FICO DISTRIBUTION
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FICO Total Balance LTV Adjusted Balance[1] WA Loan WAC % Covered by
Amount %[2] Amount %[2] Balance Mortgage Ins.
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
500.01 - 550 12,811,113 4.79% > 70.0 8,596,680 3.22% 100,875 8.24% 17.79%
550.01 - 575 18,739,515 7.01% > 70.0 12,459,814 4.66% 95,124 8.01% 37.78%
575.01 - 600 28,325,211 10.59% > 70.0 22,291,201 8.34% 90,786 7.79% 44.75%
600.01 - 620 42,279,668 15.81% > 70.0 35,031,591 13.10% 97,870 7.46% 48.83%
620.01 - 650 74,352,952 27.81% > 80.0 37,049,267 13.86% 120,312 7.06% 53.73%
650.01 - 680 46,887,609 17.54% > 80.0 22,876,634 8.56% 127,067 6.83% 54.99%
680.01 - 700 17,593,758 6.58% > 85.0 5,614,823 2.10% 147,847 6.62% 57.40%
700.01 - 750 18,921,885 7.08% > 85.0 6,617,358 2.48% 148,991 6.45% 59.60%
750.01 - 800 7,109,296 2.66% > 85.0 1,920,957 0.72% 148,110 6.30% 61.76%
0 - 500 176,000 0.07% > 65.0 146,000 0.05% 58,667 10.70% 0.00%
FICO NA 166,940 0.06% > 65.0 61,840 0.02% 55,647 8.10% 0.00%
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TOTAL 267,363,946 100.00% 152,666,164 57.10% 113,530 7.19% 50.19%
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FICO: Average 635 Min: 496 Max: 795
FICO DISTRIBUTION (cont'd)
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FICO WA FICO WA LTV % SFD/ % Owner % Full % Cashout
PUD Occ Doc Refi
----------------------------------------------------------------------------
500.01 - 550 536 73.26% 89.05% 96.37% 90.31% 78.75%
550.01 - 575 564 75.26% 92.03% 95.68% 85.14% 78.18%
575.01 - 600 588 78.56% 88.87% 95.13% 82.95% 78.16%
600.01 - 620 611 81.68% 90.60% 94.60% 76.72% 77.71%
620.01 - 650 636 81.31% 89.26% 96.05% 73.99% 78.79%
650.01 - 680 665 81.11% 84.58% 92.74% 72.52% 83.99%
680.01 - 700 690 80.55% 79.58% 87.25% 70.60% 72.09%
700.01 - 750 721 80.06% 79.98% 89.33% 72.85% 77.36%
750.01 - 800 768 79.15% 74.88% 94.30% 83.54% 59.37%
0 - 500 498 72.05% 100.00% 100.00% 100.00% 45.45%
FICO NA 59.64% 100.00% 100.00% 100.00% 62.96%
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TOTAL 635 80.02% 87.13% 94.04% 76.66% 78.33%
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LOAN-TO- VALUE (LTV) DISTIBUTION
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LTV Total Balance DTI Adjusted Balance[1] WA Loan WAC % Covered by
Amount %[2] Amount %[2] Balance Mortgage Ins.
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60.01 - 70.00 66,821,637 8.30% > 50 8,128,609 1.01% 143,702 6.92% 47.44%
70.01 - 80.00 295,878,450 36.76% > 50 21,206,384 2.64% 140,895 6.72% 57.04%
80.01 - 85.00 130,126,820 16.17% > 50 6,868,304 0.85% 150,262 6.82% 72.75%
85.01 - 90.00 182,531,631 22.68% > 50 16,656,109 2.07% 151,983 6.95% 65.63%
90.01 - 95.00 74,591,547 9.27% > 50 339,006 0.04% 161,804 6.85% 65.67%
95.01 - 100.00 15,046,000 1.87% > 50 4,053,975 0.50% 158,379 7.11% 0.00%
less than 60.00 39,797,179 4.95% > 50 3,379,469 0.42% 115,689 6.82% 33.22%
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TOTAL 804,793,264 100.00% 60,631,854 7.53% 145,480 6.83% 59.26%
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-------------------------------------------------------------------------------
LTV WA FICO WA LTV % SFD/ % Owner % Full % Cashout
PUD Occ Doc Refi
-------------------------------------------------------------------------------
60.01 - 70.00 590 67.26% 81.47% 92.26% 63.44% 85.61%
70.01 - 80.00 611 78.49% 89.16% 94.81% 65.98% 58.22%
80.01 - 85.00 611 84.50% 89.54% 94.79% 71.59% 75.66%
85.01 - 90.00 608 89.75% 92.23% 98.16% 98.78% 61.44%
90.01 - 95.00 639 94.74% 95.07% 98.07% 99.21% 67.61%
95.01 - 100.00 646 99.82% 100.00% 100.00% 100.00% 37.97%
< 60.00 585 50.91% 86.72% 92.19% 60.48% 90.75%
----------------------------------------------------------------------------
TOTAL 611 81.63% 89.91% 95.62% 77.56% 66.14%
----------------------------------------------------------------------------
[1] Balance of the collateral cut combined with second qualifier, i.e. (LTV),
FICO, DTI etc. All other cuts except the adjusted balance are only for the
main bucket
[2] Percent of the Aggregate Principal Balance - calculated automatically.
GEOGRAPHIC CONCENTRATION - TOP 12 STATES
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STATE Total Balance WA Loan WAC % Covered by WA WA % SFD % Owner % Cashout % Full
Amount %[2] Balance Mortgage Ins. FICO LTV PUD Occ Refi Doc
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CA 185,565,606 23.06% 221,703 6.44% 64.90% 616 80.08% 88.68% 97.41% 78.51% 70.19%
MI 58,267,834 7.24% 121,139 7.07% 65.80% 604 80.66% 94.58% 95.31% 68.89% 73.53%
FL 49,858,272 6.20% 122,502 7.01% 53.62% 607 81.82% 91.54% 92.66% 57.19% 75.82%
IL 39,877,757 4.96% 155,166 7.01% 66.08% 617 81.93% 77.72% 96.75% 62.16% 71.14%
MN 39,813,445 4.95% 156,746 6.89% 67.03% 617 81.82% 91.58% 92.54% 71.97% 73.30%
GA 29,169,780 3.62% 130,806 6.93% 56.64% 607 83.56% 95.92% 92.16% 59.07% 83.03%
TX 27,433,402 3.41% 111,518 7.15% 55.11% 606 82.86% 98.57% 96.06% 23.36% 79.09%
WI 25,576,522 3.18% 116,788 7.03% 68.35% 609 81.93% 85.52% 94.18% 72.84% 79.48%
VA 25,147,595 3.12% 156,196 6.97% 55.42% 602 81.73% 88.85% 97.52% 72.85% 90.26%
AZ 23,941,586 2.97% 137,595 6.73% 48.90% 619 83.88% 94.44% 95.26% 60.83% 81.65%
MD 21,828,991 2.71% 189,817 6.94% 54.77% 593 79.41% 89.49% 98.48% 80.98% 79.45%
OH 21,146,568 2.63% 103,660 7.06% 70.79% 601 84.58% 93.58% 92.19% 67.83% 89.54%
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TOTAL 804,793,264 100.00% 145,480 6.83% 59.26% 611 81.63% 89.91% 95.62% 66.14% 77.56%
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PRINCIPAL BALANCE
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Scheduled Total Balance WA Loan WAC % Covered by WA WA % SFD % Owner % Cashout % Full
Principal Amount %[2] Balance Mortgage Ins. FICO LTV PUD Occ Refi Doc
Balance
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0 - $50K 3,954,809 0.49% 44,436 7.70% 33.38% 589 60.31% 89.14% 82.58% 84.70% 82.04%
$51 - $200K 494,371,685 61.43% 114,890 6.98% 58.18% 607 81.21% 90.42% 94.47% 63.34% 79.80%
$200.1 - $250K 123,884,153 15.39% 222,813 6.67% 59.68% 611 81.53% 90.63% 96.22% 71.64% 70.31%
$250.1 - $300K 87,107,457 10.82% 274,787 6.61% 61.65% 618 82.65% 85.21% 98.07% 71.29% 62.63%
$300.1 - $400K 78,182,571 9.71% 341,409 6.49% 69.74% 615 84.34% 89.15% 99.49% 69.80% 87.53%
$400.1 - $500K 15,601,940 1.94% 445,770 6.05% 34.57% 640 82.75% 97.11% 97.29% 59.49% 97.20%
$500.1 - $600K 1,053,950 0.13% 526,975 6.55% 0.00% 624 82.12% 100.00% 100.00% 48.58% 48.58%
$600.1 - $700K 636,700 0.08% 636,700 5.75% 100.00% 607 51.00% 100.00% 100.00% 100.00% 100.00%
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TOTAL 804,793,264 100.00% 145,480 6.83% 59.26% 611 81.63% 89.91% 95.62% 66.14% 77.56%
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Principal Balance: Average 145,480 Min: 23,988 Max: 636,700
DOCUMENTATION TYPE
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Doc Type Total Balance WA Loan WAC % Covered by WA WA % SFD % Owner % Cashout
Amount %[2] Balance Mortgage Ins. FICO LTV PUD Occ Refi
------------------------------------------------------------------------------------------------------------------------
Full Doc 624,167,599 77.56% 141,921 6.83% 61.57% 606 83.29% 90.43% 96.47% 64.68%
Limited Doc 180,625,665 22.44% 159,282 6.83% 51.40% 627 75.86% 88.10% 92.69% 71.19%
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TOTAL 804,793,264 100.00% 145,480 6.83% 59.26% 611 81.63% 89.91% 95.62% 66.14%
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PROPERTY TYPE
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Property Type Total Balance WA Loan WAC % Covered by WA WA % Owner % Cashout % Full
Amount %[2] Balance Mortgage Ins. FICO LTV Occ Refi Doc
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2-4 Family 34,240,430 4.25% 167,845 6.74% 53.96% 628 78.19% 81.27% 70.97% 70.05%
Condo 29,943,625 3.72% 155,956 6.77% 61.79% 614 79.53% 94.93% 73.24% 67.12%
Leasehold 278,458 0.03% 69,614 7.35% 70.72% 623 84.63% 78.18% 55.30% 100.00%
Manufactured 11,044,752 1.37% 92,040 6.86% 0.00% 622 77.23% 97.55% 72.95% 100.00%
PUD 85,852,551 10.67% 178,117 6.70% 62.39% 611 82.94% 95.56% 55.10% 78.89%
Single Family 637,738,176 79.24% 142,225 6.85% 59.98% 609 81.85% 96.49% 66.77% 77.89%
Townhouse 5,695,272 0.71% 123,810 7.09% 68.32% 594 76.77% 86.69% 83.75% 75.42%
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TOTAL 804,793,264 100% 145,480 6.83% 59.26% 611 81.63% 95.62% 66.14% 77.56%
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LOAN PURPOSE
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Loan Total Balance WA Loan WAC % Covered by WA WA % SFD % Owner
Purpose Amount %[2] Balance Mortgage Ins FICO LTV PUD Occ
-----------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout 532,328,900 66.14% 149,573 6.80% 59.67% 607 80.43% 88.88% 96.04%
Purchase 217,993,264 27.09% 137,883 6.90% 53.87% 619 84.58% 91.82% 94.93%
Refinance - Rate Term 54,471,099 6.77% 138,957 6.84% 77.21% 610 81.47% 92.37% 94.30%
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TOTAL 804,793,264 100.00% 145,480 6.83% 59.26% 611 81.63% 89.91% 95.62%
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LIEN STATUS
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Lien Status Total Balance WA Loan WAC % Covered by WA WA % SFD % Owner % Cashout
Amount %[2] Balance Mortgage Ins. FICO LTV PUD Occ Refi
---------------------------------------------------------------------------------------------------------------------------
First Lien 804,793,264 100.00% 145,480 6.83% 59.29% 611 81.63% 89.91% 95.62% 66.14%
Second Lien - 0.00% - 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
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TOTAL 804,793,264 100.00% 145,480 6.83% 59.26% 611 81.63% 89.91% 95.62% 66.14%
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OCCUPANCY TYPE
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Occupancy Type Total Balance WA Loan WAC % Covered by WA WA % SFD % Owner % Cashout
Amount %[2] Balance Mortgage Ins. FICO LTV PUD Occ Refi
------------------------------------------------------------------------------------------------------------------------------------
Primary Residence 769,571,106 95.62% 147,909 6.83% 59.14% 609 81.83% 90.62% 100.00% 66.44%
Non-owner 35,222,158 4.38% 107,058 6.86% 62.38% 648 77.15% 74.38% 0.00% 59.78%
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TOTAL 804,793,264 100.00% 145,480 6.83% 59.26% 611 81.63% 89.91% 95.62% 66.14%
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PREPAYMENT PENALTY
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Prepayment Charges Total Balance WA Loan WAC % Covered by WA WA % SFD % Owner % Cashout
Term at Origination Amount %[2] Balance Mortgage Ins. FICO LTV PUD Occ Refi
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0 Months 238,928,434 29.69% 140,878 6.86% 61.06% 614 81.80% 89.63% 94.77% 64.63%
12 Months 48,139,787 5.98% 175,693 6.79% 57.12% 620 80.46% 85.49% 95.93% 62.50%
24 Months 418,661,402 52.02% 150,112 6.79% 57.82% 608 81.69% 89.74% 96.47% 66.26%
36 Months 97,091,809 12.06% 128,089 6.92% 62.03% 606 81.43% 93.50% 94.10% 71.04%
48 Months 107,093 0.01% 107,093 5.99% 100.00% 637 80.00% 100.00% 100.00% 100.00%
60 Months 584,045 0.07% 97,341 7.42% 66.97% 633 83.18% 72.28% 72.28% 40.71%
Other 1,280,693 0.16% 160,087 6.94% 72.92% 621 85.85% 100.00% 91.57% 85.55%
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TOTAL 804,793,264 100.00% 145,480 6.83% 59.26% 611 81.63% 89.91% 95.62% 66.14%
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STRESS ANALYSIS
RATING AGENCY BASE CASE LOSS EXPECTATIONS
--------------------------------------------------------------------------------
STANDARD & POORS: Analyst Name : XXXXX'X: Analyst Name :
--------------------------------------------------------------------------------
Foreclosure Loss Cum Losses Foreclosure Loss Cum
Frequency Severity Losses Frequency Severity Losses
--------------------------------------------------------------------------------
AA
--------------------------------------------------------------------------------
A
--------------------------------------------------------------------------------
A-
--------------------------------------------------------------------------------
BBB+
--------------------------------------------------------------------------------
BBB
--------------------------------------------------------------------------------
BBB-
--------------------------------------------------------------------------------
B
--------------------------------------------------------------------------------
Assuming forward LIBOR and Loss Severity depending on MI (see table on the side
for Loss Severity assumption); 100% advance of P & I; 12 month lag for
liquidation losses, Solve for first dollar of principal loss, i.e. breakeven CDR
and corresponding cumulative losses.
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BREAKEVEN CDR CUMULATIVE LOSSES
-------------------------------------------------------------------------
25 CPR 40 CPR 60 CPR 25 CPR 40 CPR 60 CPR
-------------------------------------------------------------------------
AA
-------------------------------------------------------------------------
A
-------------------------------------------------------------------------
A-
-------------------------------------------------------------------------
BBB+
-------------------------------------------------------------------------
BBB
-------------------------------------------------------------------------
BBB-
-------------------------------------------------------------------------
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Mortgage Insurance (MI) Coverage Loss Severity %
---------------------------------------------------------
None 50%
---------------------------------------------------------
>70% Loans w/ >80 LTV down to 80% 45%
---------------------------------------------------------
50 - 70% Loans w/ >80 LTV down to 80% 40%
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50 - 70% Loans w/ >80 LTV down to 60% 35%
---------------------------------------------------------
>70% LTV >80% down to 60% 30%
---------------------------------------------------------
