-----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, MTQK3QbzJzk3L9oiWEoQdgevWBS0c/RS96w7A1P+RAEcaBc7+dpLjGybRv6vsVEs s9t1SkQfQFP06eoKoPv2dA== 0000914121-05-002443.txt : 20051222 0000914121-05-002443.hdr.sgml : 20051222 20051222134844 ACCESSION NUMBER: 0000914121-05-002443 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20051221 ITEM INFORMATION: Other Events ITEM INFORMATION: Financial Statements and Exhibits FILED AS OF DATE: 20051222 DATE AS OF CHANGE: 20051222 FILER: COMPANY DATA: COMPANY CONFORMED NAME: WELLS FARGO ASSET SECURITIES CORP CENTRAL INDEX KEY: 0001011663 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] IRS NUMBER: 521972128 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 333-02209 FILM NUMBER: 051281336 BUSINESS ADDRESS: STREET 1: 7485 NEW HORIZON WAY CITY: FREDERICK STATE: MD ZIP: 21703 BUSINESS PHONE: 3018468881 MAIL ADDRESS: STREET 1: 7485 NEW HORIZON WAY CITY: FREDERIDK STATE: MD ZIP: 21703 FORMER COMPANY: FORMER CONFORMED NAME: NORWEST ASSET SECURITIES CORP DATE OF NAME CHANGE: 19960717 8-K 1 we876989-8k.txt CURRENT REPORT UNITED STATES 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: December 21, 2005 (Date of earliest event reported) Wells Fargo Asset Securities Corporation - -------------------------------------------------------------------------------- (Exact name of registrant as specified in its charter) Delaware 333-114847 52-1972128 - -------------------------------------------------------------------------------- (State or other jurisdiction (Commission (IRS Employer of incorporation) File No.) Identification No.) 7430 New Technology Way, Frederick, Maryland 21703 - -------------------------------------------------------------------------------- Address of principal executive offices (Zip Code) Registrant's Telephone Number, including area code (301) 846-8881 7485 New Horizon Way, Frederick, Maryland 21703 - -------------------------------------------------------------------------------- (Former name or former address, if changed since last report) 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: [_] Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) [_] Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12) [_] 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)) ITEM 8.01. Other Events Attached as an exhibit are the Collateral Term Sheets (as defined in the no-action letter dated February 17, 1995 issued by the Securities and Exchange Commission to the Public Securities Association), Structural Term Sheets and Computational Materials (each as defined in the no-action letter dated May 21, 1994 issued by the Securities and Exchange Commission to Kidder, Peabody Acceptance Corporation I, Kidder, Peabody & Co. Incorporated and Kidder Structured Asset Corporation) prepared by Lehman Brothers Inc. which are hereby filed pursuant to such letters. ITEM 9.01 Financial Statements and Exhibits (c) Exhibits Item 601(a) of Regulation S-K Exhibit No. Description - ----------------- ----------- (99) Collateral Term Sheets, Structural Term Sheets and Computational Materials prepared by Lehman Brothers Inc. in connection with Wells Fargo Home Equity Trust, Asset Backed Certificates, Series 2005-4 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 hereunto duly authorized. WELLS FARGO ASSET SECURITIES CORPORATION December 21, 2005 By: /s/ Bradley A. Davis ------------------------------------ Bradley A. Davis Vice President INDEX TO EXHIBITS Paper (P) or Exhibit No. Description Electronic (E) - ----------- ----------- -------------- (99) Collateral Term Sheets, Structural Term E Sheets and Computational Materials prepared by Lehman Brothers Inc in connection with Wells Fargo Home Equity Trust, Asset Backed Certificates, Series 2005-4 EX-99 2 we876989-ex99.txt COLLATERAL TERM SHEETS AND STRUCTURAL TERM SHEETS EXHIBIT 99 $127,250,000 (Approximate) Wells Fargo Home Equity Asset-Backed Securities 2005-4 Trust Wells Fargo Asset Securities Corporation, Depositor Lehman Brothers Inc., Underwriter Home Equity Asset-Backed Certificates, Series 2005-4 Overview of the Offered LIBOR Certificates
- ---------------- ----------------- ------------- ------------ ----------------- ------------ ---------------- ---------------------- Approximate Expected Initial Estimated Principal Principal Certificate Credit Pass-Through Avg. Life Payment Window S&P Certificates Balance(1) Type Support (2) Rate (3) (yrs) (4) (4) (5) Expected Ratings - ---------------- ----------------- ------------- ------------ ----------------- ------------ ---------------- ---------------------- M-1 $40,390,000 Sub 10.85% LIBOR + [ ]% 4.54 05/09 - 04/12 AA+ - ---------------- ----------------- ------------- ------------ ----------------- ------------ ---------------- ---------------------- M-2 $27,361,000 Sub 7.70% LIBOR + [ ]% 4.45 04/09 - 04/12 AA - ---------------- ----------------- ------------- ------------ ----------------- ------------ ---------------- ---------------------- M-3 $8,686,000 Sub 6.70% LIBOR + [ ]% 4.41 03/09 - 04/12 AA- - ---------------- ----------------- ------------- ------------ ----------------- ------------ ---------------- ---------------------- M-4 $16,069,000 Sub 4.85% LIBOR + [ ]% 4.40 02/09 - 04/12 A+ - ---------------- ----------------- ------------- ------------ ----------------- ------------ ---------------- ---------------------- M-5 $8,686,000 Sub 3.85% LIBOR + [ ]% 4.38 02/09 - 04/12 A - ---------------- ----------------- ------------- ------------ ----------------- ------------ ---------------- ---------------------- M-6 $5,646,000 Sub 3.20% LIBOR + [ ]% 4.38 02/09 - 04/12 A- - ---------------- ----------------- ------------- ------------ ----------------- ------------ ---------------- ---------------------- M-7 $10,857,000 Sub 1.95% LIBOR + [ ]% 4.32 01/09 - 04/12 BBB+ - ---------------- ----------------- ------------- ------------ ----------------- ------------ ---------------- ---------------------- M-8 $4,343,000 Sub 1.45% LIBOR + [ ]% 4.09 01/09 - 08/11 BBB - ---------------- ----------------- ------------- ------------ ----------------- ------------ ---------------- ---------------------- M-9 $5,212,000 Sub 0.85% LIBOR + [ ]% 3.68 01/09 - 10/10 BBB- - ---------------- ----------------- ------------- ------------ ----------------- ------------ ---------------- ---------------------- Total $127,250,000 - ---------------- ----------------- ------------- ------------ ----------------- ------------ ---------------- ----------------------
Overview of the Non-offered LIBOR Certificates
- ---------------- ----------------- ------------- ------------ ----------------- ------------ ---------------- ---------------------- A $733,966,000 Sr 15.50% LIBOR + [ ]% N/A N/A N/A - ---------------- ----------------- ------------- ------------ ----------------- ------------ ---------------- ---------------------- B-1 $3,040,000 Sub 0.50% LIBOR + [ ]% N/A N/A N/A - ---------------- ----------------- ------------- ------------ ----------------- ------------ ---------------- ----------------------
(1) The initial aggregate principal balance of the LIBOR Certificates will be subject to an upward or downward variance of no more than approximately 10%. The principal balances of the LIBOR Certificates are calculated using the scheduled principal balances of the Mortgage Loans as of the Cut-Off Date. (2) On the closing date, the expected overcollateralization will be an amount equal to approximately 0.50% of the scheduled principal balances of the Mortgage Loans as of the Cut-Off Date. (3) See the "Structure of the Certificates" section of this Term Sheet for more information on the Pass-Through-Rates of the LIBOR Certificates. (4) Assuming payment based on the pricing speeds outlined in "Key Terms - Pricing Prepayment Assumption" and to a 10% Optional Clean-Up Call on all certificates. (5) The final scheduled distribution date for the certificates is the Distribution Date in December 2035. Selected Mortgage Pool Data ((1)) - ----------------------------------------------------------- -------------------- Aggregate - ----------------------------------------------------------- -------------------- Scheduled Principal Balance: $868,599,210 Number of Mortgage Loans: 4,841 Average Scheduled Principal Balance: $179,426 Weighted Average Gross Coupon: 7.222% Weighted Average Net Coupon(2): 6.722% Non-Zero Weighted Average FICO Score: 623 Weighted Average Original LTV Ratio: 78.70% Weighted Average Original Full Combined LTV Ratio(3): 85.17% Weighted Average Stated Remaining Term (months): 353 Weighted Average Seasoning (months): 2 Weighted Average Months to Roll: 22 Weighted Average Gross Margin: 4.66% Weighted Average Initial Rate Cap: 2.98% Weighted Average Periodic Rate Cap: 1.02% Weighted Average Gross Maximum Lifetime Rate: 13.23% - ----------------------------------------------------------- -------------------- (1) All percentages calculated herein are percentages of scheduled principal balance unless otherwise noted as of the Cut-Off Date. (2) The Weighted Average Net Coupon is equal to the Weighted Average Gross Coupon less the Servicing Fee. (3) Reflects the original loan-to-value ratio, plus any known subordinate liens not owned by the trust fund. Investors are urged to read the final Prospectus Supplement and the related Prospectus, which will be filed with the Securities and Exchange Commission and may be accessed free of charge on the SEC's web site, www.sec.gov. Alternatively, you may obtain a copy of the Prospectus Supplement and Prospectus from Lehman Brothers Inc., 745 Seventh Ave., New York, NY, 10019, Attn: Asset Backed Fixed Income Syndicate or by calling 1-800-666-2388, extension 59519 and ask for Paul Tedeschi upon request. (The Prospectus Supplement and Prospectus are referred to collectively as the "Offering Document"). The Offering Document contains important information about the offered securities that is not contained in these materials. This information is furnished to you solely by Lehman Brothers Inc. and not by the Issuer of the securities or any of its affiliates. Lehman Brothers Inc. is acting as underwriter and not acting as agent for the Issuer or its affiliates in connection with the proposed transaction. Features of the Transaction - --------------------------- o The mortgage loans in the transaction consist of sub-prime, adjustable and fixed rate, first lien residential mortgage loans (the "Mortgage Loans") originated or acquired by Wells Fargo Bank, N.A. ("Wells Fargo"). o The Mortgage Loans will be serviced by the Wells Fargo Home Mortgage division of Wells Fargo Bank, N.A. o Credit support for the certificates will be provided through a senior/subordinate structure, upfront fully funded overcollateralization of approximately 0.50%, excess spread and mortgage insurance. o None of the Mortgage Loans are classified as (a) "high cost" loans under the Home Ownership and Equity Protection Act of 1994, as amended or (b) "high cost" loans under any other applicable state, federal or local law. o None of the Mortgage Loans secured by a property in the state of Georgia were originated between October 1, 2002 and March 7, 2003. o The transaction will be modeled on Bloomberg as WFHET 2005-4. o This transaction will contain a one-month LIBOR yield maintenance agreement (the "Yield Maintenance Agreement") available to pay Cap Carryover Amounts on the Class M and Class B-1 Certificates in the manner described herein. The Yield Maintenance Agreement will have an initial notional amount of approximately $130,290,000, a term of 59 months beginning on the second Distribution Date, and the trust fund will receive a payment under the Yield Maintenance Agreement with respect to any Distribution Date on which one-month LIBOR exceeds the applicable strike rate with respect to such Distribution Date. (See Appendix A for Yield Maintenance Agreement details). o The Offered Certificates and the Class A Certificates will be registered under a registration statement filed with the Securities and Exchange Commission. Time Table - ---------- Expected Closing Date: December 22, 2005 Cut-Off Date: December 1, 2005 Expected Pricing Date: Week of December 19, 2005 First Distribution Date: January 25, 2006 Key Terms - --------- Offered Certificates: Class M Certificates Non-Offered Certificates: Class A, Class B-1, Class CE, Class P and Class R Certificates LIBOR Certificates: Class A, Class M and Class B-1 Certificates Class M Certificates: Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8 and Class M-9 Certificates Class R Certificates: Class R-1 and Class R-2 Certificates Subordinated Certificates: Class M, Class B-1 and Class CE Certificates Depositor: Wells Fargo Asset Securities Corporation Underwriter: Lehman Brothers Inc. Servicer: Wells Fargo Bank, N.A. Securities Administrator: Wells Fargo Bank, N.A. Trustee: HSBC Bank (USA), National Association Custodian: Wells Fargo Bank, N.A. Cap Provider: IXIS Financial Products Inc. Yield Maintenance Agreement: This transaction will have a one-month LIBOR yield maintenance agreement available to pay Cap Carryover Amounts on the Class M and Class B-1 Certificates. The Yield Maintenance Agreement will have an initial notional amount of $130,290,000, for a term of 59 months beginning on the second Distribution Date. Credit Risk Manager: Clayton Fixed Income Services Inc. (formerly known as The Murrayhill Company), a Colorado corporation Credit Risk Manager Fee: 1.10 bps per annum of the unpaid principal balance of each mortgage loan payable monthly Servicing Fee Rate: 50 bps Distribution Date: 25th day of the month or the next Business Day Record Date: For any Distribution Date, the last Business Day of the Interest Accrual Period. Delay Days: 0 day delay on all the Offered Certificates Day Count: Actual/360 basis Prepayment Period: The calendar month prior to the Distribution Date Collection Period: The period commencing on the second day of the calendar month preceding the month in which the Distribution Date occurs and ending on the first day of the calendar month in which the Distribution Date occurs. Interest Accrual Period: For the LIBOR Certificates, from and including the prior Distribution Date, or for the first Distribution Date, from the Closing Date, through and including the day prior to the current Distribution Date. Pricing Prepayment Assumption: 30% CPR Excess Spread: The interest payable on the mortgage loans due to the initial weighted average net mortgage interest rate of the mortgage pool will be greater than the interest payments required on the LIBOR Certificates, resulting in excess cash flow calculated in the following manner based on the collateral as of the Cut-Off Date:
Initial Gross WAC of the Mortgage Loans (1): 7.22154% Less Servicing Fee: 0.50000% ------------------ Net WAC (1): 6.72154% Less Initial Principal Certificate Coupon (Approx.)(1)((2)): 5.24882% Less Credit Risk Manager Fee Rate: 0.01100% ------------------ Initial Excess Spread (1): 1.46172%
(1) This amount will vary on each distribution date based on changes to the weighted average interest rate on the Mortgage Loans as well as any changes in day count. (2) Assumes 1-month LIBOR equal to 4.37% and a 30-day month. This amount will vary on each distribution date based on changes to the weighted average Pass-Through Rates on the LIBOR Certificates as well as any changes in day count. Servicer Advancing: The Servicer will advance delinquent payments of scheduled principal and interest (other than balloon payments), subject to recoverability. Compensating Interest: The Servicer will be obligated, on or before each Distribution Date, to pay to the Securities Administrator for the benefit of Certificateholders an amount (such amount, "Compensating Interest") equal to the lesser of (i) the aggregate prepayment interest shortfall attributable to prepayments in full with respect to such Distribution Date and (ii) the Servicing Fee for such Distribution Date. Optional Clean-up Call: The transaction has a 10% optional clean-up call. Rating Agency: Standard & Poor's Ratings Services, a division of The McGraw-Hill Companies, Inc. Minimum Denomination: $100,000 with regard to each of the Offered Certificates. Legal Investment: It is anticipated that the Class M-1, Class M-2 and Class M-3 Certificates will initially be SMMEA eligible. ERISA Eligible: Underwriter's exemption is expected to apply to the Offered Certificates. However, prospective purchasers should consult their own counsel. Tax Treatment: All LIBOR Certificates represent REMIC regular interests subject to certain rights and obligations to receive amounts in respect of the Cap Carryover Amounts; the Securities Administrator will treat the rights and obligations to receive amounts in respect of the Cap Carryover Amounts as rights under a notional principal contract. The Class R-1 and Class R-2 Certificates each represent the residual interest in a REMIC. Prospectus: The Offered Certificates and the Class A Certificates will be offered pursuant to a prospectus supplemented by a prospectus supplement (together, the "Prospectus"). Complete information with respect to the Offered Certificates and the Class A Certificates and the collateral in which they evidence a beneficial ownership interest will be contained in the Prospectus. The information herein is qualified in its entirety by the information appearing in the Prospectus. To the extent that the information herein is inconsistent with the Prospectus, the Prospectus shall govern in all respects. Sales of the Offered Certificates may not be consummated unless the purchaser has received the Prospectus. PLEASE SEE "RISK FACTORS" IN THE PROSPECTUS FOR A DESCRIPTION OF INFORMATION THAT SHOULD BE CONSIDERED IN CONNECTION WITH AN INVESTMENT IN THE OFFERED CERTIFICATES. Structure of the Certificates - ----------------------------- Description of Principal and Interest Distributions Principal will be paid as described under the heading "Principal Distributions". Prior to the Step-Down Date or when a Trigger Event is in effect, all principal collected or advanced on the Mortgage Loans will be paid to the LIBOR Certificates as described herein. On or after the Step-Down Date, so long as no Trigger Event is in effect, the LIBOR Certificates will be paid, in order of seniority, principal only to the extent necessary to maintain their credit enhancement target. Excess interest will be available to maintain the overcollateralization target (which is one component of the credit support available to the Certificateholders). Interest will be paid monthly, on all of the LIBOR Certificates, at a rate of one-month LIBOR plus a margin that will step up after the date on which the Optional Clean-up Call is exercisable, subject to the applicable Cap or Maximum Cap Rate. The interest paid to each class will be reduced by Current Interest Shortfalls allocated to such class to the extent not otherwise covered by the monthly excess interest amount. Any reductions in interest payments due to the Pass-Through-Rate attributable to the applicable Cap or Maximum Cap Rate will be carried forward with interest at the applicable Pass-Through-Rate as described below and will be payable after payment of all required principal payments on such future Distribution Dates. Definitions Credit Enhancement. The LIBOR Certificates are credit enhanced by (1) the Monthly Excess Interest Amount, (2) 0.50% overcollateralization (fully funded upfront), and (3) subordination of distributions on the more subordinate classes of certificates to the required distributions on the more senior classes of certificates. Targeted Overcollateralization Amount. As of any Distribution Date, approximately 0.50% of the aggregate principal balance of the mortgage loans as of the Cut-Off Date. Mortgage Insurance. As of the Cut-Off Date, approximately 85.17% of the Mortgage Loans with original LTVs greater than 80% are covered by borrower and/or lender paid mortgage insurance. Senior Enhancement Percentage. For any Distribution Date, the percentage obtained by dividing (x) the aggregate principal balance of the Class M and Class B-1 Certificates (including any overcollateralization and prior to taking into account the distributions of the Principal Distribution Amount for such Distribution Date) by (y) the aggregate scheduled principal balance of the Mortgage Loans as of the last day of the related Collection Period. Step-Down Date. The earlier of (A) the Distribution Date following the date on which the principal balance of the Class A Certificates has been reduced to zero and (B) the later to occur of: (x) the Distribution Date occurring in January 2009; and (y) the first Distribution Date on which the Senior Enhancement Percentage is greater than or equal to 31.00%. - ----------- ---------------------------------- ----------------------------- Class Initial Subordination Percentage Step-Down Date Percentage - ----------- ---------------------------------- ----------------------------- A 15.50% 31.00% - ----------- ---------------------------------- ----------------------------- M-1 10.85% 21.70% - ----------- ---------------------------------- ----------------------------- M-2 7.70% 15.40% - ----------- ---------------------------------- ----------------------------- M-3 6.70% 13.40% - ----------- ---------------------------------- ----------------------------- M-4 4.85% 9.70% - ----------- ---------------------------------- ----------------------------- M-5 3.85% 7.70% - ----------- ---------------------------------- ----------------------------- M-6 3.20% 6.40% - ----------- ---------------------------------- ----------------------------- M-7 1.95% 3.90% - ----------- ---------------------------------- ----------------------------- M-8 1.45% 2.90% - ----------- ---------------------------------- ----------------------------- M-9 0.85% 1.70% - ----------- ---------------------------------- ----------------------------- B-1 0.50% 1.00% - ----------- ---------------------------------- ----------------------------- Trigger Event. A Trigger Event is in effect on any Distribution Date if (i) the three-month rolling average of 60+ Day Delinquent Loans (as a percentage of the aggregate principal balance of the mortgage loans as of the last day of the related Collection Period) equals or exceeds 48.00% of the Senior Enhancement Percentage or (ii) the aggregate amount of realized losses incurred since the Cut-Off Date through the last day of the related Collection Period divided by the aggregate scheduled principal balance of the Mortgage Loans as of the Cut-Off Date (the "Cumulative Realized Loss Percentage") exceeds the amounts set forth below:
- ---------------------------------- ------------------------------------------------------------ Distribution Date Cumulative Realized Loss Percentage: - ---------------------------------- ------------------------------------------------------------ January 2009 - December 2009 2.90% for the first month, plus an additional 1/12th of 1.00% for each month thereafter - ---------------------------------- ------------------------------------------------------------ January 2010 - December 2010 3.90% for the first month, plus an additional 1/12th of 0.70% for each month thereafter - ---------------------------------- ------------------------------------------------------------ January 2011 - December 2011 4.60% for the first month, plus an additional 1/12th of 0.30% for each month thereafter - ---------------------------------- ------------------------------------------------------------ January 2012 and thereafter 4.90% - ---------------------------------- ------------------------------------------------------------
60+ Day Delinquent Loan. A 60+ Day Delinquent Loan is any Mortgage Loan (including each Mortgage Loan in foreclosure and each Mortgage Loan for which the related mortgagor has filed for bankruptcy after the Closing Date) with respect to which any portion of a monthly payment is, as of the last day of the prior Collection Period, two months or more past due and each Mortgage Loan relating to REO property. Step-Up Coupons. For all LIBOR Certificates the coupon will increase after the first distribution date on which the Optional Clean-Up Call is first exercisable, should the call not be exercised. The margin for the Class A Certificates will increase to 2 times the margin at issuance, the margin for the Class M and Class B-1 Certificates will increase to 1.5 times the margin at issuance. Class A Pass-Through Rate. The Class A Certificates will accrue interest at a variable rate equal to the lesser of (a) the lesser of (i) one-month LIBOR plus [ ]% ([ ]% after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the related Group Maximum Rate Cap and (b) the related Group Cap. Class M-1 Pass-Through Rate. The Class M-1 Certificates will accrue interest at a variable rate equal to the lesser of (a) the lesser of (i) one-month LIBOR plus [ ]% ([ ]% after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Pool Maximum Rate Cap and (b) the Pool Cap. Class M-2 Pass-Through Rate. The Class M-2 Certificates will accrue interest at a variable rate equal to the lesser of (a) the lesser of (i) one-month LIBOR plus [ ]% ([ ]% after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Pool Maximum Rate Cap and (b) the Pool Cap. Class M-3 Pass-Through Rate. The Class M-3 Certificates will accrue interest at a variable rate equal to the lesser of (a) the lesser of (i) one-month LIBOR plus [ ]% ([ ]% after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Pool Maximum Rate Cap and (b) the Pool Cap. Class M-4 Pass-Through Rate. The Class M-4 Certificates will accrue interest at a variable rate equal to the lesser of (a) the lesser of (i) one-month LIBOR plus [ ]% ([ ]% after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Pool Maximum Rate Cap and (b) the Pool Cap. Class M-5 Pass-Through Rate. The Class M-5 Certificates will accrue interest at a variable rate equal to the lesser of (a) the lesser of (i) one-month LIBOR plus [ ]% ([ ]% after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Pool Maximum Rate Cap and (b) the Pool Cap. Class M-6 Pass-Through Rate. The Class M-6 Certificates will accrue interest at a variable rate equal to the lesser of (a) the lesser of (i) one-month LIBOR plus [ ]% ([ ]% after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Pool Maximum Rate Cap and (b) the Pool Cap. Class M-7 Pass-Through Rate. The Class M-7 Certificates will accrue interest at a variable rate equal to the lesser of (a) the lesser of (i) one-month LIBOR plus [ ]% ([ ]% after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Pool Maximum Rate Cap and (b) the Pool Cap. Class M-8 Pass-Through Rate. The Class M-8 Certificates will accrue interest at a variable rate equal to the lesser of (a) the lesser of (i) one-month LIBOR plus [ ]% ([ ]% after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Pool Maximum Rate Cap and (b) the Pool Cap. Class M-9 Pass-Through Rate. The Class M-9 Certificates will accrue interest at a variable rate equal to the lesser of (a) the lesser of (i) one-month LIBOR plus [ ]% ([ ]% after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Pool Maximum Rate Cap and (b) the Pool Cap. Class B-1 Pass-Through Rate. The Class B-1 Certificates will accrue interest at a variable rate equal to the lesser of (a) the lesser of (i) one-month LIBOR plus [ ]% ([ ]% after the first distribution date on which the Optional Clean-up Call is exercisable) and (ii) the Pool Maximum Rate Cap and (b) the Pool Cap. Cap. Either the applicable Group Cap or the Pool Cap. Group Cap. For any Distribution Date and for the Class A Certificates of a group will be a per annum rate (subject to adjustment based on the actual number of days elapsed in the related interest accrual period) equal to the weighted average of the mortgage interest rates (less the Servicing Fee Rate) for the Mortgage Loans of the related loan group, weighted on the basis of the unpaid principal balance of the Mortgage Loans of the related loan group as of the first day of the related Collection Period; provided, however, that on any Distribution Date after the aggregate principal balance of the Class A Certificates related to either group has been reduced to zero, such weighting shall be on the basis of the unpaid principal balance of the Mortgage Loans of both loan groups as of the first day of the related Collection Period. Pool Cap. As to any Distribution Date, a per annum rate equal to the weighted average of each Group Cap, weighted on the basis of the related Group Subordinate Amount for each group, provided however, that on any Distribution Date after the aggregate principal balance of the Class A Certificates related to any group has been reduced to zero, such weighting shall be on the basis of the unpaid principal balance of the Mortgage Loans of the related loan group as of the first day of the related Collection Period. Maximum Rate Cap. Either the applicable Group Maximum Rate Cap or the Pool Maximum Rate Cap. Group Maximum Rate Cap. For any Distribution Date and for the Class A Certificates of a group will be a per annum rate (subject to adjustment based on the actual number of days elapsed in the related interest accrual period) equal to the weighted average of the mortgage interest rate ceilings (less the Servicing Fee Rate) for the adjustable rate Mortgage Loans of the related loan group and the mortgage interest rates (less the Servicing Fee Rate) for the fixed rate Mortgage Loans of the related loan group, weighted on the basis of the unpaid principal balance of the Mortgage Loans of the related loan group as of the first day of the related Collection Period. Pool Maximum Rate Cap. As to any Distribution Date, a per annum rate equal to the weighted average of each Group Maximum Rate Cap, weighted on the basis of the related Group Subordinate Amount for each group, provided however, that on any Distribution Date after the aggregate principal balance of the Class A Certificates related to any group has been reduced to zero, such weighting shall be on the basis of the unpaid principal balance of the Mortgage Loans of the related loan group as of the first day of the related Collection Period. Group Subordinate Amount. For any Distribution Date and a loan group, will be equal to the greater of (x) zero and (y) the excess of the aggregate unpaid principal balance of the Mortgage Loans in such loan group as of the first day of the related Collection Period over the aggregate Principal Balance of the Class A Certificates of the related group immediately prior to such Distribution Date. Cap Carryover Amount. With respect to the LIBOR Certificates on any Distribution Date, the Cap Carryover Amount will equal the sum of (i) the excess, if any, of interest that would otherwise be due on such class of certificates at such certificates' applicable Pass-Through Rate (without regard to the applicable Cap, but up to a maximum rate equal to the applicable Maximum Rate Cap) over interest due on such class of certificates at a rate equal to the applicable Cap, (ii) any Cap Carryover Amount for such class remaining unpaid for such certificate from prior Distribution Dates, and (iii) interest on the amount in clause (ii) at the certificates' applicable Pass-Through Rate (without regard to the applicable Cap, but up to a maximum rate equal to the applicable Maximum Rate Cap). Accrued Certificate Interest. For each class of LIBOR Certificates on any Distribution Date, the amount of interest accrued during the related Interest Accrual Period on the related principal balance immediately prior to such Distribution Date at the related Pass-Through Rate as reduced by that class's share of the excess of the Current Interest Shortfall for such Distribution Date, if any, over the Monthly Excess Interest Amount for such Distribution Date. Current Interest Shortfall. Any shortfalls resulting from the application of the Servicemembers Civil Relief Act or any similar state statutes, prepayment interest shortfalls resulting from prepayments in full, to the extent not covered by Compensating Interest and any prepayment interest shortfalls resulting from partial principal prepayments. Interest Remittance Amount. For any Distribution Date, the portion of funds available for distribution on such Distribution Date attributable to interest received or advanced on the Mortgage Loans less the Servicing Fee Rate and certain amounts available for reimbursement of advances. Realized Losses. With respect to any defaulted Mortgage Loan that is liquidated, the amount of loss realized equal to the portion of the principal balance remaining unpaid after application of all liquidation proceeds, insurance proceeds and condemnation awards, net of amounts reimbursable to the Servicer for the related advances and the applicable servicing fees in respect of such Mortgage Loan. Interest Distributions on the LIBOR Certificates. On each Distribution Date, interest distributions from the Interest Remittance Amount will be allocated as follows: (a) to the Class A Certificates, the related accrued certificate interest and any unpaid accrued certificate interest amount from prior Distribution Dates; (b) from any remaining Interest Remittance Amount to the Class M Certificates, sequentially, in ascending numerical order, their Accrued Certificate Interest and interest carryforward amount for such Distribution Date; (c) from any remaining Interest Remittance Amount to the Class B-1 Certificates, their Accrued Certificate Interest and interest carryforward amount for such Distribution Date; (d) to pay the Credit Risk Manager, the Credit Risk Manager Fee; and (e) from any remaining Interest Remittance Amount (such amount, the "Monthly Excess Interest Amount"), as a component of Monthly Excess Cashflow Amount. Principal Distributions. On each Distribution Date (a) prior to the Step-Down Date or (b) on which a Trigger Event is in effect, the Principal Distribution Amount will be allocated in the following order of priority: (a) to the related Class A Certificates, the related Principal Distribution Amount, until the principal balance thereof has been reduced to zero; (b) the portion of the available Principal Distribution Amount remaining after making the distribution described above in paragraph (a) will be distributed to the Class M Certificates, sequentially, in ascending numerical order, until the principal balances thereof have been reduced to zero; (c) the portion of the available Principal Distribution Amount remaining after making the distribution described above in paragraphs (a) and (b) will be distributed to the Class B-1 Certificates until the principal balances thereof have been reduced to zero; and (d) from any remaining Principal Distribution Amount, as a component of Monthly Excess Cash Flow Amount. On each Distribution Date (a) on or after the Step-Down Date and (b) on which a Trigger Event is not in effect, the principal distributions from the Principal Distribution Amount will be allocated in the following order of priority: (a) to the related Class A Certificates, the lesser of the related Principal Distribution Amount and the related Class A Principal Distribution Amount, until their principal balance has been reduced to zero; (b) the portion of the available Principal Distribution Amount remaining after making the distribution described above in paragraph (a) will be distributed sequentially, in ascending numerical order, to each Class M Certificate, the lesser of the remaining Principal Distribution Amount and the Principal Distribution Amount for such class, until the principal balance of such class has been reduced to zero; and (c) the portion of the available Principal Distribution Amount remaining after making the distribution described above in paragraphs (a) and (b) will be distributed to the Class B-1 Certificates, the lesser of the remaining Principal Distribution Amount and the Principal Distribution Amount for such class, until the principal balance of such class has been reduced to zero. Allocation of Monthly Excess Cashflow Amount and Yield Maintenance Agreement Payments. For any Distribution Date, any Monthly Excess Cashflow Amounts and Yield Maintenance Agreement payments shall be paid as follows: (a) from any Monthly Excess Cashflow Amounts in the following order of priority: (i) concurrently to the Class A Certificates, first their remaining unpaid Accrued Certificate Interest and then their interest carryforward amount; (ii) sequentially, in ascending numerical order, to the Class M Certificates, first their remaining unpaid Accrued Certificate Interest, and then their interest carryforward amount; (iii) to the Class B-1 Certificates, first their remaining unpaid Accrued Certificate Interest, and then their interest carryforward amount; (iv) sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class B-1 Certificates, any Realized Loss Amortization Amount; (v) to the Class A Certificates, any Cap Carryover Amount for the Class A Certificates; (vi) sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class B-1 Certificates, any Cap Carryover Amounts for such classes; and (b) (i) from the Yield Maintenance Agreement payments, sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9 and Class B-1 Certificates, in each case, up to their respective Cap Carryover Amounts, and (ii) from any remaining Yield Maintenance Agreement payments, after the distributions to the certificates in this paragraph, such remaining amount is required to be distributed as set forth in the pooling and servicing agreement; (c) to the holders of the Class CE certificates, any remaining amounts. Monthly Excess Cashflow Amount. For any Distribution Date, the amount of available funds for such Distribution Date remaining after making all payments of interest and principal to the certificates. Allocation of Realized Losses. All Realized Losses on the Mortgage Loans will be allocated sequentially on each Distribution Date in the following order of priority, (a) to the excess cash flow, (b) in reduction of the overcollateralization amount, and (c) sequentially, to the Class B-1, Class M-9, Class M-8, Class M-7, Class M-6, Class M-5, Class M-4, Class M-3, Class M-2 and Class M-1 Certificates, in that order. An allocation of any Realized Losses to a Subordinated Certificate (other than the Class CE Certificates) on any Distribution Date will be made by reducing its principal balance, after taking into account all distributions made on such Distribution Date and any increase in principal balance due to a subsequent recovery. Realized Losses will not be allocated to reduce the principal balance of the Class A Certificates. Realized Loss Amortization Amount. For each Distribution Date and each class of Subordinated Certificates (other than the Class CE Certificates), the Realized Loss Amortization Amount will be equal to the amount by which (x) the aggregate amount of Realized Losses previously applied in reduction of the principal balance of such class exceeds (y) the sum of (1) the aggregate of amounts previously distributed in reimbursement thereof pursuant to the allocation of Monthly Excess Cashflow Amount and (2) the amount by which the principal balance of such class has been increased due to any subsequent recovery. Principal Distribution Amount. On any Distribution Date for each group, (1) the sum of (a) the related Principal Remittance Amount and (b) the related Extra Principal Distribution Amount, if any, minus (2) the related Overcollateralization Release Amount, if any. Principal Remittance Amount. On any Distribution Date, the sum, less certain reimbursement and indemnification amounts, of: a) all scheduled payments of principal due during the related Collection Period and received by the Servicer on or prior to the related determination date or advanced by the Servicer for the related servicer remittance date, b) the principal portion of all partial and full prepayments received during the related prepayment period, c) the principal portion of all net liquidation proceeds, net condemnation proceeds, net insurance proceeds and subsequent recoveries received during the month prior to the month during which such Distribution Date occurs, d) the principal portion of the repurchase price for any repurchase price for any repurchased Mortgage Loans, that were repurchased during the related prepayment period, e) the principal portion of substitution adjustments received in connection with the substitution of a Mortgage Loan during the related prepayment period, and f) the principal portion of the termination price if the Optional Clean-Up Call is exercised. Extra Principal Distribution Amount. For any Distribution Date, the lesser of (a) the Monthly Excess Interest Amount, after reduction for any Current Interest Shortfall and (b) the Overcollateralization Deficiency Amount for such Distribution Date allocated to each Group, based on the related Principal Remittance Amount. Overcollateralization Deficiency Amount: For any Distribution Date, the excess, if any, of (x) the Targeted Overcollateralization Amount for such Distribution Date over (y) the actual overcollateralization amount, after giving effect to distributions of the Principal Distribution Amount (other than the Extra Principal Distribution Amount component) on such Distribution Date. Overcollateralization Release Amount. For any Distribution Date on or after the Stepdown Date on which a Trigger Event is not in effect, the lesser of (x) the Principal Remittance Amount and (y) the excess, if any, of (i) the Overcollateralization Amount for such Distribution Date, assuming that 100% of the Principal Remittance Amount is applied as a principal payment on the Certificates on such Distribution Date over (ii) the Targeted Overcollateralization Amount of such Distribution Date. With respect to any Distribution Date on which a Trigger Event is in effect, the Overcollateralization Release Amount will be zero. Class A Principal Distribution Amount. An amount equal to the excess of: (x) the principal balance of the Class A Certificates related to such Group immediately prior to such Distribution Date, over (y) the lesser of: (A) the product of (i) 69.00% and (ii) the aggregate scheduled principal balance of the Mortgage Loans related to such Group for such Distribution Date, and (B) the excess, if any, of the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date related to such Group over approximately 0.50% of the principal balance of the Mortgage Loans as of the Cut-Off Date related to such Group. Class M-1 Principal Distribution Amount. An amount equal to the excess of: (x) the sum of: (A) the principal balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date) and (B) the principal balance of the Class M-1 Certificates immediately prior to such Distribution Date, over (y) the lesser of: (A) the product of (i) 78.30% and (ii) the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date, and (B) the excess, if any, of the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date over approximately 0.50% of the aggregate scheduled principal balance of the Mortgage Loans as of the Cut-Off Date. Class M-2 Principal Distribution Amount. An amount equal to the excess of: (x) the sum of: (A) the principal balance of the Class A Certificates (after taking into account the payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the principal balance of the Class M-1 Certificates (after taking into account the payment of the Class M-1 Principal Distribution Amount on such Distribution Date), and (C) the principal balance of the Class M-2 Certificates immediately prior to such Distribution Date, over (y) the lesser of: (A) the product of (i) 84.60% and (ii) the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date, and (B) the excess, if any, of the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date over approximately 0.50% of the aggregate scheduled principal balance of the Mortgage Loans as of the Cut-Off Date. Class M-3 Principal Distribution Amount. An amount equal to the excess of: (x) the sum of (A) the principal balance of the Class A Certificates (after taking into account any payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the principal balance of the Class M-1 Certificates (after taking into account any payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the principal balance of the Class M-2 Certificates (after taking into account any payment of the Class M-2 Principal Distribution Amount on such Distribution Date), and (D) the principal balance of the Class M-3 Certificates immediately prior to such Distribution Date, over (y) the lesser of (A) the product of (i) 86.60% and (ii) the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date, and (B) the excess, if any, of the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date over approximately 0.50% of the aggregate scheduled principal balance of the Mortgage Loans as of the Cut-Off Date. Class M-4 Principal Distribution Amount. An amount equal to the excess of: (x) the sum of (A) the principal balance of the Class A Certificates (after taking into account any payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the principal balance of the Class M-1 Certificates (after taking into account any payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the principal balance of the Class M-2 Certificates (after taking into account any payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (D) the principal balance of the Class M-3 Certificates (after taking into account any payment of the Class M-3 Principal Distribution Amount on such Distribution Date), and (E) the principal balance of the Class M-4 Certificates immediately prior to such Distribution Date, over (y) the lesser of (A) the product of (i) 90.30% and (ii) the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date, and (B) the excess, if any, of the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date over approximately 0.50% of the aggregate scheduled principal balance of the Mortgage Loans as of the Cut-Off Date. Class M-5 Principal Distribution Amount. An amount equal to the excess of: (x) the sum of (A) the principal balance of the Class A Certificates (after taking into account any payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the principal balance of the Class M-1 Certificates (after taking into account any payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the principal balance of the Class M-2 Certificates (after taking into account any payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (D) the principal balance of the Class M-3 Certificates (after taking into account any payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (E) the principal balance of the Class M-4 Certificates (after taking into account any payment of the Class M-4 Principal Distribution Amount on such Distribution Date), and (F) the principal balance of the Class M-5 Certificates immediately prior to such Distribution Date, over (y) the lesser of (A) the product of (i) 92.30% and (ii) the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date, and (B) the excess, if any, of the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date over approximately 0.50% of the aggregate scheduled principal balance of the Mortgage Loans as of the Cut-Off Date. Class M-6 Principal Distribution Amount. An amount equal to the excess of: (x) the sum of (A) the principal balance of the Class A Certificates (after taking into account any payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the principal balance of the Class M-1 Certificates (after taking into account any payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the principal balance of the Class M-2 Certificates (after taking into account any payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (D) the principal balance of the Class M-3 Certificates (after taking into account any payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (E) the principal balance of the Class M-4 Certificates (after taking into account any payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (F) the principal balance of the Class M-5 Certificates (after taking into account any payment of the Class M-5 Principal Distribution Amount on such Distribution Date), and (G) the principal balance of the Class M-6 Certificates immediately prior to such Distribution Date, over (y) the lesser of (A) the product of (i) 93.60% and (ii) the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date, and (B) the excess, if any, of the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date over approximately 0.50% of the aggregate scheduled principal balance of the Mortgage Loans as of the Cut-Off Date. Class M-7 Principal Distribution Amount. An amount equal to the excess of: (x) the sum of (A) the principal balance of the Class A Certificates (after taking into account any payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the principal balance of the Class M-1 Certificates (after taking into account any payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the principal balance of the Class M-2 Certificates (after taking into account any payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (D) the principal balance of the Class M-3 Certificates (after taking into account any payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (E) the principal balance of the Class M-4 Certificates (after taking into account any payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (F) the principal balance of the Class M-5 Certificates (after taking into account any payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (G) the principal balance of the Class M-6 Certificates (after taking into account any payment of the Class M-6 Principal Distribution Amount on such Distribution Date), and (H) the principal balance of the Class M-7 Certificates immediately prior to such Distribution Date, over (y) the lesser of (A) the product of (i) 96.10% and (ii) the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date, and (B) the excess, if any, of the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date over approximately 0.50% of the aggregate scheduled principal balance of the Mortgage Loans as of the Cut-Off Date. Class M-8 Principal Distribution Amount. An amount equal to the excess of: (x) the sum of (A) the principal balance of the Class A Certificates (after taking into account any payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the principal balance of the Class M-1 Certificates (after taking into account any payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the principal balance of the Class M-2 Certificates (after taking into account any payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (D) the principal balance of the Class M-3 Certificates (after taking into account any payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (E) the principal balance of the Class M-4 Certificates (after taking into account any payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (F) the principal balance of the Class M-5 Certificates (after taking into account any payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (G) the principal balance of the Class M-6 Certificates (after taking into account any payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (H) the principal balance of the Class M-7 Certificates (after taking into account any payment of the Class M-7 Principal Distribution Amount on such Distribution Date), and (I) the principal balance of the Class M-8 Certificates immediately prior to such Distribution Date, over (y) the lesser of (A) the product of (i) 97.10% and (ii) the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date, and (B) the excess, if any, of the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date over approximately 0.50% of the aggregate scheduled principal balance of the Mortgage Loans as of the Cut-Off Date. Class M-9 Principal Distribution Amount. An amount equal to the excess of: (x) the sum of (A) the principal balance of the Class A Certificates (after taking into account any payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the principal balance of the Class M-1 Certificates (after taking into account any payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the principal balance of the Class M-2 Certificates (after taking into account any payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (D) the principal balance of the Class M-3 Certificates (after taking into account any payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (E) the principal balance of the Class M-4 Certificates (after taking into account any payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (F) the principal balance of the Class M-5 Certificates (after taking into account any payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (G) the principal balance of the Class M-6 Certificates (after taking into account any payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (H) the principal balance of the Class M-7 Certificates (after taking into account any payment of the Class M-7 Principal Distribution Amount on such Distribution Date), (I) the principal balance of the Class M-8 Certificates (after taking into account any payment of the Class M-8 Principal Distribution Amount on such Distribution Date), and (J) the principal balance of the Class M-9 Certificates immediately prior to such Distribution Date, over (y) the lesser of (A) the product of (i) 98.30% and (ii) the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date, and (B) the excess, if any, of the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date over approximately 0.50% of the aggregate scheduled principal balance of the Mortgage Loans as of the Cut-Off Date. Class B-1 Principal Distribution Amount. An amount equal to the excess of: (x) the sum of (A) the principal balance of the Class A Certificates (after taking into account any payment of the Class A Principal Distribution Amount on such Distribution Date), (B) the principal balance of the Class M-1 Certificates (after taking into account any payment of the Class M-1 Principal Distribution Amount on such Distribution Date), (C) the principal balance of the Class M-2 Certificates (after taking into account any payment of the Class M-2 Principal Distribution Amount on such Distribution Date), (D) the principal balance of the Class M-3 Certificates (after taking into account any payment of the Class M-3 Principal Distribution Amount on such Distribution Date), (E) the principal balance of the Class M-4 Certificates (after taking into account any payment of the Class M-4 Principal Distribution Amount on such Distribution Date), (F) the principal balance of the Class M-5 Certificates (after taking into account any payment of the Class M-5 Principal Distribution Amount on such Distribution Date), (G) the principal balance of the Class M-6 Certificates (after taking into account any payment of the Class M-6 Principal Distribution Amount on such Distribution Date), (H) the principal balance of the Class M-7 Certificates (after taking into account any payment of the Class M-7 Principal Distribution Amount on such Distribution Date), (I) the principal balance of the Class M-8 Certificates (after taking into account any payment of the Class M-8 Principal Distribution Amount on such Distribution Date), (J) the principal balance of the Class M-9 Certificates (after taking into account any payment of the Class M-9 Principal Distribution Amount on such Distribution Date), and (K) the principal balance of the Class B-1 Certificates immediately prior to such Distribution Date, over (y) the lesser of (A) the product of (i) 99.00% and (ii) the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date, and (B) the excess, if any, of the aggregate scheduled principal balance of the Mortgage Loans for such Distribution Date over approximately 0.50% of the aggregate scheduled principal balance of the Mortgage Loans as of the Cut-Off Date. Remaining Prepayment Penalty Term by Product Type(1) (2)
Product No Penalty 1-12 Months 13-24 Months 25-36 Months 37-48 Months 49-60 Months Total 1 YR ARM $ 19,364,529 $ 0 $ 0 $ 0 $ 0 $ 0 $ 19,364,529 15 YR FIXED $ 3,238,927 $ 0 $ 816,760 $ 5,406,634 $ 0 $ 0 $ 9,462,321 2 YR ARM $150,268,191 $ 0 $431,799,523 $ 0 $ 0 $ 0 $582,067,714 2 YR ARM IO $ 38,169,732 $ 0 $119,480,046 $ 0 $ 0 $ 0 $157,649,778 3 YR ARM $ 3,962,826 $ 0 $ 564,002 $ 9,253,529 $ 0 $ 0 $ 13,780,357 3 YR ARM IO $ 557,996 $ 0 $ 0 $ 6,801,267 $ 0 $ 0 $ 7,359,262 30 YR Fixed $ 13,022,060 $ 0 $ 1,636,306 $ 47,917,386 $ 0 $ 0 $ 62,575,752 30 YR Fixed IO $ 344,194 $ 0 $ 178,500 $ 285,449 $ 0 $ 0 $ 808,143 Fixed 15/30 BLN $ 1,864,276 $ 0 $ 0 $ 13,667,079 $ 0 $ 0 $ 15,531,355 - ------------------------------------------------------------------------------------------------------------------------------------ Total(3): $230,792,730 $ 0 $554,475,137 $ 83,331,344 $ 0 $ 0 $868,599,210 ========================== ============ ============ ============ ============ ============ ============ ============
Product No Penalty 1-12 Months 13-24 Months 25-36 Months 37-48 Months 49-60 Months 1 YR ARM 2.23% 0.00% 0.00% 0.00% 0.00% 0.00% 15 YR FIXED 0.37% 0.00% 0.09% 0.62% 0.00% 0.00% 2 YR ARM 17.30% 0.00% 49.71% 0.00% 0.00% 0.00% 2 YR ARM IO 4.39% 0.00% 13.76% 0.00% 0.00% 0.00% 3 YR ARM 0.46% 0.00% 0.06% 1.07% 0.00% 0.00% 3 YR ARM IO 0.06% 0.00% 0.00% 0.78% 0.00% 0.00% 30 YR Fixed 1.50% 0.00% 0.19% 5.52% 0.00% 0.00% 30 YR Fixed IO 0.04% 0.00% 0.02% 0.03% 0.00% 0.00% Fixed 15/30 BLN 0.21% 0.00% 0.00% 1.57% 0.00% 0.00% - ------------------------- ------- ---- ----- ---- ---- ---- Total(3): 26.57% 0.00% 63.84% 9.59% 0.00% 0.00% ========================= ======= ==== ===== ==== ==== ====
(1) All percentages calculated herein are percentages of scheduled principal balance as of the Cut-Off Date unless otherwise noted. (2) None of the Mortgage Loans has a prepayment penalty term in excess of 60 months. (3) Columns may not add up due to rounding.
- ----------------------------------------------------------------------------------------------------------------------------- Sensitivity Analysis - To 10% Call - ----------------------------------------------------------------------------------------------------------------------------- CPR 20% 25% 30% 35% 40% Class M-1 - --------- Average Life (yrs) 6.46 5.19 4.54 4.28 4.36 Window (months) 37-118 39-93 41-76 44-63 48-54 Expected Final Maturity 10/25/2015 9/25/2013 4/25/2012 3/25/2011 6/25/2010 Class M-2 - --------- Average Life (yrs) 6.46 5.17 4.45 4.07 3.95 Window (months) 37-118 38-93 40-76 41-63 43-54 Expected Final Maturity 10/25/2015 9/25/2013 4/25/2012 3/25/2011 6/25/2010 Class M-3 - --------- Average Life (yrs) 6.46 5.16 4.41 3.99 3.80 Window (months) 37-118 38-93 39-76 40-63 42-54 Expected Final Maturity 10/25/2015 9/25/2013 4/25/2012 3/25/2011 6/25/2010 Class M-4 - --------- Average Life (yrs) 6.46 5.16 4.40 3.94 3.72 Window (months) 37-118 37-93 38-76 39-63 40-54 Expected Final Maturity 10/25/2015 9/25/2013 4/25/2012 3/25/2011 6/25/2010 Class M-5 - --------- Average Life (yrs) 6.46 5.15 4.38 3.91 3.65 Window (months) 37-118 37-93 38-76 39-63 39-54 Expected Final Maturity 10/25/2015 9/25/2013 4/25/2012 3/25/2011 6/25/2010 Class M-6 - --------- Average Life (yrs) 6.46 5.15 4.38 3.87 3.61 Window (months) 37-118 37-93 38-76 38-63 39-54 Expected Final Maturity 10/25/2015 9/25/2013 4/25/2012 3/25/2011 6/25/2010 Class M-7 - --------- Average Life (yrs) 6.41 5.11 4.32 3.84 3.55 Window (months) 37-118 37-93 37-76 37-63 38-54 Expected Final Maturity 10/25/2015 9/25/2013 4/25/2012 3/25/2011 6/25/2010 Class M-8 - --------- Average Life (yrs) 6.06 4.83 4.09 3.62 3.36 Window (months) 37-106 37-84 37-68 37-57 37-48 Expected Final Maturity 10/25/2014 12/25/2012 8/25/2011 9/25/2010 12/25/2009 Class M-9 - --------- Average Life (yrs) 5.43 4.34 3.68 3.29 3.12 Window (months) 37-91 37-72 37-58 37-49 37-41 Expected Final Maturity 7/25/2013 12/25/2011 10/25/2010 1/25/2010 5/25/2009 - ---------------------------------- ----------------- ----------------- ----------------- ----------------- ------------------
- ----------------------------------------------------------------------------------------------------------------------------- Sensitivity Analysis - To Maturity - ----------------------------------------------------------------------------------------------------------------------------- CPR 20% 25% 30% 35% 40% Class M-1 - --------- Average Life (yrs) 7.11 5.73 4.98 4.65 4.71 Window (months) 37-205 39-164 41-135 44-113 48-96 Expected Final Maturity 1/25/2023 8/25/2019 3/25/2017 5/25/2015 12/25/2013 Class M-2 - --------- Average Life (yrs) 7.05 5.66 4.85 4.41 4.23 Window (months) 37-188 38-151 40-123 41-103 43-87 Expected Final Maturity 8/25/2021 7/25/2018 3/25/2016 7/25/2014 3/25/2013 Class M-3 - --------- Average Life (yrs) 6.99 5.60 4.77 4.30 4.05 Window (months) 37-173 38-138 39-112 40-94 42-80 Expected Final Maturity 5/25/2020 6/25/2017 4/25/2015 10/25/2013 8/25/2012 Class M-4 - --------- Average Life (yrs) 6.92 5.54 4.70 4.20 3.93 Window (months) 37-166 37-132 38-108 39-90 40-76 Expected Final Maturity 10/25/2019 12/25/2016 12/25/2014 6/25/2013 4/25/2012 Class M-5 - --------- Average Life (yrs) 6.81 5.43 4.61 4.11 3.81 Window (months) 37-151 37-120 38-98 39-81 39-69 Expected Final Maturity 7/25/2018 12/25/2015 2/25/2014 9/25/2012 9/25/2011 Class M-6 - --------- Average Life (yrs) 6.70 5.34 4.53 4.01 3.71 Window (months) 37-140 37-110 38-90 38-75 39-64 Expected Final Maturity 8/25/2017 2/25/2015 6/25/2013 3/25/2012 4/25/2011 Class M-7 - --------- Average Life (yrs) 6.47 5.16 4.36 3.88 3.57 Window (months) 37-131 37-103 37-84 37-70 38-59 Expected Final Maturity 11/25/2016 7/25/2014 12/25/2012 10/25/2011 11/25/2010 Class M-8 - --------- Average Life (yrs) 6.06 4.83 4.09 3.62 3.36 Window (months) 37-106 37-84 37-68 37-57 37-48 Expected Final Maturity 10/25/2014 12/25/2012 8/25/2011 9/25/2010 12/25/2009 Class M-9 - --------- Average Life (yrs) 5.43 4.34 3.68 3.29 3.12 Window (months) 37-91 37-72 37-58 37-49 37-41 Expected Final Maturity 7/25/2013 12/25/2011 10/25/2010 1/25/2010 5/25/2009 - ---------------------------------- ----------------- ----------------- ----------------- ----------------- ------------------
Available Funds Cap. The information in the following table has been prepared in accordance with the following assumptions (i) one-month and six-month LIBOR and one-year CMT remain constant at 20.00%, (ii) day count convention of actual/360 is applied, and (iii) prepayments on the mortgage loans occur at the Pricing Prepayment Assumption. It is highly unlikely, however, that prepayments on the mortgage loans will occur at the Pricing Prepayment Assumption or at any other constant percentage. There is no assurance, therefore, of whether or to what extent the actual mortgage rates on the mortgage loans on any distribution date will conform to the corresponding rate set forth for that distribution date in the following table. - ------------ --------------------- ---------- -------------------- Period Pool Cap (%)(1) Period Pool Cap (%)(1) - ------------ --------------------- ---------- -------------------- 1 5.93077 40 15.42122 2 8.59958 41 16.58121 3 9.59243 42 15.82314 4 8.73068 43 16.11293 5 9.09261 44 15.35619 6 8.87004 45 15.11200 7 9.24109 46 15.55702 8 9.01819 47 15.06310 9 9.13885 48 15.55738 10 9.52608 49 15.04774 11 9.30122 50 15.03972 12 9.69908 51 16.64198 13 9.47383 52 15.03140 14 9.56418 53 15.53906 15 10.69205 54 15.02879 16 9.75339 55 15.52017 17 10.18085 56 15.00997 18 9.95455 57 15.00013 19 10.39518 58 15.48968 20 10.16842 59 14.97959 21 10.32355 60 15.46747 22 10.78696 61 11.74399 23 12.46611 62 11.74461 24 12.98965 63 13.00364 25 12.67836 64 11.74584 26 12.78941 65 12.13801 27 13.79380 66 11.74709 28 13.02187 67 12.13931 29 14.43459 68 11.74835 30 14.09418 69 11.74899 31 14.69735 70 12.14128 32 14.35628 71 11.75027 33 14.53662 72 12.14261 34 15.19313 73 11.75156 35 15.72023 74 11.75221 36 16.39916 75 12.56341 37 16.02467 76 11.75353 38 15.82682 77 12.14600 39 17.29682 78 11.75486 - ------------ --------------------- ---------- -------------------- (1) Includes Yield Maintenance Agreement payments on the Class M and Class B-1 Certificates. Excess Spread (1)(2)(3) - ------------- ---------------------------- ----------- -------------------- Period Excess Spread Period Excess Spread - ------------- ---------------------------- ----------- -------------------- 1 1.46% 31 3.45% 2 1.77% 32 3.27% 3 2.20% 33 3.26% 4 1.57% 34 3.45% 5 1.68% 35 3.32% 6 1.45% 36 3.49% 7 1.63% 37 3.30% 8 1.44% 38 3.35% 9 1.46% 39 3.88% 10 1.63% 40 3.37% 11 1.47% 41 3.57% 12 1.64% 42 3.40% 13 1.45% 43 3.57% 14 1.51% 44 3.40% 15 2.02% 45 3.40% 16 1.51% 46 3.58% 17 1.68% 47 3.43% 18 1.51% 48 3.60% 19 1.67% 49 3.42% 20 1.50% 50 3.42% 21 1.49% 51 3.94% 22 1.65% 52 3.42% 23 3.34% 53 3.61% 24 3.50% 54 3.44% 25 3.32% 55 3.61% 26 3.31% 56 3.44% 27 3.64% 57 3.44% 28 3.27% 58 3.62% 29 3.47% 59 3.46% 30 3.29% 60 3.64% - ------------- ---------------------------- ----------- -------------------- (1) Based on gradually increasing one-month LIBOR, six-month LIBOR and one-year CMT curves. (2) Assumes a constant prepayment rate of 30%. (3) Does not include Yield Maintenance Agreement payments on the Class M and Class B-1 Certificates. Appendix A This transaction will contain a one-month LIBOR Yield Maintenance Agreement (the "Yield Maintenance Agreement") available to pay Cap Carryover Amounts on the Class M and Class B-1 Certificates, in the manner described herein. The Yield Maintenance Agreement will have an initial notional amount of approximately $130,290,000, a term of 59 months beginning on the second Distribution Date and a strike rate as detailed in the table below. The Yield Maintenance Agreement Notional Amount Amortization Schedule - ---------------------------------------------------------------------
- -------------- --------------------------------- -------------------- ----------------- ----------------------- ------------ Notional Strike Notional Strike Period Schedule ($) Rate (%) Period Schedule ($) Rate (%) - -------------- --------------------------------- -------------------- ----------------- ----------------------- ------------ 1 0.00 0.00 31 130,290,000.00 8.00 2 130,290,000.00 6.00 32 130,290,000.00 8.00 3 130,290,000.00 6.00 33 130,290,000.00 8.00 4 130,290,000.00 6.00 34 130,290,000.00 8.00 5 130,290,000.00 6.00 35 130,290,000.00 8.00 6 130,290,000.00 6.00 36 130,290,000.00 8.00 7 130,290,000.00 6.00 37 130,290,000.00 8.00 8 130,290,000.00 6.00 38 121,593,271.27 8.00 9 130,290,000.00 6.00 39 113,155,120.10 8.00 10 130,290,000.00 6.00 40 104,967,887.97 8.00 11 130,290,000.00 6.00 41 97,024,142.55 8.00 12 130,290,000.00 6.00 42 89,316,671.05 8.00 13 130,290,000.00 6.00 43 81,838,473.69 8.00 14 130,290,000.00 6.00 44 74,582,757.49 8.00 15 130,290,000.00 6.00 45 67,542,930.13 8.00 16 130,290,000.00 6.00 46 64,280,909.73 8.00 17 130,290,000.00 6.00 47 62,226,523.20 8.00 18 130,290,000.00 6.00 48 60,233,286.54 8.00 19 130,290,000.00 6.00 49 58,299,387.16 8.00 20 130,290,000.00 6.00 50 56,423,066.04 8.00 21 130,290,000.00 6.00 51 54,602,616.15 8.00 22 130,290,000.00 6.00 52 52,836,380.89 8.00 23 130,290,000.00 8.00 53 51,122,752.64 8.00 24 130,290,000.00 8.00 54 49,460,171.31 8.00 25 130,290,000.00 8.00 55 47,847,122.90 8.00 26 130,290,000.00 8.00 56 46,282,138.21 8.00 27 130,290,000.00 8.00 57 44,763,791.43 8.00 28 130,290,000.00 8.00 58 43,290,698.95 8.00 29 130,290,000.00 8.00 59 41,861,518.06 8.00 30 130,290,000.00 8.00 60 40,467,033.50 8.00 - -------------- --------------------------------- -------------------- ----------------- ----------------------- ------------
The Mortgage Loans - All Collateral(1) Scheduled Principal Balance: $868,599,210 Number of Mortgage Loans: 4,841 Average Scheduled Principal Balance: $179,426 Weighted Average Gross Coupon: 7.222% Weighted Average Net Coupon: (2) 6.722% Non-Zero Weighted Average Current FICO Score: 623 Weighted Average Original LTV Ratio: 78.70% Weighted Average Original Full Combined LTV Ratio: (3) 85.17% Weighted Average Stated Remaining Term (months): 353 Weighted Average Seasoning (months): 2 Weighted Average Months to Roll: 22 Weighted Average Gross Margin: 4.66% Weighted Average Initial Rate Cap: 2.98% Weighted Average Periodic Rate Cap: 1.02% Weighted Average Gross Maximum Lifetime Rate: 13.23% (1) All percentages calculated herein are percentages of scheduled principal balance unless otherwise noted as of the Cut-Off Date. (2) The Weighted Average Net Coupon is equivalent to the Weighted Average Gross Coupon less the Servicing Fee. (3) Reflects the original loan-to-value ratio, plus any known subordinate liens not owned by the trust fund. Distribution by Current Principal Balance
Non-Zero Pct. Of Weighted Weighted Weighted Pool By Avg. Avg. Avg. Avg. Pct. Current Principal Number of Principal Principal Gross Current Principal Original Pct. Full Owner Balance Loans Balance Balance Coupon FICO Balance LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ $50,000 & Below 346 $13,114,860 1.51% 8.954% 594 $37,904 73.73% 100.00% 88.16% $50,001 - $75,000 502 31,728,063 3.65 8.398 606 63,203 79.93 100.00 95.11 $75,001 - $100,000 547 48,022,504 5.53 7.860 609 87,793 77.63 100.00 95.41 $100,001 - $125,000 565 63,994,965 7.37 7.675 616 113,265 79.02 100.00 96.89 $125,001 - $150,000 508 69,848,766 8.04 7.766 614 137,498 79.01 100.00 97.86 $150,001 - $200,000 853 149,105,585 17.17 7.285 614 174,801 77.68 100.00 97.21 $200,001 - $250,000 505 113,085,217 13.02 7.218 618 223,931 78.36 100.00 98.43 $250,001 - $300,000 335 91,512,956 10.54 6.893 629 273,173 79.05 100.00 97.57 $300,001 - $350,000 226 73,378,812 8.45 6.994 629 324,685 79.15 100.00 99.54 $350,001 - $400,000 136 50,857,386 5.86 6.862 632 373,951 79.71 100.00 96.93 $400,001 & Above 318 163,950,095 18.88 6.601 642 515,566 79.37 100.00 97.20 - ------------------------------------------------------------------------------------------------------------------------------------ Total: 4,841 $868,599,210 100.00% 7.222% 623 $179,426 78.70% 100.00% 97.30% ===================================================================================================================================
Distribution by Current Rate
Non-Zero Pct. Of Weighted Weighted Weighted Pool By Avg. Avg. Avg. Avg. Pct. Number of Principal Principal Gross Current Principal Original Pct. Full Owner Current Rate Loans Balance Balance Coupon FICO Balance LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ 4.99% & Below 25 $8,026,358 0.92% 4.779% 700 $321,054 76.15% 100.00% 100.00% 5.00 - 5.49% 46 14,127,338 1.63 5.303 688 307,116 77.17 100.00 97.61 5.50 - 5.99% 374 101,586,863 11.70 5.820 663 271,623 76.35 100.00 99.37 6.00 - 6.49% 434 109,446,840 12.60 6.267 645 252,182 75.80 100.00 98.04 6.50 - 6.99% 1,036 217,769,383 25.07 6.747 632 210,202 77.38 100.00 96.62 7.00 - 7.49% 557 103,773,029 11.95 7.257 624 186,307 79.30 100.00 95.91 7.50 - 7.99% 872 131,231,265 15.11 7.730 610 150,495 80.48 100.00 96.74 8.00 - 8.49% 355 49,352,115 5.68 8.250 596 139,020 81.11 100.00 96.28 8.50 - 8.99% 480 66,436,516 7.65 8.747 580 138,409 82.84 100.00 98.63 9.00% & Above 662 66,849,505 7.70 9.827 563 100,981 81.64 100.00 97.46 - ------------------------------------------------------------------------------------------------------------------------------------ Total: 4,841 $868,599,210 100.00% 7.222% 623 $179,426 78.70% 100.00% 97.30% ===================================================================================================================================
Distribution by Lien
Non-Zero Pct. Of Weighted Weighted Weighted Pool By Avg. Avg. Avg. Avg. Pct. Number of Principal Principal Gross Current Principal Original Pct. Full Owner Lien Loans Balance Balance Coupon FICO Balance LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ 1 4,841 $868,599,210 100.00% 7.222% 623 $179,426 78.70% 100.00% 97.30% - ------------------------------------------------------------------------------------------------------------------------------------ Total: 4,841 $868,599,210 100.00% 7.222% 623 $179,426 78.70% 100.00% 97.30% ===================================================================================================================================
Distribution by Original LTV
Non-Zero Pct. Of Weighted Weighted Weighted Pool By Avg. Avg. Avg. Avg. Pct. Number of Principal Principal Gross Current Principal Original Pct. Full Owner Original LTV Loans Balance Balance Coupon FICO Balance LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ 60.00% & Below 397 $60,426,055 6.96% 7.216% 603 $152,207 48.85% 100.00% 93.96% 60.01 - 70.00% 460 80,958,781 9.32 7.095 601 175,997 66.56 100.00 91.63 70.01 - 80.00% 2,561 474,575,038 54.64 6.916 630 185,308 78.72 100.00 97.76 80.01 - 85.00% 436 82,626,244 9.51 7.678 611 189,510 84.29 100.00 97.11 85.01 - 90.00% 581 106,454,825 12.26 7.764 618 183,227 89.67 100.00 100.00 90.01 - 95.00% 227 37,669,866 4.34 7.932 638 165,947 94.63 100.00 100.00 95.01 - 100.00% 179 25,888,401 2.98 8.506 639 144,628 99.86 100.00 100.00 - ------------------------------------------------------------------------------------------------------------------------------------ Total: 4,841 $868,599,210 100.00% 7.222% 623 $179,426 78.70% 100.00% 97.30% ===================================================================================================================================
Distribution by Original Full Combined LTV
Pct. Of Weighted Weighted Weighted Pool By Avg. Avg. Avg. Avg. Pct. Number of Principal Principal Gross Current Principal Original Pct. Full Owner Combined LTV Loans Balance Balance Coupon FICO Balance LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ 60.00% & Below 393 $59,532,677 6.85% 7.221% 603 $151,483 48.78% 100.00% 93.87% 60.01 - 70.00% 454 80,196,860 9.23 7.102 601 176,645 66.50 100.00 91.55 70.01 - 80.00% 944 185,543,194 21.36 7.247 608 196,550 77.20 100.00 94.27 80.01 - 85.00% 423 80,360,270 9.25 7.674 611 189,977 84.22 100.00 97.03 85.01 - 90.00% 617 118,746,454 13.67 7.625 621 192,458 88.26 100.00 100.00 90.01 - 95.00% 398 70,747,119 8.14 7.377 636 177,757 87.18 100.00 100.00 95.01 - 100.00% 1,612 273,472,636 31.48 6.891 645 169,648 81.85 100.00 100.00 - ------------------------------------------------------------------------------------------------------------------------------------ Total: 4,841 $868,599,210 100.00% 7.222% 623 $179,426 78.70% 100.00% 97.30% ===================================================================================================================================
Distribution by Documentation
Non-Zero Pct. Of Weighted Weighted Weighted Pool By Avg. Avg. Avg. Avg. Pct. Number of Principal Principal Gross Current Principal Original Pct. Full Owner Documentation Loans Balance Balance Coupon FICO Balance LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ Full 4,841 $868,599,210 100.00% 7.222% 623 $179,426 78.70% 100.00% 97.30% - ------------------------------------------------------------------------------------------------------------------------------------ Total: 4,841 $868,599,210 100.00% 7.222% 623 $179,426 78.70% 100.00% 97.30% ===================================================================================================================================
Distribution by Purpose
Non-Zero Pct. Of Weighted Weighted Weighted Pool By Avg. Avg. Avg. Avg. Pct. Number of Principal Principal Gross Current Principal Original Pct. Full Owner Purpose Loans Balance Balance Coupon FICO Balance LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ Cashout Refinance 2,313 $440,008,305 50.66% 7.221% 614 $190,233 75.61% 100.00% 97.34% Purchase 2,244 386,203,299 44.46 7.206 633 172,105 82.20 100.00 97.31 Rate/term Refinance 284 42,387,607 4.88 7.367 626 149,252 78.90 100.00 96.75 - ------------------------------------------------------------------------------------------------------------------------------------ Total: 4,841 $868,599,210 100.00% 7.222% 623 $179,426 78.70% 100.00% 97.30% ===================================================================================================================================
Distribution by Occupancy
Non-Zero Pct. Of Weighted Weighted Weighted Pool By Avg. Avg. Avg. Avg. Pct. Number of Principal Principal Gross Current Principal Original Pct. Full Owner Occupancy Loans Balance Balance Coupon FICO Balance LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ Owner Occupied 4,667 $845,149,758 97.30% 7.218% 623 $181,091 78.91% 100.00% 100.00% Non Owner 119 13,110,811 1.51 7.430 630 110,175 69.53 100.00 0.00 Second Home 55 10,338,641 1.19 7.254 628 187,975 73.00 100.00 0.00 - ------------------------------------------------------------------------------------------------------------------------------------ Total: 4,841 $868,599,210 100.00% 7.222% 623 $179,426 78.70% 100.00% 97.30% ===================================================================================================================================
Distribution by Property Type
Non-Zero Pct. Of Weighted Weighted Weighted Pool By Avg. Avg. Avg. Avg. Pct. Number of Principal Principal Gross Current Principal Original Pct. Full Owner Property Type Loans Balance Balance Coupon FICO Balance LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ Single Family 4,425 $785,477,838 90.43% 7.239% 622 $177,509 78.79% 100.00% 97.56% Condo Low Rise 292 53,342,748 6.14 7.088 637 182,681 79.48 100.00 96.40 2-4 Family 114 28,050,027 3.23 6.983 637 246,053 74.84 100.00 91.54 Condo High Rise 10 1,728,598 0.20 7.164 598 172,860 75.14 100.00 100.00 - ------------------------------------------------------------------------------------------------------------------------------------ Total: 4,841 $868,599,210 100.00% 7.222% 623 $179,426 78.70% 100.00% 97.30% ===================================================================================================================================
Distribution by State
Non-Zero Pct. Of Weighted Weighted Weighted Pool By Avg. Avg. Avg. Avg. Pct. Number of Principal Principal Gross Current Principal Original Pct. Full Owner State Loans Balance Balance Coupon FICO Balance LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ CA 578 $181,347,528 20.88% 6.558% 641 $313,750 75.43% 100.00% 97.55% MD 235 55,074,926 6.34 7.160 618 234,361 78.63 100.00 97.76 FL 276 53,343,301 6.14 7.241 617 193,273 78.14 100.00 90.64 AZ 268 49,957,388 5.75 7.335 616 186,408 78.71 100.00 98.02 NY 143 33,526,808 3.86 7.105 627 234,453 76.95 100.00 99.02 VA 158 33,236,335 3.83 7.257 612 210,357 79.01 100.00 99.74 IL 241 32,010,168 3.69 7.752 613 132,822 81.92 100.00 98.82 NJ 126 28,302,342 3.26 7.697 612 224,622 76.33 100.00 95.94 NV 119 26,835,650 3.09 7.078 619 225,510 77.04 100.00 97.74 WA 129 25,285,530 2.91 6.842 630 196,012 79.61 100.00 97.78 Other 2,568 349,679,236 40.26 7.516 619 136,168 80.59 100.00 97.52 - ------------------------------------------------------------------------------------------------------------------------------------ Total: 4,841 $868,599,210 100.00% 7.222% 623 $179,426 78.70% 100.00% 97.30% ===================================================================================================================================
Distribution by Remaining Months to Maturity
Non-Zero Pct. Of Weighted Weighted Weighted Remaining Pool By Avg. Avg. Avg. Avg. Pct. Months To Number of Principal Principal Gross Current Principal Original Pct. Full Owner Maturity Loans Balance Balance Coupon FICO Balance LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ 1 - 180 163 $24,993,676 2.88% 7.068% 645 $153,335 68.66% 100.00% 96.05% 241 - 360 4,678 843,605,534 97.12 7.226 622 180,335 79.00 100.00 97.34 - ------------------------------------------------------------------------------------------------------------------------------------ Total: 4,841 $868,599,210 100.00% 7.222% 623 $179,426 78.70% 100.00% 97.30% ===================================================================================================================================
Distribution by Amortization Type
Non-Zero Pct. Of Weighted Weighted Weighted Pool By Avg. Avg. Avg. Avg. Number of Number of Principal Principal Gross Current Principal Original Pct. Full Amortization Type Loans Loans Balance Balance Coupon FICO Balance LTV Doc - ------------------------------------------------------------------------------------------------------------------------------------ 1 YR ARM 94 $19,364,529 2.23% 7.541% 628 $206,006 77.58% 100.00% 88.56% 15 YR Fixed 101 9,462,321 1.09 7.587 626 93,686 65.20 100.00 95.38 2 YR ARM 3,555 582,067,714 67.01 7.374 613 163,732 79.54 100.00 97.15 2 YR ARM IO 580 157,649,778 18.15 6.725 643 271,810 79.88 100.00 99.26 3 YR ARM 57 13,780,357 1.59 6.887 644 241,761 76.65 100.00 96.52 3 YR ARM IO 24 7,359,262 0.85 6.529 665 306,636 82.13 100.00 100.00 30 YR Fixed 362 62,575,752 7.20 7.164 642 172,861 72.47 100.00 96.80 30 YR Fixed IO 6 808,143 0.09 7.844 630 134,690 71.12 100.00 100.00 Fixed 15/30 BLN 62 15,531,355 1.79 6.752 656 250,506 70.78 100.00 96.46 - ------------------------------------------------------------------------------------------------------------------------------------ Total: 4,841 $868,599,210 100.00% 7.222% 623 $179,426 78.70% 100.00% 97.30% ===================================================================================================================================
Distribution by Initial Periodic Cap
Non-Zero Pct. Of Weighted Weighted Weighted Pool By Avg. Avg. Avg. Avg. Pct. Initial Number of Principal Principal Gross Current Principal Original Pct. Full Owner Periodic Cap Loans Balance Balance Coupon FICO Balance LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ 2.00% 94 $19,364,529 2.23% 7.541% 628 $206,006 77.58% 100.00% 88.56% 3.00% 4,216 760,857,111 87.60 7.222 621 180,469 79.58 100.00 97.60 N/A 531 88,377,571 10.17 7.143 643 166,436 71.38 100.00 96.61 - ------------------------------------------------------------------------------------------------------------------------------------ Total: 4,841 $868,599,210 100.00% 7.222% 623 $179,426 78.70% 100.00% 97.30% ===================================================================================================================================
Distribution by Periodic Cap
Non-Zero Pct. Of Weighted Weighted Weighted Pool By Avg. Avg. Avg. Avg. Pct. Number of Principal Principal Gross Current Principal Original Pct. Full Owner Periodic Cap Loans Balance Balance Coupon FICO Balance LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ 1.00% 4,216 $760,857,111 87.60% 7.222% 621 $180,469 79.58% 100.00% 97.60% 2.00% 94 19,364,529 2.23 7.541 628 206,006 77.58 100.00 88.56 N/A 531 88,377,571 10.17 7.143 643 166,436 71.38 100.00 96.61 - ------------------------------------------------------------------------------------------------------------------------------------ Total: 4,841 $868,599,210 100.00% 7.222% 623 $179,426 78.70% 100.00% 97.30% ===================================================================================================================================
Distribution by Months to Rate Reset
Non-Zero Pct. Of Weighted Weighted Weighted Pool By Avg. Avg. Avg. Avg. Pct. Months To Number of Principal Principal Gross Current Principal Original Pct. Full Owner Rate Reset Loans Balance Balance Coupon FICO Balance LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ 1 - 12 94 $19,364,529 2.23% 7.541% 628 $206,006 77.58% 100.00% 88.56% 13 - 24 4,135 739,717,492 85.16 7.236 620 178,892 79.61 100.00 97.60 25 - 36 81 21,139,619 2.43 6.762 652 260,983 78.56 100.00 97.73 N/A 531 88,377,571 10.17 7.143 643 166,436 71.38 100.00 96.61 - ------------------------------------------------------------------------------------------------------------------------------------ Total: 4,841 $868,599,210 100.00% 7.222% 623 $179,426 78.70% 100.00% 97.30% ===================================================================================================================================
Distribution by Life Maximum Rate
Non-Zero Pct. Of Weighted Weighted Weighted Pool By Avg. Avg. Avg. Avg. Pct. Number of Principal Principal Gross Current Principal Original Pct. Full Owner Life Maximum Rate Loans Balance Balance Coupon FICO Balance LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ 11.99% & Below 408 $112,216,851 12.92% 5.677% 666 $275,041 77.11% 100.00% 99.13% 12.00 - 12.49% 384 96,798,850 11.14 6.267 641 252,080 76.84 100.00 98.15 12.50 - 12.99% 909 191,378,504 22.03 6.745 629 210,537 78.49 100.00 96.40 13.00 - 13.49% 486 91,679,550 10.55 7.255 623 188,641 80.21 100.00 96.15 13.50 - 13.99% 787 119,647,145 13.77 7.732 608 152,029 80.77 100.00 96.64 14.00 - 14.49% 323 45,901,649 5.28 8.250 593 142,110 81.52 100.00 97.40 14.50 - 14.99% 435 61,583,564 7.09 8.746 579 141,571 83.33 100.00 98.56 15.00 - 15.49% 167 20,548,789 2.37 9.229 576 123,047 84.75 100.00 99.21 15.50 - 15.99% 219 23,886,978 2.75 9.740 561 109,073 81.91 100.00 97.83 16.00% & Above 192 16,579,759 1.91 10.670 546 86,353 81.48 100.00 96.92 N/A 531 88,377,571 10.17 7.143 643 166,436 71.38 100.00 96.61 - ------------------------------------------------------------------------------------------------------------------------------------ Total: 4,841 $868,599,210 100.00% 7.222% 623 $179,426 78.70% 100.00% 97.30% ===================================================================================================================================
Distribution by Margin
Non-Zero Pct. Of Weighted Weighted Weighted Pool By Avg. Avg. Avg. Avg. Pct. Number of Principal Principal Gross Current Principal Original Pct. Full Owner Margin Loans Balance Balance Coupon FICO Balance LTV Doc Occupied - ------------------------------------------------------------------------------------------------------------------------------------ 4.99% & Below 2,693 $538,374,488 61.98% 6.676% 637 $199,916 77.84% 100.00% 97.34% 5.00 - 5.49% 451 81,312,054 9.36 7.636 606 180,293 83.32 100.00 95.35 5.50 - 5.99% 379 58,423,931 6.73 8.352 596 154,153 87.37 100.00 98.10 6.00 - 6.49% 357 51,501,778 5.93 8.786 573 144,263 84.35 100.00 98.91 6.50 - 6.99% 222 28,484,746 3.28 9.241 550 128,310 77.87 100.00 98.27 7.00 - 7.49% 125 14,127,145 1.63 9.703 532 113,017 74.87 100.00 99.72 7.50 - 7.99% 52 4,310,977 0.50 10.462 530 82,903 77.24 100.00 96.82 8.00 - 8.49% 30 3,599,436 0.41 10.938 540 119,981 84.53 100.00 100.00 8.50 - 8.99% 1 87,085 0.01 9.875 532 87,085 85.00 100.00 100.00 N/A 531 88,377,571 10.17 7.143 643 166,436 71.38 100.00 96.61 - ------------------------------------------------------------------------------------------------------------------------------------ Total: 4,841 $868,599,210 100.00% 7.222% 623 $179,426 78.70% 100.00% 97.30% ===================================================================================================================================
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