EXHIBIT 99.2
The mortgage loans delivered to the Trust Fund on the Closing Date (the
"Initial Mortgage Loans") and the mortgage loans delivered to the Trust Fund on
the Subsequent Transfer Date (the "Subsequent Mortgage Loans" and together with
the Initial Mortgage Loans the "Mortgage Loans") will consist of conventional,
one-to four-family, adjustable-rate and fixed-rate mortgage loans. The Depositor
purchased the Initial Mortgage Loans from the Seller pursuant to the Mortgage
Loan Purchase Agreement, dated as of October 4, 2004, between the Seller and the
Depositor and the Depositor purchased the Subsequent Mortgage Loans from the
Seller pursuant to the Subsequent Mortgage Loan Purchase Agreement dated as of
December 8, 2004. Pursuant to the Pooling and Servicing Agreement, dated as of
the Cut-off Date (the "Pooling and Servicing Agreement"), among the Depositor,
the Master Servicer and the Trustee, the Depositor will cause the Mortgage Loans
to be assigned to the Trustee for the benefit of the certificateholders.
The Mortgage Loans included in loan group I (the "Group I Mortgage
Loans") and loan group II (the "Group II Mortgage Loans") have an aggregate
principal balance as of the Cut-off Date of approximately $1,360,149,507 and
$339,841,263, respectively. The Group I Mortgage Loans consist of
adjustable-rate and fixed-rate mortgage loans with principal balances at
origination that conform to Xxxxxxx Mac and Xxxxxx Mae loan limits and the Group
II Mortgage Loans consist of adjustable-rate and fixed-rate mortgage loans with
principal balances at origination that may or may not conform to Xxxxxxx Mac or
Xxxxxx Mae loan limits.
The Mortgage Loans will be secured by mortgages or deeds of trust or
other similar security instruments creating first liens on residential
properties (the "Mortgaged Properties") consisting of attached, detached or
semi-detached one-to four-family dwelling units, individual condominium units or
individual units in planned unit developments and manufactured housing. The
Mortgage Loans will have original terms to maturity of not greater than 30 years
from the date on which the first payment was due on each Mortgage Loan.
Each adjustable-rate Mortgage Loan will accrue interest at the
adjustable-rate calculated as specified under the terms of the related mortgage
note and each fixed-rate Mortgage Loan will have a Mortgage Rate that is fixed
for the life of such Mortgage (each such rate, a "Mortgage Rate").
Approximately 94.27% of the Mortgage Loans were originated by
Ameriquest and approximately 5.73% of the Mortgage Loans were originated by the
Seller's affiliate Town & Country Credit Corporation (together with Ameriquest,
the "Originators"), in each case, by aggregate scheduled principal balance of
the Collateral Selection Date Mortgage Loans as of the Cut-off Date.
Each adjustable-rate Mortgage Loan will accrue interest at a Mortgage
Rate that is adjustable. The adjustable-rate Mortgage Loans will provide for
semi-annual adjustment to the Mortgage Rate thereon and for corresponding
adjustments to the monthly payment amount due thereon, in each case on each
adjustment date applicable thereto (each such date, an "Adjustment Date"). The
first adjustment will occur after an initial period of two years after
origination. On each Adjustment Date for each adjustable-rate Mortgage Loan, the
Mortgage Rate thereon will be adjusted (subject to rounding) to equal the sum of
the applicable Index and a fixed percentage amount (the "Gross Margin"). The
Mortgage Rate on each adjustable-rate Mortgage Loan will not decrease on the
first related Adjustment Date, will not increase by more than 2.000% per annum
on the first related Adjustment Date (the "Initial Periodic Rate Cap") and will
not increase or decrease by more than 1.000% per annum on any Adjustment Date
thereafter (the "Periodic Rate Cap"). Each Mortgage Rate on each adjustable-rate
Mortgage Loan will not exceed a specified maximum Mortgage Rate
over the life of such Mortgage Loan (the " Maximum Mortgage Rate") or be less
than a specified minimum Mortgage Rate over the life of such Mortgage Loan (the
" Minimum Mortgage Rate"). Effective with the first monthly payment due on each
adjustable-rate Mortgage Loan after each related Adjustment Date, the monthly
payment amount will be adjusted to an amount that will amortize fully the
outstanding principal balance of the related Mortgage Loan over its remaining
term, and pay interest at the Mortgage Rate as so adjusted. Due to the
application of the Periodic Rate Caps and the Maximum Mortgage Rates, the
Mortgage Rate on each such adjustable-rate Mortgage Loan, as adjusted on any
related Adjustment Date, may be less than the sum of the Index and the related
Gross Margin, rounded as described herein. None of the adjustable-rate Mortgage
Loans permits the related mortgagor to convert the adjustable Mortgage Rate
thereon to a fixed Mortgage Rate.
The Mortgage Loans will have scheduled monthly payments due on the
first day of the month (with respect to each Mortgage Loan, a "Due Date"). Each
Mortgage Loan will contain a customary "due-on-sale" clause which provides that
(subject to state and federal restrictions) the Mortgage Loan must be repaid at
the time of sale of the related mortgaged property or with the consent of the
holder of the mortgage note assumed by a creditworthy purchaser of the related
mortgaged property.
None of the Mortgage Loans will be buydown mortgage loans.
Approximately 60.27% of the Group I Mortgage Loans and approximately
68.71% of the Group II Mortgage Loans, in each case by aggregate scheduled
principal balances of the related loan group as of the Cut-off Date, provide for
payment by the mortgagor of a prepayment charge on certain principal
prepayments, subject to certain limitations in the related mortgage note and
limitations upon collection in the Pooling and Servicing Agreement. Generally,
each such Mortgage Loan provides for payment of a prepayment charge on certain
prepayments made within a defined period set forth in the related Mortgage Note
(generally within the first three years but possibly as short as one year from
the date of origination of such Mortgage Loan). The amount of the prepayment
charge is as provided in the related Mortgage Note. The holders of the Class P
Certificates will be entitled to all prepayment charges received on the Mortgage
Loans in each loan group, and such amounts will not be available for
distribution on the other classes of Certificates. Under certain instances, as
described under the terms of the Pooling and Servicing Agreement, the Master
Servicer may waive the payment of any otherwise applicable prepayment charge.
Investors should conduct their own analysis of the effect, if any, that the
prepayment charges, and decisions by the Master Servicer with respect to the
waiver thereof, may have on the prepayment performance of the Mortgage Loans.
The Depositor makes no representation as to the effect that the prepayment
charges, and decisions by the Master Servicer with respect to the waiver
thereof, may have on the prepayment performance of the Mortgage Loans. As of
July 1, 2003, the Alternative Mortgage Parity Act of 1982 (the "Parity Act"),
which regulates the ability of the Originators to impose prepayment charges, was
amended, and as a result, the Originators will be required to comply with state
and local laws in originating mortgage loans with prepayment charge provisions
with respect to loans originated on or after July 1, 2003. The Depositor makes
no representations as to the effect that the prepayment charges, decisions by
the Master Servicer with respect to the waiver thereof and the recent amendment
of the Parity Act, may have on the prepayment performance of the Mortgage Loans.
However, the ruling of the Office of Thrift Supervision (the "OTS") does not
retroactively affect loans originated before July 1, 2003.
COLLATERAL TYPE
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
COLLATERAL TYPE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
2 YEAR ARMS 7,920 $1,360,015,809.05 80.00 356 40.58 7.715 586 74.37
FIXED 2,433 339,974,960.89 20.00 329 37.85 7.440 667 76.17
==============================================================================================================================
TOTAL: 10,353 $1,699,990,769.94 100.00 351 40.03 7.660 603 74.73
------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL BALANCES AT ORIGINATION
------------------------------------------------------------------------------------------------------------------------------
% OF
RANGE OF PRINCIPAL PRINCIPAL REMAINING
PRINCIPAL NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
BALANCES AT MORTGAGE AS OF AS OF MATURITY INCOME RATES OLTV
ORIGINATION ($) LOANS ORIGINATION ORIGINATION (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
50,000.01 - 100,000.00 3,409 $ 263,727,764.00 15.50 336 37.76 8.485 595 71.31
100,000.01 - 150,000.00 2,668 329,593,723.00 19.37 347 39.38 7.843 601 74.94
150,000.01 - 200,000.00 1,586 276,811,522.00 16.27 352 40.41 7.588 603 74.47
200,000.01 - 250,000.00 907 202,903,594.00 11.93 356 40.85 7.537 597 75.14
250,000.01 - 300,000.00 676 185,167,429.00 10.88 356 41.64 7.414 601 75.17
300,000.01 - 350,000.00 434 140,543,792.00 8.26 357 41.46 7.282 607 76.98
350,000.01 - 400,000.00 261 97,756,416.00 5.75 358 41.25 7.205 611 76.44
400,000.01 - 450,000.00 155 65,359,515.00 3.84 357 40.95 7.211 610 75.25
450,000.01 - 500,000.00 95 45,338,502.00 2.66 359 39.31 7.168 610 76.53
500,000.01 - 550,000.00 57 30,079,702.00 1.77 359 39.88 7.184 629 78.52
550,000.01 - 600,000.00 76 44,551,438.00 2.62 357 38.30 7.390 610 74.74
600,000.01 - 650,000.00 9 5,619,384.00 0.33 359 38.18 6.865 607 79.60
650,000.01 - 700,000.00 13 8,782,000.00 0.52 350 39.67 7.032 626 76.14
700,000.01 - 750,000.00 7 5,136,250.00 0.30 359 40.06 7.176 641 71.09
==============================================================================================================================
TOTAL: 10,353 $1,701,371,031.00 100.00 351 40.03 7.660 603 74.73
------------------------------------------------------------------------------------------------------------------------------
* Based on the original balances of the Mortgage Loans.
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF PRINCIPAL NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
BALANCES AS OF THE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
CUT-OFF DATE ($) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
50,000.01 - 100,000.00 3,412 $ 263,778,477.33 15.52 336 37.76 8.486 595 71.28
100,000.01 - 150,000.00 2,665 328,997,310.35 19.35 347 39.37 7.842 601 74.97
150,000.01 - 200,000.00 1,587 276,797,120.43 16.28 352 40.41 7.588 603 74.46
200,000.01 - 250,000.00 906 202,560,233.73 11.92 356 40.85 7.537 598 75.15
250,000.01 - 300,000.00 677 185,324,908.04 10.90 355 41.66 7.413 602 75.18
300,000.01 - 350,000.00 433 140,138,002.74 8.24 357 41.43 7.284 606 76.97
350,000.01 - 400,000.00 261 97,683,627.97 5.75 358 41.25 7.205 611 76.44
400,000.01 - 450,000.00 155 65,307,979.72 3.84 357 40.95 7.211 610 75.25
450,000.01 - 500,000.00 95 45,296,392.75 2.66 359 39.32 7.168 610 76.53
500,000.01 - 550,000.00 57 30,060,024.83 1.77 359 39.88 7.184 629 78.52
550,000.01 - 600,000.00 76 44,519,234.94 2.62 357 38.30 7.390 610 74.74
600,000.01 - 650,000.00 9 5,616,577.54 0.33 359 38.19 6.866 607 79.60
650,000.01 - 700,000.00 13 8,777,409.37 0.52 350 39.67 7.032 626 76.14
700,000.01 - 750,000.00 7 5,133,470.20 0.30 359 40.06 7.176 641 71.09
==============================================================================================================================
TOTAL: 10,353 $1,699,990,769.94 100.00 351 40.03 7.660 603 74.73
------------------------------------------------------------------------------------------------------------------------------
REMAINING TERM TO MATURITY
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MONTHS MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
REMAINING LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
60 - 120 57 $ 5,025,211.34 0.30 119 34.86 7.971 664 69.83
120 - 180 406 41,017,835.44 2.41 179 36.72 7.688 644 72.20
180 - 240 362 41,127,750.83 2.42 239 38.70 7.673 639 74.96
240 - 300 66 8,970,438.40 0.53 299 35.13 7.165 687 75.99
300 - 360 9,462 1,603,849,533.93 94.34 359 40.20 7.661 600 74.79
==============================================================================================================================
TOTAL: 10,353 $1,699,990,769.94 100.00 351 40.03 7.660 603 74.73
------------------------------------------------------------------------------------------------------------------------------
MORTGAGE RATE
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF CURRENT MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
5.500 - 5.999 271 $ 68,200,142.60 4.01 352 36.62 5.908 683 73.00
6.000 - 6.499 767 168,706,219.85 9.92 352 38.17 6.285 652 75.08
6.500 - 6.999 1,913 380,098,771.20 22.36 351 38.99 6.773 635 76.66
7.000 - 7.499 1,108 198,491,120.56 11.68 348 39.65 7.260 606 75.68
7.500 - 7.999 2,259 364,875,638.21 21.46 352 40.96 7.751 584 74.46
8.000 - 8.499 863 121,881,166.10 7.17 350 41.41 8.257 573 73.18
8.500 - 8.999 1,396 197,059,577.75 11.59 352 41.35 8.743 567 73.65
9.000 - 9.499 471 56,788,898.50 3.34 354 41.73 9.237 559 72.45
9.500 - 9.999 711 83,660,503.35 4.92 349 41.00 9.752 555 72.86
10.000 - 10.499 223 24,518,414.17 1.44 350 41.77 10.256 556 73.02
10.500 - 10.999 245 24,469,929.63 1.44 347 41.08 10.721 555 73.17
11.000 - 11.499 50 4,717,969.33 0.28 350 42.33 11.270 557 75.69
11.500 - 11.999 49 4,134,261.25 0.24 348 40.06 11.711 550 71.64
12.000 - 12.499 19 1,323,268.48 0.08 348 37.03 12.211 551 75.93
12.500 - 12.999 7 1,000,901.74 0.06 359 42.73 12.736 542 78.84
13.500 - 13.999 1 63,987.22 0.00 359 49.00 13.600 541 80.00
==============================================================================================================================
TOTAL: 10,353 $1,699,990,769.94 100.00 351 40.03 7.660 603 74.73
------------------------------------------------------------------------------------------------------------------------------
ORIGINAL LOAN-TO-VALUE RATIOS
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF ORIGINAL NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
LOAN-TO-VALUE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATIOS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
<= 25.00 46 $ 3,774,567.05 0.22 345 36.39 8.371 607 20.27
25.01 - 30.00 34 3,949,904.37 0.23 343 32.40 7.428 625 27.96
30.01 - 35.00 63 6,442,090.53 0.38 335 39.22 7.865 604 33.35
35.01 - 40.00 113 11,923,301.76 0.70 335 38.51 7.813 616 37.67
40.01 - 45.00 132 18,353,109.45 1.08 347 37.82 7.706 605 42.91
45.01 - 50.00 213 27,873,271.47 1.64 348 37.83 7.672 610 47.74
50.01 - 55.00 255 35,624,671.03 2.10 342 38.49 7.603 604 52.85
55.01 - 60.00 653 96,265,558.17 5.66 349 40.21 8.062 567 58.24
60.01 - 65.00 619 95,468,047.24 5.62 352 39.01 7.757 587 63.04
65.01 - 70.00 900 154,024,641.46 9.06 353 40.16 7.644 588 67.86
70.01 - 75.00 2,246 356,594,246.57 20.98 353 40.89 7.989 573 73.79
75.01 - 80.00 2,235 381,217,915.34 22.42 349 39.73 7.409 614 78.62
80.01 - 85.00 1,462 277,033,825.91 16.30 355 40.33 7.503 608 83.47
85.01 - 90.00 1,245 208,642,881.23 12.27 348 40.08 7.579 647 88.97
90.01 - 95.00 137 22,802,738.36 1.34 348 40.33 7.170 684 93.78
==============================================================================================================================
TOTAL: 10,353 $1,699,990,769.94 100.00 351 40.03 7.660 603 74.73
------------------------------------------------------------------------------------------------------------------------------
FICO SCORE AT ORIGINATION
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
FICO SCORES LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
500 - 519 902 $ 124,614,807.70 7.33 357 42.86 8.771 509 67.38
520 - 539 1,302 195,826,060.93 11.52 355 42.09 8.499 529 71.08
540 - 559 1,244 194,697,433.00 11.45 355 41.18 8.180 550 72.27
560 - 579 1,110 197,792,849.72 11.63 355 40.28 7.813 569 74.56
580 - 599 901 150,093,882.09 8.83 355 40.65 7.712 589 74.78
600 - 619 1,065 184,457,234.30 10.85 353 39.68 7.481 609 75.69
620 - 639 993 161,693,481.08 9.51 350 39.28 7.334 629 78.04
640 - 659 880 168,019,317.55 9.88 348 38.91 7.117 649 78.87
660 - 679 653 111,324,324.50 6.55 342 38.13 7.005 669 77.66
680 - 699 513 83,524,197.96 4.91 338 38.35 6.853 689 77.69
700 - 719 304 50,344,048.56 2.96 341 37.23 6.773 708 76.97
720 - 739 169 26,244,555.73 1.54 340 37.96 6.693 729 79.51
740 - 759 132 21,819,624.67 1.28 335 35.74 6.624 750 77.53
760 - 779 103 16,498,698.24 0.97 337 37.63 6.564 769 71.72
780 - 799 71 11,635,959.78 0.68 335 34.82 6.569 787 67.12
800 - 819 11 1,404,294.13 0.08 345 39.95 6.296 809 67.29
==============================================================================================================================
TOTAL: 10,353 $1,699,990,769.94 100.00 351 40.03 7.660 603 74.73
------------------------------------------------------------------------------------------------------------------------------
DEBT-TO-INCOME RATIO
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
DEBT-TO-INCOME MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATIOS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
<= 20.00 592 $ 94,674,479.49 5.57 348 15.04 7.387 616 72.90
20.01 - 25.00 598 79,980,633.39 4.70 344 23.25 7.598 618 72.18
25.01 - 30.00 873 126,143,153.36 7.42 346 28.12 7.562 614 74.19
30.01 - 35.00 1,194 177,558,590.94 10.44 350 33.15 7.617 610 74.99
35.01 - 40.00 1,557 250,575,332.45 14.74 349 38.14 7.584 605 74.90
40.01 - 45.00 1,953 339,751,804.60 19.99 352 43.12 7.564 607 75.03
45.01 - 50.00 2,707 485,507,145.59 28.56 353 48.14 7.650 604 76.05
50.01 - 55.00 879 145,799,630.12 8.58 354 53.23 8.393 550 72.04
==============================================================================================================================
TOTAL: 10,353 $1,699,990,769.94 100.00 351 40.03 7.660 603 74.73
------------------------------------------------------------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
STATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
California 1,496 $ 389,772,964.04 22.93 356 41.22 7.155 605 72.85
New York 626 148,903,281.91 8.76 353 40.12 7.693 613 72.87
Florida 1,079 142,673,873.84 8.39 350 40.03 7.677 589 75.04
Texas 1,059 110,887,787.63 6.52 333 38.61 8.145 606 76.11
New Jersey 571 103,303,452.30 6.08 354 41.38 8.164 601 75.28
Massachuestts 411 94,757,261.27 5.57 357 40.64 7.388 603 71.19
Maryland 442 78,901,154.22 4.64 354 39.79 7.805 591 74.83
Illinois 395 59,847,518.18 3.52 354 40.47 8.459 596 75.26
Pennsylvania 372 45,985,283.58 2.71 341 39.95 7.716 609 75.69
Connecticut 224 39,844,584.02 2.34 353 40.22 7.620 596 73.32
Minnesota 238 39,255,531.70 2.31 350 38.29 7.423 613 77.70
Michigan 333 37,336,167.37 2.20 353 39.37 7.961 593 76.38
Wisconsin 292 33,773,995.27 1.99 348 39.61 8.264 609 78.08
Rhode Island 172 31,936,270.66 1.88 355 41.91 7.382 598 73.68
Nevada 145 30,919,270.62 1.82 357 40.22 7.431 593 75.36
Washington 150 24,626,006.15 1.45 356 39.10 7.343 611 77.08
Ohio 194 23,269,050.22 1.37 353 38.72 7.541 599 82.10
Georgia 177 23,266,670.21 1.37 345 39.62 8.528 602 78.58
Colorado 124 21,953,892.96 1.29 355 38.78 7.486 610 74.42
Indiana 179 19,567,558.10 1.15 335 37.36 7.640 605 76.89
Other 1,674 199,209,195.69 11.72 344 38.34 7.846 606 76.87
==============================================================================================================================
TOTAL: 10,353 $1,699,990,769.94 100.00 351 40.03 7.660 603 74.73
------------------------------------------------------------------------------------------------------------------------------
OCCUPANCY STATUS
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
OCCUPANCY MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
STATUS* LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
Owner Occupied 9,857 $1,626,298,463.76 95.67 351 40.22 7.657 601 74.64
Non-owner Occupied 417 61,413,044.09 3.61 352 35.76 7.715 636 76.25
Second Home 79 12,279,262.09 0.72 350 37.41 7.765 627 78.62
==============================================================================================================================
TOTAL: 10,353 $1,699,990,769.94 100.00 351 40.03 7.660 603 74.73
------------------------------------------------------------------------------------------------------------------------------
* Based on mortgagor representation at origination.
DOCUMENTATION TYPE
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
INCOME MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
DOCUMENTATION LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
Full Docs 7,040 $1,141,912,604.42 67.17 350 39.64 7.508 603 75.11
Stated Docs 1,811 307,388,873.62 18.08 354 41.62 8.170 608 72.36
Limited Docs 1,502 250,689,291.90 14.75 352 39.88 7.726 595 75.91
==============================================================================================================================
TOTAL: 10,353 $1,699,990,769.94 100.00 351 40.03 7.660 603 74.73
------------------------------------------------------------------------------------------------------------------------------
LOAN PURPOSE
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
PURPOSE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
Refi-Cashout** 9,860 $1,627,129,060.67 95.71 351 40.07 7.663 602 74.58
Refi No Cashout*** 455 66,223,534.01 3.90 350 39.33 7.576 611 77.26
Purchase 38 6,638,175.26 0.39 359 39.30 7.661 650 84.64
==============================================================================================================================
TOTAL: 10,353 $1,699,990,769.94 100.00 351 40.03 7.660 603 74.73
------------------------------------------------------------------------------------------------------------------------------
** Cash proceeds to the borrower inclusive of debt consolidation payments exceed
2% or $2,000 of the original principal balance of the related loan. Also
includes all home equity loans originated in Texas with any cash proceeds.
***Cash proceeds to the borrower inclusive of debt consolidation payments do not
exceed 2% or $2,000 of the original principal balance of the related loan.
Excludes home equity loans originated in Texas with any cash proceeds.
CREDIT GRADE
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RISK CATEGORY LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
8A 562 $ 90,122,939.96 5.30 338 36.83 6.580 746 75.59
7A 677 112,281,788.15 6.60 339 38.09 6.812 694 77.65
6A 599 103,817,283.93 6.11 342 38.16 6.954 669 78.24
5A 757 148,251,861.73 8.72 348 39.07 7.047 649 79.68
4A 791 128,260,596.68 7.54 349 38.81 7.197 632 79.21
3A 756 132,099,176.15 7.77 352 39.13 7.293 613 76.29
2A 1,801 315,148,976.72 18.54 353 40.12 7.509 586 76.08
A 676 122,625,702.97 7.21 355 40.08 7.851 577 75.06
B 1,772 270,838,014.04 15.93 355 42.04 8.403 545 71.88
C 1,662 236,144,004.73 13.89 356 42.04 8.658 539 69.28
D 300 40,400,424.88 2.38 356 41.86 8.935 524 57.59
==============================================================================================================================
TOTAL: 10,353 $1,699,990,769.94 100.00 351 40.03 7.660 603 74.73
------------------------------------------------------------------------------------------------------------------------------
PROPERTY TYPE
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
PROPERTY TYPE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
Single Family
Detached 8,668 $1,421,351,534.99 83.61 351 39.95 7.657 602 75.13
Two-to-Four Family 580 122,714,999.44 7.22 356 41.38 7.694 611 71.22
PUD-Detached 344 58,815,030.40 3.46 345 41.28 7.535 599 75.15
Condominium 380 58,387,186.95 3.43 353 39.41 7.529 611 73.74
Manufactured/
Mobile Housing 260 25,339,552.09 1.49 349 37.26 7.930 612 70.30
Single Family
Attached 107 11,335,270.63 0.67 355 40.18 8.399 583 73.83
PUD-Attached 14 2,047,195.44 0.12 352 31.57 7.621 579 78.16
==============================================================================================================================
TOTAL: 10,353 $1,699,990,769.94 100.00 351 40.03 7.660 603 74.73
------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT CHARGE TERM AT ORIGINATION
------------------------------------------------------------------------------------------------------------------------------
% OF
PREPAYMENT CHARGE PRINCIPAL PRINCIPAL REMAINING
TERM AT NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
ORIGINATION MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
(MONTHS) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
0 4,147 $ 646,754,541.12 38.04 351 40.21 8.104 598 74.84
12 377 76,067,364.46 4.47 347 39.72 7.193 644 74.05
24 8 3,172,770.56 0.19 360 43.53 7.569 596 84.40
30 8 1,886,947.65 0.11 359 40.25 7.609 587 72.47
36 5,813 972,109,146.15 57.18 351 39.93 7.401 602 74.68
==============================================================================================================================
TOTAL: 10,353 $1,699,990,769.94 100.00 351 40.03 7.66 603 74.73
------------------------------------------------------------------------------------------------------------------------------
CONFORMING BALANCE
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
CONFORMING MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
BALANCE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
Conforming 9,625 $1,381,475,894.59 81.26 349 40.00 7.764 601 74.39
Balance
Non-Conforming
Balance 728 318,514,875.35 18.74 358 40.17 7.208 610 76.21
==============================================================================================================================
TOTAL: 10,353 $1,699,990,769.94 100.00 351 40.03 7.660 603 74.73
------------------------------------------------------------------------------------------------------------------------------
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
RANGE OF MAXIMUM NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE RATES MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
(%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
11.500-11.999 213 $ 55,708,305.50 4.10 354 36.35 5.909 672 73.94
12.000-12.499 552 127,719,528.30 9.39 357 39.62 6.286 631 75.99
12.500-12.999 1,304 274,131,417.90 20.16 357 39.46 6.772 612 76.67
13.000-13.499 774 151,227,928.96 11.12 356 40.21 7.264 587 75.00
13.500-13.999 1,796 305,335,546.68 22.45 356 41.37 7.756 571 73.75
14.000-14.499 692 102,835,053.36 7.56 356 41.99 8.260 562 72.40
14.500-14.999 1,168 173,160,644.20 12.73 357 41.58 8.745 560 73.31
15.000-15.499 401 50,719,305.88 3.73 356 42.02 9.238 556 72.25
15.500-15.999 586 72,162,847.92 5.31 355 41.40 9.750 550 72.40
16.000-16.499 185 21,168,173.97 1.56 354 41.79 10.257 551 72.28
16.500-16.999 168 18,077,976.35 1.33 356 40.65 10.710 553 72.47
17.000-17.499 35 3,468,151.40 0.26 359 41.82 11.270 560 74.17
17.500-17.999 30 2,719,675.36 0.20 357 40.74 11.691 551 69.41
18.000-18.499 10 658,207.29 0.05 359 36.88 12.238 543 71.04
18.500-18.999 6 923,045.98 0.07 359 42.20 12.756 540 79.17
==============================================================================================================================
TOTAL: 7,920 $1,360,015,809.05 100.00 356 40.58 7.715 586 74.37
------------------------------------------------------------------------------------------------------------------------------
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MINIMUM MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
5.500-5.999 213 $ 55,708,305.50 4.10 354 36.35 5.909 672 73.94
6.000-6.499 552 127,719,528.30 9.39 357 39.62 6.286 631 75.99
6.500-6.999 1,304 274,131,417.90 20.16 357 39.46 6.772 612 76.67
7.000-7.499 774 151,227,928.96 11.12 356 40.21 7.264 587 75.00
7.500-7.999 1,796 305,335,546.68 22.45 356 41.37 7.756 571 73.75
8.000-8.499 692 102,835,053.36 7.56 356 41.99 8.260 562 72.40
8.500-8.999 1,168 173,160,644.20 12.73 357 41.58 8.745 560 73.31
9.000-9.499 401 50,719,305.88 3.73 356 42.02 9.238 556 72.25
9.500-9.999 586 72,162,847.92 5.31 355 41.40 9.750 550 72.40
10.000-10.499 185 21,168,173.97 1.56 354 41.79 10.257 551 72.28
10.500-10.999 168 18,077,976.35 1.33 356 40.65 10.710 553 72.47
11.000-11.499 35 3,468,151.40 0.26 359 41.82 11.270 560 74.17
11.500-11.999 30 2,719,675.36 0.20 357 40.74 11.691 551 69.41
12.000-12.499 10 658,207.29 0.05 359 36.88 12.238 543 71.04
12.500-12.999 6 923,045.98 0.07 359 42.20 12.756 540 79.17
==============================================================================================================================
TOTAL: 7,920 $1,360,015,809.05 100.00 356 40.58 7.715 586 74.37
------------------------------------------------------------------------------------------------------------------------------
MARGINS OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MORTGAGE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MARGINS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
3.000-3.249 6 $ 988,618.69 0.07 359 39.97 7.108 606 79.96
3.250-3.499 3 362,326.53 0.03 306 39.71 8.460 583 76.95
3.500-3.749 4 588,462.63 0.04 359 41.76 6.551 618 70.60
3.750-3.999 1 263,261.79 0.02 359 50.00 6.500 560 85.00
4.000-4.249 6 924,974.18 0.07 312 45.67 7.577 616 79.95
4.250-4.499 7 1,843,227.73 0.14 359 39.93 7.163 607 77.72
4.500-4.749 24 4,950,699.97 0.36 354 41.83 6.473 698 77.44
4.750-4.999 168 28,594,418.19 2.10 354 38.22 6.700 727 79.66
5.000-5.249 209 41,273,340.19 3.03 355 40.52 6.757 685 79.79
5.250-5.499 285 55,925,263.78 4.11 355 37.59 6.700 661 78.34
5.500-5.749 512 110,319,250.07 8.11 357 39.12 6.932 644 80.29
5.750-5.999 728 136,702,324.73 10.05 356 39.67 7.041 616 77.48
6.000-6.249 2,076 381,328,432.63 28.04 356 40.13 7.416 590 76.13
6.250-6.499 718 123,631,039.08 9.09 357 40.54 7.940 567 73.88
6.500-6.749 1,644 252,929,028.17 18.60 357 42.02 8.424 542 71.11
6.750-6.999 1,527 219,206,428.35 16.12 356 42.05 8.713 536 67.54
7.000-7.249 1 91,000.00 0.01 360 52.00 9.200 511 52.00
8.500-8.749 1 93,712.34 0.01 359 25.00 10.450 529 75.00
==============================================================================================================================
TOTAL: 7,920 $1,360,015,809.05 100.00 356 40.58 7.715 586 74.37
------------------------------------------------------------------------------------------------------------------------------
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
NEXT RATE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
ADJUSTMENT DATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
2006-02 1 $ 111,090.53 0.01 352 45.00 5.990 608 80.00
2006-03 3 520,676.90 0.04 353 43.98 8.023 566 75.22
2006-04 12 2,393,281.86 0.18 342 45.09 7.564 548 75.88
2006-05 4 762,197.44 0.06 355 49.37 8.170 621 77.03
2006-06 2 308,540.02 0.02 356 43.85 7.885 612 89.19
2006-07 14 2,456,137.84 0.18 353 36.93 7.921 587 78.49
2006-08 243 32,919,027.21 2.42 355 38.71 7.758 585 77.94
2006-09 5,416 954,773,648.45 70.20 356 40.75 7.707 586 74.15
2006-10 383 55,373,445.51 4.07 355 39.15 7.787 605 76.57
2006-11 25 4,341,967.29 0.32 355 41.06 7.803 584 71.11
2006-12 1,817 306,055,796.00 22.50 357 40.46 7.718 586 74.23
==============================================================================================================================
TOTAL: 7,920 $1,360,015,809.05 100.00 356 40.58 7.715 586 74.37
------------------------------------------------------------------------------------------------------------------------------
INITIAL PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
ADJUSTABLE RATE PRINCIPAL REMAINING
NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
INITIAL PERIODIC MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATE CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
2.000 7,920 $1,360,015,809.05 100.00 356 40.58 7.715% 586 74.37
==============================================================================================================================
TOTAL: 7,920 $1,360,015,809.05 100.00 356 40.58 7.715% 586 74.37
------------------------------------------------------------------------------------------------------------------------------
SUBSEQUENT PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF
SUBSEQUENT ADJUSTABLE RATE PRINCIPAL REMAINING
PERIODIC NUMBER OF MORTGAGE LOANS BALANCE TERM TO DEBT-TO MORTGAGE
RATE CAP MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
(%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
1.000 7,920 $1,360,015,809.05 100.00 356 40.58 7.715% 586 74.37
==============================================================================================================================
TOTAL: 7,920 $1,360,015,809.05 100.00 356 40.58 7.715% 586 74.37
------------------------------------------------------------------------------------------------------------------------------
GROUP I MORTGAGE LOAN STATISTICS
The Group I Mortgage Loans consist of 9,364 adjustable-rate and
fixed-rate Mortgage Loans having an aggregate principal balance as of the
Cut-off Date of approximately $1,360,149,506.77, after application of scheduled
payments due on or before the Cut-off Date whether or not received and
application of all unscheduled payments of principal received prior to the
Cut-Off Date, and subject to a permitted variance of plus or minus 5%. None of
the Group I Mortgage Loans had a first Due Date prior to March 1, 2004, or after
January 1, 2005, or will have a remaining term to stated maturity of less than
116 months or greater than 360 months as of the Cut-off Date. The latest
maturity date of any Group I Mortgage Loan is December 1, 2034.
COLLATERAL TYPE
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
COLLATERAL TYPE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
2 YEAR ARMS 7,297 $1,088,130,593.43 80.00 356 40.58 7.827% 584 73.91
FIXED 2,067 272,018,913.34 20.00 326 37.66 7.318 672 76.16
==============================================================================================================================
TOTAL: 9,364 $1,360,149,506.77 100.00 350 40.00 7.725% 601 74.36
------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL BALANCES AT ORIGINATION
------------------------------------------------------------------------------------------------------------------------------
% OF
RANGE OF PRINCIPAL PRINCIPAL REMAINING
PRINCIPAL NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
BALANCES AT MORTGAGE AS OF AS OF MATURITY INCOME RATES OLTV
ORIGINATION ($) LOANS ORIGINATION ORIGINATION (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
50,001 - 100,000 3,197 $ 248,912,671.00 18.29 337 37.67 8.374 596 71.17
100,001 - 150,000 2,629 324,888,606.00 23.87 347 39.33 7.812 602 74.87
150,001 - 200,000 1,578 275,451,764.00 20.23 353 40.37 7.576 603 74.43
200,001 - 250,000 906 202,697,051.00 14.89 356 40.87 7.535 598 75.12
250,001 - 300,000 675 184,908,229.00 13.58 356 41.63 7.410 601 75.15
300,001 - 350,000 331 105,337,098.00 7.74 356 41.50 7.273 611 77.26
350,001 - 400,000 30 11,293,368.00 0.83 359 43.74 7.534 622 75.01
400,001 - 450,000 14 5,822,750.00 0.43 359 44.27 7.552 624 73.34
450,001 - 500,000 4 1,959,998.00 0.14 359 32.27 7.062 662 75.53
==============================================================================================================================
TOTAL: 9,364 $1,361,271,535.00 100.00 350 39.99 7.725 601 74.36
------------------------------------------------------------------------------------------------------------------------------
*Based on the original balances of the Mortgage Loans.
PRINCIPAL BALANCE AS OF THE CUT-OFF DATE
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF PRINCIPAL NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
BALANCES AS OF THE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
CUT-OFF DATE ($) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
50,000.01 - 100,000.00 3,200 $ 248,976,671.44 18.31 337 37.67 8.375 596 71.14
100,000.01 - 150,000.00 2,626 324,297,071.26 23.84 347 39.33 7.811 602 74.90
150,000.01 - 200,000.00 1,579 275,438,425.24 20.25 353 40.38 7.576 603 74.41
200,000.01 - 250,000.00 905 202,353,786.08 14.88 356 40.86 7.535 598 75.14
250,000.01 - 300,000.00 676 185,065,708.04 13.61 355 41.65 7.408 602 75.16
300,000.01 - 350,000.00 330 104,956,046.84 7.72 357 41.47 7.276 611 77.26
350,000.01 - 400,000.00 30 11,284,705.92 0.83 359 43.74 7.534 622 75.01
400,000.01 - 450,000.00 14 5,818,714.04 0.43 359 44.27 7.552 624 73.34
450,000.01 - 500,000.00 4 1,958,377.91 0.14 359 32.27 7.063 662 75.53
==============================================================================================================================
TOTAL: 9,364 $1,360,149,506.77 100.00 350 40.00 7.725 601 74.36
------------------------------------------------------------------------------------------------------------------------------
STATED REMAINING TERM TO MATURITY
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MONTHS MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
REMAINING LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
60.01 - 120.00 50 $ 4,576,318.22 0.34 119 34.56 7.718 674 69.46
120.01 - 180.00 372 37,522,381.06 2.76 179 37.12 7.567 647 72.00
180.01 - 240.00 326 36,779,605.23 2.70 239 38.59 7.517 642 74.64
240.01 - 300.00 60 7,900,955.53 0.58 299 34.83 7.048 692 74.86
300.01 - 360.00 8,556 1,273,370,246.73 93.62 359 40.17 7.740 598 74.44
==============================================================================================================================
TOTAL: 9,364 $1,360,149,506.77 100.00 350 40.00 7.725 601 74.36
------------------------------------------------------------------------------------------------------------------------------
MORTGAGE RATE
------------------------------------------------------------------------------------------------------------------------------
% OF
RANGE OF PRINCIPAL PRINCIPAL REMAINING
CURRENT NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
5.500 - 5.999 210 $ 41,014,496.87 3.02 349 36.25 5.913 685 71.79
6.000 - 6.499 660 122,376,899.83 9.00 350 38.28 6.285 657 75.37
6.500 - 6.999 1,686 280,762,547.69 20.64 348 38.78 6.777 638 76.40
7.000 - 7.499 1,021 161,535,143.70 11.88 347 39.41 7.260 611 75.51
7.500 - 7.999 2,134 311,618,692.11 22.91 351 40.78 7.754 585 74.18
8.000 - 8.499 831 107,867,757.18 7.93 350 41.22 8.257 573 72.80
8.500 - 8.999 1,330 169,253,457.75 12.44 351 41.21 8.743 566 73.18
9.000 - 9.499 441 50,957,315.37 3.75 354 41.71 9.234 557 72.11
9.500 - 9.999 600 67,357,368.40 4.95 353 41.01 9.749 551 72.18
10.000 - 10.499 191 20,832,425.33 1.53 354 41.79 10.263 551 72.28
10.500 - 10.999 173 18,262,624.11 1.34 354 41.08 10.705 550 72.04
11.000 - 11.499 37 3,638,431.40 0.27 356 41.65 11.271 561 74.81
11.500 - 11.999 32 2,969,475.36 0.22 357 39.29 11.692 550 70.88
12.000 - 12.499 12 779,825.69 0.06 350 35.70 12.225 539 71.79
12.500 - 12.999 6 923,045.98 0.07 359 42.20 12.756 540 79.17
==============================================================================================================================
TOTAL: 9,364 $1,360,149,506.77 100.00 350 40.00 7.725 601 74.36
------------------------------------------------------------------------------------------------------------------------------
ORIGINAL LOAN-TO-VALUE RATIOS
------------------------------------------------------------------------------------------------------------------------------
% OF
RANGE OF PRINCIPAL PRINCIPAL REMAINING
ORIGINAL NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
LOAN-TO-VALUE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATIOS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
<= 25.000 43 $ 3,562,662.04 0.26 344 36.27 8.276 609 20.25
25.001 - 30.000 32 3,270,637.30 0.24 342 36.51 7.672 609 27.64
30.001 - 35.000 62 6,382,117.65 0.47 335 39.32 7.846 605 33.35
35.001 - 40.000 112 11,552,701.76 0.85 334 37.98 7.872 611 37.67
40.001 - 45.000 122 15,225,313.42 1.12 347 38.79 7.797 601 42.85
45.001 - 50.000 202 25,394,302.57 1.87 348 38.39 7.714 605 47.83
50.001 - 55.000 241 31,864,263.12 2.34 340 38.17 7.652 599 52.89
55.001 - 60.000 609 82,494,299.58 6.07 349 40.31 8.161 565 58.30
60.001 - 65.000 571 78,762,100.83 5.79 351 39.12 7.801 586 63.04
65.001 - 70.000 810 121,267,679.03 8.92 352 40.34 7.728 586 67.92
70.001 - 75.000 2,057 290,412,826.90 21.35 353 40.80 8.055 571 73.80
75.001 - 80.000 1,960 286,895,919.07 21.09 347 39.37 7.477 614 78.66
80.001 - 85.000 1,294 213,406,543.85 15.69 354 40.61 7.573 607 83.45
85.001 - 90.000 1,125 171,346,973.14 12.60 348 40.00 7.567 649 88.98
90.001 - 95.000 124 18,311,166.51 1.35 346 39.18 7.166 688 93.59
==============================================================================================================================
TOTAL: 9,364 $1,360,149,506.77 100.00 350 40.00 7.725 601 74.36
------------------------------------------------------------------------------------------------------------------------------
FICO SCORE AT ORIGINATION
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
FICO SCORES LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
500 - 519 854 $ 111,333,939.63 8.19 357 42.80 8.762 510 66.98
520 - 539 1,213 169,451,184.93 12.46 354 42.02 8.506 529 70.86
540 - 559 1,124 161,876,242.00 11.90 356 41.24 8.227 550 71.83
560 - 579 957 145,121,309.69 10.67 355 40.07 7.874 569 73.82
580 - 599 794 114,515,216.06 8.42 355 40.26 7.763 589 74.33
600 - 619 940 143,891,624.58 10.58 351 39.33 7.538 609 75.98
620 - 639 912 133,104,108.46 9.79 349 39.44 7.366 629 78.05
640 - 659 755 116,880,059.90 8.59 344 39.20 7.198 649 78.38
660 - 679 598 88,320,003.76 6.49 340 38.55 7.074 669 77.29
680 - 699 480 70,050,540.95 5.15 335 38.28 6.909 689 78.02
700 - 719 284 41,961,985.26 3.09 338 37.38 6.856 708 78.02
720 - 739 157 21,248,079.08 1.56 336 36.11 6.722 729 79.47
740 - 759 120 16,762,484.37 1.23 328 35.02 6.673 750 76.16
760 - 779 98 14,412,315.38 1.06 333 36.45 6.618 770 72.48
780 - 799 67 9,816,118.59 0.72 331 33.70 6.630 788 68.19
800 - 819 11 1,404,294.13 0.10 345 39.95 6.296 809 67.29
==============================================================================================================================
TOTAL: 9,364 $1,360,149,506.77 100.00 350 40.00 7.725 601 74.36
------------------------------------------------------------------------------------------------------------------------------
DEBT-TO-INCOME RATIO
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
DEBT-TO-INCOME MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATIOS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
<= 20.000 523 $ 67,005,169.63 4.93 346 15.23 7.569 616 72.68
20.001 - 25.000 556 69,019,416.72 5.07 343 23.21 7.624 618 71.79
25.001 - 30.000 811 105,763,915.97 7.78 345 28.09 7.584 613 73.75
30.001 - 35.000 1,101 148,023,997.38 10.88 349 33.13 7.659 609 74.66
35.001 - 40.000 1,421 205,966,283.47 15.14 348 38.11 7.638 603 74.68
40.001 - 45.000 1,748 264,353,682.80 19.44 350 43.09 7.636 605 74.53
45.001 - 50.000 2,419 382,401,122.34 28.11 352 48.11 7.721 603 75.80
50.001 - 55.000 785 117,615,918.46 8.65 355 53.29 8.448 544 71.34
==============================================================================================================================
TOTAL: 9,364 $1,360,149,506.77 100.00 350 40.00 7.725 601 74.36
------------------------------------------------------------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
STATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
California 1,113 $ 222,495,654.38 16.36 355 40.98 7.270 599 70.29
Florida 1,029 128,691,894.45 9.46 350 40.12 7.661 590 74.88
New York 523 109,484,414.93 8.05 352 40.79 7.728 613 72.04
Texas 972 99,146,892.48 7.29 333 38.60 8.064 606 76.30
New Jersey 548 94,108,646.86 6.92 354 41.38 8.176 601 75.29
Massachusetts 366 75,191,550.32 5.53 356 40.85 7.463 599 70.43
Maryland 407 67,805,835.46 4.99 354 39.50 7.802 592 74.92
Illinois 358 51,002,947.63 3.75 354 40.81 8.470 594 74.83
Pennsylvania 358 42,516,668.20 3.13 340 40.32 7.697 609 75.92
Connecticut 214 35,364,484.17 2.60 352 40.79 7.608 598 73.09
Michigan 319 34,161,693.48 2.51 353 39.27 7.912 595 75.97
Minnesota 223 33,869,250.67 2.49 349 38.74 7.487 614 77.63
Wisconsin 276 31,922,006.67 2.35 349 39.73 8.209 609 77.84
Rhode Island 166 29,383,370.98 2.16 355 41.44 7.409 595 73.12
Nevada 131 25,093,329.42 1.84 356 41.55 7.446 589 74.25
Washington 143 21,944,670.78 1.61 356 38.76 7.334 610 76.74
Ohio 189 21,835,148.15 1.61 354 38.45 7.590 597 82.27
Georgia 164 19,043,091.15 1.40 342 38.82 8.631 605 77.80
Indiana 174 18,406,721.88 1.35 335 36.71 7.614 606 77.46
Colorado 113 17,548,009.90 1.29 355 40.74 7.596 608 74.49
Other 1,578 181,133,224.81 13.32 343 38.33 7.815 606 76.77
==============================================================================================================================
TOTAL: 9,364 $1,360,149,506.77 100.00 350 40.00 7.725 601 74.36
------------------------------------------------------------------------------------------------------------------------------
OCCUPANCY STATUS
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
OCCUPATION MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
STATUS* LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
Owner Occupied 8,905 $1,296,110,626.27 95.29 350 40.22 7.725 600 74.26
Non-owner Occupied 390 53,734,665.27 3.95 352 35.54 7.721 636 75.84
Second Home 69 10,304,215.23 0.76 350 35.64 7.780 624 79.12
==============================================================================================================================
TOTAL: 9,364 $1,360,149,506.77 100.00 350 40.00 7.725 601 74.36
------------------------------------------------------------------------------------------------------------------------------
*Based on mortgagor representation at origination.
DOCUMENTATION TYPE
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
INCOME MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
DOCUMENTATION LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
Full Docs 6,393 $ 922,049,134.96 67.79 349 39.68 7.564% 601 74.79
Stated Docs 1,623 243,233,309.78 17.88 353 41.22 8.267 606 71.70
Limited Docs 1,348 194,867,062.03 14.33 351 39.96 7.811 595 75.65
==============================================================================================================================
TOTAL: 9,364 $1,360,149,506.77 100.00 350 40.00 7.725% 601 74.36
------------------------------------------------------------------------------------------------------------------------------
LOAN PURPOSE
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
PURPOSE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
Refi-Cash Out ** 8,903 $1,297,254,269.91 95.38 350 40.02 7.729 601 74.22
Refi-No Cashout *** 426 57,341,799.02 4.22 349 39.68 7.640 607 76.77
Purchase 35 5,553,437.84 0.41 359 38.03 7.583 645 83.07
==============================================================================================================================
TOTAL: 9,364 $1,360,149,506.77 100.00 350 40.00 7.725 601 74.36
------------------------------------------------------------------------------------------------------------------------------
** Cash proceeds to the borrower inclusive of debt consolidation payments exceed
2% or $2000 of the original principal balance of the related loan. Also includes
all home equity loans originated in Texas with any cash proceeds.
*** Cash proceeds to the borrower inclusive of debt consolidation payments do
not exceed 2% or $2000 of the original principal balance of the related loan.
Excludes home equity loans originated in Texas with any cash proceeds.
CREDIT GRADE
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
RISK MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
CATEGORY LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
8A 522 $ 72,865,289.72 5.36 334 35.83 6.648 748 75.67
7A 635 94,901,341.00 6.98 336 38.14 6.869 694 78.19
6A 548 81,363,931.03 5.98 340 38.57 7.018 669 77.96
5A 644 101,237,522.03 7.44 345 39.47 7.114 649 79.07
4A 737 107,756,567.31 7.92 348 39.14 7.238 633 79.12
3A 662 101,371,259.35 7.45 351 38.89 7.349 613 76.81
2A 1,548 230,902,125.80 16.98 353 39.74 7.527 587 75.95
A 587 92,025,364.81 6.77 355 39.88 7.922 576 74.31
B 1,626 230,200,501.39 16.92 355 42.12 8.416 545 71.70
C 1,567 208,900,715.49 15.36 356 41.72 8.646 540 69.13
D 288 38,624,888.84 2.84 357 41.92 8.913 525 57.52
==============================================================================================================================
TOTAL: 9,364 $1,360,149,506.77 100.00 350 40.00 7.725 601 74.36
------------------------------------------------------------------------------------------------------------------------------
PROPERTY TYPE
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
PROPERTY MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
TYPE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
Single Family Detached 7,770 $1,113,029,512.98 81.83 349 39.90 7.726 600 74.78
Two-to-Four Family 559 115,471,123.18 8.49 356 41.43 7.706 611 71.07
Condominium 360 51,875,407.74 3.81 353 39.00 7.550 613 73.30
PUD-Detached 303 42,709,698.67 3.14 341 41.25 7.693 594 75.48
Manufactured/Mobile
Housing 255 24,658,520.13 1.81 350 37.42 7.894 615 70.60
Single Family Attached 104 10,839,048.63 0.80 355 40.59 8.443 579 74.40
PUD-Attached 13 1,566,195.44 0.12 350 35.43 7.735 587 79.43
==============================================================================================================================
TOTAL: 9,364 $1,360,149,506.77 100.00 350 40.00 7.725 601 74.36
------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT CHARGE TERM
------------------------------------------------------------------------------------------------------------------------------
% OF
PREPAYMENT PRINCIPAL PRINCIPAL REMAINING
CHARGE TERM AT NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
ORIGINATION MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
(MOS.) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
0 3,781 $ 540,410,386.07 39.73 350 40.14 8.113 598 74.55
12 335 62,245,098.41 4.58 348 40.27 7.205 639 73.76
24 2 376,424.38 0.03 359 39.09 8.056 620 87.83
30 6 1,088,737.09 0.08 359 43.61 8.196 554 82.39
36 5,240 756,028,860.82 55.58 350 39.87 7.490 601 74.25
==============================================================================================================================
TOTAL: 9,364 $1,360,149,506.77 100.00 350 40.00 7.725 601 74.36
------------------------------------------------------------------------------------------------------------------------------
CONFORMING BALANCE
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
CONFORMING MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
BALANCE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
Conforming Balance 9,364 $1,360,149,506.77 100.00 350 40.00 7.725% 601 74.36
==============================================================================================================================
TOTAL: 9,364 $1,360,149,506.77 100.00 350 40.00 7.725% 601 74.36
------------------------------------------------------------------------------------------------------------------------------
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL
BALANCE OF BALANCE OF
ADJUSTABLE ADJUSTABLE REMAINING
NUMBER OF RATE LOANS RATE LOANS TERM TO DEBT-TO MORTGAGE
RANGE OF MAXIMUM MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
11.500 - 11.999 163 $ 33,027,287.59 3.04 353 36.54 5.913 672 73.10
12.000 - 12.499 463 89,135,218.22 8.19 356 39.75 6.286 634 76.49
12.500 - 12.999 1,127 197,404,851.69 18.14 356 39.36 6.778 614 76.40
13.000 - 13.499 698 118,598,685.96 10.90 356 39.96 7.265 590 74.68
13.500 - 13.999 1,684 256,884,537.68 23.61 356 41.16 7.759 571 73.36
14.000 - 14.499 664 90,345,931.90 8.30 356 41.72 8.260 562 71.98
14.500 - 14.999 1,110 147,158,268.73 13.52 356 41.52 8.746 558 72.67
15.000 - 15.499 392 46,605,609.63 4.28 356 41.94 9.240 553 71.93
15.500 - 15.999 567 64,075,865.23 5.89 355 41.09 9.752 549 72.06
16.000 - 16.499 181 19,578,082.66 1.80 354 41.65 10.262 550 72.02
16.500 - 16.999 167 17,547,174.11 1.61 356 41.03 10.707 551 71.94
17.000 - 17.499 35 3,468,151.40 0.32 359 41.82 11.270 560 74.17
17.500 - 17.999 30 2,719,675.36 0.25 357 40.74 11.691 551 69.41
18.000 - 18.499 10 658,207.29 0.06 359 36.88 12.238 543 71.04
18.500 - 18.999 6 923,045.98 0.08 359 42.20 12.756 540 79.17
==============================================================================================================================
TOTAL: 7,297 $1,088,130,593.43 100.00 356 40.58 7.827 584 73.91
------------------------------------------------------------------------------------------------------------------------------
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL
BALANCE OF BALANCE OF
ADJUSTABLE ADJUSTABLE REMAINING
NUMBER OF RATE LOANS RATE LOANS TERM TO DEBT-TO MORTGAGE
RANGE OF MINIMUM MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
5.500 - 5.999 163 $ 33,027,287.59 3.04 353 36.54 5.913 672 73.10
6.000 - 6.499 463 89,135,218.22 8.19 356 39.75 6.286 634 76.49
6.500 - 6.999 1,127 197,404,851.69 18.14 356 39.36 6.778 614 76.40
7.000 - 7.499 698 118,598,685.96 10.90 356 39.96 7.265 590 74.68
7.500 - 7.999 1,684 256,884,537.68 23.61 356 41.16 7.759 571 73.36
8.000 - 8.499 664 90,345,931.90 8.30 356 41.72 8.260 562 71.98
8.500 - 8.999 1,110 147,158,268.73 13.52 356 41.52 8.746 558 72.67
9.000 - 9.499 392 46,605,609.63 4.28 356 41.94 9.240 553 71.93
9.500 - 9.999 567 64,075,865.23 5.89 355 41.09 9.752 549 72.06
10.000 - 10.499 181 19,578,082.66 1.80 354 41.65 10.262 550 72.02
10.500 - 10.999 167 17,547,174.11 1.61 356 41.03 10.707 551 71.94
11.000 - 11.499 35 3,468,151.40 0.32 359 41.82 11.270 560 74.17
11.500 - 11.999 30 2,719,675.36 0.25 357 40.74 11.691 551 69.41
12.000 - 12.499 10 658,207.29 0.06 359 36.88 12.238 543 71.04
12.500 - 12.999 6 923,045.98 0.08 359 42.20 12.756 540 79.17
==============================================================================================================================
TOTAL: 7,297 $1,088,130,593.43 100.00 356 40.58 7.827 584 73.91
------------------------------------------------------------------------------------------------------------------------------
GROSS MARGINS OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL
BALANCE OF BALANCE OF
ADJUSTABLE ADJUSTABLE REMAINING
RANGE OF NUMBER OF RATE LOANS RATE LOANS TERM TO DEBT-TO MORTGAGE
GROSS MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MARGINS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
3.000 - 3.249 5 $ 553,012.84 0.05 359 32.86 7.586 575 79.35
3.250 - 3.499 3 362,326.53 0.03 306 39.71 8.460 583 76.95
3.500 - 3.749 4 588,462.63 0.05 359 41.76 6.551 618 70.60
3.750 - 3.999 1 263,261.79 0.02 359 50.00 6.500 560 85.00
4.000 - 4.249 5 568,226.15 0.05 282 43.58 7.468 621 76.78
4.250 - 4.499 6 1,401,562.38 0.13 360 39.60 7.088 619 79.00
4.500 - 4.749 20 3,222,356.43 0.30 352 39.92 6.600 692 80.27
4.750 - 4.999 155 23,245,214.00 2.14 353 37.54 6.743 728 80.60
5.000 - 5.249 191 32,808,214.09 3.02 354 39.61 6.863 684 79.87
5.250 - 5.499 257 42,291,455.30 3.89 356 38.99 6.823 661 78.68
5.500 - 5.749 424 70,867,664.11 6.51 355 39.85 6.990 643 80.16
5.750 - 5.999 667 110,493,533.23 10.15 355 39.36 7.078 616 77.39
6.000 - 6.249 1,851 282,687,268.88 25.98 356 39.91 7.488 590 76.15
6.250 - 6.499 665 101,508,029.39 9.33 357 40.38 8.010 566 73.24
6.500 - 6.749 1,562 217,677,056.75 20.00 356 42.07 8.490 542 70.88
6.750 - 6.999 1,479 199,408,236.59 18.33 356 41.80 8.729 537 67.29
7.000 - 7.249 1 91,000.00 0.01 360 52.00 9.200 511 52.00
8.500 - 8.749 1 93,712.34 0.01 359 25.00 10.450 529 75.00
==============================================================================================================================
TOTAL: 7,297 $1,088,130,593.43 100.00 356 40.58 7.827 584 73.91
------------------------------------------------------------------------------------------------------------------------------
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL
BALANCE OF BALANCE OF
ADJUSTABLE ADJUSTABLE REMAINING
NEXT RATE NUMBER OF RATE LOANS RATE LOANS TERM TO DEBT-TO MORTGAGE
ADJUSTMENT MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
DATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
2006-02 1 $ 111,090.53 0.01 352 45.00 5.990 608 80.00
2006-03 3 520,676.90 0.05 353 43.98 8.023 566 75.22
2006-04 9 1,238,389.11 0.11 331 41.33 7.652 568 74.12
2006-05 4 762,197.44 0.07 355 49.37 8.170 621 77.03
2006-06 2 308,540.02 0.03 356 43.85 7.885 612 89.19
2006-07 12 1,765,519.02 0.16 352 41.24 8.184 586 74.05
2006-08 233 28,824,371.14 2.65 354 38.48 7.817 586 78.93
2006-09 4,979 762,997,353.56 70.12 356 40.71 7.819 583 73.62
2006-10 353 42,704,364.60 3.92 353 39.32 7.963 605 76.62
2006-11 24 3,965,308.11 0.36 355 40.21 7.927 583 70.98
2006-12 1,677 244,932,783.00 22.51 356 40.61 7.825 582 73.76
==============================================================================================================================
TOTAL: 7,297 $1,088,130,593.43 100.00 356 40.58 7.827 584 73.91
------------------------------------------------------------------------------------------------------------------------------
INITIAL PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL
BALANCE OF BALANCE OF
ADJUSTABLE ADJUSTABLE REMAINING
INITIAL NUMBER OF RATE LOANS RATE LOANS TERM TO DEBT-TO MORTGAGE
PERIODIC MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATE CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
2.000% 7,297 $1,088,130,593.43 100.00 356 40.58 7.827 584 73.91
==============================================================================================================================
Total: 7,297 $1,088,130,593.43 100.00 356 40.58 7.827 584 73.91
------------------------------------------------------------------------------------------------------------------------------
SUBSEQUENT PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL
BALANCE OF BALANCE OF
ADJUSTABLE ADJUSTABLE REMAINING
SUBSEQUENT NUMBER OF RATE LOANS RATE LOANS TERM TO DEBT-TO MORTGAGE
PERIODIC MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATE CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
1.000% 7,297 $1,088,130,593.43 100.00 356 40.58 7.827 584 73.91
==============================================================================================================================
Total: 7,297 $1,088,130,593.43 100.00 356 40.58 7.827 584 73.91
------------------------------------------------------------------------------------------------------------------------------
GROUP II MORTGAGE LOAN STATISTICS
The Group II Mortgage Loans consist of 989 adjustable-rate and
fixed-rate Mortgage Loans having an aggregate principal balance as of the
Cut-off Date of approximately $339,841,263.17, after application of scheduled
payments due on or before the Cut-off Date whether or not received and
application of all unscheduled payments of principal received prior to the
Cut-off Date. None of the Group II Mortgage Loans had a first Due Date prior to
April 1, 2004 or after January 1, 2005, or will have a remaining term to stated
maturity of less than 119 months or greater than 360 months as of the Cut-off
Date. The latest maturity date of any Group II Mortgage Loan is December 1,
2034.
COLLATERAL TYPE
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
COLLATERAL TYPE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
2 YEAR ARMS 623 $271,885,215.62 80.00 358 40.58 7.267 598 76.20
FIXED 366 67,956,047.55 20.00 343 38.62 7.926 647 76.19
==============================================================================================================================
TOTAL: 989 $339,841,263.17 100.00 355 40.19 7.399 608 76.20
------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL BALANCES AT ORIGINATION
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
PRINCIPAL BALANCES MORTGAGE AS OF AS OF MATURITY INCOME RATES OLTV
AT ORIGINATION ($) LOANS ORIGINATION ORIGINATION (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
50,001 - 100,000 212 $ 14,815,093.00 4.36 314 39.26 10.352 577 73.65
100,001 - 150,000 39 4,705,117.00 1.38 326 42.30 9.974 577 80.00
150,001 - 200,000 8 1,359,758.00 0.40 323 47.63 9.974 573 83.69
200,001 - 250,000 1 206,543.00 0.06 359 24.00 9.800 554 89.80
250,001 - 300,000 1 259,200.00 0.08 360 47.00 10.800 563 90.00
300,001 - 350,000 103 35,206,694.00 10.35 359 41.32 7.308 594 76.14
350,001 - 400,000 231 86,463,048.00 25.42 358 40.92 7.162 610 76.63
400,001 - 450,000 141 59,536,765.00 17.51 357 40.63 7.177 609 75.43
450,001 - 500,000 91 43,378,504.00 12.75 359 39.63 7.173 608 76.58
500,001 - 550,000 57 30,079,702.00 8.84 359 39.88 7.184 629 78.52
550,001 - 600,000 76 44,551,438.00 13.10 357 38.30 7.390 610 74.74
600,001 - 650,000 9 5,619,384.00 1.65 359 38.18 6.865 607 79.60
650,001 - 700,000 13 8,782,000.00 2.58 350 39.67 7.032 626 76.14
700,001 - 750,000 7 5,136,250.00 1.51 359 40.06 7.176 641 71.09
==============================================================================================================================
TOTAL: 989 $340,099,496.00 100.00 355 40.19 7.398 608 76.20
------------------------------------------------------------------------------------------------------------------------------
*Based on the original balances of the Mortgage Loans.
PRINCIPAL BALANCE AS OF THE CUT-OFF DATE
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF PRINCIPAL NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
BALANCES AS OF THE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
CUT-OFF DATE ($) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
50,000.01 - 100,000.00 212 $ 14,801,805.89 4.36 314 39.26 10.352 577 73.65
100,000.01 - 150,000.00 39 4,700,239.09 1.38 326 42.30 9.975 576 80.00
150,000.01 - 200,000.00 8 1,358,695.19 0.40 323 47.63 9.974 573 83.69
200,000.01 - 250,000.00 1 206,447.65 0.06 359 24.00 9.800 554 89.80
250,000.01 - 300,000.00 1 259,200.00 0.08 360 47.00 10.800 563 90.00
300,000.01 - 350,000.00 103 35,181,955.90 10.35 359 41.32 7.308 594 76.14
350,000.01 - 400,000.00 231 86,398,922.05 25.42 358 40.92 7.162 610 76.63
400,000.01 - 450,000.00 141 59,489,265.68 17.51 357 40.63 7.178 609 75.43
450,000.01 - 500,000.00 91 43,338,014.84 12.75 359 39.64 7.173 608 76.58
500,000.01 - 550,000.00 57 30,060,024.83 8.85 359 39.88 7.184 629 78.52
550,000.01 - 600,000.00 76 44,519,234.94 13.10 357 38.30 7.390 610 74.74
600,000.01 - 650,000.00 9 5,616,577.54 1.65 359 38.19 6.866 607 79.60
650,000.01 - 700,000.00 13 8,777,409.37 2.58 350 39.67 7.032 626 76.14
700,000.01 - 750,000.00 7 5,133,470.20 1.51 359 40.06 7.176 641 71.09
==============================================================================================================================
TOTAL: 989 $339,841,263.17 100.00 355 40.19 7.399 608 76.20
------------------------------------------------------------------------------------------------------------------------------
STATED REMAINING TERM TO MATURITY
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MONTHS MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
REMAINING LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
60.01 - 120.00 7 $ 448,893.12 0.13 119 37.90 10.553 570 73.53
120.01 - 180.00 34 3,495,454.38 1.03 179 32.40 8.994 608 74.33
180.01 - 240.00 36 4,348,145.60 1.28 239 39.62 8.990 614 77.64
240.01 - 300.00 6 1,069,482.87 0.31 300 37.35 8.029 655 84.34
300.01 - 360.00 906 330,479,287.20 97.25 359 40.29 7.354 608 76.18
==============================================================================================================================
TOTAL: 989 $339,841,263.17 100.00 355 40.19 7.399 608 76.20
------------------------------------------------------------------------------------------------------------------------------
MORTGAGE RATE
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF CURRENT MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
5.500 - 5.999 61 $ 27,185,645.73 8.00 355 37.17 5.901 680 74.82
6.000 - 6.499 107 46,329,320.02 13.63 359 37.89 6.283 640 74.32
6.500 - 6.999 227 99,336,223.51 29.23 359 39.58 6.762 626 77.39
7.000 - 7.499 87 36,955,976.86 10.87 354 40.67 7.260 587 76.41
7.500 - 7.999 125 53,256,946.10 15.67 356 42.04 7.734 579 76.12
8.000 - 8.499 32 14,013,408.92 4.12 358 42.83 8.255 571 76.11
8.500 - 8.999 66 27,806,120.00 8.18 359 42.14 8.742 569 76.50
9.000 - 9.499 30 5,831,583.13 1.72 352 41.93 9.265 583 75.41
9.500 - 9.999 111 16,303,134.95 4.80 336 40.97 9.766 574 75.65
10.000 - 10.499 32 3,685,988.84 1.08 328 41.62 10.218 582 77.24
10.500 - 10.999 72 6,207,305.52 1.83 325 41.08 10.771 570 76.51
11.000 - 11.499 13 1,079,537.93 0.32 332 44.64 11.265 542 78.65
11.500 - 11.999 17 1,164,785.89 0.34 325 42.00 11.759 549 73.59
12.000 - 12.499 7 543,442.79 0.16 346 38.93 12.191 569 81.86
12.500 - 12.999 1 77,855.76 0.02 353 49.00 12.500 557 75.00
13.500 - 13.999 1 63,987.22 0.02 359 49.00 13.600 541 80.00
==============================================================================================================================
TOTAL: 989 $339,841,263.17 100.00 355 40.19 7.399 608 76.20
------------------------------------------------------------------------------------------------------------------------------
ORIGINAL LOAN-TO-VALUE RATIOS
------------------------------------------------------------------------------------------------------------------------------
% OF
RANGE OF PRINCIPAL PRINCIPAL REMAINING
ORIGINAL NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
LOAN-TO-VALUE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATIOS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
<= 25.000 3 $ 211,905.01 0.06 359 38.39 9.958 577 20.59
25.001 - 30.000 2 679,267.07 0.20 345 12.59 6.249 700 29.47
30.001 - 35.000 1 59,972.88 0.02 359 29.00 9.900 541 33.33
35.001 - 40.000 1 370,600.00 0.11 360 55.00 5.990 772 37.70
40.001 - 45.000 10 3,127,796.03 0.92 352 33.10 7.262 620 43.19
45.001 - 50.000 11 2,478,968.90 0.73 346 32.12 7.240 657 46.90
50.001 - 55.000 14 3,760,407.91 1.11 354 41.19 7.187 648 52.54
55.001 - 60.000 44 13,771,258.59 4.05 350 39.65 7.471 584 57.87
60.001 - 65.000 48 16,705,946.41 4.92 357 38.49 7.553 591 63.06
65.001 - 70.000 90 32,756,962.43 9.64 357 39.48 7.333 595 67.64
70.001 - 75.000 189 66,181,419.67 19.47 357 41.27 7.699 583 73.73
75.001 - 80.000 275 94,321,996.27 27.75 354 40.82 7.201 616 78.48
80.001 - 85.000 168 63,627,282.06 18.72 358 39.41 7.269 611 83.54
85.001 - 90.000 120 37,295,908.09 10.97 351 40.43 7.634 638 88.95
90.001 - 95.000 13 4,491,571.85 1.32 357 45.01 7.186 669 94.56
==============================================================================================================================
TOTAL: 989 $339,841,263.17 100.00 355 40.19 7.399 608 76.20
------------------------------------------------------------------------------------------------------------------------------
FICO SCORE AT ORIGINATION
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
RANGE OF MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
FICO SCORES LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
500 - 519 48 $ 13,280,868.07 3.91 356 43.32 8.843 508 70.72
520 - 539 89 26,374,876.00 7.76 356 42.52 8.453 530 72.45
540 - 559 120 32,821,191.00 9.66 354 40.90 7.948 551 74.41
560 - 579 153 52,671,540.03 15.50 356 40.86 7.645 569 76.61
580 - 599 107 35,578,666.03 10.47 355 41.90 7.549 590 76.23
600 - 619 125 40,565,609.72 11.94 357 40.91 7.277 609 74.64
620 - 639 81 28,589,372.62 8.41 352 38.54 7.186 629 77.96
640 - 659 125 51,139,257.65 15.05 357 38.26 6.934 650 79.99
660 - 679 55 23,004,320.74 6.77 348 36.49 6.739 668 79.06
680 - 699 33 13,473,657.01 3.96 357 38.70 6.566 690 76.03
700 - 719 20 8,382,063.30 2.47 358 36.46 6.360 709 71.72
720 - 739 12 4,996,476.65 1.47 356 45.85 6.569 728 79.71
740 - 759 12 5,057,140.30 1.49 359 38.11 6.463 751 82.05
760 - 779 5 2,086,382.86 0.61 359 45.75 6.191 769 66.48
780 - 799 4 1,819,841.19 0.54 359 40.83 6.241 785 61.33
==============================================================================================================================
TOTAL: 989 $339,841,263.17 100.00 355 40.19 7.399 608 76.20
------------------------------------------------------------------------------------------------------------------------------
DEBT-TO-INCOME RATIO
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
DEBT-TO-INCOME MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATIOS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
<= 20.000 69 $ 27,669,309.86 8.14 354 14.59 6.946 616 73.44
20.001 - 25.000 42 10,961,216.67 3.23 350 23.52 7.435 616 74.60
25.001 - 30.000 62 20,379,237.39 6.00 348 28.30 7.452 622 76.47
30.001 - 35.000 93 29,534,593.56 8.69 356 33.29 7.407 613 76.63
35.001 - 40.000 136 44,609,048.98 13.13 353 38.31 7.336 615 75.91
40.001 - 45.000 205 75,398,121.80 22.19 357 43.22 7.311 611 76.76
45.001 - 50.000 288 103,106,023.25 30.34 358 48.26 7.385 605 76.98
50.001 - 55.000 94 28,183,711.66 8.29 352 52.99 8.160 577 74.98
==============================================================================================================================
TOTAL: 989 $339,841,263.17 100.00 355 40.19 7.399 608 76.20
------------------------------------------------------------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
STATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
California 383 $167,277,309.66 49.22 358 41.54 7.002 612 76.25
New York 103 39,418,866.98 11.60 355 38.27 7.597 615 75.17
Massachusetts 45 19,565,710.95 5.76 359 39.84 7.102 616 74.13
Florida 50 13,981,979.39 4.11 354 39.23 7.826 585 76.57
Texas 87 11,740,895.15 3.45 327 38.74 8.837 602 74.44
Maryland 35 11,095,318.76 3.26 357 41.57 7.822 586 74.30
New Jersey 23 9,194,805.44 2.71 357 41.35 8.050 597 75.21
Illinois 37 8,844,570.55 2.60 352 38.50 8.395 605 77.76
Nevada 14 5,825,941.20 1.71 359 34.47 7.367 607 80.15
Minnesota 15 5,386,281.03 1.58 354 35.47 7.025 606 78.14
Connecticut 10 4,480,099.85 1.32 359 35.76 7.711 583 75.13
Colorado 11 4,405,883.06 1.30 357 31.01 7.049 617 74.14
Georgia 13 4,223,579.06 1.24 359 43.23 8.061 589 82.12
Pennsylvania 14 3,468,615.38 1.02 356 35.35 7.955 603 72.94
Michigan 14 3,174,473.89 0.93 357 40.45 8.493 567 80.85
Washington 7 2,681,335.37 0.79 359 41.93 7.416 623 79.93
Rhode Island 6 2,552,899.68 0.75 360 47.21 7.074 637 80.13
Wisconsin 16 1,851,988.60 0.54 331 37.58 9.197 602 82.26
Tennessee 8 1,772,663.58 0.52 345 32.60 7.619 630 76.78
North Carolina 13 1,690,017.79 0.50 331 35.48 8.906 611 71.23
Other 85 17,208,027.80 5.06 345 40.32 8.020 607 78.02
==============================================================================================================================
TOTAL: 989 $339,841,263.17 100.00 355 40.19 7.399 608 76.20
------------------------------------------------------------------------------------------------------------------------------
OCCUPANCY STATUS
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
OCCUPATION STATUS* LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
Owner Occupied 952 $330,187,837.49 97.16 355 40.22 7.390 607 76.13
Non-owner Occupied 27 7,678,378.82 2.26 354 37.29 7.675 636 79.08
Second Home 10 1,975,046.86 0.58 352 46.64 7.686 641 76.03
==============================================================================================================================
TOTAL: 989 $339,841,263.17 100.00 355 40.19 7.399 608 76.20
------------------------------------------------------------------------------------------------------------------------------
*Based on mortgagor representation at origination.
DOCUMENTATION TYPE
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
INCOME MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
DOCUMENTATION LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
Full Docs 647 $219,863,469.46 64.70 355 39.48 7.274 610 76.43
Stated Docs 188 64,155,563.84 18.88 356 43.12 7.800 613 74.87
Limited Docs 154 55,822,229.87 16.43 355 39.62 7.429 596 76.82
==============================================================================================================================
TOTAL: 989 $339,841,263.17 100.00 355 40.19 7.399 608 76.20
------------------------------------------------------------------------------------------------------------------------------
LOAN PURPOSE
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
PURPOSE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
Refi-Cash Out ** 957 $329,874,790.76 97.07 355 40.26 7.403 607 76.03
Refi-No Cashout *** 29 8,881,734.99 2.61 354 37.05 7.166 634 80.48
Purchase 3 1,084,737.42 0.32 359 45.84 8.063 676 92.70
==============================================================================================================================
TOTAL: 989 $339,841,263.17 100.00 355 40.19 7.399 608 76.20
------------------------------------------------------------------------------------------------------------------------------
** Cash proceeds to the borrower inclusive of debt consolidation payments exceed
2% or $2000 of the original principal balance of the related loan. Also includes
all home equity loans originated in Texas with any cash proceeds.
*** Cash proceeds to the borrower inclusive of debt consolidation payments do
not exceed 2% or $2000 of the original principal balance of the related loan.
Excludes home equity loans originated in Texas with any cash proceeds.
CREDIT GRADE
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
RISK MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
CATEGORY LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
8A 40 $ 17,257,650.24 5.08 359 41.06 6.297 739 75.24
7A 42 17,380,447.15 5.11 357 37.79 6.503 694 74.72
6A 51 22,453,352.90 6.61 348 36.68 6.723 668 79.27
5A 113 47,014,339.70 13.83 357 38.20 6.902 650 81.00
4A 54 20,504,029.37 6.03 354 37.12 6.983 630 79.67
3A 94 30,727,916.80 9.04 357 39.92 7.106 613 74.56
2A 253 84,246,850.92 24.79 355 41.14 7.460 584 76.42
A 89 30,600,338.16 9.00 354 40.71 7.639 578 77.28
B 146 40,637,512.65 11.96 355 41.58 8.327 546 72.85
C 95 27,243,289.24 8.02 356 44.48 8.749 536 70.39
D 12 1,775,536.04 0.52 334 40.46 9.415 513 59.13
==============================================================================================================================
TOTAL: 989 $339,841,263.17 100.00 355 40.19 7.399 608 76.20
------------------------------------------------------------------------------------------------------------------------------
PROPERTY TYPE
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
PROPERTY MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
TYPE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
Single Family Detached 898 $308,322,022.01 90.73 355 40.13 7.408 608 76.40
PUD-Detached 41 16,105,331.73 4.74 356 41.37 7.116 613 74.27
Two-to-Four Family 21 7,243,876.26 2.13 356 40.57 7.504 611 73.61
Condominium 20 6,511,779.21 1.92 359 42.68 7.361 595 77.23
Manufactured/Mobile Housing 5 681,031.96 0.20 321 31.43 9.257 538 59.52
Single Family Attached 3 496,222.00 0.15 360 31.14 7.434 663 61.42
PUD-Attached 1 481,000.00 0.14 360 19.00 7.250 554 74.00
==============================================================================================================================
TOTAL: 989 $339,841,263.17 100.00 355 40.19 7.399 608 76.20
------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT CHARGE TERM
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
PREPAYMENT NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
CHARGE TERM AT MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
ORIGINATION (MOS.) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
0 366 $106,344,155.05 31.29 354 40.57 8.058 602 76.30
12 42 13,822,266.05 4.07 347 37.22 7.142 666 75.35
24 6 2,796,346.18 0.82 360 44.13 7.503 593 83.94
30 2 798,210.56 0.23 360 35.67 6.809 633 58.93
36 573 216,080,285.33 63.58 356 40.16 7.091 608 76.16
==============================================================================================================================
TOTAL: 989 $339,841,263.17 100.00 355 40.19 7.399 608 76.20
------------------------------------------------------------------------------------------------------------------------------
CONFORMING BALANCE
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE TERM TO DEBT-TO MORTGAGE
CONFORMING MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
BALANCE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
Conforming Balance 261 $ 21,326,387.82 6.28 318 40.41 10.245% 577 76.04%
Non-Conforming Balance 728 318,514,875.35 93.72 358 40.17 7.208 610 76.21
==============================================================================================================================
TOTAL: 989 $339,841,263.17 100.00 355 40.19 7.399% 608 76.20%
------------------------------------------------------------------------------------------------------------------------------
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL
BALANCE OF BALANCE OF
ADJUSTABLE ADJUSTABLE REMAINING
NUMBER OF RATE LOANS RATE LOANS TERM TO DEBT-TO MORTGAGE
RANGE OF MAXIMUM MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
11.500 - 11.999 50 $ 22,681,017.91 8.34 354 36.07 5.903 673 75.17
12.000 - 12.499 89 38,584,310.08 14.19 359 39.30 6.285 624 74.84
12.500 - 12.999 177 76,726,566.21 28.22 359 39.70 6.757 609 77.37
13.000 - 13.499 76 32,629,243.00 12.00 356 41.14 7.259 579 76.18
13.500 - 13.999 112 48,451,009.00 17.82 359 42.45 7.740 573 75.80
14.000 - 14.499 28 12,489,121.46 4.59 359 43.98 8.255 566 75.45
14.500 - 14.999 58 26,002,375.47 9.56 359 41.89 8.743 568 76.93
15.000 - 15.499 9 4,113,696.25 1.51 359 42.91 9.221 587 75.90
15.500 - 15.999 19 8,086,982.69 2.97 359 43.85 9.741 558 75.13
16.000 - 16.499 4 1,590,091.31 0.58 359 43.48 10.189 561 75.49
16.500 - 16.999 1 530,802.24 0.20 359 28.00 10.800 642 90.00
==============================================================================================================================
TOTAL: 623 $271,885,215.62 100.00 358 40.58 7.267 598 76.20
------------------------------------------------------------------------------------------------------------------------------
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL
BALANCE OF BALANCE OF
ADJUSTABLE ADJUSTABLE REMAINING
NUMBER OF RATE LOANS RATE LOANS TERM TO DEBT-TO MORTGAGE
RANGE OF MINIMUM MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
5.500 - 5.999 50 $ 22,681,017.91 8.34 354 36.07 5.903 673 75.17
6.000 - 6.499 89 38,584,310.08 14.19 359 39.30 6.285 624 74.84
6.500 - 6.999 177 76,726,566.21 28.22 359 39.70 6.757 609 77.37
7.000 - 7.499 76 32,629,243.00 12.00 356 41.14 7.259 579 76.18
7.500 - 7.999 112 48,451,009.00 17.82 359 42.45 7.740 573 75.80
8.000 - 8.499 28 12,489,121.46 4.59 359 43.98 8.255 566 75.45
8.500 - 8.999 58 26,002,375.47 9.56 359 41.89 8.743 568 76.93
9.000 - 9.499 9 4,113,696.25 1.51 359 42.91 9.221 587 75.90
9.500 - 9.999 19 8,086,982.69 2.97 359 43.85 9.741 558 75.13
10.000 - 10.499 4 1,590,091.31 0.58 359 43.48 10.189 561 75.49
10.500 - 10.999 1 530,802.24 0.20 359 28.00 10.800 642 90.00
==============================================================================================================================
TOTAL: 623 $271,885,215.62 100.00 358 40.58 7.267 598 76.20
------------------------------------------------------------------------------------------------------------------------------
GROSS MARGINS OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL
BALANCE OF BALANCE OF
ADJUSTABLE ADJUSTABLE REMAINING
RANGE OF NUMBER OF RATE LOANS RATE LOANS TERM TO DEBT-TO MORTGAGE
GROSS MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MARGINS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
3.000 - 3.249 1 $ 435,605.85 0.16 359 49.00 6.500 646 80.74
4.000 - 4.249 1 356,748.03 0.13 359 49.00 7.750 609 85.00
4.250 - 4.499 1 441,665.35 0.16 359 41.00 7.400 568 73.67
4.500 - 4.749 4 1,728,343.54 0.64 359 45.40 6.237 711 72.15
4.750 - 4.999 13 5,349,204.19 1.97 359 41.16 6.513 723 75.55
5.000 - 5.249 18 8,465,126.10 3.11 359 44.04 6.349 686 79.49
5.250 - 5.499 28 13,633,808.48 5.01 351 33.26 6.316 663 77.31
5.500 - 5.749 88 39,451,585.96 14.51 359 37.82 6.828 647 80.53
5.750 - 5.999 61 26,208,791.50 9.64 359 40.96 6.882 615 77.85
6.000 - 6.249 225 98,641,163.75 36.28 358 40.77 7.209 589 76.08
6.250 - 6.499 53 22,123,009.69 8.14 357 41.29 7.620 573 76.83
6.500 - 6.749 82 35,251,971.42 12.97 359 41.68 8.022 543 72.51
6.750 - 6.999 48 19,798,191.76 7.28 359 44.52 8.545 529 70.03
==============================================================================================================================
TOTAL: 623 $271,885,215.62 100.00 358 40.58 7.267 598 76.20
------------------------------------------------------------------------------------------------------------------------------
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL
BALANCE OF BALANCE OF
ADJUSTABLE ADJUSTABLE REMAINING
NEXT RATE NUMBER OF RATE LOANS RATE LOANS TERM TO DEBT-TO MORTGAGE
ADJUSTMENT MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
DATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
2006-04 3 $ 1,154,892.75 0.42 354 49.12 7.469 526 77.77
2006-07 2 690,618.82 0.25 357 25.92 7.252 589 89.83
2006-08 10 4,094,656.07 1.51 358 40.37 7.349 579 70.96
2006-09 437 191,776,294.89 70.54 358 40.93 7.263 599 76.28
2006-10 30 12,669,080.91 4.66 360 38.55 7.192 604 76.38
2006-11 1 376,659.18 0.14 359 50.00 6.500 590 72.50
2006-12 140 61,123,013.00 22.48 360 39.86 7.289 600 76.10
==============================================================================================================================
TOTAL: 623 $271,885,215.62 100.00 358 40.58 7.267 598 76.20
------------------------------------------------------------------------------------------------------------------------------
INITIAL PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL
BALANCE OF BALANCE OF
ADJUSTABLE ADJUSTABLE REMAINING
INITIAL NUMBER OF RATE LOANS RATE LOANS TERM TO DEBT-TO MORTGAGE
PERIODIC MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATE CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
2.000 623 $271,885,215.62 100.00 358 40.58 7.267 598 76.20
==============================================================================================================================
TOTAL: 623 $271,885,215.62 100.00 358 40.58 7.267 598 76.20
------------------------------------------------------------------------------------------------------------------------------
SUBSEQUENT PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL
BALANCE OF BALANCE OF
ADJUSTABLE ADJUSTABLE REMAINING
SUBSEQUENT NUMBER OF RATE LOANS RATE LOANS TERM TO DEBT-TO MORTGAGE
PERIODIC RATE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
------------------------------------------------------------------------------------------------------------------------------
1.000 623 $271,885,215.62 100.00 358 40.58 7.267 598 76.20
==============================================================================================================================
TOTAL: 623 $271,885,215.62 100.00 358 40.58 7.267 598 76.20
------------------------------------------------------------------------------------------------------------------------------
