FICO DISTRIBUTION
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
FICO Total Balance LTV Adjusted Balance[1] WA Loan WAC % Covered WA FICO WA LTV
Amount %[2] Amount %[2] Balance Mortgage Ins.
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
FICO NA 1,276,948 0.11% > 65.0 688,948 0.06% 75,115 8.081 0.00 0 66.17
0 - 500 2,355,505 0.21% > 65.0 1,988,205 0.17% 117,775 8.587 0.00 478 68.41
500.01 - 550 95,695,179 8.41% > 70.0 65,535,556 5.76% 118,435 8.040 0.00 536 75.36
550.01 - 575 140,966,803 12.39% > 70.0 121,175,072 10.65% 129,804 7.759 0.00 564 80.75
575.01 - 600 174,465,927 15.34% > 70.0 153,625,196 13.51% 130,882 7.339 0.00 588 81.47
600.01 - 620 201,694,866 17.73% > 70.0 187,298,465 16.47% 141,342 7.052 0.00 610 83.76
620.01 - 650 264,281,449 23.24% > 80.0 136,213,592 11.98% 149,312 6.855 0.11 635 83.18
650.01 - 680 149,383,170 13.13% > 80.0 72,201,614 6.35% 150,740 6.635 0.00 663 83.14
680.01 - 700 43,370,900 3.81% > 85.0 13,443,798 1.18% 163,049 6.508 0.00 689 83.34
700.01 - 750 47,453,777 4.17% > 85.0 15,803,795 1.39% 160,860 6.384 0.00 720 82.61
750.01 - 800 15,912,586 1.40% > 85.0 0.35%,3164,047 6.350 0.00 766 81.88
800 + 435,667 0.04% > 85.0 0.01%7,108,917 6.741 0.00 809 84.59
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
TOTAL 1,137,292,778 100.00% 772,167,640 67.90% 140,164 7.112 0.03 617 81.97
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
FICO DISTRIBUTIO
----------------------------------------------------
-----------------------------------------------------
FICO WA DTI % SFD/ % Owner %Full% Cashout
PUD Occ. Doc. Refi.
----------------------------------------------------
----------------------------------------------------
FICO NA 0 96.08 100.00 76.51 42.56
0 - 500 0 97.45 97.45 87.72 97.03
500.01 - 550 0 94.93 98.29 91.72 75.72
550.01 - 575 0 93.15 98.15 91.18 68.33
575.01 - 600 0 91.88 96.82 92.03 66.33
600.01 - 620 0 93.20 94.63 81.47 62.84
620.01 - 650 0 89.66 92.47 72.92 59.85
650.01 - 680 0 89.71 89.73 66.49 55.31
680.01 - 700 0 90.09 84.87 63.58 43.13
700.01 - 750 0 79.16 78.96 65.72 36.48
750.01 - 800 0 84.27 70.99 54.55 18.22
800 + 0 87.70 35.13 71.17 48.34
----------------------------------------------------
----------------------------------------------------
TOTAL 0 91.04 93.20 79.49 61.02
----------------------------------------------------
----------------------------------------------------
FICO: Average 617 Min: 350 Max: 814
--------------- ------------------- ---------
DEBT-TO INCOME (DTI) DISTRIBUTION
--------------------------------------------------------------------------------
---------------------------------------------------------------------------------
DTI Total Balance FICO Adjusted Balance[1]
Amount %[2] Amount %[2]
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<= 20 #DIV/0! < 550 #DIV/0!
20.001 - 25.00 #DIV/0! < 550 #DIV/0!
25.001 - 30.00 #DIV/0! < 575 #DIV/0!
30.001 - 35.00 #DIV/0! < 575 #DIV/0!
35.001 - 40.00 #DIV/0! < 600 #DIV/0!
40.001 - 45.00 #DIV/0! < 625 #DIV/0!
45.001 - 50.00 #DIV/0! < 650 #DIV/0!
50.001 - 55.00 #DIV/0! < 675 #DIV/0!
55+ #DIV/0! < 700 #DIV/0!
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
TOTAL - #DIV/0! - #DIV/0!
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------
DTI WA Loan WAC % Covered WA FICO WA LTV WA DTI % SFD/ % Owner % Full % Cashout Refi
Balance Mortgage Ins. PUD Occ. Doc.
--------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------
<= 20
20.001 - 25.00
25.001 - 30.00
30.001 - 35.00
35.001 - 40.00
40.001 - 45.00
45.001 - 50.00
50.001 - 55.00
55+
--------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------
TOTAL
--------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------
DTI: Average Min: ▇▇▇:
--------------- ------------------- ---------
--------------- ------------------- ---------
LOAN-TO- VALUE (LTV) DISTIBUTION
-----------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------------
LTV Total Balance DTI Adjusted Balance[1] WA Loan WAC % Covered WAFICO WA LTV
Amount %[2] Amount %[2] Balance Mortgage Ins.
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
<=60.00 43,633,944 3.84% > 50 0.00% 108,813 7.000 0.00 593 50.76
60.01 - 70.00 80,435,350 7.07% > 50 0.00% 126,870 7.298 0.00 591 67.21
70.01 - 80.00 441,137,736 38.79% > 50 0.00% 141,891 6.897 0.00 623 78.70
80.01 - 85.00 189,524,123 16.66% > 50 0.00% 138,137 7.260 0.08 609 84.57
85.01 - 90.00 274,213,264 24.11% > 50 0.00% 144,095 7.302 0.05 615 89.69
90.01 - 95.00 108,348,362 9.53% > 50 0.00% 155,897 7.156 0.00 642 94.75
95.01 - 100.00 0.00% > 50 0.00%
100+ 0.00% > 50 0.00%
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
TOTAL 1,137,292,778 100.00% - 0.00% 140,164 7.112 0.03 617 81.97
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------
-----------------------------------------------------
LTV WA DTI % SFD/ % Owner % Full %Cashout
PUD Occu. Doc. Ref.
---------------------------------------------------
---------------------------------------------------
<=60.00 0.00 89.28 93.46 66.44 84.65
60.01 - 70.00 0.00 86.91 90.59 70.61 83.89
70.01 - 80.00 0.00 89.70 93.36 66.08 50.14
80.01 - 85.00 0.00 90.96 92.89 76.71 69.54
85.01 - 90.00 0.00 92.12 91.56 99.55 61.05
90.01 - 95.00 0.00 97.68 99.03 100.00 63.89
95.01 - 100.00
100+
---------------------------------------------------
---------------------------------------------------
TOTAL 0 91.04 93.20 79.49 61.02
---------------------------------------------------
---------------------------------------------------
LTV: Average 81.97 Min: 11.00 Max: 95.00
--------------- ---------- ----------
---------------------------------------------------------------------------------
[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
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
STATE Total Balance WA Loan WAC % Covered WA FICO WA LTV WA DTI % SFD/ % Owner
Amount %[2] Balance Mortgage Ins. PUD
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
California 216,513,726 19.04% 213,104 6.581 0.00 632 80.38 0 88.28 96.02
Michigan 91,669,881 8.06% 114,017 7.353 0.00 609 81.99 0 94.81 93.72
Florida 74,631,903 6.56% 126,067 7.316 0.00 612 81.53 0 93.15 91.95
Minnesota 69,398,900 6.10% 159,538 7.187 0.00 622 82.55 0 91.39 87.97
Illinois 53,267,826 4.68% 143,967 7.163 0.00 620 81.72 0 77.89 92.98
Wisconsin 50,686,195 4.46% 117,875 7.398 0.00 613 82.18 0 90.22 96.24
Texas 45,054,358 3.96% 117,329 7.585 0.00 600 82.92 0 96.98 93.63
Colorado 38,580,592 3.39% 172,235 6.807 0.00 625 83.82 0 96.15 90.44
Georgia 37,553,285 3.30% 132,697 7.272 0.38 616 84.08 0 97.01 84.71
North Carolina 32,356,251 2.85% 128,398 7.372 0.00 612 83.52 0 96.32 93.71
Virginia 28,965,973 2.55% 153,259 7.276 0.00 604 81.50 0 90.63 95.33
Arizona 27,945,817 2.46% 135,659 7.099 0.00 619 82.16 0 97.38 91.70
Other 370,668,071 32.59% 126,551 7.185 0.04 613 82.25 0 90.46 93.26
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
TOTAL 1,137,292,778 100.00% 140,164 7.112 0.03 617 81.97 0 91.04 93.20
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
------------------------------
-------------------------------------
STATE % Cashout % Full ▇▇▇
▇▇▇▇.
------------------------------
------------------------------
California 59.08 71.02
Michigan 69.91 80.09
Florida 57.99 74.02
Minnesota 65.87 74.31
Illinois 63.38 79.06
Wisconsin 75.41 87.22
Texas 18.11 85.18
Colorado 65.97 82.80
Georgia 52.23 83.19
North Carolina 53.69 84.60
Virginia 65.96 82.54
Arizona 66.37 81.02
Other 62.80 83.15
------------------------------
------------------------------
TOTAL 61.02 79.49
------------------------------
------------------------------
PRINCIPAL BALANCE
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
Scheduled Principal Total WA Loan WAC % Covered WA FICO WA LTV WA DTI % SFD/ % Owner
Balance PUD Occ.
Amount %[2] Balance Mortgage Ins.
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
0 - $50K 12,695,031 1.12% 41,760 8.361 0.00 590 72.79 0.00 89.43 91.60
$51 - $200K 722,958,261 63.57% 114,865 7.275 0.04 613 81.73 0.00 91.30 91.40
$200.1 - $250K 177,302,086 15.59% 224,433 6.906 0.00 619 82.08 0.00 90.24 95.08
$250.1 - $300K 113,721,563 10.00% 274,028 6.772 0.00 628 83.03 0.00 90.06 97.58
$300.1 - $400K 94,310,898 8.29% 342,949 6.639 0.00 630 83.75 0.00 91.30 98.15
$400.1 - $500K 14,098,689 1.24% 440,584 6.296 0.00 648 82.01 0.00 93.74 93.50
$500.1 - $600K 2,206,250 0.19% 551,563 5.986 0.00 636 76.52 0.00 100.00 100.00
$600.1 - $700K 0.00%
$700.1 - $800K 0.00%
$800.1 - $900K 0.00%
$900.1 - $1000K 0.00%
>$1000K 0.00%
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
TOTAL 1,137,292,778 100.00% 140,164 7.112 0.03 617 81.97 0.00 91.04 93.20
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
-----------------------------------
------------------------------------------
Scheduled Principal
Balance
%Cashout Re %Full Doc
-----------------------------------
-----------------------------------
0 - $50K 74.10 91.09
$51 - $200K 60.80 81.01
$200.1 - $250K 60.37 74.53
$250.1 - $300K 61.92 70.05
$300.1 - $400K 62.92 84.32
$400.1 - $500K 47.00 94.17
$500.1 - $600K 72.80 100.00
$600.1 - $700K
$700.1 - $800K
$800.1 - $900K
$900.1 - $1000K
>$1000K
-----------------------------------
-----------------------------------
TOTAL 61.02 79.49
-----------------------------------
-----------------------------------
Principal Balance: Average 140,164.26 Min: 17,000.00 Max: 600,000.00
---------- ------------------- ---------
DOCUMENTATION TYPE
-----------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------
Doc Type Total Balance WA Loan WAC % Covered WA FIC WA LTV WA DTI
Amount %[2] Balance Mortgage Ins.
-----------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------
Full Doc 904,019,055 79.49% 137,160 7.140 0.02 611 83.28 0.00
Stated Doc 0.00%
Limited/Reduced Doc 233,273,723 20.51% 153,167 7.005 0.07 641 76.91 0.00
NINA 0.00%
Other 0.00%
-----------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------
TOTAL 1,137,292,778 100.00% 140,164 7.112 0.03 617 81.97 0.00
-----------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------
--------------------------------------------
---------------------------------------------------
%SFD/PUD %Owner %Cashout
Full Doc Occ. Refi.
Stated Doc
Limited/Reduced Do
NINA
Other --------------------------
--------------------------------------------
------------------ 91.37 94.29 62.85
TOTAL
------------------ 89.77 88.95 53.95
--------------------------
--------------------------
91.04 93.20 61.02
--------------------------
--------------------------
PROPERTY TYPE
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Property Type Total Balance WA Loan WAC % Covered WA FICO WA LTV WA DTI % Owner % Cashout % Full
Amount %[2] Balance Mortgage Ins. Occ. Refi. Doc
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Single Family 939,438,345 82.60% 137,445 7.139 0.02 616 82.12 0.00 94.21 62.05 79.40
PUD 95,932,619 8.44% 176,997 6.978 0.15 616 82.67 0.00 94.36 53.85 83.46
Townhouse 8,889,062 0.78% 125,198 7.044 0.00 618 81.14 0.00 88.85 62.15 76.41
2 - 4 Family 45,263,662 3.98% 150,879 7.019 0.00 643 78.89 0.00 69.49 61.64 72.14
Condo 40,066,011 3.52% 145,695 6.915 0.00 627 81.36 0.00 93.53 50.66 77.14
Manufactured 7,703,079 0.68% 84,649 7.147 0.00 616 77.08 0.00 98.43 73.59 100.00
Other 0.00%
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
TOTAL 1,137,292,778 100.00% 140,164 7.112 0.03 617 81.97 0.00 93.20 61.02 79.49
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
PMI - PRIMARY MORTGAGE INSURANCE
Borrower Paid MI
----------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------
Mortgage Insurance Total Balance WA Loan WAC % Covered WA FICO WA LTV WA DTI % Owner
Amount %[2] Balance Mortgage Ins. Occ.
----------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------
Loans >80 LTV w/MI 302,359 0.03% 151,180 7.333 100 633 87.38 0 100
Loans >80 LTV w/o MI571,783,389 50.28% 144,099 7.260 0.00 618 88.95 0.00 93.41
Other 565,207,030 49.70% 136,392 6.962 0.00 616 74.91 0.00 92.98
----------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------
TOTAL 1,137,292,778 100.00% 140,164 7.112 0.03 617 81.97 0.00 93.20
----------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------
------------------------------------------
-------------------------------------------------
Mortgage Insurance % Cashout %Full Is Mi Down
Refi Doc. to 60 LTV
-------------------------------------------------
------------------------------------------
Loans >80 LTV w/MI 0 47.57 -
Loans >80 LTV w/o MI 64.44 92.09 No
Other 57.60 66.75 No
------------------------------------------
------------------------------------------
TOTAL 61.02 79.49 No
------------------------------------------
------------------------------------------
LOAN BALANCE
----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
Loan Purpose Total Balance WA Loan WAC % Covered WA. FICO WA. LTV WA DTI % SFD/ PUD % Owner Occ
Amount %[2] Balance Mortgage Ins.
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
Debt Consolidation 0.00%
Refinance - Cashout 694,009,847 61.02% 139,640 7.127 0.00 609 81.20 0.00 91.44 95.01
Purchase 361,704,825 31.80% 142,180 7.096 0.04 633 83.41 0.00 90.09 89.63
Refinance - Rate Term81,578,106 7.17% 135,964 7.057 0.18 615 82.23 0.00 91.83 93.59
Other 0.00%
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
TOTAL 1,137,292,778 100.00% 140,164 7.112 0.03 617 81.97 0.00 91.04 93.20
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
COLLATERAL TYPE - FIXED/FLOATING
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
Collateral Type Total Balance WA Loan WAC Covered WA FICO WA LTV WA DTI % SFD/ % Owner %Cashout Index Margin
Amount %[2] Balance Mortgage Ins. PUD Occ. Refi.
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
Fixed 0.00%
Floating 426,579 0.04% 142,193 7.597 0.00 605 81.59 0.00 100.00 100.00 31.79 0.00 7.87
2/28 868,384,815 76.36% 142,756 7.118 0.02 618 82.19 0.00 90.75 93.61 59.01 0.00 6.87
3/27 268,481,385 23.61% 132,387 7.094 0.05 616 81.28 0.00 91.97 91.86 67.57 0.00 7.27
Other 0.00%
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
TOTAL 1,137,292,778 100.00% 140,164 7.112 0.03 61781.97 0.00 91.04 93.20 61.02 0.00 6.97
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
LIEN STATUS
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
Lien Status Total Balance WA Loan WAC % Covered WA FICO WA LTV WA DTI % SFD/ % Owner O%Cashout
Amount %[2] Balance Mortgage Ins. PUD Occ. Refi.
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
First Lien 1,137,292,778 100.00% 140,164 7.112 0.03 617 81.97 0.00 91.04 93.20 61.02
Second Lien 0.00%
Third Lien 0.00%
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
TOTAL 1,137,292,778 100.00% 140,164 7.112 0.03 617 81.97 0.00 91.04 93.20 61.02
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
OCCUPANCY TYPE
-----------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Occupancy Type Total Balance WA Loan WAC % Covered WA FICO WA LTV WA DTI % SFD/ % Owner O%Cashout
Amount %[2] Balance Mortgage Ins. PUD Occ. Refi.
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
Primary Residence 1,059,925,578 93.20% 142,828 7.100 0.03 614 82.05 0 92.04 100.00 62.21
Second Home 8,240,205 0.72% 137,337 7.044 0.00 643 82.67 0 93.26 0.00 27.89
Investment 0.00%
Non-owner 69,126,995 6.08% 109,205 7.303 0.00 656 80.66 0 75.47 0.00 46.77
Other 0.00%
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
TOTAL 1,137,292,778 100.00% 140,164 7.112 0.03 617 81.97 0.00 91.04 93.20 61.02
-----------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------
PREPAYMENT PENALTY
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
Prepayment ChargesTotal Balance WA Loan WAC % Covered WA FICO WA LTV WA DTI % SFD/ % Owner O%Cashout
Term at Origination Amount %[2] Balance Mortgage Ins. PUD Occ. Refi.
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
0 Months 342,505,434 30.12% 134,369 7.186 0.09 613 81.08 0.00 90.99 92.37 66.09
6 Months 324,243 0.03% 64,849 7.994 0.00 621 82.17 0.00 100.00 77.24 58.21
12 Months 59,702,137 5.25% 185,410 6.935 0.00 628 82.31 0.00 83.77 93.31 55.37
24 Months 506,891,758 44.57% 148,084 7.016 0.00 622 82.50 0.00 91.46 94.48 57.37
30 Months 2,917,326 0.26% 208,380 7.612 0.00 601 85.55 0.00 100.00 100.00 40.83
36 Months 223,850,070 19.68% 124,916 7.258 0.00 611 82.00 0.00 91.96 91.44 63.21
60 Months 1,101,810 0.10% 122,423 7.078 0.00 600 83.43 0.00 92.14 100.00 81.89
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
TOTAL 1,137,292,778 100.00% 140,164 7.112 0.03 617 81.97 0.00 91.04 93.20 61.02
---------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
SECTION 32 LOANS
----------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
Total Balance WA Loan WAC % Covered WA FICO WA LTV WA DTI % SFD/ % Owner O%Cashout
Amount %[2] Balance Mortgage Ins. PUD Occ. Refi.
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
Section 32 Loans 0.00%
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
No Section 32 Loan1,137,292,778 100.00% 140,164 7.112 0.03 617 81.97 0.00 91.04 93.20 61.02
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
Total 1,137,292,778 140,164 7.112 0.03 617 81.97 0.00 91.04 93.20 61.02
----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
TOP 5 MSA TOP 5 ORIGINATORS SERVICERS
------------------------------------------ -------------------------------------- -------------------------
------------------------------------------ -------------------------------------- -------------------------
MSA %[2] Originator %[2] Servicer %[2]
------------------------------------------ -------------------------------------- -------------------------
------------------------------------------ -------------------------------------- -------------------------
STRESS ANALYSIS
Rating Agency Base Case Loss Expectations
Standard & Poors: Analyst Name : ▇▇▇▇▇'▇: Analyst Name :
Foreclosure Frequency Loss Severity Cum Losses Foreclosure Frequency Loss Severity Cum 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.
Breakeven CDR Cumulative Losses
25 CPR 40 CPR 60 CPR 25 CPR 40 CPR 60 CPR
AA
A
A-
BBB+
BBB
BBB-
----------------------------------------
Mortgage Insurance (MI) CoLossgSeverity %
----------------------------------------
----------------------------------------
None 50%
----------------------------------------
----------------------------------------
>70% Loans w/ >80 LTV down 45%80%
----------------------------------------
----------------------------------------
50 - 70% Loans w/ >80 LTV d40% to 80%
----------------------------------------
----------------------------------------
50 - 70% Loans w/ >80 LTV d35% to 60%
----------------------------------------
----------------------------------------
>70% LTV >80% down to 60% 30%
----------------------------------------
----------------------------------------
