FWP 1 d711304.htm RENAISSANCE MORTGAGE ACCEPTANCE CORP. Unassociated Document

 
 
The asset-backed securities referred to in these materials, and the asset pools backing them, are subject to modification or revision (including the possibility that one or more classes of securities may be split, combined or eliminated at any time prior to issuance or availability of a final prospectus) and are offered on a “when, as and if issued” basis.  You understand that, when you are considering the purchase of these securities, a contract of sale will come into being no sooner than the date on which the relevant class has been priced and we have confirmed the allocation of securities to be made to you; any “indications of interest” expressed by you, and any “soft circles” generated by us, will not create binding contractual obligations for you or us.
 
Because the asset-backed securities are being offered on a “when, as and if issued” basis, any contract of sale will terminate, by its terms, without any further obligation or liability between us, if the securities themselves, or the particular class to which the contract relates, are not issued.  Because the asset-backed securities are subject to modification or revision, any such contract also is conditioned upon the understanding that no material change will occur with respect to the relevant class of securities prior to the closing date.  If a material change does occur with respect to such class, our contract will terminate, by its terms, without any further obligation or liability between us (the “Automatic Termination”).  If an Automatic Termination occurs, we will provide you with revised offering materials reflecting the material change and give you an opportunity to purchase such class.  To indicate your interest in purchasing the class, you must communicate to us your desire to do so within such timeframe as may be designated in connection with your receipt of the revised offering materials.


Renaissance Mortgage Acceptance Corp. 2007-3


Home Equity Loan Asset-Backed Certificates, Series 2007-3


$400,372,000 Offered Certificates (Approximate)


Delta Funding Corporation (Seller)


Renaissance Mortgage Acceptance Corp. (Depositor)


August 27, 2007


 
 
Banc of America Securities LLC 
The depositor has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates.  Before you invest, you should read the prospectus in that registration statement and other documents the depositor has filed with the SEC for more complete information about the issuer and this offering.  You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer, any underwriter or any dealer participating in the offering will arrange to send you the prospectus if you request it by calling toll-free 1-800-294-1322 or you e-mail a request to dg.prospectus_distribution@bofasecurities.com.  The securities may not be suitable for all investors.  Banc of America Securities LLC and its affiliates may acquire, hold or sell positions in these securities, or in related derivatives, and may have an investment or commercial banking relationship with the issuer.  The information contained in these materials may be based on assumptions regarding market conditions and other matters as reflected herein.  Banc of America Securities LLC (the “Underwriter”) makes no representation regarding the reasonableness of such assumptions or the likelihood that any such assumptions will coincide with actual market conditions or events, and these materials should not be relied upon for such purposes.  The Underwriter and its affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of these materials, may, from time to time, have long or short positions in, and buy and sell, the securities mentioned herein or derivatives thereof (including options).  These materials are not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal.

 
 
Renaissance Mortgage Acceptance Corp.
Home Equity Loan Asset-Backed Certificates,
Series 2007-3 $400,372,000  (approximate)
 

 
 
DISCLAIMER

No contract of sale for the certificates, written, oral or otherwise, will be effective between Banc of America Securities LLC and potential purchasers until a preliminary prospectus supplement is delivered by the Underwriter to such potential purchasers and the potential purchaser and the Underwriter enter into a contract after the deliver of such preliminary prospectus supplement.  The information in this free writing prospectus is preliminary, and will be superseded by the preliminary prospectus.

This free writing prospectus is being delivered to you solely to provide you with information about the offering of the securities referred to in this free writing prospectus and to solicit an offer to purchase the securities, when, as and if issued.  Any such offer to purchase made by you will not be accepted and will not constitute a contractual commitment by you to purchase any of the securities until we have accepted your offer to purchase securities.  We will not accept any offer by you to purchase the securities, and you will not have any contractual commitment to purchase any of the securities until after you have received the preliminary prospectus.  You may withdraw your offer to purchase securities at any time prior to our acceptance of your offer.

The information in this free writing prospectus supersedes information contained in any prior similar free writing prospectus relating to these securities prior to the time of your commitment to purchase.
 
This free writing prospectus is not an offer to sell or solicitation of an offer to buy these securities in any state where such offer, solicitation or sale is not permitted.
 

IRS CIRCULAR 230 NOTICE
 
THIS FREE WRITING PROSPECTUS IS NOT INTENDED OR WRITTEN TO BE USED, AND CANNOT BE USED, FOR THE PURPOSE OF AVOIDING U.S. FEDERAL, STATE OR LOCAL TAX PENALTIES.  THIS FREE WRITING PROSPECTUS IS WRITTEN AND PROVIDED BY THE UNDERWRITER IN CONNECTION WITH THE PROMOTION OR MARKETING OF THE TRANSACTIONS OR MATTERS ADDRESSED HEREIN.  INVESTORS SHOULD SEEK ADVICE BASED ON THEIR PARTICULAR CIRCUMSTANCES FROM AN INDEPENDENT TAX ADVISOR.
 
ANY DISCLAIMERS OR OTHER NOTICES THAT MAY APPEAR BELOW THIS DOCUMENT ARE NOT APPLICABLE TO THIS COMMUNICATION AND SHOULD BE DISREGARDED.  SUCH DISCLAIMERS OR OTHER NOTICES WERE AUTOMATICALLY GENERATED AS A RESULT OF THIS COMMUNICATION BEING SENT VIA BLOOMBERG OR ANOTHER EMAIL SYSTEM.



Structure Overview

To 10% Optional Termination
Certificates
 
 
Class
 
Approx.
Size ($) (1)(2)
 
 
Type
 
 
Coupon Type
Est.
WAL(3) (yrs)
Est. Prin. Window(3)
(mos)
Modeled Final
Scheduled
Distribution Date(3)
Final
Scheduled
Distribution Date(4)
Expected
Ratings
(S&P/Moody’s)
AV-1
$18,892,000
Senior / Sequential
Floating
1.00
1-28
December 2009
September 2037
AAA/Aaa
AV-2
$6,393,000
Senior / Sequential
Floating
3.00
28-46
June 2011
September 2037
AAA/Aaa
AV-3
$9,715,000
Senior / Sequential
Floating
6.19
46-104
April 2016
September 2037
AAA/Aaa
AF-1
$302,822,000
Senior / Sequential
Fixed
1.00
1-23
July 2009
September 2037
AAA/Aaa
AF-2
$36,975,000
Senior / Sequential
Fixed
Not Offered Hereby
AAA/Aaa
AF-3
$171,741,000
Senior / Sequential
Fixed
Not Offered Hereby
AAA/Aaa
AF-4
$26,148,000
Senior / Sequential
Fixed
Not Offered Hereby
AAA/Aaa
AF-5
$71,119,000
Senior / Sequential
Fixed
Not Offered Hereby
AAA/Aaa
AF-6
$67,645,000
Senior / NAS
Fixed
Not Offered Hereby
AAA/Aaa
M-1
$18,000,000
Subordinate
Fixed
Not Offered Hereby
AA+/Aa1
M-2
$7,650,000
Subordinate
Fixed
Not Offered Hereby
AA/Aa2
M-3
$46,800,000
Subordinate
Fixed
Not Offered Hereby
AA-/Aa3
M-4
$10,800,000
Subordinate
Fixed
5.72
37-104
April 2016
September 2037
A+/A1
M-5
$14,850,000
Subordinate
Fixed
5.72
37-104
April 2016
September 2037
A/A2
M-6
$10,800,000
Subordinate
Fixed
5.72
37-104
April 2016
September 2037
A-/A3
M-7
$8,550,000
Subordinate
Fixed
5.72
37-104
April 2016
September 2037
BBB+/Baa1
M-8
$9,000,000
Subordinate
Fixed
5.72
37-104
April 2016
September 2037
BBB/Baa2
M-9
$8,550,000
Subordinate
Fixed
5.72
37-104
April 2016
September 2037
BBB-/Baa3

Adjustable Rate Mortgage Loans
 
28% CPR
Fixed Rate Mortgage Loans
 
23% HEP

(1)  
Certificate sizes are subject to a variance of +/- 10%.
(2)  
Certificate sizes are subject to final rating agency approval.
(3)  
Calculated based on the Pricing Speed.
(4)  
The stated final maturity date was determined by adding one month to the latest maturity date of the Mortgage Loans expected to be acquired by the Trust.



Structure Overview –Certificates


To Maturity
Certificates
 
 
Class
 
Approx.
Size ($) (1)(2)
 
 
Type
 
Coupon Type
Est.
WAL(3) (yrs)
Est. Prin. Window(3)
(mos)
Modeled Final
Scheduled
Distribution Date (3)
Final
Scheduled
Distribution Date (4)
Expected
Ratings
(S&P/Moody’s)
AV-1
$18,892,000
Senior / Sequential
Floating
1.00
 1-28
December 2009
September 2037
AAA/Aaa
AV-2
$6,393,000
Senior / Sequential
Floating
3.00
 28-46
June 2011
September 2037
AAA/Aaa
AV-3
$9,715,000
Senior / Sequential
Floating
6.75
 46-225
May 2026
September 2037
AAA/Aaa
AF-1
$302,822,000
Senior / Sequential
Fixed
1.00
 1-23
July 2009
September 2037
AAA/Aaa
AF-2
$36,975,000
Senior / Sequential
Fixed
Not Offered Hereby
AAA/Aaa
AF-3
$171,741,000
Senior / Sequential
Fixed
Not Offered Hereby
AAA/Aaa
AF-4
$26,148,000
Senior / Sequential
Fixed
Not Offered Hereby
AAA/Aaa
AF-5
$71,119,000
Senior / Sequential
Fixed
Not Offered Hereby
AAA/Aaa
AF-6
$67,645,000
Senior / NAS
Fixed
Not Offered Hereby
AAA/Aaa
M-1
$18,000,000
Subordinate
Fixed
Not Offered Hereby
AA+/Aa1
M-2
$7,650,000
Subordinate
Fixed
Not Offered Hereby
AA/Aa2
M-3
$46,800,000
Subordinate
Fixed
Not Offered Hereby
AA-/Aa3
M-4
$10,800,000
Subordinate
Fixed
6.29
 37-172
December 2021
September 2037
A+/A1
M-5
$14,850,000
Subordinate
Fixed
6.27
 37-168
August 2021
September 2037
A/A2
M-6
$10,800,000
Subordinate
Fixed
6.24
 37-162
February 2021
September 2037
A-/A3
M-7
$8,550,000
Subordinate
Fixed
6.22
 37-157
September 2020
September 2037
BBB+/Baa1
M-8
$9,000,000
Subordinate
Fixed
6.19
 37-153
May 2020
September 2037
BBB/Baa2
M-9
$8,550,000
Subordinate
Fixed
6.16
 37-147
November 2019
September 2037
BBB-/Baa3

Adjustable Rate Mortgage Loans
 
28% CPR
Fixed Rate Mortgage Loans
 
23% HEP
 
(1)  
Certificate sizes are subject to a variance of +/- 10%.
(2)  
Certificate sizes are subject to final rating agency approval.
(3)  
Calculated based on the Pricing Speed
(4)  
The stated final maturity date was determined by adding one month to the latest maturity date of the Mortgage Loans expected to be acquired by the Trust.
 
 
Transaction Summary
Transaction:
  
Renaissance Home Equity Loan Asset-Backed Certificates, Series 2007-3.
 
Certificates:
  
The “Class A Certificates” or “Senior Certificates” will consist of the Class AV-1, Class AV-2, Class AV-3, Class AF-1, Class AF-2, Class AF-3, Class AF-4, Class AF-5 and Class AF-6 Certificates. The “Subordinate Certificates” will consist of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, and Class M-9 Certificates.  The Senior Certificates and the Subordinate Certificates are collectively referred to herein as the “Certificates.”
 
Offered Certificates:
  
The “Offered Certificates” will consist of the Class AV-1, Class AV-2, Class AV-3, Class AF-1, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, and Class M-9 Certificates.
 
Non-Offered Certificates:
  
The “Non-Offered Certificates” will consist of the Class AF-2, Class AF-3, Class AF-4, Class AF-5, Class AF-6, Class M-1, Class M-2 and Class M-3 Certificates.
 
Group I Certificates:
  
The “Group I Certificates” will consist of the Class AV-1, Class AV-2 and Class AV-3 Certificates.
 
Group II Certificates:
  
The “Group II Certificates” will consist of the Class AF-1, Class AF-2, Class AF-3, Class AF-4, Class AF-5 and Class AF-6 Certificates.
 
Floating Rate Certificates:
  
The “Floating Rate Certificates” will consist of the Group I Certificates.
 
Fixed Rate Certificates:
  
The “Fixed Rate Certificates” will consist of the Group II Certificates and Subordinate Certificates.
 
Issuer:
  
Renaissance Home Equity Loan Trust 2007-3.
 
Originator:
  
Delta Funding Corporation.
 
Servicer:
  
Ocwen Loan Servicing, LLC.
 
Master Servicer, Securities Administrator and Custodian:
  
Wells Fargo Bank, N.A.
 
Trustee:
  
HSBC Bank USA, National Association.
 
Swap Counterparty:
  
[TBD]
 
Servicing  Fee:
  
With respect to each Distribution Date, the Servicer will be entitled to a fee equal to 1/12 of 0.50% of the aggregate principal balance of the Mortgage Loans (the “Servicing Fee”), plus any reimbursable amounts.
 
Master Servicing Fee:
 
  
With respect to each Distribution Date, the Master Servicer will be entitled to a fee equal to 1/12 of 0.0095% of the aggregate principal balance of the Mortgage Loans (the “Master Servicing Fee”). The fees of the Trustee and the Securities Administrator will be paid by the Master Servicer from the Master Servicing Fee.
 
Lead Underwriters:
  
Banc of America Securities LLC and J.P. Morgan Securities Inc.
 
Co-Managers:
  
Citigroup Global Markets Inc., Deutsche Bank Securities, Inc. and Greenwich Capital Markets, Inc.
 
Pricing Date:
  
Week of August [20], 2007.
 
Settlement Date:
  
On or about September 14, 2007.
 
Record Date:
  
For the Floating Rate Certificates, the Business Day immediately preceding the Distribution Date. For the Fixed Rate Certificates, the last business day of the month preceding the month in which such Distribution Date occurs.

Distribution Date:
For the Certificates, the 25th of each month, or the next succeeding Business Day (First Distribution Date: September 25, 2007).

Cut-Off Date:
For each Mortgage Loan in the mortgage pool, the later of (i) the origination date of the Mortgage Loan or (ii) August 1, 2007.
 
Interest Accrual Period:
The interest accrual period with respect to the Floating Rate Certificates for a given Distribution Date will be the period beginning on the previous Distribution Date (or, in the case of the first Distribution Date, the Closing Date) and ending on the day prior to such Distribution Date (on an actual/360 basis).
 
The interest accrual period for the Fixed Rate Certificates with respect to any Distribution Date will be the calendar month preceding such Distribution Date (based on a 360-day year consisting of twelve 30-day months).
 
Accrued Interest:
 
The Floating Rate Certificates will settle with no accrued interest.  The Fixed Rate Certificates will settle with accrued interest.  The price to be paid by investors for the Fixed Rate Certificates will include accrued interest from August 1, 2007, up to, but not including, the Settlement Date.
 
Delay Days:
 
0 days on the Floating Rate Certificates.
24 days on the Fixed Rate Certificates.
 
Rating Agencies:
Standard and Poor’s Rating Services (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”).
 
Expected Ratings:
It is anticipated that the Certificates will be rated as follows:

Class
S&P
Moody’s
AV-1
AAA
Aaa
AV-2
AAA
Aaa
AV-3
AAA
Aaa
AF-1
AAA
Aaa
AF-2
AAA
Aaa
AF-3
AAA
Aaa
AF-4
AAA
Aaa
AF-5
AAA
Aaa
AF-6
AAA
Aaa
M-1
AA+
Aa1
M-2
AA
Aa2
M-3
AA-
Aa3
M-4
A+
A1
M-5
A
A2
M-6
A-
A3
M-7
BBB+
Baa1
M-8
BBB
Baa2
M-9
BBB-
Baa3
 
Transaction Summary
Initial and Additional Mortgage Loans:
 
  
As of August 1, 2007, the aggregate scheduled principal balance of the mortgage loans described herein will be approximately $799,545,773, consisting of approximately (i) $768,667,562 of fixed-rate Mortgage Loans (the “Initial Fixed-Rate Mortgage Loans”) and (ii) approximately $30,878,211 of adjustable-rate Mortgage Loans (the “Initial Adjustable-Rate Mortgage Loans,” and together with the Initial Fixed-Rate Mortgage Loans, the “Initial Mortgage Loans”).  See attached collateral descriptions for more information.
 
On or prior to the Closing Date, approximately $100,454,227 of additional mortgage loans having similar characteristics to the Initial Mortgage Loans will be added to the trust, consisting of (i) approximately $96,332,438 of additional fixed-rate Mortgage Loans (the “Additional Fixed-Rate Mortgage Loans”) and (ii) approximately $4,121,789 of additional adjustable-rate Mortgage Loans (the “Additional Adjustable-Rate Mortgage Loans,” and together with the Additional Fixed-Rate Mortgage Loans, the “Additional Mortgage Loans”). On the Closing Date, the Initial Mortgage Loans and the Additional Mortgage Loans will be the “Mortgage Loans.”   The Mortgage Loans will be divided into two groups, the Group I Mortgage Loans will be comprised of the adjustable-rate mortgage loans and the Group II Mortgage Loans will be comprised of the fixed-rate mortgage loans.
 
Pool Balance:
 
  
As of any date of determination, the aggregate principal balances of the Mortgage Loans as of the applicable date.
 
Clearing:
 
  
DTC, Euroclear or Clearstream.
 
SMMEA Eligibility:
  
The Certificates will NOT constitute “mortgage related securities” for purposes of SMMEA.
 
ERISA Eligibility:
  
The Certificates are expected to be ERISA eligible, subject to certain conditions including satisfaction of an investor-based class or statutory exemption.
 
Minimum Denominations:
  
$25,000 and integral multiples of $1 in excess thereof provided that the Certificates must be purchased in minimum denominations of $100,000 per class.
 
Tax Status:
  
It is anticipated that the Certificates will be treated as REMIC regular interests for tax purposes.




Transaction Summary
Adjusted Net Mortgage Rate:
 
The “Adjusted Net Mortgage Rate” for each Mortgage Loan is equal to the loan rate less the sum of (i) the Servicing Fee and (ii) the Master Servicing Fee.
 
Pass-Through Rate:
The Pass-Through Rate for each Class of Floating Rate Certificates on each Distribution Date is the least of (i) the applicable formula rate, (ii) 14.00% and (iii) the Group I Net WAC Rate.
 
The formula rate for each class of Floating Rate Certificates will be 1-Month LIBOR plus a margin which will be set at pricing.
 
The Pass-Through Rate for each class of Group II Certificates will be the lesser of (i) the applicable fixed rate determined at the time of pricing and (ii) the Group II Net WAC Rate.
 
The Pass-Through Rate for each class of Subordinate Certificates will be the lesser of (i) the applicable fixed rate determined at the time of pricing and (ii) the Subordinate Net WAC Rate.
 
After the Optional Termination Date, if the Seller fails to exercise its right to terminate the Trust, the coupons on any then outstanding Certificates will increase according to the following:

Class
After Optional Redemption Date
Class AV-1
LIBOR + 2 * Initial Margin
Class AV-2
LIBOR + 2 * Initial Margin
Class AV-3
LIBOR + 2 * Initial Margin
Class AF-1
Initial Coupon + [0.50]%
Class AF-2
Initial Coupon + [0.50]%
Class AF-3
Initial Coupon + [0.50]%
Class AF-4
Initial Coupon + [0.50]%
Class AF-5
Initial Coupon + [0.50]%
Class AF-6
Initial Coupon + [0.50]%
Class M-1
Initial Coupon + [0.50]%
Class M-2
Initial Coupon + [0.50]%
Class M-3
Initial Coupon + [0.50]%
Class M-4
Initial Coupon + [0.50]%
Class M-5
Initial Coupon + [0.50]%
Class M-6
Initial Coupon + [0.50]%
Class M-7
Initial Coupon + [0.50]%
Class M-8
Initial Coupon + [0.50]%
Class M-9
Initial Coupon + [0.50]%
 
Group I Net WAC Rate:
As to any Distribution Date and each class of Group I Certificates, a per annum rate equal to the product of (i) the weighted average of the Adjusted Net Mortgage Rates on the Group I mortgage loans as of the beginning of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period minus the percentage equivalent of a fraction, the numerator of which is an amount equal to any net swap payment or swap termination payment, if any, payable by the Trust, multiplied by 12 and the denominator of which is the aggregate Principal Balance of the mortgage loans as of the first day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period, and (ii) a fraction, the numerator of which is 30 and the denominator of which is the actual number of days in the related Distribution Date.
 


Transaction Summary
Group II Net WAC Rate:
 
As to any Distribution Date and each class of Group II Certificates, a per annum rate equal to the weighted average of the Adjusted Net Mortgage Rates on the Group II mortgage loans as of the beginning of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period minus the percentage equivalent of a fraction, the numerator of which is an amount equal to any net swap payment or swap termination payment, if any, payable by the Trust, multiplied by 12 and the denominator of which is the aggregate Principal Balance of the mortgage loans as of the first day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period.
 
Subordinate Net WAC Rate:
 
As to any Distribution Date and each class of Subordinate Certificates, a per annum rate equal to the weighted average of the Group I Net Rate Cap and the Group II Net Rate Cap, weighted on the basis of the related Group Subordinate Amount for the related distribution date.
 
Group Subordinate Amount:
 
For each loan group and any distribution date, the excess, if any, of the aggregate Principal Balance of the mortgage loans in the related loan group as of the first day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period over the aggregate Certificate Principal Balance of the Senior Certificates related to such loan group immediately prior to such Distribution Date.



Transaction Summary
Basis Risk Shortfall Amount:
 
The “Basis Risk Shortfall Amount” for any Distribution Date and applicable Class of Certificates is equal to the sum of (i) the excess of (a) the amount of interest that would have accrued on such Class without regard to the Net WAC Rate over (b) the amount of interest accrued on such Class based on the Net WAC Rate and (ii) the undistributed portion of any related Basis Risk Shortfall Amount from the prior Distribution Date together with accrued interest at the related Pass-Through Rate (without regard to the Net WAC Rate). Any Basis Risk Shortfall Amount will be distributed on such Distribution Date or future Distribution Dates to the extent of funds available.
 
Credit Enhancement:
 
Credit Enhancement for the Certificates will be provided by:
 
Ø  Excess Interest
Ø  Overcollateralization
Ø  Subordination
 
Class A Certificates are senior to the Subordinate Certificates; Subordinate Certificates with a higher numerical designation are subordinate to those Subordinate Certificates with a lower numerical designation.
 
The holders of the Certificates will also have the benefit of an interest rate swap agreement.
 
Credit Enhancement Percentages:
Class
Rating
Initial Credit Enhancement
Target Credit Enhancement
Class A
AAA/Aaa
20.95%
41.90%
Class M-1
AA+/Aa1
18.95%
37.90%
Class M-2
AA/Aa2
18.10%
36.20%
Class M-3
AA-/Aa3
12.90%
25.80%
Class M-4
A+/A1
11.70%
23.40%
Class M-5
A/A2
10.05%
20.10%
Class M-6
A-/A3
8.85%
17.70%
Class M-7
BBB+/Baa1
7.90%
15.80%
Class M-8
BBB/Baa2
6.90%
13.80%
Class M-9
BBB-/Baa3
5.95%
11.90%
 

Transaction Summary
Senior Enhancement Percentage:
  
The “Senior Enhancement Percentage” for a Distribution Date is equal to (i) the sum of (a) the aggregate certificate principal balance of the Subordinate Certificates and (b) the Overcollateralization Amount divided by (ii) the Pool Balance as of the last day of the related due period after giving effect to unscheduled principal collections in the related prepayment period.
 
Excess Interest:
 
  
For each Distribution Date, to the extent of funds available, the interest and principal received or advanced on the Mortgage Loans plus net swap payments received under the Swap Agreement, if any, minus the sum of (i) the Servicing Fee and the Master Servicing Fee paid in respect of the Mortgage Loans, (ii) the current and unpaid interest and principal on the Class A Certificates and current interest and principal on the Subordinate Certificates and (iii) net swap payments, if any, due the Swap Counterparty, and swap termination payments payable by the trust (other than Swap Termination Distributions which result from a swap counterparty trigger event).
 
Overcollateralization Amount:
  
On any Distribution Date, the “Overcollateralization Amount” will be the amount by which the Pool Balance as of the last day of the related due period after giving effect to unscheduled principal collections in the related prepayment period exceeds the aggregate certificate principal balance of the Certificates after giving effect to the distribution of principal (other than any Subordination Increase Amount) on that Distribution Date.  On any Distribution Date on which the Overcollateralization Amount does not equal the Required Overcollateralization Amount, Excess Interest, to the extent available, will be distributed as principal to the Certificate holders then entitled to distributions of principal to increase the Overcollateralization Amount to the Required Overcollateralization Amount.
 
OC Floor:
 
  
An amount equal to 0.50% of the aggregate principal balance of the Mortgage Loans as of the related Cut-off Date.
 
Required Overcollateralization Amount:
  
On any Distribution Date on which a Cumulative Loss Event or a Delinquency Event is not in effect, the Required Overcollateralization Amount is equal to:
 
(i)  prior to the Stepdown Date, 5.95% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date; or
(ii)  on or after the Stepdown Date, the greater of:
 
(a) the lesser of:
i.  5.95% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date; and
ii.  11.90% of the aggregate principal balance of the Mortgage Loans as of the end of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period; or
 
(b) the OC Floor.
 
On any Distribution Date during the continuance of (a) a Delinquency Event (whether or not a Cumulative Loss Event is continuing), the Required Overcollateralization Amount will equal the Required Overcollateralization Amount in effect as of the immediately preceding Distribution Date or (b) a Cumulative Loss Event (and a Delinquency Event is not then continuing), the Required Overcollateralization Amount will equal the lesser of (i) the Required Overcollateralization Amount as of the preceding Distribution Date and (ii) 23.80% of the Pool Balance as of the end of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period.  Under no circumstance shall the Required Overcollateralization Amount be less than the OC Floor.
 




Transaction Summary
Subordination Required Overcollateralization
Amount:
  
On any Distribution Date on or after the Stepdown Date on which a Delinquency Event is not in effect, the Subordination Required Overcollateralization Amount is equal to the Required Overcollateralization Amount determined without regard to the OC Floor minimum, otherwise, the Subordination Required Overcollateralization Amount is equal to the Required Overcollateralization Amount.
 
Delinquency Event:
  
A “Delinquency Event” shall have occurred and be continuing, if, at any time, (i) the three-month rolling average of the percentage equivalent of a fraction, the numerator of which is the aggregate principal balance of the Mortgage Loans that are (a) 60+ days delinquent (including those mortgage loans that are in bankruptcy or foreclosure) or (b) REO properties, as of the last day of the preceding calendar month, and the denominator of which is the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period exceeds (ii) [38.00]% of the Senior Enhancement Percentage.
 
Cumulative Loss Event:
  
A Cumulative Loss Event will be in effect if cumulative net losses as a percentage of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date exceed the applicable percentages below during the related period of time:
 
Distribution Dates 25-36:       [1.15]% for the first month plus an additional 1/12th of [1.50]% for each month thereafter.
Distribution Dates 37-48:       [2.65]% for the first month plus an additional 1/12th of [1.85]% for each month thereafter.
Distribution Dates 49-60:       [4.50]% for the first month plus an additional 1/12th of [1.50]% for each month thereafter.
Distribution Dates 61-72:       [6.00]% for the first month plus an additional 1/12th of [1.05]% for each month thereafter.
Distribution Dates 73-84:       [7.05]% for the first month plus an additional 1/12th of [0.35]% for each month thereafter.
Distribution Dates 85 and
Thereafter:                               [7.40]%
 
Trigger Event:
  
The continuance of either a Delinquency Event or a Cumulative Loss Event.
 
Stepdown Date:
  
The earlier to occur of
(i) the first Distribution Date after the Distribution Date on which the aggregate certificate principal balance of the Class A Certificates has been reduced to zero and
(ii) the later to occur of
  (x) the Distribution Date occurring in September 2010 and
  (y) the first Distribution Date on which the Senior Enhancement Percentage is greater than or equal to 41.90%.
 


Transaction Summary
Subordination Increase Amount:
  
As to any Distribution Date, the lesser of the Subordination Deficiency and Excess Interest.
 
Subordination Deficiency:
  
As to any Distribution Date, the excess, if any, of the Required Overcollateralization Amount over the Overcollateralization Amount after giving effect to the distribution of principal from the Mortgage Loans (but prior to the distribution of any Subordination Increase Amount).
 
Excess Overcollateralization Amount:
  
As to any Distribution Date, the lesser of (i) the principal payments received on the Mortgage Loans and (ii) the excess, if any, of the Overcollateralization Amount over the Required Overcollateralization Amount (assuming 100% of the principal payments received on the Mortgage Loans are distributed to the Certificates).
 
Delinquency Advances:
  
For any month, if the Servicer receives a payment on a Mortgage Loan that is less than the full scheduled payment, or if no payment is received at all, the Servicer will advance its own funds to cover that shortfall.  However, the Servicer will make an advance only if it determines that the advance will be recoverable from future payments or collections on that Mortgage Loan.  The Servicer is entitled to be reimbursed for these advances, therefore, these advances are not a form of credit enhancement.
 
Servicing Advances:
  
The Servicer will pay all out-of-pocket costs related to its obligations, including, but not limited to: (a) expenses in connection with a foreclosed Mortgage Loan prior to the liquidation of that Mortgage Loan, (b) the costs of any judicial proceedings, including foreclosures and (c) the cost of managing and liquidating property acquired in relation to the Mortgage Loans, as long as it deems such costs to be recoverable.  The Servicer is entitled to be reimbursed for these advances, therefore, these advances are not a form of credit enhancement.
 
Due Period:
  
With respect to each Distribution Date, the period from and including the second day of the month preceding the month of the applicable Distribution Date to and including the first day of the month of that Distribution Date.
 
Prepayment Period:
  
As to any Distribution Date and any principal prepayment in full received on a mortgage loan, the period from the 16th day of the calendar month preceding the month in which that Distribution Date occurs (or in the case of the first Distribution Date, from the Cut-off Date) through the 15th day of the month in which that Distribution Date occurs.  As to any Distribution Date and any principal prepayment in part received on a mortgage loan, the calendar month preceding that Distribution Date.
 
Compensating Interest:
  
With respect to any Distribution Date, the Servicer is obligated to offset any Prepayment Interest Shortfalls with Compensating Interest to the extent of its aggregate Servicing Fee. The Master Servicer is obligated to reduce a portion of its Master Servicing Fee for the related Distribution Date to the extent necessary to fund any Prepayment Interest Shortfalls required to be paid but not paid by the Servicer.
 
Prepayment Interest Shortfalls:
  
With respect to any Distribution Date, the aggregate shortfall, if any, in collections of interest resulting from mortgagor prepayments during the portion of the related Prepayment Period occurring in the prior month.
 
Allocation of Losses:
 
 
  
Losses not covered by other available credit enhancement will be allocated to the Subordinate Certificates in the reverse order of distribution priority, first, to the Class M-9 Certificates, second, to the Class M-8 Certificates, third, to the Class M-7 Certificates, fourth, to the Class M-6 Certificates, fifth, to the Class M-5 Certificates, sixth, to the Class M-4 Certificates, seventh, to the Class M-3 Certificates, eighth, to the Class M-2 Certificates and ninth, to the Class M-1 Certificates.
 


Transaction Summary
Swap Agreement:
On the Closing Date, the Trust will enter into an agreement with the Swap Counterparty pursuant to which on each Distribution Date from the second Distribution Date through the 36th Distribution Date, the Trust will be obligated to pay the Swap Counterparty an amount equal to the product of (x) [5.18]% divided by 12 (except for the first period which assumes 11 days) and, (y) the swap notional amount, and the Trust will be entitled to receive from the Swap Counterparty an amount equal to the product of (x) One-Month LIBOR (as determined pursuant to the swap agreement), (y) the swap notional amount , and (z) a fraction, the numerator of which is equal to the actual number of days in the related calculation period and the denominator of which is 360.  Only the net amount of the two obligations above will be paid by the appropriate party.  To the extent that the Trust is obliged to make a payment to the Swap Counterparty on a Distribution Date (other than any swap termination payment triggered by a Swap Counterparty trigger event), amounts otherwise available to Certificate holders will be applied to make such payment.  Such amount will be applied to pay the Swap Counterparty any net swap payment due to the Swap Counterparty, including unpaid swap termination payment owed to the Swap Counterparty pursuant to the swap agreement for such Distribution Date, other than any swap termination payment triggered by a Swap Counterparty trigger event.  To the extent that the Swap Counterparty is obliged to make a swap payment to the Trust, any swap payment will be used according to the priorities set forth under Priority of Distributions.
 
Upon early termination of the swap agreement, the Trust or the Swap Counterparty may be liable to make a termination payment (the “swap termination payment”) to the other party (regardless of which party caused the termination).  The swap termination payment will be computed in accordance with the procedures set forth in the swap agreement.  In the event that the Trust is required to make a swap termination payment, in certain instances, that payment will be paid on the related Distribution Date, and on any subsequent Distribution Dates until paid in full, prior to distributions to Certificate holders.
 
Swap Schedule
Distribution
Date
Scheduled
Notional
Swap Balance ($)
Distribution
Date
Scheduled
Notional
Swap Balance ($)
9/25/2007
$0
4/25/2009
$14,627,151
10/25/2007
$33,430,473
5/25/2009
$13,970,025
11/25/2007
$31,931,197
6/25/2009
$13,157,750
12/25/2007
$30,499,033
7/25/2009
$12,566,496
1/25/2008
$29,130,981
8/25/2009
$11,952,204
2/25/2008
$27,824,176
9/25/2009
$11,399,224
3/25/2008
$26,575,879
10/25/2009
$10,886,818
4/25/2008
$25,383,476
11/25/2009
$10,397,391
5/25/2008
$24,244,468
12/25/2009
$9,929,915
6/25/2008
$23,156,467
1/25/2010
$9,483,407
7/25/2008
$22,117,194
2/25/2010
$9,056,929
8/25/2008
$21,124,469
3/25/2010
$8,649,584
9/25/2008
$20,176,211
4/25/2010
$8,260,516
10/25/2008
$19,270,431
5/25/2010
$7,888,905
11/25/2008
$18,405,231
6/25/2010
$7,427,133
12/25/2008
$17,578,794
7/25/2010
$2,027,758
1/25/2009
$16,789,387
8/25/2010
$484,199
2/25/2009
$16,035,354
9/25/2010
$0
3/25/2009
$15,315,113
    

 
Transaction Summary
Priority of Distributions:
On each Distribution Date, amounts in the distribution account (excluding prepayment charges) will be distributed as follows:
 
1.  To the Swap Account to pay the Swap Counterparty any net swap payment owed to the Swap Counterparty, provided a swap default has not occurred and is not continuing, and any unpaid swap termination payment (not due to a Swap Counterparty trigger event) owed to the Swap Counterparty pursuant to the swap agreement.
 
2.  To pay interest on the Class A Certificates on a pro rata basis based on the entitlement of such class, including any accrued Interest Carryover Shortfall Amounts from a prior Distribution Date, (first from the related loan group, then from the other loan group if necessary), and then, excluding any accrued Interest Carryover Shortfall Amounts from prior Distribution Dates, to pay interest to the Subordinate Certificates, sequentially.
 
3.  To the Class A Certificates, as described below, an amount up to the Senior Principal Distribution Amount for the Distribution Date, excluding any Subordination Increase Amount included in that amount.
 
4.  To the Subordinate Certificates, to pay the respective Class M Principal Distribution Amount, excluding any Subordination Increase Amount, sequentially, until each such class is reduced to zero.
 
5.  From Excess Interest, if any, to the Certificates, the Subordination Increase Amount for the applicable Distribution Date, allocated in the order of priority set forth in clauses 3 and 4 above.
 
6.  From Excess Interest, if any, to pay the Interest Carryover Shortfall Amounts and Allocated Realized Loss Amounts, in that order, on the Subordinate Certificates, sequentially.
 
7.  From Excess Interest, if any, to pay the Basis Risk Shortfall Amounts to the Group I Certificates, on a pro rata basis.
 
8.  To the Class C Certificates in accordance with the Pooling and Servicing Agreement.
 
9.  To the Swap Counterparty, any unpaid swap termination payment due to the Swap Counterparty as a result of a Swap Counterparty trigger event.
 
10.  To the Residual Certificates, any remaining amount.
 
Swap Payment Distribution:
 
(A)  On each Distribution Date, any Net Swap Payments on deposit in the Swap Account received from the Swap Provider will be distributed in the following order of priority:
 
1.  To pay interest on the Group I Certificates on a pro rata basis based on the entitlement of such class, including any accrued Interest Carryover Shortfall Amounts from a prior Distribution Date.
 
2.  To the Certificates, the Subordination Increase Amount for the applicable Distribution Date, allocated in the order of priority set forth in Priority of Distributions clauses 3 and 4 above.
 
3.  To pay the Interest Carryover Shortfall Amounts and Allocated Realized Loss Amounts, in that order, on the Subordinate Certificates, sequentially.
 
4.  To pay the Basis Risk Shortfall Amounts to the Group I Certificates, on a pro rata basis.
 
5.  To the Class C Certificates in accordance with the Pooling and Servicing Agreement.
 
6.  To the Swap Counterparty, any unpaid swap termination payment due to the Swap Counterparty as a result of a Swap Counterparty trigger event.
 
7.  To the Residual Certificates, any remaining amount
 




Transaction Summary
Interest Carryover Shortfall:
  
As to any Class of Certificates the sum of (i) the excess, if any, of the sum of (x) the interest accrued at the related Pass-Through Rate and (y) any outstanding Interest Carryover Shortfall with respect to that Class on the preceding Distribution Date, over the amount in respect of interest that is actually distributed to holders of such Class on the preceding Distribution Date plus (ii) interest on such excess at the applicable Pass-Through Rate.
 
Allocated Realized Loss Amounts:
  
As to any class of Subordinate Certificates and any Distribution Date, the excess, if any, of (i) the sum of (x) the amount of reduction in the Certificate Principal Balance of that class and (y) the amount of any reductions on prior Distribution Dates over (ii) the amount distributed on prior Distribution Dates in respect of the reductions contemplated by clause (i) allocated to that Class of Certificates on prior Distribution Dates.
 
Aggregate Principal Amount:
  
As to any Distribution Date, the sum of the Basic Principal Amounts for each mortgage loan group.
 
Basic Principal Amount:
  
As to any Distribution Date, an amount equal to the sum of the following amounts, without duplication, with respect to the mortgage loans in each mortgage loan group:  (1) each payment of principal on a mortgage loan due during the related Due Period and received by the Servicer; (2) the net liquidation proceeds allocable to principal, any recoveries and all full and partial principal prepayments received by the Servicer during the related Prepayment Period; (3) the portion of the purchase price allocable to principal of all repurchased defective mortgage loans with respect to that Distribution Date; (4) any substitution adjustment amounts received on or prior to the previous determination date and not yet paid; and (5) any monthly advances with respect to scheduled payments of principal due during the related Due Period.
 

Principal Distribution Amount:
  
With respect to any Distribution Date, the lesser of (1) the aggregate certificate principal balances of the Certificates immediately preceding that Distribution Date and (2) the sum of (x) the Aggregate Principal Amount for that Distribution Date minus the Excess Overcollateralization Amount, if any, for that Distribution Date and (y) the Subordination Increase Amount, if any, for that Distribution Date.
 
Senior Principal Distribution Amount:
  
With respect to (a) any Distribution Date prior to the Stepdown Date or during the continuation of a Delinquency Event, the lesser of (1) 100% of the Principal Distribution Amount and (2) the aggregate certificate principal balance of the Senior Certificates immediately prior to that Distribution Date, and (b) any other Distribution Date, the lesser of (1) the Principal Distribution Amount and (2) the excess, if any, of (x) the aggregate certificate principal balance of the Senior Certificates immediately prior to that Distribution Date over (y) the lesser of (A) 70.00% of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period minus the Subordination Required Overcollateralization Amount for that Distribution Date and (B) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period minus the OC Floor.
 
Group I Parity Amount:
  
With respect to any Distribution Date, the greater of (i) zero and (ii) the excess, if any, of (x) the aggregate Certificate Principal Balance of the Group I Certificates, immediately prior to that Distribution Date over (y) the aggregate principal balance of the Group I Mortgage Loans as of the last day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period.
 

Transaction Summary
Group I Principal Distribution Amount:
  
With respect to any Distribution Date, the lesser of (A) the greatest of (1) the product of (x) the Senior Principal Distribution Amount for that Distribution Date and (y) a fraction, the numerator of which is the excess of (i) the aggregate principal balance of the Group I Mortgage Loans as of the first day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period, over (ii) the aggregate principal balance of the Group I Mortgage Loans as of the last day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period, and the denominator of which is the excess of (i) the aggregate principal balance of the Mortgage Loans as of the first day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period, over (ii) the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period, (2) the Group I Parity Amount and (3) the excess of (i) the Senior Principal Distribution Amount for that Distribution Date over (ii) the aggregate certificate principal balance of the Group II Certificates immediately prior to that Distribution Date and (B) the aggregate certificate principal balance of the Group I Certificates immediately prior to that Distribution Date.
 
With respect to the Group I Certificates, all principal will be distributed sequentially as follows:
 
1. To the Class AV-1 Certificates, until the Certificate Principal Balance has been reduced to zero.
2. To the Class AV-2 Certificates, until the Certificate Principal Balance has been reduced to zero.
3. To the Class AV-3 Certificates, until the Certificate Principal Balance has been reduced to zero.
 
Notwithstanding the foregoing, on any Distribution Date on or after which the aggregate Certificate Principal Balance of the Subordinate Certificates has been reduced to zero, principal will be allocated to the Group I Certificates on a pro-rata basis.
 
Group II Principal Distribution Amount:
  
With respect to any Distribution Date, the excess of (1) the Senior Principal Distribution Amount for that Distribution Date over (2) the Group I Principal Distribution Amount for the Distribution Date.
 
   
With respect to the Group II Certificates, all principal will be distributed sequentially as follows:
 
1. To the Class AF-6 Certificates, an amount equal to Class AF-6 Lockout Distribution Amount.
2. To the Class AF-1 Certificates, until the Certificate Principal Balance has been reduced to zero
3. To the Class AF-2 Certificates, until the Certificate Principal Balance has been reduced to zero.
4. To the Class AF-3 Certificates, until the Certificate Principal Balance has been reduced to zero.
5. To the Class AF-4 Certificates, until the Certificate Principal Balance has been reduced to zero.
6. To the Class AF-5 Certificates, until the Certificate Principal Balance has been reduced to zero.
7. To the Class AF-6 Certificates, until the Certificate Principal Balance has been reduced to zero.
 
   
Notwithstanding the foregoing, on any Distribution Date on or after which the aggregate Certificate Principal Balance of the Subordinate Certificates has been reduced to zero, principal will be allocated to the Group II Certificates on a pro-rata basis.
 
Class AF-6 Calculation Percentage:
  
For any Distribution Date, the fraction, expressed as a percentage, the numerator of which is the Certificate Principal Balance of the Class AF-6 Certificates and the denominator of which is the aggregate Certificate Principal Balance of the Group II Certificates, in each case before giving effect to distributions of principal on that Distribution Date.
 
Class AF-6 Lockout Distribution Amount:
  
For any Distribution Date, an amount equal to the product of (1) the applicable Class AF-6 Lockout Percentage for that Distribution Date, (2) the Class AF-6 Calculation Percentage for that Distribution Date and (3) the Group II Principal Distribution Amount for that Distribution Date but in no event will the Class AF-6 Lockout Distribution Amount exceed (a) the outstanding certificate principal balance of the Class AF-6 Certificates, or (b) the Group II Principal Distribution Amount for that Distribution Date.


Transaction Summary
  
Class AF-6 Lockout Percentage:
For each Distribution Date will be as follows:
 
Distribution Date
Lockout Percentage
1 to 36
0%
37 to 60
45%
61 to 72
80%
73 to 84
100%
85 and thereafter
300%


Transaction Summary
Class M-1 Principal Distribution Amount:  
As to any Distribution Date on or after the Stepdown Date, (x) 100% of the Principal Distribution Amount if the Class A Certificates have been reduced to zero and a Delinquency Event is in effect, or (y) if any Class A Certificates are outstanding and a Delinquency Event is not in effect, the excess of:
(a)the sum of:
(i)  the aggregate certificate principal balance of the Class A Certificates, after taking into account distribution of the Senior Principal Distribution Amount for the applicable Distribution Date, and
(ii)  the certificate principal balance of the Class M-1 Certificates immediately prior to the applicable Distribution Date; over
 (b)the lesser of:
(i)  74.00% of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period less the Subordination Required Overcollateralization Amount for that Distribution Date, and
(ii)  the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period minus the OC Floor.
 
Class M-2 Principal Distribution Amount:  
As to any Distribution Date on or after the Stepdown Date, (x) 100% of the Principal Distribution Amount if the Class A and Class M-1 Certificates have been reduced to zero and a Delinquency Event is in effect, or (y) if any Class A or Class M-1 Certificates are outstanding and a Delinquency Event is not in effect, the excess of:
(a)the sum of:
(i)  the aggregate certificate principal balance of the Class A Certificates, after taking into account distribution of the Senior Principal Distribution Amount for the applicable Distribution Date,
(ii)  the certificate principal balance of the Class M-1 Certificates, after taking into account distribution of the Class M-1 Principal Distribution Amount for the applicable Distribution Date, and
(iii)  the certificate principal balance of the Class M-2 Certificates immediately prior to the applicable Distribution Date; over
(b)the lesser of:
(i)  75.70% of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period less the Subordination Required Overcollateralization Amount for that Distribution Date, and
(ii)  the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period minus the OC Floor.
 
Class M-3 Principal Distribution Amount:  
As to any Distribution Date on or after the Stepdown Date, (x) 100% of the Principal Distribution Amount if the Class A, Class M-1 and Class M-2 Certificates have been reduced to zero and a Delinquency Event is in effect, or (y) if any Class A, Class M-1 or Class M-2 Certificates are outstanding and a Delinquency Event is not in effect, the excess of:
(a)the sum of:
(i)  the aggregate certificate principal balance of the Class A Certificates, after taking into account distribution of the Senior Principal Distribution Amount for the applicable Distribution Date,
(ii)  the certificate principal balance of the Class M-1 Certificates, after taking into account distribution of the Class M-1 Principal Distribution Amount for the applicable Distribution Date,
(iii)  the certificate principal balance of the Class M-2 Certificates, after taking into account distribution of the Class M-2 Principal Distribution Amount for the applicable Distribution Date,
(iv)  the certificate principal balance of the Class M-3 Certificates immediately prior to the applicable Distribution Date; over
(b)the lesser of:
(i)  86.10% of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period less the Subordination Required Overcollateralization Amount for that Distribution Date, and
(ii)  the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period minus the OC Floor.
 
Class M-4 Principal Distribution Amount:
  
As to any Distribution Date on or after the Stepdown Date, (x) 100% of the Principal Distribution Amount if the Class A, Class M-1, Class M-2 and Class M-3 Certificates have been reduced to zero and a Delinquency Event is in effect, or (y) if any Class A, Class M-1, Class M-2 or Class M-3 Certificates are outstanding and a Delinquency Event is not in effect, the excess of:
(a)the sum of:
(i)  the aggregate certificate principal balance of the Class A Certificates, after taking into account distribution of the Senior Principal Distribution Amount for the applicable Distribution Date,
(ii)  the certificate principal balance of the Class M-1 Certificates, after taking into account distribution of the Class M-1 Principal Distribution Amount for the applicable Distribution Date,
(iii)  the certificate principal balance of the Class M-2 Certificates, after taking into account distribution of the Class M-2 Principal Distribution Amount for the applicable Distribution Date,
(iv)  the certificate principal balance of the Class M-3 Certificates, after taking into account distribution of the Class M-3 Principal Distribution Amount for the applicable Distribution Date,
(v)  the certificate principal balance of the Class M-4 Certificates immediately prior to the applicable Distribution Date; over
(b)the lesser of:
(i)  88.50% of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period less the Subordination Required Overcollateralization Amount for that Distribution Date, and
(ii)  the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period minus the OC Floor.
 
Class M-5 Principal Distribution Amount:
  
As to any Distribution Date on or after the Stepdown Date, (x) 100% of the Principal Distribution Amount if the Class A, Class M-1, Class M-2, Class M-3 and Class M-4 Certificates have been reduced to zero and a Delinquency Event is in effect, or (y) if any Class A, Class M-1, Class M-2, Class M-3 or Class M-4 Certificates are outstanding and a Delinquency Event is not in effect, the excess of:
(a)the sum of:
(i)  the aggregate certificate principal balance of the Class A Certificates, after taking into account distribution of the Senior Principal Distribution Amount for the applicable Distribution Date,
(ii)  the certificate principal balance of the Class M-1 Certificates, after taking into account distribution of the Class M-1 Principal Distribution Amount for the applicable Distribution Date,
(iii)  the certificate principal balance of the Class M-2 Certificates, after taking into account distribution of the Class M-2 Principal Distribution Amount for the applicable Distribution Date,
(iv)  the certificate principal balance of the Class M-3 Certificates, after taking into account distribution of the Class M-3 Principal Distribution Amount for the applicable Distribution Date,
(v)  the certificate principal balance of the Class M-4 Certificates, after taking into account distribution of the Class M-4 Principal Distribution Amount for the applicable Distribution Date,
(vi)  the certificate principal balance of the Class M-5 Certificates immediately prior to the applicable Distribution Date; over
 (b)the lesser of:
(i)  91.80% of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period less the Subordination Required Overcollateralization Amount for that Distribution Date, and
(ii)  the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period minus the OC Floor.
 

Transaction Summary
Class M-6 Principal Distribution Amount:
  
As to any Distribution Date on or after the Stepdown Date, (x) 100% of the Principal Distribution Amount if the Class A, Class M-1, Class M-2, Class M-3, Class M-4 and Class M-5 Certificates have been reduced to zero and a Delinquency Event is in effect, or (y) if any Class A, Class M-1, Class M-2, Class M-3, Class M-4 or Class M-5 Certificates are outstanding and a Delinquency Event is not in effect, the excess of:
(a)the sum of:
(i)  the aggregate certificate principal balance of the Class A Certificates, after taking into account distribution of the Senior Principal Distribution Amount for the applicable Distribution Date,
(ii)  the certificate principal balance of the Class M-1 Certificates, after taking into account distribution of the Class M-1 Principal Distribution Amount for the applicable Distribution Date,
(iii)  the certificate principal balance of the Class M-2 Certificates, after taking into account distribution of the Class M-2 Principal Distribution Amount for the applicable Distribution Date,
(iv)  the certificate principal balance of the Class M-3 Certificates, after taking into account distribution of the Class M-3 Principal Distribution Amount for the applicable Distribution Date,
(v)  the certificate principal balance of the Class M-4 Certificates, after taking into account distribution of the Class M-4 Principal Distribution Amount for the applicable Distribution Date,
(vi)  the certificate principal balance of the Class M-5 Certificates after taking into account distribution of the Class M-5 Principal Distribution Amount for the applicable Distribution Date;
(vii)  the certificate principal balance of the Class M-6 Certificates immediately prior to the applicable Distribution Date; over
 (b)the lesser of:
(i)  94.20% of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period less the Subordination Required Overcollateralization Amount for that Distribution Date, and
(ii)  the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period minus the OC Floor.




Transaction Summary
Class M-7 Principal Distribution Amount:
  
As to any Distribution Date on or after the Stepdown Date, (x) 100% of the Principal Distribution Amount if the Class A, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and Class M-6 Certificates have been reduced to zero and a Delinquency Event is in effect, or (y) if any Class A, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 or Class M-6 Certificates are outstanding and a Delinquency Event is not in effect, the excess of:
(a)the sum of:
(i)  the aggregate certificate principal balance of the Class A Certificates, after taking into account distribution of the Senior Principal Distribution Amount for the applicable Distribution Date,
(ii)  the certificate principal balance of the Class M-1 Certificates, after taking into account distribution of the Class M-1 Principal Distribution Amount for the applicable Distribution Date,
(iii)  the certificate principal balance of the Class M-2 Certificates, after taking into account distribution of the Class M-2 Principal Distribution Amount for the applicable Distribution Date,
(iv)  the certificate principal balance of the Class M-3 Certificates, after taking into account distribution of the Class M-3 Principal Distribution Amount for the applicable Distribution Date,
(v)  the certificate principal balance of the Class M-4 Certificates, after taking into account distribution of the Class M-4 Principal Distribution Amount for the applicable Distribution Date,
(vi)  the certificate principal balance of the Class M-5 Certificates after taking into account distribution of the Class M-5 Principal Distribution Amount for the applicable Distribution Date;
(vii)  the certificate principal balance of the Class M-6 Certificates after taking into account distribution of the Class M-6 Principal Distribution Amount for the applicable Distribution Date;
(viii)  the certificate principal balance of the Class M-7 Certificates immediately prior to the applicable Distribution Date; over
 (b)the lesser of:
(i)  96.10% of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period less the Subordination Required Overcollateralization Amount for that Distribution Date, and
(ii)  the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period minus the OC Floor.



Transaction Summary
Class M-8 Principal Distribution Amount:
  
As to any Distribution Date on or after the Stepdown Date, (x) 100% of the Principal Distribution Amount if the Class A, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6 and Class M-7 Certificates have been reduced to zero and a Delinquency Event is in effect, or (y) if any Class A, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6 or Class M-7 Certificates are outstanding and a Delinquency Event is not in effect, the excess of:
(a)the sum of:
(i)  the aggregate certificate principal balance of the Class A Certificates, after taking into account distributions of the Senior Principal Distribution Amount for the applicable Distribution Date,
(ii)  the certificate principal balance of the Class M-1 Certificates, after taking into account distribution of the Class M-1 Principal Distribution Amount for the applicable Distribution Date,
(iii)  the certificate principal balance of the Class M-2 Certificates, after taking into account distribution of the Class M-2 Principal Distribution Amount for the applicable Distribution Date,
(iv)  the certificate principal balance of the Class M-3 Certificates, after taking into account distribution of the Class M-3 Principal Distribution Amount for the applicable Distribution Date,
(v)  the certificate principal balance of the Class M-4 Certificates, after taking into account distribution of the Class M-4 Principal Distribution Amount for the applicable Distribution Date,
(vi)  the certificate principal balance of the Class M-5 Certificates after taking into account distribution of the Class M-5 Principal Distribution Amount for the applicable Distribution Date;
(vii)  the certificate principal balance of the Class M-6 Certificates after taking into account distribution of the Class M-6 Principal Distribution Amount for the applicable Distribution Date;
(viii)  the certificate principal balance of the Class M-7 Certificates after taking into account distribution of the Class M-7 Principal Distribution Amount for the applicable Distribution Date;
(ix)  the certificate principal balance of the Class M-8 Certificates immediately prior to the applicable Distribution Date; over
 (b)the lesser of:
(i)  98.10% of the balance of the Mortgage Loans as of the last day of the related due period after giving effect to unscheduled principal collections in the related prepayment period less the Subordination Required Overcollateralization Amount for that Distribution Date, and
(ii)  the principal balance of the Mortgage Loans as of the last day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period minus the OC Floor.



Transaction Summary
Class M-9 Principal Distribution Amount:
  
As to any Distribution Date on or after the Stepdown Date, (x) 100% of the Principal Distribution Amount if the Class A, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7 and Class M-8 Certificates have been reduced to zero and a Delinquency Event is in effect, or (y) if any Class A, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7 or Class M-8 Certificates are outstanding and a Delinquency Event is not in effect, the excess of:
(a)the sum of:
(i)  the aggregate certificate principal balance of the Class A Certificates, after taking into account distributions of the Senior Principal Distribution Amount for the applicable Distribution Date,
(ii)  the certificate principal balance of the Class M-1 Certificates, after taking into account distribution of the Class M-1 Principal Distribution Amount for the applicable Distribution Date,
(iii)  the certificate principal balance of the Class M-2 Certificates, after taking into account distribution of the Class M-2 Principal Distribution Amount for the applicable Distribution Date,
(iv)  the certificate principal balance of the Class M-3 Certificates, after taking into account distribution of the Class M-3 Principal Distribution Amount for the applicable Distribution Date,
(v)  the certificate principal balance of the Class M-4 Certificates, after taking into account distribution of the Class M-4 Principal Distribution Amount for the applicable Distribution Date,
(vi)  the certificate principal balance of the Class M-5 Certificates after taking into account distribution of the Class M-5 Principal Distribution Amount for the applicable Distribution Date;
(vii)  the certificate principal balance of the Class M-6 Certificates after taking into account distribution of the Class M-6 Principal Distribution Amount for the applicable Distribution Date;
(viii)  the certificate principal balance of the Class M-7 Certificates after taking into account distribution of the Class M-7 Principal Distribution Amount for the applicable Distribution Date;
(ix)  the certificate principal balance of the Class M-8 Certificates after taking into account distribution of the Class M-8 Principal Distribution Amount for the applicable Distribution Date;
(x)  the certificate principal balance of the Class M-9 Certificates immediately prior to the applicable Distribution Date; over
 (b)the lesser of:
(i)  the balance of the Mortgage Loans as of the last day of the related due period after giving effect to unscheduled principal collections in the related prepayment period less the Subordination Required Overcollateralization Amount for that Distribution Date, and
(ii)  the principal balance of the Mortgage Loans as of the last day of the related Due Period after giving effect to unscheduled principal collections in the related prepayment period minus the OC Floor.
 
Optional Termination:
 
  
The terms of the transaction allow for termination of the Trust, which may be exercised once the aggregate principal balance of the Mortgage Loans is less than or equal to 10% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date.
 

Group I Net WAC Rate
Assumptions to Optional Termination
                     
                     
Period
NWC (1)
(%)
NWC (2)
(%)
  
Period
NWC (1)
(%)
NWC (2)
(%)
  
Period
NWC (1)
(%)
NWC (2)
(%)
1
N/A
N/A
  
36
10.10
12.34
  
71
10.44
16.12
2
9.16
23.71
  
37
10.10
11.79
  
72
10.10
15.60
3
8.86
23.32
  
38
10.44
12.19
  
73
10.10
15.60
4
9.16
23.20
  
39
10.10
11.79
  
74
10.44
16.12
5
8.86
22.80
  
40
10.44
12.20
  
75
10.10
15.60
6
8.86
22.56
  
41
10.10
12.73
  
76
10.44
16.12
7
9.47
22.61
  
42
10.10
12.76
  
77
10.10
15.60
8
8.86
22.07
  
43
11.19
14.13
  
78
10.10
15.60
9
9.16
21.99
  
44
10.10
12.76
  
79
11.19
17.27
10
8.86
21.60
  
45
10.44
13.19
  
80
10.10
15.60
11
9.16
21.53
  
46
10.10
12.78
  
81
10.44
16.12
12
8.86
21.15
  
47
10.44
14.16
  
82
10.10
15.60
13
8.86
20.93
  
48
10.10
13.73
  
83
10.44
16.12
14
9.16
20.88
  
49
10.10
13.73
  
84
10.10
15.60
15
8.86
20.51
  
50
10.44
14.19
  
85
10.10
15.60
16
9.16
20.46
  
51
10.10
13.73
  
86
10.44
16.12
17
8.86
20.09
  
52
10.44
14.19
  
87
10.10
15.60
18
8.86
19.89
  
53
10.10
14.65
  
88
10.44
16.12
19
9.81
20.26
  
54
10.10
14.68
  
89
10.10
15.60
20
8.86
19.50
  
55
10.80
15.69
  
90
10.10
15.60
21
9.16
19.49
  
56
10.10
14.68
  
91
11.19
17.27
22
8.88
19.03
  
57
10.44
15.17
  
92
10.10
15.60
23
9.18
19.03
  
58
10.10
14.68
  
93
10.44
16.12
24
8.88
18.63
  
59
10.44
16.09
  
94
10.10
15.60
25
8.88
18.44
  
60
10.10
15.60
  
95
10.44
16.12
26
9.18
18.46
  
61
10.10
15.60
  
96
10.10
15.60
27
8.88
18.11
  
62
10.44
16.12
  
97
10.10
15.60
28
9.18
18.15
  
63
10.10
15.60
  
98
10.44
16.12
29
8.88
17.79
  
64
10.44
16.12
  
99
10.10
15.60
30
8.88
17.64
  
65
10.10
15.60
  
100
10.44
16.12
31
9.83
18.13
  
66
10.10
15.60
  
101
10.10
15.60
32
8.88
17.33
  
67
11.19
17.27
  
102
10.10
15.60
33
9.18
17.38
  
68
10.10
15.60
  
103
10.80
16.68
34
8.88
16.93
  
69
10.44
16.12
  
104
10.10
15.60
35
10.40
14.31
  
70
10.10
15.60
        

(1)  
Assumes 1m LIBOR and 6m LIBOR remain constant at 5.5000% and 5.3731%, respectively and running at pricing speed to call.
(2)  
Assumes 1m LIBOR and 6m LIBOR increase to a rate of 20.00% after the first period and payments are received from the related swap agreement.

 
WEIGHTED AVERAGE LIFE TABLES

Class AV-1 To Call
        
 
50 PPC
100 PPC
150 PPC
200 PPC
WAL (yrs)
2.14
1.00
0.60
0.40
Principal Window
1
1
1
1
Principal Window End
60
28
17
12
         
Class AV-1 To Maturity
      
 
50 PPC
100 PPC
150 PPC
200 PPC
WAL (yrs)
2.14
1.00
0.60
0.40
Principal Window
1
1
1
1
Principal Window End
60
28
17
12
         
Class AV-2 To Call
        
 
50 PPC
100 PPC
150 PPC
200 PPC
WAL (yrs)
6.36
3.00
1.82
1.21
Principal Window
60
28
17
12
Principal Window End
97
46
28
19
         
Class AV-2 To Maturity
      
 
50 PPC
100 PPC
150 PPC
200 PPC
WAL (yrs)
6.36
3.00
1.82
1.21
Principal Window
60
28
17
12
Principal Window End
97
46
28
19
         
Class AV-3 To Call
        
 
50 PPC
100 PPC
150 PPC
200 PPC
WAL (yrs)
12.57
6.19
4.12
2.31
Principal Window
97
46
28
19
Principal Window End
197
104
67
34
         
Class AV-3 To Maturity
      
 
50 PPC
100 PPC
150 PPC
200 PPC
WAL (yrs)
13.63
6.75
4.42
2.31
Principal Window
97
46
28
19
Principal Window End
336
225
148
34
         

 
WEIGHTED AVERAGE LIFE TABLES

Class AF-1 To Call
      
 
50 PPC
100 PPC
150 PPC
200 PPC
WAL (yrs)
1.79
1.00
0.72
0.58
Principal Window
1
1
1
1
Principal Window End
44
23
16
13
         
Class AF-1 To Maturity
      
 
50 PPC
100 PPC
150 PPC
200 PPC
WAL (yrs)
1.79
1.00
0.72
0.58
Principal Window
1
1
1
1
Principal Window End
44
23
16
13
         
 

WEIGHTED AVERAGE LIFE TABLES

Class M-4 To Call
        
 
50 PPC
100 PPC
150 PPC
200 PPC
WAL (yrs)
11.03
5.72
4.17
3.88
Principal Window
66
37
42
46
Principal Window End
197
104
67
48
         
Class M-4 To Maturity
      
 
50 PPC
100 PPC
150 PPC
200 PPC
WAL (yrs)
11.86
6.29
4.54
4.13
Principal Window
66
37
42
46
Principal Window End
294
172
112
79
         
Class M-5 To Call
        
 
50 PPC
100 PPC
150 PPC
200 PPC
WAL (yrs)
11.03
5.72
4.13
3.72
Principal Window
66
37
41
43
Principal Window End
197
104
67
48
         
Class M-5 To Maturity
      
 
50 PPC
100 PPC
150 PPC
200 PPC
WAL (yrs)
11.84
6.27
4.48
3.96
Principal Window
66
37
41
43
Principal Window End
290
168
110
77
         
Class M-6 To Call
        
 
50 PPC
100 PPC
150 PPC
200 PPC
WAL (yrs)
11.03
5.72
4.09
3.59
Principal Window
66
37
40
42
Principal Window End
197
104
67
48
         
Class M-6 To Maturity
      
 
50 PPC
100 PPC
150 PPC
200 PPC
WAL (yrs)
11.81
6.24
4.44
3.83
Principal Window
66
37
40
42
Principal Window End
282
162
105
74
         
 
 
WEIGHTED AVERAGE LIFE TABLES

Class M-7 To Call
        
 
50 PPC
100 PPC
150 PPC
200 PPC
WAL (yrs)
11.03
5.72
4.06
3.52
Principal Window
66
37
40
41
Principal Window End
197
104
67
48
         
Class M-7 To Maturity
      
 
50 PPC
100 PPC
150 PPC
200 PPC
WAL (yrs)
11.78
6.22
4.38
3.74
Principal Window
66
37
40
41
Principal Window End
276
157
102
72
         
Class M-8 To Call
        
 
50 PPC
100 PPC
150 PPC
200 PPC
WAL (yrs)
11.03
5.72
4.05
3.45
Principal Window
66
37
39
40
Principal Window End
197
104
67
48
         
Class M-8 To Maturity
      
 
50 PPC
100 PPC
150 PPC
200 PPC
WAL (yrs)
11.75
6.19
4.36
3.66
Principal Window
66
37
39
40
Principal Window End
270
153
99
70
         
Class M-9 To Call
        
 
50 PPC
100 PPC
150 PPC
200 PPC
WAL (yrs)
11.03
5.72
4.02
3.39
Principal Window
66
37
39
39
Principal Window End
197
104
67
48
         
Class M-9 To Maturity
      
 
50 PPC
100 PPC
150 PPC
200 PPC
WAL (yrs)
11.70
6.16
4.30
3.59
Principal Window
66
37
39
39
Principal Window End
262
147
95
67
         
         


DESCRIPTION OF THE COLLATERAL
 
TOTAL MORTGAGE LOANS
As of August 1, 2007

     
Minimum
Maximum
Scheduled Principal Balance
799,545,773.13
  
22,000.00
989,334.38
Average Scheduled Principal Balance
180,974.60
      
Number of Mortgage Loans
4,418
      
         
Weighted Average Gross Coupon
9.097%
  
6.240%
13.490%
Non Zero Weighted Average FICO Score
617
  
428
877
Weighted Average Combined Original LTV
76.77%
  
9.43%
100.00%
         
Weighted Average Original Term
342 months
  
60 months
360 months
Weighted Average Stated Remaining Term
341 months
  
58 months
360 months
Weighted Average Seasoning
2 months
  
0 months
4 months
         
Weighted Average Gross Margin
5.576%
  
3.690%
7.590%
Weighted Average Minimum Interest Rate
9.630%
  
7.690%
11.920%
Weighted Average Maximum Interest Rate
16.630%
  
14.690%
18.920%
Weighted Average Initial Rate Cap
3.000%
  
3.000%
3.000%
Weighted Average Subsequent Rate Cap
1.000%
  
1.000%
1.000%
Weighted Average Months to Roll
34 months
  
21 months
36 months
         
Maturity Date
    
6/1/2012
8/1/2037
Maximum Zip Code Concentration
0.84%
  
11236
  
         
ARM
3.86%
  
Cash Out Refinance
52.82%
Fixed Rate
96.14%
  
Debt Consolidation
35.10%
     
Purchase
2.85%
2/28 ARMs
0.06%
  
Rate/Term Refinance
9.22%
3/27 ARMs
3.80%
      
Fixed Rate
51.16%
  
Condominium
2.98%
Stepped Fixed Rate
44.98%
  
Five-to-Eight Family
0.72%
     
Mixed-Use
0.87%
Not Interest Only
100.00%
  
Single Family
78.36%
     
Two-to-Four Family
17.08%
No Prepay Penalty
35.77%
      
Prepay Penalty: 12 months
24.31%
  
Non-owner
6.28%
Prepay Penalty: 18 months
0.03%
  
Primary
93.72%
Prepay Penalty: 24 months
0.86%
      
Prepay Penalty: 30 months
1.07%
  
Top 5 States:
  
Prepay Penalty: 36 months
37.97%
  
New York
21.27%
     
Florida
11.79%
First Lien
98.80%
  
Illinois
7.92%
Second Lien
1.20%
  
New Jersey
7.85%
     
Pennsylvania
5.67%
Full Income Verification
70.17%
      
Limited Income Verification
8.25%
      
No Income Verification
17.62%
      
Stated Income
3.96%
      
 



 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of Debt-to-Income
Ratios (%)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
N/A
    
3
      
736,419.72
       0.09 %     7.282 %    
358
       51.10 %    
679
  
0.01 - 20.00
    
135
      
22,688,211.10
      
2.84
      
9.127
      
339
      
70.17
      
633
  
20.01 - 25.00
    
196
      
24,480,243.65
      
3.06
      
9.095
      
331
      
72.46
      
621
  
25.01 - 30.00
    
324
      
45,788,175.64
      
5.73
      
9.085
      
325
      
71.98
      
621
  
30.01 - 35.00
    
471
      
76,757,580.97
      
9.60
      
9.062
      
334
      
73.15
      
622
  
35.01 - 40.00
    
570
      
97,574,750.19
      
12.20
      
9.136
      
341
      
76.30
      
616
  
40.01 - 45.00
    
668
      
127,045,533.97
      
15.89
      
9.160
      
340
      
77.88
      
620
  
45.01 - 50.00
    
1,216
      
235,304,532.94
      
29.43
      
9.181
      
344
      
81.79
      
619
  
50.01 - 55.00
    
835
      
169,170,324.96
      
21.16
      
8.933
      
346
      
73.80
      
607
  
Total:
    
4,418
      
799,545,773.13
       100.00 %     9.097 %    
341
       76.77 %    
617
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of  Original Principal Balances ($)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
0.01 - 50,000.00
    
114
      
5,508,294.30
       0.69 %     10.475 %    
303
       58.75 %    
605
  
50,000.01 - 100,000.00
    
1,183
      
90,346,840.78
      
11.30
      
9.753
      
318
      
68.81
      
606
  
100,000.01 - 150,000.00
    
1,091
      
136,823,004.94
      
17.11
      
9.418
      
328
      
73.69
      
609
  
150,000.01 - 200,000.00
    
656
      
113,858,057.14
      
14.24
      
9.218
      
339
      
74.89
      
610
  
200,000.01 - 250,000.00
    
424
      
94,961,444.31
      
11.88
      
9.091
      
345
      
77.43
      
619
  
250,000.01 - 300,000.00
    
290
      
79,862,166.12
      
9.99
      
8.865
      
349
      
76.98
      
623
  
300,000.01 - 350,000.00
    
196
      
63,629,053.40
      
7.96
      
8.926
      
351
      
79.10
      
624
  
350,000.01 - 400,000.00
    
148
      
55,156,546.31
      
6.90
      
8.854
      
353
      
80.03
      
623
  
400,000.01 - 450,000.00
    
101
      
43,209,207.89
      
5.40
      
8.756
      
353
      
82.29
      
628
  
450,000.01 - 500,000.00
    
97
      
46,413,103.30
      
5.80
      
8.706
      
349
      
82.23
      
620
  
500,000.01 - 550,000.00
    
46
      
24,082,331.10
      
3.01
      
8.368
      
354
      
85.17
      
628
  
550,000.01 - 600,000.00
    
32
      
18,355,035.45
      
2.30
      
8.295
      
357
      
83.99
      
640
  
600,000.01 - 650,000.00
    
21
      
13,234,130.03
      
1.66
      
8.827
      
355
      
86.33
      
632
  
650,000.01 - 700,000.00
    
8
      
5,466,785.86
      
0.68
      
8.494
      
358
      
87.79
      
628
  
700,000.01 - 750,000.00
    
7
      
5,087,960.23
      
0.64
      
7.741
      
358
      
84.85
      
634
  
750,000.01 - 800,000.00
    
1
      
783,796.57
      
0.10
      
8.340
      
359
      
80.00
      
606
  
800,000.01 - 850,000.00
    
1
      
849,825.84
      
0.11
      
9.140
      
359
      
72.65
      
596
  
900,000.01 - 950,000.00
    
1
      
928,855.21
      
0.12
      
8.440
      
358
      
79.97
      
625
  
950,000.01 - 1,000,000.00
    
1
      
989,334.38
      
0.12
      
7.990
      
359
      
68.75
      
604
  
Total:
    
4,418
      
799,545,773.13
       100.00 %     9.097 %    
341
       76.77 %    
617
  



 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of  Current Principal Balances ($)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
0.01 -  50,000.00
    
115
      
5,556,991.05
       0.70 %     10.457 %    
301
       58.64 %    
605
  
50,000.01 - 100,000.00
    
1,183
      
90,397,870.83
      
11.31
      
9.753
      
318
      
68.84
      
606
  
100,000.01 - 150,000.00
    
1,092
      
137,022,779.76
      
17.14
      
9.416
      
327
      
73.68
      
609
  
150,000.01 - 200,000.00
    
654
      
113,558,555.52
      
14.20
      
9.219
      
339
      
74.90
      
610
  
200,000.01 - 250,000.00
    
425
      
95,211,072.39
      
11.91
      
9.086
      
345
      
77.41
      
619
  
250,000.01 - 300,000.00
    
289
      
79,612,538.03
      
9.96
      
8.871
      
349
      
77.00
      
623
  
300,000.01 - 350,000.00
    
196
      
63,629,053.40
      
7.96
      
8.926
      
351
      
79.10
      
624
  
350,000.01 - 400,000.00
    
148
      
55,156,546.31
      
6.90
      
8.854
      
353
      
80.03
      
623
  
400,000.01 - 450,000.00
    
101
      
43,209,207.89
      
5.40
      
8.756
      
353
      
82.29
      
628
  
450,000.01 - 500,000.00
    
97
      
46,413,103.30
      
5.80
      
8.706
      
349
      
82.23
      
620
  
500,000.01 - 550,000.00
    
46
      
24,082,331.10
      
3.01
      
8.368
      
354
      
85.17
      
628
  
550,000.01 - 600,000.00
    
32
      
18,355,035.45
      
2.30
      
8.295
      
357
      
83.99
      
640
  
600,000.01 - 650,000.00
    
21
      
13,234,130.03
      
1.66
      
8.827
      
355
      
86.33
      
632
  
650,000.01 - 700,000.00
    
8
      
5,466,785.86
      
0.68
      
8.494
      
358
      
87.79
      
628
  
700,000.01 - 750,000.00
    
7
      
5,087,960.23
      
0.64
      
7.741
      
358
      
84.85
      
634
  
750,000.01 - 800,000.00
    
1
      
783,796.57
      
0.10
      
8.340
      
359
      
80.00
      
606
  
800,000.01 - 850,000.00
    
1
      
849,825.84
      
0.11
      
9.140
      
359
      
72.65
      
596
  
900,000.01 - 950,000.00
    
1
      
928,855.21
      
0.12
      
8.440
      
358
      
79.97
      
625
  
950,000.01 - 1,000,000.00
    
1
      
989,334.38
      
0.12
      
7.990
      
359
      
68.75
      
604
  
Total:
    
4,418
      
799,545,773.13
       100.00 %     9.097 %    
341
       76.77 %    
617
  

 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of  Current Loan Rates (%)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
6.000 - 6.499
    
55
      
11,945,210.64
       1.49 %     6.397 %    
330
       66.52 %    
696
  
6.500 - 6.999
    
214
      
48,807,983.06
      
6.10
      
6.807
      
328
      
68.31
      
677
  
7.000 - 7.499
    
194
      
43,853,499.76
      
5.48
      
7.314
      
333
      
73.45
      
647
  
7.500 - 7.999
    
447
      
91,454,771.39
      
11.44
      
7.805
      
328
      
73.41
      
651
  
8.000 - 8.499
    
352
      
75,625,756.66
      
9.46
      
8.305
      
343
      
76.37
      
626
  
8.500 - 8.999
    
576
      
118,676,511.57
      
14.84
      
8.810
      
343
      
79.93
      
627
  
9.000 - 9.499
    
446
      
87,958,379.74
      
11.00
      
9.294
      
346
      
81.09
      
616
  
9.500 - 9.999
    
722
      
125,246,864.68
      
15.66
      
9.798
      
343
      
80.80
      
603
  
10.000 - 10.499
    
484
      
79,406,749.91
      
9.93
      
10.281
      
348
      
76.81
      
580
  
10.500 - 10.999
    
461
      
66,501,544.85
      
8.32
      
10.768
      
346
      
77.05
      
578
  
11.000 - 11.499
    
213
      
25,023,860.87
      
3.13
      
11.245
      
348
      
72.85
      
564
  
11.500 - 11.999
    
184
      
18,803,163.27
      
2.35
      
11.760
      
344
      
70.63
      
555
  
12.000 - 12.499
    
53
      
5,164,940.17
      
0.65
      
12.202
      
346
      
67.83
      
561
  
12.500 - 12.999
    
11
      
706,275.47
      
0.09
      
12.767
      
331
      
74.41
      
597
  
13.000 - 13.499
    
6
      
370,261.09
      
0.05
      
13.243
      
294
      
74.31
      
585
  
Total:
    
4,418
      
799,545,773.13
       100.00 %     9.097 %    
341
       76.77 %    
617
  



 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of  Original Term to Stated Maturity (Months)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
1-60
    
7
      
406,125.11
       0.05 %     8.398 %    
59
       41.85 %    
689
  
61 - 120
    
58
      
5,106,964.57
      
0.64
      
8.368
      
107
      
59.87
      
673
  
121 - 180
    
315
      
36,633,732.67
      
4.58
      
8.385
      
168
      
70.09
      
655
  
181 - 240
    
149
      
18,095,889.94
      
2.26
      
9.399
      
227
      
75.82
      
634
  
241 - 300
    
164
      
25,137,954.82
      
3.14
      
9.106
      
277
      
78.13
      
643
  
301 - 360
    
3,725
      
714,165,106.02
      
89.32
      
9.131
      
357
      
77.23
      
614
  
Total:
    
4,418
      
799,545,773.13
       100.00 %     9.097 %    
341
       76.77 %    
617
  
                                                         

 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of  Remaining Term to Stated Maturity (Months)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
1-60
    
7
      
406,125.11
       0.05 %     8.398 %    
59
       41.85 %    
689
  
61 - 120
    
58
      
5,106,964.57
      
0.64
      
8.368
      
107
      
59.87
      
673
  
121 - 180
    
315
      
36,633,732.67
      
4.58
      
8.385
      
168
      
70.09
      
655
  
181 - 240
    
149
      
18,095,889.94
      
2.26
      
9.399
      
227
      
75.82
      
634
  
241 - 300
    
164
      
25,137,954.82
      
3.14
      
9.106
      
277
      
78.13
      
643
  
301 - 360
    
3,725
      
714,165,106.02
      
89.32
      
9.131
      
357
      
77.23
      
614
  
Total:
    
4,418
      
799,545,773.13
       100.00 %     9.097 %    
341
       76.77 %    
617
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Months Since Origination (months)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
0
    
380
      
51,925,859.70
       6.49 %     8.992 %    
318
       62.89 %    
636
  
1
    
1,812
      
314,333,384.57
      
39.31
      
9.235
      
341
      
75.16
      
614
  
2
    
1,869
      
357,072,556.74
      
44.66
      
8.970
      
343
      
77.61
      
616
  
3
    
354
      
75,488,603.00
      
9.44
      
9.194
      
346
      
89.00
      
620
  
4
    
3
      
725,369.12
      
0.09
      
9.310
      
351
      
82.26
      
651
  
Total:
    
4,418
      
799,545,773.13
       100.00 %     9.097 %    
341
       76.77 %    
617
  



 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of  Gross Margins (%)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
3.500 - 3.999
    
4
      
592,837.23
       1.92 %     7.904 %    
358
       80.39 %    
603
  
4.000 - 4.499
    
11
      
3,517,784.35
      
11.39
      
8.457
      
358
      
78.78
      
616
  
4.500 - 4.999
    
21
      
4,727,623.16
      
15.31
      
8.862
      
358
      
82.15
      
647
  
5.000 - 5.499
    
35
      
6,457,100.09
      
20.91
      
9.387
      
358
      
77.01
      
615
  
5.500 - 5.999
    
37
      
6,409,245.25
      
20.76
      
9.883
      
358
      
76.50
      
593
  
6.000 - 6.499
    
30
      
4,623,563.33
      
14.97
      
10.370
      
358
      
75.75
      
566
  
6.500 - 6.999
    
21
      
2,823,310.56
      
9.14
      
10.539
      
358
      
77.08
      
560
  
7.000 - 7.499
    
13
      
1,661,767.66
      
5.38
      
11.193
      
359
      
69.31
      
535
  
7.500 - 7.999
    
1
      
64,979.86
      
0.21
      
11.640
      
359
      
65.00
      
525
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of  Minimum Interest Rates (%)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
7.500 – 7.999
    
3
      
410,458.69
       1.33 %     7.844 %    
357
       78.39 %    
604
  
8.000 – 8.499
    
10
      
3,131,817.41
      
10.14
      
8.368
      
358
      
78.05
      
612
  
8.500 – 8.999
    
24
      
5,759,698.35
      
18.65
      
8.844
      
358
      
82.23
      
646
  
9.000 – 9.499
    
29
      
5,551,837.70
      
17.98
      
9.354
      
358
      
78.29
      
613
  
9.500 – 9.999
    
38
      
6,496,903.17
      
21.04
      
9.778
      
358
      
77.16
      
602
  
10.000 – 10.499
    
29
      
4,760,777.20
      
15.42
      
10.283
      
358
      
75.73
      
571
  
10.500 – 10.999
    
23
      
2,664,361.63
      
8.63
      
10.801
      
358
      
74.56
      
545
  
11.000 – 11.499
    
15
      
1,855,430.48
      
6.01
      
11.250
      
359
      
68.16
      
532
  
11.500 – 11.999
    
2
      
246,926.86
      
0.80
      
11.846
      
359
      
65.00
      
512
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of  Maximum Interest Rates (%)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
14.500 - 14.999
    
3
      
410,458.69
       1.33 %     7.844 %    
357
       78.39 %    
604
  
15.000 - 15.499
    
10
      
3,131,817.41
      
10.14
      
8.368
      
358
      
78.05
      
612
  
15.500 - 15.999
    
24
      
5,759,698.35
      
18.65
      
8.844
      
358
      
82.23
      
646
  
16.000 - 16.499
    
29
      
5,551,837.70
      
17.98
      
9.354
      
358
      
78.29
      
613
  
16.500 - 16.999
    
38
      
6,496,903.17
      
21.04
      
9.778
      
358
      
77.16
      
602
  
17.000 - 17.499
    
29
      
4,760,777.20
      
15.42
      
10.283
      
358
      
75.73
      
571
  
17.500 - 17.999
    
23
      
2,664,361.63
      
8.63
      
10.801
      
358
      
74.56
      
545
  
18.000 - 18.499
    
15
      
1,855,430.48
      
6.01
      
11.250
      
359
      
68.16
      
532
  
18.500 - 18.999
    
2
      
246,926.86
      
0.80
      
11.846
      
359
      
65.00
      
512
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  



 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of  Original
Combined Loan-To-Value (%)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
0.01 -  49.99
    
414
      
50,490,026.71
       6.31 %     8.823 %    
323
       39.53 %    
624
  
50.00 - 54.99
    
203
      
29,998,167.79
      
3.75
      
8.783
      
329
      
52.58
      
609
  
55.00 - 59.99
    
217
      
30,897,274.78
      
3.86
      
8.963
      
333
      
57.42
      
599
  
60.00 - 64.99
    
301
      
45,764,925.98
      
5.72
      
8.975
      
333
      
62.05
      
601
  
65.00 - 69.99
    
366
      
64,547,720.86
      
8.07
      
8.874
      
339
      
66.77
      
606
  
70.00 - 74.99
    
429
      
79,335,615.92
      
9.92
      
9.202
      
345
      
71.52
      
597
  
75.00 - 79.99
    
496
      
87,106,134.13
      
10.89
      
9.133
      
343
      
76.14
      
602
  
80.00 - 84.99
    
678
      
125,858,576.98
      
15.74
      
8.989
      
343
      
80.61
      
607
  
85.00 - 89.99
    
358
      
74,643,227.67
      
9.34
      
9.025
      
346
      
85.89
      
619
  
90.00 - 94.99
    
397
      
81,852,057.61
      
10.24
      
9.161
      
348
      
90.80
      
637
  
95.00 - 99.99
    
286
      
66,984,403.51
      
8.38
      
9.433
      
346
      
95.32
      
638
  
100.00
    
273
      
62,067,641.20
      
7.76
      
9.530
      
339
      
100.00
      
666
  
Total:
    
4,418
      
799,545,773.13
       100.00 %     9.097 %    
341
       76.77 %    
617
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
  
# of
    
Principal
    
Curr
    
Gross
    
Term
    
Combined
    
W.A.
  
Occupancy Type
  
Mortgage Loans
    
Balance ($)
    
Prin Bal ($)
    
Coupon (%)
    
(Months)
    
Orig LTV (%)
    
FICO
  
Primary
    
4,146
      
749,344,276.82
       93.72 %     9.065 %    
340
       77.09 %    
615
  
Non - owner
    
272
      
50,201,496.32
      
6.28
      
9.579
      
350
      
72.08
      
644
  
Total:
    
4,418
      
799,545,773.13
       100.00 %     9.097 %    
341
       76.77 %    
617
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
  
# of
    
Principal
    
Curr
    
Gross
    
Term
    
Combined
    
W.A.
  
Property Type
  
Mortgage Loans
    
Balance ($)
    
Prin Bal ($)
    
Coupon (%)
    
(Months)
    
Orig LTV (%)
    
FICO
  
Single Family
    
3,766
      
626,501,037.98
       78.36 %     9.151 %    
338
       77.01 %    
616
  
Two-to-Four Family
    
469
      
136,541,508.61
      
17.08
      
8.727
      
355
      
76.47
      
617
  
Condominium
    
134
      
23,846,642.89
      
2.98
      
9.010
      
332
      
79.49
      
636
  
Mixed Use
    
28
      
6,918,656.48
      
0.87
      
10.598
      
355
      
63.07
      
641
  
Five-to-Eight Family
    
21
      
5,737,927.18
      
0.72
      
10.556
      
349
      
63.50
      
662
  
Total:
    
4,418
      
799,545,773.13
       100.00 %     9.097 %    
341
       76.77 %    
617
  



 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
  
# of
    
Principal
    
Curr
    
Gross
    
Term
    
Combined
    
W.A.
  
Loan Purpose
  
Mortgage Loans
    
Balance ($)
    
Prin Bal ($)
    
Coupon (%)
    
(Months)
    
Orig LTV (%)
    
FICO
  
Cash Out Refinance
    
2,419
      
422,328,153.55
       52.82 %     9.079 %    
342
       73.10 %    
613
  
Debt Consolidation
    
1,440
      
280,675,723.32
      
35.10
      
9.090
      
337
      
81.17
      
621
  
Rate/Term Refinance
    
427
      
73,737,789.51
      
9.22
      
9.015
      
341
      
79.96
      
625
  
Purchase
    
132
      
22,804,106.75
      
2.85
      
9.788
      
358
      
80.24
      
623
  
Total:
    
4,418
      
799,545,773.13
       100.00 %     9.097 %    
341
       76.77 %    
617
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
  
# of
    
Principal
    
Curr
    
Gross
    
Term
    
Combined
    
W.A.
  
Documentation Program
  
Mortgage Loans
    
Balance ($)
    
Prin Bal ($)
    
Coupon (%)
    
(Months)
    
Orig LTV (%)
    
FICO
  
Full Income Verification
    
3,330
      
561,008,785.47
       70.17 %     9.012 %    
337
       76.97 %    
614
  
No Income Verification
    
601
      
140,903,668.36
      
17.62
      
9.406
      
346
      
77.69
      
627
  
Limited Income Verification
    
336
      
65,941,331.00
      
8.25
      
9.194
      
352
      
74.31
      
614
  
Stated Income
    
151
      
31,691,988.31
      
3.96
      
9.017
      
353
      
74.40
      
642
  
Total:
    
4,418
      
799,545,773.13
       100.00 %     9.097 %    
341
       76.77 %    
617
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
  
# of
    
Principal
    
Curr
    
Gross
    
Term
    
Combined
    
W.A.
  
Loan Type
  
Mortgage Loans
    
Balance ($)
    
Prin Bal ($)
    
Coupon (%)
    
(Months)
    
Orig LTV (%)
    
FICO
  
2/28 ARM
    
2
      
483,326.38
       0.06 %     10.610 %    
357
       80.16 %    
539
  
3/27 ARM
    
171
      
30,394,885.11
      
3.80
      
9.614
      
358
      
77.29
      
600
  
Fixed Rate
    
4,245
      
768,667,561.64
      
96.14
      
9.075
      
340
      
76.75
      
618
  
Total:
    
4,418
      
799,545,773.13
       100.00 %     9.097 %    
341
       76.77 %    
617
  



 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
  
# of
    
Principal
    
Curr
    
Gross
    
Term
    
Combined
    
W.A.
  
States
  
Mortgage Loans
    
Balance ($)
    
Prin Bal ($)
    
Coupon (%)
    
(Months)
    
Orig LTV (%)
    
FICO
  
New York
    
586
      
170,023,452.60
       21.27 %     8.470 %    
350
       75.06 %    
622
  
Florida
    
548
      
94,280,422.51
      
11.79
      
9.136
      
342
      
75.02
      
610
  
Illinois
    
324
      
63,315,337.65
      
7.92
      
9.272
      
344
      
81.32
      
612
  
New Jersey
    
262
      
62,756,064.74
      
7.85
      
9.306
      
346
      
75.48
      
615
  
Pennsylvania
    
359
      
45,354,321.29
      
5.67
      
9.313
      
334
      
75.94
      
609
  
Maryland
    
238
      
44,840,474.27
      
5.61
      
8.991
      
347
      
74.96
      
610
  
Virginia
    
233
      
35,833,190.83
      
4.48
      
9.230
      
335
      
75.56
      
616
  
Georgia
    
203
      
29,046,802.89
      
3.63
      
9.758
      
323
      
83.49
      
628
  
North Carolina
    
204
      
26,851,509.29
      
3.36
      
9.930
      
326
      
81.64
      
621
  
California
    
89
      
24,878,874.62
      
3.11
      
8.632
      
343
      
75.44
      
633
  
Massachusetts
    
102
      
22,471,785.13
      
2.81
      
9.108
      
345
      
72.31
      
626
  
Connecticut
    
73
      
15,161,413.54
      
1.90
      
9.065
      
349
      
73.17
      
610
  
South Carolina
    
102
      
14,626,622.83
      
1.83
      
9.827
      
328
      
79.28
      
611
  
Arizona
    
86
      
14,565,380.21
      
1.82
      
8.371
      
338
      
77.78
      
635
  
Texas
    
110
      
13,866,065.00
      
1.73
      
9.530
      
326
      
75.46
      
586
  
Wisconsin
    
115
      
13,767,329.24
      
1.72
      
9.662
      
318
      
80.99
      
618
  
Washington
    
61
      
11,543,444.17
      
1.44
      
8.657
      
340
      
79.93
      
638
  
Ohio
    
96
      
9,782,358.97
      
1.22
      
10.043
      
336
      
82.23
      
608
  
Delaware
    
44
      
8,394,483.43
      
1.05
      
8.801
      
339
      
82.48
      
634
  
Missouri
    
68
      
6,999,995.86
      
0.88
      
9.703
      
326
      
81.29
      
613
  
Nevada
    
37
      
6,997,957.07
      
0.88
      
8.419
      
347
      
77.55
      
618
  
Louisiana
    
50
      
6,319,274.29
      
0.79
      
9.551
      
346
      
79.77
      
594
  
Minnesota
    
39
      
5,827,338.21
      
0.73
      
9.264
      
320
      
77.96
      
647
  
Colorado
    
35
      
5,717,387.46
      
0.72
      
9.110
      
334
      
82.21
      
648
  
New Mexico
    
37
      
5,385,169.68
      
0.67
      
9.577
      
316
      
77.61
      
628
  
Michigan
    
60
      
5,250,635.98
      
0.66
      
9.991
      
353
      
80.11
      
606
  
New Hampshire
    
33
      
4,881,144.01
      
0.61
      
8.890
      
320
      
71.39
      
633
  
Vermont
    
31
      
4,615,695.99
      
0.58
      
9.656
      
310
      
75.14
      
643
  
Rhode Island
    
21
      
4,406,311.87
      
0.55
      
9.547
      
356
      
75.25
      
615
  
Oregon
    
22
      
3,938,742.67
      
0.49
      
8.020
      
344
      
70.85
      
625
  
Maine
    
23
      
3,195,991.89
      
0.40
      
9.571
      
356
      
72.18
      
592
  
Tennessee
    
26
      
2,761,542.03
      
0.35
      
9.826
      
328
      
76.60
      
607
  
Indiana
    
22
      
2,673,450.91
      
0.33
      
10.326
      
358
      
81.02
      
607
  
Alabama
    
24
      
2,504,566.89
      
0.31
      
10.507
      
345
      
77.36
      
585
  
Wyoming
    
16
      
1,875,249.54
      
0.23
      
9.072
      
266
      
80.62
      
621
  
Oklahoma
    
13
      
1,662,796.43
      
0.21
      
9.305
      
334
      
86.79
      
622
  
Kentucky
    
10
      
862,652.40
      
0.11
      
9.889
      
337
      
70.79
      
611
  
Arkansas
    
4
      
754,389.54
      
0.09
      
9.492
      
359
      
70.34
      
666
  
Kansas
    
5
      
633,534.83
      
0.08
      
10.979
      
316
      
76.41
      
582
  
District of Columbia
    
3
      
433,000.00
      
0.05
      
9.393
      
360
      
34.16
      
567
  
Utah
    
1
      
255,790.74
      
0.03
      
10.390
      
358
      
80.00
      
614
  
Idaho
    
1
      
125,505.70
      
0.02
      
10.940
      
238
      
85.00
      
551
  
Nebraska
    
2
      
108,315.92
      
0.01
      
9.432
      
268
      
60.28
      
693
  
Total:
    
4,418
      
799,545,773.13
       100.00 %     9.097 %    
341
       76.77 %    
617
  



 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Original Prepayment Penalty Term (Months)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
None
    
1,652
      
286,011,209.50
       35.77 %     9.487 %    
340
       77.59 %    
613
  
12
    
716
      
194,338,407.93
      
24.31
      
8.662
      
350
      
76.07
      
617
  
18
    
1
      
230,493.41
      
0.03
      
10.840
      
346
      
100.00
      
628
  
24
    
45
      
6,839,899.44
      
0.86
      
9.668
      
347
      
80.70
      
607
  
30
    
43
      
8,561,680.94
      
1.07
      
9.615
      
336
      
80.61
      
612
  
36
    
1,961
      
303,564,081.91
      
37.97
      
8.979
      
336
      
76.23
      
621
  
Total:
    
4,418
      
799,545,773.13
       100.00 %     9.097 %    
341
       76.77 %    
617
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of Credit Scores
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
None
    
11
      
1,117,223.39
       0.14 %     10.035 %    
359
       71.21 %  
N/A
  
425 - 449
    
2
      
201,428.42
      
0.03
      
11.017
      
359
      
53.90
      
441
  
450 - 474
    
16
      
1,674,678.39
      
0.21
      
10.759
      
336
      
55.48
      
466
  
475 - 499
    
60
      
8,322,658.47
      
1.04
      
10.306
      
351
      
59.43
      
490
  
500 - 524
    
285
      
43,942,524.07
      
5.50
      
10.501
      
352
      
68.04
      
512
  
525 - 549
    
449
      
67,516,348.07
      
8.44
      
10.238
      
348
      
70.87
      
536
  
550 - 574
    
513
      
82,407,055.04
      
10.31
      
9.727
      
349
      
72.41
      
561
  
575 - 599
    
595
      
106,213,500.03
      
13.28
      
9.246
      
345
      
76.36
      
588
  
600 - 624
    
657
      
132,642,981.31
      
16.59
      
8.805
      
344
      
77.45
      
612
  
625 - 649
    
689
      
136,318,156.28
      
17.05
      
8.802
      
341
      
81.48
      
637
  
650 - 674
    
429
      
86,502,426.79
      
10.82
      
8.663
      
337
      
81.17
      
661
  
675 - 699
    
316
      
62,368,580.11
      
7.80
      
8.594
      
335
      
80.56
      
685
  
700+
    
396
      
70,318,212.77
      
8.79
      
8.060
      
312
      
77.17
      
747
  
Total:
    
4,418
      
799,545,773.13
       100.00 %     9.097 %    
341
       76.77 %    
617
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
  
# of
    
Principal
    
Curr
    
Gross
    
Term
    
Combined
    
W.A.
  
Lien Status
  
Mortgage Loans
    
Balance ($)
    
Prin Bal ($)
    
Coupon (%)
    
(Months)
    
Orig LTV (%)
    
FICO
  
First Lien
    
4,299
      
789,963,074.39
       98.80 %     9.077 %    
341
       76.79 %    
617
  
Second Lien
    
119
      
9,582,698.74
      
1.20
      
10.746
      
295
      
75.19
      
640
  
Total:
    
4,418
      
799,545,773.13
       100.00 %     9.097 %    
341
       76.77 %    
617
  
                                                         



 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
Initial Periodic Cap (%)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
3.000
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
Subsequent Periodic Cap (%)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
1.000
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
Next Rate Adjustment Date
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
5/1/2009
    
2
      
483,326.38
       1.57 %     10.610 %    
357
       80.16 %    
539
  
5/1/2010
    
25
      
4,463,338.67
      
14.45
      
9.220
      
357
      
84.42
      
628
  
6/1/2010
    
75
      
15,136,964.72
      
49.02
      
9.506
      
358
      
77.46
      
601
  
7/1/2010
    
65
      
10,048,381.73
      
32.54
      
9.948
      
359
      
74.69
      
584
  
8/1/2010
    
6
      
746,200.00
      
2.42
      
9.665
      
360
      
66.22
      
603
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  

 
GROUP 1 MORTGAGE LOANS
As of August 1, 2007

     
Minimum
Maximum
Scheduled Principal Balance
30,878,211.49
  
50,006.84
649,174.96
Average Scheduled Principal Balance
178,486.77
      
Number of Mortgage Loans
173
      
         
Weighted Average Gross Coupon
9.630%
  
7.690%
11.920%
Non Zero Weighted Average FICO Score
599
  
428
747
Weighted Average Combined Original LTV
77.33%
  
19.57%
100.00%
         
Weighted Average Original Term
360 months
  
360 months
360 months
Weighted Average Stated Remaining Term
358 months
  
357 months
360 months
Weighted Average Seasoning
2 months
  
0 months
3 months
         
Weighted Average Gross Margin
5.576%
  
3.690%
7.590%
Weighted Average Minimum Interest Rate
9.630%
  
7.690%
11.920%
Weighted Average Maximum Interest Rate
16.630%
  
14.690%
18.920%
Weighted Average Initial Rate Cap
3.000%
  
3.000%
3.000%
Weighted Average Subsequent Rate Cap
1.000%
  
1.000%
1.000%
Weighted Average Months to Roll
34 months
  
21 months
36 months
         
Maturity Date
    
5/1/2037
8/1/2037
Maximum Zip Code Concentration
2.10%
  
33901
  
         
ARM
100.00%
  
Cash Out Refinance
64.94%
     
Debt Consolidation
16.79%
2/28 ARMs
1.57%
  
Purchase
11.15%
3/27 ARMs
98.43%
  
Rate/Term Refinance
7.12%
         
Not Interest Only
100.00%
  
Condominium
7.21%
     
Single Family
72.90%
No Prepay Penalty
50.41%
  
Two-to-Four Family
19.89%
Prepay Penalty: 12 months
8.02%
      
Prepay Penalty: 24 months
4.27%
  
Non-owner
21.94%
Prepay Penalty: 30 months
1.29%
  
Primary
78.06%
Prepay Penalty: 36 months
36.01%
      
         
First Lien
100.00%
  
Top 5 States:
  
     
Florida
23.73%
Full Income Verification
51.77%
  
New Jersey
14.44%
Limited Income Verification
11.11%
  
Maryland
6.22%
No Income Verification
29.76%
  
Illinois
5.39%
Stated Income
7.35%
  
Massachusetts
5.01%




 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of Debt-to-Income Ratios (%)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
0.01 - 20.00
    
7
      
1,574,538.49
       5.10 %     8.838 %    
358
       85.56 %    
617
  
20.01 - 25.00
    
7
      
620,800.83
      
2.01
      
9.591
      
359
      
71.39
      
614
  
25.01 - 30.00
    
15
      
2,121,011.48
      
6.87
      
9.843
      
358
      
71.65
      
591
  
30.01 - 35.00
    
15
      
2,111,791.57
      
6.84
      
9.556
      
358
      
70.17
      
620
  
35.01 - 40.00
    
20
      
3,687,274.96
      
11.94
      
9.641
      
358
      
77.19
      
598
  
40.01 - 45.00
    
35
      
7,341,544.12
      
23.78
      
9.686
      
358
      
80.62
      
615
  
45.01 - 50.00
    
45
      
7,959,432.01
      
25.78
      
9.659
      
358
      
77.43
      
581
  
50.01 - 55.00
    
29
      
5,461,818.03
      
17.69
      
9.682
      
358
      
76.15
      
591
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of Original Principal Balances ($)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
50,000.01 - 100,000.00
    
45
      
3,332,659.09
       10.79 %     10.217 %    
358
       73.76 %    
572
  
100,000.01 - 150,000.00
    
44
      
5,586,903.09
      
18.09
      
9.867
      
358
      
73.54
      
591
  
150,000.01 - 200,000.00
    
33
      
5,673,967.45
      
18.38
      
9.708
      
358
      
76.77
      
578
  
200,000.01 - 250,000.00
    
15
      
3,364,825.69
      
10.90
      
9.637
      
359
      
76.53
      
583
  
250,000.01 - 300,000.00
    
16
      
4,494,223.42
      
14.55
      
9.577
      
358
      
77.28
      
612
  
300,000.01 - 350,000.00
    
5
      
1,626,455.92
      
5.27
      
9.445
      
358
      
77.41
      
617
  
350,000.01 - 400,000.00
    
6
      
2,277,374.22
      
7.38
      
9.355
      
358
      
84.83
      
633
  
400,000.01 - 450,000.00
    
3
      
1,243,469.15
      
4.03
      
9.807
      
358
      
93.36
      
676
  
450,000.01 - 500,000.00
    
3
      
1,429,639.44
      
4.63
      
8.819
      
358
      
76.44
      
627
  
550,000.01 - 600,000.00
    
1
      
559,652.99
      
1.81
      
8.390
      
359
      
82.35
      
611
  
600,000.01 - 650,000.00
    
2
      
1,289,041.04
      
4.17
      
8.886
      
358
      
77.82
      
584
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of Current Principal Balances ($)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
50,000.01 - 100,000.00
    
45
      
3,332,659.09
       10.79 %     10.217 %    
358
       73.76 %    
572
  
100,000.01 - 150,000.00
    
44
      
5,586,903.09
      
18.09
      
9.867
      
358
      
73.54
      
591
  
150,000.01 - 200,000.00
    
33
      
5,673,967.45
      
18.38
      
9.708
      
358
      
76.77
      
578
  
200,000.01 - 250,000.00
    
15
      
3,364,825.69
      
10.90
      
9.637
      
359
      
76.53
      
583
  
250,000.01 - 300,000.00
    
16
      
4,494,223.42
      
14.55
      
9.577
      
358
      
77.28
      
612
  
300,000.01 - 350,000.00
    
5
      
1,626,455.92
      
5.27
      
9.445
      
358
      
77.41
      
617
  
350,000.01 - 400,000.00
    
6
      
2,277,374.22
      
7.38
      
9.355
      
358
      
84.83
      
633
  
400,000.01 - 450,000.00
    
3
      
1,243,469.15
      
4.03
      
9.807
      
358
      
93.36
      
676
  
450,000.01 - 500,000.00
    
3
      
1,429,639.44
      
4.63
      
8.819
      
358
      
76.44
      
627
  
550,000.01 - 600,000.00
    
1
      
559,652.99
      
1.81
      
8.390
      
359
      
82.35
      
611
  
600,000.01 - 650,000.00
    
2
      
1,289,041.04
      
4.17
      
8.886
      
358
      
77.82
      
584
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  

 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of Current Loan Rates (%)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
7.500 – 7.999
    
3
      
410,458.69
       1.33 %     7.844 %    
357
       78.39 %    
604
  
8.000 – 8.499
    
10
      
3,131,817.41
      
10.14
      
8.368
      
358
      
78.05
      
612
  
8.500 – 8.999
    
24
      
5,759,698.35
      
18.65
      
8.844
      
358
      
82.23
      
646
  
9.000 – 9.499
    
29
      
5,551,837.70
      
17.98
      
9.354
      
358
      
78.29
      
613
  
9.500 – 9.999
    
38
      
6,496,903.17
      
21.04
      
9.778
      
358
      
77.16
      
602
  
10.000 – 10.499
    
29
      
4,760,777.20
      
15.42
      
10.283
      
358
      
75.73
      
571
  
10.500 – 10.999
    
23
      
2,664,361.63
      
8.63
      
10.801
      
358
      
74.56
      
545
  
11.000 – 11.499
    
15
      
1,855,430.48
      
6.01
      
11.250
      
359
      
68.16
      
532
  
11.500 – 11.999
    
2
      
246,926.86
      
0.80
      
11.846
      
359
      
65.00
      
512
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of Original Term to Stated Maturity (Months)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
301 – 360
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of Remaining Term to Stated Maturity (Months)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
301 – 360
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Months Since Origination
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
0
    
6
      
746,200.00
       2.42 %     9.665 %    
360
       66.22 %    
603
  
1
    
65
      
10,048,381.73
      
32.54
      
9.948
      
359
      
74.69
      
584
  
2
    
75
      
15,136,964.72
      
49.02
      
9.506
      
358
      
77.46
      
601
  
3
    
27
      
4,946,665.05
      
16.02
      
9.356
      
357
      
84.00
      
619
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  


 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of Gross Margins (%)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
3.500 - 3.999
    
4
      
592,837.23
       1.92 %     7.904 %    
358
       80.39 %    
603
  
4.000 - 4.499
    
11
      
3,517,784.35
      
11.39
      
8.457
      
358
      
78.78
      
616
  
4.500 - 4.999
    
21
      
4,727,623.16
      
15.31
      
8.862
      
358
      
82.15
      
647
  
5.000 - 5.499
    
35
      
6,457,100.09
      
20.91
      
9.387
      
358
      
77.01
      
615
  
5.500 - 5.999
    
37
      
6,409,245.25
      
20.76
      
9.883
      
358
      
76.50
      
593
  
6.000 - 6.499
    
30
      
4,623,563.33
      
14.97
      
10.370
      
358
      
75.75
      
566
  
6.500 - 6.999
    
21
      
2,823,310.56
      
9.14
      
10.539
      
358
      
77.08
      
560
  
7.000 - 7.499
    
13
      
1,661,767.66
      
5.38
      
11.193
      
359
      
69.31
      
535
  
7.500 - 7.999
    
1
      
64,979.86
      
0.21
      
11.640
      
359
      
65.00
      
525
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of Minimum Interest Rates (%)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
7.500 - 7.999
    
3
      
410,458.69
       1.33 %     7.844 %    
357
       78.39 %    
604
  
8.000 - 8.499
    
10
      
3,131,817.41
      
10.14
      
8.368
      
358
      
78.05
      
612
  
8.500 - 8.999
    
24
      
5,759,698.35
      
18.65
      
8.844
      
358
      
82.23
      
646
  
9.000 - 9.499
    
29
      
5,551,837.70
      
17.98
      
9.354
      
358
      
78.29
      
613
  
9.500 - 9.999
    
38
      
6,496,903.17
      
21.04
      
9.778
      
358
      
77.16
      
602
  
10.000 - 10.499
    
29
      
4,760,777.20
      
15.42
      
10.283
      
358
      
75.73
      
571
  
10.500 - 10.999
    
23
      
2,664,361.63
      
8.63
      
10.801
      
358
      
74.56
      
545
  
11.000 - 11.499
    
15
      
1,855,430.48
      
6.01
      
11.250
      
359
      
68.16
      
532
  
11.500 - 11.999
    
2
      
246,926.86
      
0.80
      
11.846
      
359
      
65.00
      
512
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
Maximum Interest Rates (%)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
14.500 - 14.999
    
3
      
410,458.69
       1.33 %     7.844 %    
357
       78.39 %    
604
  
15.000 - 15.499
    
10
      
3,131,817.41
      
10.14
      
8.368
      
358
      
78.05
      
612
  
15.500 - 15.999
    
24
      
5,759,698.35
      
18.65
      
8.844
      
358
      
82.23
      
646
  
16.000 - 16.499
    
29
      
5,551,837.70
      
17.98
      
9.354
      
358
      
78.29
      
613
  
16.500 - 16.999
    
38
      
6,496,903.17
      
21.04
      
9.778
      
358
      
77.16
      
602
  
17.000 - 17.499
    
29
      
4,760,777.20
      
15.42
      
10.283
      
358
      
75.73
      
571
  
17.500 - 17.999
    
23
      
2,664,361.63
      
8.63
      
10.801
      
358
      
74.56
      
545
  
18.000 - 18.499
    
15
      
1,855,430.48
      
6.01
      
11.250
      
359
      
68.16
      
532
  
18.500 - 18.999
    
2
      
246,926.86
      
0.80
      
11.846
      
359
      
65.00
      
512
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  


 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of Original Combined Loan-To-Value (%)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
0.01 - 49.99
    
9
      
1,144,106.84
       3.71 %     10.057 %    
359
       39.26 %    
552
  
50.00 – 54.99
    
5
      
738,449.73
      
2.39
      
10.104
      
358
      
51.38
      
522
  
55.00 – 59.99
    
4
      
755,407.99
      
2.45
      
9.973
      
358
      
56.69
      
561
  
60.00 – 64.99
    
3
      
515,748.76
      
1.67
      
9.279
      
358
      
61.09
      
571
  
65.00 – 69.99
    
16
      
2,276,230.54
      
7.37
      
10.050
      
358
      
66.30
      
559
  
70.00 – 74.99
    
20
      
3,640,738.59
      
11.79
      
9.855
      
358
      
71.17
      
572
  
75.00 – 79.99
    
26
      
3,773,354.34
      
12.22
      
9.886
      
358
      
75.23
      
571
  
80.00 – 84.99
    
48
      
9,170,709.38
      
29.70
      
9.382
      
358
      
80.34
      
616
  
85.00 – 89.99
    
12
      
2,969,309.68
      
9.62
      
9.333
      
358
      
85.12
      
610
  
90.00 – 94.99
    
20
      
3,917,443.05
      
12.69
      
9.370
      
358
      
90.37
      
642
  
95.00 – 99.99
    
5
      
868,878.20
      
2.81
      
10.119
      
358
      
95.00
      
629
  
100.00
    
5
      
1,107,834.41
      
3.59
      
9.705
      
358
      
100.00
      
651
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
  
# of
    
Principal
    
Curr
    
Gross
    
Term
    
Combined
    
W.A.
  
Occupancy Type
  
Mortgage Loans
    
Balance ($)
    
Prin Bal ($)
    
Coupon (%)
    
(Months)
    
Orig LTV (%)
    
FICO
  
Primary
    
135
      
24,103,537.75
       78.06 %     9.679 %    
358
       77.25 %    
587
  
Non-owner
    
38
      
6,774,673.74
      
21.94
      
9.453
      
358
      
77.64
      
640
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
  
# of
    
Principal
    
Curr
    
Gross
    
Term
    
Combined
    
W.A.
  
Property Type
  
Mortgage Loans
    
Balance ($)
    
Prin Bal ($)
    
Coupon (%)
    
(Months)
    
Orig LTV (%)
    
FICO
  
Single Family
    
137
      
22,510,536.98
       72.90 %     9.645 %    
358
       78.03 %    
595
  
Two-to-Four Family
    
26
      
6,141,230.22
      
19.89
      
9.492
      
358
      
76.46
      
623
  
Condominium
    
10
      
2,226,444.29
      
7.21
      
9.861
      
358
      
72.76
      
572
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
  
# of
    
Principal
    
Curr
    
Gross
    
Term
    
Combined
    
W.A.
  
Loan Purpose
  
Mortgage Loans
    
Balance ($)
    
Prin Bal ($)
    
Coupon (%)
    
(Months)
    
Orig LTV (%)
    
FICO
  
Cash Out Refinance
    
117
      
20,052,652.61
       64.94 %     9.699 %    
358
       75.40 %    
587
  
Debt Consolidation
    
25
      
5,184,650.47
      
16.79
      
9.298
      
358
      
80.63
      
627
  
Purchase
    
21
      
3,442,476.72
      
11.15
      
9.788
      
358
      
83.93
      
616
  
Rate/Term Refinance
    
10
      
2,198,431.68
      
7.12
      
9.535
      
358
      
76.90
      
615
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  



 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
  
# of
    
Principal
    
Curr
    
Gross
    
Term
    
Combined
    
W.A.
  
Documentation Program
  
Mortgage Loans
    
Balance ($)
    
Prin Bal ($)
    
Coupon (%)
    
(Months)
    
Orig LTV (%)
    
FICO
  
Full Income Verification
    
103
      
15,986,708.07
       51.77 %     9.694 %    
358
       78.88 %    
577
  
No Income Verification
    
40
      
9,190,607.70
      
29.76
      
9.565
      
358
      
76.39
      
629
  
Limited Income Verification
    
19
      
3,431,418.97
      
11.11
      
9.679
      
358
      
73.11
      
594
  
Stated Income
    
11
      
2,269,476.74
      
7.35
      
9.366
      
358
      
76.66
      
634
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
  
# of
    
Principal
    
Curr
    
Gross
    
Term
    
Combined
    
W.A.
  
Loan Type
  
Mortgage Loans
    
Balance ($)
    
Prin Bal ($)
    
Coupon (%)
    
(Months)
    
Orig LTV (%)
    
FICO
  
2/28 ARM
    
2
      
483,326.38
       1.57 %     10.610 %    
357
       80.16 %    
539
  
3/27 ARM
    
171
      
30,394,885.11
      
98.43
      
9.614
      
358
      
77.29
      
600
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  



 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
  
# of
    
Principal
    
Curr
    
Gross
    
Term
    
Combined
    
W.A.
  
States
  
Mortgage Loans
    
Balance ($)
    
Prin Bal ($)
    
Coupon (%)
    
(Months)
    
Orig LTV (%)
    
FICO
  
Florida
    
36
      
7,328,602.07
       23.73 %     9.321 %    
358
       76.85 %    
596
  
New Jersey
    
17
      
4,458,609.20
      
14.44
      
9.809
      
358
      
75.67
      
596
  
Maryland
    
11
      
1,919,149.19
      
6.22
      
9.443
      
359
      
78.94
      
584
  
Illinois
    
11
      
1,663,093.34
      
5.39
      
9.659
      
358
      
85.20
      
646
  
Massachusetts
    
5
      
1,545,884.51
      
5.01
      
9.100
      
358
      
80.00
      
644
  
Connecticut
    
8
      
1,493,123.08
      
4.84
      
9.731
      
359
      
67.18
      
586
  
Virginia
    
9
      
1,306,468.87
      
4.23
      
9.353
      
358
      
70.59
      
589
  
New York
    
4
      
1,248,985.40
      
4.04
      
9.112
      
358
      
74.55
      
645
  
Wisconsin
    
10
      
1,207,682.18
      
3.91
      
10.229
      
358
      
81.80
      
576
  
Maine
    
5
      
1,103,506.97
      
3.57
      
9.760
      
358
      
70.34
      
609
  
Texas
    
7
      
935,167.58
      
3.03
      
11.003
      
358
      
77.75
      
568
  
Pennsylvania
    
8
      
869,501.05
      
2.82
      
9.590
      
358
      
72.77
      
546
  
Rhode Island
    
3
      
813,711.37
      
2.64
      
9.468
      
357
      
80.04
      
618
  
Louisiana
    
5
      
685,870.72
      
2.22
      
9.910
      
358
      
81.93
      
563
  
Delaware
    
2
      
655,892.72
      
2.12
      
8.906
      
357
      
90.00
      
646
  
North Carolina
    
4
      
587,657.51
      
1.90
      
10.505
      
358
      
85.17
      
578
  
Georgia
    
3
      
520,628.94
      
1.69
      
10.211
      
359
      
75.66
      
552
  
Ohio
    
5
      
436,080.04
      
1.41
      
10.044
      
358
      
85.78
      
619
  
Michigan
    
6
      
401,613.02
      
1.30
      
10.043
      
359
      
73.61
      
567
  
New Hampshire
    
2
      
330,541.12
      
1.07
      
9.685
      
359
      
75.00
      
596
  
Indiana
    
3
      
239,806.33
      
0.78
      
10.085
      
358
      
80.00
      
593
  
Vermont
    
1
      
231,202.80
      
0.75
      
10.240
      
359
      
90.00
      
653
  
South Carolina
    
2
      
175,390.53
      
0.57
      
10.294
      
358
      
62.95
      
566
  
California
    
1
      
167,006.50
      
0.54
      
8.740
      
358
      
95.00
      
651
  
New Mexico
    
1
      
162,322.44
      
0.53
      
9.640
      
359
      
80.00
      
580
  
Alabama
    
2
      
147,875.16
      
0.48
      
10.686
      
358
      
87.70
      
574
  
Arizona
    
1
      
147,875.07
      
0.48
      
10.240
      
358
      
80.00
      
532
  
Missouri
    
1
      
94,963.76
      
0.31
      
10.690
      
359
      
65.52
      
540
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Original Prepayment Penalty Term (Months)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
None
    
80
      
15,566,332.17
       50.41 %     9.731 %    
358
       78.66 %    
601
  
12
    
10
      
2,475,888.85
      
8.02
      
9.496
      
358
      
73.83
      
598
  
24
    
8
      
1,318,345.40
      
4.27
      
9.934
      
357
      
82.59
      
591
  
30
    
2
      
398,463.28
      
1.29
      
10.536
      
358
      
81.26
      
569
  
36
    
73
      
11,119,181.79
      
36.01
      
9.449
      
358
      
75.49
      
598
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  


 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of Credit Scores
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
None
    
1
      
183,924.32
       0.60 %     10.340 %    
359
       80.00 %  
N/A
  
425 – 449
    
1
      
72,474.51
      
0.23
      
11.065
      
359
      
50.00
      
428
  
475 – 499
    
1
      
167,915.43
      
0.54
      
9.390
      
359
      
44.80
      
492
  
500 – 524
    
25
      
4,060,227.16
      
13.15
      
10.679
      
358
      
67.68
      
514
  
525 – 549
    
23
      
3,268,832.20
      
10.59
      
10.375
      
358
      
73.76
      
536
  
550 – 574
    
21
      
3,173,747.51
      
10.28
      
9.707
      
358
      
72.73
      
561
  
575 – 599
    
25
      
4,232,332.43
      
13.71
      
9.111
      
358
      
76.53
      
587
  
600 – 624
    
24
      
4,650,704.84
      
15.06
      
9.085
      
358
      
74.62
      
612
  
625 – 649
    
28
      
5,789,512.28
      
18.75
      
9.555
      
358
      
85.93
      
641
  
650 – 674
    
12
      
2,341,538.00
      
7.58
      
9.410
      
358
      
86.07
      
660
  
675 – 699
    
9
      
2,122,330.87
      
6.87
      
9.182
      
358
      
83.97
      
686
  
700+
    
3
      
814,671.94
      
2.64
      
9.008
      
358
      
82.49
      
736
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
  
# of
    
Principal
    
Curr
    
Gross
    
Term
    
Combined
    
W.A.
  
Lien Status
  
Mortgage Loans
    
Balance ($)
    
Prin Bal ($)
    
Coupon (%)
    
(Months)
    
Orig LTV (%)
    
FICO
  
First Lien
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Initial Periodic Cap (%)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
3.000
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Subsequent Periodic Cap (%)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
1.000
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  



 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
Next Rate Adjustment Date
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
5/1/2009
    
2
      
483,326.38
       1.57 %     10.610 %    
357
       80.16 %    
539
  
5/1/2010
    
25
      
4,463,338.67
      
14.45
      
9.220
      
357
      
84.42
      
628
  
6/1/2010
    
75
      
15,136,964.72
      
49.02
      
9.506
      
358
      
77.46
      
601
  
7/1/2010
    
65
      
10,048,381.73
      
32.54
      
9.948
      
359
      
74.69
      
584
  
8/1/2010
    
6
      
746,200.00
      
2.42
      
9.665
      
360
      
66.22
      
603
  
Total:
    
173
      
30,878,211.49
       100.00 %     9.630 %    
358
       77.33 %    
599
  

 
GROUP 2 MORTGAGE LOANS
As of August 1, 2007

     
Minimum
Maximum
Scheduled Principal Balance
768,667,561.64
  
22,000.00
989,334.38
Average Scheduled Principal Balance
181,075.99
      
Number of Mortgage Loans
4,245
      
         
Weighted Average Gross Coupon
9.075%
  
6.240%
13.490%
Non Zero Weighted Average FICO Score
618
  
449
877
Weighted Average Combined Original LTV
76.75%
  
9.43%
100.00%
         
Weighted Average Original Term
342 months
  
60 months
360 months
Weighted Average Stated Remaining Term
340 months
  
58 months
360 months
Weighted Average Seasoning
2 months
  
0 months
4 months
         
Maturity Date
    
6/1/2012
8/1/2037
Maximum Zip Code Concentration
0.87%
  
11236
  
         
Fixed Rate
100.00%
  
Cash Out Refinance
52.33%
     
Debt Consolidation
35.84%
Fixed Rate
53.21%
  
Purchase
2.52%
Stepped Fixed Rate
46.79%
  
Rate/Term Refinance
9.31%
         
Not Interest Only
100.00%
  
Condominium
2.81%
     
Five-to-Eight Family
0.75%
No Prepay Penalty
35.18%
  
Mixed-Use
0.90%
Prepay Penalty: 12 months
24.96%
  
Single Family
78.58%
Prepay Penalty: 18 months
0.03%
  
Two-to-Four Family
16.96%
Prepay Penalty: 24 months
0.72%
      
Prepay Penalty: 30 months
1.06%
  
Non-owner
5.65%
Prepay Penalty: 36 months
38.05%
  
Primary
94.35%
         
First Lien
98.75%
  
Top 5 States:
  
Second Lien
1.25%
  
New York
21.96%
     
Florida
11.31%
Full Income Verification
70.90%
  
Illinois
8.02%
Limited Income Verification
8.13%
  
New Jersey
7.58%
No Income Verification
17.14%
  
Pennsylvania
5.79%
Stated Income
3.83%
      




 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of Debt-to-Income Ratios (%)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
N/A
    
3
      
736,419.72
       0.10 %     7.282 %    
358
       51.10 %    
679
  
0.01 - 20.00
    
128
      
21,113,672.61
      
2.75
      
9.148
      
337
      
69.02
      
635
  
20.01 - 25.00
    
189
      
23,859,442.82
      
3.10
      
9.082
      
330
      
72.49
      
621
  
25.01 - 30.00
    
309
      
43,667,164.16
      
5.68
      
9.048
      
323
      
72.00
      
622
  
30.01 - 35.00
    
456
      
74,645,789.40
      
9.71
      
9.048
      
333
      
73.24
      
622
  
35.01 - 40.00
    
550
      
93,887,475.23
      
12.21
      
9.116
      
340
      
76.27
      
617
  
40.01 - 45.00
    
633
      
119,703,989.85
      
15.57
      
9.128
      
339
      
77.71
      
620
  
45.01 - 50.00
    
1,171
      
227,345,100.93
      
29.58
      
9.164
      
343
      
81.94
      
621
  
50.01 - 55.00
    
806
      
163,708,506.93
      
21.30
      
8.908
      
345
      
73.72
      
608
  
Total:
    
4,245
      
768,667,561.64
       100.00 %     9.075 %    
340
       76.75 %    
618
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of Original Principal Balances ($)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
0.01 - 50,000.00
    
114
      
5,508,294.30
       0.72 %     10.475 %    
303
       58.75 %    
605
  
50,000.01 - 100,000.00
    
1,138
      
87,014,181.69
      
11.32
      
9.736
      
316
      
68.63
      
608
  
100,000.01 - 150,000.00
    
1,047
      
131,236,101.84
      
17.07
      
9.398
      
326
      
73.69
      
610
  
150,000.01 - 200,000.00
    
623
      
108,184,089.69
      
14.07
      
9.192
      
338
      
74.80
      
612
  
200,000.01 - 250,000.00
    
409
      
91,596,618.62
      
11.92
      
9.071
      
344
      
77.46
      
621
  
250,000.01 - 300,000.00
    
274
      
75,367,942.70
      
9.81
      
8.822
      
348
      
76.96
      
623
  
300,000.01 - 350,000.00
    
191
      
62,002,597.48
      
8.07
      
8.912
      
351
      
79.14
      
624
  
350,000.01 - 400,000.00
    
142
      
52,879,172.09
      
6.88
      
8.832
      
353
      
79.83
      
622
  
400,000.01 - 450,000.00
    
98
      
41,965,738.74
      
5.46
      
8.725
      
353
      
81.96
      
627
  
450,000.01 - 500,000.00
    
94
      
44,983,463.87
      
5.85
      
8.702
      
349
      
82.42
      
620
  
500,000.01 - 550,000.00
    
46
      
24,082,331.10
      
3.13
      
8.368
      
354
      
85.17
      
628
  
550,000.01 - 600,000.00
    
31
      
17,795,382.45
      
2.32
      
8.292
      
357
      
84.04
      
641
  
600,000.01 - 650,000.00
    
19
      
11,945,088.99
      
1.55
      
8.820
      
355
      
87.24
      
637
  
650,000.01 - 700,000.00
    
8
      
5,466,785.86
      
0.71
      
8.494
      
358
      
87.79
      
628
  
700,000.01 - 750,000.00
    
7
      
5,087,960.23
      
0.66
      
7.741
      
358
      
84.85
      
634
  
750,000.01 - 800,000.00
    
1
      
783,796.57
      
0.10
      
8.340
      
359
      
80.00
      
606
  
800,000.01 - 850,000.00
    
1
      
849,825.84
      
0.11
      
9.140
      
359
      
72.65
      
596
  
900,000.01 - 950,000.00
    
1
      
928,855.21
      
0.12
      
8.440
      
358
      
79.97
      
625
  
950,000.01 - 1,000,000.00
    
1
      
989,334.38
      
0.13
      
7.990
      
359
      
68.75
      
604
  
Total:
    
4,245
      
768,667,561.64
       100.00 %     9.075 %    
340
       76.75 %    
618
  



 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of Current Principal Balances ($)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
0.01 - 50,000.00
    
115
      
5,556,991.05
       0.72 %     10.457 %    
301
       58.64 %    
605
  
50,000.01 - 100,000.00
    
1,138
      
87,065,211.74
      
11.33
      
9.735
      
316
      
68.65
      
608
  
100,000.01 - 150,000.00
    
1,048
      
131,435,876.67
      
17.10
      
9.397
      
326
      
73.68
      
610
  
150,000.01 - 200,000.00
    
621
      
107,884,588.07
      
14.04
      
9.193
      
338
      
74.80
      
612
  
200,000.01 - 250,000.00
    
410
      
91,846,246.70
      
11.95
      
9.066
      
344
      
77.44
      
621
  
250,000.01 - 300,000.00
    
273
      
75,118,314.61
      
9.77
      
8.829
      
348
      
76.98
      
623
  
300,000.01 - 350,000.00
    
191
      
62,002,597.48
      
8.07
      
8.912
      
351
      
79.14
      
624
  
350,000.01 - 400,000.00
    
142
      
52,879,172.09
      
6.88
      
8.832
      
353
      
79.83
      
622
  
400,000.01 - 450,000.00
    
98
      
41,965,738.74
      
5.46
      
8.725
      
353
      
81.96
      
627
  
450,000.01 - 500,000.00
    
94
      
44,983,463.87
      
5.85
      
8.702
      
349
      
82.42
      
620
  
500,000.01 - 550,000.00
    
46
      
24,082,331.10
      
3.13
      
8.368
      
354
      
85.17
      
628
  
550,000.01 - 600,000.00
    
31
      
17,795,382.45
      
2.32
      
8.292
      
357
      
84.04
      
641
  
600,000.01 - 650,000.00
    
19
      
11,945,088.99
      
1.55
      
8.820
      
355
      
87.24
      
637
  
650,000.01 - 700,000.00
    
8
      
5,466,785.86
      
0.71
      
8.494
      
358
      
87.79
      
628
  
700,000.01 - 750,000.00
    
7
      
5,087,960.23
      
0.66
      
7.741
      
358
      
84.85
      
634
  
750,000.01 - 800,000.00
    
1
      
783,796.57
      
0.10
      
8.340
      
359
      
80.00
      
606
  
800,000.01 - 850,000.00
    
1
      
849,825.84
      
0.11
      
9.140
      
359
      
72.65
      
596
  
900,000.01 - 950,000.00
    
1
      
928,855.21
      
0.12
      
8.440
      
358
      
79.97
      
625
  
950,000.01 - 1,000,000.00
    
1
      
989,334.38
      
0.13
      
7.990
      
359
      
68.75
      
604
  
Total:
    
4,245
      
768,667,561.64
       100.00 %     9.075 %    
340
       76.75 %    
618
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of Current Loan Rates (%)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
6.000 - 6.499
    
55
      
11,945,210.64
       1.55 %     6.397 %    
330
       66.52 %    
696
  
6.500 - 6.999
    
214
      
48,807,983.06
      
6.35
      
6.807
      
328
      
68.31
      
677
  
7.000 - 7.499
    
194
      
43,853,499.76
      
5.71
      
7.314
      
333
      
73.45
      
647
  
7.500 - 7.999
    
444
      
91,044,312.70
      
11.84
      
7.805
      
328
      
73.39
      
651
  
8.000 - 8.499
    
342
      
72,493,939.25
      
9.43
      
8.302
      
342
      
76.30
      
627
  
8.500 - 8.999
    
552
      
112,916,813.22
      
14.69
      
8.808
      
343
      
79.81
      
626
  
9.000 - 9.499
    
417
      
82,406,542.03
      
10.72
      
9.290
      
345
      
81.28
      
617
  
9.500 - 9.999
    
684
      
118,749,961.51
      
15.45
      
9.799
      
342
      
81.00
      
604
  
10.000 - 10.499
    
455
      
74,645,972.71
      
9.71
      
10.281
      
347
      
76.88
      
581
  
10.500 - 10.999
    
438
      
63,837,183.22
      
8.30
      
10.766
      
345
      
77.16
      
580
  
11.000 - 11.499
    
198
      
23,168,430.39
      
3.01
      
11.245
      
348
      
73.23
      
567
  
11.500 - 11.999
    
182
      
18,556,236.41
      
2.41
      
11.758
      
344
      
70.70
      
556
  
12.000 - 12.499
    
53
      
5,164,940.17
      
0.67
      
12.202
      
346
      
67.83
      
561
  
12.500 - 12.999
    
11
      
706,275.47
      
0.09
      
12.767
      
331
      
74.41
      
597
  
13.000 - 13.499
    
6
      
370,261.09
      
0.05
      
13.243
      
294
      
74.31
      
585
  
Total:
    
4,245
      
768,667,561.64
       100.00 %     9.075 %    
340
       76.75 %    
618
  



 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of Original Term to Stated Maturity (Months)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
1-60
    
7
      
406,125.11
       0.05 %     8.398 %    
59
       41.85 %    
689
  
61 – 120
    
58
      
5,106,964.57
      
0.66
      
8.368
      
107
      
59.87
      
673
  
121 – 180
    
315
      
36,633,732.67
      
4.77
      
8.385
      
168
      
70.09
      
655
  
181 – 240
    
149
      
18,095,889.94
      
2.35
      
9.399
      
227
      
75.82
      
634
  
241 – 300
    
164
      
25,137,954.82
      
3.27
      
9.106
      
277
      
78.13
      
643
  
301 – 360
    
3,552
      
683,286,894.53
      
88.89
      
9.109
      
357
      
77.23
      
614
  
Total:
    
4,245
      
768,667,561.64
       100.00 %     9.075 %    
340
       76.75 %    
618
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of Remaining Term to Stated Maturity (Months)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
1-60
    
7
      
406,125.11
       0.05 %     8.398 %    
59
       41.85 %    
689
  
61 – 120
    
58
      
5,106,964.57
      
0.66
      
8.368
      
107
      
59.87
      
673
  
121 – 180
    
315
      
36,633,732.67
      
4.77
      
8.385
      
168
      
70.09
      
655
  
181 – 240
    
149
      
18,095,889.94
      
2.35
      
9.399
      
227
      
75.82
      
634
  
241 – 300
    
164
      
25,137,954.82
      
3.27
      
9.106
      
277
      
78.13
      
643
  
301 – 360
    
3,552
      
683,286,894.53
      
88.89
      
9.109
      
357
      
77.23
      
614
  
Total:
    
4,245
      
768,667,561.64
       100.00 %     9.075 %    
340
       76.75 %    
618
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
  
# of
    
Principal
    
Curr
    
Gross
    
Term
    
Combined
    
W.A.
  
Months Since Origination
  
Mortgage Loans
    
Balance ($)
    
Prin Bal ($)
    
Coupon (%)
    
(Months)
    
Orig LTV (%)
    
FICO
  
0
    
374
      
51,179,659.70
       6.66 %     8.983 %    
317
       62.85 %    
636
  
1
    
1,747
      
304,285,002.84
      
39.59
      
9.211
      
340
      
75.18
      
615
  
2
    
1,794
      
341,935,592.03
      
44.48
      
8.946
      
342
      
77.62
      
617
  
3
    
327
      
70,541,937.96
      
9.18
      
9.182
      
346
      
89.35
      
620
  
4
    
3
      
725,369.12
      
0.09
      
9.310
      
351
      
82.26
      
651
  
Total:
    
4,245
      
768,667,561.64
       100.00 %     9.075 %    
340
       76.75 %    
618
  



 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of Original Combined Loan-To-Value (%)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
0.01 - 49.99
    
405
      
49,345,919.87
       6.42 %     8.794 %    
322
       39.53 %    
626
  
50.00 - 54.99
    
198
      
29,259,718.07
      
3.81
      
8.749
      
328
      
52.61
      
611
  
55.00 - 59.99
    
213
      
30,141,866.80
      
3.92
      
8.938
      
333
      
57.44
      
600
  
60.00 - 64.99
    
298
      
45,249,177.21
      
5.89
      
8.972
      
332
      
62.06
      
602
  
65.00 - 69.99
    
350
      
62,271,490.32
      
8.10
      
8.831
      
338
      
66.79
      
607
  
70.00 - 74.99
    
409
      
75,694,877.33
      
9.85
      
9.171
      
345
      
71.54
      
598
  
75.00 - 79.99
    
470
      
83,332,779.80
      
10.84
      
9.099
      
342
      
76.18
      
604
  
80.00 - 84.99
    
630
      
116,687,867.60
      
15.18
      
8.959
      
342
      
80.63
      
606
  
85.00 - 89.99
    
346
      
71,673,917.99
      
9.32
      
9.012
      
345
      
85.92
      
620
  
90.00 - 94.99
    
377
      
77,934,614.56
      
10.14
      
9.151
      
347
      
90.82
      
637
  
95.00 - 99.99
    
281
      
66,115,525.31
      
8.60
      
9.424
      
346
      
95.33
      
638
  
100.00
    
268
      
60,959,806.79
      
7.93
      
9.526
      
339
      
100.00
      
666
  
Total:
    
4,245
      
768,667,561.64
       100.00 %     9.075 %    
340
       76.75 %    
618
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
  
# of
    
Principal
    
Curr
    
Gross
    
Term
    
Combined
    
W.A.
  
Occupancy Type
  
Mortgage Loans
    
Balance ($)
    
Prin Bal ($)
    
Coupon (%)
    
(Months)
    
Orig LTV (%)
    
FICO
  
Primary
    
4,011
      
725,240,739.07
       94.35 %     9.044 %    
340
       77.08 %    
616
  
Non-owner
    
234
      
43,426,822.57
      
5.65
      
9.598
      
349
      
71.21
      
645
  
Total:
    
4,245
      
768,667,561.64
       100.00 %     9.075 %    
340
       76.75 %    
618
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
  
# of
    
Principal
    
Curr
    
Gross
    
Term
    
Combined
    
W.A.
  
Property Type
  
Mortgage Loans
    
Balance ($)
    
Prin Bal ($)
    
Coupon (%)
    
(Months)
    
Orig LTV (%)
    
FICO
  
Single Family
    
3,629
      
603,990,501.00
       78.58 %     9.132 %    
337
       76.97 %    
617
  
Two-to-Four Family
    
443
      
130,400,278.39
      
16.96
      
8.691
      
355
      
76.47
      
616
  
Condominium
    
124
      
21,620,198.59
      
2.81
      
8.923
      
329
      
80.18
      
643
  
Mixed Use
    
28
      
6,918,656.48
      
0.90
      
10.598
      
355
      
63.07
      
641
  
Five-to-Eight Family
    
21
      
5,737,927.18
      
0.75
      
10.556
      
349
      
63.50
      
662
  
Total:
    
4,245
      
768,667,561.64
       100.00 %     9.075 %    
340
       76.75 %    
618
  



 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
  
# of
    
Principal
    
Curr
    
Gross
    
Term
    
Combined
    
W.A.
  
Loan Purpose
  
Mortgage Loans
    
Balance ($)
    
Prin Bal ($)
    
Coupon (%)
    
(Months)
    
Orig LTV (%)
    
FICO
  
Cash Out Refinance
    
2,302
      
402,275,500.94
       52.33 %     9.048 %    
342
       72.99 %    
615
  
Debt Consolidation
    
1,415
      
275,491,072.85
      
35.84
      
9.086
      
337
      
81.18
      
621
  
Rate/Term Refinance
    
417
      
71,539,357.83
      
9.31
      
8.999
      
340
      
80.05
      
625
  
Purchase
    
111
      
19,361,630.03
      
2.52
      
9.788
      
358
      
79.58
      
624
  
Total:
    
4,245
      
768,667,561.64
       100.00 %     9.075 %    
340
       76.75 %    
618
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
  
# of
    
Principal
    
Curr
    
Gross
    
Term
    
Combined
    
W.A.
  
Documentation Program
  
Mortgage Loans
    
Balance ($)
    
Prin Bal ($)
    
Coupon (%)
    
(Months)
    
Orig LTV (%)
    
FICO
  
Full Income Verification
    
3,227
      
545,022,077.40
       70.90 %     8.992 %    
337
       76.91 %    
615
  
No Income Verification
    
561
      
131,713,060.65
      
17.14
      
9.395
      
346
      
77.78
      
627
  
Limited Income Verification
    
317
      
62,509,912.02
      
8.13
      
9.168
      
352
      
74.37
      
615
  
Stated Income
    
140
      
29,422,511.57
      
3.83
      
8.990
      
353
      
74.23
      
643
  
Total:
    
4,245
      
768,667,561.64
       100.00 %     9.075 %    
340
       76.75 %    
618
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
  
# of
    
Principal
    
Curr
    
Gross
    
Term
    
Combined
    
W.A.
  
Loan Type
  
Mortgage Loans
    
Balance ($)
    
Prin Bal ($)
    
Coupon (%)
    
(Months)
    
Orig LTV (%)
    
FICO
  
Fixed Rate
    
4,245
      
768,667,561.64
       100.00 %     9.075 %    
340
       76.75 %    
618
  
Total:
    
4,245
      
768,667,561.64
       100.00 %     9.075 %    
340
       76.75 %    
618
  



 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
  
# of
    
Principal
    
Curr
    
Gross
    
Term
    
Combined
    
W.A.
  
States
  
Mortgage Loans
    
Balance ($)
    
Prin Bal ($)
    
Coupon (%)
    
(Months)
    
Orig LTV (%)
    
FICO
  
New York
    
582
      
168,774,467.20
       21.96 %     8.465 %    
350
       75.07 %    
622
  
Florida
    
512
      
86,951,820.44
      
11.31
      
9.120
      
341
      
74.86
      
612
  
Illinois
    
313
      
61,652,244.30
      
8.02
      
9.261
      
344
      
81.21
      
611
  
New Jersey
    
245
      
58,297,455.54
      
7.58
      
9.267
      
345
      
75.47
      
616
  
Pennsylvania
    
351
      
44,484,820.24
      
5.79
      
9.308
      
333
      
76.00
      
610
  
Maryland
    
227
      
42,921,325.08
      
5.58
      
8.971
      
346
      
74.78
      
611
  
Virginia
    
224
      
34,526,721.96
      
4.49
      
9.225
      
334
      
75.74
      
617
  
Georgia
    
200
      
28,526,173.95
      
3.71
      
9.750
      
323
      
83.63
      
629
  
North Carolina
    
200
      
26,263,851.77
      
3.42
      
9.918
      
326
      
81.56
      
622
  
California
    
88
      
24,711,868.12
      
3.21
      
8.632
      
342
      
75.31
      
633
  
Massachusetts
    
97
      
20,925,900.61
      
2.72
      
9.109
      
344
      
71.74
      
625
  
South Carolina
    
100
      
14,451,232.30
      
1.88
      
9.822
      
328
      
79.48
      
612
  
Arizona
    
85
      
14,417,505.14
      
1.88
      
8.351
      
338
      
77.75
      
636
  
Connecticut
    
65
      
13,668,290.46
      
1.78
      
8.992
      
348
      
73.82
      
613
  
Texas
    
103
      
12,930,897.43
      
1.68
      
9.424
      
323
      
75.29
      
587
  
Wisconsin
    
105
      
12,559,647.06
      
1.63
      
9.607
      
314
      
80.91
      
622
  
Washington
    
61
      
11,543,444.17
      
1.50
      
8.657
      
340
      
79.93
      
638
  
Ohio
    
91
      
9,346,278.92
      
1.22
      
10.043
      
335
      
82.07
      
608
  
Delaware
    
42
      
7,738,590.72
      
1.01
      
8.792
      
337
      
81.84
      
633
  
Nevada
    
37
      
6,997,957.07
      
0.91
      
8.419
      
347
      
77.55
      
618
  
Missouri
    
67
      
6,905,032.09
      
0.90
      
9.690
      
325
      
81.51
      
614
  
Minnesota
    
39
      
5,827,338.21
      
0.76
      
9.264
      
320
      
77.96
      
647
  
Colorado
    
35
      
5,717,387.46
      
0.74
      
9.110
      
334
      
82.21
      
648
  
Louisiana
    
45
      
5,633,403.57
      
0.73
      
9.507
      
345
      
79.51
      
598
  
New Mexico
    
36
      
5,222,847.24
      
0.68
      
9.575
      
314
      
77.54
      
629
  
Michigan
    
54
      
4,849,022.96
      
0.63
      
9.986
      
353
      
80.65
      
609
  
New Hampshire
    
31
      
4,550,602.89
      
0.59
      
8.832
      
317
      
71.12
      
636
  
Vermont
    
30
      
4,384,493.19
      
0.57
      
9.626
      
307
      
74.36
      
642
  
Oregon
    
22
      
3,938,742.67
      
0.51
      
8.020
      
344
      
70.85
      
625
  
Rhode Island
    
18
      
3,592,600.50
      
0.47
      
9.565
      
355
      
74.17
      
614
  
Tennessee
    
26
      
2,761,542.03
      
0.36
      
9.826
      
328
      
76.60
      
607
  
Indiana
    
19
      
2,433,644.59
      
0.32
      
10.350
      
358
      
81.13
      
608
  
Alabama
    
22
      
2,356,691.73
      
0.31
      
10.496
      
344
      
76.71
      
586
  
Maine
    
18
      
2,092,484.92
      
0.27
      
9.472
      
355
      
73.14
      
583
  
Wyoming
    
16
      
1,875,249.54
      
0.24
      
9.072
      
266
      
80.62
      
621
  
Oklahoma
    
13
      
1,662,796.43
      
0.22
      
9.305
      
334
      
86.79
      
622
  
Kentucky
    
10
      
862,652.40
      
0.11
      
9.889
      
337
      
70.79
      
611
  
Arkansas
    
4
      
754,389.54
      
0.10
      
9.492
      
359
      
70.34
      
666
  
Kansas
    
5
      
633,534.83
      
0.08
      
10.979
      
316
      
76.41
      
582
  
District of Columbia
    
3
      
433,000.00
      
0.06
      
9.393
      
360
      
34.16
      
567
  
Utah
    
1
      
255,790.74
      
0.03
      
10.390
      
358
      
80.00
      
614
  
Idaho
    
1
      
125,505.70
      
0.02
      
10.940
      
238
      
85.00
      
551
  
Nebraska
    
2
      
108,315.92
      
0.01
      
9.432
      
268
      
60.28
      
693
  
Total:
    
4,245
      
768,667,561.64
       100.00 %     9.075 %    
340
       76.75 %    
618
  



 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Original Prepayment Penalty Term (Months)
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
None
    
1,572
      
270,444,877.32
       35.18 %     9.472 %    
338
       77.53 %    
614
  
12
    
706
      
191,862,519.08
      
24.96
      
8.651
      
350
      
76.10
      
617
  
18
    
1
      
230,493.41
      
0.03
      
10.840
      
346
      
100.00
      
628
  
24
    
37
      
5,521,554.04
      
0.72
      
9.605
      
345
      
80.25
      
610
  
30
    
41
      
8,163,217.66
      
1.06
      
9.570
      
335
      
80.57
      
614
  
36
    
1,888
      
292,444,900.13
      
38.05
      
8.961
      
336
      
76.26
      
622
  
Total:
    
4,245
      
768,667,561.64
       100.00 %     9.075 %    
340
       76.75 %    
618
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
Range of Credit Scores
  
# of
Mortgage Loans
    
Principal
Balance ($)
    
Curr
Prin Bal ($)
    
Gross
Coupon (%)
    
Term
(Months)
    
Combined
Orig LTV (%)
    
W.A.
FICO
  
None
    
10
      
933,299.07
       0.12 %     9.975 %    
359
       69.48 %  
N/A
  
425 – 449
    
1
      
128,953.91
      
0.02
      
10.990
      
359
      
56.09
      
449
  
450 – 474
    
16
      
1,674,678.39
      
0.22
      
10.759
      
336
      
55.48
      
466
  
475 - 499
    
59
      
8,154,743.04
      
1.06
      
10.325
      
351
      
59.73
      
490
  
500 - 524
    
260
      
39,882,296.91
      
5.19
      
10.483
      
352
      
68.08
      
512
  
525 - 549
    
426
      
64,247,515.87
      
8.36
      
10.231
      
348
      
70.73
      
536
  
550 - 574
    
492
      
79,233,307.53
      
10.31
      
9.727
      
349
      
72.39
      
561
  
575 - 599
    
570
      
101,981,167.60
      
13.27
      
9.251
      
345
      
76.35
      
588
  
600 - 624
    
633
      
127,992,276.47
      
16.65
      
8.795
      
344
      
77.55
      
612
  
625 - 649
    
661
      
130,528,644.00
      
16.98
      
8.768
      
340
      
81.28
      
637
  
650 - 674
    
417
      
84,160,888.79
      
10.95
      
8.642
      
336
      
81.04
      
661
  
675 - 699
    
307
      
60,246,249.24
      
7.84
      
8.573
      
334
      
80.44
      
685
  
700+
    
393
      
69,503,540.82
      
9.04
      
8.049
      
311
      
77.11
      
747
  
Total:
    
4,245
      
768,667,561.64
       100.00 %     9.075 %    
340
       76.75 %    
618
  

                                           
 
  
 
    
 
    
 
    
 
    
W.A.
    
 
    
 
  
 
  
 
    
 
    
 
    
 
    
Stated
    
 
    
Non
  
 
  
 
    
Current
   
% by
    
W.A.
    
Remaining
    
W.A.
    
Zero
  
 
  
# of
    
Principal
    
Curr
    
Gross
    
Term
    
Combined
    
W.A.
  
Lien Status
  
Mortgage Loans
    
Balance ($)
    
Prin Bal ($)
    
Coupon (%)
    
(Months)
    
Orig LTV (%)
    
FICO
  
First Lien
    
4,126
      
759,084,862.90
       98.75 %     9.054 %    
341
       76.77 %    
618
  
Second Lien
    
119
      
9,582,698.74
      
1.25
      
10.746
      
295
      
75.19
      
640
  
Total:
    
4,245
      
768,667,561.64
       100.00 %     9.075 %    
340
       76.75 %    
618
  
 
 
Rating Agency Contacts
   
Standard & Poor’s
  
Michael Wray
212-438-3126
   
Moody’s
  
Jodi Van Breda
212-553-1915
   

 
Contacts
Banc of America Securities LLC
ABS Trading/Syndicate
  
Pat Beranek
(212) 847-5095
patrick.beranek@bankofamerica.com
Charlene Balfour
(212) 847-5095
charlene.c.balfour@bankofamerica.com
Ileana Chu
(212) 847-5095
ileana.i.chu@bankofamerica.com
Aaron Books
(212) 847-5095
aaron.s.books@bankofamerica.com
Jordan Chirico
(212) 847-5095
jordan.chirico@bankofamerica.com
     
Global Structured Finance
Fax:  (704) 388-9668
Chris Schiavone
(704) 387-1853
chris.schiavone@bankofamerica.com
Kirk Meyers
(704) 388-3148
kirk.b.meyers@bankofamerica.com
Michael Tri
(704) 388-8786
michael.l.tri@bankofamerica.com
Shaun Ahmad
(704) 387-2658
shaun.ahmad@bankofamerica.com
Adarsh Dhand
(704) 683-5412
adarsh.dhand@bankofamerica.com
Nkereuwem Umoefik
(704) 388-3681
nkereuwem.umoefik@bankofamerica.com
Brandon Crooks
(704) 388-1720
brandon.crooks@bankofamerica.com