EXHIBIT 99.1
The mortgage loans delivered to the Trust on the Closing Date (the
"Initial Mortgage Loans") consist of conventional, one-to four- family,
adjustable-rate and fixed-rate mortgage loans. The Depositor will purchase the
Initial Mortgage Loans from the Seller pursuant to the Mortgage Loan Purchase
Agreement, dated October 4, 2004, between the Seller and the Depositor. Pursuant
to the Pooling and Servicing Agreement, dated October 1, 2004 (the "Pooling and
Servicing Agreement"), among the Depositor, the Master Servicer and the Trustee,
the Depositor caused the Initial Mortgage Loans to be assigned to the Trustee
for the benefit of the certificateholders.
The Initial Mortgage Loans included in loan group I and loan group II
are expected to have an aggregate principal balance as of the Cut-off Date of
$1,040,115,541.14 and $259,884,162.09, respectively.
Subsequent Group I Mortgage Loans (the "Subsequent Group I Mortgage
Loans") and subsequent Group II Mortgage Loans (the "Subsequent Group II
Mortgage Loans"; together with the Subsequent Group I Mortgage Loans, the
"Subsequent Mortgage Loans" and together with the Initial Mortgage Loans, the
"Mortgage Loans") are intended to be purchased by the Trust from the Depositor
from time to time on or before the 90th day following the Closing Date from
funds on deposit in the Pre-Funding Accounts. The Subsequent Mortgage Loans, if
available, will be purchased by the Depositor and sold by the Depositor to the
Trust for deposit in the mortgage pool.
The Mortgage Loans will be secured by mortgages or deeds of trust or
other similar security instruments creating first liens on residential
properties (the "Mortgaged Properties") consisting of attached, detached or
semi-detached one-to four-family dwelling units, individual condominium units or
individual units in planned unit developments and manufactured housing. The
Mortgage Loans will have original terms to maturity of not greater than 30 years
from the date on which the first payment was due on each Mortgage Loan.
Each adjustable-rate Mortgage Loan will accrue interest at the
adjustable-rate calculated as specified under the terms of the related mortgage
note and each fixed-rate Mortgage Loan will have a Mortgage Rate that is fixed
for the life of such Mortgage (each such rate, a "Mortgage Rate").
Approximately 93.876% of the Initial Mortgage Loans were originated by
Ameriquest and approximately 6.124% of the Initial 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 Initial Mortgage Loans as of the Closing Date.
Each adjustable-rate Mortgage Loan will accrue interest at a Mortgage
Rate that is adjustable. The adjustable-rate Mortgage Loans will provide for
semi-annual adjustment to the Mortgage Rate thereon and for corresponding
adjustments to the monthly payment amount due thereon, in each case on each
adjustment date applicable thereto (each such date, an "Adjustment Date"). The
first adjustment will occur after an initial period of two years after
origination. On each Adjustment Date for each adjustable-rate Mortgage Loan, the
Mortgage Rate thereon will be adjusted (subject to rounding) to equal the sum of
the applicable Index and a fixed percentage amount (the "Gross Margin"). The
Mortgage Rate on each adjustable-rate Mortgage Loan will not decrease on the
first related Adjustment Date, will not increase by more than 2.000% per annum
on the first related Adjustment Date (the "Initial Periodic Rate Cap") and will
not increase or decrease by more than 1.000% per annum on any Adjustment Date
thereafter (the "Periodic Rate Cap"). Each Mortgage Rate on each adjustable-rate
Mortgage Loan will not exceed a specified maximum Mortgage Rate
over the life of such Mortgage Loan (the "Maximum Mortgage Rate") or be less
than a specified minimum Mortgage Rate over the life of such Mortgage Loan (the
"Minimum Mortgage Rate"). Effective with the first monthly payment due on each
adjustable-rate Mortgage Loan after each related Adjustment Date, the monthly
payment amount will be adjusted to an amount that will amortize fully the
outstanding principal balance of the related Mortgage Loan over its remaining
term, and pay interest at the Mortgage Rate as so adjusted. Due to the
application of the Periodic Rate Caps and the Maximum Mortgage Rates, the
Mortgage Rate on each such adjustable-rate Mortgage Loan, as adjusted on any
related Adjustment Date, may be less than the sum of the Index and the related
Gross Margin, rounded as described herein. None of the adjustable-rate Mortgage
Loans permits the related mortgagor to convert the adjustable Mortgage Rate
thereon to a fixed Mortgage Rate.
The Mortgage Loans will have scheduled monthly payments due on the
first day of the month (with respect to each Mortgage Loan, a "Due Date"). Each
Mortgage Loan will contain a customary "due-on-sale" clause which provides that
(subject to state and federal restrictions) the Mortgage Loan must be repaid at
the time of sale of the related mortgaged property or with the consent of the
holder of the mortgage note assumed by a creditworthy purchaser of the related
mortgaged property.
None of the Mortgage Loans will be buydown mortgage loans.
Approximately 60.34% of the Group I Initial Mortgage Loans and
approximately 69.04% of the Group II Initial Loans, in each case by aggregate
scheduled principal balances of the related loan group as of the Cut-off Date,
provide for payment by the mortgagor of a prepayment charge on certain principal
prepayments, subject to certain limitations in the related mortgage note and
limitations upon collection in the Pooling and Servicing Agreement. Generally,
each such Mortgage Loan provides for payment of a prepayment charge on certain
prepayments made within a defined period set forth in the related Mortgage Note
(generally within the first three years but possibly as short as one year from
the date of origination of such Mortgage Loan). The amount of the prepayment
charge is as provided in the related Mortgage Note. The holders of the Class P
Certificates will be entitled to all prepayment charges received on the Mortgage
Loans in each loan group, and such amounts will not be available for
distribution on the other classes of Certificates. Under certain instances, as
described under the terms of the Pooling and Servicing Agreement, the Master
Servicer may waive the payment of any otherwise applicable prepayment charge.
Investors should conduct their own analysis of the effect, if any, that the
prepayment charges, and decisions by the Master Servicer with respect to the
waiver thereof, may have on the prepayment performance of the Mortgage Loans.
The Depositor makes no representation as to the effect that the prepayment
charges, and decisions by the Master Servicer with respect to the waiver
thereof, may have on the prepayment performance of the Mortgage Loans.
COLLATERAL TYPE
--------------------- --------------- ------------------ ------------------ ------------- ----------- ---------- ------- ---------
PRINCIPAL % OF REMAINING
BALANCE PRINCIPAL TERM TO DEBT-TO- MORTGAGE
NUMBER OF AS OF BALANCE AS OF MATURITY INCOME RATES
COLLATERAL TYPE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO OLTV (%)
--------------------- --------------- ------------------ ------------------ ------------- ----------- ---------- ------- ---------
2 YEAR ARMS 6,017 $1,039,984,059.99 80.00% 356 40.62 7.715 587 74.36
FIXED 1,898 260,015,643.24 20.00 328 37.84 7.441 667 76.18
--------------------- --------------- ------------------ ------------------ ------------- ----------- ---------- ------- ---------
TOTAL: 7,915 $1,299,999,703.23 100.00% 350 40.06 7.660 603 74.72
--------------------- --------------- ------------------ ------------------ ------------- ----------- ---------- ------- ---------
PRINCIPAL BALANCES AT ORIGINATION
-----------------------------------------------------------------------------------------------------------------------------------
RANGE OF PRINCIPAL % OF REMAINING
PRINCIPAL NUMBER OF BALANCE PRINCIPAL TERM TO DEBT-TO- MORTGAGE
BALANCES MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES FICO
AT ORIGINATION ($) LOANS ORIGINATION ORIGINATION (MONTHS)* (%)* (%)* * OLTV (%)*
------------------------ ---------- ------------------ -------------- ------------- ----------- -------------- ------- ------------
50,000.01 - 100,000.00 2,685 $ 206,877,241.00 15.90% 335 37.80 8.459 596 71.28
100,000.01 - 150,000.00 1,988 245,406,868.00 18.86 346 39.41 7.822 603 74.81
150,000.01 - 200,000.00 1,143 199,742,305.00 15.35 352 40.36 7.623 602 74.14
200,000.01 - 250,000.00 700 156,549,164.00 12.03 356 40.72 7.561 597 75.48
250,000.01 - 300,000.00 528 144,761,272.00 11.12 355 41.45 7.397 601 75.42
300,000.01 - 350,000.00 350 113,317,606.00 8.71 357 41.58 7.283 606 76.95
350,000.01 - 400,000.00 198 74,133,589.00 5.70 357 41.70 7.201 612 76.73
400,000.01 - 450,000.00 121 51,023,813.00 3.92 357 40.91 7.229 606 75.18
450,000.01 - 500,000.00 73 34,880,451.00 2.68 359 38.96 7.139 614 76.66
500,000.01 - 550,000.00 46 24,351,572.00 1.87 359 40.60 7.214 625 78.17
550,000.01 - 600,000.00 65 38,086,889.00 2.93 356 38.42 7.410 609 74.40
600,000.01 - 650,000.00 5 3,110,034.00 0.24 359 35.52 6.518 625 79.73
650,000.01 - 700,000.00 8 5,414,750.00 0.42 344 43.65 7.010 631 77.66
700,000.01 - 750,000.00 5 3,680,250.00 0.28 359 42.53 7.525 638 72.71
------------------------ ---------- ------------------ -------------- ------------- ----------- -------------- ------- ------------
TOTAL: 7,915 $1,301,335,804.00 100.00% 350 40.06 7.659 603 74.72
------------------------ ---------- ------------------ -------------- ------------- ----------- -------------- ------- ------------
* Based on the original balances of the Mortgage Loans.
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE
---------------------------------------------------------------------------------------------------------------------------------
RANGE OF PRINCIPAL % OF PRINCIPAL REMAINING
PRINCIPAL NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
BALANCES AS OF THE MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
CUT-OFF DATE ($) LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
------------------------ --------- ------------------ -------------- ------------- ---------- -------------- -------- -----------
50,000.01 - 100,000.00 2,688 $ 206,937,873.58 15.92% 335 37.81 8.460 596 71.25
100,000.01 - 150,000.00 1,985 244,820,430.40 18.83 346 39.41 7.821 603 74.85
150,000.01 - 200,000.00 1,144 199,735,079.40 15.36 352 40.37 7.623 602 74.12
200,000.01 - 250,000.00 699 156,209,665.71 12.02 356 40.71 7.561 597 75.50
250,000.01 - 300,000.00 529 144,922,591.23 11.15 354 41.48 7.395 601 75.43
300,000.01 - 350,000.00 349 112,913,363.58 8.69 357 41.55 7.286 606 76.94
350,000.01 - 400,000.00 198 74,063,283.49 5.70 357 41.70 7.201 612 76.73
400,000.01 - 450,000.00 121 50,974,845.73 3.92 357 40.91 7.229 606 75.18
450,000.01 - 500,000.00 73 34,838,622.69 2.68 359 38.96 7.140 614 76.66
500,000.01 - 550,000.00 46 24,332,784.05 1.87 359 40.60 7.214 625 78.17
550,000.01 - 600,000.00 65 38,056,306.26 2.93 356 38.42 7.410 609 74.40
600,000.01 - 650,000.00 5 3,107,227.54 0.24 359 35.52 6.518 625 79.73
650,000.01 - 700,000.00 8 5,410,159.37 0.42 344 43.65 7.010 631 77.66
700,000.01 - 750,000.00 5 3,677,470.20 0.28 359 42.53 7.525 638 72.71
------------------------ --------- ------------------ -------------- ------------- ---------- -------------- -------- -----------
TOTAL: 7,915 $1,299,999,703.23 100.00% 350 40.06 7.660 603 74.72
------------------------ --------- ------------------ -------------- ------------- ---------- -------------- -------- -----------
REMAINING TERM TO MATURITY
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
MONTHS MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
REMAINING LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
--------------------- ------------ --------------------- ---------------- ---------- ---------- --------------- -------- -----------
61 - 120 46 $ 4,140,966.21 0.32% 119 34.24 7.755 677 69.38
121 - 180 327 33,010,656.92 2.54 179 36.68 7.684 645 72.07
181 - 240 275 31,330,867.67 2.41 239 38.88 7.726 636 75.12
241 - 300 50 6,396,165.40 0.49 299 35.37 7.248 684 74.35
301 - 360 7,217 1,225,121,047.03 94.24 359 40.23 7.659 600 74.80
--------------------- ------------ --------------------- ---------------- ---------- ---------- --------------- -------- -----------
TOTAL: 7,915 $ 1,299,999,703.23 100.00% 350 40.06 7.660 603 74.72
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MORTGAGE RATE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
RANGE OF CURRENT MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
MORTGAGE RATES (%) LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
--------------------- ------------ --------------------- ---------------- ---------- ---------- --------------- -------- -----------
5.500 - 5.999 207 $ 53,770,706.76 4.14% 352 37.06 5.904 677 73.99
6.000 - 6.499 548 123,474,838.40 9.50 353 38.64 6.286 649 75.15
6.500 - 6.999 1,514 296,208,445.89 22.79 350 38.97 6.770 637 76.59
7.000 - 7.499 848 148,611,007.52 11.43 347 39.59 7.267 604 75.53
7.500 - 7.999 1,756 285,427,845.97 21.96 351 40.88 7.753 584 74.38
8.000 - 8.499 616 85,978,803.43 6.61 350 41.80 8.260 576 73.36
8.500 - 8.999 1,064 152,102,252.36 11.70 352 41.18 8.742 568 73.71
9.000 - 9.499 371 44,590,358.16 3.43 353 41.54 9.235 562 71.96
9.500 - 9.999 557 66,843,244.54 5.14 351 40.88 9.756 555 72.69
10.000 - 10.499 152 16,477,453.07 1.27 347 41.69 10.250 559 72.82
10.500 - 10.999 184 17,811,832.51 1.37 348 40.82 10.734 559 73.64
11.000 - 11.499 41 3,789,439.33 0.29 348 43.40 11.261 549 74.57
11.500 - 11.999 35 2,856,886.25 0.22 349 40.90 11.714 550 70.58
12.000 - 12.499 14 991,700.08 0.08 352 38.22 12.209 557 75.30
12.500 - 12.999 7 1,000,901.74 0.08 359 42.73 12.736 542 78.84
13.500 - 13.999 1 63,987.22 0.00 359 49.00 13.600 541 80.00
--------------------- ------------ --------------------- ---------------- ---------- ---------- --------------- -------- -----------
TOTAL: 7,915 $ 1,299,999,703.23 100.00% 350 40.06 7.660 603 74.72
--------------------- ------------ --------------------- ---------------- ---------- ---------- --------------- -------- -----------
ORIGINAL LOAN-TO-VALUE RATIOS
------------------------------------------------------------------------------------------------------------------------------------
% OF
RANGE OF PRINCIPAL PRINCIPAL REMAINING
ORIGINAL LOAN- NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
TO-VALUE MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
RATIOS (%) LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
--------------------- ------------ --------------------- ---------------- ---------- ---------- --------------- -------- -----------
<= 25.00 40 $ 3,287,636.43 0.25% 343 36.65 8.450 608 20.05
25.01 - 30.00 29 3,504,554.37 0.27 344 31.90 7.395 631 27.90
30.01 - 35.00 45 4,629,039.03 0.36 325 38.13 7.813 607 33.19
35.01 - 40.00 86 8,889,111.76 0.68 332 38.54 7.900 613 37.80
40. 01 - 45.00 110 15,507,028.18 1.19 349 37.94 7.740 604 42.95
45.01 - 50.00 159 20,826,533.66 1.60 348 38.00 7.701 608 47.75
50.01 - 55.00 192 27,353,429.66 2.10 342 37.86 7.600 604 52.81
55.01 - 60.00 492 68,438,682.78 5.26 348 39.89 8.160 564 58.33
60.01 - 65.00 459 71,361,938.46 5.49 351 39.15 7.767 587 63.07
65.01 - 70.00 688 120,782,872.05 9.29 352 40.22 7.619 587 67.83
70.01 - 75.00 1,723 274,566,696.92 21.12 353 40.92 7.979 574 73.78
75.01 - 80.00 1,752 294,049,678.76 22.62 348 39.72 7.418 614 78.64
80.01 - 85.00 1,107 211,297,044.32 16.25 354 40.57 7.461 609 83.40
85.01 - 90.00 927 158,038,758.43 12.16 348 40.12 7.605 649 88.92
90.01 - 95.00 106 17,466,698.42 1.34 347 40.34 7.210 681 93.85
---------------------- ----------- ----------------- -------------- ----------- ---------- --------------- -------- -----------
TOTAL: 7,915 $1,299,999,703.23 100.00% 350 40.06 7.660 603 74.72
---------------------- ----------- ----------------- -------------- ----------- ---------- --------------- -------- -----------
FICO SCORE AT ORIGINATION
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
RANGE OF FICO MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
SCORES LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
--------------------- ------------ --------------------- ---------------- ---------- ---------- --------------- -------- -----------
500 - 519 675 $ 92,561,459.51 7.12% 357 42.82 8.776 509 67.60
520 - 539 985 149,911,911.26 11.53 354 42.15 8.459 529 70.62
540 - 559 943 149,370,151.71 11.49 355 41.24 8.176 550 72.31
560 - 579 846 152,377,533.99 11.72 356 40.31 7.816 569 74.31
580 - 599 703 117,406,820.60 9.03 356 40.72 7.687 590 74.93
600 - 619 819 142,470,378.11 10.96 353 39.72 7.476 609 75.90
620 - 639 766 122,527,771.43 9.43 348 39.13 7.348 629 77.77
640 - 659 661 123,584,024.72 9.51 346 38.72 7.135 649 79.25
660 - 679 510 86,045,492.20 6.62 340 38.11 7.012 669 77.76
680 - 699 394 65,065,666.24 5.01 338 38.71 6.865 689 77.00
700 - 719 235 38,898,881.62 2.99 341 37.26 6.824 708 77.44
720 - 739 132 20,695,742.38 1.59 344 38.44 6.703 729 79.48
740 - 759 106 17,575,142.31 1.35 334 36.48 6.693 750 77.75
760 - 779 83 12,855,369.24 0.99 332 36.92 6.606 769 71.11
780 - 799 50 7,852,260.78 0.60 342 35.76 6.775 787 68.74
800 - 819 7 801,097.13 0.06 340 44.74 6.353 806 74.67
---------------------- ----------- ----------------- -------------- ----------- ---------- --------------- -------- -----------
TOTAL: 7,915 $1,299,999,703.23 100.00% 350 40.06 7.660 603 74.72
---------------------- ----------- ----------------- -------------- ----------- ---------- --------------- -------- -----------
DEBT-TO-INCOME RATIO
------------------------------------------------------------------------------------------------------------------------------------
% OF
RANGE OF PRINCIPAL PRINCIPAL REMAINING
DEBT-TO- NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
INCOME MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
RATIOS (%) LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------- ------------ ------------------- ---------------- ---------- ---------- --------------- -------- -----------
<= 20.000 451 $ 72,210,085.85 5.55% 349 14.83 7.408 614 72.35
20. 01 - 25.00 453 59,163,740.77 4.55 342 23.28 7.684 615 71.98
25.01 - 30.00 684 98,531,823.51 7.58 345 28.14 7.580 613 74.17
30.01 - 35.00 893 131,024,664.61 10.08 350 33.12 7.585 612 74.91
35.01 - 40.00 1,196 193,632,807.74 14.89 349 38.16 7.570 606 75.16
40.01 - 45.00 1,499 262,126,462.40 20.16 351 43.09 7.561 608 74.99
45.01 - 50.00 2,056 367,853,676.48 28.30 353 48.10 7.653 604 76.11
50.01 - 55.00 683 115,456,441.87 8.88 354 53.23 8.350 551 72.14
---------------------- -------------- ------------------ -------------- ----------- ---------- --------------- -------- -----------
TOTAL: 7,915 $1,299,999,703.23 100.00% 350 40.06 7.660 603 74.72
---------------------- -------------- ------------------ -------------- ----------- ---------- --------------- -------- -----------
GEOGRAPHIC DISTRIBUTION
--------------------- ------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
STATE LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
--------------------- ------------ ------------------ ---------------- ---------- ---------- --------------- -------- -----------
California 1,152 $ 298,019,264.02 22.92% 356 41.07 7.142 605 73.31
New York 530 123,311,691.16 9.49 353 40.17 7.782 608 72.24
Florida 823 107,189,139.89 8.25 349 40.53 7.679 589 75.11
New Jersey 569 102,470,753.30 7.88 354 41.43 8.165 601 75.29
Texas 834 87,881,688.80 6.76 333 38.34 8.088 607 76.23
Massachusetts 338 78,647,339.82 6.05 357 40.69 7.323 604 70.95
Maryland 265 48,457,226.32 3.73 354 39.95 7.785 590 74.56
Illinois 261 39,988,848.79 3.08 353 40.02 8.408 593 74.96
Michigan 278 31,574,743.72 2.43 354 39.68 7.928 594 76.89
Pennsylvania 253 30,757,824.22 2.37 339 40.01 7.722 612 75.65
Connecticut 156 28,166,567.18 2.17 352 40.03 7.641 593 73.07
Minnesota 173 27,651,537.60 2.13 351 39.67 7.620 606 77.17
Rhode Island 129 23,856,883.35 1.84 355 41.00 7.298 603 73.93
Nevada 103 21,484,591.62 1.65 355 40.35 7.392 596 74.66
Wisconsin 182 20,242,198.71 1.56 345 39.92 8.186 615 77.81
Ohio 163 18,848,306.12 1.45 354 38.36 7.611 601 82.73
Colorado 102 18,113,115.96 1.39 356 38.99 7.531 609 74.19
Washington 111 18,081,739.15 1.39 355 39.47 7.337 611 77.78
Georgia 143 17,881,744.01 1.38 343 39.40 8.677 599 77.37
Indiana 134 14,202,460.69 1.09 331 37.02 7.581 608 77.25
Other 1,216 143,172,038.80 11.01 342 38.12 7.837 607 77.17
---------------------- ------------ ------------------ -------------- ------------ ---------- ---------------- ------- -----------
TOTAL: 7,915 $1,299,999,703.23 100.00% 350 40.06 7.660 603 74.72
---------------------- ------------ ------------------ -------------- ------------ ---------- ---------------- ------- -----------
OCCUPANCY STATUS
--------------------- ------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
OCCUPANCY MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
STATUS* LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
--------------------- ------------ ------------------ ---------------- ---------- ---------- --------------- -------- -----------
Owner Occupied 7,538 $1,242,981,767.17 95.61% 350 40.25 7.657 601 74.61
Non-owner Occupied 312 47,204,792.96 3.63 352 35.66 7.682 637 76.81
Second Home 65 9,813,143.10 0.75 349 37.50 7.874 621 78.97
---------------------- ------------ ------------------ ----------------- ---------- ---------- --------------- ------- -------------
TOTAL: 7,915 $1,299,999,703.23 100.00% 350 40.06 7.660 603 74.72
---------------------- ------------ ------------------ ----------------- ---------- ---------- --------------- ------- -------------
* Based on mortgagor representation at origination.
DOCUMENTATION TYPE
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% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
INCOME DOCUMENTATION LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
----------------------- ------------ ------------------ ---------------- ---------- ---------- --------------- -------- -----------
Full Docs 5,409 $ 872,777,150.63 67.14% 349 39.75 7.517 602 75.00
Stated Docs 1,368 235,234,555.09 18.09 353 41.54 8.141 610 72.77
Limited Docs 1,138 191,987,997.51 14.77 351 39.68 7.718 596 75.86
----------------------- ------------ ------------------- ---------------- ---------- ---------- --------------- ------- ------------
TOTAL: 7,915 $ 1,299,999,703.23 100.00% 350 40.06 7.660 603 74.72
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LOAN PURPOSE
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
PURPOSE LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------- ------------ ------------------ ---------------- ---------- ---------- --------------- -------- -----------
Refi-Cash Out** 7,562 $1,246,973,698.60 95.92% 350 40.08 7.664 602 74.58
Refi-No Cashout*** 322 47,443,970.69 3.65 350 39.72 7.547 611 77.28
Purchase 31 5,582,033.94 0.43 359 38.93 7.648 653 85.97
---------------------- ------------ ------------------ ----------------- ---------- ---------- --------------- ------- ------------
TOTAL: 7,915 $1,299,999,703.23 100.00% 350 40.06 7.660 603 74.72
---------------------- ------------ ------------------ ----------------- ---------- ---------- --------------- ------- ------------
** 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
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% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
RISK CATEGORY LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
------------------------ ------------ ------------------ ---------------- ---------- ---------- --------------- ------- -----------
8A 440 $ 70,203,367.92 5.40% 339 37.08 6.633 744 75.98
7A 518 86,590,547.75 6.66 339 38.49 6.847 694 77.52
6A 470 80,628,890.01 6.20 341 38.24 6.963 669 78.39
5A 568 109,156,577.22 8.40 346 38.77 7.061 649 79.78
4A 616 98,243,376.33 7.56 347 38.78 7.208 632 79.03
3A 573 99,893,797.67 7.68 351 39.15 7.282 613 76.93
2A 1,391 240,485,399.76 18.50 353 40.17 7.529 585 76.03
A 507 93,688,859.39 7.21 354 39.89 7.839 577 74.99
B 1,334 208,416,917.81 16.03 355 42.21 8.338 545 71.53
C 1,250 181,348,718.51 13.95 356 42.06 8.638 541 69.39
D 248 31,343,250.86 2.41 355 41.09 8.995 524 57.92
------------------------ ------------ ----------------- ----------------- ------------ ---------- -------------- ------- -----------
TOTAL: 7,915 $1,299,999,703.23 100.00% 350 40.06 7.660 603 74.72
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PROPERTY TYPE
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% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
PROPERTY TYPE LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
----------------------- ------------ ------------------ ---------------- ---------- ------------ ------------ -------- -----------
Single Family Detached 6,622 $ 1,086,111,034.85 83.55% 350 39.96 7.659 602 75.18
Two-to-Four Family 451 97,557,284.00 7.50 355 41.37 7.683 609 70.65
Condominium 302 45,912,024.20 3.53 353 39.38 7.543 608 73.76
PUD Detached 255 42,461,832.74 3.27 343 41.54 7.513 599 75.29
Manufactured Housing 193 18,380,706.07 1.41 348 37.51 7.808 616 70.46
Single Family
Attached 82 8,325,025.93 0.64 355 40.15 8.496 580 74.34
PUD Attached 10 1,251,795.44 0.10 359 33.87 7.706 582 77.86
----------------------- ------------ ------------------- ----------------- --------- ------------ ------------- -------- -----------
TOTAL: 7,915 $ 1,299,999,703.23 100.00% 350 40.06 7.660 603 74.72
------------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT CHARGE TERM AT ORIGINATION
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PREPAYMENT PRINCIPAL PRINCIPAL REMAINING
CHARGE TERM AT NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
ORIGINATION MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
(MONTHS) LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
------------------------------------ ------------------ ---------------- ---------- ------------ ------------ -------- -----------
0 3,127 $ 492,957,663.79 37.92% 350 40.15 8.106 598 74.61
12 289 57,149,986.16 4.40 346 39.11 7.213 644 73.84
24 3 1,098,220.56 0.08 359 39.08 7.760 602 83.68
30 3 772,665.25 0.06 359 43.10 7.872 543 75.41
36 4,493 748,021,167.47 57.54 351 40.08 7.399 603 74.85
------------------------ ----------- ------------------- --------------- ------------ ----------- ------------ -------- -----------
TOTAL: 7,915 $1,299,999,703.23 100.00 350 40.06 7.660 603 74.72
------------------------ ----------- ------------------- --------------- ------------ ----------- ------------ -------- -----------
CONFORMING BALANCE
-----------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
CONFORMING MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
BALANCE LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
------------------ ----------- ------------------ ---------------- ---------- ------------ ------------ -------- -----------
Conforming 7,360 $1,056,443,927.87 81.26% 349 40.00 7.764 601 74.39
Balance
Non-Conforming
Balance 555 243,555,775.36 18.74 357 40.35 7.205 610 76.19
------------------ ----------- ------------------ ------------ -------------- ------------- ------------ --------- --------
TOTAL: 7,915 $1,299,999,703.23 100.00% 350 40.06 7.660 603 74.72
-----------------------------------------------------------------------------------------------------------------------------
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF PRINCIPAL
RANGE OF ADJUSTABLE RATE BALANCE REMAINING
MAXIMUM NUMBER OF MORTGAGE LOANS AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
RATES (%) LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
-------------------------------- --------------------- ---------------- --------------- --------- -------------- ------ ------------
11.500 - 11.999 183 $ 48,195,525.50 4.63% 353 36.67 5.907 673 73.99
12.000 - 12.499 413 96,962,032.51 9.32 357 39.94 6.277 629 76.35
12.500 - 12.999 985 204,642,458.82 19.68 356 39.55 6.766 611 76.71
13.000 - 13.499 583 113,235,019.19 10.89 355 40.14 7.271 584 74.93
13.500 - 13.999 1,390 240,248,405.25 23.10 355 41.43 7.759 571 73.63
14.000 - 14.499 475 70,836,193.20 6.81 356 42.52 8.263 564 72.63
14.500 - 14.999 877 132,446,211.97 12.74 357 41.38 8.745 562 73.36
15.000 - 15.499 314 39,594,208.54 3.81 356 41.70 9.235 560 71.75
15.500 - 15.999 467 58,923,835.11 5.67 356 41.23 9.753 551 72.28
16.000 - 16.499 129 14,554,206.99 1.40 352 41.76 10.253 554 72.13
16.500 - 16.999 135 14,058,282.88 1.35 355 40.50 10.725 556 73.03
17.000 - 17.499 29 2,777,451.40 0.27 359 42.19 11.269 552 73.13
17.500 - 17.999 23 2,056,475.36 0.20 359 41.37 11.694 551 68.85
18.000 - 18.499 8 530,707.29 0.05 359 37.45 12.241 543 70.09
18.500 - 18.999 6 923,045.98 0.09 359 42.20 12.756 540 79.17
------------------ -------------- -------------------- ---------------- --------------- ----------- ------------- -------- -------
TOTAL: 6,017 $1,039,984,059.99 100.00% 356 40.62 7.715 587 74.36
------------------------------------------------------------------------------------------------------------------------------------
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
-------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF PRINCIPAL
RANGE OF ADJUSTABLE RATE BALANCE REMAINING
MINIMUM NUMBER OF MORTGAGE LOANS AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
RATES (%) LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
------------------- ------------- ------------------- ---------------- ------------- --------- -------------- ------ ----------
5.500 - 5.999 183 $ 48,195,525.50 4.63% 353 36.67 5.907 673 73.99
6.000 - 6.499 413 96,962,032.51 9.32 357 39.94 6.277 629 76.35
6.500 - 6.999 985 204,642,458.82 19.68 356 39.55 6.766 611 76.71
7.000 - 7.499 583 113,235,019.19 10.89 355 40.14 7.271 584 74.93
7.500 - 7.999 1,390 240,248,405.25 23.10 355 41.43 7.759 571 73.63
8.000 - 8.499 475 70,836,193.20 6.81 356 42.52 8.263 564 72.63
8.500 - 8.999 877 132,446,211.97 12.74 357 41.38 8.745 562 73.36
9.000 - 9.499 314 39,594,208.54 3.81 356 41.70 9.235 560 71.75
9.500 - 9.999 467 58,923,835.11 5.67 356 41.23 9.753 551 72.28
10.000 - 10.499 129 14,554,206.99 1.40 352 41.76 10.253 554 72.13
10.500 - 10.999 135 14,058,282.88 1.35 355 40.50 10.725 556 73.03
11.000 - 11.499 29 2,777,451.40 0.27 359 42.19 11.269 552 73.13
11.500 - 11.999 23 2,056,475.36 0.20 359 41.37 11.694 551 68.85
12.000 - 12.499 8 530,707.29 0.05 359 37.45 12.241 543 70.09
12.500 - 12.999 6 923,045.98 0.09 359 42.20 12.756 540 79.17
------------------- ------------- ------------------ ----------------- ---------- ------------ ------------- -------- --------
TOTAL: 6,017 $1,039,984,059.99 100.00% 356 40.62 7.715 587 74.36
------------------- ------------- ------------------ ----------------- ---------- ------------ ------------- -------- --------
MARGINS OF THE ADJUSTABLE-RATE LOANS
--------------------- -----------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF PRINCIPAL
ADJUSTABLE RATE BALANCE REMAINING
RANGE OF NUMBER OF MORTGAGE LOANS AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
MARGINS (%) LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
------------------- ----------- ------------------- ---------------- ------------- --------- -------------- -------- ----------
3.000 - 3.249 6 $ 988,618.69 0.10% 359 39.97 7.108 606 79.96
3.250 - 3.499 3 362,326.53 0.03 306 39.71 8.460 583 76.95
3.500 - 3.749 2 310,962.63 0.03 359 44.47 6.399 614 80.37
3.750 - 3.999 1 263,261.79 0.03 359 50.00 6.500 560 85.00
4.000 - 4.249 3 480,574.18 0.05 343 45.34 7.652 622 76.98
4.250 - 4.499 4 1,095,897.73 0.11 359 39.12 6.997 612 77.50
4.500 - 4.749 21 4,394,699.97 0.42 359 41.80 6.419 700 77.29
4.750 - 4.999 129 22,590,964.48 2.17 355 38.71 6.716 727 80.10
5.000 - 5.249 158 32,981,282.23 3.17 354 40.91 6.718 684 79.32
5.250 - 5.499 217 42,550,040.10 4.09 353 37.88 6.702 662 78.67
5.500 - 5.749 366 79,454,410.74 7.64 356 39.22 6.955 645 80.66
5.750 - 5.999 547 101,196,844.12 9.73 355 39.45 7.055 616 77.76
6.000 - 6.249 1,609 294,367,617.38 28.31 356 40.25 7.428 590 76.11
6.250 - 6.499 530 94,248,336.58 9.06 357 40.37 7.912 568 74.19
6.500 - 6.749 1,246 194,146,642.78 18.67 356 41.99 8.366 543 70.86
6.750 - 6.999 1,173 170,366,867.72 16.38 356 42.01 8.724 538 67.51
7.000 - 7.249 1 91,000.00 0.01 360 52.00 9.200 511 52.00
8.500 - 8.749 1 93,712.34 0.01 359 25.00 10.450 529 75.00
------------------- ------------- ------------------ ----------------- ----------- ---------- -------------- -------- -----------
TOTAL: 6,017 $1,039,984,059.99 100.00% 356 40.62 7.715 587 74.36
------------------- ------------- ------------------ ----------------- ----------- ---------- -------------- -------- -----------
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
--------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF PRINCIPAL
ADJUSTABLE RATE BALANCE REMAINING
NEXT RATE NUMBER OF MORTGAGE LOANS AS OF TERM TO DEBT-TO- MORTGAGE
ADJUSTMENT MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
DATE LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
------------------- -------------- ------------------- --------------- ------------- --------- -------------- ------ ----------
2006-02 1 $ 111,090.53 0.01% 352 45.00 5.990 608 80.00
2006-03 3 520,676.90 0.05 353 43.98 8.023 566 75.22
2006-04 12 2,393,281.86 0.23 342 45.09 7.564 548 75.88
2006-05 4 762,197.44 0.07 355 49.37 8.170 621 77.03
2006-06 2 308,540.02 0.03 356 43.85 7.885 612 89.19
2006-07 14 2,456,137.84 0.24 353 36.93 7.921 587 78.49
2006-08 243 32,919,027.21 3.17 355 38.71 7.758 585 77.94
2006-09 5,389 950,180,626.19 91.36 356 40.75 7.706 586 74.11
2006-10 349 50,332,482.00 4.84 355 39.10 7.835 606 76.32
------------------- ---------------------------------- --------------- ------------- ---------- -------------- ------ ----------
TOTAL: 6,017 $ 1,039,984,059.99 100.00% 356 40.62 7.715 587 74.36
--------------------------------------------------------------------------------------------------------------------------------
INITIAL PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF PRINCIPAL
ADJUSTABLE RATE BALANCE REMAINING
INITIAL NUMBER OF MORTGAGE LOANS AS OF TERM TO DEBT-TO- MORTGAGE
PERIODIC MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
RATE CAP (%) LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
------------------- --------------- --------------------- ---------------- -------------- ---------- ----------- -------- ----------
2.000 6,017 $ 1,039,984,059.99 100.00% 356 40.62 7.715 587 74.36
------------------- --------------- --------------------- ---------------- -------------- ---------- ----------- -------- ----------
TOTAL: 6,017 $ 1,039,984,059.99 100.00% 356 40.62 7.715 587 74.36
------------------------------------------------------------------------------------------------------------------------------------
SUBSEQUENT PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
BALANCE OF % OF PRINCIPAL
ADJUSTABLE RATE BALANCE REMAINING
SUBSEQUENT NUMBER OF MORTGAGE LOANS AS OF TERM TO DEBT-TO- MORTGAGE
PERIODIC MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
RATE CAP (%) LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
------------------- ------------- --------------------- ---------------- --------------- --------- ------------ -------- -----------
1.000 6,017 $ 1,039,984,059.99 100.00% 356 40.62 7.715 587 74.36
------------------- ------------- --------------------- ---------------- --------------- --------- ------------ -------- -----------
TOTAL: 6,017 $ 1,039,984,059.99 100.00% 356 40.62 7.715 587 74.36
------------------- ------------- --------------------- ---------------- --------------- --------- ------------ -------- -----------
GROUP I MORTGAGE LOAN STATISTICS
The Initial Group I Mortgage Loans consist of 7,158 adjustable-rate and
fixed-rate Mortgage Loans having an aggregate principal balance as of the
Cut-off Date of approximately $1,040,115,541, after application of scheduled
payments due on or before the Cut-off Date whether or not received and
application of all unscheduled payments of principal received prior to the
Cut-off Date, and subject to a permitted variance of plus or minus 5%. None of
the Initial Group I Mortgage Loans had a first Due Date prior to March 1, 2004
or after November 1, 2004, or will have a remaining term to stated maturity of
less than 116 months or greater than 360 months as of the Cut-off Date. The
latest maturity date of any Initial Group I Mortgage Loan is October 1, 2034.
COLLATERAL TYPE
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
COLLATERAL TYPE LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
------------------------------------ ------------------ ---------------- ---------- ------------ ------------ -------- -----------
2 YEAR ARMS 5,541 $ 832,088,290.42 80.00% 355 40.58 7.827 584 73.91
FIXED 1,617 208,027,250.72 20.00 325 37.65 7.319 672 76.17
------------------------- ----------- ------------------ --------------- ------------ -------- -------------- -------- -------------
TOTAL: 7,158 $1,040,115,541.14 100.00% 349 39.99 7.725 601 74.36
------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL BALANCES AT ORIGINATION
------------------------------------------------------------------------------------------------------------------------------------
% OF PRINCIPAL REMAINING DEBT-
RANGE OF PRINCIPAL BALANCE AS TERM TO TO-
PRINCIPAL BALANCES NUMBER OF BALANCE OF MATURITY INCOME MORTGAGE
AT ORIGINATION ($) MORTGAGE LOANS AS OF ORIGINATION ORIGINATION (MONTHS)* (%)* RATES (%)* FICO* OLTV (%)*
------------------------- --------------- ------------------ --------------- -------------- -------- ----------- ------ ------------
50,000.01 - 100,000.00 2,517 $ 195,118,289.00 18.74% 337 37.74 8.346 597 71.15
100,000.01- 150,000.00 1,963 242,386,578.00 23.28 346 39.36 7.792 603 74.74
150,000.01 - 200,000.00 1,135 198,382,547.00 19.05 352 40.31 7.607 602 74.07
200,000.01 - 250,000.00 699 156,342,621.00 15.02 356 40.74 7.558 597 75.46
250,000.01 - 300,000.00 528 144,761,272.00 13.90 355 41.45 7.397 601 75.42
300,000.01 - 350,000.00 272 86,682,412.00 8.33 356 41.58 7.29 611 77.39
350,000.01 - 400,000.00 27 10,147,950.00 0.97 359 45.34 7.585 619 75.03
400,000.01 - 450,000.00 13 5,421,750.00 0.52 359 44.29 7.656 613 73.61
450,000.01 - 500,000.00 4 1,959,998.00 0.19 359 32.27 7.062 662 75.53
------------------------- --------------- ------------------ --------------- -------------- -------- ----------- ------ ------------
TOTAL: 7,158 $1,041,203,417.00 100.00% 349 39.99 7.725 602 74.36
------------------------- --------------- ------------------ --------------- -------------- -------- ----------- ------ ------------
*Based on the original balances of the Mortgage Loans.
PRINCIPAL BALANCE AS OF THE CUT-OFF DATE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF PRINCIPAL NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
BALANCES AS OF THE MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
CUT-OFF DATE ($) LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
-------------------------- ---------- ------------------ ---------------- ---------- ------------ ------------ -------- ----------
50,000.01 - 100,000.00 2,520 $ 195,191,828.37 18.77% 337 37.75 8.347 597 71.11
100,000.01 - 150,000.00 1,960 241,803,231.72 23.25 346 39.36 7.791 603 74.77
150,000.01 - 200,000.00 1,136 198,376,384.21 19.07 352 40.32 7.607 602 74.06
200,000.01 - 250,000.00 698 156,003,218.06 15.00 356 40.73 7.558 597 75.49
250,000.01 - 300,000.00 529 144,922,591.23 13.93 354 41.48 7.395 601 75.43
300,000.01 - 350,000.00 271 86,302,907.68 8.30 357 41.54 7.294 611 77.38
350,000.01 - 400,000.00 27 10,139,287.92 0.97 359 45.34 7.585 619 75.03
400,000.01 - 450,000.00 13 5,417,714.04 0.52 359 44.29 7.656 613 73.61
450,000.01 - 500,000.00 4 1,958,377.91 0.19 359 32.27 7.063 662 75.53
-------------------------- ----------- ------------------- --------------- ----------- ----------- -------------- -------- --------
TOTAL: 7,158 $ 1,040,115,541.14 100.00% 349 39.99 7.725 601 74.36
-----------------------------------------------------------------------------------------------------------------------------------
STATED REMAINING TERM TO MATURITY
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
RANGE OF MONTHS MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
REMAINING LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
-------------------------- ---------- ------------------ ---------------- ---------- ------------ ------------ -------- ----------
61 - 120 41 $ 3,813,673.09 0.37% 119 34.23 7.510 685 69.15
121 - 180 301 30,168,540.81 2.90 179 37.16 7.573 648 71.89
181 - 240 243 27,260,004.34 2.62 239 38.75 7.556 639 74.64
241 - 300 46 6,091,112.53 0.59 299 35.65 7.104 689 74.51
301 - 360 6,527 972,782,210.37 93.53 359 40.17 7.739 598 74.45
-------------------------- ---------- ------------------- ---------------- ----------- ----------- -------------- -------- --------
TOTAL: 7,158 $ 1,040,115,541.14 100.00% 349 39.99 7.725 601 74.36
-----------------------------------------------------------------------------------------------------------------------------------
MORTGAGE RATE
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
RANGE OF CURRENT MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
MORTGAGE RATES (%) LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
-------------------------- --------- ------------------ ---------------- ---------- ------------ ------------ -------- ----------
5.500 - 5.999 156 $ 31,107,360.03 2.99% 351 37.19 5.909 675 73.12
6.000 - 6.499 467 88,279,844.87 8.49 351 38.60 6.289 654 75.70
6.500 - 6.999 1,343 221,531,479.50 21.30 347 38.57 6.775 640 76.27
7.000 - 7.499 789 123,627,331.10 11.89 346 39.41 7.267 609 75.53
7.500 - 7.999 1,654 240,677,844.60 23.14 350 40.79 7.756 585 74.04
8.000 - 8.499 597 77,224,308.84 7.42 348 41.22 8.259 577 73.04
8.500 - 8.999 1,017 131,563,454.36 12.65 351 41.14 8.744 568 73.26
9.000 - 9.499 345 39,693,197.03 3.82 354 41.54 9.233 559 71.47
9.500 - 9.999 459 52,274,973.08 5.03 355 40.86 9.751 550 71.82
10.000 - 10.499 130 14,257,587.06 1.37 352 42.12 10.253 553 71.82
10.500 - 10.999 134 13,527,480.64 1.30 355 40.99 10.722 553 72.36
11.000 - 11.499 30 2,840,451.40 0.27 355 42.45 11.265 552 73.38
11.500 - 11.999 23 2,056,475.36 0.20 359 41.37 11.694 551 68.85
12.000 - 12.499 8 530,707.29 0.05 359 37.45 12.241 543 70.09
12.500 - 12.999 6 923,045.98 0.09 359 42.20 12.756 540 79.17
-------------------------- --------- ------------------ ---------------- ------------ --------- -------------- -------- -----------
TOTAL: 7,158 $1,040,115,541.14 100.00% 349 39.99 7.725 601 74.36
-------------------------- --------- ------------------ ---------------- ------------ --------- -------------- -------- -----------
ORIGINAL LOAN-TO-VALUE RATIOS
---------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF ORIGINAL NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
LOAN-TO-VALUE MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
RATIOS (%) LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
------------------------ --------- ------------------ ---------------- ---------- ------------ ------------ -------- ----------
<= 25.00 37 $ 3,075,731.42 0.30% 341 36.53 8.346 611 20.01
25.01 - 30.00 27 2,825,287.30 0.27 343 36.54 7.670 614 27.52
30.01 - 35.00 44 4,569,066.15 0.44 325 38.25 7.786 608 33.19
35.01 - 40.00 86 8,889,111.76 0.85 332 38.54 7.900 613 37.80
40.01 - 45.00 102 12,835,014.42 1.23 348 39.12 7.847 601 42.85
45.01 - 50.00 150 18,831,564.76 1.81 348 38.46 7.727 604 47.85
50.01 - 55.00 180 24,130,705.75 2.32 340 37.39 7.670 596 52.87
55.01 - 60.00 462 60,552,924.19 5.82 349 40.36 8.246 562 58.34
60.01 - 65.00 418 56,902,958.97 5.47 350 39.35 7.837 586 63.07
65.01 - 70.00 621 94,769,389.28 9.11 350 40.45 7.712 586 67.90
70.01 - 75.00 1,579 222,455,305.72 21.39 352 40.79 8.052 571 73.78
75.01 - 80.00 1,545 224,184,368.21 21.55 347 39.32 7.485 613 78.68
80.01 - 85.00 978 162,977,134.19 15.67 354 40.57 7.525 608 83.37
85.01 - 90.00 833 129,146,102.45 12.42 347 40.03 7.573 651 88.93
90.01 - 95.00 96 13,970,876.57 1.34 345 39.37 7.220 684 93.69
------------------------ --------- ------------------- ---------------- ----------- -------- ------------ ----------- ---------
TOTAL: 7,158 $ 1,040,115,541.14 100.00% 349 39.99 7.725 601 74.36
------------------------ --------- ------------------- ---------------- ----------- -------- ------------ ----------- ---------
--------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
RANGE OF FICO MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
SCORES LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
------------------------ --------- ------------------ ---------------- ---------- ------------ ------------ -------- ----------
500 - 519 641 $ 82,559,808.36 7.94% 357 42.81 8.777 510 67.09
520 - 539 914 129,252,181.55 12.43 354 42.25 8.468 529 70.43
540 - 559 848 122,568,689.61 11.78 356 41.16 8.232 550 71.82
560 - 579 731 111,098,955.55 10.68 355 40.06 7.881 569 73.76
580 - 599 618 89,588,200.24 8.61 356 40.43 7.734 589 74.38
600 - 619 723 112,423,343.25 10.81 351 39.42 7.533 609 76.08
620 - 639 703 101,413,862.09 9.75 348 39.29 7.381 629 77.86
640 - 659 577 89,469,326.70 8.60 343 38.40 7.186 649 78.55
660 - 679 465 67,276,740.52 6.47 339 38.69 7.107 669 77.63
680 - 699 368 53,843,066.43 5.18 333 38.45 6.935 689 77.53
700 - 719 220 32,484,568.32 3.12 338 37.42 6.907 708 78.38
720 - 739 121 16,297,644.41 1.57 341 36.55 6.739 729 79.43
740 - 759 95 12,911,002.01 1.24 324 35.83 6.761 749 76.09
760 - 779 80 11,559,585.38 1.11 329 36.13 6.638 769 70.70
780 - 799 47 6,567,469.59 0.63 339 35.52 6.864 788 71.08
800 - 819 7 801,097.13 0.08 340 44.74 6.353 806 74.67
------------------------ --------- ------------------- ----------------- ---------- -------- ------------ ----------- ---------
TOTAL: 7,158 $ 1,040,115,541.14 100.00% 349 39.99 7.725 601 74.36
--------------------------------------------------------------------------------------------------------------------------------
DEBT-TO-INCOME RATIO
-------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
DEBT-TO- MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
INCOME RATIOS (%) LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
----------------------- --------- ------------------ ---------------- ---------- ------------ ------------ -------- ----------
<= 20.000 396 $ 50,534,326.99 4.86% 347 15.18 7.593 614 72.54
20.01 - 25.00 423 52,908,328.59 5.09 341 23.23 7.666 615 71.83
25.01 - 30.00 641 83,833,311.76 8.06 345 28.11 7.600 611 73.69
30.01 - 35.00 826 110,256,791.58 10.60 348 33.11 7.603 614 74.68
35.01 - 40.00 1,084 156,758,591.09 15.07 348 38.10 7.645 603 74.96
40.01 - 45.00 1,344 204,589,057.38 19.67 349 43.07 7.630 606 74.46
45.01 - 50.00 1,833 288,824,388.45 27.77 352 48.08 7.733 603 75.78
50.01 - 55.00 611 92,410,745.30 8.88 354 53.29 8.411 544 71.36
----------------------- ---------- ------------------ ---------------- ----------- -------- -------------- -------- -----------
TOTAL: 7,158 $1,040,115,541.14 100.00% 349 39.99 7.725 601 74.36
----------------------- ---------- ------------------ ---------------- ----------- -------- -------------- -------- -----------
GEOGRAPHIC DISTRIBUTION
-------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
STATE LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------- --------- ------------------ ---------------- ---------- ------------ ------------ -------- ----------
California 857 $ 169,021,115.60 16.25% 355 40.78 7.287 599 70.85
Florida 784 96,755,043.46 9.30 349 40.50 7.643 591 74.94
New York 457 96,366,385.51 9.26 353 40.70 7.782 608 71.88
New Jersey 548 94,108,646.86 9.05 354 41.38 8.176 601 75.29
Texas 766 78,805,968.94 7.58 334 38.40 8.007 607 76.43
Massachusetts 297 60,826,912.87 5.85 356 40.98 7.404 600 70.03
Maryland 236 39,356,464.71 3.78 353 39.35 7.770 591 75.06
Illinois 234 33,651,978.24 3.24 354 40.34 8.432 590 74.56
Michigan 268 28,757,686.21 2.76 354 39.54 7.887 597 76.44
Pennsylvania 243 27,865,758.84 2.68 337 40.38 7.699 614 75.79
Connecticut 148 24,307,020.62 2.34 350 40.66 7.650 595 72.79
Minnesota 162 23,878,256.57 2.30 351 39.16 7.654 608 77.00
Rhode Island 126 22,521,597.67 2.17 355 40.84 7.303 603 73.76
Wisconsin 169 18,690,198.11 1.80 346 40.02 8.106 616 77.44
Ohio 161 18,437,106.59 1.77 354 38.29 7.630 600 82.77
Nevada 95 18,037,358.42 1.73 354 41.46 7.428 592 73.83
Washington 105 15,793,403.78 1.52 355 39.29 7.321 609 76.88
Georgia 135 15,698,664.95 1.51 341 39.37 8.717 599 76.89
Colorado 93 14,605,932.90 1.40 355 40.32 7.618 606 74.08
Indiana 132 13,756,924.47 1.32 331 36.75 7.580 608 77.22
Other 1,142 128,873,115.82 12.39 341 38.05 7.797 607 76.89
---------------------- --------- ------------------ ----------------- ---------- ---------- ------------ ---------- ------------
TOTAL: 7,158 $1,040,115,541.14 100.00% 349 39.99 7.725 601 74.36
------------------------------------------------------------------------------------------------------------------------------
OCCUPANCY STATUS
-------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
OCCUPATION MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
STATUS* LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
---------------------- --------- ------------------ ---------------- ---------- ------------ ------------ -------- ----------
Owner Occupied 6,807 $ 990,820,177.47 95.26% 349 40.22 7.725 600 74.23
Non-owner Occupied 290 40,703,414.14 3.91 352 35.31 7.679 637 76.57
Second Home 61 8,591,949.53 0.83 348 36.09 7.899 616 78.94
---------------------- ---------- ------------------ ---------------- ----------- ---------- ------------ ---------- ------------
TOTAL: 7,158 $1,040,115,541.14 100.00% 349 39.99 7.725 601 74.36
---------------------- ---------- ------------------ ---------------- ----------- ---------- ------------ ---------- ------------
*Based on mortgagor representation at origination.
DOCUMENTATION TYPE
-------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
INCOME MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
DOCUMENTATION LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
--------------------- --------- ------------------ ---------------- ---------- ------------ ------------ -------- -----------
Full Docs 4,917 $ 704,567,902.36 67.74% 348 39.74 7.569 601 74.68
Stated Docs 1,221 185,837,235.50 17.87 352 41.12 8.257 608 72.13
Limited Docs 1,020 149,710,403.28 14.39 351 39.77 7.801 596 75.61
--------------------- ---------- ----------------- ---------------- ----------- ---------- -------------- -------- -------------
TOTAL: 7,158 $1,040,115,541.14 100.00% 349 39.99 7.725 601 74.36
--------------------- ---------- ----------------- ---------------- ----------- ---------- -------------- -------- -------------
LOAN PURPOSE
---------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
PURPOSE LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
----------------------- --------- ------------------ ---------------- ---------- ------------ ------------ -------- -----------
Refi-Cash Out ** 6,828 $ 994,638,248.09 95.63% 349 40.01 7.731 601 74.23
Refi-No Cashout *** 301 40,919,996.53 3.93 349 39.88 7.597 608 76.49
Purchase 29 4,557,296.52 0.44 359 37.36 7.567 648 84.47
----------------------- ---------- ----------------- ----------------- ----------- ---------- -------------- -------- -----------
TOTAL: 7,158 $1,040,115,541.14 100.00% 349 39.99 7.725 601 74.36
----------------------- ---------- ----------------- ----------------- ----------- ---------- -------------- -------- -----------
** Cash proceeds to the borrower inclusive of debt consolidation
payments exceed 2% or $2000 of the original principal balance of the
related loan. Also includes all home equity loans originated in Texas
with any cash proceeds.
*** Cash proceeds to the borrower inclusive of debt consolidation
payments do not exceed 2% or $2000 of the original principal balance of
the related loan. Excludes home equity loans originated in Texas with
any cash proceeds.
CREDIT GRADE
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
RISK CATEGORY LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
------------------------ --------- ------------------ ---------------- ---------- ------------ ------------ -------- -----------
8A 406 $ 55,646,745.36 5.35% 333 36.24 6.716 746 75.86
7A 486 72,531,907.80 6.97 335 38.37 6.908 694 78.07
6A 429 62,411,106.17 6.00 339 38.81 7.054 669 78.37
5A 492 77,309,097.15 7.43 343 38.57 7.099 649 79.15
4A 573 82,523,924.24 7.93 346 39.03 7.242 632 79.00
3A 500 77,419,180.87 7.44 350 38.96 7.332 613 77.31
2A 1,193 175,679,324.59 16.89 353 39.69 7.545 586 75.87
A 441 70,943,646.06 6.82 355 39.77 7.904 577 74.21
B 1,221 175,837,188.89 16.91 355 42.40 8.364 545 71.42
C 1,178 159,601,705.19 15.34 356 41.73 8.632 542 69.20
D 239 30,211,714.82 2.90 356 41.24 8.972 524 57.88
------------------------ ---------- ------------------ --------------- ------------ ---------- -------------- -------- ------------
TOTAL: 7,158 $1,040,115,541.14 100.00% 349 39.99 7.725 601 74.36
----------------------------------------------------------------------------------------------------------------------------------
PROPERTY TYPE
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
PROPERTY TYPE LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
------------------------ --------- ------------------ ---------------- ---------- ------------ ------------ -------- -----------
Single Family Detached 5,932 $ 848,599,481.60 81.59% 349 39.91 7.729 600 74.87
Two-to-Four Family 436 92,883,786.42 8.93 355 41.41 7.680 610 70.55
Condominium 285 40,645,889.63 3.91 353 39.04 7.584 610 73.48
PUD Detached 224 30,288,860.01 2.91 338 41.03 7.698 594 75.09
Manufactured Housing 190 18,180,674.11 1.75 349 37.55 7.779 616 70.49
Single Family Attached 81 8,265,053.93 0.79 355 40.16 8.486 580 74.43
PUD Attached 10 1,251,795.44 0.12 359 33.87 7.706 582 77.86
------------------------ --------- ------------------- ---------------- ----------- ---------- -------------- -------- -----------
TOTAL: 7,158 $ 1,040,115,541.14 100.00% 349 39.99 7.725 601 74.36
------------------------ --------- ------------------- ---------------- ----------- ---------- -------------- -------- -----------
PREPAYMENT CHARGE TERM
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
PREPAYMENT CHARGE NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
TERM AT ORIGINATION MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
(MOS.) LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
-------------------------- --------- ------------------ ---------------- ---------- ------------ ------------ -------- -----------
0 2,844 $ 412,495,515.98 39.66% 350 40.07 8.109 597 74.28
12 257 47,657,339.99 4.58 347 39.79 7.185 642 74.11
24 1 229,374.38 0.02 359 43.00 8.990 570 89.65
30 2 382,954.69 0.04 359 36.07 8.251 532 80.00
36 4,054 579,350,356.10 55.70 349 39.96 7.495 602 74.43
-------------------------- ---------- ------------------ ----------------- --------- ------------ ------------ -------- ------------
TOTAL: 7,158 $1,040,115,541.14 100.00% 349 39.99 7.725 601 74.36
----------------------------------------------------------------------------------------------------------------------------------
CONFORMING BALANCE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
CONFORMING BALANCE LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
-------------------------- --------- ------------------ ---------------- ---------- ------------ ------------ -------- -----------
Conforming Balance 7,158 $1,040,115,541.14 100.00% 349 39.99 7.725 601 74.36
-------------------------- ---------- ------------------ --------------- ------------ ----------- ------------ -------- ------------
TOTAL: 7,158 $1,040,115,541.14 100.00% 349 39.99 7.725 601 74.36
----------------------------------------------------------------------------------------------------------------------------------
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL
PRINCIPAL BALANCE OF
BALANCE OF ADJUSTABLE REMAINING DEBT-
NUMBER OF ADJUSTABLE RATE RATE LOANS TERM TO TO-
RANGE OF MAXIMUM MORTGAGE LOANS AS OF THE AS OF THE MATURITY INCOME MORTGAGE
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) RATES (%) FICO OLTV (%)
-------------------------- --------------- ------------------ --------------- ----------- --------- ------------ -------- ---------
11.500 - 11.999 140 $ 28,853,207.59 3.47% 353 37.13 5.910 671 73.40
12.000 - 12.499 344 67,038,748.92 8.06 357 39.80 6.280 633 77.25
12.500 - 12.999 855 149,010,613.85 17.91 355 39.28 6.773 613 76.33
13.000 - 13.499 530 90,794,423.34 10.91 355 39.96 7.272 587 74.70
13.500 - 13.999 1,296 199,050,375.42 23.92 355 41.30 7.762 571 73.20
14.000 - 14.499 457 62,666,321.74 7.53 356 41.87 8.262 564 72.23
14.500 - 14.999 835 113,149,158.50 13.60 357 41.41 8.748 560 72.77
15.000 - 15.499 307 36,275,512.29 4.36 355 41.67 9.239 556 71.28
15.500 - 15.999 450 51,635,852.42 6.21 355 40.89 9.751 549 71.82
16.000 - 16.499 127 13,798,915.68 1.66 352 41.84 10.254 553 71.67
16.500 - 16.999 134 13,527,480.64 1.63 355 40.99 10.722 553 72.36
17.000 - 17.499 29 2,777,451.40 0.33 359 42.19 11.269 552 73.13
17.500 - 17.999 23 2,056,475.36 0.25 359 41.37 11.694 551 68.85
18.000 - 18.499 8 530,707.29 0.06 359 37.45 12.241 543 70.09
18.500 - 18.999 6 923,045.98 0.11 359 42.20 12.756 540 79.17
-------------------------- --------------- ------------------ --------------- ----------- --------- ------------ -------- ---------
TOTAL: 5,541 $ 832,088,290.42 100.00% 355 40.58 7.827 584 73.91
-------------------------- --------------- ------------------ --------------- ----------- --------- ------------ -------- ---------
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL
PRINCIPAL BALANCE OF
BALANCE OF ADJUSTABLE REMAINING DEBT-
NUMBER OF ADJUSTABLE RATE RATE LOANS TERM TO TO-
RANGE OF MINIMUM MORTGAGE LOANS AS OF THE AS OF THE MATURITY INCOME MORTGAGE
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) RATES (%) FICO OLTV (%)
------------------------- --------------- ------------------ --------------- ----------- --------- ------------ -------- ---------
5.500 - 5.999 140 $ 28,853,207.59 3.47% 353 37.13 5.910 671 73.40
6.000 - 6.499 344 67,038,748.92 8.06 357 39.80 6.280 633 77.25
6.500 - 6.999 855 149,010,613.85 17.91 355 39.28 6.773 613 76.33
7.000 - 7.499 530 90,794,423.34 10.91 355 39.96 7.272 587 74.70
7.500 - 7.999 1,296 199,050,375.42 23.92 355 41.30 7.762 571 73.20
8.000 - 8.499 457 62,666,321.74 7.53 356 41.87 8.262 564 72.23
8.500 - 8.999 835 113,149,158.50 13.60 357 41.41 8.748 560 72.77
9.000 - 9.499 307 36,275,512.29 4.36 355 41.67 9.239 556 71.28
9.500 - 9.999 450 51,635,852.42 6.21 355 40.89 9.751 549 71.82
10.000 - 10.499 127 13,798,915.68 1.66 352 41.84 10.254 553 71.67
10.500 - 10.999 134 13,527,480.64 1.63 355 40.99 10.722 553 72.36
11.000 - 11.499 29 2,777,451.40 0.33 359 42.19 11.269 552 73.13
11.500 - 11.999 23 2,056,475.36 0.25 359 41.37 11.694 551 68.85
12.000 - 12.499 8 530,707.29 0.06 359 37.45 12.241 543 70.09
12.500 - 12.999 6 923,045.98 0.11 359 42.20 12.756 540 79.17
------------------------- -------------- ------------------- ---------------- ----------- --------- ------------ -------- ---------
TOTAL: 5,541 $ 832,088,290.42 100.00% 355 40.58 7.827 584 73.91
-----------------------------------------------------------------------------------------------------------------------------------
GROSS MARGINS OF THE ADJUSTABLE-RATE LOANS
----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL
PRINCIPAL BALANCE OF
BALANCE OF ADJUSTABLE REMAINING DEBT-
NUMBER OF ADJUSTABLE RATE RATE LOANS TERM TO TO-
RANGE OF GROSS MORTGAGE LOANS AS OF THE AS OF THE MATURITY INCOME MORTGAGE
MARGINS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) RATES (%) FICO OLTV (%)
------------------------- --------------- ------------------ --------------- ----------- --------- ------------ -------- ---------
3.000 - 3.249 5 $ 553,012.84 0.07% 359 32.86 7.586 575 79.35
3.250 - 3.499 3 362,326.53 0.04 306 39.71 8.460 583 76.95
3.500 - 3.749 2 310,962.63 0.04 359 44.47 6.399 614 80.37
3.750 - 3.999 1 263,261.79 0.03 359 50.00 6.500 560 85.00
4.000 - 4.249 2 123,826.15 0.01 297 34.80 7.371 661 53.87
4.250 - 4.499 3 654,232.38 0.08 359 37.85 6.724 641 80.08
4.500 - 4.749 17 2,666,356.43 0.32 359 39.47 6.537 692 80.62
4.750 - 4.999 116 17,241,760.29 2.07 353 37.95 6.779 728 81.51
5.000 - 5.249 143 25,837,656.13 3.11 353 39.87 6.830 684 79.19
5.250 - 5.499 195 31,892,981.62 3.83 354 39.38 6.856 661 79.65
5.500 - 5.749 307 53,149,165.56 6.39 355 39.44 6.984 643 80.32
5.750 - 5.999 503 82,608,039.08 9.93 355 39.34 7.100 616 77.65
6.000 - 6.249 1,439 219,585,600.44 26.39 356 39.92 7.501 590 76.09
6.250 - 6.499 489 76,928,626.89 9.25 357 40.25 7.985 567 73.39
6.500 - 6.749 1,181 166,113,093.36 19.96 356 42.17 8.444 542 70.69
6.750 - 6.999 1,133 153,612,675.96 18.46 356 41.73 8.744 539 67.20
7.000 - 7.249 1 91,000.00 0.01 360 52.00 9.200 511 52.00
8.500 - 8.749 1 93,712.34 0.01 359 25.00 10.450 529 75.00
------------------------- -------------- ------------------- --------------- ----------- ---------- ------------ -------- --------
TOTAL: 5,541 $ 832,088,290.42 100.00% 355 40.58 7.827 584 73.91
------------------------- -------------- ------------------- --------------- ----------- ---------- ------------ -------- --------
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL
PRINCIPAL BALANCE OF
BALANCE OF ADJUSTABLE REMAINING DEBT-
NUMBER OF ADJUSTABLE RATE RATE LOANS TERM TO TO-
NEXT RATE MORTGAGE LOANS AS OF THE AS OF THE MATURITY INCOME MORTGAGE
ADJUSTMENT DATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) RATES (%) FICO OLTV (%)
------------------------- --------------- ------------------ --------------- ----------- --------- ------------ -------- ---------
2006-02 1 $ 111,090.53 0.01% 352 45.00 5.990 608 80.00
2006-03 3 520,676.90 0.06 353 43.98 8.023 566 75.22
2006-04 9 1,238,389.11 0.15 331 41.33 7.652 568 74.12
2006-05 4 762,197.44 0.09 355 49.37 8.170 621 77.03
2006-06 2 308,540.02 0.04 356 43.85 7.885 612 89.19
2006-07 12 1,765,519.02 0.21 352 41.24 8.184 586 74.05
2006-08 233 28,824,371.14 3.46 354 38.48 7.817 586 78.93
2006-09 4,955 759,627,615.26 91.29 356 40.71 7.817 583 73.58
2006-10 322 38,929,891.00 4.68 353 39.33 8.004 608 76.37
------------------------- -------------- ------------------- --------------- ----------- ---------- ------------ -------- ---------
TOTAL: 5,541 $ 832,088,290.42 100.00% 355 40.58 7.827 584 73.91
------------------------------------------------------------------------------------------------------------------------------------
INITIAL PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS
----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL
PRINCIPAL BALANCE OF
BALANCE OF ADJUSTABLE REMAINING DEBT-
NUMBER OF ADJUSTABLE RATE RATE LOANS TERM TO TO-
INITIAL PERIODIC MORTGAGE LOANS AS OF THE AS OF THE MATURITY INCOME MORTGAGE
RATE CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) RATES (%) FICO OLTV (%)
------------------------- --------------- ------------------ --------------- ----------- --------- ------------ -------- ---------
2.000 5,541 $ 832,088,290.42 100.00% 355 40.58 7.827 584 73.91
------------------------- -------------- ------------------- --------------- ----------- --------- ------------ -------- ---------
TOTAL: 5,541 $ 832,088,290.42 100.00% 355 40.58 7.827 584 73.91
----------------------------------------------------------------------------------------------------------------------------------
SUBSEQUENT PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS
----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL
PRINCIPAL BALANCE OF
BALANCE OF ADJUSTABLE REMAINING DEBT-
SUBSEQUENT NUMBER OF ADJUSTABLE RATE RATE LOANS TERM TO TO-
PERIODIC MORTGAGE LOANS AS OF THE AS OF THE MATURITY INCOME MORTGAGE
RATE CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) RATES (%) FICO OLTV (%)
------------------------- --------------- ------------------ --------------- ----------- --------- ------------ -------- ---------
1.000 5,541 $ 832,088,290.42 100.00% 355 40.58 7.827 584 73.91
------------------------- -------------- ------------------- --------------- ----------- --------- ------------ -------- ---------
TOTAL: 5,541 $ 832,088,290.42 100.00% 355 40.58 7.827 584 73.91
------------------------- -------------- ------------------- --------------- ----------- --------- ------------ -------- ---------
GROUP II MORTGAGE LOAN STATISTICS
The Initial Group II Mortgage Loans consist of 757 adjustable-rate and
fixed-rate Mortgage Loans having an aggregate principal balance as of the
Cut-off Date of approximately $259,884,162, 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 Initial Group II Mortgage Loans had a first Due Date
prior to April 1, 2004 or after November 1, 2004, or will have a remaining term
to stated maturity of less than 119 months or greater than 360 months as of the
Cut-off Date. The latest maturity date of any Initial Group II Mortgage Loan is
October 1, 2034.
COLLATERAL TYPE
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
COLLATERAL TYPE LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
--------------------------- --------- ------------------ ---------------- ---------- ------------ ------------ -------- ----------
2 YEAR ARMS 476 $ 207,895,769.57 80.00% 358 40.77 7.266 598 76.16
FIXED 281 51,988,392.52 20.00 342 38.61 7.927 647 76.23
--------------------------- ---------- ----------------- --------------- ------------ ------------ ------------ ---------- --------
TOTAL: 757 $ 259,884,162.09 100.00% 355 40.34 7.398 608 76.18
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL BALANCES AT ORIGINATION
--------------------------- -------------------------------------------------------------------------------------------------------
PRINCIPAL % OF REMAINING
RANGE OF NUMBER OF BALANCE PRINCIPAL TERM TO DEBT-TO- MORTGAGE
PRINCIPAL BALANCES MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES FICO
AT ORIGINATION ($) LOANS ORIGINATION ORIGINATION (MONTHS)* (%)* (%)* * OLTV (%)*
--------------------------- ---------- ------------------ -------------- ------------- ----------- ------------- ------- ----------
50,000.01 - 100,000.00 168 $ 11,758,952.00 4.52% 313 38.81 10.340 580 73.54
100,00.01 - 150,000.00 25 3,020,290.00 1.16 324 43.01 10.198 578 81.07
150,00.01 - 200,000.00 8 1,359,758.00 0.52 323 47.63 9.974 573 83.69
200,00.01 - 250,000.00 1 206,543.00 0.08 359 24.00 9.800 554 89.80
300,00.01 - 350,000.00 78 26,635,194.00 10.24 359 41.58 7.259 591 75.51
350,00.01 - 400,000.00 171 63,985,639.00 24.60 357 41.12 7.140 611 77.00
400,00.01 - 450,000.00 108 45,602,063.00 17.53 357 40.51 7.178 605 75.37
450,00.01 - 500,000.00 69 32,920,453.00 12.66 359 39.36 7.144 611 76.73
500,00.01 - 550,000.00 46 24,351,572.00 9.36 359 40.60 7.214 625 78.17
550,00.01 - 600,000.00 65 38,086,889.00 14.64 356 38.42 7.410 609 74.40
600,00.01 - 650,000.00 5 3,110,034.00 1.20 359 35.52 6.518 625 79.73
650,00.01 - 700,000.00 8 5,414,750.00 2.08 344 43.65 7.010 631 77.66
700,00.01 - 750,000.00 5 3,680,250.00 1.41 359 42.53 7.525 638 72.71
--------------------------- ---------- ------------------ --------------- ------------ ---------- ----------- ---------- --------
TOTAL: 757 $260,132,387.00 100.00% 355 40.34 7.398 608 76.18
--------------------------- ---------- ------------------ --------------- ------------ ---------- ----------- ---------- --------
*Based on the original balances of the Initial Mortgage Loans.
PRINCIPAL BALANCE AS OF THE CUT-OFF DATE
----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
RANGE OF PRINCIPAL NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
BALANCES AS OF THE MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
CUT-OFF DATE ($) LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
------------------------- --------- ------------------ ---------------- ---------- ------------ ------------ -------- ----------
50,000.01 - 100,000.00 168 $ 11,746,045.21 4.52% 313 38.81 10.340 580 73.54
100,000.01 - 150,000.00 25 3,017,198.68 1.16 324 43.01 10.198 578 81.07
150,000.01 - 200,000.00 8 1,358,695.19 0.52 323 47.63 9.974 573 83.69
200,000.01 - 250,000.00 1 206,447.65 0.08 359 24.00 9.800 554 89.80
300,000.01 - 350,000.00 78 26,610,455.90 10.24 359 41.58 7.259 591 75.51
350,000.01 - 400,000.00 171 63,923,995.57 24.60 357 41.12 7.140 611 77.00
400,000.01 - 450,000.00 108 45,557,131.69 17.53 357 40.51 7.178 605 75.36
450,000.01 - 500,000.00 69 32,880,244.78 12.65 359 39.36 7.144 611 76.73
500,000.01 - 550,000.00 46 24,332,784.05 9.36 359 40.60 7.214 625 78.17
550,000.01 - 600,000.00 65 38,056,306.26 14.64 356 38.42 7.410 609 74.40
600,000.01 - 650,000.00 5 3,107,227.54 1.20 359 35.52 6.518 625 79.73
650,000.01 - 700,000.00 8 5,410,159.37 2.08 344 43.65 7.010 631 77.66
700,000.01 - 750,000.00 5 3,677,470.20 1.42 359 42.53 7.525 638 72.71
------------------------- ---------- ---------------- ---------------- ------------- ------------ ------------ -------- -----------
TOTAL: 757 $259,884,162.09 100.00% 355 40.34 7.398 608 76.18
-----------------------------------------------------------------------------------------------------------------------------------
STATED REMAINING TERM TO MATURITY
--------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
RANGE OF MONTHS MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
REMAINING LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
----------------------- --------- ------------------ --------------- ------------ ------------ ------------ -------- ----------
61 - 120 5 $ 327,293.12 0.13% 119 34.36 10.619 579 72.04
121 - 180 26 2,842,116.11 1.09 179 31.66 8.856 614 73.98
181 - 240 32 4,070,863.33 1.57 239 39.74 8.860 616 78.33
241 - 300 4 305,052.87 0.12 299 29.76 10.105 580 71.23
301 - 360 690 252,338,836.66 97.10 359 40.46 7.351 608 76.18
----------------------- ---------- ----------------- --------------- ------------- ------------ ------------- ------- -------------
TOTAL: 757 $259,884,162.09 100.00% 355 40.34 7.398 608 76.18
---------------------------------------------------------------------------------------------------------------------------------
MORTGAGE RATE
--------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
RANGE OF CURRENT MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
MORTGAGE RATES (%) LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
--------------------------------- ------------------ ------------- ------------ ------------ ------------ -------- ----------
5.500 - 5.999 51 $22,663,346.73 8.72% 354 36.88 5.897 679 75.20
6.000 - 6.499 81 35,194,993.53 13.54 359 38.76 6.280 636 73.79
6.500 - 6.999 171 74,676,966.39 28.73 359 40.14 6.755 627 77.53
7.000 - 7.499 59 24,983,676.42 9.61 351 40.48 7.265 582 75.54
7.500 - 7.999 102 44,750,001.37 17.22 357 41.42 7.739 577 76.22
8.000 - 8.499 19 8,754,494.59 3.37 359 46.86 8.262 568 76.24
8.500 - 8.999 47 20,538,798.00 7.90 358 41.41 8.730 569 76.59
9.000 - 9.499 26 4,897,161.13 1.88 350 41.49 9.254 587 75.93
9.500 - 9.999 98 14,568,271.46 5.61 337 40.96 9.775 575 75.81
10.000 - 10.499 22 2,219,866.01 0.85 314 38.95 10.231 598 79.23
10.500 - 10.999 50 4,284,351.87 1.65 325 40.29 10.771 579 77.66
11.000 - 11.499 11 948,987.93 0.37 328 46.24 11.246 540 78.16
11.500 - 11.999 12 800,410.89 0.31 322 39.70 11.764 547 75.01
12.000 - 12.499 6 460,992.79 0.18 343 39.10 12.172 573 81.30
12.500 - 12.999 1 77,855.76 0.03 353 49.00 12.500 557 75.00
13.500 - 13.999 1 63,987.22 0.02 359 49.00 13.600 541 80.00
------------------------ ---------- --------------- -------------- -------------- ------------ ------------ -------- -----------
TOTAL: 757 $259,884,162.09 100.00% 355 40.34 7.398 608 76.18
------------------------ ---------- --------------- -------------- -------------- ------------ ------------ -------- -----------
ORIGINAL LOAN-TO-VALUE RATIOS
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
RANGE OF ORIGINAL MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
LOAN-TO-VALUE RATIOS (%) LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
------------------------------------- ------------------ ------------- ------------ ------------ ------------ -------- ----------
<= 25.00 3 $ 211,905.01 0.08% 359 38.39 9.958 577 20.59
25.01 - 30.00 2 679,267.07 0.26 345 12.59 6.249 700 29.47
30.01 - 35.00 1 59,972.88 0.02 359 29.00 9.900 541 33.33
40.01 - 45.00 8 2,672,013.76 1.03 353 32.26 7.225 619 43.40
45.01 - 50.00 9 1,994,968.90 0.77 350 33.62 7.447 646 46.82
50.01 - 55.00 12 3,222,723.91 1.24 353 41.35 7.074 664 52.38
55.01 - 60.00 30 7,885,758.59 3.03 342 36.31 7.496 574 58.23
60.01 - 65.00 41 14,458,979.49 5.56 356 38.35 7.490 590 63.07
65.01 - 70.00 67 26,013,482.77 10.01 357 39.39 7.281 590 67.59
70.01 - 75.00 144 52,111,391.20 20.05 357 41.48 7.671 583 73.78
75.01 - 80.00 207 69,865,310.55 26.88 353 41.01 7.204 616 78.50
80.01 - 85.00 129 48,319,910.13 18.59 357 40.57 7.247 613 83.51
85.01 - 90.00 94 28,892,655.98 11.12 352 40.52 7.745 638 88.91
90.01 - 95.00 10 3,495,821.85 1.35 357 44.18 7.167 667 94.46
--------------------------- --------- ------------------- ------------- ------------ ---------- ------------ -------- ----------
TOTAL: 757 $ 259,884,162.09 100.00% 355 40.34 7.398 608 76.18
--------------------------------------------------------------------------------------------------------------------------------
FICO SCORE AT ORIGINATION
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
RANGE OF FICO SCORES LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
------------------------------------- ------------------ ------------- ------------ ------------ ------------ -------- ----------
500 - 519 34 $ 10,001,651.15 3.85% 356 42.92 8.769 507 71.75
520 - 539 71 20,659,729.71 7.95 355 41.56 8.406 529 71.79
540 - 559 95 26,801,462.10 10.31 353 41.62 7.920 551 74.56
560 - 579 115 41,278,578.44 15.88 357 40.99 7.643 568 75.79
580 - 599 85 27,818,620.36 10.70 356 41.65 7.536 591 76.72
600 - 619 96 30,047,034.86 11.56 357 40.87 7.261 609 75.26
620 - 639 63 21,113,909.34 8.12 349 38.35 7.191 629 77.35
640 - 659 84 34,114,698.02 13.13 356 39.57 7.000 650 81.09
660 - 679 45 18,768,751.68 7.22 346 36.06 6.673 668 78.23
680 - 699 26 11,222,599.81 4.32 358 39.93 6.528 690 74.48
700 - 719 15 6,414,313.30 2.47 357 36.41 6.404 709 72.68
720 - 739 11 4,398,097.97 1.69 356 45.42 6.571 728 79.68
740 - 759 11 4,664,140.30 1.79 359 38.28 6.506 751 82.34
760 - 779 3 1,295,783.86 0.50 359 43.99 6.326 768 74.82
780 - 799 3 1,284,791.19 0.49 359 37.02 6.320 785 56.76
--------------------------- ---------- ------------------ ------------- ------------- ---------- ------------ -------- ----------
TOTAL: 757 $ 259,884,162.09 100.00% 355 40.34 7.398 608 76.18
---------------------------------------------------------------------------------------------------------------------------------
DEBT-TO-INCOME RATIO
------------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
RANGE OF DEBT-TO- MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
INCOME RATIOS (%) LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
-------------------------------------- ------------------ ------------- ------------ ------------ ------------ -------- ----------
<= 20.00 55 $ 21,675,758.86 8.34% 352 14.01 6.978 614 71.90
20.01 - 25.00 30 6,255,412.18 2.41 342 23.69 7.836 619 73.27
25.01 - 30.00 43 14,698,511.75 5.66 348 28.31 7.468 624 76.92
30.01 - 35.00 67 20,767,873.03 7.99 358 33.15 7.491 604 76.12
35.01 - 40.00 112 36,874,216.65 14.19 352 38.39 7.249 616 76.01
40.01 - 45.00 155 57,537,405.02 22.14 357 43.15 7.317 614 76.87
45.01 - 50.00 223 79,029,288.03 30.41 357 48.17 7.364 604 77.30
50.01 - 55.00 72 23,045,696.57 8.87 352 53.00 8.108 576 75.26
--------------------------- ----------- ------------------ -------------- ----------- ---------- ------------ -------- ----------
TOTAL: 757 $259,884,162.09 100.00% 355 40.34 7.398 608 76.18
--------------------------- ----------- ------------------ -------------- ----------- ---------- ------------ -------- ----------
GEOGRAPHIC DISTRIBUTION
---------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
STATE LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
----------------------------------- ------------------ ------------- ------------ ------------ ------------ -------- ----------
CA 295 $ 128,998,148.42 49.64% 357 41.44 6.952 613 76.54
NY 73 26,945,305.65 10.37 353 38.28 7.780 608 73.55
MA 41 17,820,426.95 6.86 359 39.70 7.045 618 74.08
FL 39 10,434,096.43 4.01 352 40.76 8.008 575 76.67
MD 29 9,100,761.61 3.50 357 42.56 7.852 586 72.42
TX 68 9,075,719.86 3.49 325 37.88 8.786 608 74.49
NJ 21 8,362,106.44 3.22 357 42.02 8.041 598 75.35
IL 27 6,336,870.55 2.44 349 38.32 8.278 607 77.09
CT 8 3,859,546.56 1.49 359 36.07 7.583 578 74.82
MN 11 3,773,281.03 1.45 352 42.92 7.404 593 78.18
CO 9 3,507,183.06 1.35 357 33.49 7.170 621 74.65
NV 8 3,447,233.20 1.33 359 34.53 7.207 614 78.98
PA 10 2,892,065.38 1.11 358 36.45 7.952 594 74.35
MI 10 2,817,057.51 1.08 357 41.07 8.347 567 81.42
WA 6 2,288,335.37 0.88 359 40.71 7.444 630 84.01
GA 8 2,183,079.06 0.84 359 39.61 8.384 597 80.88
MO 4 1,565,624.77 0.60 352 37.77 7.309 653 89.36
WI 13 1,552,000.60 0.60 341 38.67 9.145 608 82.27
AZ 4 1,483,630.01 0.57 351 46.14 7.807 602 75.47
RI 3 1,335,285.68 0.51 359 43.70 7.208 596 76.84
Other 70 12,106,403.95 4.66 343 38.31 8.300 601 78.87
------------------------- --------- ------------------- ------------ ----------- ----------- ------------ ---------- -------------
TOTAL: 757 $ 259,884,162.09 100.00% 355 40.34 7.398 608 76.18
---------------------------------------------------------------------------------------------------------------------------------
OCCUPANCY STATUS
---------------------------------------------------------------------------------------------------------------------------------
OCCUPATION STATUS* % OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
------------------------- --------- ------------------ ------------- ------------ ------------ ------------ -------- ----------
Owner Occupied 731 $ 252,161,589.70 97.03% 355 40.37 7.389 607 76.11
Non-owner Occupied 22 6,501,378.82 2.50 353 37.82 7.704 637 78.29
Second Home 4 1,221,193.57 0.47 359 47.37 7.698 654 79.23
------------------------- ---------- ------------------ ------------- ------------- --------- ------------ -------- -----------
TOTAL: 757 $ 259,884,162.09 100.00% 355 40.34 7.398 608 76.18
------------------------- ---------- ------------------ ------------- ------------- --------- ------------ -------- -----------
*Based on mortgagor representation at origination.
DOCUMENTATION TYPE
---------------------------------------------------------------------------------------------------------------------------------
INCOME DOCUMENTATION % OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
------------------------ --------- ------------------ ------------- ------------ ------------ ------------ -------- ----------
Full Docs 492 $ 168,209,248.27 64.72% 354 39.77 7.302 608 76.33
------------------------ ---------- ------------------ -------------- ------------ ------------ ------------ -------- ----------
Stated Docs 147 49,397,319.59 19.01 356 43.12 7.704 617 75.19
------------------------ ---------- ------------------ -------------- ------------ ------------ ------------ -------- ----------
Limited Docs 118 42,277,594.23 16.27 354 39.35 7.425 596 76.73
------------------------ ---------- ------------------ -------------- ------------ ------------ ------------ -------- ----------
TOTAL: 757 $ 259,884,162.09 100.00% 355 40.34 7.398 608 76.18
------------------------ ---------- ------------------ -------------- ------------ ------------ ------------ -------- ----------
LOAN PURPOSE
--------------------------------------------------------------------------------------------------------------------------------
PURPOSE % OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
------------------------ --------- ------------------ ------------- ------------ ------------ ------------ -------- ----------
Refi-Cash Out ** 734 $ 252,335,450.51 97.10% 355 40.36 7.400 607 75.95
Refi-No Cashout *** 21 6,523,974.16 2.51 356 38.70 7.232 629 82.28
Purchase 2 1,024,737.42 0.39 359 45.89 8.009 675 92.64
------------------------ ---------- ------------------ ------------- ------------ ------------ ------------ -------- ----------
TOTAL: 757 $ 259,884,162.09 100.00% 355 40.34 7.398 608 76.18
------------------------ ---------- ------------------ ------------- ------------ ------------ ------------ -------- ----------
** 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
-----------------------------------------------------------------------------------------------------------------------------
RISK CATEGORY % OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
--------------------- --------- ------------------ ------------- ------------ ------------ ------------ -------- ----------
8A 34 $ 14,556,622.56 5.60% 359 40.28 6.317 736 76.46
7A 32 14,058,639.95 5.41 359 39.12 6.532 693 74.70
6A 41 18,217,783.84 7.01 347 36.27 6.651 668 78.46
5A 76 31,847,480.07 12.25 356 39.25 6.968 650 81.32
4A 43 15,719,452.09 6.05 352 37.47 7.028 631 79.17
3A 73 22,474,616.80 8.65 356 39.81 7.109 614 75.60
2A 198 64,806,075.17 24.94 355 41.45 7.487 582 76.48
A 66 22,745,213.33 8.75 353 40.25 7.638 579 77.41
B 113 32,579,728.92 12.54 355 41.15 8.196 545 72.08
C 72 21,747,013.32 8.37 357 44.51 8.683 536 70.75
D 9 1,131,536.04 0.44 319 36.89 9.600 516 59.15
-------------------- --------- ------------------ -------------- ------------ ---------- -------------- -------- -----------
TOTAL: 757 $259,884,162.09 100.00% 355 40.34 7.398 608 76.18
----------------------------------------------------------------------------------------------------------------------------
PROPERTY TYPE
-----------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
PROPERTY TYPE LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
--------------------- --------- ------------------ ------------- ------------ ------------ ------------ -------- ----------
Single Family 690 $ 237,511,553.25 91.39% 355 40.17 7.410 608 76.28
Detached PUD Detached 31 12,172,972.73 4.68 356 42.82 7.054 611 75.77
Condominium 17 5,266,134.57 2.03 359 42.01 7.233 595 75.95
Two-to-Four Family 15 4,673,497.58 1.80 354 40.72 7.734 593 72.71
Manufactured Housing 3 200,031.96 0.08 228 33.94 10.421 575 68.15
Single Family
Attached 1 59,972.00 0.02 359 39.00 9.750 555 62.03
--------------------- --------- ------------------ -------------- ------------- ---------- -------------- -------- -----------
TOTAL: 757 $ 259,884,162.09 100.00% 355 40.34 7.398 608 76.18
--------------------- --------- ------------------ -------------- ------------- ---------- -------------- -------- -----------
------------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT CHARGE TERM
------------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT CHARGE TERM % OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
AT ORIGINATION (MOS.) LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
-------------------------- --------- ------------------ ------------- ------------ ------------ ------------ -------- ----------
0 283 $ 80,462,147.81 30.96% 353 40.54 8.089 602 76.29
12 32 9,492,646.17 3.65 343 35.67 7.354 654 72.47
24 2 868,846.18 0.33 359 38.04 7.436 610 82.10
30 1 389,710.56 0.15 359 50.00 7.500 554 70.91
36 439 168,670,811.37 64.90 356 40.49 7.071 608 76.31
-------------------------- ---------- ------------------ -------------- ------------ ---------- ------------ -------- -----------
TOTAL: 757 $259,884,162.09 100.00% 355 40.34 7.398 608 76.18
-------------------------- ---------- ------------------ -------------- ------------ ---------- ------------ -------- -----------
CONFORMING BALANCE
----------------------------------------------------------------------------------------------------------------------------------
CONFORMING % OF
PRINCIPAL PRINCIPAL REMAINING
NUMBER OF BALANCE BALANCE AS OF TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF THE CUT-OFF MATURITY INCOME RATES
BALANCE LOANS THE CUT-OFF DATE DATE (MONTHS) (%) (%) FICO OLTV (%)
-------------------------- --------- ------------------ ------------- ------------ ------------ ------------ -------- ----------
Conforming Balance 202 $ 16,328,386.73 6.28% 316 40.13 10.277 579 75.98
Non-Conforming Balance 555 243,555,775.36 93.72 357 40.35 7.205 610 76.19
-------------------------- ---------- ----------------- -------------- ------------- -------- --------------- ------- ----------
TOTAL: 757 $259,884,162.09 100.00% 355 40.34 7.398 608 76.18
-----------------------------------------------------------------------------------------------------------------------------------
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
----------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL
PRINCIPAL BALANCE OF
BALANCE OF ADJUSTABLE REMAINING DEBT-
NUMBER OF ADJUSTABLE RATE RATE LOANS TERM TO TO-
RANGE OF MAXIMUM MORTGAGE LOANS AS OF THE AS OF THE MATURITY INCOME MORTGAGE
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) RATES (%) FICO OLTV (%)
----------------------------------------- ------------------ --------------- ----------- --------- ------------ -------- ---------
11.500 - 11.999 43 $ 19,342,317.91 9.30% 353 35.98 5.901 676 74.85
12.000 - 12.499 69 29,923,283.59 14.39 359 40.25 6.270 621 74.32
12.500 - 12.999 130 55,631,844.97 26.76 359 40.26 6.749 607 77.74
13.000 - 13.499 53 22,440,595.85 10.79 354 40.84 7.271 573 75.85
13.500 - 13.999 94 41,198,029.83 19.82 359 42.07 7.747 573 75.72
14.000 - 14.499 18 8,169,871.46 3.93 359 47.50 8.267 564 75.72
14.500 - 14.999 42 19,297,053.47 9.28 359 41.20 8.728 568 76.85
15.000 - 15.499 7 3,318,696.25 1.60 359 41.96 9.190 595 76.88
15.500 - 15.999 17 7,287,982.69 3.51 359 43.64 9.765 558 75.52
16.000 - 16.499 2 755,291.31 0.36 359 40.27 10.236 573 80.46
16.500 - 16.999 1 530,802.24 0.26 359 28.00 10.800 642 90.00
-------------------------- ----------- ------------------- -------------- -------------- --------- ------------- ------- -----------
TOTAL: 476 $ 207,895,769.57 100.00% 358 40.77 7.266 598 76.16
-----------------------------------------------------------------------------------------------------------------------------------
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
-------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL
PRINCIPAL BALANCE OF
BALANCE OF ADJUSTABLE REMAINING DEBT-
NUMBER OF ADJUSTABLE RATE RATE LOANS TERM TO TO-
RANGE OF MINIMUM MORTGAGE LOANS AS OF THE AS OF THE MATURITY INCOME MORTGAGE
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) RATES (%) FICO OLTV (%)
-------------------------------------- ------------------ --------------- ----------- --------- ------------ -------- ---------
5.500 - 5.999 43 $ 19,342,317.91 9.30% 353 35.98 5.901 676 74.85
6.000 - 6.499 69 29,923,283.59 14.39 359 40.25 6.270 621 74.32
6.500 - 6.999 130 55,631,844.97 26.76 359 40.26 6.749 607 77.74
7.000 - 7.499 53 22,440,595.85 10.79 354 40.84 7.271 573 75.85
7.500 - 7.999 94 41,198,029.83 19.82 359 42.07 7.747 573 75.72
8.000 - 8.499 18 8,169,871.46 3.93 359 47.50 8.267 564 75.72
8.500 - 8.999 42 19,297,053.47 9.28 359 41.20 8.728 568 76.85
9.000 - 9.499 7 3,318,696.25 1.60 359 41.96 9.190 595 76.88
9.500 - 9.999 17 7,287,982.69 3.51 359 43.64 9.765 558 75.52
10.000 - 10.499 2 755,291.31 0.36 359 40.27 10.236 573 80.46
10.500 - 10.999 1 530,802.24 0.26 359 28.00 10.800 642 90.00
------------------------ ------------ ------------------- ---------------- ---------- --------- ------------ ------- ----------
TOTAL: 476 $ 207,895,769.57 100.00% 358 40.77 7.266 598 76.16
------------------------ ------------ ------------------- ---------------- ---------- --------- ------------ ------- ----------
GROSS MARGINS OF THE ADJUSTABLE-RATE LOANS
-------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL
PRINCIPAL BALANCE OF
BALANCE OF ADJUSTABLE REMAINING DEBT-
NUMBER OF ADJUSTABLE RATE RATE LOANS TERM TO TO-
RANGE OF GROSS MORTGAGE LOANS AS OF THE AS OF THE MATURITY INCOME MORTGAGE
MARGINS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) RATES(%) FICO OLTV (%)
--------------------- --------------- ------------------ --------------- ----------- --------- ------------ -------- ---------
3.000 - 3.249 1 $ 435,605.85 0.21% 359 49.00 6.500 646 80.74
4.000 - 4.249 1 356,748.03 0.17 359 49.00 7.750 609 85.00
4.250 - 4.499 1 441,665.35 0.21 359 41.00 7.400 568 73.67
4.500 - 4.749 4 1,728,343.54 0.83 359 45.40 6.237 711 72.15
4.750 - 4.999 13 5,349,204.19 2.57 359 41.16 6.513 723 75.55
5.000 - 5.249 15 7,143,626.10 3.44 359 44.66 6.314 684 79.79
5.250 - 5.499 22 10,657,058.48 5.13 349 33.40 6.242 665 75.75
5.500 - 5.749 59 26,305,245.18 12.65 359 38.78 6.897 648 81.34
5.750 - 5.999 44 18,588,805.04 8.94 359 39.91 6.859 614 78.21
6.000 - 6.249 170 74,782,016.94 35.97 358 41.22 7.215 588 76.18
6.250 - 6.499 41 17,319,709.69 8.33 357 40.88 7.585 573 77.74
6.500 - 6.749 65 28,033,549.42 13.48 359 40.91 7.901 544 71.90
6.750 - 6.999 40 16,754,191.76 8.06 359 44.50 8.546 530 70.28
--------------------- ------------- ------------------ ----------------- ------------ --------- ------------ -------- ----------
TOTAL: 476 $ 207,895,769.57 100.00% 358 40.77 7.266 598 76.16
---------------------------------------------------------------------------------------------------------------------------------
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
------------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL
PRINCIPAL BALANCE OF
BALANCE OF ADJUSTABLE REMAINING DEBT-
NUMBER OF ADJUSTABLE RATE RATE LOANS TERM TO TO-
NEXT RATE ADJUSTMENT MORTGAGE LOANS AS OF THE AS OF THE MATURITY INCOME MORTGAGE
DATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) RATES(%) FICO OLTV (%)
---------------------- -------------- ------------------ --------------- ----------- --------- ------------ -------- ---------
2006-04 3 $ 1,154,892.75 0.56% 354 49.12 7.469 526 77.77
2006-07 2 690,618.82 0.33 357 25.92 7.252 589 89.83
2006-08 10 4,094,656.07 1.97 358 40.37 7.349 579 70.96
2006-09 434 190,553,010.93 91.66 358 40.93 7.264 599 76.22
2006-10 27 11,402,591.00 5.48 360 38.33 7.258 601 76.16
---------------------- ------------ ------------------- ---------------- ----------- --------- ------------ --------- ---------
TOTAL: 476 $ 207,895,769.57 100.00% 358 40.77 7.266 598 76.16
---------------------- ------------ ------------------- ---------------- ----------- --------- ------------ --------- ---------
INITIAL PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS
--------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL
PRINCIPAL BALANCE OF
BALANCE OF ADJUSTABLE REMAINING DEBT-
INITIAL NUMBER OF ADJUSTABLE RATE RATE LOANS TERM TO TO-
PERIODIC MORTGAGE LOANS AS OF THE AS OF THE MATURITY INCOME MORTGAGE
RATE CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) RATES(%) FICO OLTV (%)
------------------- ------------- ------------------ --------------- ----------- --------- ------------ -------- ---------
2.000 476 $ 207,895,769.57 100.00% 358 40.77 7.266 598 76.16
------------------- ------------- ------------------ --------------- ----------- ---------- ------------ ------- ---------
TOTAL: 476 $ 207,895,769.57 100.00% 358 40.77 7.266 598 76.16
---------------------------------------------------------------------------------------------------------------------------
SUBSEQUENT PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS
--------------------------------------------------------------------------------------------------------------------------
% OF
PRINCIPAL
PRINCIPAL BALANCE OF
BALANCE OF ADJUSTABLE REMAINING DEBT-
SUBSEQUENT NUMBER OF ADJUSTABLE RATE RATE LOANS TERM TO TO-
PERIODIC RATE MORTGAGE LOANS AS OF THE AS OF THE MATURITY INCOME MORTGAGE
CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) RATES(%) FICO OLTV (%)
-------------------- ------------ ------------------ --------------- ----------- --------- ------------ -------- ---------
1.000 476 $ 207,895,769.57 100.00% 358 40.77 7.266 598 76.16
-------------------- ----------- ------------------- --------------- ----------- --------- ------------- ------- ---------
TOTAL: 476 $ 207,895,769.57 100.00% 358 40.77 7.266 598 76.16
-------------------- ----------- ------------------- --------------- ----------- --------- ------------- ------- ---------
