EXHIBIT 99.1
The mortgage loans delivered to the trust (the "Mortgage Loans")
consist of conventional, one-to four- family, adjustable-rate and fixed-rate
mortgage loans. The Depositor purchased the Mortgage Loans from the Seller
pursuant to the Mortgage Loan Purchase Agreement, dated June 30, 2004 (the
"Mortgage Loan Purchase Agreement"), between the Seller and the Depositor.
Pursuant to the Pooling and Servicing Agreement, dated as of July 1, 2004 (the
"Pooling and Servicing Agreement"), among the Depositor, the Master Servicer and
the Trustee, the Depositor caused the Mortgage Loans to be assigned to the
Trustee for the benefit of the certificateholders.
The Mortgage Loans are 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 93.53% of the Mortgage Loans were originated by
Ameriquest and approximately 6.47% 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 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.
For purposes of calculating interest and principal distributions on the
Class A Certificates, the Mortgage Loans will be divided into two loan groups,
designated as the "Group I Mortgage Loans" and the "Group II Mortgage Loans."
The Group I Mortgage Loans will consist of adjustable-rate and fixed-rate
mortgage loans with principal balances at origination that conform to Freddie
Mac and Xxxxxx Xxx loan limits and the Group II Mortgage Loans will consist of
adjustable-rate and fixed-rate mortgage loans with principal balances at
origination that may or may not conform to Freddie Mac or Xxxxxx Xxx loan
limits.
Approximately 71.72% of the Group I Mortgage Loans and approximately
70.31% 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 will provide 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.
--------------------------------------------------------------------------------------------------------------------------------
COLLATERAL TYPE
--------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NUMBER OF BALANCE BALANCE TERM TO 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 10,808 $1,750,003,938.55 72.92% 355 39.47% 7.312% 599 78.39%
FIXED 4,436 649,993,609.74 27.08 335 37.74 7.238 666 76.06
================================================================================================================================
TOTAL: 15,244 $2,399,997,548.29 100.00% 350 39.00% 7.292% 617 77.76%
--------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL BALANCES AT ORIGINATION
-------------------------------------------------------------------------------------------------------------------------------
RANGE OF % OF
PRINCIPAL PRINCIPAL PRINCIPAL REMAINING DEBT-
BALANCES AT NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
ORIGINATION MORTGAGE AS OF AS OF MATURITY INCOME RATES OLTV
($) LOANS ORIGINATION ORIGINATION (MONTHS) (%) (%) FICO (%)
-------------------------------------------------------------------------------------------------------------------------------
50,001 - 100,000 5,192 $ 402,064,931.00 16.73% 336 36.91% 8.233% 602 74.41%
100,001 - 150,000 3,929 486,555,566.00 20.25 347 38.45 7.481 611 78.21
150,001 - 200,000 2,483 432,085,995.00 17.98 352 39.03 7.168 616 77.78
200,001 - 250,000 1,422 318,461,571.00 13.26 353 39.81 7.025 621 78.08
250,001 - 300,000 941 258,561,923.00 10.76 356 40.25 6.936 618 78.60
300,001 - 350,000 525 170,273,068.00 7.09 357 40.05 6.967 621 79.53
350,001 - 400,000 286 107,105,940.00 4.46 356 39.00 6.783 635 79.67
400,001 - 450,000 194 82,479,584.00 3.43 356 40.60 6.792 646 80.75
450,001 - 500,000 98 46,753,070.00 1.95 357 41.82 6.693 636 79.49
500,001 - 550,000 69 36,261,579.00 1.51 356 38.75 6.522 652 78.46
550,001 - 600,000 103 60,322,272.00 2.51 355 40.15 6.765 640 77.05
800,001 - 850,000 2 1,647,500.00 0.07 359 47.97 6.435 676 68.01
===============================================================================================================================
TOTAL: 15,244 $2,402,572,999.00 100.00% 350 39.00% 7.292% 617 77.76%
-------------------------------------------------------------------------------------------------------------------------------
* Based on the original balances of the Mortgage Loans.
---------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE
---------------------------------------------------------------------------------------------------------------------------------
RANGE OF % OF
PRINCIPAL PRINCIPAL PRINCIPAL REMAINING DEBT-
BALANCES AS OF NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
THE CUT-OFF DATE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
($) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
---------------------------------------------------------------------------------------------------------------------------------
50,000.01 -100,000.00 5,194 $ 401,780,415.04 16.74% 336 36.91% 8.233% 602 74.41%
100,000.01 - 150,000.00 3,931 486,404,260.28 20.27 347 38.45 7.481 611 78.23
150,000.01 - 200,000.00 2,479 431,053,467.94 17.96 352 39.02 7.169 616 77.76
200,000.01 - 250,000.00 1,425 318,869,721.25 13.29 354 39.82 7.027 621 78.05
250,000.01 - 300,000.00 939 257,858,919.00 10.74 356 40.23 6.932 619 78.66
300,000.01 - 350,000.00 525 170,163,036.80 7.09 357 40.03 6.967 621 79.49
350,000.01 - 400,000.00 286 107,044,793.02 4.46 356 38.96 6.781 634 79.70
400,000.01 - 450,000.00 193 81,998,610.76 3.42 356 40.71 6.797 646 80.75
450,000.01 - 500,000.00 98 46,700,081.84 1.95 357 41.82 6.693 636 79.48
500,000.01 - 550,000.00 69 36,221,115.67 1.51 356 38.75 6.522 652 78.46
550,000.01 - 600,000.00 103 60,257,147.51 2.51 355 40.14 6.765 640 77.05
800,000.01 - 850,000.00 2 1,645,979.18 0.07 359 47.97 6.435 676 68.01
=================================================================================================================================
TOTAL: 15,244 $2,399,997,548.29 100.00% 350 39.00% 7.292% 617 77.76%
---------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
REMAINING TERM TO MATURITY
----------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
RANGE OF NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
MONTHS MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
REMAINING LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
----------------------------------------------------------------------------------------------------------------------------
60 - 120 91 $ 7,724,503.10 0.32% 119 35.10% 7.721% 652 65.57%
121 - 180 545 56,142,249.38 2.34 179 35.65 7.467 640 72.95
181 - 240 617 72,473,936.90 3.02 239 36.82 7.247 649 74.67
241 - 300 103 13,907,262.50 0.58 299 37.29 7.139 679 75.92
301 - 360 13,888 2,249,749,596.41 93.74 359 39.18 7.289 615 78.03
============================================================================================================================
TOTAL: 15,244 $2,399,997,548.29 100.00% 350 39.00% 7.292% 617 77.76%
----------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
MORTGAGE RATE
---------------------------------------------------------------------------------------------------------------------------------
% OF
RANGE OF PRINCIPAL PRINCIPAL REMAINING DEBT-
CURRENT NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
MORTGAGE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
---------------------------------------------------------------------------------------------------------------------------------
5.000 - 5.499 186 $ 41,321,329.03 1.72% 353 37.47% 5.347% 696 75.57%
5.500 - 5.999 1,381 303,647,645.05 12.65 352 38.45 5.817 672 77.34
6.000 - 6.499 1,571 314,666,780.20 13.11 351 38.42 6.257 659 77.42
6.500 - 6.999 3,134 557,119,086.47 23.21 349 38.42 6.764 632 78.97
7.000 - 7.499 1,481 235,861,766.76 9.83 349 38.99 7.246 605 77.56
7.500 - 7.999 2,824 410,242,252.45 17.09 350 39.33 7.762 589 77.74
8.000 - 8.499 995 130,834,701.39 5.45 350 40.06 8.255 574 77.67
8.500 - 8.999 1,692 202,642,224.90 8.44 349 39.63 8.752 571 77.25
9.000 - 9.499 496 53,555,683.82 2.23 347 40.40 9.246 567 76.44
9.500 - 9.999 795 84,231,908.61 3.51 347 40.63 9.750 558 77.03
10.000 - 10.499 220 21,540,301.88 0.90 350 41.53 10.236 559 78.54
10.500 - 10.999 289 27,688,235.23 1.15 348 41.12 10.736 554 75.58
11.000 - 11.499 71 6,187,041.11 0.26 349 38.98 11.254 550 75.51
11.500 - 11.999 75 7,334,089.32 0.31 356 39.89 11.777 548 78.51
12.000 - 12.499 18 1,834,918.75 0.08 358 42.73 12.245 566 80.22
12.500 - 12.999 13 995,497.50 0.04 357 37.65 12.660 561 80.05
13.000 - 13.499 1 164,770.00 0.01 354 44.00 13.050 524 75.00
13.500 - 13.999 1 64,987.46 0.00 359 42.00 13.750 587 65.00
14.000 - 14.499 1 64,328.36 0.00 354 40.00 14.050 512 70.00
==================================================================================================================================
TOTAL: 15,244 $2,399,997,548.29 100.00% 350 39.00% 7.292% 617 77.76%
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
ORIGINAL LOAN-TO-VALUE RATIOS
----------------------------------------------------------------------------------------------------------------------------
% OF
RANGE OF PRINCIPAL PRINCIPAL REMAINING DEBT-
ORIGINAL NUMBER OF BALANCE BALANCE TERM TO 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 68 $ 7,287,208.66 0.30% 335 35.05% 7.469% 631 21.01%
25.001 - 30.000 57 5,986,879.39 0.25 344 33.94 7.223 647 28.04
30.001 - 35.000 106 12,719,211.09 0.53 330 33.90 6.933 668 32.87
35.001 - 40.000 128 15,879,495.88 0.66 330 36.11 7.163 626 37.85
40.001 - 45.000 164 20,682,558.74 0.86 338 34.13 6.908 638 42.48
45.001 - 50.000 235 31,831,643.93 1.33 337 37.29 7.253 613 47.91
50.001 - 55.000 349 51,682,157.35 2.15 348 36.86 7.141 616 52.96
55.001 - 60.000 704 100,821,663.92 4.20 346 37.96 7.570 593 58.26
60.001 - 65.000 752 112,243,302.98 4.68 346 39.00 7.280 608 62.95
65.001 - 70.000 922 144,304,461.65 6.01 347 38.39 7.214 612 67.87
70.001 - 75.000 2,407 349,522,303.54 14.56 351 38.49 7.637 587 73.64
75.001 - 80.000 2,572 397,252,985.06 16.55 348 38.79 7.137 624 78.63
80.001 - 85.000 2,506 415,263,979.83 17.30 353 39.99 7.471 607 83.69
85.001 - 90.000 3,984 686,431,296.16 28.60 353 39.67 7.131 634 89.12
90.001 - 95.000 290 48,088,400.11 2.00 349 39.34 6.958 696 93.64
=============================================================================================================================
TOTAL: 15,244 $2,399,997,548.29 100.00% 350 39.00% 7.292% 617 77.76%
-----------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------
FICO SCORE AT ORIGINATION
---------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NUMBER OF BALANCE BALANCE TERM TO 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 - 519 751 $ 97,565,226.01 4.07% 356 42.05% 8.534% 509 68.29%
520 - 539 1,411 194,447,729.37 8.10 354 40.77 8.532 529 73.33
540 - 559 1,685 242,214,220.65 10.09 354 40.23 8.065 551 76.44
560 - 579 1,793 265,395,827.15 11.06 353 38.99 7.739 569 77.88
580 - 599 1,440 222,219,399.56 9.26 352 38.89 7.565 589 78.34
600 - 619 1,554 245,559,873.25 10.23 351 39.28 7.296 609 78.70
620 - 639 1,701 277,031,994.58 11.54 351 38.61 6.974 629 80.29
640 - 659 1,496 251,981,301.49 10.50 348 38.74 6.730 649 80.35
660 - 679 1,039 181,571,075.96 7.57 346 38.46 6.612 669 79.90
680 - 699 791 139,286,726.08 5.80 343 38.54 6.530 689 80.42
700 - 719 557 101,881,413.59 4.25 344 37.57 6.453 709 78.52
720 - 739 329 59,586,001.45 2.48 346 37.67 6.275 729 78.86
740 - 759 296 51,191,187.41 2.13 343 35.57 6.365 749 76.65
760 - 779 231 40,014,094.87 1.67 339 36.10 6.235 769 73.04
780 - 799 144 25,277,421.67 1.05 340 35.34 6.168 788 69.87
800 - 819 25 4,588,329.40 0.19 336 30.62 5.981 805 58.31
820 - 839 1 185,725.80 0.01 358 48.00 7.550 822 54.93
===========================================================================================================================
TOTAL: 15,244 $2,399,997,548.29 100.00% 350 39.00% 7.292% 617 77.76%
---------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
DEBT-TO-INCOME RATIO
-------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
RANGE OF NUMBER OF BALANCE BALANCE TERM TO 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 (%)
-------------------------------------------------------------------------------------------------------------------------------
<= 20.000 982 $ 137,607,007.83 5.73% 345 14.54% 7.154% 633 74.02%
20.001 - 25.000 982 134,521,843.82 5.61 344 23.17 7.253 626 75.77
25.001 - 30.000 1,506 215,497,173.35 8.98 348 28.15 7.253 621 76.62
30.001 - 35.000 1,929 295,412,149.55 12.31 347 33.11 7.193 622 77.20
35.001 - 40.000 2,294 362,794,232.29 15.12 351 38.05 7.237 619 77.79
40.001 - 45.000 2,822 454,941,495.58 18.96 351 43.15 7.309 616 78.52
45.001 - 50.000 3,872 657,462,042.50 27.39 352 48.13 7.236 620 79.46
50.001 - 55.000 857 141,761,603.37 5.91 354 53.13 8.075 565 75.79
===============================================================================================================================
TOTAL: 15,244 $2,399,997,548.29 100.00% 350 39.00% 7.292% 617 77.76%
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION
-------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
STATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-------------------------------------------------------------------------------------------------------------------------------
California 2,487 $ 581,994,478.89 24.25% 354 39.15% 6.702 631 75.19%
Florida 2,047 257,344,900.49 10.72 350 38.99 7.457 607 78.88
New York 833 186,587,722.53 7.77 352 39.67 7.369 627 73.28
Massachusetts 738 158,799,852.11 6.62 355 39.28 6.943 618 73.73
Maryland 676 118,950,622.27 4.96 351 39.53 7.250 609 78.56
Illinois 692 106,515,194.82 4.44 354 39.36 7.737 607 80.07
Texas 998 99,087,142.73 4.13 331 39.02 8.091 604 76.88
Michigan 603 73,622,270.98 3.07 353 39.60 7.540 604 80.43
Minnesota 436 71,636,493.55 2.98 351 37.78 7.185 623 80.81
Pennsylvania 523 61,660,295.21 2.57 342 39.68 7.478 608 79.78
Washington 335 58,912,133.52 2.45 353 37.67 7.075 623 81.21
Connecticut 321 55,177,839.16 2.30 351 40.75 7.214 613 77.79
Georgia 380 50,887,574.37 2.12 348 38.30 8.444 604 81.87
Wisconsin 354 44,453,199.50 1.85 349 39.28 8.067 613 81.13
Colorado 254 42,083,814.57 1.75 353 39.56 7.249 625 80.36
Rhode Island 209 36,746,721.04 1.53 349 41.53 6.988 607 73.86
Alabama 332 35,391,436.94 1.47 329 37.57 8.014 612 82.08
Tennessee 313 33,450,961.48 1.39 340 37.26 7.613 614 82.56
Indiana 318 33,444,032.52 1.39 346 36.29 7.472 612 82.67
Nevada 138 26,447,703.69 1.10 357 38.09 7.036 615 81.12
Other 2,257 266,803,157.92 11.12 345 38.07 7.666 612 80.74
===============================================================================================================================
TOTAL: 15,244 $ 2,399,997,548.29 100.00% 350 39.00% 7.292 617 77.76%
-------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
OCCUPANCY STATUS
-------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NUMBER OF BALANCE BALANCE TERM TO 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 14,436 $2,289,538,187.39 95.40% 350 39.25% 7.281% 616 77.84%
Non-owner Occupied 619 83,409,007.63 3.48 347 32.14 7.518 646 76.02
Second Home 189 27,050,353.27 1.13 351 38.59 7.554 641 76.35
===============================================================================================================================
TOTAL: 15,244 $2,399,997,548.29 100.00% 350 39.00% 7.292% 617 77.76%
-------------------------------------------------------------------------------------------------------------------------------
* Based on mortgagor representation at origination.
--------------------------------------------------------------------------------------------------------------------------------
DOCUMENTATION TYPE
--------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NUMBER OF BALANCE BALANCE TERM TO 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 11,294 $1,780,465,028.80 74.19% 349 38.92% 7.187% 619 78.50%
Stated Docs 2,205 332,662,053.43 13.86 352 39.66 7.798 617 72.45
Limited Docs 1,745 286,870,466.06 11.95 352 38.74 7.358 610 79.33
================================================================================================================================
TOTAL: 15,244 $2,399,997,548.29 100.00% 350 39.00% 7.292% 617 77.76%
--------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
LOAN PURPOSE
---------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NUMBER OF BALANCE BALANCE TERM TO 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** 14,086 $2,225,943,459.69 92.75% 350 38.99% 7.299% 616 77.59%
Refi-No Cashout*** 1,117 166,548,209.34 6.94 348 39.39 7.186 627 79.76
Purchase 41 7,505,879.26 0.31 359 34.75 7.646 637 83.50
=================================================================================================================================
TOTAL: 15,244 $2,399,997,548.29 100.00% 350 39.00% 7.292% 617 77.76%
---------------------------------------------------------------------------------------------------------------------------------
** 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 DEBT-
NUMBER OF BALANCE BALANCE TERM TO 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 1,235 $ 220,391,885.15 9.18% 342 36.30% 6.268% 746 76.09%
7A 1,070 190,796,683.90 7.95 344 38.54 6.501 693 79.61
6A 946 165,916,327.51 6.91 346 38.38 6.535 669 80.12
5A 1,279 219,883,493.41 9.16 347 38.92 6.637 649 80.98
4A 1,363 227,405,473.48 9.48 351 38.62 6.847 632 81.10
3A 1,207 192,858,211.89 8.04 350 39.18 7.155 615 79.21
2A 3,146 483,342,849.01 20.14 352 38.92 7.387 585 79.54
A 1,081 167,332,421.96 6.97 354 38.63 7.933 577 78.86
B 2,222 306,715,926.00 12.78 353 41.13 8.468 547 74.78
C 1,439 194,367,157.37 8.10 355 40.49 8.403 542 69.32
D 256 30,987,118.61 1.29 354 39.38 8.718 527 57.92
==========================================================================================================================
TOTAL: 15,244 $2,399,997,548.29 100.00% 350 39.00% 7.292% 617 77.76%
--------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
PROPERTY TYPE
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NUMBER OF BALANCE BALANCE TERM TO 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 12,926 $ 2,030,668,508.83 84.61% 350 38.99% 7.296 616 78.08%
Two-to-Four Family 706 143,177,706.60 5.97 353 38.87 7.272 631 72.48
Condominium 608 96,189,447.01 4.01 352 39.49 6.940 630 79.03
PUD Detached 454 75,141,428.50 3.13 350 39.52 7.329 616 80.04
Manufactured Housing 372 34,527,876.17 1.44 342 37.25 7.740 627 71.78
Single Family Attached 134 14,072,156.14 0.59 348 38.75 7.998 593 78.68
PUD Attached 44 6,220,425.04 0.26 354 41.84 7.462 608 77.53
===================================================================================================================================
TOTAL: 15,244 $ 2,399,997,548.29 100.00% 350 39.00% 7.292% 617 77.76%
-----------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
PREPAYMENT CHARGE TERM AT ORIGINATION
--------------------------------------------------------------------------------------------------------------------------
% OF
PREPAYMENT PRINCIPAL PRINCIPAL REMAINING DEBT-
CHARGE TERM AT NUMBER OF BALANCE BALANCE TERM TO 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 4,580 $686,758,608.17 28.61% 350 39.43% 7.763% 609 77.59%
12 532 104,904,218.03 4.37 346 39.11 7.000 648 72.99
24 29 5,792,012.41 0.24 347 42.12 8.402 614 79.92
30 23 4,741,535.03 0.20 357 40.36 7.805 594 83.11
36 10,080 1,597,801,174.65 66.58 350 38.79 7.103 619 78.12
==========================================================================================================================
TOTAL: 15,244 $2,399,997,548.29 100.00% 350 39.00% 7.292% 617 77.76%
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
CONFORMING BALANCE
--------------------------------------------------------------------------------------------------------------------------
% OF
RANGE OF PRINCIPAL PRINCIPAL REMAINING DEBT-
MAXIMUM NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
MORTGAGE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
--------------------------------------------------------------------------------------------------------------------------
Conforming
Balance 14,420 $2,045,455,462.55 85.23% 349 38.81% 7.382% 614 77.48%
Non-Conforming
Balance 824 354,542,085.74 14.77 356 40.08 6.775 637 79.39
==========================================================================================================================
TOTAL: 15,244 $2,399,997,548.29 100.00% 350 39.00% 7.292% 617 77.76%
--------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
RANGE OF MAXIMUM NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
MORTGAGE RATES MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
(%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
11.000 - 11.499 186 $ 41,321,329.03 2.36% 353 37.47% 5.347% 696 75.57%
11.500 - 11.999 1,172 256,911,459.45 14.68 355 38.99 5.802 657 79.62
12.000 - 12.499 1,023 200,841,959.57 11.48 356 39.16 6.254 626 79.90
12.500 - 12.999 1,954 360,107,010.94 20.58 356 38.79 6.772 606 79.72
13.000 - 13.499 973 160,335,843.59 9.16 355 39.39 7.249 582 76.72
13.500 - 13.999 2,061 314,860,311.27 17.99 356 39.63 7.771 574 77.37
14.000 - 14.499 720 101,498,225.65 5.80 356 40.68 8.252 562 77.53
14.500 - 14.999 1,248 155,093,926.16 8.86 355 40.21 8.748 563 77.62
15.000 - 15.499 364 41,509,274.16 2.37 354 40.86 9.246 560 76.67
15.500 - 15.999 576 64,493,576.89 3.69 353 40.88 9.744 553 77.31
16.000 - 16.499 177 17,743,841.90 1.01 354 41.82 10.239 555 79.07
16.500 - 16.999 215 21,645,009.28 1.24 354 41.34 10.738 551 75.69
17.000 - 17.499 53 4,894,388.83 0.28 354 38.43 11.255 550 77.07
17.500 - 17.999 57 5,971,703.56 0.34 358 40.31 11.788 550 80.24
18.000 - 18.499 14 1,554,443.94 0.09 358 42.58 12.225 570 81.20
18.500 - 18.999 12 927,548.51 0.05 357 37.26 12.660 559 79.84
19.000 - 19.499 1 164,770.00 0.01 354 44.00 13.050 524 75.00
19.500 - 19.999 1 64,987.46 0.00 359 42.00 13.750 587 65.00
20.000 >= 1 64,328.36 0.00 354 40.00 14.050 512 70.00
===================================================================================================================================
TOTAL: 10,808 $1,750,003,938.55 100.00% 355 39.47% 7.312% 599 78.39%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
% OF
RANGE OF PRINCIPAL PRINCIPAL REMAINING DEBT-
MINIMUM NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
MORTGAGE RATES MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
(%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
5.000 - 5.499 186 $ 41,321,329.03 2.36% 353 37.47% 5.347% 696 75.57%
5.500 - 5.999 1,172 256,911,459.45 14.68 355 38.99 5.802 657 79.62
6.000 - 6.499 1,023 200,841,959.57 11.48 356 39.16 6.254 626 79.90
6.500 - 6.999 1,954 360,107,010.94 20.58 356 38.79 6.772 606 79.72
7.000 - 7.499 973 160,335,843.59 9.16 355 39.39 7.249 582 76.72
7.500 - 7.999 2,061 314,860,311.27 17.99 356 39.63 7.771 574 77.37
8.000 - 8.499 720 101,498,225.65 5.80 356 40.68 8.252 562 77.53
8.500 - 8.999 1,248 155,093,926.16 8.86 355 40.21 8.748 563 77.62
9.000 - 9.499 364 41,509,274.16 2.37 354 40.86 9.246 560 76.67
9.500 - 9.999 576 64,493,576.89 3.69 353 40.88 9.744 553 77.31
10.000 - 10.499 177 17,743,841.90 1.01 354 41.82 10.239 555 79.07
10.500 - 10.999 215 21,645,009.28 1.24 354 41.34 10.738 551 75.69
11.000 - 11.499 53 4,894,388.83 0.28 354 38.43 11.255 550 77.07
11.500 - 11.999 57 5,971,703.56 0.34 358 40.31 11.788 550 80.24
12.000 - 12.499 14 1,554,443.94 0.09 358 42.58 12.225 570 81.20
12.500 - 12.999 12 927,548.51 0.05 357 37.26 12.660 559 79.84
13.000 - 13.499 1 164,770.00 0.01 354 44.00 13.050 524 75.00
13.500 - 13.999 1 64,987.46 0.00 359 42.00 13.750 587 65.00
14.000 - 14.499 1 64,328.36 0.00 354 4.40 14.050 512 70.00
===================================================================================================================================
TOTAL: 10,808 $1,750,003,938.55 100.00% 355 39.47% 7.312% 599 78.39%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
MARGINS OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
RANGE OF NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
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 2 $ 185,815.22 0.01% 314 38.97% 8.450% 590 73.01%
3.250 - 3.499 1 94,904.51 0.01 359 25.00 5.950 622 79.17
3.500 - 3.749 4 780,878.83 0.04 309 35.80 5.644 662 77.18
3.750 - 3.999 3 735,836.66 0.04 359 39.43 5.808 694 74.23
4.000 - 4.249 6 1,154,129.87 0.07 359 37.89 6.360 634 77.20
4.250 - 4.499 10 1,955,610.61 0.11 359 32.29 6.057 667 85.30
4.500 - 4.749 46 8,186,308.31 0.47 353 35.96 6.076 710 83.27
4.750 - 4.999 343 66,072,307.88 3.78 354 37.74 6.051 727 82.14
5.000 - 5.249 446 89,865,490.58 5.14 356 39.24 6.215 685 82.78
5.250 - 5.499 509 98,063,629.91 5.60 355 39.07 6.211 664 82.62
5.500 - 5.749 775 141,661,320.54 8.09 355 39.15 6.422 645 82.06
5.750 - 5.999 1,158 201,769,160.39 11.53 356 38.77 6.718 620 81.49
6.000 - 6.249 3,328 544,304,433.41 31.10 355 39.22 7.244 590 79.85
6.250 - 6.499 934 144,692,047.68 8.27 356 38.99 7.948 571 77.60
6.500 - 6.749 1,935 270,661,411.95 15.47 355 41.05 8.415 546 74.59
6.750 - 6.999 1,308 179,820,652.20 10.28 356 40.49 8.415 538 67.86
===================================================================================================================================
TOTAL: 10,808 $1,750,003,938.55 100.00% 355 39.47% 7.312% 599 78.39%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NEXT RATE NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
ADJUSTMENT MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
DATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
2005-12 3 $ 318,006.61 0.02% 353 43.24% 9.593% 591 81.02%
2006-01 189 24,777,434.48 1.42 353 41.60 8.841 579 77.92
2006-02 12 1,477,064.92 0.08 355 40.51 7.994 604 81.29
2006-03 9 1,289,495.39 0.07 348 35.28 7.557 575 83.94
2006-04 7 1,133,716.07 0.06 357 35.62 7.124 583 82.15
2006-05 356 49,592,462.86 2.83 355 39.85 7.595 591 80.35
2006-06 9,695 1,602,279,366.22 91.56 355 39.46 7.247 600 78.37
2006-07 537 69,136,392.00 3.95 355 38.81 8.042 594 77.43
===================================================================================================================================
TOTAL: 10,808 $1,750,003,938.55 100.00% 355 39.47% 7.312% 599 78.39%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
INITIAL PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
INITIAL NUMBER OF BALANCE BALANCE TERM TO 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 (%)
-----------------------------------------------------------------------------------------------------------------------------------
2 10,808 $1,750,003,938.55 100.00% 355 39.47% 7.312% 599 78.39%
===================================================================================================================================
TOTAL: 10,808 $1,750,003,938.55 100.00% 355 39.47% 7.312% 599 78.39%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
SUBSEQUENT PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
SUBSEQUENT NUMBER OF BALANCE BALANCE TERM TO 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 10,808 $1,750,003,938.55 100.00% 355 39.47% 7.312% 599 78.39%
===================================================================================================================================
TOTAL: 10,808 $1,750,003,938.55 100.00% 355 39.47% 7.312% 599 78.39%
-----------------------------------------------------------------------------------------------------------------------------------
GROUP I MORTGAGE LOAN STATISTICS
The Group I Mortgage Loans consist of 12,946 adjustable-rate and
fixed-rate Mortgage Loans having an aggregate principal balance as of the
Cut-off Date of approximately $1,834,947,035.26, 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 I Mortgage Loans had a first Due Date prior to
January 1, 2004 or after August 1, 2004, or will have a remaining term to stated
maturity of less than 117 months or greater than 360 months as of the Cut-off
Date. The latest maturity date of any Group I Mortgage Loan is July 1, 2034.
-----------------------------------------------------------------------------------------------------------------------------------
COLLATERAL TYPE
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NUMBER OF BALANCE BALANCE TERM TO 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 8,753 $1,284,456,440.31 70.00% 355 39.28% 7.389% 595 78.14%
FIXED 4,193 550,490,594.95 30.00 332 37.59 7.333 663 75.89
===================================================================================================================================
TOTAL: 12,946 $1,834,947,035.26 100.00% 348 38.77% 7.372% 616 77.46%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL BALANCES AT ORIGINATION
-----------------------------------------------------------------------------------------------------------------------------------
RANGE OF % OF
PRINCIPAL PRINCIPAL PRINCIPAL REMAINING DEBT-
BALANCES AT NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
ORIGINATION MORTGAGE AS OF AS OF MATURITY INCOME RATES OLTV
($) LOANS ORIGINATION ORIGINATION (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
50,001 - 100,000 4,687 $363,214,193.00 19.77% 335 36.84% 8.220% 604 74.45%
100,001 - 150,000 3,520 435,958,246.00 23.73 346 38.34 7.473 613 78.16
150,001 - 200,000 2,198 382,576,893.00 20.83 352 38.97 7.161 618 77.79
200,001 - 250,000 1,285 287,750,701.00 15.66 353 39.85 7.007 623 78.14
250,001 - 300,000 862 236,900,047.00 12.90 356 40.20 6.924 620 78.35
300,001 - 350,000 342 108,845,081.00 5.93 356 40.05 6.932 626 79.75
350,001 - 400,000 27 10,161,828.00 0.55 354 39.47 6.787 642 76.29
400,001 - 450,000 15 6,377,950.00 0.35 359 41.62 7.078 652 79.28
450,001 - 500,000 6 2,798,250.00 0.15 359 42.22 6.715 665 82.11
550,001 - 600,000 4 2,384,998.00 0.13 359 33.33 6.142 675 76.90
===================================================================================================================================
TOTAL: 12,946 $1,836,968,187.00 100.00% 348 38.77% 7.372% 616 77.46%
-----------------------------------------------------------------------------------------------------------------------------------
*Based on the original balances of the Mortgage Loans.
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL BALANCE AS OF THE CUT-OFF DATE
-----------------------------------------------------------------------------------------------------------------------------------
RANGE OF % OF
PRINCIPAL PRINCIPAL PRINCIPAL REMAINING DEBT-
BALANCES AS OF NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
THE CUT-OFF DATE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
($) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
50,000.01 - 100,000.00 4,689 $ 362,961,400.49 19.78% 335 36.85% 8.220% 604 74.46%
100,000.01 - 150,000.00 3,521 435,704,592.40 23.74 346 38.34 7.473 613 78.17
150,000.01 - 200,000.00 2,195 381,739,351.38 20.80 352 38.97 7.161 618 77.78
200,000.01 - 250,000.00 1,288 288,186,447.10 15.71 353 39.86 7.009 623 78.11
250,000.01 - 300,000.00 860 236,216,204.47 12.87 356 40.18 6.920 620 78.41
300,000.01 - 350,000.00 341 108,439,861.18 5.91 356 40.07 6.935 625 79.71
350,000.01 - 400,000.00 27 10,149,448.46 0.55 354 39.47 6.787 642 76.29
400,000.01 - 450,000.00 15 6,371,228.27 0.35 359 41.62 7.078 652 79.28
450,000.01 - 500,000.00 6 2,795,817.47 0.15 359 42.22 6.715 665 82.11
550,000.01 - 600,000.00 4 2,382,684.04 0.13 359 33.33 6.142 675 76.90
===================================================================================================================================
TOTAL: 12,946 $1,834,947,035.26 100.00% 348 38.77% 7.372% 616 77.46%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
STATED REMAINING TERM TO MATURITY
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
RANGE OF NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
MONTHS MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
REMAINING LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
60 - 120 90 $ 7,665,537.87 0.42% 119 35.01% 7.725% 652 65.57%
121 - 180 509 49,948,932.32 2.72 179 35.68 7.526 640 72.12
181 - 240 583 67,830,075.20 3.70 239 37.06 7.245 650 74.76
241 - 300 98 12,062,097.49 0.66 299 37.33 7.296 672 77.76
301 - 360 11,666 1,697,440,392.38 92.51 359 38.96 7.372 613 77.78
===================================================================================================================================
TOTAL: 12,946 $1,834,947,035.26 100.00% 348 38.77% 7.372% 616 77.46%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
MORTGAGE RATE
-----------------------------------------------------------------------------------------------------------------------------------
% OF
RANGE OF PRINCIPAL PRINCIPAL REMAINING DEBT-
CURRENT NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
MORTGAGE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
5.000 - 5.499 142 $ 28,149,343.47 1.53% 352 37.05% 5.349% 695 74.59%
5.500 - 5.999 1,062 201,715,766.20 10.99 351 37.96 5.821 673 76.36
6.000 - 6.499 1,284 223,654,370.85 12.19 349 37.96 6.256 660 76.34
6.500 - 6.999 2,654 419,847,387.42 22.88 347 38.31 6.767 634 78.68
7.000 - 7.499 1,284 185,339,478.39 10.10 347 38.74 7.248 607 77.99
7.500 - 7.999 2,442 326,981,309.28 17.82 348 39.10 7.763 591 77.78
8.000 - 8.499 876 109,659,458.86 5.98 349 39.67 8.253 575 77.70
8.500 - 8.999 1,472 169,876,678.21 9.26 348 39.39 8.751 571 77.13
9.000 - 9.499 442 46,146,930.38 2.51 346 40.04 9.244 567 76.50
9.500 - 9.999 695 70,475,419.71 3.84 347 40.50 9.753 558 76.85
10.000 - 10.499 189 17,097,543.40 0.93 349 40.76 10.240 559 78.57
10.500 - 10.999 248 21,592,325.13 1.18 346 40.97 10.748 553 75.10
11.000 - 11.499 63 5,541,652.76 0.30 348 39.24 11.259 550 75.17
11.500 - 11.999 66 6,404,224.68 0.35 356 39.95 11.775 546 77.93
12.000 - 12.499 16 1,638,670.27 0.09 359 43.38 12.259 568 80.67
12.500 - 12.999 11 826,476.25 0.05 358 35.59 12.655 552 79.04
===================================================================================================================================
TOTAL: 12,946 $1,834,947,035.26 100.00% 348 38.77% 7.372% 616 77.46%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
ORIGINAL LOAN-TO-VALUE RATIOS
-----------------------------------------------------------------------------------------------------------------------------------
% OF
RANGE OF PRINCIPAL PRINCIPAL REMAINING DEBT-
ORIGINAL NUMBER OF BALANCE BALANCE TERM TO 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 54 $ 5,427,080.45 0.30% 331 36.25% 7.473% 638 20.92%
25.001 - 30.000 54 5,318,605.73 0.29 342 35.52 7.290 640 27.96
30.001 - 35.000 91 10,678,702.78 0.58 326 34.41 6.925 669 32.98
35.001 - 40.000 115 12,917,566.43 0.70 324 35.75 7.212 630 37.73
40.001 - 45.000 148 18,306,553.02 1.00 336 33.95 6.951 638 42.49
45.001 - 50.000 212 26,403,140.54 1.44 336 37.17 7.246 617 47.95
50.001 - 55.000 307 42,291,108.58 2.30 346 36.71 7.127 621 52.90
55.001 - 60.000 601 79,311,674.78 4.32 344 38.06 7.660 591 58.35
60.001 - 65.000 655 88,675,089.76 4.83 343 38.56 7.337 609 62.89
65.001 - 70.000 783 111,143,815.50 6.06 345 38.08 7.220 615 67.85
70.001 - 75.000 2,063 275,325,753.14 15.00 350 38.42 7.717 585 73.70
75.001 - 80.000 2,168 293,600,709.53 16.00 345 38.28 7.252 621 78.65
80.001 - 85.000 2,093 313,373,309.50 17.08 352 39.80 7.548 605 83.68
85.001 - 90.000 3,337 509,531,607.73 27.77 351 39.53 7.226 631 89.12
90.001 - 95.000 265 42,642,317.79 2.32 348 39.06 7.013 698 93.70
===================================================================================================================================
TOTAL: 12,946 $1,834,947,035.26 100.00% 348 38.77% 7.372% 616 77.46%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
FICO SCORE AT ORIGINATION
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NUMBER OF BALANCE BALANCE TERM TO 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 - 519 653 $ 80,841,383.68 4.41% 356 41.81% 8.581% 510 68.32%
520 - 539 1,196 156,059,637.02 8.50 353 40.30 8.543 529 73.07
540 - 559 1,414 187,366,547.12 10.21 353 40.02 8.105 551 76.60
560 - 579 1,525 209,206,470.27 11.40 353 39.00 7.800 569 78.00
580 - 599 1,203 171,751,888.19 9.36 350 38.67 7.614 589 78.08
600 - 619 1,289 181,629,228.46 9.90 349 39.39 7.398 609 79.26
620 - 639 1,458 216,299,727.14 11.79 349 38.25 7.033 629 80.05
640 - 659 1,262 182,762,617.08 9.96 345 38.24 6.823 649 80.15
660 - 679 882 132,827,544.85 7.24 343 38.23 6.677 669 79.23
680 - 699 671 101,234,386.34 5.52 340 38.27 6.631 689 80.27
700 - 719 480 75,588,153.00 4.12 341 36.94 6.534 709 77.34
720 - 739 287 44,944,835.31 2.45 342 37.36 6.340 729 77.06
740 - 759 267 39,728,359.92 2.17 339 35.35 6.336 749 75.00
760 - 779 209 32,111,941.15 1.75 336 36.17 6.279 769 71.73
780 - 799 128 18,893,481.16 1.03 335 34.20 6.195 788 69.21
800 - 819 21 3,515,108.77 0.19 335 31.21 6.094 805 61.84
820 - 839 1 185,725.80 0.01 358 48.00 7.550 822 54.93
===================================================================================================================================
TOTAL: 12,946 $1,834,947,035.26 100.00% 348 38.77% 7.372% 616 77.46%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
DEBT-TO-INCOME RATIO
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
RANGE OF NUMBER OF BALANCE BALANCE TERM TO 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 (%)
-----------------------------------------------------------------------------------------------------------------------------------
<= 20.000 844 $ 103,651,828.58 5.65% 341 14.90% 7.274% 632 73.94%
20.001 - 25.000 862 108,912,145.11 5.94 345 23.12 7.287 627 75.54
25.001 - 30.000 1,314 173,276,109.34 9.44 347 28.17 7.352 620 76.38
30.001 - 35.000 1,646 231,369,945.61 12.61 344 33.07 7.246 621 76.58
35.001 - 40.000 1,954 278,548,645.32 15.18 348 38.01 7.317 618 77.51
40.001 - 45.000 2,360 346,554,948.63 18.89 349 43.13 7.358 614 78.29
45.001 - 50.000 3,291 499,144,711.40 27.20 350 48.13 7.327 618 79.32
50.001 - 55.000 675 93,488,701.27 5.09 354 53.16 8.384 553 74.67
===================================================================================================================================
TOTAL: 12,946 $1,834,947,035.26 100.00% 348 38.77% 7.372% 616 77.46%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
STATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
California 1,874 $ 363,874,641.54 19.83% 353 38.77% 6.779% 628 73.20%
Florida 1,801 215,792,217.77 11.76 349 39.10 7.488 607 79.01
New York 690 138,263,085.80 7.53 349 39.69 7.406 625 72.38
Massachusetts 606 119,928,940.27 6.54 354 38.92 6.954 616 72.95
Maryland 557 88,182,290.86 4.81 351 39.32 7.316 607 78.85
Illinois 887 85,949,303.00 4.68 329 38.91 8.109 604 76.97
Texas 575 81,094,088.71 4.42 353 39.29 7.787 606 80.05
Michigan 526 60,939,268.42 3.32 351 38.96 7.540 605 80.07
Minnesota 380 57,769,401.28 3.15 350 37.92 7.226 623 80.62
Pennsylvania 464 52,171,567.39 2.84 341 39.49 7.493 609 79.50
Washington 283 46,429,318.50 2.53 351 38.06 7.114 619 80.88
Connecticut 322 40,382,170.02 2.20 346 37.42 8.426 609 82.27
Georgia 261 40,214,108.92 2.19 348 40.48 7.292 612 77.21
Wisconsin 315 38,216,152.92 2.08 347 39.13 8.028 613 81.45
Colorado 210 31,413,141.09 1.71 351 39.20 7.314 624 79.37
Rhode Island 295 30,635,777.94 1.67 327 37.28 8.046 612 81.89
Alabama 287 29,992,757.35 1.63 339 36.95 7.621 615 82.40
Tennessee 177 28,611,893.38 1.56 349 41.26 6.947 611 74.39
Indiana 279 28,282,267.87 1.54 345 36.48 7.560 610 82.43
Nevada 204 22,497,556.37 1.23 345 37.59 7.610 602 81.64
Other 1,953 234,307,085.86 12.77 345 37.89 7.623 615 80.63
===================================================================================================================================
TOTAL: 12,946 $1,834,947,035.26 100.00% 348 38.77% 7.372% 616 77.46%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
OCCUPANCY STATUS
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NUMBER OF BALANCE BALANCE TERM TO 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 12,237 $1,746,978,026.40 95.21% 348 39.00% 7.360% 614 77.54%
Non-owner Occupied 551 67,927,566.86 3.70 347 32.60 7.626 645 75.98
Second Home 158 20,041,442.00 1.09 348 39.33 7.558 641 75.96
===================================================================================================================================
TOTAL: 12,946 $1,834,947,035.26 100.00% 348 38.77% 7.372% 616 77.46%
-----------------------------------------------------------------------------------------------------------------------------------
*Based on mortgagor representation at origination.
-----------------------------------------------------------------------------------------------------------------------------------
DOCUMENTATION TYPE
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NUMBER OF BALANCE BALANCE TERM TO 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 9,639 $1,368,720,348.42 74.59% 347 38.71% 7.267% 617 78.23%
Stated Docs 1,836 253,313,556.38 13.80 351 39.28 7.877 613 71.95
Limited Docs 1,471 212,913,130.46 11.60 351 38.56 7.444 607 79.13
===================================================================================================================================
TOTAL: 12,946 $1,834,947,035.26 100.00% 348 38.77% 7.372% 616 77.46%
-----------------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------------------
LOAN PURPOSE
---------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NUMBER OF BALANCE BALANCE TERM TO 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 ** 11,932 $1,693,566,534.92 92.30% 348 38.74% 7.381% 615 77.27%
Refi-No Cashout *** 983 136,634,996.07 7.45 346 39.23 7.254 627 79.70
Purchase 31 4,745,504.27 0.26 358 36.98 7.636 639 82.84
===================================================================================================================================
TOTAL: 12,946 $1,834,947,035.26 100.00% 348 38.77% 7.372% 616 77.46%
-----------------------------------------------------------------------------------------------------------------------------------
** 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 DEBT-
NUMBER OF BALANCE BALANCE TERM TO 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 1,092 $ 168,996,416.55 9.21% 339 35.89% 6.307% 747 74.70%
7A 918 139,975,683.80 7.63 340 38.02 6.607 693 79.28
6A 805 121,279,793.75 6.61 343 38.28 6.611 669 79.42
5A 1,079 158,577,447.18 8.64 345 38.41 6.717 649 81.05
4A 1,165 175,445,389.51 9.56 350 38.48 6.901 632 80.76
3A 1,010 143,629,218.14 7.83 348 38.97 7.259 614 79.67
2A 2,651 370,073,981.06 20.17 351 38.95 7.440 584 79.46
A 913 130,634,116.53 7.12 353 38.26 8.018 577 79.10
B 1,859 242,312,550.44 13.21 352 40.78 8.492 548 74.72
C 1,228 156,850,673.00 8.55 354 40.26 8.420 541 69.52
D 226 27,171,765.30 1.48 353 39.12 8.719 527 58.00
===================================================================================================================================
TOTAL: 12,946 $1,834,947,035.26 100.00% 348 38.77% 7.372% 616 77.46%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
PROPERTY TYPE
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NUMBER OF BALANCE BALANCE TERM TO 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 10,939 $1,537,296,417.76 83.78% 348 38.69% 7.380% 614 77.83%
Two-to-Four Family 599 115,297,548.84 6.28 352 39.35 7.295 630 71.87
Condominium 524 76,769,550.18 4.18 351 39.46 7.007 631 78.87
PUD Detached 377 54,990,207.35 3.00 349 39.45 7.477 612 80.04
Manufactured Housing 344 32,006,433.01 1.74 342 37.33 7.719 630 71.78
Single Family Attached 121 12,878,511.98 0.70 347 38.58 7.981 593 78.72
PUD Attached 42 5,708,366.14 0.31 353 41.49 7.259 609 76.53
===================================================================================================================================
TOTAL: 12,946 $1,834,947,035.26 100.00% 348 38.77% 7.372% 616 77.46%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT CHARGE TERM
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PREPAYMENT PRINCIPAL PRINCIPAL REMAINING DEBT-
CHARGE TERM AT NUMBER OF BALANCE BALANCE TERM TO 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 3,828 $ 518,978,060.82 28.28% 348 39.33% 7.842% 607 77.61%
12 473 84,291,421.18 4.59 343 39.14 7.027 648 72.01
24 19 2,026,738.74 0.11 326 32.98 8.654 662 85.46
30 22 4,426,759.36 0.24 356 40.31 7.809 596 82.62
36 8,604 1,225,224,055.16 66.77 348 38.51 7.193 617 77.74
===================================================================================================================================
TOTAL: 12,946 $1,834,947,035.26 100.00% 348 38.77% 7.372% 616 77.46%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
CONFORMING BALANCE
-----------------------------------------------------------------------------------------------------------------------------------
% OF
RANGE OF PRINCIPAL PRINCIPAL REMAINING DEBT-
MAXIMUM NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
MORTGAGE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
Conforming
Balance 12,946 $1,834,947,035.26 100.00% 348 38.77% 7.372% 616 77.46%
===================================================================================================================================
TOTAL: 12,946 $1,834,947,035.26 100.00% 348 38.77% 7.372% 616 77.46%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
RANGE OF MAXIMUM NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
MORTGAGE RATES MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
(%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
11.000 - 11.499 142 $28,149,343.47 2.19% 352 37.05% 5.349% 695 74.59%
11.500 - 11.999 881 166,547,670.51 12.97 354 38.54 5.804 655 79.08
12.000 - 12.499 801 139,023,127.23 10.82 355 39.02 6.254 624 79.51
12.500 - 12.999 1,559 257,055,305.11 20.01 356 38.58 6.773 605 79.43
13.000 - 13.499 806 122,457,500.11 9.53 354 39.15 7.249 582 77.00
13.500 - 13.999 1,705 240,601,419.09 18.73 355 39.52 7.772 573 77.30
14.000 - 14.499 601 80,322,983.12 6.25 355 40.31 8.248 562 77.54
14.500 - 14.999 1,034 124,375,055.22 9.68 355 40.00 8.744 561 77.54
15.000 - 15.499 310 34,100,520.72 2.65 353 40.47 9.244 559 76.81
15.500 - 15.999 477 51,114,920.41 3.98 354 40.80 9.748 552 77.22
16.000 - 16.499 148 13,751,934.02 1.07 354 41.22 10.243 555 79.02
16.500 - 16.999 174 15,549,099.18 1.21 354 41.23 10.755 550 75.05
17.000 - 17.499 45 4,249,000.48 0.33 354 38.68 11.262 550 76.86
17.500 - 17.999 48 5,041,838.92 0.39 359 40.46 11.787 549 79.82
18.000 - 18.499 12 1,358,195.46 0.11 358 43.36 12.239 572 81.88
18.500 - 18.999 10 758,527.26 0.06 358 34.92 12.655 549 78.70
===================================================================================================================================
TOTAL: 8,753 $1,284,456,440.31 100.00% 355 39.28% 7.389% 595 78.14%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
% OF
RANGE OF PRINCIPAL PRINCIPAL REMAINING DEBT-
MINIMUM NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
MORTGAGE RATES MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
(%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
5.000 - 5.499 142 $ 28,149,343.47 2.19% 352 37.05% 5.349% 695 74.59%
5.500 - 5.999 881 166,547,670.51 12.97 354 38.54 5.804 655 79.08
6.000 - 6.499 801 139,023,127.23 10.82 355 39.02 6.254 624 79.51
6.500 - 6.999 1,559 257,055,305.11 20.01 356 38.58 6.773 605 79.43
7.000 - 7.499 806 122,457,500.11 9.53 354 39.15 7.249 582 77.00
7.500 - 7.999 1,705 240,601,419.09 18.73 355 39.52 7.772 573 77.30
8.000 - 8.499 601 80,322,983.12 6.25 355 40.31 8.248 562 77.54
8.500 - 8.999 1,034 124,375,055.22 9.68 355 40.00 8.744 561 77.54
9.000 - 9.499 310 34,100,520.72 2.65 353 40.47 9.244 559 76.81
9.500 - 9.999 477 51,114,920.41 3.98 354 40.80 9.748 552 77.22
10.000 - 10.499 148 13,751,934.02 1.07 354 41.22 10.243 555 79.02
10.500 - 10.999 174 15,549,099.18 1.21 354 41.23 10.755 550 75.05
11.000 - 11.499 45 4,249,000.48 0.33 354 38.68 11.262 550 76.86
11.500 - 11.999 48 5,041,838.92 0.39 359 40.46 11.787 549 79.82
12.000 - 12.499 12 1,358,195.46 0.11 358 43.36 12.239 572 81.88
12.500 - 12.999 10 758,527.26 0.06 358 34.92 12.655 549 78.70
===================================================================================================================================
TOTAL: 8,753 $1,284,456,440.31 100.00% 355 39.28% 7.389% 595 78.14%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
GROSS MARGINS OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
RANGE OF NUMBER OF BALANCE BALANCE TERM TO 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 2 $ 185,815.22 0.01% 314 38.97% 8.450% 590 73.01%
3.250 - 3.499 1 94,904.51 0.01 359 25.00 5.950 622 79.17
3.500 - 3.749 4 780,878.83 0.06 309 35.80 5.644 662 77.18
3.750 - 3.999 2 538,061.67 0.04 359 39.96 5.995 679 70.54
4.000 - 4.249 5 942,813.04 0.07 359 39.21 6.239 637 74.33
4.250 - 4.499 7 1,250,974.88 0.10 359 39.86 6.243 651 83.83
4.500 - 4.749 39 6,651,294.59 0.52 351 35.91 6.172 706 83.44
4.750 - 4.999 269 43,814,428.83 3.41 353 37.40 6.048 725 80.45
5.000 - 5.249 330 55,992,858.05 4.36 356 38.77 6.292 685 83.41
5.250 - 5.499 392 63,851,952.03 4.97 355 39.19 6.223 664 81.84
5.500 - 5.749 606 96,618,469.68 7.52 354 38.57 6.474 644 81.98
5.750 - 5.999 946 149,666,524.19 11.65 355 38.65 6.745 619 81.12
6.000 - 6.249 2,674 395,312,975.56 30.78 355 39.10 7.274 589 80.06
6.250 - 6.499 781 113,264,954.07 8.82 355 38.71 8.004 570 78.11
6.500 - 6.749 1,596 212,435,821.94 16.54 355 40.75 8.416 546 74.45
6.750 - 6.999 1,099 143,053,713.22 11.14 356 40.15 8.435 538 67.96
===================================================================================================================================
TOTAL: 8,753 $1,284,456,440.31 100.00% 355 39.28% 7.389% 595 78.14%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NEXT RATE NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
ADJUSTMENT MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
DATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
2005-12 3 $ 318,006.61 0.02% 353 43.24% 9.593% 591 81.02%
2006-01 158 20,135,602.92 1.57 353 41.18 8.909 580 78.15
2006-02 7 877,104.96 0.07 355 38.83 8.097 609 79.13
2006-03 8 1,161,784.18 0.09 347 33.11 7.410 579 84.38
2006-04 6 1,032,677.56 0.08 357 33.82 7.052 591 82.85
2006-05 294 37,524,773.92 2.92 355 38.66 7.687 587 79.69
2006-06 7,936 1,184,009,576.16 92.18 355 39.26 7.329 596 78.08
2006-07 341 39,396,914.00 3.07 355 39.62 8.095 590 77.98
===================================================================================================================================
TOTAL: 8,753 $1,284,456,440.31 100.00% 355 39.28% 7.389% 595 78.14%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
INITIAL PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
INITIAL NUMBER OF BALANCE BALANCE TERM TO 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 (%)
-----------------------------------------------------------------------------------------------------------------------------------
2 8,753 $1,284,456,440.31 100.00% 355 39.28% 7.389% 595 78.14%
===================================================================================================================================
TOTAL: 8,753 $1,284,456,440.31 100.00% 355 39.28% 7.389% 595 78.14%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
SUBSEQUENT NUMBER OF BALANCE BALANCE TERM TO 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 8,753 $1,284,456,440.31 100.00% 355 39.28% 7.389% 595 78.14%
===================================================================================================================================
TOTAL: 8,753 $1,284,456,440.31 100.00% 355 39.28% 7.389% 595 78.14%
-----------------------------------------------------------------------------------------------------------------------------------
GROUP II MORTGAGE LOAN STATISTICS
The Group II Mortgage Loans consist of 2,298 adjustable-rate and
fixed-rate Mortgage Loans having an aggregate principal balance as of the
Cut-off Date of approximately $565,050,513.03, 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
January 1, 2004 or after August 1, 2004, or will have a remaining term to stated
maturity of less than 117 months or greater than 360 months as of the Cut-off
Date. The latest maturity date of any Group II Mortgage Loan is July 1, 2034.
-----------------------------------------------------------------------------------------------------------------------------------
COLLATERAL TYPE
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NUMBER OF BALANCE BALANCE TERM TO 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 2,055 $465,547,498.24 82.39% 357 40.00% 7.100% 609 79.10%
FIXED 243 99,503,014.79 17.61 350 38.55 6.712 683 76.94
===================================================================================================================================
TOTAL: 2,298 $565,050,513.03 100.00% 356 39.75% 7.032% 622 78.72%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL BALANCES AT ORIGINATION
-----------------------------------------------------------------------------------------------------------------------------------
RANGE OF % OF
PRINCIPAL PRINCIPAL PRINCIPAL REMAINING DEBT-
BALANCES AT NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
ORIGINATION MORTGAGE AS OF AS OF MATURITY INCOME RATES OLTV
($) LOANS ORIGINATION ORIGINATION (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
50,001 - 100,000 505 $ 38,850,738.00 6.87% 348 37.54% 8.355% 586 74.00%
100,001 - 150,000 409 50,597,320.00 8.95 354 39.45 7.552 592 78.69
150,001 - 200,000 285 49,509,102.00 8.75 356 39.43 7.225 600 77.68
200,001 - 250,000 137 30,710,870.00 5.43 357 39.40 7.188 605 77.49
250,001 - 300,000 79 21,661,876.00 3.83 359 40.72 7.066 603 81.37
300,001 - 350,000 183 61,427,987.00 10.86 358 40.05 7.028 614 79.13
350,001 - 400,000 259 96,944,112.00 17.14 357 38.95 6.783 634 80.03
400,001 - 450,000 179 76,101,634.00 13.45 356 40.51 6.768 646 80.87
450,001 - 500,000 92 43,954,820.00 7.77 357 41.80 6.692 635 79.32
500,001 - 550,000 69 36,261,579.00 6.41 356 38.75 6.522 652 78.46
550,001 - 600,000 99 57,937,274.00 10.24 355 40.43 6.790 638 77.06
800,001 - 850,000 2 1,647,500.00 0.29 359 47.97 6.435 676 68.01
===================================================================================================================================
TOTAL: 2,298 $565,604,812.00 100.00% 356 39.75% 7.032% 622 78.72%
-----------------------------------------------------------------------------------------------------------------------------------
*Based on the original balances of the Mortgage Loans.
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL BALANCE AS OF THE CUT-OFF DATE
-----------------------------------------------------------------------------------------------------------------------------------
RANGE OF % OF
PRINCIPAL PRINCIPAL PRINCIPAL REMAINING DEBT-
BALANCES AS OF NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
THE CUT-OFF DATE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
($) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
50,000.01 - 100,000.00 505 $ 38,819,014.55 6.87% 348 37.54% 8.356% 586 74.00%
100,000.01 - 150,000.00 410 50,699,667.88 8.97 353 39.41 7.547 592 78.72
150,000.01 - 200,000.00 284 49,314,116.56 8.73 356 39.47 7.230 600 77.64
200,000.01 - 250,000.00 137 30,683,274.15 5.43 357 39.40 7.189 605 77.49
250,000.01 - 300,000.00 79 21,642,714.53 3.83 359 40.72 7.066 603 81.37
300,000.01 - 350,000.00 184 61,723,175.62 10.92 358 39.96 7.024 614 79.09
350,000.01 - 400,000.00 259 96,895,344.56 17.15 357 38.91 6.780 634 80.05
400,000.01 - 450,000.00 178 75,627,382.49 13.38 356 40.63 6.773 646 80.87
450,000.01 - 500,000.00 92 43,904,264.37 7.77 357 41.80 6.692 635 79.32
500,000.01 - 550,000.00 69 36,221,115.67 6.41 356 38.75 6.522 652 78.46
550,000.01 - 600,000.00 99 57,874,463.47 10.24 355 40.42 6.791 638 77.06
800,000.01 - 850,000.00 2 1,645,979.18 0.29 359 47.97 6.435 676 68.01
===================================================================================================================================
TOTAL: 2,298 $565,050,513.03 100.00% 356 39.75% 7.032% 622 78.72%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
STATED REMAINING TERM TO MATURITY
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
RANGE OF NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
MONTHS MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
REMAINING LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
60 - 120 1 $ 58,965.23 0.01% 117 47.00% 7.200% 661 65.95%
121 - 180 36 6,193,317.06 1.10 179 35.46 6.992 639 79.65
181 - 240 34 4,643,861.70 0.82 239 33.25 7.272 635 73.35
241 - 300 5 1,845,165.01 0.33 299 37.04 6.109 727 63.89
301 - 360 2,222 552,309,204.03 97.75 359 39.86 7.034 622 78.81
===================================================================================================================================
TOTAL: 2,298 $565,050,513.03 100.00% 356 39.75% 7.032% 622 78.72%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
MORTGAGE RATE
-----------------------------------------------------------------------------------------------------------------------------------
% OF
RANGE OF PRINCIPAL PRINCIPAL REMAINING DEBT-
CURRENT NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
MORTGAGE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
5.000 - 5.499 44 $ 13,171,985.56 2.33% 357 38.37% 5.344% 699 77.64%
5.500 - 5.999 319 101,931,878.85 18.04 355 39.42 5.811 670 79.27
6.000 - 6.499 287 91,012,409.35 16.11 356 39.54 6.260 656 80.09
6.500 - 6.999 480 137,271,699.05 24.29 355 38.73 6.756 627 79.89
7.000 - 7.499 197 50,522,288.37 8.94 357 39.92 7.242 597 75.96
7.500 - 7.999 382 83,260,943.17 14.74 356 40.21 7.760 582 77.60
8.000 - 8.499 119 21,175,242.53 3.75 359 42.09 8.264 565 77.50
8.500 - 8.999 220 32,765,546.69 5.80 358 40.89 8.757 571 77.84
9.000 - 9.499 54 7,408,753.44 1.31 355 42.65 9.254 565 76.04
9.500 - 9.999 100 13,756,488.90 2.43 350 41.33 9.737 559 77.98
10.000 - 10.499 31 4,442,758.48 0.79 354 44.50 10.219 557 78.43
10.500 - 10.999 41 6,095,910.10 1.08 354 41.62 10.694 555 77.30
11.000 - 11.499 8 645,388.35 0.11 359 36.80 11.207 548 78.48
11.500 - 11.999 9 929,864.64 0.16 358 39.50 11.789 558 82.53
12.000 - 12.499 2 196,248.48 0.03 356 37.25 12.131 555 76.53
12.500 - 12.999 2 169,021.25 0.03 357 47.75 12.683 603 85.00
13.000 - 13.499 1 164,770.00 0.03 354 44.00 13.050 524 75.00
13.500 - 13.999 1 64,987.46 0.01 359 42.00 13.750 587 65.00
14.000 - 14.499 1 64,328.36 0.01 354 40.00 14.050 512 70.00
===================================================================================================================================
TOTAL: 2,298 $565,050,513.03 100.00% 356 39.75% 7.032% 622 78.72%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
ORIGINAL LOAN-TO-VALUE RATIOS
-----------------------------------------------------------------------------------------------------------------------------------
% OF
RANGE OF PRINCIPAL PRINCIPAL REMAINING DEBT-
ORIGINAL NUMBER OF BALANCE BALANCE TERM TO 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 14 $ 1,860,128.21 0.33% 346 31.55% 7.458% 612 21.25%
25.001 - 30.000 3 668,273.66 0.12 359 21.42 6.683 699 28.67
30.001 - 35.000 15 2,040,508.31 0.36 351 31.27 6.974 661 32.25
35.001 - 40.000 13 2,961,929.45 0.52 359 37.71 6.948 610 38.38
40.001 - 45.000 16 2,376,005.72 0.42 354 35.53 6.574 633 42.35
45.001 - 50.000 23 5,428,503.39 0.96 344 37.87 7.287 590 47.69
50.001 - 55.000 42 9,391,048.77 1.66 356 37.57 7.202 593 53.22
55.001 - 60.000 103 21,509,989.14 3.81 356 37.60 7.240 598 57.94
60.001 - 65.000 97 23,568,213.22 4.17 359 40.67 7.066 605 63.19
65.001 - 70.000 139 33,160,646.15 5.87 354 39.44 7.194 603 67.91
70.001 - 75.000 344 74,196,550.40 13.13 355 38.76 7.340 596 73.40
75.001 - 80.000 404 103,652,275.53 18.34 355 40.24 6.813 631 78.58
80.001 - 85.000 413 101,890,670.33 18.03 356 40.56 7.235 614 83.72
85.001 - 90.000 647 176,899,688.43 31.31 356 40.06 6.858 642 89.14
90.001 - 95.000 25 5,446,082.32 0.96 355 41.59 6.534 686 93.20
===================================================================================================================================
TOTAL: 2,298 $565,050,513.03 100.00% 356 39.75% 7.032% 622 78.72%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
FICO SCORE AT ORIGINATION
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NUMBER OF BALANCE BALANCE TERM TO 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 98 $ 16,723,842.33 2.96% 356 43.19% 8.303% 509 68.13%
520 - 539 215 38,388,092.35 6.79 357 42.70 8.491 530 74.37
540 - 559 271 54,847,673.53 9.71 357 40.93 7.929 551 75.89
560 - 579 268 56,189,356.88 9.94 356 38.92 7.510 569 77.44
580 - 599 237 50,467,511.37 8.93 358 39.63 7.398 590 79.24
600 - 619 265 63,930,644.79 11.31 356 38.97 7.005 610 77.09
620 - 639 243 60,732,267.44 10.75 356 39.92 6.762 629 81.14
640 - 659 234 69,218,684.41 12.25 355 40.06 6.484 649 80.87
660 - 679 157 48,743,531.11 8.63 354 39.09 6.432 669 81.73
680 - 699 120 38,052,339.74 6.73 354 39.24 6.259 689 80.82
700 - 719 77 26,293,260.59 4.65 353 39.40 6.221 709 81.94
720 - 739 42 14,641,166.14 2.59 358 38.62 6.077 728 84.38
740 - 759 29 11,462,827.49 2.03 358 36.34 6.462 749 82.37
760 - 779 22 7,902,153.72 1.40 349 35.80 6.056 771 78.41
780 - 799 16 6,383,940.51 1.13 355 38.68 6.090 787 71.83
800 - 819 4 1,073,220.63 0.19 338 28.70 5.613 802 46.75
===================================================================================================================================
TOTAL: 2,298 $565,050,513.03 100.00% 356 39.75% 7.032% 622 78.72%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
DEBT-TO-INCOME RATIO
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
RANGE OF NUMBER OF BALANCE BALANCE TERM TO 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 (%)
-----------------------------------------------------------------------------------------------------------------------------------
<= 20.000 138 $ 33,955,179.25 6.01% 356 13.45% 6.788% 639 74.23%
20.001 - 25.000 120 25,609,698.71 4.53 342 23.35 7.107 623 76.74
25.001 - 30.000 192 42,221,064.01 7.47 354 28.09 6.846 625 77.59
30.001 - 35.000 283 64,042,203.94 11.33 357 33.26 7.001 628 79.42
35.001 - 40.000 340 84,245,586.97 14.91 358 38.18 6.973 621 78.71
40.001 - 45.000 462 108,386,546.95 19.18 355 43.22 7.152 623 79.24
45.001 - 50.000 581 158,317,331.10 28.02 357 48.11 6.948 626 79.90
50.001 - 55.000 182 48,272,902.10 8.54 355 53.07 7.477 587 77.98
===================================================================================================================================
TOTAL: 2,298 $565,050,513.03 100.00% 356 39.75% 7.032% 622 78.72%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
STATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
California 613 $218,119,837.35 38.60% 357 39.80% 6.573% 636 78.52%
Florida 143 48,324,636.73 8.55 359 39.63 7.264 631 75.87
New York 246 41,552,682.72 7.35 354 38.41 7.297 604 78.20
Massachusetts 132 38,870,911.84 6.88 358 40.38 6.907 623 76.12
Maryland 119 30,768,331.41 5.45 351 40.13 7.060 615 77.74
Illinois 117 25,421,106.11 4.50 358 39.59 7.579 610 80.12
Texas 60 14,963,730.24 2.65 359 41.48 7.003 616 79.36
Michigan 56 13,867,092.27 2.45 357 37.17 7.014 621 81.58
Minnesota 111 13,137,839.73 2.33 346 39.76 7.973 601 76.29
Pennsylvania 77 12,683,002.56 2.24 359 42.65 7.541 598 82.14
Washington 52 12,482,815.02 2.21 357 36.22 6.928 638 82.47
Connecticut 44 10,670,673.48 1.89 358 40.62 7.056 626 83.26
Georgia 58 10,505,404.35 1.86 359 41.66 8.517 582 80.32
Wisconsin 59 9,488,727.82 1.68 347 40.74 7.394 601 81.31
Colorado 32 8,134,827.66 1.44 351 42.46 7.133 596 72.00
Rhode Island 39 6,237,046.58 1.10 357 40.22 8.307 609 79.15
Alabama 39 5,161,764.65 0.91 350 35.29 6.991 619 84.00
Tennessee 37 4,755,659.00 0.84 341 39.48 7.810 609 83.30
Indiana 16 4,702,020.46 0.83 359 43.23 6.897 628 83.85
Nevada 28 3,663,804.41 0.65 332 37.31 7.941 586 76.38
Other 220 31,538,598.64 5.58 355 39.35 7.571 601 81.60
===================================================================================================================================
TOTAL: 2,298 $565,050,513.03 100.00% 356 39.75% 7.032% 622 78.72%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
OCCUPANCY STATUS
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NUMBER OF BALANCE BALANCE TERM TO 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 2,199 $542,560,160.99 96.02% 356 40.06% 7.025% 621 78.81%
Non-owner Occupied 68 15,481,440.77 2.74 350 30.13 7.042 651 76.21
Second Home 31 7,008,911.27 1.24 359 36.47 7.541 640 77.47
===================================================================================================================================
TOTAL: 2,298 $565,050,513.03 100.00% 356 39.75% 7.032% 622 78.72%
-----------------------------------------------------------------------------------------------------------------------------------
*Based on mortgagor representation at origination.
-----------------------------------------------------------------------------------------------------------------------------------
DOCUMENTATION TYPE
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NUMBER OF BALANCE BALANCE TERM TO 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 1,655 $411,744,680.38 72.87% 356 39.62% 6.920% 622 79.41%
Stated Docs 369 79,348,497.05 14.04 356 40.85 7.544 627 74.04
Limited Docs 274 73,957,335.60 13.09 355 39.26 7.109 619 79.89
===================================================================================================================================
TOTAL: 2,298 $565,050,513.03 100.00% 356 39.75% 7.032% 622 78.72%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
LOAN PURPOSE
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NUMBER OF BALANCE BALANCE TERM TO 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 ** 2,154 $532,376,924.77 94.22% 356 39.77% 7.037% 622 78.62%
Refi-No Cashout *** 134 29,913,213.27 5.29 357 40.11 6.878 629 80.04
Purchase 10 2,760,374.99 0.49 359 30.93 7.663 633 84.63
===================================================================================================================================
TOTAL: 2,298 $565,050,513.03 100.00% 356 39.75% 7.032% 622 78.72%
-----------------------------------------------------------------------------------------------------------------------------------
** 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 DEBT-
NUMBER OF BALANCE BALANCE TERM TO 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 143 $ 51,395,468.60 9.10% 355 37.65% 6.139% 743 80.65%
7A 152 50,821,000.10 8.99 354 39.97 6.209 693 80.53
6A 141 44,636,533.76 7.90 353 38.64 6.327 669 82.03
5A 200 61,306,046.23 10.85 354 40.25 6.429 649 80.82
4A 198 51,960,083.97 9.20 357 39.12 6.664 635 82.25
3A 197 49,228,993.75 8.71 356 39.81 6.852 616 77.86
2A 495 113,268,867.95 20.05 357 38.83 7.212 586 79.82
A 168 36,698,305.43 6.49 358 39.98 7.627 578 77.98
B 363 64,403,375.56 11.40 356 42.42 8.379 547 75.00
C 211 37,516,484.37 6.64 357 41.43 8.331 545 68.51
D 30 3,815,353.31 0.68 359 41.29 8.712 525 57.29
===================================================================================================================================
TOTAL: 2,298 $565,050,513.03 100.00% 356 39.75% 7.032% 622 78.72%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
PROPERTY TYPE
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NUMBER OF BALANCE BALANCE TERM TO 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 1,987 $493,372,091.07 87.31% 356 39.92% 7.032% 621 78.87%
Two-to-Four Family 107 27,880,157.76 4.93 358 36.93 7.178 635 74.99
Condominium 77 20,151,221.15 3.57 353 39.73 6.924 627 80.05
PUD Detached 84 19,419,896.83 3.44 354 39.63 6.676 628 79.65
Manufactured Housing 28 2,521,443.16 0.45 353 36.27 7.995 591 71.84
Single Family Attached 13 1,193,644.16 0.21 359 40.55 8.181 589 78.30
PUD Attached 2 512,058.90 0.09 359 45.74 9.728 596 88.69
===================================================================================================================================
TOTAL: 2,298 $565,050,513.03 100.00% 356 39.75% 7.032% 622 78.72%
-----------------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
PREPAYMENT CHARGE TERM
--------------------------------------------------------------------------------------------------------------------------
% OF
PREPAYMENT PRINCIPAL PRINCIPAL REMAINING DEBT-
CHARGE TERM AT NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
ORIGINATION MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
(MONTHS) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
--------------------------------------------------------------------------------------------------------------------------
0 752 $167,780,547.35 29.69% 355 39.74% 7.520% 614 77.53%
12 59 20,612,796.85 3.65 356 38.99 6.886 652 76.97
24 10 3,765,273.67 0.67 359 47.04 8.266 589 76.94
30 1 314,775.67 0.06 359 41.00 7.750 576 90.00
36 1,476 372,577,119.49 65.94 356 39.72 6.807 625 79.36
==========================================================================================================================
TOTAL: 2,298 $565,050,513.03 100.00% 356 39.75% 7.032% 622 78.72%
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
CONFORMING BALANCE
--------------------------------------------------------------------------------------------------------------------------
% OF
RANGE OF PRINCIPAL PRINCIPAL REMAINING DEBT-
MAXIMUM NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
MORTGAGE MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
--------------------------------------------------------------------------------------------------------------------------
Conforming Balance 1,474 $210,508,427.29 37.25% 355 39.18% 7.466% 597 77.59%
Non-Conforming
Balance 824 354,542,085.74 62.75 356 40.08 6.775 637 79.39
==========================================================================================================================
TOTAL: 2,298 $565,050,513.03 100.00% 356 39.75% 7.032% 622 78.72%
--------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
RANGE OF MAXIMUM NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
MORTGAGE RATES MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
(%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
11.000 - 11.499 44 $ 13,171,985.56 2.83% 357 38.37% 5.344% 699 77.64%
11.500 - 11.999 291 90,363,788.94 19.41 357 39.81 5.800 660 80.61
12.000 - 12.499 222 61,818,832.34 13.28 358 39.47 6.255 630 80.78
12.500 - 12.999 395 103,051,705.83 22.14 357 39.32 6.769 611 80.45
13.000 - 13.499 167 37,878,343.48 8.14 357 40.17 7.250 583 75.80
13.500 - 13.999 356 74,258,892.18 15.95 357 39.98 7.766 578 77.59
14.000 - 14.499 119 21,175,242.53 4.55 359 42.09 8.264 565 77.50
14.500 - 14.999 214 30,718,870.94 6.60 357 41.05 8.761 569 77.95
15.000 - 15.499 54 7,408,753.44 1.59 355 42.65 9.254 565 76.04
15.500 - 15.999 99 13,378,656.48 2.87 350 41.20 9.730 558 77.64
16.000 - 16.499 29 3,991,907.88 0.86 354 43.89 10.226 557 79.22
16.500 - 16.999 41 6,095,910.10 1.31 354 41.62 10.694 555 77.30
17.000 - 17.499 8 645,388.35 0.14 359 36.80 11.207 548 78.48
17.500 - 17.999 9 929,864.64 0.20 358 39.50 11.789 558 82.53
18.000 - 18.499 2 196,248.48 0.04 356 37.25 12.131 555 76.53
18.500 - 18.999 2 169,021.25 0.04 357 47.75 12.683 603 85.00
19.000 - 19.499 1 164,770.00 0.04 354 44.00 13.050 524 75.00
19.500 - 19.999 1 64,987.46 0.01 359 42.00 13.750 587 65.00
20.000 >= 1 64,328.36 0.01 354 40.00 14.050 512 70.00
===================================================================================================================================
TOTAL: 2,055 $465,547,498.24 100.00% 357 40.00% 7.100% 609 79.10%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
% OF
RANGE OF PRINCIPAL PRINCIPAL REMAINING DEBT-
MINIMUM NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
MORTGAGE RATES MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
(%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
5.000 - 5.499 44 $ 13,171,985.56 2.83% 357 38.37% 5.344% 699 77.64%
5.500 - 5.999 291 90,363,788.94 19.41 357 39.81 5.800 660 80.61
6.000 - 6.499 222 61,818,832.34 13.28 358 39.47 6.255 630 80.78
6.500 - 6.999 395 103,051,705.83 22.14 357 39.32 6.769 611 80.45
7.000 - 7.499 167 37,878,343.48 8.14 357 40.17 7.250 583 75.80
7.500 - 7.999 356 74,258,892.18 15.95 357 39.98 7.766 578 77.59
8.000 - 8.499 119 21,175,242.53 4.55 359 42.09 8.264 565 77.50
8.500 - 8.999 214 30,718,870.94 6.60 357 41.05 8.761 569 77.95
9.000 - 9.499 54 7,408,753.44 1.59 355 42.65 9.254 565 76.04
9.500 - 9.999 99 13,378,656.48 2.87 350 41.20 9.730 558 77.64
10.000 - 10.499 29 3,991,907.88 0.86 354 43.89 10.226 557 79.22
10.500 - 10.999 41 6,095,910.10 1.31 354 41.62 10.694 555 77.30
11.000 - 11.499 8 645,388.35 0.14 359 36.80 11.207 548 78.48
11.500 - 11.999 9 929,864.64 0.20 358 39.50 11.789 558 82.53
12.000 - 12.499 2 196,248.48 0.04 356 37.25 12.131 555 76.53
12.500 - 12.999 2 169,021.25 0.04 357 47.75 12.683 603 85.00
13.000 - 13.499 1 164,770.00 0.04 354 44.00 13.050 524 75.00
13.500 - 13.999 1 64,987.46 0.01 359 42.00 13.750 587 65.00
14.000 - 14.499 1 64,328.36 0.01 354 40.00 14.050 512 70.00
===================================================================================================================================
TOTAL: 2,055 $465,547,498.24 100.00% 357 40.00% 7.100% 609 79.10%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
GROSS MARGINS OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
RANGE OF NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
GROSS MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
MARGINS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
3.750 - 3.999 1 $ 197,774.99 0.04% 359 38.00% 5.300% 737 84.26%
4.000 - 4.249 1 211,316.83 0.05 359 32.00 6.900 619 90.00
4.250 - 4.499 3 704,635.73 0.15 359 18.86 5.727 694 87.91
4.500 - 4.749 7 1,535,013.72 0.33 359 36.18 5.657 724 82.55
4.750 - 4.999 74 22,257,879.05 4.78 356 38.44 6.056 732 85.48
5.000 - 5.249 116 33,872,632.53 7.28 357 40.00 6.088 685 81.73
5.250 - 5.499 117 34,211,677.88 7.35 356 38.85 6.188 666 84.08
5.500 - 5.749 169 45,042,850.86 9.68 357 40.39 6.313 646 82.24
5.750 - 5.999 212 52,102,636.20 11.19 357 39.12 6.641 622 82.56
6.000 - 6.249 654 148,991,457.85 32.00 357 39.56 7.165 593 79.29
6.250 - 6.499 153 31,427,093.61 6.75 358 39.99 7.746 572 75.75
6.500 - 6.749 339 58,225,590.01 12.51 356 42.13 8.410 546 75.10
6.750 - 6.999 209 36,766,938.98 7.90 357 41.81 8.340 541 67.48
===================================================================================================================================
TOTAL: 2,055 $465,547,498.24 100.00% 357 40.00% 7.100% 609 79.10%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
NEXT RATE NUMBER OF BALANCE BALANCE TERM TO TO- MORTGAGE
ADJUSTMENT MORTGAGE AS OF THE AS OF THE MATURITY INCOME RATES OLTV
DATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
2006-01 31 $ 4,641,831.56 1.00% 351 43.43% 8.548% 577 76.89%
2006-02 5 599,959.96 0.13 355 42.96 7.844 596 84.45
2006-03 1 127,711.21 0.03 356 55.00 8.900 540 80.00
2006-04 1 101,038.51 0.02 357 54.00 7.850 503 75.00
2006-05 62 12,067,688.94 2.59 355 43.57 7.311 601 82.42
2006-06 1,759 418,269,790.06 89.84 357 40.01 7.014 611 79.20
2006-07 196 29,739,478.00 6.39 356 37.75 7.972 598 76.70
===================================================================================================================================
TOTAL: 2,055 $465,547,498.24 100.00% 357 40.00% 7.100% 609 79.10%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
INITIAL PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
INITIAL NUMBER OF BALANCE BALANCE TERM TO 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 (%)
-----------------------------------------------------------------------------------------------------------------------------------
2 2,055 $465,547,498.24 100.00% 357 40.00% 7.100% 609 79.10%
===================================================================================================================================
TOTAL: 2,055 $465,547,498.24 100.00% 357 40.00% 7.100% 609 79.10%
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING DEBT-
SUBSEQUENT NUMBER OF BALANCE BALANCE TERM TO 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 2,055 $465,547,498.24 100.00% 357 40.00% 7.100% 609 79.10%
===================================================================================================================================
TOTAL: 2,055 $465,547,498.24 100.00% 357 40.00% 7.100% 609 79.10%
-----------------------------------------------------------------------------------------------------------------------------------
