Contract
EXHIBIT 99.1
The depositor has purchased mortgage loans from IndyMac Bank, F.S.B. (“IndyMac Bank”) pursuant to a pooling and servicing agreement, dated as of March 1, 2006, among IndyMac Bank, as seller and servicer, IndyMac ABS, Inc. as the depositor and Deutsche Bank National Trust Company as the trustee and supplemental interest trust trustee, and assigned to the trustee for the benefit of holders of the certificates the mortgage loans (the “Closing Date Mortgage Loans”). As of the Closing Date, the Closing Date Mortgage Loans have an aggregate principal balance of approximately $648,159,283. The Closing Date Mortgage Loans included in Loan Group I have an aggregate principal balance equal to approximately $351,895,987, and the Closing Date Mortgage Loans included in Loan Group II have an aggregate principal balance equal to approximately $296,263,296. The mortgage loans to be included in the mortgage pool were acquired or originated by the seller in the normal course of its business.
At origination, 99.68% of the Mortgage Loans in Loan Group I and approximately 99.51% of the Mortgage Loans in Loan Group II had stated terms to maturity of 30 years. Substantially all of the Mortgage Loans provide for payments due on the first day of each month. Scheduled monthly payments made by the mortgagors on the mortgage loans either earlier or later than the scheduled due dates thereof is not expected to affect the amortization schedule or the relative application of those payments to principal and interest.
Certain of the mortgage loans included in the trust only require the related mortgagor to pay interest on the principal balance of the mortgage loan for either the first two, three, five or ten years after its origination, but require that the entire principal balance of the mortgage loan be fully amortized over the related remaining term of the mortgage loan following such interest only period (such mortgage loans are referred to in this prospectus supplement as “Interest-Only Mortgage Loans”). The mortgage rate at which interest is calculated during the period in which only payments of interest are due may be fixed or adjustable or initially fixed and then adjustable. 277 of the Closing Date Mortgage Loans in Loan Group I and 245 of the Closing Date Mortgage Loans in Loan Group II, representing approximately 15.82% and 25.16%, respectively, of the Closing Date Mortgage Loans in that Loan Group are Interest Only Mortgage Loans.
Approximately 69.24% of the Closing Date Mortgage Loans in Loan Group I and approximately 59.53% of the Closing Date Mortgage Loans in Loan Group II provide for the amortization of the principal balance over a series of substantially equal monthly payments. Approximately 14.94% of the Closing Date Mortgage Loans in Loan Group I and approximately 15.31% of the Closing Date Mortgage Loans in Loan Group II are balloon loans and provide for equal monthly payments, consisting of principal and interest, based on a stated amortization schedule, and a single payment of the remaining principal balance of the loan at maturity. The balloon loans included in the trust will require monthly payments based on a 40 year amortization schedule and a balloon payment on a maturity date that is 30 years after the origination of such mortgage loan.
Approximately 1,337 Loan Group I Closing Date Mortgage Loans, or 59.07% of the Closing Date Mortgage Loans in Loan Group I, and approximately 862 Loan Group II Closing Date Mortgage Loans, or 65.67% of the Closing Date Mortgage Loans in Loan Group II, contain prepayment charges. Prepayment charges provide that if the borrower were to prepay the mortgage loan in full at any time from the origination of the mortgage loan to a date set forth in the related mortgage note (the “Prepayment Charge Period”), the borrower would also have to pay a fee in addition to the amount necessary to repay the mortgage loan. All mortgage loans will have a Prepayment Charge Period that vary from one year to three years, depending on the terms set forth in the related mortgage note. The amount of the prepayment charge varies.
The mortgage rate of each of the fixed-rate mortgage loans will be fixed for the life of the loan. The Mortgage Rates for a substantial majority of the adjustable-rate mortgage loans will be fixed for a period after the origination of each such mortgage loan, after which it will adjust semi-annually or annually based on the applicable Loan Index. The rates on these loans adjust periodically on a date (the “Adjustment Date”) after an initial period during which their rate is fixed that ends on their initial Adjustment Date. The change in the interest rate of any adjustable rate loan on any single Adjustment Date may not exceed a maximum known as its “Periodic Rate Cap” nor the maximum known as the “Maximum Mortgage Rate”. The interest rate for each of these mortgage loans is computed as a margin specified in the related mortgage note over the applicable Loan Index which may be 6-month LIBOR, 1-year LIBOR or 1-year CMT. “6-month LIBOR” is the average of interbank offered rates for six month U.S. dollar deposits, respectively, in the London market based on quotations of major banks, as published either (x) by Xxxxxx Xxx either 30 or 45 days before the Adjustment Date or (y) in the “Money Rates” section of The Wall Street Journal as of the first business day of the month before the Adjustment Date. “1-year LIBOR” is the average of interbank offered rates for one year U.S. dollar deposits, respectively, in the London market based on quotations of major banks, as published either (x) by Xxxxxx Mae either 30 or 45 days before the Adjustment Date or (y) in the “Money Rates” section of The Wall Street Journal as of the first business day of the month before the Adjustment Date. “1-year CMT” is the weekly average yield on U.S. Treasury Securities adjusted to a constant maturity of one year as made available by the Federal Reserve.
CLOSING DATE MORTGAGE LOANS
CURRENT STATED PRINCIPAL BALANCE |
Range of |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate | ||
0.01 - 50,000.00 |
|
161 |
|
$ |
6,363,511 |
|
0.98 |
% |
50,000.01 - 100,000.00 |
|
625 |
|
|
48,809,123 |
|
7.53 |
|
100,000.01 - 150,000.00 |
|
731 |
|
|
91,064,015 |
|
14.05 |
|
150,000.01 - 200,000.00 |
|
600 |
|
|
105,340,721 |
|
16.25 |
|
200,000.01 - 250,000.00 |
|
435 |
|
|
97,212,506 |
|
15.00 |
|
250,000.01 - 300,000.00 |
|
326 |
|
|
89,066,790 |
|
13.74 |
|
300,000.01 - 350,000.00 |
|
202 |
|
|
65,584,900 |
|
10.12 |
|
350,000.01 - 400,000.00 |
|
146 |
|
|
54,692,975 |
|
8.44 |
|
400,000.01 - 450,000.00 |
|
70 |
|
|
29,811,231 |
|
4.60 |
|
450,000.01 - 500,000.00 |
|
56 |
|
|
26,722,729 |
|
4.12 |
|
500,000.01 - 550,000.00 |
|
23 |
|
|
12,013,282 |
|
1.85 |
|
550,000.01 - 600,000.00 |
|
22 |
|
|
12,709,809 |
|
1.96 |
|
600,000.01 - 650,000.00 |
|
7 |
|
|
4,437,719 |
|
0.68 |
|
650,000.01 - 700,000.00 |
|
3 |
|
|
2,038,032 |
|
0.31 |
|
700,000.01 - 750,000.00 |
|
2 |
|
|
1,495,145 |
|
0.23 |
|
750,000.01 and above |
|
1 |
|
|
796,794 |
|
0.12 |
|
Total |
|
3,410 |
|
$ |
648,159,283 |
|
100.00 |
% |
As of March 14, 2006 the average current principal balance of the Closing Date Mortgage Loans was approximately $190,076.
MORTGAGE RATE
(ALL CLOSING DATE MORTGAGE LOANS)
Current Gross Mortgage |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Statistical Calculation | ||
5.001 - 5.500 |
|
12 |
|
$ |
3,102,295 |
|
0.48 |
% |
5.501 - 6.000 |
|
60 |
|
|
16,356,277 |
|
2.52 |
|
6.001 - 6.500 |
|
149 |
|
|
40,121,399 |
|
6.19 |
|
6.501 - 7.000 |
|
316 |
|
|
75,781,313 |
|
11.69 |
|
7.001 - 7.500 |
|
429 |
|
|
92,910,480 |
|
14.33 |
|
7.501 - 8.000 |
|
573 |
|
|
112,203,214 |
|
17.31 |
|
8.001 - 8.500 |
|
504 |
|
|
90,579,587 |
|
13.97 |
|
8.501 - 9.000 |
|
441 |
|
|
82,939,028 |
|
12.80 |
|
9.001 - 9.500 |
|
292 |
|
|
45,493,781 |
|
7.02 |
|
9.501 - 10.000 |
|
280 |
|
|
41,298,467 |
|
6.37 |
|
10.001 - 10.500 |
|
135 |
|
|
18,425,486 |
|
2.84 |
|
10.501 - 11.000 |
|
72 |
|
|
10,270,257 |
|
1.58 |
|
11.001 - 11.500 |
|
62 |
|
|
8,877,605 |
|
1.37 |
|
11.501 - 12.000 |
|
40 |
|
|
4,918,258 |
|
0.76 |
|
12.001 - 12.500 |
|
32 |
|
|
3,538,929 |
|
0.55 |
|
12.501 - 13.000 |
|
11 |
|
|
1,149,111 |
|
0.18 |
|
13.001 - 13.500 |
|
2 |
|
|
193,799 |
|
0.03 |
|
Total |
|
3,410 |
|
$ |
648,159,283 |
|
100.00 |
% |
As of March 14, 2006, the weighted average mortgage rate of the Closing Date Mortgage Loans was approximately 8.135%.
FICO SCORE
(ALL CLOSING DATE MORTGAGE LOANS)
FICO Score |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Statistical Calculation | ||
500 and below |
|
25 |
|
$ |
3,758,372 |
|
0.58 |
% |
501 - 520 |
|
202 |
|
|
33,941,010 |
|
5.24 |
|
521 - 540 |
|
202 |
|
|
34,637,924 |
|
5.34 |
|
541 - 560 |
|
291 |
|
|
50,669,370 |
|
7.82 |
|
561 - 580 |
|
301 |
|
|
58,177,412 |
|
8.98 |
|
581 - 600 |
|
467 |
|
|
78,206,273 |
|
12.07 |
|
601 - 620 |
|
591 |
|
|
104,019,093 |
|
16.05 |
|
621 - 640 |
|
402 |
|
|
85,059,527 |
|
13.12 |
|
641 - 660 |
|
333 |
|
|
71,529,205 |
|
11.04 |
|
661 - 680 |
|
228 |
|
|
46,007,688 |
|
7.10 |
|
681 - 700 |
|
137 |
|
|
31,020,523 |
|
4.79 |
|
701 - 720 |
|
96 |
|
|
21,825,041 |
|
3.37 |
|
721 - 740 |
|
52 |
|
|
11,597,395 |
|
1.79 |
|
741 - 760 |
|
40 |
|
|
9,206,282 |
|
1.42 |
|
761 - 780 |
|
29 |
|
|
5,044,053 |
|
0.78 |
|
781 - 800 |
|
14 |
|
|
3,460,117 |
|
0.53 |
|
Total |
|
3,410 |
|
$ |
648,159,283 |
|
100.00 |
% |
As of March 14, 2006, the non-zero weighted average FICO score of the Closing Date Mortgage Loans was approximately 615.
CREDIT LEVELS
(ALL CLOSING DATE MORTGAGE LOANS)
Credit Level |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Statistical Calculation | ||
0 |
|
155 |
|
$ |
31,380,601 |
|
4.84 |
% |
1++ |
|
2,155 |
|
|
417,526,840 |
|
64.42 |
|
1+ |
|
472 |
|
|
95,981,539 |
|
14.81 |
|
1 |
|
202 |
|
|
37,252,231 |
|
5.75 |
|
2 |
|
139 |
|
|
22,039,563 |
|
3.40 |
|
3 |
|
130 |
|
|
21,464,999 |
|
3.31 |
|
4 |
|
157 |
|
|
22,513,511 |
|
3.47 |
|
Total |
|
3,410 |
|
$ |
648,159,283 |
|
100.00 |
% |
LIEN STATUS
(ALL CLOSING DATE MORTGAGE LOANS)
Lien Status |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Statistical Calculation | ||
First Lien |
|
3,410 |
|
$ |
648,159,283 |
|
100.00 |
% |
Total |
|
3,410 |
|
$ |
648,159,283 |
|
100.00 |
% |
ORIGINAL LOAN-TO-VALUE RATIOS
(ALL CLOSING DATE MORTGAGE LOANS)
Original |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate | ||
50.00 and below |
|
111 |
|
$ |
14,679,109 |
|
2.26 |
% |
50.01 - 55.00 |
|
63 |
|
|
11,298,135 |
|
1.74 |
|
55.01 - 60.00 |
|
75 |
|
|
14,301,854 |
|
2.21 |
|
60.01 - 65.00 |
|
129 |
|
|
23,999,522 |
|
3.70 |
|
65.01 - 70.00 |
|
229 |
|
|
40,446,404 |
|
6.24 |
|
70.01 - 75.00 |
|
221 |
|
|
41,888,604 |
|
6.46 |
|
75.01 - 80.00 |
|
1,449 |
|
|
287,068,599 |
|
44.29 |
|
80.01 - 85.00 |
|
311 |
|
|
62,834,258 |
|
9.69 |
|
85.01 - 90.00 |
|
502 |
|
|
98,619,496 |
|
15.22 |
|
90.01 - 95.00 |
|
127 |
|
|
25,200,908 |
|
3.89 |
|
95.01 - 100.00 |
|
193 |
|
|
27,822,397 |
|
4.29 |
|
Total |
|
3,410 |
|
$ |
648,159,283 |
|
100.00 |
% |
As of March 14, 2006, the weighted average original loan-to-value ratio of the Closing Date Mortgage Loans was approximately 79.67%.
TYPE OF DOCUMENTATION PROGRAM
(ALL CLOSING DATE MORTGAGE LOANS)
Type of Documentation Program |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate | ||
Full |
|
1,898 |
|
$ |
325,867,331 |
|
50.28 |
% |
Limited Income & Asset |
|
40 |
|
|
10,276,850 |
|
1.59 |
|
Stated Doc |
|
1,443 |
|
|
305,931,045 |
|
47.20 |
|
No Ratio |
|
13 |
|
|
3,107,072 |
|
0.48 |
|
No Income No Asset |
|
12 |
|
|
2,089,365 |
|
0.32 |
|
No Doc |
|
4 |
|
|
887,621 |
|
0.14 |
|
Total |
|
3,410 |
|
$ |
648,159,283 |
|
100.00 |
% |
LOAN PURPOSE
(ALL CLOSING DATE MORTGAGE LOANS)
Loan Purpose |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Statistical Calculation | ||
Purchase |
|
1,584 |
|
$ |
288,664,939 |
|
44.54 |
% |
Rate & Term Refinance |
|
157 |
|
|
25,673,377 |
|
3.96 |
|
Cash Out Refinance |
|
1,669 |
|
|
333,820,967 |
|
51.50 |
|
Total |
|
3,410 |
|
$ |
648,159,283 |
|
100.00 |
% |
OCCUPANCY TYPE(1)
(ALL CLOSING DATE MORTGAGE LOANS)
Occupancy Type |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Statistical Calculation | ||
Owner Occupied |
|
3,093 |
|
$ |
602,994,654 |
|
93.03 |
% |
Second Home |
|
43 |
|
|
8,600,958 |
|
1.33 |
|
Investor Occupied |
|
274 |
|
|
36,563,671 |
|
5.64 |
|
Total |
|
3,410 |
|
$ |
648,159,283 |
|
100.00 |
% |
(1) Based on representations of the related mortgagors at the time of origination.
PROPERTY TYPE
(ALL CLOSING DATE MORTGAGE LOANS)
Property Type |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
Single Family Residence |
|
2,396 |
|
$ |
436,762,450 |
|
67.39 |
% |
PUD |
|
489 |
|
|
103,485,694 |
|
15.97 |
|
Condo Xxxx |
|
000 |
|
|
44,465,726 |
|
6.86 |
|
2 Unit |
|
146 |
|
|
37,239,314 |
|
5.75 |
|
Townhouse |
|
75 |
|
|
9,850,171 |
|
1.52 |
|
High Rise Condo |
|
29 |
|
|
6,574,227 |
|
1.01 |
|
4 Unit |
|
16 |
|
|
4,031,831 |
|
0.62 |
|
3 Xxxx |
|
00 |
|
|
5,749,871 |
|
0.89 |
|
Total |
|
3,410 |
|
$ |
648,159,283 |
|
100.00 |
% |
GEOGRAPHIC DISTRIBUTION
(ALL CLOSING DATE MORTGAGE LOANS)
Geographic Distribution |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
California |
|
384 |
|
$ |
120,003,064 |
|
18.51 |
% |
Florida |
|
426 |
|
|
81,489,183 |
|
12.57 |
|
New York |
|
228 |
|
|
62,828,566 |
|
9.69 |
|
New Jersey |
|
200 |
|
|
47,999,449 |
|
7.41 |
|
Texas |
|
340 |
|
|
38,915,086 |
|
6.00 |
|
Maryland |
|
160 |
|
|
33,745,715 |
|
5.21 |
|
Virginia |
|
121 |
|
|
26,341,638 |
|
4.06 |
|
Georgia |
|
177 |
|
|
26,034,877 |
|
4.02 |
|
Massachusetts |
|
105 |
|
|
25,205,247 |
|
3.89 |
|
Illinois |
|
129 |
|
|
24,163,125 |
|
3.73 |
|
Other |
|
1,140 |
|
|
161,433,335 |
|
24.91 |
|
Total |
|
3,410 |
|
$ |
648,159,283 |
|
100.00 |
% |
ZIP CODE
(ALL CLOSING DATE MORTGAGE LOANS)
Zip Code |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
11434 |
|
7 |
|
$ |
2,204,283 |
|
0.34 |
% |
11706 |
|
7 |
|
|
1,999,940 |
|
0.31 |
|
93535 |
|
8 |
|
|
1,961,888 |
|
0.30 |
|
20744 |
|
7 |
|
|
1,881,326 |
|
0.29 |
|
11717 |
|
6 |
|
|
1,876,021 |
|
0.29 |
|
22193 |
|
6 |
|
|
1,695,210 |
|
0.26 |
|
11722 |
|
6 |
|
|
1,661,399 |
|
0.26 |
|
92647 |
|
3 |
|
|
1,651,103 |
|
0.25 |
|
33193 |
|
7 |
|
|
1,645,600 |
|
0.25 |
|
92345 |
|
6 |
|
|
1,551,885 |
|
0.24 |
|
Other |
|
3,347 |
|
|
630,030,629 |
|
97.20 |
|
Total |
|
3,410 |
|
$ |
648,159,283 |
|
100.00 |
% |
REMAINING TERM TO MATURITY
(ALL CLOSING DATE MORTGAGE LOANS)
Remaining Term to |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
180 and below |
|
22 |
|
$ |
2,269,367 |
|
0.35 |
% |
181 - 240 |
|
3 |
|
|
312,322 |
|
0.05 |
|
241 - 360 |
|
3,385 |
|
|
645,577,594 |
|
99.60 |
|
Total |
|
3,410 |
|
$ |
648,159,283 |
|
100.00 |
% |
As of March 14, 2006, the weighted average remaining term to maturity of the Closing Date Mortgage Loans was approximately 357 months.
PRODUCT TYPE
(ALL CLOSING DATE MORTGAGE LOANS)
Product Type |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Statistical Calculation | ||
2/6 MONTH LIBOR |
|
1,765 |
|
$ |
307,687,966 |
|
47.47 |
% |
2/6 MONTH LIBOR - 120 MONTH IO |
|
366 |
|
|
93,538,520 |
|
14.43 |
|
2/6 MONTH LIBOR - 30/40 BALLOON |
|
321 |
|
|
80,346,115 |
|
12.40 |
|
30YR FIXED |
|
443 |
|
|
65,475,760 |
|
10.10 |
|
3/6 MONTH LIBOR |
|
167 |
|
|
29,583,625 |
|
4.56 |
|
2/6 MONTH LIBOR - 24 MONTH IO |
|
35 |
|
|
10,575,208 |
|
1.63 |
|
3/6 MONTH LIBOR - 120 MONTH IO |
|
41 |
|
|
8,027,223 |
|
1.24 |
|
30/40 BALLOON FIXED |
|
27 |
|
|
6,049,989 |
|
0.93 |
|
5/6 MONTH LIBOR |
|
30 |
|
|
5,370,793 |
|
0.83 |
|
30YR FIXED - 120 MONTH IO |
|
25 |
|
|
5,333,128 |
|
0.82 |
|
3/6 MONTH LIBOR - 30/40 BALLOON |
|
29 |
|
|
5,007,041 |
|
0.77 |
|
5/6 MONTH LIBOR - 120 MONTH IO |
|
20 |
|
|
4,729,940 |
|
0.73 |
|
3/1 ARM 1 YR CMT |
|
17 |
|
|
3,314,702 |
|
0.51 |
|
3/1 ARM 1 YR LIBOR |
|
21 |
|
|
3,172,932 |
|
0.49 |
|
5/1 ARM 1 YR LIBOR |
|
18 |
|
|
2,806,665 |
|
0.43 |
|
0/0 XXX 0 XX XXX - 00/00 XXXXXXX |
|
9 |
|
|
2,761,259 |
|
0.43 |
|
3/6 MONTH LIBOR - 60 MONTH IO |
|
14 |
|
|
2,543,952 |
|
0.39 |
|
15YR FIXED |
|
22 |
|
|
2,269,367 |
|
0.35 |
|
5/1 ARM 1 YR LIBOR - 120 MONTH IO |
|
7 |
|
|
1,329,135 |
|
0.21 |
|
5/6 MONTH LIBOR - 60 MONTH IO |
|
4 |
|
|
1,318,594 |
|
0.20 |
|
3/1 ARM 1 YR LIBOR - 30/40 BALLOON |
|
5 |
|
|
1,302,000 |
|
0.20 |
|
5/6 MONTH LIBOR - 30/40 BALLOON |
|
6 |
|
|
1,284,235 |
|
0.20 |
|
0/0 XXX 0 XX XXXXX - 00/00 XXXXXXX |
|
5 |
|
|
1,184,600 |
|
0.18 |
|
3/6 MONTH LIBOR - 36 MONTH IO |
|
3 |
|
|
1,084,610 |
|
0.17 |
|
5/1 ARM 1 YR CMT - 60 MONTH IO |
|
2 |
|
|
639,302 |
|
0.10 |
|
5/1 ARM 1 YR LIBOR - 60 MONTH IO |
|
2 |
|
|
472,000 |
|
0.07 |
|
3/1 ARM 1 YR LIBOR - 120 MONTH IO |
|
2 |
|
|
407,900 |
|
0.06 |
|
20YR FIXED |
|
3 |
|
|
312,322 |
|
0.05 |
|
3/1 ARM 1 YR LIBOR - 36 MONTH IO |
|
1 |
|
|
230,400 |
|
0.04 |
|
Total |
|
3,410 |
|
$ |
648,159,283 |
|
100.00 |
% |
PREPAYMENT CHARGE TERM
(ALL CLOSING DATE MORTGAGE LOANS)
Prepayment Charge |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of | ||
0 |
|
1,211 |
|
$ |
245,722,448 |
|
37.91 |
% |
12 |
|
173 |
|
|
41,669,867 |
|
6.43 |
|
24 |
|
1,372 |
|
|
253,859,572 |
|
39.17 |
|
36 |
|
653 |
|
|
106,855,458 |
|
16.49 |
|
60 |
|
1 |
|
|
51,938 |
|
0.01 |
|
Total |
|
3,410 |
|
$ |
648,159,283 |
|
100.00 |
% |
INITIAL PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
(ALL CLOSING DATE MORTGAGE LOANS)
Initial Periodic |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
1.000 and below |
|
1 |
|
$ |
549,988 |
|
0.10 |
% |
1.001 - 1.500 |
|
96 |
|
|
16,486,794 |
|
2.90 |
|
1.501 - 2.000 |
|
97 |
|
|
19,655,244 |
|
3.46 |
|
2.501 - 3.000 |
|
2,597 |
|
|
511,148,937 |
|
89.88 |
|
3.001 - 3.500 |
|
2 |
|
|
819,124 |
|
0.14 |
|
4.501 - 5.000 |
|
84 |
|
|
16,327,540 |
|
2.87 |
|
5.501 - 6.000 |
|
13 |
|
|
3,731,091 |
|
0.66 |
|
Total |
|
2,890 |
|
$ |
568,718,717 |
|
100.00 |
% |
SUBSEQUENT PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
(ALL CLOSING DATE MORTGAGE LOANS)
Subsequent Periodic |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Statistical Calculation | ||
0.501 - 1.000 |
|
2,625 |
|
$ |
516,608,384 |
|
90.84 |
% |
1.001 - 1.500 |
|
156 |
|
|
28,328,381 |
|
4.98 |
|
1.501 - 2.000 |
|
109 |
|
|
23,781,952 |
|
4.18 |
|
Total |
|
2,890 |
|
$ |
568,718,717 |
|
100.00 |
% |
GROSS MARGIN OF THE ADJUSTABLE-RATE LOANS
(ALL CLOSING DATE MORTGAGE LOANS)
Gross Margin (%) |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
4.000 and below |
|
221 |
|
$ |
54,003,186 |
|
9.50 |
% |
4.001 - 4.500 |
|
114 |
|
|
23,923,074 |
|
4.21 |
|
4.501 - 5.000 |
|
356 |
|
|
96,378,651 |
|
16.95 |
|
5.001 - 5.500 |
|
928 |
|
|
173,102,339 |
|
30.44 |
|
5.501 - 6.000 |
|
487 |
|
|
96,850,938 |
|
17.03 |
|
6.001 - 6.500 |
|
277 |
|
|
44,277,247 |
|
7.79 |
|
6.501 - 7.000 |
|
328 |
|
|
57,400,804 |
|
10.09 |
|
7.001 - 7.500 |
|
149 |
|
|
17,367,610 |
|
3.05 |
|
7.501 - 8.000 |
|
19 |
|
|
3,405,926 |
|
0.60 |
|
8.001 - 8.500 |
|
8 |
|
|
1,421,376 |
|
0.25 |
|
8.501 - 9.000 |
|
3 |
|
|
587,566 |
|
0.10 |
|
Total |
|
2,890 |
|
$ |
568,718,717 |
|
100.00 |
% |
As of March 14, 2006, the weighted average gross margin of the Closing Date Mortgage Loans was approximately 5.440%.
MAXIMUM MORTGAGE RATE OF THE ADJUSTABLE-RATE LOANS
(ALL CLOSING DATE MORTGAGE LOANS)
Maximum Mortgage |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Statistical Calculation | ||
10.501 - 11.000 |
|
2 |
|
$ |
270,464 |
|
0.05 |
% |
11.001 - 11.500 |
|
15 |
|
|
3,761,705 |
|
0.66 |
|
11.501 - 12.000 |
|
47 |
|
|
14,050,474 |
|
2.47 |
|
12.001 - 12.500 |
|
108 |
|
|
29,841,305 |
|
5.25 |
|
12.501 - 13.000 |
|
247 |
|
|
61,455,304 |
|
10.81 |
|
13.001 - 13.500 |
|
341 |
|
|
78,515,934 |
|
13.81 |
|
13.501 - 14.000 |
|
456 |
|
|
95,378,102 |
|
16.77 |
|
14.001 - 14.500 |
|
415 |
|
|
77,540,505 |
|
13.63 |
|
14.501 - 15.000 |
|
395 |
|
|
75,237,261 |
|
13.23 |
|
15.001 - 15.500 |
|
273 |
|
|
45,415,558 |
|
7.99 |
|
15.501 - 16.000 |
|
265 |
|
|
40,773,242 |
|
7.17 |
|
16.001 - 16.500 |
|
133 |
|
|
19,525,611 |
|
3.43 |
|
16.501 - 17.000 |
|
65 |
|
|
9,500,157 |
|
1.67 |
|
17.001 - 17.500 |
|
50 |
|
|
8,092,310 |
|
1.42 |
|
17.501 - 18.000 |
|
36 |
|
|
4,720,933 |
|
0.83 |
|
18.001 - 18.500 |
|
30 |
|
|
3,356,929 |
|
0.59 |
|
18.501 - 19.000 |
|
10 |
|
|
1,089,125 |
|
0.19 |
|
19.001 - 19.500 |
|
2 |
|
|
193,799 |
|
0.03 |
|
Total |
|
2,890 |
|
$ |
568,718,717 |
|
100.00 |
% |
As of March 14, 2006, the weighted average Maximum Mortgage Rate of the Closing Date Mortgage Loans was approximately 14.213%.
MINIMUM MORTGAGE RATE OF THE ADJUSTABLE-RATE LOANS
(ALL CLOSING DATE MORTGAGE LOANS)
Minimum Mortgage |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
4.000 and below |
|
195 |
|
$ |
47,926,617 |
|
8.43 |
% |
4.001 - 4.500 |
|
102 |
|
|
21,912,017 |
|
3.85 |
|
4.501 - 5.000 |
|
308 |
|
|
83,235,027 |
|
14.64 |
|
5.001 - 5.500 |
|
828 |
|
|
153,483,544 |
|
26.99 |
|
5.501 - 6.000 |
|
426 |
|
|
84,583,408 |
|
14.87 |
|
6.001 - 6.500 |
|
247 |
|
|
40,202,577 |
|
7.07 |
|
6.501 - 7.000 |
|
271 |
|
|
56,175,687 |
|
9.88 |
|
7.001 - 7.500 |
|
229 |
|
|
34,755,976 |
|
6.11 |
|
7.501 - 8.000 |
|
92 |
|
|
16,138,484 |
|
2.84 |
|
8.001 - 8.500 |
|
64 |
|
|
11,602,482 |
|
2.04 |
|
8.501 - 9.000 |
|
50 |
|
|
8,702,697 |
|
1.53 |
|
9.001 - 9.500 |
|
26 |
|
|
3,603,886 |
|
0.63 |
|
9.501 - 10.000 |
|
21 |
|
|
1,838,246 |
|
0.32 |
|
10.001 - 10.500 |
|
8 |
|
|
996,016 |
|
0.18 |
|
10.501 - 11.000 |
|
6 |
|
|
998,294 |
|
0.18 |
|
11.001 - 11.500 |
|
1 |
|
|
85,545 |
|
0.02 |
|
11.501 - 12.000 |
|
3 |
|
|
675,506 |
|
0.12 |
|
12.001 - 12.500 |
|
1 |
|
|
126,299 |
|
0.02 |
|
12.501 - 13.000 |
|
3 |
|
|
536,000 |
|
0.09 |
|
13.001 - 13.500 |
|
1 |
|
|
124,204 |
|
0.02 |
|
13.501 - 14.000 |
|
2 |
|
|
318,369 |
|
0.06 |
|
14.001 - 14.500 |
|
1 |
|
|
275,837 |
|
0.05 |
|
14.501 - 15.000 |
|
1 |
|
|
78,400 |
|
0.01 |
|
15.001 - 15.500 |
|
4 |
|
|
343,599 |
|
0.06 |
|
Total |
|
2,890 |
|
$ |
568,718,717 |
|
100.00 |
% |
As of March 14, 2006, the weighted average minimum mortgage rate of the Closing Date Mortgage Loans was approximately 5.760%.
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
(ALL CLOSING DATE MORTGAGE LOANS)
Next Rate Adjustment Date |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
July 2006 |
|
1 |
|
$ |
122,320 |
|
0.02 |
% |
August 2006 |
|
1 |
|
|
590,430 |
|
0.10 |
|
September 2006 |
|
4 |
|
|
477,355 |
|
0.08 |
|
October 2006 |
|
5 |
|
|
1,318,074 |
|
0.23 |
|
November 2006 |
|
1 |
|
|
288,589 |
|
0.05 |
|
December 2006 |
|
4 |
|
|
706,869 |
|
0.12 |
|
January 2007 |
|
4 |
|
|
579,808 |
|
0.10 |
|
February 2007 |
|
12 |
|
|
2,338,130 |
|
0.41 |
|
March 2007 |
|
9 |
|
|
1,526,682 |
|
0.27 |
|
May 2007 |
|
1 |
|
|
51,714 |
|
0.01 |
|
June 2007 |
|
8 |
|
|
1,943,736 |
|
0.34 |
|
July 2007 |
|
23 |
|
|
5,439,065 |
|
0.96 |
|
August 2007 |
|
115 |
|
|
24,850,225 |
|
4.37 |
|
September 2007 |
|
103 |
|
|
21,895,336 |
|
3.85 |
|
October 2007 |
|
22 |
|
|
5,535,173 |
|
0.97 |
|
November 2007 |
|
78 |
|
|
16,804,454 |
|
2.95 |
|
December 2007 |
|
114 |
|
|
21,054,033 |
|
3.70 |
|
January 2008 |
|
58 |
|
|
12,463,233 |
|
2.19 |
|
February 2008 |
|
1,079 |
|
|
219,474,665 |
|
38.59 |
|
March 2008 |
|
733 |
|
|
136,028,593 |
|
23.92 |
|
April 2008 |
|
112 |
|
|
18,659,324 |
|
3.28 |
|
July 2008 |
|
6 |
|
|
1,153,930 |
|
0.20 |
|
August 2008 |
|
5 |
|
|
1,475,656 |
|
0.26 |
|
September 2008 |
|
37 |
|
|
7,341,811 |
|
1.29 |
|
October 2008 |
|
4 |
|
|
754,718 |
|
0.13 |
|
November 2008 |
|
28 |
|
|
4,478,585 |
|
0.79 |
|
December 2008 |
|
88 |
|
|
15,489,294 |
|
2.72 |
|
January 2009 |
|
5 |
|
|
1,072,136 |
|
0.19 |
|
February 2009 |
|
91 |
|
|
17,757,569 |
|
3.12 |
|
March 2009 |
|
44 |
|
|
7,601,947 |
|
1.34 |
|
April 2009 |
|
1 |
|
|
310,000 |
|
0.05 |
|
May 2010 |
|
1 |
|
|
169,600 |
|
0.03 |
|
August 2010 |
|
1 |
|
|
202,719 |
|
0.04 |
|
September 2010 |
|
4 |
|
|
1,071,313 |
|
0.19 |
|
October 2010 |
|
2 |
|
|
836,403 |
|
0.15 |
|
November 2010 |
|
4 |
|
|
1,660,212 |
|
0.29 |
|
December 2010 |
|
3 |
|
|
808,450 |
|
0.14 |
|
January 2011 |
|
5 |
|
|
1,434,461 |
|
0.25 |
|
February 2011 |
|
35 |
|
|
6,261,713 |
|
1.10 |
|
March 2011 |
|
37 |
|
|
5,938,193 |
|
1.04 |
|
April 2011 |
|
2 |
|
|
752,200 |
|
0.13 |
|
Total |
|
2,890 |
|
$ |
568,718,717 |
|
100.00 |
% |
As of March 14, 2006, the weighted average number of months to the next adjustment date for the Closing Date Mortgage Loans was approximately 25 months.
GROUP I CLOSING DATE MORTGAGE LOANS
CURRENT STATED PRINCIPAL BALANCE
|
Range of |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate | ||
0.01 - 50,000.00 |
|
106 |
|
$ |
4,184,345 |
|
1.19 |
% |
50,000.01 - 100,000.00 |
|
479 |
|
|
37,214,817 |
|
10.58 |
|
100,000.01 - 150,000.00 |
|
527 |
|
|
64,883,376 |
|
18.44 |
|
150,000.01 - 200,000.00 |
|
354 |
|
|
61,820,715 |
|
17.57 |
|
200,000.01 - 250,000.00 |
|
247 |
|
|
55,028,182 |
|
15.64 |
|
250,000.01 - 300,000.00 |
|
188 |
|
|
51,183,456 |
|
14.55 |
|
300,000.01 - 350,000.00 |
|
106 |
|
|
34,362,160 |
|
9.76 |
|
350,000.01 - 400,000.00 |
|
86 |
|
|
32,203,250 |
|
9.15 |
|
400,000.01 - 450,000.00 |
|
16 |
|
|
6,591,105 |
|
1.87 |
|
450,000.01 - 500,000.00 |
|
7 |
|
|
3,344,609 |
|
0.95 |
|
500,000.01 - 550,000.00 |
|
1 |
|
|
527,000 |
|
0.15 |
|
550,000.01 - 600,000.00 |
|
1 |
|
|
552,972 |
|
0.16 |
|
Total |
|
2,118 |
|
$ |
351,895,987 |
|
100.00 |
% |
As of March 14, 2006 the average current principal balance of the Group I Closing Date Mortgage Loans was approximately $166,145.
MORTGAGE RATE
(GROUP I CLOSING DATE MORTGAGE LOANS)
Current Gross Mortgage |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
5.001 - 5.500 |
|
8 |
|
$ |
1,767,895 |
|
0.50 |
% |
5.501 - 6.000 |
|
32 |
|
|
6,979,931 |
|
1.98 |
|
6.001 - 6.500 |
|
74 |
|
|
16,796,579 |
|
4.77 |
|
6.501 - 7.000 |
|
181 |
|
|
36,841,948 |
|
10.47 |
|
7.001 - 7.500 |
|
246 |
|
|
43,723,160 |
|
12.43 |
|
7.501 - 8.000 |
|
371 |
|
|
64,706,328 |
|
18.39 |
|
8.001 - 8.500 |
|
321 |
|
|
52,220,292 |
|
14.84 |
|
8.501 - 9.000 |
|
311 |
|
|
52,695,557 |
|
14.97 |
|
9.001 - 9.500 |
|
204 |
|
|
29,085,575 |
|
8.27 |
|
9.501 - 10.000 |
|
195 |
|
|
25,876,540 |
|
7.35 |
|
10.001 - 10.500 |
|
96 |
|
|
11,558,394 |
|
3.28 |
|
10.501 - 11.000 |
|
46 |
|
|
5,934,238 |
|
1.69 |
|
11.001 - 11.500 |
|
22 |
|
|
2,493,583 |
|
0.71 |
|
11.501 - 12.000 |
|
8 |
|
|
932,051 |
|
0.26 |
|
12.001 - 12.500 |
|
3 |
|
|
283,917 |
|
0.08 |
|
Total |
|
2,118 |
|
$ |
351,895,987 |
|
100.00 |
% |
As of March 14, 2006, the weighted average mortgage rate of the Group I Closing Date Mortgage Loans was approximately 8.192%.
FICO SCORE
(GROUP I CLOSING DATE MORTGAGE LOANS)
FICO Score |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
500 and below |
|
17 |
|
$ |
2,087,349 |
|
0.59 |
% |
501 - 520 |
|
81 |
|
|
13,342,564 |
|
3.79 |
|
521 - 540 |
|
107 |
|
|
18,045,824 |
|
5.13 |
|
541 - 560 |
|
174 |
|
|
29,971,156 |
|
8.52 |
|
561 - 580 |
|
192 |
|
|
35,442,551 |
|
10.07 |
|
581 - 600 |
|
335 |
|
|
50,775,923 |
|
14.43 |
|
601 - 620 |
|
402 |
|
|
63,287,988 |
|
17.98 |
|
621 - 640 |
|
277 |
|
|
51,737,110 |
|
14.70 |
|
641 - 660 |
|
201 |
|
|
33,636,724 |
|
9.56 |
|
661 - 680 |
|
134 |
|
|
23,011,051 |
|
6.54 |
|
681 - 700 |
|
81 |
|
|
14,188,045 |
|
4.03 |
|
701 - 720 |
|
46 |
|
|
6,431,646 |
|
1.83 |
|
721 - 740 |
|
24 |
|
|
3,568,184 |
|
1.01 |
|
741 - 760 |
|
21 |
|
|
3,082,881 |
|
0.88 |
|
761 - 780 |
|
20 |
|
|
2,721,309 |
|
0.77 |
|
781 - 800 |
|
6 |
|
|
565,681 |
|
0.16 |
|
Total |
|
2,118 |
|
$ |
351,895,987 |
|
100.00 |
% |
As of March 14, 2006, the non-zero weighted average FICO score of the Group I Closing Date Mortgage Loans was approximately 610.
CREDIT LEVELS
(GROUP I CLOSING DATE MORTGAGE LOANS)
Credit Level |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Statistical Calculation | ||
0 |
|
98 |
|
$ |
17,233,303 |
|
4.90 |
% |
1++ |
|
1,363 |
|
|
221,727,689 |
|
63.01 |
|
1+ |
|
318 |
|
|
57,653,225 |
|
16.38 |
|
1 |
|
147 |
|
|
26,218,835 |
|
7.45 |
|
2 |
|
94 |
|
|
14,538,894 |
|
4.13 |
|
3 |
|
50 |
|
|
7,542,581 |
|
2.14 |
|
4 |
|
48 |
|
|
6,981,462 |
|
1.98 |
|
Total |
|
2,118 |
|
$ |
351,895,987 |
|
100.00 |
% |
LIEN STATUS
(GROUP I CLOSING DATE MORTGAGE LOANS)
Lien Status |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Statistical Calculation | ||
First Lien |
|
2,118 |
|
$ |
351,895,987 |
|
100.00 |
% |
Total |
|
2,118 |
|
$ |
351,895,987 |
|
100.00 |
% |
ORIGINAL LOAN-TO-VALUE RATIOS
(GROUP I CLOSING DATE MORTGAGE LOANS)
Original |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of | ||
50.00 and below |
|
23 |
|
$ |
3,346,016 |
|
0.95 |
% |
50.01 - 55.00 |
|
22 |
|
|
3,718,159 |
|
1.06 |
|
55.01 - 60.00 |
|
22 |
|
|
4,899,175 |
|
1.39 |
|
60.01 - 65.00 |
|
45 |
|
|
8,481,646 |
|
2.41 |
|
65.01 - 70.00 |
|
89 |
|
|
16,191,911 |
|
4.60 |
|
70.01 - 75.00 |
|
156 |
|
|
28,212,311 |
|
8.02 |
|
75.01 - 80.00 |
|
852 |
|
|
133,027,579 |
|
37.80 |
|
80.01 - 85.00 |
|
264 |
|
|
49,717,483 |
|
14.13 |
|
85.01 - 90.00 |
|
401 |
|
|
70,274,654 |
|
19.97 |
|
90.01 - 95.00 |
|
98 |
|
|
17,113,327 |
|
4.86 |
|
95.01 - 100.00 |
|
146 |
|
|
16,913,727 |
|
4.81 |
|
Total |
|
2,118 |
|
$ |
351,895,987 |
|
100.00 |
% |
As of March 14, 2006, the weighted average original loan-to-value ratio of the Group I Closing Date Mortgage Loans was approximately 81.69%.
TYPE OF DOCUMENTATION PROGRAM
(GROUP I CLOSING DATE MORTGAGE LOANS)
Type of |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of | ||
Full |
|
1,238 |
|
$ |
190,710,570 |
|
54.20 |
% |
Limited Income & Asset |
|
27 |
|
|
6,947,379 |
|
1.97 |
|
Stated Documentation |
|
852 |
|
|
154,100,155 |
|
43.79 |
|
No Income No Asset |
|
1 |
|
|
137,883 |
|
0.04 |
|
Total |
|
2,118 |
|
$ |
351,895,987 |
|
100.00 |
% |
LOAN PURPOSE
(GROUP I CLOSING DATE MORTGAGE LOANS)
Loan Purpose |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
Purchase |
|
831 |
|
$ |
101,384,972 |
|
28.81 |
% |
Rate & Term Refinance |
|
106 |
|
|
18,469,949 |
|
5.25 |
|
Cash Out Refinance |
|
1,181 |
|
|
232,041,066 |
|
65.94 |
|
Total |
|
2,118 |
|
$ |
351,895,987 |
|
100.00 |
% |
OCCUPANCY TYPE(1)
(GROUP I CLOSING DATE MORTGAGE LOANS)
Occupancy Type |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
Owner Occupied |
|
1,864 |
|
$ |
317,609,004 |
|
90.26 |
% |
Second Home |
|
32 |
|
|
5,414,610 |
|
1.54 |
|
Investor Occupied |
|
222 |
|
|
28,872,373 |
|
8.20 |
|
Total |
|
2,118 |
|
$ |
351,895,987 |
|
100.00 |
% |
(1) Based on representations of the related mortgagors at the time of origination.
PROPERTY TYPE
(GROUP I CLOSING DATE MORTGAGE LOANS)
Property Type |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
Single Family Residence |
|
1,516 |
|
$ |
240,518,824 |
|
68.35 |
% |
PUD |
|
285 |
|
|
52,828,425 |
|
15.01 |
|
Condominium Unit |
|
141 |
|
|
24,236,926 |
|
6.89 |
|
2 Xxxx |
|
00 |
|
|
20,928,831 |
|
5.95 |
|
Townhouse |
|
56 |
|
|
6,558,360 |
|
1.86 |
|
High Rise Condominium |
|
8 |
|
|
1,069,543 |
|
0.30 |
|
4 Unit |
|
12 |
|
|
3,071,664 |
|
0.87 |
|
3 Xxxx |
|
00 |
|
|
2,683,415 |
|
0.76 |
|
Total |
|
2,118 |
|
$ |
351,895,987 |
|
100.00 |
% |
GEOGRAPHIC DISTRIBUTION
(GROUP I CLOSING DATE MORTGAGE LOANS)
Geographic Distribution |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
California |
|
153 |
|
$ |
41,484,538 |
|
11.79 |
% |
Florida |
|
188 |
|
|
33,119,568 |
|
9.41 |
|
New Jersey |
|
131 |
|
|
30,663,038 |
|
8.71 |
|
New York |
|
106 |
|
|
25,980,597 |
|
7.38 |
|
Texas |
|
237 |
|
|
23,089,006 |
|
6.56 |
|
Georgia |
|
145 |
|
|
19,891,223 |
|
5.65 |
|
Michigan |
|
157 |
|
|
19,353,175 |
|
5.50 |
|
Maryland |
|
95 |
|
|
18,332,634 |
|
5.21 |
|
Massachusetts |
|
65 |
|
|
16,019,293 |
|
4.55 |
|
Illinois |
|
92 |
|
|
15,925,485 |
|
4.53 |
|
Other |
|
749 |
|
|
108,037,431 |
|
30.70 |
|
Total |
|
2,118 |
|
$ |
351,895,987 |
|
100.00 |
% |
ZIP CODE
(GROUP I CLOSING DATE MORTGAGE LOANS)
Zip Code |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
22193 |
|
5 |
|
$ |
1,379,210 |
|
0.39 |
% |
11434 |
|
3 |
|
|
1,149,177 |
|
0.33 |
|
11722 |
|
4 |
|
|
1,086,603 |
|
0.31 |
|
07305 |
|
3 |
|
|
1,003,662 |
|
0.29 |
|
93535 |
|
4 |
|
|
991,939 |
|
0.28 |
|
20744 |
|
4 |
|
|
982,459 |
|
0.28 |
|
30044 |
|
7 |
|
|
940,725 |
|
0.27 |
|
20783 |
|
3 |
|
|
938,273 |
|
0.27 |
|
11208 |
|
2 |
|
|
894,889 |
|
0.25 |
|
20735 |
|
3 |
|
|
885,781 |
|
0.25 |
|
Other |
|
2,080 |
|
|
341,643,268 |
|
97.09 |
|
Total |
|
2,118 |
|
$ |
351,895,987 |
|
100.00 |
% |
REMAINING TERM TO MATURITY
(GROUP I CLOSING DATE MORTGAGE LOANS)
Remaining Term to |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
180 and below |
|
8 |
|
$ |
1,118,614 |
|
0.32 |
% |
241 - 360 |
|
2,110 |
|
|
350,777,373 |
|
99.68 |
|
Total |
|
2,118 |
|
$ |
351,895,987 |
|
100.00 |
% |
As of March 14, 2006, the weighted average remaining term to maturity of the Group I Closing Date Mortgage Loans was approximately 357 months.
PRODUCT TYPE
(GROUP I CLOSING DATE MORTGAGE LOANS)
Product Type |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Statistical Calculation | ||
2/6 MONTH LIBOR |
|
1,130 |
|
$ |
177,677,179 |
|
50.49 |
% |
2/6 MONTH LIBOR - 30/40 BALLOON |
|
188 |
|
|
42,238,285 |
|
12.00 |
|
30YR FIXED |
|
291 |
|
|
38,948,935 |
|
11.07 |
|
2/6 MONTH LIBOR - 120 MONTH IO |
|
176 |
|
|
35,918,382 |
|
10.21 |
|
3/6 MONTH LIBOR |
|
118 |
|
|
18,758,637 |
|
5.33 |
|
3/6 MONTH LIBOR - 120 MONTH IO |
|
34 |
|
|
5,957,492 |
|
1.69 |
|
2/6 MONTH LIBOR - 24 MONTH IO |
|
17 |
|
|
4,263,957 |
|
1.21 |
|
3/6 MONTH LIBOR - 30/40 BALLOON |
|
23 |
|
|
3,762,040 |
|
1.07 |
|
30YR FIXED - 120 MONTH IO |
|
18 |
|
|
3,654,483 |
|
1.04 |
|
5/6 MONTH LIBOR |
|
19 |
|
|
2,734,157 |
|
0.78 |
|
30/40 BALLOON FIXED |
|
14 |
|
|
2,298,797 |
|
0.65 |
|
0/0 XXX 0 XX XXX - 00/00 XXXXXXX |
|
6 |
|
|
2,033,529 |
|
0.58 |
|
3/6 MONTH LIBOR - 60 MONTH IO |
|
12 |
|
|
2,032,952 |
|
0.58 |
|
3/1 ARM 1 YR CMT |
|
11 |
|
|
1,702,173 |
|
0.48 |
|
5/1 ARM 1 YR LIBOR |
|
11 |
|
|
1,614,560 |
|
0.46 |
|
5/6 MONTH LIBOR - 120 MONTH IO |
|
8 |
|
|
1,587,800 |
|
0.45 |
|
5/6 MONTH LIBOR - 30/40 BALLOON |
|
6 |
|
|
1,284,235 |
|
0.36 |
|
15YR FIXED |
|
8 |
|
|
1,118,614 |
|
0.32 |
|
3/1 ARM 1 YR LIBOR |
|
11 |
|
|
1,081,682 |
|
0.31 |
|
5/1 ARM 1 YR LIBOR - 120 MONTH IO |
|
4 |
|
|
818,100 |
|
0.23 |
|
3/1 ARM 1 YR LIBOR - 30/40 BALLOON |
|
2 |
|
|
524,800 |
|
0.15 |
|
0/0 XXX 0 XX XXXXX - 00/00 XXXXXXX |
|
3 |
|
|
432,600 |
|
0.12 |
|
3/1 ARM 1 YR LIBOR - 120 MONTH IO |
|
2 |
|
|
407,900 |
|
0.12 |
|
3/6 MONTH LIBOR - 36 MONTH IO |
|
1 |
|
|
270,750 |
|
0.08 |
|
5/6 MONTH LIBOR - 60 MONTH IO |
|
2 |
|
|
260,950 |
|
0.07 |
|
3/1 ARM 1 YR LIBOR - 36 MONTH IO |
|
1 |
|
|
230,400 |
|
0.07 |
|
5/1 ARM 1 YR CMT - 60 MONTH IO |
|
1 |
|
|
169,600 |
|
0.05 |
|
5/1 ARM 1 YR LIBOR - 60 MONTH IO |
|
1 |
|
|
113,000 |
|
0.03 |
|
Total |
|
2,118 |
|
$ |
351,895,987 |
|
100.00 |
% |
PREPAYMENT CHARGE TERM
(GROUP I CLOSING DATE MORTGAGE LOANS)
Prepayment Charge |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of | ||
0 |
|
781 |
|
$ |
144,026,036 |
|
40.93 |
% |
12 |
|
79 |
|
|
15,523,199 |
|
4.41 |
|
24 |
|
836 |
|
|
132,255,662 |
|
37.58 |
|
36 |
|
422 |
|
|
60,091,091 |
|
17.08 |
|
Total |
|
2,118 |
|
$ |
351,895,987 |
|
100.00 |
% |
INITIAL PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
(GROUP I CLOSING DATE MORTGAGE LOANS)
Initial Periodic Rate Cap (%) |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
1.001 - 1.500 |
|
77 |
|
$ |
13,251,409 |
|
4.33 |
% |
1.501 - 2.000 |
|
62 |
|
|
11,360,645 |
|
3.71 |
|
2.501 - 3.000 |
|
1,590 |
|
|
271,262,727 |
|
88.68 |
|
3.001 - 3.500 |
|
1 |
|
|
499,435 |
|
0.16 |
|
4.501 - 5.000 |
|
50 |
|
|
8,212,489 |
|
2.68 |
|
5.501 - 6.000 |
|
7 |
|
|
1,288,455 |
|
0.42 |
|
Total |
|
1,787 |
|
$ |
305,875,159 |
|
100.00 |
% |
SUBSEQUENT PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
(GROUP I CLOSING DATE MORTGAGE LOANS)
Subsequent Periodic |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Statistical Calculation | ||
0.501-1.000 |
|
1,608 |
|
$ |
273,842,652 |
|
89.53 |
% |
1.001-1.500 |
|
121 |
|
|
21,784,354 |
|
7.12 |
|
1.501-2.000 |
|
58 |
|
|
10,248,153 |
|
3.35 |
|
Total |
|
1,787 |
|
$ |
305,875,159 |
|
100.00 |
% |
GROSS MARGIN OF THE ADJUSTABLE-RATE LOANS
(GROUP I CLOSING DATE MORTGAGE LOANS)
Gross Margin (%) |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Statistical Calculation | ||
4.000 and below |
|
81 |
|
$ |
14,423,866 |
|
4.72 |
% |
4.001 - 4.500 |
|
47 |
|
|
7,264,000 |
|
2.37 |
|
4.501 - 5.000 |
|
216 |
|
|
54,438,543 |
|
17.80 |
|
5.001 - 5.500 |
|
628 |
|
|
99,024,954 |
|
32.37 |
|
5.501 - 6.000 |
|
359 |
|
|
65,546,443 |
|
21.43 |
|
6.001 - 6.500 |
|
201 |
|
|
28,656,883 |
|
9.37 |
|
6.501 - 7.000 |
|
187 |
|
|
27,375,982 |
|
8.95 |
|
7.001 - 7.500 |
|
54 |
|
|
6,555,305 |
|
2.14 |
|
7.501 - 8.000 |
|
14 |
|
|
2,589,184 |
|
0.85 |
|
Total |
|
1,787 |
|
$ |
305,875,159 |
|
100.00 |
% |
As of March 14, 2006, the weighted average gross margin of the Group I Closing Date Mortgage Loans was approximately 5.551%.
MAXIMUM MORTGAGE RATE OF THE ADJUSTABLE-RATE LOANS
(GROUP I CLOSING DATE MORTGAGE LOANS)
Maximum Mortgage |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Statistical Calculation | ||
10.501 - 11.000 |
|
2 |
|
$ |
270,464 |
|
0.09 |
% |
11.001 - 11.500 |
|
10 |
|
|
2,268,004 |
|
0.74 |
|
11.501 - 12.000 |
|
24 |
|
|
5,534,600 |
|
1.81 |
|
12.001 - 12.500 |
|
54 |
|
|
11,905,523 |
|
3.89 |
|
12.501 - 13.000 |
|
132 |
|
|
28,027,202 |
|
9.16 |
|
13.001 - 13.500 |
|
184 |
|
|
34,110,424 |
|
11.15 |
|
13.501 - 14.000 |
|
290 |
|
|
54,071,553 |
|
17.68 |
|
14.001 - 14.500 |
|
260 |
|
|
43,986,518 |
|
14.38 |
|
14.501 - 15.000 |
|
278 |
|
|
46,633,038 |
|
15.25 |
|
15.001 - 15.500 |
|
201 |
|
|
30,734,186 |
|
10.05 |
|
15.501 - 16.000 |
|
190 |
|
|
26,918,675 |
|
8.80 |
|
16.001 - 16.500 |
|
98 |
|
|
12,816,962 |
|
4.19 |
|
16.501 - 17.000 |
|
38 |
|
|
5,205,616 |
|
1.70 |
|
17.001 - 17.500 |
|
16 |
|
|
2,221,213 |
|
0.73 |
|
17.501 - 18.000 |
|
7 |
|
|
887,264 |
|
0.29 |
|
18.001 - 18.500 |
|
3 |
|
|
283,917 |
|
0.09 |
|
Total |
|
1,787 |
|
$ |
305,875,159 |
|
100.00 |
% |
As of March 14, 2006, the weighted average Maximum Mortgage Rate of the Group I Closing Date Mortgage Loans was approximately 14.299%.
MINIMUM MORTGAGE RATE OF THE ADJUSTABLE-RATE LOANS
(GROUP I CLOSING DATE MORTGAGE LOANS)
Minimum Mortgage |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
4.000 and below |
|
68 |
|
$ |
12,051,842 |
|
3.94 |
% |
4.001 - 4.500 |
|
39 |
|
|
5,746,714 |
|
1.88 |
|
4.501 - 5.000 |
|
187 |
|
|
47,611,878 |
|
15.57 |
|
5.001 - 5.500 |
|
549 |
|
|
85,269,699 |
|
27.88 |
|
5.501 - 6.000 |
|
316 |
|
|
58,254,824 |
|
19.05 |
|
6.001 - 6.500 |
|
191 |
|
|
28,358,901 |
|
9.27 |
|
6.501 - 7.000 |
|
148 |
|
|
26,518,728 |
|
8.67 |
|
7.001 - 7.500 |
|
106 |
|
|
15,397,544 |
|
5.03 |
|
7.501 - 8.000 |
|
59 |
|
|
9,335,838 |
|
3.05 |
|
8.001 - 8.500 |
|
32 |
|
|
4,873,190 |
|
1.59 |
|
8.501 - 9.000 |
|
38 |
|
|
6,013,003 |
|
1.97 |
|
9.001 - 9.500 |
|
18 |
|
|
2,034,430 |
|
0.67 |
|
9.501 - 10.000 |
|
14 |
|
|
1,090,956 |
|
0.36 |
|
10.001 - 10.500 |
|
5 |
|
|
692,648 |
|
0.23 |
|
10.501 - 11.000 |
|
3 |
|
|
363,670 |
|
0.12 |
|
11.001 - 11.500 |
|
3 |
|
|
675,506 |
|
0.22 |
|
11.501 - 12.000 |
|
1 |
|
|
126,299 |
|
0.04 |
|
12.001 - 12.500 |
|
2 |
|
|
456,000 |
|
0.15 |
|
12.501 - 13.000 |
|
1 |
|
|
124,204 |
|
0.04 |
|
13.001 - 13.500 |
|
1 |
|
|
181,450 |
|
0.06 |
|
14.001 - 14.500 |
|
1 |
|
|
275,837 |
|
0.09 |
|
14.501 - 15.000 |
|
1 |
|
|
78,400 |
|
0.03 |
|
15.001 - 15.500 |
|
4 |
|
|
343,599 |
|
0.11 |
|
Total |
|
1,787 |
|
$ |
305,875,159 |
|
100.00 |
% |
As of March 14, 2006, the weighted average minimum mortgage rate of the Group I Closing Date Mortgage Loans was approximately 5.901%.
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
(GROUP I CLOSING DATE MORTGAGE LOANS)
Next Rate Adjustment Date |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
July 2006 |
|
1 |
|
$ |
122,320 |
|
0.04 |
% |
September 2006 |
|
4 |
|
|
477,355 |
|
0.16 |
|
October 2006 |
|
3 |
|
|
548,285 |
|
0.18 |
|
November 2006 |
|
1 |
|
|
288,589 |
|
0.09 |
|
January 2007 |
|
3 |
|
|
536,245 |
|
0.18 |
|
February 2007 |
|
7 |
|
|
1,559,572 |
|
0.51 |
|
March 2007 |
|
8 |
|
|
1,369,173 |
|
0.45 |
|
June 2007 |
|
5 |
|
|
981,872 |
|
0.32 |
|
July 2007 |
|
14 |
|
|
3,023,511 |
|
0.99 |
|
August 2007 |
|
79 |
|
|
15,700,660 |
|
5.13 |
|
September 2007 |
|
72 |
|
|
13,218,336 |
|
4.32 |
|
October 2007 |
|
15 |
|
|
2,797,751 |
|
0.91 |
|
November 2007 |
|
41 |
|
|
6,009,662 |
|
1.96 |
|
December 2007 |
|
64 |
|
|
9,521,195 |
|
3.11 |
|
January 2008 |
|
29 |
|
|
4,373,184 |
|
1.43 |
|
February 2008 |
|
616 |
|
|
108,511,530 |
|
35.48 |
|
March 2008 |
|
470 |
|
|
80,919,441 |
|
26.46 |
|
April 2008 |
|
79 |
|
|
10,139,122 |
|
3.31 |
|
July 2008 |
|
3 |
|
|
790,769 |
|
0.26 |
|
August 2008 |
|
2 |
|
|
444,677 |
|
0.15 |
|
September 2008 |
|
27 |
|
|
4,692,653 |
|
1.53 |
|
October 2008 |
|
4 |
|
|
754,718 |
|
0.25 |
|
November 2008 |
|
23 |
|
|
3,438,284 |
|
1.12 |
|
December 2008 |
|
63 |
|
|
9,592,698 |
|
3.14 |
|
January 2009 |
|
5 |
|
|
1,072,136 |
|
0.35 |
|
February 2009 |
|
67 |
|
|
11,896,255 |
|
3.89 |
|
March 2009 |
|
27 |
|
|
4,080,165 |
|
1.33 |
|
May 2010 |
|
1 |
|
|
169,600 |
|
0.06 |
|
August 2010 |
|
1 |
|
|
202,719 |
|
0.07 |
|
September 2010 |
|
3 |
|
|
471,313 |
|
0.15 |
|
October 2010 |
|
1 |
|
|
239,500 |
|
0.08 |
|
November 2010 |
|
2 |
|
|
418,750 |
|
0.14 |
|
January 2011 |
|
2 |
|
|
412,450 |
|
0.13 |
|
February 2011 |
|
20 |
|
|
3,333,839 |
|
1.09 |
|
March 2011 |
|
25 |
|
|
3,766,830 |
|
1.23 |
|
Total |
|
1,787 |
|
$ |
305,875,159 |
|
100.00 |
% |
As of March 14, 2006, the weighted average number of months to the next adjustment date for the Group I Closing Date Mortgage Loans was approximately 25 months.
GROUP II CLOSING DATE MORTGAGE LOANS
CURRENT STATED PRINCIPAL BALANCE
|
Range of |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate | ||
0.01 - 50,000.00 |
|
55 |
|
$ |
2,179,165 |
|
0.74 |
% |
50,000.01 - 100,000.00 |
|
146 |
|
|
11,594,306 |
|
3.91 |
|
100,000.01 - 150,000.00 |
|
204 |
|
|
26,180,639 |
|
8.84 |
|
150,000.01 - 200,000.00 |
|
246 |
|
|
43,520,006 |
|
14.69 |
|
200,000.01 - 250,000.00 |
|
188 |
|
|
42,184,324 |
|
14.24 |
|
250,000.01 - 300,000.00 |
|
138 |
|
|
37,883,334 |
|
12.79 |
|
300,000.01 - 350,000.00 |
|
96 |
|
|
31,222,740 |
|
10.54 |
|
350,000.01 - 400,000.00 |
|
60 |
|
|
22,489,725 |
|
7.59 |
|
400,000.01 - 450,000.00 |
|
54 |
|
|
23,220,126 |
|
7.84 |
|
450,000.01 - 500,000.00 |
|
49 |
|
|
23,378,120 |
|
7.89 |
|
500,000.01 - 550,000.00 |
|
22 |
|
|
11,486,282 |
|
3.88 |
|
550,000.01 - 600,000.00 |
|
21 |
|
|
12,156,837 |
|
4.10 |
|
600,000.01 - 650,000.00 |
|
7 |
|
|
4,437,719 |
|
1.50 |
|
650,000.01 - 700,000.00 |
|
3 |
|
|
2,038,032 |
|
0.69 |
|
700,000.01 - 750,000.00 |
|
2 |
|
|
1,495,145 |
|
0.50 |
|
750,000.01 and above |
|
1 |
|
|
796,794 |
|
0.27 |
|
Total |
|
1,292 |
|
$ |
296,263,296 |
|
100.00 |
% |
As of March 14, 2006 the average current principal balance of the Group II Closing Date Mortgage Loans was approximately $229,306.
MORTGAGE RATE
(GROUP II CLOSING DATE MORTGAGE LOANS)
Current Gross Mortgage |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Statistical Calculation | ||
5.001 - 5.500 |
|
4 |
|
$ |
1,334,400 |
|
0.45 |
% |
5.501 - 6.000 |
|
28 |
|
|
9,376,346 |
|
3.16 |
|
6.001 - 6.500 |
|
75 |
|
|
23,324,820 |
|
7.87 |
|
6.501 - 7.000 |
|
135 |
|
|
38,939,365 |
|
13.14 |
|
7.001 - 7.500 |
|
183 |
|
|
49,187,319 |
|
16.60 |
|
7.501 - 8.000 |
|
202 |
|
|
47,496,886 |
|
16.03 |
|
8.001 - 8.500 |
|
183 |
|
|
38,359,295 |
|
12.95 |
|
8.501 - 9.000 |
|
130 |
|
|
30,243,471 |
|
10.21 |
|
9.001 - 9.500 |
|
88 |
|
|
16,408,205 |
|
5.54 |
|
9.501 - 10.000 |
|
85 |
|
|
15,421,927 |
|
5.21 |
|
10.001 - 10.500 |
|
39 |
|
|
6,867,092 |
|
2.32 |
|
10.501 - 11.000 |
|
26 |
|
|
4,336,019 |
|
1.46 |
|
11.001 - 11.500 |
|
40 |
|
|
6,384,022 |
|
2.15 |
|
11.501 - 12.000 |
|
32 |
|
|
3,986,207 |
|
1.35 |
|
12.001 - 12.500 |
|
29 |
|
|
3,255,012 |
|
1.10 |
|
12.501 - 13.000 |
|
11 |
|
|
1,149,111 |
|
0.39 |
|
13.001 - 13.500 |
|
2 |
|
|
193,799 |
|
0.07 |
|
Total |
|
1,292 |
|
$ |
296,263,296 |
|
100.00 |
% |
As of March 14, 2006, the weighted average mortgage rate of the Group II Closing Date Mortgage Loans was approximately 8.068%.
FICO SCORE
(GROUP II CLOSING DATE MORTGAGE LOANS)
FICO Score |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Statistical Calculation | ||
500 and below |
|
8 |
|
$ |
1,671,023 |
|
0.56 |
% |
501 - 520 |
|
121 |
|
|
20,598,445 |
|
6.95 |
|
521 - 540 |
|
95 |
|
|
16,592,100 |
|
5.60 |
|
541 - 560 |
|
117 |
|
|
20,698,215 |
|
6.99 |
|
561 - 580 |
|
109 |
|
|
22,734,860 |
|
7.67 |
|
581 - 600 |
|
132 |
|
|
27,430,350 |
|
9.26 |
|
601 - 620 |
|
189 |
|
|
40,731,105 |
|
13.75 |
|
621 - 640 |
|
125 |
|
|
33,322,416 |
|
11.25 |
|
641 - 660 |
|
132 |
|
|
37,892,481 |
|
12.79 |
|
661 - 680 |
|
94 |
|
|
22,996,636 |
|
7.76 |
|
681 - 700 |
|
56 |
|
|
16,832,478 |
|
5.68 |
|
701 - 720 |
|
50 |
|
|
15,393,395 |
|
5.20 |
|
721 - 740 |
|
28 |
|
|
8,029,211 |
|
2.71 |
|
741 - 760 |
|
19 |
|
|
6,123,401 |
|
2.07 |
|
761 - 780 |
|
9 |
|
|
2,322,743 |
|
0.78 |
|
781 - 800 |
|
8 |
|
|
2,894,436 |
|
0.98 |
|
Total |
|
1,292 |
|
$ |
296,263,296 |
|
100.00 |
% |
As of March 14, 2006, the non-zero weighted average FICO score of the Group II Closing Date Mortgage Loans was approximately 621.
CREDIT LEVELS
(GROUP II CLOSING DATE MORTGAGE LOANS)
Credit Level |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Statistical Calculation | ||
0 |
|
57 |
|
$ |
14,147,299 |
|
4.78 |
% |
1++ |
|
792 |
|
|
195,799,151 |
|
66.09 |
|
1+ |
|
154 |
|
|
38,328,315 |
|
12.94 |
|
1 |
|
55 |
|
|
11,033,396 |
|
3.72 |
|
2 |
|
45 |
|
|
7,500,669 |
|
2.53 |
|
3 |
|
80 |
|
|
13,922,418 |
|
4.70 |
|
4 |
|
109 |
|
|
15,532,049 |
|
5.24 |
|
Total |
|
1,292 |
|
$ |
296,263,296 |
|
100.00 |
% |
LIEN STATUS
(GROUP II CLOSING DATE MORTGAGE LOANS)
Lien Status |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
First Lien |
|
1,292 |
|
$ |
296,263,296 |
|
100.00 |
% |
Total |
|
1,292 |
|
$ |
296,263,296 |
|
100.00 |
% |
ORIGINAL LOAN-TO-VALUE RATIOS
(GROUP II CLOSING DATE MORTGAGE LOANS)
Original |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of | ||
50.00 and below |
|
88 |
|
$ |
11,333,094 |
|
3.83 |
% |
50.01- 55.00 |
|
41 |
|
|
7,579,976 |
|
2.56 |
|
55.01- 60.00 |
|
53 |
|
|
9,402,679 |
|
3.17 |
|
60.01- 65.00 |
|
84 |
|
|
15,517,876 |
|
5.24 |
|
65.01- 70.00 |
|
140 |
|
|
24,254,493 |
|
8.19 |
|
70.01- 75.00 |
|
65 |
|
|
13,676,292 |
|
4.62 |
|
75.01- 80.00 |
|
597 |
|
|
154,041,020 |
|
51.99 |
|
80.01- 85.00 |
|
47 |
|
|
13,116,774 |
|
4.43 |
|
85.01- 90.00 |
|
101 |
|
|
28,344,841 |
|
9.57 |
|
90.01- 95.00 |
|
29 |
|
|
8,087,581 |
|
2.73 |
|
95.01-100.00 |
|
47 |
|
|
10,908,669 |
|
3.68 |
|
Total |
|
1,292 |
|
$ |
296,263,296 |
|
100.00 |
% |
As of March 14, 2006, the weighted average original loan-to-value ratio of the Group II Closing Date Mortgage Loans was approximately 77.28%.
TYPE OF DOCUMENTATION PROGRAM
(GROUP II CLOSING DATE MORTGAGE LOANS)
Type of |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of | ||
Full |
|
660 |
|
$ |
135,156,761 |
|
45.62 |
% |
Limited Income & Asset |
|
13 |
|
|
3,329,471 |
|
1.12 |
|
Stated Document |
|
591 |
|
|
151,830,890 |
|
51.25 |
|
No Ratio |
|
13 |
|
|
3,107,072 |
|
1.05 |
|
No Income No Asset |
|
11 |
|
|
1,951,481 |
|
0.66 |
|
No Document |
|
4 |
|
|
887,621 |
|
0.30 |
|
Total |
|
1,292 |
|
$ |
296,263,296 |
|
100.00 |
% |
LOAN PURPOSE
(GROUP II CLOSING DATE MORTGAGE LOANS)
Loan Purpose |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
Purchase |
|
753 |
|
$ |
187,279,967 |
|
63.21 |
% |
Rate & Term Refinance |
|
51 |
|
|
7,203,428 |
|
2.43 |
|
Cash Out Refinance |
|
488 |
|
|
101,779,901 |
|
34.35 |
|
Total |
|
1,292 |
|
$ |
296,263,296 |
|
100.00 |
% |
OCCUPANCY TYPE(1)
(GROUP II CLOSING DATE MORTGAGE LOANS)
Occupancy Type |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
Owner Occupied |
|
1,229 |
|
$ |
285,385,650 |
|
96.33 |
% |
Second Home |
|
11 |
|
|
3,186,348 |
|
1.08 |
|
Investor Occupied |
|
52 |
|
|
7,691,298 |
|
2.60 |
|
Total |
|
1,292 |
|
$ |
296,263,296 |
|
100.00 |
% |
(1) Based on representations of the related mortgagors at the time of origination.
PROPERTY TYPE
(GROUP II CLOSING DATE MORTGAGE LOANS)
Property Type |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
Single Family Residence |
|
880 |
|
$ |
196,243,626 |
|
66.24 |
% |
PUD |
|
204 |
|
|
50,657,269 |
|
17.10 |
|
Condominium Unit |
|
97 |
|
|
20,228,801 |
|
6.83 |
|
2 Unit |
|
57 |
|
|
16,310,483 |
|
5.51 |
|
Townhouse |
|
19 |
|
|
3,291,811 |
|
1.11 |
|
High Rise Condominium |
|
21 |
|
|
5,504,684 |
|
1.86 |
|
4 Unit |
|
4 |
|
|
960,167 |
|
0.32 |
|
3 Unit |
|
10 |
|
|
3,066,456 |
|
1.04 |
|
Total |
|
1,292 |
|
$ |
296,263,296 |
|
100.00 |
% |
GEOGRAPHIC DISTRIBUTION
(GROUP II CLOSING DATE MORTGAGE LOANS)
Geographic Distribution |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
California |
|
231 |
|
$ |
78,518,526 |
|
26.50 |
% |
Florida |
|
238 |
|
|
48,369,615 |
|
16.33 |
|
New York |
|
122 |
|
|
36,847,969 |
|
12.44 |
|
New Jersey |
|
69 |
|
|
17,336,412 |
|
5.85 |
|
Texas |
|
103 |
|
|
15,826,080 |
|
5.34 |
|
Maryland |
|
65 |
|
|
15,413,081 |
|
5.20 |
|
Virginia |
|
44 |
|
|
10,593,659 |
|
3.58 |
|
Massachusetts |
|
40 |
|
|
9,185,954 |
|
3.10 |
|
Illinois |
|
37 |
|
|
8,237,640 |
|
2.78 |
|
Georgia |
|
32 |
|
|
6,143,654 |
|
2.07 |
|
Other |
|
311 |
|
|
49,790,708 |
|
16.81 |
|
Total |
|
1,292 |
|
$ |
296,263,296 |
|
100.00 |
% |
ZIP CODE
(GROUP II CLOSING DATE MORTGAGE LOANS)
Zip Code |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
11706 |
|
6 |
|
$ |
1,710,440 |
|
0.58 |
% |
92647 |
|
3 |
|
|
1,651,103 |
|
0.56 |
|
11717 |
|
4 |
|
|
1,365,021 |
|
0.46 |
|
29492 |
|
2 |
|
|
1,335,575 |
|
0.45 |
|
92345 |
|
5 |
|
|
1,297,665 |
|
0.44 |
|
93551 |
|
2 |
|
|
1,176,378 |
|
0.40 |
|
20901 |
|
4 |
|
|
1,162,418 |
|
0.39 |
|
33033 |
|
6 |
|
|
1,155,596 |
|
0.39 |
|
90042 |
|
3 |
|
|
1,142,572 |
|
0.39 |
|
11434 |
|
4 |
|
|
1,055,105 |
|
0.36 |
|
Other |
|
1,253 |
|
|
283,211,422 |
|
95.59 |
|
Total |
|
1,292 |
|
$ |
296,263,296 |
|
100.00 |
% |
REMAINING TERM TO MATURITY
(GROUP II CLOSING DATE MORTGAGE LOANS)
Remaining Term to |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
180 and below |
|
14 |
|
$ |
1,150,753 |
|
0.39 |
% |
181 - 240 |
|
3 |
|
|
312,322 |
|
0.11 |
|
241 - 360 |
|
1,275 |
|
|
294,800,221 |
|
99.51 |
|
Total |
|
1,292 |
|
$ |
296,263,296 |
|
100.00 |
% |
As of March 14, 2006, the weighted average remaining term to maturity of the Group II Closing Date Mortgage Loans was approximately 357 months.
PRODUCT TYPE
(GROUP II CLOSING DATE MORTGAGE LOANS)
Product Type |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Statistical Calculation | ||
2/6 MONTH LIBOR |
|
635 |
|
$ |
130,010,786 |
|
43.88 |
% |
2/6 MONTH LIBOR - 120 MONTH IO |
|
190 |
|
|
57,620,138 |
|
19.45 |
|
2/6 MONTH LIBOR - 30/40 BALLOON |
|
133 |
|
|
38,107,830 |
|
12.86 |
|
30YR FIXED |
|
152 |
|
|
26,526,825 |
|
8.95 |
|
3/6 MONTH LIBOR |
|
49 |
|
|
10,824,989 |
|
3.65 |
|
2/6 MONTH LIBOR - 24 MONTH IO |
|
18 |
|
|
6,311,251 |
|
2.13 |
|
30/40 BALLOON FIXED |
|
13 |
|
|
3,751,192 |
|
1.27 |
|
5/6 MONTH LIBOR - 120 MONTH IO |
|
12 |
|
|
3,142,140 |
|
1.06 |
|
5/6 MONTH LIBOR |
|
11 |
|
|
2,636,636 |
|
0.89 |
|
3/1 ARM 1 YR LIBOR |
|
10 |
|
|
2,091,250 |
|
0.71 |
|
3/6 MONTH LIBOR - 120 MONTH IO |
|
7 |
|
|
2,069,731 |
|
0.70 |
|
30YR FIXED - 120 MONTH IO |
|
7 |
|
|
1,678,645 |
|
0.57 |
|
3/1 ARM 1 YR CMT |
|
6 |
|
|
1,612,529 |
|
0.54 |
|
3/6 MONTH LIBOR - 30/40 BALLOON |
|
6 |
|
|
1,245,001 |
|
0.42 |
|
5/1 ARM 1 YR LIBOR |
|
7 |
|
|
1,192,105 |
|
0.40 |
|
15YR FIXED |
|
14 |
|
|
1,150,753 |
|
0.39 |
|
5/6 MONTH LIBOR - 60 MONTH IO |
|
2 |
|
|
1,057,645 |
|
0.36 |
|
3/6 MONTH LIBOR - 36 MONTH IO |
|
2 |
|
|
813,860 |
|
0.27 |
|
3/1 ARM 1 YR LIBOR - 30/40 BALLOON |
|
3 |
|
|
777,200 |
|
0.26 |
|
5/1 ARM 1 YR LIBOR - 30/40 BALLOON |
|
2 |
|
|
752,000 |
|
0.25 |
|
3/1 ARM 1 YR CMT - 30/40 BALLOON |
|
3 |
|
|
727,731 |
|
0.25 |
|
5/1 ARM 1 YR LIBOR - 120 MONTH IO |
|
3 |
|
|
511,035 |
|
0.17 |
|
3/6 MONTH LIBOR - 60 MONTH IO |
|
2 |
|
|
511,000 |
|
0.17 |
|
5/1 ARM 1 YR CMT - 60 MONTH IO |
|
1 |
|
|
469,702 |
|
0.16 |
|
5/1 ARM 1 YR LIBOR - 60 MONTH IO |
|
1 |
|
|
359,000 |
|
0.12 |
|
20 YR FIXED |
|
3 |
|
|
312,322 |
|
0.11 |
|
Total |
|
1,292 |
|
$ |
296,263,296 |
|
100.00 |
% |
PREPAYMENT CHARGE TERM
(GROUP II CLOSING DATE MORTGAGE LOANS)
Prepayment Charge |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of | ||
0 |
|
430 |
|
$ |
101,696,412 |
|
34.33 |
% |
12 |
|
94 |
|
|
26,146,668 |
|
8.83 |
|
24 |
|
536 |
|
|
121,603,910 |
|
41.05 |
|
36 |
|
231 |
|
|
46,764,367 |
|
15.78 |
|
60 |
|
1 |
|
|
51,938 |
|
0.02 |
|
Total |
|
1,292 |
|
$ |
296,263,296 |
|
100.00 |
% |
INITIAL PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
(GROUP II CLOSING DATE MORTGAGE LOANS)
Initial Periodic Rate |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
1.000 and below |
|
1 |
|
$ |
549,988 |
|
0.21 |
% |
1.001 - 1.500 |
|
19 |
|
|
3,235,386 |
|
1.23 |
|
1.501 - 2.000 |
|
35 |
|
|
8,294,598 |
|
3.16 |
|
2.501 - 3.000 |
|
1,007 |
|
|
239,886,211 |
|
91.27 |
|
3.001 - 3.500 |
|
1 |
|
|
319,690 |
|
0.12 |
|
4.501 - 5.000 |
|
34 |
|
|
8,115,051 |
|
3.09 |
|
5.501 - 6.000 |
|
6 |
|
|
2,442,636 |
|
0.93 |
|
Total |
|
1,103 |
|
$ |
262,843,558 |
|
100.00 |
% |
SUBSEQUENT PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
(GROUP II CLOSING DATE MORTGAGE LOANS)
Subsequent Periodic |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
0.501 - 1.000 |
|
1,017 |
|
$ |
242,765,732 |
|
92.36 |
% |
1.001 - 1.500 |
|
35 |
|
|
6,544,027 |
|
2.49 |
|
1.501 - 2.000 |
|
51 |
|
|
13,533,799 |
|
5.15 |
|
Total |
|
1,103 |
|
$ |
262,843,558 |
|
100.00 |
% |
GROSS MARGIN OF THE ADJUSTABLE-RATE LOANS
(GROUP II CLOSING DATE MORTGAGE LOANS)
Gross Margin (%) |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
4.000 and below |
|
140 |
|
$ |
39,579,320 |
|
15.06 |
% |
4.001 - 4.500 |
|
67 |
|
|
16,659,075 |
|
6.34 |
|
4.501 - 5.000 |
|
140 |
|
|
41,940,108 |
|
15.96 |
|
5.001 - 5.500 |
|
300 |
|
|
74,077,385 |
|
28.18 |
|
5.501 - 6.000 |
|
128 |
|
|
31,304,495 |
|
11.91 |
|
6.001 - 6.500 |
|
76 |
|
|
15,620,364 |
|
5.94 |
|
6.501 - 7.000 |
|
141 |
|
|
30,024,822 |
|
11.42 |
|
7.001 - 7.500 |
|
95 |
|
|
10,812,305 |
|
4.11 |
|
7.501 - 8.000 |
|
5 |
|
|
816,742 |
|
0.31 |
|
8.001 - 8.500 |
|
8 |
|
|
1,421,376 |
|
0.54 |
|
8.501 - 9.000 |
|
3 |
|
|
587,566 |
|
0.22 |
|
Total |
|
1,103 |
|
$ |
262,843,558 |
|
100.00 |
% |
As of March 14, 2006, the weighted average gross margin of the Group II Closing Date Mortgage Loans was approximately 5.311%.
MAXIMUM MORTGAGE RATE OF THE ADJUSTABLE-RATE LOANS
(GROUP II CLOSING DATE MORTGAGE LOANS)
Maximum Mortgage |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
11.001 -11.500 |
|
5 |
|
$ |
1,493,701 |
|
0.57 |
% |
11.501 -12.000 |
|
23 |
|
|
8,515,874 |
|
3.24 |
|
12.001 -12.500 |
|
54 |
|
|
17,935,781 |
|
6.82 |
|
12.501 -13.000 |
|
115 |
|
|
33,428,102 |
|
12.72 |
|
13.001 -13.500 |
|
157 |
|
|
44,405,510 |
|
16.89 |
|
13.501 -14.000 |
|
166 |
|
|
41,306,550 |
|
15.72 |
|
14.001 -14.500 |
|
155 |
|
|
33,553,987 |
|
12.77 |
|
14.501 -15.000 |
|
117 |
|
|
28,604,223 |
|
10.88 |
|
15.001 -15.500 |
|
72 |
|
|
14,681,372 |
|
5.59 |
|
15.501 -16.000 |
|
75 |
|
|
13,854,567 |
|
5.27 |
|
16.001 -16.500 |
|
35 |
|
|
6,708,649 |
|
2.55 |
|
16.501 -17.000 |
|
27 |
|
|
4,294,541 |
|
1.63 |
|
17.001 -17.500 |
|
34 |
|
|
5,871,096 |
|
2.23 |
|
17.501 -18.000 |
|
29 |
|
|
3,833,669 |
|
1.46 |
|
18.001 -18.500 |
|
27 |
|
|
3,073,012 |
|
1.17 |
|
18.501 -19.000 |
|
10 |
|
|
1,089,125 |
|
0.41 |
|
19.001 -19.500 |
|
2 |
|
|
193,799 |
|
0.07 |
|
Total |
|
1,103 |
|
$ |
262,843,558 |
|
100.00 |
% |
As of March 14, 2006, the weighted average Maximum Mortgage Rate of the Group II Closing Date Mortgage Loans was approximately 14.112%.
MINIMUM MORTGAGE RATE OF THE ADJUSTABLE-RATE LOANS
(GROUP II CLOSING DATE MORTGAGE LOANS)
Minimum Mortgage |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
4.000 and below |
|
127 |
|
$ |
35,874,776 |
|
13.65 |
% |
4.001 - 4.500 |
|
63 |
|
|
16,165,303 |
|
6.15 |
|
4.501 - 5.000 |
|
121 |
|
|
35,623,148 |
|
13.55 |
|
5.001 - 5.500 |
|
279 |
|
|
68,213,846 |
|
25.95 |
|
5.501 - 6.000 |
|
110 |
|
|
26,328,584 |
|
10.02 |
|
6.001 - 6.500 |
|
56 |
|
|
11,843,676 |
|
4.51 |
|
6.501 - 7.000 |
|
123 |
|
|
29,656,960 |
|
11.28 |
|
7.001 - 7.500 |
|
123 |
|
|
19,358,432 |
|
7.37 |
|
7.501 - 8.000 |
|
33 |
|
|
6,802,646 |
|
2.59 |
|
8.001 - 8.500 |
|
32 |
|
|
6,729,292 |
|
2.56 |
|
8.501 - 9.000 |
|
12 |
|
|
2,689,694 |
|
1.02 |
|
9.001 - 9.500 |
|
8 |
|
|
1,569,456 |
|
0.60 |
|
9.501 - 10.000 |
|
7 |
|
|
747,289 |
|
0.28 |
|
10.001 - 10.500 |
|
3 |
|
|
303,368 |
|
0.12 |
|
10.501 - 11.000 |
|
3 |
|
|
634,624 |
|
0.24 |
|
11.001 - 11.500 |
|
1 |
|
|
85,545 |
|
0.03 |
|
12.501 - 13.000 |
|
1 |
|
|
80,000 |
|
0.03 |
|
13.501 - 14.000 |
|
1 |
|
|
136,919 |
|
0.05 |
|
Total |
|
1,103 |
|
$ |
262,843,558 |
|
100.00 |
% |
As of March 14, 2006, the weighted average minimum mortgage rate of the Group II Closing Date Mortgage Loans was approximately 5.596%.
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
(GROUP II CLOSING DATE MORTGAGE LOANS)
Next Rate |
|
Number of |
|
Aggregate Principal Balance Outstanding |
|
Percentage of Aggregate Principal Balance of Statistical Calculation | ||
August 2006 |
|
1 |
|
$ |
590,430 |
|
0.22 |
% |
October 2006 |
|
2 |
|
|
769,789 |
|
0.29 |
|
December 2006 |
|
4 |
|
|
706,869 |
|
0.27 |
|
January 2007 |
|
1 |
|
|
43,563 |
|
0.02 |
|
February 2007 |
|
5 |
|
|
778,559 |
|
0.30 |
|
March 2007 |
|
1 |
|
|
157,509 |
|
0.06 |
|
May 2007 |
|
1 |
|
|
51,714 |
|
0.02 |
|
June 2007 |
|
3 |
|
|
961,865 |
|
0.37 |
|
July 2007 |
|
9 |
|
|
2,415,554 |
|
0.92 |
|
August 2007 |
|
36 |
|
|
9,149,564 |
|
3.48 |
|
September 2007 |
|
31 |
|
|
8,677,001 |
|
3.30 |
|
October 2007 |
|
7 |
|
|
2,737,421 |
|
1.04 |
|
November 2007 |
|
37 |
|
|
10,794,792 |
|
4.11 |
|
December 2007 |
|
50 |
|
|
11,532,837 |
|
4.39 |
|
January 2008 |
|
29 |
|
|
8,090,049 |
|
3.08 |
|
February 2008 |
|
463 |
|
|
110,963,135 |
|
42.22 |
|
March 2008 |
|
263 |
|
|
55,109,152 |
|
20.97 |
|
April 2008 |
|
33 |
|
|
8,520,202 |
|
3.24 |
|
July 2008 |
|
3 |
|
|
363,160 |
|
0.14 |
|
August 2008 |
|
3 |
|
|
1,030,978 |
|
0.39 |
|
September 2008 |
|
10 |
|
|
2,649,158 |
|
1.01 |
|
November 2008 |
|
5 |
|
|
1,040,301 |
|
0.40 |
|
December 2008 |
|
25 |
|
|
5,896,596 |
|
2.24 |
|
February 2009 |
|
24 |
|
|
5,861,315 |
|
2.23 |
|
March 2009 |
|
17 |
|
|
3,521,782 |
|
1.34 |
|
April 2009 |
|
1 |
|
|
310,000 |
|
0.12 |
|
September 2010 |
|
1 |
|
|
600,000 |
|
0.23 |
|
October 2010 |
|
1 |
|
|
596,903 |
|
0.23 |
|
November 2010 |
|
2 |
|
|
1,241,462 |
|
0.47 |
|
December 2010 |
|
3 |
|
|
808,450 |
|
0.31 |
|
January 2011 |
|
3 |
|
|
1,022,011 |
|
0.39 |
|
February 2011 |
|
15 |
|
|
2,927,873 |
|
1.11 |
|
March 2011 |
|
12 |
|
|
2,171,363 |
|
0.83 |
|
April 2011 |
|
2 |
|
|
752,200 |
|
0.29 |
|
Total |
|
1,103 |
|
$ |
262,843,558 |
|
100.00 |
% |
As of March 14, 2006, the weighted average number of months to the next adjustment date for the Group II Closing Date Mortgage Loans was approximately 25 months