHTED AVERAGE WEIGHTED CURRENT PCT BY AVERAGE STATED AVERAGE WEIGHTED # OF PRINCIPAL CURR PRIN GROSS REMAINING COMBINED AVERAGE NEXT RATE CHANGE DATE LOANS BALANCE BAL COUPON TERM ORIG LTV FICO - --------------------------------------------------------------------------------------------------------------------------- 12/01/05 4 199,466.08 0.68% 6.847 291 63.07 691 01/01/06 4 151,781.38 0.51% 8.041 227 76.79 581 02/01/06 4 160,885.46 0.54% 7.161 213 61.85 631 03/01/06 8 452,170.25 1.53% 7.284 223 79.36 688 04/01/06 4 146,602.60 0.50% 7.214 227 62.62 675 05/01/06 7 459,091.30 1.55% 8.266 294 67.74 598 06/01/06 9 369,694.22 1.25% 7.162 232 74.84 662 07/01/06 6 341,250.56 1.16% 6.862 241 66.96 665 08/01/06 7 200,405.52 0.68% 7.944 236 55.65 578 09/01/06 3 85,559.04 0.29% 7.961 179 73.11 608 10/01/06 1 22,640.20 0.08% 8.750 228 85.00 738 11/01/06 3 119,344.71 0.40% 7.747 294 64.71 591 12/01/06 7 231,723.67 0.78% 9.499 262 76.96 662 01/01/07 13 508,159.37 1.72% 9.344 260 72.54 658 02/01/07 13 575,998.22 1.95% 8.342 329 63.72 627 03/01/07 43 2,344,305.80 7.94% 7.935 317 67.24 629 04/01/07 62 2,472,605.98 8.37% 8.489 295 68.41 604 05/01/07 75 3,056,273.13 10.35% 8.344 299 68.73 606 06/01/07 85 3,918,040.17 13.27% 8.589 312 68.31 608 07/01/07 64 2,619,320.83 8.87% 8.817 309 69.88 599 08/01/07 87 3,417,591.34 11.58% 8.489 307 71.02 601 09/01/07 88 3,480,797.46 11.79% 8.637 300 69.67 602 10/01/07 91 3,567,758.84 12.08% 8.493 322 66.54 611 03/01/08 2 71,677.69 0.24% 9.500 353 83.16 614 04/01/08 1 12,747.98 0.04% 9.250 354 84.92 609 05/01/08 4 249,261.77 0.84% 8.387 273 59.22 632 06/01/08 2 31,049.81 0.11% 9.950 224 81.91 626 07/01/08 3 182,630.36 0.62% 8.468 357 72.59 621 08/01/08 2 47,784.55 0.16% 8.376 208 71.54 613 09/01/08 1 27,479.59 0.09% 7.500 359 66.78 687 - -------------------------------------------------------------------------------------------------------------------------- TOTAL 703 29,524,097.88 100.00% 8.420 301 68.84 612
Deal Name: Home Loan 2005-1 Subprime We would like to see the following data on the aggregate collateral and on all of the groups in the deal. aggregate pool - ---------------------------------------------------------------------------- gross WAC (%) 7.858 - ---------------------------------------------------------------------------- wtd avg FICO 608 - ---------------------------------------------------------------------------- FICO < 500 (%) 1.18% - ---------------------------------------------------------------------------- FICO < 550 (%) 9.56% - ---------------------------------------------------------------------------- FICO < 600 (%) 44.76% - ---------------------------------------------------------------------------- FICO 600-650 (%) 36.15% - ---------------------------------------------------------------------------- wtd avg LTV (%) 69.47 - ---------------------------------------------------------------------------- LTV = 80 (%) 8.76% - ---------------------------------------------------------------------------- LTV > 80.01 (%) 25.43% - ---------------------------------------------------------------------------- % Uninsured > 80% 100.00% - ---------------------------------------------------------------------------- LTV 95.01 -100 (%) 0.00% - ---------------------------------------------------------------------------- CLTV (including silent seconds) 69.47 - ---------------------------------------------------------------------------- Full Doc (%) 100.00% - ---------------------------------------------------------------------------- Stated Doc (%) 0.00% - ---------------------------------------------------------------------------- No Doc /No Ratio / NINA (%) 0.00% - ---------------------------------------------------------------------------- purch (%) 0.91% - ---------------------------------------------------------------------------- CO refi (%) 99.09% - ---------------------------------------------------------------------------- Own Occ (%) 96.06% - ---------------------------------------------------------------------------- Investor (%) 3.94% - ---------------------------------------------------------------------------- Prepay Penalty (%) 78.32% - ---------------------------------------------------------------------------- wtd avg DTI (%) 40.38 - ---------------------------------------------------------------------------- ARM ? (% of total) 90.10% - ---------------------------------------------------------------------------- 2/28 (% of total) 87.67% - ---------------------------------------------------------------------------- 3/27 (% of total) 2.43% - ---------------------------------------------------------------------------- 5/25 (% of total) 0.00% - ---------------------------------------------------------------------------- 1st Lien (%) 72.17% - ---------------------------------------------------------------------------- Avg Loan Balance 69,532.01 - ---------------------------------------------------------------------------- # of Loans 1,611 - ---------------------------------------------------------------------------- Loan Bal < $100k (%) 49.24% - ---------------------------------------------------------------------------- Mtg Rates > 12% (%) 0.10% - ---------------------------------------------------------------------------- Manuf Housing (%) 0.00% - ---------------------------------------------------------------------------- largest state (%) New Jersey 17.75% - ---------------------------------------------------------------------------- silent 2nd (%) 0.00% - ---------------------------------------------------------------------------- IO loans (%) 0.00% - ---------------------------------------------------------------------------- 10yr IO (%) 0.00% - ---------------------------------------------------------------------------- 5yr IO (%) 0.00% - ---------------------------------------------------------------------------- 2 yr IO (%) 0.00% - ---------------------------------------------------------------------------- IO: FICO - - ---------------------------------------------------------------------------- IO LTV (%) - - ---------------------------------------------------------------------------- IO DTI (%) - - ---------------------------------------------------------------------------- IO full doc (%) 0.00% - ---------------------------------------------------------------------------- IO: purch (%) 0.00% - ---------------------------------------------------------------------------- DTI buckets < 35% 22.57% - ---------------------------------------------------------------------------- 35-40% 13.27% - ---------------------------------------------------------------------------- 40-45% 26.80% - ---------------------------------------------------------------------------- 45-50% 25.62% - ---------------------------------------------------------------------------- 50-55% 10.61% - ---------------------------------------------------------------------------- 55+% 0.53% - ---------------------------------------------------------------------------- -----END PRIVACY-ENHANCED MESSAGE-----