EXHIBIT 99.2
The mortgage loans delivered to the Trust Fund on the Closing Date (the
"Initial Mortgage Loans") and the mortgage loans delivered to the Trust Fund on
the Subsequent Transfer Date (the "Subsequent Mortgage Loans", and together with
the Initial Mortgage Loans, the "Mortgage Loans") consist of conventional,
one-to four- family, adjustable-rate and fixed-rate mortgage loans. The
Depositor purchased the Mortgage Loans from the Seller pursuant to the Mortgage
Loan Purchase Agreement, dated as of November 1, 2004, between the Seller and
the Depositor, and the Depositor purchased the Subsequent Mortgage Loans from
the Seller pursuant to the Subsequent Mortage Loan Purchase Agreement, dated as
of December 16, 2004. Pursuant to the Pooling and Servicing Agreement, dated as
of the Cut-off Date (the "Pooling and Servicing Agreement"), among the
Depositor, the Master Servicer and the Trustee, the Depositor will cause the
Mortgage Loans to be assigned to the Trustee for the benefit of the
certificateholders.
The Mortgage Loans included in loan group I (the "Group I Mortgage
Loans") and loan group II (the "Group II Mortgage Loans") have an aggregate
principal balance as of the Cut-off Date of approximately $1,170,033,930 and
$329,964,215, respectively. The Group I Mortgage Loans will consist of
adjustable-rate and fixed-rate mortgage loans with principal balances at
origination that conform to Freddie Mac and Xxxxxx Xxx loan limits and the Group
II Mortgage Loans will consist of adjustable-rate and fixed-rate mortgage loans
with principal balances at origination that may or may not conform to Freddie
Mac or Xxxxxx Xxx loan limits.
The Mortgage Loans will be secured by mortgages or deeds of trust or
other similar security instruments creating first liens on residential
properties (the "Mortgaged Properties") consisting of attached, detached or
semi-detached one-to four-family dwelling units, individual condominium units or
individual units in planned unit developments and manufactured housing. The
Mortgage Loans will have original terms to maturity of not greater than 30 years
from the date on which the first payment was due on each Mortgage Loan.
Each adjustable-rate Mortgage Loan will accrue interest at the
adjustable-rate calculated as specified under the terms of the related mortgage
note and each fixed-rate Mortgage Loan will have a Mortgage Rate that is fixed
for the life of such Mortgage (each such rate, a "Mortgage Rate").
Approximately 93.39% of the Mortgage Loans were originated by
Ameriquest and approximately 6.61% of the Collateral Selection Date Mortgage
Loans were originated by the Seller's affiliate Town & Country Credit
Corporation (together with Ameriquest, the "Originators"), in each case by
aggregate scheduled principal balance of the Collateral Selection Date Mortgage
Loans as of the Cut-off Date.
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"). The
first adjustment will occur after an initial period of two years after
origination. On each Adjustment Date for each adjustable-rate Mortgage Loan, the
Mortgage Rate thereon will be adjusted (subject to rounding) to equal the sum of
the applicable Index (as defined below) and a fixed percentage amount (the "
Gross Margin"). The Mortgage Rate on each adjustable-rate Mortgage Loan will not
decrease on the first related Adjustment Date, will not increase by more than
2.000% per annum on the first related Adjustment Date (the " Initial Periodic
Rate Cap") and will not increase or decrease by more than 1.000% per annum on
any Adjustment Date thereafter (the " Periodic Rate Cap"). Each
Mortgage Rate on each adjustable-rate Mortgage Loan will not exceed a specified
maximum Mortgage Rate over the life of such Mortgage Loan (the " Maximum
Mortgage Rate") or be less than a specified minimum Mortgage Rate over the life
of such Mortgage Loan (the " Minimum Mortgage Rate"). Effective with the first
monthly payment due on each adjustable-rate Mortgage Loan after each related
Adjustment Date, the monthly payment amount will be adjusted to an amount that
will amortize fully the outstanding principal balance of the related Mortgage
Loan over its remaining term, and pay interest at the Mortgage Rate as so
adjusted. Due to the application of the Periodic Rate Caps and the Maximum
Mortgage Rates, the Mortgage Rate on each such adjustable-rate Mortgage Loan, as
adjusted on any related Adjustment Date, may be less than the sum of the Index
and the related Gross Margin, rounded as described herein. None of the
adjustable-rate Mortgage Loans permits the related mortgagor to convert the
adjustable Mortgage Rate thereon to a fixed Mortgage Rate.
The Mortgage Loans will have scheduled monthly payments due on the
first day of the month (with respect to each Mortgage Loan, a "Due Date"). Each
Mortgage Loan will contain a customary "due-on-sale" clause which provides that
(subject to state and federal restrictions) the Mortgage Loan must be repaid at
the time of sale of the related mortgaged property or with the consent of the
holder of the mortgage note assumed by a creditworthy purchaser of the related
mortgaged property.
None of the Mortgage Loans will be buydown mortgage loans.
Approximately 64.56% of the Group I Mortgage Loans and approximately
72.94% of the Group II 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.
COLLATERAL TYPE
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
COLLATERAL TYPE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
2 YEAR ARMS 6,797 $1,185,715,890.36 79.05 356 40.71 7.562 599 78.48
FIXED 1,775 314,282,253.86 20.95 337 39.06 6.942 680 76.73
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 8,572 $1,499,998,144.22 100.00 352 40.36 7.432 616 78.11
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL BALANCES AT ORIGINATION
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF REMAINING
RANGE OF NUMBER OF BALANCE PRINCIPAL TERM TO DEBT-TO- MORTGAGE
PRINCIPAL BALANCES MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES
AT ORIGINATION ($) LOANS ORIGINATION ORIGINATION (MONTHS)* (%)* (%)* FICO* OLTV (%)*
---------------------------------------------------------------------------------------------------------------------------
50,000.01 - 100,000.00 2,475 $ 194,300,691.00 12.94 341 38.71 8.359 589 73.50
100,000.01 - 150,000.00 2,175 272,570,461.00 18.15 349 39.32 7.607 608 77.63
150,000.01 - 200,000.00 1,527 266,282,802.00 17.73 352 40.58 7.323 614 78.82
200,000.01 - 250,000.00 889 198,656,389.00 13.23 355 40.77 7.328 617 78.20
250,000.01 - 300,000.00 575 157,187,608.00 10.47 356 41.52 7.206 620 79.84
300,000.01 - 350,000.00 242 77,893,206.00 5.19 355 41.47 7.102 627 77.88
350,000.01 - 400,000.00 198 73,956,469.00 4.93 358 40.52 7.058 636 79.11
400,000.01 - 450,000.00 126 53,416,457.00 3.56 357 41.57 7.178 640 80.63
450,000.01 - 500,000.00 81 38,690,791.00 2.58 357 38.67 6.996 638 78.89
500,000.01 - 550,000.00 81 43,064,004.00 2.87 356 40.18 7.059 633 81.92
550,000.01 - 600,000.00 123 71,389,925.00 4.75 357 41.65 7.152 633 81.99
600,000.01 - 650,000.00 32 19,972,386.00 1.33 353 42.50 7.248 622 80.38
650,000.01 - 700,000.00 23 15,625,396.00 1.04 359 43.26 6.747 652 75.80
700,000.01 - 750,000.00 24 17,635,743.00 1.17 359 41.33 7.003 638 71.25
850,000.01 - 900,000.00 1 880,000.00 0.06 359 45.00 6.600 664 76.52
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 8,572 $1,501,522,328.00 100.00 352 40.37 7.432 616 78.11
---------------------------------------------------------------------------------------------------------------------------
* Based on the original balances of the Mortgage Loans.
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
RANGE OF PRINCIPAL NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
BALANCES AS OF THE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
CUT-OFF DATE ($) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
50,000.01 - 100,000.00 2,475 $ 194,026,078.17 12.94 341 38.70 8.359 589 73.50
100,000.01 - 150,000.00 2,176 272,447,059.67 18.16 349 39.32 7.607 608 77.63
150,000.01 - 200,000.00 1,529 266,475,664.65 17.77 352 40.58 7.324 614 78.81
200,000.01 - 250,000.00 887 198,134,951.92 13.21 355 40.76 7.328 618 78.21
250,000.01 - 300,000.00 574 156,798,319.69 10.45 356 41.54 7.206 620 79.83
300,000.01 - 350,000.00 242 77,812,490.56 5.19 356 41.47 7.103 627 77.88
350,000.01 - 400,000.00 199 74,290,137.08 4.95 358 40.56 7.053 637 78.99
400,000.01 - 450,000.00 125 52,962,796.10 3.53 357 41.52 7.186 640 80.81
450,000.01 - 500,000.00 81 38,658,033.56 2.58 357 38.68 6.996 638 78.89
500,000.01 - 550,000.00 81 43,014,007.71 2.87 356 40.18 7.060 633 81.92
550,000.01 - 600,000.00 123 71,319,535.57 4.75 357 41.65 7.152 633 81.99
600,000.01 - 650,000.00 32 19,953,516.76 1.33 353 42.49 7.248 622 80.39
650,000.01 - 700,000.00 23 15,601,141.42 1.04 359 43.26 6.747 652 75.79
700,000.01 - 750,000.00 24 17,625,191.55 1.18 359 41.33 7.003 638 71.25
850,000.01 - 900,000.00 1 879,219.80 0.06 359 45.00 6.600 664 76.52
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 8,572 $1,499,998,144.22 100.00 352 40.36 7.432 616 78.11
---------------------------------------------------------------------------------------------------------------------------
REMAINING TERM TO MATURITY
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
RANGE OF MONTHS MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
REMAINING LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
61 - 120 32 $ 2,832,044.82 0.19 118 38.42 8.051 645 60.47
121 - 180 255 29,289,286.61 1.95 179 36.51 7.397 646 73.92
181 - 240 246 31,479,094.66 2.1 239 38.46 7.078 656 75.55
241 - 300 53 8,536,681.50 0.57 299 37.70 6.753 699 78.98
301 - 360 7,986 1,427,861,036.63 95.19 359 40.51 7.444 614 78.28
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 8,572 $1,499,998,144.22 100.00 352 40.36 7.432 616 78.11
---------------------------------------------------------------------------------------------------------------------------
MORTGAGE RATE
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
RANGE OF CURRENT MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
5.500 - 5.999 570 $ 126,862,301.98 8.46 346 38.5 5.902 707 75.49
6.000 - 6.499 965 218,026,631.33 14.54 351 39.53 6.258 667 79.78
6.500 - 6.999 1,579 329,635,326.04 21.98 353 39.92 6.760 634 80.11
7.000 - 7.499 939 167,541,195.98 11.17 353 40.13 7.256 610 78.14
7.500 - 7.999 1,744 290,670,999.09 19.38 354 40.95 7.754 586 76.94
8.000 - 8.499 625 89,346,566.79 5.96 351 41.22 8.253 572 76.34
8.500 - 8.999 988 138,692,392.18 9.25 354 41.42 8.763 569 77.73
9.000 - 9.499 320 41,137,981.19 2.74 352 41.00 9.250 565 76.47
9.500 - 9.999 454 53,924,181.16 3.59 352 42.12 9.746 560 76.65
10.000 - 10.499 133 13,871,766.48 0.92 346 41.65 10.241 549 75.61
10.500 - 10.999 167 18,847,727.15 1.26 349 43.15 10.732 561 78.26
11.000 - 11.499 33 4,404,334.70 0.29 357 43.88 11.308 557 80.48
11.500 - 11.999 37 4,861,011.51 0.32 356 40.64 11.766 561 82.76
12.000 - 12.499 8 897,275.27 0.06 351 46.68 12.192 547 75.29
12.500 - 12.999 9 1,205,675.21 0.08 352 36.11 12.697 559 79.48
13.500 - 13.999 1 72,778.15 0.00 353 44.00 13.750 554 79.22
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 8,572 $1,499,998,144.22 100.00 352 40.36 7.432 616 78.11
---------------------------------------------------------------------------------------------------------------------------
ORIGINAL LOAN-TO-VALUE RATIOS
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF 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
(%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
<= 25.00 57 $ 5,213,309.88 0.35 326 37.83 7.561 644 19.36
25.01 - 30.00 40 5,006,971.18 0.33 346 36.78 7.387 633 27.70
30.01 - 35.00 57 6,566,902.76 0.44 341 32.86 7.425 615 32.53
35.01 - 40.00 61 7,521,342.83 0.50 328 39.24 7.333 627 37.97
40.01 - 45.00 87 11,302,049.31 0.75 342 38.30 7.718 596 42.61
45.01 - 50.00 128 17,941,074.99 1.20 346 38.37 7.598 592 47.72
50.01 - 55.00 187 26,805,955.71 1.79 347 41.44 7.539 597 52.96
55.01 - 60.00 381 57,775,997.41 3.85 352 39.65 7.847 581 58.36
60.01 - 65.00 419 71,077,309.66 4.74 351 38.81 7.413 598 63.08
65.01 - 70.00 490 86,468,550.13 5.76 352 40.27 7.339 605 68.14
70.01 - 75.00 1,326 215,098,611.65 14.34 354 40.90 7.677 583 73.60
75.01 - 80.00 1,527 261,316,460.54 17.42 348 40.12 7.168 627 78.87
80.01 - 85.00 1,446 274,821,612.55 18.32 355 40.6 7.631 613 83.75
85.01 - 90.00 2,230 431,379,783.79 28.76 354 40.77 7.309 637 89.11
90.01 - 95.00 136 21,702,211.84 1.45 348 39.89 7.042 692 93.39
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 8,572 $1,499,998,144.22 100.00 352 40.36 7.432 616 78.11
---------------------------------------------------------------------------------------------------------------------------
FICO SCORE AT ORIGINATION
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
RANGE OF FICO SCORES LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
500 - 519 573 $ 73,285,211.91 4.89 354 42.93 8.608 509 66.76
520 - 539 903 121,374,965.12 8.09 355 41.88 8.596 529 72.23
540 - 559 1,033 157,398,172.90 10.49 355 41.29 8.230 551 75.13
560 - 579 980 161,770,906.90 10.78 355 40.86 7.887 569 78.08
580 - 599 778 131,041,371.91 8.74 355 40.03 7.656 590 78.78
600 - 619 797 155,787,232.04 10.39 355 40.50 7.423 610 79.58
620 - 639 848 169,510,029.38 11.30 354 40.92 7.248 629 81.45
640 - 659 753 149,879,980.03 9.99 352 39.65 6.942 649 82.33
660 - 679 543 109,478,968.08 7.30 351 39.14 6.737 669 81.56
680 - 699 450 91,268,081.37 6.08 348 39.04 6.536 689 80.72
700 - 719 324 65,178,635.98 4.35 344 40.03 6.486 708 78.24
720 - 739 172 34,740,085.10 2.32 342 40.70 6.375 728 78.63
740 - 759 193 38,100,440.98 2.54 341 36.86 6.216 750 78.49
760 - 779 150 28,703,217.19 1.91 336 35.97 6.297 769 76.71
780 - 799 67 11,066,191.94 0.74 345 38.11 6.187 789 69.74
800 - 819 8 1,414,653.39 0.09 327 32.83 6.812 805 63.41
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 8,572 $1,499,998,144.22 100.00 352 40.36 7.432 616 78.11
---------------------------------------------------------------------------------------------------------------------------
DEBT-TO-INCOME RATIO
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF 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
RATIOS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
<= 20.00 402 $ 65,603,775.87 4.37 348 14.76 7.328 627 75.71
20.01 - 25.00 489 74,333,713.21 4.96 347 23.22 7.38 622 75.16
25.01 - 30.00 706 109,587,427.59 7.31 349 28.16 7.323 623 76.32
30.01 - 35.00 992 163,799,112.94 10.92 351 33.13 7.323 624 78.36
35.01 - 40.00 1,219 212,519,476.49 14.17 352 38.10 7.350 619 78.16
40.01 - 45.00 1,632 290,495,824.54 19.37 352 43.17 7.398 620 78.99
45.01 - 50.00 2,490 467,035,276.03 31.14 354 48.17 7.399 619 79.50
50.01 - 55.00 642 116,623,537.55 7.77 356 53.21 8.150 565 74.84
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 8,572 $1,499,998,144.22 100.00 352 40.36 7.432 616 78.11
---------------------------------------------------------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
STATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
California 1,183 $ 336,127,729.63 22.410 356 41.110 6.949 626 75.570
Florida 972 135,997,026.15 9.070 352 40.740 7.533 600 78.580
New Jersey 510 98,224,606.52 6.550 355 41.310 8.013 605 75.680
New York 314 82,609,673.11 5.510 353 40.350 7.377 635 74.640
Massachusetts 299 74,165,318.99 4.940 356 39.880 7.157 618 74.630
Texas 662 73,167,338.59 4.880 332 39.470 7.831 615 78.100
Maryland 370 69,064,422.17 4.600 352 41.600 7.616 608 79.350
Minnesota 273 51,533,474.65 3.440 353 39.630 7.238 625 82.090
Illinois 287 49,478,967.70 3.300 353 40.890 8.052 607 80.420
Michigan 360 45,721,101.68 3.050 353 39.740 7.696 602 81.870
Pennsylvania 317 42,956,322.99 2.860 349 40.580 7.507 607 80.180
Connecticut 192 38,168,563.33 2.540 351 40.300 7.398 614 76.590
Washington 182 35,885,310.27 2.390 356 40.310 7.071 635 81.330
Wisconsin 190 26,534,887.61 1.770 355 40.490 7.804 620 81.950
Indiana 210 24,408,352.27 1.630 351 37.450 7.493 616 82.450
Arizona 165 23,047,956.48 1.540 355 39.040 7.421 614 81.820
Nevada 106 22,576,718.88 1.510 355 41.580 7.258 617 77.910
Rhode Island 112 22,031,084.44 1.470 355 39.450 7.073 627 76.590
Georgia 158 21,909,149.90 1.460 353 39.200 8.235 612 82.070
Colorado 124 21,510,517.55 1.430 358 39.340 7.244 622 81.940
Other 1,586 204,879,621.29 13.660 348 39.380 7.629 614 80.200
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 8,572 $1,499,998,144.22 100.000 352 40.360 7.432 616 78.110
---------------------------------------------------------------------------------------------------------------------------
OCCUPANCY STATUS
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
OCCUPANCY MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
STATUS* LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
Owner Occupied 8,162 $1,431,298,836.87 95.42 352 40.59 7.415 615 77.98
Non-owner Occupied 321 52,861,209.37 3.52 348 34.98 7.804 654 80.12
Second Home 89 15,838,097.98 1.06 352 37.97 7.737 634 83.21
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 8,572 $1,499,998,144.22 100.00 352 40.36 7.432 616 78.11
---------------------------------------------------------------------------------------------------------------------------
* Based on mortgagor representation at origination.
DOCUMENTATION TYPE
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
INCOME MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
DOCUMENTATION LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
Full Docs 6,243 $1,084,573,451.26 72.30 352 40.27 7.293 618 78.60
Stated Docs 990 190,534,246.94 12.70 355 41.23 8.028 622 75.27
Limited Docs 1,339 224,890,446.03 14.99 353 40.06 7.599 603 78.16
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 8,572 $1,499,998,144.22 100.00 352 40.36 7.432 616 78.11
---------------------------------------------------------------------------------------------------------------------------
LOAN PURPOSE
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
PURPOSE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
Refi-Cashout** 8,121 $1,427,127,656.40 95.14 352 40.42 7.431 616 78.00
Refi No Cashout*** 426 65,762,608.90 4.38 355 39.72 7.467 613 79.64
Purchase 25 7,107,878.92 0.47 339 34.91 7.396 650 85.97
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 8,572 $1,499,998,144.22 100.00 352 40.36 7.432 616 78.11
---------------------------------------------------------------------------------------------------------------------------
** 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
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
RISK CATEGORY LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
8A 695 $ 136,924,984.97 9.13 341 38.43 6.317 745 77.31
7A 637 127,423,960.91 8.49 346 39.14 6.489 693 80.03
6A 512 103,720,216.84 6.91 350 39.15 6.700 669 81.66
5A 662 133,796,862.38 8.92 351 39.84 6.893 649 82.94
4A 709 146,922,478.60 9.79 354 40.78 7.129 632 82.08
3A 582 115,051,653.66 7.67 355 40.43 7.269 614 80.25
2A 1,698 293,084,007.56 19.54 355 40.33 7.559 584 79.85
A 651 106,230,673.50 7.08 355 40.29 8.214 576 79.62
B 1,285 182,438,303.78 12.16 355 42.47 8.521 546 73.45
C 920 129,539,129.70 8.64 355 41.92 8.427 537 68.46
D 221 24,865,872.31 1.66 352 39.53 8.897 522 56.10
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 8,572 $1,499,998,144.22 100.00 352 40.36 7.432 616 78.11
---------------------------------------------------------------------------------------------------------------------------
PROPERTY TYPE
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
PROPERTY TYPE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
Single Family 7,136 $1,243,155,159.56 82.88 352 40.28 7.419 615 78.53
Detached
2-4 Units 444 103,376,953.59 6.89 352 41.44 7.571 633 73.90
PUD 340 65,290,241.54 4.35 350 40.92 7.453 612 79.54
Condominium 267 49,638,963.69 3.31 355 40.38 7.121 623 78.46
Manufactured/
Mobile Housing 334 32,304,333.33 2.15 349 38.78 7.770 616 71.42
SFR-Attached 38 4,319,490.53 0.29 356 41.78 8.560 600 80.27
PUD-Attached 13 1,913,001.98 0.13 359 43.37 7.808 620 82.52
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 8,572 $1,499,998,144.22 100.00 352 40.36 7.432 616 78.11
---------------------------------------------------------------------------------------------------------------------------
PREPAYMENT CHARGE TERM AT ORIGINATION
---------------------------------------------------------------------------------------------------------------------------
PREPAYMENT
CHARGE PRINCIPAL % OF PRINCIPAL REMAINING
ORIGINATION NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
TERM AT MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
(MONTHS) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
0 3,047 $ 503,981,104.30 33.60 351 40.48 7.874 612 77.98
12 210 48,501,396.74 3.23 350 40.31 7.001 653 75.03
24 7 2,709,423.56 0.18 359 39.21 7.570 622 84.50
30 16 3,033,236.03 0.20 359 42.83 7.568 620 84.37
36 5,292 941,772,983.59 62.78 353 40.30 7.217 617 78.30
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 8,572 $1,499,998,144.22 100.00 352 40.36 7.432 616 78.11
---------------------------------------------------------------------------------------------------------------------------
CONFORMING BALANCE
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
CONFORMING MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
BALANCE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
Conforming Balance 7,896 $1,173,914,503.42 78.26 351 40.23 7.535 611 77.62
Non-Conforming Balance 676 326,083,640.80 21.74 358 40.85 7.061 634 79.89
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 8,572 $1,499,998,144.22 100.00 352 40.36 7.432 616 78.11
---------------------------------------------------------------------------------------------------------------------------
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF
ADJUSTABLE RATE % OF 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
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
11.500 - 11.999 262 $ 60,445,986.72 5.10 357 39.55 5.905 678 78.97
12.000 - 12.499 636 148,234,127.62 12.50 356 40.02 6.269 645 80.08
12.500 - 12.999 1,259 263,575,618.64 22.23 357 40.08 6.764 620 80.62
13.000 - 13.499 727 131,564,456.93 11.10 357 40.18 7.259 596 78.05
13.500 - 13.999 1,539 260,008,373.88 21.93 356 41.06 7.757 579 76.72
14.000 - 14.499 519 74,262,852.84 6.26 354 41.89 8.256 565 76.05
14.500 - 14.999 890 126,574,828.65 10.67 356 41.47 8.762 567 77.82
15.000 - 15.499 284 36,745,762.62 3.10 355 41.00 9.252 565 76.90
15.500 - 15.999 375 47,219,057.78 3.98 356 41.85 9.747 561 77.57
16.000 - 16.499 100 10,960,141.36 0.92 351 41.18 10.234 550 77.71
16.500 - 16.999 129 15,583,430.43 1.31 354 44.07 10.729 560 80.03
17.000 - 17.499 30 4,212,901.12 0.36 357 44.24 11.311 557 80.75
17.500 - 17.999 32 4,371,152.72 0.37 359 40.04 11.780 563 82.92
18.000 - 18.499 7 835,086.94 0.07 359 46.44 12.195 550 75.31
18.500 - 18.999 7 1,049,333.95 0.09 359 33.69 12.688 562 80.76
19.500 - 19.999 1 72,778.15 0.01 353 44.00 13.750 554 79.22
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,797 $1,185,715,890.36 100.00 356 40.71 7.562 599 78.48
---------------------------------------------------------------------------------------------------------------------------
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF
ADJUSTABLE RATE % OF 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
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
5.500 - 5.999 262 $ 60,445,986.72 5.10 357 39.55 5.905 678 78.97
6.000 - 6.499 636 148,234,127.62 12.50 356 40.02 6.269 645 80.08
6.500 - 6.999 1,259 263,575,618.64 22.23 357 40.08 6.764 620 80.62
7.000 - 7.499 727 131,564,456.93 11.10 357 40.18 7.259 596 78.05
7.500 - 7.999 1,539 260,008,373.88 21.93 356 41.06 7.757 579 76.72
8.000 - 8.499 519 74,262,852.84 6.26 354 41.89 8.256 565 76.05
8.500 - 8.999 890 126,574,828.65 10.67 356 41.47 8.762 567 77.82
9.000 - 9.499 284 36,745,762.62 3.10 355 41.00 9.252 565 76.90
9.500 - 9.999 375 47,219,057.78 3.98 356 41.85 9.747 561 77.57
10.000 - 10.499 100 10,960,141.36 0.92 351 41.18 10.234 550 77.71
10.500 - 10.999 129 15,583,430.43 1.31 354 44.07 10.729 560 80.03
11.000 - 11.499 30 4,212,901.12 0.36 357 44.24 11.311 557 80.75
11.500 - 11.999 32 4,371,152.72 0.37 359 40.04 11.780 563 82.92
12.000 - 12.499 7 835,086.94 0.07 359 46.44 12.195 550 75.31
12.500 - 12.999 7 1,049,333.95 0.09 359 33.69 12.688 562 80.76
13.500 - 13.999 1 72,778.15 0.01 353 44.00 13.750 554 79.22
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,797 $1,185,715,890.36 100.00 356 40.71 7.562 599 78.48
---------------------------------------------------------------------------------------------------------------------------
MARGINS OF THE ADJUSTABLE-RATE LOANS
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF
ADJUSTABLE RATE % OF 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
MARGINS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
3.000 - 3.249 5 $ 636,978.04 0.05 345 44.45 7.453 578 86.64
3.250 - 3.499 3 705,234.64 0.06 360 29.51 7.365 561 67.85
3.500 - 3.749 6 779,315.57 0.07 360 36.81 7.340 625 86.33
3.750 - 3.999 5 842,821.54 0.07 359 41.90 7.475 663 76.26
4.000 - 4.249 6 723,347.45 0.06 343 42.51 7.832 615 79.70
4.250 - 4.499 15 1,949,830.16 0.16 360 44.3 7.560 599 81.29
4.500 - 4.749 32 5,090,313.50 0.43 353 37.64 6.832 701 83.31
4.750 - 4.999 208 40,956,668.26 3.45 355 39.06 6.535 721 82.88
5.000 - 5.249 296 61,203,203.28 5.16 356 40.04 6.598 684 82.82
5.250 - 5.499 331 69,974,891.78 5.90 356 39.97 6.668 662 82.89
5.500 - 5.749 549 117,328,471.72 9.90 356 40.36 6.828 643 83.14
5.750 - 5.999 772 153,249,068.15 12.92 356 40.52 7.138 619 81.52
6.000 - 6.249 1,939 352,448,302.50 29.72 357 40.5 7.509 590 80.13
6.250 - 6.499 624 99,192,790.41 8.37 355 40.84 8.312 567 78.06
6.500 - 6.749 1,197 170,261,930.05 14.36 356 42.02 8.505 543 72.72
6.750 - 6.999 809 110,372,723.31 9.31 356 41.48 8.490 534 66.11
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,797 $1,185,715,890.36 100.00 356 40.71 7.562 599 78.48
---------------------------------------------------------------------------------------------------------------------------
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF
ADJUSTABLE RATE % OF PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO- MORTGAGE
NEXT RATE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
ADJUSTMENT DATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
2006-04 8 $ 1,093,296.81 0.09 353 41.79 8.415 564 63.89
2006-06 3 443,055.33 0.04 355 45.98 6.762 609 89.00
2006-07 22 3,347,579.01 0.28 353 39.74 7.824 611 84.28
2006-08 121 19,820,135.84 1.67 356 41.63 7.751 610 84.45
2006-09 363 58,510,148.06 4.93 355 41.30 7.933 605 81.17
2006-10 4,705 821,741,372.89 69.30 356 40.66 7.517 599 78.19
2006-11 330 55,280,080.63 4.66 355 40.14 7.656 595 78.46
2006-12 1,245 225,480,221.79 19.02 358 40.79 7.583 599 78.24
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,797 $1,185,715,890.36 100.00 356 40.71 7.562 599 78.48
---------------------------------------------------------------------------------------------------------------------------
INITIAL PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF
ADJUSTABLE RATE % OF PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO- MORTGAGE
INITIAL PERIODIC MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
RATE CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
2.000 6,797 $1,185,715,890.36 100.00 356 40.71 7.562 599 78.48
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,797 $1,185,715,890.36 100.00 356 40.71 7.562 599 78.48
---------------------------------------------------------------------------------------------------------------------------
SUBSEQUENT PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF
SUBSEQUENT ADJUSTABLE RATE % OF PRINCIPAL REMAINING
PERIODIC NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO- MORTGAGE
RATE CAP MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
(%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
1.000 6,797 $1,185,715,890.36 100.00 356 40.71 7.562 599 78.48
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,797 $1,185,715,890.36 100.00 356 40.71 7.562 599 78.48
---------------------------------------------------------------------------------------------------------------------------
GROUP I MORTGAGE LOAN STATISTICS
The Group I Mortgage Loans consist of 7,865 adjustable-rate and
fixed-rate Mortgage Loans having an aggregate principal balance as of the
Cut-off Date of approximately $1,170,033,930, 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 Group I Mortgage Loans had a first Due Date prior to May 1, 2004, or after
January 1, 2005, or will have a remaining term to stated maturity of less than
114 months or greater than 360 months as of the Cut-off Date. The latest
maturity date of any Group I Mortgage Loan is December 1, 2034.
COLLATERAL TYPE
---------------------------------------------------------------------------------------------------------------------------
COLLATERAL TYPE PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
2 YEAR ARMS 6,273 $ 936,034,859.65 80.00 355 40.59 7.665 594 78.09
FIXED 1,592 233,999,070.05 20.00 331 38.87 7.019 679 75.81
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 7,865 $1,170,033,929.69 100.00 351 40.24 7.535 611 77.63
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL BALANCES AT ORIGINATION
---------------------------------------------------------------------------------------------------------------------------
RANGE OF PRINCIPAL % OF REMAINING
PRINCIPAL NUMBER OF BALANCE PRINCIPAL TERM TO DEBT-TO- MORTGAGE
BALANCES MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES
AT ORIGINATION ($) LOANS ORIGINATION ORIGINATION (MONTHS)* (%)* (%)* FICO* OLTV (%)*
---------------------------------------------------------------------------------------------------------------------------
50,000.01 - 100,000.00 2,460 $ 193,149,861.00 16.49 341 38.76 8.36 588 73.49
100,000.01 - 150,000.00 2,164 271,193,115.00 23.15 349 39.33 7.605 608 77.63
150,000.01 - 200,000.00 1,525 265,947,402.00 22.71 352 40.59 7.323 614 78.83
200,000.01 - 250,000.00 888 198,454,789.00 16.94 355 40.76 7.329 617 78.20
250,000.01 - 300,000.00 575 157,187,608.00 13.42 356 41.52 7.206 620 79.84
300,000.01 - 350,000.00 195 61,813,965.00 5.28 355 41.43 7.112 628 77.59
350,000.01 - 400,000.00 31 11,490,400.00 0.98 355 44.65 7.666 634 78.16
400,000.01 - 450,000.00 17 7,174,500.00 0.61 345 43.15 7.139 679 78.06
450,000.01 - 500,000.00 7 3,220,500.00 0.27 333 33.72 6.856 640 78.34
500,000.01 - 550,000.00 3 1,607,000.00 0.14 358 48.68 7.806 688 86.47
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 7,865 $1,171,239,140.00 100.00 351 40.24 7.535 611 77.63
---------------------------------------------------------------------------------------------------------------------------
* Based on the original balances of the Mortgage Loans.
PRINCIPAL BALANCE AS OF THE CUT-OFF DATE
---------------------------------------------------------------------------------------------------------------------------
RANGE OF PRINCIPAL PRINCIPAL % OF PRINCIPAL REMAINING
BALANCES AS NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
OF THE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
CUT-OFF DATE ($) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
50,000.01 - 100,000.00 2,460 $ 192,877,418.83 16.48 341 38.75 8.361 588 73.49
100,000.01 - 150,000.00 2,164 270,921,578.23 23.16 350 39.33 7.606 608 77.63
150,000.01 - 200,000.00 1,528 266,290,951.30 22.76 352 40.59 7.324 614 78.83
200,000.01 - 250,000.00 886 197,933,710.38 16.92 355 40.75 7.328 617 78.21
250,000.01 - 300,000.00 574 156,798,319.69 13.40 356 41.54 7.206 620 79.83
300,000.01 - 350,000.00 195 61,747,968.58 5.28 355 41.43 7.113 627 77.59
350,000.01 - 400,000.00 31 11,479,948.69 0.98 355 44.65 7.666 633 78.16
400,000.01 - 450,000.00 17 7,162,732.15 0.61 345 43.16 7.138 679 78.06
450,000.01 - 500,000.00 7 3,217,100.10 0.27 333 33.72 6.856 640 78.34
500,000.01 - 550,000.00 3 1,604,201.73 0.14 358 48.68 7.806 688 86.47
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 7,865 $1,170,033,929.69 100.00 351 40.24 7.535 611 77.63
---------------------------------------------------------------------------------------------------------------------------
STATED REMAINING TERM TO MATURITY
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
RANGE OF NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
MONTHS MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
REMAINING LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
61 - 120 32 $ 2,832,044.82 0.24 118 38.42 8.051 645 60.47
121 - 180 251 28,434,428.17 2.43 179 36.30 7.402 646 74.01
181 - 240 236 28,589,267.46 2.44 239 38.61 7.140 653 74.66
241 - 300 53 8,536,681.50 0.73 299 37.70 6.753 699 78.98
301 - 360 7,293 1,101,641,507.74 94.15 359 40.41 7.554 609 77.84
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 7,865 $1,170,033,929.69 100.00 351 40.24 7.535 611 77.63
---------------------------------------------------------------------------------------------------------------------------
MORTGAGE RATE
---------------------------------------------------------------------------------------------------------------------------
RANGE OF CURRENT PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
5.500 - 5.999 494 $ 92,514,177.26 7.91 342 38.18 5.904 708 75.03
6.000 - 6.499 813 146,204,255.45 12.50 347 39.29 6.262 670 80.09
6.500 - 6.999 1,382 234,700,268.72 20.06 352 39.65 6.772 633 80.26
7.000 - 7.499 860 131,035,782.99 11.20 352 40.07 7.260 608 77.19
7.500 - 7.999 1,650 245,268,737.20 20.96 353 40.67 7.758 583 76.62
8.000 - 8.499 601 77,865,828.63 6.66 350 41.48 8.252 569 75.63
8.500 - 8.999 945 120,097,195.64 10.26 353 41.25 8.764 568 76.69
9.000 - 9.499 309 36,607,720.13 3.13 351 40.94 9.251 562 76.00
9.500 - 9.999 434 45,937,781.98 3.93 351 41.62 9.757 551 75.74
10.000 - 10.499 132 13,507,414.49 1.15 346 41.53 10.237 548 75.22
10.500 - 10.999 164 17,795,188.06 1.52 348 43.13 10.730 557 77.90
11.000 - 11.499 29 2,671,198.26 0.23 355 41.82 11.235 549 79.68
11.500 - 11.999 34 3,652,652.24 0.31 355 42.27 11.730 553 80.65
12.000 - 12.499 8 897,275.27 0.08 351 46.68 12.192 547 75.29
12.500 - 12.999 9 1,205,675.21 0.10 352 36.11 12.697 559 79.48
13.500 - 13.999 1 72,778.15 0.01 353 44.00 13.750 554 79.22
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 7,865 $1,170,033,929.69 100.00 351 40.24 7.535 611 77.63
---------------------------------------------------------------------------------------------------------------------------
ORIGINAL LOAN-TO-VALUE RATIOS
---------------------------------------------------------------------------------------------------------------------------
RANGE OF
ORIGINAL PRINCIPAL % OF PRINCIPAL REMAINING
LOAN-TO- NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
VALUE RATIOS MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
(%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
<= 25.00 57 $ 5,213,309.88 0.45 326 37.83 7.561 644 19.36
25.01 - 30.00 39 4,635,966.09 0.40 345 36.20 7.45 626 27.71
30.01 - 35.00 56 5,817,672.07 0.50 339 33.75 7.628 603 32.79
35.01 - 40.00 60 7,029,092.83 0.60 326 38.14 7.416 621 37.87
40.01 - 45.00 85 10,516,048.45 0.90 341 37.50 7.716 598 42.67
45.01 - 50.00 126 16,742,622.33 1.43 346 38.33 7.648 593 47.55
50.01 - 55.00 184 25,369,912.31 2.17 346 41.06 7.550 597 53.01
55.01 - 60.00 359 46,721,126.59 3.99 350 39.77 8.066 569 58.55
60.01 - 65.00 382 53,680,823.54 4.59 349 39.43 7.635 584 63.14
65.01 - 70.00 447 68,587,313.95 5.86 352 40.03 7.485 598 68.10
70.01 - 75.00 1,237 175,104,315.28 14.97 353 41.11 7.817 577 73.68
75.01 - 80.00 1,391 198,340,261.15 16.95 345 39.77 7.273 623 78.96
80.01 - 85.00 1,305 205,888,990.79 17.60 354 40.36 7.737 608 83.72
85.01 - 90.00 2,004 326,133,713.74 27.87 353 40.61 7.352 635 89.14
90.01 - 95.00 133 20,252,760.70 1.73 348 40.23 7.076 697 93.41
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 7,865 $1,170,033,929.69 100.00 351 40.24 7.535 611 77.63
---------------------------------------------------------------------------------------------------------------------------
FICO SCORE AT ORIGINATION
---------------------------------------------------------------------------------------------------------------------------
RANGE OF FICO SCORES
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
500 - 519 562 $ 68,773,838.23 5.88 353 42.72 8.633 509 66.29
520 - 539 880 111,411,461.45 9.52 354 41.61 8.604 529 71.78
540 - 559 981 133,228,745.14 11.39 354 41.05 8.290 551 74.86
560 - 579 915 132,075,529.18 11.29 354 40.74 7.974 569 77.51
580 - 599 728 107,704,675.87 9.21 355 39.95 7.712 590 78.40
600 - 619 722 120,631,383.68 10.31 354 40.07 7.455 609 79.64
620 - 639 741 116,612,245.38 9.97 352 40.51 7.254 629 81.90
640 - 659 668 108,289,928.80 9.26 350 39.81 6.984 649 82.58
660 - 679 458 71,373,071.30 6.10 348 38.84 6.832 669 82.06
680 - 699 402 67,439,524.02 5.76 346 39.27 6.585 689 80.78
700 - 719 282 47,435,917.90 4.05 340 39.92 6.532 708 78.51
720 - 739 147 22,759,720.50 1.95 334 39.23 6.358 729 79.32
740 - 759 174 29,878,235.81 2.55 337 37.14 6.241 749 78.71
760 - 779 132 20,947,029.80 1.79 328 35.39 6.232 770 74.55
780 - 799 66 10,482,969.24 0.90 345 37.61 6.197 789 68.98
800 - 819 7 989,653.39 0.08 313 37.91 6.388 805 54.14
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 7,865 $1,170,033,929.69 100.00 351 40.24 7.535 611 77.63
---------------------------------------------------------------------------------------------------------------------------
DEBT-TO-INCOME RATIO
---------------------------------------------------------------------------------------------------------------------------
RANGE OF PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
DEBT-TO-INCOME RATIOS MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
(%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
<= 20.00 361 $ 47,235,822.36 4.04 345 15.24 7.439 622 74.40
20.01 - 25.00 455 59,681,202.13 5.10 344 23.20 7.454 619 74.79
25.01 - 30.00 665 91,465,521.36 7.82 347 28.17 7.426 617 76.21
30.01 - 35.00 919 131,858,627.91 11.27 350 33.17 7.429 620 77.74
35.01 - 40.00 1,129 169,362,240.09 14.47 350 38.11 7.450 614 77.82
40.01 - 45.00 1,495 227,090,710.79 19.41 350 43.15 7.507 614 78.50
45.01 - 50.00 2,264 361,248,975.47 30.88 353 48.18 7.466 615 79.21
50.01 - 55.00 577 82,090,829.59 7.02 355 53.26 8.502 549 73.26
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 7,865 $1,170,033,929.69 100.00 351 40.24 7.535 611 77.63
---------------------------------------------------------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
STATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
California 841 $ 171,515,282.72 14.66 354 40.14 7.043 617 71.69
Florida 937 121,788,559.37 10.41 352 40.83 7.555 597 78.55
New Jersey 485 86,806,364.27 7.42 355 41.53 8.071 599 74.79
Texas 644 68,176,649.50 5.83 330 40.11 7.834 613 77.85
Maryland 344 56,977,819.76 4.87 351 41.04 7.602 605 79.60
Massachusetts 259 54,478,312.50 4.66 355 41.00 7.266 608 73.53
New York 252 50,436,888.41 4.31 349 40.15 7.588 628 72.57
Minnesota 256 43,942,650.28 3.76 353 39.79 7.262 626 82.17
Illinois 274 43,338,785.18 3.70 352 40.27 8.129 609 80.23
Michigan 354 42,914,244.74 3.67 352 40.30 7.653 601 81.84
Pennsylvania 311 40,221,315.98 3.44 348 41.45 7.551 606 79.91
Connecticut 175 30,296,311.59 2.59 349 40.17 7.467 616 78.28
Washington 169 29,849,366.87 2.55 356 39.77 7.052 631 80.64
Wisconsin 186 25,126,172.17 2.15 355 40.05 7.837 619 81.83
Arizona 162 21,828,948.61 1.87 355 39.22 7.441 614 81.47
Indiana 202 21,554,011.74 1.84 350 37.62 7.449 613 81.75
Rhode Island 108 20,057,165.70 1.71 354 39.84 7.085 624 75.81
Colorado 119 19,208,824.72 1.64 358 40.03 7.233 618 81.94
Georgia 151 18,712,422.57 1.60 352 38.85 8.277 612 81.99
Nevada 97 18,513,490.91 1.58 354 40.86 7.261 613 77.64
Other 1,539 184,290,342.09 15.75 348 39.46 7.660 612 79.85
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 7,865 $1,170,033,929.69 100.00 351 40.24 7.535 611 77.63
---------------------------------------------------------------------------------------------------------------------------
OCCUPANCY STATUS
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
OCCUPATION MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
STATUS* LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
Owner Occupied 7,494 $1,118,056,137.97 95.56 351 40.41 7.523 610 77.50
Non-owner Occupied 293 41,472,404.57 3.54 345 36.01 7.792 653 79.74
Second Home 78 10,505,387.15 0.90 348 39.53 7.877 630 83.17
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 7,865 $1,170,033,929.69 100.00 351 40.24 7.535 611 77.63
---------------------------------------------------------------------------------------------------------------------------
* Based on mortgagor representation at origination.
DOCUMENTATION TYPE
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
INCOME MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
DOCUMENTATION LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
Full Docs 5,751 $ 848,857,004.06 72.55 350 40.11 7.388 614 78.15
Stated Docs 880 142,312,051.45 12.16 353 40.75 8.179 615 74.35
Limited Docs 1,234 178,864,874.19 15.29 351 40.48 7.725 597 77.81
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 7,865 $1,170,033,929.69 100.00 351 40.24 7.535 611 77.63
---------------------------------------------------------------------------------------------------------------------------
LOAN PURPOSE
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
PURPOSE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
Refi-Cash Out ** 7,447 $1,113,332,222.00 95.15 350 40.26 7.532 611 77.47
Refi-No Cashout *** 401 54,029,534.76 4.62 355 40.23 7.601 606 80.62
Purchase 17 2,672,172.93 0.23 349 35.07 7.722 633 85.12
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 7,865 $1,170,033,929.69 100.00 351 40.24 7.535 611 77.63
---------------------------------------------------------------------------------------------------------------------------
** Cash proceeds to the borrower inclusive of debt consolidation
payments exceed 2% or $2000 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 $2000 of the original principal
balance of the related loan. Excludes home equity loans
originated in Texas with any cash proceeds.
CREDIT GRADE
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
RISK CATEGORY LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
8A 610 $ 98,147,927.01 8.39 336 37.81 6.305 749 76.78
7A 570 96,353,086.36 8.24 343 39.24 6.522 694 80.03
6A 430 67,167,364.40 5.74 347 38.82 6.811 669 82.28
5A 585 95,225,776.48 8.14 349 40.27 6.924 649 83.30
4A 612 98,129,874.03 8.39 351 40.42 7.135 633 82.59
3A 520 87,008,368.77 7.44 353 39.67 7.278 613 80.17
2A 1,557 227,516,184.24 19.45 354 40.21 7.598 584 79.89
A 622 91,974,942.76 7.86 354 40.14 8.218 575 79.28
B 1,241 163,528,678.83 13.98 354 42.18 8.548 546 73.24
C 897 120,115,854.49 10.27 355 41.72 8.455 537 68.32
D 221 24,865,872.31 2.13 352 39.53 8.897 522 56.10
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 7,865 $1,170,033,929.69 100.00 351 40.24 7.535 611 77.63
---------------------------------------------------------------------------------------------------------------------------
PROPERTY TYPE
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
PROPERTY TYPE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
Single Family Detached 6,533 $ 960,332,226.05 82.08 351 40.12 7.526 609 78.12
Two-to-Four Family 409 86,653,010.09 7.41 351 41.51 7.643 630 73.21
PUD Detached 298 46,588,829.21 3.98 346 41.38 7.522 611 80.14
Condominium 242 38,092,766.82 3.26 353 39.86 7.214 623 77.07
Manufactured/Mobile 333 32,220,964.71 2.75 349 38.78 7.771 616 71.41
Housing
Single Family Attached 37 4,233,130.84 0.36 356 42.31 8.536 599 80.22
PUD-Attached 13 1,913,001.98 0.16 359 43.37 7.808 620 82.52
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 7,865 $1,170,033,929.69 100.00 351 40.24 7.535 611 77.63
---------------------------------------------------------------------------------------------------------------------------
PREPAYMENT CHARGE TERM
---------------------------------------------------------------------------------------------------------------------------
PREPAYMENT PRINCIPAL % OF 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
(MOS.) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
0 2,856 $ 414,691,479.55 35.44 349 40.38 7.929 608 77.64
12 186 36,018,143.18 3.08 347 39.64 7.026 649 74.01
24 1 112,422.18 0.01 359 34.00 7.850 589 90.00
30 15 2,669,306.45 0.23 359 42.53 7.612 621 83.60
36 4,807 716,542,578.33 61.24 352 40.18 7.333 611 77.79
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 7,865 $1,170,033,929.69 100.00 351 40.24 7.535 611 77.63
---------------------------------------------------------------------------------------------------------------------------
CONFORMING BALANCE
---------------------------------------------------------------------------------------------------------------------------
CONFORMING BALANCE PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
Conforming Balance 7,865 $1,170,033,929.69 100 351 40.24 7.535 611 77.63
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 7,865 $1,170,033,929.69 100 351 40.24 7.535 611 77.63
---------------------------------------------------------------------------------------------------------------------------
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF
ADJUSTABLE RATE ADJUSTABLE REMAINING
NUMBER OF LOANS RATE LOANS TERM TO DEBT-TO- MORTGAGE
RANGE OF MAXIMUM MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
11.500 - 11.999 221 $ 40,990,091.02 4.38 357 39.45 5.916 676 79.48
12.000 - 12.499 528 96,316,136.16 10.29 354 39.82 6.278 645 80.31
12.500 - 12.999 1,112 191,851,561.89 20.50 356 39.81 6.777 619 80.98
13.000 - 13.499 672 105,962,022.55 11.32 356 39.91 7.264 595 77.28
13.500 - 13.999 1,458 220,901,718.53 23.60 356 40.9 7.762 577 76.60
14.000 - 14.499 502 66,162,765.85 7.07 354 42.01 8.253 561 75.37
14.500 - 14.999 852 109,308,588.61 11.68 356 41.32 8.764 566 76.73
15.000 - 15.499 274 32,275,374.35 3.45 354 40.91 9.253 561 76.39
15.500 - 15.999 356 39,301,985.46 4.20 356 41.22 9.760 552 76.67
16.000 - 16.499 99 10,595,789.37 1.13 351 41.02 10.229 550 77.29
16.500 - 16.999 127 14,594,388.44 1.56 353 44.14 10.728 556 79.70
17.000 - 17.499 27 2,539,764.68 0.27 355 41.95 11.232 549 79.91
17.500 - 17.999 30 3,277,473.69 0.35 359 42.02 11.744 556 80.66
18.000 - 18.499 7 835,086.94 0.09 359 46.44 12.195 550 75.31
18.500 - 18.999 7 1,049,333.95 0.11 359 33.69 12.688 562 80.76
19.500 - 19.999 1 72,778.15 0.01 353 44.00 13.75 554 79.22
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,273 $ 936,034,859.65 100.00 355 40.59 7.665 594 78.09
---------------------------------------------------------------------------------------------------------------------------
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF
RANGE OF ADJUSTABLE RATE ADJUSTABLE REMAINING
MINIMUM NUMBER OF LOANS RATE LOANS TERM TO DEBT-TO- MORTGAGE
MORTGAGE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
5.500 - 5.999 221 $ 40,990,091.02 4.38 357 39.45 5.916 676 79.48
6.000 - 6.499 528 96,316,136.16 10.29 354 39.82 6.278 645 80.31
6.500 - 6.999 1,112 191,851,561.89 20.50 356 39.81 6.777 619 80.98
7.000 - 7.499 672 105,962,022.55 11.32 356 39.91 7.264 595 77.28
7.500 - 7.999 1,458 220,901,718.53 23.60 356 40.90 7.762 577 76.60
8.000 - 8.499 502 66,162,765.85 7.07 354 42.01 8.253 561 75.37
8.500 - 8.999 852 109,308,588.61 11.68 356 41.32 8.764 566 76.73
9.000 - 9.499 274 32,275,374.35 3.45 354 40.91 9.253 561 76.39
9.500 - 9.999 356 39,301,985.46 4.20 356 41.22 9.760 552 76.67
10.000 - 10.499 99 10,595,789.37 1.13 351 41.02 10.229 550 77.29
10.500 - 10.999 127 14,594,388.44 1.56 353 44.14 10.728 556 79.70
11.000 - 11.499 27 2,539,764.68 0.27 355 41.95 11.232 549 79.91
11.500 - 11.999 30 3,277,473.69 0.35 359 42.02 11.744 556 80.66
12.000 - 12.499 7 835,086.94 0.09 359 46.44 12.195 550 75.31
12.500 - 12.999 7 1,049,333.95 0.11 359 33.69 12.688 562 80.76
13.500 - 13.999 1 72,778.15 0.01 353 44.00 13.750 554 79.22
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,273 $ 936,034,859.65 100.00 355 40.59 7.665 594 78.09
---------------------------------------------------------------------------------------------------------------------------
GROSS MARGINS OF THE ADJUSTABLE-RATE LOANS
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF
ADJUSTABLE RATE ADJUSTABLE REMAINING
NUMBER OF LOANS RATE LOANS TERM TO DEBT-TO- MORTGAGE
RANGE OF GROSS MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
MARGINS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
3.000 - 3.249 5 $ 636,978.04 0.07 345 44.45 7.453 578 86.64
3.250 - 3.499 3 705,234.64 0.08 360 29.51 7.365 561 67.85
3.500 - 3.749 6 779,315.57 0.08 360 36.81 7.340 625 86.33
3.750 - 3.999 4 489,112.29 0.05 359 46.89 7.827 626 86.64
4.000 - 4.249 6 723,347.45 0.08 343 42.51 7.832 615 79.70
4.250 - 4.499 15 1,949,830.16 0.21 360 44.30 7.560 599 81.29
4.500 - 4.749 29 3,778,406.31 0.40 351 38.59 6.849 681 83.15
4.750 - 4.999 181 28,276,015.25 3.02 353 39.11 6.533 723 83.05
5.000 - 5.249 260 44,499,911.85 4.75 355 40.66 6.705 684 83.67
5.250 - 5.499 283 46,224,842.75 4.94 354 39.16 6.776 660 84.64
5.500 - 5.749 478 80,607,900.42 8.61 355 40.69 6.851 644 83.67
5.750 - 5.999 688 112,664,241.51 12.04 355 40.28 7.154 618 82.03
6.000 - 6.249 1,760 269,149,037.70 28.75 356 40.09 7.534 590 80.16
6.250 - 6.499 599 86,837,531.35 9.28 355 40.79 8.318 567 77.58
6.500 - 6.749 1,164 155,332,611.44 16.59 355 41.72 8.519 544 72.50
6.750 - 6.999 792 103,380,542.91 11.04 356 41.30 8.518 534 65.85
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,273 $ 936,034,859.65 100.00 355 40.59 7.665 594 78.09
---------------------------------------------------------------------------------------------------------------------------
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF
ADJUSTABLE RATE ADJUSTABLE REMAINING
NUMBER OF LOANS RATE LOANS TERM TO DEBT-TO- MORTGAGE
NEXT RATE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
ADJUSTMENT DATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
2006-04 8 $ 1,093,296.81 0.12 353 41.79 8.415 564 63.89
2006-06 3 443,055.33 0.05 355 45.98 6.762 609 89.00
2006-07 21 2,938,985.74 0.31 352 39.01 7.661 617 83.49
2006-08 113 16,683,335.08 1.78 356 41.30 7.887 604 83.97
2006-09 334 44,582,585.81 4.76 355 41.87 8.055 603 81.12
2006-10 4,358 652,585,719.42 69.72 355 40.54 7.623 594 77.85
2006-11 293 38,599,237.67 4.12 353 39.34 7.725 585 76.86
2006-12 1,143 179,108,643.79 19.13 358 40.65 7.684 594 77.89
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,273 $ 936,034,859.65 100.00 355 40.59 7.665 594 78.09
---------------------------------------------------------------------------------------------------------------------------
INITIAL PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF
ADJUSTABLE RATE ADJUSTABLE REMAINING
NUMBER OF LOANS RATE LOANS TERM TO DEBT-TO- MORTGAGE
INITIAL PERIODIC MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
RATE CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
2.000 6,273 $ 936,034,859.65 100.00 355 40.59 7.665 594 78.09
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,273 $ 936,034,859.65 100.00 355 40.59 7.665 594 78.09
---------------------------------------------------------------------------------------------------------------------------
SUBSEQUENT PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF
ADJUSTABLE RATE ADJUSTABLE REMAINING
SUBSEQUENT NUMBER OF LOANS RATE LOANS TERM TO DEBT-TO- MORTGAGE
PERIODIC MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
RATE CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
1.000 6,273 $ 936,034,859.65 100.00 355 40.59 7.665 594 78.09
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 6,273 $ 936,034,859.65 100.00 355 40.59 7.665 594 78.09
---------------------------------------------------------------------------------------------------------------------------
GROUP II MORTGAGE LOAN STATISTICS
The Group II Mortgage Loans consist of 707 adjustable-rate and
fixed-rate Mortgage Loans having an aggregate principal balance as of the
Cut-off Date of approximately $329,964,215, 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 Group II Mortgage Loans had a first Due Date prior to
April 1, 2004 or after January 1, 2005, 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 Group II Mortgage Loan is December 1,
2034.
COLLATERAL TYPE
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
COLLATERAL TYPE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
2 YEAR ARMS 524 $ 249,681,030.71 75.67 359 41.17 7.177 619 79.92
FIXED 183 80,283,183.82 24.33 353 39.63 6.720 683 79.43
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 707 $ 329,964,214.53 100.00 357 40.80 7.066 635 79.80
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL BALANCES AT ORIGINATION
---------------------------------------------------------------------------------------------------------------------------
RANGE OF PRINCIPAL % OF REMAINING
NUMBER OF BALANCE PRINCIPAL TERM TO DEBT-TO- MORTGAGE
PRINCIPAL BALANCES MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES
AT ORIGINATION ($) LOANS ORIGINATION ORIGINATION (MONTHS)* (%)* (%)* FICO* OLTV (%)*
---------------------------------------------------------------------------------------------------------------------------
50,000.01 - 100,000.00 15 $ 1,150,830.00 0.35 299 30.15 8.147 646 75.36
100,000.01 - 150,000.00 11 1,377,346.00 0.42 335 36.15 7.893 643 75.99
150,000.01 - 200,000.00 2 335,400.00 0.10 304 34.38 7.098 701 70.47
200,000.01 - 250,000.00 1 201,600.00 0.06 358 42.00 6.600 706 80.00
300,000.01 - 350,000.00 47 16,079,241.00 4.87 359 41.63 7.065 623 78.96
350,000.01 - 400,000.00 167 62,466,069.00 18.91 359 39.76 6.946 637 79.28
400,000.01 - 450,000.00 109 46,241,957.00 14.00 359 41.32 7.184 634 81.03
450,000.01 - 500,000.00 74 35,470,291.00 10.74 359 39.12 7.009 638 78.94
500,000.01 - 550,000.00 78 41,457,004.00 12.55 356 39.85 7.030 631 81.75
550,000.01 - 600,000.00 123 71,389,925.00 21.61 357 41.65 7.152 633 81.99
600,000.01 - 650,000.00 32 19,972,386.00 6.05 353 42.50 7.248 622 80.38
650,000.01 - 700,000.00 23 15,625,396.00 4.73 359 43.26 6.747 652 75.80
700,000.01 - 750,000.00 24 17,635,743.00 5.34 359 41.33 7.003 638 71.25
850,000.01 - 900,000.00 1 880,000.00 0.27 359 45.00 6.600 664 76.52
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 707 $ 330,283,188.00 100.00 357 40.80 7.066 635 79.80
---------------------------------------------------------------------------------------------------------------------------
* Based on the original balances of the Mortgage Loans.
PRINCIPAL BALANCE AS OF THE CUT-OFF DATE
---------------------------------------------------------------------------------------------------------------------------
RANGE OF PRINCIPAL PRINCIPAL % OF PRINCIPAL REMAINING
BALANCES AS OF THE NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
CUT-OFF MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
DATE ($) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
50,000.01 - 100,000.00 15 $ 1,148,659.34 0.35 299 30.15 8.149 645 75.36
100,000.01 - 150,000.00 12 1,525,481.44 0.46 325 36.63 7.791 654 76.51
150,000.01 - 200,000.00 1 184,713.35 0.06 358 29.00 7.300 658 61.67
200,000.01 - 250,000.00 1 201,241.54 0.06 358 42.00 6.600 706 80.00
300,000.01 - 350,000.00 47 16,064,521.98 4.87 359 41.63 7.065 623 78.96
350,000.01 - 400,000.00 168 62,810,188.39 19.04 359 39.82 6.941 637 79.14
400,000.01 - 450,000.00 108 45,800,063.95 13.88 359 41.27 7.194 634 81.24
450,000.01 - 500,000.00 74 35,440,933.46 10.74 359 39.13 7.009 638 78.94
500,000.01 - 550,000.00 78 41,409,805.98 12.55 356 39.85 7.031 631 81.75
550,000.01 - 600,000.00 123 71,319,535.57 21.61 357 41.65 7.152 633 81.99
600,000.01 - 650,000.00 32 19,953,516.76 6.05 353 42.49 7.248 622 80.39
650,000.01 - 700,000.00 23 15,601,141.42 4.73 359 43.26 6.747 652 75.79
700,000.01 - 750,000.00 24 17,625,191.55 5.34 359 41.33 7.003 638 71.25
850,000.01 - 900,000.00 1 879,219.80 0.27 359 45.00 6.600 664 76.52
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 707 $ 329,964,214.53 100.00 357 40.80 7.066 635 79.80
---------------------------------------------------------------------------------------------------------------------------
STATED REMAINING TERM TO MATURITY
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
RANGE OF MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
MONTHS REMAINING LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
121 - 180 4 $ 854,858.44 0.26 178 43.42 7.233 646 71.21
181 - 240 10 2,889,827.20 0.88 238 37.00 6.467 683 84.34
301 - 360 693 326,219,528.89 98.87 359 40.83 7.071 634 79.78
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 707 $ 329,964,214.53 100.00 357 40.8 7.066 635 79.80
---------------------------------------------------------------------------------------------------------------------------
MORTGAGE RATE
---------------------------------------------------------------------------------------------------------------------------
RANGE OF PRINCIPAL % OF PRINCIPAL REMAINING
CURRENT NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
MORTGAGE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
5.500 - 5.999 76 $ 34,348,124.72 10.41 355 39.36 5.894 703 76.73
6.000 - 6.499 152 71,822,375.88 21.77 359 40.02 6.250 661 79.15
6.500 - 6.999 197 94,935,057.33 28.77 356 40.61 6.728 638 79.74
7.000 - 7.499 79 36,505,412.99 11.06 358 40.36 7.244 618 81.56
7.500 - 7.999 94 45,402,261.89 13.76 359 42.48 7.732 598 78.67
8.000 - 8.499 24 11,480,738.16 3.48 359 39.41 8.258 592 81.22
8.500 - 8.999 43 18,595,196.54 5.64 357 42.56 8.750 573 84.48
9.000 - 9.499 11 4,530,261.06 1.37 359 41.5 9.239 588 80.30
9.500 - 9.999 20 7,986,399.18 2.42 357 44.95 9.682 609 81.87
10.000 - 10.499 1 364,351.99 0.11 359 46.00 10.400 560 90.00
10.500 - 10.999 3 1,052,539.09 0.32 359 43.49 10.765 616 84.33
11.000 - 11.499 4 1,733,136.44 0.53 359 47.05 11.421 570 81.71
11.500 - 11.999 3 1,208,359.27 0.37 359 35.72 11.875 583 89.14
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 707 $ 329,964,214.53 100.00 357 40.8 7.066 635 79.80
---------------------------------------------------------------------------------------------------------------------------
ORIGINAL LOAN-TO-VALUE RATIOS
---------------------------------------------------------------------------------------------------------------------------
RANGE OF PRINCIPAL % OF PRINCIPAL REMAINING
ORIGINAL NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
LOAN-TO-VALUE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
RATIOS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
25.01 - 30.00 1 $ 371,005.09 0.11 357 44.00 6.600 728 27.69
30.01 - 35.00 1 749,230.69 0.23 359 26.00 5.850 705 30.49
35.01 - 40.00 1 492,250.00 0.15 360 55.00 6.150 718 39.38
40.01 - 45.00 2 786,000.86 0.24 359 49.00 7.750 560 41.85
45.01 - 50.00 2 1,198,452.66 0.36 359 39.00 6.900 585 50.00
50.01 - 55.00 3 1,436,043.40 0.44 360 48.20 7.346 603 52.19
55.01 - 60.00 22 11,054,870.82 3.35 359 39.13 6.921 632 57.58
60.01 - 65.00 37 17,396,486.12 5.27 358 36.88 6.728 641 62.89
65.01 - 70.00 43 17,881,236.18 5.42 352 41.16 6.781 633 68.27
70.01 - 75.00 89 39,994,296.37 12.12 359 40.01 7.064 611 73.23
75.01 - 80.00 136 62,976,199.39 19.09 357 41.20 6.836 641 78.58
80.01 - 85.00 141 68,932,621.75 20.89 359 41.32 7.317 628 83.84
85.01 - 90.00 226 105,246,070.05 31.90 357 41.24 7.174 644 89.01
90.01 - 95.00 3 1,449,451.14 0.44 359 35.15 6.577 630 93.03
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 707 $ 329,964,214.53 100.00 357 40.80 7.066 635 79.80
---------------------------------------------------------------------------------------------------------------------------
FICO SCORE AT ORIGINATION
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
RANGE OF MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
FICO SCORES LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
500 - 519 11 $ 4,511,373.68 1.37 358 46.05 8.221 506 73.89
520 - 539 23 9,963,503.67 3.02 359 44.84 8.507 529 77.29
540 - 559 52 24,169,427.76 7.32 359 42.58 7.902 551 76.63
560 - 579 65 29,695,377.72 9.00 359 41.43 7.500 570 80.60
580 - 599 50 23,336,696.04 7.07 359 40.43 7.397 589 80.55
600 - 619 75 35,155,848.36 10.65 359 41.98 7.313 611 79.40
620 - 639 107 52,897,784.00 16.03 359 41.82 7.237 629 80.46
640 - 659 85 41,590,051.23 12.60 354 39.22 6.832 649 81.70
660 - 679 85 38,105,896.79 11.55 356 39.70 6.559 669 80.62
680 - 699 48 23,828,557.35 7.22 356 38.37 6.397 687 80.55
700 - 719 42 17,742,718.08 5.38 354 40.31 6.363 710 77.54
720 - 739 25 11,980,364.60 3.63 358 43.50 6.407 727 77.32
740 - 759 19 8,222,205.17 2.49 357 35.84 6.124 751 77.67
760 - 779 18 7,756,187.39 2.35 359 37.55 6.470 768 82.53
780 - 799 1 583,222.70 0.18 359 47.00 5.990 789 83.40
800 - 819 1 425,000.00 0.13 360 21.00 7.800 804 85.00
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 707 $ 329,964,214.53 100.00 357 40.80 7.066 635 79.80
---------------------------------------------------------------------------------------------------------------------------
DEBT-TO-INCOME RATIO
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
RANGE OF DEBT- NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
TO-INCOME MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
RATIOS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
<= 20.00 41 $ 18,367,953.51 5.57 357 13.50 7.043 640 79.08
20.01 - 25.00 34 14,652,511.08 4.44 358 23.32 7.077 632 76.70
25.01 - 30.00 41 18,121,906.23 5.49 355 28.10 6.804 654 76.88
30.01 - 35.00 73 31,940,485.04 9.68 356 32.98 6.887 642 80.95
35.01 - 40.00 90 43,157,236.41 13.08 359 38.06 6.959 639 79.51
40.01 - 45.00 137 63,405,113.74 19.22 357 43.22 7.004 640 80.73
45.01 - 50.00 226 105,786,300.56 32.06 357 48.14 7.168 634 80.46
50.01 - 55.00 65 34,532,707.96 10.47 359 53.10 7.313 603 78.58
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 707 $ 329,964,214.53 100.00 357 40.80 7.066 635 79.80
---------------------------------------------------------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
STATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
California 342 $ 164,612,446.91 49.89 358 42.13 6.851 635 79.61
New York 62 32,172,784.70 9.75 358 40.65 7.045 645 77.89
Massachusetts 40 19,687,006.49 5.97 359 36.75 6.855 645 77.65
Florida 35 14,208,466.78 4.31 357 39.97 7.340 622 78.83
Maryland 26 12,086,602.41 3.66 359 44.22 7.683 621 78.16
New Jersey 25 11,418,242.25 3.46 357 39.66 7.570 652 82.38
Connecticut 17 7,872,251.74 2.39 359 40.80 7.134 607 70.11
Minnesota 17 7,590,824.37 2.30 350 38.68 7.098 621 81.59
Illinois 13 6,140,182.52 1.86 357 45.31 7.514 596 81.77
Washington 13 6,035,943.40 1.83 359 42.97 7.164 654 84.72
Texas 18 4,990,689.09 1.51 350 30.65 7.792 643 81.44
Nevada 9 4,063,227.97 1.23 360 44.87 7.242 637 79.15
Georgia 7 3,196,727.33 0.97 359 41.23 7.988 614 82.53
Utah 6 3,053,595.11 0.93 358 42.30 7.978 584 85.79
Hawaii 5 2,890,249.03 0.88 360 42.10 7.580 658 75.61
Indiana 8 2,854,340.53 0.87 359 36.20 7.823 639 87.72
Michigan 6 2,806,856.94 0.85 359 31.10 8.360 621 82.29
Pennsylvania 6 2,735,007.01 0.83 358 27.72 6.862 625 84.18
New Hampshire 5 2,564,835.08 0.78 358 42.57 6.703 638 82.37
Colorado 5 2,301,692.83 0.70 359 33.57 7.333 650 81.90
Other 42 16,682,242.04 5.06 354 37.04 7.214 633 85.02
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 707 $ 329,964,214.53 100.00 357 40.80 7.066 635 79.80
---------------------------------------------------------------------------------------------------------------------------
OCCUPANCY STATUS
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
OCCUPATION MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
STATUS* LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
Owner Occupied 668 $ 313,242,698.90 94.93 357 41.25 7.031 633 79.68
Non-owner Occupied 28 11,388,804.80 3.45 357 31.21 7.848 659 81.52
Second Home 11 5,332,710.83 1.62 359 34.88 7.463 643 83.29
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 707 $ 329,964,214.53 100.00 357 40.80 7.066 635 79.80
---------------------------------------------------------------------------------------------------------------------------
* Based on mortgagor representation at origination.
DOCUMENTATION TYPE
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
INCOME MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
DOCUMENTATION LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
Full Docs 492 $ 235,716,447.20 71.44 357 40.88 6.953 635 80.23
Stated Docs 110 48,222,195.49 14.61 359 42.65 7.581 644 77.97
Limited Docs 105 46,025,571.84 13.95 357 38.45 7.109 625 79.54
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 707 $ 329,964,214.53 100.00 357 40.80 7.066 635 79.80
---------------------------------------------------------------------------------------------------------------------------
LOAN PURPOSE
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
PURPOSE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
Refi-Cash Out ** 674 $ 313,795,434.40 95.10 358 41.01 7.072 634 79.88
Refi-No Cashout *** 25 11,733,074.14 3.56 359 37.40 6.849 648 75.09
Purchase 8 4,435,705.99 1.34 333 34.82 7.200 660 86.48
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 707 $ 329,964,214.53 100.00 357 40.80 7.066 635 79.80
---------------------------------------------------------------------------------------------------------------------------
** Cash proceeds to the borrower inclusive of debt consolidation
payments exceed 2% or $2000 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 $2000 of the original principal
balance of the related loan. Excludes home equity loans
originated in Texas with any cash proceeds.
CREDIT GRADE
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
RISK CATEGORY LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
8A 85 $ 38,777,057.96 11.75 356 40.02 6.348 736 78.66
7A 67 31,070,874.55 9.42 356 38.82 6.389 692 80.01
6A 82 36,552,852.44 11.08 356 39.74 6.495 669 80.51
5A 77 38,571,085.91 11.69 354 38.77 6.817 649 82.05
4A 97 48,792,604.57 14.79 359 41.51 7.117 631 81.03
3A 62 28,043,284.89 8.50 358 42.81 7.240 617 80.49
2A 141 65,567,823.32 19.87 359 40.77 7.422 583 79.69
A 29 14,255,730.74 4.32 359 41.31 8.194 578 81.82
B 44 18,909,624.95 5.73 358 44.92 8.285 542 75.29
C 23 9,423,275.21 2.86 358 44.40 8.080 538 70.15
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 707 $ 329,964,214.53 100.00 357 40.80 7.066 635 79.80
---------------------------------------------------------------------------------------------------------------------------
PROPERTY TYPE
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
PROPERTY TYPE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
SFR 603 $ 282,822,933.52 85.71 357 40.80 7.054 635 79.92
PUD 42 18,701,412.33 5.67 359 39.79 7.281 613 78.06
2-4 UNITS 35 16,723,943.50 5.07 357 41.10 7.198 652 77.49
CONDO 25 11,546,196.87 3.50 359 42.12 6.817 622 83.05
SFR-ATTACH 1 86,359.69 0.03 359 16.00 9.750 636 82.29
MANU/MOBIL 1 83,368.62 0.03 236 39.00 7.250 702 76.36
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 707 $ 329,964,214.53 100.00 357 40.80 7.066 635 79.80
---------------------------------------------------------------------------------------------------------------------------
PREPAYMENT CHARGE TERM
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
PREPAYMENT CHARGE NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
TERM AT MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
ORIGINATION (MOS.) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
0 191 $ 89,289,624.74 27.06 358 40.94 7.617 631 79.56
12 24 12,483,253.56 3.78 358 42.23 6.928 665 77.97
24 6 2,597,001.38 0.79 359 39.44 7.558 623 84.26
30 1 363,929.58 0.11 358 45.00 7.250 615 90.00
36 485 225,230,405.26 68.26 357 40.67 6.849 634 79.93
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 707 $ 329,964,214.53 100.00 357 40.80 7.066 635 79.80
---------------------------------------------------------------------------------------------------------------------------
CONFORMING BALANCE
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO- MORTGAGE
CONFORMING MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
BALANCE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
Conforming Balance 31 $ 3,880,573.73 1.18 328 36.23 7.533 672 72.07
Non-Conforming Balance 676 326,083,640.80 98.82 358 40.85 7.061 634 79.89
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 707 $ 329,964,214.53 100.00 357 40.80 7.066 635 79.80
---------------------------------------------------------------------------------------------------------------------------
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF
ADJUSTABLE RATE ADJUSTABLE REMAINING
NUMBER OF LOANS RATE LOANS TERM TO DEBT-TO- MORTGAGE
RANGE OF MAXIMUM MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
11.500 - 11.999 41 $ 19,455,895.70 7.79 356 39.76 5.882 680 77.89
12.000 - 12.499 108 51,917,991.46 20.79 359 40.41 6.254 645 79.66
12.500 - 12.999 147 71,724,056.75 28.73 359 40.81 6.729 622 79.64
13.000 - 13.499 55 25,602,434.38 10.25 359 41.3 7.236 602 81.23
13.500 - 13.999 81 39,106,655.36 15.66 359 42.01 7.730 594 77.39
14.000 - 14.499 17 8,100,086.99 3.24 359 40.89 8.281 596 81.56
14.500 - 14.999 38 17,266,240.04 6.92 359 42.38 8.752 572 84.70
15.000 - 15.499 10 4,470,388.27 1.79 359 41.66 9.240 589 80.59
15.500 - 15.999 19 7,917,072.32 3.17 359 45.01 9.682 609 82.04
16.000 - 16.499 1 364,351.99 0.15 359 46.00 10.400 560 90.00
16.500 - 16.999 2 989,041.99 0.40 359 43.08 10.753 621 84.95
17.000 - 17.499 3 1,673,136.44 0.67 359 47.7 11.432 569 82.02
17.500 - 17.999 2 1,093,679.03 0.44 359 34.12 11.888 584 89.67
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 524 $ 249,681,030.71 100.00 359 41.17 7.177 619 79.92
---------------------------------------------------------------------------------------------------------------------------
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF
ADJUSTABLE RATE ADJUSTABLE REMAINING
NUMBER OF LOANS RATE LOANS TERM TO DEBT-TO- MORTGAGE
RANGE OF MINIMUM MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
5.500 - 5.999 41 $ 19,455,895.70 7.79 356 39.76 5.882 680 77.89
6.000 - 6.499 108 51,917,991.46 20.79 359 40.41 6.254 645 79.66
6.500 - 6.999 147 71,724,056.75 28.73 359 40.81 6.729 622 79.64
7.000 - 7.499 55 25,602,434.38 10.25 359 41.30 7.236 602 81.23
7.500 - 7.999 81 39,106,655.36 15.66 359 42.01 7.730 594 77.39
8.000 - 8.499 17 8,100,086.99 3.24 359 40.89 8.281 596 81.56
8.500 - 8.999 38 17,266,240.04 6.92 359 42.38 8.752 572 84.70
9.000 - 9.499 10 4,470,388.27 1.79 359 41.66 9.240 589 80.59
9.500 - 9.999 19 7,917,072.32 3.17 359 45.01 9.682 609 82.04
10.000 - 10.499 1 364,351.99 0.15 359 46.00 10.400 560 90.00
10.500 - 10.999 2 989,041.99 0.40 359 43.08 10.753 621 84.95
11.000 - 11.499 3 1,673,136.44 0.67 359 47.70 11.432 569 82.02
11.500 - 11.999 2 1,093,679.03 0.44 359 34.12 11.888 584 89.67
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 524 $ 249,681,030.71 100.00 359 41.17 7.177 619 79.92
---------------------------------------------------------------------------------------------------------------------------
GROSS MARGINS OF THE ADJUSTABLE-RATE LOANS
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF
ADJUSTABLE RATE ADJUSTABLE REMAINING
NUMBER OF LOANS RATE LOANS TERM TO DEBT-TO- MORTGAGE
RANGE OF GROSS MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
MARGINS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
3.750 - 3.999 1 $ 353,709.25 0.14 359 35.00 6.990 714 61.90
4.500 - 4.749 3 1,311,907.19 0.53 359 34.87 6.786 757 83.76
4.750 - 4.999 27 12,680,653.01 5.08 359 38.96 6.540 717 82.51
5.000 - 5.249 36 16,703,291.43 6.69 359 38.40 6.312 684 80.56
5.250 - 5.499 48 23,750,049.03 9.51 359 41.53 6.459 665 79.49
5.500 - 5.749 71 36,720,571.30 14.71 357 39.63 6.777 640 81.98
5.750 - 5.999 84 40,584,826.64 16.25 359 41.17 7.094 623 80.10
6.000 - 6.249 179 83,299,264.80 33.36 359 41.83 7.428 592 80.03
6.250 - 6.499 25 12,355,259.06 4.95 359 41.20 8.274 566 81.38
6.500 - 6.749 33 14,929,318.61 5.98 359 45.06 8.356 540 74.99
6.750 - 6.999 17 6,992,180.40 2.80 359 44.08 8.071 544 70.05
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 524 $ 249,681,030.71 100.00 359 41.17 7.177 619 79.92
---------------------------------------------------------------------------------------------------------------------------
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF
ADJUSTABLE RATE ADJUSTABLE REMAINING
NUMBER OF LOANS RATE LOANS TERM TO DEBT-TO- MORTGAGE
NEXT RATE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
ADJUSTMENT DATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
2006-07 1 $ 408,593.27 0.16 356 45.00 8.990 563 90.00
2006-08 8 3,136,800.76 1.26 357 43.37 7.029 639 87.00
2006-09 29 13,927,562.25 5.58 358 39.46 7.543 613 81.33
2006-10 347 169,155,653.47 67.75 359 41.14 7.110 620 79.52
2006-11 37 16,680,842.97 6.68 360 42.01 7.498 618 82.15
2006-12 102 46,371,578.00 18.57 360 41.34 7.194 617 79.60
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 524 $ 249,681,030.71 100.00 359 41.17 7.177 619 79.92
---------------------------------------------------------------------------------------------------------------------------
INITIAL PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF
ADJUSTABLE RATE ADJUSTABLE REMAINING
NUMBER OF LOANS RATE LOANS TERM TO DEBT-TO- MORTGAGE
INITIAL PERIODIC MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
RATE CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
2.000 524 $ 249,681,030.71 100.00 359 41.17 7.177 619 79.92
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 524 $ 249,681,030.71 100.00 359 41.17 7.177 619 79.92
---------------------------------------------------------------------------------------------------------------------------
SUBSEQUENT PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS
---------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF
ADJUSTABLE RATE ADJUSTABLE REMAINING
SUBSEQUENT NUMBER OF LOANS RATE LOANS TERM TO DEBT-TO- MORTGAGE
PERIODIC RATE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES
CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------------------------------------------------------------------------------------------------------------
1.000 524 $ 249,681,030.71 100.00 359 41.17 7.177 619 79.92
---------------------------------------------------------------------------------------------------------------------------
TOTAL: 524 $ 249,681,030.71 100.00 359 41.17 7.177 619 79.92
---------------------------------------------------------------------------------------------------------------------------
