EXHIBIT 99.1
The mortgage loans delivered to the Trust on the Closing Date (the
"Initial Mortgage Loans") will consist of conventional, one-to four- family,
adjustable-rate and fixed-rate mortgage loans. The Depositor will purchase the
Initial Mortgage Loans from the Seller pursuant to the Mortgage Loan Purchase
Agreement, to be dated as of the date of this prospectus supplement (the "
Mortgage Loan Purchase Agreement"), between the Seller and the Depositor.
Pursuant to the Pooling and Servicing Agreement, to be dated as of the Cut-off
Date (the "Pooling and Servicing Agreement"), among the Depositor, the Master
Servicer, the Trustee and the Trust Administrator, the Depositor will cause the
Initial Mortgage Loans to be assigned to the Trustee for the benefit of the
certificateholders.
The Initial Mortgage Loans included in loan group I, loan group II and
loan group III (exclusive of the Additional Mortgage Loans) are expected to have
aggregate principal balances as of the Cut-off Date of approximately
$2,260,929,084.02, $471,290,900.20 and $717,781,040.69, respectively.
Subsequent Group I Mortgage Loans (the "Subsequent Group I Mortgage
Loans"), subsequent Group II Mortgage Loans (the "Subsequent Group II Mortgage
Loans") and subsequent Group III Mortgage Loans (the "Subsequent Group III
Mortgage Loans"; together with the Subsequent Group I Mortgage Loans and the
Subsequent Group II Mortgage Loans, the "Subsequent Mortgage Loans") are
intended to be purchased by the Trust from the Depositor from time to time on or
before the 90th day following the Closing Date from funds on deposit in the
Pre-Funding Accounts. The Subsequent Mortgage Loans, if available, will be
purchased by the Depositor and sold by the Depositor to the Trust for deposit in
the mortgage pool. The Pooling and Servicing Agreement will provide that each
Mortgage Loan in the mortgage pool must conform to certain specified
characteristics and following the conveyance of the Additional Mortgage Loans
and the Subsequent Mortgage Loans, the mortgage pool must conform to certain
specified characteristics, as described below under "--Conveyance of Additional
Mortgage Loans and Subsequent Mortgage Loans and Pre-Funding Accounts."
The Mortgage Loans will be secured by mortgages or deeds of trust or
other similar security instruments creating first liens and second liens on
residential properties (the "Mortgaged Properties") consisting of attached,
detached or semi-detached one-to four-family dwelling units, individual
condominium units or individual units in planned unit developments and
manufactured housing. The Mortgage Loans will have original terms to maturity of
not greater than 30 years from the date on which the first payment was due on
each Mortgage Loan. Approximately 1.15% of the Group I Collateral Selection Date
Mortgage Loans, approximately 1.51% of the Group II Collateral Selection Date
Mortgage Loans and approximately 1.61% of the Group III Collateral Selection
Date Mortgage Loans are secured by second liens, in each case by aggregate
scheduled principal balance of the related loan group as of the Cut-off Date.
Each adjustable-rate Mortgage Loan will accrue interest at the
adjustable-rate calculated as specified under the terms of the related mortgage
note and each fixed-rate Mortgage Loan will have a Mortgage Rate that is fixed
for the life of such Mortgage (each such rate, a "Mortgage Rate").
Approximately 93.73% and 6.27% of the Collateral Selection Date
Mortgage Loans, in each case, by aggregate scheduled principal balance as of the
Cut-off Date, were originated or acquired by the Seller's wholesale lending
affiliates, Argent Mortgage Company, LLC ("Argent") and Olympus Mortgage Company
("Olympus"), respectively.
Each adjustable-rate Mortgage Loan will accrue interest at a Mortgage
Rate that is adjustable. The adjustable-rate Mortgage Loans will provide for
semi-annual adjustment to the Mortgage Rate thereon and for corresponding
adjustments to the monthly payment amount due thereon, in each case on each
adjustment date applicable thereto (each such date, an " Adjustment Date");
provided, that the first adjustment for approximately 71.92% of the
adjustable-rate Group I Collateral Selection Date Mortgage Loans, approximately
74.50% of the adjustable-rate Group II Collateral Selection Date Mortgage Loans
and approximately 77.26% of the adjustable-rate Group III Collateral Selection
Date Mortgage Loans will occur after an initial period of two years after
origination, and the first adjustment for approximately 28.08% of the
adjustable-rate Group I Collateral Selection Date Mortgage Loans, approximately
25.50% of the adjustable-rate Group II Collateral Selection Date Mortgage Loans
and approximately 22.74% of the adjustable-rate Group III Collateral Selection
Date Mortgage Loans will occur after an initial period of three years after
origination. On each Adjustment Date for each adjustable-rate Mortgage Loan, the
Mortgage Rate thereon will be adjusted (subject to rounding) to equal the sum of
the applicable Index (as defined below) and a fixed percentage amount (the "
Gross Margin"). The Mortgage Rate on each adjustable-rate Mortgage Loan will not
decrease on the first related Adjustment Date, will not increase by more than 2%
per annum on the first related Adjustment Date (the " Initial Periodic Rate
Cap") and will not increase or decrease by more than 1% per annum on any
Adjustment Date thereafter (the " Periodic Rate Cap"). Each Mortgage Rate on
each adjustable-rate Mortgage Loan will not exceed a specified maximum Mortgage
Rate over the life of such Mortgage Loan (the " Maximum Mortgage Rate") or be
less than a specified minimum Mortgage Rate over the life of such Mortgage Loan
(the " Minimum Mortgage Rate"). Effective with the first monthly payment due on
each adjustable-rate Mortgage Loan after each related Adjustment Date, the
monthly payment amount will be adjusted to an amount that will amortize fully
the outstanding principal balance of the related Mortgage Loan over its
remaining term, and pay interest at the Mortgage Rate as so adjusted. Due to the
application of the Periodic Rate Caps and the Maximum Mortgage Rates, the
Mortgage Rate on each such adjustable-rate Mortgage Loan, as adjusted on any
related Adjustment Date, may be less than the sum of the Index and the related
Gross Margin, rounded as described herein. None of the adjustable-rate Mortgage
Loans permits the related mortgagor to convert the adjustable Mortgage Rate
thereon to a fixed Mortgage Rate.
The Mortgage Loans will have scheduled monthly payments due on the
first day of the month (with respect to each Mortgage Loan, a "Due Date"). Each
Mortgage Loan will contain a customary "due-on-sale" clause which provides that
(subject to state and federal restrictions) the Mortgage Loan must be repaid at
the time of sale of the related mortgaged property or with the consent of the
holder of the mortgage note assumed by a creditworthy purchaser of the related
mortgaged property.
None of the Mortgage Loans will be buydown mortgage loans.
For purposes of calculating interest and principal distributions on the
Class A Certificates, the Mortgage Loans will be divided into three loan groups,
designated as the "Group I Mortgage Loans," the "Group II Mortgage Loans" and
the "Group III Mortgage Loans." Each of the Group I Mortgage Loans and the Group
II Mortgage Loans will consist of adjustable-rate and fixed-rate mortgage loans
with principal balances at origination that conform to Freddie Mac and Xxxxxx
Xxx loan limits and the Group III Mortgage Loans will consist of adjustable-rate
and fixed-rate mortgage loans with principal balances at origination that may or
may not conform to Freddie Mac or Xxxxxx Xxx loan limits.
Approximately 67.27% of the Group I Collateral Selection Date Mortgage
Loans, approximately 71.62% of the Group II Collateral Selection Date Mortgage
Loans and approximately 74.24% of the Group III Collateral Selection Date
Mortgage Loans, in each case by aggregate scheduled principal balances of the
related loan group as of the Cut-off Date, provide for payment by
the mortgagor of a prepayment charge on certain principal prepayments, subject
to certain limitations in the related mortgage note and limitations upon
collection in the Pooling and Servicing Agreement. Generally, each such Mortgage
Loan provides for payment of a prepayment charge on certain prepayments made
within a defined period set forth in the related Mortgage Note (generally within
the first three years but possibly as short as one year from the date of
origination of such Mortgage Loan). The amount of the prepayment charge is as
provided in the related Mortgage Note. The holders of the Class P Certificates
will be entitled to all prepayment charges received on the Mortgage Loans in
each loan group, and such amounts will not be available for distribution on the
other classes of Certificates. Under certain instances, as described under the
terms of the Pooling and Servicing Agreement, the Master Servicer may waive the
payment of any otherwise applicable prepayment charge. Investors should conduct
their own analysis of the effect, if any, that the prepayment charges, and
decisions by the Master Servicer with respect to the waiver thereof, may have on
the prepayment performance of the Mortgage Loans. The Depositor makes no
representation as to the effect that the prepayment charges, and decisions by
the Master Servicer with respect to the waiver thereof, may have on the
prepayment performance of the Mortgage Loans. As of July 1, 2003, the
Alternative Mortgage Parity Act of 1982 (the "Parity Act"), which regulates the
ability of the Originators to impose prepayment charges, was amended, and as a
result, the Originators will be required to comply with state and local laws in
originating mortgage loans with prepayment charge provisions with respect to
loans originated on or after July 1, 2003. The Depositor makes no
representations as to the effect that the prepayment charges, decisions by the
Master Servicer with respect to the waiver thereof and the recent amendment of
the Parity Act, may have on the prepayment performance of the Mortgage Loans.
However, the ruling of the Office of Thrift Supervision (the "OTS") does not
retroactively affect loans originated before July 1, 2003. See "Legal Aspects of
Mortgage Assets--Enforceability of Certain Provisions--Prepayment Charges" in
the prospectus.
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COLLATERAL TYPE
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% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
COLLATERAL TYPE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
2-yr Fixed/Adjustable 11,511 $2,037,181,824.91 59.05% 359 39.40% 7.513% 601 83.41%
Rate
3-yr Fixed/Adjustable
Rate 4,048 739,948,940.39 21.45 358 38.74 7.377 614 84.05
Fixed 4,584 672,870,259.61 19.50 351 38.90 7.209 631 80.27
===================================================================================================================================
TOTAL: 20,143 $3,450,001,024.91 100.00% 357 39.16% 7.425% 610 82.93%
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PRINCIPAL BALANCES AT ORIGINATION
------------------------------------------------------------------------------------------------------------------------------------
% OF
RANGE OF PRINCIPAL PRINCIPAL REMAINING
PRINCIPAL NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
BALANCES AT MORTGAGE AS OF AS OF MATURITY INCOME RATES OLTV
ORIGINATION ($) LOANS ORIGINATION ORIGINATION (MONTHS)* (%)* (%)* FICO* (%)*
------------------------------------------------------------------------------------------------------------------------------------
<=50,000 817 $ 29,612,146.00 0.86% 351 36.14% 10.441% 637 91.91%
50,001 - 100,000 5,338 401,865,330.00 11.64 354 36.27 8.182 603 83.76
100,001 - 150,000 4,670 581,192,882.00 16.83 356 38.15 7.654 602 83.36
150,001 - 200,000 3,305 575,034,222.00 16.65 358 39.03 7.491 604 82.34
200,001 - 250,000 2,056 460,453,934.00 13.33 358 39.91 7.287 607 81.81
250,001 - 300,000 1,450 397,673,893.00 11.52 358 40.40 7.178 607 82.15
300,001 - 350,000 932 301,927,267.00 8.74 357 40.60 7.116 619 83.61
350,001 - 400,000 628 235,520,601.00 6.82 359 40.41 7.009 624 84.16
400,001 - 450,000 347 147,788,418.00 4.28 359 41.18 7.090 629 84.82
450,001 - 500,000 307 147,561,545.00 4.27 359 38.86 7.053 629 83.57
500,001 - 550,000 110 57,914,551.00 1.68 356 40.37 6.837 621 81.68
550,001 - 600,000 79 45,351,618.00 1.31 357 39.38 6.879 607 81.84
600,001 - 650,000 39 24,773,448.00 0.72 356 39.39 6.685 623 79.53
650,001 - 700,000 23 15,659,500.00 0.45 359 41.54 6.789 608 76.75
700,001 - 750,000 42 31,036,872.00 0.90 359 38.00 6.692 618 75.22
====================================================================================================================================
TOTAL: 20,143 $3,453,366,227.00 100.00% 357 39.16% 7.424% 610 82.93%
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* Based on the original balances of the Initial Mortgage Loans.
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE
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% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF PRINCIPAL NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
BALANCES AS OF THE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
CUT-OFF DATE ($) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
<=50,000.00 829 $ 30,187,441.77 0.87% 351 36.11% 10.395% 636 91.74%
50,000.01 - 100,000.00 5,328 401,079,589.35 11.63 354 36.28 8.182 603 83.75
100,000.01 - 150,000.00 4,677 581,777,854.09 16.86 356 38.14 7.654 602 83.38
150,000.01 - 200,000.00 3,297 573,348,291.11 16.62 358 39.04 7.491 604 82.33
200,000.01 - 250,000.00 2,058 460,561,211.36 13.35 358 39.92 7.286 607 81.82
250,000.01 - 300,000.00 1,449 397,119,568.73 11.51 358 40.39 7.179 607 82.13
300,000.01 - 350,000.00 931 301,371,303.53 8.74 358 40.60 7.117 619 83.63
350,000.01 - 400,000.00 629 235,727,458.68 6.83 359 40.43 7.005 625 84.17
400,000.01 - 450,000.00 347 147,747,283.77 4.28 359 41.09 7.098 628 84.83
450,000.01 - 500,000.00 305 146,498,442.07 4.25 359 38.90 7.053 629 83.55
500,000.01 - 550,000.00 110 57,863,622.32 1.68 356 40.37 6.837 621 81.68
550,000.01 - 600,000.00 79 45,312,554.17 1.31 357 39.38 6.879 607 81.84
600,000.01 - 650,000.00 39 24,751,890.91 0.72 356 39.39 6.685 623 79.53
650,000.01 - 700,000.00 23 15,645,880.48 0.45 359 41.54 6.790 608 76.75
700,000.01 - 750,000.00 42 31,008,632.57 0.90 359 38.01 6.692 618 75.23
====================================================================================================================================
Total: 20,143 $3,450,001,024.91 100.00% 357 39.16% 7.425% 610 82.93%
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REMAINING TERM TO MATURITY
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MONTHS MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
REMAINING LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
120 - 180 198 $ 21,132,209.91 0.61% 179 36.69% 7.265% 615 75.70%
180 - 240 169 20,587,188.49 0.60 239 39.17 7.234 623 80.59
300 - 360 19,776 3,408,281,626.51 98.79 359 39.17 7.427 610 82.99
====================================================================================================================================
TOTAL: 20,143 $3,450,001,024.91 100.00% 357 39.16% 7.425% 610 82.93%
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MORTGAGE RATE
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% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF CURRENT MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
5.000 - 5.499 165 $ 43,126,287.78 1.25% 358 40.12% 5.406% 645 77.92%
5.500 - 5.999 1,353 353,157,809.20 10.24 356 39.98 5.761 646 76.79
6.000 - 6.499 1,672 361,400,369.94 10.48 357 39.24 6.244 633 79.79
6.500 - 6.999 3,079 617,808,791.51 17.91 357 39.20 6.747 623 81.91
7.000 - 7.499 2,735 486,795,988.49 14.11 357 38.96 7.241 613 83.34
7.500 - 7.999 3,760 626,916,264.92 18.17 358 39.03 7.740 599 85.2
8.000 - 8.499 2,289 353,882,221.31 10.26 357 39.13 8.228 591 85.74
8.500 - 8.999 2,137 305,903,359.41 8.87 357 38.64 8.708 581 85.93
9.000 - 9.499 1,064 135,423,750.64 3.93 357 38.44 9.211 573 85.16
9.500 - 9.999 621 72,603,834.96 2.10 357 40.15 9.712 565 82.92
10.000 - 10.499 264 28,465,030.66 0.83 357 38.97 10.216 568 82.07
10.500 - 10.999 302 26,082,444.67 0.76 357 39.91 10.717 583 82.79
11.000 - 11.499 296 17,565,083.05 0.51 356 38.32 11.192 618 90.44
11.500 - 11.999 167 9,252,419.26 0.27 356 38.54 11.657 601 89.07
12.000 - 12.499 195 9,868,428.73 0.29 356 38.65 12.240 623 96.84
12.500 - 12.999 44 1,748,940.38 0.05 356 37.34 12.593 632 98.65
====================================================================================================================================
TOTAL: 20,143 $3,450,001,024.91 100.00% 357 39.16% 7.425% 610 82.93%
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ORIGINAL LOAN-TO-VALUE RATIOS
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF ORIGINAL NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
LOAN-TO-VALUE RATIOS MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
(%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%) (1)
------------------------------------------------------------------------------------------------------------------------------------
<=25.00 14 $ 1,866,889.40 0.05% 359 43.53% 7.304% 561 18.73%
25.01 - 30.00 21 2,499,141.36 0.07 343 34.20 6.650 588 27.72
30.01 - 35.00 26 3,038,747.06 0.09 358 38.53 6.877 613 33.13
35.01 - 40.00 61 6,816,345.22 0.20 353 37.07 6.987 592 37.49
40.01 - 45.00 101 14,872,164.33 0.43 350 39.20 6.940 603 42.61
45.01 - 50.00 163 28,130,512.94 0.82 353 39.82 6.958 597 47.98
50.01 - 55.00 176 29,325,939.29 0.85 351 37.03 7.019 600 52.97
55.01 - 60.00 324 57,875,983.35 1.68 356 39.42 7.205 587 58.04
60.01 - 65.00 620 116,458,868.88 3.38 356 40.35 7.212 583 63.55
65.01 - 70.00 965 174,962,422.22 5.07 356 40.42 7.344 581 68.70
70.01 - 75.00 1,613 293,706,544.98 8.51 356 40.65 7.367 582 74.07
75.01 - 80.00 4,309 780,944,181.52 22.64 357 38.78 7.004 619 79.59
80.01 - 85.00 2,298 417,781,586.34 12.11 357 38.66 7.222 596 84.44
85.01 - 90.00 5,405 907,201,034.46 26.30 358 38.64 7.640 605 89.74
90.01 - 95.00 2,769 521,551,320.09 15.12 358 39.85 7.633 642 94.81
95.01 - 100.00 1,278 92,969,343.47 2.69 357 37.69 9.754 666 99.99
====================================================================================================================================
TOTAL: 20,143 $3,450,001,024.91 100.00% 357 39.16% 7.425% 610 82.93%
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(1) The loan-to-value ("OLTV") of a first-lien mortgage at any given time
is a fraction, expressed as a percentage, the numerator of which is the
principal balance of the mortgage loan at the date of origination and the
denominator of which is the lesser of the sales price of the related mortgage
property and its appraised value determined in an appraisal obtained by the
originator at origination of the mortgage loan. The OLTV of a second lien
mortgage loan at any given time is a fraction, expressed as a percentage the
numerator of which is (i) the sum of (a) the principal balance of such mortgage
loan at the date of origination plus (b) the outstanding balance of the senior
mortgage loan at the date of origination of such mortgage loan and the
denominator of which is (ii) the lesser of the sales price of the related
mortgage property and its appraised value determined in an appraisal obtained by
the originator at origination of the mortgage loan.
FICO SCORE AT ORIGINATION
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% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
FICO SCORES LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
500 - 519 1,266 $ 194,118,223.22 5.63% 357 41.93% 8.389% 510 76.90%
520 - 539 1,776 289,190,183.63 8.38 358 40.44 8.095 529 78.71
540 - 559 2,114 346,553,082.38 10.05 357 40.69 7.859 551 80.18
560 - 579 1,826 316,037,462.73 9.16 357 40.08 7.644 569 80.68
580 - 599 2,144 372,797,648.34 10.81 357 39.38 7.422 588 82.41
600 - 619 2,693 461,956,409.76 13.39 357 39.03 7.260 609 84.46
620 - 639 2,365 405,367,895.46 11.75 356 38.53 7.147 629 85.24
640 - 659 1,942 336,426,444.24 9.75 356 38.45 7.116 650 85.78
660 - 679 1,416 244,680,107.03 7.09 358 37.71 7.073 669 85.14
680 - 699 1,124 210,931,288.77 6.11 357 37.50 6.939 688 85.38
700 - 719 636 115,469,151.22 3.35 358 37.45 7.042 709 85.71
720 - 739 397 71,329,931.21 2.07 357 37.26 6.983 728 84.87
740 - 759 251 45,357,677.02 1.31 357 38.51 7.069 750 87.09
760 - 779 126 24,919,885.63 0.72 357 35.38 6.817 769 82.25
780 - 799 61 13,938,785.34 0.40 358 32.60 6.586 788 81.48
800 - 819 6 926,848.93 0.03 358 36.26 7.207 804 66.49
====================================================================================================================================
TOTAL: 20,143 $3,450,001,024.91 100.00% 357 39.16% 7.425% 610 82.93%
------------------------------------------------------------------------------------------------------------------------------------
DEBT-TO-INCOME RATIO
------------------------------------------------------------------------------------------------------------------------------------
% OF
RANGE OF PRINCIPAL PRINCIPAL REMAINING
DEBT-TO- NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
INCOME RATIOS MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
(%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
<=20.00 1,160 $ 173,967,128.06 5.04% 356 14.13% 7.545% 624 82.38%
20.01 - 25.00 1,105 161,913,828.51 4.69 357 23.24 7.411 620 82.10
25.01 - 30.00 1,774 261,304,182.17 7.57 357 28.22 7.471 614 82.12
30.01 - 35.00 2,645 406,707,877.00 11.79 356 33.17 7.438 614 83.24
35.01 - 40.00 3,611 614,727,337.83 17.82 357 38.18 7.432 617 83.59
40.01 - 45.00 4,724 836,771,360.15 24.25 357 43.07 7.398 615 83.94
45.01 - 50.00 4,440 855,012,797.42 24.78 357 48.05 7.407 599 84.23
50.01 - 55.00 684 139,596,513.77 4.05 357 53.07 7.398 570 68.36
====================================================================================================================================
TOTAL: 20,143 $3,450,001,024.91 100.00% 357 39.16% 7.425% 610 82.93%
------------------------------------------------------------------------------------------------------------------------------------
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GEOGRAPHIC DISTRIBUTION
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
STATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Alaska 73 $ 11,792,026.07 0.34% 359 39.12% 7.224% 622 84.37%
Alabama 154 14,406,512.62 0.42 351 38.04 7.974 585 86.28
Arkansas 31 3,229,036.80 0.09 359 37.02 8.024 604 83.64
Arizona 1,073 125,503,866.94 3.64 356 37.52 7.646 610 86.01
California 3,875 1,026,130,610.10 29.74 358 40.60 6.956 611 79.31
Colorado 403 66,956,131.53 1.94 358 37.89 7.253 616 85.90
Connecticut 278 55,745,324.57 1.62 357 38.67 7.640 609 83.03
Delaware 37 5,112,782.38 0.15 353 40.44 7.968 596 84.41
Florida 1,942 276,904,723.79 8.03 356 39.39 7.651 608 84.55
Georgia 479 63,613,763.20 1.84 356 37.45 7.787 611 87.36
Hawaii 199 57,013,506.20 1.65 355 40.13 6.435 642 79.65
Iowa 131 11,814,681.86 0.34 357 37.35 7.898 594 86.09
Idaho 35 3,576,352.61 0.10 356 36.18 7.532 617 84.21
Illinois 1,849 309,237,397.30 8.96 358 38.85 7.627 621 85.97
Indiana 451 38,453,680.14 1.11 357 36.14 7.981 607 87.04
Kansas 97 9,845,546.94 0.29 357 39.04 8.068 588 85.65
Kentucky 134 14,103,411.65 0.41 356 37.55 7.692 584 85.53
Louisiana 149 15,368,578.81 0.45 352 36.25 7.804 598 84.84
Massachusetts 393 91,745,169.29 2.66 358 40.10 7.383 618 81.47
Maryland 525 97,782,691.73 2.83 357 38.88 7.519 598 83.06
Maine 45 5,578,782.21 0.16 356 40.14 7.407 584 84.30
Michigan 1,175 134,160,643.89 3.89 358 38.33 7.856 598 85.58
Minnesota 342 58,994,097.26 1.71 358 39.62 7.583 614 84.33
Missouri 443 44,121,015.98 1.28 358 35.86 8.078 591 84.96
Mississippi 112 10,925,646.58 0.32 356 36.94 8.187 596 87.82
Montana 6 799,635.52 0.02 336 46.40 8.373 600 83.15
North Carolina 219 21,784,451.80 0.63 354 35.76 7.934 594 84.92
North Dakota 11 1,685,297.85 0.05 343 36.97 6.812 660 82.01
Nebraska 77 7,359,198.83 0.21 357 36.16 7.707 605 85.38
New Hampshire 46 8,906,891.08 0.26 358 41.26 7.305 600 80.78
New Jersey 518 116,581,480.00 3.38 358 38.41 7.344 613 82.83
New Mexico 69 7,588,310.08 0.22 359 36.03 8.078 613 85.69
Nevada 486 90,999,388.89 2.64 359 39.39 7.545 608 82.00
New York 807 223,739,534.76 6.49 358 39.66 7.455 621 82.81
Ohio 396 35,358,553.79 1.02 351 37.76 7.826 602 88.12
Oklahoma 121 10,580,190.19 0.31 357 35.88 8.579 595 88.88
Oregon 131 19,365,072.42 0.56 357 39.64 7.653 604 81.68
Pennsylvania 448 54,188,465.45 1.57 353 37.60 7.674 594 84.19
Rhode Island 140 25,703,848.17 0.75 357 39.53 7.505 630 81.89
South Carolina 142 12,881,874.25 0.37 357 37.50 8.042 585 82.47
South Dakota 14 1,754,546.92 0.05 354 42.03 7.504 620 85.40
Tennessee 272 25,923,648.84 0.75 353 38.73 8.098 601 87.41
Texas 838 98,000,624.27 2.84 351 35.92 8.027 592 84.51
Utah 240 29,549,697.53 0.86 358 36.41 7.562 629 85.60
Vermont 5 668,714.52 0.02 359 45.59 7.700 592 76.65
Washington 368 60,635,800.08 1.76 357 38.67 7.617 608 84.97
Wisconsin 353 42,359,119.91 1.23 358 39.07 8.032 594 86.17
Wyoming 11 1,470,699.31 0.04 350 42.42 6.957 592 84.72
====================================================================================================================================
TOTAL: 20,143 $3,450,001,024.91 100.00% 357 39.16% 7.425% 610 82.93%
------------------------------------------------------------------------------------------------------------------------------------
OCCUPANCY STATUS
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
OCCUPANCY MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
STATUS* LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Owner Occupied 17,515 $3,105,511,202.23 90.01% 357 39.92% 7.378% 606 82.78%
Non-owner Occupied 2,416 309,374,234.87 8.97 357 31.61 7.917 644 84.49
Second Home 212 35,115,587.81 1.02 355 38.60 7.210 643 83.06
====================================================================================================================================
TOTAL: 20,143 $3,450,001,024.91 100.00% 357 39.16% 7.425% 610 82.93%
------------------------------------------------------------------------------------------------------------------------------------
* Based on mortgagor representation at origination.
DOCUMENTATION TYPE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
INCOME MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
DOCUMENTATION LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Full Docs 11,415 $1,840,210,704.87 53.34% 357 39.60% 7.152% 597 81.86%
Stated Docs 7,482 1,374,024,159.84 39.83 358 39.07 7.795 630 84.40
Limited Docs 1,246 235,766,160.20 6.83 357 36.24 7.397 595 82.80
====================================================================================================================================
TOTAL: 20,143 $3,450,001,024.91 100.00% 357 39.16% 7.425% 610 82.93%
------------------------------------------------------------------------------------------------------------------------------------
LOAN PURPOSE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
PURPOSE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Refi-Cash Out** 11,623 $2,139,205,526.46 62.01% 357 39.88% 7.307% 594 80.39%
Purchase 7,462 1,159,832,191.98 33.62 358 37.90 7.656 639 87.74
Refi-No Cashout*** 1,058 150,963,306.47 4.38 354 38.64 7.309 606 82.01
====================================================================================================================================
TOTAL: 20,143 $3,450,001,024.91 100.00% 357 39.16% 7.425% 610 82.93%
------------------------------------------------------------------------------------------------------------------------------------
** Cash proceeds to the borrower inclusive of debt consolidation payments exceed
2% or $2,000 of the original principal balance of the related loan. Also
includes all home equity loans originated in Texas with any cash proceeds.
***Cash proceeds to the borrower inclusive of debt consolidation payments do not
exceed 2% or $2,000 of the original principal balance of the related loan.
Excludes home equity loans originated in Texas with any cash proceeds.
CREDIT GRADE
----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
RISK MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
CATEGORY LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
----------------------------------------------------------------------------------------------------------------------------------
1 13,858 $2,315,172,498.23 67.11% 357 38.71% 7.269% 626 84.64%
2 1,462 272,039,288.48 7.89 357 39.63 7.510 583 82.32
3 1,581 278,840,692.82 8.08 357 39.28 7.455 578 82.01
4 1,205 198,293,638.25 5.75 357 40.34 7.819 568 78.79
5 731 132,338,873.84 3.84 358 40.93 8.062 552 70.46
6 202 36,961,850.66 1.07 358 43.17 9.591 550 67.15
A+ 523 105,482,432.95 3.06 359 39.79 7.416 617 83.62
A 259 46,498,342.67 1.35 356 40.14 7.497 600 81.16
A- 79 16,352,951.61 0.47 358 41.15 8.345 553 78.92
B 81 14,948,478.85 0.43 357 40.14 8.636 549 74.95
C 85 15,569,998.92 0.45 359 42.84 9.096 538 69.33
C- 77 17,501,977.63 0.51 358 41.43 8.761 566 79.09
==================================================================================================================================
TOTAL: 20,143 $3,450,001,024.91 100.00% 357 39.16% 7.425% 610 82.93%
----------------------------------------------------------------------------------------------------------------------------------
PROPERTY TYPE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
PROPERTY TYPE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Single Family Detached 15,062 $2,543,731,322.90 73.73% 357 39.5% 7.400% 605 82.81%
Two-to-Four Family 1,491 320,469,964.01 9.29 358 37.08 7.556 640 83.42
PUD Detached 1,494 291,473,772.93 8.45 357 39.20 7.429 605 83.81
Condominium 1,280 203,345,620.60 5.89 359 38.39 7.499 626 84.63
Manufactured Housing 709 72,784,992.40 2.11 354 38.26 7.433 623 76.21
PUD Attached 76 13,316,683.06 0.39 358 39.98 7.666 607 85.65
Single Family Attached 31 4,878,669.01 0.14 359 38.84 7.578 613 85.35
====================================================================================================================================
TOTAL: 20,143 $3,450,001,024.91 100.00% 357 39.16% 7.425% 610 82.93%
------------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT CHARGE TERM AT ORIGINATION
------------------------------------------------------------------------------------------------------------------------------------
% OF
PREPAYMENT PRINCIPAL PRINCIPAL REMAINING
CHARGE TERM NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
AT ORIGINATION MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
(MONTHS) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
0 6,687 $1,058,512,019.10 30.68% 357 38.77% 7.719% 614 84.90%
12 749 164,828,320.03 4.78 358 38.67 7.557 624 81.85
24 6,991 1,209,711,623.44 35.06 358 39.18 7.508 602 82.83
36 5,716 1,016,949,062.34 29.48 355 39.62 6.997 614 81.18
====================================================================================================================================
TOTAL: 20,143 $3,450,001,024.91 100.00% 357 39.16% 7.425% 610 82.93%
------------------------------------------------------------------------------------------------------------------------------------
CONFORMING BALANCE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
CONFORMING BALANCE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Conforming Balance 18,447 $2,748,442,071.39 79.66% 357 38.84% 7.517% 608 82.82%
------------------------------------------------------------------------------------------------------------------------------------
Non-Conforming Balance 1,696 701,558,953.52 20.34 358 40.40 7.063 620 83.36
====================================================================================================================================
TOTAL: 20,143 $3,450,001,024.91 100.00% 357 39.16% 7.425% 610 82.93%
------------------------------------------------------------------------------------------------------------------------------------
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MAXIMUM MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
11.000 - 11.499 139 $ 34,530,830.90 1.24% 358 41.23% 5.403% 640 79.74%
11.500 - 11.999 789 191,078,692.23 6.88 358 40.08 5.745 633 78.10
12.000 - 12.499 1,250 268,806,626.76 9.68 358 39.12 6.254 633 81.03
12.500 - 12.999 2,462 498,159,765.67 17.94 359 39.20 6.748 621 82.48
13.000 - 13.499 2,329 423,167,508.58 15.24 359 39.20 7.241 612 83.99
13.500 - 13.999 3,209 553,437,623.86 19.93 359 39.07 7.741 598 85.59
14.000 - 14.499 1,961 316,422,331.78 11.39 359 39.13 8.227 589 85.95
14.500 - 14.999 1,799 268,745,946.49 9.68 358 38.70 8.710 580 86.16
15.000 - 15.499 879 118,007,191.74 4.25 359 38.57 9.207 570 85.11
15.500 - 15.999 436 59,603,526.60 2.15 359 40.62 9.720 557 81.92
16.000 - 16.499 147 20,700,144.85 0.75 359 39.76 10.196 553 78.53
16.500 - 16.999 93 15,048,793.57 0.54 358 41.41 10.695 536 72.30
17.000 - 17.499 31 4,953,382.33 0.18 359 40.74 11.138 524 68.98
17.500 - 17.999 24 3,449,313.76 0.12 359 40.89 11.639 526 71.03
18.000 - 18.499 10 951,502.91 0.03 359 39.39 12.168 517 71.21
18.500 - 18.999 1 67,583.27 0.00 359 45.00 12.650 543 65.00
====================================================================================================================================
TOTAL: 15,559 $2,777,130,765.30 100.00% 359 39.22% 7.477% 605 83.58%
------------------------------------------------------------------------------------------------------------------------------------
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MINIMUM MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
5.000 - 5.499 139 $ 34,530,830.90 1.24% 358 41.23% 5.403% 640 79.74%
5.500 - 5.999 789 191,078,692.23 6.88 358 40.08 5.745 633 78.10
6.000 - 6.499 1,250 268,806,626.76 9.68 358 39.12 6.254 633 81.03
6.500 - 6.999 2,462 498,159,765.67 17.94 359 39.20 6.748 621 82.48
7.000 - 7.499 2,329 423,167,508.58 15.24 359 39.20 7.241 612 83.99
7.500 - 7.999 3,209 553,437,623.86 19.93 359 39.07 7.741 598 85.59
8.000 - 8.499 1,961 316,422,331.78 11.39 359 39.13 8.227 589 85.95
8.500 - 8.999 1,799 268,745,946.49 9.68 358 38.70 8.710 580 86.16
9.000 - 9.499 879 118,007,191.74 4.25 359 38.57 9.207 570 85.11
9.500 - 9.999 436 59,603,526.60 2.15 359 40.62 9.720 557 81.92
10.000 - 10.499 147 20,700,144.85 0.75 359 39.76 10.196 553 78.53
10.500 - 10.999 93 15,048,793.57 0.54 358 41.41 10.695 536 72.30
11.000 - 11.499 31 4,953,382.33 0.18 359 40.74 11.138 524 68.98
11.500 - 11.999 24 3,449,313.76 0.12 359 40.89 11.639 526 71.03
12.000 - 12.499 10 951,502.91 0.03 359 39.39 12.168 517 71.21
12.500 - 12.999 1 67,583.27 0.00 359 45.00 12.650 543 65.00
====================================================================================================================================
TOTAL: 15,559 $2,777,130,765.30 100.00% 359 39.22% 7.477% 605 83.58%
------------------------------------------------------------------------------------------------------------------------------------
MARGINS OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MORTGAGE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MARGINS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
4.500 - 4.749 263 $ 44,711,484.31 1.61% 357 38.79% 7.351% 611 85.16%
4.750 - 4.999 1 212,503.93 0.01 353 53.00 10.050 512 70.00
5.000 - 5.249 670 118,627,799.84 4.27 359 38.11 7.522 626 86.27
5.500 - 5.749 767 159,200,680.84 5.73 359 40.03 7.567 601 83.08
6.000 - 6.249 13,569 2,404,323,484.79 86.58 359 39.20 7.445 605 83.63
6.250 - 6.499 3 553,774.73 0.02 359 45.91 6.481 577 88.69
6.500 - 6.749 162 26,583,436.08 0.96 358 38.98 8.187 570 79.13
6.750 - 6.999 1 279,000.00 0.01 360 43.00 6.250 612 89.71
7.000 - 7.249 123 22,638,600.78 0.82 359 42.67 9.379 535 69.68
====================================================================================================================================
TOTAL: 15,559 $2,777,130,765.30 100.00% 359 39.22% 7.477% 605 83.58%
------------------------------------------------------------------------------------------------------------------------------------
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
NEXT RATE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
ADJUSTMENT DATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
----------------------------------------------------------------------------------------------------------------------------------
2006-03 2 $ 589,008.85 0.02% 352 47.09% 5.821% 598 78.84%
2006-04 47 7,394,549.56 0.27 353 40.88 7.567 557 78.28
2006-05 47 5,008,859.17 0.18 354 39.65 7.494 577 82.63
2006-06 108 18,039,363.05 0.65 355 40.13 7.529 574 77.95
2006-07 150 27,116,866.41 0.98 354 40.03 7.694 580 83.03
2006-08 83 14,356,912.94 0.52 357 40.21 7.476 591 85.26
2006-09 1,144 187,973,686.26 6.77 358 39.33 7.460 592 83.20
2006-10 8,999 1,612,549,818.67 58.07 359 39.36 7.493 604 83.37
2006-11 931 164,152,760.00 5.91 360 39.49 7.743 598 84.76
2007-03 2 193,107.03 0.01 352 25.04 7.976 580 87.24
2007-04 16 2,729,117.80 0.10 353 39.03 7.030 580 80.26
2007-05 10 1,484,356.40 0.05 348 35.97 6.759 601 84.82
2007-06 28 5,185,353.02 0.19 355 39.70 7.482 578 83.27
2007-07 55 9,133,675.87 0.33 356 40.75 7.336 601 79.84
2007-08 38 8,809,336.38 0.32 357 40.00 7.327 599 83.49
2007-09 367 60,784,202.37 2.19 358 39.79 7.337 602 83.49
2007-10 3,191 588,017,552.52 21.17 359 38.63 7.372 617 84.10
2007-11 341 63,612,239.00 2.29 359 38.36 7.493 612 84.92
==================================================================================================================================
TOTAL: 15,559 $2,777,130,765.30 100.00% 359 39.22% 7.477% 605 83.58%
----------------------------------------------------------------------------------------------------------------------------------
INITIAL PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
INITIAL PERIODIC MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATE CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
2.000 15,559 $2,777,130,765.30 100.00% 359 39.22% 7.477% 605 83.58%
====================================================================================================================================
TOTAL: 15,559 $2,777,130,765.30 100.00% 359 39.22% 7.477% 605 83.58%
------------------------------------------------------------------------------------------------------------------------------------
SUBSEQUENT PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
SUBSEQUENT PERIODIC MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATE CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
1.000 15,559 $2,777,130,765.30 100.00% 359 39.22% 7.477% 605 83.58%
====================================================================================================================================
TOTAL: 15,559 $2,777,130,765.30 100.00% 359 39.22% 7.477% 605 83.58%
------------------------------------------------------------------------------------------------------------------------------------
GROUP I MORTGAGE LOAN STATISTICS
The Initial Group I Mortgage Loans consist of 14,647 adjustable-rate
and fixed-rate Mortgage Loans having an aggregate principal balance as of the
Cut-off Date of approximately $ 2,260,929,084, after application of scheduled
payments due on or before the Cut-off Date whether or not received and
application of all unscheduled payments of principal received prior to the
Cut-off Date, and subject to a permitted variance of plus or minus 5%. None of
the Initial Group I Mortgage Loans had a first Due Date prior to April 1, 2004
or after December 1, 2004 or will have a remaining term to stated maturity of
less than 173 months or greater than 360 months as of the Cut-off Date. The
latest maturity date of any Initial Group I Mortgage Loan is November 1, 2034.
COLLATERAL TYPE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
COLLATERAL TYPE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
2-yr Fixed/ 8,304 $1,319,990,599.29 58.38% 359 39.04% 7.586% 601 83.30%
Adjustable Rate
3-year Fixed/
Adjustable Rate 3,068 515,274,069.50 22.79 358 38.43 7.386 613 83.74
Fixed 3,275 425,664,415.23 18.83 349 39.24 7.376 625 80.18
====================================================================================================================================
TOTAL: 14,647 $2,260,929,084.02 100.00% 357 38.94% 7.501% 608 82.81%
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL BALANCES AT ORIGINATION
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF PRINCIPAL NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
BALANCES AT MORTGAGE AS OF AS OF MATURITY INCOME RATES OLTV
ORIGINATION ($) LOANS ORIGINATION ORIGINATION (MONTHS)* (%)* (%)* FICO* (%)*
------------------------------------------------------------------------------------------------------------------------------------
<=50,000.00 633 $ 22,459,539.00 0.99% 350 36.40% 10.782% 634 93.81%
50,000.01 - 100,000.00 3,606 275,509,672.00 12.17 354 36.38 8.099 602 83.65
100,000.01 - 150,000.00 3,808 475,293,407.00 21.00 356 38.16 7.654 602 83.38
150,000.01 - 200,000.00 2,814 489,570,697.00 21.63 358 38.97 7.479 605 82.33
200,000.01 - 250,000.00 1,767 395,820,867.00 17.49 358 39.96 7.301 608 81.80
250,000.01 - 300,000.00 1,234 338,350,430.00 14.95 358 40.51 7.174 607 82.01
300,000.01 - 350,000.00 604 192,454,575.00 8.50 357 40.26 7.117 620 83.61
350,000.01 - 400,000.00 105 39,718,593.00 1.76 358 38.80 7.139 648 83.88
400,000.01 - 450,000.00 46 19,265,487.00 0.85 359 37.73 6.832 656 82.70
450,000.01 - 500,000.00 25 12,026,169.00 0.53 359 35.53 6.815 639 78.83
500,000.01 - 550,000.00 4 2,030,500.00 0.09 359 34.23 6.780 712 85.66
600,000.01 - 650,000.00 1 639,999.00 0.03 359 47.00 6.500 669 82.58
====================================================================================================================================
TOTAL: 14,647 $2,263,139,935.00 100.00% 357 38.94% 7.501% 608 82.81%
------------------------------------------------------------------------------------------------------------------------------------
* Based on the original balances of the Initial Mortgage Loans.
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF PRINCIPAL NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
BALANCES AS OF THE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
CUT-OFF DATE ($) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
<=50,000.00 636 $ 22,591,865.81 1.00% 351 36.38% 10.762% 634 93.76%
50,000.01 - 100,000.00 3,605 275,285,469.29 12.18 354 36.39 8.099 602 83.64
100,000.01 - 150,000.00 3,814 475,827,513.80 21.05 356 38.15 7.655 603 83.41
150,000.01 - 200,000.00 2,807 488,112,644.95 21.59 358 38.99 7.479 605 82.31
200,000.01 - 250,000.00 1,769 395,993,443.35 17.51 358 39.98 7.299 608 81.81
250,000.01 - 300,000.00 1,233 337,858,263.58 14.94 358 40.49 7.175 607 81.98
300,000.01 - 350,000.00 602 191,654,512.18 8.48 357 40.26 7.119 620 83.65
350,000.01 - 400,000.00 106 40,075,890.96 1.77 358 38.89 7.125 649 83.94
400,000.01 - 450,000.00 45 18,846,603.98 0.83 359 37.52 6.857 655 82.54
450,000.01 - 500,000.00 25 12,014,694.17 0.53 359 35.53 6.815 639 78.83
500,000.01 - 550,000.00 4 2,028,761.52 0.09 359 34.23 6.780 712 85.66
600,000.01 - 650,000.00 1 639,420.43 0.03 359 47.00 6.500 669 82.58
====================================================================================================================================
TOTAL: 14,647 $2,260,929,084.02 100.00% 357 38.94% 7.501% 608 82.81%
------------------------------------------------------------------------------------------------------------------------------------
REMAINING TERM TO MATURITY
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MONTHS MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
REMAINING LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
120 - 180 145 $ 15,511,133.48 0.69% 179 36.47% 7.366% 615 76.41%
180 - 240 120 14,854,962.87 0.66 239 40.42 7.254 622 80.66
300 - 360 14,382 2,230,562,987.67 98.66 359 38.95 7.504 608 82.87
====================================================================================================================================
TOTAL: 14,647 $2,260,929,084.02 100.00% 357 38.94% 7.501% 608 82.81%
------------------------------------------------------------------------------------------------------------------------------------
MORTGAGE RATE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF CURRENT MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
5.000 - 5.499 106 $ 23,280,962.74 1.03% 357 40.97% 5.407% 646 76.30%
5.500 - 5.999 844 175,963,537.32 7.78 356 39.88 5.768 642 75.81
6.000 - 6.499 1,213 227,915,414.29 10.08 356 39.15 6.244 636 79.36
6.500 - 6.999 2,208 394,627,127.52 17.45 356 39.19 6.749 625 81.10
7.000 - 7.499 2,027 334,051,296.25 14.77 357 38.86 7.238 613 83.31
7.500 - 7.999 2,854 436,742,900.59 19.32 357 38.51 7.747 599 84.88
8.000 - 8.499 1,715 247,710,371.32 10.96 357 38.76 8.223 589 85.43
8.500 - 8.999 1,644 222,825,043.58 9.86 357 38.66 8.711 582 86.17
9.000 - 9.499 702 86,971,883.90 3.85 357 38.00 9.202 569 84.89
9.500 - 9.999 407 49,074,327.48 2.17 357 40.43 9.711 561 82.87
10.000 - 10.499 191 20,439,366.42 0.90 358 38.48 10.217 566 81.90
10.500 - 10.999 213 15,944,228.67 0.71 356 39.51 10.718 575 82.09
11.000 - 11.499 201 10,779,620.98 0.48 357 37.49 11.211 602 88.38
11.500 - 11.999 128 6,518,640.90 0.29 357 38.08 11.656 599 88.38
12.000 - 12.499 154 6,622,691.35 0.29 355 38.37 12.251 624 97.82
12.500 - 12.999 40 1,461,670.71 0.06 356 36.59 12.604 635 100.00
====================================================================================================================================
TOTAL: 14,647 $2,260,929,084.02 100.00% 357 38.94% 7.501% 608 82.81%
------------------------------------------------------------------------------------------------------------------------------------
ORIGINAL LOAN-TO-VALUE RATIOS
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF ORIGINAL NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
LOAN-TO-VALUE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATIOS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%) (1)
------------------------------------------------------------------------------------------------------------------------------------
<=25.00 12 $ 810,721.90 0.04% 359 34.63% 7.436% 574 19.82%
25.01 - 30.00 13 1,296,503.84 0.06 346 28.16 6.586 589 27.89
30.01 - 35.00 22 2,585,053.53 0.11 359 38.50 6.997 588 33.08
35.01 - 40.00 44 5,166,812.01 0.23 351 36.22 6.986 601 37.47
40.01 - 45.00 81 11,615,068.62 0.51 352 38.49 6.983 597 42.66
45.01 - 50.00 109 18,138,160.08 0.80 353 41.08 7.171 591 48.10
50.01 - 55.00 128 20,026,343.10 0.89 347 37.83 7.017 595 53.02
55.01 - 60.00 222 37,550,032.84 1.66 357 39.21 7.209 588 57.95
60.01 - 65.00 453 77,710,318.97 3.44 355 40.26 7.288 579 63.52
65.01 - 70.00 674 113,869,186.62 5.04 356 40.52 7.452 578 68.70
70.01 - 75.00 1,164 189,083,323.72 8.36 356 40.48 7.435 579 74.07
75.01 - 80.00 3,249 535,585,995.93 23.69 357 38.58 7.069 620 79.65
80.01 - 85.00 1,637 262,417,049.05 11.61 357 38.60 7.365 593 84.49
85.01 - 90.00 3,939 594,797,435.04 26.31 357 38.40 7.729 602 89.75
90.01 - 95.00 2,000 331,111,438.12 14.64 357 39.36 7.718 639 94.82
95.01 - 100.00 900 59,165,640.65 2.62 357 37.27 9.735 660 99.98
====================================================================================================================================
TOTAL: 14,647 $2,260,929,084.02 100.00% 357 38.94% 7.501% 608 82.81%
------------------------------------------------------------------------------------------------------------------------------------
(1) The loan-to-value ("OLTV") of a first-lien mortgage at any given time
is a fraction, expressed as a percentage, the numerator of which is the
principal balance of the mortgage loan at the date of origination and the
denominator of which is the lesser of the sales price of the related mortgage
property and its appraised value determined in an appraisal obtained by the
originator at origination of the mortgage loan. The OLTV of a second lien
mortgage loan at any given time is a fraction, expressed as a percentage the
numerator of which is (i) the sum of (a) the principal balance of such mortgage
loan at the date of origination plus (b) the outstanding balance of the senior
mortgage loan at the date of origination of such mortgage loan and the
denominator of which is (ii) the lesser of the sales price of the related
mortgage property and its appraised value determined in an appraisal obtained by
the originator at origination of the mortgage loan.
FICO SCORE AT ORIGINATION
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
FICO SCORES LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
500 - 519 899 $ 134,413,063.93 5.95% 358 41.64% 8.448% 510 76.73%
520 - 539 1,309 200,525,291.73 8.87 358 40.64 8.153 529 79.12
540 - 559 1,548 232,844,449.99 10.30 357 40.25 7.894 551 80.41
560 - 579 1,321 207,287,221.74 9.17 357 39.92 7.705 569 80.50
580 - 599 1,566 245,769,946.24 10.87 356 39.31 7.474 588 82.54
600 - 619 1,999 304,292,339.17 13.46 356 38.48 7.334 609 84.56
620 - 639 1,752 261,305,233.99 11.56 356 38.23 7.261 629 85.24
640 - 659 1,473 224,031,718.87 9.91 356 38.15 7.214 650 85.34
660 - 679 1,016 154,451,062.88 6.83 357 37.64 7.127 669 84.53
680 - 699 762 128,790,313.46 5.70 357 37.05 6.972 688 84.90
700 - 719 442 74,473,682.85 3.29 358 37.14 7.013 709 85.24
720 - 739 269 43,026,067.46 1.90 356 36.09 7.058 728 85.06
740 - 759 175 29,598,864.38 1.31 356 38.07 7.018 750 86.38
760 - 779 81 14,085,973.78 0.62 354 35.62 6.900 768 83.01
780 - 799 32 5,670,604.74 0.25 359 35.00 6.830 787 83.62
800 - 819 3 363,248.81 0.02 359 33.87 7.940 803 81.29
===================================================================================================================================
TOTAL: 14,647 $2,260,929,084.02 100.00% 357 38.94% 7.501% 608 82.81%
-----------------------------------------------------------------------------------------------------------------------------------
DEBT-TO-INCOME RATIO
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
DEBT-TO-INCOME MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATIOS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
<= 20.00 811 $ 108,814,352.97 4.81% 355 14.26% 7.670% 622 82.44%
20.01 - 25.00 792 110,991,270.18 4.91 357 23.26 7.494 617 81.79
25.01 - 30.00 1,299 180,972,181.52 8.00 357 28.24 7.563 612 82.45
30.01 - 35.00 1,968 280,826,364.59 12.42 357 33.21 7.525 613 83.17
35.01 - 40.00 2,694 420,140,852.95 18.58 357 38.16 7.469 616 83.50
40.01 - 45.00 3,443 541,485,958.50 23.95 357 43.08 7.456 613 83.72
45.01 - 50.00 3,162 528,304,244.04 23.37 356 48.03 7.513 595 84.05
50.01 - 55.00 478 89,393,859.27 3.95 357 53.04 7.453 568 68.02
====================================================================================================================================
TOTAL: 14,647 $2,260,929,084.02 100.00% 357 38.94% 7.501% 608 82.81%
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
STATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Alaska 60 $ 10,161,914.95 0.45% 359 39.86% 7.189% 617 84.28%
Alabama 111 10,568,725.64 0.47 350 37.57 8.027 584 86.38
Arkansas 25 2,631,328.60 0.12 359 36.85 7.951 613 85.32
Arizona 788 93,674,458.34 4.14 357 37.90 7.688 609 86.64
California 2,417 501,742,901.18 22.19 357 40.32 7.082 605 77.20
Colorado 328 50,792,636.58 2.25 358 37.91 7.180 618 85.45
Connecticut 218 38,677,543.17 1.71 357 37.86 7.687 608 83.34
Delaware 29 3,659,473.87 0.16 351 39.85 7.865 612 85.22
Florida 1,409 199,275,405.35 8.81 356 39.57 7.631 609 84.47
Georgia 408 52,664,580.23 2.33 355 37.59 7.812 611 87.33
Hawaii 150 41,357,716.19 1.83 353 40.22 6.398 642 79.33
Iowa 88 8,239,425.25 0.36 357 37.43 7.874 599 86.97
Idaho 29 2,936,965.81 0.13 358 36.43 7.497 619 85.17
Illinois 1,520 242,026,619.36 10.70 358 38.75 7.600 618 85.56
Indiana 281 25,986,807.62 1.15 358 37.01 7.936 604 87.36
Kansas 71 7,377,444.36 0.33 358 38.95 7.954 593 85.88
Kentucky 103 11,250,582.73 0.50 355 36.99 7.697 587 86.31
Louisiana 93 10,016,745.15 0.44 351 35.67 7.713 604 85.14
Massachusetts 277 63,547,812.33 2.81 358 39.99 7.276 617 80.08
Maryland 361 61,928,203.31 2.74 357 39.17 7.529 599 83.48
Maine 28 3,661,814.25 0.16 359 41.39 7.484 579 83.63
Michigan 798 94,311,577.81 4.17 358 38.46 7.835 600 86.30
Minnesota 279 46,164,204.18 2.04 358 40.25 7.610 614 84.60
Missouri 329 33,118,692.29 1.46 357 36.36 8.058 591 85.43
Mississippi 88 8,836,583.83 0.39 355 36.43 8.117 600 88.56
Montana 6 799,635.52 0.04 336 46.40 8.373 600 83.15
North Carolina 194 18,790,861.37 0.83 354 35.84 7.903 595 84.56
North Dakota 8 835,677.93 0.04 345 39.82 7.491 628 88.86
Nebraska 60 5,967,097.90 0.26 357 36.13 7.635 603 84.85
New Hampshire 36 6,434,061.84 0.28 359 41.16 7.438 603 82.31
New Jersey 395 81,038,034.99 3.58 358 37.77 7.320 611 81.96
New Mexico 58 6,133,663.04 0.27 359 35.33 8.057 611 85.14
Nevada 367 63,833,878.95 2.82 358 39.23 7.577 604 81.37
New York 553 132,049,751.44 5.84 357 39.45 7.469 615 81.27
Ohio 269 25,324,945.97 1.12 350 38.27 7.748 606 88.51
Oklahoma 94 7,891,976.07 0.35 357 35.26 8.540 603 88.46
Oregon 105 14,695,655.55 0.65 357 39.52 7.626 604 81.92
Pennsylvania 321 38,905,992.76 1.72 353 38.47 7.617 594 84.60
Rhode Island 113 20,479,195.31 0.91 356 39.37 7.399 635 81.62
South Carolina 129 11,660,803.14 0.52 357 37.68 8.082 583 82.21
South Dakota 11 1,422,070.02 0.06 353 42.72 7.248 640 85.87
Tennessee 196 19,665,447.94 0.87 352 38.59 8.156 598 87.71
Texas 682 78,610,400.69 3.48 352 35.99 8.073 589 84.52
Utah 186 22,416,781.71 0.99 358 36.53 7.589 626 86.27
Vermont 4 535,811.27 0.02 359 46.24 7.724 585 72.09
Washington 284 43,702,936.20 1.93 357 38.76 7.652 606 85.60
Wisconsin 281 34,018,642.45 1.50 358 39.07 8.019 594 86.78
Wyoming 7 1,105,599.58 0.05 359 42.60 6.766 595 86.40
====================================================================================================================================
TOTAL: 14,647 $2,260,929,084.02 100.00% 357 38.94% 7.501% 608 82.81%
------------------------------------------------------------------------------------------------------------------------------------
OCCUPANCY STATUS
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
OCCUPANCY MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
STATUS* LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Owner Occupied 12,761 $2,018,232,997.59 89.27% 357 39.76% 7.459% 604 82.62%
Non-owner Occupied 1,728 219,038,266.22 9.69 357 31.45 7.923 644 84.43
Second Home 158 23,657,820.21 1.05 354 38.41 7.179 645 83.75
====================================================================================================================================
TOTAL: 14,647 $2,260,929,084.02 100.00% 357 38.94% 7.501% 608 82.81%
------------------------------------------------------------------------------------------------------------------------------------
* Based on mortgagor representation at origination.
DOCUMENTATION TYPE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
INCOME MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
DOCUMENTATION LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Full Docs 8,457 $1,252,889,814.46 55.41% 356 39.59% 7.262% 594 81.94%
Stated Docs 5,314 869,555,703.74 38.46 358 38.46 7.838 630 84.00
Limited Docs 876 138,483,565.82 6.13 356 36.07 7.543 594 83.20
====================================================================================================================================
TOTAL: 14,647 $2,260,929,084.02 100.00% 357 38.94% 7.501% 608 82.81%
------------------------------------------------------------------------------------------------------------------------------------
LOAN PURPOSE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
PURPOSE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Refi-Cash Out** 8,301 $1,369,291,319.34 60.56% 356 39.71% 7.402% 592 80.20%
Purchase 5,530 782,465,087.47 34.61 358 37.69 7.689 636 87.40
Refi-No Cashout*** 816 109,172,677.21 4.83 355 38.26 7.395 601 82.67
====================================================================================================================================
TOTAL: 14,647 $2,260,929,084.02 100.00% 357 38.94% 7.501% 608 82.81%
------------------------------------------------------------------------------------------------------------------------------------
** Cash proceeds to the borrower inclusive of debt consolidation payments exceed
2% or $2,000 of the original principal balance of the related loan. Also
includes all home equity loans originated in Texas with any cash proceeds.
***Cash proceeds to the borrower inclusive of debt consolidation payments do not
exceed 2% or $2,000 of the original principal balance of the related loan.
Excludes home equity loans originated in Texas with any cash proceeds.
CREDIT GRADE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RISK CATEGORY LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
1 10,154 $1,531,536,634.70 67.74% 357 38.51% 7.348% 624 84.52%
2 1,048 173,235,938.96 7.66 357 39.19 7.570 582 82.36
3 1,125 178,050,891.60 7.88 357 39.16 7.587 576 82.19
4 886 136,403,861.48 6.03 357 40.49 7.870 567 78.63
5 520 84,364,210.65 3.73 358 40.62 8.086 551 70.05
6 138 23,030,949.96 1.02 358 42.07 9.480 553 65.97
A+ 360 63,516,647.72 2.81 359 39.27 7.536 611 82.49
A 185 28,969,359.45 1.28 355 40.17 7.508 604 81.32
A- 55 10,432,699.05 0.46 358 41.01 8.605 549 78.92
B 64 11,389,465.63 0.50 357 40.27 8.730 554 75.03
C 59 10,591,928.76 0.47 359 42.30 9.169 535 68.63
C- 53 9,406,496.06 0.42 358 41.35 9.271 547 77.67
====================================================================================================================================
TOTAL: 14,647 $2,260,929,084.02 100.00% 357 38.94% 7.501% 608 82.81%
------------------------------------------------------------------------------------------------------------------------------------
PROPERTY TYPE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
PROPERTY TYPE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Single Family Detached 10,814 $1,626,679,720.53 71.95% 357 39.29% 7.498% 602 82.79%
Two-to-Four Family 1,106 236,285,461.94 10.45 358 36.84 7.481 640 82.39
PUD Detached 1,121 188,824,372.12 8.35 357 38.87 7.489 603 83.93
Condominium 962 138,084,633.80 6.11 359 38.66 7.585 624 84.63
Manufactured Housing 558 57,903,310.74 2.56 354 38.42 7.446 620 76.50
PUD Attached 64 10,252,104.62 0.45 358 40.37 7.716 605 86.26
Single Family Attached 22 2,899,480.27 0.13 359 38.26 7.832 591 82.74
====================================================================================================================================
TOTAL: 14,647 $2,260,929,084.02 100.00% 357 38.94% 7.501% 608 82.81%
------------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT CHARGE TERM AT ORIGINATION
------------------------------------------------------------------------------------------------------------------------------------
% OF
PREPAYMENT PRINCIPAL PRINCIPAL REMAINING
CHARGE TERM AT NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
ORIGINATION MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
(MONTHS) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
0 5,081 $ 739,889,262.46 32.73% 357 38.59% 7.705% 610 84.42%
12 548 101,404,287.18 4.49 357 38.35 7.638 624 82.54
24 5,033 783,417,570.60 34.65 358 38.85 7.594 601 82.65
36 3,985 636,217,963.78 28.14 355 39.55 7.127 612 81.18
====================================================================================================================================
TOTAL: 14,647 $2,260,929,084.02 100.00% 357 38.94% 7.501% 608 82.81%
------------------------------------------------------------------------------------------------------------------------------------
CONFORMING BALANCE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
CONFORMING MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
BALANCE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Conforming Balance 14,647 $2,260,929,084.02 100% 357 38.94% 7.501% 608 82.81%
====================================================================================================================================
TOTAL: 14,647 $2,260,929,084.02 100% 357 38.94% 7.501% 608 82.81%
------------------------------------------------------------------------------------------------------------------------------------
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MAXIMUM MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
11.000 - 11.499 87 $ 17,945,664.03 0.98% 357 41.22% 5.404% 639 77.34%
11.500 - 11.999 510 102,259,073.93 5.57 358 39.53 5.754 636 77.45
12.000 - 12.499 911 169,893,728.99 9.26 358 38.98 6.252 635 80.52
12.500 - 12.999 1,772 317,436,409.68 17.30 359 38.98 6.749 623 81.71
13.000 - 13.499 1,729 289,813,029.23 15.79 359 38.87 7.237 612 83.92
13.500 - 13.999 2,438 382,151,438.84 20.82 359 38.55 7.748 598 85.29
14.000 - 14.499 1,455 216,277,832.02 11.78 358 38.71 8.221 586 85.66
14.500 - 14.999 1,373 193,541,724.01 10.55 358 38.69 8.714 580 86.51
15.000 - 15.499 585 75,332,052.12 4.10 359 37.94 9.200 567 84.97
15.500 - 15.999 300 40,253,242.49 2.19 358 40.68 9.719 556 82.31
16.000 - 16.499 102 14,647,451.31 0.80 359 39.22 10.196 549 78.65
16.500 - 16.999 65 8,996,333.24 0.49 358 41.16 10.713 534 71.46
17.000 - 17.499 23 3,659,369.41 0.20 359 38.64 11.163 522 69.05
17.500 - 17.999 17 2,558,420.36 0.14 359 39.00 11.640 532 70.86
18.000 - 18.499 5 498,899.13 0.03 359 38.51 12.190 517 78.62
====================================================================================================================================
TOTAL: 11,372 $1,835,264,668.79 100.00% 359 38.87% 7.530% 604 83.42%
------------------------------------------------------------------------------------------------------------------------------------
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MINIMUM MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
5.000 - 5.499 87 $ 17,945,664.03 0.98% 357 41.22% 5.404% 639 77.34%
5.500 - 5.999 510 102,259,073.93 5.57 358 39.53 5.754 636 77.45
6.000 - 6.499 911 169,893,728.99 9.26 358 38.98 6.252 635 80.52
6.500 - 6.999 1,772 317,436,409.68 17.30 359 38.98 6.749 623 81.71
7.000 - 7.499 1,729 289,813,029.23 15.79 359 38.87 7.237 612 83.92
7.500 - 7.999 2,438 382,151,438.84 20.82 359 38.55 7.748 598 85.29
8.000 - 8.499 1,455 216,277,832.02 11.78 358 38.71 8.221 586 85.66
8.500 - 8.999 1,373 193,541,724.01 10.55 358 38.69 8.714 580 86.51
9.000 - 9.499 585 75,332,052.12 4.10 359 37.94 9.200 567 84.97
9.500 - 9.999 300 40,253,242.49 2.19 358 40.68 9.719 556 82.31
10.000 - 10.499 102 14,647,451.31 0.80 359 39.22 10.196 549 78.65
10.500 - 10.999 65 8,996,333.24 0.49 358 41.16 10.713 534 71.46
11.000 - 11.499 23 3,659,369.41 0.20 359 38.64 11.163 522 69.05
11.500 - 11.999 17 2,558,420.36 0.14 359 39.00 11.640 532 70.86
12.000 - 12.499 5 498,899.13 0.03 359 38.51 12.190 517 78.62
====================================================================================================================================
TOTAL: 11,372 $1,835,264,668.79 100.00% 359 38.87% 7.530% 604 83.42%
------------------------------------------------------------------------------------------------------------------------------------
MARGINS OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MORTGAGE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MARGINS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
4.500 - 4.749 182 $ 28,746,867.73 1.57% 357 38.84% 7.343% 610 84.43%
4.750 - 4.999 1 212,503.93 0.01 353 53.00 10.050 512 70.00
5.000 - 5.249 541 90,263,248.33 4.92 359 38.36 7.520 623 85.84
5.500 - 5.749 527 94,428,629.24 5.15 359 39.75 7.678 597 82.40
6.000 - 6.249 9,902 1,585,135,809.84 86.37 358 38.81 7.497 604 83.51
6.250 - 6.499 2 216,627.10 0.01 359 47.34 7.620 519 86.65
6.500 - 6.749 126 19,746,008.81 1.08 358 38.61 8.286 574 79.83
6.750 - 6.999 1 279,000.00 0.02 360 43.00 6.250 612 89.71
7.000 - 7.249 90 16,235,973.81 0.88 358 42.40 9.376 535 69.63
====================================================================================================================================
TOTAL: 11,372 $1,835,264,668.79 100.00% 359 38.87% 7.53% 604 83.42%
------------------------------------------------------------------------------------------------------------------------------------
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
NEXT RATE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
ADJUSTMENT DATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
2006-03 1 $ 136,992.52 0.01% 352 54.00% 6.55% 576 75.00%
2006-04 35 5,716,856.54 0.31 353 41.51 7.655 557 78.87
2006-05 29 3,535,075.15 0.19 354 39.84 7.261 583 82.26
2006-06 86 12,784,914.10 0.70 355 38.81 7.567 570 77.47
2006-07 110 18,349,979.37 1.00 354 38.96 7.671 585 82.36
2006-08 55 7,996,120.35 0.44 357 38.61 7.531 595 85.11
2006-09 830 126,669,250.35 6.90 358 39.57 7.636 589 83.17
2006-10 6,516 1,049,475,923.91 57.18 359 39.00 7.560 604 83.26
2006-11 642 95,325,487.00 5.19 360 38.73 7.806 593 85.03
2007-03 2 193,107.03 0.01 352 25.04 7.976 580 87.24
2007-04 10 1,474,620.08 0.08 353 38.74 6.953 583 80.73
2007-05 10 1,484,356.40 0.08 348 35.97 6.759 601 84.82
2007-06 23 4,125,536.79 0.22 355 41.63 7.547 579 82.39
2007-07 46 7,417,454.36 0.40 356 40.68 7.308 603 79.01
2007-08 24 4,146,451.01 0.23 357 39.29 7.366 602 82.11
2007-09 279 43,430,883.13 2.37 358 39.74 7.411 601 83.47
2007-10 2,453 416,815,396.70 22.71 359 38.21 7.376 615 83.77
2007-11 221 36,186,264.00 1.97 359 38.52 7.509 606 85.11
====================================================================================================================================
TOTAL: 11,372 $1,835,264,668.79 100.00% 359 38.87% 7.53% 604 83.42%
------------------------------------------------------------------------------------------------------------------------------------
INITIAL PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
INITIAL PERIODIC MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATE CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
2.000 11,372 $1,835,264,668.79 100.00% 359 38.87% 7.53% 604 83.42%
====================================================================================================================================
TOTAL: 11,372 $1,835,264,668.79 100.00% 359 38.87% 7.53% 604 83.42%
------------------------------------------------------------------------------------------------------------------------------------
SUBSEQUENT PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
SUBSEQUENT NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
PERIODIC MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATE CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
1.000 11,372 $1,835,264,668.79 100.00% 359 38.87% 7.53% 604 83.42%
====================================================================================================================================
TOTAL: 11,372 $1,835,264,668.79 100.00% 359 38.87% 7.53% 604 83.42%
------------------------------------------------------------------------------------------------------------------------------------
GROUP II MORTGAGE LOAN STATISTICS
The Initial Group II Mortgage Loans consist of 3,649 adjustable-rate
and fixed-rate Mortgage Loans having an aggregate principal balance as of the
Cut-off Date of approximately $ 471,290,900, after application of scheduled
payments due on or before the Cut-off Date whether or not received and
application of all unscheduled payments of principal received prior to the
Cut-off Date. None of the Initial Group II Mortgage Loans had a first Due Date
prior to May 1, 2004 or after December 1, 2004 or will have a remaining term to
stated maturity of less than 177 months or greater than 360 months as of the
Cut-off Date. The latest maturity date of any Initial Group II Mortgage Loan is
November 1, 2034.
COLLATERAL TYPE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
COLLATERAL TYPE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
2-yr Fixed/Adjustable 2,143 $ 283,445,996.34 60.14% 358 38.59% 7.594% 599 82.76%
Rate
3-yr Fixed/Adjustable
Rate 664 97,023,905.97 20.59 358 37.80 7.418 610 83.89
Fixed 842 90,820,997.89 19.27 348 38.61 7.415 624 81.20
====================================================================================================================================
TOTAL: 3,649 $ 471,290,900.20 100.00% 356 38.43% 7.523% 606 82.69%
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL BALANCES AT ORIGINATION
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF PRINCIPAL NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
BALANCES AT MORTGAGE AS OF AS OF MATURITY INCOME RATES OLTV
ORIGINATION ($) LOANS ORIGINATION ORIGINATION (MONTHS)* (%)* (%)* FICO* (%)*
------------------------------------------------------------------------------------------------------------------------------------
<=50,000.00 184 $ 7,152,607.00 1.52% 352 35.29% 9.374% 646 85.92%
50,000.01 - 100,000.00 1,528 110,414,985.00 23.41 353 35.95 8.023 599 82.22
100,000.01 - 150,000.00 822 100,992,927.00 21.41 356 38.07 7.565 602 82.98
150,000.01 - 200,000.00 473 82,391,760.00 17.47 357 39.38 7.495 602 82.14
200,000.01 - 250,000.00 288 64,412,967.00 13.65 358 39.61 7.194 604 81.87
250,000.01 - 300,000.00 210 57,677,813.00 12.23 359 39.66 7.148 606 82.96
300,000.01 - 350,000.00 110 34,992,994.00 7.42 359 41.07 7.025 633 83.79
350,000.01 - 400,000.00 22 8,308,300.00 1.76 359 40.90 6.877 645 86.29
400,000.01 - 450,000.00 7 2,989,150.00 0.63 359 39.68 6.653 656 86.36
450,000.01 - 500,000.00 5 2,412,999.00 0.51 359 34.98 6.569 651 83.70
====================================================================================================================================
TOTAL: 3,649 $ 471,746,502.00 100.00% 356 38.43% 7.523% 606 82.69%
------------------------------------------------------------------------------------------------------------------------------------
* Based on the original balances of the Initial Mortgage Loans.
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF PRINCIPAL NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
BALANCES AS OF THE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
CUT-OFF DATE ($) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
<=50,000.00 193 $ 7,595,575.96 1.61% 352 35.28% 9.302% 643 85.72%
50,000.01 - 100,000.00 1,519 109,862,473.20 23.31 353 35.95 8.023 599 82.22
100,000.01 - 150,000.00 823 101,048,280.85 21.44 356 38.08 7.566 602 82.96
150,000.01 - 200,000.00 472 82,166,137.01 17.43 357 39.36 7.494 602 82.16
200,000.01 - 250,000.00 288 64,347,783.32 13.65 358 39.61 7.194 604 81.87
250,000.01 - 300,000.00 210 57,617,552.63 12.23 359 39.66 7.148 606 82.96
300,000.01 - 350,000.00 110 34,957,121.94 7.42 359 41.07 7.025 633 83.79
350,000.01 - 400,000.00 22 8,298,640.76 1.76 359 40.90 6.877 645 86.28
400,000.01 - 450,000.00 7 2,986,494.42 0.63 359 39.68 6.653 656 86.37
450,000.01 - 500,000.00 5 2,410,840.11 0.51 359 34.98 6.569 651 83.70
====================================================================================================================================
TOTAL: 3,649 $ 471,290,900.20 100.00% 356 38.43% 7.523% 606 82.69%
------------------------------------------------------------------------------------------------------------------------------------
REMAINING TERM TO MATURITY
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MONTHS MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
REMAINING LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
120 - 180 48 $ 4,001,475.90 0.85% 179 37.24% 7.306% 607 73.69%
180 - 240 42 3,795,922.76 0.81 239 35.30 7.260 616 76.05
300 - 360 3,559 463,493,501.54 98.35 359 38.47 7.527 606 82.82
====================================================================================================================================
TOTAL: 3,649 $ 471,290,900.20 100.00% 356 38.43% 7.523% 606 82.69%
------------------------------------------------------------------------------------------------------------------------------------
MORTGAGE RATE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF CURRENT MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
5.000 - 5.499 25 $ 4,883,014.60 1.04% 359 35.63% 5.422% 644 78.08%
5.500 - 5.999 195 37,113,000.28 7.87 354 39.22 5.736 638 75.12
6.000 - 6.499 261 44,197,860.03 9.38 355 38.55 6.254 626 78.43
6.500 - 6.999 548 82,703,598.15 17.55 357 38.64 6.745 622 81.93
7.000 - 7.499 525 72,051,508.14 15.29 355 38.95 7.251 610 83.30
7.500 - 7.999 662 86,047,894.54 18.26 357 37.95 7.736 599 84.71
8.000 - 8.499 440 49,615,049.73 10.53 357 38.33 8.222 591 85.17
8.500 - 8.999 392 43,328,814.14 9.19 357 37.94 8.710 579 85.23
9.000 - 9.499 261 26,123,545.36 5.54 356 37.73 9.205 580 85.42
9.500 - 9.999 164 13,470,919.25 2.86 355 37.62 9.716 582 84.82
10.000 - 10.499 48 3,746,933.79 0.80 354 39.97 10.188 562 78.03
10.500 - 10.999 49 3,600,526.38 0.76 356 39.44 10.726 607 84.96
11.000 - 11.499 48 2,605,565.93 0.55 359 41.12 11.128 647 90.64
11.500 - 11.999 23 1,168,116.39 0.25 359 40.83 11.702 596 82.69
12.000 - 12.499 7 566,970.22 0.12 359 40.47 12.120 544 70.49
12.500 - 12.999 1 67,583.27 0.01 359 45.00 12.650 543 65.00
====================================================================================================================================
TOTAL: 3,649 $ 471,290,900.20 100.00% 356 38.43% 7.523% 606 82.69%
------------------------------------------------------------------------------------------------------------------------------------
ORIGINAL LOAN-TO-VALUE RATIOS
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF ORIGINAL NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
LOAN-TO-VALUE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATIOS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%) (1)
------------------------------------------------------------------------------------------------------------------------------------
25.01 - 30.00 7 $ 614,154.66 0.13% 320 35.65% 6.786% 580 27.17%
30.01 - 35.00 4 453,693.53 0.10 357 38.67 6.196 751 33.39
35.01 - 40.00 17 1,649,533.21 0.35 359 39.71 6.989 565 37.56
40.01 - 45.00 18 2,257,976.89 0.48 340 41.18 6.719 601 42.58
45.01 -50.00 43 4,940,008.97 1.05 350 38.05 6.997 591 48.32
50.01 -55.00 37 4,514,400.93 0.96 358 35.89 6.972 595 52.70
55.01 - 60.00 79 9,541,741.65 2.02 356 38.56 7.194 589 58.32
60.01 - 65.00 117 15,463,542.21 3.28 352 40.54 7.450 576 63.67
65.01 - 70.00 214 28,213,598.27 5.99 351 40.06 7.509 571 68.87
70.01 - 75.00 298 38,999,100.80 8.27 355 39.26 7.552 577 74.18
75.01 - 80.00 715 100,631,786.34 21.35 357 37.82 7.107 614 79.69
80.01 - 85.00 433 55,824,940.67 11.85 356 37.97 7.375 589 84.63
85.01 - 90.00 994 122,695,102.09 26.03 357 38.02 7.778 602 89.75
90.01 - 95.00 467 72,854,689.83 15.46 358 39.10 7.610 642 94.81
95.01 - 100.00 206 12,636,630.15 2.68 358 37.09 9.498 692 100.00
====================================================================================================================================
TOTAL: 3,649 $ 471,290,900.20 100.00% 356 38.43% 7.523% 606 82.69%
------------------------------------------------------------------------------------------------------------------------------------
(1) The loan-to-value ("OLTV") of a first-lien mortgage at any given time is a
fraction, expressed as a percentage, the numerator of which is the principal
balance of the mortgage loan at the date of origination and the denominator of
which is the lesser of the sales price of the related mortgage property and its
appraised value determined in an appraisal obtained by the originator at
origination of the mortgage loan. The OLTV of a second lien mortgage loan at
any given time is a fraction, expressed as a percentage the numerator of which
is (i) the sum of (a) the principal balance of such mortgage loan at the date
of origination plus (b) the outstanding balance of the senior mortgage loan at
the date of origination of such mortgage loan and the denominator of which is
(ii) the lesser of the sales price of the related mortgage property and its
appraised value determined in an appraisal obtained by the originator at
origination of the mortgage loan.
FICO SCORE AT ORIGINATION
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
FICO SCORES LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
500 - 519 303 $ 36,931,727.02 7.84% 356 41.62% 8.375% 510 77.15%
520 - 539 342 42,736,399.55 9.07 358 40.04 7.942 529 78.62
540 - 559 398 47,564,069.19 10.09 356 39.49 7.926 551 79.53
560 - 579 341 41,467,721.86 8.80 355 39.45 7.759 569 80.43
580 - 599 393 50,558,528.41 10.73 357 38.83 7.450 588 81.85
600 - 619 447 62,383,964.14 13.24 357 38.33 7.225 609 83.80
620 - 639 373 52,080,938.92 11.05 356 37.96 7.209 629 84.94
640 - 659 281 39,528,617.83 8.39 355 38.29 7.165 650 85.67
660 - 679 258 33,810,261.88 7.17 358 36.73 7.273 668 86.56
680 - 699 215 27,242,511.80 5.78 355 35.70 7.211 689 86.94
700 - 719 123 16,040,908.44 3.40 357 35.49 7.317 709 86.14
720 - 739 83 10,532,313.56 2.23 357 35.14 7.190 730 85.37
740 - 759 50 5,997,415.62 1.27 359 34.92 7.436 749 89.76
760 - 779 27 2,673,046.32 0.57 359 34.06 7.466 768 84.96
780 - 799 13 1,323,810.01 0.28 349 26.18 7.351 785 81.89
800 - 819 2 418,665.65 0.09 357 38.07 5.639 807 42.05
====================================================================================================================================
TOTAL: 3,649 $ 471,290,900.20 100.00% 356 38.43% 7.523% 606 82.69%
------------------------------------------------------------------------------------------------------------------------------------
DEBT-TO-INCOME RATIO
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
DEBT-TO-INCOME MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATIOS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
<=20.00 254 $ 26,423,347.42 5.61% 354 14.38% 7.709% 627 82.77%
20.01 - 25.00 243 25,877,932.05 5.49 358 23.15 7.467 620 81.91
25.01 - 30.00 370 41,514,706.93 8.81 355 28.09 7.555 608 81.78
30.01 - 35.00 499 61,078,219.39 12.96 356 33.08 7.413 613 82.80
35.01 - 40.00 613 81,273,717.36 17.24 357 38.13 7.547 613 82.87
40.01 - 45.00 786 111,377,826.85 23.63 357 43.16 7.532 613 84.65
45.01 - 50.00 753 105,187,288.38 22.32 356 48.07 7.497 589 83.42
50.01 - 55.00 131 18,557,861.82 3.94 358 53.02 7.615 560 68.57
====================================================================================================================================
TOTAL: 3,649 $ 471,290,900.20 100.00% 356 38.43% 7.523% 606 82.69%
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
STATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Alaska 13 $ 1,630,111.12 0.35% 359 34.48% 7.439% 648 84.91%
Alabama 42 3,752,324.41 0.80 353 39.11 7.779 591 85.90
Arkansas 5 496,495.91 0.11 358 36.48 7.846 573 76.48
Arizona 267 27,273,839.64 5.79 351 36.47 7.433 619 84.76
California 438 91,484,880.32 19.41 358 40.24 7.019 602 77.16
Colorado 54 7,721,243.14 1.64 359 36.93 7.415 620 86.67
Connecticut 26 4,282,983.57 0.91 358 35.14 7.679 597 82.51
Delaware 7 1,076,961.00 0.23 359 39.79 8.151 566 79.68
Florida 462 54,802,109.63 11.63 355 38.96 7.648 601 83.37
Georgia 61 7,582,276.35 1.61 357 36.52 7.554 618 87.87
Hawaii 37 9,019,125.76 1.91 359 42.18 6.678 632 79.06
Iowa 41 3,369,660.43 0.71 356 36.77 7.849 583 83.52
Idaho 6 639,386.80 0.14 344 35.04 7.692 610 79.80
Illinois 241 36,928,427.10 7.84 358 39.48 7.516 630 86.39
Indiana 162 11,030,702.78 2.34 354 34.62 8.090 604 85.82
Kansas 21 1,617,266.50 0.34 359 38.32 8.247 590 83.21
Kentucky 30 2,453,526.44 0.52 359 38.11 7.832 577 81.25
Louisiana 55 5,235,445.96 1.11 354 37.12 7.947 588 84.26
Massachusetts 49 9,561,663.33 2.03 359 38.51 7.364 628 80.98
Maryland 107 16,052,309.88 3.41 359 36.21 7.313 594 82.25
Maine 17 1,916,967.96 0.41 351 37.75 7.260 592 85.58
Michigan 350 31,842,518.61 6.76 358 36.94 7.926 591 83.26
Minnesota 46 6,579,091.76 1.40 358 39.07 7.468 606 83.77
Missouri 106 9,273,512.97 1.97 359 35.63 8.025 591 84.33
Mississippi 22 1,678,185.44 0.36 359 37.73 8.556 585 86.43
North Carolina 19 1,907,955.13 0.40 356 34.81 7.946 596 86.11
North Dakota 2 144,329.50 0.03 256 39.87 7.096 606 85.52
Nebraska 17 1,392,100.93 0.30 358 36.30 8.013 613 87.67
New Hampshire 8 1,588,605.13 0.34 358 38.40 7.109 577 81.03
New Jersey 64 13,095,850.28 2.78 359 41.06 7.527 616 83.98
New Mexico 10 1,309,712.57 0.28 359 39.18 7.973 603 86.72
Nevada 85 14,750,231.03 3.13 359 38.70 7.531 616 82.79
New York 78 18,270,088.78 3.88 358 39.88 7.323 621 82.41
Ohio 120 9,297,220.90 1.97 351 36.75 7.969 594 87.00
Oklahoma 22 1,881,879.45 0.40 359 37.69 8.168 586 89.84
Oregon 20 2,723,054.05 0.58 359 39.58 7.672 619 79.34
Pennsylvania 118 11,522,223.91 2.44 352 35.45 7.936 589 82.77
Rhode Island 22 3,367,346.18 0.71 359 39.44 7.916 619 81.84
South Carolina 11 1,053,163.35 0.22 359 36.87 7.436 619 84.83
South Dakota 3 332,476.90 0.07 358 39.07 8.600 534 83.37
Tennessee 73 5,776,638.14 1.23 354 39.47 7.886 608 85.82
Texas 138 14,045,005.95 2.98 344 36.08 8.048 595 85.36
Utah 46 4,838,247.29 1.03 359 37.59 7.778 646 88.64
Vermont 1 132,903.25 0.03 359 43.00 7.600 619 95.00
Washington 59 9,325,743.41 1.98 359 39.80 7.328 615 82.53
Wisconsin 64 6,870,007.53 1.46 359 38.50 8.099 587 82.84
Wyoming 4 365,099.73 0.08 322 41.85 7.537 581 79.63
====================================================================================================================================
TOTAL: 3,649 $ 471,290,900.20 100.00% 356 38.43% 7.523% 606 82.69%
------------------------------------------------------------------------------------------------------------------------------------
OCCUPANCY STATUS
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
OCCUPANCY MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
STATUS* LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Owner Occupied 3,015 $ 407,459,379.71 86.46% 356 39.33% 7.454% 601 82.53%
Non-owner Occupied 596 58,487,997.31 12.41 357 32.04 8.017 641 83.93
Second Home 38 5,343,523.18 1.13 359 39.58 7.389 644 81.18
====================================================================================================================================
TOTAL: 3,649 $ 471,290,900.20 100.00% 356 38.43% 7.523% 606 82.69%
------------------------------------------------------------------------------------------------------------------------------------
* Based on mortgagor representation at origination.
DOCUMENTATION TYPE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
INCOME MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
DOCUMENTATION LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Full Docs 2,153 $ 265,174,978.53 56.27% 356 39.09% 7.292% 590 81.59%
Stated Docs 1,283 175,738,301.88 37.29 357 37.86 7.889 631 84.25
Limited Docs 213 30,377,619.79 6.45 356 35.96 7.420 599 83.25
====================================================================================================================================
TOTAL: 3,649 $ 471,290,900.20 100.00% 356 38.43% 7.523% 606 82.69%
------------------------------------------------------------------------------------------------------------------------------------
LOAN PURPOSE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
PURPOSE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Refi-Cash Out** 2,228 $ 296,201,686.61 62.85% 356 39.07% 7.434% 588 79.99%
Purchase 1,232 152,058,384.51 32.26 358 37.17 7.727 642 87.91
Refi-No Cashout*** 189 23,030,829.08 4.89 351 38.46 7.315 611 82.93
====================================================================================================================================
TOTAL: 3,649 $ 471,290,900.20 100.00% 356 38.43% 7.523% 606 82.69%
------------------------------------------------------------------------------------------------------------------------------------
** Cash proceeds to the borrower inclusive of debt consolidation payments exceed
2% or $2,000 of the original principal balance of the related loan. Also
includes all home equity loans originated in Texas with any cash proceeds.
***Cash proceeds to the borrower inclusive of debt consolidation payments do not
exceed 2% or $2,000 of the original principal balance of the related loan.
Excludes home equity loans originated in Texas with any cash proceeds.
CREDIT GRADE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RISK CATEGORY LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
1 2,452 $ 310,043,285.13 65.79% 356 37.88% 7.372% 625 84.68%
2 267 36,872,476.84 7.82 357 38.95 7.551 579 82.88
3 311 39,628,517.98 8.41 356 39.21 7.474 571 80.69
4 238 29,224,011.42 6.20 353 37.47 7.894 567 78.54
5 148 19,424,622.65 4.12 359 41.02 8.081 549 70.57
6 40 5,417,114.69 1.15 359 43.13 9.786 547 68.85
A+ 90 13,796,735.92 2.93 358 39.15 7.711 610 82.54
A 42 6,920,918.73 1.47 359 41.47 7.411 594 81.04
A- 16 2,700,594.77 0.57 359 40.20 7.765 560 75.91
B 13 2,055,007.44 0.44 359 38.51 8.568 524 71.20
C 21 3,637,091.90 0.77 358 45.60 8.991 545 71.33
C- 11 1,570,522.73 0.33 352 45.11 10.072 528 72.26
====================================================================================================================================
TOTAL: 3,649 $ 471,290,900.20 100.00% 356 38.43% 7.523% 606 82.69%
------------------------------------------------------------------------------------------------------------------------------------
PROPERTY TYPE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
PROPERTY TYPE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Single Family Detached 2,800 $ 350,674,749.07 74.41% 356 38.71% 7.516% 600 82.47%
Two-to-Four Family 270 44,797,269.60 9.51 358 36.63 7.650 636 84.34
PUD Detached 213 34,559,890.19 7.33 356 38.63 7.425 609 85.18
Condominium 215 28,391,216.29 6.02 359 38.22 7.539 626 83.04
Manufactured Housing 140 11,625,400.49 2.47 352 37.48 7.527 624 74.31
PUD Attached 6 836,892.89 0.18 359 32.03 7.144 642 89.37
Single Family Attached 5 405,481.67 0.09 359 34.47 7.389 593 84.34
====================================================================================================================================
TOTAL: 3,649 $ 471,290,900.20 100.00% 356 38.43% 7.523% 606 82.69%
------------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT CHARGE TERM AT ORIGINATION
------------------------------------------------------------------------------------------------------------------------------------
% OF
PREPAYMENT PRINCIPAL PRINCIPAL REMAINING
CHARGE TERM AT NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
ORIGINATION MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
(MONTHS) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
0 1,035 $ 133,747,395.19 28.38% 357 38.45% 7.658% 617 84.97%
12 90 13,828,279.28 2.93 358 39.12 7.922 616 81.03
24 1,321 169,530,241.42 35.97 358 38.17 7.648 599 82.49
36 1,203 154,184,984.31 32.72 353 38.63 7.233 604 81.07
====================================================================================================================================
TOTAL: 3,649 $ 471,290,900.20 100.00% 356 38.43% 7.523% 606 82.69%
------------------------------------------------------------------------------------------------------------------------------------
CONFORMING BALANCE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
CONFORMING MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
BALANCE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Conforming Balance 3,649 $ 471,290,900.20 100.00% 356 38.43% 7.523% 606 82.69%
====================================================================================================================================
TOTAL: 3,649 $ 471,290,900.20 100.00% 356 38.43% 7.523% 606 82.69%
------------------------------------------------------------------------------------------------------------------------------------
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MAXIMUM MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
11.000 - 11.499 24 $ 4,582,347.18 1.20% 359 35.28% 5.420% 642 78.38%
11.500 - 11.999 133 24,524,064.17 6.45 357 38.43 5.724 632 75.45
12.000 - 12.499 186 32,262,906.48 8.48 358 38.79 6.255 624 79.26
12.500 - 12.999 421 64,470,835.10 16.95 359 38.69 6.749 620 82.97
13.000 - 13.499 435 60,878,221.05 16.00 359 39.10 7.254 609 83.72
13.500 - 13.999 546 73,616,406.06 19.35 358 37.64 7.735 599 85.18
14.000 - 14.499 373 43,933,973.99 11.55 358 38.25 8.223 589 85.21
14.500 - 14.999 332 38,113,884.39 10.02 359 38.08 8.712 576 85.29
15.000 - 15.499 199 21,522,284.61 5.66 359 37.91 9.193 573 84.84
15.500 - 15.999 93 9,842,140.57 2.59 359 38.72 9.733 558 82.39
16.000 - 16.499 30 2,884,524.22 0.76 359 40.07 10.173 549 73.87
16.500 - 16.999 17 1,975,610.74 0.52 359 38.17 10.704 534 74.14
17.000 - 17.499 6 795,763.28 0.21 359 48.66 11.057 529 69.37
17.500 - 17.999 6 546,753.42 0.14 359 44.00 11.721 516 63.02
18.000 - 18.499 5 452,603.78 0.12 358 40.37 12.143 517 63.04
18.500 - 18.999 1 67,583.27 0.02 359 45.00 12.650 543 65.00
====================================================================================================================================
TOTAL: 2,807 $ 380,469,902.31 100.00% 358 38.39% 7.549% 602 83.05%
------------------------------------------------------------------------------------------------------------------------------------
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MINIMUM MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
5.000 - 5.499 24 $ 4,582,347.18 1.20% 359 35.28% 5.420% 642 78.38%
5.500 - 5.999 133 24,524,064.17 6.45 357 38.43 5.724 632 75.45
6.000 - 6.499 186 32,262,906.48 8.48 358 38.79 6.255 624 79.26
6.500 - 6.999 421 64,470,835.10 16.95 359 38.69 6.749 620 82.97
7.000 - 7.499 435 60,878,221.05 16.00 359 39.10 7.254 609 83.72
7.500 - 7.999 546 73,616,406.06 19.35 358 37.64 7.735 599 85.18
8.000 - 8.499 373 43,933,973.99 11.55 358 38.25 8.223 589 85.21
8.500 - 8.999 332 38,113,884.39 10.02 359 38.08 8.712 576 85.29
9.000 - 9.499 199 21,522,284.61 5.66 359 37.91 9.193 573 84.84
9.500 - 9.999 93 9,842,140.57 2.59 359 38.72 9.733 558 82.39
10.000 - 10.499 30 2,884,524.22 0.76 359 40.07 10.173 549 73.87
10.500 - 10.999 17 1,975,610.74 0.52 359 38.17 10.704 534 74.14
11.000 - 11.499 6 795,763.28 0.21 359 48.66 11.057 529 69.37
11.500 - 11.999 6 546,753.42 0.14 359 44.00 11.721 516 63.02
12.000 - 12.499 5 452,603.78 0.12 358 40.37 12.143 517 63.04
12.500 - 12.999 1 67,583.27 0.02 359 45.00 12.650 543 65.00
------------------------------------------------------------------------------------------------------------------------------------
Total: 2,807 $ 380,469,902.31 100.00% 358 38.39% 7.549% 602 83.05%
------------------------------------------------------------------------------------------------------------------------------------
MARGINS OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MORTGAGE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MARGINS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
4.500 - 4.749 58 $ 6,359,326.32 1.67% 355 38.96% 7.636% 595 85.49%
5.000 - 5.249 93 14,712,811.02 3.87 359 37.67 7.371 635 86.57
5.500 - 5.749 135 22,291,845.33 5.86 359 40.07 7.675 599 82.05
6.000 - 6.249 2,468 329,085,317.66 86.49 358 38.21 7.516 602 83.19
6.500 - 6.749 27 3,699,587.42 0.97 358 37.20 7.951 561 73.28
7.000 - 7.249 26 4,321,014.56 1.14 359 45.79 9.551 536 69.83
====================================================================================================================================
TOTAL: 2,807 $ 380,469,902.31 100.00% 358 38.39% 7.549% 602 83.05%
------------------------------------------------------------------------------------------------------------------------------------
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
NEXT RATE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
ADJUSTMENT DATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
2006-04 11 $ 1,180,612.69 0.31% 353 37.82% 7.382% 574 77.51%
2006-05 17 1,324,245.20 0.35 354 38.53 7.901 558 81.67
2006-06 12 1,465,049.57 0.39 355 42.98 7.514 553 78.34
2006-07 22 3,256,095.03 0.86 356 43.50 7.763 565 86.00
2006-08 14 2,277,268.55 0.60 357 40.17 7.771 573 82.04
2006-09 230 29,432,518.02 7.74 357 37.91 7.416 592 82.37
2006-10 1,670 227,027,922.28 59.67 359 38.59 7.587 602 82.86
2006-11 167 17,482,285.00 4.59 358 38.33 7.923 600 82.37
2007-04 4 773,004.38 0.20 353 46.22 7.056 571 76.45
2007-06 4 723,385.32 0.19 355 31.34 6.707 568 85.15
2007-07 7 1,253,820.22 0.33 356 38.46 7.379 611 83.06
2007-08 4 971,126.10 0.26 357 33.91 8.153 609 88.67
2007-09 66 8,493,131.14 2.23 358 35.72 7.507 588 83.48
2007-10 503 76,052,042.81 19.99 359 38.48 7.402 615 84.34
2007-11 76 8,757,396.00 2.30 358 34.04 7.481 595 80.54
====================================================================================================================================
TOTAL: 2,807 $ 380,469,902.31 100.00% 358 38.39% 7.549% 602 83.05%
------------------------------------------------------------------------------------------------------------------------------------
INITIAL PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
INITIAL PERIODIC MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATE CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
2.000 2,807 $ 380,469,902.31 100% 358 38.39% 7.549% 602 83.05%
====================================================================================================================================
TOTAL: 2,807 $ 380,469,902.31 100% 358 38.39% 7.549% 602 83.05%
------------------------------------------------------------------------------------------------------------------------------------
SUBSEQUENT PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
SUBSEQUENT PERIODIC MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATE CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
1.000 2,807 $ 380,469,902.31 100% 358 38.39% 7.549% 602 83.05%
====================================================================================================================================
TOTAL: 2,807 $ 380,469,902.31 100% 358 38.39% 7.549% 602 83.05%
------------------------------------------------------------------------------------------------------------------------------------
GROUP III MORTGAGE LOAN STATISTICS
The Initial Group III Mortgage Loans consist of 1,847 adjustable-rate
and fixed-rate Mortgage Loans having an aggregate principal balance as of the
Cut-off Date of approximately $717,781,040, after application of scheduled
payments due on or before the Cut-off Date whether or not received and
application of all unscheduled payments of principal received prior to the
Cut-off Date. None of the Initial Group III Mortgage Loans had a first Due Date
prior to April 1, 2004 or after December 1, 2004 or will have a remaining term
to stated maturity of less than 179 months or greater than 360 months as of the
Cut-off Date. The latest maturity date of any Initial Group III Mortgage Loan is
November 1, 2034.
COLLATERAL TYPE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
COLLATERAL TYPE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
2-yr Fixed/Adjustable 1,064 $ 433,745,229.28 60.43% 359 41.00% 7.237% 606 84.17%
Rate
3-yr Fixed/Adjustable
Rate 316 127,650,964.92 17.78 359 40.74 7.313 625 85.41
Fixed 467 156,384,846.49 21.79 356 38.14 6.634 651 80.00
====================================================================================================================================
TOTAL: 1,847 $ 717,781,040.69 100.00% 358 40.33% 7.119% 619 83.48%
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL BALANCES AT ORIGINATION
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF PRINCIPAL NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
BALANCES AT MORTGAGE AS OF AS OF MATURITY INCOME RATES OLTV
ORIGINATION ($) LOANS ORIGINATION ORIGINATION (MONTHS)* (%)* (%)* FICO* (%)*
------------------------------------------------------------------------------------------------------------------------------------
50,001 - 100,000 204 $ 15,940,673.00 2.22% 356 36.58% 10.714% 633 96.18%
100,001 - 150,000 40 4,906,548.00 0.68 354 38.86 9.424 591 89.44
150,001 - 200,000 18 3,071,765.00 0.43 359 39.28 9.337 589 88.33
200,001 - 250,000 1 220,100.00 0.03 359 24.00 9.200 554 84.98
250,001 - 300,000 6 1,645,650.00 0.23 358 45.30 9.143 568 82.59
300,001 - 350,000 218 74,479,698.00 10.37 358 41.27 7.157 609 83.51
350,001 - 400,000 501 187,493,708.00 26.10 359 40.73 6.987 618 84.12
400,001 - 450,000 294 125,533,781.00 17.47 359 41.74 7.140 624 85.11
450,001 - 500,000 277 133,122,377.00 18.53 358 39.23 7.083 628 84.00
500,001 - 550,000 106 55,884,051.00 7.78 356 40.59 6.839 617 81.54
550,001 - 600,000 79 45,351,618.00 6.31 357 39.38 6.879 607 81.84
600,001 - 650,000 38 24,133,449.00 3.36 356 39.19 6.690 622 79.45
650,001 - 700,000 23 15,659,500.00 2.18 359 41.54 6.789 608 76.75
700,001 - 750,000 42 31,036,872.00 4.32 359 38.00 6.692 618 75.22
====================================================================================================================================
TOTAL: 1,847 $ 718,479,790.00 100.00% 358 40.33% 7.119% 619 83.48%
------------------------------------------------------------------------------------------------------------------------------------
* Based on the original balances of the Initial Mortgage Loans.
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF PRINCIPAL NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
BALANCES AS OF THE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
CUT-OFF DATE ($) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
50,000.01 - 100,000.00 204 $ 15,931,646.86 2.22% 356 36.58% 10.714% 633 96.18%
100,000.01 - 150,000.00 40 4,902,059.44 0.68 354 38.86 9.425 591 89.44
150,000.01 - 200,000.00 18 3,069,509.15 0.43 359 39.27 9.337 589 88.33
200,000.01 - 250,000.00 1 219,984.69 0.03 359 24.00 9.200 554 84.98
250,000.01 - 300,000.00 6 1,643,752.52 0.23 358 45.30 9.143 568 82.59
300,000.01 - 350,000.00 219 74,759,669.41 10.42 358 41.27 7.155 609 83.51
350,000.01 - 400,000.00 501 187,352,926.96 26.10 359 40.74 6.985 619 84.12
400,000.01 - 450,000.00 295 125,914,185.37 17.54 359 41.66 7.145 624 85.13
450,000.01 - 500,000.00 275 132,072,907.79 18.40 358 39.28 7.083 627 83.98
500,000.01 - 550,000.00 106 55,834,860.80 7.78 356 40.59 6.839 617 81.54
550,000.01 - 600,000.00 79 45,312,554.17 6.31 357 39.38 6.879 607 81.84
600,000.01 - 650,000.00 38 24,112,470.48 3.36 356 39.19 6.690 622 79.45
650,000.01 - 700,000.00 23 15,645,880.48 2.18 359 41.54 6.790 608 76.75
700,000.01 - 750,000.00 42 31,008,632.57 4.32 359 38.01 6.692 618 75.23
====================================================================================================================================
TOTAL: 1,847 $ 717,781,040.69 100.00% 358 40.33% 7.119% 619 83.48%
------------------------------------------------------------------------------------------------------------------------------------
REMAINING TERM TO MATURITY
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MONTHS MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
REMAINING LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
120 - 180 5 $ 1,619,600.53 0.23% 179 37.39% 6.198% 633 73.90%
180 - 240 7 1,936,302.86 0.27 239 37.24 7.026 643 88.90
300 - 360 1,835 714,225,137.30 99.50 359 40.34 7.121 619 83.49
====================================================================================================================================
TOTAL: 1,847 $ 717,781,040.69 100.00% 358 40.33% 7.119% 619 83.48%
------------------------------------------------------------------------------------------------------------------------------------
MORTGAGE RATE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF CURRENT MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
5.000 - 5.499 34 $ 14,962,310.44 2.08% 359 40.26% 5.399% 644 80.39%
5.500 - 5.999 314 140,081,271.60 19.52 356 40.31 5.759 652 78.45
6.000 - 6.499 198 89,287,095.62 12.44 359 39.83 6.240 631 81.57
6.500 - 6.999 323 140,478,065.84 19.57 359 39.54 6.742 617 84.15
7.000 - 7.499 183 80,693,184.10 11.24 358 39.41 7.244 617 83.49
7.500 - 7.999 244 104,125,469.79 14.51 359 42.09 7.714 602 86.91
8.000 - 8.499 134 56,556,800.26 7.88 359 41.47 8.251 602 87.63
8.500 - 8.999 101 39,749,501.69 5.54 358 39.29 8.689 583 85.41
9.000 - 9.499 101 22,328,321.38 3.11 359 41.02 9.254 582 85.89
9.500 - 9.999 50 10,058,588.23 1.40 359 42.14 9.709 564 80.66
10.000 - 10.499 25 4,278,730.45 0.60 356 40.45 10.233 588 86.39
10.500 - 10.999 40 6,537,689.62 0.91 358 41.13 10.708 589 83.32
11.000 - 11.499 47 4,179,896.14 0.58 354 38.71 11.182 644 95.63
11.500 - 11.999 16 1,565,661.97 0.22 352 38.75 11.629 617 96.70
12.000 - 12.499 34 2,678,767.16 0.37 359 38.95 12.239 636 100.00
12.500 - 12.999 3 219,686.40 0.03 358 40.02 12.500 640 100.00
====================================================================================================================================
TOTAL: 1,847 $ 717,781,040.69 100.00% 358 40.33% 7.119% 619 83.48%
------------------------------------------------------------------------------------------------------------------------------------
ORIGINAL LOAN-TO-VALUE RATIOS
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF ORIGINAL NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
LOAN-TO-VALUE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATIOS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%) (1)
------------------------------------------------------------------------------------------------------------------------------------
<=25.00 2 $ 1,056,167.50 0.15% 359 50.36% 7.202% 552 17.90%
25.01 - 30.00 1 588,482.86 0.08 359 46.00 6.650 591 27.94
40.01 - 45.00 2 999,118.82 0.14 359 43.00 6.950 678 42.11
45.01 - 50.00 11 5,052,343.89 0.70 359 37.01 6.154 624 47.22
50.01 - 55.00 11 4,785,195.26 0.67 359 34.76 7.071 626 53.00
55.01 - 60.00 23 10,784,208.86 1.50 353 40.90 7.202 584 58.09
60.01 - 65.00 50 23,285,007.70 3.24 359 40.51 6.800 601 63.56
65.01 - 70.00 77 32,879,637.33 4.58 359 40.37 6.829 600 68.53
70.01 - 75.00 151 65,624,120.46 9.14 357 41.96 7.059 593 73.99
75.01 - 80.00 345 144,726,399.25 20.16 358 40.21 6.692 620 79.30
80.01 - 85.00 228 99,539,596.62 13.87 358 39.22 6.761 606 84.20
85.01 - 90.00 472 189,708,497.33 26.43 359 39.79 7.271 615 89.69
90.01 - 95.00 302 117,585,192.14 16.38 359 41.71 7.408 653 94.79
95.01 - 100.00 172 21,167,072.67 2.95 356 39.23 9.959 667 99.99
====================================================================================================================================
TOTAL: 1,847 $ 717,781,040.69 100.00% 358 40.33% 7.119% 619 83.48%
------------------------------------------------------------------------------------------------------------------------------------
(1) The loan-to-value ("OLTV") of a first-lien mortgage at any given time is a
fraction, expressed as a percentage, the numerator of which is the principal
balance of the mortgage loan at the date of origination and the denominator of
which is the lesser of the sales price of the related mortgage property and its
appraised value determined in an appraisal obtained by the originator at
origination of the mortgage loan. The OLTV of a second lien mortgage loan at
any given time is a fraction, expressed as a percentage the numerator of which
is (i) the sum of (a) the principal balance of such mortgage loan at the date
of origination plus (b) the outstanding balance of the senior mortgage loan at
the date of origination of such mortgage loan and the denominator of which is
(ii) the lesser of the sales price of the related mortgage property and its
appraised value determined in an appraisal obtained by the originator at
origination of the mortgage loan.
FICO SCORE AT ORIGINATION
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RANGE OF FICO SCORES LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
500 - 519 64 $ 22,773,432.27 3.17% 359 44.13% 8.061% 510 77.55%
520 - 539 125 45,928,492.35 6.40 359 39.95 7.983 529 77.01
540 - 559 168 66,144,563.20 9.22 359 43.10 7.684 551 79.85
560 - 579 164 67,282,519.13 9.37 359 40.96 7.383 569 81.42
580 - 599 185 76,469,173.69 10.65 359 39.97 7.234 588 82.37
600 - 619 247 95,280,106.45 13.27 359 41.23 7.044 609 84.56
620 - 639 240 91,981,722.55 12.81 356 39.72 6.790 629 85.40
640 - 659 188 72,866,107.54 10.15 356 39.47 6.787 650 87.17
660 - 679 142 56,418,782.27 7.86 359 38.48 6.806 668 85.95
680 - 699 147 54,898,463.51 7.65 359 39.46 6.728 689 85.75
700 - 719 71 24,954,559.93 3.48 359 39.65 6.950 708 86.82
720 - 739 45 17,771,550.19 2.48 359 41.36 6.678 729 84.10
740 - 759 26 9,761,397.02 1.36 359 42.02 6.999 749 87.59
760 - 779 18 8,160,865.53 1.14 359 35.40 6.462 770 80.06
780 - 799 16 6,944,370.59 0.97 359 31.86 6.240 789 79.65
800 - 819 1 144,934.47 0.02 359 37.00 9.900 800 100.00
====================================================================================================================================
TOTAL: 1,847 $ 717,781,040.69 100.00% 358 40.33% 7.119% 619 83.48%
------------------------------------------------------------------------------------------------------------------------------------
DEBT TO INCOME RATIO
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
DEBT-TO-INCOME MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATIOS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
<=20.00 95 $ 38,729,427.67 5.40% 359 13.61% 7.080% 629 81.93%
20.01 - 25.00 70 25,044,626.28 3.49 356 23.25 6.982 630 83.68
25.01 - 30.00 105 38,817,293.72 5.41 358 28.23 6.954 632 80.97
30.01 - 35.00 178 64,803,293.02 9.03 356 33.12 7.088 619 83.95
35.01 - 40.00 304 113,312,767.52 15.79 358 38.30 7.209 622 84.42
40.01 - 45.00 495 183,907,574.80 25.62 359 43.02 7.146 623 84.13
45.01 - 50.00 525 221,521,265.00 30.86 358 48.08 7.112 614 85.05
50.01 - 55.00 75 31,644,792.68 4.41 359 53.16 7.115 582 69.19
====================================================================================================================================
TOTAL: 1,847 $ 717,781,040.69 100.00% 358 40.33% 7.119% 619 83.48%
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
STATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Alabama 1 $ 85,462.57 0.01% 359 49.00% 10.050% 555 90.00%
Arkansas 1 101,212.29 0.01 359 44.00 10.800 518 75.00
Arizona 18 4,555,568.96 0.63 359 35.79 8.063 587 80.80
California 1,020 432,902,828.60 60.31 358 41.01 6.797 619 82.22
Colorado 21 8,442,251.81 1.18 359 38.69 7.542 601 87.89
Connecticut 34 12,784,797.83 1.78 359 42.31 7.486 616 82.27
Delaware 1 376,347.51 0.05 359 48.00 8.450 526 90.00
Florida 71 22,827,208.81 3.18 358 38.80 7.834 612 88.12
Georgia 10 3,366,906.62 0.47 358 37.49 7.920 588 86.63
Hawaii 12 6,636,664.25 0.92 359 36.81 6.334 656 82.45
Iowa 2 205,596.18 0.03 358 43.67 9.645 609 92.77
Illinois 88 30,282,350.84 4.22 359 38.86 7.982 631 88.73
Indiana 8 1,436,169.74 0.20 359 32.16 7.955 681 90.57
Kansas 5 850,836.08 0.12 338 41.15 8.716 536 88.32
Kentucky 1 399,302.48 0.06 358 50.00 6.700 534 89.89
Louisiana 1 116,387.70 0.02 359 47.00 9.100 537 85.00
Massachusetts 67 18,635,693.63 2.60 359 41.29 7.757 618 86.46
Maryland 57 19,802,178.54 2.76 356 40.14 7.653 599 82.41
Michigan 27 8,006,547.47 1.12 359 42.37 7.824 600 86.25
Minnesota 17 6,250,801.32 0.87 359 35.49 7.506 617 82.94
Missouri 8 1,728,810.72 0.24 359 27.60 8.731 608 79.43
Mississippi 2 410,877.31 0.06 358 44.46 8.176 554 77.46
North Carolina 6 1,085,635.30 0.15 358 36.10 8.442 564 89.13
North Dakota 1 705,290.42 0.10 359 33.00 5.950 709 73.16
New Hampshire 2 884,224.11 0.12 359 47.15 6.692 616 69.24
New Jersey 59 22,447,594.73 3.13 359 39.17 7.325 621 85.32
New Mexico 1 144,934.47 0.02 359 37.00 9.900 800 100.00
Nevada 34 12,415,278.91 1.73 359 41.06 7.403 617 84.31
New York 176 73,419,694.54 10.23 359 39.98 7.463 631 85.67
Ohio 7 736,386.92 0.10 357 32.96 8.675 575 88.86
Oklahoma 5 806,334.67 0.11 359 37.71 9.920 547 90.71
Oregon 6 1,946,362.82 0.27 359 40.65 7.836 588 83.16
Pennsylvania 9 3,760,248.78 0.52 360 35.12 7.458 601 84.36
Rhode Island 5 1,857,306.68 0.26 359 41.43 7.931 588 84.92
South Carolina 2 167,907.76 0.02 358 29.29 9.062 532 85.18
Tennessee 3 481,562.76 0.07 359 35.43 8.277 603 94.18
Texas 18 5,345,217.63 0.74 359 34.38 7.289 630 82.13
Utah 8 2,294,668.53 0.32 358 32.74 6.835 619 72.76
Washington 25 7,607,120.47 1.06 357 36.76 7.773 613 84.38
Wisconsin 8 1,470,469.93 0.20 358 41.76 8.018 609 87.50
====================================================================================================================================
TOTAL: 1,847 $ 717,781,040.69 100.00% 358 40.33% 7.119% 619 83.48%
------------------------------------------------------------------------------------------------------------------------------------
OCCUPANCY STATUS
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
OCCUPANCY MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
STATUS* LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Owner Occupied 1,739 $ 679,818,824.93 94.71% 358 40.74% 7.091% 617 83.38%
Non-owner Occupied 92 31,847,971.34 4.44 359 31.88 7.698 655 85.91
Second Home 16 6,114,244.42 0.85 359 38.51 7.172 634 82.03
====================================================================================================================================
TOTAL: 1,847 $ 717,781,040.69 100.000% 358 40.33% 7.119% 619 83.48%
------------------------------------------------------------------------------------------------------------------------------------
* Based on mortgagor representation at origination.
DOCUMENTATION TYPE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
INCOME DOCUMENTATION LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Full Docs 805 $ 322,145,911.88 44.88% 358 40.04% 6.604% 613 81.75%
Stated Docs 885 328,730,154.22 45.80 359 41.36 7.631 630 85.53
Limited Docs 157 66,904,974.59 9.32 358 36.70 7.085 596 81.77
====================================================================================================================================
TOTAL: 1,847 $ 717,781,040.69 100.00% 358 40.33% 7.119% 619 83.48%
------------------------------------------------------------------------------------------------------------------------------------
LOAN PURPOSE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
PURPOSE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Refi-Cash Out** 1,094 $ 473,712,520.51 66.00% 358 40.89% 6.953% 605 81.19%
Purchase 700 225,308,720.00 31.39 359 39.09 7.495 647 88.83
Refi-No Cashout*** 53 18,759,800.18 2.61 353 41.11 6.796 630 77.08
====================================================================================================================================
TOTAL: 1,847 $ 717,781,040.69 100.00% 358 40.33% 7.119% 619 83.48%
------------------------------------------------------------------------------------------------------------------------------------
** Cash proceeds to the borrower inclusive of debt consolidation payments exceed
2% or $2,000 of the original principal balance of the related loan. Also
includes all home equity loans originated in Texas with any cash proceeds.
***Cash proceeds to the borrower inclusive of debt consolidation payments do not
exceed 2% or $2,000 of the original principal balance of the related loan.
Excludes home equity loans originated in Texas with any cash proceeds.
CREDIT GRADE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RISK CATEGORY LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
1 1,252 $ 473,592,578.40 65.98% 359 39.92% 6.949% 636 85.02%
2 147 61,930,872.68 8.63 356 41.25 7.317 589 81.88
3 145 61,161,283.24 8.52 357 39.69 7.060 588 82.33
4 81 32,665,765.35 4.55 357 42.30 7.540 571 79.67
5 63 28,550,040.54 3.98 359 41.76 7.978 556 71.58
6 24 8,513,786.01 1.19 359 46.14 9.769 544 69.25
A+ 73 28,169,049.31 3.92 359 41.26 7.000 632 86.69
A 32 10,608,064.49 1.48 356 39.18 7.522 592 80.79
A- 8 3,219,657.79 0.45 358 42.38 7.990 562 81.46
B 4 1,504,005.78 0.21 358 41.36 8.019 552 79.44
C 5 1,340,978.26 0.19 359 39.65 8.797 538 69.46
C- 13 6,524,958.84 0.91 359 40.67 7.710 601 82.78
====================================================================================================================================
TOTAL: 1,847 $ 717,781,040.69 100.00% 358 40.33% 7.119% 619 83.48%
------------------------------------------------------------------------------------------------------------------------------------
PROPERTY TYPE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
PROPERTY TYPE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Single Family Detached 1,448 $ 566,376,853.30 78.91% 358 40.60% 7.045% 617 83.08%
PUD Detached 160 68,089,510.62 9.49 359 40.42 7.264 606 82.75
Two-to-Four Family 115 39,387,232.47 5.49 359 39.04 7.898 647 88.60
Condominium 103 36,869,770.51 5.14 359 37.49 7.144 634 85.84
Manufactured Housing 11 3,256,281.17 0.45 359 38.31 6.861 663 77.81
PUD Attached 6 2,227,685.55 0.31 359 41.13 7.632 604 81.44
Single Family Attached 4 1,573,707.07 0.22 359 41.04 7.160 660 90.42
====================================================================================================================================
TOTAL: 1,847 $ 717,781,040.69 100.00% 358 40.33% 7.119% 619 83.48%
------------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT CHARGE TERM AT ORIGINATION
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
PREPAYMENT CHARGE NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
TERM AT ORIGINATION MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
(MONTHS) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
0 571 $ 184,875,361.45 25.76% 358 39.75% 7.818% 625 86.78%
12 111 49,595,753.57 6.91 359 39.18 7.290 624 80.68
24 637 256,763,811.42 35.77 359 40.84 7.153 605 83.62
36 528 226,546,114.25 31.56 357 40.47 6.473 628 81.24
====================================================================================================================================
TOTAL: 1,847 $ 717,781,040.69 100.00% 358 40.33% 7.119% 619 83.48%
------------------------------------------------------------------------------------------------------------------------------------
CONFORMING BALANCE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
CONFORMING BALANCE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
Conforming Balance 151 $ 16,222,087.17 2.26% 357 37.46% 9.543% 590 88.79%
------------------------------------------------------------------------------------------------------------------------------------
Non-Conforming Balance 1,696 701,558,953.52 97.74 358 40.40 7.063 620 83.36
====================================================================================================================================
TOTAL: 1,847 $ 717,781,040.69 100.00% 358 40.33% 7.119% 619 83.48%
------------------------------------------------------------------------------------------------------------------------------------
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MAXIMUM MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
11.000 - 11.499 28 $ 12,002,819.69 2.14% 359 43.51% 5.396% 640 83.83%
11.500 - 11.999 146 64,295,554.13 11.45 359 41.59 5.738 629 80.15
12.000 - 12.499 153 66,649,991.29 11.87 359 39.65 6.257 631 83.19
12.500 - 12.999 269 116,252,520.89 20.71 359 40.11 6.743 615 84.32
13.000 - 13.499 165 72,476,258.30 12.91 359 40.62 7.243 615 84.46
13.500 - 13.999 225 97,669,778.96 17.40 359 42.17 7.715 601 87.04
14.000 - 14.499 133 56,210,525.77 10.01 359 41.43 8.251 602 87.62
14.500 - 14.999 94 37,090,338.09 6.61 358 39.39 8.691 581 85.18
15.000 - 15.499 95 21,152,855.01 3.77 359 41.47 9.245 579 85.88
15.500 - 15.999 43 9,508,143.54 1.69 359 42.35 9.708 558 79.77
16.000 - 16.499 15 3,168,169.32 0.56 359 41.99 10.217 574 82.26
16.500 - 16.999 11 4,076,849.59 0.73 359 43.53 10.653 540 73.25
17.000 - 17.499 2 498,249.64 0.09 356 43.53 11.081 533 67.89
17.500 - 17.999 1 344,139.98 0.06 359 50.00 11.500 501 85.00
====================================================================================================================================
TOTAL: 1,380 $ 561,396,194.20 100.00% 359 40.94% 7.254% 610 84.45%
------------------------------------------------------------------------------------------------------------------------------------
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MINIMUM MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
5.000 - 5.499 28 $ 12,002,819.69 2.14% 359 43.51% 5.396% 640 83.83%
5.500 - 5.999 146 64,295,554.13 11.45 359 41.59 5.738 629 80.15
6.000 - 6.499 153 66,649,991.29 11.87 359 39.65 6.257 631 83.19
6.500 - 6.999 269 116,252,520.89 20.71 359 40.11 6.743 615 84.32
7.000 - 7.499 165 72,476,258.30 12.91 359 40.62 7.243 615 84.46
7.500 - 7.999 225 97,669,778.96 17.40 359 42.17 7.715 601 87.04
8.000 - 8.499 133 56,210,525.77 10.01 359 41.43 8.251 602 87.62
8.500 - 8.999 94 37,090,338.09 6.61 358 39.39 8.691 581 85.18
9.000 - 9.499 95 21,152,855.01 3.77 359 41.47 9.245 579 85.88
9.500 - 9.999 43 9,508,143.54 1.69 359 42.35 9.708 558 79.77
10.000 - 10.499 15 3,168,169.32 0.56 359 41.99 10.217 574 82.26
10.500 - 10.999 11 4,076,849.59 0.73 359 43.53 10.653 540 73.25
11.000 - 11.499 2 498,249.64 0.09 356 43.53 11.081 533 67.89
11.500 - 11.999 1 344,139.98 0.06 359 50.00 11.500. 501 85.00
====================================================================================================================================
TOTAL: 1,380 $ 561,396,194.20 100.00% 359 40.94% 7.254% 610 84.45%
------------------------------------------------------------------------------------------------------------------------------------
MARGINS OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MORTGAGE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MARGINS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
4.500 - 4.749 23 $ 9,605,290.26 1.71% 358 38.53% 7.187% 625 87.13%
5.000 - 5.249 36 13,651,740.49 2.43 359 36.94 7.703 634 88.84
5.500 - 5.749 105 42,480,206.27 7.57 359 40.64 7.266 611 85.13
6.000 - 6.249 1,199 490,102,357.29 87.30 359 41.12 7.232 609 84.29
6.250 - 6.499 1 337,147.63 0.06 359 45.00 5.750 614 90.00
6.500 - 6.749 9 3,137,839.85 0.56 357 43.44 7.844 559 81.65
7.000 - 7.249 7 2,081,612.41 0.37 359 38.24 9.044 542 69.74
====================================================================================================================================
TOTAL: 1,380 $ 561,396,194.20 100.00% 359 40.94% 7.254% 610 84.45%
------------------------------------------------------------------------------------------------------------------------------------
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
NEXT RATE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
ADJUSTMENT DATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
2006-03 1 $ 452,016.33 0.08% 352 45.00% 5.600% 605 80.00%
2006-04 1 497,080.33 0.09 353 41.00 7.000 516 73.31
2006-05 1 149,538.82 0.03 354 45.00 9.400 605 100.00
2006-06 10 3,789,399.38 0.67 355 43.47 7.406 596 79.41
2006-07 18 5,510,792.01 0.98 356 41.54 7.733 570 83.54
2006-08 14 4,083,524.04 0.73 357 43.35 7.203 594 87.34
2006-09 84 31,871,917.89 5.68 358 39.67 6.802 607 84.09
2006-10 813 336,045,972.48 59.86 359 41.00 7.220 606 84.07
2006-11 122 51,344,988.00 9.15 360 41.33 7.564 606 85.09
2007-04 2 481,493.34 0.09 353 28.40 7.225 584 84.91
2007-06 1 336,430.91 0.06 355 34.00 8.350 581 90.00
2007-07 2 462,401.29 0.08 356 48.00 7.675 533 84.35
2007-08 10 3,691,759.27 0.66 357 42.40 7.067 593 83.67
2007-09 22 8,860,188.10 1.58 358 43.92 6.813 618 83.60
2007-10 235 95,150,113.01 16.95 359 40.57 7.333 627 85.40
2007-11 44 18,668,579.00 3.33 359 40.06 7.469 629 86.62
====================================================================================================================================
TOTAL: 1,380 $ 561,396,194.20 100.00% 359 40.94% 7.254% 610 84.45%
------------------------------------------------------------------------------------------------------------------------------------
INITIAL PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
INITIAL PERIODIC MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATE CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
2.000 1,380 $ 561,396,194.20 100.00% 359 40.94% 7.254% 610 84.45%
====================================================================================================================================
TOTAL: 1,380 $ 561,396,194.20 100.00% 359 40.94% 7.254% 610 84.45%
------------------------------------------------------------------------------------------------------------------------------------
SUBSEQUENT PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
SUBSEQUENT PERIODIC MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATE CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------------
1.000 1,380 $ 561,396,194.20 100.00% 359 40.94% 7.254% 610 84.45%
====================================================================================================================================
TOTAL: 1,380 $ 561,396,194.20 100.00% 359 40.94% 7.254% 610 84.45%
------------------------------------------------------------------------------------------------------------------------------------
