FWP 1 d500743.htm ACE SECURITIES CORP. HOME EQUITY, 2006-OP1 Unassociated Document
 
Filed pursuant to Rule 433(d) - Registration Statement No. 333-131727
 

 
Ace Securities Corp.
Home Equity Loan Trust, Series 2006-OP1



The following is a free writing prospectus. The information in this free writing prospectus is preliminary and is subject to completion or change.

FREE WRITING PROSPECTUS
 
Ace Securities Corp

$1,083,807,000 (Approximate)
 
Home Equity Loan Trust
 
Series 2006-OP1

Ace Securities Corp
(Depositor)



May 3, 2006

 
The issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this free writing prospectus relates. Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer, any underwriter or any dealer participating in the offering will arrange to send you the prospectus if you request it by calling DBSI’s trading desk at 212-250-7730. This free writing prospectus is not required to contain all information that is required to be included in the base prospectus and the prospectus supplement. The information in this free writing prospectus is preliminary and is subject to completion or change. The information in this free writing prospectus, if conveyed prior to the time of your commitment to purchase, supersedes information contained in any prior similar free writing prospectus relating to these securities. THIS FREE WRITING PROSPECTUS IS NOT AN OFFER TO SELL OR A SOLICITATION OF AN OFFER TO BUY THESE SECURITIES IN ANY STATE WHERE SUCH OFFER, SOLICITATION OR SALE IS NOT PERMITTED. The information in this free writing prospectus may be based on preliminary assumptions about the pool assets and the structure. Any such assumptions are subject to change        
 


The analysis in this report is based on information provided by Ace Securities Corp. (the “Depositor”). Investors are urged to read the base prospectus and the prospectus supplement and other relevant documents filed or to be filed with the Securities and Exchange Commission because they contain important information. Such documents may be obtained without charge at the Securities and Exchange Commission's website. Once available, the base prospectus and prospectus supplement may be obtained without charge by contacting Deutsche Bank Securities, Inc. (“DBSI”) toll-free at 1-800 503-4611. This free writing prospectus is not required to contain all information that is required to be included in the base prospectus and the prospectus supplement (collectively, the “Prospectus”). The information in this free writing prospectus is preliminary and is subject to completion or change. The information in this free writing prospectus, if conveyed prior to the time of your commitment to purchase, supersedes information contained in any prior similar free writing prospectus relating to these securities. This free writing prospectus is not an offer to sell or a solicitation of an offer to buy these securities in any state where such offer, solicitation or sale is not permitted. You should consult your own counsel, accountant, and other advisors as to the legal, tax, business, financial and related aspects of a purchase of these securities.
 
The attached information contains certain tables and other statistical analyses (the “Computational Materials”) which have been prepared by DBSI in reliance upon information furnished by the Depositor. Numerous assumptions were used in preparing the Computational Materials that may or may not be reflected herein. As such, no assurance can be given as to whether the Computational Materials and/or the assumptions upon which they are based reflect present market conditions or future market performance. These Computational Materials should not be construed as either projections or predictions or as legal, tax, financial or accounting advice. Any weighted average lives, yields and principal payment periods shown in the Computational Materials are based on prepayment assumptions, and changes in such prepayment assumptions may dramatically affect such weighted average lives, yields and principal payment periods. In addition, it is possible that prepayments on the underlying assets will occur at rates slower or faster than the rates shown in the attached Computational Materials. Furthermore, unless otherwise provided, the Computational Materials assume no losses on the underlying assets and no interest shortfalls. The specific characteristics of the securities may differ from those shown in the Computational Materials by a permitted variance of +/- 10% prior to issuance. Neither DBSI nor any of its affiliates makes any representation or warranty as to the actual rate or timing of payments on any of the underlying assets or the payments or yield on the securities.
 
An investor or potential investor in the certificates (and each employee, representative, or other agent of such person or entity) may disclose to any and all persons, without limitation, the tax treatment and tax structure of the transaction (as defined in United States Treasury Regulation Section 1.6011-4) and all related materials of any kind, including opinions or other tax analyses, that are provided to such person or entity. However, such person or entity may not disclose any other information relating to this transaction unless such information is related to such tax treatment and tax structure.
 
THIS INFORMATION IS FURNISHED TO YOU SOLELY BY DBSI AND NOT BY THE ISSUER OF THE SECURITIES OR ANY OF ITS AFFILIATES. DBSI IS ACTING AS UNDERWRITER AND NOT ACTING AS AGENT FOR THE ISSUER IN CONNECTION WITH THE PROPOSED TRANSACTION.


 



FREE WRITING PROSPECTUS DATED May 3, 2006
Ace Securities Corp.
Home Equity Loan Trust, Series 2006-OP1
$1,083,807,000 (Approximate)
Subject to 10% variance
 
Structure Overview
 
To 10% Optional Termination
 
 
Class
 
Approximate
Size ($)
 
Type
WAL
(yrs)
Principal
Payment
Window (months)
Payment
Delay
(days)
Interest
Accrual
Basis
Legal
Final
Maturity
Expected
Ratings
S / M
Offered Certificates:
             
A-1A
356,901,000
Float
2.20
1 - 80
0
ACT/360
April 2036
AAA / Aaa
A-1B
180,507,000
Float
2.27
1 - 80
0
ACT/360
April 2036
AAA / Aaa
A-2A
176,209,000
Float
1.00
1 - 21
0
ACT/360
April 2036
AAA / Aaa
A-2B
63,699,000
Float
2.00
21 - 28
0
ACT/360
April 2036
AAA / Aaa
A-2C
59,481,000
Float
3.35
28 - 63
0
ACT/360
April 2036
AAA / Aaa
A-2D
42,758,000
Float
6.38
63 - 80
0
ACT/360
April 2036
AAA / Aaa
M-1
38,193,000
Float
4.86
46 - 80
0
ACT/360
April 2036
AA+ / Aa1
M-2
34,319,000
Float
4.74
43 - 80
0
ACT/360
April 2036
AA / Aa2
M-3
20,481,000
Float
4.67
42 - 80
0
ACT/360
April 2036
AA / Aa3
M-4
18,266,000
Float
4.63
41 - 80
0
ACT/360
April 2036
AA- / A1
M-5
18,266,000
Float
4.60
40 - 80
0
ACT/360
April 2036
A+ / A2
M-6
16,052,000
Float
4.58
39 - 80
0
ACT/360
April 2036
A+ / A3
M-7
16,052,000
Float
4.56
39 - 80
0
ACT/360
April 2036
A / Baa1
M-8
14,392,000
Float
4.54
38 - 80
0
ACT/360
April 2036
BBB+ / Baa2
M-9
11,071,000
Float
4.53
38 - 80
0
ACT/360
April 2036
BBB / Baa3
M-10
6,089,000
Float
4.53
38 - 80
0
ACT/360
April 2036
BBB / Ba1
M-11
11,071,000
Float
4.48
37 - 80
0
ACT/360
April 2036
BBB- / Ba2
Total Certificates                 $1,083,807,000
 
 
Pricing Speed
 
Fixed-Rate Mortgage Loans
100% PPC (4% CPR growing to 23% CPR over 12 months )
 
Adjustable-Rate
Mortgage Loans
100% PPC (5% CPR in month 1, an additional 2% CPR for each month thereafter, building to 27% CPR in month 12 and remaining constant at 27% CPR until month 23, increasing to and remaining constant at 60% CPR from month 24 until month 27 and decreasing and remaining constant at 30% CPR from month 28 and thereafter; provided, however, the prepayment rate will not exceed 85% CPR per annum in any period for any percentage of PPC)

                    Transaction Overview
 
Certificates:
The Class A-1A Certificates and the Class A-1B Certificates, together the “Class A-1 Certificates”) and the Class A-2A, Class A-2B, Class A-2C and Class A-2D Certificates (collectively, the “Class A-2 Certificates”; and together with the Class A-1 Certificates, the “Senior Certificates” or “Class A Certificates”), and the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10 and Class M-11 Certificates (collectively, the “Mezzanine Certificates”). The Class A-1 Certificates are backed by conforming principal balance fixed-rate and adjustable-rate first and second lien mortgage loans (“Group I Mortgage Loans”) and the Class A-2 Certificates are backed by fixed-rate and adjustable-rate first and second lien mortgage loans with conforming and non-conforming principal balances (“Group II Mortgage Loans”).





                           Transaction Overview
 
Certificates
(Continued):
The Group I Mortgage Loans will be further divided into two groups, the Group IA Mortgage Loans and the Group IB Mortgage Loans. The Mezzanine Certificates are backed by the Group I Mortgage Loans and Group II Mortgage Loans (collectively, the “Mortgage Loans”). The Senior Certificates along with the Mezzanine Certificates are also referred to herein collectively as the “Offered Certificates.” The pass-through rates on the Class A-1 Certificates will be the lesser of (i) One-Month LIBOR plus their respective margins and (ii) the applicable Net WAC Pass-Through Rate. The pass-through rates on the Class A-2 Certificates will be the lesser of (i) One-Month LIBOR plus their respective margins and (ii) the applicable Net WAC Pass-Through Rate. The pass-through rates on the Mezzanine Certificates will be the lesser of (i) One-Month LIBOR plus their respective margins and (ii) the applicable Net WAC Pass-Through Rate.
   
Collateral:
As of the Cut-off Date, the Mortgage Loans will consist of approximately 5,501 adjustable-rate and fixed-rate, first and second lien, closed-end, mortgage loans. The aggregate outstanding principal balance of all of the Mortgage Loans is approximately $1,107,055,226 as of the Cut-off Date subject to a permitted variance of +/- 10%. The Mortgage Loans will be separated into three groups. The Group IA Mortgage Loans will represent approximately 2,241 conforming principal balance fixed-rate and adjustable-rate Mortgage Loans totaling approximately $449,214,623, the Group IB Mortgage Loans will represent approximately 1,260 conforming principal balance fixed-rate and adjustable-rate Mortgage Loans totaling approximately $227,195,759 and the Group II Mortgage Loans will represent approximately 2,000 conforming and non-conforming principal balance fixed and adjustable-rate Mortgage Loans totaling approximately $430,644,844.
 
Class A Certificates:
Class A-1A, Class A-1B, Class A-2A, Class A-2B, Class A-2C and Class A-2D Certificates
   
Class M Certificates:
Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10 and Class M-11 Certificates
   
Depositor:
Ace Securities Corp. (“Ace”)
   
Originator:
Option One Mortgage Corporation
   
Master Servicer:
Wells Fargo Bank, National Association
   
Servicer:
Option One Mortgage Corporation
   
Trustee:
HSBC Bank USA, National Association
   
Custodians:
Wells Fargo Bank, National Association and Deutsche Bank National Trust Company
   
Credit Risk Manager:
Clayton Fixed Income Services Inc. (formerly known as “The Murrayhill Company”)
   
Underwriter:
Deutsche Bank Securities Inc.
   
Swap Provider:
TBD
   
Cut-off Date:
May 1, 2006
   
Cut-off Date:
May 1, 2006
   
Expected Pricing:
Week of May 1, 2006
   
Record Date:
The Record Date for the Certificates will be the business day immediately preceding the related Distribution Date.
 
 



Transaction Overview (Cont.)
 
Distribution Date:
25th day of each month (or the next business day if such day is not a business day) commencing in June 2006.
 
Determination Date:
The Determination Date with respect to any Distribution Date is the 15th day of the month in which the Distribution Date occurs or, if such day is not a business day, on the immediately preceding business day.
 
Servicer Remittance Date:
With respect to any Distribution Date, the 22nd day of the month in which such Distribution Date occurs; provided that if such 22nd day of a given month is not a business day, the Servicer Remittance Date for such month shall be the business day immediately preceding such 22nd day.
   
Due Period:
The Due Period with respect to any Distribution Date commences on the second day of the month immediately preceding the month in which such Distribution Date occurs and ends on the first day of the month in which such Distribution Date occurs.
   
Prepayment Period:
The Prepayment Period with respect to any Distribution Date is the period commencing on the day after the Determination Date in the month preceding the month in which such Distribution Date falls and ending on the Determination Date of the calendar month in which such Distribution Date falls.
   
Interest Accrual Period:
(iv)  Interest will initially accrue on all Certificates from the Closing Date to (but excluding) the first Distribution Date, and thereafter, from the prior Distribution Date to (but excluding) the current Distribution Date on an actual/360 basis. The Certificates will initially settle flat (no accrued interest).
   
Interest Distribution Amount:
 
For the Certificates of any class on any Distribution Date is equal to interest accrued during the related Interest Accrual Period on the Certificate Principal Balance of that class immediately prior to such Distribution Date at the then applicable pass-through rate for such class, and reduced (to not less than zero), in the case of each such class, by the allocable share, if any, for such class of prepayment interest shortfalls to the extent not covered by Compensating Interest paid by the Master Servicer or the Servicer and shortfalls resulting from the application of the Servicemembers’ Civil Relief Act or similar state or local laws.
   
Senior Interest Distribution Amount:
 
For the Class A Certificates on any Distribution Date is an amount equal to the sum of the Interest Distribution Amount for such Distribution Date for each such class and the Interest Carry Forward Amount, if any, for such Distribution Date for each such class.
   
Administration Fee Rate:
 
The Master Servicer, Servicer and Credit Risk Manager will be paid monthly fees on the outstanding principal balance of the Mortgage Loans. These fees initially aggregate to a weighted average cost of approximately 0.3170% for the Mortgage Loans.
   
Compensating Interest:
 
The Servicer will be required to cover Prepayment Interest Shortfalls on prepayments in full on the Mortgage Loans up to the Servicing Fee. If the Servicer fails to make any required Compensating Interest payment, the Master Servicer will be required to do so up to the Master Servicing Fee.
 
Prepayment Interest Shortfalls:              Interest shortfalls attributable to voluntary principal prepayments on the Mortgage Loans.




Transaction Overview (Cont.)
 
Optional Termination:
On any Distribution Date on which the aggregate outstanding principal balance of the Mortgage Loans as of the related determination date is less than or equal to 10% of the aggregate outstanding principal balance of the Mortgage Loans as of the Cut-off Date, the Master Servicer may repurchase all of the Mortgage Loans and REO properties remaining in the trust, causing an early retirement of the Certificates, but is not required to do so.
   
Monthly Servicer Advances:
The Servicer will collect monthly payments of principal and interest on the Mortgage Loans and will be obligated to make advances of delinquent monthly principal and interest payments. The Servicer is required to advance delinquent payments of principal and interest on the Mortgage Loans only to the extent such amounts are deemed recoverable. If the Servicer fails to make any such advance, the Master Servicer will be required to do so subject to its determination of recoverability. The Servicer and the Master Servicer are entitled to be reimbursed for such advances, and therefore these advances are not a form of credit enhancement.
   
Credit Enhancement:
 
1)   Excess Interest;
2)   Net Swap Payments received from the Swap Provider (if any);
3)   Overcollateralization (“OC”), and
4)   Subordination; and
   
Allocation of Losses:
 
Any Realized Losses on the Mortgage Loans will be allocated on any Distribution Date, first, to Net Monthly Excess Cashflow and Net Swap Payments received from the Swap Provider, if any, second, to the Class CE Certificates, third, to the Class M-11 Certificates, fourth, to the Class M-10 Certificates, fifth, to the Class M-9 Certificates, sixth, to the Class M-8 Certificates, seventh, to the Class M-7 Certificates, eighth, to the Class M-6 Certificates, ninth, to the Class M-5 Certificates, tenth, to the Class M-4 Certificates, eleventh, to the Class M-3 Certificates, twelfth, to the Class M-2 Certificates, and thirteenth, to the Class M-1 Certificates. There will be no allocation of Realized Losses to the Class A Certificates. Investors in the Class A Certificates should note, however, that although Realized Losses cannot be allocated to such Certificates, under certain loss scenarios there may not be enough principal and interest on the Mortgage Loans to distribute to the holders of the Class A Certificates all principal and interest amounts to which they are then entitled.
 
Once Realized Losses have been allocated to the Mezzanine Certificates, such amounts with respect to such Certificates will no longer accrue interest and such amounts will not be reinstated thereafter. However, the amount of any Realized Losses allocated to the Mezzanine Certificates may be distributed to such certificates on a subordinated basis on any Distribution Date from Net Monthly Excess Cashflow, to the extent available for such distribution and any Net Swap Payments paid by the Swap Provider.
   
Required Overcollateralization Amount:
 
Overcollateralization refers to the amount by which the aggregate principal balance of the Mortgage Loans exceeds the Certificate Principal Balance of the Certificates. This excess (the “Overcollateralization Amount”) is intended to protect the certificateholders against shortfalls in payments on the Certificates. The Required Overcollateralization Amount for the Certificates, which will be fully established at issuance, is anticipated to be approximately 2.10% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. On or after the Stepdown Date and provided that a trigger event is not in effect, the Required Overcollateralization Amount may be permitted to decrease to approximately 4.20% of the aggregate principal balance of the Mortgage Loans as of the end of such Due Period, subject to a floor amount of approximately 0.50% of the aggregate outstanding principal balance as of the Cut-off Date. If, due to losses, the Overcollateralization Amount is reduced below the Required Overcollateralization Amount, excess spread, to the extent available will be paid to the Certificates then entitled to receive distributions in respect of principal in order to reduce the Certificate Principal Balance of such Certificates to the extent necessary to reach the Required Overcollateralization Amount.
   
Overcollateralization Increase Amount:
An Overcollateralization Increase Amount for any Distribution Date is the amount of Net Monthly Excess Cashflow actually applied as an accelerated payment of principal to the extent the Required Overcollateralization Amount exceeds the current Overcollateralization Amount.
   
Overcollateralization Reduction Amount:
An Overcollateralization Reduction Amount for any Distribution Date is the amount by which the current Overcollateralization Amount exceeds the Required Overcollateralization Amount after taking into account all other distributions to be made on the Distribution Date limited to the distribution of principal on the Mortgage Loans.
   
Stepdown Date:
Is the earlier of (i) the Distribution Date following the first Distribution Date on which the Certificate Principal Balances of the Class A Certificates have been reduced to zero and (ii) the later to occur of (x) the Distribution Date occurring in June 2009 and (y) the first Distribution Date on which the Credit Enhancement Percentage (calculated for this purpose only after taking into account distributions of principal on the Mortgage Loans, but prior to any distribution of principal to the holders of the Certificates) is equal to or greater than approximately 41.10%.
   
Credit Enhancement Percentage:
The Credit Enhancement Percentage for any class and any Distribution Date is the percentage obtained by dividing (x) the aggregate Certificate Principal Balance of the class or classes subordinate thereto (which includes the Overcollateralization Amount) by (y) the aggregate principal balance of the Mortgage Loans, calculated after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period and distribution of the Principal Distribution Amount to the holders of the Certificates then entitled to distributions of principal on the Distribution Date.
 
 



Transaction Overview (Cont.)
 
   
Class
(S / M) 
Initial CE %
CE % On/After Step Down Date
 
A
AAA / Aaa
20.55%
41.10%
 
M-1
AA+ / Aa1
17.10%
34.20%
 
M-2
AA / Aa2
14.00%
28.00%
 
M-3
AA / Aa3
12.15%
24.30%
 
M-4
AA- / A1
10.50%
21.00%
 
M-5
A+ / A2
8.85%
17.70%
 
M-6
A+ / A3
7.40%
14.80%
 
M-7
A / Baa1
5.95%
11.90%
 
M-8
BBB+ / Baa2
4.65%
9.30%
 
M-9
BBB / Baa3
3.65%
7.30%
 
M-10
BBB / Ba1
3.10%
6.20%
 
M-11
BBB- / Ba2
2.10%
4.20%
 
Net Monthly Excess Cashflow:
For any Distribution Date is equal to the sum of (i) any Overcollateralization Reduction Amount and (ii) the excess of the Available Distribution Amount, net of any Net Swap Payment and the Swap Termination Payment, if any, required to be made by the Securities Administrator, on behalf of the supplemental interest trust (described below), to the Swap Provider under the Swap Agreement, over the sum of (w) with respect to the Class A Certificates, the Senior Interest Distribution Amount for such Distribution Date, (x) with respect to the Mezzanine Certificates, the Interest Distribution Amount for such Distribution Date and (y) the amount of principal required to be distributed to the holders of the Certificates on such Distribution Date.
 
Net WAC Pass-Through Rate:
Class A-1A, Class A-1B and Class A-2 Certificates: The per annum rate (subject to adjustment based on the actual number of days elapsed in the related Interest Accrual Period) equal to a fraction, expressed as a percentage, the numerator of which is the amount of interest which accrued on the Mortgage Loans in the related loan group in the prior calendar month minus the fees payable to the Servicer, the Master Servicer and the Credit Risk Manager and with respect to the related Mortgage Loans for such Distribution Date, the Group IA Allocation Percentage, Group IB Allocation Percentage or Group II Allocation Percentage, as applicable, of any Net Swap Payment or Swap Termination Payment made to the Swap Provider for such Distribution Date, and the denominator of which is the aggregate principal balance of the Mortgage Loans in the related loan group as of the last day of the immediately preceding Due Period (or as of the Cut-off Date with respect to the first Distribution Date), after giving effect to principal prepayments received during the related Prepayment Period.
 
Mezzanine Certificates: The per annum rate equal to (x) the weighted average (weighted in proportion to the results of subtracting from the aggregate principal balance of each loan group, the certificate principal balance of the related Class A Certificates), of (i) the Net WAC Pass-Through Rate for the Class A-1A Certificates, (ii) the Net WAC Pass-Through Rate for the Class A-1B Certificates and (iii) the Net WAC Pass-Through Rate for the Class A-2 Certificates.
 
Group IA Allocation Percentage: The aggregate principal balance of the Group IA Mortgage Loans divided by the sum of the aggregate principal balance of the Group IA Mortgage Loans, the Group IB Mortgage Loans and the Group II Mortgage Loans.
  
Group IB Allocation Percentage: The aggregate principal balance of the Group IB Mortgage Loans divided by the sum of the aggregate principal balance of the Group IA Mortgage Loans, the Group IB Mortgage Loans and the Group II Mortgage Loans.
  
Group II Allocation Percentage: The aggregate principal balance of the Group II Mortgage Loans divided by the sum of the aggregate principal balance of the Group IA Mortgage Loans, the Group IB Mortgage Loans and the Group II Mortgage Loans.
   
Net WAC Rate Carryover Amount:
 
On any Distribution Date the “Net WAC Rate Carryover Amount” will be equal to the sum of (i) the excess of (a) the amount of interest that would have accrued on such class based on one month LIBOR plus the related margin over (b) the amount of interest accrued on such class based on the related Net WAC Pass-Through Rate and (ii) the unpaid portion of any related Net WAC Rate Carryover Amount from the prior Distribution Date together with interest accrued on such unpaid portion at a rate equal to one month LIBOR plus the related margin for the most recently ended Interest Accrual Period. Any Net WAC Rate Carryover Amount will be paid on such Distribution Date or future Distribution Dates to the extent of funds available. The Net WAC Rate Carryover Amount will be distributed from certain amounts received by the Securities Administrator, on behalf of the supplemental interest trust (described below), under the Swap Agreement, if any, and from the Net Monthly Excess Cashflow on a subordinated basis on the same Distribution Date or on any subsequent Distribution Date to the extent of available funds. The ratings on each class of Certificates do not address the likelihood of the payment of any Net WAC Rate Carryover Amount from Net Monthly Excess Cashflow.
 
 



Transaction Overview (Cont.)
 
Swap Agreement:
On the Closing Date, the Trustee will enter into a Swap Agreement with the Swap Provider as described in the prospectus supplement. The Swap Agreement will have an initial notional amount of $1,107,045,226. Under the Swap Agreement, the Trust (through a supplemental interest trust) will be obligated to pay an amount equal to 5.28% per annum on the notional amount as set forth in the Swap Agreement to the Swap Provider and the Swap Provider will be obligated to pay to the supplemental interest trust, for the benefit of the holders of the Offered Certificates, an amount equal to one-month LIBOR on the notional amount as set forth in the Swap Agreement until the Swap Agreement is terminated. Only the net amount of the two obligations will be paid by the appropriate party (the “Net Swap Payment”). See the attached schedule.
 
A separate trust created under the pooling and servicing agreement (the “Supplemental Interest Trust”) will hold the Swap Agreement. The Swap Agreement and any payments made by the Swap Provider thereunder will be assets of the Supplemental Interest Trust but will not be assets of any REMIC.
 
Upon early termination of the Swap Agreement, the Supplemental Interest Trust or the Swap Provider may be liable to make a termination payment (the ‘‘Swap Termination Payment’’) to the other party (regardless of which party caused the termination). The Swap Termination Payment will be computed in accordance with the procedures set forth in the Swap Agreement. In the event that the Securities Administrator, on behalf of the Supplemental Interest Trust, is required to make a Swap Termination Payment, that payment will be paid on the related Distribution Date, and on any subsequent Distribution Dates until paid in full, and, if such Swap Termination Payment is not due as a result of the occurrence of a Swap Provider Trigger Event (as defined in the Swap Agreement), such payment will be prior to distributions to Certificateholders.
   
Available Distribution Amount:
For any Distribution Date, net of the administrative fees, an amount equal to (i) the aggregate amount of scheduled monthly payments on the Mortgage Loans due on the related Due Date and received on or prior to the related Determination Date; (ii) unscheduled payments in respect of the Mortgage Loans (including prepayments, insurance proceeds, liquidation proceeds, subsequent recoveries and proceeds from repurchases of and substitutions for the Mortgage Loans occurring during the Prepayment Period or proceeds from the repurchase of the Mortgage Loans due to the Optional Termination of the Trust); (iii) all P&I Advances with respect to the Mortgage Loans received for the Distribution Date; and (iv) all Compensating Interest paid by the Servicer or the Master Servicer in respect of Prepayment Interest Shortfalls for the related Due Period.
 
 



Transaction Overview (Cont.)
 
 
Class A Principal Distribution Amount:
Until the Stepdown Date, or if a Trigger Event occurs, the Class A Certificates will receive the principal collected on the Mortgage Loans plus any excess interest required to maintain the Required Overcollateralization Amount until the aggregate Certificate Principal Balance of the Class A Certificates has been reduced to zero. On or after the Stepdown Date, if no Trigger Event occurs, principal paid on the Class A Certificates will be an amount such that the Class A Certificates will maintain approximately a 41.10% Credit Enhancement Percentage (2x the Class A Initial Credit Enhancement Percentage). The Class A Principal Distribution Amount will be distributed to the holders of the Class A-1 Certificates and the Class A-2 Certificates to the extent of their respective group-based principal distribution amount.
 
Principal distributions to the Class A-2 Certificates will be allocated sequentially to the Class A-2A, Class A-2B, Class A-2C and Class A-2D Certificates, in that order, until the Certificate Principal Balance of each such class has been reduced to zero; provided, however, on any Distribution Date on which the aggregate Certificate Principal Balance of the Mezzanine Certificates has been reduced to zero, all principal distributions will be distributed to the Class A-2 Certificates on a pro rata basis, based on the Certificate Principal Balance of each such class, until the Certificate Principal Balance of each such class has been reduced to zero.
   
Class M Principal Distribution Amount:
The Mezzanine Certificates will not receive any principal payments until the Stepdown Date. On or after the Stepdown Date (if no Trigger Event occurs), principal will be paid to the Mezzanine Certificates, first to the Class M-1 Certificates until it reaches approximately a 34.20% Credit Enhancement Percentage (2x the Class M-1 Initial Credit Enhancement Percentage), second to the Class M-2 Certificates until it reaches approximately a 28.00% Credit Enhancement Percentage (2x the Class M-2 Initial Credit Enhancement Percentage), third to the Class M-3 Certificates until it reaches approximately a 24.30% Credit Enhancement Percentage (2x the Class M-3 Initial Credit Enhancement Percentage), fourth to the Class M-4 Certificates until it reaches approximately a 21.00% Credit Enhancement Percentage (2x the Class M-4 Initial Credit Enhancement Percentage), fifth to the Class M-5 Certificates until it reaches approximately a 17.70% Credit Enhancement Percentage (2x the Class M-5 Initial Credit Enhancement Percentage), sixth to the Class M-6 Certificates until it reaches approximately a 14.80% Credit Enhancement Percentage (2x the Class M-6 Initial Credit Enhancement Percentage), seventh to the Class M-7 Certificates until it reaches approximately a 11.90% Credit Enhancement Percentage (2x the Class M-7 Initial Credit Enhancement Percentage), eighth to the Class M-8 Certificates until it reaches approximately a 9.30% Credit Enhancement Percentage (2x the Class M-8 Initial Credit Enhancement Percentage), ninth to the Class M-9 Certificates until it reaches approximately a 7.30% Credit Enhancement Percentage (2x the Class M-9 Initial Credit Enhancement Percentage), tenth to the Class M-10 Certificates until it reaches approximately a 6.20% Credit Enhancement Percentage (2x the Class M-10 Initial Credit Enhancement Percentage), and eleventh to the Class M-11 Certificates until it reaches approximately a 4.20% Credit Enhancement Percentage (2x the Class M-11 Initial Credit Enhancement Percentage).
 
 




Transaction Overview (Cont.)
 
Class M Principal Distribution Amount (continued):
If a Trigger Event occurs, principal payments will be paid first to the Class A Certificates in the manner and order of priority described under "Class A Principal Distribution Amount", in each case until the Certificate Principal Balance of each such class has been reduced to zero and, then sequentially to the Mezzanine Certificates in their order of seniority, in each case until the Certificate Principal Balance of each such class has been reduced to zero.
   
Coupon Step-up:
On the Distribution Date following the first possible optional termination date, the margins on the Class A Certificates and the Mezzanine Certificates will increase to the following, subject to the applicable Net WAC Pass-Through Rate. 
 
 
         Class
After Optional Termination
 
         A
2 x Margin
 
         M
The lesser of 1.5 x Margin and Margin plus 0.50%
 
Trigger Event:
If either the Delinquency Test or Cumulative Loss Test is violated.
   
Delinquency Test:
The determination on any Distribution Date that the percentage obtained by dividing (x) the principal amount of (1) Mortgage Loans delinquent 60 days or more, (2) Mortgage Loans in foreclosure, (3) REO Properties and (4) Mortgage Loans discharged due to bankruptcy by (y) the aggregate principal balance of the Mortgage Loans, in each case, as of the last day of the previous calendar month, exceeds 38.93% of the Credit Enhancement Percentage.
   
Cumulative Loss Test:
The determination on any Distribution Date that the aggregate amount of Realized Losses incurred since the Cut-off Date through the last day of the related Due Period divided by the aggregate principal balance of the Mortgage Loans as of the Cut-off Date exceeds the applicable percentages set forth below with respect to such Distribution Date:
 
 
Distribution Date Occurring in
Percentage
 
June 2008 to May 2009
1.40%, plus 1/12th of 1.75% for each month thereafter
 
June 2009 to May 2010
3.15%, plus 1/12th of 1.80% for each month thereafter
 
June 2010 to May 2011
4.95%, plus 1/12th of 1.45% for each month thereafter
 
June 2011 to May 2012
6.40%, plus 1/12th of 0.75% for each month thereafter
 
June 2012 and thereafter
7.15%





Transaction Overview (Cont.)
   
Payment Priority:
On each Distribution Date, the Available Distribution Amount will be distributed as follows:
1.  To the Supplemental Interest Trust to pay any Net Swap Payment or the Swap Termination Payment (not caused by a Swap Provider Trigger Event (as defined in the Swap Agreement)) owed to the Swap Provider.
2.  To pay interest to the Class A Certificates, pro rata, including any accrued unpaid interest from a prior Distribution Date, and then to pay interest excluding any accrued unpaid interest from a prior Distribution Date to the Mezzanine Certificates, on a sequential basis.
3.  To pay principal to the Class A Certificates in accordance with the principal payment provisions described above.
4.  To pay principal to the Mezzanine Certificates in accordance with the principal payment provisions described above.
5.  From excess interest, if any, to the Certificates then entitled to receive distributions in respect of principal in order to reduce the Certificate Principal Balance of the Certificates to the extent necessary to maintain the Required Overcollateralization Amount.
6.  From excess interest, if any, to pay the Interest Carry Forward Amounts on the Mezzanine Certificates, on a sequential basis.
7.  From excess interest, if any, to pay the allocated Realized Losses on the Mezzanine Certificates, on a sequential basis.
8.  From excess interest, if any, to pay the Net WAC Rate Carryover Amount on the Class A Certificates and the Mezzanine Certificates in the same order of priority as described in 2 above.
9.  From excess interest, if any, to pay the Swap Termination Payment (caused by a Swap Provider Trigger Event) owed to the Swap Provider.
10.  To pay any remaining amount to the Class CE, Class P and Class R Certificates in accordance with the pooling and servicing agreement.
 
Any Net Swap Payments on deposit in the Supplemental Interest Trust will be paid as follows:
1.  To pay any Net Swap Payment or the Swap Termination Payment (not caused by a Swap Provider Trigger Event (as defined in the Swap Agreement)) owed to the Swap Provider.
2.  To pay any unpaid interest on the Class A Certificates, pro rata, including any accrued unpaid interest from a prior Distribution Date and then to pay any unpaid interest including any accrued unpaid interest from prior Distribution Dates to the Mezzanine Certificates, sequentially.
3.  To pay the Net WAC Rate Carryover Amount on the Class A Certificates and Mezzanine Certificates remaining unpaid in the same order of priority as described above.
4.  To pay any principal to the Class A Certificates and the Mezzanine Certificates in accordance with the principal payment provisions described above in an amount necessary to maintain the Required Overcollateralization Amount.
5.  To pay any allocated Realized Losses remaining unpaid on the Mezzanine Certificates, sequentially.
6.  To pay the Swap Termination Payment (caused by a Swap Provider Trigger Event under the Swap Agreement) owed to the Swap Provider.
7.  To pay any remaining amount to the Class CE Certificates.
 
   
 

 



Transaction Overview (Cont.)
 
ERISA:
It is expected that the Offered Certificates may be purchased by, or with the assets of, employee benefit plans subject to the Employee Retirement Income Security Act of 1974, as amended (“ERISA”) or plans or arrangements subject to section 4975 of the Internal Revenue Code (each, a “Plan”). Prior to the termination of the Supplemental Interest Trust, Plans or persons using assets of a Plan may purchase the Offered Certificates if the purchase and holding meets the requirements of an investor-based class exemption issued by the Department of Labor. Investors should consult with their counsel with respect to the consequences under ERISA and the Internal Revenue Code of a Plan’s acquisition and ownership of such certificates.
   
Taxation - REMIC:
One or more REMIC elections will be made for designated portions of the Trust (exclusive of certain shortfall payments or payments from the Supplemental Interest Trust or the obligation to make payments to the Supplemental Interest Trust pursuant to the Swap Agreement).
   
Form of Registration:
Book-entry form through DTC, Clearstream and Euroclear.
   
Minimum Denominations:
$25,000 and integral multiples of $1 in excess thereof.
   




Swap Schedule

Distribution Date
Notional Schedule ($)
6/25/2006
$1,107,045,226
7/25/2006
1,089,156,703
8/25/2006
1,068,321,926
9/25/2006
1,044,613,426
10/25/2006
1,018,117,642
11/25/2006
988,945,108
12/25/2006
957,230,351
1/25/2007
923,131,484
2/25/2007
886,844,088
3/25/2007
850,078,115
4/25/2007
814,797,208
5/25/2007
780,984,579
6/25/2007
748,578,966
7/25/2007
717,521,669
8/25/2007
687,756,444
9/25/2007
659,229,398
10/25/2007
631,888,890
11/25/2007
605,685,440
12/25/2007
580,571,633
1/25/2008
556,389,517
2/25/2008
508,638,203
3/25/2008
433,736,496
4/25/2008
370,706,343
5/25/2008
318,292,939
6/25/2008
285,469,621
7/25/2008
272,228,259
8/25/2008
260,003,917
9/25/2008
248,339,587
10/25/2008
237,209,772
11/25/2008
226,587,543
12/25/2008
216,449,399
1/25/2009
206,772,947
2/25/2009
197,536,841
3/25/2009
188,720,801
4/25/2009
180,306,379
5/25/2009
172,274,201
6/25/2009
164,606,401
7/25/2009
157,286,189
8/25/2009
150,297,556
9/25/2009
143,625,254
10/25/2009
137,254,785
11/25/2009
131,172,229
12/25/2009
125,364,337
1/25/2010
119,818,500
2/25/2010
114,522,696
3/25/2010
109,465,464



Sensitivity Table
To 10% Call

 
Fixed>>
0% PPC
55% PPC
100% PPC
125% PPC
160% PPC
 
Arm>>
0% PPC
55% PPC
100% PPC
125% PPC
160% PPC
             
A-1A
Avg Life (yrs)
21.68
4.25
2.20
1.53
1.19
 
First Payment Date
Jun-06
Jun-06
Jun-06
Jun-06
Jun-06
 
Last Payment Date
Feb-36
Mar-19
Jan-13
Jun-11
Oct-08
             
A-1B
Avg Life (yrs)
21.81
4.33
2.27
1.61
1.23
 
First Payment Date
Jun-06
Jun-06
Jun-06
Jun-06
Jun-06
 
Last Payment Date
Feb-36
Mar-19
Jan-13
Jun-11
Nov-08
             
A-2A
Avg Life (yrs)
16.61
1.56
1.00
0.83
0.67
 
First Payment Date
Jun-06
Jun-06
Jun-06
Jun-06
Jun-06
 
Last Payment Date
Mar-30
May-09
Feb-08
Dec-07
Aug-07
             
A-2B
Avg Life (yrs)
25.32
3.92
2.00
1.75
1.47
 
First Payment Date
Mar-30
May-09
Feb-08
Dec-07
Aug-07
 
Last Payment Date
Jun-33
Aug-11
Sep-08
Apr-08
Jan-08
             
A-2C
Avg Life (yrs)
28.55
7.33
3.35
2.14
1.81
 
First Payment Date
Jun-33
Aug-11
Sep-08
Apr-08
Jan-08
 
Last Payment Date
Feb-36
Jul-16
Aug-11
Dec-08
Apr-08
             
A-2D
Avg Life (yrs)
29.75
12.27
6.38
3.76
2.18
 
First Payment Date
Feb-36
Jul-16
Aug-11
Dec-08
Apr-08
 
Last Payment Date
Feb-36
Mar-19
Jan-13
Jun-11
Nov-08
             
M-1
Avg Life (yrs)
28.42
8.39
4.86
5.07
3.37
 
First Payment Date
Nov-31
Apr-10
Mar-10
Apr-11
Nov-08
 
Last Payment Date
Feb-36
Mar-19
Jan-13
Jun-11
Jan-10
             
M-2
Avg Life (yrs)
28.42
8.39
4.74
4.68
3.67
 
First Payment Date
Oct-31
Apr-10
Dec-09
Aug-10
Jan-10
 
Last Payment Date
Feb-36
Mar-19
Jan-13
Jun-11
Jan-10
             
M-3
Avg Life (yrs)
28.42
8.39
4.67
4.36
3.67
 
First Payment Date
Oct-31
Apr-10
Nov-09
May-10
Jan-10
 
Last Payment Date
Feb-36
Mar-19
Jan-13
Jun-11
Jan-10






Sensitivity Table
To 10% Call (Continued)

 
Fixed>>
0% PPC
55% PPC
100% PPC
125% PPC
160% PPC
 
Arm>>
0% PPC
55% PPC
100% PPC
125% PPC
160% PPC
             
M-4
Avg Life (yrs)
28.42
8.39
4.63
4.21
3.57
 
First Payment Date
Oct-31
Apr-10
Oct-09
Mar-10
Oct-09
 
Last Payment Date
Feb-36
Mar-19
Jan-13
Jun-11
Jan-10
             
M-5
Avg Life (yrs)
28.42
8.39
4.60
4.09
3.39
 
First Payment Date
Oct-31
Apr-10
Sep-09
Jan-10
Aug-09
 
Last Payment Date
Feb-36
Mar-19
Jan-13
Jun-11
Jan-10
             
M-6
Avg Life (yrs)
28.42
8.39
4.58
3.99
3.26
 
First Payment Date
Oct-31
Apr-10
Aug-09
Nov-09
Jun-09
 
Last Payment Date
Feb-36
Mar-19
Jan-13
Jun-11
Jan-10
             
M-7
Avg Life (yrs)
28.42
8.39
4.56
3.92
3.16
 
First Payment Date
Oct-31
Apr-10
Aug-09
Oct-09
Apr-09
 
Last Payment Date
Feb-36
Mar-19
Jan-13
Jun-11
Jan-10
             
M-8
Avg Life (yrs)
28.42
8.39
4.54
3.86
3.08
 
First Payment Date
Oct-31
Apr-10
Jul-09
Sep-09
Mar-09
 
Last Payment Date
Feb-36
Mar-19
Jan-13
Jun-11
Jan-10
             
M-9
Avg Life (yrs)
28.42
8.39
4.53
3.81
3.02
 
First Payment Date
Oct-31
Apr-10
Jul-09
Aug-09
Feb-09
 
Last Payment Date
Feb-36
Mar-19
Jan-13
Jun-11
Jan-10
             
M-10
Avg Life (yrs)
28.42
8.39
4.53
3.80
2.99
 
First Payment Date
Oct-31
Apr-10
Jul-09
Aug-09
Feb-09
 
Last Payment Date
Feb-36
Mar-19
Jan-13
Jun-11
Jan-10
             
M-11
Avg Life (yrs)
28.42
8.35
4.48
3.74
2.94
 
First Payment Date
Oct-31
Apr-10
Jun-09
Jul-09
Jan-09
 
Last Payment Date
Feb-36
Mar-19
Jan-13
Jun-11
Jan-10
             






Sensitivity Table
To Maturity

 
Fixed>>
0% PPC
55% PPC
100% PPC
125% PPC
160% PPC
 
Arm>>
0% PPC
55% PPC
100% PPC
125% PPC
160% PPC
             
A-1A
Avg Life (yrs)
21.68
4.57
2.39
1.64
1.19
 
First Payment Date
Jun-06
Jun-06
Jun-06
Jun-06
Jun-06
 
Last Payment Date
Mar-36
May-32
Jul-21
Jan-18
Oct-08
             
A-1B
Avg Life (yrs)
21.81
4.69
2.49
1.76
1.23
 
First Payment Date
Jun-06
Jun-06
Jun-06
Jun-06
Jun-06
 
Last Payment Date
Mar-36
Nov-32
Feb-22
Jul-18
Nov-08
             
A-2A
Avg Life (yrs)
16.61
1.56
1.00
0.83
0.67
 
First Payment Date
Jun-06
Jun-06
Jun-06
Jun-06
Jun-06
 
Last Payment Date
Mar-30
May-09
Feb-08
Dec-07
Aug-07
             
A-2B
Avg Life (yrs)
25.32
3.92
2.00
1.75
1.47
 
First Payment Date
Mar-30
May-09
Feb-08
Dec-07
Aug-07
 
Last Payment Date
Jun-33
Aug-11
Sep-08
Apr-08
Jan-08
             
A-2C
Avg Life (yrs)
28.55
7.33
3.35
2.14
1.81
 
First Payment Date
Jun-33
Aug-11
Sep-08
Apr-08
Jan-08
 
Last Payment Date
Feb-36
Jul-16
Aug-11
Dec-08
Apr-08
             
A-2D
Avg Life (yrs)
29.75
15.12
8.11
5.01
2.18
 
First Payment Date
Feb-36
Jul-16
Aug-11
Dec-08
Apr-08
 
Last Payment Date
Mar-36
Oct-32
Mar-22
Aug-18
Nov-08
             
M-1
Avg Life (yrs)
28.42
9.27
5.38
5.82
5.58
 
First Payment Date
Nov-31
Apr-10
Mar-10
Apr-11
Nov-08
 
Last Payment Date
Feb-36
Aug-29
Jul-19
Jun-16
Mar-15
             
M-2
Avg Life (yrs)
28.42
9.24
5.24
5.06
4.73
 
First Payment Date
Oct-31
Apr-10
Dec-09
Aug-10
Jun-10
 
Last Payment Date
Feb-36
Aug-28
Oct-18
Nov-15
May-13
             
M-3
Avg Life (yrs)
28.42
9.22
5.15
4.73
4.10
 
First Payment Date
Oct-31
Apr-10
Nov-09
May-10
Jan-10
 
Last Payment Date
Feb-36
Oct-27
Mar-18
May-15
Dec-12









Sensitivity Table
To Maturity (Continued)

 
Fixed>>
0% PPC
55% PPC
100% PPC
125% PPC
160% PPC
 
Arm>>
0% PPC
55% PPC
100% PPC
125% PPC
160% PPC
             
M-4
Avg Life (yrs)
28.42
9.19
5.10
4.56
3.84
 
First Payment Date
Oct-31
Apr-10
Oct-09
Mar-10
Oct-09
 
Last Payment Date
Feb-36
Feb-27
Oct-17
Jan-15
Sep-12
             
M-5
Avg Life (yrs)
28.42
9.15
5.05
4.42
3.65
 
First Payment Date
Oct-31
Apr-10
Sep-09
Jan-10
Aug-09
 
Last Payment Date
Feb-36
Jun-26
Apr-17
Sep-14
Jun-12
             
M-6
Avg Life (yrs)
28.42
9.11
4.99
4.30
3.49
 
First Payment Date
Oct-31
Apr-10
Aug-09
Nov-09
Jun-09
 
Last Payment Date
Feb-36
Aug-25
Oct-16
May-14
Mar-12
             
M-7
Avg Life (yrs)
28.42
9.04
4.93
4.20
3.37
 
First Payment Date
Oct-31
Apr-10
Aug-09
Oct-09
Apr-09
 
Last Payment Date
Feb-36
Oct-24
Apr-16
Dec-13
Nov-11
             
M-8
Avg Life (yrs)
28.42
8.94
4.85
4.10
3.26
 
First Payment Date
Oct-31
Apr-10
Jul-09
Sep-09
Mar-09
 
Last Payment Date
Feb-36
Sep-23
Aug-15
May-13
Jul-11
             
M-9
Avg Life (yrs)
28.42
8.81
4.77
3.99
3.16
 
First Payment Date
Oct-31
Apr-10
Jul-09
Aug-09
Feb-09
 
Last Payment Date
Feb-36
Jun-22
Nov-14
Nov-12
Feb-11
             
M-10
Avg Life (yrs)
28.42
8.67
4.69
3.91
3.08
 
First Payment Date
Oct-31
Apr-10
Jul-09
Aug-09
Feb-09
 
Last Payment Date
Feb-36
Mar-21
Mar-14
Apr-12
Sep-10
             
M-11
Avg Life (yrs)
28.42
8.42
4.53
3.76
2.96
 
First Payment Date
Oct-31
Apr-10
Jun-09
Jul-09
Jan-09
 
Last Payment Date
Feb-36
May-20
Sep-13
Nov-11
May-10
             




Class A-1A Net WAC Schedule*
 
Class A-1A Net WAC Schedule*
 
Period
 
Date
 
Net WAC Pass-Through Rate (%)
 
 
Period
 
Date
 
Net WAC Pass-Through Rate (%)
1
6/25/2006
22.668
 
46
3/25/2010
18.550
2
7/25/2006
22.675
 
47
4/25/2010
11.984
3
8/25/2006
22.485
 
48
5/25/2010
12.377
4
9/25/2006
22.368
 
49
6/25/2010
11.972
5
10/25/2006
22.326
 
50
7/25/2010
12.365
6
11/25/2006
22.079
 
51
8/25/2010
11.964
7
12/25/2006
22.004
 
52
9/25/2010
11.980
8
1/25/2007
21.714
 
53
10/25/2010
12.374
9
2/25/2007
21.501
 
54
11/25/2010
11.969
10
3/25/2007
21.614
 
55
12/25/2010
12.362
11
4/25/2007
20.960
 
56
1/25/2011
11.957
12
5/25/2007
20.850
 
57
2/25/2011
12.008
13
6/25/2007
20.530
 
58
3/25/2011
13.343
14
7/25/2007
20.432
 
59
4/25/2011
12.065
15
8/25/2007
20.115
 
60
5/25/2011
12.461
16
9/25/2007
19.912
 
61
6/25/2011
12.053
17
10/25/2007
19.831
 
62
7/25/2011
12.448
18
11/25/2007
19.517
 
63
8/25/2011
12.058
19
12/25/2007
19.447
 
64
9/25/2011
12.068
20
1/25/2008
19.138
 
65
10/25/2011
12.471
21
2/25/2008
19.717
 
66
11/25/2011
12.062
22
3/25/2008
20.350
 
67
12/25/2011
12.457
23
4/25/2008
19.024
 
68
1/25/2012
12.049
24
5/25/2008
18.487
 
69
2/25/2012
12.061
25
6/25/2008
17.767
 
70
3/25/2012
12.903
26
7/25/2008
17.863
 
71
4/25/2012
12.070
27
8/25/2008
17.863
 
72
5/25/2012
12.466
28
9/25/2008
18.100
 
73
6/25/2012
12.057
29
10/25/2008
18.239
 
74
7/25/2012
12.452
30
11/25/2008
17.838
 
75
8/25/2012
12.061
31
12/25/2008
17.733
 
76
9/25/2012
12.071
32
1/25/2009
17.344
 
77
10/25/2012
12.473
33
2/25/2009
17.607
 
78
11/25/2012
12.064
34
3/25/2009
18.895
 
79
12/25/2012
12.459
35
4/25/2009
17.826
 
80
1/25/2013
12.050
36
5/25/2009
18.008
 
81
2/25/2013
12.045
37
6/25/2009
17.593
       
38
7/25/2009
17.783
       
39
8/25/2009
17.746
       
40
9/25/2009
18.027
       
41
10/25/2009
18.251
       
42
11/25/2009
17.814
         
*PPC: 100% (ARM); PPC: 100% (Fixed)
43
12/25/2009
18.041
         
*1 Month LIBOR: 20%
44
1/25/2010
17.606
         
*6 Month Libor: 20%
45
2/25/2010
17.538
         
*Includes Net Swap Payments received from the Swap Provider






Class A-1B Net WAC Schedule*
 
Class A-1B Net WAC Schedule*
 
Period
 
Date
 
Net WAC Pass-Through Rate (%)
 
 
Period
 
Date
 
Net WAC Pass-Through Rate (%)
1
6/25/2006
22.676
 
46
3/25/2010
17.966
2
7/25/2006
22.683
 
47
4/25/2010
11.463
3
8/25/2006
22.492
 
48
5/25/2010
11.838
4
9/25/2006
22.375
 
49
6/25/2010
11.448
5
10/25/2006
22.334
 
50
7/25/2010
11.822
6
11/25/2006
22.086
 
51
8/25/2010
11.434
7
12/25/2006
22.012
 
52
9/25/2010
11.453
8
1/25/2007
21.721
 
53
10/25/2010
11.837
9
2/25/2007
21.508
 
54
11/25/2010
11.447
10
3/25/2007
21.622
 
55
12/25/2010
11.821
11
4/25/2007
20.968
 
56
1/25/2011
11.432
12
5/25/2007
20.858
 
57
2/25/2011
11.449
13
6/25/2007
20.538
 
58
3/25/2011
12.771
14
7/25/2007
20.441
 
59
4/25/2011
11.527
15
8/25/2007
20.123
 
60
5/25/2011
11.903
16
9/25/2007
19.921
 
61
6/25/2011
11.511
17
10/25/2007
19.841
 
62
7/25/2011
11.886
18
11/25/2007
19.526
 
63
8/25/2011
11.502
19
12/25/2007
19.457
 
64
9/25/2011
11.525
20
1/25/2008
19.153
 
65
10/25/2011
11.901
21
2/25/2008
18.767
 
66
11/25/2011
11.508
22
3/25/2008
20.087
 
67
12/25/2011
11.883
23
4/25/2008
18.780
 
68
1/25/2012
11.491
24
5/25/2008
18.231
 
69
2/25/2012
11.491
25
6/25/2008
17.509
 
70
3/25/2012
12.307
26
7/25/2008
17.598
 
71
4/25/2012
11.504
27
8/25/2008
17.276
 
72
5/25/2012
11.879
28
9/25/2008
17.746
 
73
6/25/2012
11.487
29
10/25/2008
17.873
 
74
7/25/2012
11.861
30
11/25/2008
17.483
 
75
8/25/2012
11.478
31
12/25/2008
17.366
 
76
9/25/2012
11.499
32
1/25/2009
16.990
 
77
10/25/2012
11.873
33
2/25/2009
16.917
 
78
11/25/2012
11.481
34
3/25/2009
18.388
 
79
12/25/2012
11.855
35
4/25/2009
17.395
 
80
1/25/2013
11.464
36
5/25/2009
17.561
 
81
2/25/2013
11.455
37
6/25/2009
17.159
       
38
7/25/2009
17.334
       
39
8/25/2009
16.983
       
40
9/25/2009
17.489
       
41
10/25/2009
17.704
       
42
11/25/2009
17.283
         
*PPC: 100% (ARM); PPC: 100% (Fixed)
43
12/25/2009
17.491
         
*1 Month LIBOR: 20%
44
1/25/2010
17.072
         
*6 Month Libor: 20%
45
2/25/2010
16.978
         
*Includes Net Swap Payments received from the Swap Provider




Class A-2A, A-2B, A-2C and A-2D Net WAC Schedule*
 
Class A-2A, A-2B, A-2C and A-2D Net WAC Schedule*
 
Period
 
Date
 
Net WAC Pass-Through Rate (%)
 
 
Period
 
Date
 
Net WAC Pass-Through Rate (%)
1
6/25/2006
22.570
 
46
3/25/2010
17.917
2
7/25/2006
22.573
 
47
4/25/2010
11.421
3
8/25/2006
22.386
 
48
5/25/2010
11.796
4
9/25/2006
22.270
 
49
6/25/2010
11.410
5
10/25/2006
22.226
 
50
7/25/2010
11.784
6
11/25/2006
21.982
 
51
8/25/2010
11.403
7
12/25/2006
21.905
 
52
9/25/2010
11.414
8
1/25/2007
21.618
 
53
10/25/2010
11.798
9
2/25/2007
21.406
 
54
11/25/2010
11.412
10
3/25/2007
21.511
 
55
12/25/2010
11.786
11
4/25/2007
20.868
 
56
1/25/2011
11.401
12
5/25/2007
20.757
 
57
2/25/2011
11.447
13
6/25/2007
20.441
 
58
3/25/2011
12.734
14
7/25/2007
20.342
 
59
4/25/2011
11.496
15
8/25/2007
20.029
 
60
5/25/2011
11.873
16
9/25/2007
19.828
 
61
6/25/2011
11.484
17
10/25/2007
19.745
 
62
7/25/2011
11.861
18
11/25/2007
19.435
 
63
8/25/2011
11.489
19
12/25/2007
19.364
 
64
9/25/2011
11.503
20
1/25/2008
19.056
 
65
10/25/2011
11.880
21
2/25/2008
19.575
 
66
11/25/2011
11.491
22
3/25/2008
20.024
 
67
12/25/2011
11.868
23
4/25/2008
18.729
 
68
1/25/2012
11.479
24
5/25/2008
18.194
 
69
2/25/2012
11.489
25
6/25/2008
17.492
 
70
3/25/2012
12.296
26
7/25/2008
17.580
 
71
4/25/2012
11.496
27
8/25/2008
17.558
 
72
5/25/2012
11.873
28
9/25/2008
17.734
 
73
6/25/2012
11.484
29
10/25/2008
17.862
 
74
7/25/2012
11.860
30
11/25/2008
17.475
 
75
8/25/2012
11.488
31
12/25/2008
17.359
 
76
9/25/2012
11.501
32
1/25/2009
16.982
 
77
10/25/2012
11.878
33
2/25/2009
17.216
 
78
11/25/2012
11.488
34
3/25/2009
18.353
 
79
12/25/2012
11.864
35
4/25/2009
17.362
 
80
1/25/2013
11.475
36
5/25/2009
17.529
 
81
2/25/2013
11.470
37
6/25/2009
17.131
       
38
7/25/2009
17.305
       
39
8/25/2009
17.250
       
40
9/25/2009
17.451
       
41
10/25/2009
17.664
       
42
11/25/2009
17.247
         
*PPC: 100% (ARM); PPC: 100% (Fixed)
43
12/25/2009
17.456
         
*1 Month LIBOR: 20%
44
1/25/2010
17.040
         
*6 Month Libor: 20%
45
2/25/2010
16.974
         
*Includes Net Swap Payments received from the Swap Provider
 




Class M Net WAC Schedule*
 
Class M Net WAC Schedule*
 
Period
 
Date
 
Net WAC Pass-Through Rate (%)
 
 
Period
 
Date
 
Net WAC Pass-Through Rate (%)
1
6/25/2006
22.632
 
46
3/25/2010
18.185
2
7/25/2006
22.637
 
47
4/25/2010
11.659
3
8/25/2006
22.448
 
48
5/25/2010
12.042
4
9/25/2006
22.331
 
49
6/25/2010
11.648
5
10/25/2006
22.289
 
50
7/25/2010
12.027
6
11/25/2006
22.043
 
51
8/25/2010
11.631
7
12/25/2006
21.967
 
52
9/25/2010
11.645
8
1/25/2007
21.678
 
53
10/25/2010
12.033
9
2/25/2007
21.465
 
54
11/25/2010
11.638
10
3/25/2007
21.576
 
55
12/25/2010
12.020
11
4/25/2007
20.926
 
56
1/25/2011
11.625
12
5/25/2007
20.815
 
57
2/25/2011
11.668
13
6/25/2007
20.497
 
58
3/25/2011
12.981
14
7/25/2007
20.399
 
59
4/25/2011
11.725
15
8/25/2007
20.083
 
60
5/25/2011
12.109
16
9/25/2007
19.881
 
61
6/25/2011
11.712
17
10/25/2007
19.800
 
62
7/25/2011
12.096
18
11/25/2007
19.487
 
63
8/25/2011
11.715
19
12/25/2007
19.417
 
64
9/25/2011
11.729
20
1/25/2008
19.109
 
65
10/25/2011
12.115
21
2/25/2008
19.467
 
66
11/25/2011
11.718
22
3/25/2008
20.169
 
67
12/25/2011
12.101
23
4/25/2008
18.859
 
68
1/25/2012
11.704
24
5/25/2008
18.321
 
69
2/25/2012
11.713
25
6/25/2008
17.607
 
70
3/25/2012
12.535
26
7/25/2008
17.698
 
71
4/25/2012
11.722
27
8/25/2008
17.624
 
72
5/25/2012
12.105
28
9/25/2008
17.885
 
73
6/25/2012
11.708
29
10/25/2008
18.017
 
74
7/25/2012
12.091
30
11/25/2008
17.624
 
75
8/25/2012
11.709
31
12/25/2008
17.512
 
76
9/25/2012
11.722
32
1/25/2009
17.131
 
77
10/25/2012
12.108
33
2/25/2009
17.313
 
78
11/25/2012
11.710
34
3/25/2009
18.580
 
79
12/25/2012
12.093
35
4/25/2009
17.557
 
80
1/25/2013
11.695
36
5/25/2009
17.730
 
81
2/25/2013
11.689
37
6/25/2009
17.324
       
38
7/25/2009
17.505
       
39
8/25/2009
17.397
       
40
9/25/2009
17.692
       
41
10/25/2009
17.911
       
42
11/25/2009
17.485
         
*PPC: 100% (ARM); PPC: 100% (Fixed)
43
12/25/2009
17.701
         
*1 Month LIBOR: 20%
44
1/25/2010
17.277
         
*6 Month Libor: 20%
45
2/25/2010
17.205
         
*Includes Net Swap Payments received from the Swap Provider





Excess Spread*
(Assumes Pricing Prepayment Speed, Excludes Basis Risk Shortfalls)

Period
Excess
Spread in bp
(Static LIBOR)
 
1 Month Forward
LIBOR (%)
 
6 Month Forward
LIBOR (%)
Excess
Spread in bp
(Forward LIBOR)
Period
Excess
Spread in bp
(Static LIBOR)
 
1 Month Forward
LIBOR (%)
 
6 Month Forward
LIBOR (%)
Excess
Spread in bp
(Forward LIBOR)
1
258
5.0519
5.2519
258
45
483
5.4363
5.5241
478
2
259
5.1116
5.2979
259
46
517
5.4382
5.5347
516
3
258
5.2100
5.3359
258
47
485
5.4428
5.5491
467
4
258
5.2079
5.3513
258
48
503
5.4465
5.5592
485
5
259
5.2770
5.3700
259
49
485
5.4966
5.5711
461
6
258
5.3024
5.3760
258
50
502
5.5012
5.5754
479
7
260
5.3274
5.3691
259
51
485
5.5048
5.5786
461
8
259
5.3354
5.3586
258
52
484
5.5098
5.5818
463
9
259
5.3012
5.3459
257
53
501
5.5119
5.5840
481
10
265
5.3228
5.3392
263
54
483
5.5153
5.5871
461
11
249
5.3099
5.3305
247
55
500
5.5191
5.5896
479
12
251
5.2643
5.3223
249
56
483
5.5218
5.5987
460
13
249
5.2614
5.3233
247
57
487
5.5246
5.6063
465
14
252
5.2625
5.3233
249
58
545
5.5259
5.6138
529
15
249
5.2638
5.3252
246
59
494
5.5297
5.6237
472
16
249
5.2643
5.3249
246
60
511
5.5317
5.6301
490
17
253
5.2646
5.3245
249
61
493
5.5662
5.6382
467
18
249
5.2659
5.3253
246
62
510
5.5679
5.6405
486
19
253
5.2656
5.3251
249
63
493
5.5709
5.6432
469
20
250
5.2664
5.3317
246
64
494
5.5743
5.6463
471
21
341
5.2666
5.3396
336
65
511
5.5754
5.6466
490
22
480
5.2660
5.3450
474
66
494
5.5779
5.6487
470
23
467
5.2668
5.3530
460
67
511
5.5800
5.6500
488
24
474
5.2668
5.3612
465
68
493
5.5819
5.6586
469
25
465
5.3032
5.3688
454
69
493
5.5846
5.6663
469
26
473
5.3063
5.3703
462
70
527
5.5845
5.6741
509
27
484
5.3078
5.3728
476
71
492
5.5867
5.6823
470
28
502
5.3097
5.3744
499
72
509
5.5875
5.6893
488
29
511
5.3120
5.3748
508
73
491
5.6258
5.6977
465
30
502
5.3135
5.3768
498
74
508
5.6275
5.6982
484
31
486
5.3146
5.3776
482
75
491
5.6295
5.7008
465
32
477
5.3170
5.3937
472
76
491
5.6305
5.7009
467
33
477
5.3180
5.4104
474
77
509
5.6312
5.7004
486
34
514
5.3180
5.4259
513
78
492
5.6332
5.7016
468
35
486
5.3211
5.4434
484
79
510
5.6332
5.7023
487
36
496
5.3264
5.4616
494
80
494
5.6345
5.7126
469
37
486
5.4050
5.4784
479
         
38
487
5.4100
5.4822
480
         
39
480
5.4141
5.4868
474
         
40
483
5.4180
5.4905
479
         
41
494
5.4221
5.4927
491
         
42
483
5.4260
5.4968
479
         
43
494
5.4291
5.4996
490
         
44
483
5.4330
5.5116
478
         
*Includes Net Swap Payments received from the Swap Provider




Breakeven CDR Table for the Mezzanine Certificates
 
The assumptions for the breakeven CDR table below are as follows:
 
- The Pricing Assumption is applied
- 10% cleanup call is not exercised
- Forward Curves
- 40% Severity
- Interest & Principal advancing
- 6 month recovery lag
- Triggers Failing
 
The table below displays the Constant Default Rate (“CDR”) and the related cumulative collateral loss before the referenced Class incurs a writedown.



 
Class
 
CDR Break-Even (%)
 
Cumulative Loss (%)
M-1
30.10
21.44
M-2
24.60
18.92
M-3
21.68
17.42
M-4
19.27
16.07
M-5
17.02
14.72
M-6
15.14
13.52
M-7
13.31
12.27
M-8
11.74
11.14
M-9
10.53
10.22
M-10
9.87
9.70
M-11
8.96
8.96

 





DESCRIPTION OF THE TOTAL COLLATERAL

SUMMARY - AGGREGATE POOL*
 
Number of Mortgage Loans:
5,501
Index Type:
 
Aggregate Principal Balance:
$1,107,055,226
6 Month LIBOR:
83.99%
Conforming Principal Balance Loans:
$843,947,259
Fixed Rate:
16.01%
Average Principal Balance:
$201,246
W.A. Initial Periodic Cap:
2.964%
Range:
$14,833 - $1,550,000
W.A. Subsequent Periodic Cap:
1.005%
W.A. Coupon:
8.316%
W.A. Lifetime Rate Cap:
6.011%
Range:
5.500% - 14.150%
Property Type:
 
W.A. Gross Margin:
6.453%
Single Family:
76.95%
Range:
3.000% - 10.450%
2-4 Family:
10.32%
W.A. Remaining Term:
356 months
PUD:
7.07%
Range:
173 months - 358 months
Condo:
5.29%
W.A. Seasoning:
3 months
Manufactured Housing:
0.37%
Latest Maturity Date:
March 1, 2036
   
State Concentration (Top 5):
 
Occupancy Status:
 
California:
29.43%
Primary:
90.01%
Florida:
11.45%
Investment:
8.34%
New York:
11.02%
Second Home:
1.65%
New Jersey:
6.27%
Documentation Status:
 
Massachusetts:
4.09%
Stated:
51.03%
W.A. Original Combined LTV:
79.70%
Full:
48.06%
Range:
8.18% - 100.00%
Limited:
0.33%
First Liens:
95.11%
None:
0.59%
Second Liens:
4.89%
Non-Zero W.A. Prepayment Penalty - Term:
24 months
Non-Balloon Loans:
75.12%
Loans with Prepay Penalties:
76.19%
Non-Zero W.A. FICO Score:
626
Interest Only Loans
17.43%
   
Non-Zero Weighted Average IO Term
60 months
* Subject to a permitted variance of +/- 10%





DESCRIPTION OF THE TOTAL COLLATERAL


Principal Balance at Origination
 
 
Number of
Aggregate
% of Aggregate
 
W.A.
W.A.
Principal Balance at
Initial Mortgage
Remaining
Remaining
W.A.
Non-Zero
Original
Origination ($)
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0.01 - 50,000.00
668
21,301,897
1.92
11.378
623
96.99
50,000.01 - 100,000.00
1,041
78,151,418
7.06
10.128
616
83.82
100,000.01 - 150,000.00
952
118,286,820
10.68
9.186
610
79.39
150,000.01 - 200,000.00
694
120,886,675
10.92
8.678
608
77.32
200,000.01 - 250,000.00
521
116,598,195
10.53
8.417
612
76.56
250,000.01 - 300,000.00
407
112,355,954
10.15
8.052
626
78.93
300,000.01 - 350,000.00
378
122,460,361
11.06
7.721
634
79.40
350,000.01 - 400,000.00
239
90,085,762
8.14
7.805
632
80.77
400,000.01 - 450,000.00
169
71,219,505
6.43
7.672
637
80.11
450,000.01 - 500,000.00
139
66,199,065
5.98
7.682
636
80.18
500,000.01 - 550,000.00
90
47,016,559
4.25
7.685
653
82.49
550,000.01 - 600,000.00
71
40,701,976
3.68
7.431
660
81.57
600,000.01 - 650,000.00
40
25,022,389
2.26
7.628
644
79.07
650,000.01 - 700,000.00
26
17,730,542
1.60
8.038
635
81.07
700,000.01 - 750,000.00
20
14,539,147
1.31
7.719
648
80.74
750,000.01 - 800,000.00
8
6,184,324
0.56
8.357
598
72.81
800,000.01 - 850,000.00
8
6,697,258
0.60
7.796
616
74.92
850,000.01 - 900,000.00
6
5,321,248
0.48
7.241
656
82.11
900,000.01 - 950,000.00
4
3,687,262
0.33
7.822
627
82.63
950,000.01 - 1,000,000.00
6
5,851,033
0.53
8.118
585
74.72
1,000,000.01 or greater
14
16,757,838
1.51
7.127
620
68.77
Total:
5,501
1,107,055,226
100.00
8.316
626
79.70







DESCRIPTION OF THE TOTAL COLLATERAL

Remaining Principal Balance
 
 
Number of
Aggregate
% of Aggregate
 
W.A.
W.A.
Remaining Principal
Initial
Remaining
Remaining
W.A.
Non-Zero
Original
Balance ($)
Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0.01 - 50,000.00
672
21,501,747
1.94
11.376
623
96.84
1,041
78,339,836
7.08
10.123
617
83.71
100,000.01 - 150,000.00
949
118,048,538
10.66
9.183
610
79.47
150,000.01 - 200,000.00
697
121,535,698
10.98
8.672
608
77.30
200,000.01 - 250,000.00
518
116,048,811
10.48
8.426
612
76.53
250,000.01 - 300,000.00
409
113,004,856
10.21
8.038
626
78.88
300,000.01 - 350,000.00
376
121,911,532
11.01
7.723
634
79.51
350,000.01 - 400,000.00
240
90,533,822
8.18
7.803
632
80.79
400,000.01 - 450,000.00
167
70,421,746
6.36
7.680
637
80.03
450,000.01 - 500,000.00
139
66,199,065
5.98
7.682
636
80.18
500,000.01 - 550,000.00
90
47,016,559
4.25
7.685
653
82.49
550,000.01 - 600,000.00
71
40,701,976
3.68
7.431
660
81.57
600,000.01 - 650,000.00
41
25,671,981
2.32
7.665
641
78.84
650,000.01 - 700,000.00
25
17,080,951
1.54
7.998
639
81.49
700,000.01 - 750,000.00
20
14,539,147
1.31
7.719
648
80.74
750,000.01 - 800,000.00
8
6,184,324
0.56
8.357
598
72.81
800,000.01 - 850,000.00
8
6,697,258
0.60
7.796
616
74.92
850,000.01 - 900,000.00
6
5,321,248
0.48
7.241
656
82.11
900,000.01 - 950,000.00
4
3,687,262
0.33
7.822
627
82.63
950,000.01 - 1,000,000.00
6
5,851,033
0.53
8.118
585
74.72
1,000,000.01 or greater
14
16,757,838
1.51
7.127
620
68.77
Total:
5,501
1,107,055,226
100.00
8.316
626
79.70


Remaining Term
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Months Remaining
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
121 - 180
25
2,688,001
0.24
9.118
610
75.61
181 - 240
23
2,442,231
0.22
9.664
627
80.13
301 - 360
5,453
1,101,924,994
99.54
8.311
626
79.71
Total:
5,501
1,107,055,226
100.00
8.316
626
79.70




DESCRIPTION OF THE TOTAL COLLATERAL

Product Type
 
 
Number of
Aggregate
% of Aggregate
 
W.A.
W.A.
 
Initial Mortgage
Remaining
Remaining
W.A.
Non-Zero
Original
Collateral Type
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Fixed - 15 Year
22
2,277,744
0.21
9.098
616
73.69
Fixed - 20 Year
23
2,442,231
0.22
9.664
627
80.13
Fixed - 30 Year
1,470
141,246,848
12.76
9.258
638
83.40
Fixed - 30 Year IO
21
8,502,325
0.77
6.930
656
75.47
Balloon - 15/30
1
20,170
0.00
11.990
576
100.00
Balloon - 30/40
89
22,775,156
2.06
7.660
632
74.39
ARM - 2 Year/6 Month
2,305
454,084,495
41.02
8.724
609
78.56
ARM - 2 Year/6 Month IO
479
167,480,794
15.13
7.394
655
80.33
ARM - 2 Year/6 Month 30/40 Balloon
731
215,629,265
19.48
7.855
624
80.53
ARM - 3 Year/6 Month
112
18,271,247
1.65
9.048
606
78.95
ARM - 3 Year/6 Month IO
14
4,336,625
0.39
7.203
654
76.32
ARM - 3 Year/6 Month 30/40 Balloon
62
18,978,750
1.71
7.735
645
81.51
ARM - 5 Year/6 Month
81
20,349,154
1.84
7.899
632
75.39
ARM - 5 Year/6 Month IO
37
12,594,831
1.14
7.081
659
79.31
ARM - 5 Year/6 Month 30/40 Balloon
54
18,065,591
1.63
7.427
636
78.02
Total:
5,501
1,107,055,226
100.00
8.316
626
79.70


Interest Only Term
 
     
% of Aggregate
 
W.A.
W.A.
Interest Only
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Term (months)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0
4,950
914,140,651
82.57
8.521
619
79.65
60
551
192,914,575
17.43
7.349
655
79.96
Total:
5,501
1,107,055,226
100.00
8.316
626
79.70







DESCRIPTION OF THE TOTAL COLLATERAL

Mortgage Rate
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Mortgage Rate (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
5.500 - 5.999
49
18,858,104
1.70
5.833
663
75.93
6.000 - 6.499
126
43,555,705
3.93
6.272
667
73.71
6.500 - 6.999
403
138,783,671
12.54
6.783
655
75.61
7.000 - 7.499
372
122,228,818
11.04
7.254
644
78.04
7.500 - 7.999
712
210,792,066
19.04
7.752
632
78.09
8.000 - 8.499
493
120,906,913
10.92
8.240
618
79.39
8.500 - 8.999
747
154,936,031
14.00
8.747
615
80.71
9.000 - 9.499
496
87,415,563
7.90
9.228
604
81.16
9.500 - 9.999
545
80,005,067
7.23
9.736
602
84.46
10.000 - 10.499
336
42,350,822
3.83
10.223
606
84.11
10.500 - 10.999
382
36,604,528
3.31
10.737
596
85.22
11.000 - 11.499
159
14,412,946
1.30
11.225
590
82.55
11.500 - 11.999
251
16,394,652
1.48
11.709
594
88.31
12.000 - 12.499
264
12,330,541
1.11
12.148
582
90.55
12.500 - 12.999
155
6,902,893
0.62
12.612
588
94.57
13.000 - 13.499
7
304,604
0.03
13.200
615
93.55
13.500 - 13.999
3
237,296
0.02
13.608
632
97.64
14.000 - 14.499
1
35,005
0.00
14.150
556
66.53
Total:
5,501
1,107,055,226
100.00
8.316
626
79.70
 

 
Original Combined Loan-to-Value Ratio
 
Original Combined
Number of
Aggregate
% of Aggregate
 
W.A.
W.A.
Loan-to-Value
Initial Mortgage
Remaining
Remaining
W.A.
Non-Zero
Original
Ratio (%)
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Less than or equal to 50.00
211
37,244,595
3.36
8.023
600
42.22
50.01 - 55.00
99
23,152,425
2.09
7.762
600
52.90
55.01 - 60.00
124
29,991,589
2.71
8.012
593
57.86
60.01 - 65.00
292
64,064,650
5.79
8.283
587
63.61
65.01 - 70.00
283
71,465,595
6.46
8.048
599
68.96
70.01 - 75.00
329
84,818,495
7.66
8.045
601
73.95
75.01 - 80.00
1,814
402,483,275
36.36
8.064
631
79.76
80.01 - 85.00
343
94,480,461
8.53
8.168
621
84.37
85.01 - 90.00
445
123,179,326
11.13
8.270
645
89.19
90.01 - 95.00
176
42,303,277
3.82
8.452
660
94.68
95.01 - 100.00
1,385
133,871,537
12.09
9.757
651
99.81
Total:
5,501
1,107,055,226
100.00
8.316
626
79.70
 




DESCRIPTION OF THE TOTAL COLLATERAL

FICO Score at Origination
 
     
% of Aggregate
 
W.A.
W.A.
FICO Score
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
At Origination
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
500 - 524
297
56,310,507
5.09
9.569
513
70.43
525 - 549
316
62,156,800
5.61
9.431
538
71.43
550 - 574
381
72,208,488
6.52
8.786
564
74.31
575 - 599
1,019
168,403,462
15.21
8.517
587
77.11
600 - 624
1,108
216,606,236
19.57
8.231
612
80.00
625 - 649
927
203,292,253
18.36
8.066
636
80.62
650 - 674
542
109,444,617
9.89
8.166
661
84.96
675 - 699
319
67,164,638
6.07
8.009
686
84.49
700 - 724
346
85,322,313
7.71
7.655
711
84.71
725 - 749
149
39,311,827
3.55
7.640
736
84.56
750 - 774
71
19,270,936
1.74
7.593
761
83.05
775 - 799
24
7,031,710
0.64
7.799
789
83.36
800 - 824
2
531,438
0.05
7.369
801
83.89
Total:
5,501
1,107,055,226
100.00
8.316
626
79.70





DESCRIPTION OF THE TOTAL COLLATERAL

Geographic Distribution*
 
 
Number of
Aggregate
% of Aggregate
 
W.A.
W.A.
 
Initial Mortgage
Remaining
Remaining
W.A.
Non-Zero
Original
Location
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
California
1,034
325,785,134
29.43
7.590
644
79.05
Florida
649
126,736,614
11.45
8.577
619
80.32
New York
408
121,957,720
11.02
8.024
635
77.08
New Jersey
261
69,453,450
6.27
8.550
617
77.83
Massachusetts
204
45,271,708
4.09
8.342
629
78.79
Texas
446
42,695,064
3.86
9.328
596
82.49
Virginia
202
37,360,606
3.37
8.674
603
78.25
Pennsylvania
181
24,272,429
2.19
8.882
607
80.27
Maryland
114
23,827,838
2.15
8.699
607
77.82
Michigan
192
21,176,278
1.91
9.564
612
84.97
Nevada
92
20,178,008
1.82
8.041
622
78.95
Arizona
105
19,981,505
1.80
8.539
605
78.91
Connecticut
103
19,666,305
1.78
8.467
614
79.44
Georgia
151
19,289,593
1.74
9.187
613
83.99
Illinois
115
18,706,635
1.69
9.134
611
80.58
Ohio
145
15,620,868
1.41
9.259
618
88.47
Hawaii
39
15,330,243
1.38
7.585
645
75.63
Washington
78
14,152,684
1.28
8.362
610
79.52
Rhode Island
58
12,166,234
1.10
8.487
628
80.42
North Carolina
91
11,418,568
1.03
9.133
614
81.44
Colorado
77
10,769,351
0.97
8.427
621
82.43
Oregon
45
7,600,235
0.69
8.758
605
81.41
Minnesota
44
7,337,976
0.66
8.805
608
80.16
Wisconsin
55
6,544,658
0.59
9.118
597
78.51
South Carolina
48
5,678,383
0.51
9.165
612
81.45
*Geographic Distribution continued on the next page








DESCRIPTION OF THE TOTAL COLLATERAL

Geographic Distribution (Continued)
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Location
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Missouri
53
5,500,467
0.50
9.402
596
84.02
Indiana
63
5,410,391
0.49
9.553
614
88.26
Tennessee
66
5,278,027
0.48
9.337
621
88.05
30
4,798,842
0.43
8.406
609
79.18
Louisiana
37
4,654,414
0.42
8.969
618
84.15
Maine
30
4,493,100
0.41
8.605
636
82.77
Arkansas
23
3,631,875
0.33
9.360
622
93.03
Oklahoma
37
3,601,920
0.33
9.286
618
83.88
Kentucky
35
3,571,443
0.32
9.348
608
84.80
Alabama
35
3,510,879
0.32
9.343
623
87.40
Idaho
22
2,996,702
0.27
8.313
616
80.30
Delaware
14
2,689,006
0.24
9.115
582
77.02
Utah
29
2,683,812
0.24
9.172
619
83.54
Vermont
13
2,111,322
0.19
8.609
643
76.52
District of Columbia
9
1,933,261
0.17
8.676
592
68.26
Iowa
23
1,740,160
0.16
9.894
620
87.97
Montana
7
1,386,056
0.13
7.995
651
72.71
12
1,295,347
0.12
8.723
616
84.05
Kansas
8
806,366
0.07
9.581
599
87.96
Alaska
3
754,912
0.07
8.626
618
95.24
Nebraska
6
580,429
0.05
9.207
587
84.39
South Dakota
5
364,924
0.03
9.365
607
85.02
Mississippi
4
283,485
0.03
9.829
630
89.30
Total:
5,501
1,107,055,226
100.00
8.316
626
79.70





DESCRIPTION OF THE TOTAL COLLATERAL

Occupancy Status
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Occupancy Status
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Primary
4,997
996,437,557
90.01
8.256
622
79.50
Investment
434
92,338,324
8.34
9.026
655
81.07
Second Home
70
18,279,344
1.65
8.020
658
83.91
Total:
5,501
1,107,055,226
100.00
8.316
626
79.70
 

 
Documentation Type
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Program
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Stated Documentation
2,131
564,886,987
51.03
8.219
639
79.04
Full Documentation
3,331
532,001,351
48.06
8.415
611
80.37
No Documentation
27
6,519,909
0.59
8.614
697
83.59
Limited Documentation
12
3,646,979
0.33
8.425
623
77.49
Total:
5,501
1,107,055,226
100.00
8.316
626
79.70
 
 
Loan Purpose
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Purpose
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Refinance - Cashout
2,632
634,856,359
57.35
8.159
611
76.09
Purchase
2,506
403,053,445
36.41
8.535
651
85.49
Refinance - Rate Term
363
69,145,421
6.25
8.485
613
79.14
Total:
5,501
1,107,055,226
100.00
8.316
626
79.70





DESCRIPTION OF THE TOTAL COLLATERAL

Property Type
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Property Type
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Single Family Residence
4,428
851,896,483
76.95
8.328
622
79.82
2-4 Family
401
114,207,390
10.32
8.237
641
77.49
PUD
358
78,285,632
7.07
8.216
626
80.84
Condo
289
58,588,180
5.29
8.489
642
80.69
Manufactured Housing
25
4,077,541
0.37
7.584
672
80.13
Total:
5,501
1,107,055,226
100.00
8.316
626
79.70





DESCRIPTION OF THE TOTAL COLLATERAL


Rate Adjustment*
 
     
% of Aggregate
 
W.A.
W.A.
Month & Year of Next
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Rate Adjustment
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
June 2007
1
176,071
0.02
6.450
716
85.00
July 2007
3
609,149
0.07
7.375
607
76.59
August 2007
5
974,489
0.10
7.063
630
81.01
September 2007
1
129,515
0.01
9.890
535
78.79
October 2007
20
3,556,698
0.38
7.530
624
74.03
November 2007
19
4,449,207
0.48
7.698
618
83.28
December 2007
157
47,223,483
5.08
7.440
670
81.71
January 2008
999
290,777,730
31.27
7.847
637
79.50
February 2008
1,945
420,812,280
45.26
8.529
608
78.65
March 2008
365
68,485,930
7.37
8.713
614
82.23
August 2008
1
103,029
0.01
7.790
623
85.00
November 2008
2
316,524
0.03
8.497
555
79.08
December 2008
7
1,924,981
0.21
7.451
637
77.30
January 2009
23
6,020,657
0.65
7.546
669
80.08
February 2009
90
18,543,157
1.99
8.240
623
78.47
March 2009
65
14,678,274
1.58
8.673
621
81.79
September 2010
1
134,336
0.01
8.550
542
75.00
November 2010
2
269,265
0.03
7.195
590
68.38
December 2010
3
2,106,614
0.23
7.113
689
79.41
January 2011
57
19,011,240
2.04
7.186
657
78.63
February 2011
90
23,997,136
2.58
7.718
628
75.02
March 2011
19
5,490,985
0.59
8.049
621
82.25
Total:
3,875
929,790,752
100.00
8.197
623
79.32
*ARM Loans Only





DESCRIPTION OF THE TOTAL COLLATERAL

Gross Margin*
 
     
% of Aggregate
 
W.A.
W.A.
Gross
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Margin (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
3.000 - 3.499
1
80,903
0.01
10.550
622
90.00
3.500 - 3.999
3
568,463
0.06
6.893
684
79.08
4.000 - 4.499
23
6,317,071
0.68
6.196
689
74.43
4.500 - 4.999
86
29,503,861
3.17
6.527
673
74.64
5.000 - 5.499
285
97,888,408
10.53
6.817
655
74.32
5.500 - 5.999
527
159,891,933
17.20
7.383
650
77.34
6.000 - 6.499
732
191,354,082
20.58
7.885
625
78.64
6.500 - 6.999
747
172,629,400
18.57
8.453
616
81.59
7.000 - 7.499
715
133,416,846
14.35
9.162
601
82.00
7.500 - 7.999
541
96,897,676
10.42
9.654
589
81.74
8.000 - 8.499
191
36,670,187
3.94
10.009
572
82.20
8.500 - 8.999
21
4,182,541
0.45
9.526
604
81.74
9.000 - 9.499
2
337,461
0.04
9.862
739
92.67
10.000 - 10.499
1
51,919
0.01
11.700
583
76.47
Total:
3,875
929,790,752
100.00
8.197
623
79.32
*ARM Loans Only





DESCRIPTION OF THE TOTAL COLLATERAL

Maximum Mortgage Rate*
 
     
% of Aggregate
 
W.A.
W.A.
Maximum
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Mortgage Rate (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
9.000 - 9.499
1
224,677
0.02
6.200
634
56.25
9.500 - 9.999
1
295,365
0.03
6.650
651
85.00
10.000 - 10.499
4
1,060,096
0.11
7.355
642
85.40
10.500 - 10.999
5
1,204,489
0.13
7.795
620
78.02
11.000 - 11.499
7
1,177,146
0.13
8.210
627
81.35
11.500 - 11.999
52
18,677,777
2.01
5.943
660
76.13
12.000 - 12.499
111
36,556,161
3.93
6.377
659
74.56
12.500 - 12.999
301
103,440,596
11.13
6.821
654
76.76
13.000 - 13.499
302
100,324,017
10.79
7.250
646
78.87
13.500 - 13.999
605
182,088,721
19.58
7.722
632
78.66
14.000 - 14.499
441
113,540,594
12.21
8.177
620
79.65
14.500 - 14.999
656
147,756,644
15.89
8.671
616
81.13
15.000 - 15.499
413
79,480,426
8.55
9.197
600
80.41
15.500 - 15.999
425
71,207,777
7.66
9.680
598
83.64
16.000 - 16.499
200
31,798,266
3.42
10.197
584
80.93
16.500 - 16.999
179
23,218,298
2.50
10.679
564
79.38
17.000 - 17.499
73
8,072,625
0.87
11.225
560
74.99
17.500 - 17.999
65
5,960,609
0.64
11.717
546
76.48
18.000 - 18.499
31
3,202,575
0.34
12.138
537
69.25
18.500 - 18.999
3
503,895
0.05
12.394
522
65.53
Total:
3,875
929,790,752
100.00
8.197
623
79.32
*ARM Loans Only





DESCRIPTION OF THE TOTAL COLLATERAL

Minimum Mortgage Rate*
 
     
% of Aggregate
 
W.A.
W.A.
Minimum
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Mortgage Rate (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
4.500 - 4.999
2
1,106,750
0.12
6.453
706
71.94
5.000 - 5.499
6
2,748,261
0.30
6.728
680
73.92
5.500 - 5.999
59
21,972,833
2.36
6.089
661
76.72
6.000 - 6.499
122
40,724,839
4.38
6.426
661
74.95
6.500 - 6.999
330
110,855,818
11.92
6.871
652
76.49
7.000 - 7.499
317
105,060,399
11.30
7.276
645
78.89
7.500 - 7.999
609
182,589,639
19.64
7.768
631
78.74
8.000 - 8.499
425
107,665,821
11.58
8.242
618
79.78
8.500 - 8.999
636
138,689,718
14.92
8.745
614
81.47
9.000 - 9.499
410
78,818,134
8.48
9.222
599
80.58
9.500 - 9.999
412
68,234,362
7.34
9.733
596
84.09
10.000 - 10.499
196
31,038,444
3.34
10.211
582
80.80
10.500 - 10.999
176
22,285,171
2.40
10.710
565
79.33
11.000 - 11.499
74
8,197,474
0.88
11.228
559
74.71
11.500 - 11.999
67
6,167,846
0.66
11.720
546
76.46
12.000 - 12.499
32
3,264,233
0.35
12.135
540
69.17
12.500 - 12.999
2
371,010
0.04
12.539
525
62.53
Total:
3,875
929,790,752
100.00
8.197
623
79.32
*ARM Loans Only

Initial Periodic Rate Cap*
 
     
% of Aggregate
 
W.A.
W.A.
Initial
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
1.000
11
3,253,570
0.35
7.523
621
77.23
2.000
104
26,984,914
2.90
8.199
610
76.79
3.000
3,759
899,447,268
96.74
8.199
624
79.41
5.000
1
105,000
0.01
6.600
600
70.00
Total:
3,875
929,790,752
100.00
8.197
623
79.32
*ARM Loans Only






DESCRIPTION OF THE TOTAL COLLATERAL

Subsequent Periodic Rate Cap*
 
     
% of Aggregate
 
W.A.
W.A.
Subsequent
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
1.000
3,851
922,415,303
99.21
8.201
623
79.33
1.500
22
6,865,877
0.74
7.647
630
78.11
3.000
2
509,572
0.05
8.323
583
76.88
Total:
3,875
929,790,752
100.00
8.197
623
79.32
*ARM Loans Only

Lifetime Periodic Cap*
 
     
% of Aggregate
 
W.A.
W.A.
Lifetime
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
3.000 - 3.499
40
7,394,254
0.80
8.520
612
79.82
6.000 - 6.499
3,727
886,911,756
95.39
8.215
623
79.39
6.500 - 6.999
22
5,698,319
0.61
8.061
650
82.34
86
29,786,422
3.20
7.603
640
76.48
Total:
3,875
929,790,752
100.00
8.197
623
79.32
*ARM Loans Only

Original Prepayment Charge Term
 
     
% of Aggregate
 
W.A.
W.A.
Prepayment Penalty
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Term (mos.)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0
1,666
263,587,017
23.81
8.926
622
80.44
12
411
137,196,840
12.39
8.017
636
77.79
24
2,783
578,009,338
52.21
8.207
622
80.62
30
6
1,651,574
0.15
8.083
625
78.78
36
633
126,319,233
11.41
7.873
637
76.02
60
2
291,223
0.03
7.473
717
81.64
Total:
5,501
1,107,055,226
100.00
8.316
626
79.70




DESCRIPTION OF THE GROUP IA COLLATERAL

SUMMARY - GROUP IA POOL*
 
Number of Mortgage Loans:
2,241
Index Type:
 
Aggregate Principal Balance:
$449,214,623
6 Month LIBOR:
88.85%
Conforming Principal Balance Loans:
$449,214,623
Fixed Rate:
11.15%
Average Principal Balance:
$200,453
W.A. Initial Periodic Cap:
2.960%
Range:
$49,451 - $695,918
W.A. Subsequent Periodic Cap:
1.004%
W.A. Coupon:
8.354%
W.A. Lifetime Rate Cap:
5.994%
Range:
5.500% - 12.300%
Property Type:
 
W.A. Gross Margin:
6.576%
Single Family:
75.52%
Range:
3.000% - 10.450%
2-4 Family:
12.70%
W.A. Remaining Term:
356 months
PUD:
5.97%
Range:
173 months - 358 months
Condo:
5.13%
W.A. Seasoning:
3 months
Manufactured Housing:
0.68%
Latest Maturity Date:
March 1, 2036
Occupancy Status:
 
State Concentration (Top 5):
 
Primary:
87.92%
California:
23.25%
Investment:
10.30%
Florida:
12.52%
Second Home:
1.79%
New York:
11.43%
Documentation Status:
 
New Jersey:
6.68%
Full:
52.04%
Massachusetts:
5.11%
Stated:
47.36%
W.A. Original Combined LTV:
78.19%
Limited:
0.22%
Range:
8.18% - 100.00%
None:
0.38%
First Liens:
100.00%
Non-Zero W.A. Prepayment Penalty - Term:
24 months
Second Liens:
0.00%
Loans with Prepay Penalties:
75.79%
Non-Balloon Loans:
78.52%
Interest Only Loans:
17.52%
Non-Zero W.A. FICO Score:
619
Non-Zero Weighted Average IO Term
60 months
* Subject to a permitted variance of +/- 10%






DESCRIPTION OF THE GROUP IA COLLATERAL

Principal Balance at Origination
 
     
% of Aggregate
 
W.A.
W.A.
Principal Balance at
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Origination ($)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0.01 - 50,000.00
12
598,625
0.13
10.594
575
66.01
50,000.01 - 100,000.00
397
30,959,342
6.89
9.840
602
77.90
100,000.01 - 150,000.00
491
61,223,948
13.63
9.089
603
76.95
150,000.01 - 200,000.00
373
65,260,144
14.53
8.667
608
77.08
200,000.01 - 250,000.00
293
65,827,545
14.65
8.377
613
76.32
250,000.01 - 300,000.00
233
64,427,583
14.34
8.068
624
79.06
300,000.01 - 350,000.00
216
69,971,164
15.58
7.736
634
79.29
350,000.01 - 400,000.00
138
52,149,148
11.61
7.772
632
80.42
400,000.01 - 450,000.00
64
26,408,494
5.88
7.733
634
80.17
450,000.01 - 500,000.00
13
6,262,129
1.39
7.867
632
76.76
500,000.01 - 550,000.00
7
3,618,837
0.81
7.600
682
81.85
550,000.01 - 600,000.00
1
550,666
0.12
7.250
750
80.00
600,000.01 - 650,000.00
2
1,261,079
0.28
8.649
549
63.34
650,000.01 - 700,000.00
1
695,918
0.15
8.875
697
75.00
Total:
2,241
449,214,623
100.00
8.354
619
78.19









DESCRIPTION OF THE GROUP IA COLLATERAL

Remaining Principal Balance
 
     
% of Aggregate
 
W.A.
W.A.
Remaining Principal
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Balance ($)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0.01 - 50,000.00
13
648,584
0.14
10.691
571
65.63
50,000.01 - 100,000.00
398
31,099,177
6.92
9.833
602
77.74
100,000.01 - 150,000.00
489
61,034,155
13.59
9.089
603
77.04
150,000.01 - 200,000.00
376
65,859,464
14.66
8.664
608
77.14
200,000.01 - 250,000.00
291
65,477,851
14.58
8.386
612
76.22
250,000.01 - 300,000.00
234
64,776,693
14.42
8.051
625
78.96
300,000.01 - 350,000.00
214
69,372,430
15.44
7.740
634
79.44
350,000.01 - 400,000.00
139
52,548,475
11.70
7.771
632
80.48
400,000.01 - 450,000.00
63
26,009,166
5.79
7.735
635
80.04
450,000.01 - 500,000.00
13
6,262,129
1.39
7.867
632
76.76
500,000.01 - 550,000.00
7
3,618,837
0.81
7.600
682
81.85
550,000.01 - 600,000.00
1
550,666
0.12
7.250
750
80.00
600,000.01 - 650,000.00
2
1,261,079
0.28
8.649
549
63.34
650,000.01 - 700,000.00
1
695,918
0.15
8.875
697
75.00
Total:
2,241
449,214,623
100.00
8.354
619
78.19
 

 
Remaining Term
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Months Remaining
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
121 - 180
6
913,572
0.20
8.684
586
66.72
181 - 240
11
1,769,301
0.39
9.445
628
78.42
301 - 360
2,224
446,531,749
99.40
8.349
619
78.21
Total:
2,241
449,214,623
100.00
8.354
619
78.19






DESCRIPTION OF THE GROUP IA COLLATERAL

Product Type
 
 
Number of
Aggregate
% of Aggregate
W.A.
W.A.
W.A.
 
Initial Mortgage
Remaining
Remaining
Coupon
Non-Zero
Original
Collateral Type
Loans
Principal Balance ($)
Principal Balance
(%)
FICO
CLTV (%)
Fixed - 15 Year
6
913,572
0.20
8.684
586
66.72
Fixed - 20 Year
11
1,769,301
0.39
9.445
628
78.42
Fixed - 30 Year
202
35,278,969
7.85
8.188
630
72.61
Fixed - 30 Year IO
10
3,154,688
0.70
7.099
624
69.92
Balloon - 30/40
37
8,972,966
2.00
7.693
624
72.60
ARM - 2 Year/6 Month
1,230
218,434,491
48.63
8.873
607
78.64
ARM - 2 Year/6 Month IO
242
67,556,122
15.04
7.424
649
79.68
ARM - 2 Year/6 Month 30/40 Balloon
321
75,775,486
16.87
7.966
621
79.39
ARM - 3 Year/6 Month
58
9,266,857
2.06
9.239
604
81.64
ARM - 3 Year/6 Month IO
10
2,713,604
0.60
7.379
667
77.07
ARM - 3 Year/6 Month 30/40 Balloon
24
4,386,778
0.98
8.338
624
77.77
ARM - 5 Year/6 Month
42
8,346,993
1.86
8.302
619
75.67
ARM - 5 Year/6 Month IO
19
5,275,770
1.17
7.037
642
77.58
ARM - 5 Year/6 Month 30/40 Balloon
29
7,369,027
1.64
7.597
617
76.59
Total:
2,241
449,214,623
100.00
8.354
619
78.19


Interest Only Term
 
     
% of Aggregate
 
W.A.
W.A.
Interest Only
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Term (months)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0
1,960
370,514,440
82.48
8.561
613
78.00
60
281
78,700,183
17.52
7.383
648
79.06
Total:
2,241
449,214,623
100.00
8.354
619
78.19







DESCRIPTION OF THE GROUP IA COLLATERAL

Mortgage Rate
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Mortgage Rate (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
5.500 - 5.999
23
6,763,324
1.51
5.817
656
73.22
6.000 - 6.499
58
15,994,161
3.56
6.277
660
72.66
6.500 - 6.999
190
54,551,622
12.14
6.779
649
74.16
7.000 - 7.499
168
45,078,860
10.04
7.269
647
77.48
7.500 - 7.999
307
74,829,037
16.66
7.749
629
77.61
8.000 - 8.499
249
52,483,183
11.68
8.232
615
78.06
8.500 - 8.999
359
69,388,839
15.45
8.745
615
78.80
9.000 - 9.499
239
40,185,700
8.95
9.236
601
80.66
9.500 - 9.999
261
40,789,032
9.08
9.733
601
84.39
10.000 - 10.499
125
19,461,969
4.33
10.241
585
80.80
10.500 - 10.999
129
16,008,059
3.56
10.724
569
79.82
11.000 - 11.499
60
6,730,890
1.50
11.195
565
74.84
11.500 - 11.999
49
4,382,631
0.98
11.724
545
77.16
12.000 - 12.499
24
2,567,315
0.57
12.137
535
69.68
Total:
2,241
449,214,623
100.00
8.354
619
78.19


Original Combined Loan-to-Value Ratio
 
Original Combined
   
% of Aggregate
 
W.A.
W.A.
Loan-to-Value
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Ratio (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Less than or equal to 50.00
120
18,542,020
4.13
8.235
597
41.92
50.01 - 55.00
51
10,534,532
2.35
7.730
605
52.87
55.01 - 60.00
70
14,068,385
3.13
8.226
593
57.61
60.01 - 65.00
160
30,734,661
6.84
8.373
584
63.50
65.01 - 70.00
141
30,085,369
6.70
8.389
585
68.95
70.01 - 75.00
158
35,598,329
7.92
8.097
598
73.93
75.01 - 80.00
875
169,073,872
37.64
8.190
629
79.78
80.01 - 85.00
165
38,369,733
8.54
8.245
619
84.35
85.01 - 90.00
216
47,374,706
10.55
8.639
635
89.25
90.01 - 95.00
95
20,095,936
4.47
8.850
650
94.64
95.01 - 100.00
190
34,737,081
7.73
9.124
647
99.75
Total:
2,241
449,214,623
100.00
8.354
619
78.19





DESCRIPTION OF THE GROUP IA COLLATERAL

FICO Score at Origination
 
     
% of Aggregate
 
W.A.
W.A.
FICO Score
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
At Origination
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
500 - 524
148
25,845,861
5.75
9.803
513
70.64
525 - 549
172
29,396,542
6.54
9.717
538
72.34
550 - 574
189
34,839,995
7.76
8.962
563
73.47
575 - 599
430
81,821,822
18.21
8.294
587
75.21
600 - 624
465
89,610,346
19.95
8.279
612
79.52
625 - 649
341
70,505,802
15.70
7.996
637
79.43
650 - 674
184
39,116,527
8.71
8.072
661
82.81
675 - 699
92
22,271,265
4.96
7.870
686
83.78
700 - 724
122
31,960,184
7.11
7.616
710
83.43
725 - 749
60
14,078,119
3.13
7.668
736
82.35
750 - 774
27
6,637,932
1.48
7.608
762
81.42
775 - 799
9
2,598,789
0.58
7.951
785
82.51
800 - 824
2
531,438
0.12
7.369
801
83.89
Total:
2,241
449,214,623
100.00
8.354
619
78.19





DESCRIPTION OF THE GROUP IA COLLATERAL

Geographic Distribution*
 
 
Number of
 
% of Aggregate
 
W.A.
W.A.
 
Initial Mortgage
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Location
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
California
365
104,429,389
23.25
7.460
638
75.76
Florida
295
56,232,124
12.52
8.585
615
78.48
New York
178
51,341,792
11.43
8.052
623
75.29
New Jersey
120
30,001,216
6.68
8.707
620
78.39
Massachusetts
91
22,959,832
5.11
8.080
624
75.51
Texas
146
16,910,691
3.76
9.245
594
81.63
Virginia
76
12,848,954
2.86
8.759
596
78.61
Pennsylvania
85
11,337,914
2.52
8.898
600
79.63
Michigan
84
11,041,105
2.46
9.535
612
85.01
Nevada
48
10,114,016
2.25
8.010
613
76.66
Connecticut
47
9,644,201
2.15
8.577
621
80.29
Arizona
47
9,150,071
2.04
8.655
604
77.74
Maryland
40
8,437,374
1.88
8.490
606
75.60
Illinois
50
8,173,952
1.82
9.223
607
80.39
Georgia
59
7,934,430
1.77
9.201
612
84.97
Washington
37
7,261,047
1.62
8.287
611
76.46
Ohio
56
7,019,519
1.56
9.223
611
87.95
Hawaii
20
6,977,564
1.55
7.436
641
72.18
Rhode Island
25
5,397,643
1.20
8.571
638
81.96
Colorado
31
5,257,575
1.17
8.231
634
82.50
North Carolina
35
4,644,331
1.03
9.332
608
83.53
Minnesota
25
4,483,182
1.00
9.075
590
80.16
South Carolina
24
3,594,824
0.80
8.936
612
79.90
Oregon
15
3,110,784
0.69
8.476
606
82.82
Wisconsin
24
3,086,536
0.69
9.630
595
81.25
*Geographic Distribution continued on the next page








DESCRIPTION OF THE GROUP IA COLLATERAL

Geographic Distribution (Continued)
 
 
Number of
 
% of Aggregate
 
W.A.
W.A.
 
Initial Mortgage
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Location
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Missouri
24
2,948,068
0.66
9.670
577
82.74
Tennessee
26
2,886,659
0.64
9.445
616
85.44
New Hampshire
15
2,495,330
0.56
8.315
608
75.49
Indiana
21
2,217,092
0.49
9.496
605
86.95
Louisiana
15
2,077,397
0.46
9.037
598
81.68
Maine
11
1,603,259
0.36
8.570
610
72.16
Utah
12
1,573,211
0.35
8.474
616
77.46
Alabama
12
1,490,627
0.33
9.740
649
89.08
Kentucky
11
1,435,297
0.32
9.456
610
89.22
Arkansas
11
1,334,923
0.30
9.691
643
94.89
Iowa
10
1,281,183
0.29
9.558
628
87.95
Delaware
5
1,022,386
0.23
8.787
575
82.26
Vermont
7
831,707
0.19
9.116
610
73.64
Alaska
3
754,912
0.17
8.626
618
95.24
Idaho
5
719,296
0.16
7.429
621
72.33
District of Columbia
5
713,804
0.16
8.903
562
48.13
Oklahoma
9
707,388
0.16
9.819
593
83.95
Nebraska
5
525,340
0.12
8.977
585
83.27
Wyoming
4
522,591
0.12
8.664
605
82.83
Montana
3
352,726
0.08
9.418
631
90.12
South Dakota
2
193,130
0.04
10.264
607
82.86
Kansas
1
78,304
0.02
10.940
508
80.00
Mississippi
1
59,927
0.01
10.450
648
100.00
Total:
2,241
449,214,623
100.00
8.354
619
78.19





DESCRIPTION OF THE GROUP IA COLLATERAL

Occupancy Status
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Occupancy Status
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Primary
1,972
394,937,514
87.92
8.260
615
77.72
Investment
232
46,252,296
10.30
9.173
651
81.51
Second Home
37
8,024,813
1.79
8.266
654
82.17
Total:
2,241
449,214,623
100.00
8.354
619
78.19

Documentation Type
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Program
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Full Documentation
1,332
233,789,882
52.04
8.388
608
78.80
Stated Documentation
894
212,732,894
47.36
8.309
632
77.56
No Documentation
11
1,709,157
0.38
9.065
701
78.32
Limited Documentation
4
982,690
0.22
8.785
554
68.62
Total:
2,241
449,214,623
100.00
8.354
619
78.19
 

Loan Purpose
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Purpose
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Refinance - Cashout
1,294
276,131,995
61.47
8.278
606
75.32
Purchase
795
146,464,156
32.60
8.437
648
83.85
Refinance - Rate Term
152
26,618,472
5.93
8.696
604
76.80
Total:
2,241
449,214,623
100.00
8.354
619
78.19





DESCRIPTION OF THE GROUP IA COLLATERAL

Property Type
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Property Type
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Single Family Residence
1,806
339,250,232
75.52
8.398
615
78.45
2-4 Family
191
57,054,967
12.70
8.236
636
75.84
PUD
120
26,836,870
5.97
8.094
618
78.25
Condo
104
23,032,766
5.13
8.400
645
79.83
Manufactured Housing
20
3,039,787
0.68
7.632
669
79.62
Total:
2,241
449,214,623
100.00
8.354
619
78.19






DESCRIPTION OF THE GROUP IA COLLATERAL


Rate Adjustment*
 
 
Number of
 
% of Aggregate
 
W.A.
W.A.
Month & Year of Next
Initial Mortgage
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Rate Adjustment
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
June 2007
1
176,071
0.04
6.450
716
85.00
July 2007
2
559,602
0.14
7.271
605
80.98
August 2007
4
712,489
0.18
7.216
636
83.66
September 2007
1
129,515
0.03
9.890
535
78.79
October 2007
10
1,317,034
0.33
7.664
632
81.14
November 2007
13
2,934,302
0.74
7.335
636
81.43
December 2007
85
21,420,985
5.37
7.561
656
80.92
January 2008
489
121,427,675
30.42
7.966
636
79.29
February 2008
1,009
184,345,367
46.19
8.752
603
78.18
March 2008
179
28,743,057
7.20
8.959
605
80.99
November 2008
2
316,524
0.08
8.497
555
79.08
December 2008
1
199,444
0.05
8.990
615
88.50
January 2009
13
3,120,441
0.78
7.661
673
82.24
February 2009
47
7,735,018
1.94
8.664
613
76.32
March 2009
29
4,995,811
1.25
9.370
601
83.52
September 2010
1
134,336
0.03
8.550
542
75.00
November 2010
2
269,265
0.07
7.195
590
68.38
January 2011
26
7,280,877
1.82
7.300
641
77.45
February 2011
48
10,027,977
2.51
7.889
617
75.56
March 2011
13
3,279,335
0.82
8.250
615
77.80
Total:
1,975
399,125,127
100.00
8.388
618
78.90
*ARM Loans Only








DESCRIPTION OF THE GROUP IA COLLATERAL

Gross Margin*
 
     
% of Aggregate
 
W.A.
W.A.
Gross
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Margin (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
3.000 - 3.499
1
80,903
0.02
10.550
622
90.00
3.500 - 3.999
2
497,604
0.12
6.289
705
78.95
4.000 - 4.499
15
3,697,030
0.93
6.222
679
72.65
4.500 - 4.999
39
10,834,273
2.71
6.593
660
72.71
5.000 - 5.499
138
35,098,154
8.79
6.895
649
72.95
5.500 - 5.999
236
60,412,642
15.14
7.380
652
76.60
6.000 - 6.499
351
74,261,394
18.61
7.973
623
77.62
6.500 - 6.999
360
73,111,168
18.32
8.461
614
80.86
7.000 - 7.499
370
63,114,712
15.81
9.253
597
81.02
7.500 - 7.999
275
45,115,774
11.30
9.731
591
81.97
8.000 - 8.499
168
29,624,302
7.42
10.018
576
82.39
8.500 - 8.999
18
3,045,186
0.76
9.471
592
81.88
9.000 - 9.499
1
180,064
0.05
9.750
796
95.00
10.000 - 10.499
1
51,919
0.01
11.700
583
76.47
Total:
1,975
399,125,127
100.00
8.388
618
78.90
*ARM Loans Only





DESCRIPTION OF THE GROUP IA COLLATERAL

Maximum Mortgage Rate*
 
     
% of Aggregate
 
W.A.
W.A.
Maximum
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Mortgage Rate (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
9.000 - 9.499
1
224,677
0.06
6.200
634
56.25
9.500 - 9.999
1
295,365
0.07
6.650
651
85.00
10.000 - 10.499
2
327,443
0.08
7.193
615
59.36
10.500 - 10.999
1
148,666
0.04
7.850
676
80.00
11.000 - 11.499
4
699,868
0.18
8.196
629
82.27
11.500 - 11.999
26
6,979,096
1.75
6.037
650
72.20
12.000 - 12.499
56
14,708,794
3.69
6.470
648
73.61
12.500 - 12.999
145
40,847,565
10.23
6.821
653
75.92
13.000 - 13.499
135
36,834,959
9.23
7.269
650
78.90
13.500 - 13.999
267
65,445,969
16.40
7.733
629
78.15
14.000 - 14.499
227
49,532,036
12.41
8.191
615
78.33
14.500 - 14.999
323
63,719,484
15.96
8.708
615
80.00
15.000 - 15.499
210
36,276,565
9.09
9.221
598
80.59
15.500 - 15.999
240
39,198,122
9.82
9.687
601
84.18
16.000 - 16.499
118
18,507,739
4.64
10.235
584
80.89
16.500 - 16.999
109
13,773,387
3.45
10.699
567
79.67
17.000 - 17.499
46
5,454,612
1.37
11.187
561
73.92
17.500 - 17.999
42
3,818,186
0.96
11.719
544
76.79
18.000 - 18.499
22
2,332,594
0.58
12.122
536
69.98
Total:
1,975
399,125,127
100.00
8.388
618
78.90
*ARM Loans Only





DESCRIPTION OF THE GROUP IA COLLATERAL

Minimum Mortgage Rate*
 
     
% of Aggregate
 
W.A.
W.A.
Minimum
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Mortgage Rate (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
5.000 - 5.499
1
297,600
0.07
7.250
701
80.00
5.500 - 5.999
26
7,768,642
1.95
6.092
650
73.54
6.000 - 6.499
59
15,869,319
3.98
6.414
649
73.67
6.500 - 6.999
159
44,870,176
11.24
6.860
650
75.63
7.000 - 7.499
141
37,701,181
9.45
7.306
647
78.69
7.500 - 7.999
267
65,528,647
16.42
7.763
632
78.46
8.000 - 8.499
219
46,957,939
11.77
8.242
615
78.39
8.500 - 8.999
321
62,240,516
15.59
8.754
613
79.85
9.000 - 9.499
212
36,801,813
9.22
9.230
598
80.70
9.500 - 9.999
233
37,438,507
9.38
9.732
600
84.74
10.000 - 10.499
116
18,144,196
4.55
10.243
582
80.86
10.500 - 10.999
110
13,776,350
3.45
10.709
567
79.57
11.000 - 11.499
47
5,579,461
1.40
11.193
561
73.54
11.500 - 11.999
42
3,818,186
0.96
11.719
544
76.79
12.000 - 12.499
22
2,332,594
0.58
12.122
536
69.98
Total:
1,975
399,125,127
100.00
8.388
618
78.90
*ARM Loans Only


Initial Periodic Rate Cap*
 
     
% of Aggregate
 
W.A.
W.A.
Initial
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
1.000
3
704,508
0.18
8.275
576
74.78
2.000
55
14,590,108
3.66
8.065
616
77.87
3.000
1,916
383,725,511
96.14
8.401
619
78.94
5.000
1
105,000
0.03
6.600
600
70.00
Total:
1,975
399,125,127
100.00
8.388
618
78.90
*ARM Loans Only






DESCRIPTION OF THE GROUP IA COLLATERAL

Subsequent Periodic Rate Cap*
 
     
% of Aggregate
 
W.A.
W.A.
Subsequent
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
1.000
1,970
397,809,102
99.67
8.390
618
78.90
1.500
3
806,453
0.20
7.486
670
80.00
3.000
2
509,572
0.13
8.323
583
76.88
Total:
1,975
399,125,127
100.00
8.388
618
78.90
*ARM Loans Only

Lifetime Periodic Cap*
 
     
% of Aggregate
 
W.A.
W.A.
Lifetime
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
3.000 - 3.499
25
3,974,743
1.00
8.620
611
77.02
6.000 - 6.499
1,911
384,232,011
96.27
8.404
618
78.93
6.500 - 6.999
13
3,032,222
0.76
8.054
642
80.52
7.000 - 7.499
26
7,886,151
1.98
7.646
634
77.67
Total:
1,975
399,125,127
100.00
8.388
618
78.90
*ARM Loans Only

Original Prepayment Charge Term
 
     
% of Aggregate
 
W.A.
W.A.
Prepayment Penalty
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Term (mos.)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0
559
108,741,808
24.21
8.812
614
77.75
12
182
55,296,451
12.31
8.084
629
77.47
24
1,233
234,351,342
52.17
8.305
618
79.50
30
1
246,391
0.05
8.900
592
85.00
36
266
50,578,631
11.26
7.892
628
73.77
Total:
2,241
449,214,623
100.00
8.354
619
78.19





DESCRIPTION OF THE GROUP IB COLLATERAL

SUMMARY - GROUP IB POOL*
 
Number of Mortgage Loans:
1,260
Index Type:
 
Aggregate Principal Balance:
$227,195,759
6 Month LIBOR:
81.70%
Conforming Principal Balance Loans:
$227,195,759
Fixed Rate:
18.30%
Average Principal Balance:
$180,314
W.A. Initial Periodic Cap:
2.949%
Range:
$16,376 - $649,081
W.A. Subsequent Periodic Cap:
1.003%
W.A. Coupon:
8.362%
W.A. Lifetime Rate Cap:
6.007%
Range:
5.750% - 12.750%
Property Type:
 
W.A. Gross Margin:
6.542%
Single Family:
76.94%
Range:
3.500% - 7.990%
2-4 Family:
10.56%
W.A. Remaining Term:
356 months
PUD:
6.50%
Range:
176 months - 358 months
Condo:
6.00%
W.A. Seasoning:
3 months
   
Latest Maturity Date:
March 1, 2036
Occupancy Status:
 
State Concentration (Top 5):
 
Primary:
91.91%
California:
21.42%
Investment
7.21%
New York:
10.65%
Second Home
0.88%
Florida:
10.42%
Documentation Status:
 
New Jersey:
6.80%
Full:
53.16%
Massachusetts:
4.59%
Stated:
46.61%
W.A. Original Combined LTV:
77.20%
Limited:
0.23%
Range:
17.44% - 100.00%
   
First Liens:
97.50%
Non-Zero W.A. Prepayment Penalty - Term:
25 months
Second Liens:
2.50%
Loans with Prepay Penalties:
75.65%
Non-Balloon Loans:
73.13%
Interest Only Loans:
7.87%
Non-Zero W.A. FICO Score:
610
Non-Zero Weighted Average IO Term
60 months
* Subject to a permitted variance of +/- 10%






DESCRIPTION OF THE GROUP IB COLLATERAL

Principal Balance at Origination
 
     
% of Aggregate
 
W.A.
W.A.
Principal Balance at
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Origination ($)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0.01 - 50,000.00
94
3,083,354
1.36
10.198
671
93.11
50,000.01 - 100,000.00
231
17,481,239
7.69
9.791
605
79.64
100,000.01 - 150,000.00
253
31,492,616
13.86
8.995
606
77.49
150,000.01 - 200,000.00
214
37,321,915
16.43
8.545
597
74.08
200,000.01 - 250,000.00
156
34,746,623
15.29
8.422
598
74.04
250,000.01 - 300,000.00
113
31,053,320
13.67
8.020
618
77.23
300,000.01 - 350,000.00
105
34,017,228
14.97
7.779
613
78.44
350,000.01 - 400,000.00
63
23,600,004
10.39
7.798
615
79.21
400,000.01 - 450,000.00
16
6,534,255
2.88
7.194
638
80.71
450,000.01 - 500,000.00
6
2,825,364
1.24
7.777
610
79.66
500,000.01 - 550,000.00
6
3,166,733
1.39
7.258
675
81.01
550,000.01 - 600,000.00
1
591,531
0.26
8.300
617
80.00
600,000.01 - 650,000.00
2
1,281,579
0.56
6.176
717
71.29
Total:
1,260
227,195,759
100.00
8.362
610
77.20






DESCRIPTION OF THE GROUP IB COLLATERAL

Remaining Principal Balance
 
     
% of Aggregate
 
W.A.
W.A.
Remaining Principal
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Balance ($)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0.01 - 50,000.00
94
3,083,354
1.36
10.198
671
93.11
50,000.01 - 100,000.00
233
17,679,712
7.78
9.797
605
79.60
100,000.01 - 150,000.00
252
31,444,128
13.84
8.983
606
77.58
150,000.01 - 200,000.00
214
37,371,619
16.45
8.534
597
73.91
200,000.01 - 250,000.00
155
34,546,933
15.21
8.434
598
74.12
250,000.01 - 300,000.00
113
31,053,320
13.67
8.020
618
77.23
300,000.01 - 350,000.00
105
34,017,228
14.97
7.779
613
78.44
350,000.01 - 400,000.00
64
23,998,434
10.56
7.772
616
79.30
400,000.01 - 450,000.00
15
6,135,824
2.70
7.255
635
80.44
450,000.01 - 500,000.00
6
2,825,364
1.24
7.777
610
79.66
500,000.01 - 550,000.00
6
3,166,733
1.39
7.258
675
81.01
550,000.01 - 600,000.00
1
591,531
0.26
8.300
617
80.00
600,000.01 - 650,000.00
2
1,281,579
0.56
6.176
717
71.29
Total:
1,260
227,195,759
100.00
8.362
610
77.20
 

 
Remaining Term
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Months Remaining
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
121 - 180
5
738,707
0.33
9.370
592
75.06
181 - 240
3
212,146
0.09
10.407
625
76.75
301 - 360
1,252
226,244,906
99.58
8.357
610
77.21
Total:
1,260
227,195,759
100.00
8.362
610
77.20






DESCRIPTION OF THE GROUP IB COLLATERAL

Product Type
 
 
Number of
Aggregate
% of Aggregate
W.A.
W.A.
W.A.
 
Initial Mortgage
Remaining
Remaining
Coupon
Non-Zero
Original
Collateral Type
Loans
Principal Balance ($)
Principal Balance
(%)
FICO
CLTV (%)
Fixed - 15 Year
4
510,944
0.22
9.624
595
68.50
Fixed - 20 Year
3
212,146
0.09
10.407
625
76.75
Fixed - 30 Year
265
30,687,600
13.51
8.621
630
77.20
Balloon - 30/40
40
10,155,055
4.47
7.670
636
75.52
ARM - 2 Year/6 Month
617
107,649,194
47.38
8.750
592
76.10
ARM - 2 Year/6 Month IO
55
15,292,856
6.73
7.596
650
79.51
ARM - 2 Year/6 Month 30/40 Balloon
180
41,533,457
18.28
7.857
615
79.67
ARM - 3 Year/6 Month
32
4,669,995
2.06
8.860
600
73.48
ARM - 3 Year/6 Month IO
1
364,990
0.16
8.475
636
74.49
ARM - 3 Year/6 Month 30/40 Balloon
21
5,358,302
2.36
7.783
624
81.43
ARM - 5 Year/6 Month
23
4,535,325
2.00
7.858
615
75.24
ARM - 5 Year/6 Month IO
7
2,224,041
0.98
7.421
637
84.08
ARM - 5 Year/6 Month 30/40 Balloon
12
4,001,853
1.76
6.881
663
75.18
Total:
1,260
227,195,759
100.00
8.362
610
77.20
 

 
Interest Only Term
 
     
% of Aggregate
 
W.A.
W.A.
Interest Only
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Term (months)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0
1,197
209,313,872
92.13
8.428
607
76.97
60
63
17,881,887
7.87
7.593
648
79.98
Total:
1,260
227,195,759
100.00
8.362
610
77.20








DESCRIPTION OF THE GROUP IB COLLATERAL

Mortgage Rate
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Mortgage Rate (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
5.500 - 5.999
4
1,011,516
0.45
5.759
630
69.89
6.000 - 6.499
26
7,585,489
3.34
6.244
658
71.38
6.500 - 6.999
94
25,459,070
11.21
6.747
637
73.49
7.000 - 7.499
85
22,852,715
10.06
7.269
630
77.17
7.500 - 7.999
198
45,081,542
19.84
7.770
623
75.86
8.000 - 8.499
125
26,118,162
11.50
8.261
613
78.66
8.500 - 8.999
205
36,984,169
16.28
8.760
600
78.79
9.000 - 9.499
137
21,644,632
9.53
9.230
585
77.28
9.500 - 9.999
148
17,747,162
7.81
9.740
584
81.51
10.000 - 10.499
76
8,087,850
3.56
10.210
593
79.08
10.500 - 10.999
85
7,408,220
3.26
10.743
577
80.34
11.000 - 11.499
32
3,033,772
1.34
11.245
573
79.08
11.500 - 11.999
30
2,661,701
1.17
11.721
560
78.13
12.000 - 12.499
11
973,839
0.43
12.149
572
72.93
12.500 - 12.999
4
545,923
0.24
12.573
526
58.87
Total:
1,260
227,195,759
100.00
8.362
610
77.20
 

 
Original Combined Loan-to-Value Ratio
 
Original Combined
   
% of Aggregate
 
W.A.
W.A.
Loan-to-Value
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Ratio (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Less than or equal to 50.00
62
9,995,762
4.40
8.152
594
41.57
50.01 - 55.00
36
6,592,190
2.90
8.238
584
53.03
55.01 - 60.00
36
6,918,476
3.05
8.071
580
58.04
60.01 - 65.00
96
18,180,872
8.00
8.497
585
63.51
65.01 - 70.00
81
16,011,303
7.05
8.055
604
68.88
70.01 - 75.00
110
25,800,907
11.36
8.087
590
74.25
75.01 - 80.00
428
76,795,745
33.80
8.446
611
79.66
80.01 - 85.00
90
21,064,384
9.27
8.162
616
84.29
85.01 - 90.00
98
21,534,209
9.48
8.266
631
89.01
90.01 - 95.00
36
6,493,798
2.86
8.276
646
94.57
95.01 - 100.00
187
17,808,112
7.84
9.202
655
99.78
Total:
1,260
227,195,759
100.00
8.362
610
77.20






DESCRIPTION OF THE GROUP IB COLLATERAL

FICO Score at Origination
 
     
% of Aggregate
 
W.A.
W.A.
FICO Score
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
At Origination
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
500 - 524
111
19,674,827
8.66
9.602
514
69.96
525 - 549
94
17,289,486
7.61
9.316
538
70.14
550 - 574
95
17,494,259
7.70
8.658
565
73.77
575 - 599
192
34,125,105
15.02
8.353
587
75.57
600 - 624
255
48,315,843
21.27
8.123
612
77.04
625 - 649
221
44,466,128
19.57
7.989
635
79.20
650 - 674
138
20,983,689
9.24
8.191
660
84.57
675 - 699
65
9,889,206
4.35
7.907
686
82.14
700 - 724
52
8,365,525
3.68
7.582
712
83.46
725 - 749
22
4,260,676
1.88
7.707
739
85.68
750 - 774
11
1,681,650
0.74
8.177
758
77.97
775 - 799
4
649,365
0.29
8.621
789
87.63
Total:
1,260
227,195,759
100.00
8.362
610
77.20





DESCRIPTION OF THE GROUP IB COLLATERAL

Geographic Distribution*
 
 
Number of
 
% of Aggregate
 
W.A.
W.A.
 
Initial Mortgage
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Location
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
California
187
48,657,319
21.42
7.590
620
74.43
New York
89
24,198,465
10.65
8.127
611
72.20
Florida
141
23,680,742
10.42
8.430
605
75.97
New Jersey
75
15,444,357
6.80
8.379
599
72.75
Massachusetts
49
10,431,275
4.59
8.478
619
77.60
Virginia
47
10,139,027
4.46
8.403
606
78.67
Texas
102
9,733,320
4.28
9.196
599
80.77
Arizona
33
6,513,333
2.87
8.481
594
78.59
Maryland
34
6,471,608
2.85
8.492
606
75.65
Michigan
52
6,288,572
2.77
9.284
603
82.85
Georgia
45
6,046,657
2.66
9.305
607
83.62
Pennsylvania
46
5,937,912
2.61
8.953
608
80.30
Connecticut
28
4,819,634
2.12
8.256
609
77.96
Rhode Island
20
4,448,901
1.96
8.498
611
76.66
Illinois
27
4,018,872
1.77
9.036
607
80.80
Washington
20
3,537,095
1.56
8.276
618
86.03
Nevada
18
3,503,915
1.54
8.258
594
77.59
Hawaii
8
3,181,516
1.40
7.473
616
80.10
North Carolina
23
2,973,831
1.31
8.877
611
78.78
Colorado
18
2,889,646
1.27
8.393
602
80.45
Ohio
25
2,771,637
1.22
9.222
611
87.36
Oregon
13
1,973,188
0.87
8.380
617
80.34
Wisconsin
16
1,960,318
0.86
8.967
605
83.10
Minnesota
12
1,845,245
0.81
8.706
642
81.40
Missouri
12
1,476,512
0.65
8.837
616
85.48
*Geographic Distribution continued on the next page








DESCRIPTION OF THE GROUP IB COLLATERAL

Geographic Distribution (Continued)
 
 
Number of
 
% of Aggregate
 
W.A.
W.A.
 
Initial Mortgage
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Location
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
South Carolina                                         10
1,390,239
0.61
8.822
617
79.33
Alabama
11
1,247,397
0.55
8.943
593
85.96
Indiana
14
1,202,157
0.53
9.294
620
88.05
Maine
6
1,137,969
0.50
8.324
666
84.28
New Hampshire                                          7
1,134,785
0.50
8.731
580
75.10
Arkansas
6
944,140
0.42
9.391
595
89.18
Louisiana
9
900,847
0.40
8.983
663
84.90
Tennessee
7
789,901
0.35
8.402
656
85.92
Kentucky
6
758,226
0.33
8.746
601
78.43
Oklahoma
10
744,666
0.33
10.092
573
74.66
Delaware
5
681,957
0.30
10.190
580
79.69
Montana
3
575,493
0.25
8.432
617
72.67
Idaho
3
496,794
0.22
8.376
632
82.33
Vermont
2
458,096
0.20
8.655
663
92.45
District of Columbia
2
455,214
0.20
8.809
557
65.67
Utah
4
372,401
0.16
9.206
604
91.66
Kansas
4
339,162
0.15
10.311
583
84.78
Iowa
7
287,392
0.13
10.140
594
80.88
Mississippi
1
151,732
0.07
8.680
625
80.00
South Dakota                                              1
107,722
0.05
6.800
582
80.00
Nebraska
1
55,089
0.02
11.400
608
95.00
Wyoming
1
21,481
0.01
10.925
655
100.00
Total:
1,260
227,195,759
100.00
8.362
610
77.20





DESCRIPTION OF THE GROUP IB COLLATERAL

Occupancy Status
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Occupancy Status
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Primary
1,166
208,810,520
91.91
8.324
608
77.11
Investment
88
16,377,674
7.21
8.885
636
77.49
Second Home
6
2,007,565
0.88
8.131
656
85.10
Total:
1,260
227,195,759
100.00
8.362
610
77.20
 

 
Documentation Type
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Program
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Full Documentation
790
120,783,114
53.16
8.416
603
78.00
Stated Documentation
467
105,898,409
46.61
8.299
618
76.31
Limited Documentation
3
514,235
0.23
8.781
615
72.84
Total:
1,260
227,195,759
100.00
8.362
610
77.20
 

Loan Purpose
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Purpose
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Refinance - Cashout
859
177,362,701
78.07
8.235
608
75.60
Purchase
271
26,738,697
11.77
9.011
619
85.30
Refinance - Rate Term
130
23,094,361
10.16
8.592
614
80.16
Total:
1,260
227,195,759
100.00
8.362
610
77.20





DESCRIPTION OF THE GROUP IB COLLATERAL

Property Type
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Property Type
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Single Family Residence
1,019
174,807,758
76.94
8.398
608
77.54
2-4 Family
86
23,989,774
10.56
8.065
629
73.10
PUD
79
14,761,827
6.50
8.300
604
80.04
Condo
76
13,636,400
6.00
8.501
617
76.99
Total:
1,260
227,195,759
100.00
8.362
610
77.20


Rate Adjustment*
 
 
Number of
 
% of Aggregate
 
W.A.
W.A.
Month & Year of Next
Initial Mortgage
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Rate Adjustment
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
August 2007
1
262,000
0.14
6.650
612
73.80
October 2007
6
882,477
0.48
7.896
620
71.53
November 2007
3
744,538
0.40
7.825
604
86.02
December 2007
25
5,958,980
3.21
7.716
618
73.27
January 2008
215
47,841,138
25.77
8.010
611
76.69
February 2008
499
93,344,171
50.29
8.622
598
77.17
March 2008
103
15,442,204
8.32
8.802
605
81.71
December 2008
4
718,111
0.39
8.044
633
68.60
January 2009
5
1,058,732
0.57
8.054
612
73.96
February 2009
26
5,274,415
2.84
7.976
624
79.87
March 2009
19
3,342,029
1.80
8.917
594
77.15
January 2011
14
3,720,619
2.00
7.243
646
79.38
February 2011
25
6,488,938
3.50
7.479
637
74.48
March 2011
3
551,663
0.30
7.612
583
91.39
Total:
948
185,630,014
100.00
8.352
606
77.32
*ARM Loans Only








DESCRIPTION OF THE GROUP IB COLLATERAL


Gross Margin*
 
     
% of Aggregate
 
W.A.
W.A.
Gross
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Margin (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
3.500 - 3.999
1
70,859
0.04
11.140
542
80.00
4.000 - 4.499
5
953,458
0.51
6.086
666
76.76
4.500 - 4.999
20
5,747,422
3.10
6.622
660
72.35
5.000 - 5.499
50
12,802,289
6.90
6.867
634
72.28
5.500 - 5.999
111
24,897,014
13.41
7.474
633
74.65
6.000 - 6.499
189
40,745,529
21.95
7.882
621
77.19
6.500 - 6.999
209
40,470,295
21.80
8.486
604
79.80
7.000 - 7.499
195
32,275,633
17.39
9.207
577
78.46
7.500 - 7.999
168
27,667,517
14.90
9.757
569
78.34
Total:
948
185,630,014
100.00
8.352
606
77.32
*ARM Loans Only





DESCRIPTION OF THE GROUP IB COLLATERAL

Maximum Mortgage Rate*
 
     
% of Aggregate
 
W.A.
W.A.
Maximum
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Mortgage Rate (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
10.000 - 10.499
1
108,285
0.06
7.300
629
80.00
10.500 - 10.999
2
460,277
0.25
7.857
592
74.81
11.000 - 11.499
2
355,743
0.19
8.239
622
80.00
11.500 - 11.999
4
1,011,516
0.54
5.759
630
69.89
12.000 - 12.499
22
6,446,535
3.47
6.356
652
72.38
12.500 - 12.999
64
16,977,212
9.15
6.765
633
74.99
13.000 - 13.499
68
18,381,675
9.90
7.267
631
78.51
13.500 - 13.999
156
36,116,077
19.46
7.732
622
76.52
14.000 - 14.499
103
22,066,187
11.89
8.232
614
79.14
14.500 - 14.999
173
32,356,433
17.43
8.722
596
78.94
15.000 - 15.499
115
20,180,996
10.87
9.195
583
76.33
15.500 - 15.999
108
15,398,934
8.30
9.682
575
79.64
16.000 - 16.499
47
6,064,179
3.27
10.147
575
77.87
16.500 - 16.999
39
5,163,884
2.78
10.716
550
75.82
17.000 - 17.499
19
1,941,658
1.05
11.303
548
76.70
17.500 - 17.999
15
1,422,016
0.77
11.718
536
74.79
18.000 - 18.499
7
674,513
0.36
12.166
531
66.54
18.500 - 18.999
3
503,895
0.27
12.394
522
65.53
Total:
948
185,630,014
100.00
8.352
606
77.32
*ARM Loans Only





DESCRIPTION OF THE GROUP IB COLLATERAL

Minimum Mortgage Rate*
 
     
% of Aggregate
 
W.A.
W.A.
Minimum
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Mortgage Rate (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
5.000 - 5.499
2
801,998
0.43
6.625
641
69.98
5.500 - 5.999
4
1,011,516
0.54
5.759
630
69.89
6.000 - 6.499
22
6,439,298
3.47
6.258
658
72.94
6.500 - 6.999
72
18,657,778
10.05
6.866
629
73.96
7.000 - 7.499
72
18,954,610
10.21
7.291
629
78.32
7.500 - 7.999
162
37,365,784
20.13
7.805
618
76.57
8.000 - 8.499
101
21,741,298
11.71
8.263
613
79.00
8.500 - 8.999
168
31,096,454
16.75
8.756
599
79.47
9.000 - 9.499
112
19,760,681
10.65
9.227
581
76.61
9.500 - 9.999
104
14,551,641
7.84
9.739
575
80.63
10.000 - 10.499
46
5,825,295
3.14
10.188
574
77.37
10.500 - 10.999
37
4,745,569
2.56
10.739
552
76.07
11.000 - 11.499
19
1,941,658
1.05
11.303
548
76.70
11.500 - 11.999
17
1,629,252
0.88
11.730
534
74.96
12.000 - 12.499
8
736,172
0.40
12.152
545
66.41
12.500 - 12.999
2
371,010
0.20
12.539
525
62.53
Total:
948
185,630,014
100.00
8.352
606
77.32
*ARM Loans Only


Initial Periodic Rate Cap*
 
     
% of Aggregate
 
W.A.
W.A.
Initial
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
1.000
4
576,097
0.31
6.753
663
61.59
2.000
37
8,238,119
4.44
8.343
585
71.97
3.000
907
176,815,798
95.25
8.357
607
77.62
Total:
948
185,630,014
100.00
8.352
606
77.32
*ARM Loans Only






DESCRIPTION OF THE GROUP IB COLLATERAL

Subsequent Periodic Rate Cap*
 
     
% of Aggregate
 
W.A.
W.A.
Subsequent
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
1.000
941
184,582,878
99.44
8.358
606
77.42
1.500
7
1,047,136
0.56
7.323
610
59.10
Total:
948
185,630,014
100.00
8.352
606
77.32
*ARM Loans Only

Lifetime Periodic Cap*
 
     
% of Aggregate
 
W.A.
W.A.
Lifetime
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
3.000 - 3.499
8
1,359,831
0.73
8.573
593
76.46
6.000 - 6.499
914
178,367,049
96.09
8.364
606
77.55
6.500 - 6.999
4
905,350
0.49
7.591
656
81.08
7.000 - 7.499
22
4,997,784
2.69
7.974
598
68.69
Total:
948
185,630,014
100.00
8.352
606
77.32
*ARM Loans Only

Original Prepayment Charge Term
 
     
% of Aggregate
 
W.A.
W.A.
Prepayment Penalty
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Term (mos.)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0
357
55,332,885
24.35
8.746
610
76.51
12
97
27,251,875
11.99
8.130
610
73.55
24
610
109,275,170
48.10
8.354
605
78.84
30
2
363,269
0.16
8.047
630
89.45
36
194
34,972,559
15.39
7.967
629
75.91
Total:
1,260
227,195,759
100.00
8.362
610
77.20






DESCRIPTION OF THE GROUP II COLLATERAL

SUMMARY - GROUP II POOL*
 
Number of Mortgage Loans:
2,000
Index Type:
 
Aggregate Principal Balance:
$430,644,844
6 Month LIBOR:
80.12%
Conforming Principal Balance Loans:
$167,536,878
Fixed Rate:
19.88%
Average Principal Balance:
$215,322
W.A. Initial Periodic Cap:
2.977%
Range:
$14,833 - $1,550,000
W.A. Subsequent Periodic Cap
1.007%
W.A. Coupon:
8.252%
W.A. Lifetime Rate Cap
6.034%
Range:
5.650% - 14.150%
Property Type
 
W.A. Gross Margin:
6.264%
Single Family:
78.45%
Range:
4.400% - 9.490%
PUD:
8.52%
W.A. Remaining Term:
356 months
2-4 Family:
7.70%
Range:
174 months - 358 months
Condo:
5.09%
W.A. Seasoning:
4 months
Manufactured Housing:
0.24%
Latest Maturity Date:
March 1, 2036
Occupancy Status:
 
State Concentration (Top 5):
 
Primary:
91.19%
California:
40.10%
Investment:
6.90%
Florida:
10.87%
Second Home:
1.92%
New York
10.78%
Documentation Status:
 
New Jersey:
5.57%
Stated:
57.18%
Texas:
3.73%
Full:
41.20%
W.A. Original Combined LTV:
82.60%
Limited:
0.50%
Range:
20.00% - 100.00%
None:
1.12%
First Liens:
88.75%
Non-Zero W.A. Prepayment Penalty - Term:
24 months
Second Liens:
11.25%
Loans with Prepay Penalties:
76.89%
Non-Balloon Loans:
72.62%
Interest Only Loans
22.37%
Non-Zero W.A. FICO Score:
640
Non-Zero Weighted Average IO Term
60 months
* Subject to a permitted variance of +/- 10%






DESCRIPTION OF THE GROUP II COLLATERAL

Principal Balance at Origination
 
 
Number of
Aggregate
% of Aggregate
 
W.A.
W.A.
Principal Balance at
Initial Mortgage
Remaining
Remaining
W.A.
Non-Zero
Original
Origination ($)
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0.01 - 50,000.00
562
17,619,919
4.09
11.610
616
98.72
50,000.01 - 100,000.00
413
29,710,837
6.90
10.626
638
92.44
100,000.01 - 150,000.00
208
25,570,256
5.94
9.654
632
87.58
150,000.01 - 200,000.00
107
18,304,616
4.25
8.986
632
84.79
200,000.01 - 250,000.00
72
16,024,027
3.72
8.570
638
83.00
250,000.01 - 300,000.00
61
16,875,051
3.92
8.048
646
81.59
300,000.01 - 350,000.00
57
18,471,969
4.29
7.556
668
81.56
350,000.01 - 400,000.00
38
14,336,610
3.33
7.938
662
84.62
400,000.01 - 450,000.00
89
38,276,756
8.89
7.711
638
79.97
450,000.01 - 500,000.00
120
57,111,573
13.26
7.657
638
80.58
500,000.01 - 550,000.00
77
40,230,988
9.34
7.726
648
82.66
550,000.01 - 600,000.00
69
39,559,780
9.19
7.421
660
81.61
600,000.01 - 650,000.00
36
22,479,731
5.22
7.654
645
80.40
650,000.01 - 700,000.00
25
17,034,623
3.96
8.004
632
81.32
700,000.01 - 750,000.00
20
14,539,147
3.38
7.719
648
80.74
750,000.01 - 800,000.00
8
6,184,324
1.44
8.357
598
72.81
800,000.01 - 850,000.00
8
6,697,258
1.56
7.796
616
74.92
850,000.01 - 900,000.00
6
5,321,248
1.24
7.241
656
82.11
900,000.01 - 950,000.00
4
3,687,262
0.86
7.822
627
82.63
950,000.01 - 1,000,000.00
6
5,851,033
1.36
8.118
585
74.72
1,000,000.01 or greater
14
16,757,838
3.89
7.127
620
68.77
Total:
2,000
430,644,844
100.00
8.252
640
82.60







DESCRIPTION OF THE GROUP II COLLATERAL

Remaining Principal Balance
 
 
Number of
 
% of Aggregate
 
W.A.
W.A.
Remaining Principal
Initial
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Balance ($)
Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0.01 - 50,000.00
565
17,769,809
4.13
11.605
616
98.62
50,000.01 - 100,000.00
410
29,560,947
6.86
10.624
639
92.46
100,000.01 - 150,000.00
208
25,570,256
5.94
9.654
632
87.58
150,000.01 - 200,000.00
107
18,304,616
4.25
8.986
632
84.79
200,000.01 - 250,000.00
72
16,024,027
3.72
8.570
638
83.00
250,000.01 - 300,000.00
62
17,174,843
3.99
8.019
646
81.56
300,000.01 - 350,000.00
57
18,521,874
4.30
7.555
670
81.75
350,000.01 - 400,000.00
37
13,986,913
3.25
7.974
660
84.48
400,000.01 - 450,000.00
89
38,276,756
8.89
7.711
638
79.97
450,000.01 - 500,000.00
120
57,111,573
13.26
7.657
638
80.58
500,000.01 - 550,000.00
77
40,230,988
9.34
7.726
648
82.66
550,000.01 - 600,000.00
69
39,559,780
9.19
7.421
660
81.61
600,000.01 - 650,000.00
37
23,129,322
5.37
7.694
642
80.11
650,000.01 - 700,000.00
24
16,385,032
3.80
7.961
636
81.77
700,000.01 - 750,000.00
20
14,539,147
3.38
7.719
648
80.74
750,000.01 - 800,000.00
8
6,184,324
1.44
8.357
598
72.81
800,000.01 - 850,000.00
8
6,697,258
1.56
7.796
616
74.92
850,000.01 - 900,000.00
6
5,321,248
1.24
7.241
656
82.11
900,000.01 - 950,000.00
4
3,687,262
0.86
7.822
627
82.63
950,000.01 - 1,000,000.00
6
5,851,033
1.36
8.118
585
74.72
1,000,000.01 or greater
14
16,757,838
3.89
7.127
620
68.77
Total:
2,000
430,644,844
100.00
8.252
640
82.60


Remaining Term
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Months Remaining
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
121 - 180
14
1,035,721
0.24
9.322
645
83.85
181 - 240
9
460,784
0.11
10.166
625
88.24
301 - 360
1,977
429,148,339
99.65
8.248
640
82.59
Total:
2,000
430,644,844
100.00
8.252
640
82.60







DESCRIPTION OF THE GROUP II COLLATERAL

Product Type
 
 
Number of
Aggregate
% of Aggregate
 
W.A.
W.A.
 
Initial
Remaining
Remaining
W.A.
Non-Zero
Original
Collateral Type
Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Fixed - 15 Year
12
853,227
0.20
9.225
662
84.28
Fixed - 20 Year
9
460,784
0.11
10.166
625
88.24
Fixed - 30 Year
1,003
75,280,279
17.48
10.018
646
90.99
Fixed - 30 Year IO
11
5,347,637
1.24
6.831
675
78.75
Balloon - 15/30
1
20,170
0.00
11.990
576
100.00
Balloon - 30/40
12
3,647,135
0.85
7.549
640
75.66
ARM - 2 Year/6 Month
458
128,000,810
29.72
8.447
625
80.47
ARM - 2 Year/6 Month IO
182
84,631,817
19.65
7.333
660
80.99
ARM - 2 Year/6 Month 30/40 Balloon
230
98,320,322
22.83
7.770
631
81.77
ARM - 3 Year/6 Month
22
4,334,395
1.01
8.845
619
79.09
ARM - 3 Year/6 Month IO
3
1,258,032
0.29
6.455
630
75.21
ARM - 3 Year/6 Month 30/40 Balloon
17
9,233,670
2.14
7.421
667
83.33
ARM - 5 Year/6 Month
16
7,466,836
1.73
7.474
656
75.18
ARM - 5 Year/6 Month IO
11
5,095,020
1.18
6.979
686
79.02
ARM - 5 Year/6 Month 30/40 Balloon
13
6,694,710
1.55
7.566
640
81.31
Total:
2,000
430,644,844
100.00
8.252
640
82.60
 

 
Interest Only Term
 
     
% of Aggregate
 
W.A.
W.A.
Interest Only
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Term (months)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0
1,793
334,312,339
77.63
8.534
634
83.15
60
207
96,332,505
22.37
7.275
662
80.69
Total:
2,000
430,644,844
100.00
8.252
640
82.60







DESCRIPTION OF THE GROUP II COLLATERAL

Mortgage Rate
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Mortgage Rate (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
5.500 - 5.999
22
11,083,264
2.57
5.849
671
78.14
6.000 - 6.499
42
19,976,055
4.64
6.279
676
75.42
6.500 - 6.999
119
58,772,979
13.65
6.804
668
77.88
7.000 - 7.499
119
54,297,243
12.61
7.235
647
78.87
7.500 - 7.999
207
90,881,488
21.10
7.745
639
79.59
8.000 - 8.499
119
42,305,568
9.82
8.236
626
81.49
8.500 - 8.999
183
48,563,023
11.28
8.739
625
84.91
9.000 - 9.499
120
25,585,231
5.94
9.215
626
85.22
9.500 - 9.999
136
21,468,874
4.99
9.737
620
87.02
10.000 - 10.499
135
14,801,004
3.44
10.206
641
91.20
10.500 - 10.999
168
13,188,248
3.06
10.749
640
94.52
11.000 - 11.499
67
4,648,284
1.08
11.257
636
95.96
11.500 - 11.999
172
9,350,321
2.17
11.698
626
96.43
12.000 - 12.499
229
8,789,387
2.04
12.152
596
98.60
12.500 - 12.999
151
6,356,970
1.48
12.615
594
97.63
13.000 - 13.499
7
304,604
0.07
13.200
615
93.55
13.500 - 13.999
3
237,296
0.06
13.608
632
97.64
14.000 - 14.499
1
35,005
0.01
14.150
556
66.53
Total:
2,000
430,644,844
100.00
8.252
640
82.60
 

 
Original Combined Loan-to-Value Ratio
 
Original Combined
Number of
Aggregate
% of Aggregate
 
W.A.
W.A.
Loan-to-Value
Initial
Remaining
Remaining
W.A.
Non-Zero
Original
Ratio (%)
Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Less than or equal to 50.00
29
8,706,814
2.02
7.422
612
43.61
50.01 - 55.00
12
6,025,703
1.40
7.297
609
52.80
55.01 - 60.00
18
9,004,728
2.09
7.633
604
58.10
60.01 - 65.00
36
15,149,117
3.52
7.844
597
63.98
65.01 - 70.00
61
25,368,923
5.89
7.638
611
69.03
70.01 - 75.00
61
23,419,258
5.44
7.921
618
73.64
75.01 - 80.00
511
156,613,659
36.37
7.740
644
79.79
80.01 - 85.00
88
35,046,344
8.14
8.086
626
84.43
85.01 - 90.00
131
54,270,411
12.60
7.950
660
89.20
90.01 - 95.00
45
15,713,542
3.65
8.014
679
94.77
95.01 - 100.00
1,008
81,326,344
18.88
10.149
652
99.84
Total:
2,000
430,644,844
100.00
8.252
640
82.60





DESCRIPTION OF THE GROUP II COLLATERAL

FICO Score at Origination
 
     
% of Aggregate
 
W.A.
W.A.
FICO Score
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
At Origination
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
500 - 524
38
10,789,819
2.51
8.946
512
70.77
525 - 549
50
15,470,772
3.59
9.017
538
71.16
550 - 574
97
19,874,234
4.61
8.590
564
76.28
575 - 599
397
52,456,535
12.18
8.970
587
81.09
600 - 624
388
78,680,047
18.27
8.243
613
82.37
625 - 649
365
88,320,323
20.51
8.161
636
82.30
650 - 674
220
49,344,401
11.46
8.230
662
86.83
675 - 699
162
35,004,167
8.13
8.127
687
85.60
700 - 724
172
44,996,604
10.45
7.696
711
85.85
725 - 749
67
20,973,033
4.87
7.609
736
85.82
750 - 774
33
10,951,354
2.54
7.493
760
84.82
775 - 799
11
3,783,556
0.88
7.554
792
83.22
Total:
2,000
430,644,844
100.00
8.252
640
82.60





DESCRIPTION OF THE GROUP II COLLATERAL

Geographic Distribution*
 
 
Number of
 
% of Aggregate
 
W.A.
W.A.
 
Initial Mortgage
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Location
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
California
482
172,698,427
40.10
7.668
654
82.35
Florida
213
46,823,748
10.87
8.641
633
84.73
New York
141
46,417,463
10.78
7.940
661
81.60
New Jersey
66
24,007,878
5.57
8.464
625
80.39
Texas
198
16,051,052
3.73
9.494
597
84.44
Virginia
79
14,372,624
3.34
8.789
608
77.64
Massachusetts
64
11,880,601
2.76
8.728
648
86.16
Maryland
40
8,918,857
2.07
9.047
607
81.48
Pennsylvania
50
6,996,602
1.62
8.794
618
81.29
Nevada
26
6,560,077
1.52
7.973
650
83.19
Illinois
38
6,513,810
1.51
9.084
619
80.66
Ohio
64
5,829,712
1.35
9.321
629
89.63
Georgia
47
5,308,506
1.23
9.029
621
82.95
Connecticut
28
5,202,470
1.21
8.457
607
79.24
Hawaii
11
5,171,164
1.20
7.855
667
77.54
Arizona
25
4,318,101
1.00
8.380
625
81.85
Michigan
56
3,846,601
0.89
10.105
626
88.33
North Carolina
33
3,800,406
0.88
9.089
625
80.97
Washington
21
3,354,542
0.78
8.615
598
79.26
Colorado
28
2,622,130
0.61
8.859
615
84.47
Oregon
17
2,516,262
0.58
9.404
595
80.52
Rhode Island
13
2,319,690
0.54
8.269
636
84.03
Oklahoma
18
2,149,866
0.50
8.831
641
87.05
Indiana
28
1,991,142
0.46
9.774
621
89.85
Idaho
14
1,780,611
0.41
8.652
610
82.96
*Geographic Distribution continued on the next page








DESCRIPTION OF THE GROUP II COLLATERAL

Geographic Distribution (Continued)
 
 
Number of
 
% of Aggregate
 
W.A.
W.A.
 
Initial Mortgage
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Location
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Maine
13
1,751,872
0.41
8.818
639
91.51
Louisiana
13
1,676,169
0.39
8.876
619
86.81
Tennessee
33
1,601,467
0.37
9.603
612
93.82
Wisconsin
15
1,497,803
0.35
8.259
591
66.84
Kentucky
18
1,377,920
0.32
9.567
609
83.69
Arkansas
6
1,352,812
0.31
9.012
620
93.88
New Hampshire
8
1,168,727
0.27
8.285
639
91.03
Missouri
17
1,075,888
0.25
9.442
621
85.52
Minnesota
7
1,009,548
0.23
7.789
628
77.87
Delaware
4
984,664
0.23
8.710
590
69.74
Vermont
4
821,519
0.19
8.070
666
70.55
Alabama
12
772,856
0.18
9.224
622
86.47
District of Columbia
2
764,243
0.18
8.385
641
88.62
Wyoming
7
751,275
0.17
8.700
623
84.44
Utah
13
738,201
0.17
10.642
632
92.41
South Carolina
14
693,320
0.16
11.038
601
93.71
Montana
1
457,837
0.11
6.350
709
59.35
Kansas
3
388,900
0.09
8.671
631
92.33
Iowa
6
171,585
0.04
11.992
604
100.00
Mississippi
2
71,826
0.02
11.740
624
100.00
South Dakota
2
64,072
0.01
10.965
650
100.00
Total:
2,000
430,644,844
100.00
8.252
640
82.60




DESCRIPTION OF THE GROUP II COLLATERAL

Occupancy Status
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Occupancy Status
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Primary
1,859
392,689,523
91.19
8.215
637
82.56
Investment
114
29,708,355
6.90
8.876
673
82.35
Second Home
27
8,246,966
1.92
7.755
662
85.32
Total:
2,000
430,644,844
100.00
8.252
640
82.60
 

 
Documentation Type
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Program
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Stated Documentation
770
246,255,683
57.18
8.106
654
81.50
Full Documentation
1,209
177,428,355
41.20
8.450
620
84.05
No Documentation
16
4,810,752
1.12
8.453
695
85.47
Limited Documentation
5
2,150,054
0.50
8.175
657
82.65
Total:
2,000
430,644,844
100.00
8.252
640
82.60
 

Loan Purpose
 
     
% of Aggregate
 
W.A.
W.A.
 
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Purpose
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Purchase
1,440
229,850,593
53.37
8.543
657
86.57
Refinance - Cashout
479
181,361,663
42.11
7.904
620
77.73
Refinance - Rate Term
81
19,432,588
4.51
8.068
624
81.12
Total:
2,000
430,644,844
100.00
8.252
640
82.60





DESCRIPTION OF THE GROUP II COLLATERAL

Property Type
 
 
Number of
 
% of Aggregate
 
W.A.
W.A.
 
Initial Mortgage
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Property Type
Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
Single Family Residence
1,603
337,838,492
78.45
8.221
637
82.38
PUD
159
36,686,935
8.52
8.272
640
83.06
2-4 Family
124
33,162,649
7.70
8.362
659
83.52
Condo
109
21,919,014
5.09
8.574
655
83.88
Manufactured Housing
5
1,037,754
0.24
7.445
681
81.61
Total:
2,000
430,644,844
100.00
8.252
640
82.60


Rate Adjustment*
 
 
Number of
Aggregate
% of Aggregate
 
W.A.
W.A.
Month & Year of Next
Initial
Remaining
Remaining
W.A.
Non-Zero
Original
Rate Adjustment
Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
July 2007
1
49,547
0.01
8.550
631
27.03
October 2007
4
1,357,187
0.39
7.161
618
68.75
November 2007
3
770,368
0.22
8.959
564
87.70
December 2007
47
19,843,519
5.75
7.227
702
85.10
January 2008
295
121,508,917
35.22
7.664
647
80.81
February 2008
437
143,122,742
41.48
8.180
620
80.23
March 2008
83
24,300,669
7.04
8.365
632
84.02
August 2008
1
103,029
0.03
7.790
623
85.00
December 2008
2
1,007,425
0.29
6.724
643
81.28
January 2009
5
1,841,484
0.53
7.061
694
79.93
February 2009
17
5,533,724
1.60
7.898
634
80.15
March 2009
17
6,340,434
1.84
7.996
652
82.88
December 2010
3
2,106,614
0.61
7.113
689
79.41
January 2011
17
8,009,745
2.32
7.056
676
79.35
February 2011
17
7,480,221
2.17
7.697
634
74.77
March 2011
3
1,659,986
0.48
7.800
647
88.01
Total:
952
345,035,611
100.00
7.891
638
80.89
*ARM Loans Only






DESCRIPTION OF THE GROUP II COLLATERAL

Gross Margin*
 
 
Number of
Aggregate
% of Aggregate
 
W.A.
W.A.
Gross
Initial
Remaining
Remaining
W.A.
Non-Zero
Original
Margin (%)
Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
4.000 - 4.499
3
1,666,584
0.48
6.203
724
77.06
4.500 - 4.999
27
12,922,166
3.75
6.430
689
77.28
5.000 - 5.499
97
49,987,965
14.49
6.750
664
75.81
5.500 - 5.999
180
74,582,277
21.62
7.354
654
78.83
6.000 - 6.499
192
76,347,160
22.13
7.802
630
80.41
6.500 - 6.999
178
59,047,938
17.11
8.420
627
83.73
7.000 - 7.499
150
38,026,500
11.02
8.974
626
86.65
7.500 - 7.999
98
24,114,385
6.99
9.391
606
85.23
8.000 - 8.499
23
7,045,885
2.04
9.970
556
81.38
8.500 - 8.999
3
1,137,355
0.33
9.673
637
81.35
9.000 - 9.499
1
157,397
0.05
9.990
673
90.00
Total:
952
345,035,611
100.00
7.891
638
80.89
*ARM Loans Only





DESCRIPTION OF THE GROUP II COLLATERAL

Maximum Mortgage Rate*
 
     
% of Aggregate
 
W.A.
W.A.
Maximum
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Mortgage Rate (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
10.000 - 10.499
1
624,367
0.18
7.450
659
100.00
10.500 - 10.999
2
595,546
0.17
7.733
628
80.00
11.000 - 11.499
1
121,534
0.04
8.200
632
80.00
11.500 - 11.999
22
10,687,165
3.10
5.898
669
79.28
12.000 - 12.499
33
15,400,832
4.46
6.298
672
76.39
12.500 - 12.999
92
45,615,819
13.22
6.842
663
78.16
13.000 - 13.499
99
45,107,383
13.07
7.228
649
78.98
13.500 - 13.999
182
80,526,675
23.34
7.709
640
80.04
14.000 - 14.499
111
41,942,371
12.16
8.131
629
81.47
14.500 - 14.999
160
51,680,726
14.98
8.593
629
83.91
15.000 - 15.499
88
23,022,865
6.67
9.161
617
83.71
15.500 - 15.999
77
16,610,722
4.81
9.663
614
86.08
16.000 - 16.499
35
7,226,349
2.09
10.143
591
83.62
16.500 - 16.999
31
4,281,026
1.24
10.570
568
82.73
17.000 - 17.499
8
676,355
0.20
11.305
579
78.67
17.500 - 17.999
8
720,407
0.21
11.701
580
78.11
18.000 - 18.499
2
195,468
0.06
12.227
573
69.92
Total:
952
345,035,611
100.00
7.891
638
80.89
*ARM Loans Only





DESCRIPTION OF THE GROUP II COLLATERAL

Minimum Mortgage Rate*
 
     
% of Aggregate
 
W.A.
W.A.
Minimum
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Mortgage Rate (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
4.500 - 4.999
2
1,106,750
0.32
6.453
706
71.94
5.000 - 5.499
3
1,648,663
0.48
6.684
695
74.74
5.500 - 5.999
29
13,192,675
3.82
6.113
670
79.12
6.000 - 6.499
41
18,416,222
5.34
6.495
672
76.76
6.500 - 6.999
99
47,327,864
13.72
6.884
664
78.31
7.000 - 7.499
104
48,404,608
14.03
7.248
650
79.27
7.500 - 7.999
180
79,695,209
23.10
7.754
635
79.98
8.000 - 8.499
105
38,966,584
11.29
8.232
626
81.89
8.500 - 8.999
147
45,352,747
13.14
8.725
625
85.06
9.000 - 9.499
86
22,255,640
6.45
9.203
618
83.91
9.500 - 9.999
75
16,244,214
4.71
9.729
608
85.70
10.000 - 10.499
34
7,068,952
2.05
10.146
589
83.47
10.500 - 10.999
29
3,763,252
1.09
10.681
574
82.52
11.000 - 11.499
8
676,355
0.20
11.305
579
78.67
11.500 - 11.999
8
720,407
0.21
11.701
580
78.11
12.000 - 12.499
2
195,468
0.06
12.227
573
69.92
Total:
952
345,035,611
100.00
7.891
638
80.89
*ARM Loans Only


Initial Periodic Rate Cap*
 
     
% of Aggregate
 
W.A.
W.A.
Initial
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
1.000
4
1,972,966
0.57
7.480
625
82.66
2.000
12
4,156,686
1.20
8.383
640
82.56
3.000
936
338,905,959
98.22
7.888
639
80.86
Total:
952
345,035,611
100.00
7.891
638
80.89
*ARM Loans Only






DESCRIPTION OF THE GROUP II COLLATERAL

Subsequent Periodic Rate Cap*
 
     
% of Aggregate
 
W.A.
W.A.
Subsequent
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
1.000
940
340,023,323
98.55
7.893
639
80.88
1.500
12
5,012,288
1.45
7.741
628
81.78
Total:
952
345,035,611
100.00
7.891
638
80.89
*ARM Loans Only

Lifetime Periodic Cap*
 
     
% of Aggregate
 
W.A.
W.A.
Lifetime
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Periodic Cap (%)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
3.000 - 3.499
7
2,059,681
0.60
8.291
627
87.44
6.000 - 6.499
902
324,312,696
93.99
7.908
638
80.96
6.500 - 6.999
5
1,760,748
0.51
8.313
661
86.13
7.000 - 7.499
38
16,902,487
4.90
7.474
656
78.23
Total:
952
345,035,611
100.00
7.891
638
80.89
*ARM Loans Only

Original Prepayment Charge Term
 
     
% of Aggregate
 
W.A.
W.A.
Prepayment Penalty
Number of
Aggregate Remaining
Remaining
W.A.
Non-Zero
Original
Term (mos.)
Initial Mortgage Loans
Principal Balance ($)
Principal Balance
Coupon (%)
FICO
CLTV (%)
0
750
99,512,324
23.11
9.151
638
85.56
12
132
54,648,514
12.69
7.893
656
80.23
24
940
234,382,826
54.43
8.041
635
82.57
30
3
1,041,914
0.24
7.903
632
73.60
36
173
40,768,043
9.47
7.767
653
78.91
60
2
291,223
0.07
7.473
717
81.64
Total:
2,000
430,644,844
100.00
8.252
640
82.60







FOR ADDITIONAL INFORMATION PLEASE CALL:


Deutsche Bank Securities
 
Whole Loan Trading
 
Michael Commaroto
212-250-3114
Paul Mangione
212-250-5786
Gary Huang
212-250-7943
   
ABS Banking
 
Sue Valenti
212-250-3455
Doug Nicholson
212-250-0865
   
ABS Structuring
 
Bill Yeung
212-250-6893
Chris Sudol
212-250-0507
   
ABS Collateral
 
Steve Lumer
212-250-0115
Andrew McDermott
212-250-3978
Reta Chandra
212-250-2729