EX-99.1 3 d405704_ex99-1.htm CHARACTERISTICS OF MORTGAGE POOL

Exhibit 99.1

(i)           The assets included in the Trust consist primarily of a pool (the “Mortgage Pool”) of approximately 4,948 closed-end, fixed-rate and adjustable-rate sub-prime mortgage loans (the “Mortgage Loans”) having original terms to maturity ranging from approximately 120 months to 360 months and an aggregate principal balance as of December 1, 2005 (the “Cut-off Date”) of approximately $930,458,270.49.

(ii)          The Mortgage Pool is divided into two loan groups (“Loan Group 1” and “Loan Group 2,” respectively, and each, a “Loan Group”). The Mortgage Loans in Loan Group 1 consist only of those Mortgage Loans with original principal balances that conform to Fannie Mae and Freddie Mac guidelines (the “Group 1 Mortgage Loans”) and the Mortgage Loans in Loan Group 2 consist of all other Mortgage Loans, which may or may not have original principal balances that conform to Fannie Mae and Freddie Mac guidelines (the “Group 2 Mortgage Loans”). In addition, certain of the conforming balance Mortgage Loans included in Loan Group 2 might otherwise have been included in Loan Group 1, but were excluded from Loan Group 1 because they did not meet Fannie Mae or Freddie Mac criteria (including published guidelines) for factors other than principal balance. As of the Cut-off Date, the Mortgage Loans in Loan Group 1 (the “Group 1 Mortgage Loans”) consist of 809 Fixed-Rate Mortgage Loans with an aggregate principal balance of approximately $54,644,996.93 and approximately 1,193 Adjustable-Rate Mortgage Loans with an aggregate principal balance of approximately $223,887,894.46. As of the Cut-off Date, the Mortgage Loans in Loan Group 2 (the “Group 2 Mortgage Loans”) consist of approximately 1,167 Fixed-Rate Mortgage Loans with an aggregate principal balance of approximately $122,896,180.85 and approximately 1,779 Adjustable-Rate Mortgage Loans with an aggregate principal balance of approximately $529,029,198.25.

(iii)         The Mortgage Pool consists of fixed-rate Mortgage-Loans (the “Fixed-Rate Mortgage Loans”) and adjustable-rate Mortgage Loans (the “Adjustable-Rate Mortgage Loans”). All of the Adjustable-Rate Mortgage Loans have a fixed mortgage interest rate for six months, two years, three years or five years. The Fixed-Rate Mortgage Loans consist of approximately 1,976 Mortgage Loans with an aggregate principal balance of approximately $177,541,177.78 as of the Cut-off Date. The Adjustable-Rate Mortgage Loans consist of approximately 2,972 Mortgage Loans with an aggregate principal balance of approximately $752,917,092.71 as of the Cut-off Date.

(iv)         Approximately 23.71% of the Mortgage Loans will provide for interest only Monthly Payments for the first 60 months and approximately 1.15% of the Mortgage Loans will provide for interest only Monthly Payments for the first 120 months of the term of such Mortgage Loans (each, an “Interest Only Mortgage Loan”). The Monthly Payment with respect to such Interest Only Mortgage Loans will include accrued interest and principal on such Mortgage Loans beginning in the 61st or 121st month of the term of such Mortgage Loans, as the case may be. As a result of this payment structure, Monthly Payments beginning in the 61st or 121st month of the term of such Mortgage Loans may be significantly larger than the first 60 or 120 Monthly Payments required under the related Mortgage Notes.

(v)          Approximately 31.65% of the Mortgage Loans will not fully amortize by their respective maturity dates (each, a “Balloon Loan”). The Monthly Payment for each Balloon Loan is based on an amortization schedule ranging from 360 months to 480 months, except for the final payment (the “Balloon Payment”) which is due and payable on either the 180th month or the 360th month following origination of such Mortgage Loan, depending on the terms of the related mortgage note. The amount of the Balloon Payment on each Balloon Mortgage Loan is substantially in excess of the amount of the scheduled Monthly Payment for such Balloon Loan.

 


 

Group 1 Mortgage Loan Statistics

(vi)         The following statistical information, unless otherwise specified, is based upon the aggregate Principal Balance of the Group 1 Mortgage Loans as of the Cut-off Date.

(vii)        Approximately 64.45% of the Group 1 Mortgage Loans provide for payment by the mortgagor of a prepayment charge in limited circumstances on certain prepayments.

(viii)       Each Group 1 Mortgage Loan accrues interest at a per annum rate (the “Mortgage Interest Rate”) of not less than approximately 4.875% per annum and not more than approximately 12.875% per annum and as of the Cut-off Date the weighted average Mortgage Interest Rate of the Group 1 Mortgage Loans was approximately 7.096% per annum.

(ix)         The weighted average remaining term to maturity of the Group 1 Mortgage Loans will be approximately 338 months as of the Cut-off Date. None of the Group 1 Mortgage Loans had a first Due Date prior to December 1, 2004 or after August 1, 2005 or will have a remaining term to maturity of less than approximately 170 months or greater than approximately 355 months as of the Cut-off Date. The latest maturity date of any Group 1 Mortgage Loan is July 1, 2035.

(x)          The average Principal Balance of the Group 1 Mortgage Loans at origination was approximately $139,704.60. No Group 1 Mortgage Loan had a Cut-off Date Principal Balance of lesser than approximately $13,870.13 or greater than approximately $652,500.00. The average Cut-off Date Principal Balance of the Group 1 Mortgage Loans was approximately $139,127.32.

(xi)         All of the Group 1 Adjustable-Rate Mortgage Loans provide for semi-annual adjustment to the Mortgage Interest 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”). On each Adjustment Date for each Group 1 Adjustable-Rate Mortgage Loan, the Mortgage Interest Rate thereon will be adjusted to equal the sum of Six-Month LIBOR (the “Index”) and a fixed percentage amount (the “Gross Margin”). As of the Cut-off Date, the Group 1 Adjustable-Rate Mortgage Loans had Gross Margins ranging from approximately 3.388% to approximately 9.250%, with a weighted average Gross Margin of approximately 6.378%. The Mortgage Interest Rate on each such Group 1 Adjustable-Rate Mortgage Loan will not increase or decrease by more than approximately 1.000% to approximately 5.000% per annum on the first related Adjustment Date (the “Initial Periodic Rate Cap”) and from approximately 0.500% to approximately 2.000% per annum on any Adjustment Date thereafter (the “Periodic Rate Cap”). The Group 1 Adjustable-Rate Mortgage Loans have a weighted average Initial Periodic Rate Cap of approximately 2.986% per annum and a weighted average Periodic Rate Cap of approximately 1.001% per annum thereafter. Each Mortgage Interest Rate on each such Group 1 Adjustable-Rate Mortgage Loan will not exceed a specified maximum Mortgage Interest Rate over the life of such Mortgage Loan (the “Maximum Mortgage Interest Rate”) or be less than a specified minimum Mortgage Interest Rate over the life of such Mortgage Loan (the “Minimum Mortgage Interest Rate”). Generally, the Minimum Mortgage Interest Rate for an Group 1 Mortgage Loan will be such Mortgage Loan’s Mortgage Interest Rate. As of the Cut-off Date, the Group 1 Adjustable-Rate Mortgage Loans had Maximum Mortgage Interest Rates ranging from approximately 11.375% per annum to approximately 17.050% per annum and Minimum Mortgage Interest Rates ranging from approximately 4.875% per annum to approximately 10.550% per annum. As of the Cut-off Date, for the Group 1 Adjustable-Rate Mortgage Loans, the weighted average Minimum Mortgage Interest Rate was approximately 6.816% per annum and the weighted average Maximum Mortgage Interest Rate was approximately 13.312% per annum.

(xii)        Effective with the first Monthly Payment due on each Group 1 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 Interest Rate as so adjusted. The latest next Adjustment Date following the Cut-off Date on any Group 1 Adjustable-Rate Mortgage Loan is scheduled to occur in June 1, 2010 and the weighted average number of months to the next Adjustment Date following the Cut-off Date for all of the Group 1 Adjustable-Rate Mortgage Loans is approximately 20 months. Due to the application of the Periodic Rate Caps and the Maximum Mortgage Interest Rates, the Mortgage Interest Rate on each such Mortgage Loan, as adjusted on any related Adjustment Date, may be less than the sum of the Index and the related Gross Margin

(xiii)       None of the Group 1 Adjustable-Rate Mortgage Loans have Mortgage Interest Rates that may be converted to fixed Mortgage Interest Rates at the option of the related mortgagor. None of the Group 1 Mortgage Loans provide for negative amortization. Approximately 20.73% of the Group 1 Mortgage Loans are Interest Only Mortgage Loans.

(xiv)       Approximately 26.62% of the Group 1 Mortgage Loans are Balloon Loans. The Monthly Payment for each Group 1 Balloon Loan is based on an amortization schedule ranging from 360 months to 480 months, except for the Balloon Payment which is due and payable between the 180th month and the 360th month following origination of such Group 1 Balloon Loan, depending on the terms of the related mortgage note. With respect to the majority of the Group 1 Balloon Loans, the Monthly Payments for such Group 1 Balloon Loans amortize over 360 months, but the Balloon Payment is due in the 180th month following origination. The amount of the Balloon Payment on each Group 1 Balloon Loan is substantially in excess of the amount of the scheduled Monthly Payment for such Group 1 Balloon Loan.

(xv)        Approximately 8.06% of the Group 1 Mortgage Loans are secured by a second Mortgage that is junior to a first mortgage lien on the related Mortgaged Property, and approximately 91.94% of the Group 1 Mortgage Loans are secured by a first lien on the related Mortgaged Property.

Group 2 Mortgage Loan Statistics

(xvi)       The following statistical information, unless otherwise specified, is based upon the aggregate Principal Balance of the Group 2 Mortgage Loans as of the Cut-off Date.

(xvii)      Approximately 70.91% of the Group 2 Mortgage Loans provide for payment by the mortgagor of a prepayment charge in limited circumstances on certain prepayments.

(xviii)    The weighted average remaining term to maturity of the Group 2 Mortgage Loans will be approximately 333 months as of the Cut-off Date. None of the Group 2 Mortgage Loans had a first Due Date prior to December 1, 2004 or after August 1, 2005 or will have a remaining term to maturity of less than 113 months or greater than 355 months as of the Cut-off Date. The latest maturity date of any Group 2 Mortgage Loan is July 1, 2035.

(xix)       The average Principal Balance of the Group 2 Mortgage Loans at origination was approximately $222,121.57. No Group 2 Mortgage Loan had a Cut-off Date Principal Balance of lesser than approximately $14,802.07 or greater than approximately $999,999.00. The average Cut-off Date Principal Balance of the Group 2 Mortgage Loans was approximately $221,291.71.

(xx)        The Group 2 Mortgage Loans had Mortgage Interest Rates as of the Cut-off Date of not less than approximately 4.250% per annum and not more than approximately 12.500% per annum and the weighted average Mortgage Interest Rate was approximately 7.049% per annum.

(xxi)       All of the Group 2 Adjustable-Rate Mortgage Loans provide for semi-annual adjustment to the Mortgage Interest Rate thereon and for corresponding adjustments to the Monthly Payment amount due thereon, in each case on each Adjustment Date applicable thereto. On each Adjustment Date for each

 


Group 2 Adjustable-Rate Mortgage Loan, the Mortgage Interest Rate thereon will be adjusted to equal the sum of the Six Month LIBOR and a Gross Margin. Effective with the first Monthly Payment due on each Group 2 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 Interest Rate as so adjusted. Due to the application of the Periodic Rate Caps and the Maximum Mortgage Interest Rates, the Mortgage Interest Rate on each such Mortgage Loan, as adjusted on any related Adjustment Date, may be less than the sum of the Index and the related Gross Margin.

(xxii)      As of the Cut-off Date, the Group 2 Adjustable-Rate Mortgage Loans had Gross Margins ranging from approximately 3.930% to approximately 8.875% per annum, with a weighted average Gross Margin of approximately 6.284% per annum, Initial Periodic Rate Caps ranging from approximately 1.000% to approximately 5.000% per annum, with a weighted average Initial Periodic Rate Cap of approximately 3.008% per annum, Periodic Rate Caps ranging from approximately 1.000% to approximately 2.000% per annum, with a weighted average Periodic Rate Cap of approximately 1.003% per annum, Minimum Mortgage Interest Rates ranging from approximately 4.250% to approximately 11.125% per annum, with a weighted average Minimum Mortgage Interest Rate of approximately 6.680% per annum, and Maximum Mortgage Interest Rates ranging from approximately 10.750% to approximately 17.625% per annum, with a weighted average Maximum Mortgage Interest Rate of approximately 13.176% per annum. The latest next Adjustment Date following the Cut-off Date on any Group 2 Adjustable-Rate Mortgage Loan is scheduled to occur in June 1, 2010 and the weighted average number of months to the next Adjustment Date following the Cut-off Date for all of the Group 2 Adjustable-Rate Mortgage Loans is 20 months. None of the Group 2 Adjustable-Rate Mortgage Loans have Mortgage Interest Rates that may be converted to fixed Mortgage Interest Rates at the option of the related mortgagor.

(xxiii)    None of the Group 2 Mortgage Loans provide for negative amortization. Approximately 26.63% of the Group 2 Mortgage Loans are Interest Only Mortgage Loans.

(xxiv)     Approximately 33.80% of the Group 2 Mortgage Loans are Balloon Loans. The Monthly Payment for each Group 2 Balloon Loan is based on an amortization schedule ranging from 360 months to 480 months, except for the Balloon Payment which is due and payable between the 180th month and the 360th month following origination of such Group 2 Balloon Loan, depending on the terms of the related mortgage note. With respect to the majority of the Group 2 Balloon Loans, the Monthly Payments for such Group 2 Balloon Loans amortize over 360 months, but the Balloon Payment is due in the 180th month following origination. The amount of the Balloon Payment on each 2 Balloon Loan is substantially in excess of the amount of the scheduled Monthly Payment for such Group 2 Balloon Loan.

(xxv)      Approximately 10.95% of the Group 2 Mortgage Loans are secured by a second Mortgage that is junior to a first mortgage lien on the related Mortgaged Property, and approximately 89.05% of the Group 2 Mortgage Loans are secured by a first lien on the related Mortgaged Property.

Mortgage Loan Statistical Tables

(xxvi)     The Mortgage Loans are expected to have the following characteristics as of the Cut-off Date (the sum in any column may not equal the total indicated due to rounding):

(xxvi)                                                                        

 


 

                                                                            Cut-off Date Principal Balances of the Mortgage Loans(1)

 

 

Number of
Mortgage Loans

 

Principal Balance
Outstanding as of the Cut-off Date

 

% of Aggregate
Principal Balance Outstanding
as of the Cut-off Date

 

Range of Principal Balance

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

$0.01 to $50,000.00

 

499

 

254

 

753

 

$

      15,365,314.94

 

$

        9,205,243.04

 

$

      24,570,557.98

 

5.52

%

 

1.41

%

 

2.64

%

$50,000.01 to $100,000.00

 

378

 

721

 

1,099

 

 

      26,837,406.57

 

 

      54,081,408.79

 

 

      80,918,815.36

 

9.64

 

 

8.30

 

 

8.70

 

$100,000.01 to $150,000.00

 

299

 

404

 

703

 

 

      37,244,456.19

 

 

      49,676,847.22

 

 

      86,921,303.41

 

13.37

 

 

7.62

 

 

9.34

 

$150,000.01 to $200,000.00

 

270

 

277

 

547

 

 

      47,702,989.05

 

 

      48,638,752.07

 

 

      96,341,741.12

 

17.13

 

 

7.46

 

 

10.35

 

$200,000.01 to $250,000.00

 

212

 

220

 

432

 

 

      47,352,960.33

 

 

      49,426,160.00

 

 

      96,779,120.33

 

17.00

 

 

7.58

 

 

10.40

 

$250,000.01 to $300,000.00

 

201

 

227

 

428

 

 

      55,535,799.23

 

 

      62,211,635.28

 

 

    117,747,434.51

 

19.94

 

 

9.54

 

 

12.65

 

$300,000.01 to $350,000.00

 

109

 

172

 

281

 

 

      35,201,658.87

 

 

      56,038,442.99

 

 

      91,240,101.86

 

12.64

 

 

8.60

 

 

9.81

 

$350,000.01 to $400,000.00

 

26

 

200

 

226

 

 

        9,482,306.67

 

 

      75,033,525.58

 

 

      84,515,832.25

 

3.40

 

 

11.51

 

 

9.08

 

$400,000.01 to $450,000.00

 

6

 

128

 

134

 

 

        2,580,827.82

 

 

      54,481,829.63

 

 

      57,062,657.45

 

0.93

 

 

8.36

 

 

6.13

 

$450,000.01 to $500,000.00

 

0

 

106

 

106

 

 

                      0.00

 

 

      50,172,961.11

 

 

      50,172,961.11

 

0.00

 

 

7.70

 

 

5.39

 

$500,000.01 to $550,000.00

 

0

 

86

 

86

 

 

                      0.00

 

 

      45,170,303.12

 

 

      45,170,303.12

 

0.00

 

 

6.93

 

 

4.85

 

$550,000.01 to $600,000.00

 

1

 

54

 

55

 

 

           576,671.72

 

 

      31,150,990.06

 

 

      31,727,661.78

 

0.21

 

 

4.78

 

 

3.41

 

$600,000.01 to $650,000.00

 

0

 

46

 

46

 

 

                      0.00

 

 

      28,812,348.75

 

 

      28,812,348.75

 

0.00

 

 

4.42

 

 

3.10

 

$650,000.01 to $700,000.00

 

1

 

21

 

22

 

 

           652,500.00

 

 

      14,040,439.71

 

 

      14,692,939.71

 

0.23

 

 

2.15

 

 

1.58

 

$700,000.01 to $750,000.00

 

0

 

14

 

14

 

 

                      0.00

 

 

      10,180,033.62

 

 

      10,180,033.62

 

0.00

 

 

1.56

 

 

1.09

 

$750,000.01 to $800,000.00

 

0

 

6

 

6

 

 

                      0.00

 

 

        4,658,437.95

 

 

        4,658,437.95

 

0.00

 

 

0.71

 

 

0.50

 

$800,000.01 >=

 

0

 

10

 

10

 

 

                      0.00

 

 

        8,946,020.18

 

 

        8,946,020.18

 

0.00

 

 

1.37

 

 

0.96

 

Total:

 

2,002

 

2,946

 

4,948

 

$

    278,532,891.39

 

$

    651,925,379.10

 

$

    930,458,270.49

 

100.00

%

 

100.00

%

 

100.00

%

 

 

(1)

The average Cut-off Date Principal Balance of the Group 1 Mortgage Loans was $139,127.32, of the Group 2 Mortgage Loans was $221,291.71, and of all the Mortgage Loans was $188,047.35.
 

 


 

Mortgage Interest Rates of the Mortgage Loans as of the Cut-off Date(1)

 

 

Number of
Mortgage Loans

 

Principal Balance
Outstanding as of the Cut-off Date

 

% of Aggregate
Principal Balance Outstanding
as of the Cut-off Date

 

Range of Mortgage
Interest Rates

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

4.001% to 4.500%

 

0

 

2

 

2

 

$

                      0.00

 

$

        1,196,440.87

 

$

        1,196,440.87

 

0.00

%

 

0.18

%

 

0.13

%

4.501% to 5.000%

 

4

 

11

 

15

 

 

           966,251.67

 

 

        4,769,377.08

 

 

        5,735,628.75

 

0.35

 

 

0.73

 

 

0.62

 

5.001% to 5.500%

 

42

 

62

 

104

 

 

        9,804,407.71

 

 

      23,503,918.52

 

 

      33,308,326.23

 

3.52

 

 

3.61

 

 

3.58

 

5.501% to 6.000%

 

177

 

299

 

476

 

 

      38,751,748.96

 

 

    105,709,982.72

 

 

    144,461,731.68

 

13.91

 

 

16.22

 

 

15.53

 

6.001% to 6.500%

 

278

 

425

 

703

 

 

      54,765,582.43

 

 

    139,361,044.54

 

 

    194,126,626.97

 

19.66

 

 

21.38

 

 

20.86

 

6.501% to 7.000%

 

371

 

503

 

874

 

 

      70,219,715.83

 

 

    147,999,440.17

 

 

    218,219,156.00

 

25.21

 

 

22.70

 

 

23.45

 

7.001% to 7.500%

 

201

 

302

 

503

 

 

      34,455,886.33

 

 

      74,276,118.43

 

 

    108,732,004.76

 

12.37

 

 

11.39

 

 

11.69

 

7.501% to 8.000%

 

156

 

194

 

350

 

 

      23,787,163.74

 

 

      46,584,140.54

 

 

      70,371,304.28

 

8.54

 

 

7.15

 

 

7.56

 

8.001% to 8.500%

 

128

 

196

 

324

 

 

      15,370,471.71

 

 

      29,986,666.14

 

 

      45,357,137.85

 

5.52

 

 

4.60

 

 

4.87

 

8.501% to 9.000%

 

105

 

142

 

247

 

 

        7,922,713.38

 

 

      17,864,303.09

 

 

      25,787,016.47

 

2.84

 

 

2.74

 

 

2.77

 

9.001% to 9.500%

 

62

 

153

 

215

 

 

        3,812,136.06

 

 

      13,440,742.71

 

 

      17,252,878.77

 

1.37

 

 

2.06

 

 

1.85

 

9.501% to 10.000%

 

156

 

268

 

424

 

 

        6,318,424.88

 

 

      19,310,137.21

 

 

      25,628,562.09

 

2.27

 

 

2.96

 

 

2.75

 

10.001% to 10.500%

 

92

 

120

 

212

 

 

        4,204,861.77

 

 

        8,874,440.40

 

 

      13,079,302.17

 

1.51

 

 

1.36

 

 

1.41

 

10.501% to 11.000%

 

121

 

191

 

312

 

 

        4,333,214.35

 

 

      13,882,523.83

 

 

      18,215,738.18

 

1.56

 

 

2.13

 

 

1.96

 

11.001% to 11.500%

 

89

 

59

 

148

 

 

        3,070,035.81

 

 

        3,731,814.33

 

 

        6,801,850.14

 

1.10

 

 

0.57

 

 

0.73

 

11.501% to 12.000%

 

12

 

11

 

23

 

 

           450,053.08

 

 

           862,302.68

 

 

        1,312,355.76

 

0.16

 

 

0.13

 

 

0.14

 

12.001% to 12.500%

 

6

 

8

 

14

 

 

           221,139.06

 

 

           571,985.84

 

 

           793,124.90

 

0.08

 

 

0.09

 

 

0.09

 

12.501% to 13.000%

 

2

 

0

 

2

 

 

             79,084.62

 

 

                      0.00

 

 

             79,084.62

 

0.03

 

 

0.00

 

 

0.01

 

Total:

 

2,002

 

2,946

 

4,948

 

$

    278,532,891.39

 

$

    651,925,379.10

 

$

    930,458,270.49

 

100.00

%

 

100.00

%

 

100.00

%

 

 

(1)

As of the Cut-off Date, the weighted average Mortgage Interest Rate was approximately 7.096% per annum for the Group 1 Mortgage Loans, approximately 7.049% per annum for Group 2 Mortgage Loans and approximately 7.063% per annum for all the Mortgage Loans.
 

 


 

Combined Loan-to-Value Ratios of the Mortgage Loans(1)

 

 

Number of
Mortgage Loans

 

Principal Balance
Outstanding as of the Cut-off Date

 

% of Aggregate
Principal Balance Outstanding
as of the Cut-off Date

 

Range of Combined
Loan-to-Value Ratios

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

10.01% to 20.00%

 

2

 

5

 

7

 

$

             98,839.33

 

$

           219,479.72

 

$

           318,319.05

 

0.04

%

 

0.03

%

 

0.03

%

20.01% to 30.00%

 

3

 

4

 

7

 

 

           178,854.54

 

 

           555,920.21

 

 

           734,774.75

 

0.06

 

 

0.09

 

 

0.08

 

30.01% to 40.00%

 

8

 

6

 

14

 

 

        1,096,634.83

 

 

           916,094.52

 

 

        2,012,729.35

 

0.39

 

 

0.14

 

 

0.22

 

40.01% to 50.00%

 

16

 

13

 

29

 

 

        2,901,908.54

 

 

        2,470,613.35

 

 

        5,372,521.89

 

1.04

 

 

0.38

 

 

0.58

 

50.01% to 60.00%

 

32

 

42

 

74

 

 

        6,059,293.79

 

 

      10,357,352.39

 

 

      16,416,646.18

 

2.18

 

 

1.59

 

 

1.76

 

60.01% to 70.00%

 

73

 

88

 

161

 

 

      14,989,338.97

 

 

      26,571,618.96

 

 

      41,560,957.93

 

5.38

 

 

4.08

 

 

4.47

 

70.01% to 80.00%

 

808

 

1,435

 

2,243

 

 

    143,965,679.92

 

 

    411,213,180.33

 

 

    555,178,860.25

 

51.69

 

 

63.08

 

 

59.67

 

80.01% to 90.00%

 

325

 

339

 

664

 

 

      62,817,157.39

 

 

    100,329,823.95

 

 

    163,146,981.34

 

22.55

 

 

15.39

 

 

17.53

 

90.01% to 100.00%

 

735

 

1,014

 

1,749

 

 

      46,425,184.08

 

 

      99,291,295.67

 

 

    145,716,479.75

 

16.67

 

 

15.23

 

 

15.66

 

Total:

 

2,002

 

2,946

 

4,948

 

$

    278,532,891.39

 

$

    651,925,379.10

 

$

    930,458,270.49

 

100.00

%

 

100.00

%

 

100.00

%

 

 

(1)

As of the Cut-off Date, the weighted average Combined Loan-to-Value Ratio was approximately 82.45% for the Group 1 Mortgage Loans, approximately 82.36% for the Group 2 Mortgage Loans and approximately 82.39% for all the Mortgage Loans.
 

The “Combined Loan-to-Value Ratio” of a Mortgage Loan generally means the ratio, expressed as a percentage of (i) the sum of (a) the principal amount of the Mortgage Loan at origination plus (b) in the case of a second lien Mortgage Loan, the outstanding amount of the first lien on the related Mortgaged Property at the date of origination of the Mortgage Loan over (ii) the Value of the related Mortgaged Property. “Value” means with respect to any Mortgaged Property, the lesser of: (i) an amount determined by an appraisal done at origination of the Mortgage Loan; provided, however, the amount may be reduced to reflect the results of a review of such appraisal in accordance with the Originator’s underwriting guidelines and (ii) the purchase price paid for the related Mortgaged Property by the Mortgagor with the proceeds of the Mortgage Loan; provided, however, that in the case of a refinanced Mortgage Loan, the value of the Mortgaged Property is based solely upon clause (i) above.

 


 

Original Terms to Maturity of the Mortgage Loans(1)

 

 

Number of
Mortgage Loans

 

Principal Balance
Outstanding as of the Cut-off Date

 

% of Aggregate
Principal Balance Outstanding
as of the Cut-off Date

 

Original Term (months)

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

109 to 120

 

0

 

1

 

1

 

$

                      0.00

 

$

             56,170.62

 

$

            56,170,.62

 

0.00

%

 

0.01

%

 

0.01

%

169 to 180

 

618

 

964

 

1,582

 

 

      23,963,936.90

 

 

      74,469,008.62

 

 

      98,432,945.52

 

8.60

 

 

11.42

 

 

10.58

 

229 to 240

 

10

 

2

 

12

 

 

           424,692.38

 

 

           171,488.99

 

 

           596,181.37

 

0.15

 

 

0.03

 

 

0.06

 

349 to 360

 

1,374

 

1,979

 

3,353

 

 

    254,144,262.11

 

 

    577,228,710.87

 

 

    831,372,972.98

 

91.24

 

 

88.54

 

 

89.35

 

Total:

 

2,002

 

2,946

 

4,948

 

$

    278,532,891.39

 

$

    651,925,379.10

 

$

    930,458,270.49

 

100.00

%

 

100.00

%

 

100.00

%

 

 

(1)

As of the Cut-off Date, the weighted average original term to maturity was approximately 344 months for the Group 1 Mortgage Loans, approximately 339 months for the Group 2 Mortgage Loans and approximately 341 months for all the Mortgage Loans.
 

                                                                              Remaining Terms to Maturity of the Mortgage Loans(1)

 

 

Number of
Mortgage Loans

 

Principal Balance
Outstanding as of the Cut-off Date

 

% of Aggregate
Principal Balance Outstanding
as of the Cut-off Date

 

Remaining Term (months)

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

109 to 120

 

0

 

1

 

1

 

$

                      0.00

 

$

             56,170.62

 

$

             56,170.62

 

0.00

%

 

0.01

%

 

0.01

%

169 to 180

 

618

 

964

 

1,582

 

 

      23,963,936.90

 

 

      74,469,008.62

 

 

      98,432,945.52

 

8.60

 

 

11.42

 

 

10.58

 

229 to 240

 

10

 

2

 

12

 

 

           424,692.38

 

 

           171,488.99

 

 

           596,181.37

 

0.15

 

 

0.03

 

 

0.06

 

337 to 348

 

2

 

1

 

3

 

 

           213,341.99

 

 

           297,597.13

 

 

           510,939.12

 

0.08

 

 

0.05

 

 

0.05

 

349 to 360

 

1,372

 

1,978

 

3,350

 

 

    253,930,920.12

 

 

    576,931,113.74

 

 

    830,862,033.86

 

91.17

 

 

88.50

 

 

89.30

 

Total:

 

2,002

 

2,946

 

4,948

 

$

    278,532,891.39

 

$

    651,925,379.10

 

$

    930,458,270.49

 

100.00

%

 

100.00

%

 

100.00

%

 

 

 

(1)

As of the Cut-off Date, the weighted average remaining term to maturity was approximately 338 months for the Group 1 Mortgage Loans, approximately 333 months for the Group 2 Mortgage Loans and approximately 335 months for all the Mortgage Loans.
 

 

 


 

                                                                             Property Types of the Mortgage Loans

 

 

Number of
Mortgage Loans

 

Principal Balance
Outstanding as of the Cut-off Date

 

% of Aggregate
Principal Balance Outstanding
as of the Cut-off Date

 

Property Type

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

Single Family

 

1,432

 

2,028

 

3,460

 

$

    191,809,210.11

 

$

    441,565,612.38

 

$

    633,374,822.49

 

68.86

%

 

67.73

%

 

68.07

%

Planned Unit Development

 

269

 

478

 

747

 

 

      38,242,442.40

 

 

    109,078,277.87

 

 

    147,320,720.27

 

13.73

 

 

16.73

 

 

15.83

 

Condominium

 

212

 

265

 

477

 

 

      26,600,825.86

 

 

      51,331,383.53

 

 

      77,932,209.39

 

9.55

 

 

7.87

 

 

8.38

 

Two- to Four-Family

 

89

 

175

 

264

 

 

      21,880,413.02

 

 

      49,950,105.32

 

 

      71,830,518.34

 

7.86

 

 

7.66

 

 

7.72

 

Total:

 

2,002

 

2,946

 

4,948

 

$

    278,532,891.39

 

$

    651,925,379.10

 

$

    930,458,270.49

 

100.00

%

 

100.00

%

 

100.00

%

 

 


 

Credit Score for the Mortgage Loans(1)

 

 

Number of
Mortgage Loans

 

Principal Balance
Outstanding as of the Cut-off Date

 

% of Aggregate
Principal Balance Outstanding
as of the Cut-off Date

 

Range of Credit Scores

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

481 to 500

 

2

 

4

 

6

 

$

           186,018.85

 

$

           698,471.97

 

$

           884,490.82

 

0.07

%

 

0.11

%

 

0.10

%

501 to 520

 

35

 

77

 

112

 

 

        6,374,652.84

 

 

      15,810,814.02

 

 

      22,185,466.86

 

2.29

 

 

2.43

 

 

2.38

 

521 to 540

 

38

 

67

 

105

 

 

        5,747,498.97

 

 

      13,245,312.13

 

 

      18,992,811.10

 

2.06

 

 

2.03

 

 

2.04

 

541 to 560

 

54

 

83

 

137

 

 

        8,864,919.51

 

 

      19,284,093.51

 

 

      28,149,013.02

 

3.18

 

 

2.96

 

 

3.03

 

561 to 580

 

56

 

96

 

152

 

 

        9,110,472.14

 

 

      22,631,403.53

 

 

      31,741,875.67

 

3.27

 

 

3.47

 

 

3.41

 

581 to 600

 

198

 

328

 

526

 

 

      19,829,555.10

 

 

      60,129,622.60

 

 

      79,959,177.70

 

7.12

 

 

9.22

 

 

8.59

 

601 to 620

 

245

 

466

 

711

 

 

      28,144,855.45

 

 

      94,210,486.18

 

 

    122,355,341.63

 

10.10

 

 

14.45

 

 

13.15

 

621 to 640

 

348

 

352

 

700

 

 

      50,457,406.51

 

 

      78,437,143.37

 

 

    128,894,549.88

 

18.12

 

 

12.03

 

 

13.85

 

641 to 660

 

298

 

362

 

660

 

 

      42,421,466.67

 

 

      87,549,270.53

 

 

    129,970,737.20

 

15.23

 

 

13.43

 

 

13.97

 

661 to 680

 

251

 

351

 

602

 

 

      35,063,265.53

 

 

      82,469,161.31

 

 

    117,532,426.84

 

12.59

 

 

12.65

 

 

12.63

 

681 to 700

 

187

 

274

 

461

 

 

      28,396,282.70

 

 

      63,702,703.03

 

 

      92,098,985.73

 

10.19

 

 

9.77

 

 

9.90

 

701 to 720

 

108

 

198

 

306

 

 

      15,866,682.75

 

 

      48,248,129.89

 

 

      64,114,812.64

 

5.70

 

 

7.40

 

 

6.89

 

721 to 740

 

78

 

119

 

197

 

 

      12,091,435.09

 

 

      25,687,912.00

 

 

      37,779,347.09

 

4.34

 

 

3.94

 

 

4.06

 

741 to 760

 

39

 

90

 

129

 

 

        6,618,822.58

 

 

      18,712,531.37

 

 

      25,331,353.95

 

2.38

 

 

2.87

 

 

2.72

 

761 to 780

 

33

 

52

 

85

 

 

        4,955,500.63

 

 

      14,549,749.99

 

 

      19,505,250.62

 

1.78

 

 

2.23

 

 

2.10

 

781 to 800

 

25

 

21

 

46

 

 

        3,406,165.91

 

 

        5,215,675.24

 

 

        8,621,841.15

 

1.22

 

 

0.80

 

 

0.93

 

801 to 820

 

7

 

6

 

13

 

 

           997,890.16

 

 

        1,342,898.43

 

 

        2,340,788.59

 

0.36

 

 

0.21

 

 

0.25

 

Total:

 

2,002

 

2,946

 

4,948

 

$

    278,532,891.39

 

$

    651,925,379.10

 

$

    930,458,270.49

 

100.00

%

 

100.00

%

 

100.00

%

 

 

(1)

As of the Cut-off Date, the weighted average Credit Scores was approximately 647 for the Group 1 Mortgage Loans, approximately 646 for the Group 2 Mortgage Loans and approximately 647 for all the Mortgage Loans. “Credit Scores” are statistical credit scores obtained by many mortgage lenders in connection with the loan application to help assess a borrower’s credit-worthiness. Credit Scores are generated by models developed by a third party and are made available to lenders through three national credit bureaus. The models were derived by analyzing data on consumers in order to establish patterns which are believed to be indicative of the borrower’s probability of default. The Credit Score is based on a borrower’s historical credit data, including, among other things, payment history, delinquencies on accounts, levels of outstanding indebtedness, length of credit history, types of credit, and bankruptcy experience. Credit Scores generally range from approximately 300 to approximately 850, with higher scores indicating an individual with a more favorable credit history compared to an individual with a lower score. However, a Credit Score purports only to be a measurement of the relative degree of risk a borrower represents to a lender, i.e., that a borrower with a higher score is statistically expected to be less likely to default in payment than a borrower with a lower score. In addition, it should be noted that Credit Scores were developed to indicate a level of default probability over a two-year period which does not correspond to the life of a mortgage loan. Furthermore, Credit Scores were not developed specifically for use in connection with mortgage loans, but for consumer loans in general. Therefore, a Credit Score does not take into consideration the effect of mortgage loan characteristics on the probability of repayment by the borrower. The Credit Scores set forth in the table above were obtained at either the time of origination of the Mortgage Loan or more recently. The Depositor makes no representations or warranties as to the actual performance of any Mortgage Loan or that a particular Credit Score should be relied upon as a basis for an expectation that the borrower will repay the Mortgage Loan according to its terms.
 

 


 

Credit Grades for the Mortgage Loans

 

 

Number of
Mortgage Loans

 

Principal Balance
Outstanding as of the Cut-off Date

 

% of Aggregate
Principal Balance Outstanding
as of the Cut-off Date

 

Credit Grade

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

AA

 

1,013

 

1,490

 

2,503

 

$

    146,191,171.95

 

$

    347,340,814.14

 

$

    493,531,986.09

 

52.49

%

 

53.28

%

 

53.04

%

A

 

573

 

820

 

1,393

 

 

      76,389,888.14

 

 

    170,796,951.00

 

 

    247,186,839.14

 

27.43

 

 

26.20

 

 

26.57

 

A-

 

222

 

324

 

546

 

 

      23,449,352.82

 

 

      63,325,878.56

 

 

      86,775,231.38

 

8.42

 

 

9.71

 

 

9.33

 

B+

 

92

 

134

 

226

 

 

      15,853,768.31

 

 

      33,471,236.10

 

 

      49,325,004.41

 

5.69

 

 

5.13

 

 

5.30

 

B

 

91

 

164

 

255

 

 

      14,742,714.52

 

 

      34,134,138.08

 

 

      48,876,852.60

 

5.29

 

 

5.24

 

 

5.25

 

C

 

11

 

14

 

25

 

 

        1,905,995.65

 

 

        2,856,361.22

 

 

        4,762,356.87

 

0.68

 

 

0.44

 

 

0.51

 

Total:

 

2,002

 

2,946

 

4,948

 

$

    278,532,891.39

 

$

    651,925,379.10

 

$

    930,458,270.49

 

100.00

%

 

100.00

%

 

100.00

%

 

 


 

Original Prepayment Charge Term for the Mortgage Loans(1)

 

 

Number of
Mortgage Loans

 

Principal Balance
Outstanding as of the Cut-off Date

 

% of Aggregate
Principal Balance Outstanding
as of the Cut-off Date

 

Original Prepayment
Charge Term (months)

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

0

 

778

 

936

 

1,714

 

$

      99,020,675.29

 

$

    189,648,480.43

 

$

    288,669,155.72

 

35.55

%

 

29.09

%

 

31.02

%

6

 

1

 

0

 

1

 

 

             52,949.68

 

 

                      0.00

 

 

             52,949.68

 

0.02

 

 

0.00

 

 

0.01

 

12

 

47

 

115

 

162

 

 

        8,625,988.06

 

 

      32,198,731.66

 

 

      40,824,719.72

 

3.10

 

 

4.94

 

 

4.39

 

24

 

992

 

1,664

 

2,656

 

 

    143,254,789.63

 

 

    376,168,464.35

 

 

    519,423,253.98

 

51.43

 

 

57.70

 

 

55.82

 

36

 

184

 

231

 

415

 

 

      27,578,488.73

 

 

      53,909,702.66

 

 

      81,488,191.39

 

9.90

 

 

8.27

 

 

8.76

 

Total:

 

2,002

 

2,946

 

4,948

 

$

    278,532,891.39

 

$

    651,925,379.10

 

$

    930,458,270.49

 

100.00

%

 

100.00

%

 

100.00

%

 

 

(1)

As of the Cut-off Date, the weighted average original prepayment charge term was approximately 25 months for the Group 1 Mortgage Loans with prepayment charges, approximately 25 months for the Group 2 Mortgage Loans with prepayment charges and approximately 25 months for all the Mortgage Loans with prepayment charges.
 

 


 

Occupancy Status of the Mortgage Loans(1)

 

 

Number of
Mortgage Loans

 

Principal Balance
Outstanding as of the Cut-off Date

 

% of Aggregate
Principal Balance Outstanding
as of the Cut-off Date

 

Occupancy Status

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

Owner Occupied

 

1,810

 

2,846

 

4,656

 

$

    249,393,321.80

 

$

    626,985,892.71

 

$

    876,379,214.51

 

89.54

%

 

96.17

%

 

94.19

%

Second Home

 

105

 

52

 

157

 

 

      14,747,723.20

 

 

      12,985,318.79

 

 

      27,733,041.99

 

5.29

 

 

1.99

 

 

2.98

 

Non-Owner Occupied

 

87

 

48

 

135

 

 

      14,391,846.39

 

 

      11,954,167.60

 

 

      26,346,013.99

 

5.17

 

 

1.83

 

 

2.83

 

Total:

 

2,002

 

2,946

 

4,948

 

$

    278,532,891.39

 

$

    651,925,379.10

 

$

    930,458,270.49

 

100.00

%

 

100.00

%

 

100.00

%

 

 

(1)

Based on a representation made by the borrower at the time of origination.
 

                                                                           Purpose of the Mortgage Loans

 

 

Number of
Mortgage Loans

 

Principal Balance
Outstanding as of the Cut-off Date

 

% of Aggregate
Principal Balance Outstanding
as of the Cut-off Date

 

Purpose

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

Purchase

 

943

 

2,046

 

2,989

 

$

      98,662,529.15

 

$

    404,435,670.03

 

$

    503,098,199.18

 

35.42

%

 

62.04

%

 

54.07

%

Cash-Out Refinance

 

976

 

842

 

1,818

 

 

    166,541,908.06

 

 

    232,737,319.00

 

 

    399,279,227.06

 

59.79

 

 

35.70

 

 

42.91

 

Rate-Term Refinance

 

83

 

58

 

141

 

 

      13,328,454.18

 

 

      14,752,390.07

 

 

      28,080,844.25

 

4.79

 

 

2.26

 

 

3.02

 

Total:

 

2,002

 

2,946

 

4,948

 

$

    278,532,891.39

 

$

    651,925,379.10

 

$

    930,458,270.49

 

100.00

%

 

100.00

%

 

100.00

%

 

 


 

                                                                          Product Type of the Mortgage Loans

 

 

Number of
Mortgage Loans

 

Principal Balance
Outstanding as of the Cut-off Date

 

% of Aggregate
Principal Balance Outstanding
as of the Cut-off Date

 

Product Type

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

10 Yr Fixed

 

0

 

1

 

1

 

$

                      0.00

 

$

             56,170.62

 

$

             56,170.62

 

0.00

%

 

0.01

%

 

0.01

%

15 Yr Fixed

 

22

 

34

 

56

 

 

        1,965,339.79

 

 

        3,817,509.78

 

 

        5,782,849.57

 

0.71

 

 

0.59

 

 

0.62

 

15/30 Balloon

 

596

 

930

 

1,526

 

 

      21,998,597.11

 

 

      70,651,498.84

 

 

      92,650,095.95

 

7.90

 

 

10.84

 

 

9.96

 

20 Yr Fixed

 

10

 

2

 

12

 

 

           424,692.38

 

 

           171,488.99

 

 

           596,181.37

 

0.15

 

 

0.03

 

 

0.06

 

2/28 ARM

 

640

 

817

 

1,457

 

 

    107,691,029.29

 

 

    197,622,464.37

 

 

    305,313,493.66

 

38.66

 

 

30.31

 

 

32.81

 

2/28 ARM With 10 Yr IO

 

13

 

18

 

31

 

 

        2,597,848.74

 

 

        5,297,489.90

 

 

        7,895,338.64

 

0.93

 

 

0.81

 

 

0.85

 

2/28 ARM With 5 Yr IO

 

207

 

385

 

592

 

 

      45,145,830.06

 

 

    140,872,812.92

 

 

    186,018,642.98

 

16.21

 

 

21.61

 

 

19.99

 

2/28 ARM 30/40 Balloon

 

209

 

407

 

616

 

 

      44,104,406.33

 

 

    135,291,326.22

 

 

    179,395,732.55

 

15.83

 

 

20.75

 

 

19.28

 

30 Yr Fixed

 

159

 

170

 

329

 

 

      25,561,267.66

 

 

      39,531,107.44

 

 

      65,092,375.10

 

9.18

 

 

6.06

 

 

7.00

 

30 Yr Fixed 30/40 Balloon

 

22

 

30

 

52

 

 

        4,695,099.99

 

 

        8,668,405.18

 

 

      13,363,505.17

 

1.69

 

 

1.33

 

 

1.44

 

3/27 ARM

 

33

 

37

 

70

 

 

        6,278,566.86

 

 

        7,408,048.29

 

 

      13,686,615.15

 

2.25

 

 

1.14

 

 

1.47

 

3/27 ARM With 10 Yr IO

 

0

 

1

 

1

 

 

                      0.00

 

 

           660,000.00

 

 

           660,000.00

 

0.00

 

 

0.10

 

 

0.07

 

3/27 ARM With 5 Yr IO

 

10

 

7

 

17

 

 

        2,293,329.00

 

 

        2,897,571.75

 

 

        5,190,900.75

 

0.82

 

 

0.44

 

 

0.56

 

3/27 ARM 30/40 Balloon

 

9

 

8

 

17

 

 

        1,738,400.10

 

 

        2,057,768.74

 

 

        3,796,168.84

 

0.62

 

 

0.32

 

 

0.41

 

5/25 ARM

 

29

 

26

 

55

 

 

        4,522,291.22

 

 

        9,064,307.03

 

 

      13,586,598.25

 

1.62

 

 

1.39

 

 

1.46

 

5/25 ARM With 10 Yr IO

 

2

 

3

 

5

 

 

           868,500.00

 

 

        1,306,503.93

 

 

        2,175,003.93

 

0.31

 

 

0.20

 

 

0.23

 

5/25 ARM With 5 Yr IO

 

31

 

58

 

89

 

 

        6,832,456.05

 

 

      22,578,885.67

 

 

      29,411,341.72

 

2.45

 

 

3.46

 

 

3.16

 

5/25 ARM 30/40 Balloon

 

9

 

10

 

19

 

 

        1,601,445.45

 

 

        3,668,596.28

 

 

        5,270,041.73

 

0.57

 

 

0.56

 

 

0.57

 

6 Month ARM

 

1

 

2

 

3

 

 

           213,791.36

 

 

           303,423.15

 

 

           517,214.51

 

0.08

 

 

0.05

 

 

0.06

 

Total:

 

2,002

 

2,946

 

4,948

 

$

    278,532,891.39

 

$

    651,925,379.10

 

$

    930,458,270.49

 

100.00

%

 

100.00

%

 

100.00

%

 

 


 

 

 

 

Lien Position of the Mortgage Loans

 

 

Number of
Mortgage Loans

 

Principal Balance
Outstanding as of the Cut-off Date

 

% of Aggregate
Principal Balance Outstanding
as of the Cut-off Date

 

Lien

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

First

 

1,392

 

2,004

 

3,396

 

$

    256,075,670.58

 

$

    580,554,510.44

 

$

    836,630,181.02

 

91.94

%

 

89.05

%

 

89.92

%

Second

 

610

 

942

 

1,552

 

 

      22,457,220.81

 

 

      71,370,868.66

 

 

      93,828,089.47

 

8.06

 

 

10.95

 

 

10.08

 

Total:

 

2,002

 

2,946

 

4,948

 

$

    278,532,891.39

 

$

    651,925,379.10

 

$

    930,458,270.49

 

100.00

%

 

100.00

%

 

100.00

%

 

 

 


 

Geographic Distribution of the Mortgage Loans(1)

 

 

Number of
Mortgage Loans

 

Principal Balance
Outstanding as of the Cut-off Date

 

% of Aggregate
Principal Balance Outstanding
as of the Cut-off Date

 

Location

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

Alabama

 

1

 

0

 

1

 

$

             83,433.31

 

$

                     0.00

 

$

             83,433.31

 

0.03

%

 

0.00

%

 

0.01

%

Arizona

 

80

 

65

 

145

 

 

        10,590,234.82

 

 

        14,399,198.99

 

 

        24,989,433.81

 

3.80

 

 

2.21

 

 

2.69

 

Arkansas

 

6

 

4

 

10

 

 

            674,438.44

 

 

            438,168.48

 

 

          1,112,606.92

 

0.24

 

 

0.07

 

 

0.12

 

California

 

371

 

1,389

 

1,760

 

 

        77,467,658.98

 

 

      375,739,703.70

 

 

      453,207,362.68

 

27.81

 

 

57.64

 

 

48.71

 

Colorado

 

24

 

12

 

36

 

 

          2,864,148.94

 

 

          1,711,880.00

 

 

          4,576,028.94

 

1.03

 

 

0.26

 

 

0.49

 

Connecticut

 

32

 

26

 

58

 

 

          4,386,676.71

 

 

          6,051,943.37

 

 

        10,438,620.08

 

1.57

 

 

0.93

 

 

1.12

 

Delaware

 

12

 

3

 

15

 

 

          1,597,006.47

 

 

            562,846.65

 

 

          2,159,853.12

 

0.57

 

 

0.09

 

 

0.23

 

District of Columbia

 

12

 

17

 

29

 

 

          1,875,679.01

 

 

          3,536,323.97

 

 

          5,412,002.98

 

0.67

 

 

0.54

 

 

0.58

 

Florida

 

153

 

121

 

274

 

 

        15,999,245.26

 

 

        19,605,184.76

 

 

        35,604,430.02

 

5.74

 

 

3.01

 

 

3.83

 

Georgia

 

23

 

36

 

59

 

 

          2,462,636.97

 

 

          5,019,587.60

 

 

          7,482,224.57

 

0.88

 

 

0.77

 

 

0.80

 

Idaho

 

18

 

20

 

38

 

 

          1,221,234.57

 

 

          2,204,309.46

 

 

          3,425,544.03

 

0.44

 

 

0.34

 

 

0.37

 

Illinois

 

101

 

67

 

168

 

 

        12,544,814.78

 

 

        11,982,189.05

 

 

        24,527,003.83

 

4.50

 

 

1.84

 

 

2.64

 

Indiana

 

17

 

3

 

20

 

 

          1,731,915.73

 

 

            538,306.54

 

 

          2,270,222.27

 

0.62

 

 

0.08

 

 

0.24

 

Kansas

 

5

 

6

 

11

 

 

            446,273.18

 

 

          1,118,970.12

 

 

          1,565,243.30

 

0.16

 

 

0.17

 

 

0.17

 

Kentucky

 

2

 

1

 

3

 

 

             85,788.67

 

 

             77,354.91

 

 

            163,143.58

 

0.03

 

 

0.01

 

 

0.02

 

Louisiana

 

37

 

41

 

78

 

 

          2,288,297.34

 

 

          4,140,157.59

 

 

          6,428,454.93

 

0.82

 

 

0.64

 

 

0.69

 

Maine

 

8

 

6

 

14

 

 

          1,127,261.20

 

 

          1,035,221.44

 

 

          2,162,482.64

 

0.40

 

 

0.16

 

 

0.23

 

Maryland

 

122

 

89

 

211

 

 

        17,599,706.28

 

 

        19,830,305.32

 

 

        37,430,011.60

 

6.32

 

 

3.04

 

 

4.02

 

Massachusetts

 

73

 

63

 

136

 

 

        13,914,508.25

 

 

        13,183,962.28

 

 

        27,098,470.53

 

5.00

 

 

2.02

 

 

2.91

 

Michigan

 

19

 

12

 

31

 

 

          1,548,601.16

 

 

          2,172,666.41

 

 

          3,721,267.57

 

0.56

 

 

0.33

 

 

0.40

 

Minnesota

 

4

 

5

 

9

 

 

            491,640.79

 

 

            813,594.06

 

 

          1,305,234.85

 

0.18

 

 

0.12

 

 

0.14

 

Mississippi

 

26

 

14

 

40

 

 

          1,896,488.23

 

 

          1,266,361.09

 

 

          3,162,849.32

 

0.68

 

 

0.19

 

 

0.34

 

Missouri

 

35

 

20

 

55

 

 

          2,520,700.07

 

 

          1,871,835.64

 

 

          4,392,535.71

 

0.90

 

 

0.29

 

 

0.47

 

Montana

 

6

 

6

 

12

 

 

            743,290.54

 

 

          1,212,441.56

 

 

          1,955,732.10

 

0.27

 

 

0.19

 

 

0.21

 

Nevada

 

57

 

83

 

140

 

 

          8,723,770.29

 

 

        17,445,723.11

 

 

        26,169,493.40

 

3.13

 

 

2.68

 

 

2.81

 

New Hampshire

 

17

 

16

 

33

 

 

          2,099,194.53

 

 

          3,528,393.34

 

 

          5,627,587.87

 

0.75

 

 

0.54

 

 

0.60

 

New Jersey

 

60

 

95

 

155

 

 

        12,810,015.59

 

 

        24,031,205.68

 

 

        36,841,221.27

 

4.60

 

 

3.69

 

 

3.96

 

New Mexico

 

14

 

6

 

20

 

 

          1,238,226.76

 

 

            570,794.38

 

 

          1,809,021.14

 

0.44

 

 

0.09

 

 

0.19

 

New York

 

82

 

172

 

254

 

 

        15,684,046.33

 

 

        41,892,618.26

 

 

        57,576,664.59

 

5.63

 

 

6.43

 

 

6.19

 

North Carolina

 

36

 

28

 

64

 

 

          2,968,966.57

 

 

          3,383,283.05

 

 

          6,352,249.62

 

1.07

 

 

0.52

 

 

0.68

 

North Dakota

 

1

 

1

 

2

 

 

            102,083.17

 

 

             76,676.48

 

 

            178,759.65

 

0.04

 

 

0.01

 

 

0.02

 

Ohio

 

16

 

18

 

34

 

 

          1,184,042.32

 

 

          1,589,288.70

 

 

          2,773,331.02

 

0.43

 

 

0.24

 

 

0.30

 

Oklahoma

 

10

 

13

 

23

 

 

            781,014.13

 

 

          1,460,132.09

 

 

          2,241,146.22

 

0.28

 

 

0.22

 

 

0.24

 

Oregon

 

26

 

10

 

36

 

 

          2,957,573.80

 

 

          2,127,434.07

 

 

          5,085,007.87

 

1.06

 

 

0.33

 

 

0.55

 

Pennsylvania

 

57

 

34

 

91

 

 

          5,730,952.25

 

 

          4,290,330.62

 

 

        10,021,282.87

 

2.06

 

 

0.66

 

 

1.08

 

Rhode Island

 

7

 

12

 

19

 

 

          1,522,741.37

 

 

          1,940,722.87

 

 

          3,463,464.24

 

0.55

 

 

0.30

 

 

0.37

 

South Carolina

 

7

 

5

 

12

 

 

            785,126.69

 

 

            399,657.24

 

 

          1,184,783.93

 

0.28

 

 

0.06

 

 

0.13

 

South Dakota

 

0

 

1

 

1

 

 

                     0.00

 

 

             87,765.66

 

 

             87,765.66

 

0.00

 

 

0.01

 

 

0.01

 

Tennessee

 

29

 

20

 

49

 

 

          2,283,030.52

 

 

          1,825,438.60

 

 

          4,108,469.12

 

0.82

 

 

0.28

 

 

0.44

 

Texas

 

147

 

219

 

366

 

 

        10,818,623.10

 

 

        23,643,331.28

 

 

        34,461,954.38

 

3.88

 

 

3.63

 

 

3.70

 

Utah

 

3

 

4

 

7

 

 

            329,271.82

 

 

            609,167.97

 

 

            938,439.79

 

0.12

 

 

0.09

 

 

0.10

 

Vermont

 

1

 

1

 

2

 

 

            116,413.60

 

 

            235,459.02

 

 

            351,872.62

 

0.04

 

 

0.04

 

 

0.04

 

Virginia

 

93

 

97

 

190

 

 

        13,483,877.87

 

 

        20,831,085.21

 

 

        34,314,963.08

 

4.84

 

 

3.20

 

 

3.69

 

Washington

 

121

 

71

 

192

 

 

        15,935,476.26

 

 

        11,986,359.48

 

 

        27,921,835.74

 

5.72

 

 

1.84

 

 

3.00

 

West Virginia

 

2

 

3

 

5

 

 

            184,118.82

 

 

            250,686.72

 

 

            434,805.54

 

0.07

 

 

0.04

 

 

0.05

 

Wisconsin

 

27

 

10

 

37

 

 

          2,552,127.93

 

 

          1,007,002.45

 

 

          3,559,130.38

 

0.92

 

 

0.15

 

 

0.38

 

Wyoming

 

2

 

1

 

3

 

 

             80,517.97

 

 

            200,309.83

 

 

            280,827.80

 

0.03

 

 

0.03

 

 

0.03

 

Total:

 

2,002

 

2,946

 

4,948

 

$

      278,532,891.39

 

$

      651,925,379.10

 

$

      930,458,270.49

 

100.00

%

 

100.00

%

 

100.00

%

 

(1)

The greatest ZIP Code geographic concentration of the Mortgage Loans, by Principal Balance as of the Cut-off Date, was approximately 0.51% in the 20110 ZIP Code, located in Virginia, for the Group 1 Mortgage Loans, approximately 0.71% in the 94531 ZIP Code, located in California, for the Group 2 Mortgage Loans, and approximately 0.50% in the 94531 ZIP Code, located in California, for all of the Mortgage Loans.
 

 


 

Documentation Levels of the Mortgage Loans

 

 

Number of
Mortgage Loans

 

Principal Balance
Outstanding as of the Cut-off Date

 

% of Aggregate
Principal Balance Outstanding
as of the Cut-off Date

 

Documentation Level

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

Full Documentation

 

1,046

 

1,174

 

2,220

 

$

    133,945,159.52

 

$

    232,814,866.82

 

$

    366,760,026.34

 

48.09

%

 

35.71

%

 

39.42

%

Stated Income/Verified Assets (Streamlined)

 

439

 

1,022

 

1,461

 

 

      54,408,400.58

 

 

    204,813,676.85

 

 

    259,222,077.43

 

19.53

 

 

31.42

 

 

27.86

 

Stated Income Documentation

 

221

 

305

 

526

 

 

      47,316,679.65

 

 

      96,565,305.36

 

 

    143,881,985.01

 

16.99

 

 

14.81

 

 

15.46

 

Limited Documentation

 

240

 

359

 

599

 

 

      35,492,460.46

 

 

      95,714,693.37

 

 

    131,207,153.83

 

12.74

 

 

14.68

 

 

14.10

 

Lite Documentation

 

44

 

72

 

116

 

 

        5,956,552.07

 

 

      16,311,370.95

 

 

      22,267,923.02

 

2.14

 

 

2.50

 

 

2.39

 

Full-Alternative Documentation

 

12

 

14

 

26

 

 

        1,413,639.11

 

 

        5,705,465.75

 

 

        7,119,104.86

 

0.51

 

 

0.88

 

 

0.77

 

Total:

 

2,002

 

2,946

 

4,948

 

$

    278,532,891.39

 

$

    651,925,379.10

 

$

    930,458,270.49

 

100.00

%

 

100.00

%

 

100.00

%

 

 


 

The following tables present certain statistical information relevant only to the Adjustable-Rate Mortgage Loans:

 

Maximum Mortgage Interest Rate of the Adjustable-Rate Mortgage Loans(1)

 

 

Number of
Mortgage Loans

 

Principal Balance
Outstanding as of the Cut-off Date

 

% of Aggregate
Principal Balance Outstanding
as of the Cut-off Date

 

Range of Maximum
Mortgage Interest Rates

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

10.501% to 11.000%

 

0

 

2

 

2

 

$

                      0.00

 

$

        1,196,440.87

 

$

        1,196,440.87

 

0.00

%

 

0.23

%

 

0.16

%

11.001% to 11.500%

 

8

 

15

 

23

 

 

        1,571,883.01

 

 

        6,021,611.40

 

 

        7,593,494.41

 

0.70

 

 

1.14

 

 

1.01

 

11.501% to 12.000%

 

39

 

63

 

102

 

 

        9,469,424.78

 

 

      24,023,918.52

 

 

      33,493,343.30

 

4.23

 

 

4.54

 

 

4.45

 

12.001% to 12.500%

 

156

 

288

 

444

 

 

      34,291,423.56

 

 

    102,207,295.01

 

 

    136,498,718.57

 

15.32

 

 

19.32

 

 

18.13

 

12.501% to 13.000%

 

244

 

363

 

607

 

 

      48,515,284.26

 

 

    117,364,549.78

 

 

    165,879,834.04

 

21.67

 

 

22.18

 

 

22.03

 

13.001% to 13.500%

 

311

 

447

 

758

 

 

      59,300,418.69

 

 

    134,798,446.80

 

 

    194,098,865.49

 

26.49

 

 

25.48

 

 

25.78

 

13.501% to 14.000%

 

162

 

260

 

422

 

 

      28,931,254.49

 

 

      66,146,837.22

 

 

      95,078,091.71

 

12.92

 

 

12.50

 

 

12.63

 

14.001% to 14.500%

 

115

 

165

 

280

 

 

      19,638,039.46

 

 

      42,500,912.61

 

 

      62,138,952.07

 

8.77

 

 

8.03

 

 

8.25

 

14.501% to 15.000%

 

83

 

97

 

180

 

 

      13,019,187.56

 

 

      20,977,407.50

 

 

      33,996,595.06

 

5.82

 

 

3.97

 

 

4.52

 

15.001% to 15.500%

 

42

 

52

 

94

 

 

        5,168,560.11

 

 

      10,410,725.95

 

 

      15,579,286.06

 

2.31

 

 

1.97

 

 

2.07

 

15.501% to 16.000%

 

18

 

13

 

31

 

 

        2,246,623.37

 

 

        1,501,226.90

 

 

        3,747,850.27

 

1.00

 

 

0.28

 

 

0.50

 

16.001% to 16.500%

 

11

 

10

 

21

 

 

        1,210,045.07

 

 

        1,566,262.26

 

 

        2,776,307.33

 

0.54

 

 

0.30

 

 

0.37

 

16.501% to 17.000%

 

3

 

2

 

5

 

 

           472,800.42

 

 

           210,086.44

 

 

           682,886.86

 

0.21

 

 

0.04

 

 

0.09

 

17.001% to 17.500%

 

1

 

1

 

2

 

 

             52,949.68

 

 

             56,828.07

 

 

           109,777.75

 

0.02

 

 

0.01

 

 

0.01

 

17.501% to 18.000%

 

0

 

1

 

1

 

 

                      0.00

 

 

             46,648.92

 

 

             46,648.92

 

0.00

 

 

0.01

 

 

0.01

 

Total:

 

1,193

 

1,779

 

2,972

 

$

    223,887,894.46

 

$

    529,029,198.25

 

$

    752,917,092.71

 

100.00

%

 

100.00

%

 

100.00

%

 

 

(1)

As of the Cut-off Date, the weighted average Maximum Mortgage Interest Rate was approximately 13.312% for the Group 1 Adjustable-Rate Mortgage Loans, approximately 13.176% for the Group 2 Adjustable-Rate Mortgage Loans and approximately 13.216% for all of the Adjustable-Rate Mortgage Loans.

 

 

 


 

Minimum Mortgage Interest Rate of the Adjustable-Rate Mortgage Loans(1)

 

 

Number of
Mortgage Loans

 

Principal Balance
Outstanding as of the Cut-off Date

 

% of Aggregate
Principal Balance Outstanding
as of the Cut-off Date

 

Range of Minimum
Mortgage Interest Rates

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

4.001% - 4.500%

 

0

 

2

 

2

 

$

                      0.00

 

$

        1,196,440.87

 

$

        1,196,440.87

 

0.00

%

 

0.23

%

 

0.16

%

4.501% - 5.000%

 

4

 

10

 

14

 

 

           966,251.67

 

 

        4,576,827.96

 

 

        5,543,079.63

 

0.43

 

 

0.87

 

 

0.74

 

5.001% - 5.500%

 

40

 

62

 

102

 

 

        9,628,283.14

 

 

      23,503,918.52

 

 

      33,132,201.66

 

4.30

 

 

4.44

 

 

4.40

 

5.501% - 6.000%

 

157

 

289

 

446

 

 

      34,439,241.18

 

 

    102,727,295.01

 

 

    137,166,536.19

 

15.38

 

 

19.42

 

 

18.22

 

6.001% - 6.500%

 

243

 

364

 

607

 

 

      48,205,109.65

 

 

    117,748,549.78

 

 

    165,953,659.43

 

21.53

 

 

22.26

 

 

22.04

 

6.501% - 7.000%

 

313

 

449

 

762

 

 

      59,782,153.93

 

 

    135,525,958.60

 

 

    195,308,112.53

 

26.70

 

 

25.62

 

 

25.94

 

7.001% - 7.500%

 

163

 

264

 

427

 

 

      29,058,649.22

 

 

      67,018,653.82

 

 

      96,077,303.04

 

12.98

 

 

12.67

 

 

12.76

 

7.501% - 8.000%

 

115

 

163

 

278

 

 

      19,638,039.46

 

 

      42,071,017.07

 

 

      61,709,056.53

 

8.77

 

 

7.95

 

 

8.20

 

8.001% - 8.500%

 

83

 

100

 

183

 

 

      13,019,187.56

 

 

      21,268,416.31

 

 

      34,287,603.87

 

5.82

 

 

4.02

 

 

4.55

 

8.501% - 9.000%

 

44

 

50

 

94

 

 

        5,482,301.11

 

 

      10,072,607.87

 

 

      15,554,908.98

 

2.45

 

 

1.90

 

 

2.07

 

9.001% - 9.500%

 

16

 

12

 

28

 

 

        1,932,882.37

 

 

        1,435,583.72

 

 

        3,368,466.09

 

0.86

 

 

0.27

 

 

0.45

 

9.501% - 10.000%

 

11

 

10

 

21

 

 

        1,210,045.07

 

 

        1,570,365.29

 

 

        2,780,410.36

 

0.54

 

 

0.30

 

 

0.37

 

10.001% - 10.500%

 

3

 

2

 

5

 

 

           472,800.42

 

 

           210,086.44

 

 

           682,886.86

 

0.21

 

 

0.04

 

 

0.09

 

10.501% - 11.000%

 

1

 

1

 

2

 

 

             52,949.68

 

 

             56,828.07

 

 

           109,777.75

 

0.02

 

 

0.01

 

 

0.01

 

11.001% - 11.500%

 

0

 

1

 

1

 

 

                      0.00

 

 

             46,648.92

 

 

             46,648.92

 

0.00

 

 

0.01

 

 

0.01

 

Total:

 

1,193

 

1,779

 

2,972

 

$

    223,887,894.46

 

$

    529,029,198.25

 

$

    752,917,092.71

 

100.00

%

 

100.00

%

 

100.00

%

 

 

(1)

As of the Cut-off Date, the weighted average Minimum Mortgage Interest Rate was approximately 6.816% for the Group 1 Adjustable-Rate Mortgage Loans, approximately 6.680% for the Group 2 Adjustable-Rate Mortgage Loans and approximately 6.721% for all of the Adjustable-Rate Mortgage Loans.

 

 


 

Initial Periodic Cap of the Adjustable-Rate Mortgage Loans(1)

 

 

Number of
Mortgage Loans

 

Principal Balance
Outstanding as of the Cut-off Date

 

% of Aggregate
Principal Balance Outstanding
as of the Cut-off Date

 

Initial Periodic Cap

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

1.000%

 

11

 

11

 

22

 

$

        2,248,255.02

 

$

        2,021,576.14

 

$

        4,269,831.16

 

1.00

%

 

0.38

%

 

0.57

%

1.500%

 

54

 

95

 

149

 

 

        8,753,665.48

 

 

      26,605,999.06

 

 

      35,359,664.54

 

3.91

 

 

5.03

 

 

4.70

 

3.000%

 

1,097

 

1,612

 

2,709

 

 

    205,642,253.55

 

 

    476,198,653.82

 

 

    681,840,907.37

 

91.85

 

 

90.01

 

 

90.56

 

5.000%

 

31

 

61

 

92

 

 

        7,243,720.41

 

 

      24,202,969.23

 

 

      31,446,689.64

 

3.24

 

 

4.57

 

 

4.18

 

Total:

 

1,193

 

1,779

 

2,972

 

$

    223,887,894.46

 

$

    529,029,198.25

 

$

    752,917,092.71

 

100.00

%

 

100.00

%

 

100.00

%

 

 

(1)

As of the Cut-off Date, the weighted average Initial Periodic Cap was approximately 2.986% for the Group 1 Adjustable-Rate Mortgage Loans, approximately 3.008% for the Group 2 Adjustable-Rate Mortgage Loans and approximately 3.002% for all of the Adjustable-Rate Mortgage Loans.
 

 

Periodic Cap of the Adjustable-Rate Mortgage Loans(1)

 

 

Number of
Mortgage Loans

 

Principal Balance
Outstanding as of the Cut-off Date

 

% of Aggregate
Principal Balance Outstanding
as of the Cut-off Date

 

Periodic Cap

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

0.500%

 

1

 

0

 

1

 

$

           192,988.61

 

$

                      0.00

 

$

           192,988.61

 

0.09

%

 

0.00

%

 

0.03

%

1.000%

 

1,190

 

1,770

 

2,960

 

 

    223,381,164.85

 

 

    527,370,994.11

 

 

    750,752,158.96

 

99.77

 

 

99.69

 

 

99.71

 

1.500%

 

0

 

2

 

2

 

 

                      0.00

 

 

           472,653.23

 

 

           472,653.23

 

0.00

 

 

0.09

 

 

0.06

 

2.000%

 

2

 

7

 

9

 

 

           313,741.00

 

 

        1,185,550.91

 

 

        1,499,291.91

 

0.14

 

 

0.22

 

 

0.20

 

Total:

 

1,193

 

1,779

 

2,972

 

$

    223,887,894.46

 

$

    529,029,198.25

 

$

    752,917,092.71

 

100.00

%

 

100.00

%

 

100.00

%

 

 

(1)

As of the Cut-off Date, the weighted average Periodic Cap was approximately 1.001% for the Group 1 Adjustable-Rate Mortgage Loans, approximately 1.003% for the Group 2 Adjustable-Rate Mortgage Loans and approximately 1.002% for all of the Adjustable-Rate Mortgage Loans.

 

 


 

Gross Margins of the Adjustable-Rate Mortgage Loans(1)

 

 

Number of
Mortgage Loans

 

Principal Balance
Outstanding as of the Cut-off Date

 

% of Aggregate
Principal Balance Outstanding
as of the Cut-off Date

 

Range of
Gross Margins

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

3.001% - 3.500%

 

1

 

0

 

1

 

$

             99,935.14

 

$

                      0.00

 

$

             99,935.14

 

0.04

%

 

0.00

%

 

0.01

%

3.501% - 4.000%

 

0

 

1

 

1

 

 

                      0.00

 

 

           520,000.00

 

 

           520,000.00

 

0.00

 

 

0.10

 

 

0.07

 

4.001% - 4.500%

 

55

 

42

 

97

 

 

        9,443,516.49

 

 

        9,524,100.27

 

 

      18,967,616.76

 

4.22

 

 

1.80

 

 

2.52

 

4.501% - 5.000%

 

13

 

19

 

32

 

 

        2,503,892.72

 

 

        5,984,971.54

 

 

        8,488,864.26

 

1.12

 

 

1.13

 

 

1.13

 

5.001% - 5.500%

 

122

 

212

 

334

 

 

      26,484,652.43

 

 

      73,087,034.97

 

 

      99,571,687.40

 

11.83

 

 

13.82

 

 

13.22

 

5.501% - 6.000%

 

206

 

393

 

599

 

 

      41,071,545.77

 

 

    127,117,667.32

 

 

    168,189,213.09

 

18.34

 

 

24.03

 

 

22.34

 

6.001% - 6.500%

 

296

 

425

 

721

 

 

      56,446,945.05

 

 

    133,573,052.84

 

 

    190,019,997.89

 

25.21

 

 

25.25

 

 

25.24

 

6.501% - 7.000%

 

209

 

369

 

578

 

 

      39,278,672.26

 

 

    104,432,860.31

 

 

    143,711,532.57

 

17.54

 

 

19.74

 

 

19.09

 

7.001% - 7.500%

 

142

 

157

 

299

 

 

      25,454,425.26

 

 

      40,415,552.59

 

 

      65,869,977.85

 

11.37

 

 

7.64

 

 

8.75

 

7.501% - 8.000%

 

121

 

132

 

253

 

 

      19,171,838.94

 

 

      29,459,280.14

 

 

      48,631,119.08

 

8.56

 

 

5.57

 

 

6.46

 

8.001% - 8.500%

 

13

 

22

 

35

 

 

        1,957,777.17

 

 

        4,172,049.07

 

 

        6,129,826.24

 

0.87

 

 

0.79

 

 

0.81

 

8.501% - 9.000%

 

12

 

7

 

19

 

 

        1,576,442.22

 

 

           742,629.20

 

 

        2,319,071.42

 

0.70

 

 

0.14

 

 

0.31

 

9.001% - 9.500%

 

3

 

0

 

3

 

 

           398,251.01

 

 

                      0.00

 

 

           398,251.01

 

0.18

 

 

0.00

 

 

0.05

 

Total:

 

1,193

 

1,779

 

2,972

 

$

    223,887,894.46

 

$

    529,029,198.25

 

$

    752,917,092.71

 

100.00

%

 

100.00

%

 

100.00

%

 

 

(1)

As of the Cut-off Date, the weighted average Gross Margin was approximately 6.378% for the Group 1 Adjustable-Rate Mortgage Loans, approximately 6.284% for the Group 2 Adjustable-Rate Mortgage Loans and approximately 6.312% for all of the Adjustable-Rate Mortgage Loans.

 

 


 

Next Adjustment Date for the Adjustable-Rate Mortgage Loans(1)

 

 

Number of
Mortgage Loans

 

Principal Balance
Outstanding as of the Cut-off Date

 

% of Aggregate
Principal Balance Outstanding
as of the Cut-off Date

 

Month of Next Mortgage
Interest Rate Change

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

 

Group 1

 

Group 2

 

Total

May 1, 2006

 

0

 

1

 

1

 

$

                      0.00

 

$

           123,351.93

 

$

           123,351.93

 

0.00

%

 

0.02

%

 

0.02

%

June 1, 2006

 

1

 

1

 

2

 

 

           213,791.36

 

 

           180,071.22

 

 

           393,862.58

 

0.10

 

 

0.03

 

 

0.05

 

November 1, 2006

 

1

 

0

 

1

 

 

             98,186.40

 

 

                      0.00

 

 

             98,186.40

 

0.04

 

 

0.00

 

 

0.01

 

December 1, 2006

 

1

 

0

 

1

 

 

           115,155.59

 

 

                      0.00

 

 

           115,155.59

 

0.05

 

 

0.00

 

 

0.02

 

January 1, 2007

 

1

 

1

 

2

 

 

           235,783.07

 

 

           239,855.53

 

 

           475,638.60

 

0.11

 

 

0.05

 

 

0.06

 

February 1, 2007

 

0

 

1

 

1

 

 

                      0.00

 

 

             65,643.18

 

 

             65,643.18

 

0.00

 

 

0.01

 

 

0.01

 

March 1, 2007

 

2

 

4

 

6

 

 

           637,036.06

 

 

           636,580.67

 

 

        1,273,616.73

 

0.28

 

 

0.12

 

 

0.17

 

April 1, 2007

 

37

 

54

 

91

 

 

        7,278,713.67

 

 

      15,790,823.37

 

 

      23,069,537.04

 

3.25

 

 

2.98

 

 

3.06

 

May 1, 2007

 

273

 

379

 

652

 

 

      46,535,236.70

 

 

    113,194,357.76

 

 

    159,729,594.46

 

20.79

 

 

21.40

 

 

21.21

 

June 1, 2007

 

754

 

1,187

 

1,941

 

 

    144,639,002.93

 

 

    348,929,273.56

 

 

    493,568,276.49

 

64.60

 

 

65.96

 

 

65.55

 

July 1, 2007

 

0

 

1

 

1

 

 

                      0.00

 

 

           227,559.34

 

 

           227,559.34

 

0.00

 

 

0.04

 

 

0.03

 

January 1, 2008

 

0

 

1

 

1

 

 

                      0.00

 

 

           161,037.36

 

 

           161,037.36

 

0.00

 

 

0.03

 

 

0.02

 

February 1, 2008

 

0

 

1

 

1

 

 

                      0.00

 

 

           178,370.24

 

 

           178,370.24

 

0.00

 

 

0.03

 

 

0.02

 

April 1, 2008

 

0

 

2

 

2

 

 

                      0.00

 

 

           454,427.53

 

 

           454,427.53

 

0.00

 

 

0.09

 

 

0.06

 

May 1, 2008

 

16

 

10

 

26

 

 

        2,956,399.57

 

 

        2,055,213.35

 

 

        5,011,612.92

 

1.32

 

 

0.39

 

 

0.67

 

June 1, 2008

 

35

 

39

 

74

 

 

        7,211,061.61

 

 

      10,174,340.30

 

 

      17,385,401.91

 

3.22

 

 

1.92

 

 

2.31

 

July 1, 2008

 

1

 

0

 

1

 

 

           142,834.78

 

 

                      0.00

 

 

           142,834.78

 

0.06

 

 

0.00

 

 

0.02

 

April 1, 2010

 

0

 

1

 

1

 

 

                      0.00

 

 

           217,413.67

 

 

           217,413.67

 

0.00

 

 

0.04

 

 

0.03

 

May 1, 2010

 

20

 

18

 

38

 

 

        3,384,430.24

 

 

        6,716,332.06

 

 

      10,100,762.30

 

1.51

 

 

1.27

 

 

1.34

 

June 1, 2010

 

51

 

78

 

129

 

 

      10,440,262.48

 

 

      29,684,547.18

 

 

      40,124,809.66

 

4.66

 

 

5.61

 

 

5.33

 

Total:

 

1,193

 

1,779

 

2,972

 

$

    223,887,894.46

 

$

    529,029,198.25

 

$

    752,917,092.71

 

100.00

%

 

100.00

%

 

100.00

%

 

(1)             As of the Cut-off Date, the weighted average number of months until the next Adjustment Date was approximately 20 months for the Group 1 Adjustable-Rate Mortgage Loans, approximately 20 months for the Group 2 Adjustable-Rate Mortgage Loans and approximately 20 months for all of the Adjustable-Rate Mortgage Loans.