EX-99.2 3 d387027_ex99-2.htm CHARACTERISTICS OF THE MORTGAGE POOL

 

EXHIBIT 99.2

 

The mortgage loans delivered to the Trust Fund on the Closing Date (the “Initial Mortgage Loans”) and the mortgage loans delivered to the Trust Fund on the Subsequent Transfer Date (the “Subsequent Mortgage Loans”, and together with the Initial Mortgage Loans, the “Mortgage Loans”) consist of conventional, one- to four- family, adjustable-rate and fixed-rate mortgage loans. The Depositor purchased the Initial Mortgage Loans from the Seller pursuant to the Mortgage Loan Purchase Agreement, dated as of September 23, 2005, between the Seller and the Depositor, and the Depositor purchased the Subsequent Mortgage Loans from the Seller pursuant to the Subsequent Mortgage Loan Purchase Agreement, dated as of September 28, 2005. Pursuant to the Pooling and Servicing Agreement, dated as of the Cut-off Date, September 1, 2005, (the “Pooling and Servicing Agreement”), among the Depositor, the Master Servicer and the Trustee, the Depositor will cause the Mortgage Loans to be assigned to the Trustee for the benefit of the certificateholders.

The Mortgage Loans included in loan group I and loan group II are expected to have an aggregate principal balance as of the Subsequent Cut-off Date of approximately $1,690,205,797.00 and $1,059,803,022.79, respectively. The Group I Mortgage Loans will consist of adjustable-rate and fixed-rate mortgage loans with principal balances at origination that conform to Freddie Mac loan limits. The Group II Mortgage Loans will consist of adjustable-rate and fixed-rate mortgage loans with principal balances at origination that may or may not conform to Freddie Mac or Fannie Mae loan limits.

The Mortgage Loans will be secured by mortgages or deeds of trust or other similar security instruments creating first or second liens on residential properties (the “Mortgaged Properties”) consisting of attached, detached or semi-detached, one- to four-family dwelling units, individual condominium units or individual units in planned unit developments and manufactured housing. The Mortgage Loans will have original terms to maturity of not greater than 30 years from the date on which the first payment was due on each Mortgage Loan.

Each adjustable-rate Mortgage Loan will accrue interest at the adjustable-rate calculated as specified under the terms of the related mortgage note and each fixed-rate Mortgage Loan will have a Mortgage Rate that is fixed for the life of such Mortgage (each such rate, a “Mortgage Rate”).

Each adjustable-rate Mortgage Loan will accrue interest at a Mortgage Rate that is adjustable. The adjustable-rate Mortgage Loans will provide for semi-annual adjustment to the Mortgage Rate thereon and for corresponding adjustments to the monthly payment amount due thereon, in each case on each adjustment date applicable thereto (each such date, an “Adjustment Date”); provided, that the first adjustment for approximately 65.55% of the adjustable-rate Group I Mortgage Loans and approximately 72.77% of the adjustable-rate Group II Mortgage Loans, in each case by aggregate scheduled principal balance of the adjustable-rate Mortgage Loans in the related loan group as of the Subsequent Cut-off Date, will occur after an initial period of two years after origination, and the first adjustment for approximately 34.45% of the adjustable-rate Group I Mortgage Loans and approximately 27.23% of the adjustable-rate Group II Mortgage Loans, in each case by aggregate scheduled principal balance of the adjustable-rate Mortgage Loans in the related loan group as of the Subsequent Cut-off Date, will occur after an initial period of three years after origination. On each Adjustment Date for each adjustable-rate Mortgage Loan, the Mortgage Rate thereon will be adjusted (subject to rounding) to equal the sum of the applicable Index (as defined below) and a fixed percentage amount (the “Gross Margin”). The Mortgage Rate on each adjustable-rate Mortgage Loan will not decrease on the first related Adjustment Date, will not increase by more than 2.000% per annum on the first related Adjustment Date (the “Initial Periodic Rate Cap”) and will not increase or decrease by more than 1.000% per annum on any Adjustment Date thereafter (the “Periodic Rate Cap”). Each Mortgage Rate on each adjustable-rate Mortgage Loan will not exceed a specified

 



maximum Mortgage Rate over the life of such Mortgage Loan (the “Maximum Mortgage Rate”) or be less than a specified minimum Mortgage Rate over the life of such Mortgage Loan (the “Minimum Mortgage Rate”). Effective with the first monthly payment due on each adjustable-rate Mortgage Loan after each related Adjustment Date, the monthly payment amount will be adjusted to an amount that will amortize fully the outstanding principal balance of the related Mortgage Loan over its remaining term, and pay interest at the Mortgage Rate as so adjusted. Due to the application of the Periodic Rate Caps and the Maximum Mortgage Rates, the Mortgage Rate on each such adjustable-rate Mortgage Loan, as adjusted on any related Adjustment Date, may be less than the sum of the Index and the related Gross Margin, rounded as described herein. None of the adjustable-rate Mortgage Loans permits the related mortgagor to convert the adjustable Mortgage Rate thereon to a fixed Mortgage Rate.

The Mortgage Loans will have scheduled monthly payments due on the first day of the month (with respect to each Mortgage Loan, a “Due Date”). Each Mortgage Loan will contain a customary “due-on-sale” clause which provides that (subject to state and federal restrictions) the Mortgage Loan must be repaid at the time of sale of the related mortgaged property or with the consent of the holder of the mortgage note assumed by a creditworthy purchaser of the related mortgaged property.

None of the Mortgage Loans will be buydown mortgage loans.

Approximately 64.98% of the Group I Mortgage Loans and approximately 63.83% of the Group II Mortgage Loans, in each case by aggregate scheduled principal balances of the related loan group as of the Subsequent Cut-off Date, provide for payment by the mortgagor of a prepayment charge on certain principal prepayments, subject to certain limitations in the related mortgage note and limitations upon collection in the Pooling and Servicing Agreement. Generally, each such Mortgage Loan provides for payment of a prepayment charge on certain prepayments made within a defined period set forth in the related Mortgage Note (generally within the first three years but possibly as short as one year from the date of origination of such Mortgage Loan). The amount of the prepayment charge is as provided in the related Mortgage Note. The holders of the Class P Certificates will be entitled to all prepayment charges received on the Mortgage Loans in each loan group, and such amounts will not be available for distribution on the other classes of Certificates. Under certain instances, as described under the terms of the Pooling and Servicing Agreement, the Master Servicer may waive the payment of any otherwise applicable prepayment charge. Investors should conduct their own analysis of the effect, if any, that the prepayment charges, and decisions by the Master Servicer with respect to the waiver thereof, may have on the prepayment performance of the Mortgage Loans. The Depositor makes no representation as to the effect that the prepayment charges, and decisions by the Master Servicer with respect to the waiver thereof, may have on the prepayment performance of the Mortgage Loans. As of July 1, 2003, the Alternative Mortgage Parity Act of 1982 (the “Parity Act”), which regulates the ability of the Originator to impose prepayment charges, was amended, and as a result, the Originator will be required to comply with state and local laws in originating mortgage loans with prepayment charge provisions with respect to loans originated on or after July 1, 2003. However, the ruling of the Office of Thrift Supervision (the “OTS”) does not retroactively affect loans originated before July 1, 2003. See “Legal Aspects of Mortgage Assets—Enforceability of Certain Provisions—Prepayment Charges” in the prospectus.

 



 

Aggregate Mortgage Loan Statistics

 

The Mortgage Loans consist of 15,090 adjustable-rate and fixed-rate Mortgage Loans having an aggregate principal balance as of the Subsequent Cut-off Date of approximately $2,750,008,819.79, after application of scheduled payments due on or before the Subsequent Cut-off Date whether or not received and application of all unscheduled payments of principal received prior to the Subsequent Cut-off Date, and subject to a permitted variance of plus or minus 5%. None of the Mortgage Loans had a first Due Date prior to February 1, 2005 or after October 1, 2005, or will have a remaining term to stated maturity of less than 178 months or greater than 360 months as of the Subsequent Cut-off Date. The latest maturity date of any Mortgage Loan is September 1, 2035.

 

Approximately 5.04% of the Group I Mortgage Loans and approximately 18.04% of the Group II Mortgage Loans, in each case by aggregate scheduled principal balance of the related loan group as of the Subsequent Cut-off Date, require the mortgagors to make monthly payments only of accrued interest for the first two, three or five years following origination. After such interest only period, the mortgagor’s monthly payment will be recalculated to cover both interest and principal so that the Mortgage Loan will amortize fully by its final payment date.

 

 

 



 

 

 

 

 

DESCRIPTION OF THE TOTAL COLLATERAL

 


Collateral Summary

Statistics given below are for the Mortgage Loans in the pool as of the Cut-off Date. Balances and percentages are based on the Cut-off Date scheduled balances of such Mortgage Loans (except in the case of Debt-to-Income and FICO, which are determined at origination).

 

 

Summary Statistics

Range (if applicable)

 

 

 

Number of Mortgage Loans:

15,090

 

 

 

 

 

Aggregate Current Principal Balance:

$2,750,008,819.79

 

Average Current Principal Balance:

$182,240.48

$19,993.02 - $849,303.25

 

 

 

Aggregate Original Principal Balance:

$2,752,235,850.00

 

Average Original Principal Balance:

$182,333.06

$20,000.00 - $850,000.00

 

 

 

Fully Amortizing Mortgage Loans:

100.00%

 

 

 

 

1st Lien:

98.75%

 

 

 

 

Wtd. Avg. Gross Coupon:

7.366%

5.200% - 12.710%

 

 

 

Wtd. Avg. Original Term (months):

358

180 - 360

Wtd. Avg. Remaining Term (months):

357

173– 360

 

 

 

Wtd. Avg. Margin (ARM Loans Only):

5.784%

4.000% - 7.125%

 

 

 

Wtd. Avg. Maximum Mortgage Rate (ARM Loans Only):

13.513%

11.200% - 18.000%

 

 

 

Wtd. Avg. Minimum Mortgage Rate (ARM Loans Only):

7.513%

5.200% - 12.000%

 

 

 

Wtd. Avg. Original LTV:

79.62%

12.02% - 100.00%

 

 

 

Wtd. Avg. Borrower FICO:

619

500 - 813

 

 

 

Geographic Distribution (Top 5):

CA:

23.54%

 

 

FL:

14.56%

 

 

IL

8.23%

 

 

AZ

6.73%

 

 

NY

6.04%

 

(1)The loan-to-value(“OLTV”) of a first-lien mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is the principal balance of the mortgage loan at the date of origination and the denominator of which is the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The OLTV of a second lien mortgage loan at any given time is a fraction, expressed as a percentage the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) the outstanding balance of the senior mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan.

 



 

 

DESCRIPTION OF THE TOTAL COLLATERAL

 

 

Collateral Type

COLLATERAL TYPE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF
THE CUT-OFF DATE

% OF PRINCIPAL

BALANCE
AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME (%)

GROSS COUPON (%)

FICO

OLTV

(%)

2YR/6 MO LIBOR

7,406

$1,348,329,188.13

49.03

359

39.20

7.633

601

81.75

2YR/6 MO LIBOR - 2YR IO

499

$123,679,730.53

4.50

359

40.27

7.020

688

77.59

2YR/6 MO LIBOR - 3YR IO

2

$258,300.00

0.01

359

35.25

7.897

645

84.43

2YR/6 MO LIBOR - 5YR IO

133

$32,702,643.29

1.19

359

40.70

7.087

685

79.55

3YR/6 MO LIBOR

3,354

$622,823,983.78

22.65

359

39.29

7.460

614

81.93

3YR/6 MO LIBOR - 3YR IO

301

$63,928,834.87

2.32

358

40.20

6.815

677

76.93

3YR/6 MO LIBOR - 5YR IO

49

$10,707,696.00

0.39

359

35.73

6.698

683

78.68

FIXED RATE

3,168

$502,454,216.11

18.27

350

39.30

6.809

637

72.24

FIXED RATE - 2YR IO

1

$258,400.00

0.01

359

37.00

7.500

721

80.00

FIXED RATE - 3YR IO

4

$1,076,000.00

0.04

359

47.21

6.385

654

79.13

FIXED RATE - 5YR IO

173

$43,789,827.08

1.59

357

39.26

6.373

674

75.75

Total:

15,090

$2,750,008,819.79

100.00

357

39.32

7.366

619

79.62

 

 

 

Principal Balances at Origination

RANGE OF

PRINCIPAL BALANCES

AT ORIGINATION ($)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF

ORIGINATION

% OF PRINCIPAL

BALANCE
AS OF

ORIGINATION

REMAINING

TERM TO

MATURITY

(months)*

DEBT-TO-INCOME (%)*

GROSS COUPON (%)*

FICO*

OLTV

(%)*

0.01 - 25,000.00

38

$874,530.00

0.03

358

37.60

11.132

646

100.00

25,000.01 - 50,000.00

294

$10,881,285.00

0.40

358

39.92

10.808

667

99.99

50,000.01 - 100,000.00

3,237

$257,784,962.00

9.37

353

36.56

8.062

607

80.77

100,000.01 - 150,000.00

3,973

$496,182,683.00

18.03

356

38.20

7.570

613

80.05

150,000.01 - 200,000.00

2,735

$476,203,868.00

17.30

357

39.36

7.397

615

79.15

200,000.01 - 250,000.00

1,710

$383,788,652.00

13.94

358

39.44

7.292

617

79.03

250,000.01 - 300,000.00

1,065

$292,532,892.00

10.63

358

40.33

7.199

620

79.05

300,000.01 - 350,000.00

693

$224,566,732.00

8.16

358

40.49

7.133

620

79.27

350,000.01 - 400,000.00

503

$188,338,688.00

6.84

359

40.68

7.072

627

79.33

400,000.01 - 450,000.00

297

$126,610,106.00

4.60

359

40.92

7.093

631

79.48

450,000.01 - 500,000.00

230

$109,565,873.00

3.98

359

40.09

6.998

640

80.21

500,000.01 - 550,000.00

119

$62,301,111.00

2.26

358

40.05

6.864

642

79.55

550,000.01 - 600,000.00

92

$52,999,285.00

1.93

359

39.00

6.973

624

80.44

600,000.01 - 650,000.00

54

$33,799,176.00

1.23

356

39.32

7.140

611

82.19

650,000.01 - 700,000.00

22

$14,901,300.00

0.54

359

41.13

6.944

611

77.45

700,000.01 - 750,000.00

19

$13,820,207.00

0.50

359

39.61

6.934

629

73.09

750,000.01 >=

9

$7,084,500.00

0.26

359

43.90

6.723

626

72.47

Total:

15,090

$2,752,235,850.00

100.00

357

39.32

7.366

619

79.62

 

*Based on the original balances of the Mortgage Loans.

 

 



 

 


DESCRIPTION OF THE TOTAL COLLATERAL

 

 

Principal Balance as of the Cut-Off Date

RANGE OF PRINCIPAL BALANCES AS OF THE

CUT-OFF DATE ($)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF
THE CUT-OFF DATE

% OF PRINCIPAL

BALANCE
AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME
(%)

GROSS COUPON
(%)

FICO

OLTV

(%)

0.01 - 25,000.00

39

$898,872.82

0.03

358

37.64

11.069

646

100.00

25,000.01 - 50,000.00

293

$10,849,207.46

0.39

358

39.93

10.813

667

99.99

50,000.01 - 100,000.00

3,241

$257,964,835.62

9.38

352

36.57

8.061

607

80.76

100,000.01 - 150,000.00

3,975

$496,251,236.24

18.05

356

38.19

7.570

613

80.06

150,000.01 - 200,000.00

2,731

$475,288,216.10

17.28

357

39.36

7.397

615

79.14

200,000.01 - 250,000.00

1,709

$383,344,921.07

13.94

358

39.45

7.292

617

79.03

250,000.01 - 300,000.00

1,064

$292,059,533.60

10.62

358

40.34

7.200

620

79.05

300,000.01 - 350,000.00

693

$224,384,241.46

8.16

358

40.49

7.133

620

79.27

350,000.01 - 400,000.00

503

$188,204,925.93

6.84

359

40.68

7.072

627

79.33

400,000.01 - 450,000.00

298

$126,964,933.65

4.62

359

40.91

7.095

631

79.52

450,000.01 - 500,000.00

229

$109,036,074.15

3.96

359

40.10

6.996

640

80.17

500,000.01 - 550,000.00

119

$62,251,660.06

2.26

358

40.05

6.864

642

79.55

550,000.01 - 600,000.00

92

$52,963,207.82

1.93

359

39.00

6.974

624

80.44

600,000.01 - 650,000.00

54

$33,765,630.06

1.23

356

39.32

7.141

611

82.19

650,000.01 - 700,000.00

22

$14,889,825.15

0.54

359

41.13

6.944

611

77.45

700,000.01 - 750,000.00

19

$13,809,988.75

0.50

359

39.61

6.935

629

73.09

750,000.01 >=

9

$7,081,509.85

0.26

359

43.90

6.724

626

72.47

Total:

15,090

$2,750,008,819.79

100.00

357

39.32

7.366

619

79.62

 

 

Remaining Term to Maturity

RANGE OF MONTHS REMAINING

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF
THE CUT-OFF DATE

% OF PRINCIPAL

BALANCE
AS OF
THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME
(%)

GROSS COUPON
(%)

FICO

OLTV
(%)

121 - 180

166

$20,491,400.80

0.75

179

36.04

6.737

633

66.59

181 - 240

101

$12,613,999.78

0.46

239

39.81

6.739

631

71.32

301 - 360

14,823

$2,716,903,419.21

98.80

359

39.34

7.374

618

79.76

Total:

15,090

$2,750,008,819.79

100.00

357

39.32

7.366

619

79.62

 

 



 

 

DESCRIPTION OF THE TOTAL COLLATERAL

 


Mortgage Rate

RANGE OF CURRENT

MORTGAGE RATES

(%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

5.000 - 5.499

123

$30,387,329.09

1.10

358

39.28

5.358

653

75.50

5.500 - 5.999

1,225

$304,101,199.78

11.06

355

39.19

5.734

653

71.13

6.000 - 6.499

1,632

$345,850,280.45

12.58

356

39.81

6.245

645

75.74

6.500 - 6.999

2,516

$486,504,160.03

17.69

356

39.54

6.745

634

77.32

7.000 - 7.499

2,027

$379,777,333.78

13.81

358

39.30

7.235

622

79.53

7.500 - 7.999

2,503

$451,715,179.11

16.43

358

39.25

7.737

601

81.97

8.000 - 8.499

1,677

$286,316,364.22

10.41

359

38.85

8.225

594

84.88

8.500 - 8.999

1,431

$230,798,857.40

8.39

358

38.70

8.713

587

85.49

9.000 - 9.499

779

$111,323,247.27

4.05

359

39.06

9.210

590

86.07

9.500 - 9.999

402

$55,740,319.93

2.03

358

39.17

9.708

578

83.81

10.000 - 10.499

141

$17,222,482.56

0.63

359

39.66

10.229

570

80.44

10.500 - 10.999

283

$24,596,583.98

0.89

359

41.75

10.686

616

84.84

11.000 - 11.499

162

$13,172,701.81

0.48

359

40.65

11.195

599

83.26

11.500 - 11.999

148

$10,531,639.37

0.38

357

42.27

11.755

600

89.64

12.000 - 12.499

39

$1,895,195.43

0.07

357

43.31

12.110

607

93.74

12.500 - 12.999

2

$75,945.58

0.00

354

33.15

12.610

632

100.00

Total:

15,090

$2,750,008,819.79

100.00

357

39.32

7.366

619

79.62

 

 

Original Loan-to-Value Ratios(1)

RANGE OF ORIGINAL

LOAN-TO-VALUE

RATIOS (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

<= 25.00

27

$3,173,062.14

0.12

339

26.37

6.677

636

20.35

25.01 - 30.00

19

$2,130,382.16

0.08

340

36.74

6.821

636

27.38

30.01 - 35.00

42

$5,353,034.72

0.19

347

38.38

6.789

595

33.22

35.01 - 40.00

64

$8,860,424.27

0.32

336

38.35

6.752

604

38.18

40.01 - 45.00

81

$10,840,592.43

0.39

351

38.31

6.781

607

42.81

45.01 - 50.00

151

$27,189,188.59

0.99

350

38.96

6.872

604

47.89

50.01 - 55.00

234

$41,198,717.68

1.50

349

37.83

6.638

618

52.67

55.01 - 60.00

339

$65,365,310.81

2.38

355

38.81

6.927

603

58.07

60.01 - 65.00

675

$134,374,858.74

4.89

354

39.15

6.893

605

63.34

65.01 - 70.00

894

$173,747,647.73

6.32

356

39.63

7.280

591

68.65

70.01 - 75.00

1,291

$259,578,951.48

9.44

356

40.65

7.136

594

73.97

75.01 - 80.00

5,335

$1,045,028,435.95

38.00

358

39.76

6.925

639

79.71

80.01 - 85.00

1,180

$208,494,064.64

7.58

358

38.69

7.470

593

84.36

85.01 - 90.00

3,005

$525,786,226.39

19.12

359

38.28

8.069

607

89.80

90.01 - 95.00

1,129

$204,326,216.78

7.43

359

39.12

8.239

634

94.87

95.01 - 100.00

624

$34,561,705.28

1.26

357

40.87

10.831

671

99.96

Total:

15,090

$2,750,008,819.79

100.00

357

39.32

7.366

619

79.62

 

 



 


DESCRIPTION OF THE TOTAL COLLATERAL

 

FICO Score at Origination

RANGE OF FICO SCORES

NUMBER OF MORTGAGE LOANS

 

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME (%)

GROSS COUPON (%)

FICO

OLTV

(%)

500 - 519

784

$129,566,852.83

4.71

359

41.26

8.178

510

76.28

520 - 539

1,166

$197,852,455.13

7.19

358

41.24

8.092

530

76.76

540 - 559

1,404

$249,930,887.18

9.09

357

40.25

7.888

550

78.72

560 - 579

1,285

$226,944,530.45

8.25

357

40.30

7.907

569

79.06

580 - 599

1,409

$265,154,141.27

9.64

357

38.99

7.435

589

79.99

600 - 619

1,876

$349,893,747.29

12.72

357

39.37

7.173

609

80.78

620 - 639

1,956

$344,769,780.58

12.54

357

39.08

7.159

629

79.86

640 - 659

1,576

$281,465,268.27

10.24

357

38.75

7.094

650

80.09

660 - 679

1,123

$217,511,260.92

7.91

357

38.76

6.958

668

80.19

680 - 699

966

$177,014,536.60

6.44

358

38.24

6.915

689

80.59

700 - 719

596

$114,940,288.57

4.18

356

38.50

7.061

708

81.73

720 - 739

408

$79,406,317.38

2.89

358

37.19

7.010

729

81.62

740 - 759

268

$57,800,915.82

2.10

354

38.04

6.811

749

79.65

760 - 779

166

$32,469,370.87

1.18

358

37.46

6.719

769

80.47

780 - 799

86

$19,722,728.55

0.72

358

36.95

6.713

787

78.39

800 - 819

21

$5,565,738.08

0.20

356

36.54

6.143

804

67.12

Total:

15,090

$2,750,008,819.79

100.00

357

39.32

7.366

619

79.62

 

 

 

Debt-to-Income Ratio

 

RANGE OF DEBT-TO-INCOME RATIOS (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

0.01 - 20.00

832

$144,615,762.66

5.26

355

13.94

7.376

634

79.41

20.01 - 25.00

795

$126,460,796.43

4.60

357

23.24

7.375

624

78.78

25.01 - 30.00

1,267

$201,468,452.09

7.33

356

28.15

7.391

619

78.77

30.01 - 35.00

1,893

$317,853,048.10

11.56

357

33.12

7.346

624

78.79

35.01 - 40.00

2,628

$462,127,746.85

16.80

357

38.16

7.368

622

80.32

40.01 - 45.00

3,360

$626,655,195.41

22.79

357

43.07

7.377

620

80.38

45.01 - 50.00

3,824

$766,512,444.17

27.87

358

48.06

7.381

614

81.06

50.01 - 55.00

491

$104,315,374.08

3.79

356

52.85

7.166

587

66.86

Total:

15,090

$2,750,008,819.79

100.00

357

39.32

7.366

619

79.62

 

 



 

 

DESCRIPTION OF THE TOTAL COLLATERAL

 



Geographic Distribution

STATE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

CA

2,218

$647,438,334.33

23.54

357

40.78

6.969

627

75.63

FL

2,326

$400,338,605.17

14.56

357

38.94

7.440

618

80.10

IL

1,315

$226,298,012.28

8.23

358

39.50

7.511

627

82.15

AZ

1,204

$185,029,915.80

6.73

356

38.20

7.409

620

80.90

NY

564

$166,102,289.31

6.04

358

39.01

7.069

622

76.03

MD

555

$116,217,042.91

4.23

358

39.58

7.294

606

79.24

TX

852

$106,288,020.53

3.87

350

37.95

7.555

618

81.75

NJ

432

$99,675,565.05

3.62

358

38.84

7.488

614

77.01

MI

790

$88,789,441.63

3.23

359

39.25

8.016

597

84.64

NV

389

$81,761,548.06

2.97

358

38.68

7.377

626

80.26

WA

267

$53,796,952.10

1.96

358

39.42

7.162

624

80.78

GA

334

$48,781,577.23

1.77

358

36.52

7.653

616

84.98

MO

378

$43,577,339.39

1.58

358

37.34

7.906

597

83.89

OH

413

$42,584,387.33

1.55

354

37.91

7.984

594

84.65

MA

160

$37,171,046.23

1.35

359

39.69

7.225

649

81.79

PA

279

$36,457,229.40

1.33

355

38.01

7.900

591

80.42

MN

199

$33,848,012.70

1.23

358

40.39

7.632

621

81.65

WI

280

$33,771,859.23

1.23

358

40.45

8.268

601

83.69

CT

141

$28,379,318.06

1.03

356

39.35

7.824

598

81.00

UT

209

$27,440,520.47

1.00

357

39.16

7.273

634

82.85

IN

279

$26,764,054.10

0.97

357

35.21

7.872

609

84.53

CO

152

$26,398,376.12

0.96

357

40.41

7.218

616

83.25

HI

69

$23,292,215.15

0.85

357

42.17

6.347

645

72.47

NC

158

$20,329,030.89

0.74

358

38.30

7.551

612

82.75

RI

69

$14,092,653.52

0.51

359

40.75

7.549

622

78.24

TN

123

$13,543,846.09

0.49

355

38.46

8.060

579

86.20

OR

74

$13,369,003.71

0.49

359

40.61

7.307

612

79.67

NM

100

$13,284,169.39

0.48

357

38.54

7.484

634

83.47

OK

88

$9,550,451.14

0.35

353

37.33

7.940

612

84.86

KY

82

$9,252,015.35

0.34

355

37.81

7.892

598

84.50

IA

88

$8,867,799.74

0.32

355

38.40

7.755

610

83.00

KS

67

$8,461,160.73

0.31

357

39.89

8.020

598

87.14

NE

68

$7,923,108.72

0.29

359

39.47

7.956

612

85.12

AL

65

$6,771,738.62

0.25

356

35.46

8.313

590

84.89

ME

46

$6,762,374.72

0.25

359

38.64

7.274

601

78.77

DE

42

$6,076,083.81

0.22

350

39.81

7.354

592

81.51

NH

32

$5,680,198.18

0.21

359

38.66

7.455

614

80.11

AK

31

$5,664,591.48

0.21

359

43.46

7.278

629

81.66

SC

45

$5,335,014.32

0.19

356

37.05

7.856

579

85.08

ID

22

$3,404,490.06

0.12

359

35.57

7.037

607

80.68

ND

17

$1,963,886.17

0.07

351

41.11

7.481

634

84.25

AR

14

$1,958,796.55

0.07

359

37.07

8.101

599

83.64

MS

17

$1,903,857.67

0.07

359

36.80

7.945

596

82.67

MT

9

$1,534,839.27

0.06

359

37.27

7.699

598

78.28

VT

5

$1,292,567.98

0.05

359

34.50

7.821

579

80.74

WY

9

$1,111,320.00

0.04

331

35.06

6.726

628

77.18

LA

9

$1,040,719.37

0.04

352

33.20

7.211

602

80.06

SD

5

$633,439.73

0.02

359

36.29

7.383

591

84.29

Total:

15,090

$2,750,008,819.79

100.00

357

39.32

7.366

619

79.62

 



 

 

DESCRIPTION OF THE TOTAL COLLATERAL

 

Occupancy Status

OCCUPANCY

STATUS*

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME (%)

GROSS COUPON (%)

FICO

OLTV

(%)

OWNER OCCUPIED

13,413

$2,497,888,547.16

90.83

357

40.08

7.298

615

79.09

NON-OWNER OCCUPIED

1,526

$224,786,980.49

8.17

358

30.93

8.132

655

85.17

SECOND HOME

151

$27,333,292.14

0.99

358

38.92

7.301

640

82.10

Total:

15,090

$2,750,008,819.79

100.00

357

39.32

7.366

619

79.62

 

*Based on mortgagor representation at origination.

 

 

 

Documentation Type

INCOME DOCUMENTATION

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME (%)

GROSS COUPON (%)

FICO

OLTV

(%)

FULL

7,998

$1,418,279,825.68

51.57

356

39.28

7.040

604

77.94

LIMITED

692

$130,829,223.01

4.76

358

36.04

7.372

605

81.61

STATED

6,400

$1,200,899,771.10

43.67

358

39.72

7.750

638

81.38

Total:

15,090

$2,750,008,819.79

100.00

357

39.32

7.366

619

79.62

 

 

 

Loan Purpose

PURPOSE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME (%)

GROSS COUPON (%)

FICO

OLTV

(%)

Refinance-Debt Consolidation Cash Out**

7,643

$1,463,450,439.42

53.22

356

39.60

7.298

596

75.87

Purchase

6,626

$1,156,015,439.54

42.04

359

38.99

7.476

648

84.34

Refinance-Debt Consolidation No Cash Out***

821

$130,542,940.83

4.75

354

39.03

7.154

615

79.83

Total:

15,090

$2,750,008,819.79

100.00

357

39.32

7.366

619

79.62

** Cash proceeds to the borrower inclusive of debt consolidation payments exceed 2% or $2,000 of the original principal balance of the related loan. Also includes all home equity loans originated in Texas with any cash proceeds.

 

*** Cash proceeds to the borrower inclusive of debt consolidation payments do not exceed 2% or $2,000 of the original principal balance of the related loan. Excludes home equity loans originated in Texas with any cash proceeds.

 

 

 

 



 

 

DESCRIPTION OF THE TOTAL COLLATERAL

 

Credit Grade

RISK CATEGORY*

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

1

11,256

$2,031,680,175.77

73.88

357

39.06

7.189

636

80.56

2

2,301

$433,189,217.23

15.75

357

39.60

7.578

577

79.67

3

712

$139,962,615.81

5.09

358

40.42

7.877

562

77.04

4

575

$101,256,309.72

3.68

358

40.62

8.178

557

70.35

5

246

$43,920,501.26

1.60

359

42.16

9.982

550

65.46

Total:

15,090

$2,750,008,819.79

100.00

357

39.32

7.366

619

79.62

 

 

 

Property Type

PROPERTY TYPE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

SFR

11,309

$2,015,301,577.32

73.28

357

39.53

7.340

616

79.37

PUD

1,823

$372,712,087.03

13.55

357

39.43

7.367

620

81.13

2-4 UNITS

903

$196,228,721.73

7.14

358

36.99

7.487

632

78.31

CONDO

947

$148,505,802.72

5.40

359

39.07

7.553

634

80.87

PUD-ATTACH

94

$15,018,385.74

0.55

353

41.05

7.442

618

79.94

SFR-ATTACH

14

$2,242,245.25

0.08

359

37.67

7.384

622

81.11

Total:

15,090

$2,750,008,819.79

100.00

357

39.32

7.366

619

79.62

                                                                                                                                                                                  

 

Prepayment Charge Term

PREPAYMENT CHARGE

TERM AT ORIGINATION

(MONTHS)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

0

5,398

$975,211,445.74

35.46

357

38.99

7.660

624

81.28

12

572

$138,850,114.26

5.05

357

38.81

7.228

633

77.06

24

6,088

$1,079,951,034.79

39.27

359

39.60

7.465

605

81.01

36

3,032

$555,996,225.00

20.22

353

39.47

6.693

633

74.63

Total:

15,090

$2,750,008,819.79

100.00

357

39.32

7.366

619

79.62

 

 

Conforming Balances

CONFORMING BALANCE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

Conforming

13,842

$2,213,906,484.49

80.51

357

38.98

7.432

616

79.50

Non-Conforming

1,248

$536,102,335.30

19.49

359

40.71

7.092

630

80.10

Total:

15,090

$2,750,008,819.79

100.00

357

39.32

7.366

619

79.62

 

 

 



 

 

DESCRIPTION OF THE TOTAL COLLATERAL

 

Maximum Mortgage Rates of the Adjustable-Rate Loans

RANGE OF MAXIMUM

MORTGAGE RATES (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

11.000 - 11.499

118

$28,251,432.52

1.28

358

39.69

5.353

650

75.47

11.500 - 11.999

558

$125,145,408.67

5.68

359

38.82

5.767

639

75.34

12.000 - 12.499

1,094

$238,662,310.33

10.84

359

39.82

6.249

647

77.53

12.500 - 12.999

1,864

$376,385,609.48

17.09

359

39.82

6.751

635

78.93

13.000 - 13.499

1,700

$332,218,497.47

15.08

359

39.35

7.237

622

80.56

13.500 - 13.999

2,239

$415,352,200.78

18.86

359

39.24

7.741

601

82.78

14.000 - 14.499

1,565

$272,996,350.49

12.40

359

38.82

8.225

595

85.46

14.500 - 14.999

1,333

$220,699,657.21

10.02

359

38.73

8.714

587

86.00

15.000 - 15.499

662

$103,639,280.79

4.71

359

39.18

9.208

585

85.83

15.500 - 15.999

361

$52,502,658.01

2.38

359

39.33

9.709

575

83.87

16.000 - 16.499

113

$14,992,281.68

0.68

359

39.36

10.230

565

79.80

16.500 - 16.999

82

$12,673,907.63

0.58

359

42.02

10.668

550

72.07

17.000 - 17.499

34

$5,483,222.59

0.25

359

39.02

11.181

536

67.25

17.500 - 17.999

19

$3,032,816.94

0.14

359

42.05

11.732

519

66.92

18.000 - 18.499

2

$394,742.01

0.02

359

52.70

12.000

515

70.00

Total:

11,744

$2,202,430,376.60

100.00

359

39.32

7.513

613

81.38

 

 

 

Minimum Mortgage Rates of the Adjustable-Rate Loans

RANGE OF MINIMUM

MORTGAGE RATES (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

5.000 - 5.499

118

$28,251,432.52

1.28

358

39.69

5.353

650

75.47

5.500 - 5.999

558

$125,145,408.67

5.68

359

38.82

5.767

639

75.34

6.000 - 6.499

1,094

$238,662,310.33

10.84

359

39.82

6.249

647

77.53

6.500 - 6.999

1,864

$376,385,609.48

17.09

359

39.82

6.751

635

78.93

7.000 - 7.499

1,700

$332,218,497.47

15.08

359

39.35

7.237

622

80.56

7.500 - 7.999

2,239

$415,352,200.78

18.86

359

39.24

7.741

601

82.78

8.000 - 8.499

1,565

$272,996,350.49

12.40

359

38.82

8.225

595

85.46

8.500 - 8.999

1,333

$220,699,657.21

10.02

359

38.73

8.714

587

86.00

9.000 - 9.499

662

$103,639,280.79

4.71

359

39.18

9.208

585

85.83

9.500 - 9.999

361

$52,502,658.01

2.38

359

39.33

9.709

575

83.87

10.000 - 10.499

113

$14,992,281.68

0.68

359

39.36

10.230

565

79.80

10.500 - 10.999

82

$12,673,907.63

0.58

359

42.02

10.668

550

72.07

11.000 - 11.499

34

$5,483,222.59

0.25

359

39.02

11.181

536

67.25

11.500 - 11.999

19

$3,032,816.94

0.14

359

42.05

11.732

519

66.92

12.000 - 12.499

2

$394,742.01

0.02

359

52.70

12.000

515

70.00

Total:

11,744

$2,202,430,376.60

100.00

359

39.32

7.513

613

81.38

 

Gross Margins of the Adjustable-Rate Loans

RANGE OF GROSS

MARGINS (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

4.000 - 4.249

1,250

$237,900,328.27

10.80

359

39.53

7.457

629

82.67

4.500 - 4.749

12

$1,797,220.41

0.08

359

37.69

8.042

602

84.97

5.000 - 5.249

1

$339,680.49

0.02

359

49.00

6.300

514

80.00

6.000 - 6.249

10,465

$1,959,436,123.50

88.97

359

39.29

7.519

611

81.23

6.500 - 6.749

5

$1,090,174.36

0.05

359

43.37

7.283

622

72.33

6.750 - 6.999

3

$610,962.59

0.03

359

37.34

8.625

554

74.02

7.000 - 7.249

8

$1,255,886.98

0.06

359

42.54

8.278

572

76.79

Total:

11,744

$2,202,430,376.60

100.00

359

39.32

7.513

613

81.38

 



 

 

DESCRIPTION OF THE TOTAL COLLATERAL

 

Next Rate Adjustment Date of the Adjustable-Rate Loans

NEXT RATE ADJUSTMENT

DATE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

2007-02

2

$640,684.06

0.03

353

44.89

6.310

553

84.64

2007-03

7

$1,140,890.25

0.05

354

40.24

6.881

606

83.99

2007-04

17

$3,918,613.68

0.18

355

35.80

7.138

613

84.71

2007-05

23

$5,132,406.76

0.23

356

43.85

7.201

615

80.39

2007-06

100

$17,227,303.79

0.78

357

39.34

7.485

611

81.60

2007-07

657

$112,074,667.35

5.09

358

39.05

7.595

611

82.28

2007-08

6,177

$1,189,090,520.06

53.99

359

39.36

7.557

608

81.36

2007-09

1,057

$175,744,776.00

7.98

360

39.18

7.686

620

80.69

2008-03

4

$748,429.78

0.03

354

44.69

7.365

609

90.32

2008-04

9

$2,151,992.17

0.10

355

31.14

6.871

597

82.55

2008-05

1

$198,340.65

0.01

356

29.00

6.130

680

80.00

2008-06

32

$6,118,592.82

0.28

357

38.40

8.004

598

86.27

2008-07

271

$44,420,057.48

2.02

358

40.00

7.506

610

81.51

2008-08

3,113

$597,161,294.75

27.11

359

39.27

7.356

620

81.17

2008-09

274

$46,661,807.00

2.12

360

39.74

7.661

648

83.70

Total:

11,744

$2,202,430,376.60

100.00

359

39.32

7.513

613

81.38

 

 

Initial Periodic Rate Cap of the Adjustable-Rate Loans

INITIAL PERIODIC

CAP (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

2.000

11,744

$2,202,430,376.60

100.00

359

39.32

7.513

613

81.38

Total:

11,744

$2,202,430,376.60

100.00

359

39.32

7.513

613

81.38

 

 

Periodic Rate Cap of the Adjustable-Rate Loans

PERIODIC

CAP (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

1.000

11,744

$2,202,430,376.60

100.00

359

39.32

7.513

613

81.38

Total:

11,744

$2,202,430,376.60

100.00

359

39.32

7.513

613

81.38

 

 

 

 

 

 

 



 

Group I Mortgage Loan Statistics

 

The Group I Mortgage Loans consist of 10,987 adjustable-rate and fixed-rate Mortgage Loans having an aggregate principal balance as of the Subsequent Cut-off Date of approximately $1,690,205,797.00, after application of scheduled payments due on or before the Subsequent Cut-off Date whether or not received and application of all unscheduled payments of principal received prior to the Subsequent Cut-off Date, and subject to a permitted variance of plus or minus 5%. None of the Group I Mortgage Loans had a first Due Date prior to March 1, 2005 or after October 1, 2005, or will have a remaining term to stated maturity of less than 178 months or greater than 360 months as of the Subsequent Cut-off Date. The latest maturity date of any Group I Mortgage Loan is September 1, 2035.

 

 

DESCRIPTION OF THE GROUP I COLLATERAL

 


Collateral Summary

Statistics given below are for the Mortgage Loans in the pool as of the Cut-off Date. Balances and percentages are based on the Cut-off Date scheduled balances of such Mortgage Loans (except in the case of Debt-to-Income and FICO, which are determined at origination).

 

 

Summary Statistics

Range (if applicable)

 

 

 

Number of Mortgage Loans:

10,987

 

 

 

 

Aggregate Current Principal Balance:

$1,690,205,797.00

 

Average Current Principal Balance:

$153,836.88

$19,993.02 – $661,500.00

 

 

 

Aggregate Original Principal Balance:

$1,691,554,701.00

 

Average Original Principal Balance:

$153,959.65

$20,000.00 - $661,500.00

 

 

 

Fully Amortizing Mortgage Loans:

100.00%

 

 

 

 

1st Lien:

99.16%

 

 

 

 

Wtd. Avg. Gross Coupon:

7.468%

5.200% - 12.150%

 

 

 

Wtd. Avg. Original Term (months):

357

180 – 360

Wtd. Avg. Remaining Term (months):

356

178 – 360

 

 

 

Wtd. Avg. Margin (ARM Loans Only):

5.775%

4.000% - 7.125%

 

 

 

Wtd. Avg. Maximum Mortgage Rate (ARM Loans Only):

13.639%

11.200% - 18.000%

 

 

 

Wtd. Avg. Minimum Mortgage Rate (ARM Loans Only):

7.639%

5.200% - 12.000%

 

 

 

Wtd. Avg. Original LTV:

78.58%

15.84% - 100.00%

 

 

 

Wtd. Avg. Borrower FICO:

608

500 – 810

 

 

 

Geographic Distribution (Top 5):

CA:

15.19%

 

 

FL:

14.51%

 

 

IL:

9.40%

 

 

AZ:

8.27%

 

 

MD:

 

5.10%

 

(1)The loan-to-value(“OLTV”) of a first-lien mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is the principal balance of the mortgage loan at the date of origination and the denominator of which is the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The OLTV of a second lien mortgage loan at any given time is a fraction, expressed as a percentage the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) the outstanding balance of the senior mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan.

 



 

 

DESCRIPTION OF THE GROUP I COLLATERAL

 

 

Collateral Type

COLLATERAL TYPE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF
THE CUT-OFF DATE

% OF PRINCIPAL

BALANCE
AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME (%)

GROSS COUPON (%)

FICO

OLTV

(%)

2YR/6 MO LIBOR

5,576

$853,443,051.72

50.49

359

38.99

7.740

594

80.84

2YR/6 MO LIBOR - 2YR IO

169

$28,340,261.60

1.68

359

40.20

6.837

682

73.26

2YR/6 MO LIBOR - 3YR IO

1

$114,300.00

0.01

360

28.00

8.775

631

90.00

2YR/6 MO LIBOR - 5YR IO

33

$5,017,901.06

0.30

356

40.98

7.214

669

77.10

3YR/6 MO LIBOR

2,625

$433,804,072.27

25.67

359

39.32

7.575

607

81.16

3YR/6 MO LIBOR - 3YR IO

161

$28,551,529.01

1.69

358

40.46

6.612

674

74.44

3YR/6 MO LIBOR - 5YR IO

22

$3,843,296.00

0.23

359

38.50

6.602

673

78.02

FIXED RATE

2,303

$317,706,112.45

18.80

347

39.40

6.812

627

70.14

FIXED RATE - 3YR IO

3

$656,000.00

0.04

359

49.27

6.632

668

80.00

FIXED RATE - 5YR IO

94

$18,729,272.89

1.11

353

40.42

6.286

666

73.50

Total:

10,987

$1,690,205,797.00

100.00

356

39.22

7.468

608

78.58

 

 

 

Principal Balances at Origination

RANGE OF

PRINCIPAL BALANCES

AT ORIGINATION ($)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF

ORIGINATION

% OF PRINCIPAL

BALANCE
AS OF

ORIGINATION

REMAINING

TERM TO

MATURITY

(months)*

DEBT-TO-INCOME (%)*

GROSS COUPON (%)*

FICO*

OLTV

(%)*

0.01 - 25,000.00

23

$526,458.00

0.03

359

37.84

11.114

645

100.00

25,000.01 - 50,000.00

197

$7,395,885.00

0.44

359

40.00

10.729

670

99.99

50,000.01 - 100,000.00

2,765

$219,872,770.00

13.00

352

36.57

7.955

604

79.74

100,000.01 - 150,000.00

3,302

$412,251,792.00

24.37

356

38.70

7.557

607

79.53

150,000.01 - 200,000.00

2,156

$374,471,303.00

22.14

357

39.84

7.435

607

78.37

200,000.01 - 250,000.00

1,237

$277,411,879.00

16.40

358

39.71

7.300

607

77.77

250,000.01 - 300,000.00

703

$192,995,640.00

11.41

358

40.49

7.232

607

77.50

300,000.01 - 350,000.00

456

$147,839,181.00

8.74

357

41.09

7.158

605

77.07

350,000.01 - 400,000.00

98

$35,975,814.00

2.13

359

39.09

7.027

623

77.08

400,000.01 - 450,000.00

31

$13,214,530.00

0.78

359

37.83

7.355

630

79.15

450,000.01 - 500,000.00

14

$6,781,949.00

0.40

359

31.98

6.993

673

73.70

500,000.01 - 550,000.00

3

$1,566,000.00

0.09

359

31.73

8.820

593

75.51

550,000.01 - 600,000.00

1

$590,000.00

0.03

359

35.00

6.750

608

73.75

650,000.01 - 700,000.00

1

$661,500.00

0.04

360

24.00

7.000

692

90.00

Total:

10,987

$1,691,554,701.00

100.00

356

39.22

7.468

608

78.58

 

*Based on the original balances of the Mortgage Loans.

 

 



 

 


DESCRIPTION OF THE GROUP I COLLATERAL

 

 

Principal Balance as of the Cut-Off Date

RANGE OF PRINCIPAL BALANCES AS OF THE

CUT-OFF DATE ($)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF
THE CUT-OFF DATE

% OF PRINCIPAL

BALANCE
AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME
(%)

GROSS COUPON
(%)

FICO

OLTV

(%)

0.01 - 25,000.00

23

$526,173.40

0.03

359

37.84

11.114

645

100.00

25,000.01 - 50,000.00

197

$7,393,242.04

0.44

359

40.00

10.729

670

99.99

50,000.01 - 100,000.00

2,768

$219,996,503.75

13.02

352

36.58

7.954

604

79.73

100,000.01 - 150,000.00

3,304

$412,377,582.59

24.40

356

38.69

7.557

607

79.54

150,000.01 - 200,000.00

2,151

$373,431,005.36

22.09

357

39.86

7.435

607

78.36

200,000.01 - 250,000.00

1,238

$277,438,057.27

16.41

358

39.71

7.300

607

77.77

250,000.01 - 300,000.00

702

$192,586,678.08

11.39

358

40.49

7.233

607

77.50

300,000.01 - 350,000.00

456

$147,711,749.88

8.74

357

41.09

7.158

605

77.07

350,000.01 - 400,000.00

98

$35,946,964.46

2.13

359

39.09

7.028

623

77.08

400,000.01 - 450,000.00

31

$13,204,896.71

0.78

359

37.83

7.356

630

79.15

450,000.01 - 500,000.00

14

$6,776,877.59

0.40

359

31.98

6.993

673

73.70

500,000.01 - 550,000.00

3

$1,565,073.85

0.09

359

31.73

8.820

593

75.50

550,000.01 - 600,000.00

1

$589,492.02

0.03

359

35.00

6.750

608

73.75

650,000.01 - 700,000.00

1

$661,500.00

0.04

360

24.00

7.000

692

90.00

Total:

10,987

$1,690,205,797.00

100.00

356

39.22

7.468

608

78.58

 

 

Remaining Term to Maturity

RANGE OF MONTHS REMAINING

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF
THE CUT-OFF DATE

% OF PRINCIPAL

BALANCE
AS OF
THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME
(%)

GROSS COUPON
(%)

FICO

OLTV
(%)

121 - 180

143

$16,949,115.16

1.00

179

37.01

6.690

629

64.62

181 - 240

89

$10,346,689.48

0.61

239

39.15

6.795

622

70.90

301 - 360

10,755

$1,662,909,992.36

98.39

359

39.24

7.481

607

78.77

Total:

10,987

$1,690,205,797.00

100.00

356

39.22

7.468

608

78.58

 

 



 

 

DESCRIPTION OF THE GROUP I COLLATERAL

 


Mortgage Rate

RANGE OF CURRENT

MORTGAGE RATES

(%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

5.000 - 5.499

79

$15,499,131.30

0.92

358

41.51

5.355

648

73.25

5.500 - 5.999

847

$167,764,019.05

9.93

353

39.94

5.746

644

69.36

6.000 - 6.499

1,112

$190,390,528.26

11.26

354

39.45

6.246

629

73.34

6.500 - 6.999

1,753

$285,502,326.70

16.89

355

39.47

6.749

623

75.59

7.000 - 7.499

1,398

$217,291,279.28

12.86

357

39.41

7.237

609

78.15

7.500 - 7.999

1,890

$293,370,974.63

17.36

358

39.01

7.743

591

81.10

8.000 - 8.499

1,330

$191,836,102.90

11.35

358

38.37

8.229

592

83.96

8.500 - 8.999

1,138

$161,384,321.51

9.55

358

38.48

8.716

585

84.82

9.000 - 9.499

607

$78,683,787.47

4.66

358

39.23

9.204

588

85.07

9.500 - 9.999

332

$43,699,546.03

2.59

358

38.81

9.707

577

83.33

10.000 - 10.499

124

$15,266,451.96

0.90

359

39.78

10.219

565

79.99

10.500 - 10.999

184

$15,004,097.54

0.89

359

41.13

10.692

598

80.10

11.000 - 11.499

104

$8,114,422.03

0.48

359

38.74

11.184

579

80.54

11.500 - 11.999

77

$5,640,339.08

0.33

359

41.48

11.753

568

80.75

12.000 - 12.499

12

$758,469.26

0.04

359

47.56

12.032

570

84.39

Total:

10,987

$1,690,205,797.00

100.00

356

39.22

7.468

608

78.58

 

 

Original Loan-to-Value Ratios(1)

RANGE OF ORIGINAL

LOAN-TO-VALUE

RATIOS (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

<= 25.00

25

$2,575,629.23

0.15

334

28.40

6.874

605

21.99

25.01 - 30.00

18

$2,020,382.16

0.12

339

37.98

6.844

628

27.25

30.01 - 35.00

37

$4,808,544.87

0.28

348

39.11

6.700

590

33.10

35.01 - 40.00

61

$8,558,363.80

0.51

338

38.30

6.754

603

38.14

40.01 - 45.00

76

$10,032,199.07

0.59

352

38.50

6.834

607

42.74

45.01 - 50.00

134

$22,518,844.71

1.33

348

39.57

6.823

600

47.84

50.01 - 55.00

204

$32,064,587.78

1.90

348

38.75

6.688

608

52.67

55.01 - 60.00

284

$48,271,413.70

2.86

355

37.93

7.069

596

58.04

60.01 - 65.00

598

$106,215,616.21

6.28

354

39.77

7.036

599

63.31

65.01 - 70.00

771

$131,396,218.25

7.77

355

39.54

7.405

585

68.68

70.01 - 75.00

1,103

$190,063,004.72

11.24

356

40.12

7.221

590

74.01

75.01 - 80.00

3,205

$496,098,637.87

29.35

357

39.77

7.036

619

79.57

80.01 - 85.00

996

$155,558,667.58

9.20

358

39.11

7.532

591

84.39

85.01 - 90.00

2,400

$353,674,452.36

20.92

358

37.85

8.145

611

89.77

90.01 - 95.00

750

$111,854,654.34

6.62

359

39.82

8.338

633

94.83

95.01 - 100.00

325

$14,494,580.35

0.86

359

39.86

10.717

673

100.00

Total:

10,987

$1,690,205,797.00

100.00

356

39.22

7.468

608

78.58

 

 



 


DESCRIPTION OF THE GROUP I COLLATERAL

 

FICO Score at Origination

RANGE OF FICO SCORES

NUMBER OF MORTGAGE LOANS

 

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME (%)

GROSS COUPON (%)

FICO

OLTV

(%)

500 - 519

676

$100,282,150.41

5.93

358

41.75

8.246

510

75.67

520 - 539

994

$153,825,120.74

9.10

358

41.14

8.095

530

75.65

540 - 559

1,179

$184,304,410.12

10.90

357

40.41

7.895

550

77.68

560 - 579

1,064

$164,851,795.88

9.75

356

40.25

7.878

569

78.11

580 - 599

1,121

$179,415,274.55

10.61

357

38.90

7.433

589

78.07

600 - 619

1,401

$216,228,335.32

12.79

356

39.10

7.239

609

79.59

620 - 639

1,304

$196,706,843.04

11.64

356

39.10

7.134

629

79.13

640 - 659

1,050

$159,283,534.29

9.42

355

37.99

7.082

650

79.36

660 - 679

704

$111,225,694.77

6.58

356

38.21

6.995

668

79.44

680 - 699

609

$89,215,563.89

5.28

357

37.49

7.018

689

80.55

700 - 719

346

$52,423,025.58

3.10

354

37.02

7.220

708

82.21

720 - 739

245

$34,399,320.57

2.04

357

35.97

7.218

729

81.96

740 - 759

144

$24,565,060.13

1.45

355

37.20

6.967

748

79.17

760 - 779

97

$14,504,490.38

0.86

357

33.98

7.096

769

81.63

780 - 799

45

$7,970,436.81

0.47

356

38.20

6.950

788

78.37

800 - 819

8

$1,004,740.52

0.06

340

34.35

6.672

803

73.30

Total:

10,987

$1,690,205,797.00

100.00

356

39.22

7.468

608

78.58

 

 

Debt-to-Income Ratio

RANGE OF DEBT-TO-INCOME RATIOS (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

0.01 - 20.00

600

$87,592,086.71

5.18

355

14.68

7.625

632

79.00

20.01 - 25.00

589

$83,302,711.28

4.93

357

23.25

7.468

617

77.33

25.01 - 30.00

954

$134,614,391.80

7.96

355

28.18

7.490

612

77.64

30.01 - 35.00

1,363

$196,613,773.92

11.63

356

33.10

7.484

612

77.63

35.01 - 40.00

1,911

$285,482,119.34

16.89

357

38.12

7.446

609

79.36

40.01 - 45.00

2,403

$375,891,236.67

22.24

357

43.06

7.459

608

79.40

45.01 - 50.00

2,745

$449,702,087.93

26.61

357

48.08

7.478

600

80.48

50.01 - 55.00

422

$77,007,389.35

4.56

355

52.94

7.286

582

65.61

Total:

10,987

$1,690,205,797.00

100.00

356

39.22

7.468

608

78.58

 

 



 

 

 

 

 

DESCRIPTION OF THE GROUP I COLLATERAL

 



Geographic Distribution

STATE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

CA

1,143

$256,693,044.74

15.19

356

40.05

6.965

609

70.75

FL

1,596

$245,198,368.63

14.51

357

39.35

7.497

603

77.76

IL

980

$158,938,977.09

9.40

358

39.67

7.551

619

81.52

AZ

980

$139,725,231.86

8.27

355

38.31

7.374

613

80.30

MD

458

$86,189,236.78

5.10

358

39.70

7.324

600

78.53

NY

338

$85,011,336.84

5.03

357

39.15

7.138

604

71.10

MI

704

$76,543,175.90

4.53

359

39.52

8.033

595

84.75

TX

620

$67,235,045.99

3.98

347

39.01

7.604

613

81.38

NJ

315

$62,397,454.32

3.69

357

38.13

7.576

605

75.35

NV

259

$46,155,466.14

2.73

358

38.81

7.518

610

79.10

MO

333

$36,965,853.14

2.19

358

37.21

7.915

594

83.72

GA

258

$35,384,956.13

2.09

358

36.45

7.728

609

85.25

OH

352

$35,085,341.62

2.08

355

37.65

8.018

592

84.49

WA

184

$32,316,566.12

1.91

359

39.35

7.208

616

79.91

PA

242

$29,775,534.53

1.76

355

37.96

7.884

590

79.93

WI

245

$28,822,003.58

1.71

358

40.53

8.340

598

83.61

MN

176

$28,322,679.53

1.68

358

40.80

7.622

619

81.11

IN

252

$23,694,310.83

1.40

358

35.61

7.901

609

84.55

CT

119

$21,260,139.77

1.26

355

39.30

7.811

594

79.55

UT

163

$19,192,290.90

1.14

358

40.31

7.213

637

82.86

CO

120

$18,827,624.02

1.11

357

40.87

7.314

614

83.24

HI

56

$16,608,007.83

0.98

356

42.06

6.508

633

70.33

NC

129

$15,624,805.72

0.92

357

38.09

7.624

611

83.79

MA

67

$12,032,908.35

0.71

359

40.17

7.450

649

81.14

TN

104

$11,396,423.28

0.67

354

39.32

7.989

580

85.82

OR

63

$10,149,290.52

0.60

359

40.44

7.481

603

79.06

RI

47

$8,863,137.13

0.52

359

41.02

7.605

609

76.13

NM

67

$8,143,760.19

0.48

355

39.62

7.632

639

83.71

KY

72

$7,864,676.56

0.47

354

37.68

7.895

593

84.68

IA

71

$6,956,619.33

0.41

355

40.09

7.904

601

83.40

KS

54

$6,659,174.32

0.39

357

42.09

8.034

601

87.27

NE

60

$6,316,945.41

0.37

359

39.59

7.951

616

85.50

DE

37

$5,377,426.49

0.32

351

40.48

7.411

582

81.05

AL

56

$5,374,090.45

0.32

356

37.15

8.311

585

85.65

ME

37

$5,311,870.37

0.31

359

37.89

7.173

601

77.20

OK

57

$5,224,940.33

0.31

354

36.73

8.009

603

85.49

AK

25

$4,565,954.24

0.27

359

43.54

7.362

625

81.08

NH

27

$4,480,779.66

0.27

359

40.24

7.330

607

78.20

SC

32

$3,728,173.64

0.22

355

38.73

7.961

577

85.05

ID

20

$2,925,795.56

0.17

359

35.89

7.060

605

79.90

AR

12

$1,608,777.38

0.10

359

37.22

7.982

603

82.89

MT

9

$1,534,839.27

0.09

359

37.27

7.699

598

78.28

ND

13

$1,432,101.52

0.08

349

41.15

7.404

630

82.91

MS

12

$1,344,828.19

0.08

359

39.36

7.916

602

82.55

WY

9

$1,111,320.00

0.07

331

35.06

6.726

628

77.18

LA

7

$753,317.33

0.04

350

37.26

7.169

593

78.86

VT

3

$627,755.74

0.04

359

35.99

7.229

598

70.93

SD

4

$453,439.73

0.03

359

40.38

7.218

604

82.02

Total:

10,987

$1,690,205,797.00

100.00

356

39.22

7.468

608

78.58

 



 

 

DESCRIPTION OF THE GROUP I COLLATERAL

 

Occupancy Status

OCCUPANCY

STATUS*

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME (%)

GROSS COUPON (%)

FICO

OLTV

(%)

OWNER OCCUPIED

9,432

$1,467,414,548.83

86.82

356

40.31

7.378

601

77.61

NON-OWNER OCCUPIED

1,427

$202,002,805.16

11.95

358

31.29

8.146

654

85.32

SECOND HOME

128

$20,788,443.01

1.23

358

39.74

7.292

647

81.74

Total:

10,987

$1,690,205,797.00

100.00

356

39.22

7.468

608

78.58

 

*Based on mortgagor representation at origination.

 

 

Documentation Type

INCOME DOCUMENTATION

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME (%)

GROSS COUPON (%)

FICO

OLTV

(%)

Full Doc

6,247

$951,905,718.58

56.32

356

39.72

7.171

594

77.08

Limited Doc

439

$67,013,034.21

3.96

357

36.18

7.570

597

80.74

Stated Doc

4,301

$671,287,044.21

39.72

358

38.82

7.880

628

80.49

Total:

10,987

$1,690,205,797.00

100.00

356

39.22

7.468

608

78.58

 

 

 

Loan Purpose

PURPOSE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME (%)

GROSS COUPON (%)

FICO

OLTV

(%)

Refinance-Debt Consolidation Cash Out**

6,694

$1,135,863,333.08

67.20

356

39.46

7.372

593

75.55

Purchase

3,554

$450,769,693.91

26.67

359

38.71

7.770

644

85.69

Refinance-Debt Consolidation No Cash Out***

739

$103,572,770.01

6.13

353

38.90

7.216

608

80.85

Total:

10,987

$1,690,205,797.00

100.00

356

39.22

7.468

608

78.58

** Cash proceeds to the borrower inclusive of debt consolidation payments exceed 2% or $2,000 of the original principal balance of the related loan. Also includes all home equity loans originated in Texas with any cash proceeds.

 

*** Cash proceeds to the borrower inclusive of debt consolidation payments do not exceed 2% or $2,000 of the original principal balance of the related loan. Excludes home equity loans originated in Texas with any cash proceeds.

 

 

 

 



 

 

DESCRIPTION OF THE GROUP I COLLATERAL

 

Credit Grade

RISK CATEGORY*

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

1

7,689

$1,145,517,368.94

67.77

356

38.88

7.258

626

79.74

2

1,976

$326,665,661.72

19.33

357

39.58

7.615

575

78.85

3

592

$99,789,954.98

5.90

357

39.96

7.901

562

76.19

4

510

$81,922,356.67

4.85

358

40.55

8.167

556

69.94

5

220

$36,310,454.69

2.15

359

41.83

10.018

548

65.63

Total:

10,987

$1,690,205,797.00

100.00

356

39.22

7.468

608

78.58

 

 

 

Property Type

PROPERTY TYPE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

SFR

8,428

$1,251,382,928.13

74.04

356

39.38

7.440

605

78.42

PUD

1,170

$200,637,367.39

11.87

356

39.78

7.464

607

80.51

2-4 UNITS

671

$135,681,188.89

8.03

357

36.43

7.593

623

76.16

CONDO

630

$89,288,494.32

5.28

358

39.72

7.675

626

80.08

PUD-ATTACH

76

$11,784,957.10

0.70

353

41.90

7.542

608

79.23

SFR-ATTACH

12

$1,430,861.17

0.08

359

36.14

7.350

631

81.74

Total:

10,987

$1,690,205,797.00

100.00

356

39.22

7.468

608

78.58

                                                                                                                                                                                  

 

Prepayment Charge Term

PREPAYMENT CHARGE

TERM AT ORIGINATION

(MONTHS)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

No Prepayment Penalty

3,799

$591,901,383.52

35.02

357

38.79

7.685

613

80.20

12

337

$66,245,184.68

3.92

356

38.54

7.398

623

74.47

24

4,518

$672,922,491.49

39.81

358

39.39

7.611

594

80.13

36

2,333

$359,136,737.31

21.25

352

39.74

6.857

621

73.77

Total:

10,987

$1,690,205,797.00

100.00

356

39.22

7.468

608

78.58

 

 

Conforming Balances

CONFORMING BALANCE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

Conforming Balance

10,987

$1,690,205,797.00

100.00

356

39.22

7.468

608

78.58

Total:

10,987

$1,690,205,797.00

100.00

356

39.22

7.468

608

78.58

 

 

 



 

 

DESCRIPTION OF THE GROUP I COLLATERAL

 

Maximum Mortgage Rates of the Adjustable-Rate Loans

RANGE OF MAXIMUM

MORTGAGE RATES (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

11.000 - 11.499

77

$15,026,656.63

1.11

358

41.77

5.353

647

73.41

11.500 - 11.999

393

$75,565,780.60

5.58

359

39.53

5.775

636

73.97

12.000 - 12.499

699

$123,852,545.03

9.15

359

39.32

6.246

626

75.42

12.500 - 12.999

1,221

$204,352,710.70

15.10

358

39.68

6.758

623

77.52

13.000 - 13.499

1,141

$182,947,057.95

13.52

359

39.51

7.238

608

79.56

13.500 - 13.999

1,675

$267,202,613.98

19.75

359

39.03

7.746

591

82.08

14.000 - 14.499

1,242

$182,028,346.11

13.45

359

38.28

8.230

592

84.64

14.500 - 14.999

1,066

$154,070,634.07

11.39

359

38.48

8.716

585

85.41

15.000 - 15.499

534

$74,221,896.26

5.49

359

39.28

9.203

585

85.06

15.500 - 15.999

312

$42,224,008.82

3.12

358

38.91

9.708

577

83.48

16.000 - 16.499

106

$13,678,508.70

1.01

359

39.35

10.215

563

79.89

16.500 - 16.999

68

$9,635,480.98

0.71

359

42.16

10.679

551

70.68

17.000 - 17.499

32

$4,880,612.88

0.36

359

38.08

11.178

534

68.29

17.500 - 17.999

19

$3,032,816.94

0.22

359

42.05

11.732

519

66.92

18.000 - 18.499

2

$394,742.01

0.03

359

52.70

12.000

515

70.00

Total:

8,587

$1,353,114,411.66

100.00

359

39.16

7.639

602

80.63

 

 

 

Minimum Mortgage Rates of the Adjustable-Rate Loans

RANGE OF MINIMUM

MORTGAGE RATES (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

5.000 - 5.499

77

$15,026,656.63

1.11

358

41.77

5.353

647

73.41

5.500 - 5.999

393

$75,565,780.60

5.58

359

39.53

5.775

636

73.97

6.000 - 6.499

699

$123,852,545.03

9.15

359

39.32

6.246

626

75.42

6.500 - 6.999

1,221

$204,352,710.70

15.10

358

39.68

6.758

623

77.52

7.000 - 7.499

1,141

$182,947,057.95

13.52

359

39.51

7.238

608

79.56

7.500 - 7.999

1,675

$267,202,613.98

19.75

359

39.03

7.746

591

82.08

8.000 - 8.499

1,242

$182,028,346.11

13.45

359

38.28

8.230

592

84.64

8.500 - 8.999

1,066

$154,070,634.07

11.39

359

38.48

8.716

585

85.41

9.000 - 9.499

534

$74,221,896.26

5.49

359

39.28

9.203

585

85.06

9.500 - 9.999

312

$42,224,008.82

3.12

358

38.91

9.708

577

83.48

10.000 - 10.499

106

$13,678,508.70

1.01

359

39.35

10.215

563

79.89

10.500 - 10.999

68

$9,635,480.98

0.71

359

42.16

10.679

551

70.68

11.000 - 11.499

32

$4,880,612.88

0.36

359

38.08

11.178

534

68.29

11.500 - 11.999

19

$3,032,816.94

0.22

359

42.05

11.732

519

66.92

12.000 - 12.499

2

$394,742.01

0.03

359

52.70

12.000

515

70.00

Total:

8,587

$1,353,114,411.66

100.00

359

39.16

7.639

602

80.63

 

Gross Margins of the Adjustable-Rate Loans

RANGE OF GROSS

MARGINS (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

4.000 - 4.249

886

$152,384,518.86

11.26

359

39.76

7.562

620

82.27

4.500 - 4.749

9

$1,085,278.67

0.08

359

34.78

7.940

618

82.68

5.000 - 5.249

1

$339,680.49

0.03

359

49.00

6.300

514

80.00

6.000 - 6.249

7,678

$1,196,993,991.07

88.46

359

39.08

7.648

600

80.44

6.500 - 6.749

3

$603,966.31

0.04

359

41.42

6.973

598

66.15

6.750 - 6.999

3

$610,962.59

0.05

359

37.34

8.625

554

74.02

7.000 - 7.249

7

$1,096,013.67

0.08

359

45.82

8.439

558

76.33

Total:

8,587

$1,353,114,411.66

100.00

359

39.16

7.639

602

80.63

 



 

 

DESCRIPTION OF THE GROUP I COLLATERAL

 

Next Rate Adjustment Date of the Adjustable-Rate Loans

NEXT RATE ADJUSTMENT

DATE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

2007-02

2

$640,684.06

0.05

353

44.89

6.310

553

84.64

2007-03

7

$1,140,890.25

0.08

354

40.24

6.881

606

83.99

2007-04

12

$2,048,895.47

0.15

355

39.93

7.226

584

83.97

2007-05

17

$2,701,510.67

0.20

356

40.56

7.612

573

80.74

2007-06

73

$9,892,110.08

0.73

357

39.94

7.669

605

84.74

2007-07

487

$67,819,025.75

5.01

357

39.18

7.775

595

81.30

2007-08

4,455

$707,085,164.10

52.26

359

39.06

7.688

597

80.52

2007-09

726

$95,587,234.00

7.06

359

38.59

7.848

604

79.99

2008-03

3

$351,270.55

0.03

354

42.07

7.326

591

85.03

2008-04

6

$995,450.22

0.07

355

34.27

7.172

606

80.02

2008-06

25

$3,890,921.82

0.29

357

37.74

8.166

582

84.42

2008-07

226

$32,895,918.72

2.43

358

40.16

7.667

608

81.53

2008-08

2,409

$405,084,922.97

29.94

359

39.30

7.465

609

80.44

2008-09

139

$22,980,413.00

1.70

360

40.12

7.951

657

84.05

Total:

8,587

$1,353,114,411.66

100.00

359

39.16

7.639

602

80.63

 

 

Initial Periodic Rate Cap of the Adjustable-Rate Loans

INITIAL PERIODIC

CAP (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

2.000

8,587

$1,353,114,411.66

100.00

359

39.16

7.639

602

80.63

Total:

8,587

$1,353,114,411.66

100.00

359

39.16

7.639

602

80.63

 

 

Periodic Rate Cap of the Adjustable-Rate Loans

PERIODIC

CAP (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

1.000

8,587

$1,353,114,411.66

100.00

359

39.16

7.639

602

80.63

Total:

8,587

$1,353,114,411.66

100.00

359

39.16

7.639

602

80.63

 

 

 

 



 

Group II Mortgage Loan Statistics

 

The Group II Mortgage Loans consist of 4,103 adjustable-rate and fixed-rate Mortgage Loans having an aggregate principal balance as of the Subsequent Cut-off Date of approximately $1,059,803,022.79, after application of scheduled payments due on or before the Subsequent Cut-off Date whether or not received and application of all unscheduled payments of principal received prior to the Subsequent Cut-off Date, and subject to a permitted variance of plus or minus 5%. None of the Group II Mortgage Loans had a first Due Date prior to February 1, 2005 or after October 1, 2005, or will have a remaining term to stated maturity of less than 173 months or greater than 360 months as of the Subsequent Cut-off Date. The latest maturity date of any Group II Mortgage Loan is September 1, 2035.

 

 

DESCRIPTION OF THE GROUP II COLLATERAL

 


Collateral Summary

Statistics given below are for the Mortgage Loans in the pool as of the Cut-off Date. Balances and percentages are based on the Cut-off Date scheduled balances of such Mortgage Loans (except in the case of Debt-to-Income and FICO, which are determined at origination).

 

 

Summary Statistics

Range (if applicable)

 

 

 

Number of Mortgage Loans:

4,103

 

 

 

 

Aggregate Current Principal Balance:

$1,059,803,022.79

$21,591.77 - $849,303.25

Average Current Principal Balance:

$258,299.54

 

 

 

 

Aggregate Original Principal Balance:

$1,060,681,149.00

$21,600.00 - $850,000.00

Average Original Principal Balance:

$258,513.56

 

 

 

 

Fully Amortizing Mortgage Loans:

100.00%

 

 

 

 

1st Lien:

98.11%

 

 

 

 

Wtd. Avg. Gross Coupon:

7.203%

5.250% - 12.710%

 

 

 

Wtd. Avg. Original Term (months):

359

180 – 360

Wtd. Avg. Remaining Term (months):

358

173– 360

 

 

 

Wtd. Avg. Margin (ARM Loans Only):

5.798%

4.000% - 7.125%

 

 

 

Wtd. Avg. Maximum Mortgage Rate (ARM Loans Only):

13.313%

11.250% - 17.200%

 

 

 

Wtd. Avg. Minimum Mortgage Rate (ARM Loans Only):

7.313%

5.250% - 11.200%

 

 

 

Wtd. Avg. Original LTV:

81.28%

12.02% - 100.00%

 

 

 

Wtd. Avg. Borrower FICO:

636

500 – 813

 

 

 

Geographic Distribution (Top 5):

CA:

36.87%

 

 

FL:

14.64%

 

 

NY:

7.65%

 

 

IL:

6.36%

 

 

AZ:

 

4.27%

 

(1)The loan-to-value(“OLTV”) of a first-lien mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is the principal balance of the mortgage loan at the date of origination and the denominator of which is the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The OLTV of a second lien mortgage loan at any given time is a fraction, expressed as a percentage the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) the outstanding balance of the senior mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan.

 



 

 

DESCRIPTION OF THE GROUP II COLLATERAL

 

 

Collateral Type

COLLATERAL TYPE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF
THE CUT-OFF DATE

% OF PRINCIPAL

BALANCE
AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME (%)

GROSS COUPON (%)

FICO

OLTV

(%)

2YR/6 MO LIBOR

1,830

$494,886,136.41

46.70

359

39.56

7.448

612

83.31

2YR/6 MO LIBOR - 2YR IO

330

$95,339,468.93

9.00

359

40.29

7.075

690

78.88

2YR/6 MO LIBOR - 3YR IO

1

$144,000.00

0.01

359

41.00

7.200

656

80.00

2YR/6 MO LIBOR - 5YR IO

100

$27,684,742.23

2.61

359

40.65

7.064

688

80.00

3YR/6 MO LIBOR

729

$189,019,911.51

17.84

359

39.22

7.197

631

83.68

3YR/6 MO LIBOR - 3YR IO

140

$35,377,305.86

3.34

359

39.99

6.979

679

78.94

3YR/6 MO LIBOR - 5YR IO

27

$6,864,400.00

0.65

359

34.17

6.752

688

79.05

FIXED RATE

865

$184,748,103.66

17.43

355

39.14

6.803

655

75.86

FIXED RATE - 2YR IO

1

$258,400.00

0.02

359

37.00

7.500

721

80.00

FIXED RATE - 3YR IO

1

$420,000.00

0.04

359

44.00

6.000

631

77.78

FIXED RATE - 5YR IO

79

$25,060,554.19

2.36

359

38.40

6.439

680

77.43

Total:

4,103

$1,059,803,022.79

100.00

358

39.47

7.203

636

81.28

 

 

 

Principal Balances at Origination

RANGE OF

PRINCIPAL BALANCES

AT ORIGINATION ($)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF

ORIGINATION

% OF PRINCIPAL

BALANCE
AS OF

ORIGINATION

REMAINING

TERM TO

MATURITY

(months)*

DEBT-TO-INCOME (%)*

GROSS COUPON (%)*

FICO*

OLTV

(%)*

0.01 - 25,000.00

15

$348,072.00

0.03

357

37.24

11.161

647

100.00

25,000.01 - 50,000.00

97

$3,485,400.00

0.33

355

39.76

10.976

661

99.99

50,000.01 - 100,000.00

472

$37,912,192.00

3.57

354

36.50

8.681

626

86.72

100,000.01 - 150,000.00

671

$83,930,891.00

7.91

358

35.73

7.631

640

82.60

150,000.01 - 200,000.00

579

$101,732,565.00

9.59

357

37.58

7.258

642

82.03

200,000.01 - 250,000.00

473

$106,376,773.00

10.03

358

38.73

7.273

644

82.32

250,000.01 - 300,000.00

362

$99,537,252.00

9.38

358

40.03

7.135

646

82.06

300,000.01 - 350,000.00

237

$76,727,551.00

7.23

359

39.33

7.084

648

83.53

350,000.01 - 400,000.00

405

$152,362,874.00

14.36

359

41.06

7.082

628

79.86

400,000.01 - 450,000.00

266

$113,395,576.00

10.69

359

41.28

7.062

631

79.51

450,000.01 - 500,000.00

216

$102,783,924.00

9.69

359

40.62

6.999

638

80.64

500,000.01 - 550,000.00

116

$60,735,111.00

5.73

358

40.27

6.813

644

79.66

550,000.01 - 600,000.00

91

$52,409,285.00

4.94

359

39.05

6.976

625

80.52

600,000.01 - 650,000.00

54

$33,799,176.00

3.19

356

39.32

7.140

611

82.19

650,000.01 - 700,000.00

21

$14,239,800.00

1.34

359

41.93

6.941

607

76.87

700,000.01 - 750,000.00

19

$13,820,207.00

1.30

359

39.61

6.934

629

73.09

750,000.01 >=

9

$7,084,500.00

0.67

359

43.90

6.723

626

72.47

Total:

4,103

$1,060,681,149.00

100.00

358

39.47

7.203

636

81.28

 

*Based on the original balances of the Mortgage Loans.

 

 



 

 


DESCRIPTION OF THE GROUP II COLLATERAL

 

 

Principal Balance as of the Cut-Off Date

RANGE OF PRINCIPAL BALANCES AS OF THE

CUT-OFF DATE ($)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF
THE CUT-OFF DATE

% OF PRINCIPAL

BALANCE
AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME
(%)

GROSS COUPON
(%)

FICO

OLTV

(%)

0.01 - 25,000.00

16

$372,699.42

0.04

357

37.36

11.006

648

100.00

25,000.01 - 50,000.00

96

$3,455,965.42

0.33

355

39.77

10.991

661

99.99

50,000.01 - 100,000.00

473

$37,968,331.87

3.58

354

36.51

8.681

626

86.71

100,000.01 - 150,000.00

671

$83,873,653.65

7.91

358

35.73

7.631

640

82.60

150,000.01 - 200,000.00

580

$101,857,210.74

9.61

357

37.53

7.258

642

82.02

200,000.01 - 250,000.00

471

$105,906,863.80

9.99

358

38.79

7.271

644

82.33

250,000.01 - 300,000.00

362

$99,472,855.52

9.39

358

40.03

7.135

646

82.06

300,000.01 - 350,000.00

237

$76,672,491.58

7.23

359

39.33

7.084

648

83.53

350,000.01 - 400,000.00

405

$152,257,961.47

14.37

359

41.06

7.083

628

79.86

400,000.01 - 450,000.00

267

$113,760,036.94

10.73

359

41.27

7.064

631

79.56

450,000.01 - 500,000.00

215

$102,259,196.56

9.65

359

40.64

6.996

638

80.60

500,000.01 - 550,000.00

116

$60,686,586.21

5.73

358

40.27

6.814

644

79.66

550,000.01 - 600,000.00

91

$52,373,715.80

4.94

359

39.05

6.976

625

80.52

600,000.01 - 650,000.00

54

$33,765,630.06

3.19

356

39.32

7.141

611

82.19

650,000.01 - 700,000.00

21

$14,228,325.15

1.34

359

41.93

6.942

607

76.87

700,000.01 - 750,000.00

19

$13,809,988.75

1.30

359

39.61

6.935

629

73.09

750,000.01 >=

9

$7,081,509.85

0.67

359

43.90

6.724

626

72.47

Total:

4,103

$1,059,803,022.79

100.00

358

39.47

7.203

636

81.28

 

 

Remaining Term to Maturity

RANGE OF MONTHS REMAINING

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF
THE CUT-OFF DATE

% OF PRINCIPAL

BALANCE
AS OF
THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME
(%)

GROSS COUPON
(%)

FICO

OLTV
(%)

121 - 180

23

$3,542,285.64

0.33

179

31.42

6.965

650

75.97

181 - 240

12

$2,267,310.30

0.21

239

42.83

6.482

672

73.21

301 - 360

4,068

$1,053,993,426.85

99.45

359

39.49

7.205

636

81.31

Total:

4,103

$1,059,803,022.79

100.00

358

39.47

7.203

636

81.28

 

 



 

 

DESCRIPTION OF THE GROUP II COLLATERAL

 


Mortgage Rate

RANGE OF CURRENT

MORTGAGE RATES

(%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

5.000 - 5.499

44

$14,888,197.79

1.40

359

36.95

5.362

659

77.85

5.500 - 5.999

378

$136,337,180.73

12.86

357

38.28

5.719

665

73.30

6.000 - 6.499

520

$155,459,752.19

14.67

358

40.25

6.243

663

78.68

6.500 - 6.999

763

$201,001,833.33

18.97

358

39.62

6.739

648

79.78

7.000 - 7.499

629

$162,486,054.50

15.33

358

39.15

7.233

640

81.38

7.500 - 7.999

613

$158,344,204.48

14.94

358

39.69

7.727

619

83.59

8.000 - 8.499

347

$94,480,261.32

8.91

359

39.82

8.215

600

86.74

8.500 - 8.999

293

$69,414,535.89

6.55

358

39.22

8.707

591

87.04

9.000 - 9.499

172

$32,639,459.80

3.08

359

38.64

9.223

595

88.46

9.500 - 9.999

70

$12,040,773.90

1.14

358

40.48

9.711

579

85.54

10.000 - 10.499

17

$1,956,030.60

0.18

359

38.74

10.306

604

83.91

10.500 - 10.999

99

$9,592,486.44

0.91

358

42.74

10.676

644

92.25

11.000 - 11.499

58

$5,058,279.78

0.48

358

43.73

11.213

631

87.63

11.500 - 11.999

71

$4,891,300.29

0.46

354

43.19

11.758

637

99.89

12.000 - 12.499

27

$1,136,726.17

0.11

356

40.47

12.162

632

99.98

12.500 - 12.999

2

$75,945.58

0.01

354

33.15

12.610

632

100.00

Total:

4,103

$1,059,803,022.79

100.00

358

39.47

7.203

636

81.28

 

 

Original Loan-to-Value Ratios(1)

RANGE OF ORIGINAL

LOAN-TO-VALUE

RATIOS (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

<= 25.00

2

$597,432.91

0.06

359

17.62

5.826

767

13.24

25.01 - 30.00

1

$110,000.00

0.01

359

14.00

6.400

778

29.73

30.01 - 35.00

5

$544,489.85

0.05

336

31.87

7.577

641

34.25

35.01 - 40.00

3

$302,060.47

0.03

278

39.74

6.710

623

39.33

40.01 - 45.00

5

$808,393.36

0.08

345

35.91

6.129

599

43.74

45.01 - 50.00

17

$4,670,343.88

0.44

359

36.05

7.107

624

48.11

50.01 - 55.00

30

$9,134,129.90

0.86

356

34.60

6.464

654

52.67

55.01 - 60.00

55

$17,093,897.11

1.61

356

41.30

6.524

625

58.16

60.01 - 65.00

77

$28,159,242.53

2.66

356

36.80

6.355

625

63.47

65.01 - 70.00

123

$42,351,429.48

4.00

359

39.94

6.891

610

68.57

70.01 - 75.00

188

$69,515,946.76

6.56

357

42.09

6.902

606

73.88

75.01 - 80.00

2,130

$548,929,798.08

51.80

358

39.75

6.825

657

79.84

80.01 - 85.00

184

$52,935,397.06

4.99

358

37.48

7.287

601

84.25

85.01 - 90.00

605

$172,111,774.03

16.24

359

39.17

7.912

599

89.85

90.01 - 95.00

379

$92,471,562.44

8.73

359

38.28

8.120

635

94.92

95.01 - 100.00

299

$20,067,124.93

1.89

356

41.60

10.913

669

99.94

Total:

4,103

$1,059,803,022.79

100.00

358

39.47

7.203

636

81.28

 

 



 


DESCRIPTION OF THE GROUP II COLLATERAL

 

FICO Score at Origination

RANGE OF FICO SCORES

NUMBER OF MORTGAGE LOANS

 

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME (%)

GROSS COUPON (%)

FICO

OLTV

(%)

500 - 519

108

$29,284,702.42

2.76

359

39.58

7.942

509

78.39

520 - 539

172

$44,027,334.39

4.15

358

41.58

8.080

530

80.63

540 - 559

225

$65,626,477.06

6.19

358

39.82

7.870

550

81.66

560 - 579

221

$62,092,734.57

5.86

358

40.44

7.985

569

81.60

580 - 599

288

$85,738,866.72

8.09

358

39.18

7.439

590

84.00

600 - 619

475

$133,665,411.97

12.61

358

39.81

7.065

609

82.72

620 - 639

652

$148,062,937.54

13.97

358

39.05

7.192

629

80.82

640 - 659

526

$122,181,733.98

11.53

359

39.73

7.110

650

81.03

660 - 679

419

$106,285,566.15

10.03

357

39.32

6.920

668

80.97

680 - 699

357

$87,798,972.71

8.28

359

39.00

6.811

689

80.62

700 - 719

250

$62,517,262.99

5.90

357

39.73

6.928

709

81.33

720 - 739

163

$45,006,996.81

4.25

359

38.12

6.850

729

81.36

740 - 759

124

$33,235,855.69

3.14

353

38.67

6.696

749

80.01

760 - 779

69

$17,964,880.49

1.70

358

40.27

6.415

769

79.54

780 - 799

41

$11,752,291.74

1.11

359

36.10

6.553

787

78.40

800 - 819

13

$4,560,997.56

0.43

359

37.02

6.026

804

65.75

Total:

4,103

$1,059,803,022.79

100.00

358

39.47

7.203

636

81.28

 

 

Debt-to-Income Ratio

RANGE OF DEBT-TO-INCOME RATIOS (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

0.01 - 20.00

232

$57,023,675.95

5.38

356

12.81

6.992

636

80.03

20.01 - 25.00

206

$43,158,085.15

4.07

357

23.21

7.197

638

81.58

25.01 - 30.00

313

$66,854,060.29

6.31

358

28.07

7.191

637

81.04

30.01 - 35.00

530

$121,239,274.18

11.44

358

33.15

7.122

643

80.68

35.01 - 40.00

717

$176,645,627.51

16.67

359

38.23

7.243

642

81.88

40.01 - 45.00

957

$250,763,958.74

23.66

357

43.09

7.254

639

81.86

45.01 - 50.00

1,079

$316,810,356.24

29.89

358

48.02

7.244

632

81.88

50.01 - 55.00

69

$27,307,984.73

2.58

359

52.59

6.828

599

70.37

Total:

4,103

$1,059,803,022.79

100.00

358

39.47

7.203

636

81.28

 

 



 

 

DESCRIPTION OF THE GROUP II COLLATERAL

 



Geographic Distribution

STATE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

CA

1,075

$390,745,289.59

36.87

358

41.26

6.971

638

78.83

FL

730

$155,140,236.54

14.64

358

38.30

7.349

641

83.80

NY

226

$81,090,952.47

7.65

358

38.86

6.997

640

81.21

IL

335

$67,359,035.19

6.36

359

39.09

7.418

646

83.63

AZ

224

$45,304,683.94

4.27

359

37.85

7.518

642

82.75

TX

232

$39,052,974.54

3.68

356

36.12

7.470

626

82.41

NJ

117

$37,278,110.73

3.52

359

40.04

7.342

628

79.79

NV

130

$35,606,081.92

3.36

359

38.52

7.195

647

81.77

MD

97

$30,027,806.13

2.83

359

39.23

7.209

625

81.26

MA

93

$25,138,137.88

2.37

359

39.46

7.118

649

82.11

WA

83

$21,480,385.98

2.03

357

39.53

7.093

637

82.09

GA

76

$13,396,621.10

1.26

358

36.71

7.456

636

84.28

MI

86

$12,246,265.73

1.16

359

37.62

7.910

605

83.98

UT

46

$8,248,229.57

0.78

356

36.47

7.412

628

82.85

CO

32

$7,570,752.10

0.71

359

39.26

6.979

621

83.30

OH

61

$7,499,045.71

0.71

353

39.11

7.823

602

85.39

CT

22

$7,119,178.29

0.67

359

39.48

7.862

607

85.34

HI

13

$6,684,207.32

0.63

359

42.46

5.948

674

77.79

PA

37

$6,681,694.87

0.63

355

38.23

7.974

597

82.63

MO

45

$6,611,486.25

0.62

355

38.04

7.859

611

84.79

MN

23

$5,525,333.17

0.52

358

38.30

7.685

628

84.42

RI

22

$5,229,516.39

0.49

359

40.29

7.454

643

81.83

NM

33

$5,140,409.20

0.49

359

36.84

7.249

627

83.09

WI

35

$4,949,855.65

0.47

359

40.01

7.848

619

84.16

NC

29

$4,704,225.17

0.44

359

39.02

7.308

615

79.27

OK

31

$4,325,510.81

0.41

352

38.05

7.856

623

84.10

OR

11

$3,219,713.19

0.30

359

41.14

6.758

640

81.59

IN

27

$3,069,743.27

0.29

353

32.11

7.650

610

84.34

TN

19

$2,147,422.81

0.20

359

33.89

8.433

573

88.20

IA

17

$1,911,180.41

0.18

354

32.22

7.212

641

81.53

KS

13

$1,801,986.41

0.17

355

31.77

7.965

586

86.64

SC

13

$1,606,840.68

0.15

359

33.16

7.613

583

85.14

NE

8

$1,606,163.31

0.15

359

39.00

7.977

594

83.64

ME

9

$1,450,504.35

0.14

359

41.38

7.644

603

84.53

AL

9

$1,397,648.17

0.13

359

28.95

8.322

610

81.96

KY

10

$1,387,338.79

0.13

359

38.54

7.875

622

83.48

NH

5

$1,199,418.52

0.11

359

32.73

7.923

641

87.24

AK

6

$1,098,637.24

0.10

359

43.10

6.929

645

84.08

DE

5

$698,657.32

0.07

344

34.66

6.919

673

85.02

VT

2

$664,812.24

0.06

359

33.09

8.380

561

90.00

MS

5

$559,029.48

0.05

360

30.65

8.016

581

82.96

ND

4

$531,784.65

0.05

359

41.02

7.686

643

87.85

ID

2

$478,694.50

0.05

359

33.61

6.899

617

85.43

AR

2

$350,019.17

0.03

359

36.36

8.649

578

87.10

LA

2

$287,402.04

0.03

358

22.55

7.320

626

83.19

SD

1

$180,000.00

0.02

360

26.00

7.800

559

90.00

Total:

4,103

$1,059,803,022.79

100.00

358

39.47

7.203

636

81.28

 



 

 

DESCRIPTION OF THE GROUP II COLLATERAL

 

Occupancy Status

OCCUPANCY

STATUS*

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME (%)

GROSS COUPON (%)

FICO

OLTV

(%)

OWNER OCCUPIED

3,981

$1,030,473,998.33

97.23

358

39.75

7.184

636

81.21

NON-OWNER OCCUPIED

99

$22,784,175.33

2.15

357

27.71

8.009

661

83.79

SECOND HOME

23

$6,544,849.13

0.62

359

36.32

7.329

619

83.24

Total:

4,103

$1,059,803,022.79

100.00

358

39.47

7.203

636

81.28

 

*Based on mortgagor representation at origination.

 

 

Documentation Type

INCOME DOCUMENTATION

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME (%)

GROSS COUPON (%)

FICO

OLTV

(%)

Full Doc

1,751

$466,374,107.10

44.01

358

38.40

6.773

623

79.70

Limited Doc

253

$63,816,188.80

6.02

359

35.90

7.164

613

82.53

Stated Doc

2,099

$529,612,726.89

49.97

359

40.85

7.586

651

82.51

Total:

4,103

$1,059,803,022.79

100.00

358

39.47

7.203

636

81.28

 

 

 

Loan Purpose

PURPOSE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME (%)

GROSS COUPON (%)

FICO

OLTV

(%)

PURCHASE

3,072

$705,245,745.63

66.54

358

39.18

7.288

650

83.48

REFI-CASH OUT**

949

$327,587,106.34

30.91

357

40.11

7.043

606

76.98

REFI-NO CASHOUT***

82

$26,970,170.82

2.54

358

39.52

6.914

640

75.92

Total:

4,103

$1,059,803,022.79

100.00

358

39.47

7.203

636

81.28

** Cash proceeds to the borrower inclusive of debt consolidation payments exceed 2% or $2,000 of the original principal balance of the related loan. Also includes all home equity loans originated in Texas with any cash proceeds.

 

*** Cash proceeds to the borrower inclusive of debt consolidation payments do not exceed 2% or $2,000 of the original principal balance of the related loan. Excludes home equity loans originated in Texas with any cash proceeds.

 

 

 

 



 

 

DESCRIPTION OF THE GROUP II COLLATERAL

 

Credit Grade

RISK CATEGORY*

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

1

3,567

$886,162,806.83

83.62

358

39.29

7.099

649

81.61

2

325

$106,523,555.51

10.05

358

39.68

7.463

583

82.16

3

120

$40,172,660.83

3.79

358

41.54

7.818

561

79.14

4

65

$19,333,953.05

1.82

356

40.92

8.224

559

72.09

5

26

$7,610,046.57

0.72

359

43.78

9.808

558

64.63

Total:

4,103

$1,059,803,022.79

100.00

358

39.47

7.203

636

81.28

 

 

 

Property Type

PROPERTY TYPE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

SFR

2,881

$763,918,649.19

72.08

358

39.79

7.175

634

80.93

PUD

653

$172,074,719.64

16.24

357

39.02

7.254

635

81.86

2-4 UNITS

232

$60,547,532.84

5.71

358

38.23

7.251

656

83.11

CONDO

317

$59,217,308.40

5.59

359

38.09

7.368

646

82.08

PUD-ATTACH

18

$3,233,428.64

0.31

352

37.98

7.076

657

82.51

SFR-ATTACH

2

$811,384.08

0.08

359

40.38

7.443

606

80.00

Total:

4,103

$1,059,803,022.79

100.00

358

39.47

7.203

636

81.28

                                                                                                                                                                                  

 

Prepayment Charge Term

PREPAYMENT CHARGE

TERM AT ORIGINATION

(MONTHS)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

No Prepay

1,599

$383,310,062.22

36.17

359

39.31

7.621

641

82.96

12

235

$72,604,929.58

6.85

358

39.06

7.073

642

79.44

24

1,570

$407,028,543.30

38.41

359

39.94

7.224

622

82.47

36

699

$196,859,487.69

18.58

356

38.98

6.393

655

76.21

Total:

4,103

$1,059,803,022.79

100.00

358

39.47

7.203

636

81.28

                                                                                                                                                                                                                         

 

Conforming Balances

CONFORMING BALANCE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

Conforming Balance

2,855

$523,700,687.49

49.41

358

38.21

7.316

642

82.49

Non-Conforming Balance

1,248

$536,102,335.30

50.59

359

40.71

7.092

630

80.10

Total:

4,103

$1,059,803,022.79

100.00

358

39.47

7.203

636

81.28

 

 

 



 

 

DESCRIPTION OF THE GROUP II COLLATERAL

 

Maximum Mortgage Rates of the Adjustable-Rate Loans

RANGE OF MAXIMUM

MORTGAGE RATES (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

11.000 - 11.499

41

$13,224,775.89

1.56

359

37.33

5.353

654

77.82

11.500 - 11.999

165

$49,579,628.07

5.84

359

37.74

5.754

643

77.42

12.000 - 12.499

395

$114,809,765.30

13.52

359

40.37

6.253

668

79.80

12.500 - 12.999

643

$172,032,898.78

20.26

359

39.98

6.744

650

80.60

13.000 - 13.499

559

$149,271,439.52

17.58

359

39.16

7.236

640

81.77

13.500 - 13.999

564

$148,149,586.80

17.44

359

39.61

7.731

619

84.05

14.000 - 14.499

323

$90,968,004.38

10.71

359

39.89

8.214

600

87.10

14.500 - 14.999

267

$66,629,023.14

7.85

359

39.32

8.709

592

87.36

15.000 - 15.499

128

$29,417,384.53

3.46

359

38.91

9.222

585

87.77

15.500 - 15.999

49

$10,278,649.19

1.21

359

41.09

9.715

570

85.48

16.000 - 16.499

7

$1,313,772.98

0.15

360

39.51

10.380

588

78.86

16.500 - 16.999

14

$3,038,426.65

0.36

359

41.55

10.631

546

76.48

17.000 - 17.499

2

$602,609.71

0.07

359

46.64

11.200

552

58.81

Total:

3,157

$849,315,964.94

100.00

359

39.58

7.313

631

82.57

 

 

 

Minimum Mortgage Rates of the Adjustable-Rate Loans

RANGE OF MINIMUM

MORTGAGE RATES (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

5.000 - 5.499

41

$13,224,775.89

1.56

359

37.33

5.353

654

77.82

5.500 - 5.999

165

$49,579,628.07

5.84

359

37.74

5.754

643

77.42

6.000 - 6.499

395

$114,809,765.30

13.52

359

40.37

6.253

668

79.80

6.500 - 6.999

643

$172,032,898.78

20.26

359

39.98

6.744

650

80.60

7.000 - 7.499

559

$149,271,439.52

17.58

359

39.16

7.236

640

81.77

7.500 - 7.999

564

$148,149,586.80

17.44

359

39.61

7.731

619

84.05

8.000 - 8.499

323

$90,968,004.38

10.71

359

39.89

8.214

600

87.10

8.500 - 8.999

267

$66,629,023.14

7.85

359

39.32

8.709

592

87.36

9.000 - 9.499

128

$29,417,384.53

3.46

359

38.91

9.222

585

87.77

9.500 - 9.999

49

$10,278,649.19

1.21

359

41.09

9.715

570

85.48

10.000 - 10.499

7

$1,313,772.98

0.15

360

39.51

10.380

588

78.86

10.500 - 10.999

14

$3,038,426.65

0.36

359

41.55

10.631

546

76.48

11.000 - 11.499

2

$602,609.71

0.07

359

46.64

11.200

552

58.81

Total:

3,157

$849,315,964.94

100.00

359

39.58

7.313

631

82.57

 

Gross Margins of the Adjustable-Rate Loans

RANGE OF GROSS

MARGINS (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

4.000 - 4.249

364

$85,515,809.41

10.07

359

39.11

7.272

647

83.39

4.500 - 4.749

3

$711,941.74

0.08

359

42.12

8.197

579

88.47

6.000 - 6.249

2,787

$762,442,132.43

89.77

359

39.63

7.316

629

82.48

6.500 - 6.749

2

$486,208.05

0.06

359

45.80

7.669

651

80.00

7.000 - 7.249

1

$159,873.31

0.02

359

20.00

7.175

664

80.00

Total:

3,157

$849,315,964.94

100.00

359

39.58

7.313

631

82.57

 



 

 

DESCRIPTION OF THE GROUP II COLLATERAL

 

Next Rate Adjustment Date of the Adjustable-Rate Loans

NEXT RATE ADJUSTMENT

DATE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

2007-04

5

$1,869,718.21

0.22

355

31.27

7.042

644

85.52

2007-05

6

$2,430,896.09

0.29

356

47.50

6.744

661

80.00

2007-06

27

$7,335,193.71

0.86

357

38.54

7.238

620

77.36

2007-07

170

$44,255,641.60

5.21

358

38.85

7.320

636

83.78

2007-08

1,722

$482,005,355.96

56.75

359

39.79

7.365

625

82.60

2007-09

331

$80,157,542.00

9.44

360

39.89

7.493

640

81.52

2008-03

1

$397,159.23

0.05

354

47.00

7.400

625

95.00

2008-04

3

$1,156,541.95

0.14

355

28.45

6.612

589

84.73

2008-05

1

$198,340.65

0.02

356

29.00

6.130

680

80.00

2008-06

7

$2,227,671.00

0.26

357

39.55

7.721

627

89.49

2008-07

45

$11,524,138.76

1.36

358

39.55

7.045

617

81.44

2008-08

704

$192,076,371.78

22.62

359

39.20

7.126

642

82.72

2008-09

135

$23,681,394.00

2.79

360

39.38

7.381

640

83.36

Total:

3,157

$849,315,964.94

100.00

359

39.58

7.313

631

82.57

 

 

Initial Periodic Rate Cap of the Adjustable-Rate Loans

INITIAL PERIODIC

CAP (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

2.000

3,157

$849,315,964.94

100.00

359

39.58

7.313

631

82.57

Total:

3,157

$849,315,964.94

100.00

359

39.58

7.313

631

82.57

 

 

Periodic Rate Cap of the Adjustable-Rate Loans

PERIODIC

CAP (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

1.000

3,157

$849,315,964.94

100.00

359

39.58

7.313

631

82.57

Total:

3,157

$849,315,964.94

100.00

359

39.58

7.313

631

82.57

 

 

 

 



 

 

 

 

 

DESCRIPTION OF THE INTEREST ONLY COLLATERAL

 


Collateral Summary

Statistics given below are for the Mortgage Loans in the pool as of the Cut-off Date. Balances and percentages are based on the Cut-off Date scheduled balances of such Mortgage Loans (except in the case of Debt-to-Income and FICO, which are determined at origination).

 

 

Summary Statistics

Range (if applicable)

 

 

 

Number of Mortgage Loans:

1,162

 

 

 

 

Aggregate Current Principal Balance:

$276,401,431.77

 

Average Current Principal Balance:

$237,866.98

$64,000.00 – $800,000.00

 

 

 

Aggregate Original Principal Balance:

$276,508,120.00

 

Average Original Principal Balance:

$237,958.80

$64,000.00 – $800,000.00

 

 

 

Fully Amortizing Mortgage Loans:

100.00%

 

 

 

 

1st Lien:

100.00%

 

 

 

 

Wtd. Avg. Gross Coupon:

6.864%

5.200% - 10.200%

 

 

 

Wtd. Avg. Original Term (months):

359

180 – 360

Wtd. Avg. Remaining Term (months):

358

179 – 360

 

 

 

Wtd. Avg. Margin (ARM Loans Only):

5.818%

4.000% - 6.550%

 

 

 

Wtd. Avg. Maximum Mortgage Rate (ARM Loans Only):

12.959%

11.200% - 16.200%

 

 

 

Wtd. Avg. Minimum Mortgage Rate (ARM Loans Only):

6.959%

5.200% - 10.200%

 

 

 

Wtd. Avg. Original LTV:

77.44%

29.52% - 95.00%

 

 

 

Wtd. Avg. Borrower FICO:

683

603 - 807

 

 

 

Geographic Distribution (Top 5):

CA:

36.14%

 

 

FL:

11.09%

 

 

NV:

7.80%

 

 

AZ:

7.17%

 

 

IL:

 

6.22%

 

(1)The loan-to-value(“OLTV”) of a first-lien mortgage at any given time is a fraction, expressed as a percentage, the numerator of which is the principal balance of the mortgage loan at the date of origination and the denominator of which is the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan. The OLTV of a second lien mortgage loan at any given time is a fraction, expressed as a percentage the numerator of which is (i) the sum of (a) the principal balance of such mortgage loan at the date of origination plus (b) the outstanding balance of the senior mortgage loan at the date of origination of such mortgage loan and the denominator of which is (ii) the lesser of the sales price of the related mortgage property and its appraised value determined in an appraisal obtained by the originator at origination of the mortgage loan.

 



 

 

DESCRIPTION OF THE INTEREST ONLY COLLATERAL

 

 

Collateral Type

COLLATERAL TYPE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF
THE CUT-OFF DATE

% OF PRINCIPAL

BALANCE
AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME (%)

GROSS COUPON (%)

FICO

OLTV

(%)

2YR/6 MO LIBOR - 2YR IO

499

$123,679,730.53

44.75

359

40.27

7.020

688

77.59

2YR/6 MO LIBOR - 3YR IO

2

$258,300.00

0.09

359

35.25

7.897

645

84.43

2YR/6 MO LIBOR - 5YR IO

133

$32,702,643.29

11.83

359

40.70

7.087

685

79.55

3YR/6 MO LIBOR - 3YR IO

301

$63,928,834.87

23.13

358

40.20

6.815

677

76.93

3YR/6 MO LIBOR - 5YR IO

49

$10,707,696.00

3.87

359

35.73

6.698

683

78.68

FIXED RATE - 2YR IO

1

$258,400.00

0.09

359

37.00

7.500

721

80.00

FIXED RATE - 3YR IO

4

$1,076,000.00

0.39

359

47.21

6.385

654

79.13

FIXED RATE - 5YR IO

173

$43,789,827.08

15.84

357

39.26

6.373

674

75.75

Total:

1,162

$276,401,431.77

100.00

358

39.99

6.864

683

77.44

 

 

 

Principal Balances at Origination

RANGE OF

PRINCIPAL BALANCES

AT ORIGINATION ($)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF

ORIGINATION

% OF PRINCIPAL

BALANCE
AS OF

ORIGINATION

REMAINING

TERM TO

MATURITY

(months)*

DEBT-TO-INCOME (%)*

GROSS COUPON (%)*

FICO*

OLTV

(%)*

50,000.01 - 100,000.00

73

$6,412,220.00

2.32

356

34.65

7.052

667

75.78

100,000.01 - 150,000.00

238

$30,365,129.00

10.98

359

38.39

7.038

672

78.10

150,000.01 - 200,000.00

251

$43,971,919.00

15.90

358

39.16

6.864

679

77.50

200,000.01 - 250,000.00

179

$39,961,863.00

14.45

356

40.08

6.953

679

77.09

250,000.01 - 300,000.00

136

$37,395,323.00

13.52

359

39.86

6.707

682

77.03

300,000.01 - 350,000.00

71

$22,920,665.00

8.29

359

40.15

6.728

680

76.41

350,000.01 - 400,000.00

78

$29,102,656.00

10.53

359

40.81

6.888

693

77.44

400,000.01 - 450,000.00

53

$22,643,579.00

8.19

359

42.07

6.994

690

77.78

450,000.01 - 500,000.00

41

$19,570,155.00

7.08

359

40.42

6.902

695

78.91

500,000.01 - 550,000.00

18

$9,425,261.00

3.41

359

43.95

6.606

698

78.81

550,000.01 - 600,000.00

17

$9,866,850.00

3.57

359

38.36

6.800

671

78.63

600,000.01 - 650,000.00

2

$1,241,000.00

0.45

359

40.42

6.852

705

77.55

650,000.01 - 700,000.00

2

$1,329,500.00

0.48

359

44.48

5.737

636

72.10

700,000.01 - 750,000.00

1

$750,000.00

0.27

357

41.00

7.500

672

60.00

750,000.01 >=

2

$1,552,000.00

0.56

359

45.52

6.153

718

77.12

Total:

1,162

$276,508,120.00

100.00

358

39.99

6.865

683

77.44

 

*Based on the original balances of the Mortgage Loans.

 

 



 

 


DESCRIPTION OF THE INTEREST ONLY COLLATERAL

 

 

Principal Balance as of the Cut-Off Date

RANGE OF PRINCIPAL BALANCES AS OF THE

CUT-OFF DATE ($)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF
THE CUT-OFF DATE

% OF PRINCIPAL

BALANCE
AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME
(%)

GROSS COUPON
(%)

FICO

OLTV

(%)

50,000.01 - 100,000.00

74

$6,511,990.61

2.36

356

34.66

7.074

667

75.85

100,000.01 - 150,000.00

238

$30,364,224.49

10.99

359

38.39

7.038

672

78.10

150,000.01 - 200,000.00

251

$43,971,061.31

15.91

358

39.16

6.864

679

77.50

200,000.01 - 250,000.00

178

$39,759,332.88

14.38

356

40.10

6.945

679

77.07

250,000.01 - 300,000.00

136

$37,394,939.06

13.53

359

39.86

6.707

682

77.03

300,000.01 - 350,000.00

71

$22,920,548.82

8.29

359

40.15

6.728

680

76.41

350,000.01 - 400,000.00

78

$29,102,091.95

10.53

359

40.81

6.888

693

77.44

400,000.01 - 450,000.00

53

$22,643,413.74

8.19

359

42.07

6.994

690

77.78

450,000.01 - 500,000.00

41

$19,569,620.23

7.08

359

40.42

6.902

695

78.91

500,000.01 - 550,000.00

18

$9,425,261.00

3.41

359

43.95

6.606

698

78.81

550,000.01 - 600,000.00

17

$9,866,849.99

3.57

359

38.36

6.800

671

78.63

600,000.01 - 650,000.00

2

$1,240,602.71

0.45

359

40.42

6.852

705

77.55

650,000.01 - 700,000.00

2

$1,329,500.00

0.48

359

44.48

5.737

636

72.10

700,000.01 - 750,000.00

1

$749,994.98

0.27

357

41.00

7.500

672

60.00

750,000.01 >=

2

$1,552,000.00

0.56

359

45.52

6.153

718

77.12

Total:

1,162

$276,401,431.77

100.00

358

39.99

6.864

683

77.44

 

 

Remaining Term to Maturity

RANGE OF MONTHS REMAINING

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF
THE CUT-OFF DATE

% OF PRINCIPAL

BALANCE
AS OF
THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME
(%)

GROSS COUPON
(%)

FICO

OLTV
(%)

121 - 180

5

$917,027.00

0.33

179

31.36

6.428

688

68.90

181 - 240

2

$342,000.00

0.12

239

42.92

7.099

643

59.89

301 - 360

1,155

$275,142,404.77

99.54

359

40.01

6.866

683

77.49

Total:

1,162

$276,401,431.77

100.00

358

39.99

6.864

683

77.44

 

 



 

 

DESCRIPTION OF THE INTEREST ONLY COLLATERAL

 


Mortgage Rate

RANGE OF CURRENT

MORTGAGE RATES

(%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

5.000 - 5.499

12

$3,274,050.00

1.18

359

35.01

5.375

693

63.64

5.500 - 5.999

119

$31,471,885.63

11.39

357

38.84

5.772

684

71.00

6.000 - 6.499

211

$53,198,040.87

19.25

358

39.79

6.266

697

76.11

6.500 - 6.999

327

$764,75,249.37

27.67

358

39.57

6.762

681

78.37

7.000 - 7.499

244

$55,915,455.10

20.23

359

40.50

7.235

682

79.82

7.500 - 7.999

172

$39,609,462.97

14.33

359

41.70

7.691

671

79.46

8.000 - 8.499

51

$10,993,439.50

3.98

359

40.57

8.187

668

79.80

8.500 - 8.999

21

$4,091,598.33

1.48

359

39.95

8.735

657

78.06

9.000 - 9.499

3

$944,800.00

0.34

344

32.08

9.045

655

80.00

9.500 - 9.999

1

$360,000.00

0.13

359

40.00

9.600

642

80.00

10.000 - 10.499

1

$67,450.00

0.02

360

38.00

10.200

631

95.00

Total:

1,162

$276,401,431.77

100.00

358

39.99

6.864

683

77.44

 

 

Original Loan-to-Value Ratios(1)

RANGE OF ORIGINAL

LOAN-TO-VALUE

RATIOS (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

25.01 - 30.00

2

$265,000.00

0.10

359

19.85

6.049

716

29.61

30.01 - 35.00

3

$450,000.00

0.16

360

23.82

7.664

632

34.62

35.01 - 40.00

4

$554,500.00

0.20

359

31.87

5.822

679

38.60

40.01 - 45.00

4

$1,078,300.00

0.39

358

39.80

5.691

627

42.61

45.01 - 50.00

7

$1,410,973.00

0.51

318

44.31

6.015

659

48.21

50.01 - 55.00

18

$3,837,124.45

1.39

359

39.38

6.053

686

52.57

55.01 - 60.00

25

$5,560,294.98

2.01

359

38.79

6.307

667

58.16

60.01 - 65.00

37

$10,058,273.32

3.64

354

38.22

5.955

669

63.35

65.01 - 70.00

41

$10,867,293.66

3.93

359

37.28

6.499

655

68.27

70.01 - 75.00

49

$13,580,892.14

4.91

359

39.95

6.341

668

73.78

75.01 - 80.00

938

$221,543,674.43

80.15

359

40.46

6.997

686

79.93

80.01 - 85.00

17

$4,107,719.96

1.49

358

31.65

6.694

670

84.74

85.01 - 90.00

11

$1,993,935.83

0.72

359

39.89

6.939

669

90.00

90.01 - 95.00

6

$1,093,450.00

0.40

359

38.91

7.378

707

95.00

Total:

1,162

$276,401,431.77

100.00

358

39.99

6.864

683

77.44

 

 



 


DESCRIPTION OF THE INTEREST ONLY COLLATERAL

 

FICO Score at Origination

RANGE OF FICO SCORES

NUMBER OF MORTGAGE LOANS

 

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME (%)

GROSS COUPON (%)

FICO

OLTV

(%)

600 - 619

2

$705,000.00

0.26

358

37.21

5.613

604

52.69

620 - 639

271

$56,699,270.87

20.51

358

40.58

7.039

629

76.06

640 - 659

185

$43,406,696.09

15.70

359

40.10

6.960

650

77.09

660 - 679

192

$46,753,973.79

16.92

358

39.04

6.902

668

77.07

680 - 699

168

$40,288,176.20

14.58

359

39.85

6.704

689

77.55

700 - 719

120

$29,020,272.20

10.50

358

41.06

6.854

709

78.76

720 - 739

93

$25,054,333.61

9.06

359

40.86

6.899

730

79.44

740 - 759

55

$14,034,051.00

5.08

356

39.70

6.660

748

79.17

760 - 779

37

$9,090,402.40

3.29

359

39.70

6.564

770

78.62

780 - 799

30

$8,773,575.61

3.17

359

36.36

6.621

788

78.21

800 - 819

9

$2,575,680.00

0.93

359

39.86

6.370

803

74.55

Total:

1,162

$276,401,431.77

100.00

358

39.99

6.864

683

77.44

 

 

Debt-to-Income Ratio

RANGE OF DEBT-TO-INCOME RATIOS (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

0.01 - 20.00

41

$8,274,202.78

2.99

359

13.58

6.431

685

74.75

20.01 - 25.00

48

$11,233,228.00

4.06

355

23.32

6.716

685

75.63

25.01 - 30.00

74

$13,612,386.98

4.92

352

28.11

6.859

685

76.14

30.01 - 35.00

151

$34,280,408.94

12.40

359

33.44

6.841

690

76.67

35.01 - 40.00

215

$49,201,995.58

17.80

359

37.99

6.985

678

78.25

40.01 - 45.00

322

$78,144,754.05

28.27

359

43.20

6.847

683

77.87

45.01 - 50.00

311

$81,654,455.44

29.54

358

47.83

6.883

681

77.59

Total:

1,162

$276,401,431.77

100.00

358

39.99

6.864

683

77.44

 

 



 

 

DESCRIPTION OF THE INTEREST ONLY COLLATERAL

 



Geographic Distribution

STATE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

CA

297

$99,894,887.84

36.14

358

41.44

6.692

690

75.77

FL

147

$30,650,667.63

11.09

358

38.10

7.112

679

78.97

NV

87

$21,567,217.34

7.80

359

38.82

6.937

683

79.07

AZ

115

$19,831,340.76

7.17

357

39.73

7.046

681

78.25

IL

89

$17,194,547.60

6.22

359

39.70

7.044

684

79.32

MD

50

$12,028,010.19

4.35

359

40.49

6.929

678

78.82

NY

32

$10,220,939.00

3.70

359

36.94

6.513

668

72.37

GA

49

$8,234,926.68

2.98

359

38.77

7.004

664

80.15

WA

31

$7,406,920.00

2.68

359

40.76

6.829

690

78.39

MN

25

$5,398,667.99

1.95

359

42.02

7.448

677

79.95

MA

21

$5,114,572.00

1.85

359

40.24

6.875

690

78.84

CO

28

$4,775,534.99

1.73

356

39.64

6.670

690

79.90

HI

11

$4,557,984.01

1.65

359

41.25

6.210

715

74.46

UT

27

$4,458,399.00

1.61

359

39.08

7.031

669

79.96

TX

25

$3,922,123.97

1.42

359

37.55

6.824

673

80.21

NJ

12

$3,253,720.00

1.18

360

33.75

6.553

657

68.39

MI

21

$2,952,514.00

1.07

359

41.29

7.197

652

80.46

MO

11

$1,876,030.25

0.68

359

38.84

7.574

643

77.04

WI

11

$1,867,960.00

0.68

359

38.42

7.353

672

79.07

NC

12

$1,721,960.00

0.62

359

37.71

6.729

663

79.13

OR

7

$1,505,840.00

0.54

359

42.59

6.947

652

80.00

NM

10

$1,366,725.20

0.49

359

36.51

7.163

675

80.00

RI

6

$1,119,200.00

0.40

359

43.62

7.134

680

80.00

NH

3

$638,240.00

0.23

359

44.69

7.704

680

80.00

CT

2

$600,000.00

0.22

360

41.33

7.700

658

68.15

ND

5

$560,164.00

0.20

359

40.13

7.201

668

80.00

OH

5

$519,336.61

0.19

358

29.01

6.235

663

80.43

KS

3

$407,992.00

0.15

359

39.20

7.032

659

80.00

IA

3

$398,080.00

0.14

360

37.03

5.985

715

80.00

OK

3

$358,080.00

0.13

359

38.61

7.048

689

80.00

AK

1

$296,000.00

0.11

359

46.00

6.900

692

80.00

KY

2

$289,520.00

0.10

358

42.63

7.517

663

80.00

NE

3

$272,000.00

0.10

359

36.26

7.454

656

80.00

WY

2

$252,799.71

0.09

359

39.42

6.496

649

80.00

IN

2

$226,311.00

0.08

359

40.08

6.961

693

80.00

MS

1

$187,500.00

0.07

359

35.00

6.100

664

69.44

DE

1

$175,600.00

0.06

360

42.00

5.900

776

80.00

ME

1

$165,520.00

0.06

359

34.00

7.150

631

80.00

ID

1

$133,600.00

0.05

359

47.00

6.125

660

80.00

Total:

1,162

$276,401,431.77

100.00

358

39.99

6.864

683

77.44

 



 

 

DESCRIPTION OF THE INTEREST ONLY COLLATERAL

 

Occupancy Status

OCCUPANCY

STATUS*

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME (%)

GROSS COUPON (%)

FICO

OLTV

(%)

OWNER OCCUPIED

1,151

$274,800,181.77

99.42

358

40.00

6.865

683

77.45

SECOND HOME

11

$1,601,250.00

0.58

359

38.88

6.709

687

74.74

Total:

1,162

$276,401,431.77

100.00

358

39.99

6.864

683

77.44

 

*Based on mortgagor representation at origination.

 

 

Documentation Type

INCOME DOCUMENTATION

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME (%)

GROSS COUPON (%)

FICO

OLTV

(%)

FULL

410

$89,951,113.60

32.54

358

38.46

6.309

677

76.21

LIMITED

26

$5,820,978.00

2.11

359

35.42

6.864

682

79.88

STATED

726

$180,629,340.17

65.35

359

40.90

7.141

685

77.97

Total:

1,162

$276,401,431.77

100.00

358

39.99

6.864

683

77.44

 

 

 

Loan Purpose

PURPOSE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME (%)

GROSS COUPON (%)

FICO

OLTV

(%)

PURCHASE

848

$203,550,018.76

73.64

359

40.45

7.020

690

79.81

REFI-CASH OUT**

246

$59,491,052.34

21.52

357

38.31

6.390

663

69.29

REFI-NO CASHOUT***

68

$13,360,360.67

4.83

357

40.39

6.599

658

77.58

Total:

1,162

$276,401,431.77

100.00

358

39.99

6.864

683

77.44

** Cash proceeds to the borrower inclusive of debt consolidation payments exceed 2% or $2,000 of the original principal balance of the related loan. Also includes all home equity loans originated in Texas with any cash proceeds.

 

*** Cash proceeds to the borrower inclusive of debt consolidation payments do not exceed 2% or $2,000 of the original principal balance of the related loan. Excludes home equity loans originated in Texas with any cash proceeds.

 

 

 

 



 

 

DESCRIPTION OF THE INTEREST ONLY COLLATERAL

 

Credit Grade

RISK CATEGORY*

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

1

1,120

$265,863,011.78

96.19

358

40.10

6.878

684

77.74

2

42

$10,538,419.99

3.81

359

37.30

6.511

647

69.76

Total:

1,162

$276,401,431.77

100.00

358

39.99

6.864

683

77.44

 

 

 

Property Type

PROPERTY TYPE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

SFR

889

$211,214,260.37

76.42

358

40.16

6.840

681

77.02

PUD

198

$49,691,494.40

17.98

358

39.84

6.978

682

79.18

CONDO

38

$7,453,634.14

2.70

359

36.23

6.816

707

77.78

2-4 UNITS

24

$5,751,190.58

2.08

352

39.31

6.799

690

76.04

PUD-ATTACH

13

$2,290,852.28

0.83

359

41.48

7.021

703

79.97

Total:

1,162

$276,401,431.77

100.00

358

39.99

6.864

683

77.44

                                                                                                                                                                                  

 

Prepayment Charge Term

PREPAYMENT CHARGE

TERM AT ORIGINATION

(MONTHS)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

No Prepayment Penalty

418

$99,172,479.80

35.88

359

39.66

7.180

682

78.31

12

70

$18,652,484.00

6.75

359

39.45

6.953

682

77.59

24

415

$96,567,531.37

34.94

359

40.59

6.835

685

77.69

36

259

$62,008,936.60

22.43

357

39.75

6.379

679

75.60

Total:

1,162

$276,401,431.77

100.00

358

39.99

6.864

683

77.44

                                                                                                                                                                                                                         

 

Conforming Balances

CONFORMING BALANCE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

Conforming

969

$189,374,731.12

68.51

358

39.41

6.863

679

77.23

Non-Conforming

193

$87,026,700.65

31.49

359

41.25

6.867

690

77.89

Total:

1,162

$276,401,431.77

100.00

358

39.99

6.864

683

77.44

 

 

 



 

 

DESCRIPTION OF THE INTEREST ONLY COLLATERAL

 

Maximum Mortgage Rates of the Adjustable-Rate Loans

RANGE OF MAXIMUM

MORTGAGE RATES (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

11.000 - 11.499

12

$3,274,050.00

1.42

359

35.01

5.375

693

63.64

11.500 - 11.999

68

$15,237,817.45

6.59

359

38.20

5.773

689

70.57

12.000 - 12.499

160

$40,389,553.38

17.46

359

40.25

6.279

706

75.72

12.500 - 12.999

284

$67,276,172.54

29.09

358

39.55

6.763

682

78.41

13.000 - 13.499

227

$52,730,264.10

22.80

359

40.49

7.238

683

79.75

13.500 - 13.999

160

$36,899,942.97

15.95

359

41.61

7.690

671

79.40

14.000 - 14.499

49

$10,465,550.25

4.53

359

40.77

8.189

669

79.79

14.500 - 14.999

20

$3,991,604.00

1.73

359

40.07

8.740

657

78.01

15.000 - 15.499

3

$944,800.00

0.41

344

32.08

9.045

655

80.00

16.000 - 16.499

1

$67,450.00

0.03

360

38.00

10.200

631

95.00

Total:

984

$231,277,204.69

100.00

359

40.10

6.959

684

77.75

 

 

 

Minimum Mortgage Rates of the Adjustable-Rate Loans

RANGE OF MINIMUM

MORTGAGE RATES (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

5.000 - 5.499

12

$3,274,050.00

1.42

359

35.01

5.375

693

63.64

5.500 - 5.999

68

$15,237,817.45

6.59

359

38.20

5.773

689

70.57

6.000 - 6.499

160

$40,389,553.38

17.46

359

40.25

6.279

706

75.72

6.500 - 6.999

284

$67,276,172.54

29.09

358

39.55

6.763

682

78.41

7.000 - 7.499

227

$52,730,264.10

22.80

359

40.49

7.238

683

79.75

7.500 - 7.999

160

$36,899,942.97

15.95

359

41.61

7.690

671

79.40

8.000 - 8.499

49

$10,465,550.25

4.53

359

40.77

8.189

669

79.79

8.500 - 8.999

20

$3,991,604.00

1.73

359

40.07

8.740

657

78.01

9.000 - 9.499

3

$944,800.00

0.41

344

32.08

9.045

655

80.00

10.000 - 10.499

1

$67,450.00

0.03

360

38.00

10.200

631

95.00

Total:

984

$231,277,204.69

100.00

359

40.10

6.959

684

77.75

 

Gross Margins of the Adjustable-Rate Loans

RANGE OF GROSS

MARGINS (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

4.000 - 4.249

103

$21,169,377.27

9.15

359

39.68

7.023

686

79.18

6.000 - 6.249

879

$209,702,702.42

90.67

359

40.13

6.951

684

77.62

6.500 - 6.749

2

$405,125.00

0.18

359

45.70

7.597

639

69.91

Total:

984

$231,277,204.69

100.00

359

40.10

6.959

684

77.75

 



 

 

DESCRIPTION OF THE INTEREST ONLY COLLATERAL

 

Next Rate Adjustment Date of the Adjustable-Rate Loans

NEXT RATE ADJUSTMENT

DATE

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

2007-03

1

$193,599.99

0.08

354

40.00

5.800

736

80.00

2007-04

4

$1,639,849.25

0.71

355

29.95

6.826

650

83.14

2007-05

4

$1,784,931.39

0.77

356

45.68

6.677

684

77.51

2007-06

17

$4,656,858.63

2.01

357

36.70

6.717

655

72.66

2007-07

53

$12,357,559.59

5.34

358

38.05

7.114

675

79.17

2007-08

418

$103,516,645.97

44.76

358

40.57

7.050

690

77.94

2007-09

137

$32,491,229.00

14.05

360

41.30

7.041

690

78.32

2008-04

1

$360,000.00

0.16

355

38.00

6.500

639

84.71

2008-06

2

$287,982.84

0.12

357

29.08

7.841

638

80.00

2008-07

20

$4,571,787.21

1.98

358

37.33

6.677

672

76.98

2008-08

283

$61,777,010.82

26.71

358

39.72

6.824

677

77.29

2008-09

44

$7,639,750.00

3.30

360

40.04

6.638

689

75.97

Total:

984

$231,277,204.69

100.00

359

40.10

6.959

684

77.75

 

 

Initial Periodic Rate Cap of the Adjustable-Rate Loans

INITIAL PERIODIC

CAP (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

2.000

984

$231,277,204.69

100.00

359

40.10

6.959

684

77.75

Total:

984

$231,277,204.69

100.00

359

40.10

6.959

684

77.75

 

 

Periodic Rate Cap of the Adjustable-Rate Loans

PERIODIC

CAP (%)

NUMBER OF MORTGAGE LOANS

PRINCIPAL

BALANCE

AS OF THE

CUT-OFF DATE

% OF PRINCIPAL

BALANCE AS OF

THE CUT-OFF DATE

REMAINING

TERM TO

MATURITY

(months)

DEBT-TO-INCOME

(%)

GROSS COUPON

(%)

FICO

OLTV

(%)

1.000

984

$231,277,204.69

100.00

359

40.10

6.959

684

77.75

Total:

984

$231,277,204.69

100.00

359

40.10

6.959

684

77.75