FICO DISTRIBUTION
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FICO Total Balance LTV Adjusted Balance[1] WA Loan WAC % Covered by
Amount %[2] Amount %[2] Balance Mortgage Ins.
------------------------------------------------------------------------------------------------------------------------------------
500.01 - 550 12,811,113 4.79% > 70.0 8,596,680 3.22% 100,875 8.24% 17.79%
550.01 - 575 18,739,515 7.01% > 70.0 12,459,814 4.66% 95,124 8.01% 37.78%
575.01 - 600 28,325,211 10.59% > 70.0 22,291,201 8.34% 90,786 7.79% 44.75%
600.01 - 620 42,279,668 15.81% > 70.0 35,031,591 13.10% 97,870 7.46% 48.83%
620.01 - 650 74,352,952 27.81% > 80.0 37,049,267 13.86% 120,312 7.06% 53.73%
650.01 - 680 46,887,609 17.54% > 80.0 22,876,634 8.56% 127,067 6.83% 54.99%
680.01 - 700 17,593,758 6.58% > 85.0 5,614,823 2.10% 147,847 6.62% 57.40%
700.01 - 750 18,921,885 7.08% > 85.0 6,617,358 2.48% 148,991 6.45% 59.60%
750.01 - 800 7,109,296 2.66% > 85.0 1,920,957 0.72% 148,110 6.30% 61.76%
0 - 500 176,000 0.07% > 65.0 146,000 0.05% 58,667 10.70% 0.00%
FICO NA 166,940 0.06% > 65.0 61,840 0.02% 55,647 8.10% 0.00%
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TOTAL 267,363,946 100.00% 152,666,164 57.10% 113,530 7.19% 50.19%
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FICO: AVERAGE 635 MIN: 496 MAX: 795
FICO DISTRIBUTION (cont'd)
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FICO WA FICO WA LTV % SFD/ % Owner % Full % Cashout
PUD Occ Doc Refi
----------------------------------------------------------------------------
500.01 - 550 536 73.26% 89.05% 96.37% 90.31% 78.75%
550.01 - 575 564 75.26% 92.03% 95.68% 85.14% 78.18%
575.01 - 600 588 78.56% 88.87% 95.13% 82.95% 78.16%
600.01 - 620 611 81.68% 90.60% 94.60% 76.72% 77.71%
620.01 - 650 636 81.31% 89.26% 96.05% 73.99% 78.79%
650.01 - 680 665 81.11% 84.58% 92.74% 72.52% 83.99%
680.01 - 700 690 80.55% 79.58% 87.25% 70.60% 72.09%
700.01 - 750 721 80.06% 79.98% 89.33% 72.85% 77.36%
750.01 - 800 768 79.15% 74.88% 94.30% 83.54% 59.37%
0 - 500 498 72.05% 100.00% 100.00% 100.00% 45.45%
FICO NA 59.64% 100.00% 100.00% 100.00% 62.96%
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TOTAL 635 80.02% 87.13% 94.04% 76.66% 78.33%
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LOAN-TO- VALUE (LTV) DISTIBUTION
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LTV Total Balance DTI Adjusted Balance[1] WA Loan WAC % Covered by
Amount %[2] Amount %[2] Balance Mortgage Ins.
-----------------------------------------------------------------------------------------------------------------------------------
60.01 - 70.00 28,278,045 10.58% > 50 1,958,459 0.73% 140,687 6.89% 61.28%
70.01 - 80.00 90,649,020 33.90% > 50 9,930,515 3.71% 134,494 6.99% 55.67%
80.01 - 85.00 35,084,197 13.12% > 50 2,692,222 1.01% 132,895 7.13% 54.84%
85.01 - 90.00 51,940,517 19.43% > 50 4,707,959 1.76% 150,117 7.02% 56.64%
90.01 - 95.00 16,848,334 6.30% > 50 292,975 0.11% 122,089 7.42% 54.82%
95.01 - 100.00 19,596,987 7.33% > 50 2,491,356 0.93% 39,750 9.26% 0.00%
less than 60.00 24,966,846 9.34% > 50 1,260,022 0.47% 104,464 6.94% 34.02%
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TOTAL 267,363,946 100.00% 23,333,508 8.73% 113,530 7.19% 50.19%
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LTV: AVERAGE 80.02 MIN: 15.00 MAX: 100.00
-------------------------------------------------------------------------------
LTV WA FICO WA LTV % SFD/ % Owner % Full % Cashout
PUD Occ Doc Refi
-------------------------------------------------------------------------------
60.01 - 70.00 628 66.97% 86.99% 90.62% 56.23% 93.16%
70.01 - 80.00 634 78.03% 83.52% 92.34% 65.90% 78.16%
80.01 - 85.00 634 84.41% 81.43% 93.07% 81.84% 80.58%
85.01 - 90.00 639 89.66% 91.68% 95.94% 99.31% 77.93%
90.01 - 95.00 651 94.65% 96.45% 100.00% 99.00% 72.21%
95.01 - 100.00 637 99.91% 99.05% 100.00% 92.30% 43.68%
less than 60.00 627 50.29% 83.33% 92.74% 57.14% 91.12%
-------------------------------------------------------------------------------
TOTAL 635 80.02% 87.13% 94.04% 76.66% 78.33%
-------------------------------------------------------------------------------
[1] Balance of the collateral cut combined with second qualifier, i.e. (LTV),
FICO, DTI etc. All other cuts except the adjusted balance are only for the
main bucket
[2] Percent of the Aggregate Principal Balance - calculated automatically.
GEOGRAPHIC CONCENTRATION - TOP 12 STATES
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STATE Total Balance WA Loan WAC % Covered by WA WA % SFD % Owner % Cashout % Full
Amount %[2] Balance Mortgage Ins. FICO LTV PUD Occ Refi Doc
------------------------------------------------------------------------------------------------------------------------------------
CA 70,857,732 26.50% 202,451 6.51% 67.59% 645 76.08% 87.68% 96.57% 90.47% 70.99%
FL 23,146,186 8.66% 105,690 7.33% 46.34% 629 80.87% 90.56% 93.01% 80.88% 68.77%
TX 19,930,319 7.45% 87,799 7.98% 50.52% 614 79.45% 95.16% 95.43% 54.01% 59.11%
NY 19,587,931 7.33% 197,858 6.68% 61.92% 651 80.81% 70.43% 95.64% 76.57% 82.63%
GA 9,157,758 3.43% 97,423 7.36% 43.69% 646 82.60% 92.08% 85.07% 65.92% 84.76%
MD 8,383,224 3.14% 147,074 7.09% 32.64% 616 80.48% 86.73% 95.31% 87.31% 89.10%
AL 7,464,685 2.79% 82,030 7.94% 55.32% 616 82.64% 90.51% 90.93% 57.73% 78.53%
VA 7,435,346 2.78% 118,021 7.49% 31.76% 622 78.99% 92.81% 96.24% 87.08% 81.50%
MI 7,178,932 2.69% 74,010 7.92% 49.27% 620 80.54% 87.15% 92.30% 86.52% 76.31%
TN 6,612,922 2.47% 68,174 7.42% 39.21% 621 85.84% 95.98% 97.63% 64.65% 81.99%
OH 6,020,043 2.25% 82,466 7.82% 61.92% 620 83.22% 91.18% 86.81% 78.06% 92.56%
WA 5,566,568 2.08% 107,049 7.15% 32.95% 651 82.49% 83.23% 95.59% 72.93% 71.28%
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TOTAL 267,363,946 100.00% 113,530 7.19% 50.19% 635 80.02% 87.13% 94.04% 78.33% 76.66%
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PRINCIPAL BALANCE
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Scheduled Total Balance WA Loan WAC % Covered by WA WA % SFD % Owner % Cashout % Full
Principal Amount %[2] Balance Mortgage Ins. FICO LTV PUD Occ Refi Doc
Balance
------------------------------------------------------------------------------------------------------------------------------------
0 - $50K 15,962,994 5.97% 28,866 9.78% 7.10% 621 90.12% 93.75% 95.94% 49.80% 84.98%
$51 - $200K 156,422,416 58.51% 107,212 7.31% 49.45% 629 78.80% 86.25% 91.77% 76.90% 77.96%
$200.1 - $250K 32,719,608 12.24% 224,107 6.64% 57.51% 646 78.79% 85.79% 97.99% 89.57% 70.51%
$250.1 - $300K 26,393,376 9.87% 274,931 6.72% 57.61% 639 79.92% 88.48% 95.92% 83.29% 65.54%
$300.1 - $400K 29,515,582 11.04% 339,260 6.41% 59.61% 648 82.43% 88.55% 97.65% 82.61% 80.43%
$400.1 - $500K 5,227,469 1.96% 435,622 6.15% 66.72% 692 80.25% 84.05% 100.00% 84.05% 92.07%
$500.1 - $600K 1,122,500 0.42% 561,250 7.15% 53.45% 629 78.96% 100.00% 100.00% 100.00% 46.55%
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TOTAL 267,363,946 100.00% 113,530 7.19% 50.19% 635 80.02% 87.13% 94.04% 78.33% 76.66%
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PRINCIPAL BALANCE: AVERAGE 113,530 MIN: 9,846 MAX: 600,000
DOCUMENTATION TYPE
------------------------------------------------------------------------------------------------------------------------
Doc Type Total Balance WA Loan WAC % Covered by WA WA % SFD % Owner % Cashout
Amount %[2] Balance Mortgage Ins. FICO LTV PUD Occ Refi
------------------------------------------------------------------------------------------------------------------------
Full Doc 204,962,476 76.66% 109,197 7.21% 48.41% 633 82.46% 86.68% 94.52% 76.95%
Limited Doc 62,401,471 23.34% 130,547 7.15% 56.02% 643 71.99% 88.61% 92.46% 82.86%
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TOTAL 267,363,946 100.00% 113,530 7.19% 50.19% 635 80.02% 87.13% 94.04% 78.33%
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PROPERTY TYPE
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Property Type Total Balance WA Loan WAC % Covered by WA WA % Owner % Cashout % Full
Amount %[2] Balance Mortgage Ins. FICO LTV Occ Refi Doc
------------------------------------------------------------------------------------------------------------------------------------
2-4 Family 13,844,383 5.18% 160,981 6.93% 54.61% 655 74.51% 68.64% 80.24% 72.03%
Condo 10,822,503 4.05% 140,552 6.83% 61.80% 650 78.19% 90.94% 73.07% 75.44%
Leasehold 254,554 0.10% 84,851 8.14% 50.98% 655 63.27% 78.80% 50.98% 50.98%
Manufactured 7,320,136 2.74% 77,874 7.67% 0.00% 646 76.61% 99.64% 76.41% 98.51%
PUD 22,080,606 8.26% 119,355 7.36% 41.54% 638 82.50% 97.17% 66.93% 76.54%
Single Family 210,878,509 78.87% 111,753 7.19% 52.13% 632 80.33% 95.36% 79.59% 76.24%
Townhouse 2,163,255 0.81% 94,055 7.25% 32.17% 617 82.10% 94.16% 95.66% 84.10%
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TOTAL 267,363,946 100% 113,530 7.19% 50.19% 635 80.02% 94.04% 78.33% 76.66%
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LOAN PURPOSE
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Loan Total Balance WA Loan WAC % Covered by WA WA % SFD % Owner
Purpose Amount %[2] Balance Mortgage Ins FICO LTV PUD Occ
-----------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 209,419,281 78.33% 127,695 7.03% 52.53% 634 78.47% 87.20% 94.82%
Purchase 42,593,569 15.93% 73,819 7.91% 35.48% 640 87.10% 86.60% 89.98%
Refinance - Rate Term 15,351,096 5.74% 111,240 7.48% 59.09% 628 81.48% 87.71% 94.62%
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TOTAL 267,363,946 100.00% 113,530 7.19% 50.19% 635 80.02% 87.13% 94.04%
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LIEN STATUS
---------------------------------------------------------------------------------------------------------------------------
Lien Status Total Balance WA Loan WAC % Covered by WA WA % SFD % Owner % Cashout
Amount %[2] Balance Mortgage Ins. FICO LTV PUD Occ Refi
---------------------------------------------------------------------------------------------------------------------------
First Lien 251,965,916 94.24% 136,715 7.02% 53.25% 636 79.02% 86.51% 93.67% 80.49%
Second Lien 15,398,030 5.76% 30,074 10.00% 0.00% 627 96.37% 97.34% 100.00% 43.01%
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TOTAL 267,363,946 100.00% 113,530 7.19% 0.19% 635 80.02% 7.13% 94.04% 78.33%
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OCCUPANCY TYPE
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Occupancy Type Total Balance WA Loan WAC % Covered by WA WA % SFD % Owner % Cashout
Amount %[2] Balance Mortgage Ins. FICO LTV PUD Occ Refi
------------------------------------------------------------------------------------------------------------------------------------
Primary Residence 251,418,251 94.04% 115,013 7.17% 50.18% 634 80.30% 88.51% 100.00% 78.98%
Non-owner 15,945,695 5.96% 94,353 7.61% 50.29% 649 75.57% 65.33% 0.00% 68.06%
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TOTAL 267,363,946 100.00% 113,530 7.19% 50.19% 635 80.02% 87.13% 94.04% 78.33%
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PREPAYMENT PENALTY
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Prepayment Charges Total Balance WA Loan WAC % Covered by WA WA % SFD % Owner % Cashout
Term at Origination Amount %[2] Balance Mortgage Ins. FICO LTV PUD Occ Refi
------------------------------------------------------------------------------------------------------------------------------------
0 Months 69,263,766 25.91% 75,287 7.89% 42.11% 628 81.53% 88.65% 91.42% 68.74%
12 Months 16,794,603 6.28% 166,283 6.98% 43.12% 636 78.90% 75.84% 94.26% 83.33%
24 Months 24,276,532 9.08% 144,503 6.90% 66.36% 651 81.64% 84.19% 95.49% 76.02%
36 Months 153,773,181 57.51% 135,483 6.94% 51.53% 636 79.15% 88.16% 95.16% 82.48%
60 Months 2,961,464 1.11% 105,767 7.63% 76.06% 621 82.84% 85.42% 87.35% 79.22%
Other 294,400 0.11% 98,133 7.22% 59.51% 660 80.00% 100.00% 58.15% 58.15%
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TOTAL 267,363,946 100.00% 113,530 7.19% 50.19% 635 80.02% 87.13% 94.04% 78.33%
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STRESS ANALYSIS
RATING AGENCY BASE CASE LOSS EXPECTATIONS
--------------------------------------------------------------------------------
STANDARD & POORS: Analyst Name : XXXXX'X: Analyst Name :
--------------------------------------------------------------------------------
Foreclosure Loss Cum Losses Foreclosure Loss Cum
Frequency Severity Losses Frequency Severity Losses
--------------------------------------------------------------------------------
AA
--------------------------------------------------------------------------------
A
--------------------------------------------------------------------------------
A-
--------------------------------------------------------------------------------
BBB+
--------------------------------------------------------------------------------
BBB
--------------------------------------------------------------------------------
BBB-
--------------------------------------------------------------------------------
B
--------------------------------------------------------------------------------
Assuming forward LIBOR and Loss Severity depending on MI (see table on the side
for Loss Severity assumption); 100% advance of P & I; 12 month lag for
liquidation losses, Solve for first dollar of principal loss, i.e. breakeven CDR
and corresponding cumulative losses.
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BREAKEVEN CDR CUMULATIVE LOSSES
-------------------------------------------------------------------------
25 CPR 40 CPR 60 CPR 25 CPR 40 CPR 60 CPR
-------------------------------------------------------------------------
AA
-------------------------------------------------------------------------
A
-------------------------------------------------------------------------
A-
-------------------------------------------------------------------------
BBB+
-------------------------------------------------------------------------
BBB
-------------------------------------------------------------------------
BBB-
-------------------------------------------------------------------------
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Mortgage Insurance (MI) Coverage Loss Severity %
---------------------------------------------------------
None 50%
---------------------------------------------------------
>70% Loans w/ >80 LTV down to 80% 45%
---------------------------------------------------------
50 - 70% Loans w/ >80 LTV down to 80% 40%
---------------------------------------------------------
50 - 70% Loans w/ >80 LTV down to 60% 35%
---------------------------------------------------------
>70% LTV >80% down to 60% 30%
---------------------------------------------------------
