-----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, J147dOoUHc/MmmQilawlOdGzZ/hMe4S8paxXL7jPfU1OhcNXHq9H+fwpCs45lHra wgT8l4FGr1Vl7ifO41Gh0w== 0000914121-05-002453.txt : 20051223 0000914121-05-002453.hdr.sgml : 20051223 20051223131218 ACCESSION NUMBER: 0000914121-05-002453 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20051222 ITEM INFORMATION: Other Events ITEM INFORMATION: Financial Statements and Exhibits FILED AS OF DATE: 20051223 DATE AS OF CHANGE: 20051223 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: 051284777 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 we877303-8k.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 22, 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 File No.) (IRS Employer of incorporation) 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) and Computational Materials (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 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 22, 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 and E Computational Materials prepared by Lehman Brothers Inc in connection with Wells Fargo Home Equity Trust, Asset Backed Certificates, Series 2005-4 EX-99 2 we877303-ex99.txt COLLATERAL TERM SHEETS EXHIBIT NO. 99 The issuer has filed a registration statement (including a prospectus) with the U.S. Securities and Exchange Commission (SEC) for this offering. Before you invest, you should read the prospectus for this offering in that registration statement (which prospectus you may get for free by visiting the web site at http://www.lehman.com/pub/sasco), and other documents the issuer has filed with the SEC (including any related free-writing prospectus, preliminary prospectus supplement or preliminary pricing supplement, as applicable), for more complete information about the issuer. You may get these documents, as well as the final prospectus, prospectus supplement or pricing supplement (when completed), as applicable (such preliminary and final documentation together, the Offer Documentation), for free by searching the SEC online database (EDGAR(R)) at www.sec.gov. Alternatively, you may obtain a copy of the Offer Documentation from Lehman Brothers Inc., 745 Seventh Ave., New York, NY, 10019, Attn: Asset Backed Fixed Income Syndicate or by calling 212 526 7000. We would like to see the following data on the aggregate collateral and on all of the groups in the deal.
aggregate pool Pool 1 Pool 2 - ---------------------------------------------------------------------------------------------------- gross WAC (%) 7.22 7.22 7.23 - ---------------------------------------------------------------------------------------------------- wtd avg FICO 623.00 620.00 626.00 ------------ FICO < 500 (%) 0.35 0.51 0.19 --------------- FICO < 550 (%) 8.13 8.48 7.76 --------------- FICO < 600 (%) 33.03 34.77 31.26 --------------- FICO 600-650 (%) 39.64 40.62 38.64 ---------------- wtd avg LTV (%) 78.70 76.77 80.66 ---------------- LTV = 80 (%) 38.66 33.80 43.61 ------------ LTV > 80.01 (%) 29.09 24.36 33.90 ----------------- LTV 95.01 -100 (%) 2.98 3.15 2.81 ------------------- CLTV (including silent seconds) 85.17 82.78 87.61 - ------------------------------- Full Doc (%) 100.00 100.00 100.00 ------------ Stated Doc (%) 0.00 0.00 0.00 -------------- purch (%) 44.46 33.58 55.54 --------- CO refi (%) 50.66 59.50 41.65 ----------- Own Occ (%) 97.30 96.61 98.01 ----------- Investor (%) 1.51 2.31 0.69 ------------ Prepay Penalty (%) 73.43 77.23 69.56 ------------------ wtd avg DTI (%) N/A N/A N/A ---------------- ARM ? (% of total) 89.83 89.99 89.66 ------------------ 2/28 (% of total) 85.16 86.54 83.76 ------------------ 3/27 (% of total) 2.43 1.85 3.03 ------------------ 5/25 (% of total) 0.00 0.00 0.00 ------------------ 1st Lien (%) 100.00 100.00 100.00 ------------ Avg Loan Balance 179,425.58 146,724.64 232,064.39 ----------------- # of Loans 4,841 2,986 1,855 ---------- Loan Bal < $100k (%) 10.67 15.41 5.84 --------------------- Mtg Rates > 12% (%) 0.01 0.02 0 -------------------- Manuf Housing (%) 0.00 0.00 0.00 ------------------ largest state (%) CA(20.88%) CA(15.40%) CA(26.46%) ------------------ silent 2nd (%) 34.10 31.31 36.94 --------------- IO loans (%) 19.09 13.62 24.66 ------------ 10yr IO (%) 0.00 0.00 0.00 ----------- 5yr IO (%) 19.09 13.62 24.66 ---------- 2 yr IO (%) 0.00 0.00 0.00 ----------- IO: FICO 644.00 638.00 647.00 -------- IO LTV (%) 79.94 79.37 80.26 ---------- IO DTI (%) N/A N/A N/A ---------- IO full doc (%) 19.09 13.62 24.66 ---------------- IO: purch (%) 11.41 5.26 17.68 -------------- DTI buckets < 35% N/A N/A N/A 35-40% N/A N/A N/A 40-45% N/A N/A N/A 45-50% N/A N/A N/A 50-55% N/A N/A N/A 55+% N/A N/A N/A
Lehman Brothers 1,662 records Balance: 296,213,110 WFHET 2005-4 Diana VDE May-98 PIGGY-BACK Selection Criteria: PIGGY-BACK Table of Contents 1. Current Balance 2. Original Balance 3. Rate 4. Rate (Arm) 5. Rate (Fix) 6. Rate Type 7. Product Type 8. Original Term 9. Stated Remaining Term 10. Seasoning 11. First Payment Date 12. Maturity Date 13. Lien Position 14. Balloon 15. IO Flag 16. IO Term 17. FICO 18. Credit Grade 19. Prepayment Penalty 20. Existing MI (1st lien and LTV gt 80) 21. Existing MI Company (1st and ltv gt 80) 22. Purchased MI (1st lien and LTV gt 80) 23. Purchased MI Company (1st and ltv gt 80) 24. Total MI Flag (1st and ltv gt 80) 25. Total MI Company (1st and ltv gt 80) 26. Original CLTV (Calc) 27. Current LTV (Calc) 28. Property Type 29. Loan Purpose 30. Occupancy Status 31. Loan Documentation 32. State (Top 30) 33. Top 10 Zip Code Concentrations 34. Index 35. Floor 36. Margin 37. Initial Periodic Rate Cap 38. Periodic Rate Cap 39. Maximum Rate 40. Next Rate Adjustment Date 41. Custodian 42. Originator 43. Servicer 1. Current Balance
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Current Balance Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------- ------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 0.01 - 50,000.00 52 2,188,485.20 0.74 8.294 352 1.7 353.7 4.863 80.21 98.24 608.9 50,000.01 - 100,000.00 396 30,457,824.63 10.28 7.418 356 1.7 357.8 4.327 79.48 98.91 626.8 100,000.01 - 150,000.00 442 54,402,407.80 18.37 7.182 357.4 1.8 359.2 4.252 79.88 99.33 633 150,000.01 - 200,000.00 271 47,382,738.94 16 6.687 355.4 1.8 357.1 3.984 79.64 99.14 639.5 200,000.01 - 250,000.00 160 35,670,429.55 12.04 6.669 356.1 1.8 358 3.993 79.57 99.1 644 250,000.01 - 300,000.00 120 32,585,497.48 11 6.482 356.8 1.8 358.6 4.041 79.76 98.56 648.1 300,000.01 - 350,000.00 75 24,252,642.39 8.19 6.443 358.2 1.8 360 4.035 78.98 98.22 653.4 350,000.01 - 400,000.00 43 16,160,612.47 5.46 6.471 354.1 1.7 355.8 3.982 79.94 98.49 651 400,000.01 - 450,000.00 40 16,941,651.66 5.72 6.249 358.2 1.8 360 3.874 79.88 98.81 651.6 450,000.01 - 500,000.00 20 9,512,503.91 3.21 6.215 358 2 360 3.775 79.74 98.01 657.5 500,000.01 - 550,000.00 14 7,306,283.75 2.47 5.954 358.1 1.9 360 3.768 79.92 98.5 679 550,000.01 - 600,000.00 10 5,824,339.65 1.97 6.146 358.1 1.9 360 3.769 80 96.91 685.3 600,000.01 - 650,000.00 4 2,518,795.34 0.85 6.421 358.5 1.5 360 4.006 81.27 94.01 652.1 650,000.01 - 700,000.00 6 4,015,114.19 1.36 6.49 357.8 2.2 360 3.876 78.4 94.07 631.2 700,000.01 - 750,000.00 5 3,625,045.95 1.22 6.555 322.2 2.6 324.8 3.844 80 95.89 664.4 750,000.01 - 800,000.00 1 770,519.59 0.26 6.625 359 1 360 4 80 91.15 616 800,000.01 - 850,000.00 1 825,000.00 0.28 6.125 358 2 360 3.625 75 90 661 850,000.01 - 900,000.00 2 1,773,217.47 0.6 5.254 358.5 1.5 360 3.001 72.8 90 698.2 - ------------------------------------------ ------- ------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
Min.: 26,570.51 Max: 893,441.22 Avg.: 178,226.90 2. Original Balance
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original Balance Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------- ------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 1 - 50,000 52 2,188,485.20 0.74 8.294 352 1.7 353.7 4.863 80.21 98.24 608.9 50,001 - 100,000 396 30,457,824.63 10.28 7.418 356 1.7 357.8 4.327 79.48 98.91 626.8 100,001 - 150,000 440 54,102,601.39 18.26 7.187 357.4 1.8 359.2 4.254 79.88 99.33 633 150,001 - 200,000 273 47,682,545.35 16.1 6.685 355.4 1.7 357.1 3.983 79.64 99.14 639.4 200,001 - 250,000 159 35,420,505.97 11.96 6.672 356.1 1.8 357.9 3.998 79.57 99.09 643.9 250,001 - 300,000 121 32,835,421.06 11.09 6.48 356.8 1.8 358.6 4.036 79.76 98.57 648.2 300,001 - 350,000 75 24,252,642.39 8.19 6.443 358.2 1.8 360 4.035 78.98 98.22 653.4 350,001 - 400,000 43 16,160,612.47 5.46 6.471 354.1 1.7 355.8 3.982 79.94 98.49 651 400,001 - 450,000 40 16,941,651.66 5.72 6.249 358.2 1.8 360 3.874 79.88 98.81 651.6 450,001 - 500,000 20 9,512,503.91 3.21 6.215 358 2 360 3.775 79.74 98.01 657.5 500,001 - 550,000 13 6,756,538.17 2.28 6.072 358.1 1.9 360 3.84 79.92 98.38 671.6 550,001 - 600,000 11 6,374,085.23 2.15 6.004 358.1 1.9 360 3.685 80 97.17 692.6 600,001 - 650,000 4 2,518,795.34 0.85 6.421 358.5 1.5 360 4.006 81.27 94.01 652.1 650,001 - 700,000 6 4,015,114.19 1.36 6.49 357.8 2.2 360 3.876 78.4 94.07 631.2 700,001 - 750,000 5 3,625,045.95 1.22 6.555 322.2 2.6 324.8 3.844 80 95.89 664.4 750,001 - 800,000 1 770,519.59 0.26 6.625 359 1 360 4 80 91.15 616 800,001 - 850,000 1 825,000.00 0.28 6.125 358 2 360 3.625 75 90 661 850,001 - 900,000 2 1,773,217.47 0.6 5.254 358.5 1.5 360 3.001 72.8 90 698.2 - ------------------------------------------ ------- ------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
Min.: 26,600 Max: 894,375 Avg.: 178,451 3. Rate
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------- ------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 4.001 - 4.500 3 948,983.57 0.32 4.447 358.3 1.7 360 3.296 80 100 751 4.501 - 5.000 11 3,951,327.13 1.33 4.852 357.9 2.1 360 3.394 77.89 95.85 693.5 5.001 - 5.500 58 15,382,465.21 5.19 5.385 357.9 2.1 360 3.54 79.84 99.22 678.4 5.501 - 6.000 176 46,226,297.98 15.61 5.85 357.1 1.9 359 3.677 79.31 98.28 666.1 6.001 - 6.500 280 61,489,315.03 20.76 6.318 356.4 1.8 358.2 3.849 79.37 98.19 653.7 6.501 - 7.000 393 74,545,811.39 25.17 6.808 353.5 1.7 355.2 4.122 79.78 98.8 637.9 7.001 - 7.500 344 50,400,978.22 17.02 7.319 358.3 1.7 360 4.266 79.75 99.09 630.3 7.501 - 8.000 230 27,440,154.27 9.26 7.794 356.4 1.8 358.2 4.468 79.59 99.06 617.6 8.001 - 8.500 116 11,289,447.41 3.81 8.298 358.4 1.6 360 4.686 79.69 98.93 612.9 8.501 - 9.000 28 2,694,023.55 0.91 8.8 358.4 1.6 360 5.46 82.36 96.61 594.5 9.001 - 9.500 7 622,511.45 0.21 9.301 348.5 1.4 350 5.629 81.93 98.42 586.3 9.501 - 10.000 4 416,053.85 0.14 9.84 358.5 1.5 360 6.147 83.42 90.34 541.6 10.001 - 10.500 5 283,434.55 0.1 10.351 358.2 1.8 360 7.324 84.74 90.34 558.6 10.501 - 11.000 4 316,056.08 0.11 10.897 325.6 2 327.6 7.215 81.35 89.04 549 11.001 - 11.500 3 206,250.28 0.07 11.293 358.2 1.8 360 8 85.85 90.85 569.4 - ------------------------------------------ ------- ------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
Min.: 4.375 Max: 11.500 NZWA: 6.723 4. Rate (Arm)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate (Arm) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 4.001 - 4.500 3 948,983.57 0.34 4.447 358.3 1.7 360 3.296 80 100 751 4.501 - 5.000 11 3,951,327.13 1.4 4.852 357.9 2.1 360 3.394 77.89 95.85 693.5 5.001 - 5.500 58 15,382,465.21 5.47 5.385 357.9 2.1 360 3.54 79.84 99.22 678.4 5.501 - 6.000 170 44,174,995.95 15.7 5.847 358.1 1.9 360 3.677 79.36 98.32 665.5 6.001 - 6.500 266 58,094,310.14 20.65 6.316 358.2 1.8 360 3.849 79.5 98.5 652.4 6.501 - 7.000 370 69,734,812.67 24.79 6.807 358.3 1.7 360 4.122 79.82 98.91 636.5 7.001 - 7.500 330 48,827,403.64 17.36 7.316 358.3 1.7 360 4.266 79.74 99.06 629.9 7.501 - 8.000 216 25,760,616.17 9.16 7.797 358.2 1.8 360 4.468 79.59 99.06 616.1 8.001 - 8.500 109 10,390,514.80 3.69 8.299 358.4 1.6 360 4.686 79.66 98.84 608.8 8.501 - 9.000 26 2,476,590.02 0.88 8.805 358.3 1.7 360 5.46 82.57 96.56 594.5 9.001 - 9.500 5 527,831.66 0.19 9.296 358.5 1.5 360 5.629 82.28 98.7 587.2 9.501 - 10.000 3 310,598.63 0.11 9.803 358.7 1.3 360 6.147 81.62 88.76 535 10.001 - 10.500 5 283,434.55 0.1 10.351 358.2 1.8 360 7.324 84.74 90.34 558.6 10.501 - 11.000 3 259,147.33 0.09 10.886 358 2 360 7.215 80.55 89.28 549.6 11.001 - 11.500 2 171,172.84 0.06 11.25 358.2 1.8 360 8 85 90 570.5 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,577 281,294,204.31 100 6.711 358.2 1.8 360 4.054 79.65 98.69 643
Min.: 4.375 Max: 11.250 NZWA: 6.711 5. Rate (Fix)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate (Fix) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 5.501 - 6.000 6 2,051,302.03 13.75 5.919 335.6 1.6 337.2 0 78.34 97.35 679.9 6.001 - 6.500 14 3,395,004.89 22.76 6.34 326.2 1.9 328.1 0 77.16 92.77 675.8 6.501 - 7.000 23 4,810,998.72 32.25 6.822 284.1 2.2 286.2 0 79.33 97.13 658.5 7.001 - 7.500 14 1,573,574.58 10.55 7.401 358.1 1.9 360 0 79.99 99.89 640.9 7.501 - 8.000 14 1,679,538.10 11.26 7.749 329 1.8 330.8 0 79.62 99 640.1 8.001 - 8.500 7 898,932.61 6.03 8.291 358.1 1.9 360 0 80 100 659.7 8.501 - 9.000 2 217,433.53 1.46 8.75 358.7 1.3 360 0 80 97.24 594.4 9.001 - 9.500 2 94,679.79 0.63 9.329 293 1 294 0 80 96.83 581.5 9.501 - 10.000 1 105,455.22 0.71 9.95 358 2 360 0 88.7 95 561 10.501 - 11.000 1 56,908.75 0.38 10.95 178 2 180 0 85 87.93 546 11.001 - 11.500 1 35,077.44 0.24 11.5 358 2 360 0 90 95 564 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 85 14,918,905.66 100 6.935 319.5 1.9 321.4 0 78.97 96.79 658.8
Min.: 5.750 Max: 11.500 NZWA: 6.935 6. Rate Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Fixed 85 14,918,905.66 5.04 6.935 319.5 1.9 321.4 0 78.97 96.79 658.8 Adjustable 1,577 281,294,204.31 94.96 6.711 358.2 1.8 360 4.054 79.65 98.69 643 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
7. Product Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Product Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 2/28 ARM (Libor) 1,535 271,210,258.76 91.56 6.724 358.2 1.8 360 4.065 79.75 98.8 641.8 Fixed Rate 71 11,979,686.16 4.04 6.965 354.3 1.8 356.1 0 78.7 96.82 660.6 1 Year ARM 20 5,546,393.81 1.87 6.554 356.5 3.5 360 3.515 77.89 96.64 668 3/27 ARM (Libor) 22 4,537,551.74 1.53 6.162 357.9 2.1 360 4.034 76.27 95.01 684.3 Balloon 14 2,939,219.50 0.99 6.814 177.5 2.5 180 0 80.08 96.66 651.4 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
8. Original Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 169 - 192 18 3,196,391.61 1.08 6.89 177.6 2.4 180 0 79.17 95.9 650.6 337 - 360 1,644 293,016,718.36 98.92 6.721 358.2 1.8 360 4.054 79.62 98.63 643.8 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
Min.: 180.0 Max.: 360.0 NZWA: 358.1 9. Stated Remaining Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Stated Remaining Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 169 - 180 18 3,196,391.61 1.08 6.89 177.6 2.4 180 0 79.17 95.9 650.6 349 - 360 1,644 293,016,718.36 98.92 6.721 358.2 1.8 360 4.054 79.62 98.63 643.8 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
Min.: 175.0 Max: 359.0 NZWA: 356.3 10. Seasoning
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Seasoning Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 24-Jan 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
Min.: 1.0 Max: 7.0 WA: 1.8 11. First Payment Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico First Payment Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 2005 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
12. Maturity Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Maturity Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 2020 18 3,196,391.61 1.08 6.89 177.6 2.4 180 0 79.17 95.9 650.6 2035 1,644 293,016,718.36 98.92 6.721 358.2 1.8 360 4.054 79.62 98.63 643.8 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
13. Lien Position
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Lien Position Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 1st Lien 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
14. Balloon
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Balloon Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Balloon 14 2,939,219.50 0.99 6.814 177.5 2.5 180 0 80.08 96.66 651.4 Fully Amortizing 1,648 293,273,890.47 99.01 6.722 358 1.8 359.8 4.054 79.61 98.62 643.8 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
15. IO Flag
Total NZWA NZWA No. of Current NZWA NZWA Full Fico IO Flag Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- No 1,294 204,467,728.13 69.03 6.756 355.4 1.8 357.2 3.975 79.53 98.59 642.3 Yes 368 91,745,381.84 30.97 6.647 358.2 1.8 360 4.217 79.82 98.62 647.2 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
16. IO Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico IO Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 0 1,294 204,467,728.13 69.03 6.756 355.4 1.8 357.2 3.975 79.53 98.59 642.3 60 368 91,745,381.84 30.97 6.647 358.2 1.8 360 4.217 79.82 98.62 647.2 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
17. FICO
Total NZWA NZWA No. of Current NZWA NZWA Full Fico FICO Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- <= 0 2 192,120.50 0.06 7.798 358 2 360 5.428 81.24 97.52 0 501 - 510 1 91,039.52 0.03 9.75 358 2 360 6.125 75 85 507 511 - 520 3 215,665.51 0.07 9.235 358.4 1.6 360 5.526 78.09 90.98 515 521 - 530 1 41,211.07 0.01 11.25 359 1 360 8 85 90 528 531 - 540 1 61,554.48 0.02 10.375 358 2 360 8.25 83.25 90 538 541 - 550 3 254,135.80 0.09 10.762 317.7 2 319.7 6.958 84.52 89.3 543.7 551 - 560 2 347,302.21 0.12 9.137 358.2 1.8 360 6.875 85 90 557 561 - 570 10 950,932.65 0.32 8.798 358.3 1.7 360 5.56 84.15 96.02 567.1 571 - 580 25 3,338,673.65 1.13 7.324 358.3 1.7 360 4.748 76.65 93.92 576.7 581 - 590 163 22,405,852.00 7.56 7.35 357.6 1.8 359.4 4.496 79.51 98.49 586 591 - 600 157 21,587,743.00 7.29 7.278 358.2 1.8 360 4.468 80.04 98.99 595.3 601 - 610 183 29,590,152.01 9.99 6.89 358.1 1.9 360 4.263 79.79 98.77 605.5 611 - 620 127 21,347,482.60 7.21 6.972 353.4 1.7 355.1 4.286 79.84 98.8 615.5 621 - 630 143 23,454,840.70 7.92 6.914 352 1.8 353.8 4.173 79.73 98.89 625.7 631 - 640 148 28,962,790.95 9.78 6.713 355.9 1.8 357.7 4.148 79.55 98.31 635.6 641 - 650 144 28,309,674.41 9.56 6.701 357.5 1.7 359.2 3.959 79.73 98.74 646 651 - 660 125 24,330,086.76 8.21 6.595 358.2 1.8 360 3.939 79.8 99.06 655.5 661 - 670 113 23,592,013.62 7.96 6.403 354.3 1.7 356 3.666 79.33 98.26 666 671 - 680 70 13,356,708.68 4.51 6.2 358.2 1.8 360 3.698 79.98 99.4 675.4 681 - 690 56 11,896,338.59 4.02 6.385 355.4 1.7 357.1 3.783 79.28 98.8 685.5 691 - 700 41 8,631,919.04 2.91 6.367 358 2 360 3.603 80.28 99.39 695.1 701 - 710 26 5,656,452.66 1.91 6.345 358.1 1.9 360 3.783 79.21 98.6 705.9 711 - 720 28 6,523,498.78 2.2 5.911 356.6 2 358.6 3.37 78.45 98.87 716.1 721 - 730 27 6,892,669.47 2.33 6.163 352.4 2.3 354.7 3.482 78.77 97.37 726.1 731 - 740 16 3,846,027.61 1.3 5.895 358.2 1.8 360 3.478 77.45 95.48 734.1 741 - 750 18 4,092,214.84 1.38 6.181 349.6 1.7 351.3 3.566 80 99.05 746.3 751 - 760 13 3,192,658.23 1.08 5.838 357.5 2.5 360 3.495 79.81 99.92 755.4 761 - 770 7 1,709,061.21 0.58 5.493 357.9 2.1 360 3.25 79.67 97.58 766.9 771 - 780 4 294,248.00 0.1 6.2 358.3 1.7 360 3.662 80 100 774.9 781 - 790 2 390,338.00 0.13 6.36 358 2 360 3.945 80 100 784.6 791 - 800 1 335,218.13 0.11 5.75 358 2 360 3.375 80 100 796 801 - 810 1 256,299.53 0.09 6.125 358 2 360 4.375 80 95 804 811 - 820 1 66,185.76 0.02 6.25 358 2 360 4.375 80 100 812 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
Nzmin.: 507 Max.: 812 NZWA.: 644 Loans with Fico scores less than 400 have been eliminated from the average. 18. Credit Grade
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Credit Grade Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Y1 2 119,875.98 0.04 10.262 358.7 1.3 360 6.546 76.56 83.77 511 Y2 7 510,115.63 0.17 10.593 358.1 1.9 360 7.468 80.15 89.45 557 Y3 5 601,438.01 0.2 9.824 341.1 1.9 343 6.905 84.8 89.7 551.4 Y4 37 5,346,456.05 1.8 7.711 358.3 1.7 360 4.939 79.83 95.85 595.2 Y5 334 45,268,889.56 15.28 7.288 357.5 1.8 359.3 4.481 79.6 98.65 591.4 Y6 331 53,991,974.55 18.23 6.93 357.5 1.8 359.3 4.279 79.83 98.88 613.2 Y7 339 60,087,925.22 20.29 6.827 354.1 1.8 355.9 4.149 79.64 98.71 639.1 Y8 227 45,941,841.61 15.51 6.566 357.4 1.7 359.2 3.864 79.73 98.8 650 Y9 380 84,344,593.36 28.47 6.184 355.7 1.8 357.5 3.584 79.37 98.51 695.9 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
19. Prepayment Penalty
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Prepayment Penalty Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- <= 0.000 356 73,136,639.69 24.69 7.068 358.1 1.9 360 4.327 79.72 98.56 646.8 1.001 - 2.000 1,226 208,925,481.33 70.53 6.601 358.2 1.8 360 3.965 79.71 98.79 641.8 2.001 - 3.000 80 14,150,988.95 4.78 6.73 317.4 1.9 319.3 3.833 77.74 96 658.4 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
WA: 1.554 NZWA: 2.063 20. Existing MI (1st lien and LTV gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Existing MI (1st lien and LTV gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Yes 29 4,118,299.27 90.99 8.102 355.7 1.8 357.5 5.635 86.53 94.13 611.7 No 1 408,000.00 9.01 6.95 359 1 360 5 85 92.81 604 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 30 4,526,299.27 100 7.998 356 1.8 357.7 5.565 86.39 94.02 611
21. Existing MI Company (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Existing MI Company (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ ------------ ------ ----- ----- ---- ---- ------ ----- ----- ----- 00-None 1 408,000.00 9.01 6.95 359 1 360 5 85 92.81 604 11- PMI 8 764,416.09 16.89 8.17 358.4 1.6 360 5.303 87.26 95.05 619.6 12- United Guaranty Residential Ins. Corp. 5 1,127,319.85 24.91 7.741 358 2 360 5.058 86.69 95.23 623.7 13- Republic Mortgage Insurance Corp. 3 405,740.94 8.96 8.506 358.8 1.2 360 5.876 84.59 89.79 563.7 24- Triad Guaranty Insurance Company 6 723,514.69 15.98 9.74 343.8 2 345.8 6.965 86.07 91.28 558.8 33- Amerin Guaranty Corp. 7 1,097,307.70 24.24 7.197 358 2 360 5.78 86.88 95.86 647 - ------------------------------------------ ------ ------------ ------ ----- ----- ---- ---- ------ ----- ----- ----- Total: 30 4,526,299.27 100 7.998 356 1.8 357.7 5.565 86.39 94.02 611
22. Purchased MI (1st lien and LTV gt 80) 23. Purchased MI Company (1st and ltv gt 80) 24. Total MI Flag (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Total MI Flag (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- N 1 408,000.00 9.01 6.95 359 1 360 5 85 92.81 604 Y 29 4,118,299.27 90.99 8.102 355.7 1.8 357.5 5.635 86.53 94.13 611.7 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 30 4,526,299.27 100 7.998 356 1.8 357.7 5.565 86.39 94.02 611
25. Total MI Company (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Total MI Company (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 00-None 1 408,000.00 9.01 6.95 359 1 360 5 85 92.81 604 11- PMI 8 764,416.09 16.89 8.17 358.4 1.6 360 5.303 87.26 95.05 619.6 12- United Guaranty Residential Ins. Corp. 5 1,127,319.85 24.91 7.741 358 2 360 5.058 86.69 95.23 623.7 13- Republic Mortgage Insurance Corp. 3 405,740.94 8.96 8.506 358.8 1.2 360 5.876 84.59 89.79 563.7 24- Triad Guaranty Insurance Company 6 723,514.69 15.98 9.74 343.8 2 345.8 6.965 86.07 91.28 558.8 33- Amerin Guaranty Corp. 7 1,097,307.70 24.24 7.197 358 2 360 5.78 86.88 95.86 647 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 30 4,526,299.27 100 7.998 356 1.8 357.7 5.565 86.39 94.02 611
26. Original CLTV (Calc)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original CLTV (Calc) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 25.01 - 30.00 1 51,370.38 0.02 6.875 179 1 180 0 27.96 40.59 715 50.01 - 55.00 3 678,824.32 0.23 6.533 358.1 1.9 360 4.179 52.14 67.33 664.9 55.01 - 60.00 1 214,553.20 0.07 7.875 357 3 360 4.25 58.11 90 571 60.01 - 65.00 2 627,043.28 0.21 5.849 358.5 1.5 360 3.5 62.26 89.49 701.7 65.01 - 70.00 6 549,193.58 0.19 7.234 358.3 1.7 360 4.256 68.99 91.23 597.7 70.01 - 75.00 82 14,450,402.72 4.88 6.544 357.7 1.8 359.5 3.944 74.31 93.2 642.7 75.01 - 80.00 1,537 275,115,423.22 92.88 6.712 356.2 1.8 358 4.038 79.94 99.09 644.4 80.01 - 85.00 17 3,076,435.59 1.04 7.722 355 1.7 356.7 5.491 84.87 93.38 620.1 85.01 - 90.00 12 1,342,504.81 0.45 8.621 358.1 1.9 360 5.695 89.47 94.98 589.9 90.01 - 95.00 1 107,358.87 0.04 8.125 358 2 360 5.75 91.49 100 618 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
Min.: 27.96 Max: 91.49 WA: 79.62 *Includes Senior balances if any. 27. Current LTV (Calc)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Current LTV (Calc) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 25.01 - 30.00 1 51,370.38 0.02 6.875 179 1 180 0 27.96 40.59 715 50.01 - 55.00 3 678,824.32 0.23 6.533 358.1 1.9 360 4.179 52.14 67.33 664.9 55.01 - 60.00 1 214,553.20 0.07 7.875 357 3 360 4.25 58.11 90 571 60.01 - 65.00 2 627,043.28 0.21 5.849 358.5 1.5 360 3.5 62.26 89.49 701.7 65.01 - 70.00 7 818,667.40 0.28 6.869 358.2 1.8 360 4.256 69.36 87.27 627.1 70.01 - 75.00 81 14,180,928.90 4.79 6.552 357.7 1.8 359.5 3.944 74.39 93.46 641.9 75.01 - 80.00 1,537 275,115,423.22 92.88 6.712 356.2 1.8 358 4.038 79.94 99.09 644.4 80.01 - 85.00 17 3,076,435.59 1.04 7.722 355 1.7 356.7 5.491 84.87 93.38 620.1 85.01 - 90.00 12 1,342,504.81 0.45 8.621 358.1 1.9 360 5.695 89.47 94.98 589.9 90.01 - 95.00 1 107,358.87 0.04 8.125 358 2 360 5.75 91.49 100 618 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
NZMin.: 27.62 Max: 91.37 NZWA: 79.52 28. Property Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Property Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Single Family 1,484 260,743,068.87 88.03 6.737 356 1.8 357.8 4.051 79.6 98.55 642 Condo 157 29,627,802.13 10 6.684 358.1 1.9 360 4.064 79.69 98.91 655.7 2-4 Family 21 5,842,238.97 1.97 6.259 357.9 2.1 360 4.102 80.04 99.14 666.6 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
29. Loan Purpose
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Loan Purpose Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Purchase 1,307 229,124,726.84 77.35 6.73 356.9 1.8 358.7 4.054 79.86 99.22 644.5 Cash Out Refinance 262 54,408,273.91 18.37 6.632 353.2 1.9 355 4.018 78.94 96.43 642.6 Rate/Term Refinance 93 12,680,109.22 4.28 6.987 357.5 1.9 359.4 4.203 78.13 96.61 636.1 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
30. Occupancy Status
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Occupancy Status Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Primary Home 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
31. Loan Documentation
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Loan Documentation Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Full 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
32. State (Top 30)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico State (Top 30) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- CA-N 103 36,556,487.33 12.34 6.164 350.5 1.9 352.4 3.765 79.6 97.49 670.7 CA-S 70 25,294,603.02 8.54 6.241 358 2 360 3.778 79.68 97.94 664.6 MD 71 16,983,226.17 5.73 6.554 358.2 1.8 360 4.098 79.44 98.94 638.5 VA 64 13,758,576.72 4.64 6.843 358.3 1.7 360 4.171 79.76 98.89 630.4 FL 73 13,712,655.67 4.63 6.803 358 2 360 4.147 79.79 99.52 633.6 WA 63 12,063,402.14 4.07 6.482 345.5 1.7 347.2 3.936 79.78 99.04 647.2 CO 47 9,026,661.22 3.05 6.583 358.4 1.6 360 3.976 79.88 98.26 641.2 GA 60 8,829,514.53 2.98 7.039 358.2 1.8 360 4.325 80.01 98.9 629.3 AZ 42 8,609,715.97 2.91 6.616 358.3 1.7 360 3.973 78.84 98.63 654 MN 48 8,291,443.53 2.8 6.692 358.3 1.7 360 4.093 78.74 98.61 638.6 NV 36 8,239,660.49 2.78 6.751 358.3 1.7 360 4.085 79.77 98.72 644.1 IL 68 8,138,723.94 2.75 7.052 358.3 1.7 360 4.158 79.69 98.84 634.6 NC 62 7,937,103.96 2.68 7.11 358.1 1.9 360 4.227 79.77 99.06 618.7 MO 65 7,895,793.60 2.67 6.962 357.3 1.9 359.2 3.921 79.97 99.78 639.7 MA 28 7,549,044.27 2.55 6.779 358.2 1.8 360 4.411 79.91 98.99 656.7 TX 59 7,524,175.24 2.54 6.671 353.9 1.7 355.6 3.998 79.74 98.73 625 NJ 27 7,252,008.40 2.45 6.966 358.4 1.6 360 4.29 79.99 99.09 653.9 PA 40 6,729,273.12 2.27 6.745 355.4 2.1 357.5 4.017 79.79 97.63 627.1 TN 49 6,702,095.66 2.26 6.669 358.2 1.8 360 4.163 78.9 99.21 636.6 NY 24 6,027,418.86 2.03 6.61 358.4 1.6 360 4.067 80.21 98.49 660.9 IA 61 5,772,116.27 1.95 7.298 358.4 1.6 360 4.196 79.72 99.15 632.8 OR 30 5,153,861.10 1.74 6.604 352.3 1.9 354.2 3.894 77.18 96.52 647.6 WI 38 4,765,270.48 1.61 7.261 353.1 1.8 354.8 4.235 79.64 97.74 631.4 OH 37 4,747,079.34 1.6 7.081 358.3 1.7 360 4.206 80 100 629.8 NE 39 4,289,320.99 1.45 7.354 352.9 1.7 354.6 4.001 79.74 98.88 629.2 KS 34 4,203,511.87 1.42 7.371 358.1 1.9 360 4.284 80.07 98.64 628.8 SC 27 3,390,922.99 1.14 6.996 358.3 1.7 360 4.451 79.28 99 633.3 NM 23 3,335,854.86 1.13 7.773 358.5 1.5 360 4.496 79.78 98.48 639.4 DE 17 2,729,243.25 0.92 6.898 358.2 1.8 360 4.062 80 99.97 635 AL 21 2,641,979.00 0.89 7.049 358 2 360 4.013 79.72 99.4 638.5 Other 236 28,062,365.98 9.47 7.017 357.9 1.8 359.6 4.132 79.62 98.8 632.9 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
33. Top 10 Zip Code Concentrations
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Top 10 Zip Code Concentrations Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 95901 9 2,537,625.07 0.86 6.338 358.2 1.8 360 4.004 80 99.46 662.7 95757 5 2,213,722.00 0.75 6.614 358.4 1.6 360 4.18 80 99.36 669.5 95630 6 2,090,517.97 0.71 6.17 326.4 1.2 327.6 3.981 80 98.16 682.7 20772 4 1,294,083.76 0.44 6.271 359 1 360 3.737 80 100 640.4 95206 4 1,273,800.00 0.43 6.751 358.8 1.2 360 4.388 81.6 97.7 636.3 91710 2 1,122,958.83 0.38 6.042 359 1 360 3.784 80 90.75 686.8 95864 3 1,081,663.24 0.37 6.322 358.7 1.3 360 3.735 80 100 668.5 98506 4 965,595.71 0.33 6.062 321.6 1.4 323 3.745 80 97.19 682.3 80525 3 935,356.46 0.32 6.664 358.5 1.5 360 4.086 81.36 97.17 636.8 20748 4 917,999.08 0.31 5.827 358 2 360 3.968 80 98.57 637.3 Other 1,618 281,779,787.85 95.13 6.743 356.5 1.8 358.3 4.057 79.59 98.62 642.9 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
34. Index
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Index Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 6 Month Libor (Wall St) 1,557 275,747,810.50 98.03 6.715 358.2 1.8 360 4.064 79.69 98.74 642.5 1 Year CMT (Weekly) 20 5,546,393.81 1.97 6.554 356.5 3.5 360 3.515 77.89 96.64 668 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,577 281,294,204.31 100 6.711 358.2 1.8 360 4.054 79.65 98.69 643
35. Floor
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Floor Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 0.001 - 0.500 1 67,896.20 0.02 7.375 358 2 360 0.375 80 100 630 1.501 - 2.000 3 826,562.93 0.29 5.288 354.5 5.5 360 1.942 79.98 100 712.9 2.001 - 2.500 3 1,191,071.87 0.42 6.285 355 5 360 2.178 80 100 699.9 2.501 - 3.000 27 7,212,881.92 2.56 5.715 356.9 3.1 360 2.881 78.84 97.61 689.2 3.001 - 3.500 148 37,053,465.13 13.17 5.967 358.1 1.9 360 3.366 79.39 98.69 688.5 3.501 - 4.000 463 95,326,960.36 33.89 6.413 358.2 1.8 360 3.822 79.63 98.82 654 4.001 - 4.500 632 98,403,823.87 34.98 7.016 358.3 1.7 360 4.308 79.6 98.78 624.3 4.501 - 5.000 254 35,612,880.36 12.66 7.379 358.4 1.6 360 4.769 79.79 98.68 613.3 5.001 - 5.500 24 3,277,235.19 1.17 8.173 358.4 1.6 360 5.274 81.24 98.44 605.8 5.501 - 6.000 4 753,803.62 0.27 8.495 358.5 1.5 360 5.731 84.86 95.64 582 6.001 - 6.500 7 566,604.61 0.2 9.403 358.3 1.7 360 6.278 87.59 93.34 568 6.501 - 7.000 4 461,582.65 0.16 9.385 358.1 1.9 360 6.851 83.67 90.25 558.9 7.001 - 7.500 2 221,734.45 0.08 10.875 358 2 360 7.125 80.64 90 556.2 7.501 - 8.000 3 208,585.72 0.07 11.196 358.2 1.8 360 7.955 84.1 89.1 559.8 8.001 - 8.500 2 109,115.43 0.04 10.375 358 2 360 8.25 84.01 90 538 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,577 281,294,204.31 100 6.711 358.2 1.8 360 4.054 79.65 98.69 643
NZWA: 4.054 Min.: 0.375 Max.: 8.250 36. Margin
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Margin Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 0.001 - 0.500 1 67,896.20 0.02 7.375 358 2 360 0.375 80 100 630 1.501 - 2.000 3 826,562.93 0.29 5.288 354.5 5.5 360 1.942 79.98 100 712.9 2.001 - 2.500 3 1,191,071.87 0.42 6.285 355 5 360 2.178 80 100 699.9 2.501 - 3.000 27 7,212,881.92 2.56 5.715 356.9 3.1 360 2.881 78.84 97.61 689.2 3.001 - 3.500 148 37,053,465.13 13.17 5.967 358.1 1.9 360 3.366 79.39 98.69 688.5 3.501 - 4.000 463 95,326,960.36 33.89 6.413 358.2 1.8 360 3.822 79.63 98.82 654 4.001 - 4.500 632 98,403,823.87 34.98 7.016 358.3 1.7 360 4.308 79.6 98.78 624.3 4.501 - 5.000 254 35,612,880.36 12.66 7.379 358.4 1.6 360 4.769 79.79 98.68 613.3 5.001 - 5.500 24 3,277,235.19 1.17 8.173 358.4 1.6 360 5.274 81.24 98.44 605.8 5.501 - 6.000 4 753,803.62 0.27 8.495 358.5 1.5 360 5.731 84.86 95.64 582 6.001 - 6.500 7 566,604.61 0.2 9.403 358.3 1.7 360 6.278 87.59 93.34 568 6.501 - 7.000 4 461,582.65 0.16 9.385 358.1 1.9 360 6.851 83.67 90.25 558.9 7.001 - 7.500 2 221,734.45 0.08 10.875 358 2 360 7.125 80.64 90 556.2 7.501 - 8.000 3 208,585.72 0.07 11.196 358.2 1.8 360 7.955 84.1 89.1 559.8 8.001 - 8.500 2 109,115.43 0.04 10.375 358 2 360 8.25 84.01 90 538 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,577 281,294,204.31 100 6.711 358.2 1.8 360 4.054 79.65 98.69 643
WA: 4.054 Min.: 0.375 Max.: 8.250 37. Initial Periodic Rate Cap
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Initial Periodic Rate Cap Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 1.50001 - 2.00000 20 5,546,393.81 1.97 6.554 356.5 3.5 360 3.515 77.89 96.64 668 2.50001 - 3.00000 1,557 275,747,810.50 98.03 6.715 358.2 1.8 360 4.064 79.69 98.74 642.5 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,577 281,294,204.31 100 6.711 358.2 1.8 360 4.054 79.65 98.69 643
Min.: 2.000 Max.: 3.000 NZWA: 2.980 38. Periodic Rate Cap
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Periodic Rate Cap Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 0.50001 - 1.00000 1,557 275,747,810.50 98.03 6.715 358.2 1.8 360 4.064 79.69 98.74 642.5 1.50001 - 2.00000 20 5,546,393.81 1.97 6.554 356.5 3.5 360 3.515 77.89 96.64 668 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,577 281,294,204.31 100 6.711 358.2 1.8 360 4.054 79.65 98.69 643
Min.: 1.000 Max.: 2.000 NZWA: 1.020 39. Maximum Rate
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Maximum Rate Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 10.00001 - 10.50000 3 948,983.57 0.34 4.447 358.3 1.7 360 3.296 80 100 751 10.50001 - 11.00000 11 3,951,327.13 1.4 4.852 357.9 2.1 360 3.394 77.89 95.85 693.5 11.00001 - 11.50000 58 15,382,465.21 5.47 5.385 357.9 2.1 360 3.54 79.84 99.22 678.4 11.50001 - 12.00000 170 44,174,995.95 15.7 5.847 358.1 1.9 360 3.677 79.36 98.32 665.5 12.00001 - 12.50000 266 58,094,310.14 20.65 6.316 358.2 1.8 360 3.849 79.5 98.5 652.4 12.50001 - 13.00000 370 69,734,812.67 24.79 6.807 358.3 1.7 360 4.122 79.82 98.91 636.5 13.00001 - 13.50000 330 48,827,403.64 17.36 7.316 358.3 1.7 360 4.266 79.74 99.06 629.9 13.50001 - 14.00000 216 25,760,616.17 9.16 7.797 358.2 1.8 360 4.468 79.59 99.06 616.1 14.00001 - 14.50000 109 10,390,514.80 3.69 8.299 358.4 1.6 360 4.686 79.66 98.84 608.8 14.50001 - 15.00000 26 2,476,590.02 0.88 8.805 358.3 1.7 360 5.46 82.57 96.56 594.5 15.00001 - 15.50000 5 527,831.66 0.19 9.296 358.5 1.5 360 5.629 82.28 98.7 587.2 15.50001 - 16.00000 3 310,598.63 0.11 9.803 358.7 1.3 360 6.147 81.62 88.76 535 16.00001 - 16.50000 5 283,434.55 0.1 10.351 358.2 1.8 360 7.324 84.74 90.34 558.6 16.50001 - 17.00000 3 259,147.33 0.09 10.886 358 2 360 7.215 80.55 89.28 549.6 17.00001 - 17.50000 2 171,172.84 0.06 11.25 358.2 1.8 360 8 85 90 570.5 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,577 281,294,204.31 100 6.711 358.2 1.8 360 4.054 79.65 98.69 643
Min.: 10.375 Max.: 17.250 NZWA: 12.711 40. Next Rate Adjustment Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Next Rate Adjustment Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- 2006-07 3 1,142,244.31 0.41 6.406 355 5 360 2.216 80 100 700.6 2006-08 4 1,350,515.40 0.48 6.445 356 4 360 3.663 80 100 679.9 2006-09 8 2,029,648.51 0.72 6.727 357 3 360 3.691 77.54 95.54 672.5 2006-10 5 1,023,985.59 0.36 6.52 358 2 360 4.421 73.46 90.62 607.2 2007-05 2 261,658.57 0.09 5.788 353 7 360 3.313 79.88 97.43 598.5 2007-06 4 602,614.67 0.21 5.969 354 6 360 2.346 79.97 100 659.8 2007-07 13 2,874,035.84 1.02 6.152 355 5 360 2.609 80 98.83 651.3 2007-08 10 1,207,446.50 0.43 6.792 356 4 360 3.889 79.99 99.99 610.3 2007-09 26 4,630,618.77 1.65 6.375 357 3 360 3.836 79.81 99.74 645.1 2007-10 1,014 177,754,785.71 63.19 6.687 358 2 360 4.055 79.72 98.8 642.9 2007-11 466 83,879,098.70 29.82 6.848 359 1 360 4.165 79.78 98.71 639.6 2008-09 2 613,063.77 0.22 6.101 357 3 360 4.087 80 96.51 703 2008-10 19 3,762,487.97 1.34 6.169 358 2 360 4 75.5 94.56 684.1 2008-11 1 162,000.00 0.06 6.25 359 1 360 4.625 80 100 620 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,577 281,294,204.31 100 6.711 358.2 1.8 360 4.054 79.65 98.69 643
41. Custodian
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Custodian Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- WELLS FARGO BANK, N.A. 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
42. Originator
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Originator Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- WELLS FARGO BANK, N.A. 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
43. Servicer
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Servicer Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- WELLS FARGO BANK, N.A. 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8 - ------------------------------------------ ------ -------------- ------ ----- ----- ---- ----- ------ ----- ----- ----- Total: 1,662 296,213,109.97 100 6.723 356.3 1.8 358.1 4.054 79.62 98.6 643.8
The issuer has filed a registration statement (including a prospectus) with the U.S. Securities and Exchange Commission (SEC) for this offering. Before you invest, you should read the prospectus for this offering in that registration statement (which prospectus you may get for free by visiting the web site at http://www.lehman.com/pub/sasco), and other documents the issuer has filed with the SEC (including any related free-writing prospectus, preliminary prospectus supplement or preliminary pricing supplement, as applicable), for more complete information about the issuer. You may get these documents, as well as the final prospectus, prospectus supplement or pricing supplement (when completed), as applicable (such preliminary and final documentation together, the Offer Documentation), for free by searching the SEC online database (EDGAR(R)) at www.sec.gov. Alternatively, you may obtain a copy of the Offer Documentation from Lehman Brothers Inc., 745 Seventh Ave., New York, NY, 10019, Attn: Asset Backed Fixed Income Syndicate or by calling 212 526 7000. Lehman Brothers 610 records Balance: 165,817,183 WFHET 2005-4 Diana VDE May-98 IO LOANS Selection Criteria: IO LOANS Table of Contents 1. Current Balance 2. Original Balance 3. Rate 4. Rate (Arm) 5. Rate (Fix) 6. Rate Type 7. Product Type 8. Original Term 9. Stated Remaining Term 10. Seasoning 11. First Payment Date 12. Maturity Date 13. Lien Position 14. Balloon 15. IO Flag 16. IO Term 17. FICO 18. Credit Grade 19. Prepayment Penalty 20. Existing MI (1st lien and LTV gt 80) 21. Existing MI Company (1st and ltv gt 80) 22. Purchased MI (1st lien and LTV gt 80) 23. Purchased MI Company (1st and ltv gt 80) 24. Total MI Flag (1st and ltv gt 80) 25. Total MI Company (1st and ltv gt 80) 26. Original CLTV (Calc) 27. Current LTV (Calc) 28. Property Type 29. Loan Purpose 30. Occupancy Status 31. Loan Documentation 32. State (Top 30) 33. Top 10 Zip Code Concentrations 34. Index 35. Floor 36. Margin 37. Initial Periodic Rate Cap 38. Periodic Rate Cap 39. Maximum Rate 40. Next Rate Adjustment Date 41. Custodian 42. Originator 43. Servicer 1. Current Balance
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Current Balance Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0.01 - 50,000.00 1 37,499.91 0.02 8.125 359 1 360 0 75 75 604 50,000.01 - 100,000.00 24 1,993,456.21 1.2 7.434 358.1 1.9 360 4.769 79.09 93.19 638.4 100,000.01 - 150,000.00 100 12,786,476.23 7.71 7.335 358.1 1.9 360 4.613 79.25 94.32 639 150,000.01 - 200,000.00 116 20,550,353.57 12.39 6.955 358.2 1.8 360 4.448 79.12 91.5 636 200,000.01 - 250,000.00 88 19,696,569.44 11.88 7.028 358.2 1.8 360 4.458 80.27 93.31 635.3 250,000.01 - 300,000.00 80 21,908,776.51 13.21 6.719 358.1 1.9 360 4.409 80.4 91.36 638.5 300,000.01 - 350,000.00 52 16,913,917.92 10.2 6.517 358.2 1.8 360 4.352 79.21 90.77 651.1 350,000.01 - 400,000.00 40 14,915,181.92 8.99 6.707 357.8 2.2 360 4.221 80.37 88.76 641.5 400,000.01 - 450,000.00 34 14,444,911.35 8.71 6.462 358.1 1.9 360 4.324 79.67 89.86 648 450,000.01 - 500,000.00 24 11,447,291.03 6.9 6.241 358 2 360 4.089 79.14 85.8 654.4 500,000.01 - 550,000.00 14 7,372,856.05 4.45 6.245 358.1 1.9 360 4.358 81.38 89.86 651.6 550,000.01 - 600,000.00 17 9,886,090.00 5.96 6.476 358.1 1.9 360 4.206 81.34 87.23 655.6 600,000.01 - 650,000.00 7 4,403,380.75 2.66 6.641 358.1 1.9 360 4.572 83.46 86.36 633.9 650,000.01 - 700,000.00 7 4,776,168.51 2.88 6.837 357.6 2.4 360 4.146 80.01 84.63 662 700,000.01 - 750,000.00 4 2,909,253.40 1.75 6.552 358 2 360 4.156 80 94.11 643.3 800,000.01 - 850,000.00 1 825,000.00 0.5 6.125 358 2 360 3.625 75 90 661 900,000.01 - 950,000.00 1 950,000.00 0.57 6.375 359 1 360 3.875 73.08 73.08 644 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
Min.: 37,499.91 Max: 950,000.00 Avg.: 271,831.45 2. Original Balance
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original Balance Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 1 - 50,000 1 37,499.91 0.02 8.125 359 1 360 0 75 75 604 50,001 - 100,000 24 1,993,456.21 1.2 7.434 358.1 1.9 360 4.769 79.09 93.19 638.4 100,001 - 150,000 99 12,649,519.77 7.63 7.352 358.1 1.9 360 4.621 79.38 94.6 638.9 150,001 - 200,000 116 20,550,353.57 12.39 6.955 358.2 1.8 360 4.448 79.12 91.5 636 200,001 - 250,000 88 19,696,569.44 11.88 7.028 358.2 1.8 360 4.458 80.27 93.31 635.3 250,001 - 300,000 81 22,045,732.97 13.3 6.713 358.1 1.9 360 4.406 80.32 91.21 638.6 300,001 - 350,000 52 16,913,917.92 10.2 6.517 358.2 1.8 360 4.352 79.21 90.77 651.1 350,001 - 400,000 39 14,515,184.58 8.75 6.72 357.8 2.2 360 4.22 80.4 89.02 641.4 400,001 - 450,000 35 14,844,908.69 8.95 6.456 358.1 1.9 360 4.322 79.65 89.58 648 450,001 - 500,000 24 11,447,291.03 6.9 6.241 358 2 360 4.089 79.14 85.8 654.4 500,001 - 550,000 14 7,372,856.05 4.45 6.245 358.1 1.9 360 4.358 81.38 89.86 651.6 550,001 - 600,000 17 9,886,090.00 5.96 6.476 358.1 1.9 360 4.206 81.34 87.23 655.6 600,001 - 650,000 7 4,403,380.75 2.66 6.641 358.1 1.9 360 4.572 83.46 86.36 633.9 650,001 - 700,000 7 4,776,168.51 2.88 6.837 357.6 2.4 360 4.146 80.01 84.63 662 700,001 - 750,000 4 2,909,253.40 1.75 6.552 358 2 360 4.156 80 94.11 643.3 800,001 - 850,000 1 825,000.00 0.5 6.125 358 2 360 3.625 75 90 661 900,001 - 950,000 1 950,000.00 0.57 6.375 359 1 360 3.875 73.08 73.08 644 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
Min.: 37,500 Max: 950,000 Avg.: 272,080 3. Rate
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 4.001 - 4.500 1 329,028.00 0.2 4.375 359 1 360 3.875 80 100 713 4.501 - 5.000 5 2,527,508.00 1.52 4.92 358 2 360 3.551 78.89 89.61 691.2 5.001 - 5.500 18 6,135,240.00 3.7 5.387 357.9 2.1 360 3.583 78.74 92.63 679.5 5.501 - 6.000 82 27,233,061.44 16.42 5.848 357.9 2.1 360 3.886 76.87 87.95 671.7 6.001 - 6.500 112 32,317,064.70 19.49 6.342 358.1 1.9 360 4.117 78.19 88.46 649.5 6.501 - 7.000 162 46,072,864.24 27.79 6.81 358.2 1.8 360 4.456 80.73 91.83 633.3 7.001 - 7.500 116 30,668,805.97 18.5 7.302 358.2 1.8 360 4.696 81.97 90.21 633.3 7.501 - 8.000 68 12,913,460.29 7.79 7.812 358.1 1.9 360 4.837 81.48 92.6 619.6 8.001 - 8.500 30 5,457,549.48 3.29 8.314 358.1 1.9 360 5.121 83.53 91.99 621 8.501 - 9.000 10 1,274,610.80 0.77 8.809 358.3 1.7 360 5.417 84.12 92.68 609.3 9.001 - 9.500 5 632,989.88 0.38 9.317 358.4 1.6 360 5.763 85.85 98.02 608.1 9.501 - 10.000 1 255,000.00 0.15 9.625 358 2 360 6.375 90.75 90.75 621 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
Min.: 4.375 Max: 9.625 NZWA: 6.722 4. Rate (Arm)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate (Arm) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 4.001 - 4.500 1 329,028.00 0.2 4.375 359 1 360 3.875 80 100 713 4.501 - 5.000 5 2,527,508.00 1.53 4.92 358 2 360 3.551 78.89 89.61 691.2 5.001 - 5.500 18 6,135,240.00 3.72 5.387 357.9 2.1 360 3.583 78.74 92.63 679.5 5.501 - 6.000 82 27,233,061.44 16.5 5.848 357.9 2.1 360 3.886 76.87 87.95 671.7 6.001 - 6.500 111 32,205,064.70 19.52 6.342 358.1 1.9 360 4.117 78.19 88.42 649.4 6.501 - 7.000 162 46,072,864.24 27.92 6.81 358.2 1.8 360 4.456 80.73 91.83 633.3 7.001 - 7.500 115 30,494,212.22 18.48 7.301 358.2 1.8 360 4.696 82.27 90.55 633.5 7.501 - 8.000 67 12,734,960.29 7.72 7.81 358.1 1.9 360 4.837 81.43 92.71 619.2 8.001 - 8.500 28 5,250,449.57 3.18 8.318 358.1 1.9 360 5.121 83.7 91.86 619.7 8.501 - 9.000 9 1,138,661.61 0.69 8.801 358.2 1.8 360 5.417 84.01 93.6 611.4 9.001 - 9.500 5 632,989.88 0.38 9.317 358.4 1.6 360 5.763 85.85 98.02 608.1 9.501 - 10.000 1 255,000.00 0.15 9.625 358 2 360 6.375 90.75 90.75 621 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 604 165,009,039.95 100 6.717 358.1 1.9 360 4.358 79.98 90.4 643.8
Min.: 4.375 Max: 9.625 NZWA: 6.717 5. Rate (Fix)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate (Fix) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 6.001 - 6.500 1 112,000.00 13.86 6.25 358 2 360 0 80 100 651 7.001 - 7.500 1 174,593.75 21.6 7.5 358 2 360 0 30.97 30.97 602 7.501 - 8.000 1 178,500.00 22.09 7.95 358 2 360 0 85 85 645 8.001 - 8.500 2 207,099.91 25.63 8.227 358.2 1.8 360 0 79.09 95.47 654.8 8.501 - 9.000 1 135,949.19 16.82 8.875 359 1 360 0 85 85 591 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 6 808,142.85 100 7.844 358.2 1.8 360 0 71.12 78.09 630
Min.: 6.250 Max: 8.875 NZWA: 7.844 6. Rate Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Fixed 6 808,142.85 0.49 7.844 358.2 1.8 360 0 71.12 78.09 630 Adjustable 604 165,009,039.95 99.51 6.717 358.1 1.9 360 4.358 79.98 90.4 643.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
7. Product Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Product Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2/28 ARM (Libor) 580 157,649,777.53 95.07 6.725 358.1 1.9 360 4.36 79.88 90.58 642.8 3/27 ARM (Libor) 24 7,359,262.42 4.44 6.529 357.7 2.3 360 4.312 82.13 86.7 665.4 Fixed Rate 6 808,142.85 0.49 7.844 358.2 1.8 360 0 71.12 78.09 630 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
8. Original Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 337 - 360 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
Min.: 360.0 Max.: 360.0 NZWA: 360.0 9. Stated Remaining Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Stated Remaining Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 349 - 360 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
Min.: 354.0 Max: 359.0 NZWA: 358.1 10. Seasoning
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Seasoning Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 24-Jan 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
Min.: 1.0 Max: 6.0 WA: 1.9 11. First Payment Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico First Payment Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2005 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
12. Maturity Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Maturity Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2035 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
13. Lien Position
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Lien Position Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 1st Lien 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
14. Balloon
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Balloon Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Fully Amortizing 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
15. IO Flag
Total NZWA NZWA No. of Current NZWA NZWA Full Fico IO Flag Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Yes 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
16. IO Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico IO Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 60 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
17. FICO
Total NZWA NZWA No. of Current NZWA NZWA Full Fico FICO Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 571 - 580 3 579,275.00 0.35 7.574 358.7 1.3 360 5.419 81.56 94.48 580 581 - 590 48 11,059,409.15 6.67 7.282 358.2 1.8 360 4.721 79.03 89.12 585.7 591 - 600 44 10,087,577.18 6.08 7.119 358.1 1.9 360 4.659 79.28 89.69 595.6 601 - 610 61 17,535,775.60 10.58 6.943 357.9 2.1 360 4.643 80.15 89.34 606 611 - 620 56 13,853,420.29 8.35 7.009 357.8 2.2 360 4.553 79.41 85.74 615.6 621 - 630 57 15,210,579.32 9.17 7.069 358.3 1.7 360 4.621 81.1 89.15 625.8 631 - 640 64 17,231,009.15 10.39 6.866 358.1 1.9 360 4.589 80.98 91.51 635.7 641 - 650 72 21,794,603.78 13.14 6.643 358.4 1.6 360 4.339 80.42 89.04 645.5 651 - 660 45 11,587,829.21 6.99 6.651 358.2 1.8 360 4.207 80.19 95.97 655.4 661 - 670 39 10,806,008.89 6.52 6.339 358.2 1.8 360 3.789 77.84 92.11 665.4 671 - 680 28 7,873,416.31 4.75 6.316 357.9 2.1 360 3.986 79.12 90.36 674 681 - 690 20 6,129,583.00 3.7 6.241 358.2 1.8 360 4.097 81.66 94.53 684.6 691 - 700 16 4,351,580.05 2.62 6.293 358 2 360 3.845 81.23 95.35 696 701 - 710 16 5,054,512.75 3.05 6.344 357.8 2.2 360 4.081 83.89 93.75 705 711 - 720 5 1,805,960.00 1.09 5.179 358.2 1.8 360 3.676 72.05 87.52 715.8 721 - 730 14 4,928,774.97 2.97 5.859 357.6 2.4 360 3.712 81.09 90.98 724.2 731 - 740 6 1,661,613.20 1 6.145 358.1 1.9 360 3.783 80.34 94.81 733.7 741 - 750 6 1,420,677.19 0.86 6.217 358.1 1.9 360 4.023 75.74 84.28 744.7 751 - 760 3 972,712.00 0.59 5.826 358 2 360 3.726 80 100 754.5 761 - 770 1 167,192.00 0.1 6.125 357 3 360 3.25 80 100 768 771 - 780 2 849,050.00 0.51 7.4 358 2 360 4.525 78.1 78.1 774.8 781 - 790 2 390,338.00 0.24 6.36 358 2 360 3.945 80 100 784.6 791 - 800 1 400,100.00 0.24 5.75 358 2 360 3.75 26.67 26.67 798 811 - 820 1 66,185.76 0.04 6.25 358 2 360 4.375 80 100 812 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
Nzmin.: 580 Max.: 812 NZWA.: 644 Loans with Fico scores less than 400 have been eliminated from the average. 18. Credit Grade
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Credit Grade Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Y5 94 20,802,956.50 12.55 7.268 358.1 1.9 360 4.774 79.22 89.56 591.6 Y6 126 32,964,531.02 19.88 6.997 357.9 2.1 360 4.62 79.6 88.54 612.8 Y7 131 35,231,211.06 21.25 6.965 358.2 1.8 360 4.55 80.69 91.18 635.2 Y8 102 29,813,702.33 17.98 6.57 358.3 1.7 360 4.262 80.76 90.46 647.1 Y9 157 47,004,781.89 28.35 6.202 358 2 360 3.907 79.41 91.26 692.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
19. Prepayment Penalty
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Prepayment Penalty Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- <= 0.000 145 39,071,921.25 23.56 7.17 358.1 1.9 360 4.66 78.36 89.28 645.9 1.001 - 2.000 440 119,658,545.80 72.16 6.582 358.1 1.9 360 4.262 80.31 90.93 642.1 2.001 - 3.000 25 7,086,715.75 4.27 6.628 357.8 2.2 360 4.317 82.39 86.33 659.5 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
WA: 1.571 NZWA: 2.056 20. Existing MI (1st lien and LTV gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Existing MI (1st lien and LTV gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- No 114 35,616,108.90 100 7.098 357.8 2.2 360 4.837 88.25 88.34 638.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 114 35,616,108.90 100 7.098 357.8 2.2 360 4.837 88.25 88.34 638.8
21. Existing MI Company (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Existing MI Company (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 00-None 114 35,616,108.90 100 7.098 357.8 2.2 360 4.837 88.25 88.34 638.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 114 35,616,108.90 100 7.098 357.8 2.2 360 4.837 88.25 88.34 638.8
22. Purchased MI (1st lien and LTV gt 80) 23. Purchased MI Company (1st and ltv gt 80) 24. Total MI Flag (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Total MI Flag (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- N 114 35,616,108.90 100 7.098 357.8 2.2 360 4.837 88.25 88.34 638.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 114 35,616,108.90 100 7.098 357.8 2.2 360 4.837 88.25 88.34 638.8
25. Total MI Company (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Total MI Company (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 00-None 114 35,616,108.90 100 7.098 357.8 2.2 360 4.837 88.25 88.34 638.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 114 35,616,108.90 100 7.098 357.8 2.2 360 4.837 88.25 88.34 638.8
26. Original CLTV (Calc)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original CLTV (Calc) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 25.01 - 30.00 1 400,100.00 0.24 5.75 358 2 360 3.75 26.67 26.67 798 30.01 - 35.00 1 174,593.75 0.11 7.5 358 2 360 0 30.97 30.97 602 35.01 - 40.00 1 94,000.00 0.06 6.5 358 2 360 4.25 36.86 36.86 592 40.01 - 45.00 1 380,000.00 0.23 5.875 358 2 360 4.25 42.22 42.22 715 50.01 - 55.00 3 850,499.32 0.51 6.305 358.7 1.3 360 4.216 54.49 54.49 612.1 55.01 - 60.00 7 2,039,635.17 1.23 6.199 358 2 360 3.893 57.41 57.41 658.8 60.01 - 65.00 10 2,942,595.42 1.77 6.366 358.1 1.9 360 4.104 62.96 62.96 640.6 65.01 - 70.00 23 5,139,174.25 3.1 6.669 358.3 1.7 360 4.362 68.66 68.66 616.5 70.01 - 75.00 35 10,606,138.77 6.4 6.546 358.2 1.8 360 4.185 73.87 79.75 640.1 75.01 - 80.00 414 107,574,337.22 64.88 6.646 358.2 1.8 360 4.237 79.87 95.3 646.3 80.01 - 85.00 46 14,527,781.32 8.76 6.96 357.9 2.1 360 4.646 84.42 84.64 637.2 85.01 - 90.00 47 14,993,577.93 9.04 7.103 357.8 2.2 360 4.843 89.42 89.42 635 90.01 - 95.00 21 6,094,749.65 3.68 7.413 357.8 2.2 360 5.266 94.48 94.48 651.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
Min.: 26.67 Max: 95.00 WA: 79.94 *Includes Senior balances if any. 27. Current LTV (Calc)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Current LTV (Calc) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 25.01 - 30.00 1 400,100.00 0.24 5.75 358 2 360 3.75 26.67 26.67 798 30.01 - 35.00 1 174,593.75 0.11 7.5 358 2 360 0 30.97 30.97 602 35.01 - 40.00 2 230,956.46 0.14 6.055 358 2 360 4.028 55.3 55.3 625.8 40.01 - 45.00 1 380,000.00 0.23 5.875 358 2 360 4.25 42.22 42.22 715 50.01 - 55.00 3 850,499.32 0.51 6.305 358.7 1.3 360 4.216 54.49 54.49 612.1 55.01 - 60.00 7 2,039,635.17 1.23 6.199 358 2 360 3.893 57.41 57.41 658.8 60.01 - 65.00 10 2,942,595.42 1.77 6.366 358.1 1.9 360 4.104 62.96 62.96 640.6 65.01 - 70.00 22 5,002,217.79 3.02 6.694 358.3 1.7 360 4.375 68.68 68.68 615.7 70.01 - 75.00 35 10,606,138.77 6.4 6.546 358.2 1.8 360 4.185 73.87 79.75 640.1 75.01 - 80.00 414 107,574,337.22 64.88 6.646 358.2 1.8 360 4.237 79.87 95.3 646.3 80.01 - 85.00 46 14,527,781.32 8.76 6.96 357.9 2.1 360 4.646 84.42 84.64 637.2 85.01 - 90.00 47 14,993,577.93 9.04 7.103 357.8 2.2 360 4.843 89.42 89.42 635 90.01 - 95.00 21 6,094,749.65 3.68 7.413 357.8 2.2 360 5.266 94.48 94.48 651.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
NZMin.: 26.67 Max: 95.00 NZWA: 79.90 28. Property Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Property Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Single Family 516 141,577,934.55 85.38 6.722 358.1 1.9 360 4.361 80.07 90.31 642.1 Condo 80 18,410,652.48 11.1 6.816 358.1 1.9 360 4.334 78.63 92.29 649.1 2-4 Family 14 5,828,595.77 3.52 6.437 358.1 1.9 360 4.362 80.95 85.05 665.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
29. Loan Purpose
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Loan Purpose Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Purchase 378 99,148,086.47 59.79 6.669 358.1 1.9 360 4.267 80.64 95.66 647.7 Cash Out Refinance 211 62,614,889.36 37.76 6.784 358.1 1.9 360 4.493 78.72 81.83 638.4 Rate/Term Refinance 21 4,054,206.97 2.44 7.057 357.6 2.4 360 4.514 81.73 91.92 628.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
30. Occupancy Status
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Occupancy Status Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Primary Home 607 164,647,169.80 99.29 6.719 358.1 1.9 360 4.361 79.92 90.4 643.1 Second Home 3 1,170,013.00 0.71 7.187 356.7 3.3 360 3.961 82.09 82.09 728.5 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
31. Loan Documentation
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Loan Documentation Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Full 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
32. State (Top 30)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico State (Top 30) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- CA-N 95 38,005,742.23 22.92 6.359 358.2 1.8 360 4.118 79.13 88.57 654.3 CA-S 71 26,285,505.80 15.85 6.404 358.1 1.9 360 4.244 79.28 87.34 653.8 MD 42 11,843,542.09 7.14 6.84 358.1 1.9 360 4.61 80.74 90.47 629.5 AZ 50 10,681,937.73 6.44 6.996 358.3 1.7 360 4.515 81.67 90.03 642.2 VA 36 10,044,193.84 6.06 7.029 357.9 2.1 360 4.486 81.68 93.46 621.2 FL 38 9,362,436.24 5.65 7.053 358 2 360 4.409 77.93 90.33 649.4 NV 35 8,331,128.25 5.02 6.969 358.3 1.7 360 4.518 80.77 89.71 628 WA 32 6,821,184.06 4.11 6.753 358.2 1.8 360 4.31 80.17 94.92 645.8 NY 18 6,487,443.75 3.91 6.618 357.6 2.4 360 4.172 82.14 86.2 652.1 GA 26 4,390,894.59 2.65 7.288 358.1 1.9 360 4.739 81.14 95.16 623.2 MN 18 3,512,296.75 2.12 6.969 358 2 360 4.527 79.94 93.44 636.1 CO 14 3,095,195.57 1.87 6.742 358 2 360 4.353 80.69 94.9 636.7 NJ 12 2,923,473.52 1.76 7.344 358.2 1.8 360 4.742 78.19 90.37 643.7 MA 9 2,766,372.84 1.67 6.783 358.1 1.9 360 4.716 80.52 98.13 664.4 PA 6 2,050,714.51 1.24 6.225 357.1 2.9 360 4.009 80.08 92.01 621 MO 12 1,918,752.70 1.16 7.278 358.1 1.9 360 4.771 84.78 94.3 632.7 NM 8 1,721,870.00 1.04 7.968 358.9 1.1 360 4.759 78.79 92.37 630.9 OR 9 1,603,476.40 0.97 6.756 358 2 360 4.241 78.7 90.32 653.9 IL 7 1,327,192.75 0.8 7.037 358.2 1.8 360 4.562 80.73 89.83 654.8 OH 6 1,268,660.00 0.77 6.734 357.9 2.1 360 4.345 81.91 99.36 638.7 TN 6 1,064,865.68 0.64 6.966 357.7 2.3 360 4.686 80.61 99.39 617.3 KS 5 943,920.00 0.57 7.264 357.8 2.2 360 4.21 80 98.24 631.7 HI 2 832,000.00 0.5 6.599 359 1 360 4.23 61.65 67.22 607.6 DE 4 739,524.81 0.45 6.948 358.8 1.2 360 4.755 84.25 91.99 641.8 SC 3 704,540.00 0.42 6.426 358 2 360 4.454 76.54 96.54 616.4 NC 5 703,297.93 0.42 7.64 358.1 1.9 360 4.676 81.98 99.31 621.8 LA 6 657,233.79 0.4 7.451 358.1 1.9 360 4.484 79.71 98.57 623.5 DC 3 645,596.67 0.39 6.395 358.8 1.2 360 4.342 76.58 92.24 643.7 RI 2 624,000.00 0.38 5.818 358 2 360 4.07 78.71 88.58 653 TX 3 524,208.91 0.32 7.005 356.7 3.3 360 4.404 85.07 85.07 601.8 Other 27 3,935,981.39 2.37 6.941 358.1 1.9 360 4.409 79.5 93.57 652.4 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
33. Top 10 Zip Code Concentrations
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Top 10 Zip Code Concentrations Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 95757 5 2,213,722.00 1.34 6.614 358.4 1.6 360 4.18 80 99.36 669.5 94804 5 1,575,050.00 0.95 6.512 358 2 360 4.302 77.28 85.07 615.6 95901 5 1,425,527.84 0.86 6.03 358.2 1.8 360 3.938 80 99.09 671.3 95630 4 1,395,916.00 0.84 6.25 358.5 1.5 360 4.243 80 92.14 646.4 95206 4 1,273,800.00 0.77 6.751 358.8 1.2 360 4.388 81.6 97.7 636.3 22026 3 1,206,519.95 0.73 7.155 357.1 2.9 360 4.257 83.78 95.57 598.6 91710 2 1,174,546.00 0.71 6.197 358.5 1.5 360 4.128 79.55 80.92 632.1 94531 2 1,090,750.00 0.66 6.938 358 2 360 4.382 83.02 83.02 638.4 94574 1 950,000.00 0.57 6.375 359 1 360 3.875 73.08 73.08 644 95691 2 910,880.00 0.55 6.929 358.6 1.4 360 4.738 89.12 93.04 649.5 Other 577 152,600,471.01 92.03 6.736 358.1 1.9 360 4.369 79.89 90.28 643.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
34. Index
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Index Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 6 Month Libor (Wall St) 604 165,009,039.95 100 6.717 358.1 1.9 360 4.358 79.98 90.4 643.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 604 165,009,039.95 100 6.717 358.1 1.9 360 4.358 79.98 90.4 643.8
35. Floor
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Floor Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 1.501 - 2.000 1 440,000.00 0.27 5.125 355 5 360 2 80 100 728 2.001 - 2.500 1 168,000.00 0.1 6.5 355 5 360 2.5 80 100 652 2.501 - 3.000 5 1,809,050.14 1.1 6.202 354.8 5.2 360 2.713 81.08 94.92 643.3 3.001 - 3.500 29 10,728,981.34 6.5 5.869 357.4 2.6 360 3.382 79.91 91.61 686.4 3.501 - 4.000 121 37,158,919.99 22.52 6.134 358.1 1.9 360 3.858 77.37 90 670.3 4.001 - 4.500 209 55,216,716.03 33.46 6.712 358.2 1.8 360 4.323 78.91 90.91 640.4 4.501 - 5.000 173 44,412,736.48 26.92 7.119 358.3 1.7 360 4.781 80.72 89.28 623 5.001 - 5.500 42 10,527,448.88 6.38 7.469 358.3 1.7 360 5.281 86.9 90.63 617.6 5.501 - 6.000 18 3,927,487.21 2.38 8.045 358.4 1.6 360 5.774 90.63 91.93 622.9 6.001 - 6.500 5 619,699.88 0.38 9.342 358 2 360 6.305 92.71 92.71 626.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 604 165,009,039.95 100 6.717 358.1 1.9 360 4.358 79.98 90.4 643.8
NZWA: 4.358 Min.: 2.000 Max.: 6.500 36. Margin
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Margin Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 1.501 - 2.000 1 440,000.00 0.27 5.125 355 5 360 2 80 100 728 2.001 - 2.500 1 168,000.00 0.1 6.5 355 5 360 2.5 80 100 652 2.501 - 3.000 5 1,809,050.14 1.1 6.202 354.8 5.2 360 2.713 81.08 94.92 643.3 3.001 - 3.500 29 10,728,981.34 6.5 5.869 357.4 2.6 360 3.382 79.91 91.61 686.4 3.501 - 4.000 121 37,158,919.99 22.52 6.134 358.1 1.9 360 3.858 77.37 90 670.3 4.001 - 4.500 209 55,216,716.03 33.46 6.712 358.2 1.8 360 4.323 78.91 90.91 640.4 4.501 - 5.000 173 44,412,736.48 26.92 7.119 358.3 1.7 360 4.781 80.72 89.28 623 5.001 - 5.500 42 10,527,448.88 6.38 7.469 358.3 1.7 360 5.281 86.9 90.63 617.6 5.501 - 6.000 18 3,927,487.21 2.38 8.045 358.4 1.6 360 5.774 90.63 91.93 622.9 6.001 - 6.500 5 619,699.88 0.38 9.342 358 2 360 6.305 92.71 92.71 626.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 604 165,009,039.95 100 6.717 358.1 1.9 360 4.358 79.98 90.4 643.8
WA: 4.358 Min.: 2.000 Max.: 6.500 37. Initial Periodic Rate Cap
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Initial Periodic Rate Cap Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2.50001 - 3.00000 604 165,009,039.95 100 6.717 358.1 1.9 360 4.358 79.98 90.4 643.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 604 165,009,039.95 100 6.717 358.1 1.9 360 4.358 79.98 90.4 643.8
Min.: 3.000 Max.: 3.000 NZWA: 3.000 38. Periodic Rate Cap
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Periodic Rate Cap Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0.50001 - 1.00000 604 165,009,039.95 100 6.717 358.1 1.9 360 4.358 79.98 90.4 643.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 604 165,009,039.95 100 6.717 358.1 1.9 360 4.358 79.98 90.4 643.8
Min.: 1.000 Max.: 1.000 NZWA: 1.000 39. Maximum Rate
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Maximum Rate Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 10.00001 - 10.50000 1 329,028.00 0.2 4.375 359 1 360 3.875 80 100 713 10.50001 - 11.00000 5 2,527,508.00 1.53 4.92 358 2 360 3.551 78.89 89.61 691.2 11.00001 - 11.50000 18 6,135,240.00 3.72 5.387 357.9 2.1 360 3.583 78.74 92.63 679.5 11.50001 - 12.00000 82 27,233,061.44 16.5 5.848 357.9 2.1 360 3.886 76.87 87.95 671.7 12.00001 - 12.50000 111 32,205,064.70 19.52 6.342 358.1 1.9 360 4.117 78.19 88.42 649.4 12.50001 - 13.00000 162 46,072,864.24 27.92 6.81 358.2 1.8 360 4.456 80.73 91.83 633.3 13.00001 - 13.50000 115 30,494,212.22 18.48 7.301 358.2 1.8 360 4.696 82.27 90.55 633.5 13.50001 - 14.00000 67 12,734,960.29 7.72 7.81 358.1 1.9 360 4.837 81.43 92.71 619.2 14.00001 - 14.50000 28 5,250,449.57 3.18 8.318 358.1 1.9 360 5.121 83.7 91.86 619.7 14.50001 - 15.00000 9 1,138,661.61 0.69 8.801 358.2 1.8 360 5.417 84.01 93.6 611.4 15.00001 - 15.50000 5 632,989.88 0.38 9.317 358.4 1.6 360 5.763 85.85 98.02 608.1 15.50001 - 16.00000 1 255,000.00 0.15 9.625 358 2 360 6.375 90.75 90.75 621 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 604 165,009,039.95 100 6.717 358.1 1.9 360 4.358 79.98 90.4 643.8
Min.: 10.375 Max.: 15.625 NZWA: 12.717 40. Next Rate Adjustment Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Next Rate Adjustment Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2007-06 2 501,078.00 0.3 6.892 354 6 360 2.862 83.88 88.35 655.7 2007-07 13 4,423,650.22 2.68 6.503 355 5 360 3.151 85.31 93.72 643.6 2007-08 4 898,886.54 0.54 6.861 356 4 360 4.548 81.62 87.62 628.2 2007-09 16 4,414,052.33 2.68 6.55 357 3 360 4.176 81.35 89.96 636 2007-10 396 107,746,725.73 65.3 6.685 358 2 360 4.367 79.57 90.05 644.9 2007-11 149 39,665,384.71 24.04 6.873 359 1 360 4.512 79.88 91.82 637.8 2008-06 1 373,915.00 0.23 6.375 354 6 360 3.25 85 85 620 2008-07 1 142,010.00 0.09 6.875 355 5 360 4 95 95 672 2008-09 2 613,063.77 0.37 6.101 357 3 360 4.087 80 96.51 703 2008-10 18 5,956,273.65 3.61 6.574 358 2 360 4.402 82.16 85.57 665.4 2008-11 2 274,000.00 0.17 6.536 359 1 360 4.472 75.56 87.39 640.4 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 604 165,009,039.95 100 6.717 358.1 1.9 360 4.358 79.98 90.4 643.8
41. Custodian
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Custodian Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- WELLS FARGO BANK, N.A. 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
42. Originator
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Originator Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- WELLS FARGO BANK, N.A. 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
43. Servicer
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Servicer Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- WELLS FARGO BANK, N.A. 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 610 165,817,182.80 100 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7
The issuer has filed a registration statement (including a prospectus) with the U.S. Securities and Exchange Commission (SEC) for this offering. Before you invest, you should read the prospectus for this offering in that registration statement (which prospectus you may get for free by visiting the web site at http://www.lehman.com/pub/sasco), and other documents the issuer has filed with the SEC (including any related free-writing prospectus, preliminary prospectus supplement or preliminary pricing supplement, as applicable), for more complete information about the issuer. You may get these documents, as well as the final prospectus, prospectus supplement or pricing supplement (when completed), as applicable (such preliminary and final documentation together, the Offer Documentation), for free by searching the SEC online database (EDGAR(R)) at www.sec.gov. Alternatively, you may obtain a copy of the Offer Documentation from Lehman Brothers Inc., 745 Seventh Ave., New York, NY, 10019, Attn: Asset Backed Fixed Income Syndicate or by calling 212 526 7000. Lehman Brothers 4,231 records Balance: 702,782,028 WFHET 2005-4 Diana VDE May-98 NON IO LOANS Selection Criteria: NON IO LOANS Table of Contents 1. Current Balance 2. Original Balance 3. Rate 4. Rate (Arm) 5. Rate (Fix) 6. Rate Type 7. Product Type 8. Original Term 9. Stated Remaining Term 10. Seasoning 11. First Payment Date 12. Maturity Date 13. Lien Position 14. Balloon 15. IO Flag 16. IO Term 17. FICO 18. Credit Grade 19. Prepayment Penalty 20. Existing MI (1st lien and LTV gt 80) 21. Existing MI Company (1st and ltv gt 80) 22. Purchased MI (1st lien and LTV gt 80) 23. Purchased MI Company (1st and ltv gt 80) 24. Total MI Flag (1st and ltv gt 80) 25. Total MI Company (1st and ltv gt 80) 26. Original CLTV (Calc) 27. Current LTV (Calc) 28. Property Type 29. Loan Purpose 30. Occupancy Status 31. Loan Documentation 32. State (Top 30) 33. Top 10 Zip Code Concentrations 34. Index 35. Floor 36. Margin 37. Initial Periodic Rate Cap 38. Periodic Rate Cap 39. Maximum Rate 40. Next Rate Adjustment Date 41. Custodian 42. Originator 43. Servicer 1. Current Balance
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Current Balance Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0.01 - 50,000.00 345 13,077,359.73 1.86 8.957 338.6 1.7 340.3 5.685 73.73 76.75 594.2 50,000.01 - 100,000.00 1,025 77,757,111.40 11.06 8.09 351.6 1.8 353.4 5.151 78.53 85.78 607.4 100,000.01 - 150,000.00 973 121,057,255.58 17.23 7.764 355.1 1.9 357 4.972 78.99 86.14 612.1 150,000.01 - 200,000.00 737 128,555,231.25 18.29 7.338 351.8 1.8 353.6 4.728 77.45 82.66 610.4 200,000.01 - 250,000.00 417 93,388,647.58 13.29 7.258 352.7 1.8 354.6 4.679 77.96 82.67 614.6 250,000.01 - 300,000.00 255 69,604,179.32 9.9 6.948 351.2 1.8 353 4.579 78.63 83.98 626.1 300,000.01 - 350,000.00 174 56,464,894.14 8.03 7.137 355.9 1.9 357.8 4.715 79.13 83.93 622 350,000.01 - 400,000.00 96 35,942,204.27 5.11 6.926 348.7 1.8 350.5 4.53 79.44 84.3 627.7 400,000.01 - 450,000.00 88 37,564,190.34 5.35 6.918 346 1.8 347.8 4.528 80.12 84.73 631.9 450,000.01 - 500,000.00 44 20,938,214.69 2.98 6.785 349.9 1.9 351.8 4.338 78.92 83.58 625.9 500,000.01 - 550,000.00 21 11,041,221.62 1.57 6.642 358.1 1.9 360 4.217 83.26 89.89 647.8 550,000.01 - 600,000.00 20 11,580,863.60 1.65 6.615 340.2 1.9 342.1 4.458 81.29 84.76 649.8 600,000.01 - 650,000.00 9 5,572,048.40 0.79 6.381 358.3 1.7 360 3.765 75.03 78.5 655.5 650,000.01 - 700,000.00 10 6,730,495.88 0.96 6.338 339.3 2 341.3 3.934 75.78 81.85 646.3 700,000.01 - 750,000.00 7 5,107,849.08 0.73 6.494 332.6 2.4 335 3.88 74.28 77.52 643.8 750,000.01 - 800,000.00 5 3,903,837.59 0.56 6.407 358.6 1.4 360 3.996 78.18 80.38 619.6 800,000.01 - 850,000.00 1 820,213.44 0.12 7.875 356 4 360 3.75 70 70 558 850,000.01 - 900,000.00 2 1,773,217.47 0.25 5.254 358.5 1.5 360 3.001 72.8 90 698.2 900,000.01 - 950,000.00 1 939,108.08 0.13 6.25 359 1 360 4.125 61.24 61.24 571 950,000.01 - 1,000,000.00 1 963,884.08 0.14 5.625 357 3 360 0 61.4 61.4 679 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
Min.: 11,770.81 Max: 963,884.08 Avg.: 166,103.06 2. Original Balance
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original Balance Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 1 - 50,000 345 13,077,359.73 1.86 8.957 338.6 1.7 340.3 5.685 73.73 76.75 594.2 50,001 - 100,000 1,023 77,557,195.88 11.04 8.09 351.6 1.8 353.4 5.151 78.53 85.79 607.4 100,001 - 150,000 951 117,664,811.55 16.74 7.784 355.7 1.9 357.6 4.972 79.35 86.66 612.1 150,001 - 200,000 761 132,147,590.80 18.8 7.332 351.3 1.8 353.2 4.734 77.17 82.28 610.5 200,001 - 250,000 398 88,647,753.72 12.61 7.263 352.5 1.8 354.3 4.684 78.54 83.44 615.2 250,001 - 300,000 274 74,345,073.18 10.58 6.961 351.6 1.8 353.5 4.579 77.9 82.97 624.7 300,001 - 350,000 174 56,464,894.14 8.03 7.137 355.9 1.9 357.8 4.715 79.13 83.93 622 350,001 - 400,000 92 34,344,501.67 4.89 6.923 350.3 1.8 352.2 4.535 80.17 85.26 626.5 400,001 - 450,000 92 39,161,892.94 5.57 6.921 344.7 1.8 346.5 4.524 79.44 83.87 632.8 450,001 - 500,000 43 20,438,723.27 2.91 6.805 349.7 1.9 351.6 4.34 78.81 83.58 625.6 500,001 - 550,000 21 10,990,967.46 1.56 6.718 358.1 1.9 360 4.289 83.43 89.09 641.3 550,001 - 600,000 21 12,130,609.18 1.73 6.519 341 1.9 342.9 4.37 81.24 85.45 655.2 600,001 - 650,000 9 5,572,048.40 0.79 6.381 358.3 1.7 360 3.765 75.03 78.5 655.5 650,001 - 700,000 10 6,730,495.88 0.96 6.338 339.3 2 341.3 3.934 75.78 81.85 646.3 700,001 - 750,000 7 5,107,849.08 0.73 6.494 332.6 2.4 335 3.88 74.28 77.52 643.8 750,001 - 800,000 5 3,903,837.59 0.56 6.407 358.6 1.4 360 3.996 78.18 80.38 619.6 800,001 - 850,000 1 820,213.44 0.12 7.875 356 4 360 3.75 70 70 558 850,001 - 900,000 2 1,773,217.47 0.25 5.254 358.5 1.5 360 3.001 72.8 90 698.2 900,001 - 950,000 1 939,108.08 0.13 6.25 359 1 360 4.125 61.24 61.24 571 950,001 - 1,000,000 1 963,884.08 0.14 5.625 357 3 360 0 61.4 61.4 679 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
Min.: 15,000 Max: 967,000 Avg.: 166,394 3. Rate
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 3.001 - 3.500 1 217,907.40 0.03 3.5 354 6 360 2 72.85 72.85 683 4.001 - 4.500 3 774,546.56 0.11 4.489 358 2 360 3.19 78.76 94.77 738.6 4.501 - 5.000 15 4,177,368.41 0.59 4.847 357.8 2.2 360 3.238 73.88 84.38 698.6 5.001 - 5.500 66 17,556,213.06 2.5 5.381 354.4 2 356.4 3.54 76.27 88.4 675.6 5.501 - 6.000 256 65,172,453.84 9.27 5.857 346.6 1.9 348.5 3.707 76.11 84.93 659.1 6.001 - 6.500 505 118,538,129.43 16.87 6.33 352 1.8 353.8 3.977 75.85 82.81 640.3 6.501 - 7.000 693 130,317,537.44 18.54 6.805 347.6 1.8 349.5 4.224 75.95 82.9 629.4 7.001 - 7.500 661 106,468,696.76 15.15 7.323 352.6 1.8 354.4 4.58 78.54 85.32 616.7 7.501 - 8.000 580 84,541,189.68 12.03 7.81 354.7 1.9 356.6 4.948 80.97 85.59 607.8 8.001 - 8.500 434 58,067,372.45 8.26 8.305 355.6 1.8 357.4 5.532 81.4 84.35 591.3 8.501 - 9.000 361 50,989,097.57 7.26 8.814 354.5 1.8 356.3 6.03 82.7 83.23 577.5 9.001 - 9.500 231 26,007,773.67 3.7 9.278 354.6 1.9 356.5 6.238 83.4 83.5 574.4 9.501 - 10.000 205 21,846,642.14 3.11 9.802 351.2 1.8 353 6.584 80.35 80.48 560.3 10.001 - 10.500 109 9,455,755.87 1.35 10.29 349.9 1.7 351.6 6.835 81.67 81.84 554.6 10.501 - 11.000 63 5,323,341.70 0.76 10.8 353 2 354.9 7.209 78.47 78.93 533.7 11.001 - 11.500 31 1,755,416.75 0.25 11.279 355.4 1.9 357.3 7.675 77.73 78.31 540.9 11.501 - 12.000 16 1,502,053.91 0.21 11.784 358.2 1.8 360 7.994 82 82 545.5 12.001 - 12.500 1 70,530.90 0.01 12.25 359 1 360 7.75 85 85 522 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
Min.: 3.500 Max: 12.250 NZWA: 7.339 4. Rate (Arm)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate (Arm) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 3.001 - 3.500 1 217,907.40 0.04 3.5 354 6 360 2 72.85 72.85 683 4.001 - 4.500 3 774,546.56 0.13 4.489 358 2 360 3.19 78.76 94.77 738.6 4.501 - 5.000 15 4,177,368.41 0.68 4.847 357.8 2.2 360 3.238 73.88 84.38 698.6 5.001 - 5.500 65 17,202,010.44 2.8 5.381 358 2 360 3.54 76.6 88.98 675.8 5.501 - 6.000 220 54,002,948.69 8.78 5.853 358.1 1.9 360 3.707 77.34 87.26 653.8 6.001 - 6.500 438 101,366,627.99 16.48 6.329 358.2 1.8 360 3.977 76.88 84.52 634.4 6.501 - 7.000 583 108,437,376.10 17.63 6.803 358.2 1.8 360 4.224 77.57 85.14 626.6 7.001 - 7.500 569 91,390,855.50 14.86 7.322 358.2 1.8 360 4.58 79.43 86.99 615.1 7.501 - 8.000 519 76,419,320.42 12.42 7.811 358.1 1.9 360 4.948 81.12 85.8 605.1 8.001 - 8.500 398 54,101,825.15 8.79 8.305 358.2 1.8 360 5.532 81.75 84.64 588.9 8.501 - 9.000 323 46,994,276.68 7.64 8.815 358.2 1.8 360 6.03 83.33 83.83 576.2 9.001 - 9.500 203 24,143,286.28 3.92 9.274 358.1 1.9 360 6.238 84.29 84.33 573.8 9.501 - 10.000 177 19,404,490.52 3.15 9.794 358.1 1.9 360 6.584 81.7 81.81 558.8 10.001 - 10.500 93 8,412,050.90 1.37 10.28 358.3 1.7 360 6.835 83.45 83.63 555.2 10.501 - 11.000 58 5,158,385.35 0.84 10.801 358 2 360 7.209 78.86 79.3 532.9 11.001 - 11.500 25 1,496,115.95 0.24 11.262 358.2 1.8 360 7.675 78.9 79.47 540.1 11.501 - 12.000 15 1,442,676.05 0.23 11.791 358.2 1.8 360 7.994 81.88 81.88 544.8 12.001 - 12.500 1 70,530.90 0.01 12.25 359 1 360 7.75 85 85 522 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 3,706 615,212,599.29 100 7.368 358.2 1.8 360 4.737 79.41 85.32 614.5
Min.: 3.500 Max: 12.250 NZWA: 7.368 5. Rate (Fix)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate (Fix) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 5.001 - 5.500 1 354,202.62 0.4 5.375 178 2 180 0 60.17 60.17 668 5.501 - 6.000 36 11,169,505.15 12.76 5.875 290.8 2 292.8 0 70.16 73.65 684.4 6.001 - 6.500 67 17,171,501.44 19.61 6.333 315.5 1.8 317.3 0 69.75 72.71 674.7 6.501 - 7.000 110 21,880,161.34 24.99 6.817 295.3 1.9 297.2 0 67.91 71.83 643.4 7.001 - 7.500 92 15,077,841.26 17.22 7.323 318.8 1.8 320.6 0 73.1 75.18 626.9 7.501 - 8.000 61 8,121,869.26 9.27 7.796 322.6 1.8 324.5 0 79.58 83.59 633 8.001 - 8.500 36 3,965,547.30 4.53 8.296 319.8 1.7 321.5 0 76.69 80.37 623.5 8.501 - 9.000 38 3,994,820.89 4.56 8.81 311.4 1.7 313.1 0 75.26 76.2 593.1 9.001 - 9.500 28 1,864,487.39 2.13 9.324 309.2 1.4 310.6 0 71.88 72.74 582.4 9.501 - 10.000 28 2,442,151.62 2.79 9.867 295.9 1.7 297.6 0 69.65 69.92 572.3 10.001 - 10.500 16 1,043,704.97 1.19 10.376 282.4 1.3 283.7 0 67.33 67.33 549.2 10.501 - 11.000 5 164,956.35 0.19 10.764 194.7 2 196.8 0 66.36 67.37 559.3 11.001 - 11.500 6 259,300.80 0.3 11.372 339.2 2.3 341.5 0 70.95 71.63 545.2 11.501 - 12.000 1 59,377.86 0.07 11.625 358 2 360 0 85 85 558 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 525 87,569,428.25 100 7.137 306.8 1.8 308.6 0 71.38 74.35 643
Min.: 5.375 Max: 11.625 NZWA: 7.137 6. Rate Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Fixed 525 87,569,428.25 12.46 7.137 306.8 1.8 308.6 0 71.38 74.35 643 Adjustable 3,706 615,212,599.29 87.54 7.368 358.2 1.8 360 4.737 79.41 85.32 614.5 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
7. Product Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Product Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2/28 ARM (Libor) 3,555 582,067,714.10 82.82 7.374 358.2 1.8 360 4.748 79.54 85.52 613.4 Fixed Rate 463 72,038,073.16 10.25 7.22 334.6 1.8 336.4 0 71.51 74.45 640.3 1 Year ARM 94 19,364,528.57 2.76 7.541 356.9 3.1 360 4.532 77.58 82.95 627.6 Balloon 62 15,531,355.09 2.21 6.752 178 2 180 0 70.78 73.92 655.6 3/27 ARM (Libor) 57 13,780,356.62 1.96 6.887 358 2 360 4.602 76.65 80.37 644.4 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
8. Original Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 169 - 192 163 24,993,676.47 3.56 7.068 178.1 1.9 180 0 68.66 70.8 644.5 337 - 360 4,068 677,788,351.07 96.44 7.349 358.2 1.8 360 4.737 78.77 84.44 617.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
Min.: 180.0 Max.: 360.0 NZWA: 353.6 9. Stated Remaining Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Stated Remaining Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 169 - 180 163 24,993,676.47 3.56 7.068 178.1 1.9 180 0 68.66 70.8 644.5 349 - 360 4,068 677,788,351.07 96.44 7.349 358.2 1.8 360 4.737 78.77 84.44 617.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
Min.: 175.0 Max: 359.0 NZWA: 351.8 10. Seasoning
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Seasoning Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 24-Jan 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
Min.: 1.0 Max: 7.0 WA: 1.8 11. First Payment Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico First Payment Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2005 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
12. Maturity Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Maturity Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2020 163 24,993,676.47 3.56 7.068 178.1 1.9 180 0 68.66 70.8 644.5 2035 4,068 677,788,351.07 96.44 7.349 358.2 1.8 360 4.737 78.77 84.44 617.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
13. Lien Position
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Lien Position Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 1st Lien 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
14. Balloon
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Balloon Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Balloon 62 15,531,355.09 2.21 6.752 178 2 180 0 70.78 73.92 655.6 Fully Amortizing 4,169 687,250,672.45 97.79 7.353 355.7 1.8 357.5 4.737 78.58 84.18 617.2 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
15. IO Flag
Total NZWA NZWA No. of Current NZWA NZWA Full Fico IO Flag Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- No 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
16. IO Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico IO Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
17. FICO
Total NZWA NZWA No. of Current NZWA NZWA Full Fico FICO Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- <= 0 27 3,046,779.42 0.43 8.907 358.1 1.9 360 6.351 78.23 79.25 0 491 - 500 7 742,440.49 0.11 9.796 357.4 2.6 360 6.955 70.07 70.07 500 501 - 510 56 7,415,790.72 1.06 9.509 358.2 1.8 360 6.931 65.4 65.53 505.2 511 - 520 59 6,555,510.04 0.93 9.39 358.1 1.9 360 6.796 69.07 69.49 515.4 521 - 530 99 13,272,459.12 1.89 9.152 356.8 2 358.8 6.532 69.58 69.6 525.2 531 - 540 112 16,436,444.79 2.34 8.886 358.1 1.9 360 6.405 72.06 72.09 535.4 541 - 550 162 24,699,611.22 3.51 8.622 356.1 1.8 357.9 5.955 74.78 74.83 545 551 - 560 165 24,764,672.68 3.52 8.351 356.4 1.9 358.3 5.689 70.39 70.46 555.6 561 - 570 214 35,754,138.86 5.09 7.827 352.4 1.9 354.2 5.16 77.08 77.39 565.4 571 - 580 234 39,024,788.94 5.55 7.674 355.6 1.8 357.5 5.153 77.55 78.84 575.4 581 - 590 328 48,407,851.72 6.89 7.547 355.1 1.9 357 4.822 79.13 85.61 585.6 591 - 600 335 51,985,815.99 7.4 7.529 354.1 1.9 356 4.802 79.66 85.51 595.5 601 - 610 405 62,434,889.73 8.88 7.284 352.2 1.8 354.1 4.654 80.72 87.14 605.9 611 - 620 300 47,902,068.58 6.82 7.238 350.4 1.8 352.2 4.597 80.21 86.82 615.4 621 - 630 302 49,358,973.37 7.02 7.206 353.2 1.8 355 4.533 80.44 87.07 625.7 631 - 640 281 49,788,435.97 7.08 6.925 349.6 1.8 351.4 4.322 79.36 86.63 635.4 641 - 650 232 42,233,840.54 6.01 6.931 350.1 1.7 351.8 4.197 79.98 88.27 645.6 651 - 660 202 34,597,199.11 4.92 6.807 352.1 1.9 354 4.117 80.03 88.28 655.4 661 - 670 206 38,851,566.35 5.53 6.62 340.8 1.8 342.5 3.966 79.48 87 665.9 671 - 680 122 23,585,199.21 3.36 6.564 349.9 1.9 351.8 4.024 80.81 88.05 675.6 681 - 690 95 19,860,105.39 2.83 6.534 347.4 1.9 349.2 3.918 78.88 86.59 685.2 691 - 700 76 16,733,934.81 2.38 6.618 349.4 1.9 351.4 4.014 80.81 87 694.9 701 - 710 37 7,184,747.70 1.02 6.823 346.5 1.9 348.4 3.947 80.87 89.19 705.9 711 - 720 46 9,580,445.41 1.36 6.452 353.2 2 355.2 3.668 77.83 88.82 715.5 721 - 730 40 8,520,710.68 1.21 6.216 349 2.1 351 3.582 76.69 86.02 725.9 731 - 740 21 5,545,503.66 0.79 5.933 338.1 1.8 340 3.368 78.18 86.35 734.8 741 - 750 21 4,568,460.86 0.65 6.283 341.4 1.8 343.2 3.529 78.87 93.28 746 751 - 760 17 3,895,663.02 0.55 5.951 331.8 2.4 334.2 3.449 78.66 90.15 754.6 761 - 770 10 1,912,475.02 0.27 5.718 354 1.9 355.9 3.461 81.46 95.71 766.5 771 - 780 12 2,541,259.58 0.36 6.211 358.6 1.4 360 3.625 78.53 80.84 776 781 - 790 4 786,937.65 0.11 6.425 331.4 1.3 332.7 0 76.02 76.02 785.2 791 - 800 3 537,007.38 0.08 6.519 358.2 1.8 360 4.012 84.47 96.95 796 801 - 810 1 256,299.53 0.04 6.125 358 2 360 4.375 80 95 804 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
Nzmin.: 500 Max.: 804 NZWA.: 618 Loans with Fico scores less than 400 have been eliminated from the average. 18. Credit Grade
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Credit Grade Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Y1 112 13,339,028.55 1.9 9.552 358.1 1.9 360 6.975 66.6 66.66 510.3 Y2 317 40,827,305.80 5.81 9.341 353.7 1.9 355.7 6.695 71.79 71.91 544 Y3 291 45,396,586.56 6.46 8.328 356.4 1.9 358.3 5.726 71.79 71.85 550.9 Y4 623 102,453,304.71 14.58 7.699 354.9 1.8 356.7 5.113 77.32 78.15 583.1 Y5 587 87,340,332.46 12.43 7.437 355 1.9 356.8 4.703 79.3 86.72 589.8 Y6 671 105,424,393.72 15 7.234 352.5 1.8 354.3 4.576 81.48 88.44 611.3 Y7 614 104,665,284.59 14.89 7.014 351 1.8 352.8 4.39 80.41 87.83 636.1 Y8 386 72,035,155.20 10.25 6.837 349.9 1.8 351.7 4.096 79.84 87.99 649.3 Y9 630 131,300,635.95 18.68 6.424 345.3 1.9 347.2 3.772 79.37 87.42 694.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
19. Prepayment Penalty
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Prepayment Penalty Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- <= 0.000 1,019 191,720,808.56 27.28 7.764 353.3 1.9 355.2 5.053 78.1 83.06 614.6 1.001 - 2.000 2,796 434,816,591.10 61.87 7.219 357.9 1.8 359.7 4.618 79.61 85.85 614.7 2.001 - 3.000 416 76,244,627.88 10.85 6.956 313.1 1.8 315 4.399 72.36 75.39 645.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
WA: 1.563 NZWA: 2.149 20. Existing MI (1st lien and LTV gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Existing MI (1st lien and LTV gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Yes 1,295 215,175,502.88 99.15 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618 No 14 1,847,724.54 0.85 8.599 358 2 360 5.845 99.8 99.8 625.5 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,309 217,023,227.42 100 7.958 354.4 1.9 356.2 5.384 89.93 90.08 618.1
21. Existing MI Company (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Existing MI Company (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 00-None 14 1,847,724.54 0.85 8.599 358 2 360 5.845 99.8 99.8 625.5 6- Mortgage Guaranty Insurance Corp. 41 7,945,473.45 3.66 7.832 357.8 2.2 360 5.224 88.42 88.42 615.5 11- PMI 205 33,712,456.65 15.53 7.959 354.3 1.9 356.3 5.369 90.11 90.28 617.8 12- United Guaranty Residential Ins. Corp. 206 35,077,646.00 16.16 8.052 356.5 2.1 358.6 5.371 89.95 90.22 616.1 13- Republic Mortgage Insurance Corp. 333 53,499,849.07 24.65 8.07 355.1 1.4 356.5 5.522 89.99 90.03 610.1 24- Triad Guaranty Insurance Company 205 32,050,780.95 14.77 7.904 352.5 1.9 354.4 5.391 90.45 90.57 628.6 33- Amerin Guaranty Corp. 305 52,889,296.76 24.37 7.813 352.7 2 354.7 5.262 89.33 89.51 621.5 Total: 1,309 217,023,227.42 100 7.958 354.4 1.9 356.2 5.384 89.93 90.08 618.1
22. Purchased MI (1st lien and LTV gt 80) 23. Purchased MI Company (1st and ltv gt 80) 24. Total MI Flag (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Total MI Flag (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- N 14 1,847,724.54 0.85 8.599 358 2 360 5.845 99.8 99.8 625.5 Y 1,295 215,175,502.88 99.15 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,309 217,023,227.42 100 7.958 354.4 1.9 356.2 5.384 89.93 90.08 618.1
25. Total MI Company (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Total MI Company (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 00-None 14 1,847,724.54 0.85 8.599 358 2 360 5.845 99.8 99.8 625.5 11- PMI 205 33,712,456.65 15.53 7.959 354.3 1.9 356.3 5.369 90.11 90.28 617.8 12- United Guaranty Residential Ins. Corp. 206 35,077,646.00 16.16 8.052 356.5 2.1 358.6 5.371 89.95 90.22 616.1 13- Republic Mortgage Insurance Corp. 333 53,499,849.07 24.65 8.07 355.1 1.4 356.5 5.522 89.99 90.03 610.1 24- Triad Guaranty Insurance Company 205 32,050,780.95 14.77 7.904 352.5 1.9 354.4 5.391 90.45 90.57 628.6 33- Amerin Guaranty Corp. 305 52,889,296.76 24.37 7.813 352.7 2 354.7 5.262 89.33 89.51 621.5 6- Mortgage Guaranty Insurance Corp. 41 7,945,473.45 3.66 7.832 357.8 2.2 360 5.224 88.42 88.42 615.5 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,309 217,023,227.42 100 7.958 354.4 1.9 356.2 5.384 89.93 90.08 618.1
26. Original CLTV (Calc)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original CLTV (Calc) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 5.01 - 10.00 3 155,528.01 0.02 8.121 301.1 1.3 302.3 6.431 8.87 8.87 563.6 10.01 - 15.00 4 254,274.67 0.04 8.518 298.5 1.2 299.8 7.323 13.78 13.78 556 15.01 - 20.00 5 325,521.04 0.05 8.948 316.9 1.8 318.6 7.126 17.77 17.77 568 20.01 - 25.00 16 1,471,373.92 0.21 7.506 352.4 1.9 354.3 4.383 21.62 21.62 595 25.01 - 30.00 15 1,179,643.40 0.17 7.708 343.8 2 345.8 5.049 28.51 29.06 591.9 30.01 - 35.00 23 2,659,104.56 0.38 7.136 305.6 2.2 307.9 4.784 32.5 32.5 616.8 35.01 - 40.00 26 3,087,400.56 0.44 7.561 335.7 2.1 337.8 5.115 37.96 37.96 595 40.01 - 45.00 39 4,870,503.43 0.69 7.357 326.3 1.9 328.2 5.14 42.72 42.72 585.1 45.01 - 50.00 73 12,188,927.27 1.73 7.256 335.9 1.8 337.7 4.911 47.83 47.83 602.7 50.01 - 55.00 83 13,922,245.83 1.98 7.132 332.7 1.8 334.5 4.712 52.67 53.41 607.5 55.01 - 60.00 96 16,372,704.02 2.33 7.28 338.8 1.8 340.6 4.778 57.95 58.37 594.3 60.01 - 65.00 136 25,396,299.07 3.61 7.003 345.7 1.8 347.5 4.674 62.89 63.56 604.4 65.01 - 70.00 291 47,480,711.91 6.76 7.236 349.5 1.9 351.4 4.693 68.51 68.77 595.4 70.01 - 75.00 411 74,256,931.91 10.57 7.218 354.1 1.8 356 4.672 73.86 76.7 599.5 75.01 - 80.00 1,701 282,137,630.52 40.15 6.954 353.6 1.8 355.4 4.233 79.74 92.53 631.7 80.01 - 85.00 390 68,098,462.77 9.69 7.831 351.8 1.9 353.7 5.331 84.27 84.61 605.8 85.01 - 90.00 534 91,461,247.44 13.01 7.873 354.1 1.9 355.9 5.315 89.71 89.79 615.2 90.01 - 95.00 206 31,575,116.40 4.49 8.032 357.7 1.8 359.6 5.398 94.66 94.69 635.2 95.01 - 100.00 179 25,888,400.81 3.68 8.506 358.1 1.8 359.9 5.723 99.86 99.86 638.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
Min.: 8.25 Max: 100.00 WA: 78.41 *Includes Senior balances if any. 27. Current LTV (Calc)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Current LTV (Calc) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0.01 - 5.00 1 11,770.81 0 10.5 358 2 360 6.625 13.57 13.57 0 5.01 - 10.00 3 155,528.01 0.02 8.121 301.1 1.3 302.3 6.431 8.87 8.87 563.6 10.01 - 15.00 3 242,503.86 0.03 8.422 295.7 1.2 296.8 7.375 13.79 13.79 556 15.01 - 20.00 5 325,521.04 0.05 8.948 316.9 1.8 318.6 7.126 17.77 17.77 568 20.01 - 25.00 16 1,471,373.92 0.21 7.506 352.4 1.9 354.3 4.383 21.62 21.62 595 25.01 - 30.00 15 1,179,643.40 0.17 7.708 343.8 2 345.8 5.049 28.51 29.06 591.9 30.01 - 35.00 23 2,659,104.56 0.38 7.136 305.6 2.2 307.9 4.784 32.5 32.5 616.8 35.01 - 40.00 27 3,176,679.04 0.45 7.567 336.3 2.1 338.4 5.077 38.05 38.05 595.3 40.01 - 45.00 38 4,781,224.95 0.68 7.349 325.7 1.9 327.6 5.168 42.75 42.75 584.8 45.01 - 50.00 73 12,188,927.27 1.73 7.256 335.9 1.8 337.7 4.911 47.83 47.83 602.7 50.01 - 55.00 84 14,130,902.45 2.01 7.128 330.4 1.8 332.2 4.712 52.71 53.44 607.5 55.01 - 60.00 95 16,164,047.40 2.3 7.285 340.9 1.8 342.7 4.778 57.99 58.41 594.1 60.01 - 65.00 140 26,019,567.65 3.7 6.993 345 1.8 346.8 4.664 62.94 63.6 605.3 65.01 - 70.00 290 47,470,430.85 6.75 7.23 350.1 1.9 352 4.694 68.58 68.89 595.3 70.01 - 75.00 409 73,702,867.88 10.49 7.227 354.1 1.8 356 4.675 73.9 76.72 599.2 75.01 - 80.00 1,702 282,435,277.71 40.19 6.953 353.6 1.8 355.4 4.233 79.74 92.52 631.7 80.01 - 85.00 389 68,004,921.68 9.68 7.832 351.8 1.9 353.7 5.338 84.29 84.63 605.5 85.01 - 90.00 533 91,198,217.85 12.98 7.877 354 1.9 355.9 5.314 89.72 89.8 615.3 90.01 - 95.00 206 31,575,116.40 4.49 8.032 357.7 1.8 359.6 5.398 94.66 94.69 635.2 95.01 - 100.00 179 25,888,400.81 3.68 8.506 358.1 1.8 359.9 5.723 99.86 99.86 638.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
NZMin.: 4.56 Max: 99.96 NZWA: 78.28 28. Property Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Property Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Single Family 3,909 643,899,903.30 91.62 7.353 352 1.8 353.8 4.747 78.51 83.93 617 Condo 222 36,660,692.79 5.22 7.229 354.2 2 356.1 4.556 79.7 88.37 629.8 2-4 Family 100 22,221,431.45 3.16 7.127 341.6 1.8 343.4 4.772 73.24 77.19 629.2 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
29. Loan Purpose
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Loan Purpose Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Cash Out Refinance 2,102 377,393,415.73 53.7 7.293 349 1.9 350.9 4.829 75.1 77.1 609.9 Purchase 1,866 287,055,212.24 40.85 7.392 355.7 1.8 357.5 4.624 82.73 93 627.8 Rate/Term Refinance 263 38,333,399.57 5.45 7.399 349 1.9 350.9 4.795 78.6 83.63 626.2 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
30. Occupancy Status
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Occupancy Status Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Primary Home 4,060 680,502,588.26 96.83 7.339 351.8 1.8 353.7 4.741 78.67 84.39 617.9 Investment 119 13,110,810.97 1.87 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630 Second Home 52 9,168,628.31 1.3 7.263 355 2.1 357.1 4.572 71.84 71.84 614.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
31. Loan Documentation
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Loan Documentation Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Full 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
32. State (Top 30)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico State (Top 30) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- CA-S 261 71,986,039.49 10.24 6.713 346.6 2 348.6 4.357 72.62 76.1 628.5 CA-N 151 45,070,240.70 6.41 6.567 345.9 1.9 347.8 4.131 74.57 81.12 640.5 FL 238 43,980,864.84 6.26 7.28 353.1 1.9 355 4.804 78.19 81.7 610.3 MD 193 43,231,384.15 6.15 7.248 355.4 1.8 357.2 4.731 78.05 83.05 615.3 AZ 218 39,275,449.83 5.59 7.427 356.2 1.9 358.1 4.781 77.91 79.97 608.4 IL 234 30,682,974.93 4.37 7.783 357.6 1.8 359.4 4.855 81.97 86.66 610.9 NY 125 27,039,363.94 3.85 7.222 352.3 1.9 354.2 4.689 75.71 78.81 620.6 NJ 114 25,378,868.60 3.61 7.737 353.3 1.9 355.2 5.182 76.12 80.17 608.8 VA 122 23,192,140.81 3.3 7.356 354.3 1.8 356.1 4.816 77.85 84.1 607.6 TX 207 21,876,684.72 3.11 7.67 332.2 1.7 333.9 4.872 80.23 86.76 621.8 MN 135 21,204,631.41 3.02 7.392 354 1.8 355.8 4.683 79.6 85.14 615.1 PA 149 20,138,721.15 2.87 7.639 353.3 1.8 355.1 4.939 80.62 85.37 609 NV 84 18,504,521.27 2.63 7.128 355.3 2 357.4 4.488 75.36 79.77 615.5 WA 97 18,464,345.94 2.63 6.874 335 1.9 336.9 4.413 79.41 86.54 623.8 GA 112 17,406,025.73 2.48 7.493 356.8 1.8 358.6 4.983 81.56 87.6 606.8 NC 116 17,053,582.27 2.43 7.66 358.1 1.9 360 4.86 80.81 89.08 610.5 CO 81 16,847,123.46 2.4 7.074 358.3 1.7 360 4.538 78.14 85.37 619.2 MO 150 15,843,800.00 2.25 7.577 350.8 1.9 352.7 4.824 80.05 88.77 616.6 MA 57 15,637,885.17 2.23 7.244 358.2 1.8 360 5.064 77.98 84.08 616.2 IA 136 12,946,753.79 1.84 7.88 358.3 1.7 360 4.906 83.47 92 620.1 WI 98 12,653,663.40 1.8 7.62 354.1 1.8 356 4.778 82.56 89.38 626.4 OH 96 10,860,380.28 1.55 8.073 357.4 1.7 359.1 5.158 84.19 90.89 610.9 OR 53 9,819,938.55 1.4 7.067 340.3 1.9 342.2 4.461 78.3 86.55 631.8 TN 74 9,563,109.21 1.36 7.218 353.3 1.8 355.1 4.794 80.53 92.67 623.6 NE 80 8,486,013.77 1.21 7.92 353.1 1.8 354.9 4.608 79.62 89.3 623.6 AK 40 7,977,711.81 1.14 7.343 352.4 1.8 354.3 4.856 81.57 84.74 620.7 MI 78 7,901,595.03 1.12 8.184 356.8 1.7 358.4 5.204 84.05 88.98 607.4 DE 39 7,299,546.91 1.04 7.554 354.2 1.9 356.1 4.931 82.74 89.43 611.8 IN 72 6,779,908.24 0.96 8.094 357.7 1.8 359.5 5.065 82.3 87.09 615.9 SC 54 6,309,832.47 0.9 7.856 355.3 1.6 356.9 5.398 82.51 90.87 605.4 Other 567 69,368,925.67 9.87 7.599 350.8 1.8 352.6 4.822 80.18 87.48 619.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
33. Top 10 Zip Code Concentrations
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Top 10 Zip Code Concentrations Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 20772 7 2,332,943.74 0.33 6.841 358.6 1.4 360 4.403 80.81 90.48 617.3 20774 6 1,844,308.36 0.26 7.26 334.1 1.8 335.9 4.935 76.97 78.46 600.3 92392 7 1,765,096.61 0.25 6.578 358.1 1.9 360 4.44 80.78 80.78 625.2 92223 6 1,694,585.74 0.24 6.086 358 2 360 4.192 78.48 81.3 637 20744 6 1,609,916.32 0.23 7.027 329.6 1.6 331.3 4.829 78.55 81.43 614 95901 6 1,482,498.69 0.21 6.786 358.4 1.6 360 4.168 77.8 92.76 641 85345 9 1,478,371.50 0.21 7.285 358.3 1.7 360 4.846 79.41 81 637 89506 6 1,470,134.96 0.21 7.56 357.9 2.1 360 5.318 83.25 83.25 633.4 2186 3 1,406,723.27 0.2 7.179 358 2 360 5.363 83.43 83.43 586.2 33971 7 1,403,854.58 0.2 7.434 336.1 1.9 338 5.207 82.1 85.43 611.4 Other 4,168 686,293,593.77 97.65 7.348 351.8 1.8 353.6 4.738 78.37 83.95 618 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
34. Index
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Index Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 6 Month Libor (Wall St) 3,612 595,848,070.72 96.85 7.363 358.2 1.8 360 4.744 79.47 85.4 614.1 1 Year CMT (Weekly) 94 19,364,528.57 3.15 7.541 356.9 3.1 360 4.532 77.58 82.95 627.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 3,706 615,212,599.29 100 7.368 358.2 1.8 360 4.737 79.41 85.32 614.5
35. Floor
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Floor Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0.001 - 0.500 1 67,896.20 0.01 7.375 358 2 360 0.375 80 100 630 1.501 - 2.000 3 604,470.33 0.1 4.762 354 6 360 1.92 77.4 90.21 691.1 2.001 - 2.500 4 1,526,465.09 0.25 6.228 354.8 5.2 360 2.249 80 93.4 686.1 2.501 - 3.000 35 9,235,948.99 1.5 5.664 357.2 2.8 360 2.888 75.96 87.9 705.4 3.001 - 3.500 195 49,259,778.06 8.01 5.991 358.1 1.9 360 3.362 76.36 88.34 680.1 3.501 - 4.000 601 120,366,314.47 19.56 6.478 358.1 1.9 360 3.825 76.75 88.05 640.7 4.001 - 4.500 894 147,957,517.00 24.05 6.942 358.2 1.8 360 4.301 76.98 85.26 616.9 4.501 - 5.000 570 87,252,268.05 14.18 7.372 358.2 1.8 360 4.796 81.31 84.66 610.7 5.001 - 5.500 351 57,231,578.52 9.3 7.865 358.1 1.9 360 5.314 83.57 83.87 599.6 5.501 - 6.000 366 54,880,278.11 8.92 8.545 358.1 1.9 360 5.813 86.88 86.94 589.1 6.001 - 6.500 329 45,612,768.66 7.41 8.862 358.2 1.8 360 6.281 83.13 83.2 566.7 6.501 - 7.000 194 24,576,348.23 3.99 9.35 358.2 1.8 360 6.806 76.55 76.67 544.5 7.001 - 7.500 95 9,953,956.08 1.62 9.813 358.3 1.7 360 7.251 72.85 73.06 529.1 7.501 - 8.000 49 4,284,100.76 0.7 10.634 358.4 1.6 360 7.801 79.36 79.61 537.9 8.001 - 8.500 19 2,402,910.74 0.39 10.959 358.1 1.9 360 8.263 84.86 85.13 536.4 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 3,706 615,212,599.29 100 7.368 358.2 1.8 360 4.737 79.41 85.32 614.5
NZWA: 4.737 Min.: 0.375 Max.: 8.500 36. Margin
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Margin Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0.001 - 0.500 1 67,896.20 0.01 7.375 358 2 360 0.375 80 100 630 1.501 - 2.000 3 604,470.33 0.1 4.762 354 6 360 1.92 77.4 90.21 691.1 2.001 - 2.500 4 1,526,465.09 0.25 6.228 354.8 5.2 360 2.249 80 93.4 686.1 2.501 - 3.000 35 9,235,948.99 1.5 5.664 357.2 2.8 360 2.888 75.96 87.9 705.4 3.001 - 3.500 195 49,259,778.06 8.01 5.991 358.1 1.9 360 3.362 76.36 88.34 680.1 3.501 - 4.000 601 120,366,314.47 19.56 6.478 358.1 1.9 360 3.825 76.75 88.05 640.7 4.001 - 4.500 894 147,957,517.00 24.05 6.942 358.2 1.8 360 4.301 76.98 85.26 616.9 4.501 - 5.000 570 87,252,268.05 14.18 7.372 358.2 1.8 360 4.796 81.31 84.66 610.7 5.001 - 5.500 351 57,231,578.52 9.3 7.865 358.1 1.9 360 5.314 83.57 83.87 599.6 5.501 - 6.000 366 54,880,278.11 8.92 8.545 358.1 1.9 360 5.813 86.88 86.94 589.1 6.001 - 6.500 329 45,612,768.66 7.41 8.862 358.2 1.8 360 6.281 83.13 83.2 566.7 6.501 - 7.000 194 24,576,348.23 3.99 9.35 358.2 1.8 360 6.806 76.55 76.67 544.5 7.001 - 7.500 95 9,953,956.08 1.62 9.813 358.3 1.7 360 7.251 72.85 73.06 529.1 7.501 - 8.000 49 4,284,100.76 0.7 10.634 358.4 1.6 360 7.801 79.36 79.61 537.9 8.001 - 8.500 19 2,402,910.74 0.39 10.959 358.1 1.9 360 8.263 84.86 85.13 536.4 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 3,706 615,212,599.29 100 7.368 358.2 1.8 360 4.737 79.41 85.32 614.5
WA: 4.737 Min.: 0.375 Max.: 8.500 37. Initial Periodic Rate Cap
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Initial Periodic Rate Cap Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 1.50001 - 2.00000 94 19,364,528.57 3.15 7.541 356.9 3.1 360 4.532 77.58 82.95 627.6 2.50001 - 3.00000 3,612 595,848,070.72 96.85 7.363 358.2 1.8 360 4.744 79.47 85.4 614.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 3,706 615,212,599.29 100 7.368 358.2 1.8 360 4.737 79.41 85.32 614.5
Min.: 2.000 Max.: 3.000 NZWA: 2.969 38. Periodic Rate Cap
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Periodic Rate Cap Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0.50001 - 1.00000 3,612 595,848,070.72 96.85 7.363 358.2 1.8 360 4.744 79.47 85.4 614.1 1.50001 - 2.00000 94 19,364,528.57 3.15 7.541 356.9 3.1 360 4.532 77.58 82.95 627.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 3,706 615,212,599.29 100 7.368 358.2 1.8 360 4.737 79.41 85.32 614.5
Min.: 1.000 Max.: 2.000 NZWA: 1.031 39. Maximum Rate
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Maximum Rate Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 9.00001 - 9.50000 1 217,907.40 0.04 3.5 354 6 360 2 72.85 72.85 683 10.00001 - 10.50000 3 774,546.56 0.13 4.489 358 2 360 3.19 78.76 94.77 738.6 10.50001 - 11.00000 15 4,177,368.41 0.68 4.847 357.8 2.2 360 3.238 73.88 84.38 698.6 11.00001 - 11.50000 65 17,202,010.44 2.8 5.381 358 2 360 3.54 76.6 88.98 675.8 11.50001 - 12.00000 220 54,002,948.69 8.78 5.853 358.1 1.9 360 3.707 77.34 87.26 653.8 12.00001 - 12.50000 438 101,366,627.99 16.48 6.329 358.2 1.8 360 3.977 76.88 84.52 634.4 12.50001 - 13.00000 583 108,437,376.10 17.63 6.803 358.2 1.8 360 4.224 77.57 85.14 626.6 13.00001 - 13.50000 569 91,390,855.50 14.86 7.322 358.2 1.8 360 4.58 79.43 86.99 615.1 13.50001 - 14.00000 519 76,419,320.42 12.42 7.811 358.1 1.9 360 4.948 81.12 85.8 605.1 14.00001 - 14.50000 398 54,101,825.15 8.79 8.305 358.2 1.8 360 5.532 81.75 84.64 588.9 14.50001 - 15.00000 323 46,994,276.68 7.64 8.815 358.2 1.8 360 6.03 83.33 83.83 576.2 15.00001 - 15.50000 203 24,143,286.28 3.92 9.274 358.1 1.9 360 6.238 84.29 84.33 573.8 15.50001 - 16.00000 177 19,404,490.52 3.15 9.794 358.1 1.9 360 6.584 81.7 81.81 558.8 16.00001 - 16.50000 93 8,412,050.90 1.37 10.28 358.3 1.7 360 6.835 83.45 83.63 555.2 16.50001 - 17.00000 58 5,158,385.35 0.84 10.801 358 2 360 7.209 78.86 79.3 532.9 17.00001 - 17.50000 25 1,496,115.95 0.24 11.262 358.2 1.8 360 7.675 78.9 79.47 540.1 17.50001 - 18.00000 15 1,442,676.05 0.23 11.791 358.2 1.8 360 7.994 81.88 81.88 544.8 18.00001 - 18.50000 1 70,530.90 0.01 12.25 359 1 360 7.75 85 85 522 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 3,706 615,212,599.29 100 7.368 358.2 1.8 360 4.737 79.41 85.32 614.5
Min.: 9.500 Max.: 18.250 NZWA: 13.368 40. Next Rate Adjustment Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Next Rate Adjustment Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2006-05 1 156,877.69 0.03 8.95 353 7 360 5.125 90 90 617 2006-07 9 2,095,569.02 0.34 6.827 355 5 360 2.745 76.27 87.17 669.3 2006-08 21 4,846,021.99 0.79 7.475 356 4 360 4.505 78.93 84.5 619.6 2006-09 33 6,668,874.78 1.08 7.496 357 3 360 4.586 76.82 82.3 637.5 2006-10 21 3,792,606.43 0.62 7.544 358 2 360 4.834 75.71 80.34 619.2 2006-11 9 1,804,578.66 0.29 8.579 359 1 360 5.788 81.16 81.16 582.6 2007-05 4 542,412.07 0.09 7.129 353 7 360 4.02 85.86 94.32 608.8 2007-06 17 3,022,152.53 0.49 6.778 354 6 360 3.562 81.28 84.54 603.8 2007-07 24 3,148,857.35 0.51 7.682 355 5 360 3.984 74.86 80.24 595.1 2007-08 23 2,985,393.46 0.49 7.595 356 4 360 4.745 85.42 91.71 594.2 2007-09 83 16,922,362.64 2.75 7.158 357 3 360 4.631 79.64 82.85 610.3 2007-10 2,392 392,496,610.02 63.8 7.36 358 2 360 4.751 79.62 85.38 613.3 2007-11 1,012 162,949,926.03 26.49 7.431 359 1 360 4.791 79.25 86.09 614.8 2008-09 2 789,647.74 0.13 6.538 357 3 360 4.197 82.49 82.49 705 2008-10 48 11,522,621.65 1.87 6.959 358 2 360 4.678 76.38 80.83 638.1 2008-11 7 1,468,087.23 0.24 6.508 359 1 360 4.218 75.64 75.64 661.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 3,706 615,212,599.29 100 7.368 358.2 1.8 360 4.737 79.41 85.32 614.5
41. Custodian
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Custodian Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- WELLS FARGO BANK, N.A. 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
42. Originator
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Originator Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- WELLS FARGO BANK, N.A. 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
43. Servicer
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Servicer Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- WELLS FARGO BANK, N.A. 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,231 702,782,027.54 100 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1
The issuer has filed a registration statement (including a prospectus) with the U.S. Securities and Exchange Commission (SEC) for this offering. Before you invest, you should read the prospectus for this offering in that registration statement (which prospectus you may get for free by visiting the web site at http://www.lehman.com/pub/sasco), and other documents the issuer has filed with the SEC (including any related free-writing prospectus, preliminary prospectus supplement or preliminary pricing supplement, as applicable), for more complete information about the issuer. You may get these documents, as well as the final prospectus, prospectus supplement or pricing supplement (when completed), as applicable (such preliminary and final documentation together, the Offer Documentation), for free by searching the SEC online database (EDGAR(R)) at www.sec.gov. Alternatively, you may obtain a copy of the Offer Documentation from Lehman Brothers Inc., 745 Seventh Ave., New York, NY, 10019, Attn: Asset Backed Fixed Income Syndicate or by calling 212 526 7000. Lehman Brothers 4,841 records Balance: 868,599,210 WFHET 2005-4 Diana VDE May-98 All records Selection Criteria: All records Table of Contents 1. Current Balance 2. Original Balance 3. Rate 4. Rate (Arm) 5. Rate (Fix) 6. Rate Type 7. Product Type 8. Original Term 9. Stated Remaining Term 10. Seasoning 11. First Payment Date 12. Maturity Date 13. Lien Position 14. Balloon 15. IO Flag 16. IO Term 17. FICO 18. Credit Grade 19. Prepayment Penalty 20. Existing MI (1st lien and LTV gt 80) 21. Existing MICompany (1st and ltv gt 80) 22. Purchased MI (1st lien and LTV gt 80) 23. Purchased MI Company (1st and ltv gt 80) 24. Total MI Flag (1st and ltv gt 80) 25. Total MI Company (1st and ltv gt 80) 26. Original CLTV (Calc) 27. Current LTV (Calc) 28. Property Type 29. Loan Purpose 30. Occupancy Status 31. Loan Documentation 32. State (Top 30) 33. Top 10 Zip Code Concentrations 34. Index 35. Floor 36. Margin 37. Initial Periodic Rate Cap 38. Periodic Rate Cap 39. Maximum Rate 40. Next Rate Adjustment Date 41. Custodian 42. Originator 43. Servicer 1. Current Balance
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Current Balance Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0.01 - 50,000.00 346 13,114,859.64 1.51 8.954 338.7 1.7 340.4 5.685 73.73 76.74 594.2 50,000.01 - 100,000.00 1,049 79,750,567.61 9.18 8.074 351.8 1.8 353.6 5.141 78.55 85.97 608.2 100,000.01 - 150,000.00 1,073 133,843,731.81 15.41 7.723 355.4 1.9 357.3 4.936 79.01 86.92 614.7 150,000.01 - 200,000.00 853 149,105,584.82 17.17 7.285 352.6 1.8 354.5 4.684 77.68 83.87 614 200,000.01 - 250,000.00 505 113,085,217.02 13.02 7.218 353.7 1.8 355.5 4.636 78.36 84.52 618.2 250,000.01 - 300,000.00 335 91,512,955.83 10.54 6.893 352.8 1.8 354.7 4.535 79.05 85.75 629.1 300,000.01 - 350,000.00 226 73,378,812.06 8.45 6.994 356.5 1.9 358.3 4.625 79.15 85.51 628.7 350,000.01 - 400,000.00 136 50,857,386.19 5.86 6.862 351.4 1.9 353.3 4.43 79.71 85.61 631.7 400,000.01 - 450,000.00 122 52,009,101.69 5.99 6.791 349.4 1.8 351.2 4.461 79.99 86.16 636.4 450,000.01 - 500,000.00 68 32,385,505.72 3.73 6.593 352.8 2 354.7 4.241 79 84.36 636 500,000.01 - 550,000.00 35 18,414,077.67 2.12 6.483 358.1 1.9 360 4.275 82.51 89.88 649.4 550,000.01 - 600,000.00 37 21,466,953.60 2.47 6.551 348.5 1.9 350.3 4.328 81.31 85.9 652.4 600,000.01 - 650,000.00 16 9,975,429.15 1.15 6.496 358.2 1.8 360 4.146 78.75 81.97 646 650,000.01 - 700,000.00 17 11,506,664.39 1.32 6.545 346.9 2.2 349.1 4.028 77.53 83 652.8 700,000.01 - 750,000.00 11 8,017,102.48 0.92 6.515 341.8 2.3 344.1 4.017 76.35 83.54 643.6 750,000.01 - 800,000.00 5 3,903,837.59 0.45 6.407 358.6 1.4 360 3.996 78.18 80.38 619.6 800,000.01 - 850,000.00 2 1,645,213.44 0.19 6.997 357 3 360 3.687 72.51 80.03 609.6 850,000.01 - 900,000.00 2 1,773,217.47 0.2 5.254 358.5 1.5 360 3.001 72.8 90 698.2 900,000.01 - 950,000.00 2 1,889,108.08 0.22 6.313 359 1 360 3.999 67.19 67.19 607.7 950,000.01 - 1,000,000.00 1 963,884.08 0.11 5.625 357 3 360 0 61.4 61.4 679 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
Min.: 11,770.81 Max: 963,884.08 Avg.: 179,425.58 2. Original Balance
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original Balance Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 1 - 50,000 346 13,114,859.64 1.51 8.954 338.7 1.7 340.4 5.685 73.73 76.74 594.2 50,001 - 100,000 1,047 79,550,652.09 9.16 8.073 351.8 1.8 353.6 5.14 78.54 85.98 608.2 100,001 - 150,000 1,050 130,314,331.32 15 7.742 356 1.9 357.8 4.936 79.36 87.43 614.7 150,001 - 200,000 877 152,697,944.37 17.58 7.281 352.2 1.8 354.1 4.69 77.43 83.52 613.9 200,001 - 250,000 486 108,344,323.16 12.47 7.22 353.5 1.8 355.3 4.639 78.85 85.23 618.9 250,001 - 300,000 355 96,390,806.15 11.1 6.905 353.1 1.8 355 4.536 78.45 84.86 627.9 300,001 - 350,000 226 73,378,812.06 8.45 6.994 356.5 1.9 358.3 4.625 79.15 85.51 628.7 350,001 - 400,000 131 48,859,686.25 5.63 6.863 352.5 2 354.5 4.432 80.24 86.38 630.9 400,001 - 450,000 127 54,006,801.63 6.22 6.793 348.4 1.8 350.2 4.458 79.5 85.44 636.9 450,001 - 500,000 67 31,886,014.30 3.67 6.603 352.7 2 354.6 4.241 78.93 84.38 636 500,001 - 550,000 35 18,363,823.51 2.11 6.528 358.1 1.9 360 4.317 82.61 89.4 645.5 550,001 - 600,000 38 22,016,699.18 2.53 6.5 348.7 1.9 350.6 4.288 81.28 86.25 655.4 600,001 - 650,000 16 9,975,429.15 1.15 6.496 358.2 1.8 360 4.146 78.75 81.97 646 650,001 - 700,000 17 11,506,664.39 1.32 6.545 346.9 2.2 349.1 4.028 77.53 83 652.8 700,001 - 750,000 11 8,017,102.48 0.92 6.515 341.8 2.3 344.1 4.017 76.35 83.54 643.6 750,001 - 800,000 5 3,903,837.59 0.45 6.407 358.6 1.4 360 3.996 78.18 80.38 619.6 800,001 - 850,000 2 1,645,213.44 0.19 6.997 357 3 360 3.687 72.51 80.03 609.6 850,001 - 900,000 2 1,773,217.47 0.2 5.254 358.5 1.5 360 3.001 72.8 90 698.2 900,001 - 950,000 2 1,889,108.08 0.22 6.313 359 1 360 3.999 67.19 67.19 607.7 950,001 - 1,000,000 1 963,884.08 0.11 5.625 357 3 360 0 61.4 61.4 679 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
Min.: 15,000 Max: 967,000 Avg.: 179,711 3. Rate
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 3.001 - 3.500 1 217,907.40 0.03 3.5 354 6 360 2 72.85 72.85 683 4.001 - 4.500 4 1,103,574.56 0.13 4.455 358.3 1.7 360 3.394 79.13 96.33 730.9 4.501 - 5.000 20 6,704,876.41 0.77 4.874 357.9 2.1 360 3.356 75.77 86.35 695.8 5.001 - 5.500 84 23,691,453.06 2.73 5.382 355.3 2 357.3 3.552 76.91 89.49 676.6 5.501 - 6.000 338 92,405,515.28 10.64 5.854 349.9 2 351.9 3.767 76.33 85.82 662.8 6.001 - 6.500 617 150,855,194.13 17.37 6.332 353.3 1.8 355.1 4.011 76.35 84.02 642.2 6.501 - 7.000 855 176,390,401.68 20.31 6.806 350.4 1.8 352.2 4.293 77.2 85.24 630.4 7.001 - 7.500 777 137,137,502.73 15.79 7.318 353.9 1.8 355.7 4.609 79.31 86.41 620.4 7.501 - 8.000 648 97,454,649.97 11.22 7.81 355.2 1.9 357 4.932 81.04 86.52 609.3 8.001 - 8.500 464 63,524,921.93 7.31 8.305 355.8 1.8 357.6 5.496 81.59 85.01 593.8 8.501 - 9.000 371 52,263,708.37 6.02 8.814 354.6 1.8 356.4 6.015 82.73 83.47 578.3 9.001 - 9.500 236 26,640,763.55 3.07 9.279 354.7 1.9 356.5 6.226 83.46 83.85 575.2 9.501 - 10.000 206 22,101,642.14 2.54 9.8 351.3 1.9 353.1 6.581 80.47 80.6 561 10.001 - 10.500 109 9,455,755.87 1.09 10.29 349.9 1.7 351.6 6.835 81.67 81.84 554.6 10.501 - 11.000 63 5,323,341.70 0.61 10.8 353 2 354.9 7.209 78.47 78.93 533.7 11.001 - 11.500 31 1,755,416.75 0.2 11.279 355.4 1.9 357.3 7.675 77.73 78.31 540.9 11.501 - 12.000 16 1,502,053.91 0.17 11.784 358.2 1.8 360 7.994 82 82 545.5 12.001 - 12.500 1 70,530.90 0.01 12.25 359 1 360 7.75 85 85 522 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
Min.: 3.500 Max: 12.250 NZWA: 7.222 4. Rate (Arm)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate (Arm) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 3.001 - 3.500 1 217,907.40 0.03 3.5 354 6 360 2 72.85 72.85 683 4.001 - 4.500 4 1,103,574.56 0.14 4.455 358.3 1.7 360 3.394 79.13 96.33 730.9 4.501 - 5.000 20 6,704,876.41 0.86 4.874 357.9 2.1 360 3.356 75.77 86.35 695.8 5.001 - 5.500 83 23,337,250.44 2.99 5.383 358 2 360 3.552 77.17 89.94 676.8 5.501 - 6.000 302 81,236,010.13 10.41 5.852 358 2 360 3.767 77.18 87.49 659.8 6.001 - 6.500 549 133,571,692.69 17.12 6.333 358.2 1.8 360 4.011 77.2 85.46 638.1 6.501 - 7.000 745 154,510,240.34 19.8 6.805 358.2 1.8 360 4.293 78.51 87.13 628.6 7.001 - 7.500 684 121,885,067.72 15.62 7.317 358.2 1.8 360 4.609 80.14 87.88 619.7 7.501 - 8.000 586 89,154,280.71 11.43 7.811 358.1 1.9 360 4.932 81.16 86.79 607.1 8.001 - 8.500 426 59,352,274.72 7.61 8.306 358.2 1.8 360 5.496 81.92 85.28 591.6 8.501 - 9.000 332 48,132,938.29 6.17 8.814 358.2 1.8 360 6.015 83.34 84.06 577 9.001 - 9.500 208 24,776,276.16 3.18 9.275 358.1 1.9 360 6.226 84.33 84.68 574.7 9.501 - 10.000 178 19,659,490.52 2.52 9.792 358.1 1.9 360 6.581 81.82 81.93 559.6 10.001 - 10.500 93 8,412,050.90 1.08 10.28 358.3 1.7 360 6.835 83.45 83.63 555.2 10.501 - 11.000 58 5,158,385.35 0.66 10.801 358 2 360 7.209 78.86 79.3 532.9 11.001 - 11.500 25 1,496,115.95 0.19 11.262 358.2 1.8 360 7.675 78.9 79.47 540.1 11.501 - 12.000 15 1,442,676.05 0.18 11.791 358.2 1.8 360 7.994 81.88 81.88 544.8 12.001 - 12.500 1 70,530.90 0.01 12.25 359 1 360 7.75 85 85 522 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
Min.: 3.500 Max: 12.250 NZWA: 7.230 5. Rate (Fix)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate (Fix) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 5.001 - 5.500 1 354,202.62 0.4 5.375 178 2 180 0 60.17 60.17 668 5.501 - 6.000 36 11,169,505.15 12.64 5.875 290.8 2 292.8 0 70.16 73.65 684.4 6.001 - 6.500 68 17,283,501.44 19.56 6.332 315.8 1.8 317.6 0 69.82 72.88 674.6 6.501 - 7.000 110 21,880,161.34 24.76 6.817 295.3 1.9 297.2 0 67.91 71.83 643.4 7.001 - 7.500 93 15,252,435.01 17.26 7.325 319.3 1.8 321 0 72.62 74.67 626.6 7.501 - 8.000 62 8,300,369.26 9.39 7.8 323.4 1.9 325.3 0 79.7 83.62 633.2 8.001 - 8.500 38 4,172,647.21 4.72 8.292 321.7 1.7 323.4 0 76.81 81.12 625 8.501 - 9.000 39 4,130,770.08 4.67 8.812 312.9 1.7 314.6 0 75.59 76.49 593 9.001 - 9.500 28 1,864,487.39 2.11 9.324 309.2 1.4 310.6 0 71.88 72.74 582.4 9.501 - 10.000 28 2,442,151.62 2.76 9.867 295.9 1.7 297.6 0 69.65 69.92 572.3 10.001 - 10.500 16 1,043,704.97 1.18 10.376 282.4 1.3 283.7 0 67.33 67.33 549.2 10.501 - 11.000 5 164,956.35 0.19 10.764 194.7 2 196.8 0 66.36 67.37 559.3 11.001 - 11.500 6 259,300.80 0.29 11.372 339.2 2.3 341.5 0 70.95 71.63 545.2 11.501 - 12.000 1 59,377.86 0.07 11.625 358 2 360 0 85 85 558 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
Min.: 5.375 Max: 11.625 NZWA: 7.143 6. Rate Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Fixed 531 88,377,571.10 10.17 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9 Adjustable 4,310 780,221,639.24 89.83 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
7. Product Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Product Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2/28 ARM (Libor) 4,135 739,717,491.63 85.16 7.236 358.2 1.8 360 4.665 79.61 86.59 619.7 Fixed Rate 469 72,846,216.01 8.39 7.227 334.8 1.8 336.6 0 71.51 74.49 640.2 3/27 ARM (Libor) 81 21,139,619.04 2.43 6.762 357.9 2.1 360 4.501 78.56 82.58 651.7 1 Year ARM 94 19,364,528.57 2.23 7.541 356.9 3.1 360 4.532 77.58 82.95 627.6 Balloon 62 15,531,355.09 1.79 6.752 178 2 180 0 70.78 73.92 655.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
8. Original Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 169 - 192 163 24,993,676.47 2.88 7.068 178.1 1.9 180 0 68.66 70.8 644.5 337 - 360 4,678 843,605,533.87 97.12 7.226 358.1 1.9 360 4.657 79 85.6 622.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
Min.: 180.0 Max.: 360.0 NZWA: 354.8 9. Stated Remaining Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Stated Remaining Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 169 - 180 163 24,993,676.47 2.88 7.068 178.1 1.9 180 0 68.66 70.8 644.5 349 - 360 4,678 843,605,533.87 97.12 7.226 358.1 1.9 360 4.657 79 85.6 622.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
Min.: 175.0 Max: 359.0 NZWA: 353.0 10. Seasoning
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Seasoning Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 24-Jan 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
Min.: 1.0 Max: 7.0 WA: 1.9 11. First Payment Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico First Payment Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2005 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
12. Maturity Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Maturity Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2020 163 24,993,676.47 2.88 7.068 178.1 1.9 180 0 68.66 70.8 644.5 2035 4,678 843,605,533.87 97.12 7.226 358.1 1.9 360 4.657 79 85.6 622.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
13. Lien Position
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Lien Position Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 1st Lien 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
14. Balloon
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Balloon Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Balloon 62 15,531,355.09 1.79 6.752 178 2 180 0 70.78 73.92 655.6 Fully Amortizing 4,779 853,067,855.25 98.21 7.23 356.2 1.9 358 4.657 78.85 85.38 622.4 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
15. IO Flag
Total NZWA NZWA No. of Current NZWA NZWA Full Fico IO Flag Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- No 4,231 702,782,027.54 80.91 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1 Yes 610 165,817,182.80 19.09 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
16. IO Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico IO Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0 4,231 702,782,027.54 80.91 7.339 351.8 1.8 353.6 4.737 78.41 83.95 618.1 60 610 165,817,182.80 19.09 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
17. FICO
Total NZWA NZWA No. of Current NZWA NZWA Full Fico FICO Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- <= 0 27 3,046,779.42 0.35 8.907 358.1 1.9 360 6.351 78.23 79.25 0 491 - 500 7 742,440.49 0.09 9.796 357.4 2.6 360 6.955 70.07 70.07 500 501 - 510 56 7,415,790.72 0.85 9.509 358.2 1.8 360 6.931 65.4 65.53 505.2 511 - 520 59 6,555,510.04 0.75 9.39 358.1 1.9 360 6.796 69.07 69.49 515.4 521 - 530 99 13,272,459.12 1.53 9.152 356.8 2 358.8 6.532 69.58 69.6 525.2 531 - 540 112 16,436,444.79 1.89 8.886 358.1 1.9 360 6.405 72.06 72.09 535.4 541 - 550 162 24,699,611.22 2.84 8.622 356.1 1.8 357.9 5.955 74.78 74.83 545 551 - 560 165 24,764,672.68 2.85 8.351 356.4 1.9 358.3 5.689 70.39 70.46 555.6 561 - 570 214 35,754,138.86 4.12 7.827 352.4 1.9 354.2 5.16 77.08 77.39 565.4 571 - 580 237 39,604,063.94 4.56 7.673 355.7 1.8 357.5 5.158 77.61 79.07 575.4 581 - 590 376 59,467,260.87 6.85 7.498 355.7 1.9 357.6 4.802 79.11 86.26 585.6 591 - 600 379 62,073,393.17 7.15 7.462 354.7 1.9 356.6 4.777 79.6 86.19 595.5 601 - 610 466 79,970,665.33 9.21 7.209 353.5 1.9 355.4 4.652 80.6 87.62 605.9 611 - 620 356 61,755,488.87 7.11 7.187 352.1 1.9 353.9 4.586 80.03 86.58 615.4 621 - 630 359 64,569,552.69 7.43 7.173 354.4 1.8 356.2 4.556 80.6 87.56 625.7 631 - 640 345 67,019,445.12 7.72 6.91 351.8 1.8 353.6 4.4 79.77 87.88 635.5 641 - 650 304 64,028,444.32 7.37 6.833 352.9 1.7 354.6 4.25 80.13 88.53 645.5 651 - 660 247 46,185,028.32 5.32 6.768 353.6 1.9 355.5 4.142 80.07 90.21 655.4 661 - 670 245 49,657,575.24 5.72 6.559 344.6 1.8 346.3 3.92 79.12 88.12 665.8 671 - 680 150 31,458,615.52 3.62 6.502 351.9 1.9 353.8 4.012 80.38 88.63 675.2 681 - 690 115 25,989,688.39 2.99 6.465 349.9 1.9 351.8 3.972 79.53 88.47 685 691 - 700 92 21,085,514.86 2.43 6.551 351.2 1.9 353.2 3.973 80.9 88.72 695.2 701 - 710 53 12,239,260.45 1.41 6.625 351.2 2 353.2 4.009 82.11 91.08 705.5 711 - 720 51 11,386,405.41 1.31 6.25 354 2 356 3.67 76.92 88.61 715.5 721 - 730 54 13,449,485.65 1.55 6.085 352.1 2.2 354.3 3.637 78.3 87.84 725.3 731 - 740 27 7,207,116.86 0.83 5.982 342.7 1.8 344.6 3.49 78.68 88.3 734.5 741 - 750 27 5,989,138.05 0.69 6.268 345.4 1.8 347.2 3.672 78.13 91.14 745.7 751 - 760 20 4,868,375.02 0.56 5.926 337 2.3 339.3 3.519 78.92 92.12 754.6 761 - 770 11 2,079,667.02 0.24 5.751 354.3 2 356.3 3.442 81.35 96.06 766.6 771 - 780 14 3,390,309.58 0.39 6.509 358.4 1.6 360 3.903 78.42 80.16 775.7 781 - 790 6 1,177,275.65 0.14 6.404 340.2 1.6 341.8 3.945 77.34 83.97 785 791 - 800 4 937,107.38 0.11 6.191 358.1 1.9 360 3.9 59.79 66.94 796.9 801 - 810 1 256,299.53 0.03 6.125 358 2 360 4.375 80 95 804 811 - 820 1 66,185.76 0.01 6.25 358 2 360 4.375 80 100 812 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
Nzmin.: 500 Max.: 812 NZWA.: 623 Loans with Fico scores less than 400 have been eliminated from the average. 18. Credit Grade
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Credit Grade Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Y1 112 13,339,028.55 1.54 9.552 358.1 1.9 360 6.975 66.6 66.66 510.3 Y2 317 40,827,305.80 4.7 9.341 353.7 1.9 355.7 6.695 71.79 71.91 544 Y3 291 45,396,586.56 5.23 8.328 356.4 1.9 358.3 5.726 71.79 71.85 550.9 Y4 623 102,453,304.71 11.8 7.699 354.9 1.8 356.7 5.113 77.32 78.15 583.1 Y5 681 108,143,288.96 12.45 7.404 355.6 1.9 357.4 4.718 79.29 87.26 590.2 Y6 797 138,388,924.74 15.93 7.178 353.8 1.9 355.7 4.587 81.03 88.46 611.7 Y7 745 139,896,495.65 16.11 7.002 352.8 1.8 354.6 4.435 80.48 88.67 635.9 Y8 488 101,848,857.53 11.73 6.759 352.3 1.8 354.1 4.15 80.11 88.71 648.7 Y9 787 178,305,417.84 20.53 6.366 348.6 1.9 350.6 3.816 79.38 88.43 693.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
19. Prepayment Penalty
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Prepayment Penalty Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- <= 0.000 1,164 230,792,729.81 26.57 7.663 354.1 1.9 356 4.981 78.14 84.11 619.9 1.001 - 2.000 3,236 554,475,136.90 63.84 7.082 357.9 1.8 359.7 4.541 79.76 86.95 620.6 2.001 - 3.000 441 83,331,343.63 9.59 6.928 316.9 1.9 318.8 4.364 73.22 76.32 647 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
WA: 1.565 NZWA: 2.131 20. Existing MI (1st lien and LTV gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Existing MI (1st lien and LTV gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Yes 1,295 215,175,502.88 85.17 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618 No 128 37,463,833.44 14.83 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,423 252,639,336.32 100 7.837 354.9 1.9 356.8 5.302 89.7 89.83 621
21. Existing MI Company (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Existing MI Company (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 00-None 128 37,463,833.44 14.83 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1 6- Mortgage Guaranty Insurance Corp. 41 7,945,473.45 3.14 7.832 357.8 2.2 360 5.224 88.42 88.42 615.5 11- PMI 205 33,712,456.65 13.34 7.959 354.3 1.9 356.3 5.369 90.11 90.28 617.8 12- United Guaranty Residential Ins. Corp. 206 35,077,646.00 13.88 8.052 356.5 2.1 358.6 5.371 89.95 90.22 616.1 13- Republic Mortgage Insurance Corp. 333 53,499,849.07 21.18 8.07 355.1 1.4 356.5 5.522 89.99 90.03 610.1 24- Triad Guaranty Insurance Company 205 32,050,780.95 12.69 7.904 352.5 1.9 354.4 5.391 90.45 90.57 628.6 33- Amerin Guaranty Corp. 305 52,889,296.76 20.93 7.813 352.7 2 354.7 5.262 89.33 89.51 621.5 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,423 252,639,336.32 100 7.837 354.9 1.9 356.8 5.302 89.7 89.83 621
22. Purchased MI (1st lien and LTV gt 80) 23. Purchased MI Company (1st and ltv gt 80) 24. Total MI Flag (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Total MI Flag (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- N 128 37,463,833.44 14.83 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1 Y 1,295 215,175,502.88 85.17 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,423 252,639,336.32 100 7.837 354.9 1.9 356.8 5.302 89.7 89.83 621
25. Total MI Company (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Total MI Company (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 00-None 128 37,463,833.44 14.83 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1 11- PMI 205 33,712,456.65 13.34 7.959 354.3 1.9 356.3 5.369 90.11 90.28 617.8 12- United Guaranty Residential Ins. Corp. 206 35,077,646.00 13.88 8.052 356.5 2.1 358.6 5.371 89.95 90.22 616.1 13- Republic Mortgage Insurance Corp. 333 53,499,849.07 21.18 8.07 355.1 1.4 356.5 5.522 89.99 90.03 610.1 24- Triad Guaranty Insurance Company 205 32,050,780.95 12.69 7.904 352.5 1.9 354.4 5.391 90.45 90.57 628.6 33- Amerin Guaranty Corp. 305 52,889,296.76 20.93 7.813 352.7 2 354.7 5.262 89.33 89.51 621.5 6- Mortgage Guaranty Insurance Corp. 41 7,945,473.45 3.14 7.832 357.8 2.2 360 5.224 88.42 88.42 615.5 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,423 252,639,336.32 100 7.837 354.9 1.9 356.8 5.302 89.7 89.83 621
26. Original CLTV (Calc)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original CLTV (Calc) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 5.01 - 10.00 3 155,528.01 0.02 8.121 301.1 1.3 302.3 6.431 8.87 8.87 563.6 10.01 - 15.00 4 254,274.67 0.03 8.518 298.5 1.2 299.8 7.323 13.78 13.78 556 15.01 - 20.00 5 325,521.04 0.04 8.948 316.9 1.8 318.6 7.126 17.77 17.77 568 20.01 - 25.00 16 1,471,373.92 0.17 7.506 352.4 1.9 354.3 4.383 21.62 21.62 595 25.01 - 30.00 16 1,579,743.40 0.18 7.212 347.4 2 349.4 4.613 28.05 28.46 644.1 30.01 - 35.00 24 2,833,698.31 0.33 7.158 308.9 2.2 311.1 4.784 32.41 32.41 615.8 35.01 - 40.00 27 3,181,400.56 0.37 7.53 336.4 2.1 338.5 5.08 37.93 37.93 594.9 40.01 - 45.00 40 5,250,503.43 0.6 7.25 328.6 1.9 330.5 5.049 42.68 42.68 594.5 45.01 - 50.00 73 12,188,927.27 1.4 7.256 335.9 1.8 337.7 4.911 47.83 47.83 602.7 50.01 - 55.00 86 14,772,745.15 1.7 7.084 334.2 1.8 335.9 4.671 52.78 53.48 607.8 55.01 - 60.00 103 18,412,339.19 2.12 7.16 340.9 1.8 342.8 4.64 57.89 58.26 601.4 60.01 - 65.00 146 28,338,894.49 3.26 6.937 347 1.8 348.8 4.602 62.9 63.5 608.2 65.01 - 70.00 314 52,619,886.16 6.06 7.18 350.4 1.9 352.2 4.653 68.53 68.76 597.5 70.01 - 75.00 446 84,863,070.68 9.77 7.134 354.7 1.8 356.5 4.604 73.86 77.08 604.6 75.01 - 80.00 2,115 389,711,967.74 44.87 6.869 354.9 1.8 356.7 4.234 79.78 93.29 635.8 80.01 - 85.00 436 82,626,244.09 9.51 7.678 352.9 1.9 354.8 5.2 84.29 84.61 611.4 85.01 - 90.00 581 106,454,825.37 12.26 7.764 354.6 1.9 356.5 5.244 89.67 89.74 618 90.01 - 95.00 227 37,669,866.05 4.34 7.932 357.7 1.9 359.6 5.376 94.63 94.65 637.9 95.01 - 100.00 179 25,888,400.81 2.98 8.506 358.1 1.8 359.9 5.723 99.86 99.86 638.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
Min.: 8.25 Max: 100.00 WA: 78.70 *Includes Senior balances if any. 27. Current LTV (Calc)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Current LTV (Calc) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0.01 - 5.00 1 11,770.81 0 10.5 358 2 360 6.625 13.57 13.57 0 5.01 - 10.00 3 155,528.01 0.02 8.121 301.1 1.3 302.3 6.431 8.87 8.87 563.6 10.01 - 15.00 3 242,503.86 0.03 8.422 295.7 1.2 296.8 7.375 13.79 13.79 556 15.01 - 20.00 5 325,521.04 0.04 8.948 316.9 1.8 318.6 7.126 17.77 17.77 568 20.01 - 25.00 16 1,471,373.92 0.17 7.506 352.4 1.9 354.3 4.383 21.62 21.62 595 25.01 - 30.00 16 1,579,743.40 0.18 7.212 347.4 2 349.4 4.613 28.05 28.46 644.1 30.01 - 35.00 24 2,833,698.31 0.33 7.158 308.9 2.2 311.1 4.784 32.41 32.41 615.8 35.01 - 40.00 29 3,407,635.50 0.39 7.464 337.8 2.1 339.9 4.983 39.22 39.22 597.3 40.01 - 45.00 39 5,161,224.95 0.59 7.241 328.1 1.9 330 5.072 42.71 42.71 594.4 45.01 - 50.00 73 12,188,927.27 1.4 7.256 335.9 1.8 337.7 4.911 47.83 47.83 602.7 50.01 - 55.00 87 14,981,401.77 1.72 7.081 332 1.8 333.8 4.671 52.81 53.5 607.8 55.01 - 60.00 102 18,203,682.57 2.1 7.163 342.8 1.8 344.6 4.64 57.92 58.3 601.4 60.01 - 65.00 150 28,962,163.07 3.33 6.929 346.3 1.8 348.1 4.594 62.95 63.54 608.9 65.01 - 70.00 312 52,472,648.64 6.04 7.179 350.9 1.9 352.7 4.656 68.59 68.87 597.3 70.01 - 75.00 444 84,309,006.65 9.71 7.141 354.6 1.8 356.5 4.607 73.89 77.1 604.4 75.01 - 80.00 2,116 390,009,614.93 44.9 6.868 354.9 1.8 356.7 4.234 79.78 93.28 635.8 80.01 - 85.00 435 82,532,703.00 9.5 7.678 352.9 1.9 354.8 5.206 84.31 84.63 611.2 85.01 - 90.00 580 106,191,795.78 12.23 7.768 354.6 1.9 356.5 5.243 89.68 89.75 618.1 90.01 - 95.00 227 37,669,866.05 4.34 7.932 357.7 1.9 359.6 5.376 94.63 94.65 637.9 95.01 - 100.00 179 25,888,400.81 2.98 8.506 358.1 1.8 359.9 5.723 99.86 99.86 638.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
NZMin.: 4.56 Max: 99.96 NZWA: 78.59 28. Property Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Property Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Single Family 4,425 785,477,837.85 90.43 7.239 353.1 1.8 354.9 4.67 78.79 85.08 621.6 Condo 302 55,071,345.27 6.34 7.091 355.5 2 357.4 4.479 79.34 89.68 636.3 2-4 Family 114 28,050,027.22 3.23 6.983 345 1.9 346.9 4.674 74.84 78.82 636.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
29. Loan Purpose
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Loan Purpose Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Cash Out Refinance 2,313 440,008,305.09 50.66 7.221 350.3 1.9 352.2 4.774 75.61 77.78 614 Purchase 2,244 386,203,298.71 44.46 7.206 356.3 1.8 358.2 4.529 82.2 93.68 632.9 Rate/Term Refinance 284 42,387,606.54 4.88 7.367 349.8 1.9 351.7 4.763 78.9 84.43 626.4 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
30. Occupancy Status
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Occupancy Status Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Primary Home 4,667 845,149,758.06 97.3 7.218 353 1.9 354.9 4.659 78.91 85.56 622.8 Investment 119 13,110,810.97 1.51 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630 Second Home 55 10,338,641.31 1.19 7.254 355.2 2.2 357.4 4.498 73 73 627.5 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
31. Loan Documentation
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Loan Documentation Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Full 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
32. State (Top 30)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico State (Top 30) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- CA-S 332 98,271,545.29 11.31 6.63 349.7 1.9 351.6 4.32 74.4 79.1 635.3 CA-N 246 83,075,982.93 9.56 6.472 351.5 1.9 353.4 4.124 76.66 84.53 646.8 MD 235 55,074,926.24 6.34 7.16 356 1.8 357.8 4.702 78.63 84.64 618.4 FL 276 53,343,301.08 6.14 7.241 353.9 1.9 355.8 4.725 78.14 83.21 617.1 AZ 268 49,957,387.56 5.75 7.335 356.7 1.8 358.5 4.721 78.71 82.12 615.6 NY 143 33,526,807.69 3.86 7.105 353.3 2 355.3 4.571 76.95 80.24 626.7 VA 158 33,236,334.65 3.83 7.257 355.4 1.9 357.3 4.708 79.01 86.93 611.8 IL 241 32,010,167.68 3.69 7.752 357.7 1.8 359.4 4.842 81.92 86.79 612.8 NJ 126 28,302,342.12 3.26 7.697 353.8 1.9 355.7 5.133 76.33 81.22 612.4 NV 119 26,835,649.52 3.09 7.078 356.3 1.9 358.2 4.499 77.04 82.86 619.4 WA 129 25,285,530.00 2.91 6.842 341.2 1.9 343.1 4.382 79.61 88.8 629.7 MN 153 24,716,928.16 2.85 7.332 354.6 1.8 356.4 4.66 79.65 86.32 618.1 TX 210 22,400,893.63 2.58 7.655 332.7 1.8 334.5 4.857 80.34 86.72 621.3 PA 155 22,189,435.66 2.55 7.508 353.6 1.9 355.5 4.845 80.57 85.98 610.1 GA 138 21,796,920.32 2.51 7.452 357 1.8 358.9 4.933 81.47 89.12 610.1 CO 95 19,942,319.03 2.3 7.023 358.3 1.7 360 4.509 78.53 86.85 621.9 MA 66 18,404,258.01 2.12 7.175 358.2 1.8 360 5.011 78.37 86.19 623.6 MO 162 17,762,552.70 2.04 7.545 351.6 1.9 353.5 4.818 80.56 89.36 618.4 NC 121 17,756,880.20 2.04 7.659 358.1 1.9 360 4.852 80.86 89.49 610.9 IA 138 13,252,353.79 1.53 7.856 358.3 1.7 360 4.892 83.39 91.85 619.6 WI 99 12,803,563.40 1.47 7.635 354.2 1.8 356 4.788 82.52 89.25 625.9 OH 102 12,129,040.28 1.4 7.933 357.4 1.7 359.2 5.068 83.95 91.78 613.9 OR 62 11,423,414.95 1.32 7.023 342.8 1.9 344.7 4.425 78.35 87.08 635 TN 80 10,627,974.89 1.22 7.192 353.7 1.8 355.6 4.781 80.54 93.35 623 NE 80 8,486,013.77 0.98 7.92 353.1 1.8 354.9 4.608 79.62 89.3 623.6 MI 80 8,202,545.03 0.94 8.126 356.8 1.7 358.5 5.184 83.79 88.82 606.6 DE 43 8,039,071.72 0.93 7.498 354.6 1.9 356.5 4.914 82.88 89.66 614.5 AK 40 7,977,711.81 0.92 7.343 352.4 1.8 354.3 4.856 81.57 84.74 620.7 KS 63 7,034,628.13 0.81 7.887 356.1 1.8 357.9 4.806 83.52 94.61 623.2 SC 57 7,014,372.47 0.81 7.712 355.6 1.7 357.2 5.296 81.91 91.44 606.5 Other 624 77,718,357.63 8.95 7.555 351.7 1.8 353.5 4.792 79.77 87.31 621.4 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
33. Top 10 Zip Code Concentrations
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Top 10 Zip Code Concentrations Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 95901 11 2,908,026.53 0.33 6.416 358.3 1.7 360 4.055 78.88 95.86 655.9 20772 9 2,773,043.74 0.32 6.878 358.5 1.5 360 4.405 81.67 91 619.8 95630 8 2,725,780.27 0.31 6.353 333.8 1.4 335.1 3.969 80 93.93 674 95757 6 2,683,248.31 0.31 6.572 358.3 1.7 360 4.083 80 95.97 657.7 95206 7 2,266,569.81 0.26 7.1 358.4 1.6 360 4.738 80.38 89.43 604.5 85242 11 2,078,019.58 0.24 7.851 358.5 1.5 360 5.036 82.77 87.21 611.3 20774 7 2,034,625.65 0.23 7.247 336.3 1.8 338.1 4.996 77.72 79.07 599.4 92392 8 2,004,656.61 0.23 6.613 357.8 2.2 360 4.178 80.68 83.07 629.8 92223 7 1,963,625.74 0.23 6.177 358 2 360 4.217 78.69 83.86 631.6 89506 8 1,938,472.96 0.22 7.26 358 2 360 4.885 82.46 87.29 651.4 Other 4,759 845,223,141.14 97.31 7.233 353 1.9 354.8 4.664 78.66 85.06 622.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
34. Index
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Index Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 6 Month Libor (Wall St) 4,216 760,857,110.67 97.52 7.222 358.2 1.8 360 4.66 79.58 86.48 620.5 1 Year CMT (Weekly) 94 19,364,528.57 2.48 7.541 356.9 3.1 360 4.532 77.58 82.95 627.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
35. Floor
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Floor Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0.001 - 0.500 1 67,896.20 0.01 7.375 358 2 360 0.375 80 100 630 1.501 - 2.000 4 1,044,470.33 0.13 4.915 354.4 5.6 360 1.954 78.49 94.34 706.7 2.001 - 2.500 5 1,694,465.09 0.22 6.255 354.8 5.2 360 2.274 80 94.06 682.8 2.501 - 3.000 40 11,044,999.13 1.42 5.752 356.8 3.2 360 2.86 76.8 89.05 695.3 3.001 - 3.500 224 59,988,759.40 7.69 5.969 358 2 360 3.366 77 88.92 681.3 3.501 - 4.000 722 157,525,234.46 20.19 6.397 358.1 1.9 360 3.833 76.9 88.51 647.7 4.001 - 4.500 1,103 203,174,233.03 26.04 6.879 358.2 1.8 360 4.307 77.51 86.79 623.3 4.501 - 5.000 743 131,665,004.53 16.88 7.287 358.2 1.8 360 4.791 81.11 86.22 614.8 5.001 - 5.500 393 67,759,027.40 8.68 7.803 358.1 1.9 360 5.309 84.09 84.92 602.4 5.501 - 6.000 384 58,807,765.32 7.54 8.511 358.2 1.8 360 5.81 87.13 87.27 591.4 6.001 - 6.500 334 46,232,468.54 5.93 8.868 358.2 1.8 360 6.281 83.26 83.33 567.5 6.501 - 7.000 194 24,576,348.23 3.15 9.35 358.2 1.8 360 6.806 76.55 76.67 544.5 7.001 - 7.500 95 9,953,956.08 1.28 9.813 358.3 1.7 360 7.251 72.85 73.06 529.1 7.501 - 8.000 49 4,284,100.76 0.55 10.634 358.4 1.6 360 7.801 79.36 79.61 537.9 8.001 - 8.500 19 2,402,910.74 0.31 10.959 358.1 1.9 360 8.263 84.86 85.13 536.4 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
NZWA: 4.657 Min.: 0.375 Max.: 8.500 36. Margin
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Margin Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0.001 - 0.500 1 67,896.20 0.01 7.375 358 2 360 0.375 80 100 630 1.501 - 2.000 4 1,044,470.33 0.13 4.915 354.4 5.6 360 1.954 78.49 94.34 706.7 2.001 - 2.500 5 1,694,465.09 0.22 6.255 354.8 5.2 360 2.274 80 94.06 682.8 2.501 - 3.000 40 11,044,999.13 1.42 5.752 356.8 3.2 360 2.86 76.8 89.05 695.3 3.001 - 3.500 224 59,988,759.40 7.69 5.969 358 2 360 3.366 77 88.92 681.3 3.501 - 4.000 722 157,525,234.46 20.19 6.397 358.1 1.9 360 3.833 76.9 88.51 647.7 4.001 - 4.500 1,103 203,174,233.03 26.04 6.879 358.2 1.8 360 4.307 77.51 86.79 623.3 4.501 - 5.000 743 131,665,004.53 16.88 7.287 358.2 1.8 360 4.791 81.11 86.22 614.8 5.001 - 5.500 393 67,759,027.40 8.68 7.803 358.1 1.9 360 5.309 84.09 84.92 602.4 5.501 - 6.000 384 58,807,765.32 7.54 8.511 358.2 1.8 360 5.81 87.13 87.27 591.4 6.001 - 6.500 334 46,232,468.54 5.93 8.868 358.2 1.8 360 6.281 83.26 83.33 567.5 6.501 - 7.000 194 24,576,348.23 3.15 9.35 358.2 1.8 360 6.806 76.55 76.67 544.5 7.001 - 7.500 95 9,953,956.08 1.28 9.813 358.3 1.7 360 7.251 72.85 73.06 529.1 7.501 - 8.000 49 4,284,100.76 0.55 10.634 358.4 1.6 360 7.801 79.36 79.61 537.9 8.001 - 8.500 19 2,402,910.74 0.31 10.959 358.1 1.9 360 8.263 84.86 85.13 536.4 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
WA: 4.657 Min.: 0.375 Max.: 8.500 37. Initial Periodic Rate Cap
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Initial Periodic Rate Cap Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 1.50001 - 2.00000 94 19,364,528.57 2.48 7.541 356.9 3.1 360 4.532 77.58 82.95 627.6 2.50001 - 3.00000 4,216 760,857,110.67 97.52 7.222 358.2 1.8 360 4.66 79.58 86.48 620.5 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
Min.: 2.000 Max.: 3.000 NZWA: 2.975 38. Periodic Rate Cap
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Periodic Rate Cap Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0.50001 - 1.00000 4,216 760,857,110.67 97.52 7.222 358.2 1.8 360 4.66 79.58 86.48 620.5 1.50001 - 2.00000 94 19,364,528.57 2.48 7.541 356.9 3.1 360 4.532 77.58 82.95 627.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
Min.: 1.000 Max.: 2.000 NZWA: 1.025 39. Maximum Rate
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Maximum Rate Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 9.00001 - 9.50000 1 217,907.40 0.03 3.5 354 6 360 2 72.85 72.85 683 10.00001 - 10.50000 4 1,103,574.56 0.14 4.455 358.3 1.7 360 3.394 79.13 96.33 730.9 10.50001 - 11.00000 20 6,704,876.41 0.86 4.874 357.9 2.1 360 3.356 75.77 86.35 695.8 11.00001 - 11.50000 83 23,337,250.44 2.99 5.383 358 2 360 3.552 77.17 89.94 676.8 11.50001 - 12.00000 302 81,236,010.13 10.41 5.852 358 2 360 3.767 77.18 87.49 659.8 12.00001 - 12.50000 549 133,571,692.69 17.12 6.333 358.2 1.8 360 4.011 77.2 85.46 638.1 12.50001 - 13.00000 745 154,510,240.34 19.8 6.805 358.2 1.8 360 4.293 78.51 87.13 628.6 13.00001 - 13.50000 684 121,885,067.72 15.62 7.317 358.2 1.8 360 4.609 80.14 87.88 619.7 13.50001 - 14.00000 586 89,154,280.71 11.43 7.811 358.1 1.9 360 4.932 81.16 86.79 607.1 14.00001 - 14.50000 426 59,352,274.72 7.61 8.306 358.2 1.8 360 5.496 81.92 85.28 591.6 14.50001 - 15.00000 332 48,132,938.29 6.17 8.814 358.2 1.8 360 6.015 83.34 84.06 577 15.00001 - 15.50000 208 24,776,276.16 3.18 9.275 358.1 1.9 360 6.226 84.33 84.68 574.7 15.50001 - 16.00000 178 19,659,490.52 2.52 9.792 358.1 1.9 360 6.581 81.82 81.93 559.6 16.00001 - 16.50000 93 8,412,050.90 1.08 10.28 358.3 1.7 360 6.835 83.45 83.63 555.2 16.50001 - 17.00000 58 5,158,385.35 0.66 10.801 358 2 360 7.209 78.86 79.3 532.9 17.00001 - 17.50000 25 1,496,115.95 0.19 11.262 358.2 1.8 360 7.675 78.9 79.47 540.1 17.50001 - 18.00000 15 1,442,676.05 0.18 11.791 358.2 1.8 360 7.994 81.88 81.88 544.8 18.00001 - 18.50000 1 70,530.90 0.01 12.25 359 1 360 7.75 85 85 522 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
Min.: 9.500 Max.: 18.250 NZWA: 13.230 40. Next Rate Adjustment Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Next Rate Adjustment Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2006-05 1 156,877.69 0.02 8.95 353 7 360 5.125 90 90 617 2006-07 9 2,095,569.02 0.27 6.827 355 5 360 2.745 76.27 87.17 669.3 2006-08 21 4,846,021.99 0.62 7.475 356 4 360 4.505 78.93 84.5 619.6 2006-09 33 6,668,874.78 0.85 7.496 357 3 360 4.586 76.82 82.3 637.5 2006-10 21 3,792,606.43 0.49 7.544 358 2 360 4.834 75.71 80.34 619.2 2006-11 9 1,804,578.66 0.23 8.579 359 1 360 5.788 81.16 81.16 582.6 2007-05 4 542,412.07 0.07 7.129 353 7 360 4.02 85.86 94.32 608.8 2007-06 19 3,523,230.53 0.45 6.794 354 6 360 3.463 81.65 85.08 611.2 2007-07 37 7,572,507.57 0.97 6.993 355 5 360 3.497 80.97 88.11 623.4 2007-08 27 3,884,280.00 0.5 7.425 356 4 360 4.699 84.54 90.76 602.1 2007-09 99 21,336,414.97 2.73 7.032 357 3 360 4.536 79.99 84.32 615.6 2007-10 2,788 500,243,335.75 64.12 7.215 358 2 360 4.668 79.61 86.39 620.1 2007-11 1,161 202,615,310.74 25.97 7.322 359 1 360 4.737 79.37 87.21 619.3 2008-06 1 373,915.00 0.05 6.375 354 6 360 3.25 85 85 620 2008-07 1 142,010.00 0.02 6.875 355 5 360 4 95 95 672 2008-09 4 1,402,711.51 0.18 6.347 357 3 360 4.149 81.4 88.62 704.1 2008-10 66 17,478,895.30 2.24 6.828 358 2 360 4.584 78.35 82.45 647.4 2008-11 9 1,742,087.23 0.22 6.513 359 1 360 4.258 75.63 77.49 657.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
41. Custodian
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Custodian Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- WELLS FARGO BANK, N.A. 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
42. Originator
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Originator Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- WELLS FARGO BANK, N.A. 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
43. Servicer
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Servicer Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- WELLS FARGO BANK, N.A. 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,841 868,599,210.34 100 7.222 353 1.9 354.8 4.657 78.7 85.17 623
The issuer has filed a registration statement (including a prospectus) with the U.S. Securities and Exchange Commission (SEC) for this offering. Before you invest, you should read the prospectus for this offering in that registration statement (which prospectus you may get for free by visiting the web site at http://www.lehman.com/pub/sasco), and other documents the issuer has filed with the SEC (including any related free-writing prospectus, preliminary prospectus supplement or preliminary pricing supplement, as applicable), for more complete information about the issuer. You may get these documents, as well as the final prospectus, prospectus supplement or pricing supplement (when completed), as applicable (such preliminary and final documentation together, the Offer Documentation), for free by searching the SEC online database (EDGAR(R)) at www.sec.gov. Alternatively, you may obtain a copy of the Offer Documentation from Lehman Brothers Inc., 745 Seventh Ave., New York, NY, 10019, Attn: Asset Backed Fixed Income Syndicate or by calling 212 526 7000. Lehman Brothers 4,841 records Balance: 868,599,210 WFHET 2005-4 Diana VDE May-98 All records - -------------------------------------------------------------------------------- All records - -------------------------------------------------------------------------------- Total No. of Current Zip Code Loans Balance % - -------------------------------------------------------------------------------- 85364 12 1,729,878.99 0.2 85242 11 2,078,019.58 0.24 95901 11 2,908,026.53 0.33 20772 9 2,773,043.74 0.32 33971 9 1,713,454.58 0.2 62002 9 606,552.67 0.07 85345 9 1,478,371.50 0.17 25801 8 539,998.29 0.06 82901 8 1,140,456.49 0.13 89506 8 1,938,472.96 0.22 92392 8 2,004,656.61 0.23 95630 8 2,725,780.27 0.31 20774 7 2,034,625.65 0.23 34210 7 905,606.66 0.1 68104 7 566,474.01 0.07 72315 7 319,849.96 0.04 92223 7 1,963,625.74 0.23 95206 7 2,266,569.81 0.26 99654 7 1,191,517.09 0.14 18103 6 1,072,726.59 0.12 19120 6 370,706.89 0.04 20744 6 1,609,916.32 0.19 20748 6 1,115,687.64 0.13 21061 6 1,275,481.83 0.15 21206 6 591,704.82 0.07 21207 6 1,222,834.39 0.14 50310 6 482,115.59 0.06 50317 6 552,800.80 0.06 53218 6 561,007.81 0.06 85032 6 1,326,409.21 0.15 85051 6 862,674.24 0.1 85204 6 1,016,128.15 0.12 85335 6 942,350.73 0.11 89502 6 1,350,459.08 0.16 93309 6 855,819.22 0.1 94804 6 1,825,583.80 0.21 95757 6 2,683,248.31 0.31 19805 5 616,365.71 0.07 19904 5 602,228.93 0.07 20735 5 1,735,719.18 0.2 20906 5 1,087,173.22 0.13 22546 5 1,094,361.33 0.13 23231 5 578,582.99 0.07 23464 5 1,225,594.87 0.14 25901 5 215,112.68 0.02 33071 5 771,334.28 0.09 52404 5 523,582.69 0.06 63136 5 428,262.91 0.05 82935 5 840,500.44 0.1 85027 5 596,747.08 0.07 85041 5 913,402.44 0.11 85323 5 1,135,100.10 0.13 85340 5 1,494,060.20 0.17 85706 5 572,830.73 0.07 88001 5 429,122.89 0.05 89108 5 745,647.55 0.09 89121 5 803,623.72 0.09 91709 5 1,490,254.64 0.17 92308 5 1,389,685.98 0.16 92336 5 1,456,676.30 0.17 95252 5 1,222,501.82 0.14 98506 5 1,135,313.42 0.13 98584 5 680,826.18 0.08 99801 5 1,094,085.12 0.13 1904 4 1,264,410.20 0.15 8081 4 843,214.69 0.1 8638 4 426,597.43 0.05 8854 4 1,302,408.82 0.15 19720 4 405,141.18 0.05 20011 4 1,483,146.39 0.17 20721 4 1,291,744.94 0.15 21009 4 1,373,586.10 0.16 21113 4 1,098,757.35 0.13 21223 4 252,882.49 0.03 21229 4 301,329.82 0.03 21703 4 895,610.53 0.1 21921 4 861,592.51 0.1 23462 4 634,225.38 0.07 27577 4 433,407.00 0.05 29445 4 804,555.37 0.09 29485 4 475,994.71 0.05 29732 4 506,814.07 0.06 30087 4 805,651.00 0.09 30228 4 579,825.03 0.07 30620 4 529,024.75 0.06 32065 4 545,335.12 0.06 33914 4 1,036,071.42 0.12 34112 4 718,775.73 0.08 38125 4 751,866.71 0.09 38801 4 254,599.17 0.03 45504 4 453,883.29 0.05 46806 4 173,238.37 0.02 47802 4 233,522.25 0.03 49424 4 405,512.13 0.05 49849 4 371,525.57 0.04 50315 4 416,770.52 0.05 50320 4 573,571.65 0.07 50662 4 219,623.12 0.03 55008 4 565,213.07 0.07 55448 4 811,510.25 0.09 Other 4,295 769,016,938.26 88.54 - -------------------------------------------------------------------------------- Total: 4,841 868,599,210.34 100 - -------------------------------------------------------------------------------- The issuer has filed a registration statement (including a prospectus) with the U.S. Securities and Exchange Commission (SEC) for this offering. Before you invest, you should read the prospectus for this offering in that registration statement (which prospectus you may get for free by visiting the web site at http://www.lehman.com/pub/sasco), and other documents the issuer has filed with the SEC (including any related free-writing prospectus, preliminary prospectus supplement or preliminary pricing supplement, as applicable), for more complete information about the issuer. You may get these documents, as well as the final prospectus, prospectus supplement or pricing supplement (when completed), as applicable (such preliminary and final documentation together, the Offer Documentation), for free by searching the SEC online database (EDGAR(R)) at www.sec.gov. Alternatively, you may obtain a copy of the Offer Documentation from Lehman Brothers Inc., 745 Seventh Ave., New York, NY, 10019, Attn: Asset Backed Fixed Income Syndicate or by calling 212 526 7000. Lehman Brothers 4,841 records Balance: 868,599,210 WFHET 2005-4 Diana VDE May-98 All records Selection Criteria: All records Table of Contents 1. FICO Score 2. Prepayment Penalty by Product Type ($) 3. Prepayment Penalty by Product Type (%) 4. Prepayment Penalty Description (Top 5) 5. Prepayment Penalty 1. FICO Score
Total Full No. of Current % NZWA NZWA Doc FICO Score Loans Balance % WAC ARM FICO CLTV % % MI - ----------------------------------- ------ -------------- ------ ----- ----- ---- ----- ---- ----- 0 - 0 27 3,046,779.42 0.35 8.907 98.36 0 78.23 100 59.11 500 - 520 122 14,713,741.25 1.69 9.47 96.89 509 67.27 100 0.5 521 - 540 211 29,708,903.91 3.42 9.005 95.03 531 70.95 100 10.98 541 - 560 327 49,464,283.90 5.69 8.487 96.05 550 72.58 100 29.6 561 - 580 451 75,358,202.80 8.68 7.746 92.14 571 77.36 100 41.43 581 - 600 755 121,540,654.04 13.99 7.48 93.39 591 79.36 100 26.48 601 - 620 822 141,726,154.20 16.32 7.199 91.23 610 80.35 100 26.51 621 - 640 704 131,588,997.81 15.15 7.039 90.09 631 80.18 100 24.33 641 - 660 551 110,213,472.64 12.69 6.806 90.05 650 80.1 100 19.64 661 - 680 395 81,116,190.76 9.34 6.537 80.98 669 79.61 100 25.03 681 - 700 207 47,075,203.25 5.42 6.503 80.95 690 80.14 100 22.39 701 - 720 104 23,625,665.86 2.72 6.444 88.88 710 79.61 100 19.39 721 - 740 81 20,656,602.51 2.38 6.049 83.85 729 78.43 100 12.93 741 - 760 47 10,857,513.07 1.25 6.114 80.75 750 78.48 100 15.43 761 - 780 25 5,469,976.60 0.63 6.221 85.13 772 79.53 100 15.89 781 >= 12 2,436,868.32 0.28 6.288 67.71 792 70.94 100 4.92 - ----------------------------------- ------ -------------- ------ ----- ----- ---- ----- ---- ----- Total: 4,841 868,599,210.34 100 7.222 89.83 623 78.7 100 24.77
Nzmin.: 500 Max.: 812 NZWA.: 623 Loans with Fico scores less than 400 have been eliminated from the average. 2. Prepayment Penalty by Product Type ($)
12-Jan 13 - 24 25 - 36 37 - 48 49 - 60 Prepayment Penalty by Product Type ($) No Penalty Months Months Months Months Months Total - -------------------------------------- -------------- ------ -------------- ------------- ------- ------- -------------- 2/28 ARM (Libor) 188,437,922.52 0 551,279,569.11 0 0 0 739,717,491.63 Fixed Rate 16,605,180.66 0 2,631,566.03 53,609,469.32 0 0 72,846,216.01 3/27 ARM (Libor) 4,520,821.83 0 564,001.76 16,054,795.45 0 0 21,139,619.04 1 Year ARM 19,364,528.57 0 0 0 0 0 19,364,528.57 Balloon 1,864,276.23 0 0 13,667,078.86 0 0 15,531,355.09 - -------------------------------------- -------------- ------ -------------- ------------- ------- ------- -------------- Total: 230,792,729.81 0 554,475,136.90 83,331,343.63 0 0 868,599,210.34
3. Prepayment Penalty by Product Type (%)
12-Jan 13 - 24 25 - 36 37 - 48 49 - 60 Prepayment Penalty by Product Type (%) No Penalty Months Months Months Months Months Total - -------------------------------------- -------------- ------ -------------- ------------- ------- ------- -------------- 2/28 ARM (Libor) 25.47 0 74.53 0 0 0 85.16 Fixed Rate 22.79 0 3.61 73.59 0 0 8.39 3/27 ARM (Libor) 21.39 0 2.67 75.95 0 0 2.43 1 Year ARM 100 0 0 0 0 0 2.23 Balloon 12 0 0 88 0 0 1.79 - -------------------------------------- -------------- ------ -------------- ------------- ------- ------- -------------- Total: 26.57 0 63.84 9.59 0 0 100
4. Prepayment Penalty Description (Top 5)
Total Full Prepayment Penalty No. of Current % NZWA NZWA Doc Description (Top 5) Loans Balance % WAC ARM FICO CLTV % % MI - ----------------------------------- ------ -------------- ------ ----- ----- ---- ----- ---- ----- 6 MO. INT. AMT PREPAID >20% ORIGBAL 3,677 637,806,480.53 73.43 7.062 89.04 624 78.9 100 24.24 1,164 230,792,729.81 26.57 7.663 92 620 78.14 100 26.25 - ----------------------------------- ------ -------------- ------ ----- ----- ---- ----- ---- ----- Total: 4,841 868,599,210.34 100 7.222 89.83 623 78.7 100 24.77
5. Prepayment Penalty
Total Full No. of Current % NZWA NZWA Doc Prepayment Penalty Loans Balance % WAC ARM FICO CLTV % % MI - ----------------------------------- ------ -------------- ------ ----- ----- ---- ----- ---- ----- 0 1,164 230,792,729.81 26.57 7.663 92 620 78.14 100 26.25 2 3,236 554,475,136.90 63.84 7.082 99.53 621 79.76 100 24.99 3 441 83,331,343.63 9.59 6.928 19.27 647 73.22 100 19.22 - ----------------------------------- ------ -------------- ------ ----- ----- ---- ----- ---- ----- Total: 4,841 868,599,210.34 100 7.222 89.83 623 78.7 100 24.77
WA: 1.565 NZWA: 2.131 The issuer has filed a registration statement (including a prospectus) with the U.S. Securities and Exchange Commission (SEC) for this offering. Before you invest, you should read the prospectus for this offering in that registration statement (which prospectus you may get for free by visiting the web site at http://www.lehman.com/pub/sasco), and other documents the issuer has filed with the SEC (including any related free-writing prospectus, preliminary prospectus supplement or preliminary pricing supplement, as applicable), for more complete information about the issuer. You may get these documents, as well as the final prospectus, prospectus supplement or pricing supplement (when completed), as applicable (such preliminary and final documentation together, the Offer Documentation), for free by searching the SEC online database (EDGAR(R)) at www.sec.gov. Alternatively, you may obtain a copy of the Offer Documentation from Lehman Brothers Inc., 745 Seventh Ave., New York, NY, 10019, Attn: Asset Backed Fixed Income Syndicate or by calling 212 526 7000. Lehman Brothers 119 records Balance: 13,110,811 WFHET 2005-4 Diana VDE May-98 INVESTOR PROPERTIES Selection Criteria: INVESTOR PROPERTIES Table of Contents 1. Current Balance 2. Original Balance 3. Rate 4. Rate (Arm) 5. Rate (Fix) 6. Rate Type 7. Product Type 8. Original Term 9. Stated Remaining Term 10. Seasoning 11. First Payment Date 12. Maturity Date 13. Lien Position 14. Balloon 15. IO Flag 16. IO Term 17. FICO 18. Credit Grade 19. Prepayment Penalty 20. Existing MI (1st lien and LTV gt 80) 21. Existing MI Company (1st and ltv gt 80) 22. Purchased MI (1st lien and LTV gt 80) 23. Purchased MI Company (1st and ltv gt 80) 24. Total MI Flag (1st and ltv gt 80) 25. Total MI Company (1st and ltv gt 80) 26. Original CLTV (Calc) 27. Current LTV (Calc) 28. Property Type 29. Loan Purpose 30. Occupancy Status 31. Loan Documentation 32. State (Top 30) 33. Top 10 Zip Code Concentrations 34. Index 35. Floor 36. Margin 37. Initial Periodic Rate Cap 38. Periodic Rate Cap 39. Maximum Rate 40. Next Rate Adjustment Date 41. Custodian 42. Originator 43. Servicer 1. Current Balance
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Current Balance Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0.01 - 50,000.00 37 1,309,515.37 9.99 8.229 348.7 1.8 350.4 5.348 64.37 64.37 613.1 50,000.01 - 100,000.00 35 2,625,191.71 20.02 7.706 343.4 1.8 345.2 5.073 71.97 71.97 633.2 100,000.01 - 150,000.00 22 2,645,834.71 20.18 7.607 358.1 1.9 360 4.765 66.04 66.04 620.8 150,000.01 - 200,000.00 11 1,949,227.51 14.87 6.939 342.9 1.6 344.5 4.26 71.99 71.99 648 200,000.01 - 250,000.00 3 668,042.65 5.1 6.865 358 2 360 4.416 68.67 68.67 577.4 250,000.01 - 300,000.00 6 1,652,225.19 12.6 7.108 358.3 1.7 360 4.482 72.71 72.71 659.2 350,000.01 - 400,000.00 2 784,524.48 5.98 8.638 270.7 1 271.7 5 57.37 57.37 597.5 450,000.01 - 500,000.00 2 957,667.28 7.3 6.557 358 2 360 3.869 73.99 73.99 630.9 500,000.01 - 550,000.00 1 518,582.07 3.96 6.5 357 3 360 4.125 80 80 657 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
Min.: 16,238.04 Max: 518,582.07 Avg.: 110,174.88 2. Original Balance
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original Balance Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 1 - 50,000 37 1,309,515.37 9.99 8.229 348.7 1.8 350.4 5.348 64.37 64.37 613.1 50,001 - 100,000 35 2,625,191.71 20.02 7.706 343.4 1.8 345.2 5.073 71.97 71.97 633.2 100,001 - 150,000 22 2,645,834.71 20.18 7.607 358.1 1.9 360 4.765 66.04 66.04 620.8 150,001 - 200,000 11 1,949,227.51 14.87 6.939 342.9 1.6 344.5 4.26 71.99 71.99 648 200,001 - 250,000 3 668,042.65 5.1 6.865 358 2 360 4.416 68.67 68.67 577.4 250,001 - 300,000 6 1,652,225.19 12.6 7.108 358.3 1.7 360 4.482 72.71 72.71 659.2 350,001 - 400,000 1 384,827.85 2.94 9.95 179 1 180 0 55.4 55.4 597 400,001 - 450,000 1 399,696.63 3.05 7.375 359 1 360 5 59.26 59.26 598 450,001 - 500,000 2 957,667.28 7.3 6.557 358 2 360 3.869 73.99 73.99 630.9 500,001 - 550,000 1 518,582.07 3.96 6.5 357 3 360 4.125 80 80 657 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
Min.: 16,250 Max: 520,000 Avg.: 110,357 3. Rate
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 5.501 - 6.000 3 543,694.06 4.15 5.925 358.5 1.5 360 3.968 65.69 65.69 673 6.001 - 6.500 10 2,311,656.50 17.63 6.37 344.8 2.1 346.9 3.997 68.72 68.72 622.5 6.501 - 7.000 23 2,836,562.24 21.64 6.804 352.4 1.8 354.2 4.349 72.46 72.46 659.2 7.001 - 7.500 27 2,856,400.43 21.79 7.342 358.3 1.7 360 4.607 69.75 69.75 641.5 7.501 - 8.000 19 1,714,194.19 13.07 7.838 343.4 1.6 345 4.871 72.62 72.62 625.3 8.001 - 8.500 14 1,182,614.76 9.02 8.333 350.3 1.9 352.3 5.232 71.64 71.64 615.9 8.501 - 9.000 8 482,526.17 3.68 8.756 358.1 1.9 360 5.633 61.96 61.96 569 9.001 - 9.500 5 242,940.48 1.85 9.26 358.3 1.7 360 5.932 61.29 61.29 591.5 9.501 - 10.000 5 687,572.69 5.24 9.841 258 1.2 259.3 6.414 59.41 59.41 578.8 10.001 - 10.500 2 170,656.07 1.3 10.25 358 2 360 6.625 70 70 541.5 10.501 - 11.000 1 16,238.04 0.12 10.875 358 2 360 7.625 65 65 552 11.001 - 11.500 2 65,755.34 0.5 11.25 358 2 360 7.5 68 68 528 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
Min.: 5.875 Max: 11.250 NZWA: 7.430 4. Rate (Arm)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate (Arm) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 5.501 - 6.000 3 543,694.06 5 5.925 358.5 1.5 360 3.968 65.69 65.69 673 6.001 - 6.500 7 1,899,743.99 17.47 6.365 357.7 2.3 360 3.997 67.56 67.56 614.1 6.501 - 7.000 21 2,667,029.67 24.52 6.795 358.2 1.8 360 4.349 72.15 72.15 654.8 7.001 - 7.500 23 2,326,071.45 21.39 7.349 358.3 1.7 360 4.607 68.16 68.16 633.6 7.501 - 8.000 15 1,451,190.82 13.34 7.857 358.3 1.7 360 4.871 72.59 72.59 624.9 8.001 - 8.500 9 799,435.46 7.35 8.375 358.1 1.9 360 5.232 72.02 72.02 608.6 8.501 - 9.000 7 460,850.60 4.24 8.751 358.1 1.9 360 5.633 61.58 61.58 567 9.001 - 9.500 3 172,744.72 1.59 9.315 358.3 1.7 360 5.932 58.48 58.48 573.7 9.501 - 10.000 4 302,744.84 2.78 9.702 358.5 1.5 360 6.414 64.51 64.51 555.7 10.001 - 10.500 2 170,656.07 1.57 10.25 358 2 360 6.625 70 70 541.5 10.501 - 11.000 1 16,238.04 0.15 10.875 358 2 360 7.625 65 65 552 11.001 - 11.500 2 65,755.34 0.6 11.25 358 2 360 7.5 68 68 528 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 97 10,876,155.06 100 7.344 358.2 1.8 360 4.655 69.27 69.27 626.2
Min.: 5.875 Max: 11.250 NZWA: 7.344 5. Rate (Fix)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate (Fix) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 6.001 - 6.500 3 411,912.51 18.43 6.392 285.4 1.1 286.5 0 74.05 74.05 661.4 6.501 - 7.000 2 169,532.57 7.59 6.95 260.7 1.5 262.2 0 77.28 77.28 728.2 7.001 - 7.500 4 530,328.98 23.73 7.313 358 2 360 0 76.73 76.73 675.9 7.501 - 8.000 4 263,003.37 11.77 7.731 260.8 1.3 262.1 0 72.75 72.75 627.7 8.001 - 8.500 5 383,179.30 17.15 8.245 334.2 1.9 336.1 0 70.84 70.84 630.9 8.501 - 9.000 1 21,675.57 0.97 8.875 358 2 360 0 70 70 612 9.001 - 9.500 2 70,195.76 3.14 9.125 358.3 1.7 360 0 68.2 68.2 635.4 9.501 - 10.000 1 384,827.85 17.22 9.95 179 1 180 0 55.4 55.4 597 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 22 2,234,655.91 100 7.851 290.9 1.5 292.4 0 70.79 70.79 648.3
Min.: 6.375 Max: 9.950 NZWA: 7.851 6. Rate Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Fixed 22 2,234,655.91 17.04 7.851 290.9 1.5 292.4 0 70.79 70.79 648.3 Adjustable 97 10,876,155.06 82.96 7.344 358.2 1.8 360 4.655 69.27 69.27 626.2 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
7. Product Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Product Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2/28 ARM (Libor) 92 10,114,590.15 77.15 7.288 358.1 1.9 360 4.642 68.52 68.52 623.3 Fixed Rate 19 1,684,335.34 12.85 7.425 327.6 1.6 329.1 0 74.12 74.12 659.7 1 Year ARM 5 761,564.91 5.81 8.078 358.4 1.6 360 4.822 79.25 79.25 664.5 Balloon 3 550,320.57 4.2 9.155 178.7 1.3 180 0 60.63 60.63 613.5 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
8. Original Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 169 - 192 7 839,058.24 6.4 8.428 178.8 1.2 180 0 64.59 64.59 629.2 337 - 360 112 12,271,752.73 93.6 7.362 358.2 1.8 360 4.655 69.87 69.87 630 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
Min.: 180.0 Max.: 360.0 NZWA: 348.5 9. Stated Remaining Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Stated Remaining Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 169 - 180 7 839,058.24 6.4 8.428 178.8 1.2 180 0 64.59 64.59 629.2 349 - 360 112 12,271,752.73 93.6 7.362 358.2 1.8 360 4.655 69.87 69.87 630 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
Min.: 178.0 Max: 359.0 NZWA: 346.7 10. Seasoning
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Seasoning Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 24-Jan 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
Min.: 1.0 Max: 5.0 WA: 1.8 11. First Payment Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico First Payment Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2005 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
12. Maturity Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Maturity Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2020 7 839,058.24 6.4 8.428 178.8 1.2 180 0 64.59 64.59 629.2 2035 112 12,271,752.73 93.6 7.362 358.2 1.8 360 4.655 69.87 69.87 630 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
13. Lien Position
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Lien Position Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 1st Lien 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
14. Balloon
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Balloon Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Balloon 3 550,320.57 4.2 9.155 178.7 1.3 180 0 60.63 60.63 613.5 Fully Amortizing 116 12,560,490.40 95.8 7.355 354.1 1.8 355.9 4.655 69.92 69.92 630.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
15. IO Flag
Total NZWA NZWA No. of Current NZWA NZWA Full Fico IO Flag Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- No 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
16. IO Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico IO Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
17. FICO
Total NZWA NZWA No. of Current NZWA NZWA Full Fico FICO Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 511 - 520 1 237,568.51 1.81 6.5 358 2 360 4.375 61.82 61.82 511 521 - 530 2 65,755.34 0.5 11.25 358 2 360 7.5 68 68 528 531 - 540 5 368,213.40 2.81 9.587 358 2 360 6.572 55.93 55.93 533.4 541 - 550 4 261,364.94 1.99 8.269 358.1 1.9 360 5.858 64.96 64.96 544.6 551 - 560 6 550,423.44 4.2 8.854 358.1 1.9 360 5.921 67.93 67.93 556.2 561 - 570 4 759,097.98 5.79 6.921 357.9 2.1 360 4.098 68.83 68.83 565.5 571 - 580 6 251,209.24 1.92 8.171 358.4 1.6 360 5.253 59.47 59.47 574.3 581 - 590 1 85,020.02 0.65 7.375 358 2 360 4.875 65 65 589 591 - 600 7 1,435,916.82 10.95 8.243 310.3 1.5 311.8 4.909 62.63 62.63 596.3 601 - 610 12 915,000.71 6.98 7.222 352.1 2 354.1 4.552 57.02 57.02 605.5 611 - 620 13 1,035,442.16 7.9 7.647 345.6 1.6 347.2 4.643 71.92 71.92 616 621 - 630 4 354,688.41 2.71 7.861 358.2 1.8 360 5.104 74.24 74.24 625.8 631 - 640 7 1,044,170.41 7.96 7.107 358.4 1.6 360 4.461 70.32 70.32 636 641 - 650 5 657,602.28 5.02 6.981 312.2 1.7 314 4.052 73.31 73.31 644.1 651 - 660 8 1,001,495.61 7.64 6.614 357.6 2.4 360 4.191 71.6 71.6 655.8 661 - 670 8 1,167,922.09 8.91 7.04 358.3 1.7 360 4.478 73.85 73.85 666 671 - 680 6 700,580.10 5.34 6.879 334.8 1.5 336.3 4.037 75.56 75.56 673.4 681 - 690 7 761,843.95 5.81 7.097 349.1 1.5 350.6 4.108 74.43 74.43 685.6 691 - 700 3 612,564.74 4.67 7.148 358 2 360 4.224 78.18 78.18 698.2 711 - 720 4 525,096.79 4.01 7.134 341.3 1.3 342.6 4.402 74.64 74.64 713.7 721 - 730 1 40,766.22 0.31 6.95 359 1 360 4.875 80 80 729 731 - 740 1 50,319.14 0.38 7.125 358 2 360 4.75 80 80 732 751 - 760 1 21,518.80 0.16 7.5 355 5 360 3 80 80 751 771 - 780 1 47,930.28 0.37 7.625 358 2 360 4.375 80 80 773 781 - 790 1 77,435.75 0.59 6.95 359 1 360 0 80 80 788 791 - 800 1 81,863.84 0.62 6.95 358 2 360 4.625 80 80 796 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
Nzmin.: 511 Max.: 796 NZWA.: 630 Loans with Fico scores less than 400 have been eliminated from the average. 18. Credit Grade
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Credit Grade Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Y2 9 840,064.38 6.41 9.957 276.1 1.5 277.5 6.823 60.31 60.31 568 Y3 9 781,849.64 5.96 8.549 358 2 360 5.94 63.11 63.11 551.1 Y4 16 1,218,545.93 9.29 8.385 358.2 1.8 360 5.21 70.61 70.61 601.5 Y5 5 943,821.18 7.2 7.318 358.4 1.6 360 4.84 64.29 64.29 595.8 Y6 20 1,694,242.18 12.92 7.346 347.1 1.9 349 4.565 62.25 62.25 595 Y7 14 1,534,503.62 11.7 7.384 353.7 1.6 355.3 4.565 75.41 75.41 632.7 Y8 16 2,726,820.20 20.8 6.589 346.9 2 348.9 4.035 69.36 69.36 637.1 Y9 30 3,370,963.84 25.71 6.971 350.7 1.7 352.4 4.201 75.53 75.53 694.2 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
19. Prepayment Penalty
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Prepayment Penalty Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- <= 0.000 24 3,465,702.60 26.43 7.645 358.2 1.8 360 4.775 74.07 74.07 654 1.001 - 2.000 74 7,609,690.56 58.04 7.227 358.1 1.9 360 4.604 67.08 67.08 613.3 2.001 - 3.000 21 2,035,417.81 15.52 7.824 284.3 1.5 285.8 0 70.99 70.99 651.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
WA: 1.627 NZWA: 2.211 20. Existing MI (1st lien and LTV gt 80) 21. Existing MI Company (1st and ltv gt 80) 22. Purchased MI (1st lien and LTV gt 80) 23. Purchased MI Company (1st and ltv gt 80) 24. Total MI Flag (1st and ltv gt 80) 25. Total MI Company (1st and ltv gt 80) 26. Original CLTV (Calc)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original CLTV (Calc) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 15.01 - 20.00 1 49,944.59 0.38 8.95 358 2 360 6.875 16.13 16.13 540 25.01 - 30.00 1 44,977.86 0.34 9.5 359 1 360 5.75 28.13 28.13 572 30.01 - 35.00 1 49,913.66 0.38 6.75 358 2 360 4.5 32.47 32.47 606 35.01 - 40.00 1 138,759.96 1.06 6.75 358 2 360 4.625 37.57 37.57 605 40.01 - 45.00 1 110,888.43 0.85 5.95 359 1 360 4.25 40.81 40.81 656 45.01 - 50.00 2 178,577.05 1.36 7.279 358.4 1.6 360 4.721 49.67 49.67 606.9 50.01 - 55.00 3 354,312.84 2.7 6.461 343 1.8 344.8 4.096 52.87 52.87 632.5 55.01 - 60.00 7 1,245,279.78 9.5 8.395 302.9 1.5 304.4 5.105 57.23 57.23 590.8 60.01 - 65.00 13 1,014,867.39 7.74 7.684 358 2 360 4.864 63.66 63.66 577.2 65.01 - 70.00 39 4,071,097.61 31.05 7.471 353.2 1.8 355 4.704 69.08 69.08 606.3 70.01 - 75.00 29 2,733,911.17 20.85 7.204 337.8 1.7 339.5 4.523 74.63 74.63 655.6 75.01 - 80.00 21 3,118,280.63 23.78 7.266 358.1 1.9 360 4.489 80 80 675.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
Min.: 16.13 Max: 80.00 WA: 69.53 *Includes Senior balances if any. 27. Current LTV (Calc)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Current LTV (Calc) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 15.01 - 20.00 1 49,944.59 0.38 8.95 358 2 360 6.875 16.13 16.13 540 25.01 - 30.00 1 44,977.86 0.34 9.5 359 1 360 5.75 28.13 28.13 572 30.01 - 35.00 1 49,913.66 0.38 6.75 358 2 360 4.5 32.47 32.47 606 35.01 - 40.00 1 138,759.96 1.06 6.75 358 2 360 4.625 37.57 37.57 605 40.01 - 45.00 1 110,888.43 0.85 5.95 359 1 360 4.25 40.81 40.81 656 45.01 - 50.00 2 178,577.05 1.36 7.279 358.4 1.6 360 4.721 49.67 49.67 606.9 50.01 - 55.00 3 354,312.84 2.7 6.461 343 1.8 344.8 4.096 52.87 52.87 632.5 55.01 - 60.00 7 1,245,279.78 9.5 8.395 302.9 1.5 304.4 5.105 57.23 57.23 590.8 60.01 - 65.00 13 1,014,867.39 7.74 7.684 358 2 360 4.864 63.66 63.66 577.2 65.01 - 70.00 39 4,071,097.61 31.05 7.471 353.2 1.8 355 4.704 69.08 69.08 606.3 70.01 - 75.00 29 2,733,911.17 20.85 7.204 337.8 1.7 339.5 4.523 74.63 74.63 655.6 75.01 - 80.00 21 3,118,280.63 23.78 7.266 358.1 1.9 360 4.489 80 80 675.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
NZMin.: 16.11 Max: 79.96 NZWA: 69.42 28. Property Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Property Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Single Family 100 10,184,134.15 77.68 7.33 350.1 1.8 352 4.608 71.09 71.09 635.7 2-4 Family 13 2,172,565.32 16.57 7.978 326.6 1.5 328.1 4.995 62.32 62.32 607.1 Condo 6 754,111.50 5.75 7.204 358.1 1.9 360 4.391 69.27 69.27 618.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
29. Loan Purpose
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Loan Purpose Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Cash Out Refinance 82 8,621,673.69 65.76 7.498 340.8 1.7 342.5 4.746 65.9 65.9 615.5 Purchase 27 3,307,463.70 25.23 7.297 358.1 1.9 360 4.503 78.2 78.2 662.3 Rate/Term Refinance 10 1,181,673.58 9.01 7.304 358 2 360 4.415 71.78 71.78 644.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
30. Occupancy Status
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Occupancy Status Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Investment 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
31. Loan Documentation
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Loan Documentation Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Full 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
32. State (Top 30)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico State (Top 30) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- CA-S 10 1,840,919.31 14.04 7.394 320.8 1.5 322.4 4.494 57.76 57.76 607.1 CA-N 4 1,184,099.60 9.03 6.798 358 2 360 4.037 73.71 73.71 630.2 TX 16 1,057,188.41 8.06 7.479 309.4 1.5 310.8 4.488 72.08 72.08 650 FL 7 1,006,796.46 7.68 7.755 358.2 1.8 360 4.695 74.41 74.41 652.5 MD 9 794,086.65 6.06 7.979 358.2 1.8 360 5.453 67.14 67.14 587.4 AZ 6 716,961.61 5.47 7.391 335.1 1.8 336.9 4.71 69.45 69.45 650.8 NJ 3 657,772.58 5.02 7.687 358.4 1.6 360 4.99 68.62 68.62 617.8 HI 2 629,470.50 4.8 6.403 357.4 2.6 360 4.147 73.1 73.1 656.8 GA 4 431,485.68 3.29 7.753 358.1 1.9 360 5.352 78.92 78.92 653 CO 3 385,567.40 2.94 7.695 358.6 1.4 360 4.921 63.42 63.42 610.1 IL 6 377,786.04 2.88 7.675 358 2 360 4.719 65.93 65.93 597.3 WA 3 361,366.81 2.76 7.635 358 2 360 4.584 68.14 68.14 605.4 NV 2 333,382.78 2.54 6.649 357.6 2.4 360 4.101 68.31 68.31 628.5 AR 3 291,006.23 2.22 6.849 358 2 360 4.54 77.46 77.46 694.5 KS 1 289,403.70 2.21 7.95 359 1 360 4.75 80 80 636 IN 5 272,830.63 2.08 7.704 358.4 1.6 360 4.294 70.55 70.55 674.4 PA 4 254,807.79 1.94 7.926 306.6 1.6 308.2 4.651 72.76 72.76 619.7 AK 1 252,989.15 1.93 5.95 358 2 360 4 75 75 669 SC 1 220,079.27 1.68 7.25 358 2 360 4.5 70 70 596 MI 4 205,684.62 1.57 7.385 358 2 360 4.595 68.11 68.11 675.6 AL 3 195,886.83 1.49 7.651 358 2 360 5.53 75.09 75.09 629.8 OK 2 191,102.98 1.46 6.951 358.8 1.2 360 4.21 78.32 78.32 655.4 WI 3 166,444.61 1.27 9.283 358.2 1.8 360 6.155 67.59 67.59 569.2 MO 3 135,735.18 1.04 8.534 358 2 360 6.695 71.69 71.69 590.2 MN 1 127,187.90 0.97 6.95 358 2 360 4.875 70 70 594 OH 2 114,805.62 0.88 6.891 358 2 360 4.75 68.05 68.05 640.1 SD 2 113,565.51 0.87 7.233 358 2 360 4.625 73.57 73.57 651.4 IA 2 91,085.36 0.69 7.047 358.4 1.6 360 4.806 80 80 730.7 NE 1 85,326.11 0.65 10.125 358 2 360 6.375 70 70 551 VA 1 85,020.02 0.65 7.375 358 2 360 4.875 65 65 589 Other 5 240,965.63 1.84 8.034 358.6 1.4 360 5.263 64.13 64.13 623.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
33. Top 10 Zip Code Concentrations
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Top 10 Zip Code Concentrations Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 96740 1 518,582.07 3.96 6.5 357 3 360 4.125 80 80 657 94519 1 486,572.45 3.71 6.25 358 2 360 3.5 68.18 68.18 565 94553 1 471,094.83 3.59 6.875 358 2 360 4.25 80 80 699 90016 1 399,696.63 3.05 7.375 359 1 360 5 59.26 59.26 598 90041 1 384,827.85 2.94 9.95 179 1 180 0 55.4 55.4 597 85041 2 334,146.02 2.55 6.843 358.5 1.5 360 4.309 72.34 72.34 712 93023 1 299,415.28 2.28 6.125 358 2 360 4 52.63 52.63 640 66224 1 289,403.70 2.21 7.95 359 1 360 4.75 80 80 636 34761 1 285,652.24 2.18 8.5 358 2 360 5.125 80 80 666 30290 1 265,993.33 2.03 7.375 358 2 360 0 80 80 682 Other 108 9,375,426.57 71.51 7.485 349.5 1.8 351.3 4.788 69.02 69.02 625.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
34. Index
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Index Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 6 Month Libor (Wall St) 92 10,114,590.15 93 7.288 358.1 1.9 360 4.642 68.52 68.52 623.3 1 Year CMT (Weekly) 5 761,564.91 7 8.078 358.4 1.6 360 4.822 79.25 79.25 664.5 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 97 10,876,155.06 100 7.344 358.2 1.8 360 4.655 69.27 69.27 626.2
35. Floor
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Floor Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2.501 - 3.000 1 21,518.80 0.2 7.5 355 5 360 3 80 80 751 3.001 - 3.500 1 486,572.45 4.47 6.25 358 2 360 3.5 68.18 68.18 565 3.501 - 4.000 11 1,805,321.67 16.6 6.577 358.2 1.8 360 3.951 68.86 68.86 651.1 4.001 - 4.500 24 3,390,634.64 31.17 6.847 358 2 360 4.302 71.08 71.08 652.6 4.501 - 5.000 30 3,026,085.86 27.82 7.446 358.4 1.6 360 4.813 69.26 69.26 627.6 5.001 - 5.500 12 900,181.04 8.28 8.433 358.2 1.8 360 5.279 71.75 71.75 607.8 5.501 - 6.000 5 542,067.85 4.98 8.539 358.2 1.8 360 5.758 64.57 64.57 555.6 6.001 - 6.500 5 358,301.57 3.29 9.333 358 2 360 6.252 63.34 63.34 541.7 6.501 - 7.000 3 169,544.07 1.56 9.854 358.2 1.8 360 6.824 54.13 54.13 536.4 7.001 - 7.500 4 159,689.07 1.47 10.246 358.3 1.7 360 7.409 69.65 69.65 562.5 7.501 - 8.000 1 16,238.04 0.15 10.875 358 2 360 7.625 65 65 552 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 97 10,876,155.06 100 7.344 358.2 1.8 360 4.655 69.27 69.27 626.2
NZWA: 4.655 Min.: 3.000 Max.: 7.625 36. Margin
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Margin Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2.501 - 3.000 1 21,518.80 0.2 7.5 355 5 360 3 80 80 751 3.001 - 3.500 1 486,572.45 4.47 6.25 358 2 360 3.5 68.18 68.18 565 3.501 - 4.000 11 1,805,321.67 16.6 6.577 358.2 1.8 360 3.951 68.86 68.86 651.1 4.001 - 4.500 24 3,390,634.64 31.17 6.847 358 2 360 4.302 71.08 71.08 652.6 4.501 - 5.000 30 3,026,085.86 27.82 7.446 358.4 1.6 360 4.813 69.26 69.26 627.6 5.001 - 5.500 12 900,181.04 8.28 8.433 358.2 1.8 360 5.279 71.75 71.75 607.8 5.501 - 6.000 5 542,067.85 4.98 8.539 358.2 1.8 360 5.758 64.57 64.57 555.6 6.001 - 6.500 5 358,301.57 3.29 9.333 358 2 360 6.252 63.34 63.34 541.7 6.501 - 7.000 3 169,544.07 1.56 9.854 358.2 1.8 360 6.824 54.13 54.13 536.4 7.001 - 7.500 4 159,689.07 1.47 10.246 358.3 1.7 360 7.409 69.65 69.65 562.5 7.501 - 8.000 1 16,238.04 0.15 10.875 358 2 360 7.625 65 65 552 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 97 10,876,155.06 100 7.344 358.2 1.8 360 4.655 69.27 69.27 626.2
WA: 4.655 Min.: 3.000 Max.: 7.625 37. Initial Periodic Rate Cap
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Initial Periodic Rate Cap Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 1.50001 - 2.00000 5 761,564.91 7 8.078 358.4 1.6 360 4.822 79.25 79.25 664.5 2.50001 - 3.00000 92 10,114,590.15 93 7.288 358.1 1.9 360 4.642 68.52 68.52 623.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 97 10,876,155.06 100 7.344 358.2 1.8 360 4.655 69.27 69.27 626.2
Min.: 2.000 Max.: 3.000 NZWA: 2.930 38. Periodic Rate Cap
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Periodic Rate Cap Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0.50001 - 1.00000 92 10,114,590.15 93 7.288 358.1 1.9 360 4.642 68.52 68.52 623.3 1.50001 - 2.00000 5 761,564.91 7 8.078 358.4 1.6 360 4.822 79.25 79.25 664.5 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 97 10,876,155.06 100 7.344 358.2 1.8 360 4.655 69.27 69.27 626.2
Min.: 1.000 Max.: 2.000 NZWA: 1.070 39. Maximum Rate
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Maximum Rate Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 11.50001 - 12.00000 3 543,694.06 5 5.925 358.5 1.5 360 3.968 65.69 65.69 673 12.00001 - 12.50000 7 1,899,743.99 17.47 6.365 357.7 2.3 360 3.997 67.56 67.56 614.1 12.50001 - 13.00000 21 2,667,029.67 24.52 6.795 358.2 1.8 360 4.349 72.15 72.15 654.8 13.00001 - 13.50000 23 2,326,071.45 21.39 7.349 358.3 1.7 360 4.607 68.16 68.16 633.6 13.50001 - 14.00000 15 1,451,190.82 13.34 7.857 358.3 1.7 360 4.871 72.59 72.59 624.9 14.00001 - 14.50000 9 799,435.46 7.35 8.375 358.1 1.9 360 5.232 72.02 72.02 608.6 14.50001 - 15.00000 7 460,850.60 4.24 8.751 358.1 1.9 360 5.633 61.58 61.58 567 15.00001 - 15.50000 3 172,744.72 1.59 9.315 358.3 1.7 360 5.932 58.48 58.48 573.7 15.50001 - 16.00000 4 302,744.84 2.78 9.702 358.5 1.5 360 6.414 64.51 64.51 555.7 16.00001 - 16.50000 2 170,656.07 1.57 10.25 358 2 360 6.625 70 70 541.5 16.50001 - 17.00000 1 16,238.04 0.15 10.875 358 2 360 7.625 65 65 552 17.00001 - 17.50000 2 65,755.34 0.6 11.25 358 2 360 7.5 68 68 528 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 97 10,876,155.06 100 7.344 358.2 1.8 360 4.655 69.27 69.27 626.2
Min.: 11.875 Max.: 17.250 NZWA: 13.344 40. Next Rate Adjustment Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Next Rate Adjustment Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2006-07 1 21,518.80 0.2 7.5 355 5 360 3 80 80 751 2006-10 2 335,971.38 3.09 8.294 358 2 360 5.069 80 80 675.9 2006-11 2 404,074.73 3.72 7.929 359 1 360 4.715 78.58 78.58 650.5 2007-09 5 868,636.45 7.99 6.694 357 3 360 4.249 74.13 74.13 637.3 2007-10 63 6,901,479.13 63.46 7.383 358 2 360 4.661 68.19 68.19 615 2007-11 24 2,344,474.57 21.56 7.229 359 1 360 4.732 67.44 67.44 642.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 97 10,876,155.06 100 7.344 358.2 1.8 360 4.655 69.27 69.27 626.2
41. Custodian
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Custodian Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- WELLS FARGO BANK, N.A. 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
42. Originator
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Originator Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- WELLS FARGO BANK, N.A. 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
43. Servicer
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Servicer Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- WELLS FARGO BANK, N.A. 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 119 13,110,810.97 100 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630
The issuer has filed a registration statement (including a prospectus) with the U.S. Securities and Exchange Commission (SEC) for this offering. Before you invest, you should read the prospectus for this offering in that registration statement (which prospectus you may get for free by visiting the web site at http://www.lehman.com/pub/sasco), and other documents the issuer has filed with the SEC (including any related free-writing prospectus, preliminary prospectus supplement or preliminary pricing supplement, as applicable), for more complete information about the issuer. You may get these documents, as well as the final prospectus, prospectus supplement or pricing supplement (when completed), as applicable (such preliminary and final documentation together, the Offer Documentation), for free by searching the SEC online database (EDGAR(R)) at www.sec.gov. Alternatively, you may obtain a copy of the Offer Documentation from Lehman Brothers Inc., 745 Seventh Ave., New York, NY, 10019, Attn: Asset Backed Fixed Income Syndicate or by calling 212 526 7000. WFHET 2005-4 - ----------------------------------- Assumptions - ----------------------------------- Loss Lag 12 months Runs to Maturity Triggers Fail - -----------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------ BREAKEVEN RUNS - ------------------------------------------------------------------------------------------------------------------------------------ ----------------------------------------- --------------------------------------- M3 M4 ----------------------------------------- --------------------------------------- Severity LIBOR Speeds WAL CDR Collateral Losses WAL CDR Collateral Losses 40% Fwd 75% PPC 15.97 10.70% 13.78% 15.04 9.12% 12.25% 40% Fwd 100% PPC 12.82 11.20% 11.71% 12.03 9.26% 10.07% 40% Fwd 135% PPC 9.70 12.01% 9.87% 9.07 9.57% 8.13% 40% Flat+Spike 75% PPC 17.45 8.14% 11.29% 16.41 6.72% 9.72% 40% Flat+Spike 100% PPC 13.82 8.51% 9.42% 12.95 6.72% 7.74% 40% Flat+Spike 135% PPC 10.25 9.32% 7.96% 9.58 7.00% 6.18% 65% Fwd 75% PPC 18.07 6.33% 14.97% 16.73 5.49% 13.31% 65% Fwd 100% PPC 14.27 6.63% 12.38% 13.15 5.57% 10.65% 65% Fwd 135% PPC 10.58 7.12% 10.18% 9.71 5.75% 8.38% 65% Flat+Spike 75% PPC 19.23 4.88% 12.14% 17.78 4.10% 10.46% 65% Flat+Spike 100% PPC 15.03 5.08% 9.86% 13.84 4.08% 8.10% 65% Flat+Spike 135% PPC 10.99 5.55% 8.13% 10.08 4.22% 6.32%
CPRs Month ARM Fixed 1 4.00% 4.00% 2 6.09% 5.73% 3 8.18% 7.45% 4 10.27% 9.18% 5 12.36% 10.91% 6 14.45% 12.64% 7 16.55% 14.36% 8 18.64% 16.09% 9 20.73% 17.82% 10 22.82% 19.55% 11 24.91% 21.27% 12 27.00% 23.00% 13 27.00% 23.00% 14 27.00% 23.00% 15 27.00% 23.00% 16 27.00% 23.00% 17 27.00% 23.00% 18 27.00% 23.00% 19 27.00% 23.00% 20 27.00% 23.00% 21 27.00% 23.00% 22 27.00% 23.00% 23 50.00% 23.00% 24 50.00% 23.00% 25 50.00% 23.00% 26 50.00% 23.00% 27 50.00% 23.00% 28 27.00% 23.00% The issuer has filed a registration statement (including a prospectus) with the U.S. Securities and Exchange Commission (SEC) for this offering. Before you invest, you should read the prospectus for this offering in that registration statement (which prospectus you may get for free by visiting the web site at http://www.lehman.com/pub/sasco), and other documents the issuer has filed with the SEC (including any related free-writing prospectus, preliminary prospectus supplement or preliminary pricing supplement, as applicable), for more complete information about the issuer. You may get these documents, as well as the final prospectus, prospectus supplement or pricing supplement (when completed), as applicable (such preliminary and final documentation together, the Offer Documentation), for free by searching the SEC online database (EDGAR(R)) at www.sec.gov. Alternatively, you may obtain a copy of the Offer Documentation from Lehman Brothers Inc., 745 Seventh Ave., New York, NY, 10019, Attn: Asset Backed Fixed Income Syndicate or by calling 212 526 7000. Collateral Analysis * Percentages based off of aggregrate balance. Percentages will not add up to 100 for indivual tables.
Wtd Avg Percent of Wtd Avg Wtd Avg Wtd Avg Wtd Avg FICO Low FICO High CLTV Current Balance Current Balance GWAC % MI FICO DTI CLTV -------- --------- ---- --------------- --------------- ---- ---- ---- --- ---- Not Available > 65% 189,872.56 0.32 8.891 65.02 0 N/A 80.86 < 500 > 65% 106,734.88 0.06 9.682 0 500 N/A 76.49 500 524 > 65% 170,398.70 1.61 9.428 3.1 514 N/A 74.87 525 549 > 65% 212,985.84 4.33 8.964 27.15 539 N/A 77.93 550 574 > 65% 245,159.76 7.22 8.108 48.33 564 N/A 80.63 575 599 > 70% 234,751.53 13.31 7.596 32.55 588 N/A 82.32 600 624 > 70% 255,097.89 17.48 7.267 30.7 611 N/A 83.52 625 649 > 70% 286,346.41 16.66 6.984 25.89 637 N/A 83.09 650 674 > 80% 256,395.38 3.32 7.244 88.79 662 N/A 90.68 675 699 > 80% 329,569.17 2.02 7.093 86.72 687 N/A 90.48 700 724 > 80% 364,621.11 0.93 6.892 65.24 712 N/A 90.89 725 749 > 85% 307,847.16 0.16 6.901 100 736 N/A 91.97 750 774 > 85% 275,676.53 0.13 6.895 100 764 N/A 90.35 775 799 > 85% 119,925.41 0.01 8.375 100 796 N/A 100 800 max > 85% FICO Low FICO High % SFD % PUD % Owner Occ % Full Doc % Ltd Doc % Stated Doc % Int Only -------- --------- ----- ----- ----------- ---------- --------- ------------ ---------- Not Available 94.78 0 100 100 0 0 0 < 500 100 0 100 100 0 0 0 500 524 91.8 0 99.24 100 0 0 0 525 549 95.48 0 96.61 100 0 0 0 550 574 93.52 0 97.77 100 0 0 0 575 599 92.6 0 98.82 100 0 0 15.96 600 624 91.49 0 98.75 100 0 0 22.47 625 649 92.25 0 98.74 100 0 0 29.63 650 674 90.2 0 97.87 100 0 0 11.21 675 699 82.69 0 99.06 100 0 0 13.28 700 724 73.9 0 98.51 100 0 0 34.76 725 749 100 0 100 100 0 0 0 750 774 100 0 100 100 0 0 0 775 799 100 0 100 100 0 0 0 800 max
Wtd Avg Percent of Wtd Avg Wtd Avg Wtd Avg Wtd Avg CLTV Low CLTV High DTI Current Balance Current Balance GWAC % MI FICO DTI CLTV -------- --------- --- --------------- --------------- ---- ---- ---- --- ---- < 60% > 50% N/A N/A N/A N/A N/A N/A N/A 60% 64% > 50% N/A N/A N/A N/A N/A N/A N/A 65% 69% > 50% N/A N/A N/A N/A N/A N/A N/A 70% 74% > 50% N/A N/A N/A N/A N/A N/A N/A 75% 79% > 50% N/A N/A N/A N/A N/A N/A N/A 80% 84% > 50% N/A N/A N/A N/A N/A N/A N/A 85% 89% > 50% N/A N/A N/A N/A N/A N/A N/A 90% 94% > 50% N/A N/A N/A N/A N/A N/A N/A 95% 99% > 50% N/A N/A N/A N/A N/A N/A N/A 100% max > 50% N/A N/A N/A N/A N/A N/A N/A CLTV Low CLTV High % SFD % PUD % Owner Occ % Full Doc % Ltd Doc % Stated Doc % Int Only -------- --------- ----- ----- ----------- ---------- --------- ------------ ---------- < 60% N/A N/A N/A N/A N/A N/A N/A 60% 64% N/A N/A N/A N/A N/A N/A N/A 65% 69% N/A N/A N/A N/A N/A N/A N/A 70% 74% N/A N/A N/A N/A N/A N/A N/A 75% 79% N/A N/A N/A N/A N/A N/A N/A 80% 84% N/A N/A N/A N/A N/A N/A N/A 85% 89% N/A N/A N/A N/A N/A N/A N/A 90% 94% N/A N/A N/A N/A N/A N/A N/A 95% 99% N/A N/A N/A N/A N/A N/A N/A 100% max N/A N/A N/A N/A N/A N/A N/A
Wtd Avg Percent of Wtd Avg Wtd Avg Wtd Avg Wtd Avg DTI Low DTI High FICO Current Balance Current Balance GWAC % MI FICO DTI CLTV ------- -------- ---- --------------- --------------- ---- ---- ---- --- ---- < 20% < 525 N/A N/A N/A N/A N/A N/A N/A 20.01% 24.00% < 525 N/A N/A N/A N/A N/A N/A N/A 24.01% 29.00% < 550 N/A N/A N/A N/A N/A N/A N/A 29.01% 34.00% < 575 N/A N/A N/A N/A N/A N/A N/A 34.01% 39.00% < 600 N/A N/A N/A N/A N/A N/A N/A 39.01% 44.00% < 625 N/A N/A N/A N/A N/A N/A N/A 44.01% 49.00% < 650 N/A N/A N/A N/A N/A N/A N/A 49.01% 54.00% < 675 N/A N/A N/A N/A N/A N/A N/A 54.01% max < 700 N/A N/A N/A N/A N/A N/A N/A DTI Low DTI High % SFD % PUD % Owner Occ % Full Doc % Ltd Doc % Stated Doc % Int Only ------- -------- ----- ----- ----------- ---------- --------- ------------ ---------- < 20% N/A N/A N/A N/A N/A N/A N/A 20.01% 24.00% N/A N/A N/A N/A N/A N/A N/A 24.01% 29.00% N/A N/A N/A N/A N/A N/A N/A 29.01% 34.00% N/A N/A N/A N/A N/A N/A N/A 34.01% 39.00% N/A N/A N/A N/A N/A N/A N/A 39.01% 44.00% N/A N/A N/A N/A N/A N/A N/A 44.01% 49.00% N/A N/A N/A N/A N/A N/A N/A 49.01% 54.00% N/A N/A N/A N/A N/A N/A N/A 54.01% max N/A N/A N/A N/A N/A N/A N/A
LIMITED AND STATED DOC
Wtd Avg Percent of Wtd Avg Wtd Avg Wtd Avg Wtd Avg FICO Low FICO High Current Balance Current Balance GWAC % MI FICO DTI CLTV % SFD % PUD -------- --------- --------------- --------------- ---- ---- ---- --- ---- ----- ----- Not Available N/A N/A N/A N/A N/A N/A N/A N/A N/A < 500 N/A N/A N/A N/A N/A N/A N/A N/A N/A 500 524 N/A N/A N/A N/A N/A N/A N/A N/A N/A 525 549 N/A N/A N/A N/A N/A N/A N/A N/A N/A 550 574 N/A N/A N/A N/A N/A N/A N/A N/A N/A 575 599 N/A N/A N/A N/A N/A N/A N/A N/A N/A 600 624 N/A N/A N/A N/A N/A N/A N/A N/A N/A 625 649 N/A N/A N/A N/A N/A N/A N/A N/A N/A 650 674 N/A N/A N/A N/A N/A N/A N/A N/A N/A 675 699 N/A N/A N/A N/A N/A N/A N/A N/A N/A 700 724 N/A N/A N/A N/A N/A N/A N/A N/A N/A 725 749 N/A N/A N/A N/A N/A N/A N/A N/A N/A 750 774 N/A N/A N/A N/A N/A N/A N/A N/A N/A 775 799 N/A N/A N/A N/A N/A N/A N/A N/A N/A 800 max N/A N/A N/A N/A N/A N/A N/A N/A N/A FICO Low FICO High % Owner Occ % Full Doc % Ltd Doc % Stated Doc % Int Only % CA % NY % FL -------- --------- ----------- ---------- --------- ------------ ---------- ---- ---- ---- Not Available N/A N/A N/A N/A N/A N/A N/A N/A < 500 N/A N/A N/A N/A N/A N/A N/A N/A 500 524 N/A N/A N/A N/A N/A N/A N/A N/A 525 549 N/A N/A N/A N/A N/A N/A N/A N/A 550 574 N/A N/A N/A N/A N/A N/A N/A N/A 575 599 N/A N/A N/A N/A N/A N/A N/A N/A 600 624 N/A N/A N/A N/A N/A N/A N/A N/A 625 649 N/A N/A N/A N/A N/A N/A N/A N/A 650 674 N/A N/A N/A N/A N/A N/A N/A N/A 675 699 N/A N/A N/A N/A N/A N/A N/A N/A 700 724 N/A N/A N/A N/A N/A N/A N/A N/A 725 749 N/A N/A N/A N/A N/A N/A N/A N/A 750 774 N/A N/A N/A N/A N/A N/A N/A N/A 775 799 N/A N/A N/A N/A N/A N/A N/A N/A 800 max N/A N/A N/A N/A N/A N/A N/A N/A
IO LOANS
Wtd Avg Percent of Wtd Avg Wtd Avg Wtd Avg Wtd Avg FICO Low FICO High Current Balance Current Balance GWAC % MI FICO DTI CLTV % SFD -------- --------- --------------- --------------- ---- ---- ---- --- ---- ----- < 500 500 524 525 549 550 574 575 599 282,104.63 2.30 7.251 0 589 43.5 79.22 87.08 600 624 338,509.39 4.39 7.009 0 611 42.25 79.76 89.99 625 649 364,682.97 5.34 6.778 0 638 44.27 80.95 87.21 650 674 351,994.14 3.44 6.514 0 661 45.54 79.47 78.94 675 699 375,669.45 1.51 6.283 0 686 45.26 80.32 90.98 700 724 413,439.63 1.17 5.956 0 711 47.75 81.04 78.57 725 749 339,308.83 0.59 6.093 0 733 45.42 78.96 78.38 750 774 436,528.29 0.23 6.387 0 762 41.08 79.92 43.29 775 799 277,179.90 0.11 6.306 0 789 42.81 56.08 100 800 max 66,185.76 0.01 6.25 0 812 49.27 80 100 FICO Low FICO High % PUD % Owner Occ % Full Doc % Ltd Doc % Stated Doc % Int Only % CA % NY % FL -------- --------- ----- ----------- ---------- --------- ------------ ---------- ---- ---- ---- < 500 500 524 525 549 550 574 575 599 0 100 100 0 0 100 26.62 4.91 7.32 600 624 0 100 100 0 0 100 25.16 3.61 6.85 625 649 0 99.78 100 0 0 100 36.26 3.2 4.01 650 674 0 98.7 100 0 0 100 54.29 0 5.28 675 699 0 100 100 0 0 100 54.39 5.29 1.33 700 724 0 100 100 0 0 100 49.48 15.85 5.88 725 749 0 100 100 0 0 100 59.34 6.57 0 750 774 0 66.17 100 0 0 100 56.71 0 33.83 775 799 0 100 100 0 0 100 0 0 41.7 800 max 0 100 100 0 0 100 0 0 0
Lehman Brothers 4,310 records Balance: 780,221,639 WFHET 2005-4 Diana VDE May-98 ARMS Selection Criteria: ARMS Table of Contents 1. Current Balance 2. Original Balance 3. Rate 4. Rate (Arm) 5. Rate (Fix) 6. Rate Type 7. Product Type 8. Original Term 9. Stated Remaining Term 10. Seasoning 11. First Payment Date 12. Maturity Date 13. Lien Position 14. Balloon 15. IO Flag 16. IO Term 17. FICO 18. Credit Grade 19. Prepayment Penalty 20. Existing MI (1st lien and LTV gt 80) 21. Existing MI Company (1st and ltv gt 80) 22. Purchased MI (1st lien and LTV gt 80) 23. Purchased MI Company (1st and ltv gt 80) 24. Total MI Flag (1st and ltv gt 80) 25. Total MI Company (1st and ltv gt 80) 26. Original CLTV (Calc) 27. Current LTV (Calc) 28. Property Type 29. Loan Purpose 30. Occupancy Status 31. Loan Documentation 32. State (Top 30) 33. Top 10 Zip Code Concentrations 34. Index 35. Floor 36. Margin 37. Initial Periodic Rate Cap 38. Periodic Rate Cap 39. Maximum Rate 40. Next Rate Adjustment Date 41. Custodian 42. Originator 43. Servicer 1. Current Balance
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Current Balance Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0.01 - 50,000.00 269 10,307,720.47 1.32 8.938 358.2 1.8 360 5.685 77.08 80.74 592.3 50,000.01 - 100,000.00 928 70,752,121.93 9.07 8.08 358.2 1.8 360 5.141 79.61 87.46 606.3 100,000.01 - 150,000.00 991 123,509,600.16 15.83 7.74 358.1 1.9 360 4.936 79.66 87.89 612.5 150,000.01 - 200,000.00 745 130,162,259.10 16.68 7.309 358.2 1.8 360 4.684 79.07 85.86 611.2 200,000.01 - 250,000.00 458 102,619,013.54 13.15 7.22 358.2 1.8 360 4.636 78.79 85.22 616.1 250,000.01 - 300,000.00 305 83,372,539.76 10.69 6.912 358.2 1.8 360 4.535 79.91 86.97 626 300,000.01 - 350,000.00 209 67,725,272.30 8.68 6.996 358.1 1.9 360 4.625 79.44 85.86 628.4 350,000.01 - 400,000.00 123 46,019,411.09 5.9 6.863 358 2 360 4.43 80.68 86.88 631.3 400,000.01 - 450,000.00 103 43,917,523.52 5.63 6.814 358.2 1.8 360 4.461 81.11 88.23 630.6 450,000.01 - 500,000.00 62 29,570,227.04 3.79 6.588 358 2 360 4.241 79.04 84.75 632 500,000.01 - 550,000.00 34 17,874,458.80 2.29 6.445 358.1 1.9 360 4.275 82.28 89.87 648.7 550,000.01 - 600,000.00 33 19,182,261.36 2.46 6.592 358.1 1.9 360 4.328 82.3 86.83 648 600,000.01 - 650,000.00 15 9,334,972.35 1.2 6.533 358.3 1.7 360 4.146 78.32 80.97 642.8 650,000.01 - 700,000.00 16 10,807,843.94 1.39 6.524 357.8 2.2 360 4.028 79 84.82 655.7 700,000.01 - 750,000.00 8 5,855,037.30 0.75 6.566 358 2 360 4.017 75.01 83.38 641.5 750,000.01 - 800,000.00 5 3,903,837.59 0.5 6.407 358.6 1.4 360 3.996 78.18 80.38 619.6 800,000.01 - 850,000.00 2 1,645,213.44 0.21 6.997 357 3 360 3.687 72.51 80.03 609.6 850,000.01 - 900,000.00 2 1,773,217.47 0.23 5.254 358.5 1.5 360 3.001 72.8 90 698.2 900,000.01 - 950,000.00 2 1,889,108.08 0.24 6.313 359 1 360 3.999 67.19 67.19 607.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
Min.: 11,770.81 Max: 950,000.00 Avg.: 181,025.90 2. Original Balance
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original Balance Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 1 - 50,000 269 10,307,720.47 1.32 8.938 358.2 1.8 360 5.685 77.08 80.74 592.3 50,001 - 100,000 926 70,552,206.41 9.04 8.08 358.2 1.8 360 5.14 79.6 87.48 606.3 100,001 - 150,000 974 120,877,507.14 15.49 7.752 358.1 1.9 360 4.936 79.81 88.17 612.8 150,001 - 200,000 763 132,857,311.18 17.03 7.309 358.2 1.8 360 4.69 78.96 85.65 610.9 200,001 - 250,000 441 98,377,681.67 12.61 7.226 358.2 1.8 360 4.639 79.32 85.98 616.5 250,001 - 300,000 323 87,750,828.09 11.25 6.918 358.2 1.8 360 4.536 79.25 86.01 625.1 300,001 - 350,000 209 67,725,272.30 8.68 6.996 358.1 1.9 360 4.625 79.44 85.86 628.4 350,001 - 400,000 119 44,420,974.74 5.69 6.863 358 2 360 4.432 80.88 87.3 630.5 400,001 - 450,000 107 45,515,959.87 5.83 6.816 358.2 1.8 360 4.458 80.9 87.77 631.4 450,001 - 500,000 61 29,070,735.62 3.73 6.599 358 2 360 4.241 78.96 84.77 631.9 500,001 - 550,000 34 17,824,204.64 2.28 6.491 358.1 1.9 360 4.317 82.38 89.38 644.7 550,001 - 600,000 34 19,732,006.94 2.53 6.534 358.1 1.9 360 4.288 82.23 87.2 651.4 600,001 - 650,000 15 9,334,972.35 1.2 6.533 358.3 1.7 360 4.146 78.32 80.97 642.8 650,001 - 700,000 16 10,807,843.94 1.39 6.524 357.8 2.2 360 4.028 79 84.82 655.7 700,001 - 750,000 8 5,855,037.30 0.75 6.566 358 2 360 4.017 75.01 83.38 641.5 750,001 - 800,000 5 3,903,837.59 0.5 6.407 358.6 1.4 360 3.996 78.18 80.38 619.6 800,001 - 850,000 2 1,645,213.44 0.21 6.997 357 3 360 3.687 72.51 80.03 609.6 850,001 - 900,000 2 1,773,217.47 0.23 5.254 358.5 1.5 360 3.001 72.8 90 698.2 900,001 - 950,000 2 1,889,108.08 0.24 6.313 359 1 360 3.999 67.19 67.19 607.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
Min.: 16,000 Max: 950,000 Avg.: 181,300 3. Rate
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 3.001 - 3.500 1 217,907.40 0.03 3.5 354 6 360 2 72.85 72.85 683 4.001 - 4.500 4 1,103,574.56 0.14 4.455 358.3 1.7 360 3.394 79.13 96.33 730.9 4.501 - 5.000 20 6,704,876.41 0.86 4.874 357.9 2.1 360 3.356 75.77 86.35 695.8 5.001 - 5.500 83 23,337,250.44 2.99 5.383 358 2 360 3.552 77.17 89.94 676.8 5.501 - 6.000 302 81,236,010.13 10.41 5.852 358 2 360 3.767 77.18 87.49 659.8 6.001 - 6.500 549 133,571,692.69 17.12 6.333 358.2 1.8 360 4.011 77.2 85.46 638.1 6.501 - 7.000 745 154,510,240.34 19.8 6.805 358.2 1.8 360 4.293 78.51 87.13 628.6 7.001 - 7.500 684 121,885,067.72 15.62 7.317 358.2 1.8 360 4.609 80.14 87.88 619.7 7.501 - 8.000 586 89,154,280.71 11.43 7.811 358.1 1.9 360 4.932 81.16 86.79 607.1 8.001 - 8.500 426 59,352,274.72 7.61 8.306 358.2 1.8 360 5.496 81.92 85.28 591.6 8.501 - 9.000 332 48,132,938.29 6.17 8.814 358.2 1.8 360 6.015 83.34 84.06 577 9.001 - 9.500 208 24,776,276.16 3.18 9.275 358.1 1.9 360 6.226 84.33 84.68 574.7 9.501 - 10.000 178 19,659,490.52 2.52 9.792 358.1 1.9 360 6.581 81.82 81.93 559.6 10.001 - 10.500 93 8,412,050.90 1.08 10.28 358.3 1.7 360 6.835 83.45 83.63 555.2 10.501 - 11.000 58 5,158,385.35 0.66 10.801 358 2 360 7.209 78.86 79.3 532.9 11.001 - 11.500 25 1,496,115.95 0.19 11.262 358.2 1.8 360 7.675 78.9 79.47 540.1 11.501 - 12.000 15 1,442,676.05 0.18 11.791 358.2 1.8 360 7.994 81.88 81.88 544.8 12.001 - 12.500 1 70,530.90 0.01 12.25 359 1 360 7.75 85 85 522 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
Min.: 3.500 Max: 12.250 NZWA: 7.230 4. Rate (Arm)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate (Arm) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 3.001 - 3.500 1 217,907.40 0.03 3.5 354 6 360 2 72.85 72.85 683 4.001 - 4.500 4 1,103,574.56 0.14 4.455 358.3 1.7 360 3.394 79.13 96.33 730.9 4.501 - 5.000 20 6,704,876.41 0.86 4.874 357.9 2.1 360 3.356 75.77 86.35 695.8 5.001 - 5.500 83 23,337,250.44 2.99 5.383 358 2 360 3.552 77.17 89.94 676.8 5.501 - 6.000 302 81,236,010.13 10.41 5.852 358 2 360 3.767 77.18 87.49 659.8 6.001 - 6.500 549 133,571,692.69 17.12 6.333 358.2 1.8 360 4.011 77.2 85.46 638.1 6.501 - 7.000 745 154,510,240.34 19.8 6.805 358.2 1.8 360 4.293 78.51 87.13 628.6 7.001 - 7.500 684 121,885,067.72 15.62 7.317 358.2 1.8 360 4.609 80.14 87.88 619.7 7.501 - 8.000 586 89,154,280.71 11.43 7.811 358.1 1.9 360 4.932 81.16 86.79 607.1 8.001 - 8.500 426 59,352,274.72 7.61 8.306 358.2 1.8 360 5.496 81.92 85.28 591.6 8.501 - 9.000 332 48,132,938.29 6.17 8.814 358.2 1.8 360 6.015 83.34 84.06 577 9.001 - 9.500 208 24,776,276.16 3.18 9.275 358.1 1.9 360 6.226 84.33 84.68 574.7 9.501 - 10.000 178 19,659,490.52 2.52 9.792 358.1 1.9 360 6.581 81.82 81.93 559.6 10.001 - 10.500 93 8,412,050.90 1.08 10.28 358.3 1.7 360 6.835 83.45 83.63 555.2 10.501 - 11.000 58 5,158,385.35 0.66 10.801 358 2 360 7.209 78.86 79.3 532.9 11.001 - 11.500 25 1,496,115.95 0.19 11.262 358.2 1.8 360 7.675 78.9 79.47 540.1 11.501 - 12.000 15 1,442,676.05 0.18 11.791 358.2 1.8 360 7.994 81.88 81.88 544.8 12.001 - 12.500 1 70,530.90 0.01 12.25 359 1 360 7.75 85 85 522 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
Min.: 3.500 Max: 12.250 NZWA: 7.230 5. Rate (Fix) 6. Rate Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Adjustable 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
7. Product Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Product Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2/28 ARM (Libor) 4,135 739,717,491.63 94.81 7.236 358.2 1.8 360 4.665 79.61 86.59 619.7 3/27 ARM (Libor) 81 21,139,619.04 2.71 6.762 357.9 2.1 360 4.501 78.56 82.58 651.7 1 Year ARM 94 19,364,528.57 2.48 7.541 356.9 3.1 360 4.532 77.58 82.95 627.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
8. Original Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 337 - 360 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
Min.: 360.0 Max.: 360.0 NZWA: 360.0 9. Stated Remaining Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Stated Remaining Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 349 - 360 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
Min.: 353.0 Max: 359.0 NZWA: 358.1 10. Seasoning
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Seasoning Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 24-Jan 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
Min.: 1.0 Max: 7.0 WA: 1.9 11. First Payment Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico First Payment Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2005 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
12. Maturity Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Maturity Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2035 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
13. Lien Position
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Lien Position Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 1st Lien 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
14. Balloon
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Balloon Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Fully Amortizing 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
15. IO Flag
Total NZWA NZWA No. of Current NZWA NZWA Full Fico IO Flag Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- No 3,706 615,212,599.29 78.85 7.368 358.2 1.8 360 4.737 79.41 85.32 614.5 Yes 604 165,009,039.95 21.15 6.717 358.1 1.9 360 4.358 79.98 90.4 643.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
16. IO Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico IO Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0 3,706 615,212,599.29 78.85 7.368 358.2 1.8 360 4.737 79.41 85.32 614.5 60 604 165,009,039.95 21.15 6.717 358.1 1.9 360 4.358 79.98 90.4 643.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
17. FICO
Total NZWA NZWA No. of Current NZWA NZWA Full Fico FICO Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- <= 0 26 2,996,799.29 0.38 8.88 358.1 1.9 360 6.351 79.14 80.19 0 491 - 500 7 742,440.49 0.1 9.796 357.4 2.6 360 6.955 70.07 70.07 500 501 - 510 54 7,288,471.91 0.93 9.487 358.2 1.8 360 6.931 65.65 65.78 505.2 511 - 520 57 6,224,574.29 0.8 9.455 358.1 1.9 360 6.796 68.71 69.15 515.5 521 - 530 92 12,786,675.95 1.64 9.13 358 2 360 6.532 70.24 70.26 525.2 531 - 540 105 15,444,582.36 1.98 8.867 358.2 1.8 360 6.405 72.12 72.15 535.3 541 - 550 153 24,187,350.02 3.1 8.597 358.2 1.8 360 5.955 75.08 75.12 545 551 - 560 147 23,322,701.53 2.99 8.29 358.1 1.9 360 5.689 70.56 70.64 555.6 561 - 570 186 32,521,740.90 4.17 7.767 358.1 1.9 360 5.16 77.87 78.19 565.4 571 - 580 215 36,916,646.63 4.73 7.644 358.2 1.8 360 5.158 78.37 79.87 575.5 581 - 590 352 55,585,008.36 7.12 7.483 358.1 1.9 360 4.802 79.55 87.13 585.5 591 - 600 349 57,920,383.74 7.42 7.427 358.1 1.9 360 4.777 80.32 87.29 595.5 601 - 610 426 73,159,027.44 9.38 7.221 358.1 1.9 360 4.652 81.74 89.16 606 611 - 620 312 56,142,943.65 7.2 7.166 358.1 1.9 360 4.586 80.8 87.75 615.4 621 - 630 328 59,441,923.39 7.62 7.168 358.3 1.7 360 4.556 81.41 88.6 625.7 631 - 640 306 59,103,197.08 7.58 6.892 358.2 1.8 360 4.4 80.96 89.66 635.5 641 - 650 270 58,107,391.68 7.45 6.813 358.3 1.7 360 4.25 81.28 90.2 645.7 651 - 660 218 41,141,229.66 5.27 6.752 358.1 1.9 360 4.142 80.97 91.83 655.6 661 - 670 193 40,620,187.01 5.21 6.51 358.3 1.7 360 3.92 80.45 90.54 665.9 671 - 680 123 25,066,503.43 3.21 6.486 358 2 360 4.012 81.78 91.98 675 681 - 690 92 20,466,046.82 2.62 6.468 358.2 1.8 360 3.972 80.49 90.2 685 691 - 700 76 17,641,796.95 2.26 6.583 358 2 360 3.973 82.66 91.13 695.5 701 - 710 47 11,020,889.55 1.41 6.604 357.9 2.1 360 4.009 82.79 92.75 705.4 711 - 720 43 9,978,495.70 1.28 6.25 358 2 360 3.67 79.34 91.7 715.5 721 - 730 44 11,643,988.22 1.49 6.034 357.8 2.2 360 3.637 80.96 91.17 725.4 731 - 740 22 5,677,217.90 0.73 5.84 358.1 1.9 360 3.49 77.13 89.35 734.2 741 - 750 22 4,920,365.96 0.63 6.115 358.2 1.8 360 3.672 78.91 92.59 745.3 751 - 760 16 3,846,788.87 0.49 5.885 357.6 2.4 360 3.519 79.54 95.04 755 761 - 770 9 1,909,405.47 0.24 5.637 358 2 360 3.442 81.24 95.94 766.6 771 - 780 12 2,746,934.32 0.35 6.595 358.3 1.7 360 3.903 78.86 81 774.7 781 - 790 2 390,338.00 0.05 6.36 358 2 360 3.945 80 100 784.6 791 - 800 4 937,107.38 0.12 6.191 358.1 1.9 360 3.9 59.79 66.94 796.9 801 - 810 1 256,299.53 0.03 6.125 358 2 360 4.375 80 95 804 811 - 820 1 66,185.76 0.01 6.25 358 2 360 4.375 80 100 812 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
Nzmin.: 500 Max.: 812 NZWA.: 621 Loans with Fico scores less than 400 have been eliminated from the average. 18. Credit Grade
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Credit Grade Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Y1 109 13,110,255.13 1.68 9.537 358.1 1.9 360 6.975 66.75 66.82 510.4 Y2 295 38,473,663.28 4.93 9.302 358 2 360 6.695 72.31 72.44 543.1 Y3 266 43,584,257.41 5.59 8.278 358.1 1.9 360 5.726 72.09 72.16 550.8 Y4 558 94,178,580.56 12.07 7.688 358.2 1.8 360 5.113 78.27 79.15 583.3 Y5 633 101,638,449.83 13.03 7.385 358.1 1.9 360 4.718 79.79 88.18 590.3 Y6 728 128,180,684.05 16.43 7.166 358.1 1.9 360 4.587 81.76 89.56 611.8 Y7 671 126,291,560.13 16.19 6.994 358.2 1.8 360 4.435 81.48 90.1 636 Y8 422 90,123,417.60 11.55 6.728 358.2 1.8 360 4.15 81.2 90.44 648.9 Y9 628 144,640,771.25 18.54 6.324 358.1 1.9 360 3.816 80.78 91.07 694.2 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
19. Prepayment Penalty
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Prepayment Penalty Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- <= 0.000 1,028 212,323,272.92 27.21 7.659 358.1 1.9 360 4.981 78.73 84.94 618.8 1.001 - 2.000 3,222 551,843,570.87 70.73 7.082 358.2 1.8 360 4.541 79.82 87.03 620.5 2.001 - 3.000 60 16,054,795.45 2.06 6.665 357.9 2.1 360 4.364 80.12 83.67 655.5 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
WA: 1.476 NZWA: 2.028 20. Existing MI (1st lien and LTV gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Existing MI (1st lien and LTV gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Yes 1,202 199,192,703.08 84.28 7.972 358.1 1.9 360 5.38 90.05 90.16 615.7 No 126 37,149,384.25 15.72 7.162 357.8 2.2 360 4.887 88.85 88.94 638.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,328 236,342,087.33 100 7.845 358.1 1.9 360 5.302 89.86 89.97 619.3
21. Existing MI Company (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Existing MI Company (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 00-None 126 37,149,384.25 15.72 7.162 357.8 2.2 360 4.887 88.85 88.94 638.3 6- Mortgage Guaranty Insurance Corp. 40 7,819,656.43 3.31 7.835 357.8 2.2 360 5.224 88.39 88.39 614.2 11- PMI 191 31,618,142.55 13.38 7.945 358.1 1.9 360 5.369 90.29 90.48 617.3 12- United Guaranty Residential Ins. Corp. 198 33,669,252.28 14.25 8.065 357.9 2.1 360 5.371 90 90.28 614.7 13- Republic Mortgage Insurance Corp. 315 50,007,844.17 21.16 8.092 358.5 1.5 360 5.522 90.08 90.12 608.2 24- Triad Guaranty Insurance Company 189 29,090,850.67 12.31 7.986 358.1 1.9 360 5.391 91.01 91.11 625 33- Amerin Guaranty Corp. 269 46,986,956.98 19.88 7.81 358 2 360 5.262 89.56 89.61 618.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,328 236,342,087.33 100 7.845 358.1 1.9 360 5.302 89.86 89.97 619.3
22. Purchased MI (1st lien and LTV gt 80) 23. Purchased MI Company (1st and ltv gt 80) 24. Total MI Flag (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Total MI Flag (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- N 126 37,149,384.25 15.72 7.162 357.8 2.2 360 4.887 88.85 88.94 638.3 Y 1,202 199,192,703.08 84.28 7.972 358.1 1.9 360 5.38 90.05 90.16 615.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,328 236,342,087.33 100 7.845 358.1 1.9 360 5.302 89.86 89.97 619.3
25. Total MI Company (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Total MI Company (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 00-None 126 37,149,384.25 15.72 7.162 357.8 2.2 360 4.887 88.85 88.94 638.3 11- PMI 191 31,618,142.55 13.38 7.945 358.1 1.9 360 5.369 90.29 90.48 617.3 12- United Guaranty Residential Ins. Corp. 198 33,669,252.28 14.25 8.065 357.9 2.1 360 5.371 90 90.28 614.7 13- Republic Mortgage Insurance Corp. 315 50,007,844.17 21.16 8.092 358.5 1.5 360 5.522 90.08 90.12 608.2 24- Triad Guaranty Insurance Company 189 29,090,850.67 12.31 7.986 358.1 1.9 360 5.391 91.01 91.11 625 33- Amerin Guaranty Corp. 269 46,986,956.98 19.88 7.81 358 2 360 5.262 89.56 89.61 618.1 6- Mortgage Guaranty Insurance Corp. 40 7,819,656.43 3.31 7.835 357.8 2.2 360 5.224 88.39 88.39 614.2 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,328 236,342,087.33 100 7.845 358.1 1.9 360 5.302 89.86 89.97 619.3
26. Original CLTV (Calc)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original CLTV (Calc) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 5.01 - 10.00 2 105,679.02 0.01 8.414 358.6 1.4 360 6.431 8.33 8.33 549.2 10.01 - 15.00 2 169,183.88 0.02 9.058 358.9 1.1 360 7.323 14.27 14.27 504 15.01 - 20.00 3 210,784.30 0.03 9.348 358 2 360 7.126 18.37 18.37 514.8 20.01 - 25.00 8 715,688.16 0.09 7.087 358.1 1.9 360 4.383 21.44 21.44 588.2 25.01 - 30.00 10 1,192,558.76 0.15 7.182 358.1 1.9 360 4.613 28.05 28.05 653.2 30.01 - 35.00 15 1,500,439.17 0.19 7.309 357.9 2.1 360 4.784 32.73 32.73 594.8 35.01 - 40.00 18 2,343,159.91 0.3 7.611 357.7 2.3 360 5.08 37.97 37.97 581.1 40.01 - 45.00 30 3,711,573.68 0.48 7.297 358 2 360 5.049 42.55 42.55 579.4 45.01 - 50.00 47 8,001,544.53 1.03 7.444 358.2 1.8 360 4.911 47.67 47.67 584.6 50.01 - 55.00 57 10,383,635.56 1.33 7.168 358.3 1.7 360 4.671 52.73 53.21 594.4 55.01 - 60.00 71 13,080,551.55 1.68 7.178 358.2 1.8 360 4.64 57.85 58.37 592.7 60.01 - 65.00 117 23,157,395.29 2.97 7.015 358.2 1.8 360 4.602 63.03 63.37 599.7 65.01 - 70.00 256 42,661,689.03 5.47 7.219 358.1 1.9 360 4.653 68.62 68.91 588.2 70.01 - 75.00 393 75,866,942.31 9.72 7.134 358.2 1.8 360 4.604 73.89 77.43 601.7 75.01 - 80.00 1,953 360,778,726.76 46.24 6.857 358.2 1.8 360 4.234 79.78 93.72 634.2 80.01 - 85.00 394 74,312,618.40 9.52 7.689 358.1 1.9 360 5.2 84.32 84.58 607.8 85.01 - 90.00 542 99,674,854.23 12.78 7.765 358.1 1.9 360 5.244 89.66 89.72 615.9 90.01 - 95.00 218 36,801,177.56 4.72 7.923 358.1 1.9 360 5.376 94.64 94.67 637.7 95.01 - 100.00 174 25,553,437.14 3.28 8.496 358.2 1.8 360 5.723 99.86 99.86 639 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
Min.: 8.25 Max: 100.00 WA: 79.53 *Includes Senior balances if any. 27. Current LTV (Calc)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Current LTV (Calc) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0.01 - 5.00 1 11,770.81 0 10.5 358 2 360 6.625 13.57 13.57 0 5.01 - 10.00 2 105,679.02 0.01 8.414 358.6 1.4 360 6.431 8.33 8.33 549.2 10.01 - 15.00 1 157,413.07 0.02 8.95 359 1 360 7.375 14.32 14.32 504 15.01 - 20.00 3 210,784.30 0.03 9.348 358 2 360 7.126 18.37 18.37 514.8 20.01 - 25.00 8 715,688.16 0.09 7.087 358.1 1.9 360 4.383 21.44 21.44 588.2 25.01 - 30.00 10 1,192,558.76 0.15 7.182 358.1 1.9 360 4.613 28.05 28.05 653.2 30.01 - 35.00 15 1,500,439.17 0.19 7.309 357.9 2.1 360 4.784 32.73 32.73 594.8 35.01 - 40.00 20 2,569,394.85 0.33 7.517 357.7 2.3 360 4.983 39.68 39.68 585.5 40.01 - 45.00 29 3,622,295.20 0.46 7.286 358 2 360 5.072 42.58 42.58 578.8 45.01 - 50.00 47 8,001,544.53 1.03 7.444 358.2 1.8 360 4.911 47.67 47.67 584.6 50.01 - 55.00 57 10,383,635.56 1.33 7.168 358.3 1.7 360 4.671 52.73 53.21 594.4 55.01 - 60.00 71 13,080,551.55 1.68 7.178 358.2 1.8 360 4.64 57.85 58.37 592.7 60.01 - 65.00 119 23,534,921.91 3.02 7.013 358.2 1.8 360 4.594 63.07 63.4 599.6 65.01 - 70.00 255 42,490,719.65 5.45 7.218 358.1 1.9 360 4.656 68.66 68.95 588.1 70.01 - 75.00 392 75,582,352.10 9.69 7.139 358.2 1.8 360 4.607 73.91 77.46 601.7 75.01 - 80.00 1,953 360,959,580.98 46.26 6.856 358.2 1.8 360 4.234 79.78 93.71 634.3 80.01 - 85.00 394 74,335,870.28 9.53 7.688 358.1 1.9 360 5.206 84.34 84.59 607.6 85.01 - 90.00 541 99,411,824.64 12.74 7.769 358.1 1.9 360 5.243 89.67 89.73 616 90.01 - 95.00 218 36,801,177.56 4.72 7.923 358.1 1.9 360 5.376 94.64 94.67 637.7 95.01 - 100.00 174 25,553,437.14 3.28 8.496 358.2 1.8 360 5.723 99.86 99.86 639 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
NZMin.: 4.56 Max: 99.96 NZWA: 79.42 28. Property Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Property Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Single Family 3,930 703,549,712.11 90.17 7.251 358.2 1.8 360 4.67 79.58 86.24 619 Condo 282 52,346,965.32 6.71 7.078 358 2 360 4.479 79.91 90.69 636.4 2-4 Family 98 24,324,961.81 3.12 6.953 358.1 1.9 360 4.674 77.14 81.58 637 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
29. Loan Purpose
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Loan Purpose Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Cash Out Refinance 1,930 375,327,349.46 48.11 7.233 358.1 1.9 360 4.774 76.77 79.08 609.6 Purchase 2,144 369,636,650.95 47.38 7.208 358.2 1.8 360 4.529 82.35 93.92 632 Rate/Term Refinance 236 35,257,638.83 4.52 7.439 358.1 1.9 360 4.763 79.36 85.39 621.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
30. Occupancy Status
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Occupancy Status Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Primary Home 4,164 759,763,909.78 97.38 7.229 358.1 1.9 360 4.659 79.76 86.8 620.5 Investment 97 10,876,155.06 1.39 7.344 358.2 1.8 360 4.655 69.27 69.27 626.2 Second Home 49 9,581,574.40 1.23 7.229 357.7 2.3 360 4.498 73.34 73.34 629.2 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
31. Loan Documentation
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Loan Documentation Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Full 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
32. State (Top 30)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico State (Top 30) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- CA-S 258 79,947,772.77 10.25 6.618 358.1 1.9 360 4.32 76.17 81.78 631.2 CA-N 219 76,138,632.74 9.76 6.445 358.1 1.9 360 4.124 77.34 85.41 645.2 MD 212 49,661,513.98 6.37 7.16 358.2 1.8 360 4.702 79.26 85.93 616 FL 235 46,875,919.21 6.01 7.246 358.1 1.9 360 4.725 79.41 84.98 617.3 AZ 246 46,542,156.83 5.97 7.309 358.2 1.8 360 4.721 79.14 82.68 614 IL 234 31,512,612.49 4.04 7.736 358.2 1.8 360 4.842 81.99 86.88 612.8 VA 144 30,756,865.07 3.94 7.26 358.1 1.9 360 4.708 79.86 88.12 610 NY 120 27,625,590.65 3.54 7.164 357.9 2.1 360 4.571 78.68 81.69 622.9 NJ 114 25,945,154.08 3.33 7.681 358.1 1.9 360 5.133 76.87 81.89 611.6 NV 106 24,119,928.57 3.09 7.086 358.1 1.9 360 4.499 78.26 84.69 619.6 MN 147 23,909,334.38 3.06 7.276 358.2 1.8 360 4.66 79.75 86.64 619.1 WA 116 22,538,152.57 2.89 6.876 358.2 1.8 360 4.382 80.6 90.07 626.5 GA 129 20,516,044.93 2.63 7.454 358.2 1.8 360 4.933 81.73 89.3 607.3 PA 140 20,251,152.27 2.6 7.54 358.1 1.9 360 4.845 81.11 86.33 606.4 CO 89 19,025,151.62 2.44 7.025 358.3 1.7 360 4.509 78.63 86.79 619.7 MA 64 17,909,490.41 2.3 7.202 358.2 1.8 360 5.011 78.54 86.58 622.4 NC 115 16,717,724.77 2.14 7.679 358.1 1.9 360 4.852 81.21 90.29 608 TX 132 16,253,423.54 2.08 7.499 358.2 1.8 360 4.857 82.82 90.53 617.8 MO 144 15,670,526.89 2.01 7.53 358.1 1.9 360 4.818 80.94 90.17 615 IA 135 12,775,285.77 1.64 7.859 358.3 1.7 360 4.892 83.37 91.98 618.5 WI 93 12,264,410.86 1.57 7.64 358.2 1.8 360 4.788 82.84 89.69 627 OH 93 11,456,537.07 1.47 7.929 358.3 1.7 360 5.068 84.36 92.31 614 OR 54 9,886,071.36 1.27 7.066 358 2 360 4.425 78.01 87.28 626.1 TN 70 8,895,968.33 1.14 7.262 358.1 1.9 360 4.781 81.32 94.23 618.6 NE 76 8,100,914.59 1.04 7.924 358.2 1.8 360 4.608 79.66 89.32 623.2 MI 76 7,810,434.06 1 8.156 358.3 1.7 360 5.184 83.93 89.21 606.8 AK 38 7,671,168.74 0.98 7.328 358.2 1.8 360 4.856 82.37 85.67 619.8 DE 40 7,377,270.63 0.95 7.524 358.2 1.8 360 4.914 82.91 89.86 612.3 KS 59 6,856,059.36 0.88 7.873 358.2 1.8 360 4.806 83.58 94.97 623.4 IN 70 6,798,857.02 0.87 8.085 358.2 1.8 360 5.051 82.41 87.79 614.4 Other 542 68,411,513.68 8.77 7.563 358.2 1.8 360 4.814 80.37 89.09 617.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
33. Top 10 Zip Code Concentrations
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Top 10 Zip Code Concentrations Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 95901 11 2,908,026.53 0.37 6.416 358.3 1.7 360 4.055 78.88 95.86 655.9 20772 9 2,773,043.74 0.36 6.878 358.5 1.5 360 4.405 81.67 91 619.8 95757 6 2,683,248.31 0.34 6.572 358.3 1.7 360 4.083 80 95.97 657.7 95630 7 2,349,103.00 0.3 6.269 358.6 1.4 360 3.969 80 92.96 683.2 95206 7 2,266,569.81 0.29 7.1 358.4 1.6 360 4.738 80.38 89.43 604.5 85242 11 2,078,019.58 0.27 7.851 358.5 1.5 360 5.036 82.77 87.21 611.3 92223 7 1,963,625.74 0.25 6.177 358 2 360 4.217 78.69 83.86 631.6 94804 6 1,825,583.80 0.23 6.493 358 2 360 4.278 75.62 82.34 611.5 20774 6 1,787,460.39 0.23 7.385 358.1 1.9 360 4.996 82.54 84.07 602.9 20735 5 1,735,719.18 0.22 7.994 357.3 2.7 360 5.245 84.97 89.92 592.8 Other 4,235 757,851,239.16 97.13 7.241 358.1 1.9 360 4.663 79.5 86.29 620.4 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
34. Index
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Index Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 6 Month Libor (Wall St) 4,216 760,857,110.67 97.52 7.222 358.2 1.8 360 4.66 79.58 86.48 620.5 1 Year CMT (Weekly) 94 19,364,528.57 2.48 7.541 356.9 3.1 360 4.532 77.58 82.95 627.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
35. Floor
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Floor Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0.001 - 0.500 1 67,896.20 0.01 7.375 358 2 360 0.375 80 100 630 1.501 - 2.000 4 1,044,470.33 0.13 4.915 354.4 5.6 360 1.954 78.49 94.34 706.7 2.001 - 2.500 5 1,694,465.09 0.22 6.255 354.8 5.2 360 2.274 80 94.06 682.8 2.501 - 3.000 40 11,044,999.13 1.42 5.752 356.8 3.2 360 2.86 76.8 89.05 695.3 3.001 - 3.500 224 59,988,759.40 7.69 5.969 358 2 360 3.366 77 88.92 681.3 3.501 - 4.000 722 157,525,234.46 20.19 6.397 358.1 1.9 360 3.833 76.9 88.51 647.7 4.001 - 4.500 1,103 203,174,233.03 26.04 6.879 358.2 1.8 360 4.307 77.51 86.79 623.3 4.501 - 5.000 743 131,665,004.53 16.88 7.287 358.2 1.8 360 4.791 81.11 86.22 614.8 5.001 - 5.500 393 67,759,027.40 8.68 7.803 358.1 1.9 360 5.309 84.09 84.92 602.4 5.501 - 6.000 384 58,807,765.32 7.54 8.511 358.2 1.8 360 5.81 87.13 87.27 591.4 6.001 - 6.500 334 46,232,468.54 5.93 8.868 358.2 1.8 360 6.281 83.26 83.33 567.5 6.501 - 7.000 194 24,576,348.23 3.15 9.35 358.2 1.8 360 6.806 76.55 76.67 544.5 7.001 - 7.500 95 9,953,956.08 1.28 9.813 358.3 1.7 360 7.251 72.85 73.06 529.1 7.501 - 8.000 49 4,284,100.76 0.55 10.634 358.4 1.6 360 7.801 79.36 79.61 537.9 8.001 - 8.500 19 2,402,910.74 0.31 10.959 358.1 1.9 360 8.263 84.86 85.13 536.4 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
NZWA: 4.657 Min.: 0.375 Max.: 8.500 36. Margin
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Margin Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0.001 - 0.500 1 67,896.20 0.01 7.375 358 2 360 0.375 80 100 630 1.501 - 2.000 4 1,044,470.33 0.13 4.915 354.4 5.6 360 1.954 78.49 94.34 706.7 2.001 - 2.500 5 1,694,465.09 0.22 6.255 354.8 5.2 360 2.274 80 94.06 682.8 2.501 - 3.000 40 11,044,999.13 1.42 5.752 356.8 3.2 360 2.86 76.8 89.05 695.3 3.001 - 3.500 224 59,988,759.40 7.69 5.969 358 2 360 3.366 77 88.92 681.3 3.501 - 4.000 722 157,525,234.46 20.19 6.397 358.1 1.9 360 3.833 76.9 88.51 647.7 4.001 - 4.500 1,103 203,174,233.03 26.04 6.879 358.2 1.8 360 4.307 77.51 86.79 623.3 4.501 - 5.000 743 131,665,004.53 16.88 7.287 358.2 1.8 360 4.791 81.11 86.22 614.8 5.001 - 5.500 393 67,759,027.40 8.68 7.803 358.1 1.9 360 5.309 84.09 84.92 602.4 5.501 - 6.000 384 58,807,765.32 7.54 8.511 358.2 1.8 360 5.81 87.13 87.27 591.4 6.001 - 6.500 334 46,232,468.54 5.93 8.868 358.2 1.8 360 6.281 83.26 83.33 567.5 6.501 - 7.000 194 24,576,348.23 3.15 9.35 358.2 1.8 360 6.806 76.55 76.67 544.5 7.001 - 7.500 95 9,953,956.08 1.28 9.813 358.3 1.7 360 7.251 72.85 73.06 529.1 7.501 - 8.000 49 4,284,100.76 0.55 10.634 358.4 1.6 360 7.801 79.36 79.61 537.9 8.001 - 8.500 19 2,402,910.74 0.31 10.959 358.1 1.9 360 8.263 84.86 85.13 536.4 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
WA: 4.657 Min.: 0.375 Max.: 8.500 37. Initial Periodic Rate Cap
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Initial Periodic Rate Cap Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 1.50001 - 2.00000 94 19,364,528.57 2.48 7.541 356.9 3.1 360 4.532 77.58 82.95 627.6 2.50001 - 3.00000 4,216 760,857,110.67 97.52 7.222 358.2 1.8 360 4.66 79.58 86.48 620.5 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
Min.: 2.000 Max.: 3.000 NZWA: 2.975 38. Periodic Rate Cap
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Periodic Rate Cap Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0.50001 - 1.00000 4,216 760,857,110.67 97.52 7.222 358.2 1.8 360 4.66 79.58 86.48 620.5 1.50001 - 2.00000 94 19,364,528.57 2.48 7.541 356.9 3.1 360 4.532 77.58 82.95 627.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
Min.: 1.000 Max.: 2.000 NZWA: 1.025 39. Maximum Rate
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Maximum Rate Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 9.00001 - 9.50000 1 217,907.40 0.03 3.5 354 6 360 2 72.85 72.85 683 10.00001 - 10.50000 4 1,103,574.56 0.14 4.455 358.3 1.7 360 3.394 79.13 96.33 730.9 10.50001 - 11.00000 20 6,704,876.41 0.86 4.874 357.9 2.1 360 3.356 75.77 86.35 695.8 11.00001 - 11.50000 83 23,337,250.44 2.99 5.383 358 2 360 3.552 77.17 89.94 676.8 11.50001 - 12.00000 302 81,236,010.13 10.41 5.852 358 2 360 3.767 77.18 87.49 659.8 12.00001 - 12.50000 549 133,571,692.69 17.12 6.333 358.2 1.8 360 4.011 77.2 85.46 638.1 12.50001 - 13.00000 745 154,510,240.34 19.8 6.805 358.2 1.8 360 4.293 78.51 87.13 628.6 13.00001 - 13.50000 684 121,885,067.72 15.62 7.317 358.2 1.8 360 4.609 80.14 87.88 619.7 13.50001 - 14.00000 586 89,154,280.71 11.43 7.811 358.1 1.9 360 4.932 81.16 86.79 607.1 14.00001 - 14.50000 426 59,352,274.72 7.61 8.306 358.2 1.8 360 5.496 81.92 85.28 591.6 14.50001 - 15.00000 332 48,132,938.29 6.17 8.814 358.2 1.8 360 6.015 83.34 84.06 577 15.00001 - 15.50000 208 24,776,276.16 3.18 9.275 358.1 1.9 360 6.226 84.33 84.68 574.7 15.50001 - 16.00000 178 19,659,490.52 2.52 9.792 358.1 1.9 360 6.581 81.82 81.93 559.6 16.00001 - 16.50000 93 8,412,050.90 1.08 10.28 358.3 1.7 360 6.835 83.45 83.63 555.2 16.50001 - 17.00000 58 5,158,385.35 0.66 10.801 358 2 360 7.209 78.86 79.3 532.9 17.00001 - 17.50000 25 1,496,115.95 0.19 11.262 358.2 1.8 360 7.675 78.9 79.47 540.1 17.50001 - 18.00000 15 1,442,676.05 0.18 11.791 358.2 1.8 360 7.994 81.88 81.88 544.8 18.00001 - 18.50000 1 70,530.90 0.01 12.25 359 1 360 7.75 85 85 522 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
Min.: 9.500 Max.: 18.250 NZWA: 13.230 40. Next Rate Adjustment Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Next Rate Adjustment Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2006-05 1 156,877.69 0.02 8.95 353 7 360 5.125 90 90 617 2006-07 9 2,095,569.02 0.27 6.827 355 5 360 2.745 76.27 87.17 669.3 2006-08 21 4,846,021.99 0.62 7.475 356 4 360 4.505 78.93 84.5 619.6 2006-09 33 6,668,874.78 0.85 7.496 357 3 360 4.586 76.82 82.3 637.5 2006-10 21 3,792,606.43 0.49 7.544 358 2 360 4.834 75.71 80.34 619.2 2006-11 9 1,804,578.66 0.23 8.579 359 1 360 5.788 81.16 81.16 582.6 2007-05 4 542,412.07 0.07 7.129 353 7 360 4.02 85.86 94.32 608.8 2007-06 19 3,523,230.53 0.45 6.794 354 6 360 3.463 81.65 85.08 611.2 2007-07 37 7,572,507.57 0.97 6.993 355 5 360 3.497 80.97 88.11 623.4 2007-08 27 3,884,280.00 0.5 7.425 356 4 360 4.699 84.54 90.76 602.1 2007-09 99 21,336,414.97 2.73 7.032 357 3 360 4.536 79.99 84.32 615.6 2007-10 2,788 500,243,335.75 64.12 7.215 358 2 360 4.668 79.61 86.39 620.1 2007-11 1,161 202,615,310.74 25.97 7.322 359 1 360 4.737 79.37 87.21 619.3 2008-06 1 373,915.00 0.05 6.375 354 6 360 3.25 85 85 620 2008-07 1 142,010.00 0.02 6.875 355 5 360 4 95 95 672 2008-09 4 1,402,711.51 0.18 6.347 357 3 360 4.149 81.4 88.62 704.1 2008-10 66 17,478,895.30 2.24 6.828 358 2 360 4.584 78.35 82.45 647.4 2008-11 9 1,742,087.23 0.22 6.513 359 1 360 4.258 75.63 77.49 657.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
41. Custodian
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Custodian Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- WELLS FARGO BANK, N.A. 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
42. Originator
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Originator Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- WELLS FARGO BANK, N.A. 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
43. Servicer
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Servicer Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- WELLS FARGO BANK, N.A. 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 4,310 780,221,639.24 100 7.23 358.1 1.9 360 4.657 79.53 86.39 620.7
The issuer has filed a registration statement (including a prospectus) with the U.S. Securities and Exchange Commission (SEC) for this offering. Before you invest, you should read the prospectus for this offering in that registration statement (which prospectus you may get for free by visiting the web site at http://www.lehman.com/pub/sasco), and other documents the issuer has filed with the SEC (including any related free-writing prospectus, preliminary prospectus supplement or preliminary pricing supplement, as applicable), for more complete information about the issuer. You may get these documents, as well as the final prospectus, prospectus supplement or pricing supplement (when completed), as applicable (such preliminary and final documentation together, the Offer Documentation), for free by searching the SEC online database (EDGAR(R)) at www.sec.gov. Alternatively, you may obtain a copy of the Offer Documentation from Lehman Brothers Inc., 745 Seventh Ave., New York, NY, 10019, Attn: Asset Backed Fixed Income Syndicate or by calling 212 526 7000. Lehman Brothers 531 records Balance: 88,377,571 WFHET 2005-4 Diana VDE May-98 FIXED Selection Criteria: FIXED Table of Contents 1. Current Balance 2. Original Balance 3. Rate 4. Rate (Arm) 5. Rate (Fix) 6. Rate Type 7. Product Type 8. Original Term 9. Stated Remaining Term 10. Seasoning 11. First Payment Date 12. Maturity Date 13. Lien Position 14. Balloon 15. IO Flag 16. IO Term 17. FICO 18. Credit Grade 19. Prepayment Penalty 20. Existing MI (1st lien and LTV gt 80) 21. Existing MI Company (1st and ltv gt 80) 22. Purchased MI (1st lien and LTV gt 80) 23. Purchased MI Company (1st and ltv gt 80) 24. Total MI Flag (1st and ltv gt 80) 25. Total MI Company (1st and ltv gt 80) 26. Original CLTV (Calc) 27. Current LTV (Calc) 28. Property Type 29. Loan Purpose 30. Occupancy Status 31. Loan Documentation 32. State (Top 30) 33. Top 10 Zip Code Concentrations 34. Index 35. Floor 36. Margin 37. Initial Periodic Rate Cap 38. Periodic Rate Cap 39. Maximum Rate 40. Next Rate Adjustment Date 41. Custodian 42. Originator 43. Servicer 1. Current Balance
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Current Balance Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0.01 - 50,000.00 77 2,807,139.17 3.18 9.016 266.7 1.7 268.4 0 61.46 62.06 600.9 50,000.01 - 100,000.00 121 8,998,445.68 10.18 8.023 301.4 1.8 303.1 0 70.22 74.2 623.5 100,000.01 - 150,000.00 82 10,334,131.65 11.69 7.519 323.2 1.8 325 0 71.35 75.3 641.4 150,000.01 - 200,000.00 108 18,943,325.72 21.43 7.122 314.7 1.9 316.6 0 68.12 70.25 633.3 200,000.01 - 250,000.00 47 10,466,203.48 11.84 7.199 309.8 1.7 311.5 0 74.14 77.61 639 250,000.01 - 300,000.00 30 8,140,416.07 9.21 6.694 298.3 1.9 300.2 0 70.23 73.18 660.1 300,000.01 - 350,000.00 17 5,653,539.76 6.4 6.972 336.7 1.7 338.4 0 75.65 81.27 632.7 350,000.01 - 400,000.00 13 4,837,975.10 5.47 6.85 287.7 1.8 289.6 0 70.48 73.51 635.8 400,000.01 - 450,000.00 19 8,091,578.17 9.16 6.665 301.9 1.7 303.5 0 73.92 74.93 667.7 450,000.01 - 500,000.00 6 2,815,278.68 3.19 6.637 297.6 1.7 299.2 0 78.6 80.27 678.3 500,000.01 - 550,000.00 1 539,618.87 0.61 7.75 359 1 360 0 90 90 671 550,000.01 - 600,000.00 4 2,284,692.24 2.59 6.208 267 2 269 0 73.05 78.08 689.8 600,000.01 - 650,000.00 1 640,456.80 0.72 5.95 358 2 360 0 85 96.46 693 650,000.01 - 700,000.00 1 698,820.45 0.79 6.875 178 2 180 0 54.9 54.9 608 700,000.01 - 750,000.00 3 2,162,065.18 2.45 6.377 298 3 301 0 80 83.98 649.5 950,000.01 - 1,000,000.00 1 963,884.08 1.09 5.625 357 3 360 0 61.4 61.4 679 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
Min.: 14,765.56 Max: 963,884.08 Avg.: 166,436.10 2. Original Balance
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original Balance Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 1 - 50,000 77 2,807,139.17 3.18 9.016 266.7 1.7 268.4 0 61.46 62.06 600.9 50,001 - 100,000 121 8,998,445.68 10.18 8.023 301.4 1.8 303.1 0 70.22 74.2 623.5 100,001 - 150,000 76 9,436,824.18 10.68 7.609 328.4 1.8 330.2 0 73.58 77.92 639.7 150,001 - 200,000 114 19,840,633.19 22.45 7.097 312.6 1.9 314.5 0 67.21 69.24 634.5 200,001 - 250,000 45 9,966,641.49 11.28 7.162 307.4 1.7 309.1 0 74.22 77.86 641.9 250,001 - 300,000 32 8,639,978.06 9.78 6.766 301.8 1.8 303.7 0 70.36 73.14 655.5 300,001 - 350,000 17 5,653,539.76 6.4 6.972 336.7 1.7 338.4 0 75.65 81.27 632.7 350,001 - 400,000 12 4,438,711.51 5.02 6.859 297.6 1.8 299.4 0 73.82 77.13 635.4 400,001 - 450,000 20 8,490,841.76 9.61 6.669 296 1.7 297.7 0 72.01 72.98 666.5 450,001 - 500,000 6 2,815,278.68 3.19 6.637 297.6 1.7 299.2 0 78.6 80.27 678.3 500,001 - 550,000 1 539,618.87 0.61 7.75 359 1 360 0 90 90 671 550,001 - 600,000 4 2,284,692.24 2.59 6.208 267 2 269 0 73.05 78.08 689.8 600,001 - 650,000 1 640,456.80 0.72 5.95 358 2 360 0 85 96.46 693 650,001 - 700,000 1 698,820.45 0.79 6.875 178 2 180 0 54.9 54.9 608 700,001 - 750,000 3 2,162,065.18 2.45 6.377 298 3 301 0 80 83.98 649.5 950,001 - 1,000,000 1 963,884.08 1.09 5.625 357 3 360 0 61.4 61.4 679 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
Min.: 15,000 Max: 967,000 Avg.: 166,813 3. Rate
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 5.001 - 5.500 1 354,202.62 0.4 5.375 178 2 180 0 60.17 60.17 668 5.501 - 6.000 36 11,169,505.15 12.64 5.875 290.8 2 292.8 0 70.16 73.65 684.4 6.001 - 6.500 68 17,283,501.44 19.56 6.332 315.8 1.8 317.6 0 69.82 72.88 674.6 6.501 - 7.000 110 21,880,161.34 24.76 6.817 295.3 1.9 297.2 0 67.91 71.83 643.4 7.001 - 7.500 93 15,252,435.01 17.26 7.325 319.3 1.8 321 0 72.62 74.67 626.6 7.501 - 8.000 62 8,300,369.26 9.39 7.8 323.4 1.9 325.3 0 79.7 83.62 633.2 8.001 - 8.500 38 4,172,647.21 4.72 8.292 321.7 1.7 323.4 0 76.81 81.12 625 8.501 - 9.000 39 4,130,770.08 4.67 8.812 312.9 1.7 314.6 0 75.59 76.49 593 9.001 - 9.500 28 1,864,487.39 2.11 9.324 309.2 1.4 310.6 0 71.88 72.74 582.4 9.501 - 10.000 28 2,442,151.62 2.76 9.867 295.9 1.7 297.6 0 69.65 69.92 572.3 10.001 - 10.500 16 1,043,704.97 1.18 10.376 282.4 1.3 283.7 0 67.33 67.33 549.2 10.501 - 11.000 5 164,956.35 0.19 10.764 194.7 2 196.8 0 66.36 67.37 559.3 11.001 - 11.500 6 259,300.80 0.29 11.372 339.2 2.3 341.5 0 70.95 71.63 545.2 11.501 - 12.000 1 59,377.86 0.07 11.625 358 2 360 0 85 85 558 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
Min.: 5.375 Max: 11.625 NZWA: 7.143 4. Rate (Arm) 5. Rate (Fix)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate (Fix) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 5.001 - 5.500 1 354,202.62 0.4 5.375 178 2 180 0 60.17 60.17 668 5.501 - 6.000 36 11,169,505.15 12.64 5.875 290.8 2 292.8 0 70.16 73.65 684.4 6.001 - 6.500 68 17,283,501.44 19.56 6.332 315.8 1.8 317.6 0 69.82 72.88 674.6 6.501 - 7.000 110 21,880,161.34 24.76 6.817 295.3 1.9 297.2 0 67.91 71.83 643.4 7.001 - 7.500 93 15,252,435.01 17.26 7.325 319.3 1.8 321 0 72.62 74.67 626.6 7.501 - 8.000 62 8,300,369.26 9.39 7.8 323.4 1.9 325.3 0 79.7 83.62 633.2 8.001 - 8.500 38 4,172,647.21 4.72 8.292 321.7 1.7 323.4 0 76.81 81.12 625 8.501 - 9.000 39 4,130,770.08 4.67 8.812 312.9 1.7 314.6 0 75.59 76.49 593 9.001 - 9.500 28 1,864,487.39 2.11 9.324 309.2 1.4 310.6 0 71.88 72.74 582.4 9.501 - 10.000 28 2,442,151.62 2.76 9.867 295.9 1.7 297.6 0 69.65 69.92 572.3 10.001 - 10.500 16 1,043,704.97 1.18 10.376 282.4 1.3 283.7 0 67.33 67.33 549.2 10.501 - 11.000 5 164,956.35 0.19 10.764 194.7 2 196.8 0 66.36 67.37 559.3 11.001 - 11.500 6 259,300.80 0.29 11.372 339.2 2.3 341.5 0 70.95 71.63 545.2 11.501 - 12.000 1 59,377.86 0.07 11.625 358 2 360 0 85 85 558 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
Min.: 5.375 Max: 11.625 NZWA: 7.143 6. Rate Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Fixed 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
7. Product Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Product Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Fixed Rate 469 72,846,216.01 82.43 7.227 334.8 1.8 336.6 0 71.51 74.49 640.2 Balloon 62 15,531,355.09 17.57 6.752 178 2 180 0 70.78 73.92 655.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
8. Original Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 169 - 192 163 24,993,676.47 28.28 7.068 178.1 1.9 180 0 68.66 70.8 644.5 337 - 360 368 63,383,894.63 71.72 7.173 358.2 1.8 360 0 72.45 75.8 642.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
Min.: 180.0 Max.: 360.0 NZWA: 309.1 9. Stated Remaining Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Stated Remaining Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 169 - 180 163 24,993,676.47 28.28 7.068 178.1 1.9 180 0 68.66 70.8 644.5 349 - 360 368 63,383,894.63 71.72 7.173 358.2 1.8 360 0 72.45 75.8 642.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
Min.: 175.0 Max: 359.0 NZWA: 307.3 10. Seasoning
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Seasoning Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 24-Jan 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
Min.: 1.0 Max: 6.0 WA: 1.8 11. First Payment Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico First Payment Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2005 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
12. Maturity Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Maturity Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2020 163 24,993,676.47 28.28 7.068 178.1 1.9 180 0 68.66 70.8 644.5 2035 368 63,383,894.63 71.72 7.173 358.2 1.8 360 0 72.45 75.8 642.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
13. Lien Position
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Lien Position Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 1st Lien 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
14. Balloon
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Balloon Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Balloon 62 15,531,355.09 17.57 6.752 178 2 180 0 70.78 73.92 655.6 Fully Amortizing 469 72,846,216.01 82.43 7.227 334.8 1.8 336.6 0 71.51 74.49 640.2 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
15. IO Flag
Total NZWA NZWA No. of Current NZWA NZWA Full Fico IO Flag Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- No 525 87,569,428.25 99.09 7.137 306.8 1.8 308.6 0 71.38 74.35 643 Yes 6 808,142.85 0.91 7.844 358.2 1.8 360 0 71.12 78.09 630 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
16. IO Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico IO Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0 525 87,569,428.25 99.09 7.137 306.8 1.8 308.6 0 71.38 74.35 643 60 6 808,142.85 0.91 7.844 358.2 1.8 360 0 71.12 78.09 630 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
17. FICO
Total NZWA NZWA No. of Current NZWA NZWA Full Fico FICO Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- <= 0 1 49,980.13 0.06 10.5 359 1 360 0 23.26 23.26 0 501 - 510 2 127,318.81 0.14 10.76 358 2 360 0 51.08 51.08 503.2 511 - 520 2 330,935.75 0.37 8.164 358.3 1.7 360 0 75.88 75.88 514.5 521 - 530 7 485,783.17 0.55 9.735 325.3 1.5 326.8 0 52.09 52.09 525.4 531 - 540 7 991,862.43 1.12 9.193 358.1 1.9 360 0 71.09 71.09 537.1 541 - 550 9 512,261.20 0.58 9.819 257.9 1.3 259.2 0 60.72 61.04 546.7 551 - 560 18 1,441,971.15 1.63 9.336 329.3 1.7 331 0 67.64 67.64 556.6 561 - 570 28 3,232,397.96 3.66 8.428 294.3 1.7 296 0 69.1 69.36 565.8 571 - 580 22 2,687,417.31 3.04 8.073 321.3 1.7 323 0 67.22 68.04 574.7 581 - 590 24 3,882,252.51 4.39 7.703 320.8 1.9 322.7 0 72.79 73.78 586.4 591 - 600 30 4,153,009.43 4.7 7.96 307.9 1.6 309.5 0 69.49 70.82 595.2 601 - 610 40 6,811,637.89 7.71 7.086 303.6 1.9 305.5 0 68.3 71.07 605.5 611 - 620 44 5,612,545.22 6.35 7.397 291.4 1.8 293.2 0 72.36 74.94 616 621 - 630 31 5,127,629.30 5.8 7.24 309.6 2.1 311.7 0 71.13 75.42 625.8 631 - 640 39 7,916,248.04 8.96 7.041 304.2 1.9 306.1 0 70.93 74.63 635 641 - 650 34 5,921,052.64 6.7 7.037 299.8 1.6 301.4 0 68.83 72.2 644.3 651 - 660 29 5,043,798.66 5.71 6.899 316.8 2 318.8 0 72.68 77.04 653.9 661 - 670 52 9,037,388.23 10.23 6.781 283 2 285 0 73.13 77.23 665.4 671 - 680 27 6,392,112.09 7.23 6.562 327.8 1.9 329.7 0 74.9 75.47 676 681 - 690 23 5,523,641.57 6.25 6.451 319.4 1.9 321.3 0 76 82.06 685 691 - 700 16 3,443,717.91 3.9 6.387 316.2 1.9 318.1 0 71.85 76.39 693.4 701 - 710 6 1,218,370.90 1.38 6.814 290.1 1.3 291.4 0 75.96 75.96 707.1 711 - 720 8 1,407,909.71 1.59 6.25 325.8 1.6 327.4 0 59.72 66.69 715.6 721 - 730 10 1,805,497.43 2.04 6.416 315.9 1.7 317.7 0 61.17 66.35 724.7 731 - 740 5 1,529,898.96 1.73 6.508 285.6 1.7 287.4 0 84.41 84.41 735.9 741 - 750 5 1,068,772.09 1.21 6.972 286.1 2.2 288.3 0 74.5 84.46 747.5 751 - 760 4 1,021,586.15 1.16 6.078 259.7 1.8 261.5 0 76.61 81.12 752.9 761 - 770 2 170,261.55 0.19 7.034 312.5 1.7 314.2 0 82.5 97.42 766.5 771 - 780 2 643,375.26 0.73 6.14 359 1 360 0 76.55 76.55 779.7 781 - 790 4 786,937.65 0.89 6.425 331.4 1.3 332.7 0 76.02 76.02 785.2 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
Nzmin.: 502 Max.: 788 NZWA.: 643 Loans with Fico scores less than 400 have been eliminated from the average. 18. Credit Grade
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Credit Grade Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Y1 3 228,773.42 0.26 10.401 358.4 1.6 360 0 57.95 57.95 506.6 Y2 22 2,353,642.52 2.66 9.97 283.4 1.5 284.9 0 63.28 63.28 558.3 Y3 25 1,812,329.15 2.05 9.535 316.3 1.6 317.9 0 64.5 64.59 553.5 Y4 65 8,274,724.15 9.36 7.829 317.8 1.9 319.7 0 66.51 66.77 580.4 Y5 48 6,504,839.13 7.36 7.701 315.7 1.8 317.5 0 71.49 72.93 588.3 Y6 69 10,208,240.69 11.55 7.319 299.5 1.8 301.2 0 71.91 74.73 609.7 Y7 74 13,604,935.52 15.39 7.07 302.8 1.9 304.7 0 71.23 75.37 635 Y8 66 11,725,439.93 13.27 6.998 307.1 1.7 308.8 0 71.67 75.39 646.7 Y9 159 33,664,646.59 38.09 6.546 308.1 1.9 310 0 73.38 77.1 692.2 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
19. Prepayment Penalty
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Prepayment Penalty Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- <= 0.000 136 18,469,456.89 20.9 7.715 308.4 1.9 310.3 0 71.31 74.58 633.2 1.001 - 2.000 14 2,631,566.03 2.98 7.04 302.4 1.7 304.1 0 67.02 68.56 658.9 2.001 - 3.000 381 67,276,548.18 76.12 6.991 307.1 1.8 309 0 71.57 74.56 644.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
WA: 2.343 NZWA: 2.962 20. Existing MI (1st lien and LTV gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Existing MI (1st lien and LTV gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Yes 93 15,982,799.80 98.07 7.714 307.2 1.7 308.9 0 87.36 87.89 646.2 No 2 314,449.19 1.93 8.35 358.4 1.6 360 0 85 85 621.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 95 16,297,248.99 100 7.727 308.2 1.7 309.9 0 87.32 87.83 645.7
21. Existing MI Company (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Existing MI Company (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 00-None 2 314,449.19 1.93 8.35 358.4 1.6 360 0 85 85 621.7 6- Mortgage Guaranty Insurance Corp. 1 125,817.02 0.77 7.625 358 2 360 0 90 90 698 11- PMI 14 2,094,314.10 12.85 8.166 298 2 300 0 87.27 87.27 625.1 12- United Guaranty Residential Ins. Corp. 8 1,408,393.72 8.64 7.746 324.5 1.6 326.1 0 88.74 88.74 648.7 13- Republic Mortgage Insurance Corp. 18 3,492,004.90 21.43 7.75 305.4 1.2 306.5 0 88.67 88.67 636.5 24- Triad Guaranty Insurance Company 16 2,959,930.28 18.16 7.099 297.7 2 299.7 0 84.9 85.18 663.4 33- Amerin Guaranty Corp. 36 5,902,339.78 36.22 7.836 311.2 1.8 312.9 0 87.47 88.75 649.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 95 16,297,248.99 100 7.727 308.2 1.7 309.9 0 87.32 87.83 645.7
22. Purchased MI (1st lien and LTV gt 80) 23. Purchased MI Company (1st and ltv gt 80) 24. Total MI Flag (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Total MI Flag (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- N 2 314,449.19 1.93 8.35 358.4 1.6 360 0 85 85 621.7 Y 93 15,982,799.80 98.07 7.714 307.2 1.7 308.9 0 87.36 87.89 646.2 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 95 16,297,248.99 100 7.727 308.2 1.7 309.9 0 87.32 87.83 645.7
25. Total MI Company (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Total MI Company (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 00-None 2 314,449.19 1.93 8.35 358.4 1.6 360 0 85 85 621.7 11- PMI 14 2,094,314.10 12.85 8.166 298 2 300 0 87.27 87.27 625.1 12- United Guaranty Residential Ins. Corp. 8 1,408,393.72 8.64 7.746 324.5 1.6 326.1 0 88.74 88.74 648.7 13- Republic Mortgage Insurance Corp. 18 3,492,004.90 21.43 7.75 305.4 1.2 306.5 0 88.67 88.67 636.5 24- Triad Guaranty Insurance Company 16 2,959,930.28 18.16 7.099 297.7 2 299.7 0 84.9 85.18 663.4 33- Amerin Guaranty Corp. 36 5,902,339.78 36.22 7.836 311.2 1.8 312.9 0 87.47 88.75 649.1 6- Mortgage Guaranty Insurance Corp. 1 125,817.02 0.77 7.625 358 2 360 0 90 90 698 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 95 16,297,248.99 100 7.727 308.2 1.7 309.9 0 87.32 87.83 645.7
26. Original CLTV (Calc)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original CLTV (Calc) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 5.01 - 10.00 1 49,848.99 0.06 7.5 179 1 180 0 10 10 594 10.01 - 15.00 2 85,090.79 0.1 7.445 178.5 1.5 180 0 12.8 12.8 652.2 15.01 - 20.00 2 114,736.74 0.13 8.212 241.3 1.3 242.7 0 16.65 16.65 665.7 20.01 - 25.00 8 755,685.76 0.86 7.902 347.1 1.8 348.9 0 21.79 21.79 601.8 25.01 - 30.00 6 387,184.64 0.44 7.305 314.4 2.5 316.8 0 28.04 29.72 616.3 30.01 - 35.00 9 1,333,259.14 1.51 6.989 253.7 2.3 256 0 32.05 32.05 639.5 35.01 - 40.00 9 838,240.65 0.95 7.303 276.7 1.6 278.3 0 37.82 37.82 633.6 40.01 - 45.00 10 1,538,929.75 1.74 7.134 257.6 1.6 259.2 0 43 43 631 45.01 - 50.00 26 4,187,382.74 4.74 6.898 293.2 1.8 295 0 48.14 48.14 637.3 50.01 - 55.00 29 4,389,109.59 4.97 6.884 277 2 279 0 52.89 54.09 639.5 55.01 - 60.00 32 5,331,787.64 6.03 7.115 298.6 1.9 300.4 0 57.99 57.99 622.7 60.01 - 65.00 29 5,181,499.20 5.86 6.586 297 1.9 298.9 0 62.3 64.07 645.7 65.01 - 70.00 58 9,958,197.13 11.27 7.015 317.1 1.7 318.9 0 68.13 68.13 636.8 70.01 - 75.00 53 8,996,128.37 10.18 7.134 324.9 1.9 326.8 0 73.61 74.13 629.1 75.01 - 80.00 162 28,933,240.98 32.74 7.017 313.6 1.9 315.5 0 79.75 87.97 654.6 80.01 - 85.00 42 8,313,625.69 9.41 7.574 306.8 1.9 308.6 0 84.02 84.93 642.9 85.01 - 90.00 39 6,779,971.14 7.67 7.761 303.5 1.5 305 0 89.88 90.01 649.2 90.01 - 95.00 9 868,688.49 0.98 8.316 342.8 1.8 344.6 0 93.95 93.95 649.8 95.01 - 100.00 5 334,963.67 0.38 9.292 349.3 1.4 350.6 0 100 100 635 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
Min.: 10.00 Max: 100.00 WA: 71.38 *Includes Senior balances if any. 27. Current LTV (Calc)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Current LTV (Calc) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 5.01 - 10.00 1 49,848.99 0.06 7.5 179 1 180 0 10 10 594 10.01 - 15.00 2 85,090.79 0.1 7.445 178.5 1.5 180 0 12.8 12.8 652.2 15.01 - 20.00 2 114,736.74 0.13 8.212 241.3 1.3 242.7 0 16.65 16.65 665.7 20.01 - 25.00 8 755,685.76 0.86 7.902 347.1 1.8 348.9 0 21.79 21.79 601.8 25.01 - 30.00 6 387,184.64 0.44 7.305 314.4 2.5 316.8 0 28.04 29.72 616.3 30.01 - 35.00 9 1,333,259.14 1.51 6.989 253.7 2.3 256 0 32.05 32.05 639.5 35.01 - 40.00 9 838,240.65 0.95 7.303 276.7 1.6 278.3 0 37.82 37.82 633.6 40.01 - 45.00 10 1,538,929.75 1.74 7.134 257.6 1.6 259.2 0 43 43 631 45.01 - 50.00 26 4,187,382.74 4.74 6.898 293.2 1.8 295 0 48.14 48.14 637.3 50.01 - 55.00 30 4,597,766.21 5.2 6.884 272.5 2 274.5 0 52.99 54.14 638 55.01 - 60.00 31 5,123,131.02 5.8 7.125 303.5 1.9 305.3 0 58.1 58.1 623.4 60.01 - 65.00 31 5,427,241.16 6.14 6.564 294.7 1.9 296.6 0 62.43 64.12 649.1 65.01 - 70.00 57 9,981,928.99 11.29 7.014 320 1.7 321.7 0 68.26 68.51 636.1 70.01 - 75.00 52 8,726,654.55 9.87 7.165 323.9 1.9 325.8 0 73.72 73.97 627.3 75.01 - 80.00 163 29,050,033.95 32.87 7.016 313.8 1.9 315.7 0 79.75 87.93 654.6 80.01 - 85.00 41 8,196,832.72 9.27 7.587 306 1.9 307.9 0 84.08 84.99 643 85.01 - 90.00 39 6,779,971.14 7.67 7.761 303.5 1.5 305 0 89.88 90.01 649.2 90.01 - 95.00 9 868,688.49 0.98 8.316 342.8 1.8 344.6 0 93.95 93.95 649.8 95.01 - 100.00 5 334,963.67 0.38 9.292 349.3 1.4 350.6 0 100 100 635 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
NZMin.: 9.97 Max: 99.95 NZWA: 71.22 28. Property Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Property Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Single Family 495 81,928,125.74 92.7 7.136 309.5 1.8 311.3 0 72 75.14 643.6 2-4 Family 16 3,725,065.41 4.21 7.18 259.1 1.9 261 0 59.84 60.82 635.3 Condo 20 2,724,379.95 3.08 7.326 306.5 1.7 308.1 0 68.44 70.17 633 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
29. Loan Purpose
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Loan Purpose Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Cash Out Refinance 383 64,680,955.63 73.19 7.152 305 1.9 306.8 0 68.91 70.22 639 Purchase 100 16,566,647.76 18.75 7.167 315.5 1.7 317.2 0 78.79 88.36 654.2 Rate/Term Refinance 48 7,129,967.71 8.07 7.012 308.9 1.9 310.8 0 76.59 79.68 651.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
30. Occupancy Status
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Occupancy Status Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Primary Home 503 85,385,848.28 96.61 7.121 307.6 1.8 309.4 0 71.42 74.53 643.1 Investment 22 2,234,655.91 2.53 7.851 290.9 1.5 292.4 0 70.79 70.79 648.3 Second Home 6 757,066.91 0.86 7.571 322.8 2 324.8 0 68.79 68.79 605.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
31. Loan Documentation
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Loan Documentation Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Full 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
32. State (Top 30)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico State (Top 30) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- CA-S 74 18,323,772.52 20.73 6.682 313.3 1.9 315.2 0 66.68 67.43 653.2 CA-N 27 6,937,350.19 7.85 6.768 278.9 2 281 0 69.11 74.85 664.4 FL 41 6,467,381.87 7.32 7.202 324 1.7 325.7 0 68.95 70.41 615.6 TX 78 6,147,470.09 6.96 8.066 265.3 1.8 267.1 0 73.79 76.64 630.6 NY 23 5,901,217.04 6.68 6.827 331.7 1.8 333.5 0 68.88 73.46 644.1 MD 23 5,413,412.26 6.13 7.157 336.1 1.5 337.6 0 72.88 72.88 639.9 AZ 22 3,415,230.73 3.86 7.688 336.2 1.7 337.9 0 72.91 74.46 638 WA 13 2,747,377.43 3.11 6.561 202.4 2.2 204.6 0 71.53 78.37 656.3 NV 13 2,715,720.95 3.07 7.014 340.2 1.8 342 0 66.19 66.63 617 VA 14 2,479,469.58 2.81 7.224 321.8 1.9 323.6 0 68.45 72.14 633.2 NJ 12 2,357,188.04 2.67 7.874 306.4 2.1 308.5 0 70.36 73.88 621.5 MO 18 2,092,025.81 2.37 7.659 302.7 1.9 304.6 0 77.71 83.36 642.9 PA 15 1,938,283.39 2.19 7.175 307.1 1.5 308.7 0 75 82.36 649.8 TN 10 1,732,006.56 1.96 6.834 331.2 1.6 332.8 0 76.51 88.8 645.8 OR 8 1,537,343.59 1.74 6.747 244.5 1.9 246.4 0 80.53 85.78 691.6 UT 6 1,376,837.97 1.56 6.611 209.7 1.9 211.6 0 72.85 73.75 669.3 GA 9 1,280,875.39 1.45 7.414 338.7 1.9 340.6 0 77.3 86.27 654.6 DC 2 1,065,405.97 1.21 6.867 358.3 1.7 360 0 83.29 83.29 622.1 NC 6 1,039,155.43 1.18 7.339 358 2 360 0 75.27 76.52 658.4 ND 4 992,874.07 1.12 6.726 358 2 360 0 80.92 83.39 658.8 CO 6 917,167.41 1.04 6.964 357.8 2.2 360 0 76.43 88.09 668 MN 6 807,593.78 0.91 8.986 248.8 1.5 250.4 0 76.79 76.79 587.1 WV 7 744,121.53 0.84 7.647 354 1.8 355.8 0 72.81 78.14 624.6 OK 13 715,335.84 0.81 8.108 325.3 1.7 327 0 81.43 87.93 635.4 HI 2 713,604.85 0.81 6.168 268.7 2 270.7 0 67.25 67.25 650.9 OH 9 672,503.21 0.76 7.997 343.5 1.6 345.1 0 76.91 82.69 611.5 DE 3 661,801.09 0.75 7.212 314.6 2.7 317.3 0 82.6 87.47 639.5 WI 6 539,152.54 0.61 7.509 263.4 1.7 265.1 0 75.23 79.43 600.2 SC 6 531,535.18 0.6 8.664 321.4 2 323.4 0 80.48 88.69 634.3 IL 7 497,555.19 0.56 8.764 322.5 1.5 323.9 0 77.73 80.9 608.6 Other 48 5,616,801.60 6.36 7.455 300.7 1.8 302.4 0 73.67 75.27 642.4 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
33. Top 10 Zip Code Concentrations
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Top 10 Zip Code Concentrations Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 20011 2 1,065,405.97 1.21 6.867 358.3 1.7 360 0 83.29 83.29 622.1 90402 1 963,884.08 1.09 5.625 357 3 360 0 61.4 61.4 679 58103 1 738,408.81 0.84 5.95 358 2 360 0 80 80 686 95661 1 709,018.65 0.8 6.95 175 5 180 0 80 92.13 630 91355 1 698,820.45 0.79 6.875 178 2 180 0 54.9 54.9 608 91709 2 662,455.79 0.75 5.821 255.2 2.1 257.3 0 57.66 57.66 657.1 11518 1 640,456.80 0.72 5.95 358 2 360 0 85 96.46 693 91351 2 640,250.25 0.72 6.565 358 2 360 0 67.21 74.57 655.8 94949 1 595,752.27 0.67 6.375 178 2 180 0 50 50 634 93309 4 594,312.83 0.67 6.965 312.9 2 314.9 0 56.53 56.53 625 Other 515 81,068,805.20 91.73 7.212 308.3 1.8 310.1 0 71.63 74.66 642.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
34. Index 35. Floor 36. Margin 37. Initial Periodic Rate Cap 38. Periodic Rate Cap 39. Maximum Rate 40. Next Rate Adjustment Date 41. Custodian
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Custodian Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- WELLS FARGO BANK, N.A. 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
42. Originator
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Originator Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- WELLS FARGO BANK, N.A. 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
43. Servicer
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Servicer Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- WELLS FARGO BANK, N.A. 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 531 88,377,571.10 100 7.143 307.3 1.8 309.1 0 71.38 74.39 642.9
The issuer has filed a registration statement (including a prospectus) with the U.S. Securities and Exchange Commission (SEC) for this offering. Before you invest, you should read the prospectus for this offering in that registration statement (which prospectus you may get for free by visiting the web site at http://www.lehman.com/pub/sasco), and other documents the issuer has filed with the SEC (including any related free-writing prospectus, preliminary prospectus supplement or preliminary pricing supplement, as applicable), for more complete information about the issuer. You may get these documents, as well as the final prospectus, prospectus supplement or pricing supplement (when completed), as applicable (such preliminary and final documentation together, the Offer Documentation), for free by searching the SEC online database (EDGAR(R)) at www.sec.gov. Alternatively, you may obtain a copy of the Offer Documentation from Lehman Brothers Inc., 745 Seventh Ave., New York, NY, 10019, Attn: Asset Backed Fixed Income Syndicate or by calling 212 526 7000. - --------------------------------------------- Assumptions - --------------------------------------------- Loss Lag 12 Months Runs to Maturity Triggers Failing Severity - 40% Defaults in addition to prepays Pricing Speed: 30 CPR - --------------------------------------------- - ------------------------------------------------------------------- Lowest CDR where M1 has principal loss - ------------------------------------------------------------------- LIBOR CDR Cum Losses - ------------------------------------------------------------------- Forward 18.33 14.34% Forward + 200 16.43 13.27% - ------------------------------------------------------------------- Lehman Brothers 1,295 records Balance: 215,175,503 WFHET 2005-4 Diana VDE May-98 MI (LTV>80) Selection Criteria: MI (LTV>80) Table of Contents 1. Current Balance 2. Original Balance 3. Rate 4. Rate (Arm) 5. Rate (Fix) 6. Rate Type 7. Product Type 8. Original Term 9. Stated Remaining Term 10. Seasoning 11. First Payment Date 12. Maturity Date 13. Lien Position 14. Balloon 15. IO Flag 16. IO Term 17. FICO 18. Credit Grade 19. Prepayment Penalty 20. Existing MI (1st lien and LTV gt 80) 21. Existing MI Company (1st and ltv gt 80) 22. Purchased MI (1st lien and LTV gt 80) 23. Purchased MI Company (1st and ltv gt 80) 24. Total MI Flag (1st and ltv gt 80) 25. Total MI Company (1st and ltv gt 80) 26. Original CLTV (Calc) 27. Current LTV (Calc) 28. Property Type 29. Loan Purpose 30. Occupancy Status 31. Loan Documentation 32. State (Top 30) 33. Top 10 Zip Code Concentrations 34. Index 35. Floor 36. Margin 37. Initial Periodic Rate Cap 38. Periodic Rate Cap 39. Maximum Rate 40. Next Rate Adjustment Date 41. Custodian 42. Originator 43. Servicer 1. Current Balance
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Current Balance Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0.01 - 50,000.00 120 4,486,492.36 2.09 9.491 352.5 1.7 354.2 6.136 90.65 91.01 605.6 50,000.01 - 100,000.00 300 22,032,131.25 10.24 8.858 355.5 1.8 357.3 5.878 90.9 91.05 607.8 100,000.01 - 150,000.00 285 35,710,396.52 16.6 8.46 356.9 1.9 358.8 5.709 90.8 90.93 613.6 150,000.01 - 200,000.00 215 37,379,363.02 17.37 7.924 355.6 1.9 357.4 5.28 90.02 90.09 615 200,000.01 - 250,000.00 131 29,183,911.73 13.56 7.777 355.5 1.8 357.3 5.196 89 89.06 618.4 250,000.01 - 300,000.00 84 22,950,414.04 10.67 7.592 349.8 1.8 351.6 5.313 90.21 90.64 615.3 300,000.01 - 350,000.00 64 20,835,543.55 9.68 7.606 355.2 2 357.2 5.26 89.75 89.75 627.1 350,000.01 - 400,000.00 34 12,621,200.47 5.87 7.591 358.1 1.9 360 5.17 88.29 88.29 620.7 400,000.01 - 450,000.00 28 11,894,203.24 5.53 7.63 352 1.8 353.8 5.253 89.65 89.65 616.3 450,000.01 - 500,000.00 13 6,206,377.57 2.88 7.346 344.3 1.8 346.2 4.904 87.72 87.72 617.9 500,000.01 - 550,000.00 10 5,301,628.32 2.46 7.329 358.2 1.8 360 4.903 88.41 88.41 628.6 550,000.01 - 600,000.00 9 5,235,247.06 2.43 6.891 338.9 1.9 340.8 4.793 90.43 90.43 661.8 600,000.01 - 650,000.00 1 640,456.80 0.3 5.95 358 2 360 0 85 96.46 693 650,000.01 - 700,000.00 1 698,136.95 0.32 6.625 357 3 360 4.125 82.16 82.16 714 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
Min.: 15,366.11 Max: 698,136.95 Avg.: 166,158.69 2. Original Balance
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original Balance Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 1 - 50,000 120 4,486,492.36 2.09 9.491 352.5 1.7 354.2 6.136 90.65 91.01 605.6 50,001 - 100,000 299 21,932,187.63 10.19 8.861 355.5 1.8 357.3 5.878 90.89 91.04 607.9 100,001 - 150,000 280 34,913,049.87 16.23 8.493 356.9 1.9 358.7 5.729 90.85 90.98 613.3 150,001 - 200,000 221 38,276,653.29 17.79 7.906 355.6 1.9 357.5 5.273 90 90.07 615.2 200,001 - 250,000 128 28,434,381.95 13.21 7.784 355.4 1.8 357.2 5.199 88.93 88.99 618.4 250,001 - 300,000 87 23,699,943.82 11.01 7.59 350 1.8 351.8 5.305 90.25 90.67 615.4 300,001 - 350,000 64 20,835,543.55 9.68 7.606 355.2 2 357.2 5.26 89.75 89.75 627.1 350,001 - 400,000 33 12,221,751.84 5.68 7.581 358.1 1.9 360 5.189 88.13 88.13 617.6 400,001 - 450,000 29 12,293,651.87 5.71 7.638 352.2 1.8 354 5.23 89.76 89.76 619.4 450,001 - 500,000 12 5,706,886.15 2.65 7.468 343.1 1.8 345 4.966 88.09 88.09 616.1 500,001 - 550,000 11 5,801,119.74 2.7 7.21 358.2 1.8 360 4.841 87.98 87.98 629.5 550,001 - 600,000 9 5,235,247.06 2.43 6.891 338.9 1.9 340.8 4.793 90.43 90.43 661.8 600,001 - 650,000 1 640,456.80 0.3 5.95 358 2 360 0 85 96.46 693 650,001 - 700,000 1 698,136.95 0.32 6.625 357 3 360 4.125 82.16 82.16 714 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
Min.: 16,000 Max: 700,000 Avg.: 166,405 3. Rate
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 4.501 - 5.000 1 251,364.62 0.12 4.75 358 2 360 3.875 84 84 666 5.001 - 5.500 3 1,245,522.86 0.58 5.278 357.5 2.5 360 3.672 83.08 83.08 707.6 5.501 - 6.000 28 7,795,714.90 3.62 5.893 345 2.1 347.1 4.209 86.68 87.97 665.8 6.001 - 6.500 66 17,286,023.91 8.03 6.361 358.2 1.8 360 4.437 87.27 87.52 646.2 6.501 - 7.000 113 26,514,678.35 12.32 6.824 350.3 1.9 352.2 4.596 88.37 88.37 647.5 7.001 - 7.500 151 31,589,316.08 14.68 7.333 352.1 1.9 354 4.997 89.14 89.18 625.7 7.501 - 8.000 196 36,083,432.68 16.77 7.826 354.5 1.9 356.4 5.272 90.9 91.03 623 8.001 - 8.500 187 28,201,793.54 13.11 8.315 355.4 1.8 357.2 5.628 91.44 91.47 608.8 8.501 - 9.000 207 30,878,824.63 14.35 8.809 356.1 1.8 357.9 5.933 90.78 90.92 594.6 9.001 - 9.500 130 15,563,640.35 7.23 9.259 357.8 1.9 359.7 6.012 92.91 92.97 596.1 9.501 - 10.000 101 10,796,801.29 5.02 9.812 355.9 1.9 357.8 6.484 90.19 90.31 581 10.001 - 10.500 60 4,936,012.55 2.29 10.242 358.4 1.6 360 6.738 89.07 89.39 567.4 10.501 - 11.000 23 1,649,384.04 0.77 10.798 350.3 1.5 351.8 7.462 85.82 86.25 548.7 11.001 - 11.500 16 985,850.65 0.46 11.313 357.9 2.1 360 7.85 85.22 86.26 550.9 11.501 - 12.000 12 1,326,611.53 0.62 11.799 358.2 1.8 360 8.065 84.94 84.94 550.1 12.001 - 12.500 1 70,530.90 0.03 12.25 359 1 360 7.75 85 85 522 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
Min.: 4.750 Max: 12.250 NZWA: 7.953 4. Rate (Arm)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate (Arm) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 4.501 - 5.000 1 251,364.62 0.13 4.75 358 2 360 3.875 84 84 666 5.001 - 5.500 3 1,245,522.86 0.63 5.278 357.5 2.5 360 3.672 83.08 83.08 707.6 5.501 - 6.000 25 6,220,528.98 3.12 5.879 358 2 360 4.209 87.41 87.86 655.3 6.001 - 6.500 65 16,881,488.95 8.47 6.36 358.1 1.9 360 4.437 87.21 87.47 644 6.501 - 7.000 102 24,104,056.48 12.1 6.828 358.1 1.9 360 4.596 88.63 88.63 645 7.001 - 7.500 136 27,993,177.06 14.05 7.328 358.1 1.9 360 4.997 89.41 89.46 623.3 7.501 - 8.000 179 33,081,041.62 16.61 7.828 358.1 1.9 360 5.272 91.06 91.19 620 8.001 - 8.500 175 26,359,761.00 13.23 8.315 358.2 1.8 360 5.628 91.75 91.79 608 8.501 - 9.000 195 29,263,388.49 14.69 8.808 358.2 1.8 360 5.933 90.91 91.07 594.3 9.001 - 9.500 124 15,137,609.85 7.6 9.257 358.1 1.9 360 6.012 92.94 93.01 595.6 9.501 - 10.000 94 10,174,151.99 5.11 9.808 358.1 1.9 360 6.484 90.19 90.25 581.1 10.001 - 10.500 58 4,712,752.74 2.37 10.235 358.4 1.6 360 6.738 89.19 89.52 568 10.501 - 11.000 20 1,559,317.81 0.78 10.796 358.5 1.5 360 7.462 85.66 86.01 547.4 11.001 - 11.500 13 870,776.06 0.44 11.3 357.8 2.2 360 7.85 84.94 85.93 550.7 11.501 - 12.000 11 1,267,233.67 0.64 11.808 358.2 1.8 360 8.065 84.94 84.94 549.6 12.001 - 12.500 1 70,530.90 0.04 12.25 359 1 360 7.75 85 85 522 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,202 199,192,703.08 100 7.972 358.1 1.9 360 5.38 90.05 90.16 615.7
Min.: 4.750 Max: 12.250 NZWA: 7.972 5. Rate (Fix)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate (Fix) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 5.501 - 6.000 3 1,575,185.92 9.86 5.95 293.9 2.2 296.1 0 83.77 88.43 707.1 6.001 - 6.500 1 404,534.96 2.53 6.375 359 1 360 0 90 90 739 6.501 - 7.000 11 2,410,621.87 15.08 6.785 272.2 1.8 274 0 85.73 85.73 672.7 7.001 - 7.500 15 3,596,139.02 22.5 7.377 305.8 1.5 307.2 0 87.03 87.03 644.3 7.501 - 8.000 17 3,002,391.06 18.79 7.81 314.6 1.7 316.3 0 89.21 89.21 656.9 8.001 - 8.500 12 1,842,032.54 11.53 8.316 315.8 1.6 317.4 0 86.93 86.93 620.2 8.501 - 9.000 12 1,615,436.14 10.11 8.838 317.4 1.9 319.3 0 88.35 88.35 598.9 9.001 - 9.500 6 426,030.50 2.67 9.324 345.6 1.6 347.2 0 91.65 91.65 614.6 9.501 - 10.000 7 622,649.30 3.9 9.88 319.7 1.8 321.5 0 90.23 91.3 579.2 10.001 - 10.500 2 223,259.81 1.4 10.375 358.7 1.3 360 0 86.57 86.57 555.7 10.501 - 11.000 3 90,066.23 0.56 10.83 208.3 2.4 210.7 0 88.55 90.4 567.6 11.001 - 11.500 3 115,074.59 0.72 11.413 358 2 360 0 87.31 88.83 552 11.501 - 12.000 1 59,377.86 0.37 11.625 358 2 360 0 85 85 558 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 93 15,982,799.80 100 7.714 307.2 1.7 308.9 0 87.36 87.89 646.2
Min.: 5.950 Max: 11.625 NZWA: 7.714 6. Rate Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Fixed 93 15,982,799.80 7.43 7.714 307.2 1.7 308.9 0 87.36 87.89 646.2 Adjustable 1,202 199,192,703.08 92.57 7.972 358.1 1.9 360 5.38 90.05 90.16 615.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
7. Product Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Product Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2/28 ARM (Libor) 1,154 188,745,077.02 87.72 7.993 358.2 1.8 360 5.397 90.14 90.26 614.2 Fixed Rate 81 12,736,652.29 5.92 7.873 340.1 1.7 341.8 0 87.59 88.24 635.5 1 Year ARM 30 5,984,836.46 2.78 7.834 357 3 360 5.204 88.44 88.44 626 3/27 ARM (Libor) 18 4,462,789.60 2.07 7.249 357.9 2.1 360 4.913 88.22 88.22 665.2 Balloon 12 3,246,147.51 1.51 7.092 178.1 1.9 180 0 86.46 86.51 688.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
8. Original Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 169 - 192 25 4,534,177.73 2.11 7.481 178 2 180 0 86.93 86.97 670.8 337 - 360 1,270 210,641,325.15 97.89 7.963 358.1 1.9 360 5.38 89.91 90.06 616.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
Min.: 180.0 Max.: 360.0 NZWA: 356.2 9. Stated Remaining Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Stated Remaining Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 169 - 180 25 4,534,177.73 2.11 7.481 178 2 180 0 86.93 86.97 670.8 349 - 360 1,270 210,641,325.15 97.89 7.963 358.1 1.9 360 5.38 89.91 90.06 616.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
Min.: 175.0 Max: 359.0 NZWA: 354.3 10. Seasoning
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Seasoning Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 24-Jan 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
Min.: 1.0 Max: 7.0 WA: 1.9 11. First Payment Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico First Payment Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2005 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
12. Maturity Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Maturity Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2020 25 4,534,177.73 2.11 7.481 178 2 180 0 86.93 86.97 670.8 2035 1,270 210,641,325.15 97.89 7.963 358.1 1.9 360 5.38 89.91 90.06 616.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
13. Lien Position
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Lien Position Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 1st Lien 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
14. Balloon
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Balloon Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Balloon 12 3,246,147.51 1.51 7.092 178.1 1.9 180 0 86.46 86.51 688.3 Fully Amortizing 1,283 211,929,355.37 98.49 7.966 357 1.9 358.9 5.38 89.9 90.05 616.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
15. IO Flag
Total NZWA NZWA No. of Current NZWA NZWA Full Fico IO Flag Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- No 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
16. IO Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico IO Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
17. FICO
Total NZWA NZWA No. of Current NZWA NZWA Full Fico FICO Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- <= 0 14 1,800,878.42 0.84 9.531 358.1 1.9 360 6.96 85.35 85.48 0 511 - 520 1 73,883.58 0.03 9.95 358 2 360 8.25 85 85 520 521 - 530 9 848,304.48 0.39 10.8 358 2 360 7.859 85 85.24 525 531 - 540 18 2,414,853.16 1.12 10.226 358.1 1.9 360 7.518 84.55 84.72 536.3 541 - 550 55 7,865,967.02 3.66 9.33 357 1.7 358.7 6.611 85.5 85.66 544.7 551 - 560 51 6,775,808.83 3.15 9.195 358.2 1.8 360 6.5 85.01 85.27 555.4 561 - 570 95 15,997,939.91 7.43 8.553 357.9 1.9 359.8 5.872 88.05 88.19 565.3 571 - 580 93 15,223,333.60 7.07 8.506 356.6 1.8 358.4 5.982 88.66 88.86 575.4 581 - 590 102 15,452,899.79 7.18 8.217 355 2 357 5.591 89.42 89.49 585.2 591 - 600 100 16,733,987.81 7.78 8.223 358 2 360 5.497 90.02 90.14 596.1 601 - 610 149 22,767,439.38 10.58 8.005 357.2 1.8 359 5.327 91.35 91.37 606.1 611 - 620 88 14,801,255.60 6.88 7.816 356.1 1.8 358 5.275 91.15 91.33 615.2 621 - 630 103 17,326,303.10 8.05 7.799 357.9 1.7 359.6 5.219 92.17 92.17 626 631 - 640 87 14,692,866.10 6.83 7.393 354.8 1.9 356.7 4.853 89.12 89.12 635.5 641 - 650 69 13,008,630.95 6.05 7.524 347.7 1.7 349.5 4.926 90.85 91.09 644.9 651 - 660 59 8,638,916.74 4.01 7.598 354.8 1.8 356.7 4.958 92.06 92.08 655.2 661 - 670 64 12,406,940.27 5.77 7.006 348.8 1.7 350.5 4.568 90.03 90.03 665.5 671 - 680 42 7,892,479.31 3.67 7.178 347.9 2 349.9 4.55 91.46 92.14 675.2 681 - 690 24 4,416,023.69 2.05 7.347 350.3 2 352.3 4.676 90.91 90.91 684.6 691 - 700 25 6,122,038.32 2.85 7.108 357.4 2.1 359.5 4.764 91.34 92.54 694.8 701 - 710 10 1,941,443.78 0.9 7.532 358.1 1.9 360 4.844 93.3 93.3 704.5 711 - 720 12 2,638,588.17 1.23 7.123 357.8 2.2 360 4.262 88.76 88.76 714.8 721 - 730 7 1,229,484.58 0.57 6.627 357.7 2.3 360 4.56 91.9 91.9 724.6 731 - 740 4 1,440,795.42 0.67 6.014 307.1 1.7 308.8 3.831 88.14 88.14 733.9 741 - 750 4 708,935.63 0.33 6.805 299.6 2.7 302.3 4.083 87.11 87.11 745.5 751 - 760 3 966,664.15 0.45 6.283 253.9 2 255.9 4.25 85.89 85.89 752.8 761 - 770 4 370,605.81 0.17 6.939 337.6 1.4 339 4.375 89.06 89.06 765.1 771 - 780 2 498,309.87 0.23 6.974 358 2 360 4.1 89.91 89.91 771.4 791 - 800 1 119,925.41 0.06 8.375 359 1 360 5.375 100 100 796 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
Nzmin.: 520 Max.: 796 NZWA.: 618 Loans with Fico scores less than 400 have been eliminated from the average. 18. Credit Grade
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Credit Grade Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Y2 48 4,866,538.03 2.26 10.929 358.1 1.9 360 7.982 84.93 85.24 543 Y3 92 13,064,091.48 6.07 9.241 357.4 1.8 359.2 6.587 84.69 84.91 548.9 Y4 269 42,065,962.42 19.55 8.567 357.4 1.9 359.4 5.935 88.3 88.45 579.5 Y5 159 25,046,205.63 11.64 8.129 356.2 2 358.2 5.473 89.94 90 589 Y6 235 38,402,510.63 17.85 7.863 357.2 1.8 358.9 5.247 91.33 91.41 610.8 Y7 196 34,061,028.08 15.83 7.587 356.2 1.8 358 5.054 91.46 91.46 634.6 Y8 117 20,537,220.45 9.54 7.515 350.2 1.8 351.9 4.845 91.02 91.17 649.1 Y9 179 37,131,946.16 17.26 6.965 345.7 2 347.7 4.461 90.35 90.69 687.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
19. Prepayment Penalty
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Prepayment Penalty Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- <= 0.000 304 60,581,643.81 28.15 8.351 355.5 2 357.5 5.692 89.17 89.41 613.1 1.001 - 2.000 903 138,578,729.30 64.4 7.825 358.2 1.8 360 5.268 90.38 90.5 616 2.001 - 3.000 88 16,015,129.77 7.44 7.554 316.9 1.7 318.7 4.788 87.8 87.86 653.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
WA: 1.511 NZWA: 2.104 20. Existing MI (1st lien and LTV gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Existing MI (1st lien and LTV gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Yes 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
21. Existing MI Company (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Existing MI Company (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 6- Mortgage Guaranty Insurance Corp. 41 7,945,473.45 3.69 7.832 357.8 2.2 360 5.224 88.42 88.42 615.5 11- PMI 205 33,712,456.65 15.67 7.959 354.3 1.9 356.3 5.369 90.11 90.28 617.8 12- United Guaranty Residential Ins. Corp. 206 35,077,646.00 16.3 8.052 356.5 2.1 358.6 5.371 89.95 90.22 616.1 13- Republic Mortgage Insurance Corp. 333 53,499,849.07 24.86 8.07 355.1 1.4 356.5 5.522 89.99 90.03 610.1 24- Triad Guaranty Insurance Company 205 32,050,780.95 14.9 7.904 352.5 1.9 354.4 5.391 90.45 90.57 628.6 33- Amerin Guaranty Corp. 305 52,889,296.76 24.58 7.813 352.7 2 354.7 5.262 89.33 89.51 621.5 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
22. Purchased MI (1st lien and LTV gt 80) 23. Purchased MI Company (1st and ltv gt 80) 24. Total MI Flag (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Total MI Flag (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Y 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
25. Total MI Company (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Total MI Company (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 11- PMI 205 33,712,456.65 15.67 7.959 354.3 1.9 356.3 5.369 90.11 90.28 617.8 12- United Guaranty Residential Ins. Corp. 206 35,077,646.00 16.3 8.052 356.5 2.1 358.6 5.371 89.95 90.22 616.1 13- Republic Mortgage Insurance Corp. 333 53,499,849.07 24.86 8.07 355.1 1.4 356.5 5.522 89.99 90.03 610.1 24- Triad Guaranty Insurance Company 205 32,050,780.95 14.9 7.904 352.5 1.9 354.4 5.391 90.45 90.57 628.6 33- Amerin Guaranty Corp. 305 52,889,296.76 24.58 7.813 352.7 2 354.7 5.262 89.33 89.51 621.5 6- Mortgage Guaranty Insurance Corp. 41 7,945,473.45 3.69 7.832 357.8 2.2 360 5.224 88.42 88.42 615.5 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
26. Original CLTV (Calc)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original CLTV (Calc) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 80.01 - 85.00 390 68,098,462.77 31.65 7.831 351.8 1.9 353.7 5.331 84.27 84.61 605.8 85.01 - 90.00 534 91,461,247.44 42.51 7.873 354.1 1.9 355.9 5.315 89.71 89.79 615.2 90.01 - 95.00 205 31,521,564.54 14.65 8.029 357.7 1.8 359.6 5.396 94.66 94.69 635.4 95.01 - 100.00 166 24,094,228.13 11.2 8.503 358.1 1.8 359.9 5.715 99.85 99.85 639.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
Min.: 80.03 Max: 100.00 WA: 89.85 *Includes Senior balances if any. 27. Current LTV (Calc)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Current LTV (Calc) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 75.01 - 80.00 2 356,570.68 0.17 6.457 358.7 1.3 360 4 80.07 80.07 645.1 80.01 - 85.00 389 68,004,921.68 31.6 7.832 351.8 1.9 353.7 5.338 84.29 84.63 605.5 85.01 - 90.00 533 91,198,217.85 42.38 7.877 354 1.9 355.9 5.314 89.72 89.8 615.3 90.01 - 95.00 205 31,521,564.54 14.65 8.029 357.7 1.8 359.6 5.396 94.66 94.69 635.4 95.01 - 100.00 166 24,094,228.13 11.2 8.503 358.1 1.8 359.9 5.715 99.85 99.85 639.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
NZMin.: 79.95 Max: 99.96 NZWA: 89.72 28. Property Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Property Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Single Family 1,212 199,319,609.76 92.63 7.964 354.1 1.8 355.9 5.395 89.82 89.96 616.9 Condo 58 9,969,239.58 4.63 8.01 357.9 2.1 360 5.32 90.9 91.2 621.3 2-4 Family 25 5,886,653.54 2.74 7.477 358 2 360 4.973 89.14 89.21 651.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
29. Loan Purpose
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Loan Purpose Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Cash Out Refinance 611 114,034,566.05 53 7.611 354.1 1.9 356 5.183 87.95 88.09 617.2 Purchase 603 88,700,879.38 41.22 8.405 355.7 1.8 357.5 5.63 92.35 92.53 616.9 Rate/Term Refinance 81 12,440,057.45 5.78 7.861 347 2 348.9 5.26 89.37 89.37 633.4 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
30. Occupancy Status
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Occupancy Status Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Primary Home 1,281 213,279,227.51 99.12 7.96 354.3 1.9 356.2 5.388 89.89 90.04 617.7 Second Home 14 1,896,275.37 0.88 7.182 357.8 2.2 360 4.536 85 85 655.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
31. Loan Documentation
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Loan Documentation Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Full 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
32. State (Top 30)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico State (Top 30) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- CA-S 54 16,446,316.98 7.64 7.151 348.3 2 350.3 4.865 88.22 88.22 628.2 FL 66 14,410,128.01 6.7 7.742 355.5 1.8 357.3 5.307 91.18 91.25 617.2 IL 94 13,024,481.13 6.05 8.28 358.2 1.8 360 5.347 90.43 90.52 612 AZ 65 11,624,668.74 5.4 7.841 358.2 1.8 360 5.279 89.64 89.64 624.1 MD 47 11,422,557.90 5.31 7.926 358.2 1.8 360 5.318 90.96 90.96 615.2 NY 45 9,031,290.67 4.2 7.599 357.3 2.1 359.4 5.069 88.97 89.9 633.7 MN 50 8,056,296.90 3.74 7.861 354.1 1.9 356 5.267 88.72 88.72 616.9 NJ 31 7,979,788.04 3.71 8.283 352.1 2.1 354.2 5.72 91.13 91.13 610.7 TX 66 7,955,268.49 3.7 8.057 338.7 1.7 340.3 5.498 90.78 91.03 629.7 PA 55 7,561,032.01 3.51 8.094 358.1 1.9 360 5.498 91.34 91.34 611.1 CA-N 23 7,232,795.83 3.36 7.012 351.4 1.9 353.3 4.818 87.64 87.64 630.6 GA 41 6,862,983.84 3.19 8.039 358.2 1.8 360 5.599 87.26 87.47 595.3 VA 25 5,986,548.40 2.78 7.648 358.3 1.7 360 5.424 89.31 89.31 617.8 IA 56 5,702,858.73 2.65 8.414 358.2 1.8 360 5.61 89.58 89.58 612.2 NC 36 5,534,003.48 2.57 8.137 358 2 360 5.37 89.81 90.43 626.9 WI 37 5,210,045.08 2.42 7.954 355.8 1.8 357.6 5.235 90.81 91.51 630.9 OH 40 5,200,068.02 2.42 8.542 358.4 1.6 360 5.665 90.71 90.71 610.7 WA 27 5,139,446.76 2.39 7.548 351.6 1.8 353.3 4.992 90.35 90.35 627.8 CO 20 4,746,995.13 2.21 7.531 358.2 1.8 360 5.155 89.48 89.76 618.4 NV 17 4,240,931.96 1.97 7.408 350.8 2.3 353.2 4.83 88.01 88.01 628.6 AK 18 4,030,845.35 1.87 7.714 358.1 1.9 360 5.287 90.1 90.92 615.9 MO 38 4,023,230.15 1.87 8.272 345.4 1.9 347.3 5.758 89.96 89.96 605.1 MA 12 3,930,138.10 1.83 8.145 358.1 1.9 360 5.897 87.23 87.23 609.2 DE 17 3,720,688.78 1.73 8.149 358 2 360 5.645 90.14 90.14 601.3 MI 33 3,676,412.97 1.71 8.628 358.2 1.8 360 5.75 92.26 92.26 609.5 IN 36 3,465,953.16 1.61 8.664 357.3 1.8 359.1 5.709 88.63 88.63 609.4 OR 10 2,445,111.04 1.14 7.485 341.1 2.1 343.3 4.784 90.01 90.01 638.4 KS 22 2,398,978.55 1.11 8.35 353.5 1.8 355.2 5.481 91.26 92.19 616.4 NE 23 2,231,512.03 1.04 8.908 349.1 1.9 351 5.683 87.6 87.6 615 AR 25 2,040,417.50 0.95 8.41 354.9 2 356.9 5.789 91.33 91.54 608.8 Other 166 19,843,709.15 9.22 8.511 352.1 1.8 353.9 5.785 90.62 90.78 612 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
33. Top 10 Zip Code Concentrations
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Top 10 Zip Code Concentrations Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 92392 4 1,185,508.56 0.55 6.813 358 2 360 4.453 87.5 87.5 623 89506 4 1,094,579.99 0.51 7.51 357.8 2.2 360 5.102 84.36 84.36 628.9 93312 3 1,013,658.39 0.47 7.256 358.4 1.6 360 4.975 90.8 90.8 668.3 99709 2 800,374.24 0.37 7.792 358 2 360 5.542 93.32 93.32 592.6 19702 2 780,459.51 0.36 8.359 358.4 1.6 360 5.531 95 95 603.3 34210 5 771,881.40 0.36 7.866 358 2 360 5.293 95.58 96.76 641 93722 2 738,932.00 0.34 6.728 358.4 1.6 360 4.706 90.53 90.53 652.4 8854 2 726,551.81 0.34 7.783 358 2 360 5.434 86.53 86.53 589 20772 2 716,227.65 0.33 7.533 358.5 1.5 360 5.058 91.53 91.53 610.6 20774 2 705,768.55 0.33 7.939 358 2 360 5.438 92.51 92.51 604.5 Other 1,267 206,641,560.78 96.03 7.971 354.2 1.9 356.1 5.391 89.83 89.97 617.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
34. Index
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Index Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 6 Month Libor (Wall St) 1,172 193,207,866.62 97 7.976 358.2 1.8 360 5.385 90.1 90.22 615.4 1 Year CMT (Weekly) 30 5,984,836.46 3 7.834 357 3 360 5.204 88.44 88.44 626 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,202 199,192,703.08 100 7.972 358.1 1.9 360 5.38 90.05 90.16 615.7
35. Floor
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Floor Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2.501 - 3.000 1 313,525.61 0.16 6.375 355 5 360 2.625 90 90 678 3.001 - 3.500 5 1,455,051.00 0.73 5.667 358 2 360 3.436 83.43 85.24 702 3.501 - 4.000 41 9,580,206.58 4.81 6.387 357.5 2.5 360 3.882 85.24 85.52 658.2 4.001 - 4.500 114 26,583,908.86 13.35 6.843 358 2 360 4.333 87.28 87.39 652.8 4.501 - 5.000 198 39,721,055.83 19.94 7.282 358.2 1.8 360 4.822 89.7 89.74 633 5.001 - 5.500 234 39,105,751.97 19.63 7.924 358.1 1.9 360 5.335 91.37 91.47 616.2 5.501 - 6.000 259 37,973,403.48 19.06 8.543 358.2 1.8 360 5.811 93.15 93.21 605.2 6.001 - 6.500 220 30,004,297.93 15.06 8.888 358.2 1.8 360 6.285 91.06 91.13 581.7 6.501 - 7.000 85 9,573,419.97 4.81 9.539 358.3 1.7 360 6.779 86.75 86.98 559.4 7.001 - 7.500 3 315,061.52 0.16 10.317 358.2 1.8 360 7.207 85 86.74 544.1 7.501 - 8.000 23 2,164,109.59 1.09 10.851 358.3 1.7 360 7.866 85 85.4 546.5 8.001 - 8.500 19 2,402,910.74 1.21 10.959 358.1 1.9 360 8.263 84.86 85.13 536.4 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,202 199,192,703.08 100 7.972 358.1 1.9 360 5.38 90.05 90.16 615.7
NZWA: 5.380 Min.: 2.625 Max.: 8.500 36. Margin
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Margin Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2.501 - 3.000 1 313,525.61 0.16 6.375 355 5 360 2.625 90 90 678 3.001 - 3.500 5 1,455,051.00 0.73 5.667 358 2 360 3.436 83.43 85.24 702 3.501 - 4.000 41 9,580,206.58 4.81 6.387 357.5 2.5 360 3.882 85.24 85.52 658.2 4.001 - 4.500 114 26,583,908.86 13.35 6.843 358 2 360 4.333 87.28 87.39 652.8 4.501 - 5.000 198 39,721,055.83 19.94 7.282 358.2 1.8 360 4.822 89.7 89.74 633 5.001 - 5.500 234 39,105,751.97 19.63 7.924 358.1 1.9 360 5.335 91.37 91.47 616.2 5.501 - 6.000 259 37,973,403.48 19.06 8.543 358.2 1.8 360 5.811 93.15 93.21 605.2 6.001 - 6.500 220 30,004,297.93 15.06 8.888 358.2 1.8 360 6.285 91.06 91.13 581.7 6.501 - 7.000 85 9,573,419.97 4.81 9.539 358.3 1.7 360 6.779 86.75 86.98 559.4 7.001 - 7.500 3 315,061.52 0.16 10.317 358.2 1.8 360 7.207 85 86.74 544.1 7.501 - 8.000 23 2,164,109.59 1.09 10.851 358.3 1.7 360 7.866 85 85.4 546.5 8.001 - 8.500 19 2,402,910.74 1.21 10.959 358.1 1.9 360 8.263 84.86 85.13 536.4 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,202 199,192,703.08 100 7.972 358.1 1.9 360 5.38 90.05 90.16 615.7
WA: 5.380 Min.: 2.625 Max.: 8.500 37. Initial Periodic Rate Cap
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Initial Periodic Rate Cap Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 1.50001 - 2.00000 30 5,984,836.46 3 7.834 357 3 360 5.204 88.44 88.44 626 2.50001 - 3.00000 1,172 193,207,866.62 97 7.976 358.2 1.8 360 5.385 90.1 90.22 615.4 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,202 199,192,703.08 100 7.972 358.1 1.9 360 5.38 90.05 90.16 615.7
Min.: 2.000 Max.: 3.000 NZWA: 2.970 38. Periodic Rate Cap
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Periodic Rate Cap Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 0.50001 - 1.00000 1,172 193,207,866.62 97 7.976 358.2 1.8 360 5.385 90.1 90.22 615.4 1.50001 - 2.00000 30 5,984,836.46 3 7.834 357 3 360 5.204 88.44 88.44 626 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,202 199,192,703.08 100 7.972 358.1 1.9 360 5.38 90.05 90.16 615.7
Min.: 1.000 Max.: 2.000 NZWA: 1.030 39. Maximum Rate
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Maximum Rate Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 10.50001 - 11.00000 1 251,364.62 0.13 4.75 358 2 360 3.875 84 84 666 11.00001 - 11.50000 3 1,245,522.86 0.63 5.278 357.5 2.5 360 3.672 83.08 83.08 707.6 11.50001 - 12.00000 25 6,220,528.98 3.12 5.879 358 2 360 4.209 87.41 87.86 655.3 12.00001 - 12.50000 65 16,881,488.95 8.47 6.36 358.1 1.9 360 4.437 87.21 87.47 644 12.50001 - 13.00000 102 24,104,056.48 12.1 6.828 358.1 1.9 360 4.596 88.63 88.63 645 13.00001 - 13.50000 136 27,993,177.06 14.05 7.328 358.1 1.9 360 4.997 89.41 89.46 623.3 13.50001 - 14.00000 179 33,081,041.62 16.61 7.828 358.1 1.9 360 5.272 91.06 91.19 620 14.00001 - 14.50000 175 26,359,761.00 13.23 8.315 358.2 1.8 360 5.628 91.75 91.79 608 14.50001 - 15.00000 195 29,263,388.49 14.69 8.808 358.2 1.8 360 5.933 90.91 91.07 594.3 15.00001 - 15.50000 124 15,137,609.85 7.6 9.257 358.1 1.9 360 6.012 92.94 93.01 595.6 15.50001 - 16.00000 94 10,174,151.99 5.11 9.808 358.1 1.9 360 6.484 90.19 90.25 581.1 16.00001 - 16.50000 58 4,712,752.74 2.37 10.235 358.4 1.6 360 6.738 89.19 89.52 568 16.50001 - 17.00000 20 1,559,317.81 0.78 10.796 358.5 1.5 360 7.462 85.66 86.01 547.4 17.00001 - 17.50000 13 870,776.06 0.44 11.3 357.8 2.2 360 7.85 84.94 85.93 550.7 17.50001 - 18.00000 11 1,267,233.67 0.64 11.808 358.2 1.8 360 8.065 84.94 84.94 549.6 18.00001 - 18.50000 1 70,530.90 0.04 12.25 359 1 360 7.75 85 85 522 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,202 199,192,703.08 100 7.972 358.1 1.9 360 5.38 90.05 90.16 615.7
Min.: 10.750 Max.: 18.250 NZWA: 13.972 40. Next Rate Adjustment Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Next Rate Adjustment Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- 2006-05 1 156,877.69 0.08 8.95 353 7 360 5.125 90 90 617 2006-07 1 160,842.27 0.08 7.875 355 5 360 4.125 95 95 652 2006-08 7 1,513,220.06 0.76 7.158 356 4 360 5.007 89.26 89.26 640.9 2006-09 11 2,088,627.65 1.05 8.074 357 3 360 5.262 88.61 88.61 620.8 2006-10 8 1,559,744.93 0.78 7.778 358 2 360 5.068 86.07 86.07 633.4 2006-11 2 505,523.86 0.25 8.685 359 1 360 6.339 90 90 574.2 2007-05 1 160,444.38 0.08 7.95 353 7 360 3.875 100 100 680 2007-06 7 1,242,702.41 0.62 7.69 354 6 360 4.203 88.35 88.35 581.4 2007-07 5 658,400.52 0.33 7.44 355 5 360 3.546 91.65 91.65 645.2 2007-08 11 1,607,633.80 0.81 7.968 356 4 360 5.032 90.85 90.85 602.3 2007-09 32 6,186,466.18 3.11 7.661 357 3 360 5.225 89.44 89.44 611.6 2007-10 792 130,745,067.31 65.64 7.985 358 2 360 5.388 90.09 90.24 615.2 2007-11 306 48,144,362.42 24.17 8.075 359 1 360 5.514 90.35 90.42 612.6 2008-09 2 789,647.74 0.4 6.538 357 3 360 4.197 82.49 82.49 705 2008-10 13 3,266,788.78 1.64 7.402 358 2 360 5.061 89.15 89.15 655.9 2008-11 3 406,353.08 0.2 7.396 359 1 360 5.11 91.87 91.87 662.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,202 199,192,703.08 100 7.972 358.1 1.9 360 5.38 90.05 90.16 615.7
41. Custodian
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Custodian Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- WELLS FARGO BANK, N.A. 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
42. Originator
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Originator Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- WELLS FARGO BANK, N.A. 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
43. Servicer
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Servicer Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- WELLS FARGO BANK, N.A. 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ------ ----- ------ ----- Total: 1,295 215,175,502.88 100 7.953 354.3 1.9 356.2 5.38 89.85 89.99 618
The issuer has filed a registration statement (including a prospectus) with the U.S. Securities and Exchange Commission (SEC) for this offering. Before you invest, you should read the prospectus for this offering in that registration statement (which prospectus you may get for free by visiting the web site at http://www.lehman.com/pub/sasco), and other documents the issuer has filed with the SEC (including any related free-writing prospectus, preliminary prospectus supplement or preliminary pricing supplement, as applicable), for more complete information about the issuer. You may get these documents, as well as the final prospectus, prospectus supplement or pricing supplement (when completed), as applicable (such preliminary and final documentation together, the Offer Documentation), for free by searching the SEC online database (EDGAR(R)) at www.sec.gov. Alternatively, you may obtain a copy of the Offer Documentation from Lehman Brothers Inc., 745 Seventh Ave., New York, NY, 10019, Attn: Asset Backed Fixed Income Syndicate or by calling 212 526 7000. The issuer has filed a registration statement (including a prospectus) with the U.S. Securities and Exchange Commission (SEC) for this offering. Before you invest, you should read the prospectus for this offering in that registration statement (which prospectus you may get for free by visiting the web site at http://www.lehman.com/pub/sasco), and other documents the issuer has filed with the SEC (including any related free-writing prospectus, preliminary prospectus supplement or preliminary pricing supplement, as applicable), for more complete information about the issuer. You may get these documents, as well as the final prospectus, prospectus supplement or pricing supplement (when completed), as applicable (such preliminary and final documentation together, the Offer Documentation), for free by searching the SEC online database (EDGAR(R)) at www.sec.gov. Alternatively, you may obtain a copy of the Offer Documentation from Lehman Brothers Inc., 745 Seventh Ave., New York, NY, 10019, Attn: Asset Backed Fixed Income Syndicate or by calling 212 526 7000. We need these matrices in addition to Arm, Fix, and IO strats * Percentages of aggregrate deal, will not add up to 100 for each table. Aggregate Loans (First Lien Only)
FICO % of total deal Avg CLTV Max CLTV % Full Doc % Owner Occ % IO WAC MARGIN % Second Lien (Simultaneous or Silent) - ------- --------------- -------- -------- ---------- ----------- ----- ----- ------ -------------------------------------- <520 1.92 69 95 100.00 97.94 0.00 9.386 6.815 2.42 520-539 3.22 71.29 93.22 100.00 97.29 0.00 9.132 6.546 0.71 540-559 5.54 72.65 95 100.00 95.49 0.00 8.502 5.874 1.25 560-579 8.35 76.59 90 100.00 98.14 0.00 7.762 5.167 3.20 580-599 14.00 79.22 100 100.00 97.02 16.46 7.492 4.802 36.37 600-619 16.33 80.49 100 100.00 97.87 21.32 7.208 4.64 35.60 620-639 15.02 80.19 100 100.00 98.11 25.62 7.072 4.493 40.04 640-659 12.97 80.07 100 100.00 98.09 29.43 6.808 4.21 46.69 660-679 9.73 79.58 100 100.00 96.00 24.31 6.538 3.976 45.00 680-699 5.44 80.38 100 100.00 96.74 21.42 6.526 3.991 43.86 700-719 2.82 79.13 100 100.00 95.57 30.62 6.405 3.814 50.84 720-739 2.52 78.71 100 100.00 97.44 30.06 6.089 3.601 53.14 740-759 1.25 78.48 95 100.00 99.80 22.04 6.114 3.605 67.10 760-779 0.57 79.57 93.88 100.00 83.44 20.41 6.269 3.712 38.82 780-800 0.30 71.36 100 100.00 93.89 30.34 6.199 3.911 30.55 800+ 0.04 80 80 100.00 100.00 20.52 6.151 4.375 100.00
Aggregate Loans (Second Lien Only)
FICO % of total deal Avg CLTV Max CLTV % Full Doc % Owner Occ % IO WAC MARGIN % Second Lien (Simultaneous or Silent) - ------- --------------- -------- -------- ---------- ----------- ----- ----- ------ -------------------------------------- <= 519 520-539 560-579 580-599 600-619 620-639 640-659 660-679 680-699 700-719 720-739 740-759 760-779 780-799 800>=
Second Lien Loans - ----------------- --- - - - - - - - - FRM % 0 ARM % 0 IO Loans
FICO % of total deal Avg CLTV Max CLTV % Full Doc % Owner Occ % IO WAC MARGIN % Second Lien (Simultaneous or Silent) - ------- --------------- -------- -------- ---------- ----------- ----- ----- ------ -------------------------------------- <520 520-539 540-559 560-579 580-599 2.30 79.22 90 100.00 100.00 100 7.251 4.74 57.67 600-619 3.48 79.79 95 100.00 100.00 100 6.982 4.62 42.76 620-639 3.85 80.77 95 100.00 100.00 100 6.966 4.58 51.44 640-659 3.82 80.56 95 100.00 99.70 100 6.641 4.30 57.47 660-679 2.36 78.52 95 100.00 98.11 100 6.352 3.92 65.98 680-699 1.16 81.54 95 100.00 100.00 100 6.311 4.02 66.23 700-719 0.86 80.71 95 100.00 100.00 100 6.021 3.94 61.32 720-739 0.76 80.9 95 100.00 100.00 100 5.931 3.73 60.53 740-759 0.28 77.47 85 100.00 100.00 100 6.058 3.90 66 760-779 0.12 78.41 80 100.00 33.09 100 7.19 4.32 16.45 780-800 0.09 53.01 80 100.00 100.00 100 6.051 3.85 49.38 800+ 0.01 80 80 100.00 100.00 100 6.25 4.38 100
If the deal has deep MI - we want the following: *For Non-MI Loans-only By CLTV Bucket % of total deal Avg FICO %<550 FICO %full doc %non owner - -------------- --------------- -------- ---------- --------- ---------- <=50% CLTV 3.43 602.21 20.99 100.00 6.02 51%-60% 3.86 605.82 15.40 100.00 5.54 61%-70% 9.51 602.91 18.55 100.00 8.40 71%-80% 54.11 630.07 6.67 100.00 2.23 81%-85% 1.67 637.23 0.00 100.00 3.37 86%-90% 1.76 634.77 0.00 100.00 0.00 91%-95% 0.68 652.03 0.91 100.00 0.00 96%-100% 0.21 628.57 0.00 100.00 0.00 If the deal has Mortage Insurance - we want the following:
First Lien Loans: # of Mortgage Loans Prin. Balance % of Principal Balance WAC - --------------------- ------------------- --------------- ---------------------- ----- Less than 60.01% 397 $60,426,054.95 6.96 $7.22 60.01 to 70.00% 460 $80,958,780.65 9.32 $7.10 70.01 to 80.00% 2,561 $474,575,038.42 54.64 $6.92 80.01 to 85.00% With MI: 390 $68,098,462.77 7.84 $7.83 Without MI: 46 $14,527,781.32 1.67 $6.96 85.01 to 90.00% With MI: 534 $91,461,247.44 10.53 $7.87 Without MI: 47 $14,993,577.93 1.73 $7.10 90.01 to 95.00% With MI: 205 $31,521,564.54 3.63 $8.03 Without MI: 22 $6,148,301.51 0.71 $7.44 95.01 to 100.00% With MI: 166 $24,094,228.13 2.77 $8.50 Without MI: 13 $1,794,172.68 0.21 $8.56 Subtotal (First Lien) 4,841 $868,599,210.34 100.00 $7.22 First Lien Loans: %ARM FICO CLTV %Full Doc %Mortgage Insurance - --------------------- ------- ------ ---- --------- ------------------- Less than 60.01% 68.540 603.49 49 100 0 60.01 to 70.00% 81.300 601.23 67 100 0 70.01 to 80.00% 92.010 630.19 79 100 0 80.01 to 85.00% With MI: 88.250 605.79 84 100 6 Without MI: 97.840 637.23 84 100 0 85.01 to 90.00% With MI: 92.590 615.22 90 100 12 Without MI: 100.000 635.00 89 100 0 90.01 to 95.00% With MI: 97.240 635.44 95 100 16 Without MI: 100.000 650.74 94 100 0 95.01 to 100.00% With MI: 98.610 639.69 100 100 35 Without MI: 100.000 628.57 100 100 0 Subtotal (First Lien) 89.830 622.99 79 100 13.26
Lehman Brothers 3,546 records Balance: 653,423,707 WFHET 2005-4 Diana VDE May-98 NO MI Selection Criteria: NO MI Table of Contents 1. Current Balance 2. Original Balance 3. Rate 4. Rate (Arm) 5. Rate (Fix) 6. Rate Type 7. Product Type 8. Original Term 9. Stated Remaining Term 10. Seasoning 11. First Payment Date 12. Maturity Date 13. Lien Position 14. Balloon 15. IO Flag 16. IO Term 17. FICO 18. Credit Grade 19. Prepayment Penalty 20. Existing MI (1st lien and LTV gt 80) 21. Existing MI Company (1st and ltv gt 80) 22. Purchased MI (1st lien and LTV gt 80) 23. Purchased MI Company (1st and ltv gt 80) 24. Total MI Flag (1st and ltv gt 80) 25. Total MI Company (1st and ltv gt 80) 26. Original CLTV (Calc) 27. Current LTV (Calc) 28. Property Type 29. Loan Purpose 30. Occupancy Status 31. Loan Documentation 32. State (Top 30) 33. Top 10 Zip Code Concentrations 34. Index 35. Floor 36. Margin 37. Initial Periodic Rate Cap 38. Periodic Rate Cap 39. Maximum Rate 40. Next Rate Adjustment Date 41. Custodian 42. Originator 43. Servicer 1. Current Balance
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Current Balance Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 0.01 - 50,000.00 226 8,628,367.28 1.32 8.675 331.5 1.7 333.2 5.389 64.94 69.32 588.5 50,000.01 - 100,000.00 749 57,718,436.36 8.83 7.774 350.4 1.8 352.1 4.835 73.84 84.03 608.4 100,000.01 - 150,000.00 788 98,133,335.29 15.02 7.454 354.9 1.9 356.8 4.643 74.72 85.46 615.1 150,000.01 - 200,000.00 638 111,726,221.80 17.1 7.071 351.7 1.8 353.5 4.467 73.55 81.79 613.6 200,000.01 - 250,000.00 374 83,901,305.29 12.84 7.023 353.1 1.8 354.9 4.437 74.66 82.94 618.2 250,000.01 - 300,000.00 251 68,562,541.79 10.49 6.659 353.9 1.9 355.7 4.262 75.32 84.11 633.6 300,000.01 - 350,000.00 162 52,543,268.51 8.04 6.752 357 1.8 358.8 4.374 74.95 83.83 629.4 350,000.01 - 400,000.00 102 38,236,185.72 5.85 6.621 349.1 1.9 351.1 4.183 76.88 84.72 635.4 400,000.01 - 450,000.00 94 40,114,898.45 6.14 6.542 348.6 1.8 350.5 4.208 77.13 85.12 642.4 450,000.01 - 500,000.00 55 26,179,128.15 4.01 6.414 354.8 2 356.7 4.082 76.93 83.57 640.3 500,000.01 - 550,000.00 25 13,112,449.35 2.01 6.141 358.1 1.9 360 4.047 80.12 90.47 657.8 550,000.01 - 600,000.00 28 16,231,706.54 2.48 6.441 351.5 1.9 353.4 4.178 78.37 84.44 649.4 600,000.01 - 650,000.00 15 9,334,972.35 1.43 6.533 358.3 1.7 360 4.146 78.32 80.97 642.8 650,000.01 - 700,000.00 16 10,808,527.44 1.65 6.54 346.2 2.1 348.4 4.021 77.24 83.06 648.8 700,000.01 - 750,000.00 11 8,017,102.48 1.23 6.515 341.8 2.3 344.1 4.017 76.35 83.54 643.6 750,000.01 - 800,000.00 5 3,903,837.59 0.6 6.407 358.6 1.4 360 3.996 78.18 80.38 619.6 800,000.01 - 850,000.00 2 1,645,213.44 0.25 6.997 357 3 360 3.687 72.51 80.03 609.6 850,000.01 - 900,000.00 2 1,773,217.47 0.27 5.254 358.5 1.5 360 3.001 72.8 90 698.2 900,000.01 - 950,000.00 2 1,889,108.08 0.29 6.313 359 1 360 3.999 67.19 67.19 607.7 950,000.01 - 1,000,000.00 1 963,884.08 0.15 5.625 357 3 360 0 61.4 61.4 679 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
Min.: 11,770.81 Max: 963,884.08 Avg.: 184,270.65 2. Original Balance
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original Balance Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 1 - 50,000 226 8,628,367.28 1.32 8.675 331.5 1.7 333.2 5.389 64.94 69.32 588.5 50,001 - 100,000 748 57,618,464.46 8.82 7.774 350.4 1.8 352.1 4.836 73.84 84.05 608.3 100,001 - 150,000 770 95,401,281.45 14.6 7.467 355.6 1.9 357.5 4.638 75.15 86.13 615.2 150,001 - 200,000 656 114,421,291.08 17.51 7.072 351.1 1.8 352.9 4.477 73.23 81.33 613.5 200,001 - 250,000 358 79,909,941.21 12.23 7.019 352.8 1.8 354.6 4.435 75.27 83.9 619 250,001 - 300,000 268 72,690,862.33 11.12 6.681 354.1 1.9 356 4.273 74.6 82.96 631.9 300,001 - 350,000 162 52,543,268.51 8.04 6.752 357 1.8 358.8 4.374 74.95 83.83 629.4 350,001 - 400,000 98 36,637,934.41 5.61 6.623 350.7 2 352.7 4.18 77.61 85.79 635.4 400,001 - 450,000 98 41,713,149.76 6.38 6.544 347.3 1.8 349.1 4.211 76.48 84.17 642.1 450,001 - 500,000 55 26,179,128.15 4.01 6.414 354.8 2 356.7 4.082 76.93 83.57 640.3 500,001 - 550,000 24 12,562,703.77 1.92 6.213 358.1 1.9 360 4.098 80.12 90.05 652.9 550,001 - 600,000 29 16,781,452.12 2.57 6.378 351.7 1.9 353.6 4.131 78.43 84.95 653.4 600,001 - 650,000 15 9,334,972.35 1.43 6.533 358.3 1.7 360 4.146 78.32 80.97 642.8 650,001 - 700,000 16 10,808,527.44 1.65 6.54 346.2 2.1 348.4 4.021 77.24 83.06 648.8 700,001 - 750,000 11 8,017,102.48 1.23 6.515 341.8 2.3 344.1 4.017 76.35 83.54 643.6 750,001 - 800,000 5 3,903,837.59 0.6 6.407 358.6 1.4 360 3.996 78.18 80.38 619.6 800,001 - 850,000 2 1,645,213.44 0.25 6.997 357 3 360 3.687 72.51 80.03 609.6 850,001 - 900,000 2 1,773,217.47 0.27 5.254 358.5 1.5 360 3.001 72.8 90 698.2 900,001 - 950,000 2 1,889,108.08 0.29 6.313 359 1 360 3.999 67.19 67.19 607.7 950,001 - 1,000,000 1 963,884.08 0.15 5.625 357 3 360 0 61.4 61.4 679 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
Min.: 15,000 Max: 967,000 Avg.: 184,570 3. Rate
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 3.001 - 3.500 1 217,907.40 0.03 3.5 354 6 360 2 72.85 72.85 683 4.001 - 4.500 4 1,103,574.56 0.17 4.455 358.3 1.7 360 3.394 79.13 96.33 730.9 4.501 - 5.000 19 6,453,511.79 0.99 4.879 357.9 2.1 360 3.335 75.45 86.44 697 5.001 - 5.500 81 22,445,930.20 3.44 5.388 355.2 2 357.2 3.545 76.57 89.85 674.9 5.501 - 6.000 310 84,609,800.38 12.95 5.851 350.4 2 352.3 3.73 75.38 85.62 662.5 6.001 - 6.500 551 133,569,170.22 20.44 6.329 352.7 1.8 354.5 3.949 74.94 83.57 641.7 6.501 - 7.000 742 149,875,723.33 22.94 6.803 350.4 1.8 352.2 4.237 75.22 84.68 627.4 7.001 - 7.500 626 105,548,186.65 16.15 7.313 354.4 1.8 356.2 4.493 76.36 85.58 618.9 7.501 - 8.000 452 61,371,217.29 9.39 7.801 355.6 1.9 357.4 4.732 75.24 83.87 601.3 8.001 - 8.500 277 35,323,128.39 5.41 8.298 356.1 1.8 357.9 5.39 73.72 79.85 581.8 8.501 - 9.000 164 21,384,883.74 3.27 8.821 352.6 1.7 354.3 6.142 71.11 72.7 554.9 9.001 - 9.500 106 11,077,123.20 1.7 9.307 350.4 1.8 352.2 6.561 70.19 71.03 545.7 9.501 - 10.000 105 11,304,840.85 1.73 9.788 346.8 1.8 348.6 6.686 71.19 71.33 542.5 10.001 - 10.500 49 4,519,743.32 0.69 10.343 340.6 1.8 342.4 6.959 73.58 73.58 540.9 10.501 - 11.000 40 3,673,957.66 0.56 10.801 354.2 2.2 356.3 7.1 75.17 75.64 527.8 11.001 - 11.500 15 769,566.10 0.12 11.234 352.2 1.5 353.8 7.433 68.13 68.13 528.6 11.501 - 12.000 4 175,442.38 0.03 11.668 358.3 1.7 360 7.486 59.78 59.78 518.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
Min.: 3.500 Max: 11.750 NZWA: 6.981 4. Rate (Arm)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate (Arm) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 3.001 - 3.500 1 217,907.40 0.04 3.5 354 6 360 2 72.85 72.85 683 4.001 - 4.500 4 1,103,574.56 0.19 4.455 358.3 1.7 360 3.394 79.13 96.33 730.9 4.501 - 5.000 19 6,453,511.79 1.11 4.879 357.9 2.1 360 3.335 75.45 86.44 697 5.001 - 5.500 80 22,091,727.58 3.8 5.389 358 2 360 3.545 76.83 90.33 675 5.501 - 6.000 277 75,015,481.15 12.91 5.849 358 2 360 3.73 76.33 87.46 660.2 6.001 - 6.500 484 116,690,203.74 20.08 6.329 358.2 1.8 360 3.949 75.75 85.17 637.2 6.501 - 7.000 643 130,406,183.86 22.44 6.801 358.2 1.8 360 4.237 76.65 86.86 625.5 7.001 - 7.500 548 93,891,890.66 16.16 7.314 358.2 1.8 360 4.493 77.38 87.41 618.6 7.501 - 8.000 407 56,073,239.09 9.65 7.801 358.1 1.9 360 4.732 75.33 84.19 599.5 8.001 - 8.500 251 32,992,513.72 5.68 8.299 358.2 1.8 360 5.39 74.07 80.08 578.4 8.501 - 9.000 137 18,869,549.80 3.25 8.824 358.2 1.8 360 6.142 71.61 73.2 550.2 9.001 - 9.500 84 9,638,666.31 1.66 9.304 358.1 1.9 360 6.561 70.81 71.61 541.6 9.501 - 10.000 84 9,485,338.53 1.63 9.774 358.1 1.9 360 6.686 72.83 73 537.2 10.001 - 10.500 35 3,699,298.16 0.64 10.336 358.1 1.9 360 6.959 76.13 76.13 539.6 10.501 - 11.000 38 3,599,067.54 0.62 10.803 357.8 2.2 360 7.1 75.91 76.39 527.3 11.001 - 11.500 12 625,339.89 0.11 11.21 358.7 1.3 360 7.433 70.49 70.49 526.1 11.501 - 12.000 4 175,442.38 0.03 11.668 358.3 1.7 360 7.486 59.78 59.78 518.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,108 581,028,936.16 100 6.976 358.1 1.9 360 4.409 75.92 85.1 622.4
Min.: 3.500 Max: 11.750 NZWA: 6.976 5. Rate (Fix)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate (Fix) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 5.001 - 5.500 1 354,202.62 0.49 5.375 178 2 180 0 60.17 60.17 668 5.501 - 6.000 33 9,594,319.23 13.25 5.863 290.3 1.9 292.2 0 67.93 71.23 680.7 6.001 - 6.500 67 16,878,966.48 23.32 6.331 314.8 1.8 316.6 0 69.33 72.47 673 6.501 - 7.000 99 19,469,539.47 26.89 6.821 298.2 2 300.1 0 65.71 70.11 639.8 7.001 - 7.500 78 11,656,295.99 16.1 7.31 323.4 1.9 325.3 0 68.17 70.86 621.1 7.501 - 8.000 45 5,297,978.20 7.32 7.794 328.4 1.9 330.3 0 74.31 80.45 619.8 8.001 - 8.500 26 2,330,614.67 3.22 8.274 326.4 1.8 328.2 0 68.82 76.53 628.9 8.501 - 9.000 27 2,515,333.94 3.47 8.795 310.1 1.5 311.6 0 67.39 68.88 589.3 9.001 - 9.500 22 1,438,456.89 1.99 9.324 298.4 1.4 299.8 0 66.03 67.13 572.9 9.501 - 10.000 21 1,819,502.32 2.51 9.862 287.7 1.7 289.4 0 62.6 62.6 570 10.001 - 10.500 14 820,445.16 1.13 10.377 261.6 1.4 263 0 62.09 62.09 547.4 10.501 - 11.000 2 74,890.12 0.1 10.683 178.5 1.5 180 0 39.67 39.67 549.4 11.001 - 11.500 3 144,226.21 0.2 11.34 324.1 2.6 326.7 0 57.9 57.9 539.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 438 72,394,771.30 100 7.017 307.3 1.9 309.1 0 67.85 71.41 642.2
Min.: 5.375 Max: 11.500 NZWA: 7.017 6. Rate Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Fixed 438 72,394,771.30 11.08 7.017 307.3 1.9 309.1 0 67.85 71.41 642.2 Adjustable 3,108 581,028,936.16 88.92 6.976 358.1 1.9 360 4.409 75.92 85.1 622.4 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
7. Product Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Product Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 2/28 ARM (Libor) 2,981 550,972,414.61 84.32 6.976 358.2 1.8 360 4.414 76 85.34 621.5 Fixed Rate 388 60,109,563.72 9.2 7.09 333.7 1.8 335.5 0 68.1 71.57 641.2 3/27 ARM (Libor) 63 16,676,829.44 2.55 6.632 357.9 2.1 360 4.39 75.97 81.07 648.1 1 Year ARM 64 13,379,692.11 2.05 7.409 356.8 3.2 360 4.231 72.72 80.49 628.3 Balloon 50 12,285,207.58 1.88 6.663 178 2 180 0 66.63 70.59 646.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
8. Original Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 169 - 192 138 20,459,498.74 3.13 6.977 178.1 1.9 180 0 64.62 67.22 638.7 337 - 360 3,408 632,964,208.72 96.87 6.981 358.1 1.9 360 4.409 75.37 84.11 624.2 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
Min.: 180.0 Max.: 360.0 NZWA: 354.4 9. Stated Remaining Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Stated Remaining Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 169 - 180 138 20,459,498.74 3.13 6.977 178.1 1.9 180 0 64.62 67.22 638.7 349 - 360 3,408 632,964,208.72 96.87 6.981 358.1 1.9 360 4.409 75.37 84.11 624.2 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
Min.: 175.0 Max: 359.0 NZWA: 352.5 10. Seasoning
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Seasoning Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 24-Jan 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
Min.: 1.0 Max: 7.0 WA: 1.9 11. First Payment Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico First Payment Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 2005 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
12. Maturity Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Maturity Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 2020 138 20,459,498.74 3.13 6.977 178.1 1.9 180 0 64.62 67.22 638.7 2035 3,408 632,964,208.72 96.87 6.981 358.1 1.9 360 4.409 75.37 84.11 624.2 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
13. Lien Position
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Lien Position Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 1st Lien 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
14. Balloon
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Balloon Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Balloon 50 12,285,207.58 1.88 6.663 178 2 180 0 66.63 70.59 646.9 Fully Amortizing 3,496 641,138,499.88 98.12 6.987 355.9 1.8 357.7 4.409 75.19 83.83 624.2 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
15. IO Flag
Total NZWA NZWA No. of Current NZWA NZWA Full Fico IO Flag Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- No 2,936 487,606,524.66 74.62 7.069 350.6 1.8 352.4 4.43 73.36 81.29 618.1 Yes 610 165,817,182.80 25.38 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
16. IO Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico IO Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 0 2,936 487,606,524.66 74.62 7.069 350.6 1.8 352.4 4.43 73.36 81.29 618.1 60 610 165,817,182.80 25.38 6.722 358.1 1.9 360 4.358 79.94 90.34 643.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
17. FICO
Total NZWA NZWA No. of Current NZWA NZWA Full Fico FICO Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- <= 0 13 1,245,901.00 0.19 8.006 358.1 1.9 360 5.433 67.94 70.26 0 491 - 500 7 742,440.49 0.11 9.796 357.4 2.6 360 6.955 70.07 70.07 500 501 - 510 56 7,415,790.72 1.13 9.509 358.2 1.8 360 6.931 65.4 65.53 505.2 511 - 520 58 6,481,626.46 0.99 9.383 358.1 1.9 360 6.778 68.89 69.32 515.4 521 - 530 90 12,424,154.64 1.9 9.04 356.7 2 358.7 6.437 68.53 68.53 525.2 531 - 540 94 14,021,591.63 2.15 8.656 358.2 1.8 360 6.205 69.91 69.91 535.3 541 - 550 107 16,833,644.20 2.58 8.292 355.8 1.8 357.5 5.642 69.77 69.77 545.1 551 - 560 114 17,988,863.85 2.75 8.033 355.7 2 357.7 5.385 64.88 64.88 555.7 561 - 570 119 19,756,198.95 3.02 7.239 347.9 1.8 349.7 4.535 68.2 68.65 565.5 571 - 580 144 24,380,730.34 3.73 7.153 355.1 1.8 356.9 4.588 70.71 72.95 575.5 581 - 590 274 44,014,361.08 6.74 7.245 355.9 1.9 357.8 4.521 75.49 85.13 585.7 591 - 600 279 45,339,405.36 6.94 7.182 353.5 1.8 355.4 4.502 75.75 84.73 595.3 601 - 610 317 57,203,225.95 8.75 6.893 352 1.9 353.9 4.367 76.32 86.13 605.9 611 - 620 268 46,954,233.27 7.19 6.988 350.8 1.9 352.7 4.357 76.53 85.09 615.5 621 - 630 256 47,243,249.59 7.23 6.944 353.1 1.8 354.9 4.307 76.35 85.87 625.6 631 - 640 258 52,326,579.02 8.01 6.774 351 1.8 352.8 4.266 77.15 87.54 635.5 641 - 650 235 51,019,813.37 7.81 6.657 354.2 1.7 355.9 4.077 77.39 87.88 645.7 651 - 660 188 37,546,111.58 5.75 6.577 353.3 1.9 355.2 3.949 77.31 89.78 655.4 661 - 670 181 37,250,634.97 5.7 6.41 343.2 1.8 345 3.705 75.49 87.48 665.9 671 - 680 108 23,566,136.21 3.61 6.275 353.2 1.9 355.2 3.832 76.67 87.45 675.2 681 - 690 91 21,573,664.70 3.3 6.284 349.8 1.8 351.7 3.793 77.2 87.97 685.1 691 - 700 67 14,963,476.54 2.29 6.323 348.7 1.9 350.6 3.629 76.62 87.16 695.3 701 - 710 43 10,297,816.67 1.58 6.454 349.8 2 351.9 3.83 80.01 90.66 705.7 711 - 720 39 8,747,817.24 1.34 5.986 352.8 1.9 354.8 3.47 73.35 88.57 715.8 721 - 730 47 12,220,001.07 1.87 6.03 351.6 2.2 353.7 3.528 76.93 87.43 725.3 731 - 740 23 5,766,321.44 0.88 5.974 351.6 1.9 353.5 3.447 76.32 88.35 734.7 741 - 750 23 5,280,202.42 0.81 6.195 351.5 1.7 353.2 3.627 76.92 91.68 745.7 751 - 760 17 3,901,710.87 0.6 5.837 357.6 2.4 360 3.45 77.2 93.66 755 761 - 770 7 1,709,061.21 0.26 5.493 357.9 2.1 360 3.25 79.67 97.58 766.9 771 - 780 12 2,891,999.71 0.44 6.429 358.5 1.5 360 3.86 76.44 78.48 776.4 781 - 790 6 1,177,275.65 0.18 6.404 340.2 1.6 341.8 3.945 77.34 83.97 785 791 - 800 3 817,181.97 0.13 5.87 358 2 360 3.684 53.89 62.09 797 801 - 810 1 256,299.53 0.04 6.125 358 2 360 4.375 80 95 804 811 - 820 1 66,185.76 0.01 6.25 358 2 360 4.375 80 100 812 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
Nzmin.: 500 Max.: 812 NZWA.: 625 Loans with Fico scores less than 400 have been eliminated from the average. 18. Credit Grade
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Credit Grade Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Y1 112 13,339,028.55 2.04 9.552 358.1 1.9 360 6.975 66.6 66.66 510.3 Y2 269 35,960,767.77 5.5 9.126 353.1 1.9 355.1 6.511 70.02 70.11 544.1 Y3 199 32,332,495.08 4.95 7.959 356.1 1.9 358 5.37 66.58 66.58 551.6 Y4 354 60,387,342.29 9.24 7.095 353.1 1.8 354.9 4.485 69.67 70.98 585.6 Y5 522 83,097,083.33 12.72 7.186 355.4 1.8 357.2 4.484 76.08 86.44 590.5 Y6 562 99,986,414.11 15.3 6.914 352.5 1.9 354.4 4.322 77.07 87.33 612 Y7 549 105,835,467.57 16.2 6.813 351.7 1.8 353.5 4.227 76.95 87.77 636.3 Y8 371 81,311,637.08 12.44 6.568 352.9 1.8 354.7 3.976 77.35 88.09 648.6 Y9 608 141,173,471.68 21.61 6.208 349.4 1.9 351.3 3.644 76.5 87.84 695.4 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
19. Prepayment Penalty
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Prepayment Penalty Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- <= 0.000 860 170,211,086.00 26.05 7.418 353.6 1.9 355.5 4.721 74.21 82.23 622.3 1.001 - 2.000 2,333 415,896,407.60 63.65 6.834 357.8 1.8 359.6 4.298 76.22 85.76 622.2 2.001 - 3.000 353 67,316,213.86 10.3 6.779 316.9 1.9 318.8 4.239 69.75 73.57 645.4 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
WA: 1.582 NZWA: 2.139 20. Existing MI (1st lien and LTV gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Existing MI (1st lien and LTV gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- No 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
21. Existing MI Company (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Existing MI Company (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 00-None 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
22. Purchased MI (1st lien and LTV gt 80) 23. Purchased MI Company (1st and ltv gt 80) 24. Total MI Flag (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Total MI Flag (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- N 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
25. Total MI Company (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Total MI Company (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 00-None 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
26. Original CLTV (Calc)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original CLTV (Calc) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 5.01 - 10.00 3 155,528.01 0.02 8.121 301.1 1.3 302.3 6.431 8.87 8.87 563.6 10.01 - 15.00 4 254,274.67 0.04 8.518 298.5 1.2 299.8 7.323 13.78 13.78 556 15.01 - 20.00 5 325,521.04 0.05 8.948 316.9 1.8 318.6 7.126 17.77 17.77 568 20.01 - 25.00 16 1,471,373.92 0.23 7.506 352.4 1.9 354.3 4.383 21.62 21.62 595 25.01 - 30.00 16 1,579,743.40 0.24 7.212 347.4 2 349.4 4.613 28.05 28.46 644.1 30.01 - 35.00 24 2,833,698.31 0.43 7.158 308.9 2.2 311.1 4.784 32.41 32.41 615.8 35.01 - 40.00 27 3,181,400.56 0.49 7.53 336.4 2.1 338.5 5.08 37.93 37.93 594.9 40.01 - 45.00 40 5,250,503.43 0.8 7.25 328.6 1.9 330.5 5.049 42.68 42.68 594.5 45.01 - 50.00 73 12,188,927.27 1.87 7.256 335.9 1.8 337.7 4.911 47.83 47.83 602.7 50.01 - 55.00 86 14,772,745.15 2.26 7.084 334.2 1.8 335.9 4.671 52.78 53.48 607.8 55.01 - 60.00 103 18,412,339.19 2.82 7.16 340.9 1.8 342.8 4.64 57.89 58.26 601.4 60.01 - 65.00 146 28,338,894.49 4.34 6.937 347 1.8 348.8 4.602 62.9 63.5 608.2 65.01 - 70.00 314 52,619,886.16 8.05 7.18 350.4 1.9 352.2 4.653 68.53 68.76 597.5 70.01 - 75.00 446 84,863,070.68 12.99 7.134 354.7 1.8 356.5 4.604 73.86 77.08 604.6 75.01 - 80.00 2,115 389,711,967.74 59.64 6.869 354.9 1.8 356.7 4.234 79.78 93.29 635.8 80.01 - 85.00 46 14,527,781.32 2.22 6.96 357.9 2.1 360 4.646 84.42 84.64 637.2 85.01 - 90.00 47 14,993,577.93 2.29 7.103 357.8 2.2 360 4.843 89.42 89.42 635 90.01 - 95.00 22 6,148,301.51 0.94 7.435 357.8 2.2 360 5.274 94.46 94.46 650.7 95.01 - 100.00 13 1,794,172.68 0.27 8.558 358 2 360 5.833 100 100 628.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
Min.: 8.25 Max: 100.00 WA: 75.03 *Includes Senior balances if any. 27. Current LTV (Calc)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Current LTV (Calc) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 0.01 - 5.00 1 11,770.81 0 10.5 358 2 360 6.625 13.57 13.57 0 5.01 - 10.00 3 155,528.01 0.02 8.121 301.1 1.3 302.3 6.431 8.87 8.87 563.6 10.01 - 15.00 3 242,503.86 0.04 8.422 295.7 1.2 296.8 7.375 13.79 13.79 556 15.01 - 20.00 5 325,521.04 0.05 8.948 316.9 1.8 318.6 7.126 17.77 17.77 568 20.01 - 25.00 16 1,471,373.92 0.23 7.506 352.4 1.9 354.3 4.383 21.62 21.62 595 25.01 - 30.00 16 1,579,743.40 0.24 7.212 347.4 2 349.4 4.613 28.05 28.46 644.1 30.01 - 35.00 24 2,833,698.31 0.43 7.158 308.9 2.2 311.1 4.784 32.41 32.41 615.8 35.01 - 40.00 29 3,407,635.50 0.52 7.464 337.8 2.1 339.9 4.983 39.22 39.22 597.3 40.01 - 45.00 39 5,161,224.95 0.79 7.241 328.1 1.9 330 5.072 42.71 42.71 594.4 45.01 - 50.00 73 12,188,927.27 1.87 7.256 335.9 1.8 337.7 4.911 47.83 47.83 602.7 50.01 - 55.00 87 14,981,401.77 2.29 7.081 332 1.8 333.8 4.671 52.81 53.5 607.8 55.01 - 60.00 102 18,203,682.57 2.79 7.163 342.8 1.8 344.6 4.64 57.92 58.3 601.4 60.01 - 65.00 150 28,962,163.07 4.43 6.929 346.3 1.8 348.1 4.594 62.95 63.54 608.9 65.01 - 70.00 312 52,472,648.64 8.03 7.179 350.9 1.9 352.7 4.656 68.59 68.87 597.3 70.01 - 75.00 444 84,309,006.65 12.9 7.141 354.6 1.8 356.5 4.607 73.89 77.1 604.4 75.01 - 80.00 2,114 389,653,044.25 59.63 6.869 354.9 1.8 356.7 4.234 79.78 93.3 635.8 80.01 - 85.00 46 14,527,781.32 2.22 6.96 357.9 2.1 360 4.646 84.42 84.64 637.2 85.01 - 90.00 47 14,993,577.93 2.29 7.103 357.8 2.2 360 4.843 89.42 89.42 635 90.01 - 95.00 22 6,148,301.51 0.94 7.435 357.8 2.2 360 5.274 94.46 94.46 650.7 95.01 - 100.00 13 1,794,172.68 0.27 8.558 358 2 360 5.833 100 100 628.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
NZMin.: 4.56 Max: 99.91 NZWA: 74.92 28. Property Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Property Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Single Family 3,213 586,158,228.09 89.71 6.993 352.7 1.8 354.6 4.413 75.05 83.43 623.1 Condo 244 45,102,105.69 6.9 6.887 354.9 1.9 356.9 4.29 76.79 89.34 639.6 2-4 Family 89 22,163,373.68 3.39 6.852 341.5 1.8 343.4 4.586 71.05 76.06 633 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
29. Loan Purpose
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Loan Purpose Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Cash Out Refinance 1,702 325,973,739.04 49.89 7.084 349 1.9 350.9 4.619 71.3 74.17 612.8 Purchase 1,641 297,502,419.33 45.53 6.849 356.5 1.8 358.4 4.195 79.17 94.03 637.6 Rate/Term Refinance 203 29,947,549.09 4.58 7.161 351 1.9 352.9 4.552 74.55 82.38 623.5 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
30. Occupancy Status
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Occupancy Status Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Primary Home 3,386 631,870,530.55 96.7 6.968 352.6 1.8 354.5 4.404 75.21 84.05 624.5 Investment 119 13,110,810.97 2.01 7.43 346.7 1.8 348.5 4.655 69.53 69.53 630 Second Home 41 8,442,365.94 1.29 7.27 354.6 2.2 356.8 4.488 70.31 70.31 621.2 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
31. Loan Documentation
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Loan Documentation Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Full 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
32. State (Top 30)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico State (Top 30) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- CA-S 278 81,825,228.31 12.52 6.526 350 1.9 351.9 4.213 71.63 77.27 636.7 CA-N 223 75,843,187.10 11.61 6.42 351.5 1.9 353.4 4.061 75.61 84.23 648.4 MD 188 43,652,368.34 6.68 6.96 355.4 1.8 357.2 4.549 75.41 82.99 619.2 FL 210 38,933,173.07 5.96 7.055 353.4 1.9 355.3 4.483 73.31 80.24 617.1 AZ 203 38,332,718.82 5.87 7.182 356.2 1.8 358 4.556 75.4 79.84 613 VA 133 27,249,786.25 4.17 7.171 354.8 1.9 356.7 4.54 76.75 86.4 610.4 NY 98 24,495,517.02 3.75 6.923 351.8 2 353.8 4.379 72.52 76.68 624.1 NV 102 22,594,717.56 3.46 7.017 357.3 1.8 359.1 4.431 74.98 81.89 617.6 NJ 95 20,322,554.08 3.11 7.467 354.5 1.8 356.3 4.884 70.52 77.34 613.1 WA 102 20,146,083.24 3.08 6.662 338.6 1.9 340.5 4.218 76.87 88.4 630.2 IL 147 18,985,686.55 2.91 7.39 357.3 1.8 359.1 4.496 76.08 84.24 613.3 MN 103 16,660,631.26 2.55 7.076 354.8 1.8 356.6 4.371 75.26 85.16 618.7 CO 75 15,195,323.90 2.33 6.864 358.3 1.7 360 4.294 75.11 85.94 623 GA 97 14,933,936.48 2.29 7.182 356.5 1.9 358.3 4.598 78.81 89.88 616.7 PA 100 14,628,403.65 2.24 7.206 351.3 1.9 353.2 4.461 75.01 83.21 609.7 MA 54 14,474,119.91 2.22 6.911 358.2 1.8 360 4.761 75.96 85.91 627.2 TX 144 14,445,625.14 2.21 7.433 329.5 1.8 331.3 4.403 74.59 84.35 616.7 MO 124 13,739,322.55 2.1 7.332 353.4 1.9 355.3 4.537 77.81 89.19 622.3 NC 85 12,222,876.72 1.87 7.443 358.1 1.9 360 4.605 76.81 89.06 603.7 OR 52 8,978,303.91 1.37 6.897 343.2 1.9 345.1 4.331 75.18 86.28 634 TN 67 8,848,370.03 1.35 6.942 352.8 1.8 354.7 4.476 78.45 93.83 627.8 WI 62 7,593,518.32 1.16 7.416 353.1 1.8 354.9 4.472 76.83 87.7 622.4 IA 82 7,549,495.06 1.16 7.434 358.3 1.7 360 4.377 78.71 93.56 625.1 OH 62 6,928,972.26 1.06 7.476 356.7 1.9 358.5 4.588 78.88 92.58 616.2 NE 57 6,254,501.74 0.96 7.567 354.5 1.7 356.3 4.228 76.77 89.9 626.7 SC 41 5,182,568.34 0.79 7.44 354.6 1.7 356.2 4.942 78.66 91.57 610.4 UT 28 4,827,193.57 0.74 7.026 328.1 1.9 330 4.52 74.14 81.77 636.3 NM 34 4,669,585.47 0.71 7.824 358.5 1.5 360 4.67 78.14 91.38 630 KS 41 4,635,649.58 0.71 7.647 357.4 1.8 359.3 4.461 79.51 95.87 626.8 MI 47 4,526,132.06 0.69 7.718 355.6 1.7 357.3 4.736 76.91 86.02 604.3 Other 412 54,748,157.17 8.38 7.099 352.7 1.8 354.5 4.383 75.47 85.71 623 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
33. Top 10 Zip Code Concentrations
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Top 10 Zip Code Concentration Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 95901 11 2,908,026.53 0.45 6.416 358.3 1.7 360 4.055 78.88 95.86 655.9 95630 8 2,725,780.27 0.42 6.353 333.8 1.4 335.1 3.969 80 93.93 674 95757 6 2,683,248.31 0.41 6.572 358.3 1.7 360 4.083 80 95.97 657.7 20772 7 2,056,816.09 0.31 6.65 358.5 1.5 360 4.178 78.24 90.82 623 94804 6 1,825,583.80 0.28 6.493 358 2 360 4.278 75.62 82.34 611.5 95206 6 1,790,297.98 0.27 7.026 358.6 1.4 360 4.602 77.82 89.28 607.5 92223 6 1,727,344.57 0.26 6.116 358 2 360 4.178 77.14 83.02 629.5 94544 4 1,709,043.54 0.26 5.708 358.2 1.8 360 3.53 76.36 82.16 679.2 91710 3 1,697,958.83 0.26 5.943 358.7 1.3 360 3.857 79.69 86.8 666.9 94565 4 1,622,590.37 0.25 6.842 358.2 1.8 360 4.622 80.67 80.67 634 Other 3,485 632,677,017.17 96.82 6.999 352.4 1.9 354.3 4.42 74.91 83.4 623.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
34. Index
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Index Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 6 Month Libor (Wall St) 3,044 567,649,244.05 97.7 6.966 358.2 1.8 360 4.414 76 85.21 622.3 1 Year CMT (Weekly) 64 13,379,692.11 2.3 7.409 356.8 3.2 360 4.231 72.72 80.49 628.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,108 581,028,936.16 100 6.976 358.1 1.9 360 4.409 75.92 85.1 622.4
35. Floor
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Floor Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 0.001 - 0.500 1 67,896.20 0.01 7.375 358 2 360 0.375 80 100 630 1.501 - 2.000 4 1,044,470.33 0.18 4.915 354.4 5.6 360 1.954 78.49 94.34 706.7 2.001 - 2.500 5 1,694,465.09 0.29 6.255 354.8 5.2 360 2.274 80 94.06 682.8 2.501 - 3.000 39 10,731,473.52 1.85 5.734 356.9 3.1 360 2.867 76.41 89.03 695.8 3.001 - 3.500 219 58,533,708.40 10.07 5.977 358 2 360 3.364 76.84 89.01 680.7 3.501 - 4.000 681 147,945,027.88 25.46 6.398 358.2 1.8 360 3.83 76.36 88.7 647 4.001 - 4.500 989 176,590,324.17 30.39 6.885 358.3 1.7 360 4.303 76.04 86.7 618.8 4.501 - 5.000 545 91,943,948.70 15.82 7.289 358.3 1.7 360 4.778 77.4 84.7 607.1 5.001 - 5.500 159 28,653,275.43 4.93 7.639 358.2 1.8 360 5.273 74.15 75.98 583.6 5.501 - 6.000 125 20,834,361.84 3.59 8.454 358 2 360 5.807 76.17 76.45 566.3 6.001 - 6.500 114 16,228,170.61 2.79 8.831 358.1 1.9 360 6.274 68.84 68.9 540.9 6.501 - 7.000 109 15,002,928.26 2.58 9.229 358.2 1.8 360 6.823 70.05 70.1 534.8 7.001 - 7.500 92 9,638,894.56 1.66 9.796 358.3 1.7 360 7.253 72.45 72.61 528.6 7.501 - 8.000 26 2,119,991.17 0.36 10.412 358.5 1.5 360 7.735 73.61 73.69 530.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,108 581,028,936.16 100 6.976 358.1 1.9 360 4.409 75.92 85.1 622.4
NZWA: 4.409 Min.: 0.375 Max.: 8.000 36. Margin
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Margin Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 0.001 - 0.500 1 67,896.20 0.01 7.375 358 2 360 0.375 80 100 630 1.501 - 2.000 4 1,044,470.33 0.18 4.915 354.4 5.6 360 1.954 78.49 94.34 706.7 2.001 - 2.500 5 1,694,465.09 0.29 6.255 354.8 5.2 360 2.274 80 94.06 682.8 2.501 - 3.000 39 10,731,473.52 1.85 5.734 356.9 3.1 360 2.867 76.41 89.03 695.8 3.001 - 3.500 219 58,533,708.40 10.07 5.977 358 2 360 3.364 76.84 89.01 680.7 3.501 - 4.000 681 147,945,027.88 25.46 6.398 358.2 1.8 360 3.83 76.36 88.7 647 4.001 - 4.500 989 176,590,324.17 30.39 6.885 358.3 1.7 360 4.303 76.04 86.7 618.8 4.501 - 5.000 545 91,943,948.70 15.82 7.289 358.3 1.7 360 4.778 77.4 84.7 607.1 5.001 - 5.500 159 28,653,275.43 4.93 7.639 358.2 1.8 360 5.273 74.15 75.98 583.6 5.501 - 6.000 125 20,834,361.84 3.59 8.454 358 2 360 5.807 76.17 76.45 566.3 6.001 - 6.500 114 16,228,170.61 2.79 8.831 358.1 1.9 360 6.274 68.84 68.9 540.9 6.501 - 7.000 109 15,002,928.26 2.58 9.229 358.2 1.8 360 6.823 70.05 70.1 534.8 7.001 - 7.500 92 9,638,894.56 1.66 9.796 358.3 1.7 360 7.253 72.45 72.61 528.6 7.501 - 8.000 26 2,119,991.17 0.36 10.412 358.5 1.5 360 7.735 73.61 73.69 530.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,108 581,028,936.16 100 6.976 358.1 1.9 360 4.409 75.92 85.1 622.4
WA: 4.409 Min.: 0.375 Max.: 8.000 37. Initial Periodic Rate Cap
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Initial Periodic Rate Cap Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 1.50001 - 2.00000 64 13,379,692.11 2.3 7.409 356.8 3.2 360 4.231 72.72 80.49 628.3 2.50001 - 3.00000 3,044 567,649,244.05 97.7 6.966 358.2 1.8 360 4.414 76 85.21 622.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,108 581,028,936.16 100 6.976 358.1 1.9 360 4.409 75.92 85.1 622.4
Min.: 2.000 Max.: 3.000 NZWA: 2.977 38. Periodic Rate Cap
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Periodic Rate Cap Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 0.50001 - 1.00000 3,044 567,649,244.05 97.7 6.966 358.2 1.8 360 4.414 76 85.21 622.3 1.50001 - 2.00000 64 13,379,692.11 2.3 7.409 356.8 3.2 360 4.231 72.72 80.49 628.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,108 581,028,936.16 100 6.976 358.1 1.9 360 4.409 75.92 85.1 622.4
Min.: 1.000 Max.: 2.000 NZWA: 1.023 39. Maximum Rate
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Maximum Rate Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 9.00001 - 9.50000 1 217,907.40 0.04 3.5 354 6 360 2 72.85 72.85 683 10.00001 - 10.50000 4 1,103,574.56 0.19 4.455 358.3 1.7 360 3.394 79.13 96.33 730.9 10.50001 - 11.00000 19 6,453,511.79 1.11 4.879 357.9 2.1 360 3.335 75.45 86.44 697 11.00001 - 11.50000 80 22,091,727.58 3.8 5.389 358 2 360 3.545 76.83 90.33 675 11.50001 - 12.00000 277 75,015,481.15 12.91 5.849 358 2 360 3.73 76.33 87.46 660.2 12.00001 - 12.50000 484 116,690,203.74 20.08 6.329 358.2 1.8 360 3.949 75.75 85.17 637.2 12.50001 - 13.00000 643 130,406,183.86 22.44 6.801 358.2 1.8 360 4.237 76.65 86.86 625.5 13.00001 - 13.50000 548 93,891,890.66 16.16 7.314 358.2 1.8 360 4.493 77.38 87.41 618.6 13.50001 - 14.00000 407 56,073,239.09 9.65 7.801 358.1 1.9 360 4.732 75.33 84.19 599.5 14.00001 - 14.50000 251 32,992,513.72 5.68 8.299 358.2 1.8 360 5.39 74.07 80.08 578.4 14.50001 - 15.00000 137 18,869,549.80 3.25 8.824 358.2 1.8 360 6.142 71.61 73.2 550.2 15.00001 - 15.50000 84 9,638,666.31 1.66 9.304 358.1 1.9 360 6.561 70.81 71.61 541.6 15.50001 - 16.00000 84 9,485,338.53 1.63 9.774 358.1 1.9 360 6.686 72.83 73 537.2 16.00001 - 16.50000 35 3,699,298.16 0.64 10.336 358.1 1.9 360 6.959 76.13 76.13 539.6 16.50001 - 17.00000 38 3,599,067.54 0.62 10.803 357.8 2.2 360 7.1 75.91 76.39 527.3 17.00001 - 17.50000 12 625,339.89 0.11 11.21 358.7 1.3 360 7.433 70.49 70.49 526.1 17.50001 - 18.00000 4 175,442.38 0.03 11.668 358.3 1.7 360 7.486 59.78 59.78 518.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,108 581,028,936.16 100 6.976 358.1 1.9 360 4.409 75.92 85.1 622.4
Min.: 9.500 Max.: 17.750 NZWA: 12.976 40. Next Rate Adjustment Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Next Rate Adjustment Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 2006-07 8 1,934,726.75 0.33 6.739 355 5 360 2.63 74.71 86.52 670.8 2006-08 14 3,332,801.93 0.57 7.619 356 4 360 4.277 74.24 82.34 609.9 2006-09 22 4,580,247.13 0.79 7.233 357 3 360 4.278 71.44 79.42 645.1 2006-10 13 2,232,861.50 0.38 7.382 358 2 360 4.671 68.47 76.34 609.3 2006-11 7 1,299,054.80 0.22 8.537 359 1 360 5.574 77.72 77.72 585.9 2007-05 3 381,967.69 0.07 6.784 353 7 360 4.08 79.92 91.94 578.8 2007-06 12 2,280,528.12 0.39 6.305 354 6 360 3.059 78 83.29 627.5 2007-07 32 6,914,107.05 1.19 6.951 355 5 360 3.493 79.95 87.78 621.4 2007-08 16 2,276,646.20 0.39 7.042 356 4 360 4.464 80.09 90.7 601.9 2007-09 67 15,149,948.79 2.61 6.776 357 3 360 4.255 76.14 82.23 617.3 2007-10 1,996 369,498,268.44 63.59 6.942 358 2 360 4.413 75.9 85.03 621.9 2007-11 855 154,470,948.32 26.59 7.087 359 1 360 4.494 75.95 86.21 621.3 2008-06 1 373,915.00 0.06 6.375 354 6 360 3.25 85 85 620 2008-07 1 142,010.00 0.02 6.875 355 5 360 4 95 95 672 2008-09 2 613,063.77 0.11 6.101 357 3 360 4.087 80 96.51 703 2008-10 53 14,212,106.52 2.45 6.696 358 2 360 4.474 75.86 80.91 645.5 2008-11 6 1,335,734.15 0.23 6.244 359 1 360 3.999 70.69 73.11 656.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,108 581,028,936.16 100 6.976 358.1 1.9 360 4.409 75.92 85.1 622.4
41. Custodian
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Custodian Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- WELLS FARGO BANK, N.A. 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
42. Originator
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Originator Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- WELLS FARGO BANK, N.A. 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
43. Servicer
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Servicer Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- WELLS FARGO BANK, N.A. 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 3,546 653,423,707.46 100 6.981 352.5 1.9 354.4 4.409 75.03 83.59 624.6
The issuer has filed a registration statement (including a prospectus) with the U.S. Securities and Exchange Commission (SEC) for this offering. Before you invest, you should read the prospectus for this offering in that registration statement (which prospectus you may get for free by visiting the web site at http://www.lehman.com/pub/sasco), and other documents the issuer has filed with the SEC (including any related free-writing prospectus, preliminary prospectus supplement or preliminary pricing supplement, as applicable), for more complete information about the issuer. You may get these documents, as well as the final prospectus, prospectus supplement or pricing supplement (when completed), as applicable (such preliminary and final documentation together, the Offer Documentation), for free by searching the SEC online database (EDGAR(R)) at www.sec.gov. Alternatively, you may obtain a copy of the Offer Documentation from Lehman Brothers Inc., 745 Seventh Ave., New York, NY, 10019, Attn: Asset Backed Fixed Income Syndicate or by calling 212 526 7000. Lehman Brothers 128 records Balance: 37,463,833 WFHET 2005-4 Diana VDE May-98 NO MI (LTV>80) Selection Criteria: NO MI (LTV>80) Table of Contents 1. Current Balance 2. Original Balance 3. Rate 4. Rate (Arm) 5. Rate (Fix) 6. Rate Type 7. Product Type 8. Original Term 9. Stated Remaining Term 10. Seasoning 11. First Payment Date 12. Maturity Date 13. Lien Position 14. Balloon 15. IO Flag 16. IO Term 17. FICO 18. Credit Grade 19. Prepayment Penalty 20. Existing MI (1st lien and LTV gt 80) 21. Existing MI Company (1st and ltv gt 80) 22. Purchased MI (1st lien and LTV gt 80) 23. Purchased MI Company (1st and ltv gt 80) 24. Total MI Flag (1st and ltv gt 80) 25. Total MI Company (1st and ltv gt 80) 26. Original CLTV (Calc) 27. Current LTV (Calc) 28. Property Type 29. Loan Purpose 30. Occupancy Status 31. Loan Documentation 32. State (Top 30) 33. Top 10 Zip Code Concentrations 34. Index 35. Floor 36. Margin 37. Initial Periodic Rate Cap 38. Periodic Rate Cap 39. Maximum Rate 40. Next Rate Adjustment Date 41. Custodian 42. Originator 43. Servicer 1. Current Balance
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Current Balance Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 0.01 - 50,000.00 1 44,961.05 0.12 10.125 358 2 360 6.375 100 100 611 50,000.01 - 100,000.00 9 718,557.38 1.92 8.872 358 2 360 6.105 96.22 96.22 605.9 100,000.01 - 150,000.00 12 1,571,226.08 4.19 7.956 358 2 360 5.333 91.99 91.99 635.7 150,000.01 - 200,000.00 22 3,937,972.77 10.51 7.527 358 2 360 5.134 89.13 89.13 629.9 200,000.01 - 250,000.00 18 4,042,528.51 10.79 7.736 358.3 1.7 360 5.382 90.3 90.3 623.9 250,000.01 - 300,000.00 17 4,649,542.13 12.41 7.392 357.9 2.1 360 4.977 89.08 89.08 635 300,000.01 - 350,000.00 9 2,927,495.69 7.81 7.211 357.9 2.1 360 5.002 87.2 87.2 638 350,000.01 - 400,000.00 9 3,344,435.50 8.93 6.966 356.5 3.5 360 4.255 88.82 88.82 644.3 400,000.01 - 450,000.00 8 3,374,840.06 9.01 6.844 358.1 1.9 360 4.684 86.93 87.88 650.6 450,000.01 - 500,000.00 7 3,374,049.64 9.01 6.786 357.7 2.3 360 4.529 88.28 88.28 630.9 500,000.01 - 550,000.00 4 2,117,396.63 5.65 6.489 358 2 360 4.719 86.08 86.08 647.7 550,000.01 - 600,000.00 6 3,492,944.00 9.32 7.029 357.8 2.2 360 4.847 89.31 89.31 646.6 600,000.01 - 650,000.00 4 2,500,634.00 6.67 6.604 358 2 360 4.787 90.73 90.73 639.6 650,000.01 - 700,000.00 2 1,367,250.00 3.65 6.479 358 2 360 4.497 83.64 83.64 668.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
Min.: 44,961.05 Max: 700,000.00 Avg.: 292,686.20 2. Original Balance
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original Balance Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 1 - 50,000 1 44,961.05 0.12 10.125 358 2 360 6.375 100 100 611 50,001 - 100,000 9 718,557.38 1.92 8.872 358 2 360 6.105 96.22 96.22 605.9 100,001 - 150,000 12 1,571,226.08 4.19 7.956 358 2 360 5.333 91.99 91.99 635.7 150,001 - 200,000 22 3,937,972.77 10.51 7.527 358 2 360 5.134 89.13 89.13 629.9 200,001 - 250,000 18 4,042,528.51 10.79 7.736 358.3 1.7 360 5.382 90.3 90.3 623.9 250,001 - 300,000 17 4,649,542.13 12.41 7.392 357.9 2.1 360 4.977 89.08 89.08 635 300,001 - 350,000 9 2,927,495.69 7.81 7.211 357.9 2.1 360 5.002 87.2 87.2 638 350,001 - 400,000 9 3,344,435.50 8.93 6.966 356.5 3.5 360 4.255 88.82 88.82 644.3 400,001 - 450,000 8 3,374,840.06 9.01 6.844 358.1 1.9 360 4.684 86.93 87.88 650.6 450,001 - 500,000 7 3,374,049.64 9.01 6.786 357.7 2.3 360 4.529 88.28 88.28 630.9 500,001 - 550,000 4 2,117,396.63 5.65 6.489 358 2 360 4.719 86.08 86.08 647.7 550,001 - 600,000 6 3,492,944.00 9.32 7.029 357.8 2.2 360 4.847 89.31 89.31 646.6 600,001 - 650,000 4 2,500,634.00 6.67 6.604 358 2 360 4.787 90.73 90.73 639.6 650,001 - 700,000 2 1,367,250.00 3.65 6.479 358 2 360 4.497 83.64 83.64 668.9 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
Min.: 45,000 Max: 700,000 Avg.: 292,748 3. Rate
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 5.501 - 6.000 6 2,729,483.81 7.29 5.805 357.9 2.1 360 4.34 86.8 86.8 688.8 6.001 - 6.500 11 4,287,945.59 11.45 6.376 357.1 2.9 360 4.203 87.91 87.91 653.7 6.501 - 7.000 31 10,671,866.57 28.49 6.814 357.8 2.2 360 4.664 87.59 87.89 641.2 7.001 - 7.500 33 11,076,047.37 29.56 7.277 358 2 360 5.039 88.4 88.4 629.9 7.501 - 8.000 18 4,094,805.67 10.93 7.832 358.1 1.9 360 5.249 90.47 90.47 621.3 8.001 - 8.500 13 2,625,294.74 7.01 8.327 358 2 360 5.51 91.41 91.41 620.6 8.501 - 9.000 8 1,024,449.70 2.73 8.811 358.2 1.8 360 5.834 95.49 95.49 622.6 9.001 - 9.500 2 247,739.88 0.66 9.422 358 2 360 6.172 94.94 94.94 642.2 9.501 - 10.000 5 661,239.06 1.77 9.734 358 2 360 6.148 95.88 95.88 614.1 10.001 - 10.500 1 44,961.05 0.12 10.125 358 2 360 6.375 100 100 611 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
Min.: 5.625 Max: 10.125 NZWA: 7.172 4. Rate (Arm)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate (Arm) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 5.501 - 6.000 6 2,729,483.81 7.35 5.805 357.9 2.1 360 4.34 86.8 86.8 688.8 6.001 - 6.500 11 4,287,945.59 11.54 6.376 357.1 2.9 360 4.203 87.91 87.91 653.7 6.501 - 7.000 31 10,671,866.57 28.73 6.814 357.8 2.2 360 4.664 87.59 87.89 641.2 7.001 - 7.500 33 11,076,047.37 29.81 7.277 358 2 360 5.039 88.4 88.4 629.9 7.501 - 8.000 17 3,916,305.67 10.54 7.827 358.1 1.9 360 5.249 90.71 90.71 620.3 8.001 - 8.500 13 2,625,294.74 7.07 8.327 358 2 360 5.51 91.41 91.41 620.6 8.501 - 9.000 7 888,500.51 2.39 8.801 358.1 1.9 360 5.834 97.1 97.1 627.4 9.001 - 9.500 2 247,739.88 0.67 9.422 358 2 360 6.172 94.94 94.94 642.2 9.501 - 10.000 5 661,239.06 1.78 9.734 358 2 360 6.148 95.88 95.88 614.1 10.001 - 10.500 1 44,961.05 0.12 10.125 358 2 360 6.375 100 100 611 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 126 37,149,384.25 100 7.162 357.8 2.2 360 4.887 88.85 88.94 638.3
Min.: 5.625 Max: 10.125 NZWA: 7.162 5. Rate (Fix)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate (Fix) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 7.501 - 8.000 1 178,500.00 56.77 7.95 358 2 360 0 85 85 645 8.501 - 9.000 1 135,949.19 43.23 8.875 359 1 360 0 85 85 591 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 2 314,449.19 100 8.35 358.4 1.6 360 0 85 85 621.7
Min.: 7.950 Max: 8.875 NZWA: 8.350 6. Rate Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Rate Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Fixed 2 314,449.19 0.84 8.35 358.4 1.6 360 0 85 85 621.7 Adjustable 126 37,149,384.25 99.16 7.162 357.8 2.2 360 4.887 88.85 88.94 638.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
7. Product Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Product Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 2/28 ARM (Libor) 117 33,807,985.60 90.24 7.196 357.9 2.1 360 4.922 88.94 89.04 635.5 3/27 ARM (Libor) 9 3,341,398.65 8.92 6.81 357.4 2.6 360 4.526 87.89 87.89 666 Fixed Rate 2 314,449.19 0.84 8.35 358.4 1.6 360 0 85 85 621.7 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
8. Original Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 337 - 360 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
Min.: 360.0 Max.: 360.0 NZWA: 360.0 9. Stated Remaining Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Stated Remaining Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 349 - 360 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
Min.: 354.0 Max: 359.0 NZWA: 357.8 10. Seasoning
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Seasoning Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 24-Jan 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
Min.: 1.0 Max: 6.0 WA: 2.2 11. First Payment Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico First Payment Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 2005 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
12. Maturity Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Maturity Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 2035 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
13. Lien Position
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Lien Position Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 1st Lien 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
14. Balloon
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Balloon Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Fully Amortizing 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
15. IO Flag
Total NZWA NZWA No. of Current NZWA NZWA Full Fico IO Flag Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- No 14 1,847,724.54 4.93 8.599 358 2 360 5.845 99.8 99.8 625.5 Yes 114 35,616,108.90 95.07 7.098 357.8 2.2 360 4.837 88.25 88.34 638.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
16. IO Term
Total NZWA NZWA No. of Current NZWA NZWA Full Fico IO Term Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 0 14 1,847,724.54 4.93 8.599 358 2 360 5.845 99.8 99.8 625.5 60 114 35,616,108.90 95.07 7.098 357.8 2.2 360 4.837 88.25 88.34 638.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
17. FICO
Total NZWA NZWA No. of Current NZWA NZWA Full Fico FICO Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 521 - 530 1 53,551.86 0.14 9.95 358 2 360 6.25 93.22 93.22 521 571 - 580 1 181,275.00 0.48 6.75 358 2 360 5.375 85 85 580 581 - 590 4 989,824.37 2.64 7.807 357.1 2.9 360 4.949 89.59 89.59 585.9 591 - 600 8 1,643,304.80 4.39 7.644 357.7 2.3 360 5.001 86.01 86.01 595.3 601 - 610 16 5,598,157.15 14.94 7.175 357.9 2.1 360 5.057 88.11 88.68 606.6 611 - 620 19 4,421,661.00 11.8 7.259 357.4 2.6 360 4.835 87.61 87.61 615.2 621 - 630 18 5,153,754.79 13.76 7.596 358.2 1.8 360 5.275 89.7 89.7 625.4 631 - 640 20 5,074,315.74 13.54 7.43 357.9 2.1 360 5.127 89.8 89.8 635.7 641 - 650 17 6,068,634.01 16.2 7.105 358.2 1.8 360 4.858 89.76 89.76 645.2 651 - 660 4 999,185.57 2.67 6.949 358 2 360 4.808 88.01 88.01 657.6 661 - 670 1 207,000.00 0.55 7.75 359 1 360 4.75 90 90 666 671 - 680 5 1,354,027.81 3.61 6.85 356.7 3.3 360 4.244 89.35 89.35 672.5 681 - 690 3 1,555,000.00 4.15 6.334 358 2 360 4.512 86.56 86.56 685.3 691 - 700 2 778,801.00 2.08 6.759 358.4 1.6 360 4.749 87.9 87.9 695.2 701 - 710 4 1,699,606.75 4.54 6.518 357 3 360 4.091 92.5 92.5 704.6 721 - 730 3 1,112,050.00 2.97 5.798 357.6 2.4 360 4.196 87.35 87.35 721.1 731 - 740 1 254,933.59 0.68 6.25 358 2 360 3.875 85 85 732 741 - 750 1 318,750.00 0.85 7.375 358 2 360 4.5 85 85 742 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
Nzmin.: 521 Max.: 742 NZWA.: 638 Loans with Fico scores less than 400 have been eliminated from the average. 18. Credit Grade
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Credit Grade Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Y2 1 53,551.86 0.14 9.95 358 2 360 6.25 93.22 93.22 521 Y5 12 2,606,206.11 6.96 7.776 357.5 2.5 360 5.095 87.9 87.9 592.7 Y6 34 9,261,049.21 24.72 7.322 357.8 2.2 360 5.034 87.64 87.99 609.6 Y7 35 9,672,544.95 25.82 7.468 357.9 2.1 360 5.177 89.76 89.76 627.1 Y8 23 7,595,812.16 20.28 7.108 358.2 1.8 360 4.858 89.49 89.49 645.2 Y9 23 8,274,669.15 22.09 6.507 357.6 2.4 360 4.338 88.67 88.67 691.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
19. Prepayment Penalty
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Prepayment Penalty Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- <= 0.000 22 6,315,306.41 16.86 7.551 358.1 1.9 360 5.146 87.72 87.72 649.3 1.001 - 2.000 96 27,671,179.19 73.86 7.12 357.8 2.2 360 4.871 89.2 89.31 632.5 2.001 - 3.000 10 3,477,347.84 9.28 6.891 357.5 2.5 360 4.526 87.77 87.77 663 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
WA: 1.756 NZWA: 2.112 20. Existing MI (1st lien and LTV gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Existing MI (1st lien and LTV gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- No 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
21. Existing MI Company (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Existing MI Company (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 00-None 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
22. Purchased MI (1st lien and LTV gt 80) 23. Purchased MI Company (1st and ltv gt 80) 24. Total MI Flag (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Total MI Flag (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- N 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
25. Total MI Company (1st and ltv gt 80)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Total MI Company (1st and ltv gt 80) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 00-None 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
26. Original CLTV (Calc)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Original CLTV (Calc) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 80.01 - 85.00 46 14,527,781.32 38.78 6.96 357.9 2.1 360 4.646 84.42 84.64 637.2 85.01 - 90.00 47 14,993,577.93 40.02 7.103 357.8 2.2 360 4.843 89.42 89.42 635 90.01 - 95.00 22 6,148,301.51 16.41 7.435 357.8 2.2 360 5.274 94.46 94.46 650.7 95.01 - 100.00 13 1,794,172.68 4.79 8.558 358 2 360 5.833 100 100 628.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
Min.: 81.31 Max: 100.00 WA: 88.82 *Includes Senior balances if any. 27. Current LTV (Calc)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Current LTV (Calc) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 80.01 - 85.00 46 14,527,781.32 38.78 6.96 357.9 2.1 360 4.646 84.42 84.64 637.2 85.01 - 90.00 47 14,993,577.93 40.02 7.103 357.8 2.2 360 4.843 89.42 89.42 635 90.01 - 95.00 22 6,148,301.51 16.41 7.435 357.8 2.2 360 5.274 94.46 94.46 650.7 95.01 - 100.00 13 1,794,172.68 4.79 8.558 358 2 360 5.833 100 100 628.6 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
NZMin.: 81.31 Max: 99.91 NZWA: 88.80 28. Property Type
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Property Type Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Single Family 115 33,273,741.11 88.82 7.171 357.8 2.2 360 4.909 88.79 88.89 635.7 Condo 9 2,139,892.33 5.71 7.673 358 2 360 4.983 89.57 89.57 648.2 2-4 Family 4 2,050,200.00 5.47 6.652 358.2 1.8 360 4.431 88.47 88.47 667.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
29. Loan Purpose
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Loan Purpose Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Cash Out Refinance 72 22,074,083.36 58.92 7.151 358 2 360 4.93 87.68 87.82 637.6 Purchase 50 13,952,774.15 37.24 7.194 357.6 2.4 360 4.826 90.82 90.82 640.8 Rate/Term Refinance 6 1,436,975.93 3.84 7.268 357.3 2.7 360 4.817 86.9 86.9 619.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
30. Occupancy Status
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Occupancy Status Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Primary Home 126 36,973,820.44 98.69 7.175 357.9 2.1 360 4.909 88.87 88.95 637.8 Second Home 2 490,013.00 1.31 6.926 354.8 5.2 360 3.213 85 85 665.4 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
31. Loan Documentation
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Loan Documentation Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Full 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
32. State (Top 30)
Total NZWA NZWA No. of Current NZWA NZWA Full Fico State (Top 30) Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- CA-N 13 6,435,696.19 17.18 7.147 358.3 1.7 360 4.96 87.78 88.28 631.5 CA-S 14 5,893,714.44 15.73 6.589 358 2 360 4.774 87.37 87.37 647.4 AZ 17 3,842,469.89 10.26 7.47 358.2 1.8 360 5.071 88.39 88.39 636.1 NY 8 3,545,350.00 9.46 6.452 357 3 360 4.082 88.94 88.94 671.7 VA 9 3,232,429.84 8.63 7.319 356.9 3.1 360 4.603 88.08 88.08 618.2 MD 9 2,877,664.29 7.68 7.208 357.6 2.4 360 5.088 87.43 87.43 623.3 NV 7 2,080,007.66 5.55 6.91 358.1 1.9 360 4.859 89.38 89.38 633.7 FL 7 1,823,131.28 4.87 7.472 357.3 2.7 360 4.736 89.25 89.25 639.1 GA 5 955,574.00 2.55 7.991 358.2 1.8 360 5.447 89.25 89.25 619.6 WA 4 898,997.72 2.4 7.632 358.2 1.8 360 5.349 91.27 91.27 639.7 MO 5 848,804.19 2.27 7.781 358.3 1.7 360 5.602 92.45 92.45 624.9 TX 3 595,634.01 1.59 7.384 356.5 3.5 360 4.826 93.64 93.64 616.1 MN 3 593,000.00 1.58 7.357 358 2 360 5.047 86.64 86.64 630.7 PA 2 529,870.02 1.41 7.108 358 2 360 4.983 90.21 90.21 628.4 IL 5 514,347.28 1.37 8.949 358.5 1.5 360 5.591 93.57 93.57 632.3 DE 2 449,524.81 1.2 6.595 359 1 360 4.702 87 87 662.8 ME 1 318,750.00 0.85 7.375 358 2 360 4.5 85 85 742 NJ 1 305,000.00 0.81 7.375 358 2 360 5.75 88.41 88.41 625 OH 2 285,348.53 0.76 7.486 356.3 3.7 360 4.656 97.17 97.17 678.2 TN 2 225,531.60 0.6 8.821 358 2 360 5.929 97.13 97.13 621.8 MA 1 215,957.07 0.58 7.95 359 1 360 5.75 90 90 637 NM 1 198,000.00 0.53 8.5 359 1 360 5.75 90 90 624 WY 1 174,730.21 0.47 7.375 358 2 360 5.375 100 100 644 SC 1 171,324.46 0.46 8.25 358 2 360 5.875 100 100 642 CO 1 142,010.00 0.38 6.875 355 5 360 4 95 95 672 NC 1 93,900.00 0.25 9.5 358 2 360 6.25 94.85 94.85 613 UT 1 88,897.20 0.24 8.75 358 2 360 6.125 100 100 604 WV 1 83,207.70 0.22 8.95 358 2 360 6 100 100 634 AR 1 44,961.05 0.12 10.125 358 2 360 6.375 100 100 611 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
33. Top 10 Zip Code Concentrations
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Top 10 Zip Code Concentrations Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 92647 1 700,000.00 1.87 5.625 358 2 360 4.375 82.35 82.35 687 94531 1 667,250.00 1.78 7.375 358 2 360 4.625 85 85 650 92508 1 650,000.00 1.74 6.625 358 2 360 5.375 92.86 92.86 607 89148 1 641,034.00 1.71 5.95 358 2 360 4.375 89.95 89.95 642 94706 1 607,500.00 1.62 7.25 358 2 360 5 90 90 610 11370 1 602,100.00 1.61 6.625 358 2 360 4.375 90 90 702 22031 1 600,000.00 1.6 6.95 358 2 360 4.875 84.51 84.51 631 95112 1 595,000.00 1.59 7.375 358 2 360 5 85 85 643 94513 1 593,750.00 1.58 7.125 359 1 360 5.5 95 95 647 11783 1 593,550.00 1.58 6.25 355 5 360 3.375 95 95 706 Other 118 31,213,649.44 83.32 7.266 357.8 2.2 360 4.927 88.81 88.91 635.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
34. Index
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Index Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 6 Month Libor (Wall St) 126 37,149,384.25 100 7.162 357.8 2.2 360 4.887 88.85 88.94 638.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 126 37,149,384.25 100 7.162 357.8 2.2 360 4.887 88.85 88.94 638.3
35. Floor
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Floor Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 2.501 - 3.000 1 389,118.00 1.05 6.875 354 6 360 2.75 85 85 672 3.001 - 3.500 3 1,462,864.95 3.94 6.578 354.7 5.3 360 3.385 90.48 90.48 648.8 3.501 - 4.000 6 1,639,421.46 4.41 6.268 356.9 3.1 360 3.783 87.4 87.4 681.8 4.001 - 4.500 16 5,729,036.70 15.42 6.633 357.6 2.4 360 4.353 87.18 87.18 658 4.501 - 5.000 38 14,129,636.24 38.03 6.967 358.1 1.9 360 4.809 86.97 87.2 636.2 5.001 - 5.500 28 8,009,025.48 21.56 7.318 358.2 1.8 360 5.294 89.6 89.6 623.8 5.501 - 6.000 26 4,983,171.43 13.41 8.203 358.2 1.8 360 5.811 94.37 94.37 628.3 6.001 - 6.500 8 807,109.99 2.17 9.361 358 2 360 6.285 93.95 93.95 616.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 126 37,149,384.25 100 7.162 357.8 2.2 360 4.887 88.85 88.94 638.3
NZWA: 4.887 Min.: 2.750 Max.: 6.500 36. Margin
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Margin Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 2.501 - 3.000 1 389,118.00 1.05 6.875 354 6 360 2.75 85 85 672 3.001 - 3.500 3 1,462,864.95 3.94 6.578 354.7 5.3 360 3.385 90.48 90.48 648.8 3.501 - 4.000 6 1,639,421.46 4.41 6.268 356.9 3.1 360 3.783 87.4 87.4 681.8 4.001 - 4.500 16 5,729,036.70 15.42 6.633 357.6 2.4 360 4.353 87.18 87.18 658 4.501 - 5.000 38 14,129,636.24 38.03 6.967 358.1 1.9 360 4.809 86.97 87.2 636.2 5.001 - 5.500 28 8,009,025.48 21.56 7.318 358.2 1.8 360 5.294 89.6 89.6 623.8 5.501 - 6.000 26 4,983,171.43 13.41 8.203 358.2 1.8 360 5.811 94.37 94.37 628.3 6.001 - 6.500 8 807,109.99 2.17 9.361 358 2 360 6.285 93.95 93.95 616.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 126 37,149,384.25 100 7.162 357.8 2.2 360 4.887 88.85 88.94 638.3
WA: 4.887 Min.: 2.750 Max.: 6.500 37. Initial Periodic Rate Cap
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Initial Periodic Rate Cap Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 2.50001 - 3.00000 126 37,149,384.25 100 7.162 357.8 2.2 360 4.887 88.85 88.94 638.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 126 37,149,384.25 100 7.162 357.8 2.2 360 4.887 88.85 88.94 638.3
Min.: 3.000 Max.: 3.000 NZWA: 3.000 38. Periodic Rate Cap
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Periodic Rate Cap Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 0.50001 - 1.00000 126 37,149,384.25 100 7.162 357.8 2.2 360 4.887 88.85 88.94 638.3 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 126 37,149,384.25 100 7.162 357.8 2.2 360 4.887 88.85 88.94 638.3
Min.: 1.000 Max.: 1.000 NZWA: 1.000 39. Maximum Rate
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Maximum Rate Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 11.50001 - 12.00000 6 2,729,483.81 7.35 5.805 357.9 2.1 360 4.34 86.8 86.8 688.8 12.00001 - 12.50000 11 4,287,945.59 11.54 6.376 357.1 2.9 360 4.203 87.91 87.91 653.7 12.50001 - 13.00000 31 10,671,866.57 28.73 6.814 357.8 2.2 360 4.664 87.59 87.89 641.2 13.00001 - 13.50000 33 11,076,047.37 29.81 7.277 358 2 360 5.039 88.4 88.4 629.9 13.50001 - 14.00000 17 3,916,305.67 10.54 7.827 358.1 1.9 360 5.249 90.71 90.71 620.3 14.00001 - 14.50000 13 2,625,294.74 7.07 8.327 358 2 360 5.51 91.41 91.41 620.6 14.50001 - 15.00000 7 888,500.51 2.39 8.801 358.1 1.9 360 5.834 97.1 97.1 627.4 15.00001 - 15.50000 2 247,739.88 0.67 9.422 358 2 360 6.172 94.94 94.94 642.2 15.50001 - 16.00000 5 661,239.06 1.78 9.734 358 2 360 6.148 95.88 95.88 614.1 16.00001 - 16.50000 1 44,961.05 0.12 10.125 358 2 360 6.375 100 100 611 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 126 37,149,384.25 100 7.162 357.8 2.2 360 4.887 88.85 88.94 638.3
Min.: 11.625 Max.: 16.125 NZWA: 13.162 40. Next Rate Adjustment Date
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Next Rate Adjustment Date Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- 2007-06 1 389,118.00 1.05 6.875 354 6 360 2.75 85 85 672 2007-07 6 2,178,218.08 5.86 6.973 355 5 360 3.691 91.28 91.28 637.2 2007-08 1 373,500.00 1.01 7.5 356 4 360 5.125 90 90 635 2007-09 4 1,057,450.00 2.85 6.696 357 3 360 4.53 87.68 87.68 624.4 2007-10 84 24,186,841.51 65.11 7.172 358 2 360 4.996 88.66 88.66 635.7 2007-11 21 5,622,858.01 15.14 7.483 359 1 360 5.295 89.71 90.28 634 2008-06 1 373,915.00 1.01 6.375 354 6 360 3.25 85 85 620 2008-07 1 142,010.00 0.38 6.875 355 5 360 4 95 95 672 2008-10 7 2,825,473.65 7.61 6.864 358 2 360 4.721 87.91 87.91 671.8 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 126 37,149,384.25 100 7.162 357.8 2.2 360 4.887 88.85 88.94 638.3
41. Custodian
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Custodian Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- WELLS FARGO BANK, N.A. 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
42. Originator
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Originator Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- WELLS FARGO BANK, N.A. 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
43. Servicer
Total NZWA NZWA No. of Current NZWA NZWA Full Fico Servicer Loans Balance % WAC WAM WALA WAOT MARGIN CLTV CLTV Score - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- WELLS FARGO BANK, N.A. 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1 - ------------------------------------------ ------ -------------- ------ ------ ----- ---- ----- ----- ------ ------ ----- Total: 128 37,463,833.44 100 7.172 357.8 2.2 360 4.887 88.82 88.9 638.1
The issuer has filed a registration statement (including a prospectus) with the U.S. Securities and Exchange Commission (SEC) for this offering. Before you invest, you should read the prospectus for this offering in that registration statement (which prospectus you may get for free by visiting the web site at http://www.lehman.com/pub/sasco), and other documents the issuer has filed with the SEC (including any related free-writing prospectus, preliminary prospectus supplement or preliminary pricing supplement, as applicable), for more complete information about the issuer. You may get these documents, as well as the final prospectus, prospectus supplement or pricing supplement (when completed), as applicable (such preliminary and final documentation together, the Offer Documentation), for free by searching the SEC online database (EDGAR(R)) at www.sec.gov. Alternatively, you may obtain a copy of the Offer Documentation from Lehman Brothers Inc., 745 Seventh Ave., New York, NY, 10019, Attn: Asset Backed Fixed Income Syndicate or by calling 212 526 7000. -----END PRIVACY-ENHANCED MESSAGE-----