MASTR ASSET BACKED SECURITIES TRUST 2004-HE1 AMENDMENT NO. 1 TO POOLING AND SERVICING AGREEMENT Dated as of April 25, 2006 MASTR Asset Backed Securities Trust 2004-HE1, Mortgage Pass-Through Certificates, Series 2004-HE1
_____________________
AMENDMENT
NO. 1 TO POOLING AND SERVICING AGREEMENT
Dated
as
of April 25, 2006
_________________________
Mortgage
Pass-Through Certificates, Series 2004-HE1
AMENDMENT
NO. 1
AMENDMENT
No. 1 (this “Amendment”) effective as of September 1, 2004 (the “Effective
Date”) among MORTGAGE ASSET SECURITIZATION TRANSACTIONS, INC. (the “Depositor”),
XXXXX FARGO BANK, N.A. (the “Master Servicer” and the “Trust Administrator”) and
U.S. BANK NATIONAL ASSOCIATION (the “Trustee”).
PRELIMINARY
STATEMENT
WHEREAS,
the Depositor, the Master Servicer, the Trust Administrator and the Trustee,
are
parties to the Pooling and Servicing Agreement, dated as of September 1, 2004
(the “Agreement”); and
WHEREAS,
Section 11.01 of the Agreement provides that the Agreement may be amended by
the
Depositor, the Master Servicer, the Trust Administrator and the
Trustee;
WHEREAS,
this Amendment has been executed in order to conform the definition of “Trigger
Event” to the definition in the Term Sheet, which is attached hereto as Exhibit
A;
NOW,
THEREFORE, in consideration of the foregoing and of other good and valuable
consideration, the receipt and sufficiency of which is hereby acknowledged,
the
parties hereto agree as follows:
1. Capitalized
terms used but not defined herein shall have the meanings ascribed to such
terms
in the Agreement.
2. Amendments
The
definition of “Trigger Event” shall be replaced in its entirety with the
following:
“Trigger
Event”: A Trigger Event is in effect with respect to any Distribution Date on or
after the Stepdown Date if: (a) the percentage obtained by dividing (x) the
aggregate Stated Principal Balance of Mortgage Loans Delinquent 60 days or
more
or are in foreclosure, have been converted to REO Properties or have been
discharged by reason of bankruptcy by (y) the aggregate Stated Principal Balance
of the Mortgage Loans, in each case, as of the last day of the previous calendar
month, is greater than 12.70%; (b) or the aggregate amount of Realized Losses
incurred since the Cut-off Date through the last day of the related Due Period
(reduced by the aggregate amount of Subsequent Recoveries received since the
Cut-off Date through the last day of the related Due Period) divided by the
aggregate principal balance of the Mortgage Loans as of the Cut-off Date exceeds
the applicable percentages set forth below with respect to such Distribution
Date:
|
Distribution
Date Occurring In
|
Percentage
|
|
October
2007 through September 2008
|
2.00%
|
|
October
2008 through September 2009
|
2.50%
|
|
October
2009 through September 2010
|
3.00%
|
|
October
2010 and thereafter
|
3.25%
|
3. Except
as
expressly modified or amended in this Amendment, all of the terms, covenants,
provisions, agreements and conditions of the Agreement are hereby ratified
and
confirmed in every respect and shall remain unmodified and unchanged and shall
continue in full force and effect.
4. This
Amendment shall become effective as of the date hereof when, and only when,
the
Agent shall have received executed counterparts of this Amendment from the
parties hereto.
5. This
Amendment may be executed in counterparts, each of which shall be an original
but all of which, taken together, shall constitute one and the same instrument.
This Amendment shall be construed in accordance with the laws of the State
of
New York (excluding provisions regarding conflicts of laws) and the obligations,
rights and remedies of the parties hereunder shall be determined in accordance
with such laws.
IN
WITNESS WHEREOF, the parties have duly executed this Amendment No. 1 as of
the
date first above written.
MORTGAGE
ASSET SECURITIZATION TRANSACTIONS, INC.,
as
Depositor
By:
/s/
Xxxxx XxXxxxxx
Name:
Xxxxx XxXxxxxx
Title:
Executive Director
By:
/s/
Xxxxx Xxxxxx
Name:
Xxxxx Xxxxxx
Title: Associate
Director
XXXXX
FARGO BANK, N.A.,
as
Master
Servicer
By:
/s/
Xxxxx X. Xxxxxx
Name:
Xxxxx X. Xxxxxx
Title: Vice
President
XXXXX
FARGO BANK, N.A.,
as
Trust
Administrator
By:
/s/
Xxxxx X. Xxxxxx
Name:
Xxxxx X. Xxxxxx
Title: Vice
President
U.S.
BANK
NATIONAL ASSOCIATION, as Trustee
By:
/s/
Xxxxxxx X. Xxxxx
Name:
Xxxxxxx X. Xxxxx
Title:
Vice
President
EXHIBIT
A
TERM
SHEET
 |
ABS
New Issue Term Sheet
Mortgage
Pass-Through Certificates
[$661,544,000]
(Approximate)
Xxxxx
Fargo Bank, N.A.
(Master
Servicer)
Chase
Manhattan Mortgage Corporation
HomEq
Servicing Corporation
(Servicers)
Mortgage
Asset Securitization Transactions, Inc.
(Depositor)
UBS
Real Estate Securities Inc.
(Mortgage
Loan Seller)
September
21, 2004
ABC
The
analysis in this report is based on information provided by New Century Mortgage
Corporation, Accredited Home Lenders, Mandalay Mortgage, Encore Credit
Corporation, National City Mortgage and First Street Financial, Inc. (the
“Originators”). UBS Securities LLC ("UBS") makes no representations as to the
accuracy or completeness of the information contained herein. The information
contained herein is qualified in its entirety by the information in the
Prospectus and Prospectus Supplement for this transaction. The information
contained herein is preliminary as of the date hereof, supersedes any previous
information delivered to you by UBS and will be superseded by the applicable
final Prospectus and Prospectus Supplement and any other information
subsequently filed with the Securities and Exchange Commission. These materials
are subject to change, completion, or amendment from time to time without
notice, and UBS is under no obligation to keep you advised of such changes.
These materials are not intended as an offer or solicitation with respect
to the
purchase or sale of any security. Any investment decision with respect to
the
securities should be made by you based upon the information contained in
the
final Prospectus Supplement and Prospectus relating to the securities. You
should consult your own counsel, accountant, and other advisors as to the
legal,
tax, business, financial and related aspects of a purchase of these
securities.
The
attached information contains certain tables and other statistical analyses
(the
"Computational Materials") which have been prepared by UBS in reliance upon
information furnished by the Originators. They may not be provided to any
third
party other than the addressee's legal, tax, financial and/or accounting
advisors for the purposes of evaluating said material. Numerous assumptions
were
used in preparing the Computational Materials which may or may not be reflected
herein. As such, no assurance can be given as to the Computational Materials'
accuracy, appropriateness or completeness in any particular context; nor
as to
whether the Computational Materials and/or the assumptions upon which they
are
based reflect present market conditions or future market performance. These
Computational Materials should not be construed as either projections or
predictions or as legal, tax, financial or accounting advice. Any weighted
average lives, yields and principal payment periods shown in the Computational
Materials are based on prepayment assumptions, and changes in such prepayment
assumptions may dramatically affect such weighted average lives, yields and
principal payment periods. In addition, it is possible that prepayments on
the
underlying assets will occur at rates slower or faster than the rates shown
in
the attached Computational Materials. Furthermore, unless otherwise provided,
the Computational Materials assume no losses on the underlying assets and
no
interest shortfalls. The specific characteristics of the securities may differ
from those shown in the Computational Materials due to differences between
the
actual underlying assets and the hypothetical underlying assets used in
preparing the Computational Materials. The principal amount and designation
of
any security described in the Computational Materials are subject to change
prior to issuance. Neither UBS nor any of its affiliates makes any
representation or warranty as to the actual rate or timing of payments on
any of
the underlying assets or the payments or yield on the securities.
THIS
INFORMATION IS FURNISHED TO YOU SOLELY BY UBS AND NOT BY THE ISSUER OF THE
SECURITIES OR ANY OF ITS AFFILIATES (OTHER THAN UBS). UBS IS ACTING AS
UNDERWRITER AND NOT ACTING AS AGENT FOR THE ISSUER IN CONNECTION WITH THE
PROPOSED TRANSACTION.
This
Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as
appropriate (the “material”), was prepared solely by UBS Securities LLC (“UBS”),
is privileged and confidential, is intended for use by the addressee
only, and
may not be provided to any third party other than the addressee’s legal, tax,
financial and/or accounting advisors for the purposes of evaluating
such
information. This information is furnished to you solely by UBS and
not by the
Issuer of the securities or any of its affiliates. UBS is acting
as Underwriter
and not acting as Agent for the Issuer or its affiliates in connection
with the
proposed transaction. This material is provided for information purposes
only,
and does not constitute an offer to sell, nor a solicitation of an
offer to buy,
the referenced securities. It does not purport to be all-inclusive
or to contain
all of the information that a prospective investor may require to
make a full
analysis of the transaction. All information contained herein is
preliminary and
it is anticipated that such information will change. The information
contained
herein supersedes information contained in any prior material for
this
transaction. In addition, the information contained herein will be
superseded by
information contained in the Prospectus and Prospectus Supplement
for this
transaction and in any other material subsequently circulated and
filed with the
Securities and Exchange Commission. An offering may be made only
through the
delivery of the Prospectus and Prospectus Supplement.
Mortgage
Pass-Through Certificates
[$661,544,000]
(Approximate Offered Certificates)
|
Structure
Overview
|
|||||||||
|
Class(1,2)
|
Approx.
Size
($)(3)
|
Certificate
Type
|
Expected
WAL
(years)
Call(4)
/
Mat(4)
|
Expected
Principal Window
Start(4)
-
Call(4)
-
Mat(4)
|
Legal
Final Distribution Date
|
Expected
Ratings
S&P/
M / F
|
|
A-1(5)
|
284,834,000
|
FLT
/ SEN
|
2.64
/ 2.89
|
10/04
- 03/12 - 06/21
|
September
2034
|
AAA
/ Aaa / AAA
|
|
A-2(5)
|
157,216,000
|
FLT
/ SEN
|
1.00
/ 1.00
|
10/04
- 11/06 - 11/06
|
September
2034
|
AAA
/ Aaa / AAA
|
|
A-3(5)
|
63,886,000
|
FLT
/ SEN
|
3.00
/ 3.00
|
11/06
- 01/09 - 01/09
|
September
2034
|
AAA
/ Aaa / AAA
|
|
A-4(5)
|
63,731,000
|
FLT
/ SEN
|
6.34
/ 7.42
|
01/09
- 03/12 - 06/21
|
September
2034
|
AAA
/ Aaa / AAA
|
|
M-1(5,6)
|
30,738,000
|
FLT
/ MEZ
|
5.04
/ 5.56
|
12/07
- 03/12 - 10/17
|
September
2034
|
AA+
/ Aa2 / AA+
|
|
M-2(5,6)
|
9,355,000
|
FLT
/ MEZ
|
5.03
/ 5.50
|
12/07
- 03/12 - 09/16
|
September
2034
|
AA+
/ Aa3 / AA+
|
|
M-3(5,6)
|
6,682,000
|
FLT
/ MEZ
|
5.01
/ 5.46
|
11/07
- 03/12 - 03/16
|
September
2034
|
AA+
/ A1 / AA+
|
|
M-4(5,6)
|
6,348,000
|
FLT
/ MEZ
|
5.01
/ 5.43
|
00/00
- 00/00 - 00/00
|
Xxxxxxxxx
0000
|
XX
/ A2 / AA
|
|
M-5(5,6)
|
6,014,000
|
FLT
/ MEZ
|
5.01
/ 5.40
|
00/00
- 00/00 - 00/00
|
Xxxxxxxxx
0000
|
XX
/ A3 / AA
|
|
M-6(5,6)
|
6,014,000
|
FLT
/ MEZ
|
5.01
/ 5.36
|
11/07
- 00/00 - 00/00
|
Xxxxxxxxx
0000
|
XX-
/ XX / XX-
|
|
M-7(5,6)
|
5,679,000
|
FLT
/ MEZ
|
5.00
/ 5.29
|
10/07
- 03/12 - 06/14
|
September
2034
|
A+
/ NR / A+
|
|
M-8(5,6)
|
5,011,000
|
FLT
/ MEZ
|
4.99
/ 5.21
|
10/07
- 03/12 - 11/13
|
September
2034
|
A
/
NR / A
|
|
M-9(5,6)
|
6,682,000
|
FLT
/ MEZ
|
4.99
/ 5.08
|
10/07
- 03/12 - 03/13
|
September
2034
|
BBB+
/ NR / BBB+
|
|
M-10(5,6)
|
5,345,000
|
FLT
/ MEZ
|
4.83
/ 4.83
|
10/07
- 02/12 - 02/12
|
September
2034
|
BBB
/ NR / BBB
|
|
M-11(5,6)
|
4,009,000
|
FLT
/ MEZ
|
4.39
/ 4.39
|
10/07
- 00/00 - 00/00
|
Xxxxxxxxx
0000
|
XXX-
/ XX / XXX-
|
|
Notes:
|
|||||||
|
(1)
|
The
Certificates are backed by the cash flow from a pool of conforming
and
non-conforming balance, first and second lien, fixed-rate and
adjustable-rate Mortgage Loans.
|
||||||
|
(2)
|
The
Certificates will be subject to the Net WAC Cap as described
herein.
|
||||||
|
(3)
|
The
Approximate Size is subject to a permitted variance of plus or
minus
10%.
|
||||||
|
(4)
|
See
the Pricing Speed below.
|
||||||
|
(5)
|
After
the Optional Termination Date, the margin on the Class X-0, X-0,
X-0 and
A-4 Certificates will increase to 2.0x their initial margin,
the margin on
the Class X-0, X-0, X-0, X-0, X-0, M-6, M-7, M-8, M-9, M-10 and
M-11
Certificates will increase to 1.5x their initial
margin.
|
||||||
|
(6)
|
The
Class X-0, X-0, X-0, X-0, X-0, M-6, M-7, M-8, M-9, M-10 and M-11
Certificates are not expected to receive any principal distributions
prior
to the Stepdown Date.
|
||||||
|
Pricing
Speed
|
|
|
Fixed-Rate
Mortgage Loans
|
4%
CPR growing to 23% CPR over 12 months and 23% CPR
thereafter
|
|
Adjustable-Rate
Mortgage Loans
|
27%
CPR
|
|
Transaction
Highlights
|
|
·
|
The
Mortgage Loans consist of subprime fixed and adjustable rate, first
and
second lien residential Mortgage Loans originated by New Century
Mortgage
Corporation (41.02%), Accredited Home Lenders (23.45%), Mandalay
Mortgage
(16.63%), Encore Credit Corporation (15.10%), National City Mortgage
(2.19%), and First Street Financial, Inc.
(1.60%).
|
|
·
|
The
transaction consists of a Senior/Mezz/OC structure.
|
|
·
|
The
Credit Enhancement for the Certificates will be provided through
Subordination, Overcollateralization of [1.00]%, Mortgage Insurance
and
Excess Spread.
|
|
·
|
97.93%
of the Mortgage Loans will be serviced by Chase Manhattan Mortgage
Corporation (rated SQ1 by Xxxxx’x, RPS1 by Fitch, and Strong by S&P)
and 2.07% of the Mortgage Loans will be serviced by HomEq Servicing
Corporation (rated SQ1 by Xxxxx’x, RPS1 by Fitch, and Strong by S&P).
Xxxxx Fargo will act as Master
Servicer.
|
|
·
|
The
Murrayhill Company will act as Credit Risk
Manager.
|
|
·
|
Mortgage
Guaranty Insurance Corporation (“MGIC”) (rated AA by S&P and Aa2 by
Xxxxx’x) will provide Mortgage Insurance. The Mortgage Insurance will
provide coverage down to 60% LTV. Approximately 73.05% of the Mortgage
Loans above 60% LTV will be covered by MI.
|
|
·
|
None
of the Mortgage Loans are classified as “High Cost”
loans.
|
|
·
|
The
Certificates will be ERISA
eligible.
|
|
·
|
None
of the Certificates will be SMMEA
eligible.
|
|
·
|
All
numbers and percentages herein relating to the Mortgage Loans are
as of
the Cut-off Date.
|
|
·
|
The
Certificates will be registered under a registration statement
filed with
the Securities and Exchange
Commission.
|
|
·
|
Bloomberg:
MABS 2004-HE1
|
|
·
|
Intex:
MABS04HE1
|
|
(1)
Excludes mortgage loans that were not scored.
|
|
(2)
References to loan-to-value ratios are references to combined
loan-to-value ratios with respect to second lien Mortgage
Loans.
|
|
(3)
All loans covered by MI assume 60% LTV. All loans not covered by
MI refers
to Original LTV.
|
|
Transaction
Overview
|
|
|
Issuer:
|
|
|
Depositor:
|
Mortgage
Asset Securitization Transactions, Inc.
|
|
Mortgage
Loan Seller:
|
UBS
Real Estate Securities Inc.
|
|
Originators:
|
New
Century Mortgage Corporation, Accredited Home Lenders, Mandalay
Mortgage,
Encore Credit Corporation, National City Mortgage and First Street
Financial, Inc.
|
|
Master
Servicer:
|
Xxxxx
Fargo Bank, N.A.
|
|
Servicers:
|
Chase
Manhattan Mortgage Corporation and HomEq Servicing
Corporation
|
|
Credit
Risk Manager:
|
The
Murrayhill Company
|
|
Trustee:
|
U.S.
Bank National Association
|
|
Trust
Administrator:
|
Xxxxx
Fargo Bank, N.A.
|
|
Lead
Underwriter:
|
UBS
Securities LLC
|
|
Co-Manager:
|
KeyBanc
Capital Markets
|
|
Offered
Securities:
|
Approximately
[$569,667,000] senior floating-rate Certificates (“Class A Certificates”)
and approximately [$91,877,000] mezzanine floating-rate Certificates
(“Class M Certificates”). The Class A Certificates and the Class M
Certificates are backed by a pool of conforming and non-conforming,
first
and second lien, fixed-rate and adjustable-rate Mortgage Loans.
|
|
Sequential
Certificates:
|
Class
A-2, Class A-3 and Class A-4 Certificates. The
Principal Distribution Amount of the Sequential Certificates will
be
distributed in sequential order until the Certificate Principal
Balances
thereof have been reduced to zero.
|
|
Collateral:
|
As
of the Cut-off Date, the Mortgage Loans will consist of 3,740
adjustable-rate and fixed-rate, first and second lien, closed-end,
mortgage loans totaling approximately $[668,232,051].
|
|
ERISA:
|
The
offered certificates will be ERISA eligible as of the Closing Date.
However, investors should consult with their counsel with respect
to the
consequences under ERISA and the Internal Revenue Code of an ERISA
Plan’s
acquisition and ownership of such Certificates.
|
|
SMMEA:
|
None
of the Certificates will constitute “mortgage related securities” for the
purposes of the Secondary Mortgage Market Enhancement Act of 1984
(“SMMEA”).
|
|
Taxation:
|
The
Trust will be established as one or more REMICs for federal income
tax
purposes.
|
|
Form
of Registration:
|
Book-entry
form through DTC, Clearstream and Euroclear.
|
|
Minimum
Denominations:
|
$25,000
and integral multiples of $1 in excess thereof.
|
|
Transaction
Overview
|
|
|
Expected
Pricing:
|
On
or about September [23], 2004
|
|
Closing
Date:
|
On
or about September 29, 2004
|
|
Cut-off
Date:
|
September
1, 2004
|
|
Record
Date:
|
The
business day immediately preceding the Distribution
Date.
|
|
Distribution
Date:
|
The
25th
day of each month (or if such 25th
day is not a business day, the next succeeding business day) commencing
in
October 2004.
|
|
Determination
Date:
|
The
Determination Date with respect to any Distribution Date is on
the
15th
day of the month in which the Distribution Date occurs or, if such
day is
not a business day, the business day immediately preceding such
15th
day.
|
|
Due
Period:
|
The
Due Period with respect to any Distribution Date commences on the
second
day of the month immediately preceding the month in which the Distribution
Date occurs and ends on the first day of the month in which the
Distribution Date occurs.
|
|
Prepayment
Period:
|
The
Prepayment Period with respect to any Distribution Date is the
period
commencing on the day after the Determination Date in the month
preceding
the month in which such Distribution Date falls (or, in the case
of the
first Distribution Date, from September 1, 2004) and ending on
the
Determination Date of the calendar month in which such Distribution
Date
falls.
|
|
Interest
Accrual Period:
|
Interest
will initially accrue from the Closing Date to (but excluding)
the first
Distribution Date, and thereafter, from the prior Distribution
Date to
(but excluding) the current Distribution Date based on an Actual/360
day
basis. The Class A Certificates and the Class M Certificates will
initially settle flat (no accrued interest).
|
|
Administrative
Fees:
|
The
Servicing Fee calculated at the Servicing Fee Rate of 0.50% per
annum, and
the Trustee Fee calculated at the Trustee Fee Rate of [0.0235%]
per annum,
and the Credit Risk Manager Fee calculated at the Credit Risk Manager
Fee
Rate of [0.015%] per annum and the Mortgage Insurance premium payable
on
the loans covered by the Mortgage Insurance policy. Administrative
Fees
will be paid monthly based on the stated principal balance of the
Mortgage
Loans.
|
|
Optional
Termination:
|
The
majority holder of the Class CE Certificates, (or if such majority
holder
fails to exercise its option, the Master Servicer or NIM Insurer,
if any)
may purchase all of the Mortgage Loans and REO properties and retire
the
certificates on or after the Optional Termination Date.
|
|
Optional
Termination Date:
|
The
first Distribution Date on which the aggregate principal balance
of the
Mortgage Loans, after giving effect to distributions to be made
on that
Distribution Date, is less than or equal to 10% of the aggregate
principal
balance of the Mortgage Loans as of the Cut-off Date.
|
|
Credit
Enhancement
|
|||
|
Credit
Enhancement:
|
1) Excess
interest
2) Overcollateralization
(“OC”)
3) Subordination
4) Mortgage
Insurance
|
||
|
Overcollateralization
Target Amount:
|
With
respect to any Distribution Date, (i) prior to the Stepdown Date,
an
amount equal to [1.00]% of the aggregate outstanding principal
balance of
the Mortgage Loans as of the Closing Date, (ii) on or after the
Stepdown
Date provided a Trigger Event is not in effect, the greater of
(x) [2.00]%
of the then current aggregate outstanding principal balance of
the
Mortgage Loans as of the last day of the related Due Period and
(y)
approximately $[3,341,160] or (iii) if a Trigger Event is in effect,
the
Overcollateralization Target Amount for the immediately preceding
Distribution Date. The Overcollateralization Target Amount will
be fully
funded on the Closing Date.
|
||
|
Stepdown
Date:
|
The
earlier to occur of (i) the first Distribution Date on which the
aggregate
Certificate Principal Balance of the Class A Certificates has been
reduced
to zero and (ii) the later to occur of (A) the Distribution Date
in
October 2007 and (B) the date that the Credit Enhancement Percentage
(calculated for this purpose only after taking into account distributions
of principal on the Mortgage Loans, but prior to any distributions
of the
Principal Distribution Amount to the holders of the certificates
then
entitled to distributions of principal on such Distribution Date)
is
greater than or equal to [29.50]%.
|
||
|
Credit
Enhancement Percentage:
|
The
Credit Enhancement Percentage for any class and any Distribution
Date is
the percentage obtained by dividing (x) the aggregate Certificate
Principal Balance of the class or classes subordinate thereto (including
the OC) by (y) the aggregate principal balance of the Mortgage
Loans,
calculated after taking into account distributions of principal
on the
Mortgage Loans and distribution of the Principal Distribution Amount
to
the holders of the certificates then entitled to distributions
of
principal on the Distribution Date.
|
||
|
CREDIT
ENHANCEMENT PERCENTAGE
|
|||
|
Class
|
Closing
Date
|
After
Stepdown Date
|
|
|
A
|
14.75%
|
29.50%
|
|
|
M-1
|
10.15%
|
20.30%
|
|
|
M-2
|
8.75%
|
17.50%
|
|
|
M-3
|
7.75%
|
15.50%
|
|
|
M-4
|
6.80%
|
13.60%
|
|
|
M-5
|
5.90%
|
11.80%
|
|
|
M-6
|
5.00%
|
10.00%
|
|
|
M-7
|
4.15%
|
8.30%
|
|
|
M-8
|
3.40%
|
6.80%
|
|
|
M-9
|
2.40%
|
4.80%
|
|
|
M-10
|
1.60%
|
3.20%
|
|
|
M-11
|
1.00%
|
2.00%
|
|
|
Credit
Enhancement
|
|
Trigger
Event:
|
With
respect to any Distribution Date on or after the Stepdown Date, a Trigger
Event is in effect if (i) the percentage obtained by dividing the
aggregate Principal Balance of (1) Mortgage Loans delinquent 60
days or
more, (2) Mortgage Loans in foreclosure, (3) REO properties and
(4)
Mortgage Loans discharged due to bankruptcy by the aggregate principal
balance of the Mortgage Loans, in each case, as of the last day
of the
previous calendar month is greater than [12.70]% or
(ii)
the aggregate amount of realized losses incurred since the Cut-off
Date
through the last day of the related Due Period divided by the aggregate
Principal Balance of the Mortgage Loans as of the Cut-off Date
exceeds the
approximate applicable percentages set forth below with respect
to such
payment date:
|
||
|
Payment
Date Occurring in
|
Percentage
|
||
|
October
2007 through September 2008
|
[2.00]%
|
||
|
October
2008 through September 2009
|
[2.50]%
|
||
|
October
2009 through September 2010
|
[3.00]%
|
||
|
October
2010 and thereafter
|
[3.25]%
|
||
|
Payment
of Interest
|
|
|
Interest
Payment Priority:
|
On
each Distribution Date, the Interest Remittance Amount will be
distributed
in the following order of priority:
|
| (i) | Concurrently, to the holders of the Class A-1, Class A-2, Class A-3 and the Class A-4 Certificates the Interest Distribution Amount for each such class. | |
| (ii) | to the holders of the Class M-1 Certificates, the Interest Distribution Amount for such class; | |
| (iii) | to the holders of the Class M-2 Certificates, the Interest Distribution Amount for such class; | |
| (iv) | to the holders of the Class M-3 Certificates, the Interest Distribution Amount for such class; | |
| (v) | to the holders of the Class M-4 Certificates, the Interest Distribution Amount for such class; | |
| (vi) | to the holders of the Class M-5 Certificates, the Interest Distribution Amount for such class; | |
| (vii) | to the holders of the Class M-6 Certificates, the Interest Distribution Amount for such class; | |
| (viii) | to the holders of the Class M-7 Certificates, the Interest Distribution Amount for such class; | |
| (ix) | to the holders of the Class M-8 Certificates, the Interest Distribution Amount for such class; | |
| (x) | to the holders of the Class M-9 Certificates, the Interest Distribution Amount for such class; | |
| (xi) | to the holders of the Class M-10 Certificates, the Interest Distribution Amount for such class; and | |
| (xii) | to the holders of the Class M-11 Certificates, the Interest Distribution Amount for such class; |
|
Servicing
Advances:
|
The
Servicer is required to advance delinquent payments of principal
and
interest on the Mortgage Loans to the extent such amounts are deemed
recoverable. The Servicer is entitled to reimbursement for these
advances,
and therefore these advances are not a form of credit
enhancement.
|
|
Payment
of Interest
|
|
|
Basis
Risk Shortfall:
|
Because
the adjustable-rate Mortgage Loans are based mostly on 6-month
LIBOR, with
most having delayed first adjustments, and because the pass-through
rates
on the Class A and Class M Certificates are based on 1-month LIBOR,
the
application of the Net WAC Cap could result in shortfalls of interest
otherwise payable to such Certificates in certain periods. This
may also
occur if 6-month LIBOR and 1-month LIBOR rise quickly since the
Mortgage
Pool cash flows are constrained by interim caps. If Basis Risk
Shortfalls
occur, they will be carried forward (a “Net WAC Rate Carryover Amount”)
and such shortfalls will be paid on a subordinated basis on the
same
Distribution Date or on any subsequent Distribution
Date.
|
|
Net
WAC Cap:
|
The
per annum rate equal to the weighted average of the Expense Adjusted
Net
Mortgage Rates of the Mortgage Loans subject to adjustment based
on the
actual number of days elapsed in the related Interest Accrual
Period.
|
|
Expense
Adjusted Net Mortgage Rates:
|
The
per annum rate equal to the weighted average of the mortgage rates
of each
Mortgage Loan minus (a) the Trustee Fee Rate (b) the Servicing
Fee Rate
(c) the Credit Risk Manager Fee Rate and (d) the Mortgage Insurance
Fee
Rate.
|
|
Payment
of Principal
|
||
|
Principal
Payment Priority:
|
On
each Distribution Date (a) prior to the Stepdown Date or (b) on
which a
Trigger Event is in effect, the Principal Distribution Amount shall
be
distributed as follows:
|
|
| (i) | Pro Rata, based upon the outstanding Certificate Principal Balance, to the holders of the Class A-1 Certificates and to the holders of the Sequential Certificates until the Certificate Principal Balances thereof have been reduced to zero; | |
| (ii) | to the holders of the Class M-1 Certificates, any Principal Distribution Amount remaining after the payment of (i), above until the Certificate Principal Balance thereof has been reduced to zero; | |
| (iii) | to the holders of the Class M-2 Certificates, any Principal Distribution Amount remaining after the payment of (i), (ii), above until the Certificate Principal Balance thereof has been reduced to zero; | |
| (iv) | to the holders of the Class M-3 Certificates, any Principal Distribution Amount remaining after the payment of (i), (ii), (iii), above until the Certificate Principal Balance thereof has been reduced to zero; | |
| (v) | to the holders of the Class M-4 Certificates, any Principal Distribution Amount remaining after the payment of (i), (ii), (iii), (iv), above until the Certificate Principal Balance thereof has been reduced to zero; | |
| (vi) | to the holders of the Class M-5 Certificates, any Principal Distribution Amount remaining after the payment of (i), (ii), (iii), (iv), (v), above until the Certificate Principal Balance thereof has been reduced to zero; | |
| (vii) | to the holders of the Class M-6 Certificates, any Principal Distribution Amount remaining after the payment of (i), (ii), (iii), (iv), (v), (vi), above until the Certificate Principal Balance thereof has been reduced to zero; | |
| (viii) | to the holders of the Class M-7 Certificates, any Principal Distribution Amount remaining after the payment of (i), (ii), (iii), (iv), (v), (vi), (vii), above until the Certificate Principal Balance thereof has been reduced to zero; | |
| (ix) | to the holders of the Class M-8 Certificates, any Principal Distribution Amount remaining after the payment of (i), (ii), (iii), (iv), (v), (vi), (vii), (viii), above until the Certificate Principal Balance thereof has been reduced to zero; | |
| (x) | to the holders of the Class M-9 Certificates, any Principal Distribution Amount remaining after the payment of (i), (ii), (iii), (iv), (v), (vi), (vii), (viii), (ix), above until the Certificate Principal Balance thereof has been reduced to zero; | |
| (xi) | to the holders of the Class M-10 Certificates, any Principal Distribution Amount remaining after the payment of (i), (ii), (iii), (iv), (v), (vi), (vii), (viii), (ix), (x), above until the Certificate Principal Balance thereof has been reduced to zero; and | |
| (xii) | to the holders of the Class M-11 Certificates, any Principal Distribution Amount remaining after the payment of (i), (ii), (iii), (iv), (v), (vi), (vii), (viii), (ix), (x), (xi) above until the Certificate Principal Balance thereof has been reduced to zero. |
|
Payment
of Principal
|
||
|
Principal
Payment
Priority
(continued):
|
On
each Distribution Date (a) on or after the Stepdown Date and (b)
on which
a Trigger Event is not in effect, the holders of the Class A Certificates
and the Class M Certificates shall be entitled to receive distributions
in
respect of principal to the extent of the Principal Distribution
Amount in
the following amounts and order of priority:
(i)
To
the holders of the Class A Certificates (allocated among the Class
A
Certificates as described above), the Class A Principal Distribution
Amount; until the Certificate Principal Balances thereof have been
reduced
to zero.
(ii)
to
the holders of the Class M-1 Certificates, the Class M-1 Principal
Distribution Amount, until the Certificate Principal Balance thereof
has
been reduced to zero;
(iii)
to
the holders of the Class M-2 Certificates, the Class M-2 Principal
Distribution Amount, until the Certificate Principal Balance thereof
has
been reduced to zero;
(iv)
to
the holders of the Class M-3 Certificates, the Class M-3 Principal
Distribution Amount, until the Certificate Principal Balance thereof
has
been reduced to zero;
(v)
to
the holders of the Class M-4 Certificates, the Class M-4 Principal
Distribution Amount, until the Certificate Principal Balance thereof
has
been reduced to zero;
|
|
|
(vi)
to
the holders of the Class M-5 Certificates, the Class M-5 Principal
Distribution Amount, until the Certificate Principal Balance thereof
has
been reduced to zero;
(vii)
to
the holders of the Class M-6 Certificates, the Class M-6 Principal
Distribution Amount, until the Certificate Principal Balance thereof
has
been reduced to zero;
(viii)
to
the holders of the Class M-7 Certificates, the Class M-7 Principal
Distribution Amount, until the Certificate Principal Balance thereof
has
been reduced to zero;
(ix)
to
the holders of the Class M-8 Certificates, the Class M-8 Principal
Distribution Amount, until the Certificate Principal Balance thereof
has
been reduced to zero;
(x)
to
the holders of the Class M-9 Certificates, the Class M-9 Principal
Distribution Amount, until the Certificate Principal Balance thereof
has
been reduced to zero;
(xi)
to
the holders of the Class M-10 Certificates, the Class M-10 Principal
Distribution Amount, until the Certificate Principal Balance thereof
has
been reduced to zero; and
(xii)
to
the holders of the Class M-11 Certificates, the Class M-11 Principal
Distribution Amount, until the Certificate Principal Balance thereof
has
been reduced to zero.
|
||
|
Payment
of Principal
|
|
Monthly
Excess
Cashflow
Distributions:
|
With
respect to any Distribution Date, any Net Monthly Excess Cashflow
shall be
distributed as follows:
|
|
|
(i)
|
To
the holders of the class or classes of Certificates then entitled
to
receive distributions in respect of principal, in an amount equal
to the
Overcollateralization Increase Amount;
|
|
|
(ii)
|
to
the holders of the Class M-1 Certificates, in an amount equal
to the
Interest Carry Forward Amount allocable to such
Certificates;
|
|
|
(iii)
|
to
the holders of the Class M-1 Certificates, in an amount equal
to the
previously allocated Realized Loss Amounts;
|
|
|
(iv)
|
to
the holders of the Class M-2 Certificates, in an amount equal
to the
Interest Carry Forward Amount allocable to such
Certificates;
|
|
|
(v)
|
to
the holders of the Class M-2 Certificates, in an amount equal
to the
previously allocated Realized Loss Amounts;
|
|
|
(vi)
|
to
the holders of the Class M-3 Certificates, in an amount equal
to the
Interest Carry Forward Amount allocable to such
Certificates;
|
|
|
(vii)
|
to
the holders of the Class M-3 Certificates, in an amount equal
to the
previously allocated Realized Loss Amounts;
|
|
|
(viii)
|
to
the holders of the Class M-4 Certificates, in an amount equal
to the
Interest Carry Forward Amount allocable to such
Certificates;
|
|
|
(ix)
|
to
the holders of the Class M-4 Certificates, in an amount equal
to the
previously allocated Realized Loss Amounts;
|
|
|
(x)
|
to
the holders of the Class M-5 Certificates, in an amount equal
to the
Interest Carry Forward Amount allocable to such
Certificates;
|
|
|
(xi)
|
to
the holders of the Class M-5 Certificates, in an amount equal
to the
previously allocated Realized Loss Amounts;
|
|
|
(xii)
|
to
the holders of the Class M-6 Certificates, in an amount equal
to the
Interest Carry Forward Amount allocable to such Certificates;
|
|
|
(xiii)
|
to
the holders of the Class M-6 Certificates, in an amount equal
to the
previously allocated Realized Loss Amounts;
|
|
|
(xiv)
|
to
the holders of the Class M-7 Certificates, in an amount equal
to the
Interest Carry Forward Amount allocable to such Certificates;
|
|
|
(xv)
|
to
the holders of the Class M-7 Certificates, in an amount equal
to the
previously allocated Realized Loss Amounts;
|
|
|
(xvi)
|
to
the holders of the Class M-8 Certificates, in an amount equal
to the
Interest Carry Forward Amount allocable to such Certificates;
|
|
|
(xvii)
|
to
the holders of the Class M-8 Certificates, in an amount equal
to the
previously allocated Realized Loss
Amounts;
|
|
|
Payment
of Principal
|
||
|
Monthly
Excess
Cashflow
Distributions:
|
(xviii)
|
to
the holders of the Class M-9 Certificates, in an amount equal
to the
Interest
Carry Forward Amount allocable to such Certificates;
|
|
(xix)
|
to
the holders of the Class M-9 Certificates, in an amount equal
to the
previously allocated Realized Loss Amounts;
|
|
|
(xx)
|
to
the holders of the Class M-10 Certificates, in an amount equal
to the
Interest Carry Forward Amount allocable to such Certificates;
|
|
|
(xxi)
|
to
the holders of the Class M-10 Certificates, in an amount equal
to the
previously allocated Realized Loss Amounts;
|
|
|
(xxii)
|
to
the holders of the Class M-11 Certificates, in an amount equal
to the
Interest Carry Forward Amount allocable to such
Certificates;
|
|
|
(xxiii)
|
to
the holders of the Class M-11 Certificates, in an amount equal
to the
previously allocated Realized Loss Amounts;
|
|
|
(xxiv)
|
to
make payments to the Net WAC Rate Carryover Reserve Account,
to the extent
required, to distribute to the holders of the Class A and the
Class M
Certificates any Net WAC Rate Carryover Amounts for such classes;
and
|
|
|
(xxv)
|
to
the holders of the Class CE, Class R and Class P Certificates
as provided
in the Pooling and Servicing
Agreement.
|
|
Payment
of Principal
|
||
|
Principal
Distribution Amount:
|
The
Principal Distribution Amount for any Distribution Date will be
the sum of
(i) the principal portion of all scheduled monthly payments on
the
Mortgage Loans due during the related Due Period, whether or not
received
on or prior to the related Determination Date; (ii) the principal
portion
of all proceeds received in respect of the repurchase of a Mortgage
Loan
(or, in the case of a substitution, certain amounts representing
a
principal adjustment) as required by the Pooling and Servicing
Agreement
during the related Prepayment Period; (iii) the principal portion
of all
other unscheduled collections, including insurance proceeds, liquidation
proceeds and all full and partial principal prepayments, received
during
the related Prepayment Period, to the extent applied as recoveries
of
principal on the Mortgage Loans, and (iv) any Overcollateralization
Increase Amount.
|
|
|
Payment
of Principal
|
|
|
Class
A Principal Distribution Amount:
|
The
“Class A Principal Distribution Amount” is an amount equal to the excess
of (x) the aggregate Certificate Principal Balance of the Class
A
Certificates immediately prior to such Distribution Date over (y)
the
lesser of (A) the product of (i) approximately 70.50% and (ii)
the
aggregate principal balance of the Mortgage Loans as of the last
day of
the related Due Period and (B) the aggregate principal balance
of the
Mortgage Loans as of the last day of the related Due Period minus
approximately $3,341,160.
|
|
Class
M-1 Principal Distribution Amount:
|
The
“Class M-1 Principal Distribution Amount” is an amount equal to the excess
of (x) the sum of (i) the aggregate Certificate Principal Balance
of the
Class A Certificates (after taking into account the payment of
the Class A
Principal Distribution Amount on such Distribution Date) and (ii)
the
Certificate Principal Balance of the Class M-1 Certificates immediately
prior to such Distribution Date over (y) the lesser of (A) the
product of
(i) approximately 79.70% and (ii) the aggregate principal balance
of the
Mortgage Loans as of the last day of the related Due Period and
(B) the
aggregate principal balance of the Mortgage Loans as of the last
day of
the related Due Period minus approximately $3,341,160.
|
|
Class
M-2 Principal Distribution Amount:
|
The
“Class M-2 Principal Distribution Amount” is an amount equal to the excess
of (x) the sum of (i) the aggregate Certificate Principal Balance
of the
Class A and Class M-1 Certificates (after taking into account the
payment
of the Class A and Class M-1 Principal Distribution Amounts on
such
Distribution Date) and (ii) the Certificate Principal Balance of
the Class
M-2 Certificates immediately prior to such Distribution Date over
(y) the
lesser of (A) the product of (i) approximately 82.50% and (ii)
the
aggregate principal balance of the Mortgage Loans as of the last
day of
the related Due Period and (B) the aggregate principal balance
of the
Mortgage Loans as of the last day of the related Due Period minus
approximately $3,341,160.
|
|
Class
M-3 Principal Distribution Amount:
|
The
“Class M-3 Principal Distribution Amount” is an amount equal to the excess
of (x) the sum of (i) the aggregate Certificate Principal Balance
of the
Class A, Class M-1, and Class M-2 Certificates (after taking into
account
the payment of the Class A, Class M-1, and Class M-2 Principal
Distribution Amounts on such Distribution Date) and (ii) the Certificate
Principal Balance of the Class M-3 Certificates immediately prior
to such
Distribution Date over (y) the lesser of (A) the product of (i)
approximately 84.50% and (ii) the aggregate principal balance of
the
Mortgage Loans as of the last day of the related Due Period and
(B) the
aggregate principal balance of the Mortgage Loans as of the last
day of
the related Due Period minus approximately $3,341,160.
|
|
Payment
of Principal
|
|
|
Class
M-4 Principal Distribution Amount:
|
The
“Class M-4 Principal Distribution Amount” is an amount equal to the excess
of (x) the sum of (i) the aggregate Certificate Principal Balance
of the
Class A, Class M-1, Class M-2 and Class M-3 Certificates (after
taking
into account the payment of the Class A, Class M-1, Class M-2 and
Class
M-3 Principal Distribution Amounts on such Distribution Date) and
(ii) the
Certificate Principal Balance of the Class M-4 Certificates immediately
prior to such Distribution Date over (y) the lesser of (A) the
product of
(i) approximately 86.40% and (ii) the aggregate principal balance
of the
Mortgage Loans as of the last day of the related Due Period and
(B) the
aggregate principal balance of the Mortgage Loans as of the last
day of
the related Due Period minus approximately $3,341,160.
|
|
Class
M-5 Principal Distribution Amount:
|
The
“Class M-5 Principal Distribution Amount” is an amount equal to the excess
of (x) the sum of (i) the aggregate Certificate Principal Balance
of the
Class A, Class M-1, Class M-2, Class M-3 and Class M-4 Certificates
(after
taking into account the payment of the Class A, Class M-1, Class
M-2,
Class M-3 and Class M-4 Principal Distribution Amounts on such
Distribution Date) and (ii) the Certificate Principal Balance of
the Class
M-5 Certificates immediately prior to such Distribution Date over
(y) the
lesser of (A) the product of (i) approximately 88.20% and (ii)
the
aggregate principal balance of the Mortgage Loans as of the last
day of
the related Due Period and (B) the aggregate principal balance
of the
Mortgage Loans as of the last day of the related Due Period minus
approximately $3,341,160.
|
|
Class
M-6 Principal Distribution Amount:
|
The
“Class M-6 Principal Distribution Amount” is an amount equal to the excess
of (x) the sum of (i) the aggregate Certificate Principal Balance
of the
Class A, Class M-1, Class M-2, Class M-3, Class M-4 and Class M-5
Certificates (after taking into account the payment of the Class
A, Class
M-1, Class M-2, Class M-3, Class M-4 and Class M-5 Principal Distribution
Amounts on such Distribution Date) and (ii) the Certificate Principal
Balance of the Class M-6 Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the product of (i)
approximately 90.00% and (ii) the aggregate principal balance of
the
Mortgage Loans as of the last day of the related Due Period and
(B) the
aggregate principal balance of the Mortgage Loans as of the last
day of
the related Due Period minus approximately $3,341,160.
|
|
Class
M-7 Principal Distribution Amount:
|
The
“Class M-7 Principal Distribution Amount” is an amount equal to the excess
of (x) the sum of (i) the aggregate Certificate Principal Balance
of the
Class A, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5
and Class
M-6 Certificates (after taking into account the payment of the
Class A,
Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and Class
M-6
Principal Distribution Amounts on such Distribution Date) and (ii)
the
Certificate Principal Balance of the Class M-7 Certificates immediately
prior to such Distribution Date over (y) the lesser of (A) the
product of
(i) approximately 91.70% and (ii) the aggregate principal balance
of the
Mortgage Loans as of the last day of the related Due Period and
(B) the
aggregate principal balance of the Mortgage Loans as of the last
day of
the related Due Period minus approximately $3,341,160.
|
|
Payment
of Principal
|
|
|
Class
M-8 Principal Distribution Amount:
|
The
“Class M-8 Principal Distribution Amount” is an amount equal to the excess
of (x) the sum of (i) the aggregate Certificate Principal Balance
of the
Class A, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5,
Class M-6
and Class M-7 Certificates (after taking into account the payment
of the
Class A, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5,
Class M-6
and Class M-7 Principal Distribution Amounts on such Distribution
Date)
and (ii) the Certificate Principal Balance of the Class M-8 Certificates
immediately prior to such Distribution Date over (y) the lesser
of (A) the
product of (i) approximately 93.20% and (ii) the aggregate principal
balance of the Mortgage Loans as of the last day of the related
Due Period
and (B) the aggregate principal balance of the Mortgage Loans as
of the
last day of the related Due Period minus approximately
$3,341,160.
|
|
Class
M-9 Principal Distribution Amount:
|
The
“Class M-9 Principal Distribution Amount” is an amount equal to the excess
of (x) the sum of (i) the aggregate Certificate Principal Balance
of the
Class A, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5,
Class M-6,
Class M-7 and Class M-8 Certificates (after taking into account
the
payment of the Class A, Class M-1, Class M-2, Class M-3, Class
M-4, Class
M-5, Class M-6, Class M-7 and Class M-8 Principal Distribution
Amounts on
such Distribution Date) and (ii) the Certificate Principal Balance
of the
Class M-9 Certificates immediately prior to such Distribution Date
over
(y) the lesser of (A) the product of (i) approximately 95.20% and
(ii) the
aggregate principal balance of the Mortgage Loans as of the last
day of
the related Due Period and (B) the aggregate principal balance
of the
Mortgage Loans as of the last day of the related Due Period minus
approximately $3,341,160.
|
|
Class
M-10 Principal Distribution Amount:
|
The
“Class M-10 Principal Distribution Amount” is an amount equal to the
excess of (x) the sum of (i) the aggregate Certificate Principal
Balance
of the Class A, Class M-1, Class M-2, Class M-3, Class M-4, Class
M-5,
Class M-6, Class M-7, Class M-8 and Class M-9 Certificates (after
taking
into account the payment of the Class A, Class M-1, Class M-2,
Class M-3,
Class M-4, Class M-5, Class M-6, Class M-7, Class M-8 and Class
M-9
Principal Distribution Amounts on such Distribution Date) and (ii)
the
Certificate Principal Balance of the Class M-10 Certificates immediately
prior to such Distribution Date over (y) the lesser of (A) the
product of
(i) approximately 96.80% and (ii) the aggregate principal balance
of the
Mortgage Loans as of the last day of the related Due Period and
(B) the
aggregate principal balance of the Mortgage Loans as of the last
day of
the related Due Period minus approximately $3,341,160.
|
|
Class
M-11 Principal Distribution Amount:
|
The
“Class M-11 Principal Distribution Amount” is an amount equal to the
excess of (x) the sum of (i) the aggregate Certificate Principal
Balance
of the Class A, Class M-1, Class M-2, Class M-3, Class M-4, Class
M-5,
Class M-6, Class M-7, Class M-8, Class M-9 and Class M-10 Certificates
(after taking into account the payment of the Class A, Class M-1,
Class
M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class
M-8,
Class M-9 and Class M-10 Principal Distribution Amounts on such
Distribution Date) and (ii) the Certificate Principal Balance of
the Class
M-11 Certificates immediately prior to such Distribution Date over
(y) the
lesser of (A) the product of (i) approximately 98.00% and (ii)
the
aggregate principal balance of the Mortgage Loans as of the last
day of
the related Due Period and (B) the aggregate principal balance
of the
Mortgage Loans as of the last day of the related Due Period minus
approximately $3,341,160.
|
|
Description
of the Total Mortgage
Loans
|
|
Collateral
Summary
|
|||||||
|
|
|
|
|||||
|
Statistics
for the adjustable-rate and fixed-rate mortgage loans listed below
are
based on their September 1, 2004 scheduled balances respectively
(except
for Fico and Debt-to-Income which are based at
origination.)
|
|||||||
|
|
Summary
Statistics
|
Range
(if applicable)
|
|||||
|
Number
of Mortgage Loans:
|
3,740
|
||||||
|
Aggregate
Current Principal Balance:
|
$668,232,051
|
||||||
|
Average
Current Principal Balance:
|
$178,672
|
$19,622
|
-
|
$747,951
|
|||
|
Aggregate
Original Principal Balance:
|
$670,893,151
|
||||||
|
Average
Original Principal Balance:
|
$179,383
|
$20,000
|
-
|
$750,000
|
|||
|
Fully
Amortizing Mortgage Loans:
|
88.55%
|
||||||
|
Interest
Only Loans:
|
11.45%
|
||||||
|
1st
Lien:
|
98.29%
|
||||||
|
Wtd.
Avg. Gross Coupon:
|
6.953%
|
4.750%
|
-
|
11.500%
|
|||
|
Wtd.
Avg. Original Term (months):
|
353
|
120
|
-
|
360
|
|||
|
Wtd.
Avg. Remaining Term (months):
|
348
|
114
|
-
|
360
|
|||
|
Margin
(ARM Loans Only):
|
5.636%
|
1.000%
|
-
|
9.990%
|
|||
|
Maximum
Interest Rate (ARM Loans Only):
|
13.726%
|
11.000%
|
-
|
17.990%
|
|||
|
Minimum
Interest Rate (ARM Loans Only):
|
6.947%
|
4.750%
|
-
|
10.990%
|
|||
|
Wtd.
Avg. Original LTV (1):
|
81.06%
|
12.28%
|
-
|
100.00%
|
|||
|
Wtd.
Avg. Effective LTV (1)(2)
:
|
65.83%
|
12.28%
|
-
|
100.00%
|
|||
|
Wtd.
Avg. Borrower FICO(3):
|
618
|
500
|
-
|
813
|
|||
|
Wtd.
Avg. Debt to Income Ratio:
|
40.27%
|
||||||
|
Geographic
Distribution (Top 5):
|
California
|
46.44%
|
|||||
|
|
Florida
|
6.34%
|
|||||
|
|
5.89%
|
||||||
|
|
Illinois
|
3.87%
|
|||||
|
|
Texas
|
2.77%
|
|
||||
|
(1)
References to loan-to-value ratios are references to combined
loan-to-value ratios with respect to second lien Mortgage
Loans.
|
|
(2)
All loans covered by MI assume 60% LTV. All loans not covered by
MI refers
to Original LTV.
|
|
(3)
Excludes
mortgage loans that were not scored.
|
|
Description
of the Total Mortgage
Loans
|
|
Distribution
By Originator
|
|||||||||
|
Originator
|
Number
of Loans
|
Unpaid
Principal
Balance
($)
|
%
of Pool by Principal Balance
|
Avg.
Principal Balance ($)
|
Wtd.
Avg. Gross Coupon (%)
|
Wtd.
Avg. Orig. LTV (%)
|
Wtd.
Avg. FICO
|
%
Full Doc Loan
|
%
2nd Lien
|
|
Encore
Credit Corp.
|
537
|
100,913,013
|
15.10
|
187,920
|
7.033
|
80.00
|
608
|
50.16
|
0.08
|
|
National
City Mortgage
|
93
|
14,618,490
|
2.19
|
157,188
|
7.102
|
89.94
|
628
|
81.09
|
0.00
|
|
New
Century Mortgage
|
1,657
|
274,141,738
|
41.02
|
165,445
|
6.973
|
81.51
|
615
|
32.24
|
2.56
|
|
Accredited
Home Lenders
|
980
|
156,719,743
|
23.45
|
159,918
|
7.229
|
82.00
|
605
|
68.50
|
0.00
|
|
First
Street Financial
|
47
|
10,708,750
|
1.60
|
227,846
|
7.189
|
77.72
|
621
|
53.26
|
4.33
|
|
Mandalay
Mortgage
|
426
|
111,130,317
|
16.63
|
260,869
|
6.397
|
78.75
|
650
|
44.42
|
3.44
|
|
Total:
|
3,740
|
668,232,051
|
100.00
|
178,672
|
6.953
|
81.06
|
618
|
46.88
|
1.71
|
|
Distribution
By Current Unpaid Principal Balance
|
|||||||||
|
Current
Unpaid Principal
Balance
($)
|
Number
of
Loans
|
Unpaid
Principal Balance ($)
|
%
of Pool by Principal Balance
|
Avg
.Principal Balance ($)
|
Wtd.
Avg. Gross Coupon (%)
|
Wtd.
Avg. Orig. LTV (%)
|
Wtd.
Avg. FICO
|
%
Full
Doc
Loan
|
%
2nd Lien
|
|
50,000
or less
|
129
|
5,417,442
|
0.81
|
41,996
|
8.713
|
84.56
|
637
|
51.30
|
47.65
|
|
50,001
- 100,000
|
879
|
67,112,581
|
10.04
|
76,351
|
7.833
|
81.87
|
609
|
56.55
|
10.54
|
|
100,001
- 150,000
|
859
|
106,693,163
|
15.97
|
124,206
|
7.229
|
80.78
|
602
|
54.80
|
1.63
|
|
150,001
- 200,000
|
635
|
110,926,345
|
16.60
|
174,687
|
7.019
|
80.61
|
611
|
47.07
|
0.00
|
|
200,001
- 250,000
|
435
|
97,691,310
|
14.62
|
224,578
|
6.882
|
79.84
|
613
|
42.55
|
0.00
|
|
250,001
- 300,000
|
298
|
81,688,341
|
12.22
|
274,122
|
6.692
|
81.52
|
621
|
44.49
|
0.00
|
|
300,001
- 350,000
|
182
|
58,882,477
|
8.81
|
323,530
|
6.562
|
81.73
|
624
|
46.44
|
0.00
|
|
350,001
- 400,000
|
135
|
50,780,530
|
7.60
|
376,152
|
6.666
|
82.43
|
633
|
33.19
|
0.00
|
|
400,001
- 450,000
|
84
|
35,750,098
|
5.35
|
425,596
|
6.450
|
82.48
|
647
|
36.70
|
0.00
|
|
450,001
- 500,000
|
68
|
32,432,355
|
4.85
|
476,946
|
6.543
|
81.43
|
638
|
45.72
|
0.00
|
|
500,001
- 550,000
|
16
|
8,412,987
|
1.26
|
525,812
|
6.603
|
79.14
|
641
|
44.13
|
0.00
|
|
550,001
- 600,000
|
10
|
5,814,808
|
0.87
|
581,481
|
6.533
|
80.77
|
617
|
70.15
|
0.00
|
|
600,001
- 650,000
|
5
|
3,166,077
|
0.47
|
633,215
|
7.180
|
70.33
|
623
|
59.56
|
0.00
|
|
650,001
- 700,000
|
3
|
2,005,586
|
0.30
|
668,529
|
5.721
|
79.86
|
636
|
32.95
|
0.00
|
|
700,001
- 750,000
|
2
|
1,457,951
|
0.22
|
728,975
|
6.130
|
61.79
|
720
|
100.00
|
0.00
|
|
Total:
|
3,740
|
668,232,051
|
100.00
|
178,672
|
6.953
|
81.06
|
618
|
46.88
|
1.71
|
|
Description
of the Total Mortgage
Loans
|
|
Distribution
By Gross Coupon
|
|||||||||
|
Gross
Coupon (%)
|
Number
of
Loans
|
Unpaid
Principal
Balance
($)
|
%
of Pool by Principal Balance
|
Avg.
Principal Balance ($)
|
Wtd.
Avg. Gross Coupon (%)
|
Wtd.
Avg. Orig. LTV (%)
|
Wtd.
Avg. FICO
|
%
Full Doc Loan
|
%
2nd Lien
|
|
4.501
- 5.000
|
20
|
5,766,345
|
0.86
|
288,317
|
4.933
|
77.93
|
676
|
43.88
|
0.00
|
|
5.001
- 5.500
|
122
|
30,803,368
|
4.61
|
252,487
|
5.390
|
77.85
|
660
|
53.98
|
0.00
|
|
5.501
- 6.000
|
409
|
94,412,965
|
14.13
|
230,839
|
5.853
|
77.41
|
653
|
53.45
|
0.00
|
|
6.001
- 6.500
|
563
|
121,595,917
|
18.20
|
215,979
|
6.309
|
79.61
|
643
|
46.51
|
0.00
|
|
6.501
- 7.000
|
768
|
150,922,095
|
22.59
|
196,513
|
6.813
|
82.12
|
620
|
42.65
|
0.00
|
|
7.001
- 7.500
|
555
|
91,371,064
|
13.67
|
164,633
|
7.301
|
82.97
|
597
|
47.41
|
0.06
|
|
7.501
- 8.000
|
556
|
90,367,583
|
13.52
|
162,532
|
7.808
|
82.12
|
577
|
49.07
|
0.03
|
|
8.001
- 8.500
|
271
|
36,127,201
|
5.41
|
133,311
|
8.287
|
82.33
|
572
|
43.71
|
0.64
|
|
8.501
- 9.000
|
240
|
27,661,078
|
4.14
|
115,254
|
8.803
|
81.55
|
578
|
45.01
|
7.35
|
|
9.001
- 9.500
|
82
|
7,720,878
|
1.16
|
94,157
|
9.288
|
86.28
|
594
|
51.87
|
24.23
|
|
9.501
- 10.000
|
63
|
5,193,423
|
0.78
|
82,435
|
9.796
|
85.67
|
613
|
35.24
|
43.58
|
|
10.001
- 10.500
|
70
|
4,700,479
|
0.70
|
67,150
|
10.248
|
96.62
|
674
|
10.44
|
90.09
|
|
10.501
- 11.000
|
18
|
1,393,260
|
0.21
|
77,403
|
10.767
|
89.09
|
620
|
29.76
|
40.12
|
|
11.001
- 11.500
|
3
|
196,394
|
0.03
|
65,465
|
11.414
|
85.43
|
673
|
40.92
|
59.08
|
|
Total:
|
3,740
|
668,232,051
|
100.00
|
178,672
|
6.953
|
81.06
|
618
|
46.88
|
1.71
|
|
Description
of the Total Mortgage
Loans
|
|
Distribution
By Fico
|
|||||||||
|
FICO
|
Number
of
Loans
|
Unpaid
Principal
Balance
($)
|
%
of Pool by Principal Balance
|
Avg.
Principal Balance ($)
|
Wtd.
Avg. Gross
Coupon
(%)
|
Wtd.
Avg. Orig. LTV (%)
|
Wtd.
Avg. FICO
|
%
Full Doc Loan
|
%
2nd Lien
|
|
500
or less
|
9
|
1,284,189
|
0.19
|
142,688
|
7.830
|
72.84
|
500
|
59.56
|
0.00
|
|
500
- 520
|
232
|
34,758,523
|
5.20
|
149,821
|
7.963
|
74.40
|
511
|
67.48
|
0.00
|
|
520
- 540
|
334
|
51,182,039
|
7.66
|
153,240
|
7.718
|
77.43
|
531
|
59.72
|
0.00
|
|
540
- 560
|
367
|
60,741,774
|
9.09
|
165,509
|
7.423
|
79.74
|
551
|
54.33
|
0.05
|
|
560
- 580
|
351
|
58,342,051
|
8.73
|
166,217
|
7.207
|
78.78
|
571
|
52.42
|
0.00
|
|
580
- 600
|
368
|
65,196,063
|
9.76
|
177,163
|
6.942
|
80.80
|
591
|
52.17
|
0.00
|
|
600
- 620
|
384
|
73,576,271
|
11.01
|
191,605
|
6.761
|
82.02
|
610
|
51.57
|
0.23
|
|
620
- 640
|
429
|
82,558,763
|
12.35
|
192,445
|
6.811
|
84.14
|
630
|
37.70
|
1.64
|
|
640
- 660
|
401
|
78,031,109
|
11.68
|
194,591
|
6.547
|
83.34
|
650
|
40.94
|
0.76
|
|
660
- 680
|
273
|
53,863,332
|
8.06
|
197,302
|
6.523
|
83.50
|
670
|
34.82
|
1.18
|
|
680
- 700
|
190
|
38,913,502
|
5.82
|
204,808
|
6.518
|
81.39
|
690
|
30.06
|
2.38
|
|
700
- 720
|
151
|
22,900,541
|
3.43
|
151,659
|
6.882
|
83.85
|
710
|
35.62
|
15.03
|
|
720
- 740
|
126
|
21,708,033
|
3.25
|
172,286
|
6.740
|
82.31
|
730
|
40.46
|
10.13
|
|
740
- 760
|
69
|
13,423,515
|
2.01
|
194,544
|
6.417
|
79.48
|
749
|
46.94
|
9.17
|
|
760
- 780
|
28
|
5,358,069
|
0.80
|
191,360
|
6.578
|
82.30
|
772
|
44.76
|
8.83
|
|
780
- 800
|
21
|
5,101,935
|
0.76
|
242,949
|
6.194
|
67.49
|
790
|
60.55
|
6.07
|
|
800
- 820
|
7
|
1,292,340
|
0.19
|
184,620
|
6.012
|
85.65
|
807
|
53.01
|
3.04
|
|
Total:
|
3,740
|
668,232,051
|
100.00
|
178,672
|
6.953
|
81.06
|
618
|
46.88
|
1.71
|
|
Distribution
By Lien Status
|
|||||||||
|
Lien
Status
|
Number
of
Loans
|
Unpaid
Principal
Balance
($)
|
%
of Pool by Principal Balance
|
Avg.
Principal Balance ($)
|
Wtd.
Avg. Gross
Coupon
(%)
|
Wtd.
Avg. Orig. LTV (%)
|
Wtd.
Avg. FICO
|
%
Full
Doc
Loan
|
%
2nd Lien
|
|
First
Lien
|
3,558
|
656,837,800
|
98.29
|
184,609
|
6.905
|
80.74
|
616
|
47.27
|
0.00
|
|
Second
Lien
|
182
|
11,394,251
|
1.71
|
62,606
|
9.725
|
99.83
|
705
|
24.20
|
100.00
|
|
Total:
|
3,740
|
668,232,051
|
100.00
|
178,672
|
6.953
|
81.06
|
618
|
46.88
|
1.71
|
|
Description
of the Total Mortgage
Loans
|
|
Distribution
By Original LTV (1)
|
|||||||||
|
Original
LTV (%)
|
Number
of
Loans
|
Unpaid
Principal
Balance
($)
|
%
of Pool by Principal Balance
|
Avg.
Principal Balance ($)
|
Wtd.
Avg. Gross Coupon (%)
|
Wtd.
Avg. Orig. LTV (%)
|
Wtd.
Avg. FICO
|
%
Full Doc Loan
|
%
2nd Lien
|
|
50.00
or less
|
105
|
14,028,929
|
2.10
|
133,609
|
6.717
|
41.49
|
617
|
49.31
|
0.00
|
|
50.01
- 55.00
|
53
|
8,714,311
|
1.30
|
164,421
|
6.747
|
52.82
|
620
|
48.48
|
0.00
|
|
55.01
- 60.00
|
77
|
12,868,226
|
1.93
|
167,120
|
6.666
|
57.99
|
610
|
46.44
|
0.00
|
|
60.01
- 65.00
|
141
|
25,218,618
|
3.77
|
178,855
|
6.839
|
63.19
|
595
|
41.76
|
0.00
|
|
65.01
- 70.00
|
211
|
39,651,992
|
5.93
|
187,924
|
6.797
|
68.58
|
605
|
41.68
|
0.00
|
|
70.01
- 75.00
|
295
|
57,013,401
|
8.53
|
193,266
|
6.940
|
73.99
|
598
|
42.15
|
0.00
|
|
75.01
- 80.00
|
967
|
181,671,335
|
27.19
|
187,871
|
6.728
|
79.58
|
627
|
44.97
|
0.02
|
|
80.01
- 85.00
|
690
|
130,305,103
|
19.50
|
188,848
|
7.074
|
84.43
|
598
|
47.93
|
0.00
|
|
85.01
- 90.00
|
658
|
122,053,122
|
18.27
|
185,491
|
7.000
|
89.58
|
620
|
45.22
|
0.00
|
|
90.01
- 95.00
|
192
|
38,816,922
|
5.81
|
202,171
|
6.905
|
94.65
|
643
|
51.71
|
0.44
|
|
95.01
-100.00
|
351
|
37,890,090
|
5.67
|
107,949
|
8.001
|
99.86
|
670
|
67.69
|
29.54
|
|
Total:
|
3,740
|
668,232,051
|
100.00
|
178,672
|
6.953
|
81.06
|
618
|
46.88
|
1.71
|
|
(1)
|
[References
to loan-to-value are references to combined loan-to-value ratios
with
respect to second lien Mortgage
Loans.]
|
|
Distribution
By Documentation
|
|||||||||
|
Documentation
|
Number
of
Loans
|
Unpaid
Principal Balance ($)
|
%
of Pool by Principal Balance
|
Avg.
Principal Balance ($)
|
Wtd.
Avg. Gross
Coupon
(%)
|
Wtd.
Avg.
Orig.
LTV (%)
|
Wtd.
Avg. FICO
|
%
Full Doc Loan
|
%
2nd Lien
|
|
Full
|
1,863
|
313,268,042
|
46.88
|
168,152
|
6.906
|
81.67
|
607
|
100.00
|
0.88
|
|
Limited
Doc
|
600
|
102,264,540
|
15.30
|
170,441
|
6.794
|
80.93
|
607
|
0.00
|
1.98
|
|
Lite
Doc
|
8
|
1,344,099
|
0.20
|
168,012
|
6.987
|
80.41
|
628
|
0.00
|
0.00
|
|
Stated
Doc
|
1,257
|
248,190,298
|
37.14
|
197,447
|
7.076
|
80.35
|
635
|
0.00
|
2.57
|
|
Stated
Income Full Asset
|
12
|
3,165,072
|
0.47
|
263,756
|
7.012
|
81.15
|
681
|
0.00
|
7.50
|
|
Total:
|
3,740
|
668,232,051
|
100.00
|
178,672
|
6.953
|
81.06
|
618
|
46.88
|
1.71
|
|
Description
of the Total Mortgage
Loans
|
|
Distribution
By Loan Purpose
|
|||||||||
|
Loan
Purpose
|
Number
of Loans
|
Unpaid
Principal
Balance
($)
|
%
of Pool by Principal Balance
|
Avg.
Principal Balance ($)
|
Wtd.
Avg. Gross Coupon (%)
|
Wtd.
Avg. Orig. LTV (%)
|
Wtd.
Avg. FICO
|
%
Full Doc Loan
|
%
2nd Lien
|
|
Cash
Out Refinance
|
1,462
|
276,131,806
|
41.32
|
188,873
|
6.944
|
79.63
|
608
|
57.95
|
0.26
|
|
Rate
& Term Refinance
|
1,304
|
230,041,942
|
34.43
|
176,413
|
6.885
|
79.72
|
606
|
37.01
|
0.22
|
|
Purchase
|
972
|
161,436,087
|
24.16
|
166,087
|
7.067
|
85.43
|
653
|
42.06
|
6.30
|
|
Construction
to Perm
|
2
|
622,216
|
0.09
|
311,108
|
6.355
|
82.33
|
643
|
36.00
|
0.00
|
|
Total:
|
3,740
|
668,232,051
|
100.00
|
178,672
|
6.953
|
81.06
|
618
|
46.88
|
1.71
|
|
Distribution
By Property Type
|
|||||||||
|
Property
Type
|
Number
of
Loans
|
Unpaid
Principal Balance ($)
|
%
of Pool by Principal Balance
|
Avg.
Principal Balance ($)
|
Wtd.
Avg. Gross Coupon (%)
|
Wtd.
Avg.
Orig.
LTV
(%)
|
Wtd.
Avg.
FICO
|
%
Full Doc Loan
|
%
2nd Lien
|
|
Single
Family
|
2,844
|
491,161,058
|
73.50
|
172,701
|
6.948
|
81.05
|
614
|
46.76
|
1.63
|
|
Pud
Detached
|
227
|
48,693,815
|
7.29
|
214,510
|
6.935
|
82.10
|
614
|
46.87
|
0.71
|
|
Two
Family
|
211
|
43,810,329
|
6.56
|
207,632
|
6.971
|
80.20
|
634
|
42.69
|
2.57
|
|
Condomimium
|
196
|
32,352,714
|
4.84
|
165,065
|
6.859
|
80.55
|
636
|
46.53
|
4.41
|
|
Three
Family
|
63
|
15,271,554
|
2.29
|
242,406
|
6.951
|
78.17
|
654
|
50.02
|
0.00
|
|
Pud
|
52
|
12,161,960
|
1.82
|
233,884
|
6.749
|
83.80
|
642
|
58.59
|
2.79
|
|
Pud
Attached
|
66
|
9,273,165
|
1.39
|
140,502
|
7.161
|
83.68
|
608
|
48.03
|
1.53
|
|
Four
Family
|
23
|
5,341,402
|
0.80
|
232,235
|
7.416
|
78.50
|
637
|
50.61
|
0.00
|
|
Low
Rise Condo
|
23
|
4,145,497
|
0.62
|
180,239
|
7.044
|
82.98
|
628
|
52.34
|
0.00
|
|
Deminimus
Pud
|
6
|
1,562,758
|
0.23
|
260,460
|
7.116
|
87.61
|
639
|
51.44
|
0.00
|
|
Single
Family Attached
|
9
|
1,291,813
|
0.19
|
143,535
|
8.037
|
85.42
|
606
|
71.45
|
0.00
|
|
High
Rise Condo
|
5
|
1,256,727
|
0.19
|
251,345
|
6.932
|
79.71
|
609
|
28.50
|
0.00
|
|
Townhouse
|
6
|
823,730
|
0.12
|
137,288
|
7.858
|
74.21
|
587
|
29.61
|
0.00
|
|
Two-Four
Family
|
3
|
313,965
|
0.05
|
104,655
|
7.719
|
80.37
|
650
|
100.00
|
0.00
|
|
Mobile
Home Attached
|
2
|
247,023
|
0.04
|
123,511
|
7.969
|
70.08
|
602
|
46.73
|
0.00
|
|
Mobile
Home Unattached
|
2
|
225,337
|
0.03
|
112,668
|
8.033
|
68.71
|
560
|
66.70
|
0.00
|
|
Mid
Rise Condo
|
1
|
187,219
|
0.03
|
187,219
|
6.990
|
80.00
|
655
|
0.00
|
0.00
|
|
Manufactured
Housing
|
1
|
111,988
|
0.02
|
111,988
|
7.750
|
80.00
|
674
|
0.00
|
0.00
|
|
Total:
|
3,740
|
668,232,051
|
100.00
|
178,672
|
6.953
|
81.06
|
618
|
46.88
|
1.71
|
|
Description
of the Total Mortgage
Loans
|
|
Distribution
By Occupancy Status
|
|||||||||
|
Occupancy
Status
|
Number
of
Loans
|
Unpaid
Principal
Balance
($)
|
%
of Pool by Principal Balance
|
Avg.
Principal Balance ($)
|
Wtd.
Avg. Gross Coupon (%)
|
Wtd.
Avg. Orig. LTV (%)
|
Wtd.
Avg. FICO
|
%
Full Doc Loan
|
%
2nd Lien
|
|
Owner
Occupied
|
3,453
|
621,813,297
|
93.05
|
180,079
|
6.928
|
81.15
|
615
|
47.69
|
1.83
|
|
Investor
Occupied
|
269
|
43,553,670
|
6.52
|
161,910
|
7.271
|
79.72
|
656
|
37.19
|
0.00
|
|
Second
Home
|
18
|
2,865,084
|
0.43
|
159,171
|
7.427
|
81.66
|
631
|
17.95
|
0.00
|
|
Total:
|
3,740
|
668,232,051
|
100.00
|
178,672
|
6.953
|
81.06
|
618
|
46.88
|
1.71
|
|
Distribution
By State
|
|||||||||
|
State
|
Number
of
Loans
|
Unpaid
Principal
Balance
($)
|
%
of Pool by Principal Balance
|
Avg.
Principal Balance ($)
|
Wtd.
Avg. Gross Coupon (%)
|
Wtd.
Avg. Orig. LTV (%)
|
Wtd.
Avg. FICO
|
%
Full Doc Loan
|
%
2nd Lien
|
|
Southern
California
|
945
|
220,934,273
|
33.06
|
233,793
|
6.632
|
78.59
|
630
|
40.86
|
2.38
|
|
Northern
California
|
400
|
89,417,189
|
13.38
|
223,543
|
6.653
|
80.42
|
627
|
41.80
|
4.49
|
|
Florida
|
307
|
42,335,680
|
6.34
|
137,901
|
7.253
|
82.43
|
596
|
37.84
|
0.63
|
|
177
|
39,344,128
|
5.89
|
222,283
|
6.821
|
77.04
|
620
|
50.12
|
0.00
|
|
|
Illinois
|
147
|
25,887,052
|
3.87
|
176,102
|
7.217
|
85.01
|
618
|
49.51
|
0.10
|
|
Texas
|
165
|
18,499,046
|
2.77
|
112,115
|
7.449
|
79.68
|
595
|
49.71
|
0.00
|
|
Massachusetts
|
80
|
17,009,060
|
2.55
|
212,613
|
7.092
|
80.34
|
617
|
45.32
|
3.12
|
|
Maryland
|
79
|
14,774,219
|
2.21
|
187,015
|
7.331
|
84.17
|
591
|
59.02
|
0.00
|
|
Ohio
|
124
|
14,239,691
|
2.13
|
114,836
|
7.410
|
85.40
|
600
|
66.48
|
0.00
|
|
New
Jersey
|
57
|
13,525,482
|
2.02
|
237,289
|
7.291
|
83.94
|
615
|
39.59
|
0.00
|
|
Other
|
1,259
|
172,266,231
|
25.78
|
136,828
|
7.273
|
83.92
|
609
|
56.08
|
0.75
|
|
Total:
|
3,740
|
668,232,051
|
100.00
|
178,672
|
6.953
|
81.06
|
618
|
46.88
|
1.71
|
|
Description
of the Total Mortgage
Loans
|
|
Distribution
By Zip Code
|
|||||||||
|
Zip
Code
|
Number
of
Loans
|
Unpaid
Principal
Balance
($)
|
%
of Pool by Principal Balance
|
Avg.
Principal Balance ($)
|
Wtd.
Avg. Gross
Coupon
(%)
|
Wtd.
Avg. Orig. LTV (%)
|
Wtd.
Avg. FICO
|
||
|
%
Full
Doc
Loan
|
%
2nd Lien
|
||||||||
|
93906
|
14
|
4,469,783
|
0.67
|
319,270
|
6.280
|
81.22
|
641
|
37.06
|
2.57
|
|
90650
|
17
|
3,892,510
|
0.58
|
228,971
|
6.567
|
78.02
|
621
|
55.80
|
1.72
|
|
92336
|
15
|
3,245,378
|
0.49
|
216,359
|
6.532
|
80.57
|
598
|
47.19
|
0.00
|
|
90044
|
14
|
3,151,204
|
0.47
|
225,086
|
6.974
|
79.12
|
640
|
26.88
|
0.00
|
|
91709
|
8
|
2,584,056
|
0.39
|
323,007
|
6.542
|
76.37
|
618
|
27.93
|
0.00
|
|
93033
|
7
|
2,239,952
|
0.34
|
319,993
|
6.903
|
84.17
|
635
|
31.45
|
0.00
|
|
90002
|
13
|
2,213,394
|
0.33
|
170,261
|
6.953
|
80.92
|
633
|
19.28
|
1.76
|
|
93536
|
12
|
2,147,512
|
0.32
|
178,959
|
6.626
|
82.38
|
606
|
14.61
|
2.05
|
|
93905
|
7
|
2,016,669
|
0.30
|
288,096
|
6.045
|
75.41
|
672
|
0.00
|
0.00
|
|
93003
|
5
|
1,708,509
|
0.26
|
341,702
|
5.735
|
82.25
|
698
|
42.07
|
4.31
|
|
Other
|
3,628
|
640,563,083
|
95.86
|
176,561
|
6.971
|
81.11
|
617
|
47.49
|
1.73
|
|
Total:
|
3,740
|
668,232,051
|
100.00
|
178,672
|
6.953
|
81.06
|
618
|
46.88
|
1.71
|
|
Distribution
By Remaining Months To Maturity
|
|||||||||
|
Number
of Loans
|
Unpaid
Principal Balance ($)
|
%
of Pool by Principal Balance
|
Avg.
Principal Balance ($)
|
Wtd.
Avg. Gross Coupon (%)
|
Wtd.
Avg. Orig. LTV (%)
|
Wtd.
Avg. FICO
|
|||
|
Remaining
Months to Maturity
|
%
Full
Doc
Loan
|
%
2nd Lien
|
|||||||
|
180
or less
|
199
|
18,158,522
|
2.72
|
91,249
|
7.807
|
78.65
|
626
|
39.04
|
24.95
|
|
181-240
|
129
|
11,737,454
|
1.76
|
90,988
|
7.380
|
79.07
|
639
|
56.86
|
22.88
|
|
241-300
|
7
|
962,023
|
0.14
|
137,432
|
6.392
|
72.12
|
617
|
91.65
|
0.00
|
|
301-360
|
3,405
|
637,374,051
|
95.38
|
187,188
|
6.921
|
81.18
|
617
|
46.85
|
0.66
|
|
Total:
|
3,740
|
668,232,051
|
100.00
|
178,672
|
6.953
|
81.06
|
618
|
46.88
|
1.71
|
|
Description
of the Total Mortgage
Loans
|
|
Distribution
By Product Type
|
|||||||||
|
Product
Type
|
Number
of Loans
|
Unpaid
Principal
Balance
($)
|
%
of Pool by Principal Balance
|
Avg.
Principal
Balance
($)
|
Wtd.
Avg. Gross Coupon (%)
|
Wtd.
Avg. Orig. LTV
(%)
|
Wtd.
Avg. FICO
|
%
Full
Doc
Loan
|
%
0xx
Xxxx
|
|
00XX
XXXXXXX
|
65
|
4,614,384
|
0.69
|
70,991
|
9.958
|
98.54
|
664
|
24.11
|
92.99
|
|
15YR
FXD
|
134
|
13,544,139
|
2.03
|
101,076
|
7.075
|
71.88
|
613
|
44.13
|
1.78
|
|
20YR
FXD
|
129
|
11,737,454
|
1.76
|
90,988
|
7.380
|
79.07
|
639
|
56.86
|
22.88
|
|
2/6
MONTH LIBOR
|
1,725
|
317,827,885
|
47.56
|
184,248
|
7.072
|
82.19
|
600
|
40.92
|
0.01
|
|
2/6
MONTH LIBOR 24 Mo IO
|
131
|
37,905,115
|
5.67
|
289,352
|
6.367
|
82.75
|
645
|
27.55
|
0.00
|
|
2/6
MONTH LIBOR 60 Mo IO
|
29
|
8,642,400
|
1.29
|
298,014
|
6.156
|
81.61
|
658
|
71.72
|
0.00
|
|
30YR
FXD
|
1,093
|
180,215,125
|
26.97
|
164,881
|
6.878
|
78.75
|
636
|
55.00
|
2.30
|
|
30YR
FXD 60 Mo IO
|
22
|
6,526,158
|
0.98
|
296,644
|
6.251
|
74.17
|
674
|
73.31
|
0.00
|
|
3/6
MONTH LIBOR
|
319
|
59,795,843
|
8.95
|
187,448
|
7.229
|
83.60
|
605
|
58.11
|
0.00
|
|
3/6
MONTH LIBOR 36 Mo IO
|
41
|
11,734,116
|
1.76
|
286,198
|
5.944
|
80.41
|
643
|
43.64
|
0.00
|
|
3/6
MONTH LIBOR 60 Mo IO
|
14
|
3,833,193
|
0.57
|
273,799
|
5.971
|
82.68
|
680
|
62.52
|
0.00
|
|
5/6
MONTH LIBOR
|
14
|
4,015,150
|
0.60
|
286,796
|
5.967
|
75.85
|
635
|
65.06
|
0.00
|
|
5/6
MONTH LIBOR 60 Mo IO
|
24
|
7,841,088
|
1.17
|
326,712
|
5.875
|
77.49
|
680
|
51.58
|
0.00
|
|
Total:
|
3,740
|
668,232,051
|
100.00
|
178,672
|
6.953
|
81.06
|
618
|
46.88
|
1.71
|
|
Description
of the Total Mortgage
Loans
|
|
Distribution
By Prepayment Penalty
|
|||||||||
|
Preypay
Penalty (months)
|
Number
of Loans
|
Unpaid
Principal
Balance
($)
|
%
of Pool by Principal Balance
|
Avg.
Principal Balance ($)
|
Wtd.
Avg. Gross
Coupon(%)
|
Wtd.
Avg. Orig. LTV
(%)
|
Wtd.
Avg. FICO
|
%
Full
Doc
Loan
|
%
2nd Lien
|
|
0
|
650
|
113,069,815
|
16.92
|
173,954
|
7.284
|
82.28
|
612
|
41.31
|
0.38
|
|
6
|
3
|
347,359
|
0.05
|
115,786
|
7.060
|
93.22
|
615
|
100.00
|
0.00
|
|
12
|
203
|
43,951,274
|
6.58
|
216,509
|
6.888
|
78.85
|
622
|
51.95
|
0.89
|
|
24
|
1,465
|
268,373,908
|
40.16
|
183,190
|
6.943
|
82.05
|
609
|
40.08
|
2.54
|
|
30
|
5
|
1,017,519
|
0.15
|
203,504
|
6.282
|
80.08
|
604
|
87.39
|
0.00
|
|
36
|
1,088
|
201,071,401
|
30.09
|
184,808
|
6.748
|
79.33
|
635
|
53.71
|
1.87
|
|
42
|
1
|
151,521
|
0.02
|
151,521
|
8.375
|
66.09
|
598
|
0.00
|
0.00
|
|
48
|
8
|
1,126,678
|
0.17
|
140,835
|
7.439
|
84.76
|
626
|
87.72
|
0.00
|
|
60
|
317
|
39,122,576
|
5.85
|
123,415
|
7.183
|
82.03
|
603
|
66.30
|
0.00
|
|
Total:
|
3,740
|
668,232,051
|
100.00
|
178,672
|
6.953
|
81.06
|
618
|
46.88
|
1.71
|
|
Distribution
By Mortgage Insurance Type
|
|||||||||
|
Mortgage
Insurance
Type
|
Number
of
Loans
|
Unpaid
Principal
Balance
($)
|
%
of Pool by Principal Balance
|
Avg.
Principal Balance ($)
|
Wtd.
Avg. Gross Coupon (%)
|
Wtd.
Avg. Orig. LTV (%)
|
Wtd.
Avg. FICO
|
%
Full Doc Loan
|
%
2nd
Lien
|
|
Covered
by MI
|
2,313
|
453,834,799
|
67.92
|
196,210
|
6.751
|
82.43
|
621
|
50.34
|
0.00
|
|
Not
covered by MI
|
1,427
|
214,397,252
|
32.08
|
150,243
|
7.379
|
78.18
|
612
|
39.55
|
5.31
|
|
Total:
|
3,740
|
668,232,051
|
100.00
|
178,672
|
6.953
|
81.06
|
618
|
46.88
|
1.71
|
|
Distribution
By Interest Calculation Type
|
|||||||||
|
Interest
Calculation type
|
Number
of
Loans
|
Unpaid
Principal
Balance
($)
|
%
of Pool by Principal Balance
|
Avg.
Principal Balance ($)
|
Wtd.
Avg. Gross Coupon (%)
|
Wtd.
Avg.
Orig.
LTV
(%)
|
Wtd.
Avg.
FICO
|
%
Full
Doc
Loan
|
%
2nd Lien
|
|
Interest
In Arrears
|
3,479
|
591,749,981
|
88.55
|
170,092
|
7.050
|
81.07
|
613
|
47.36
|
1.93
|
|
Interest
Only
|
261
|
76,482,070
|
11.45
|
293,035
|
6.198
|
80.99
|
654
|
43.13
|
0.00
|
|
Total:
|
3,740
|
668,232,051
|
100.00
|
178,672
|
6.953
|
81.06
|
618
|
46.88
|
1.71
|
|
Description
of the Total Mortgage
Loans
|
|
Distribution
By Next Adjustment Date
|
|||||||||
|
Next
Adjustment Date
|
Number
of
Loans
|
Unpaid
Principal
Balance
($)
|
%
of Pool by Principal Balance
|
Avg.
Principal Balance ($)
|
Wtd.
Avg. Gross Coupon (%)
|
Wtd.
Avg. Orig. LTV (%)
|
Wtd.
Avg. FICO
|
%
Full
Doc
Loan
|
%
2nd Lien
|
|
October
1, 2005
|
5
|
728,087
|
0.16
|
145,617
|
8.382
|
80.90
|
584
|
9.50
|
0.00
|
|
November
1, 2005
|
29
|
3,895,329
|
0.86
|
134,322
|
7.539
|
82.56
|
595
|
51.24
|
0.00
|
|
December
1, 2005
|
4
|
627,968
|
0.14
|
156,992
|
7.458
|
92.79
|
604
|
100.00
|
0.00
|
|
January
1, 2006
|
34
|
5,754,393
|
1.27
|
169,247
|
7.703
|
83.32
|
587
|
45.40
|
0.00
|
|
February
1, 2006
|
23
|
4,351,580
|
0.96
|
189,199
|
7.710
|
82.77
|
601
|
66.34
|
0.00
|
|
March
1, 2006
|
84
|
15,845,695
|
3.51
|
188,639
|
7.337
|
81.38
|
599
|
47.20
|
0.18
|
|
April
1, 2006
|
587
|
118,338,676
|
26.20
|
201,599
|
6.999
|
82.77
|
600
|
50.19
|
0.00
|
|
May
1, 2006
|
931
|
161,628,144
|
35.79
|
173,607
|
7.022
|
82.51
|
603
|
33.58
|
0.00
|
|
June
1, 2006
|
43
|
13,758,315
|
3.05
|
319,961
|
6.265
|
81.32
|
644
|
16.64
|
0.00
|
|
July
1, 2006
|
114
|
31,399,265
|
6.95
|
275,432
|
6.449
|
80.59
|
631
|
33.95
|
0.00
|
|
August
1, 2006
|
28
|
7,467,450
|
1.65
|
266,695
|
6.959
|
76.62
|
615
|
56.11
|
0.00
|
|
September
1, 2006
|
3
|
580,500
|
0.13
|
193,500
|
7.274
|
76.79
|
598
|
34.45
|
0.00
|
|
October
1, 2006
|
1
|
491,094
|
0.11
|
491,094
|
6.500
|
82.64
|
729
|
100.00
|
0.00
|
|
November
1, 2006
|
3
|
930,323
|
0.21
|
310,108
|
7.738
|
97.40
|
642
|
100.00
|
0.00
|
|
December
1, 2006
|
4
|
664,535
|
0.15
|
166,134
|
7.529
|
84.40
|
621
|
45.00
|
0.00
|
|
January
1, 2007
|
15
|
2,898,834
|
0.64
|
193,256
|
7.597
|
84.58
|
641
|
31.45
|
0.00
|
|
February
1, 2007
|
10
|
1,326,752
|
0.29
|
132,675
|
7.667
|
90.07
|
625
|
63.84
|
0.00
|
|
March
1, 2007
|
40
|
6,362,643
|
1.41
|
159,066
|
7.551
|
85.05
|
610
|
52.89
|
0.00
|
|
April
1, 2007
|
194
|
37,433,931
|
8.29
|
192,958
|
7.205
|
83.58
|
601
|
65.91
|
0.00
|
|
May
1, 2007
|
44
|
7,022,812
|
1.56
|
159,609
|
7.032
|
82.53
|
623
|
35.13
|
0.00
|
|
June
1, 2007
|
15
|
4,241,484
|
0.94
|
282,766
|
5.789
|
80.82
|
640
|
34.67
|
0.00
|
|
July
1, 2007
|
46
|
13,365,747
|
2.96
|
290,560
|
6.083
|
79.51
|
628
|
48.93
|
0.00
|
|
August
1, 2007
|
2
|
625,000
|
0.14
|
312,500
|
6.879
|
84.16
|
678
|
43.04
|
0.00
|
|
June
1, 2009
|
9
|
3,015,731
|
0.67
|
335,081
|
5.773
|
81.86
|
652
|
44.68
|
0.00
|
|
July
1, 2009
|
29
|
8,840,507
|
1.96
|
304,845
|
5.952
|
75.26
|
669
|
60.06
|
0.00
|
|
Total:
|
2,297
|
451,594,791
|
100.00
|
196,602
|
6.947
|
82.24
|
609
|
43.31
|
0.01
|
|
Description
of the Total Mortgage
Loans
|
|
Distribution
By Margin
|
|||||||||
|
Margin
(%)
|
Number
of
Loans
|
Unpaid
Principal
Balance
($)
|
%
of Pool by Principal Balance
|
Avg.
Principal Balance ($)
|
Wtd.
Avg. Gross
Coupon
(%)
|
Wtd.
Avg. Orig. LTV (%)
|
Wtd.
Avg. FICO
|
%
Full
Doc
Loan
|
%
2nd Lien
|
|
4.000
or less
|
13
|
3,379,001
|
0.75
|
259,923
|
5.576
|
83.36
|
653
|
62.25
|
0.00
|
|
4.001
- 4.500
|
19
|
4,944,178
|
1.09
|
260,220
|
5.891
|
82.99
|
632
|
75.76
|
0.00
|
|
4.501
- 5.000
|
231
|
57,654,853
|
12.77
|
249,588
|
6.305
|
82.66
|
637
|
53.91
|
0.05
|
|
5.001
- 5.500
|
930
|
178,111,809
|
39.44
|
191,518
|
6.722
|
82.77
|
611
|
43.87
|
0.00
|
|
5.501
- 6.000
|
585
|
113,712,142
|
25.18
|
194,380
|
7.127
|
82.71
|
614
|
22.84
|
0.00
|
|
6.001
- 6.500
|
228
|
43,570,376
|
9.65
|
191,098
|
7.531
|
79.85
|
580
|
47.95
|
0.00
|
|
6.501
- 7.000
|
170
|
31,256,283
|
6.92
|
183,860
|
7.661
|
77.95
|
574
|
58.64
|
0.00
|
|
7.001
- 7.500
|
68
|
11,585,901
|
2.57
|
170,381
|
7.563
|
86.91
|
589
|
79.23
|
0.00
|
|
7.501
- 8.000
|
32
|
4,788,136
|
1.06
|
149,629
|
8.332
|
85.24
|
578
|
90.51
|
0.00
|
|
8.001
- 8.500
|
14
|
1,612,092
|
0.36
|
115,149
|
8.633
|
83.57
|
562
|
72.62
|
0.00
|
|
8.501
- 9.000
|
3
|
353,006
|
0.08
|
117,669
|
9.572
|
67.44
|
537
|
66.10
|
0.00
|
|
9.001
- 9.500
|
2
|
417,820
|
0.09
|
208,910
|
8.377
|
62.15
|
565
|
49.88
|
0.00
|
|
9.501
- 10.000
|
2
|
209,194
|
0.05
|
104,597
|
10.990
|
83.19
|
516
|
100.00
|
0.00
|
|
Total:
|
2,297
|
451,594,791
|
100.00
|
196,602
|
6.947
|
82.24
|
609
|
43.31
|
0.01
|
|
Distribution
By Life Minimum Rate
|
|||||||||
|
Life
Minimum Rate (%)
|
Number
of
Loans
|
Unpaid
Principal
Balance
($)
|
%
of Pool by Principal Balance
|
Avg.
Principal Balance ($)
|
Wtd.
Avg. Gross Coupon (%)
|
Wtd.
Avg. Orig. LTV (%)
|
Wtd.
Avg. FICO
|
%
Full
Doc
Loan
|
%
2nd Lien
|
|
4.501
- 5.000
|
19
|
5,670,295
|
1.26
|
298,437
|
4.931
|
78.29
|
676
|
44.63
|
0.00
|
|
5.001
- 5.500
|
79
|
21,761,599
|
4.82
|
275,463
|
5.351
|
80.49
|
653
|
56.72
|
0.00
|
|
5.501
- 6.000
|
198
|
49,238,203
|
10.90
|
248,678
|
5.840
|
81.13
|
640
|
48.58
|
0.00
|
|
6.001
- 6.500
|
364
|
80,684,900
|
17.87
|
221,662
|
6.309
|
81.21
|
636
|
43.44
|
0.00
|
|
6.501
- 7.000
|
000
|
000,303,905
|
23.54
|
209,260
|
6.809
|
83.61
|
615
|
40.51
|
0.00
|
|
7.001
- 7.500
|
388
|
70,528,176
|
15.62
|
181,774
|
7.291
|
84.01
|
596
|
42.74
|
0.04
|
|
7.501
- 8.000
|
374
|
66,870,343
|
14.81
|
178,798
|
7.801
|
82.25
|
573
|
44.30
|
0.00
|
|
8.001
- 8.500
|
182
|
26,298,905
|
5.82
|
144,499
|
8.280
|
82.60
|
572
|
33.70
|
0.00
|
|
8.501
- 9.000
|
128
|
17,411,552
|
3.86
|
136,028
|
8.807
|
79.37
|
564
|
37.47
|
0.00
|
|
9.001
- 9.500
|
33
|
4,285,490
|
0.95
|
129,863
|
9.292
|
82.64
|
548
|
48.89
|
0.00
|
|
9.501
- 10.000
|
16
|
1,748,485
|
0.39
|
109,280
|
9.829
|
68.53
|
530
|
44.07
|
0.00
|
|
10.001
- 10.500
|
2
|
346,850
|
0.08
|
173,425
|
10.157
|
60.02
|
523
|
100.00
|
0.00
|
|
10.501
- 11.000
|
6
|
446,088
|
0.10
|
74,348
|
10.881
|
72.28
|
532
|
74.18
|
0.00
|
|
Total:
|
2,297
|
451,594,791
|
100.00
|
196,602
|
6.947
|
82.24
|
609
|
43.31
|
0.01
|
|
Description
of the Total Mortgage
Loans
|
|
Distribution
By Life Maximum Rate
|
|||||||||
|
Life
Maximum Rate (%)
|
Number
of
Loans
|
Unpaid
Principal
Balance
($)
|
%
of Pool by Principal Balance
|
Avg.
Principal Balance ($)
|
Wtd.
Avg. Gross Coupon (%)
|
Wtd.
Avg. Orig. LTV (%)
|
Wtd.
Avg. FICO
|
%
Full
Doc
Loan
|
%
2nd Lien
|
|
10.501
- 11.000
|
4
|
1,434,900
|
0.32
|
358,725
|
5.000
|
76.62
|
674
|
28.99
|
0.00
|
|
11.001
- 11.500
|
30
|
9,894,700
|
2.19
|
329,823
|
5.340
|
78.38
|
675
|
55.15
|
0.00
|
|
11.501
- 12.000
|
83
|
24,667,564
|
5.46
|
297,200
|
5.662
|
80.17
|
658
|
39.49
|
0.00
|
|
12.001
- 12.500
|
145
|
38,637,012
|
8.56
|
266,462
|
5.987
|
81.35
|
643
|
46.44
|
0.00
|
|
12.501
- 13.000
|
227
|
51,669,837
|
11.44
|
227,620
|
6.271
|
82.65
|
626
|
51.70
|
0.00
|
|
13.001
- 13.500
|
329
|
66,571,882
|
14.74
|
202,346
|
6.503
|
81.98
|
625
|
45.87
|
0.00
|
|
13.501
- 14.000
|
432
|
87,532,092
|
19.38
|
202,621
|
6.860
|
82.90
|
610
|
40.79
|
0.00
|
|
14.001
- 14.500
|
332
|
59,119,807
|
13.09
|
178,072
|
7.315
|
83.78
|
593
|
40.22
|
0.05
|
|
14.501
- 15.000
|
355
|
62,785,604
|
13.90
|
176,861
|
7.814
|
82.95
|
574
|
42.31
|
0.00
|
|
15.001
- 15.500
|
178
|
25,447,839
|
5.64
|
142,965
|
8.284
|
82.69
|
573
|
34.13
|
0.00
|
|
15.501
- 16.000
|
125
|
17,006,640
|
3.77
|
136,053
|
8.803
|
79.59
|
564
|
38.36
|
0.00
|
|
16.001
- 16.500
|
34
|
4,496,740
|
1.00
|
132,257
|
9.334
|
81.81
|
546
|
51.29
|
0.00
|
|
16.501
- 17.000
|
16
|
1,748,485
|
0.39
|
109,280
|
9.829
|
68.53
|
530
|
44.07
|
0.00
|
|
17.001
- 17.500
|
1
|
135,600
|
0.03
|
135,600
|
10.090
|
52.27
|
539
|
100.00
|
0.00
|
|
17.501
- 18.000
|
6
|
446,088
|
0.10
|
74,348
|
10.881
|
72.28
|
532
|
74.18
|
0.00
|
|
Total:
|
2,297
|
451,594,791
|
100.00
|
196,602
|
6.947
|
82.24
|
609
|
43.31
|
0.01
|
|
Description
of the Total Mortgage
Loans
|
|
Distribution
By Initial Cap
|
|||||||||
|
Initial
Cap (%)
|
Number
of
Loans
|
Unpaid
Principal
Balance
($)
|
%
of Pool by Principal Balance
|
Avg.
Principal Balance ($)
|
Wtd.
Avg. Gross
Coupon
(%)
|
Wtd.
Avg. Orig. LTV (%)
|
Wtd.
Avg. FICO
|
%
Full
Doc
Loan
|
%
2nd Lien
|
|
1.000
|
12
|
2,355,712
|
0.52
|
196,309
|
7.018
|
82.45
|
622
|
45.37
|
0.00
|
|
1.500
|
1,911
|
351,585,132
|
77.85
|
183,980
|
7.100
|
82.54
|
602
|
42.85
|
0.01
|
|
3.000
|
336
|
85,797,710
|
19.00
|
255,350
|
6.461
|
81.72
|
630
|
43.40
|
0.00
|
|
5.000
|
38
|
11,856,238
|
2.63
|
312,006
|
5.906
|
76.94
|
665
|
56.15
|
0.00
|
|
Total:
|
2,297
|
451,594,791
|
100.00
|
196,602
|
6.947
|
82.24
|
609
|
43.31
|
0.01
|
|
Distribution
By Periodic Cap
|
|||||||||
|
Periodic
Cap (%)
|
Number
of
Loans
|
Unpaid
Principal
Balance
($)
|
%
of Pool by Principal Balance
|
Avg.
Principal Balance ($)
|
Wtd.
Avg. Gross Coupon (%)
|
Wtd.
Avg. Orig. LTV (%)
|
Wtd.
Avg. FICO
|
%
Full Doc Loan
|
%
2nd Lien
|
|
1.000
|
386
|
100,009,660
|
22.15
|
259,092
|
6.409
|
81.17
|
634
|
44.96
|
0.00
|
|
1.500
|
1,911
|
351,585,132
|
77.85
|
183,980
|
7.100
|
82.54
|
602
|
42.85
|
0.01
|
|
Total:
|
2,297
|
451,594,791
|
100.00
|
196,602
|
6.947
|
82.24
|
609
|
43.31
|
0.01
|
|
Sensitivity
Analysis
|
|
To
Optional Termination
|
Class
A-1 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
5.28
|
3.59
|
2.64
|
2.02
|
1.55
|
|
Principal
Window
|
1
-
176
|
1
-
122
|
1
- 90
|
1
-
71
|
1
-
57
|
Class
A-2 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
1.99
|
1.34
|
1.00
|
0.79
|
0.65
|
|
Principal
Window
|
1
-
52
|
1
-
35
|
1
- 26
|
1
-
20
|
1
-
17
|
Class
A-3 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
6.20
|
4.17
|
3.00
|
2.21
|
1.78
|
|
Principal
Window
|
52
- 104
|
35
- 70
|
26
- 52
|
20
- 34
|
17
- 27
|
Class
A-4 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
12.48
|
8.58
|
6.34
|
4.88
|
3.55
|
|
Principal
Window
|
104
- 176
|
70
- 122
|
52
- 90
|
34
- 71
|
27
- 57
|
Class
M-1 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
9.74
|
6.65
|
5.04
|
4.35
|
4.19
|
|
Principal
Window
|
57
- 176
|
38
- 122
|
39
- 90
|
42
- 71
|
45
- 57
|
Class
M-2 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
9.74
|
6.65
|
5.03
|
4.26
|
3.95
|
|
Principal
Window
|
57
- 176
|
38
- 122
|
39
- 90
|
41
- 71
|
43
- 57
|
Class
M-3 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
9.74
|
6.65
|
5.01
|
4.23
|
3.88
|
|
Principal
Window
|
57
- 176
|
38
- 122
|
38
- 90
|
40
- 71
|
42
- 57
|
Class
M-4 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
9.74
|
6.65
|
5.01
|
4.21
|
3.83
|
|
Principal
Window
|
57
- 176
|
38
- 122
|
38
- 90
|
40
- 71
|
41
- 57
|
Class
M-5 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
9.74
|
6.65
|
5.01
|
4.18
|
3.78
|
|
Principal
Window
|
57
- 176
|
38
- 122
|
38
- 90
|
39
- 71
|
41
- 57
|
|
Sensitivity
Analysis
|
|
To
Optional Termination
|
Class
M-6 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
9.74
|
6.65
|
5.01
|
4.18
|
3.74
|
|
Principal
Window
|
57
- 176
|
38
- 122
|
38
- 90
|
39
- 71
|
40
- 57
|
Class
M-7 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
9.74
|
6.65
|
5.00
|
4.15
|
3.71
|
|
Principal
Window
|
57
- 176
|
38
- 122
|
37
- 90
|
38
- 71
|
39
- 57
|
Class
M-8 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
9.74
|
6.65
|
4.99
|
4.14
|
3.68
|
|
Principal
Window
|
57
- 176
|
38
- 122
|
37
- 90
|
38
- 71
|
39
- 57
|
Class
M-9 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
9.74
|
6.65
|
4.99
|
4.14
|
3.64
|
|
Principal
Window
|
57
- 176
|
38
- 122
|
37
- 90
|
37
- 71
|
38
- 57
|
Class
M-10 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
9.43
|
6.42
|
4.83
|
3.97
|
3.52
|
|
Principal
Window
|
57
- 173
|
38
- 120
|
37
- 89
|
37
- 69
|
37
- 56
|
Class
M-11 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
8.60
|
5.82
|
4.39
|
3.62
|
3.21
|
|
Principal
Window
|
57
- 145
|
38
- 99
|
37
- 73
|
37
- 57
|
37
- 46
|
|
Sensitivity
Analysis
|
|
To
Maturity
|
Class
A-1 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
5.65
|
3.90
|
2.89
|
2.21
|
1.71
|
|
Principal
Window
|
1
-
323
|
1
-
259
|
1
- 201
|
1
-
160
|
1
-
130
|
Class
A-2 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
1.99
|
1.34
|
1.00
|
0.79
|
0.65
|
|
Principal
Window
|
1
-
52
|
1
-
35
|
1
- 26
|
1
-
20
|
1
-
17
|
Class
A-3 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
6.20
|
4.17
|
3.00
|
2.21
|
1.78
|
|
Principal
Window
|
52
- 104
|
35
- 70
|
26
- 52
|
20
- 34
|
17
- 27
|
Class
A-4 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
14.13
|
9.93
|
7.42
|
5.71
|
4.24
|
|
Principal
Window
|
104
- 323
|
70
- 259
|
52
- 201
|
34
- 160
|
27
- 130
|
Class
M-1 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
10.55
|
7.29
|
5.56
|
4.75
|
4.52
|
|
Principal
Window
|
57
- 279
|
38
- 207
|
39
- 157
|
42
- 124
|
45
- 100
|
Class
M-2 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
10.50
|
7.24
|
5.50
|
4.62
|
4.25
|
|
Principal
Window
|
57
- 261
|
38
- 190
|
39
- 144
|
41
- 113
|
43
- 91
|
Class
M-3 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
10.46
|
7.21
|
5.46
|
4.57
|
4.16
|
|
Principal
Window
|
57
- 253
|
38
- 182
|
38
- 138
|
40
- 108
|
42
- 88
|
Class
M-4 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
10.42
|
7.18
|
5.43
|
4.54
|
4.09
|
|
Principal
Window
|
57
- 246
|
38
- 177
|
38
- 133
|
40
- 105
|
41
- 85
|
Class
M-5 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
10.37
|
7.14
|
5.40
|
4.48
|
4.03
|
|
Principal
Window
|
57
- 238
|
38
- 171
|
38
- 129
|
39
- 101
|
41
- 81
|
|
Sensitivity
Analysis
|
|
To
Maturity
|
Class
M-6 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
10.31
|
7.09
|
5.36
|
4.44
|
3.96
|
|
Principal
Window
|
57
- 230
|
38
- 164
|
38
- 123
|
39
- 97
|
40
- 78
|
Class
M-7 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
10.22
|
7.02
|
5.29
|
4.38
|
3.89
|
|
Principal
Window
|
57
- 220
|
38
- 156
|
37
- 117
|
38
- 92
|
39
- 74
|
Class
M-8 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
10.10
|
6.92
|
5.21
|
4.31
|
3.82
|
|
Principal
Window
|
57
- 209
|
38
- 147
|
37
- 110
|
38
- 86
|
39
- 69
|
Class
M-9 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
9.87
|
6.75
|
5.08
|
4.20
|
3.70
|
|
Principal
Window
|
57
- 196
|
38
- 137
|
37
- 102
|
37
- 80
|
38
- 65
|
Class
M-10 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
9.43
|
6.42
|
4.83
|
3.97
|
3.52
|
|
Principal
Window
|
57
- 173
|
38
- 120
|
37
- 89
|
37
- 69
|
37
- 56
|
Class
M-11 Certificates
|
Pricing
Speed
|
50%
|
75%
|
100%
|
125%
|
150%
|
|
WAL
(yrs)
|
8.60
|
5.82
|
4.39
|
3.62
|
3.21
|
|
Principal
Window
|
57
- 145
|
38
- 99
|
37
- 73
|
37
- 57
|
37
- 46
|
|
Net
WAC Cap (%) for Class A Certificates
|
||||||||||
|
Period
|
NWC(1)
|
NWC(2)
|
Period
|
NWC(1)
|
NWC(2)
|
Period
|
NWC(1)
|
NWC(2)
|
||
|
1
|
6.51
|
9.25
|
31
|
5.82
|
9.25
|
61
|
6.09
|
9.79
|
||
|
2
|
5.46
|
9.25
|
32
|
6.06
|
9.34
|
62
|
5.90
|
9.47
|
||
|
3
|
5.64
|
9.25
|
33
|
5.87
|
9.55
|
63
|
6.09
|
9.78
|
||
|
4
|
5.46
|
9.25
|
34
|
6.07
|
9.78
|
64
|
5.89
|
9.46
|
||
|
5
|
5.46
|
9.25
|
35
|
5.89
|
9.62
|
65
|
5.89
|
9.47
|
||
|
6
|
6.04
|
9.25
|
36
|
5.89
|
9.61
|
66
|
6.52
|
10.48
|
||
|
7
|
5.46
|
9.25
|
37
|
6.09
|
9.80
|
67
|
5.89
|
9.46
|
||
|
8
|
5.64
|
9.25
|
38
|
5.89
|
9.87
|
68
|
6.09
|
9.77
|
||
|
9
|
5.46
|
9.25
|
39
|
6.09
|
10.43
|
69
|
5.89
|
9.45
|
||
|
10
|
5.64
|
9.25
|
40
|
5.89
|
10.29
|
70
|
6.09
|
9.76
|
||
|
11
|
5.46
|
9.25
|
41
|
5.89
|
11.20
|
71
|
5.89
|
9.44
|
||
|
12
|
5.46
|
9.25
|
42
|
6.29
|
10.70
|
72
|
5.89
|
9.43
|
||
|
13
|
5.64
|
9.25
|
43
|
5.89
|
10.29
|
73
|
6.08
|
9.74
|
||
|
14
|
5.46
|
9.25
|
44
|
6.08
|
9.30
|
74
|
5.89
|
9.42
|
||
|
15
|
5.64
|
9.25
|
45
|
5.89
|
9.23
|
75
|
6.08
|
9.73
|
||
|
16
|
5.46
|
9.25
|
46
|
6.08
|
9.55
|
76
|
5.88
|
9.41
|
||
|
17
|
5.46
|
9.25
|
47
|
5.88
|
9.25
|
77
|
5.88
|
9.41
|
||
|
18
|
6.04
|
9.25
|
48
|
5.88
|
9.25
|
78
|
6.51
|
10.41
|
||
|
19
|
5.46
|
9.25
|
49
|
6.08
|
9.59
|
79
|
5.88
|
9.40
|
||
|
20
|
5.72
|
9.25
|
50
|
5.88
|
9.35
|
80
|
6.08
|
9.71
|
||
|
21
|
5.73
|
9.25
|
51
|
6.08
|
9.66
|
81
|
5.88
|
9.39
|
||
|
22
|
5.99
|
9.25
|
52
|
5.88
|
9.35
|
82
|
6.08
|
9.70
|
||
|
23
|
5.80
|
9.25
|
53
|
5.88
|
9.36
|
83
|
5.88
|
9.38
|
||
|
24
|
5.80
|
9.25
|
54
|
6.51
|
10.36
|
84
|
5.88
|
9.37
|
||
|
25
|
6.00
|
9.25
|
55
|
5.88
|
9.37
|
85
|
6.07
|
9.68
|
||
|
26
|
5.80
|
9.25
|
56
|
6.07
|
9.72
|
86
|
5.88
|
9.36
|
||
|
27
|
5.99
|
9.25
|
57
|
5.88
|
9.41
|
87
|
6.07
|
9.67
|
||
|
28
|
5.80
|
9.25
|
58
|
6.07
|
9.72
|
88
|
5.88
|
9.36
|
||
|
29
|
5.80
|
9.25
|
59
|
5.90
|
9.48
|
89
|
5.88
|
9.35
|
||
|
30
|
6.42
|
9.25
|
60
|
5.90
|
9.48
|
90
|
6.28
|
9.99
|
||
|
(1)
Assumes 1mLIBOR and 6mLIBOR remain constant at 1.82% and 2.06%,
respectively, and the cashflows are run to Optional Termination
at the
pricing speed.
|
|
(2)
Assumes 1mLIBOR and 6mLIBOR increase instantaneously to a level
beyond the
maximum allowable under the Mortgage Loans and the cashflows
are run to
Optional Termination at the pricing speed, and all payments from
the
respective Interest Rate Corridor are collected when
due.
|
|
Net
WAC Cap (%) for Class M Certificates
|
||||||||||
|
Period
|
NWC(1)
|
NWC(2)
|
Period
|
NWC(1)
|
NWC(2)
|
Period
|
NWC(1)
|
NWC(2)
|
||
|
1
|
6.51
|
8.50
|
31
|
5.82
|
9.34
|
61
|
6.09
|
9.79
|
||
|
2
|
5.46
|
8.50
|
32
|
6.06
|
9.73
|
62
|
5.90
|
9.47
|
||
|
3
|
5.64
|
8.50
|
33
|
5.87
|
9.96
|
63
|
6.09
|
9.78
|
||
|
4
|
5.46
|
8.50
|
34
|
6.07
|
10.06
|
64
|
5.89
|
9.46
|
||
|
5
|
5.46
|
8.50
|
35
|
5.89
|
9.96
|
65
|
5.89
|
9.47
|
||
|
6
|
6.04
|
8.50
|
36
|
5.89
|
9.88
|
66
|
6.52
|
10.48
|
||
|
7
|
5.46
|
8.50
|
37
|
6.09
|
9.92
|
67
|
5.89
|
9.46
|
||
|
8
|
5.64
|
8.50
|
38
|
5.89
|
10.14
|
68
|
6.09
|
9.77
|
||
|
9
|
5.46
|
8.50
|
39
|
6.09
|
8.95
|
69
|
5.89
|
9.45
|
||
|
10
|
5.64
|
8.50
|
40
|
5.89
|
8.72
|
70
|
6.09
|
9.76
|
||
|
11
|
5.46
|
8.50
|
41
|
5.89
|
8.74
|
71
|
5.89
|
9.44
|
||
|
12
|
5.46
|
8.50
|
42
|
6.29
|
9.33
|
72
|
5.89
|
9.43
|
||
|
13
|
5.64
|
8.50
|
43
|
5.89
|
8.77
|
73
|
6.08
|
9.74
|
||
|
14
|
5.46
|
8.50
|
44
|
6.08
|
9.30
|
74
|
5.89
|
9.42
|
||
|
15
|
5.64
|
8.50
|
45
|
5.89
|
9.23
|
75
|
6.08
|
9.73
|
||
|
16
|
5.46
|
8.50
|
46
|
6.08
|
9.55
|
76
|
5.88
|
9.41
|
||
|
17
|
5.46
|
8.50
|
47
|
5.88
|
9.25
|
77
|
5.88
|
9.41
|
||
|
18
|
6.04
|
8.50
|
48
|
5.88
|
9.25
|
78
|
6.51
|
10.41
|
||
|
19
|
5.46
|
8.50
|
49
|
6.08
|
9.59
|
79
|
5.88
|
9.40
|
||
|
20
|
5.72
|
8.50
|
50
|
5.88
|
9.35
|
80
|
6.08
|
9.71
|
||
|
21
|
5.73
|
8.50
|
51
|
6.08
|
9.66
|
81
|
5.88
|
9.39
|
||
|
22
|
5.99
|
8.50
|
52
|
5.88
|
9.35
|
82
|
6.08
|
9.70
|
||
|
23
|
5.80
|
8.50
|
53
|
5.88
|
9.36
|
83
|
5.88
|
9.38
|
||
|
24
|
5.80
|
8.50
|
54
|
6.51
|
10.36
|
84
|
5.88
|
9.37
|
||
|
25
|
6.00
|
8.50
|
55
|
5.88
|
9.37
|
85
|
6.07
|
9.68
|
||
|
26
|
5.80
|
8.50
|
56
|
6.07
|
9.72
|
86
|
5.88
|
9.36
|
||
|
27
|
5.99
|
9.66
|
57
|
5.88
|
9.41
|
87
|
6.07
|
9.67
|
||
|
28
|
5.80
|
9.60
|
58
|
6.07
|
9.72
|
88
|
5.88
|
9.36
|
||
|
29
|
5.80
|
9.56
|
59
|
5.90
|
9.48
|
89
|
5.88
|
9.35
|
||
|
30
|
6.42
|
9.75
|
60
|
5.90
|
9.48
|
90
|
6.28
|
9.99
|
||
|
(1)
Assumes 1mLIBOR and 6mLIBOR remain constant at 1.82% and 2.06%,
respectively, and the cashflows are run to Optional Termination
at the
pricing speed.
|
|
(2)
Assumes 1mLIBOR and 6mLIBOR increase instantaneously to a level
beyond the
maximum allowable under the Mortgage Loans and the cashflows
are run to
Optional Termination at the pricing speed, and all payments from
the
respective Interest Rate Corridor are collected when
due.
|
|
Excess
Spread
|
|
Period
|
%
At
Static
LIBOR (1)(3)
|
%
At Fwd
LIBOR
(2) (3)
|
1m
LIBOR (%)
|
0x
XXXXX (%)
|
Period
|
%
At
Static
LIBOR (1) (3)
|
%
At Fwd
LIBOR
(2) (3)
|
1m
LIBOR (%)
|
0x
XXXXX (%)
|
|
|
1
|
3.64
|
3.50
|
1.99
|
2.17
|
47
|
3.46
|
2.08
|
4.47
|
4.68
|
|
|
2
|
3.25
|
3.08
|
2.08
|
2.25
|
48
|
3.46
|
2.33
|
4.56
|
4.67
|
|
|
3
|
3.33
|
3.07
|
2.14
|
2.32
|
49
|
3.54
|
2.41
|
4.70
|
4.76
|
|
|
4
|
3.24
|
2.92
|
2.14
|
2.39
|
50
|
3.45
|
2.12
|
4.65
|
4.78
|
|
|
5
|
3.24
|
2.91
|
2.14
|
2.48
|
51
|
3.53
|
2.39
|
4.71
|
4.83
|
|
|
6
|
3.46
|
3.17
|
2.47
|
2.58
|
52
|
3.44
|
2.15
|
4.74
|
4.85
|
|
|
7
|
3.22
|
2.56
|
2.48
|
2.63
|
53
|
3.44
|
2.12
|
4.40
|
4.88
|
|
|
8
|
3.30
|
2.65
|
2.46
|
2.72
|
54
|
3.70
|
2.97
|
5.04
|
4.99
|
|
|
9
|
3.21
|
2.55
|
2.58
|
2.84
|
55
|
3.44
|
1.82
|
4.87
|
4.95
|
|
|
10
|
3.28
|
2.53
|
2.65
|
2.94
|
56
|
3.53
|
2.22
|
4.95
|
4.99
|
|
|
11
|
3.20
|
2.36
|
2.73
|
3.05
|
57
|
3.44
|
2.02
|
4.78
|
5.01
|
|
|
12
|
3.19
|
2.26
|
2.82
|
3.13
|
58
|
3.53
|
2.38
|
4.94
|
5.07
|
|
|
13
|
3.26
|
2.28
|
3.02
|
3.28
|
59
|
3.47
|
2.11
|
5.04
|
5.10
|
|
|
14
|
3.18
|
1.96
|
3.16
|
3.39
|
60
|
3.47
|
2.01
|
4.83
|
5.06
|
|
|
15
|
3.25
|
1.92
|
3.15
|
3.48
|
61
|
3.56
|
2.41
|
5.10
|
5.17
|
|
|
16
|
3.16
|
1.81
|
3.34
|
3.59
|
62
|
3.48
|
2.01
|
5.05
|
5.20
|
|
|
17
|
3.15
|
1.60
|
3.19
|
3.67
|
63
|
3.56
|
2.31
|
5.12
|
5.24
|
|
|
18
|
3.38
|
2.13
|
3.72
|
3.78
|
64
|
3.48
|
2.06
|
5.15
|
5.24
|
|
|
19
|
3.14
|
1.22
|
3.67
|
3.79
|
65
|
3.49
|
2.04
|
4.79
|
5.26
|
|
|
20
|
3.28
|
1.70
|
3.68
|
3.86
|
66
|
3.74
|
2.95
|
5.46
|
5.36
|
|
|
21
|
3.40
|
1.97
|
3.78
|
3.88
|
67
|
3.49
|
1.74
|
5.27
|
5.29
|
|
|
22
|
3.54
|
2.17
|
3.82
|
3.91
|
68
|
3.58
|
2.16
|
5.33
|
5.31
|
|
|
23
|
3.46
|
1.99
|
3.82
|
3.95
|
69
|
3.50
|
1.94
|
5.13
|
5.30
|
|
|
24
|
3.45
|
1.98
|
3.82
|
3.91
|
70
|
3.58
|
2.34
|
5.27
|
5.33
|
|
|
25
|
3.52
|
2.13
|
4.04
|
3.98
|
71
|
3.50
|
2.01
|
5.34
|
5.34
|
|
|
26
|
3.42
|
1.87
|
3.80
|
3.99
|
72
|
3.51
|
1.94
|
5.09
|
5.27
|
|
|
27
|
3.50
|
2.53
|
3.95
|
4.04
|
73
|
3.59
|
2.38
|
5.34
|
5.37
|
|
|
28
|
3.40
|
2.24
|
4.08
|
4.07
|
74
|
3.52
|
1.96
|
5.27
|
5.38
|
|
|
29
|
3.40
|
2.11
|
3.59
|
4.08
|
75
|
3.60
|
2.26
|
5.32
|
5.42
|
|
|
30
|
3.64
|
3.01
|
4.24
|
4.18
|
76
|
3.52
|
2.02
|
5.34
|
5.42
|
|
|
31
|
3.40
|
1.97
|
4.09
|
4.17
|
77
|
3.53
|
2.01
|
4.94
|
5.44
|
|
|
32
|
3.52
|
2.39
|
4.06
|
4.24
|
78
|
3.78
|
2.96
|
5.65
|
5.54
|
|
|
33
|
3.43
|
2.34
|
4.13
|
4.26
|
79
|
3.54
|
1.72
|
5.43
|
5.48
|
|
|
34
|
3.51
|
2.44
|
4.17
|
4.30
|
80
|
3.62
|
2.16
|
5.50
|
5.51
|
|
|
35
|
3.43
|
2.27
|
4.18
|
4.36
|
81
|
3.55
|
1.93
|
5.29
|
5.50
|
|
|
36
|
3.42
|
2.24
|
4.19
|
4.39
|
82
|
3.63
|
2.34
|
5.45
|
5.55
|
|
|
37
|
3.50
|
2.43
|
4.45
|
4.42
|
83
|
3.56
|
2.00
|
5.55
|
5.57
|
|
|
38
|
3.45
|
2.15
|
4.20
|
4.46
|
84
|
3.56
|
1.91
|
5.29
|
5.57
|
|
|
39
|
3.55
|
2.65
|
4.39
|
4.49
|
85
|
3.65
|
2.37
|
5.57
|
5.61
|
|
|
40
|
3.47
|
2.32
|
4.54
|
4.53
|
86
|
3.57
|
1.93
|
5.50
|
5.63
|
|
|
41
|
3.47
|
2.18
|
4.31
|
4.56
|
87
|
3.66
|
2.24
|
5.56
|
5.64
|
|
|
42
|
3.64
|
2.74
|
4.42
|
4.58
|
88
|
3.58
|
1.99
|
5.58
|
5.65
|
|
|
43
|
3.47
|
2.30
|
4.68
|
4.61
|
89
|
3.59
|
1.99
|
5.55
|
5.66
|
|
|
44
|
3.55
|
2.26
|
4.40
|
4.61
|
90
|
3.75
|
2.43
|
5.51
|
5.67
|
|
|
45
|
3.46
|
2.40
|
4.58
|
4.66
|
91
|
N/A
|
2.07
|
5.67
|
5.68
|
|
|
46
|
3.54
|
2.40
|
4.72
|
4.68
|
|
(1)
Assumes 1mLIBOR and 6mLIBOR stay at 1.82% and 2.06% respectively,
and the
cashflows are run to the Optional Termination at the pricing
speed.
|
|
(2)
Assumes 1mLIBOR and 6mLIBOR follow the forward LIBOR Curve respectively,
and the cashflows are run to the Optional Termination at the
pricing
speed.
|
|
(3)
Calculated as (a) interest collections on the Mortgage Loans
(net of the
servicing fee, the trustee fee, the credit risk manager fee and
the
mortgage insurance fee), less the aggregate interest on the Certificates.
divided by (b) the aggregate principal balance of the Mortgage
Loans as of
the beginning period
(annualized).
|
|
Class
A Interest Rate Corridor Notional Schedule
|
|
Period
|
Accrual
Start
|
Accrual
End
|
Cap
Notional Schedule ($)
|
Low
Strike (%)
|
High
Strike (%)
|
|
1
|
09/29/2004
|
10/25/2004
|
569,667,000
|
6.11
|
8.85
|
|
2
|
10/25/2004
|
11/25/2004
|
555,204,000
|
5.06
|
8.85
|
|
3
|
11/25/2004
|
12/25/2004
|
540,731,000
|
5.24
|
8.85
|
|
4
|
12/25/2004
|
01/25/2005
|
526,251,000
|
5.06
|
8.85
|
|
5
|
01/25/2005
|
02/25/2005
|
511,764,000
|
5.06
|
8.85
|
|
6
|
02/25/2005
|
03/25/2005
|
497,272,000
|
5.64
|
8.85
|
|
7
|
03/25/2005
|
04/25/2005
|
482,779,000
|
5.06
|
8.85
|
|
8
|
04/25/2005
|
05/25/2005
|
468,311,000
|
5.24
|
8.85
|
|
9
|
05/25/2005
|
06/25/2005
|
454,025,000
|
5.06
|
8.85
|
|
10
|
06/25/2005
|
07/25/2005
|
440,084,000
|
5.24
|
8.85
|
|
11
|
07/25/2005
|
08/25/2005
|
426,482,000
|
5.06
|
8.85
|
|
12
|
08/25/2005
|
09/25/2005
|
413,222,000
|
5.06
|
8.85
|
|
13
|
09/25/2005
|
10/25/2005
|
400,295,000
|
5.24
|
8.85
|
|
14
|
10/25/2005
|
11/25/2005
|
387,694,000
|
5.06
|
8.85
|
|
15
|
11/25/2005
|
12/25/2005
|
375,410,000
|
5.24
|
8.85
|
|
16
|
12/25/2005
|
01/25/2006
|
363,436,000
|
5.06
|
8.85
|
|
17
|
01/25/2006
|
02/25/2006
|
351,763,000
|
5.06
|
8.85
|
|
18
|
02/25/2006
|
03/25/2006
|
340,383,000
|
5.64
|
8.85
|
|
19
|
03/25/2006
|
04/25/2006
|
329,290,000
|
5.07
|
8.85
|
|
20
|
04/25/2006
|
05/25/2006
|
318,478,000
|
5.55
|
8.85
|
|
21
|
05/25/2006
|
06/25/2006
|
307,955,000
|
5.78
|
8.85
|
|
22
|
06/25/2006
|
07/25/2006
|
297,723,000
|
6.14
|
8.85
|
|
23
|
07/25/2006
|
08/25/2006
|
287,736,000
|
5.95
|
8.85
|
|
24
|
08/25/2006
|
09/25/2006
|
277,998,000
|
5.95
|
8.85
|
|
25
|
09/25/2006
|
10/25/2006
|
268,504,000
|
6.17
|
8.85
|
|
26
|
10/25/2006
|
11/25/2006
|
259,249,000
|
6.21
|
8.85
|
|
27
|
11/25/2006
|
12/25/2006
|
250,237,000
|
6.81
|
8.85
|
|
28
|
12/25/2006
|
01/25/2007
|
241,467,000
|
6.64
|
8.85
|
|
29
|
01/25/2007
|
02/25/2007
|
232,919,000
|
6.64
|
8.85
|
|
30
|
02/25/2007
|
03/25/2007
|
224,584,000
|
7.40
|
8.85
|
|
31
|
03/25/2007
|
04/25/2007
|
216,459,000
|
6.69
|
8.85
|
|
32
|
04/25/2007
|
05/25/2007
|
101,210,000
|
5.44
|
8.85
|
|
33
|
05/25/2007
|
06/25/2007
|
97,604,000
|
5.27
|
8.85
|
|
34
|
06/25/2007
|
07/25/2007
|
94,083,000
|
5.49
|
8.85
|
|
35
|
07/25/2007
|
08/25/2007
|
90,644,000
|
5.38
|
8.85
|
|
36
|
08/25/2007
|
09/25/2007
|
87,282,000
|
5.38
|
8.85
|
|
37
|
09/25/2007
|
10/25/2007
|
83,998,000
|
5.65
|
8.85
|
|
38
|
10/25/2007
|
11/25/2007
|
83,998,000
|
5.61
|
8.85
|
|
39
|
11/25/2007
|
12/25/2007
|
83,998,000
|
5.82
|
8.85
|
|
40
|
12/25/2007
|
01/25/2008
|
83,998,000
|
5.63
|
8.85
|
|
41
|
01/25/2008
|
02/25/2008
|
83,998,000
|
3.81
|
8.85
|
|
42
|
02/25/2008
|
03/25/2008
|
64,987,000
|
5.32
|
8.85
|
|
43
|
03/25/2008
|
04/25/2008
|
63,488,000
|
4.95
|
8.85
|
|
44
|
04/25/2008
|
05/25/2008
|
0
|
N/A
|
N/A
|
|
Class
M Interest Rate Cap Corridor Notional Schedule
|
|
Period
|
Accrual
Start
|
Accrual
End
|
Cap
Notional Schedule ($)
|
Low
Strike (%)
|
High
Strike (%)
|
|
1
|
09/29/2004
|
10/25/2004
|
91,877,000
|
5.01
|
7.00
|
|
2
|
10/25/2004
|
11/25/2004
|
91,877,000
|
3.96
|
7.00
|
|
3
|
11/25/2004
|
12/25/2004
|
91,877,000
|
4.14
|
7.00
|
|
4
|
12/25/2004
|
01/25/2005
|
91,877,000
|
3.96
|
7.00
|
|
5
|
01/25/2005
|
02/25/2005
|
91,877,000
|
3.96
|
7.00
|
|
6
|
02/25/2005
|
03/25/2005
|
91,877,000
|
4.54
|
7.00
|
|
7
|
03/25/2005
|
04/25/2005
|
91,877,000
|
3.96
|
7.00
|
|
8
|
04/25/2005
|
05/25/2005
|
91,877,000
|
4.14
|
7.00
|
|
9
|
05/25/2005
|
06/25/2005
|
91,877,000
|
3.96
|
7.00
|
|
10
|
06/25/2005
|
07/25/2005
|
91,877,000
|
4.14
|
7.00
|
|
11
|
07/25/2005
|
08/25/2005
|
91,877,000
|
3.96
|
7.00
|
|
12
|
08/25/2005
|
09/25/2005
|
91,877,000
|
3.96
|
7.00
|
|
13
|
09/25/2005
|
10/25/2005
|
91,877,000
|
4.14
|
7.00
|
|
14
|
10/25/2005
|
11/25/2005
|
91,877,000
|
3.96
|
7.00
|
|
15
|
11/25/2005
|
12/25/2005
|
91,877,000
|
4.14
|
7.00
|
|
16
|
12/25/2005
|
01/25/2006
|
91,877,000
|
3.96
|
7.00
|
|
17
|
01/25/2006
|
02/25/2006
|
91,877,000
|
3.96
|
7.00
|
|
18
|
02/25/2006
|
03/25/2006
|
91,877,000
|
4.54
|
7.00
|
|
19
|
03/25/2006
|
04/25/2006
|
91,877,000
|
3.97
|
7.00
|
|
20
|
04/25/2006
|
05/25/2006
|
91,877,000
|
4.45
|
7.00
|
|
21
|
05/25/2006
|
06/25/2006
|
91,877,000
|
4.68
|
7.00
|
|
22
|
06/25/2006
|
07/25/2006
|
91,877,000
|
5.04
|
7.00
|
|
23
|
07/25/2006
|
08/25/2006
|
91,877,000
|
4.85
|
7.00
|
|
24
|
08/25/2006
|
09/25/2006
|
91,877,000
|
4.85
|
7.00
|
|
25
|
09/25/2006
|
10/25/2006
|
91,877,000
|
5.07
|
7.00
|
|
26
|
10/25/2006
|
11/25/2006
|
91,877,000
|
5.11
|
7.00
|
|
27
|
11/25/2006
|
12/25/2006
|
75,383,000
|
4.02
|
7.00
|
|
28
|
12/25/2006
|
01/25/2007
|
74,312,000
|
3.84
|
7.00
|
|
29
|
01/25/2007
|
02/25/2007
|
73,270,000
|
3.84
|
7.00
|
|
30
|
02/25/2007
|
03/25/2007
|
72,258,000
|
4.51
|
7.00
|
|
31
|
03/25/2007
|
04/25/2007
|
71,275,000
|
4.11
|
7.00
|
|
32
|
04/25/2007
|
05/25/2007
|
70,322,000
|
4.32
|
7.00
|
|
33
|
05/25/2007
|
06/25/2007
|
69,399,000
|
4.15
|
7.00
|
|
34
|
06/25/2007
|
07/25/2007
|
68,501,000
|
4.43
|
7.00
|
|
35
|
07/25/2007
|
08/25/2007
|
67,629,000
|
4.23
|
7.00
|
|
36
|
08/25/2007
|
09/25/2007
|
66,779,000
|
4.31
|
7.00
|
|
37
|
09/25/2007
|
10/25/2007
|
65,953,000
|
4.65
|
7.00
|
|
38
|
10/25/2007
|
11/25/2007
|
63,352,000
|
4.47
|
7.00
|
|
39
|
11/25/2007
|
12/25/2007
|
0
|
N/A
|
N/A
|
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