-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, FqE5CTlpnwExFYbRsFt+XTOf+8aG8OaMO0djsLfId7Fjg01sa9wiD/qCpSCeMfOb pDup7vYlSj2/WM2BNuFebg== 0000882377-06-003157.txt : 20060921 0000882377-06-003157.hdr.sgml : 20060921 20060920184418 ACCESSION NUMBER: 0000882377-06-003157 CONFORMED SUBMISSION TYPE: FWP PUBLIC DOCUMENT COUNT: 2 FILED AS OF DATE: 20060921 SUBJECT COMPANY: COMPANY DATA: COMPANY CONFORMED NAME: ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP5 CENTRAL INDEX KEY: 0001376086 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: FWP SEC ACT: 1934 Act SEC FILE NUMBER: 333-131727-15 FILM NUMBER: 061100909 BUSINESS ADDRESS: STREET 1: 6525 MORRISON BLVD STREET 2: SUITE 318 CITY: CHARLOTTE STATE: NC ZIP: 28211 BUSINESS PHONE: 7043650569 MAIL ADDRESS: STREET 1: 6525 MORRISON BLVD STREET 2: SUITE 318 CITY: CHARLOTTE STATE: NC ZIP: 28211 FILED BY: COMPANY DATA: COMPANY CONFORMED NAME: ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP5 CENTRAL INDEX KEY: 0001376086 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: FWP BUSINESS ADDRESS: STREET 1: 6525 MORRISON BLVD STREET 2: SUITE 318 CITY: CHARLOTTE STATE: NC ZIP: 28211 BUSINESS PHONE: 7043650569 MAIL ADDRESS: STREET 1: 6525 MORRISON BLVD STREET 2: SUITE 318 CITY: CHARLOTTE STATE: NC ZIP: 28211 FWP 1 d569795.htm ACE SECURITIES CORP. Unassociated Document
ACE Securities Corp.
Home Equity Loan Trust Series 2006-ASAP5
FREE WRITING PROSPECTUS

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

$795,572,000 (Approximate)
 
Home Equity Loan Trust
 
Series 2006-ASAP5

ACE Securities Corp
(Depositor)
 
ACE Securities Corp Home Equity Loan Trust, Series 2006-ASAP5
(Issuing Entity)




September 20, 2006





The depositor 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 depositor has filed with the SEC for more complete information about the depositor and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the depositor, 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.’s (“DBSI”) 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 (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 ISSUING ENTITY OF THE SECURITIES OR ANY OF ITS AFFILIATES. DBSI IS ACTING AS UNDERWRITER AND NOT ACTING AS AGENT FOR THE ISSUING ENTITY IN CONNECTION WITH THE PROPOSED TRANSACTION.



 


FREE WRITING PROSPECTUS DATED September 20, 2006
ACE Securities Corp.
Home Equity Loan Trust, Series 2006-ASAP5
$795,572,000 (Approximate)
All dollar amounts and percentages contained herein are subject to a permitted variance of +/- 10%
 
Structure Overview
To 10% Optional Termination
 
Class
 
Approximate
Size ($)
 
Type
WAL
(yrs)
Principal
Payment
Window (months)
Pmt
Delay
(days)
Interest
Accrual
Basis
Legal
Final
Maturity
Expected
Ratings
S / M
Offered Certificates:
              
A-1A
204,109,000
Float
2.31
1 - 81
0
ACT/360
October 2036
AAA / Aaa
A-1B
124,883,000
Float
2.35
1 - 81
0
ACT/360
October 2036
AAA / Aaa
A-2A
146,687,000
Float
1.00
1 - 22
0
ACT/360
October 2036
AAA / Aaa
A-2B
66,584,000
Float
2.00
22 - 28
0
ACT/360
October 2036
AAA / Aaa
A-2C
67,524,000
Float
3.50
28 - 69
0
ACT/360
October 2036
AAA / Aaa
A-2D
32,976,000
Float
6.59
69 - 81
0
ACT/360
October 2036
AAA / Aaa
M-1
29,915,000
Float
4.84
45 - 81
0
ACT/360
October 2036
AA+ / Aa1
M-2
26,276,000
Float
4.73
42 - 81
0
ACT/360
October 2036
AA+ / Aa2
M-3
15,362,000
Float
4.68
41 - 81
0
ACT/360
October 2036
AA+ / Aa3
M-4
14,149,000
Float
4.64
40 - 81
0
ACT/360
October 2036
AA / A1
M-5
13,745,000
Float
4.62
39 - 81
0
ACT/360
October 2036
AA / A2
M-6
12,532,000
Float
4.60
39 - 81
0
ACT/360
October 2036
AA- / A3
M-7
12,128,000
Float
4.58
38 - 81
0
ACT/360
October 2036
A+ / Baa1
M-8
8,489,000
Float
4.57
38 - 81
0
ACT/360
October 2036
A / Baa2
M-9
8,085,000
Float
4.56
37 - 81
0
ACT/360
October 2036
A- / Baa3
M-10
4,043,000
Float
4.54
37 - 81
0
ACT/360
October 2036
BBB+ / Ba1
M-11
8,085,000
Float
4.42
37 - 81
0
ACT/360
October 2036
BBB- / Ba2
                 
Total
$795,572,000
    
 
 
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”), 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” or “Class M Certificates”). The Class A-1A Certificates are backed by conforming principal balance fixed-rate and adjustable-rate first and second lien mortgage loans (the “Group 1A Mortgage Loans”), the Class A-1B Certificates are backed by conforming principal balance fixed-rate and adjustable-rate first and second lien mortgage loans (the “Group 1B 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 (the “Group 2 Mortgage Loans”).
 
The Group 1 Mortgage Loans will be further divided into two groups, the Group 1A Mortgage Loans and the Group 1B Mortgage Loans. The Mezzanine Certificates are backed by the Group 1 Mortgage Loans and Group 2 Mortgage Loans (collectively, the “Mortgage Loans”). The Senior Certificates along with the Mezzanine Certificates are referred to herein as the “Offered Certificates.” The trust will also issue the Class CE Certificates, the Class P Certificates and the Class R Certificates which are referred to herein as the “Non-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 5,215 adjustable-rate and fixed-rate, first and second lien, closed-end, mortgage loans. The aggregate outstanding principal balance of the Mortgage Loans is approximately $808,505,850 as of the Cut-off Date subject to a permitted variance of +/- 10%. The Mortgage Loans will be separated into three groups. The Group 1A Mortgage Loans will represent approximately 1,924 conforming principal balance fixed-rate and adjustable-rate Mortgage Loans totaling approximately $256,740,978, the Group 1B Mortgage Loans will represent approximately 1,222 conforming principal balance fixed-rate and adjustable-rate Mortgage Loans totaling approximately $157,085,662, and the Group 2 Mortgage Loans will represent approximately 2,069 conforming and non-conforming principal balance fixed-rate and adjustable-rate Mortgage Loans totaling approximately $394,679,210.
 
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”)
 
Issuing Entity:
ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP5. The Issuing Entity is also referred to herein as the trust.
 
Master Servicer and Securities Administrator:
 
Wells Fargo Bank, National Association
Servicer:
Ocwen Loan Servicing, LLC
 
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
 
Cap Provider:
TBD
 
Cut-off Date:
September 1, 2006
 
Expected Pricing:
Week of September 18, 2006
 
Expected Closing Date:
On or about September 28, 2006
 
Record Date:
For so long as the Offered Certificates are held in book-entry form, the Record Date will be the business day immediately preceding the related Distribution Date. With respect to any Offered Certificates held in definitive form, the Record Date will be the last business day of the month immediately preceding the month in which the related Distribution Date occurs.
 
Distribution Date:
25th day of each month (or the next business day if such day is not a business day) commencing in October 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.
 
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 shall be (i) with respect to principal prepayments in full, the period from the 16th day of the month immediately preceding the Distribution Date to the 15th day of the month in which the Distribution Date occurs and (ii) with respect to principal prepayments in part, the calendar month immediately preceding the month in which the Distribution Date occurs.
 
Interest Accrual Period:
Interest will initially accrue on the Offered 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 Offered 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 0.5200% for the Mortgage Loans.
 
Prepayment Interest Shortfalls:
Interest shortfalls attributable to voluntary principal prepayments on 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 amount of 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 amount of the compensation payable to the Master Servicer for the related Distribution Date.
 
Optional Termination:
On any Distribution Date on which the aggregate outstanding principal balance of the Mortgage Loans as of the last day of the related Due Period 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 purchase 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 by the Servicer. 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 these advances, and therefore these advances are not a form of credit enhancement.
 
Credit Enhancement:
1) Excess Interest;
2) Overcollateralization (“OC”); and
3) Subordination
 
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, if any is available for such Distribution Date, 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 aggregate 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 1.60% 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 3.20% of the aggregate principal balance of the Mortgage Loans as of the last day of the related Due Period, subject to a floor amount of approximately 0.50% of the aggregate outstanding principal balance of the Mortgage Loans as of the Cut-off Date. If, due to losses, the Overcollateralization Amount is reduced below the Required Overcollateralization Amount, excess spread, if any is 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. In addition, Net Swap Payments paid by the Swap Provider may be used to restore or maintain the Required Overcollateralization Amount.
 
Overcollateralization Increase Amount:
An Overcollateralization Increase Amount for any Distribution Date is the lesser of (i) the Net Monthly Excess Cashflow and Net Swap Payments received from the Swap Provider, if any, for that Distribution Date and (ii) the excess of the Required Overcollateralization Amount over 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 first Distribution Date following the distribution date on which the aggregate 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 October 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 41.00%.
 
Credit Enhancement Percentage:
As of the Closing Date the Initial Credit Enhancement Percentage is as set forth below under the heading “Initial CE %”. 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.
 
 
Class
(S/M)
Initial CE %
CE % On/After Step Down Date
 
A
AAA / Aaa
20.50%
41.00%
 
M-1
AA+ / Aa1
16.80%
33.60%
 
M-2
AA+ / Aa2
13.55%
27.10%
 
M-3
AA+ / Aa3
11.65%
23.30%
 
M-4
AA / A1
9.90%
19.80%
 
M-5
AA / A2
8.20%
16.40%
 
M-6
AA- / A3
6.65%
13.30%
 
M-7
A+ / Baa1
5.15%
10.30%
 
M-8
A / Baa2
4.10%
8.20%
 
M-8
A- / Baa3
3.10%
6.20%
 
M-10
BBB+ / Ba1
2.60%
5.20%
 
M-11
BBB- / Ba2
1.60%
3.20%
         
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 payable to the Swap Provider and the Swap Termination Payment, if any, required to be made by the Securities Administrator, on behalf of the supplemental interest trust (not caused by the occurrence of a Swap Provider trigger event) (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 the product of 12 and 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 during the related Due Period minus the fees payable to the Servicer, the Master Servicer and the Credit Risk Manager with respect to the related Mortgage Loans for such Distribution Date and the Group 1A Allocation Percentage, Group 1B Allocation Percentage or Group 2 Allocation Percentage, as applicable, of any Net Swap Payment or Swap Termination Payment made to the Swap Provider (not caused by the occurrence of a Swap Provider trigger event) 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).
 
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 current 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 1A Allocation Percentage: The aggregate principal balance of the Group 1A Mortgage Loans divided by the sum of the aggregate principal balance of the Group 1A Mortgage Loans, Group 1B Mortgage Loans and the Group 2 Mortgage Loans.
Group 1B Allocation Percentage: The aggregate principal balance of the Group 1B Mortgage Loans divided by the sum of the aggregate principal balance of the Group 1A Mortgage Loans, Group 1B Mortgage Loans and the Group 2 Mortgage Loans.
 
Group 2 Allocation Percentage: The aggregate principal balance of the Group 2 Mortgage Loans divided by the sum of the aggregate principal balance of the Group 1A Mortgage Loans, Group 1B Mortgage Loans and the Group 2 Mortgage Loans.
 
Net WAC Rate Carryover Amount:
If on any Distribution Date the Pass-Through Rate for any class of the Series 2006-ASAP5 Certificates is limited by the related Net WAC Pass-Through Rate, such class will be entitled to the “Net WAC Rate Carryover Amount” which 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.
 
Group IA Cap Agreement:
On the Closing Date, the Trustee will enter into a “Group IA Cap Agreement” which will be effective commencing on the Distribution Date in October 2006 and ending immediately following the Distribution Date in March 2007 to make payments in respect of any Net WAC Rate Carryover Amounts in respect of the Class A-1A and Mezzanine Certificates as described herein. The Group IA Cap Agreement requires a cap payment in an amount equal to the product of: (1) the excess, if any, of one-month LIBOR over a strike rate of 7.50% for the related Distribution Date; (2) the related scheduled notional amount, which is based on the lesser of (i) the expected amortization of the Group IA Mortgage Loans and (ii) the aggregate Certificate Principal Balance of the Class A-1A Certificates, Mezzanine Certificates and Class CE Certificates, and (3) a fraction, the numerator of which is the actual number of days elapsed from the previous Distribution Date to but excluding the current Distribution Date (or, for the first Distribution Date, the actual number of days elapsed from the Closing Date to but excluding the first Distribution Date), and the denominator of which is 360.
 
Group IB Cap Agreement:
On the Closing Date, the Trustee will enter into a “Group IB Cap Agreement” which will be effective commencing on the Distribution Date in October 2006 and ending immediately following the Distribution Date in March 2007 to make payments in respect of any Net WAC Rate Carryover Amounts in respect of the Class A-1B and Mezzanine Certificates as described herein. The Group IB Cap Agreement requires a cap payment in an amount equal to the product of: (1) the excess, if any, of one-month LIBOR over a strike rate of 7.50% for the related Distribution Date; (2) the related scheduled notional amount, which is based on the lesser of (i) the expected amortization of the Group IB Mortgage Loans and (ii) the aggregate Certificate Principal Balance of the Class A-1B Certificates, Mezzanine Certificates and Class CE Certificates, and (3) a fraction, the numerator of which is the actual number of days elapsed from the previous Distribution Date to but excluding the current Distribution Date (or, for the first Distribution Date, the actual number of days elapsed from the Closing Date to but excluding the first Distribution Date), and the denominator of which is 360.
 
Group II Cap Agreement:
On the Closing Date, the Trustee will enter into a “Group II Cap Agreement” which will be effective commencing on the Distribution Date in October 2006 and ending immediately following the Distribution Date in March 2007 to make payments in respect of any Net WAC Rate Carryover Amounts in respect of the Class A-2A, Class A-2B, Class A-2C, Class A-2D and Mezzanine Certificates as described herein. The Group II Cap Agreement requires a cap payment in an amount equal to the product of: (1) the excess, if any, of one-month LIBOR over a strike rate of 7.50% for the related Distribution Date; (2) the related scheduled notional amount, which is based on the lesser of (i) the expected amortization of the Group II Mortgage Loans and (ii) the aggregate Certificate Principal Balance of the Class A-2A, Class A-2B, Class A-2C, Class A-2D and Mezzanine Certificates, and Class CE Certificates, and (3) a fraction, the numerator of which is the actual number of days elapsed from the previous Distribution Date to but excluding the current Distribution Date (or, for the first Distribution Date, the actual number of days elapsed from the Closing Date to but excluding the first Distribution Date), and the denominator of which is 360.
 
Swap Agreement:
On the Closing Date, the Trustee will enter into a Swap Agreement with the Swap Provider described in the final prospectus supplement. The Swap Agreement will have an initial notional amount of $719,985,572. Beginning with the Distribution Date in April 2007, the Trust (through a supplemental interest trust) will be obligated to pay an amount equal to [5.13]% 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 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, generally, 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 related 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; (iv) all Compensating Interest paid by the Servicer or the Master Servicer in respect of Prepayment Interest Shortfalls for the related Due Period; and (v) Net Swap Payments payable by the Swap Provider.
 
Class A Principal Distribution Amount:
Until the Stepdown Date, the Class A Principal Distribution Amount will be distributed to the holders of the Class A-1 Certificates and the Class A-2 Certificates concurrently, on a pro rata basis based on the related Class A principal allocation percentage (for any Distribution Date, the percentage equivalent of a fraction, the numerator of which is the principal remittance amount for the Group 1A Mortgage Loans (in the case of the Class A-1A Certificates), the principal remittance for the Group 1B Mortgage Loans (in the case of the Class A-1B Certificates), or the principal remittance amount for the Group 2 Mortgage Loans (in the case of the Class A-2 Certificates) and the denominator of which is equal to the principal remittance amount for all of the Mortgage Loans).
 
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 and any net swap payment (or portion thereof) paid by the Swap Provider and available 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-1A Certificates will be an amount such that the Class A-1A Certificates will maintain approximately a 41.00% Credit Enhancement Percentage, principal paid on the Class A-1B Certificates will be an amount such that the Class A-1B Certificates will maintain approximately a 41.00% Credit Enhancement Percentage and principal paid on the Class A-2 Certificates will be an amount such that the Class A-2 Certificates will maintain approximately a 41.00% Credit Enhancement Percentage. The Class A Principal Distribution Amount will be distributed to the holders of the Class A-1A, Class A-1B 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 concurrently, 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 33.60% Credit Enhancement Percentage (2x the Class M-1 Initial Credit Enhancement Percentage), second to the Class M-2 Certificates until it reaches approximately a 27.10% Credit Enhancement Percentage (2x the Class M-2 Initial Credit Enhancement Percentage), third to the Class M-3 Certificates until it reaches approximately a 23.30% Credit Enhancement Percentage (2x the Class M-3 Initial Credit Enhancement Percentage), fourth to the Class M-4 Certificates until it reaches approximately a 19.80% Credit Enhancement Percentage (2x the Class M-4 Initial Credit Enhancement Percentage), fifth to the Class M-5 Certificates until it reaches approximately a 16.40% Credit Enhancement Percentage (2x the Class M-5 Initial Credit Enhancement Percentage), sixth to the Class M-6 Certificates until it reaches approximately a 13.30% Credit Enhancement Percentage (2x the Class M-6 Initial Credit Enhancement Percentage), seventh to the Class M-7 Certificates until it reaches approximately a 10.30% Credit Enhancement Percentage (2x the Class M-7 Initial Credit Enhancement Percentage), eighth to the Class M-8 Certificates until it reaches approximately a 8.20% Credit Enhancement Percentage (2x the Class M-8 Initial Credit Enhancement Percentage), ninth to the Class M-9 Certificates until it reaches approximately a 6.20% Credit Enhancement Percentage (2x the Class M-9 Initial Credit Enhancement Percentage), tenth to the Class M-10 Certificates until it reaches approximately a 5.20% 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 3.20% Credit Enhancement Percentage (2x the Class M-11 Initial Credit Enhancement Percentage).
 
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, provided that the pass-through rate on the certificates will still be subject to the applicable Net WAC Pass-Through Rate.
 
 
Class
After Optional Termination
 
A
2 x related Margin
 
M
The lesser of 1.5 x related Margin and related 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 the below applicable percentages of the Credit Enhancement Percentages for the most senior class of Class A and Mezzanine Certificates then outstanding:
 
 
Class
Percentage
 
Class A Certificates
38.85%
 
Class M-1 Certificates
47.41%
 
Class M-2 Certificates
58.78%
 
Class M-3 Certificates
68.36%
 
Class M-4 Certificates
80.45%
 
Class M-5 Certificates
97.12%
 
Class M-6 Certificates
119.76%
 
Class M-7 Certificates
154.65%
 
Class M-8 Certificates
194.25%
 
Class M-9 Certificates
256.91%
 
Class M-10 Certificates
306.32%
 
Class M-11 Certificates
497.77%
     
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
 
October 2008 to September 2009
1.35%, plus 1/12th of 1.70% for each month thereafter
 
October 2009 to September 2010
3.05%, plus 1/12th of 1.70% for each month thereafter
 
October 2010 to September 2011
4.75%, plus 1/12th of 1.35% for each month thereafter
 
October 2011 to September 2012
6.10%, plus 1/12th of 0.65% for each month thereafter
 
October 2012 and thereafter
6.75%
     
Payment Priority:
I. On each Distribution Date, the Available Distribution Amount (net of any Net Swap Payments payable by the Swap Provider) will be distributed as follows:
1.  To the Supplemental Interest Trust, to pay any Net Swap Payment and any 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, 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 restore or 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 under the Swap Agreement) owed to the Swap Provider.
10.  To pay any remaining amount to the Non-offered Certificates in accordance with the Pooling and Servicing Agreement.
 
II. Any Net Swap Payments on deposit in the Supplemental Interest Trust will be paid as follows:
1.  To pay any Net Swap Payment and any 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 including any accrued unpaid interest from a prior Distribution Date, on a pro rata basis, and then to pay any unpaid interest including any accrued unpaid interest from prior Distribution Dates to the Mezzanine Certificates, sequentially.
3.  To pay any principal to the Offered Certificates in accordance with the principal payment provisions described above in an amount necessary to restore or maintain the Required Overcollateralization Amount.*
4.  To pay any unpaid allocated Realized Losses* remaining unpaid on the Mezzanine Certificates, sequentially.
5.  To pay the Net WAC Rate Carryover Amount on the Offered Certificates remaining unpaid in the same order of priority as described in I.2 above.
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.
* Notwithstanding the foregoing, the cumulative amount paid pursuant to clauses 3 and 4 shall at no time be permitted to exceed the cumulative amount of realized losses incurred on the Mortgage Loans from and after the Cut-Off Date.
 
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.
 
Legal Investment:
The Offered Certificates will not constitute “mortgage related securities” for purposes of the Secondary Mortgage Market Enhancement Act of 1984.
 
Taxation - REMIC:
One or more REMIC elections will be made for designated portions of the Trust Trust (exclusive of the reserve fund, the Group IA Cap Agreement, the Group IB Cap Agreement, the Group II Cap Agreement, 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.
 
 






Cap Schedules

 
Group IA Cap Schedule
Payment Date
Notional Amount ($)
Strike Rate (%)
10/25/2006
256,740,978.00
7.50
11/25/2006
254,711,790.00
7.50
12/25/2006
252,239,240.00
7.50
1/25/2007
249,326,760.00
7.50
2/25/2007
245,979,775.00
7.50
3/25/2007
242,206,025.00
7.50


Group IB Cap Schedule
Payment Date
Notional Amount ($)
Strike Rate (%)
10/25/2006
157,085,662.00
7.50
11/25/2006
155,842,558.00
7.50
12/25/2006
154,331,661.00
7.50
1/25/2007
152,554,956.00
7.50
2/25/2007
150,515,794.00
7.50
3/25/2007
148,218,907.00
7.50


Group II Cap Schedule
Payment Date
Notional Amount ($)
Strike Rate (%)
10/25/2006
394,679,210.00
7.50
11/25/2006
391,629,433.00
7.50
12/25/2006
387,901,087.00
7.50
1/25/2007
383,498,678.00
7.50
2/25/2007
378,430,186.00
7.50
3/25/2007
372,707,119.00
7.50




Swap Schedule


Distribution Date
Notional Schedule ($)
Distribution Date
Notional Schedule ($)
10/25/2006
0
5/25/2009
156,833,818
11/25/2006
0
6/25/2009
149,775,663
12/25/2006
0
7/25/2009
143,040,473
1/25/2007
0
8/25/2009
136,613,331
2/25/2007
0
9/25/2009
130,481,631
3/25/2007
0
10/25/2009
124,630,215
4/25/2007
719,985,572
11/25/2009
119,045,711
5/25/2007
698,228,539
12/25/2009
113,715,758
6/25/2007
674,692,377
1/25/2010
108,628,581
7/25/2007
649,501,814
2/25/2010
103,772,956
8/25/2007
622,842,072
3/25/2010
99,138,192
9/25/2007
597,004,811
4/25/2010
94,714,101
10/25/2007
572,234,850
5/25/2010
90,490,942
11/25/2007
548,495,423
6/25/2010
86,459,448
12/25/2007
525,743,544
7/25/2010
82,610,785
1/25/2008
503,938,026
8/25/2010
78,936,532
2/25/2008
483,039,402
9/25/2010
75,428,660
3/25/2008
463,009,857
10/25/2010
72,079,514
4/25/2008
443,813,155
11/25/2010
68,881,799
5/25/2008
425,414,574
12/25/2010
65,828,555
6/25/2008
407,744,101
1/25/2011
62,913,150
7/25/2008
390,397,280
2/25/2011
60,129,259
8/25/2008
334,950,493
3/25/2011
57,470,852
9/25/2008
285,052,372
4/25/2011
54,932,179
10/25/2008
243,494,335
5/25/2011
52,507,755
11/25/2008
209,091,243
6/25/2011
50,192,354
12/25/2008
197,599,143
7/25/2011
47,980,990
1/25/2009
188,622,508
8/25/2011
45,868,814
2/25/2009
180,107,265
9/25/2011
43,842,598
3/25/2009
171,982,709
10/25/2011
41,906,914
4/25/2009
164,230,666
11/25/2011
40,058,306
   
12/25/2011
38,292,808



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
20.79
4.34
2.31
1.64
1.27
 
First Payment Date
Oct-06
Oct-06
Oct-06
Oct-06
Oct-06
 
Last Payment Date
Apr-36
Jul-19
Jun-13
Oct-11
Mar-09
             
A-1B
Avg Life
20.59
4.39
2.35
1.70
1.29
 
First Payment Date
Oct-06
Oct-06
Oct-06
Oct-06
Oct-06
 
Last Payment Date
Apr-36
Jul-19
Jun-13
Oct-11
Apr-09
             
A-2A
Avg Life
14.24
1.51
1.00
0.84
0.69
 
First Payment Date
Oct-06
Oct-06
Oct-06
Oct-06
Oct-06
 
Last Payment Date
May-27
Jun-09
Jul-08
Mar-08
Nov-07
             
A-2B
Avg Life
22.75
3.63
2.00
1.77
1.47
 
First Payment Date
May-27
Jun-09
Jul-08
Mar-08
Nov-07
 
Last Payment Date
Sep-31
Aug-11
Jan-09
Sep-08
Jun-08
             
A-2C
Avg Life
27.14
7.39
3.50
2.22
1.92
 
First Payment Date
Sep-31
Aug-11
Jan-09
Sep-08
Jun-08
 
Last Payment Date
Sep-35
Sep-17
Jun-12
Jun-09
Oct-08
             
A-2D
Avg Life
29.48
12.54
6.59
4.05
2.26
 
First Payment Date
Sep-35
Sep-17
Jun-12
Jun-09
Oct-08
 
Last Payment Date
Apr-36
Jul-19
Jun-13
Oct-11
Apr-09
             
M-1
Avg Life
27.51
8.43
4.84
4.99
3.45
 
First Payment Date
Sep-30
Sep-10
Jun-10
May-11
Apr-09
 
Last Payment Date
Apr-36
Jul-19
Jun-13
Oct-11
Jun-10
             
M-2
Avg Life
27.51
8.43
4.73
4.52
3.74
 
First Payment Date
Sep-30
Sep-10
Mar-10
Oct-10
Jun-10
 
Last Payment Date
Apr-36
Jul-19
Jun-13
Oct-11
Jun-10
             
M-3
Avg Life
27.51
8.43
4.68
4.26
3.74
 
First Payment Date
Sep-30
Sep-10
Feb-10
Jul-10
May-10
 
Last Payment Date
Apr-36
Jul-19
Jun-13
Oct-11
Jun-10
             
M-4
Avg Life
27.51
8.43
4.64
4.12
3.58
 
First Payment Date
Sep-30
Sep-10
Jan-10
May-10
Feb-10
 
Last Payment Date
Apr-36
Jul-19
Jun-13
Oct-11
Jun-10
             
M-5
Avg Life
27.51
8.43
4.62
4.02
3.41
 
First Payment Date
Sep-30
Sep-10
Dec-09
Mar-10
Dec-09
 
Last Payment Date
Apr-36
Jul-19
Jun-13
Oct-11
Jun-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-6
Avg Life
27.51
8.43
4.60
3.94
3.28
 
First Payment Date
Aug-30
Sep-10
Dec-09
Feb-10
Oct-09
 
Last Payment Date
Apr-36
Jul-19
Jun-13
Oct-11
Jun-10
             
M-7
Avg Life
27.51
8.43
4.58
3.88
3.19
 
First Payment Date
Aug-30
Sep-10
Nov-09
Jan-10
Aug-09
 
Last Payment Date
Apr-36
Jul-19
Jun-13
Oct-11
Jun-10
             
M-8
Avg Life
27.51
8.43
4.57
3.83
3.12
 
First Payment Date
Aug-30
Sep-10
Nov-09
Dec-09
Jul-09
 
Last Payment Date
Apr-36
Jul-19
Jun-13
Oct-11
Jun-10
             
M-9
Avg Life
27.51
8.43
4.56
3.80
3.07
 
First Payment Date
Aug-30
Sep-10
Oct-09
Nov-09
Jul-09
 
Last Payment Date
Apr-36
Jul-19
Jun-13
Oct-11
Jun-10
             
M-10
Avg Life
27.51
8.43
4.54
3.77
3.03
 
First Payment Date
Aug-30
Sep-10
Oct-09
Nov-09
Jun-09
 
Last Payment Date
Apr-36
Jul-19
Jun-13
Oct-11
Jun-10
             
M-11
Avg Life
27.45
8.19
4.42
3.67
2.94
 
First Payment Date
Aug-30
Sep-10
Oct-09
Oct-09
Jun-09
 
Last Payment Date
Apr-36
Jul-19
Jun-13
Oct-11
Jun-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
20.80
4.65
2.50
1.78
1.27
 
First Payment Date
Oct-06
Oct-06
Oct-06
Oct-06
Oct-06
 
Last Payment Date
Aug-36
Mar-32
Nov-21
Jul-18
Mar-09
             
A-1B
Avg Life
20.61
4.72
2.57
1.86
1.29
 
First Payment Date
Oct-06
Oct-06
Oct-06
Oct-06
Oct-06
 
Last Payment Date
Aug-36
Aug-32
Feb-22
Dec-18
Apr-09
             
A-2A
Avg Life
14.24
1.51
1.00
0.84
0.69
 
First Payment Date
Oct-06
Oct-06
Oct-06
Oct-06
Oct-06
 
Last Payment Date
May-27
Jun-09
Jul-08
Mar-08
Nov-07
             
A-2B
Avg Life
22.75
3.63
2.00
1.77
1.47
 
First Payment Date
May-27
Jun-09
Jul-08
Mar-08
Nov-07
 
Last Payment Date
Sep-31
Aug-11
Jan-09
Sep-08
Jun-08
             
A-2C
Avg Life
27.14
7.39
3.50
2.22
1.92
 
First Payment Date
Sep-31
Aug-11
Jan-09
Sep-08
Jun-08
 
Last Payment Date
Sep-35
Sep-17
Jun-12
Jun-09
Oct-08
             
A-2D
Avg Life
29.63
15.38
8.51
5.51
2.26
 
First Payment Date
Sep-35
Sep-17
Jun-12
Jun-09
Oct-08
 
Last Payment Date
Aug-36
Dec-31
Aug-21
Sep-18
Apr-09
             
M-1
Avg Life
27.56
9.21
5.35
5.53
5.56
 
First Payment Date
Sep-30
Sep-10
Jun-10
May-11
Apr-09
 
Last Payment Date
Aug-36
May-29
Nov-19
Nov-16
Jul-15
             
M-2
Avg Life
27.56
9.18
5.22
4.91
4.70
 
First Payment Date
Sep-30
Sep-10
Mar-10
Oct-10
Oct-10
 
Last Payment Date
Aug-36
Feb-28
Jan-19
Mar-16
Sep-13
             
M-3
Avg Life
27.56
9.15
5.14
4.63
4.10
 
First Payment Date
Sep-30
Sep-10
Feb-10
Jul-10
May-10
 
Last Payment Date
Aug-36
Mar-27
May-18
Sep-15
Apr-13
             
M-4
Avg Life
27.56
9.12
5.09
4.48
3.84
 
First Payment Date
Sep-30
Sep-10
Jan-10
May-10
Feb-10
 
Last Payment Date
Aug-36
Jul-26
Dec-17
Apr-15
Jan-13
             
M-5
Avg Life
27.56
9.08
5.04
4.36
3.65
 
First Payment Date
Sep-30
Sep-10
Dec-09
Mar-10
Dec-09
 
Last Payment Date
Aug-36
Oct-25
Jun-17
Dec-14
Oct-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-6
Avg Life
27.55
9.03
4.98
4.24
3.50
 
First Payment Date
Aug-30
Sep-10
Dec-09
Feb-10
Oct-09
 
Last Payment Date
Jul-36
Dec-24
Dec-16
Jul-14
Jun-12
             
M-7
Avg Life
27.55
8.94
4.92
4.14
3.38
 
First Payment Date
Aug-30
Sep-10
Nov-09
Jan-10
Aug-09
 
Last Payment Date
Jul-36
Dec-23
Apr-16
Jan-14
Feb-12
             
M-8
Avg Life
27.55
8.83
4.84
4.04
3.27
 
First Payment Date
Aug-30
Sep-10
Nov-09
Dec-09
Jul-09
 
Last Payment Date
Jul-36
Sep-22
Jul-15
Jun-13
Aug-11
             
M-9
Avg Life
27.55
8.72
4.74
3.94
3.17
 
First Payment Date
Aug-30
Sep-10
Oct-09
Nov-09
Jul-09
 
Last Payment Date
Jul-36
Aug-21
Nov-14
Dec-12
Apr-11
             
M-10
Avg Life
27.53
8.55
4.61
3.83
3.07
 
First Payment Date
Aug-30
Sep-10
Oct-09
Nov-09
Jun-09
 
Last Payment Date
Jun-36
Aug-20
Feb-14
Apr-12
Oct-10
             
M-11
Avg Life
27.45
8.19
4.42
3.67
2.94
 
First Payment Date
Aug-30
Sep-10
Oct-09
Oct-09
Jun-09
 
Last Payment Date
Apr-36
Sep-19
Jul-13
Nov-11
Jul-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
10/25/2006
21.240
  
46
7/25/2010
18.054
2
11/25/2006
20.113
  
47
8/25/2010
17.710
3
12/25/2006
20.366
  
48
9/25/2010
17.634
4
1/25/2007
20.113
  
49
10/25/2010
17.889
5
2/25/2007
20.113
  
50
11/25/2010
17.445
6
3/25/2007
20.929
  
51
12/25/2010
17.704
7
4/25/2007
22.047
  
52
1/25/2011
17.283
8
5/25/2007
21.981
  
53
2/25/2011
17.288
9
6/25/2007
21.702
  
54
3/25/2011
18.373
10
7/25/2007
21.601
  
55
4/25/2011
17.135
11
8/25/2007
21.275
  
56
5/25/2011
17.410
12
9/25/2007
21.052
  
57
6/25/2011
16.967
13
10/25/2007
20.941
  
58
7/25/2011
17.246
14
11/25/2007
20.617
  
59
8/25/2011
16.822
15
12/25/2007
20.518
  
60
9/25/2011
16.768
16
1/25/2008
20.200
  
61
10/25/2011
17.062
17
2/25/2008
19.995
  
62
11/25/2011
16.620
18
3/25/2008
20.052
  
63
12/25/2011
16.911
19
4/25/2008
19.605
  
64
1/25/2012
12.360
20
5/25/2008
19.546
  
65
2/25/2012
12.360
21
6/25/2008
19.231
  
66
3/25/2012
13.215
22
7/25/2008
19.664
  
67
4/25/2012
12.360
23
8/25/2008
20.001
  
68
5/25/2012
12.766
24
9/25/2008
19.132
  
69
6/25/2012
12.349
25
10/25/2008
18.536
  
70
7/25/2012
12.755
26
11/25/2008
17.572
  
71
8/25/2012
12.344
27
12/25/2008
17.630
  
72
9/25/2012
12.346
28
1/25/2009
17.408
  
73
10/25/2012
12.755
29
2/25/2009
17.755
  
74
11/25/2012
12.338
30
3/25/2009
18.490
  
75
12/25/2012
12.743
31
4/25/2009
17.520
  
76
1/25/2013
12.327
32
5/25/2009
17.660
  
77
2/25/2013
12.327
33
6/25/2009
17.271
  
78
3/25/2013
13.649
34
7/25/2009
17.638
  
79
4/25/2013
12.325
35
8/25/2009
18.010
  
80
5/25/2013
12.730
36
9/25/2009
17.980
  
81
6/25/2013
12.314
37
10/25/2009
18.172
        
38
11/25/2009
17.754
        
39
12/25/2009
17.950
        
40
1/25/2010
17.699
        
41
2/25/2010
18.156
        
42
3/25/2010
19.181
        
43
4/25/2010
17.989
        
44
5/25/2010
18.225
        
45
6/25/2010
17.782
        

*Running to Call
*PPC: 100% (ARM); PPC: 100% (Fixed)
*1 Month LIBOR: 20%
*6 Month LIBOR: 20%; 1 Year LIBOR: 20%
*Includes Net Swap Payments received from the Swap Provider and includes Cap Proceeds



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
10/25/2006
21.232
  
46
7/25/2010
17.461
2
11/25/2006
20.106
  
47
8/25/2010
17.118
3
12/25/2006
20.359
  
48
9/25/2010
17.038
4
1/25/2007
20.106
  
49
10/25/2010
17.271
5
2/25/2007
20.106
  
50
11/25/2010
16.845
6
3/25/2007
20.921
  
51
12/25/2010
17.082
7
4/25/2007
22.039
  
52
1/25/2011
16.675
8
5/25/2007
21.973
  
53
2/25/2011
16.659
9
6/25/2007
21.697
  
54
3/25/2011
17.673
10
7/25/2007
21.595
  
55
4/25/2011
16.501
11
8/25/2007
21.269
  
56
5/25/2011
16.752
12
9/25/2007
21.046
  
57
6/25/2011
16.331
13
10/25/2007
20.936
  
58
7/25/2011
16.590
14
11/25/2007
20.612
  
59
8/25/2011
16.175
15
12/25/2007
20.514
  
60
9/25/2011
16.123
16
1/25/2008
20.193
  
61
10/25/2011
16.392
17
2/25/2008
19.988
  
62
11/25/2011
15.970
18
3/25/2008
20.035
  
63
12/25/2011
16.238
19
4/25/2008
19.589
  
64
1/25/2012
11.708
20
5/25/2008
19.518
  
65
2/25/2012
11.703
21
6/25/2008
19.205
  
66
3/25/2012
12.512
22
7/25/2008
19.620
  
67
4/25/2012
11.699
23
8/25/2008
19.765
  
68
5/25/2012
12.081
24
9/25/2008
18.926
  
69
6/25/2012
11.685
25
10/25/2008
18.319
  
70
7/25/2012
12.068
26
11/25/2008
17.353
  
71
8/25/2012
11.673
27
12/25/2008
17.404
  
72
9/25/2012
11.675
28
1/25/2009
17.178
  
73
10/25/2012
12.059
29
2/25/2009
17.453
  
74
11/25/2012
11.662
30
3/25/2009
18.162
  
75
12/25/2012
12.044
31
4/25/2009
17.223
  
76
1/25/2013
11.648
32
5/25/2009
17.349
  
77
2/25/2013
11.643
33
6/25/2009
16.969
  
78
3/25/2013
12.892
34
7/25/2009
17.304
  
79
4/25/2013
11.639
35
8/25/2009
17.559
  
80
5/25/2013
12.019
36
9/25/2009
17.530
  
81
6/25/2013
11.623
37
10/25/2009
17.709
        
38
11/25/2009
17.300
        
39
12/25/2009
17.479
        
40
1/25/2010
17.228
        
41
2/25/2010
17.591
        
42
3/25/2010
18.562
        
43
4/25/2010
17.429
        
44
5/25/2010
17.644
        
45
6/25/2010
17.217
        

*Running to Call
*PPC: 100% (ARM); PPC: 100% (Fixed)
*1 Month LIBOR: 20%
*6 Month LIBOR: 20%; 1 Year LIBOR: 20%
*Includes Net Swap Payments received from the Swap Provider and includes Cap Proceeds



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
10/25/2006
21.035
  
46
7/25/2010
17.738
2
11/25/2006
19.934
  
47
8/25/2010
17.369
3
12/25/2006
20.182
  
48
9/25/2010
17.314
4
1/25/2007
19.934
  
49
10/25/2010
17.559
5
2/25/2007
19.934
  
50
11/25/2010
17.126
6
3/25/2007
20.731
  
51
12/25/2010
17.375
7
4/25/2007
21.868
  
52
1/25/2011
16.957
8
5/25/2007
21.796
  
53
2/25/2011
16.924
9
6/25/2007
21.524
  
54
3/25/2011
17.986
10
7/25/2007
21.416
  
55
4/25/2011
16.787
11
8/25/2007
21.098
  
56
5/25/2011
17.050
12
9/25/2007
20.875
  
57
6/25/2011
16.619
13
10/25/2007
20.759
  
58
7/25/2011
16.894
14
11/25/2007
20.441
  
59
8/25/2011
16.482
15
12/25/2007
20.337
  
60
9/25/2011
16.418
16
1/25/2008
20.022
  
61
10/25/2011
16.695
17
2/25/2008
19.818
  
62
11/25/2011
16.265
18
3/25/2008
19.853
  
63
12/25/2011
16.544
19
4/25/2008
19.419
  
64
1/25/2012
12.007
20
5/25/2008
19.353
  
65
2/25/2012
12.008
21
6/25/2008
19.165
  
66
3/25/2012
12.836
22
7/25/2008
19.409
  
67
4/25/2012
12.003
23
8/25/2008
19.772
  
68
5/25/2012
12.398
24
9/25/2008
18.937
  
69
6/25/2012
11.992
25
10/25/2008
18.334
  
70
7/25/2012
12.389
26
11/25/2008
17.381
  
71
8/25/2012
11.989
27
12/25/2008
17.477
  
72
9/25/2012
11.989
28
1/25/2009
17.201
  
73
10/25/2012
12.383
29
2/25/2009
17.551
  
74
11/25/2012
11.978
30
3/25/2009
18.272
  
75
12/25/2012
12.372
31
4/25/2009
17.322
  
76
1/25/2013
11.970
32
5/25/2009
17.456
  
77
2/25/2013
11.968
33
6/25/2009
17.115
  
78
3/25/2013
13.250
34
7/25/2009
17.394
  
79
4/25/2013
11.963
35
8/25/2009
17.660
  
80
5/25/2013
12.356
36
9/25/2009
17.702
  
81
6/25/2013
11.952
37
10/25/2009
17.890
        
38
11/25/2009
17.479
        
39
12/25/2009
17.709
        
40
1/25/2010
17.401
        
41
2/25/2010
17.819
        
42
3/25/2010
18.841
        
43
4/25/2010
17.683
        
44
5/25/2010
17.908
        
45
6/25/2010
17.483
        

*Running to Call
*PPC: 100% (ARM); PPC: 100% (Fixed)
*1 Month LIBOR: 20%
*6 Month LIBOR: 20%; 1 Year LIBOR: 20%
*Includes Net Swap Payments received from the Swap Provider and includes Cap Proceeds



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
10/25/2006
21.139
  
46
7/25/2010
17.785
2
11/25/2006
20.024
  
47
8/25/2010
17.429
3
12/25/2006
20.275
  
48
9/25/2010
17.362
4
1/25/2007
20.024
  
49
10/25/2010
17.606
5
2/25/2007
20.024
  
50
11/25/2010
17.169
6
3/25/2007
20.831
  
51
12/25/2010
17.419
7
4/25/2007
21.958
  
52
1/25/2011
17.003
8
5/25/2007
21.889
  
53
2/25/2011
16.985
9
6/25/2007
21.614
  
54
3/25/2011
18.044
10
7/25/2007
21.510
  
55
4/25/2011
16.838
11
8/25/2007
21.187
  
56
5/25/2011
17.103
12
9/25/2007
20.964
  
57
6/25/2011
16.670
13
10/25/2007
20.851
  
58
7/25/2011
16.943
14
11/25/2007
20.530
  
59
8/25/2011
16.527
15
12/25/2007
20.429
  
60
9/25/2011
16.468
16
1/25/2008
20.111
  
61
10/25/2011
16.749
17
2/25/2008
19.907
  
62
11/25/2011
16.317
18
3/25/2008
19.951
  
63
12/25/2011
16.597
19
4/25/2008
19.511
  
64
1/25/2012
12.057
20
5/25/2008
19.446
  
65
2/25/2012
12.056
21
6/25/2008
19.194
  
66
3/25/2012
12.889
22
7/25/2008
19.531
  
67
4/25/2012
12.053
23
8/25/2008
19.843
  
68
5/25/2012
12.449
24
9/25/2008
18.997
  
69
6/25/2012
12.041
25
10/25/2008
18.395
  
70
7/25/2012
12.438
26
11/25/2008
17.436
  
71
8/25/2012
12.036
27
12/25/2008
17.511
  
72
9/25/2012
12.037
28
1/25/2009
17.262
  
73
10/25/2012
12.433
29
2/25/2009
17.597
  
74
11/25/2012
12.026
30
3/25/2009
18.320
  
75
12/25/2012
12.421
31
4/25/2009
17.366
  
76
1/25/2013
12.016
32
5/25/2009
17.500
  
77
2/25/2013
12.014
33
6/25/2009
17.136
  
78
3/25/2013
13.302
34
7/25/2009
17.454
  
79
4/25/2013
12.010
35
8/25/2009
17.752
  
80
5/25/2013
12.404
36
9/25/2009
17.757
  
81
6/25/2013
11.997
37
10/25/2009
17.944
        
38
11/25/2009
17.532
        
39
12/25/2009
17.741
        
40
1/25/2010
17.462
        
41
2/25/2010
17.882
        
42
3/25/2010
18.895
        
43
4/25/2010
17.731
        
44
5/25/2010
17.958
        
45
6/25/2010
17.527
        

*Running to Call
*PPC: 100% (ARM); PPC: 100% (Fixed)
*1 Month LIBOR: 20%
*6 Month LIBOR: 20%; 1 Year LIBOR: 20%
*Includes Net Swap Payments received from the Swap Provider and includes Cap Proceeds


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

 
Period
Excess
Spread in bp
(Static LIBOR)
 
1 Month Forward
LIBOR (%)
 
6 Month &
1 Year Forward
LIBOR (%)
Excess
Spread in bp
(Forward LIBOR)
Period
Excess
Spread in bp
(Static LIBOR)
 
1 Month Forward
LIBOR (%)
 
6 Month & 1 Year Forward
LIBOR (%)
Excess
Spread in bp
(Forward LIBOR)
1
284
5.3300
5.4394
284
45
447
5.0991
5.1947
439
2
212
5.3652
5.4412
208
46
458
5.0965
5.2141
451
3
230
5.4019
5.4308
223
47
446
5.0950
5.2352
444
4
212
5.3940
5.4147
205
48
446
5.0930
5.2586
445
5
212
5.3901
5.3859
206
49
458
5.2174
5.2797
449
6
266
5.3902
5.3575
260
50
445
5.2205
5.2813
437
7
248
5.3403
5.3260
248
51
457
5.2212
5.2830
448
8
248
5.3055
5.2922
248
52
445
5.2232
5.2843
437
9
247
5.3046
5.2602
247
53
444
5.2256
5.2852
439
10
248
5.2389
5.2247
248
54
482
5.2251
5.2865
476
11
246
5.2161
5.1959
246
55
443
5.2275
5.2887
438
12
245
5.1928
5.1661
246
56
456
5.2283
5.2919
451
13
247
5.1452
5.1360
248
57
443
5.2297
5.2965
438
14
244
5.1179
5.1086
246
58
456
5.2303
5.2993
451
15
246
5.0934
5.0842
249
59
443
5.2324
5.3033
440
16
243
5.0681
5.0590
246
60
445
5.2334
5.3072
441
17
242
5.0408
5.0316
246
61
458
5.2492
5.3097
453
18
249
5.0170
5.0078
254
62
444
5.2509
5.3108
440
19
241
4.9932
4.9839
247
63
458
5.2510
5.3109
453
20
245
4.9674
4.9922
252
64
433
5.2520
5.3117
431
21
246
4.9441
5.0061
253
65
433
5.2530
5.3116
431
22
284
4.9195
5.0234
288
66
470
5.2523
5.3119
468
23
413
4.8950
5.0420
405
67
434
5.2534
5.3127
432
24
418
4.8715
5.0634
413
68
453
5.2537
5.3193
450
25
424
5.0564
5.0893
413
69
435
5.2538
5.3248
433
26
413
5.0489
5.0815
404
70
454
5.2535
5.3302
452
27
421
5.0406
5.0726
413
71
436
5.2538
5.3374
435
28
413
5.0316
5.0639
405
72
437
5.2537
5.3426
436
29
417
5.0237
5.0557
407
73
456
5.2889
5.3474
452
30
446
5.0145
5.0471
435
74
438
5.2892
5.3478
434
31
416
5.0076
5.0401
407
75
457
5.2885
5.3474
453
32
426
4.9989
5.0559
417
76
439
5.2898
5.3476
436
33
415
4.9914
5.0752
407
77
440
5.2889
5.3468
437
34
430
4.9818
5.0960
422
78
495
5.2876
5.3464
492
35
439
4.9744
5.1161
433
79
442
5.2893
5.3471
439
36
448
4.9663
5.1396
443
80
461
5.2878
5.3557
458
37
458
5.1104
5.1624
446
81
444
5.2878
5.3641
441
38
443
5.1096
5.1610
431
          
39
456
5.1082
5.1591
444
          
40
445
5.1068
5.1578
435
          
41
446
5.1060
5.1558
438
          
42
481
5.1027
5.1542
472
          
43
447
5.1022
5.1546
439
          
44
459
5.1002
5.1723
450
          
* The product of 1) 120,000 and 2) a percentage, the numerator of which is aggregate net interest on the mortgage loans minus aggregate current interest paid to the certificates and any net swap payment to the swap provider plus any net swap payment received from the swap provider, and the denominator of which is aggregate pool balance of mortgage loans.



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
28.21
21.13
M-2
22.79
18.46
M-3
19.97
16.89
M-4
17.57
15.45
M-5
15.40
14.04
M-6
13.53
12.74
M-7
11.76
11.43
M-8
10.56
10.50
M-9
9.39
9.55
M-10
8.82
9.07
M-11
7.91
8.28



DESCRIPTION OF THE TOTAL COLLATERAL


SUMMARY - AGGREGATE POOL*
 
Number of Mortgage Loans:
5,215
  
Index Type:
  
Aggregate Principal Balance:
$808,505,850
 
6 Month LIBOR:
85.45%
Conforming Principal Balance Loans:
$637,810,990
 
1 Year LIBOR:
0.03%
Average Principal Balance:
$155,035
 
Fixed Rate:
14.52%
Range:
$9,991 - $1,198,400
  
W.A. Initial Periodic Cap:1
2.979%
W.A. Coupon:
8.295%
  
W.A. Subsequent Periodic Cap:1
1.004%
Range:
5.500% - 13.750%
  
W.A. Lifetime Rate Cap:1
5.998%
W.A. Gross Margin:1
5.485%
  
Property Type:
  
Range:1 
2.250% - 8.660%
  
Single Family:
62.88%
W.A. Remaining Term (months):
348
 
PUD:
25.31%
Range (months):
167 - 360
 
Condo:
7.12%
W.A. Seasoning (months):
2
 
2-4 Family:
4.58%
Latest Maturity Date:
September 1, 2036
  
Rowhouse:
0.09%
State Concentration (Top 5):
    
Modular:
0.02%
California:
20.78%
  
Occupancy Status:
  
Minnesota:
7.86%
  
Primary:
97.98%
Florida:
7.77%
  
Investment:
1.38%
Michigan:
6.13%
  
Second Home:
0.64%
Arizona:
5.79%
  
Documentation Status:
  
W.A. Original Combined LTV:
81.69%
  
Full:
61.14%
Range:
19.61% - 100.00%
  
Limited:
33.62%
First Liens:
94.16%
  
None:
5.23%
Second Liens:
5.84%
  
Non-Zero W.A. Prepayment Penalty Term (months):
28
Non-Balloon Loans:
84.67%
  
Loans with Prepay Penalties:
72.89%
Non-Zero W.A. FICO Score:
639
  
Interest Only Loans:
44.98%
     
Non-Zero W.A. Interest Only Term (months):
60

 
* Subject to a permitted variance of +/- 10%
1 ARM loans only




DESCRIPTION OF THE TOTAL COLLATERAL
 
 
Collateral 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
    
62
    
3,149,101
    
0.39
    
10.074
    
634
    
87.32
  
Fixed - 20 Year
    
22
    
911,766
    
0.11
    
11.024
    
630
    
97.90
  
Fixed - 30 Year
    
411
    
60,114,152
    
7.44
    
8.187
    
648
    
79.46
  
Fixed - 30 Year IO
    
1
    
165,000
    
0.02
    
6.850
    
673
    
75.00
  
Balloon - 15/30
    
974
    
43,270,053
    
5.35
    
11.252
    
645
    
99.33
  
Balloon - 20/30
    
28
    
1,105,255
    
0.14
    
11.597
    
642
    
99.53
  
Balloon - 30/40
    
42
    
8,712,870
    
1.08
    
8.038
    
649
    
79.57
  
ARM - 6 Month
    
1
    
351,583
    
0.04
    
8.625
    
588
    
80.00
  
ARM - 6 Month IO
    
9
    
3,186,850
    
0.39
    
8.148
    
638
    
78.36
  
ARM - 1 Year/6 Month
    
11
    
2,279,217
    
0.28
    
7.991
    
631
    
79.55
  
ARM - 1 Year/6 Month 30/40 Balloon
    
6
    
1,392,282
    
0.17
    
8.451
    
622
    
80.51
  
ARM - 1 Year/6 Month IO
    
21
    
6,119,038
    
0.76
    
8.419
    
643
    
80.31
  
ARM - 2 Year/6 Month
    
1,452
    
205,428,355
    
25.41
    
8.419
    
630
    
81.85
  
ARM - 2 Year/6 Month IO
    
1,216
    
288,729,355
    
35.71
    
7.891
    
647
    
79.94
  
ARM - 2 Year/6 Month 30/40 Balloon
    
250
    
54,005,936
    
6.68
    
8.380
    
628
    
81.68
  
ARM - 2 Year/6 Month 30/50 Balloon
    
20
    
4,672,896
    
0.58
    
8.455
    
632
    
82.57
  
ARM - 3 Year/6 Month
    
295
    
45,054,897
    
5.57
    
8.142
    
632
    
80.99
  
ARM - 3 Year/6 Month IO
    
268
    
56,313,460
    
6.97
    
7.781
    
641
    
80.38
  
ARM - 3 Year/6 Month 30/40 Balloon
    
53
    
9,643,249
    
1.19
    
8.057
    
616
    
78.19
  
ARM - 3 Year/6 Month 30/50 Balloon
    
1
    
107,991
    
0.01
    
9.000
    
604
    
80.00
  
ARM - 5 Year/6 Month
    
20
    
3,576,754
    
0.44
    
7.793
    
653
    
78.95
  
ARM - 5 Year/6 Month IO
    
46
    
8,931,984
    
1.10
    
7.810
    
655
    
80.82
  
ARM - 5 Year/6 Month 30/40 Balloon
    
3
    
461,372
    
0.06
    
7.913
    
627
    
80.00
  
ARM - 5 Year/6 Month 30/50 Balloon
    
2
    
582,434
    
0.07
    
7.860
    
670
    
85.06
  
ARM - 5 Year/1 Year IO
    
1
    
240,000
    
0.03
    
6.875
    
667
    
33.33
  
Total:
    
5,215
    
808,505,850
    
100.00
    
8.295
    
639
    
81.69
  
 
 


 


DESCRIPTION OF THE TOTAL COLLATERAL


IO Terms
  
 
 
Number of
      
% of Aggregate
      
W.A.
  
W.A.
  
IO Terms (mos.)
  
Initial
  
Aggregate Remaining
  
Remaining
  
W.A.
  
Non-Zero
  
Original
  
   
Mortgage Loans
  
Principal Balance ($)
  
Principal Balance
  
Coupon (%)
  
FICO
  
CLTV (%)
  
0
    
3,653
    
444,820,163
    
55.02
    
8.632
    
634
    
83.08
  
60
    
1,560
    
363,233,687
    
44.93
    
7.881
    
646
    
80.01
  
120
    
2
    
452,000
    
0.06
    
8.223
    
667
    
64.60
  
Total:
    
5,215
    
808,505,850
    
100.00
    
8.295
    
639
    
81.69
  


Principal Balance at Origination
  
   
Number of
  
Aggregate
  
% of Aggregate
  
W.A.
  
W.A.
  
W.A.
  
Principal Balance at
  
Initial Mortgage
  
Remaining
  
Remaining
  
Coupon
 
Non-Zero
  
Original
  
Origination ($)
  
Loans
  
Principal Balance ($)
  
Principal Balance
  
(%)
  
FICO
  
CLTV (%)
  
0.01 - 50,000.00
    
859
    
27,734,326
    
3.43
    
11.194
    
632
    
96.03
  
50,000.01 - 100,000.00
    
1,043
    
78,249,121
    
9.68
    
9.384
    
625
    
85.80
  
100,000.01 - 150,000.00
    
1,186
    
147,395,883
    
18.23
    
8.354
    
630
    
81.05
  
150,000.01 - 200,000.00
    
798
    
138,966,363
    
17.19
    
8.115
    
634
    
81.17
  
200,000.01 - 250,000.00
    
520
    
115,625,194
    
14.30
    
7.975
    
638
    
80.58
  
250,000.01 - 300,000.00
    
301
    
82,448,171
    
10.20
    
7.958
    
644
    
80.52
  
300,000.01 - 350,000.00
    
173
    
55,678,197
    
6.89
    
7.916
    
648
    
80.84
  
350,000.01 - 400,000.00
    
120
    
44,955,752
    
5.56
    
7.922
    
642
    
80.83
  
400,000.01 - 450,000.00
    
59
    
25,113,082
    
3.11
    
7.842
    
661
    
80.82
  
450,000.01 - 500,000.00
    
54
    
25,638,088
    
3.17
    
8.062
    
650
    
81.13
  
500,000.01 - 550,000.00
    
29
    
15,231,713
    
1.88
    
7.994
    
651
    
78.81
  
550,000.01 - 600,000.00
    
29
    
16,705,527
    
2.07
    
7.669
    
665
    
76.97
  
600,000.01 - 650,000.00
    
11
    
6,837,249
    
0.85
    
8.234
    
650
    
81.84
  
650,000.01 - 700,000.00
    
6
    
4,068,401
    
0.50
    
7.264
    
686
    
80.00
  
700,000.01 - 750,000.00
    
7
    
5,046,814
    
0.62
    
8.283
    
670
    
82.59
  
750,000.01 - 800,000.00
    
5
    
3,880,942
    
0.48
    
7.857
    
643
    
84.05
  
800,000.01 - 850,000.00
    
1
    
840,000
    
0.10
    
7.990
    
706
    
80.00
  
850,000.01 - 900,000.00
    
2
    
1,755,000
    
0.22
    
8.309
    
674
    
76.01
  
900,000.01 - 950,000.00
    
4
    
3,703,746
    
0.46
    
7.806
    
680
    
79.79
  
950,000.01 - 1,000,000.00
    
3
    
2,960,000
    
0.37
    
7.748
    
679
    
64.42
  
Greater than or equal to 1,000,000.01
    
5
    
5,672,281
    
0.70
    
7.517
    
731
    
77.97
  
Total:
    
5,215
    
808,505,850
    
100.00
    
8.295
    
639
    
81.69
  

 
 
 


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
    
859
    
27,734,326
    
3.43
    
11.194
    
632
    
96.03
  
50,000.01 - 100,000.00
    
1,046
    
78,548,736
    
9.72
    
9.380
    
625
    
85.72
  
100,000.01 - 150,000.00
    
1,183
    
147,096,267
    
18.19
    
8.354
    
630
    
81.09
  
150,000.01 - 200,000.00
    
798
    
138,966,363
    
17.19
    
8.115
    
634
    
81.17
  
200,000.01 - 250,000.00
    
521
    
115,874,996
    
14.33
    
7.971
    
638
    
80.58
  
250,000.01 - 300,000.00
    
300
    
82,198,369
    
10.17
    
7.963
    
644
    
80.52
  
300,000.01 - 350,000.00
    
173
    
55,678,197
    
6.89
    
7.916
    
648
    
80.84
  
350,000.01 - 400,000.00
    
120
    
44,955,752
    
5.56
    
7.922
    
642
    
80.83
  
400,000.01 - 450,000.00
    
59
    
25,113,082
    
3.11
    
7.842
    
661
    
80.82
  
450,000.01 - 500,000.00
    
54
    
25,638,088
    
3.17
    
8.062
    
650
    
81.13
  
500,000.01 - 550,000.00
    
29
    
15,231,713
    
1.88
    
7.994
    
651
    
78.81
  
550,000.01 - 600,000.00
    
29
    
16,705,527
    
2.07
    
7.669
    
665
    
76.97
  
600,000.01 - 650,000.00
    
11
    
6,837,249
    
0.85
    
8.234
    
650
    
81.84
  
650,000.01 - 700,000.00
    
6
    
4,068,401
    
0.50
    
7.264
    
686
    
80.00
  
700,000.01 - 750,000.00
    
7
    
5,046,814
    
0.62
    
8.283
    
670
    
82.59
  
750,000.01 - 800,000.00
    
5
    
3,880,942
    
0.48
    
7.857
    
643
    
84.05
  
800,000.01 - 850,000.00
    
1
    
840,000
    
0.10
    
7.990
    
706
    
80.00
  
850,000.01 - 900,000.00
    
2
    
1,755,000
    
0.22
    
8.309
    
674
    
76.01
  
900,000.01 - 950,000.00
    
4
    
3,703,746
    
0.46
    
7.806
    
680
    
79.79
  
950,000.01 - 1,000,000.00
    
3
    
2,960,000
    
0.37
    
7.748
    
679
    
64.42
  
Greater than or equal to 1,000,000.01
    
5
    
5,672,281
    
0.70
    
7.517
    
731
    
77.97
  
Total:
    
5,215
    
808,505,850
    
100.00
    
8.295
    
639
    
81.69
  


Remaining Term
  
 
 
 Number of
      
% of Aggregate
      
W.A.
  
W.A.
  
   
Initial
  
Aggregate Remaining
  
Remaining
  
W.A.
  
Non-Zero
  
Original
  
Months Remaining
  
Mortgage Loans
  
Principal Balance ($)
  
Principal Balance
  
Coupon (%)
  
FICO
  
CLTV (%)
  
121 - 180
    
1,036
    
46,419,154
    
5.74
    
11.172
    
645
    
98.51
  
181 - 240
    
50
    
2,017,021
    
0.25
    
11.338
    
637
    
98.79
  
301 - 360
    
4,129
    
760,069,675
    
94.01
    
8.111
    
639
    
80.62
  
Total:
    
5,215
    
808,505,850
    
100.00
    
8.295
    
639
    
81.69
  

 
 
 


DESCRIPTION OF THE TOTAL COLLATERAL

Mortgage Rate
  
 
 
Number of
      
% of Aggregate
      
W.A.
  
W.A.
  
   
Initial
  
Aggregate Remaining
  
Remaining
  
W.A.
  
Non-Zero
  
Original
  
Mortgage Rate (%)
  
Mortgage Loans
  
Principal Balance ($)
  
Principal Balance
  
Coupon (%)
  
FICO
  
CLTV (%)
  
5.500 - 5.999
    
11
    
3,036,505
    
0.38
    
5.841
    
735
    
66.28
  
6.000 - 6.499
    
51
    
11,797,065
    
1.46
    
6.241
    
666
    
78.97
  
6.500 - 6.999
    
256
    
58,699,125
    
7.26
    
6.756
    
669
    
78.58
  
7.000 - 7.499
    
498
    
105,339,932
    
13.03
    
7.225
    
662
    
79.01
  
7.500 - 7.999
    
921
    
197,741,491
    
24.46
    
7.723
    
648
    
78.60
  
8.000 - 8.499
    
742
    
136,167,592
    
16.84
    
8.213
    
635
    
80.59
  
8.500 - 8.999
    
796
    
128,527,744
    
15.90
    
8.702
    
621
    
81.34
  
9.000 - 9.499
    
341
    
50,701,844
    
6.27
    
9.196
    
612
    
83.36
  
9.500 - 9.999
    
446
    
52,162,346
    
6.45
    
9.700
    
614
    
87.53
  
10.000 - 10.499
    
192
    
15,841,038
    
1.96
    
10.211
    
621
    
92.26
  
10.500 - 10.999
    
189
    
14,468,227
    
1.79
    
10.716
    
636
    
94.66
  
11.000 - 11.499
    
196
    
10,722,791
    
1.33
    
11.224
    
642
    
99.36
  
11.500 - 11.999
    
234
    
10,669,102
    
1.32
    
11.708
    
630
    
99.37
  
12.000 - 12.499
    
141
    
6,236,099
    
0.77
    
12.171
    
612
    
99.76
  
12.500 - 12.999
    
103
    
3,299,730
    
0.41
    
12.725
    
598
    
99.54
  
13.000 - 13.499
    
74
    
2,324,500
    
0.29
    
13.156
    
593
    
99.23
  
13.500 - 13.999
    
24
    
770,718
    
0.10
    
13.538
    
590
    
99.90
  
Total:
    
5,215
    
808,505,850
    
100.00
    
8.295
    
639
    
81.69
  

 


 
 
 


DESCRIPTION OF THE TOTAL COLLATERAL

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
    
76
    
10,133,812
    
1.25
    
7.989
    
626
    
40.57
  
50.01 - 55.00
    
20
    
2,823,464
    
0.35
    
7.823
    
616
    
52.84
  
55.01 - 60.00
    
39
    
6,868,711
    
0.85
    
8.060
    
609
    
57.95
  
60.01 - 65.00
    
80
    
14,625,841
    
1.81
    
8.067
    
615
    
63.41
  
65.01 - 70.00
    
70
    
14,308,093
    
1.77
    
8.126
    
637
    
68.82
  
70.01 - 75.00
    
112
    
23,980,718
    
2.97
    
8.008
    
630
    
73.84
  
75.01 - 80.00
    
2,919
    
551,493,899
    
68.21
    
7.899
    
644
    
79.92
  
80.01 - 85.00
    
173
    
33,691,919
    
4.17
    
8.601
    
610
    
84.45
  
85.01 - 90.00
    
246
    
41,321,074
    
5.11
    
8.962
    
622
    
89.65
  
90.01 - 95.00
    
181
    
26,479,723
    
3.28
    
9.014
    
644
    
94.69
  
95.01 - 100.00
    
1,299
    
82,778,595
    
10.24
    
10.467
    
643
    
99.94
  
Total:
    
5,215
    
808,505,850
    
100.00
    
8.295
    
639
    
81.69
  



 
 
 


DESCRIPTION OF THE TOTAL COLLATERAL

FICO Score at Origination
  
 
 
Number of
      
% of Aggregate
      
W.A.
  
W.A.
  
FICO Score
  
Initial
  
Aggregate Remaining
  
Remaining
  
W.A.
  
Non-Zero
  
Original
  
At Origination
  
Mortgage Loans
  
Principal Balance ($)
  
Principal Balance
  
Coupon (%)
  
FICO
  
CLTV (%)
  
500 - 524
    
2
    
419,200
    
0.05
    
8.844
    
521
    
79.24
  
525 - 549
    
72
    
9,971,742
    
1.23
    
9.306
    
544
    
73.93
  
550 - 574
    
204
    
29,151,719
    
3.61
    
9.016
    
564
    
76.91
  
575 - 599
    
1,036
    
126,950,820
    
15.70
    
8.971
    
589
    
81.73
  
600 - 624
    
1,115
    
160,440,285
    
19.84
    
8.515
    
612
    
82.08
  
625 - 649
    
1,069
    
171,044,625
    
21.16
    
8.178
    
639
    
82.48
  
650 - 674
    
860
    
149,209,479
    
18.45
    
7.938
    
661
    
81.47
  
675 - 699
    
439
    
78,136,211
    
9.66
    
7.728
    
686
    
82.20
  
700 - 724
    
227
    
45,010,224
    
5.57
    
7.872
    
710
    
82.58
  
725 - 749
    
120
    
22,833,044
    
2.82
    
7.997
    
735
    
81.57
  
750 - 774
    
52
    
9,937,902
    
1.23
    
7.800
    
760
    
81.78
  
775 - 799
    
16
    
4,713,144
    
0.58
    
7.515
    
787
    
77.82
  
800 - 824
    
3
    
687,455
    
0.09
    
7.201
    
809
    
63.59
  
Total:
    
5,215
    
808,505,850
    
100.00
    
8.295
    
639
    
81.69
  


 
 
 


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
    
554
    
167,993,671
    
20.78
    
7.831
    
656
    
79.61
  
Minnesota
    
434
    
63,542,122
    
7.86
    
8.181
    
635
    
82.45
  
Florida
    
385
    
62,841,151
    
7.77
    
8.164
    
643
    
80.97
  
Michigan
    
504
    
49,528,228
    
6.13
    
8.914
    
632
    
84.19
  
Arizona
    
252
    
46,772,233
    
5.79
    
8.102
    
637
    
79.44
  
Illinois
    
271
    
42,555,892
    
5.26
    
8.645
    
643
    
82.57
  
Texas
    
339
    
41,139,019
    
5.09
    
8.032
    
634
    
81.67
  
Ohio
    
365
    
32,616,058
    
4.03
    
8.504
    
623
    
84.66
  
Maryland
    
144
    
29,774,185
    
3.68
    
8.536
    
635
    
81.38
  
Nevada
    
118
    
26,221,849
    
3.24
    
7.953
    
652
    
80.95
  
Virginia
    
131
    
25,549,615
    
3.16
    
8.117
    
638
    
81.01
  
Wisconsin
    
246
    
25,511,822
    
3.16
    
8.765
    
626
    
83.73
  
Georgia
    
171
    
20,380,661
    
2.52
    
9.004
    
624
    
84.38
  
Washington
    
96
    
18,679,530
    
2.31
    
8.064
    
646
    
79.85
  
Missouri
    
173
    
17,336,149
    
2.14
    
9.107
    
631
    
86.15
  
Colorado
    
98
    
16,479,149
    
2.04
    
8.061
    
641
    
82.77
  
Tennessee
    
109
    
13,981,836
    
1.73
    
8.061
    
635
    
82.95
  
Kentucky
    
87
    
8,647,191
    
1.07
    
8.781
    
619
    
83.35
  
Pennsylvania
    
76
    
8,272,156
    
1.02
    
8.876
    
635
    
86.44
  
Indiana
    
89
    
8,013,274
    
0.99
    
8.915
    
618
    
85.08
  
Oregon
    
46
    
7,815,668
    
0.97
    
8.040
    
646
    
80.15
  
New Jersey
    
34
    
7,801,336
    
0.96
    
8.757
    
608
    
75.99
  
North Carolina
    
49
    
5,866,798
    
0.73
    
8.963
    
623
    
83.66
  
Utah
    
39
    
5,610,914
    
0.69
    
8.241
    
636
    
84.66
  
New York
    
19
    
5,014,173
    
0.62
    
8.598
    
647
    
77.76
  
Connecticut
    
24
    
4,927,672
    
0.61
    
8.317
    
633
    
83.83
  
New Mexico
    
27
    
4,155,494
    
0.51
    
8.655
    
624
    
81.47
  
South Carolina
    
27
    
3,769,373
    
0.47
    
8.353
    
640
    
81.80
  
Louisiana
    
41
    
3,731,554
    
0.46
    
8.756
    
608
    
76.78
  
District of Columbia
    
19
    
3,490,699
    
0.43
    
8.442
    
628
    
76.11
  
Iowa
    
30
    
3,239,213
    
0.40
    
8.969
    
625
    
87.39
  
Massachusetts
    
12
    
2,956,749
    
0.37
    
8.550
    
638
    
80.83
  
Hawaii
    
6
    
2,727,568
    
0.34
    
7.614
    
702
    
75.85
  
Idaho
    
21
    
2,646,616
    
0.33
    
8.602
    
618
    
83.72
  
*Geographic Distribution continued on the next page




DESCRIPTION OF THE TOTAL COLLATERAL

Geographic Distribution (Continued)
 
   
Number of
      
% of Aggregate
      
W.A.
  
W.A.
  
   
Initial
  
Aggregate Remaining
  
Remaining
  
W.A.
  
Non-Zero
  
Original
  
Location
  
Mortgage Loans
  
Principal Balance ($)
  
Principal Balance
  
Coupon (%)
  
FICO
  
CLTV (%)
  
Mississippi
    
26
    
2,448,137
    
0.30
    
8.852
    
606
    
84.79
  
Alabama
    
27
    
2,285,489
    
0.28
    
9.416
    
627
    
87.35
  
Oklahoma
    
27
    
2,192,443
    
0.27
    
9.037
    
615
    
85.80
  
Arkansas
    
21
    
2,137,012
    
0.26
    
9.333
    
622
    
88.50
  
Kansas
    
20
    
1,853,725
    
0.23
    
8.884
    
614
    
82.11
  
Rhode Island
    
9
    
1,451,865
    
0.18
    
8.490
    
618
    
77.84
  
Delaware
    
7
    
1,322,739
    
0.16
    
8.946
    
613
    
89.18
  
West Virginia
    
7
    
915,389
    
0.11
    
8.403
    
634
    
82.70
  
Montana
    
7
    
872,064
    
0.11
    
8.736
    
645
    
83.48
  
Wyoming
    
5
    
650,294
    
0.08
    
8.294
    
599
    
77.83
  
Nebraska
    
9
    
635,265
    
0.08
    
8.483
    
669
    
84.03
  
South Dakota
    
5
    
559,443
    
0.07
    
9.050
    
643
    
82.06
  
Alaska
    
2
    
550,312
    
0.07
    
8.083
    
652
    
80.00
  
Maine
    
2
    
458,201
    
0.06
    
7.930
    
613
    
81.54
  
New Hampshire
    
2
    
281,179
    
0.03
    
8.814
    
658
    
83.57
  
North Dakota
    
2
    
157,674
    
0.02
    
9.338
    
603
    
84.96
  
Vermont
    
1
    
145,000
    
0.02
    
8.990
    
586
    
42.03
  
Total:
    
5,215
    
808,505,850
    
100.00
    
8.295
    
639
    
81.69
  

 
 
 


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
    
5,104
    
792,178,546
    
97.98
    
8.287
    
639
    
81.66
  
Investment
    
83
    
11,187,126
    
1.38
    
8.772
    
677
    
81.92
  
Second Home
    
28
    
5,140,178
    
0.64
    
8.395
    
659
    
85.86
  
Total:
    
5,215
    
808,505,850
    
100.00
    
8.295
    
639
    
81.69
  
 

 
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
    
3,651
    
494,349,180
    
61.14
    
8.329
    
624
    
82.16
  
Limited Documentation
    
1,374
    
271,834,896
    
33.62
    
8.238
    
663
    
81.38
  
No Documentation
    
190
    
42,321,774
    
5.23
    
8.264
    
668
    
78.23
  
Total:
    
5,215
    
808,505,850
    
100.00
    
8.295
    
639
    
81.69
  
 
 
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
    
3,722
    
563,554,084
    
69.70
    
8.242
    
646
    
82.63
  
Refinance - Cashout
    
1,174
    
199,528,007
    
24.68
    
8.395
    
622
    
78.97
  
Refinance - Rate Term
    
319
    
45,423,759
    
5.62
    
8.510
    
626
    
81.98
  
Total:
    
5,215
    
808,505,850
    
100.00
    
8.295
    
639
    
81.69
  


 
 
 


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
    
3,497
    
508,374,611
    
62.88
    
8.404
    
636
    
81.79
  
PUD
    
1,158
    
204,652,995
    
25.31
    
8.030
    
642
    
81.48
  
Condo
    
359
    
57,540,041
    
7.12
    
8.281
    
646
    
82.20
  
2-4 Family
    
196
    
37,045,856
    
4.58
    
8.278
    
656
    
80.71
  
Rowhouse
    
4
    
742,348
    
0.09
    
8.174
    
605
    
80.27
  
Modular
    
1
    
150,000
    
0.02
    
8.750
    
620
    
75.00
  
Total:
    
5,215
    
808,505,850
    
100.00
    
8.295
    
639
    
81.69
  


 
 
 


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 (%)
  
November 2006
    
1
    
304,000
    
0.04
    
6.750
    
643
    
76.00
  
January 2007
    
3
    
883,583
    
0.13
    
8.124
    
612
    
80.00
  
February 2007
    
4
    
1,393,600
    
0.20
    
8.473
    
647
    
79.68
  
March 2007
    
2
    
957,250
    
0.14
    
8.315
    
627
    
76.28
  
May 2007
    
2
    
437,848
    
0.06
    
7.926
    
741
    
91.65
  
June 2007
    
5
    
1,103,738
    
0.16
    
8.463
    
678
    
86.21
  
July 2007
    
18
    
4,243,895
    
0.61
    
8.298
    
621
    
77.90
  
August 2007
    
9
    
2,049,155
    
0.30
    
8.359
    
620
    
84.53
  
September 2007
    
4
    
1,955,900
    
0.28
    
8.355
    
646
    
74.49
  
December 2007
    
1
    
110,200
    
0.02
    
10.625
    
613
    
95.00
  
February 2008
    
3
    
801,335
    
0.12
    
7.693
    
654
    
80.00
  
March 2008
    
5
    
1,418,772
    
0.21
    
7.488
    
642
    
74.13
  
April 2008
    
33
    
5,593,500
    
0.81
    
8.081
    
648
    
80.95
  
May 2008
    
244
    
39,832,422
    
5.76
    
8.070
    
638
    
80.13
  
June 2008
    
456
    
82,360,843
    
11.92
    
8.118
    
635
    
80.78
  
July 2008
    
1,020
    
196,603,861
    
28.45
    
8.099
    
638
    
80.48
  
August 2008
    
955
    
185,570,026
    
26.85
    
8.176
    
641
    
81.22
  
September 2008
    
221
    
40,545,582
    
5.87
    
8.311
    
637
    
81.94
  
March 2009
    
1
    
175,222
    
0.03
    
8.125
    
690
    
95.00
  
April 2009
    
2
    
505,587
    
0.07
    
9.238
    
613
    
87.46
  
May 2009
    
36
    
6,313,092
    
0.91
    
8.213
    
627
    
83.01
  
June 2009
    
100
    
17,763,304
    
2.57
    
7.985
    
636
    
80.15
  
July 2009
    
224
    
41,029,376
    
5.94
    
7.884
    
638
    
79.87
  
August 2009
    
206
    
36,892,343
    
5.34
    
7.910
    
637
    
80.11
  
September 2009
    
48
    
8,440,673
    
1.22
    
8.126
    
614
    
82.58
  
May 2011
    
3
    
707,939
    
0.10
    
7.591
    
651
    
77.75
  
June 2011
    
4
    
775,905
    
0.11
    
7.521
    
662
    
80.00
  
July 2011
    
26
    
4,554,085
    
0.66
    
7.635
    
661
    
80.95
  
August 2011
    
34
    
6,552,488
    
0.95
    
7.858
    
652
    
78.37
  
September 2011
    
5
    
1,202,127
    
0.17
    
8.357
    
638
    
82.72
  
Total:
    
3,675
    
691,077,653
    
100.00
    
8.105
    
638
    
80.73
  
*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 (%)
  
2.000 - 2.499
    
4
    
982,400
    
0.14
    
7.113
    
663
    
72.24
  
2.500 - 2.999
    
3
    
548,730
    
0.08
    
7.832
    
643
    
59.59
  
3.000 - 3.499
    
1
    
323,826
    
0.05
    
6.625
    
675
    
80.00
  
3.500 - 3.999
    
14
    
1,783,439
    
0.26
    
7.452
    
628
    
70.19
  
4.000 - 4.499
    
295
    
48,275,922
    
6.99
    
7.846
    
642
    
79.68
  
4.500 - 4.999
    
68
    
13,338,351
    
1.93
    
7.887
    
639
    
78.48
  
5.000 - 5.499
    
2,338
    
461,140,903
    
66.73
    
7.903
    
640
    
78.71
  
5.500 - 5.999
    
371
    
73,268,709
    
10.60
    
8.686
    
625
    
85.83
  
6.000 - 6.499
    
112
    
17,581,242
    
2.54
    
8.406
    
639
    
81.61
  
6.500 - 6.999
    
371
    
60,316,181
    
8.73
    
8.900
    
644
    
90.74
  
7.000 - 7.499
    
48
    
6,499,260
    
0.94
    
9.108
    
601
    
81.14
  
7.500 - 7.999
    
41
    
5,798,101
    
0.84
    
9.423
    
609
    
88.17
  
8.000 - 8.499
    
8
    
1,139,755
    
0.16
    
9.625
    
620
    
93.66
  
8.500 - 8.999
    
1
    
80,834
    
0.01
    
9.660
    
606
    
90.00
  
Total:
    
3,675
    
691,077,653
    
100.00
    
8.105
    
638
    
80.73
  
*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
    
3
    
552,372
    
0.08
    
6.300
    
671
    
80.00
  
9.500 - 9.999
    
2
    
425,982
    
0.06
    
6.875
    
626
    
80.00
  
10.000 - 10.499
    
4
    
709,142
    
0.10
    
7.180
    
647
    
80.00
  
10.500 - 10.999
    
1
    
209,792
    
0.03
    
7.625
    
606
    
80.00
  
11.000 - 11.499
    
4
    
541,510
    
0.08
    
8.127
    
616
    
83.69
  
11.500 - 11.999
    
7
    
1,402,601
    
0.20
    
5.802
    
675
    
75.20
  
12.000 - 12.499
    
40
    
8,990,722
    
1.30
    
6.281
    
662
    
79.17
  
12.500 - 12.999
    
210
    
49,789,516
    
7.20
    
6.754
    
668
    
79.00
  
13.000 - 13.499
    
437
    
93,279,090
    
13.50
    
7.220
    
661
    
79.14
  
13.500 - 13.999
    
838
    
182,479,301
    
26.41
    
7.720
    
648
    
78.66
  
14.000 - 14.499
    
662
    
126,232,802
    
18.27
    
8.193
    
636
    
80.81
  
14.500 - 14.999
    
717
    
120,091,773
    
17.38
    
8.684
    
620
    
81.28
  
15.000 - 15.499
    
289
    
44,821,467
    
6.49
    
9.186
    
613
    
83.42
  
15.500 - 15.999
    
296
    
43,010,831
    
6.22
    
9.670
    
606
    
86.26
  
16.000 - 16.499
    
70
    
8,852,947
    
1.28
    
10.199
    
597
    
89.21
  
16.500 - 16.999
    
58
    
6,279,213
    
0.91
    
10.681
    
605
    
91.09
  
17.000 - 17.499
    
18
    
1,859,899
    
0.27
    
11.204
    
592
    
98.57
  
17.500 - 17.999
    
14
    
1,234,679
    
0.18
    
11.673
    
600
    
98.64
  
18.000 - 18.499
    
4
    
261,045
    
0.04
    
12.051
    
585
    
96.97
  
19.000 - 19.499
    
1
    
52,970
    
0.01
    
12.100
    
580
    
100.00
  
Total:
    
3,675
    
691,077,653
    
100.00
    
8.105
    
638
    
80.73
  
*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 (%)
  
5.500 - 5.999
    
7
    
1,402,601
    
0.20
    
5.802
    
675
    
75.20
  
6.000 - 6.499
    
45
    
10,188,015
    
1.47
    
6.223
    
660
    
78.80
  
6.500 - 6.999
    
214
    
50,317,572
    
7.28
    
6.749
    
668
    
79.01
  
7.000 - 7.499
    
442
    
94,969,192
    
13.74
    
7.228
    
661
    
79.21
  
7.500 - 7.999
    
847
    
185,028,464
    
26.77
    
7.723
    
648
    
78.70
  
8.000 - 8.499
    
662
    
125,757,566
    
18.20
    
8.211
    
636
    
80.83
  
8.500 - 8.999
    
710
    
117,788,595
    
17.04
    
8.698
    
620
    
81.27
  
9.000 - 9.499
    
288
    
44,301,467
    
6.41
    
9.197
    
612
    
83.46
  
9.500 - 9.999
    
295
    
42,783,428
    
6.19
    
9.679
    
606
    
86.28
  
10.000 - 10.499
    
70
    
8,852,947
    
1.28
    
10.199
    
597
    
89.21
  
10.500 - 10.999
    
58
    
6,279,213
    
0.91
    
10.681
    
605
    
91.09
  
11.000 - 11.499
    
18
    
1,859,899
    
0.27
    
11.204
    
592
    
98.57
  
11.500 - 11.999
    
14
    
1,234,679
    
0.18
    
11.673
    
600
    
98.64
  
12.000 - 12.499
    
5
    
314,015
    
0.05
    
12.059
    
584
    
97.48
  
Total:
    
3,675
    
691,077,653
    
100.00
    
8.105
    
638
    
80.73
  
*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
    
9
    
3,270,369
    
0.47
    
8.421
    
632
    
79.69
  
1.500
    
2
    
417,917
    
0.06
    
8.256
    
676
    
80.00
  
2.000
    
29
    
8,156,324
    
1.18
    
8.211
    
637
    
80.42
  
3.000
    
3,634
    
678,857,618
    
98.23
    
8.103
    
638
    
80.74
  
5.000
    
1
    
375,426
    
0.05
    
7.375
    
738
    
80.00
  
Total:
    
3,675
    
691,077,653
    
100.00
    
8.105
    
638
    
80.73
  
*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
    
3,657
    
685,859,525
    
99.24
    
8.111
    
638
    
80.73
  
1.500
    
17
    
5,060,628
    
0.73
    
7.343
    
654
    
80.78
  
2.000
    
1
    
157,500
    
0.02
    
7.875
    
641
    
90.00
  
Total:
    
3,675
    
691,077,653
    
100.00
    
8.105
    
638
    
80.73
  
*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
    
14
    
2,438,798
    
0.35
    
7.176
    
638
    
80.82
  
4.000 - 4.499
    
1
    
275,640
    
0.04
    
8.125
    
646
    
80.00
  
5.000 - 5.499
    
5
    
733,274
    
0.11
    
8.152
    
624
    
83.39
  
6.000 - 6.499
    
3,626
    
679,928,231
    
98.39
    
8.115
    
638
    
80.73
  
6.500 - 6.999
    
6
    
1,515,789
    
0.22
    
8.111
    
586
    
79.24
  
7.000 - 7.499
    
23
    
6,185,922
    
0.90
    
7.394
    
650
    
80.66
  
Total:
    
3,675
    
691,077,653
    
100.00
    
8.105
    
638
    
80.73
  
*ARM Loans Only


 
 
 


DESCRIPTION OF THE TOTAL COLLATERAL

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
    
1,408
    
219,160,702
    
27.11
    
8.461
    
639
    
81.69
  
6
    
2
    
294,528
    
0.04
    
8.076
    
617
    
74.89
  
12
    
137
    
32,870,339
    
4.07
    
8.370
    
660
    
81.11
  
13
    
2
    
699,941
    
0.09
    
7.875
    
677
    
84.00
  
24
    
2,167
    
345,330,694
    
42.71
    
8.228
    
641
    
81.86
  
36
    
1,438
    
201,074,254
    
24.87
    
8.252
    
634
    
81.52
  
48
    
58
    
8,805,427
    
1.09
    
7.454
    
620
    
80.88
  
60
    
3
    
269,965
    
0.03
    
9.845
    
568
    
90.50
  
Total:
    
5,215
    
808,505,850
    
100.00
    
8.295
    
639
    
81.69
  


 
 
 


DESCRIPTION OF THE GROUP 1A COLLATERAL


SUMMARY - GROUP 1A POOL*

Number of Mortgage Loans
1,924
  
Index Type:
  
Aggregate Principal Balance
$256,740,978
 
6 Month LIBOR:
88.50%
Conforming Principal Balance Loans
$256,740,978
 
1 Year LIBOR:
0.09%
Average Principal Balance:
$133,441
 
Fixed Rate:
11.41%
Range:
$9,993 - $416,500
  
W.A. Initial Periodic Cap:1
2.982%
W.A. Coupon:
8.386%
  
W.A. Subsequent Periodic Cap:1
1.003%
Range:
5.750% - 13.750%
  
W.A. Lifetime Rate Cap:1
6.002%
W.A. Gross Margin:1
5.491%
  
Property Type:
  
Range:1
2.250% - 8.660%
  
Single Family:
68.31%
W.A. Remaining Term (months):
353
  
PUD:
21.23%
Range (months):
170 - 360
 
Condo:
6.87%
W.A. Seasoning (months):
2
 
2-4 Family:
3.29%
Latest Maturity Date:
September 1, 2036
  
Rowhouse:
0.23%
State Concentration (Top 5):
    
Modular:
0.06%
Minnesota:
13.20%
  
Occupancy Status:
  
Michigan:
7.61%
  
Primary:
95.72%
Arizona:
6.99%
  
Investment:
2.81%
Florida:
6.83%
  
Second Home:
1.48%
California:
6.06%
  
Documentation Status:
  
W.A. Original Combined LTV:
81.17%
  
Full:
76.44%
Range:
19.61% - 100.00%
  
Limited:
19.97%
First Liens:
97.12%
  
None:
3.59%
Second Liens:
2.88%
  
Non-Zero W.A. Prepayment Penalty - Term (months):
28
Non-Balloon Loans:
88.88%
  
Loans with Prepay Penalties:
72.81%
Non-Zero W.A. FICO Score:
627
  
Interest Only Loans:
45.33%
     
Non-Zero W.A. Interest Only Term (months):
60
* Subject to a permitted variance of +/- 10%
1 ARM loans only

 
 
 


DESCRIPTION OF THE GROUP 1A COLLATERAL


Collateral 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
    
12
    
598,568
    
0.23
    
8.586
    
653
    
76.54
  
Fixed - 20 Year
    
3
    
149,166
    
0.06
    
9.186
    
645
    
88.94
  
Fixed - 30 Year
    
152
    
20,236,492
    
7.88
    
8.342
    
645
    
78.71
  
Fixed - 30 Year IO
    
1
    
165,000
    
0.06
    
6.850
    
673
    
75.00
  
Balloon - 15/30
    
219
    
6,608,837
    
2.57
    
11.783
    
627
    
99.67
  
Balloon - 20/30
    
13
    
502,031
    
0.20
    
11.432
    
649
    
99.54
  
Balloon - 30/40
    
8
    
1,029,380
    
0.40
    
8.863
    
634
    
80.32
  
ARM - 6 Month
    
1
    
351,583
    
0.14
    
8.625
    
588
    
80.00
  
ARM - 6 Month IO
    
5
    
1,115,650
    
0.43
    
7.625
    
631
    
75.42
  
ARM - 1 Year/6 Month
    
2
    
237,112
    
0.09
    
8.571
    
641
    
83.26
  
ARM - 1 Year/6 Month 30/40 Balloon
    
1
    
163,895
    
0.06
    
7.625
    
666
    
84.10
  
ARM - 1 Year/6 Month IO
    
9
    
1,685,014
    
0.66
    
8.359
    
634
    
79.48
  
ARM - 2 Year/6 Month
    
595
    
73,301,127
    
28.55
    
8.528
    
622
    
81.56
  
ARM - 2 Year/6 Month IO
    
525
    
91,009,088
    
35.45
    
8.113
    
626
    
80.31
  
ARM - 2 Year/6 Month 30/40 Balloon
    
89
    
14,821,630
    
5.77
    
8.432
    
624
    
82.51
  
ARM - 2 Year/6 Month 30/50 Balloon
    
5
    
999,385
    
0.39
    
8.355
    
608
    
81.28
  
ARM - 3 Year/6 Month
    
118
    
16,216,723
    
6.32
    
8.268
    
629
    
80.95
  
ARM - 3 Year/6 Month IO
    
114
    
19,044,690
    
7.42
    
8.105
    
628
    
79.50
  
ARM - 3 Year/6 Month 30/40 Balloon
    
24
    
3,873,902
    
1.51
    
8.277
    
620
    
80.68
  
ARM - 5 Year/6 Month
    
5
    
713,360
    
0.28
    
8.036
    
621
    
83.07
  
ARM - 5 Year/6 Month IO
    
19
    
3,130,427
    
1.22
    
8.168
    
638
    
82.58
  
ARM - 5 Year/6 Month 30/40 Balloon
    
2
    
325,419
    
0.13
    
8.137
    
590
    
80.00
  
ARM - 5 Year/6 Month 30/50 Balloon
    
1
    
222,500
    
0.09
    
9.250
    
603
    
94.68
  
ARM - 5 Year/1 Year IO
    
1
    
240,000
    
0.09
    
6.875
    
667
    
33.33
  
Total:
    
1,924
    
256,740,978
    
100.00
    
8.386
    
627
    
81.17
  


IO Terms
  
           
% of Aggregate
      
W.A.
  
W.A.
  
IO Terms (mos.)
  
Number of
  
Aggregate Remaining
  
Remaining
  
W.A.
  
Non-Zero
  
Original
  
   
Initial Mortgage Loans
  
Principal Balance ($)
  
Principal Balance
  
Coupon (%)
  
FICO
  
CLTV (%)
  
0
    
1,250
    
140,351,109
    
54.67
    
8.617
    
627
    
82.07
  
60
    
672
    
115,937,870
    
45.16
    
8.107
    
627
    
80.14
  
120
    
2
    
452,000
    
0.18
    
8.223
    
667
    
64.60
  
Total:
    
1,924
    
256,740,978
    
100.00
    
8.386
    
627
    
81.17
  

 
 
 


DESCRIPTION OF THE GROUP 1A 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
    
256
    
7,838,065
    
3.05
    
11.314
    
626
    
94.94
  
50,000.01 - 100,000.00
    
411
    
31,607,138
    
12.31
    
8.998
    
621
    
83.39
  
100,000.01 - 150,000.00
    
568
    
70,603,141
    
27.50
    
8.306
    
626
    
80.36
  
150,000.01 - 200,000.00
    
339
    
58,950,141
    
22.96
    
8.123
    
626
    
80.36
  
200,000.01 - 250,000.00
    
197
    
43,733,020
    
17.03
    
8.059
    
628
    
80.46
  
250,000.01 - 300,000.00
    
107
    
29,219,002
    
11.38
    
8.271
    
631
    
79.52
  
300,000.01 - 350,000.00
    
42
    
13,250,696
    
5.16
    
8.147
    
637
    
81.85
  
350,000.01 - 400,000.00
    
2
    
708,583
    
0.28
    
8.310
    
575
    
74.96
  
400,000.01 - 450,000.00
    
2
    
831,192
    
0.32
    
8.126
    
637
    
82.24
  
Total:
    
1,924
    
256,740,978
    
100.00
    
8.386
    
627
    
81.17
  

 
 
 


DESCRIPTION OF THE GROUP 1A 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
    
256
    
7,838,065
    
3.05
    
11.314
    
626
    
94.94
  
50,000.01 - 100,000.00
    
412
    
31,707,061
    
12.35
    
8.993
    
621
    
83.25
  
100,000.01 - 150,000.00
    
567
    
70,503,218
    
27.46
    
8.307
    
626
    
80.42
  
150,000.01 - 200,000.00
    
339
    
58,950,141
    
22.96
    
8.123
    
626
    
80.36
  
200,000.01 - 250,000.00
    
197
    
43,733,020
    
17.03
    
8.059
    
628
    
80.46
  
250,000.01 - 300,000.00
    
107
    
29,219,002
    
11.38
    
8.271
    
631
    
79.52
  
300,000.01 - 350,000.00
    
42
    
13,250,696
    
5.16
    
8.147
    
637
    
81.85
  
350,000.01 - 400,000.00
    
2
    
708,583
    
0.28
    
8.310
    
575
    
74.96
  
400,000.01 - 450,000.00
    
2
    
831,192
    
0.32
    
8.126
    
637
    
82.24
  
Total:
    
1,924
    
256,740,978
    
100.00
    
8.386
    
627
    
81.17
  


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
    
231
    
7,207,405
    
2.81
    
11.518
    
629
    
97.75
  
181 - 240
    
16
    
651,197
    
0.25
    
10.917
    
648
    
97.11
  
301 - 360
    
1,677
    
248,882,376
    
96.94
    
8.289
    
627
    
80.65
  
Total:
    
1,924
    
256,740,978
    
100.00
    
8.386
    
627
    
81.17
  

 
 
 


DESCRIPTION OF THE GROUP 1A 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
    
817,415
    
0.32
    
5.858
    
729
    
58.21
  
6.000 - 6.499
    
11
    
1,789,628
    
0.70
    
6.212
    
672
    
78.86
  
6.500 - 6.999
    
80
    
13,777,503
    
5.37
    
6.781
    
659
    
76.31
  
7.000 - 7.499
    
164
    
26,873,851
    
10.47
    
7.216
    
652
    
78.11
  
7.500 - 7.999
    
343
    
56,955,495
    
22.18
    
7.736
    
635
    
78.60
  
8.000 - 8.499
    
298
    
46,918,415
    
18.27
    
8.226
    
630
    
80.16
  
8.500 - 8.999
    
391
    
54,817,074
    
21.35
    
8.703
    
612
    
81.12
  
9.000 - 9.499
    
150
    
19,652,634
    
7.65
    
9.213
    
607
    
82.66
  
9.500 - 9.999
    
163
    
18,579,589
    
7.24
    
9.700
    
609
    
87.17
  
10.000 - 10.499
    
53
    
4,427,874
    
1.72
    
10.137
    
601
    
91.50
  
10.500 - 10.999
    
56
    
4,674,650
    
1.82
    
10.665
    
601
    
91.52
  
11.000 - 11.499
    
37
    
1,866,324
    
0.73
    
11.204
    
611
    
97.96
  
11.500 - 11.999
    
47
    
1,832,597
    
0.71
    
11.719
    
624
    
98.74
  
12.000 - 12.499
    
44
    
1,519,519
    
0.59
    
12.157
    
611
    
99.76
  
12.500 - 12.999
    
26
    
672,134
    
0.26
    
12.665
    
603
    
99.23
  
13.000 - 13.499
    
43
    
1,213,361
    
0.47
    
13.176
    
591
    
99.82
  
13.500 - 13.999
    
14
    
352,914
    
0.14
    
13.546
    
587
    
99.78
  
Total:
    
1,924
    
256,740,978
    
100.00
    
8.386
    
627
    
81.17
  

 
 

 
 
 


DESCRIPTION OF THE GROUP 1A COLLATERAL

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
    
38
    
4,868,756
    
1.90
    
8.001
    
620
    
40.02
  
50.01 - 55.00
    
12
    
1,922,291
    
0.75
    
7.971
    
603
    
52.55
  
55.01 - 60.00
    
17
    
2,579,980
    
1.00
    
8.159
    
589
    
57.97
  
60.01 - 65.00
    
32
    
5,092,365
    
1.98
    
8.077
    
604
    
63.36
  
65.01 - 70.00
    
32
    
5,557,038
    
2.16
    
8.231
    
616
    
69.27
  
70.01 - 75.00
    
56
    
9,989,466
    
3.89
    
8.234
    
620
    
73.93
  
75.01 - 80.00
    
1,107
    
162,948,505
    
63.47
    
8.059
    
629
    
79.87
  
80.01 - 85.00
    
87
    
15,913,919
    
6.20
    
8.643
    
613
    
84.43
  
85.01 - 90.00
    
91
    
13,812,099
    
5.38
    
8.902
    
614
    
89.65
  
90.01 - 95.00
    
78
    
10,233,843
    
3.99
    
9.014
    
642
    
94.81
  
95.01 - 100.00
    
374
    
23,822,715
    
9.28
    
10.186
    
637
    
99.92
  
Total:
    
1,924
    
256,740,978
    
100.00
    
8.386
    
627
    
81.17
  



 
 
 


DESCRIPTION OF THE GROUP 1A 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
    
1
    
320,000
    
0.12
    
8.990
    
523
    
79.01
  
525 - 549
    
31
    
4,876,646
    
1.90
    
9.397
    
544
    
71.35
  
550 - 574
    
101
    
14,570,293
    
5.68
    
8.987
    
565
    
76.49
  
575 - 599
    
470
    
54,781,735
    
21.34
    
8.927
    
589
    
81.06
  
600 - 624
    
479
    
63,842,873
    
24.87
    
8.440
    
611
    
81.81
  
625 - 649
    
365
    
51,659,032
    
20.12
    
8.141
    
638
    
81.78
  
650 - 674
    
250
    
33,938,041
    
13.22
    
7.916
    
660
    
81.46
  
675 - 699
    
115
    
16,560,028
    
6.45
    
7.741
    
686
    
82.80
  
700 - 724
    
54
    
7,883,440
    
3.07
    
7.879
    
709
    
81.72
  
725 - 749
    
40
    
5,366,913
    
2.09
    
8.064
    
735
    
84.27
  
750 - 774
    
7
    
962,832
    
0.38
    
7.947
    
759
    
82.54
  
775 - 799
    
9
    
1,399,478
    
0.55
    
7.867
    
782
    
83.90
  
800 - 824
    
2
    
579,669
    
0.23
    
7.030
    
810
    
60.54
  
Total:
    
1,924
    
256,740,978
    
100.00
    
8.386
    
627
    
81.17
  


 
 
 


DESCRIPTION OF THE GROUP 1A 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 (%)
  
Minnesota
    
228
    
33,893,061
    
13.20
    
8.167
    
628
    
82.38
  
Michigan
    
207
    
19,531,678
    
7.61
    
8.848
    
623
    
83.48
  
Arizona
    
105
    
17,953,091
    
6.99
    
8.112
    
628
    
80.08
  
Florida
    
117
    
17,529,385
    
6.83
    
8.150
    
629
    
79.57
  
California
    
71
    
15,560,955
    
6.06
    
7.707
    
634
    
71.38
  
Illinois
    
99
    
13,234,024
    
5.15
    
8.667
    
630
    
82.36
  
Wisconsin
    
119
    
12,470,161
    
4.86
    
8.776
    
619
    
82.21
  
Texas
    
103
    
11,937,650
    
4.65
    
8.052
    
631
    
81.62
  
Ohio
    
117
    
10,715,671
    
4.17
    
8.565
    
618
    
84.59
  
Maryland
    
55
    
10,443,267
    
4.07
    
8.553
    
626
    
78.21
  
Virginia
    
44
    
7,995,479
    
3.11
    
7.952
    
628
    
78.66
  
Georgia
    
65
    
7,905,573
    
3.08
    
8.734
    
621
    
81.87
  
Washington
    
39
    
7,485,176
    
2.92
    
8.057
    
648
    
81.43
  
Missouri
    
77
    
6,669,397
    
2.60
    
9.150
    
615
    
85.00
  
Nevada
    
30
    
6,571,306
    
2.56
    
8.137
    
639
    
81.40
  
Colorado
    
38
    
5,660,814
    
2.20
    
8.215
    
626
    
84.10
  
Indiana
    
55
    
5,094,283
    
1.98
    
8.929
    
623
    
85.44
  
Tennessee
    
39
    
4,624,932
    
1.80
    
8.286
    
622
    
82.72
  
Kentucky
    
40
    
4,263,410
    
1.66
    
8.583
    
621
    
84.68
  
Pennsylvania
    
33
    
3,510,287
    
1.37
    
8.904
    
635
    
88.73
  
Oregon
    
20
    
3,430,192
    
1.34
    
7.972
    
647
    
78.65
  
North Carolina
    
25
    
3,015,819
    
1.17
    
8.742
    
627
    
84.63
  
New Jersey
    
13
    
2,912,494
    
1.13
    
8.758
    
594
    
71.50
  
Iowa
    
19
    
2,055,324
    
0.80
    
9.126
    
625
    
88.24
  
Utah
    
15
    
2,013,970
    
0.78
    
7.985
    
616
    
81.43
  
South Carolina
    
13
    
1,922,923
    
0.75
    
8.425
    
646
    
82.08
  
Louisiana
    
19
    
1,883,515
    
0.73
    
8.551
    
615
    
73.14
  
Connecticut
    
8
    
1,705,032
    
0.66
    
8.429
    
606
    
85.07
  
Idaho
    
13
    
1,603,818
    
0.62
    
8.985
    
606
    
83.49
  
New Mexico
    
11
    
1,506,424
    
0.59
    
8.965
    
614
    
82.66
  
New York
    
7
    
1,345,658
    
0.52
    
8.573
    
625
    
75.69
  
District of Columbia
    
6
    
1,246,149
    
0.49
    
8.248
    
597
    
70.82
  
Alabama
    
12
    
1,126,507
    
0.44
    
9.326
    
631
    
88.72
  
Massachusetts
    
3
    
912,996
    
0.36
    
7.611
    
648
    
80.00
  
*Geographic Distribution continued on the next page




DESCRIPTION OF THE GROUP 1A 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 (%)
  
Arkansas
    
9
    
863,333
    
0.34
    
9.398
    
627
    
92.58
  
Rhode Island
    
5
    
805,199
    
0.31
    
8.043
    
611
    
72.17
  
Delaware
    
4
    
768,775
    
0.30
    
8.671
    
601
    
86.77
  
Oklahoma
    
10
    
653,554
    
0.25
    
8.824
    
618
    
81.50
  
Mississippi
    
7
    
604,667
    
0.24
    
8.792
    
589
    
78.72
  
Montana
    
3
    
475,407
    
0.19
    
8.312
    
688
    
85.55
  
South Dakota
    
3
    
414,664
    
0.16
    
8.793
    
654
    
81.39
  
Wyoming
    
3
    
396,241
    
0.15
    
8.516
    
588
    
76.44
  
Hawaii
    
1
    
351,583
    
0.14
    
8.625
    
588
    
80.00
  
Maine
    
1
    
310,701
    
0.12
    
7.125
    
647
    
80.00
  
Alaska
    
1
    
292,392
    
0.11
    
7.825
    
692
    
80.00
  
Nebraska
    
3
    
280,068
    
0.11
    
7.952
    
690
    
83.40
  
Kansas
    
4
    
223,024
    
0.09
    
9.106
    
625
    
86.69
  
West Virginia
    
2
    
176,560
    
0.07
    
8.022
    
629
    
63.01
  
Vermont
    
1
    
145,000
    
0.06
    
8.990
    
586
    
42.03
  
New Hampshire
    
1
    
143,838
    
0.06
    
8.875
    
713
    
80.00
  
North Dakota
    
1
    
105,552
    
0.04
    
9.875
    
593
    
80.00
  
Total:
    
1,924
    
256,740,978
    
100.00
    
8.386
    
627
    
81.17
  

 
 
 


DESCRIPTION OF THE GROUP 1A 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
    
1,853
    
245,740,218
    
95.72
    
8.380
    
624
    
81.04
  
Investment
    
49
    
7,206,024
    
2.81
    
8.717
    
685
    
82.80
  
Second Home
    
22
    
3,794,737
    
1.48
    
8.165
    
667
    
86.71
  
Total:
    
1,924
    
256,740,978
    
100.00
    
8.386
    
627
    
81.17
  
 

 
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
    
1,537
    
196,242,594
    
76.44
    
8.392
    
619
    
81.79
  
Limited Documentation
    
339
    
51,272,689
    
19.97
    
8.353
    
649
    
80.06
  
No Documentation
    
48
    
9,225,695
    
3.59
    
8.445
    
668
    
74.14
  
Total:
    
1,924
    
256,740,978
    
100.00
    
8.386
    
627
    
81.17
  
 
 
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
    
1,229
    
146,793,335
    
57.18
    
8.364
    
632
    
82.85
  
Refinance - Cashout
    
550
    
89,121,241
    
34.71
    
8.382
    
619
    
78.53
  
Refinance - Rate Term
    
145
    
20,826,402
    
8.11
    
8.560
    
622
    
80.60
  
Total:
    
1,924
    
256,740,978
    
100.00
    
8.386
    
627
    
81.17
  


 
 
 


DESCRIPTION OF THE GROUP 1A 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
    
1,403
    
175,379,172
    
68.31
    
8.511
    
623
    
81.36
  
PUD
    
336
    
54,518,946
    
21.23
    
8.024
    
634
    
80.86
  
Condo
    
126
    
17,636,782
    
6.87
    
8.278
    
634
    
81.30
  
2-4 Family
    
55
    
8,456,742
    
3.29
    
8.361
    
640
    
79.14
  
Rowhouse
    
3
    
599,336
    
0.23
    
8.186
    
616
    
80.34
  
Modular
    
1
    
150,000
    
0.06
    
8.750
    
620
    
75.00
  
Total:
    
1,924
    
256,740,978
    
100.00
    
8.386
    
627
    
81.17
  


 
 
 


DESCRIPTION OF THE GROUP 1A 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 (%)
  
November 2006
    
1
    
304,000
    
0.13
    
6.750
    
643
    
76.00
  
January 2007
    
2
    
559,583
    
0.25
    
8.486
    
589
    
80.00
  
February 2007
    
2
    
366,400
    
0.16
    
8.159
    
674
    
79.08
  
March 2007
    
1
    
237,250
    
0.10
    
7.375
    
583
    
65.00
  
May 2007
    
1
    
255,000
    
0.11
    
8.500
    
802
    
100.00
  
June 2007
    
2
    
420,000
    
0.18
    
8.445
    
652
    
80.00
  
July 2007
    
6
    
917,927
    
0.40
    
8.073
    
610
    
74.26
  
August 2007
    
1
    
175,944
    
0.08
    
8.500
    
582
    
80.00
  
September 2007
    
2
    
317,150
    
0.14
    
8.662
    
596
    
82.31
  
December 2007
    
1
    
110,200
    
0.05
    
10.625
    
613
    
95.00
  
February 2008
    
2
    
317,600
    
0.14
    
7.606
    
669
    
80.00
  
March 2008
    
1
    
146,795
    
0.06
    
8.775
    
649
    
79.99
  
April 2008
    
18
    
2,524,458
    
1.11
    
8.228
    
616
    
81.59
  
May 2008
    
118
    
14,523,295
    
6.39
    
8.388
    
623
    
80.29
  
June 2008
    
210
    
30,257,334
    
13.30
    
8.322
    
621
    
81.47
  
July 2008
    
413
    
64,484,604
    
28.35
    
8.270
    
625
    
80.58
  
August 2008
    
362
    
53,998,567
    
23.74
    
8.318
    
623
    
80.95
  
September 2008
    
89
    
13,768,377
    
6.05
    
8.361
    
629
    
82.80
  
March 2009
    
1
    
175,222
    
0.08
    
8.125
    
690
    
95.00
  
May 2009
    
14
    
2,222,444
    
0.98
    
8.528
    
618
    
84.39
  
June 2009
    
51
    
7,880,842
    
3.46
    
7.938
    
631
    
79.35
  
July 2009
    
97
    
13,920,825
    
6.12
    
8.194
    
629
    
79.85
  
August 2009
    
76
    
12,195,082
    
5.36
    
8.189
    
632
    
79.85
  
September 2009
    
17
    
2,740,900
    
1.21
    
8.622
    
599
    
81.93
  
June 2011
    
1
    
139,862
    
0.06
    
7.625
    
619
    
80.00
  
July 2011
    
13
    
1,937,191
    
0.85
    
8.116
    
632
    
82.93
  
August 2011
    
11
    
1,904,526
    
0.84
    
8.024
    
637
    
76.52
  
September 2011
    
3
    
650,127
    
0.29
    
8.592
    
621
    
85.02
  
Total:
    
1,516
    
227,451,504
    
100.00
    
8.283
    
625
    
80.83
  
*ARM Loans Only

 
 
 


DESCRIPTION OF THE GROUP 1A 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 (%)
  
2.000 - 2.499
    
2
    
418,000
    
0.18
    
7.413
    
655
    
61.75
  
2.500 - 2.999
    
1
    
240,000
    
0.11
    
6.875
    
667
    
33.33
  
3.500 - 3.999
    
9
    
1,202,634
    
0.53
    
7.212
    
634
    
72.73
  
4.000 - 4.499
    
147
    
20,710,924
    
9.11
    
8.063
    
632
    
79.91
  
4.500 - 4.999
    
31
    
4,389,630
    
1.93
    
7.897
    
618
    
79.10
  
5.000 - 5.499
    
901
    
139,506,821
    
61.33
    
8.081
    
623
    
77.93
  
5.500 - 5.999
    
151
    
25,160,124
    
11.06
    
8.741
    
616
    
85.91
  
6.000 - 6.499
    
46
    
5,941,566
    
2.61
    
8.620
    
623
    
85.45
  
6.500 - 6.999
    
184
    
24,466,561
    
10.76
    
8.993
    
638
    
92.19
  
7.000 - 7.499
    
20
    
2,240,957
    
0.99
    
9.179
    
621
    
80.90
  
7.500 - 7.999
    
17
    
2,265,295
    
1.00
    
9.311
    
614
    
86.75
  
8.000 - 8.499
    
6
    
828,157
    
0.36
    
9.542
    
630
    
95.30
  
8.500 - 8.999
    
1
    
80,834
    
0.04
    
9.660
    
606
    
90.00
  
Total:
    
1,516
    
227,451,504
    
100.00
    
8.283
    
625
    
80.83
  
*ARM Loans Only


 
 
 


DESCRIPTION OF THE GROUP 1A 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
    
172,051
    
0.08
    
7.000
    
630
    
80.00
  
11.000 - 11.499
    
1
    
153,911
    
0.07
    
8.000
    
588
    
80.00
  
11.500 - 11.999
    
2
    
335,538
    
0.15
    
5.835
    
672
    
80.00
  
12.000 - 12.499
    
10
    
1,684,185
    
0.74
    
6.202
    
668
    
78.78
  
12.500 - 12.999
    
69
    
12,044,797
    
5.30
    
6.776
    
658
    
76.54
  
13.000 - 13.499
    
145
    
24,115,435
    
10.60
    
7.223
    
651
    
78.49
  
13.500 - 13.999
    
312
    
51,855,549
    
22.80
    
7.732
    
633
    
78.60
  
14.000 - 14.499
    
273
    
43,419,630
    
19.09
    
8.226
    
629
    
80.49
  
14.500 - 14.999
    
355
    
51,245,941
    
22.53
    
8.687
    
610
    
81.05
  
15.000 - 15.499
    
135
    
17,800,917
    
7.83
    
9.215
    
608
    
83.45
  
15.500 - 15.999
    
133
    
16,318,450
    
7.17
    
9.682
    
603
    
86.52
  
16.000 - 16.499
    
31
    
3,572,861
    
1.57
    
10.124
    
588
    
90.28
  
16.500 - 16.999
    
29
    
3,008,490
    
1.32
    
10.672
    
589
    
90.13
  
17.000 - 17.499
    
10
    
1,031,807
    
0.45
    
11.192
    
590
    
97.41
  
17.500 - 17.999
    
7
    
510,051
    
0.22
    
11.616
    
610
    
96.71
  
18.000 - 18.499
    
3
    
181,890
    
0.08
    
12.073
    
590
    
100.00
  
Total:
    
1,516
    
227,451,504
    
100.00
    
8.283
    
625
    
80.83
  
*ARM Loans Only


 
 
 


DESCRIPTION OF THE GROUP 1A 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 (%)
  
5.500 - 5.999
    
2
    
335,538
    
0.15
    
5.835
    
672
    
80.00
  
6.000 - 6.499
    
10
    
1,684,185
    
0.74
    
6.202
    
668
    
78.78
  
6.500 - 6.999
    
72
    
12,578,729
    
5.53
    
6.777
    
657
    
76.69
  
7.000 - 7.499
    
146
    
24,287,486
    
10.68
    
7.221
    
651
    
78.50
  
7.500 - 7.999
    
314
    
52,349,630
    
23.02
    
7.741
    
633
    
78.70
  
8.000 - 8.499
    
272
    
43,351,758
    
19.06
    
8.227
    
628
    
80.51
  
8.500 - 8.999
    
352
    
50,528,037
    
22.21
    
8.701
    
610
    
80.95
  
9.000 - 9.499
    
135
    
17,800,917
    
7.83
    
9.215
    
608
    
83.45
  
9.500 - 9.999
    
133
    
16,230,125
    
7.14
    
9.690
    
603
    
86.59
  
10.000 - 10.499
    
31
    
3,572,861
    
1.57
    
10.124
    
588
    
90.28
  
10.500 - 10.999
    
29
    
3,008,490
    
1.32
    
10.672
    
589
    
90.13
  
11.000 - 11.499
    
10
    
1,031,807
    
0.45
    
11.192
    
590
    
97.41
  
11.500 - 11.999
    
7
    
510,051
    
0.22
    
11.616
    
610
    
96.71
  
12.000 - 12.499
    
3
    
181,890
    
0.08
    
12.073
    
590
    
100.00
  
Total:
    
1,516
    
227,451,504
    
100.00
    
8.283
    
625
    
80.83
  
*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
    
1,063,233
    
0.47
    
8.241
    
612
    
79.16
  
1.500
    
1
    
146,795
    
0.06
    
8.775
    
649
    
79.99
  
2.000
    
9
    
1,677,327
    
0.74
    
7.964
    
646
    
79.18
  
3.000
    
1,502
    
224,564,149
    
98.73
    
8.285
    
625
    
80.85
  
Total:
    
1,516
    
227,451,504
    
100.00
    
8.283
    
625
    
80.83
  
*ARM Loans Only


 
 
 



DESCRIPTION OF THE GROUP 1A 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
    
1,509
    
226,108,845
    
99.41
    
8.286
    
625
    
80.80
  
1.500
    
7
    
1,342,659
    
0.59
    
7.702
    
640
    
84.52
  
Total:
    
1,516
    
227,451,504
    
100.00
    
8.283
    
625
    
80.83
  
*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
    
2
    
325,962
    
0.14
    
7.472
    
610
    
80.00
  
5.000 - 5.499
    
2
    
120,160
    
0.05
    
9.197
    
615
    
84.87
  
6.000 - 6.499
    
1,502
    
225,234,951
    
99.03
    
8.289
    
625
    
80.81
  
6.500 - 6.999
    
2
    
221,784
    
0.10
    
7.774
    
625
    
76.77
  
7.000 - 7.499
    
8
    
1,548,646
    
0.68
    
7.542
    
635
    
83.31
  
Total:
    
1,516
    
227,451,504
    
100.00
    
8.283
    
625
    
80.83
  
*ARM Loans Only


 
 
 



DESCRIPTION OF THE GROUP 1A COLLATERAL

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
    
523
    
69,802,496
    
27.19
    
8.530
    
625
    
80.74
  
6
    
1
    
194,599
    
0.08
    
8.500
    
600
    
80.00
  
12
    
28
    
3,955,751
    
1.54
    
8.596
    
645
    
82.74
  
24
    
793
    
109,465,020
    
42.64
    
8.343
    
628
    
81.40
  
36
    
579
    
73,323,111
    
28.56
    
8.301
    
626
    
81.16
  
Total:
    
1,924
    
256,740,978
    
100.00
    
8.386
    
627
    
81.17
  




 
 
 


DESCRIPTION OF THE GROUP 1B COLLATERAL


SUMMARY - GROUP 1B POOL*

Number of Mortgage Loans
1,222
  
Index Type:
  
Aggregate Principal Balance
$157,085,662
 
6 Month LIBOR:
80.55%
Conforming Principal Balance Loans
$157,085,662
 
Fixed Rate:
19.45%
Average Principal Balance:
$128,548
 
W.A. Initial Periodic Cap:1
2.989%
Range:
$9,991 - $419,760
  
W.A. Subsequent Periodic Cap:1
1.003%
W.A. Coupon:
8.379%
  
W.A. Lifetime Rate Cap:1
5.997%
Range:
5.875% - 12.990%
  
Property Type:
  
W.A. Gross Margin:1
5.515%
  
Single Family:
65.88%
Range:1
2.990% - 7.950%
  
PUD:
20.59%
W.A. Remaining Term (months):
349
  
Condo:
5.54%
Range (months):
173 - 360
 
2-4 Family:
7.90%
W.A. Seasoning (months):
2
 
Rowhouse:
0.09%
Latest Maturity Date:
September 1, 2036
  
Occupancy Status:
  
State Concentration (Top 5):
    
Primary:
99.24%
Minnesota:
10.50%
  
Investment:
0.59%
Michigan:
8.30%
  
Second Home:
0.17%
Illinois:
7.87%
  
Documentation Status:
  
Texas:
7.17%
  
Full:
75.21%
Florida:
6.41%
  
Limited:
24.79%
W.A. Original Combined LTV:
81.92%
  
None:
0.00%
Range:
22.44% - 100.00%
  
Non-Zero W.A. Prepayment Penalty - Term (months):
29
First Liens:
95.07%
  
Loans with Prepay Penalties:
70.35%
Second Liens:
4.93%
  
Interest Only Loans:
18.95%
Non-Balloon Loans:
81.68%
  
Non-Zero W.A. Interest Only Term (months):
60
Non-Zero W.A. FICO Score:
633
      
* Subject to a permitted variance of +/- 10%
1  ARM loans only

 
 
 


DESCRIPTION OF THE GROUP 1B COLLATERAL


Collateral 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
    
21
    
1,101,819
    
0.70
    
10.829
    
634
    
94.03
  
Fixed - 20 Year
    
5
    
151,059
    
0.10
    
11.601
    
641
    
99.28
  
Fixed - 30 Year
    
148
    
19,909,036
    
12.67
    
8.340
    
634
    
80.42
  
Balloon - 15/30
    
164
    
6,206,620
    
3.95
    
11.333
    
642
    
99.32
  
Balloon - 20/30
    
11
    
379,868
    
0.24
    
11.362
    
643
    
99.50
  
Balloon - 30/40
    
17
    
2,805,330
    
1.79
    
8.032
    
644
    
81.84
  
ARM - 1 Year/6 Month
    
3
    
429,321
    
0.27
    
8.290
    
612
    
79.03
  
ARM - 1 Year/6 Month 30/40 Balloon
    
3
    
484,477
    
0.31
    
8.524
    
623
    
91.41
  
ARM - 1 Year/6 Month IO
    
4
    
933,288
    
0.59
    
8.383
    
669
    
82.87
  
ARM - 2 Year/6 Month
    
479
    
63,844,193
    
40.64
    
8.430
    
623
    
82.05
  
ARM - 2 Year/6 Month IO
    
119
    
21,905,759
    
13.95
    
7.596
    
669
    
79.56
  
ARM - 2 Year/6 Month 30/40 Balloon
    
83
    
13,998,950
    
8.91
    
8.371
    
621
    
81.39
  
ARM - 2 Year/6 Month 30/50 Balloon
    
5
    
948,407
    
0.60
    
9.008
    
635
    
79.77
  
ARM - 3 Year/6 Month
    
93
    
11,985,979
    
7.63
    
8.274
    
616
    
80.27
  
ARM - 3 Year/6 Month IO
    
27
    
5,036,594
    
3.21
    
7.842
    
660
    
81.08
  
ARM - 3 Year/6 Month 30/40 Balloon
    
22
    
3,840,127
    
2.44
    
7.967
    
617
    
77.76
  
ARM - 3 Year/6 Month 30/50 Balloon
    
1
    
107,991
    
0.07
    
9.000
    
604
    
80.00
  
ARM - 5 Year/6 Month
    
7
    
1,124,451
    
0.72
    
7.925
    
636
    
77.75
  
ARM - 5 Year/6 Month IO
    
10
    
1,892,393
    
1.20
    
7.578
    
663
    
78.63
  
Total:
    
1,222
    
157,085,662
    
100.00
    
8.379
    
633
    
81.92
  


IO Terms
  
           
% of Aggregate
      
W.A.
  
W.A.
  
IO Terms (mos.)
  
Number of
  
Aggregate Remaining
  
Remaining
  
W.A.
  
Non-Zero
  
Original
  
   
Initial Mortgage Loans
  
Principal Balance ($)
  
Principal Balance
  
Coupon (%)
  
FICO
  
CLTV (%)
  
0
    
1,062
    
127,317,628
    
81.05
    
8.547
    
625
    
82.40
  
60
    
160
    
29,768,034
    
18.95
    
7.661
    
667
    
79.86
  
Total:
    
1,222
    
157,085,662
    
100.00
    
8.379
    
633
    
81.92
  


 
 
 


DESCRIPTION OF THE GROUP 1B 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
    
175
    
5,524,439
    
3.52
    
11.087
    
637
    
97.04
  
50,000.01 - 100,000.00
    
267
    
20,426,011
    
13.00
    
9.149
    
618
    
83.51
  
100,000.01 - 150,000.00
    
370
    
45,914,254
    
29.23
    
8.352
    
628
    
80.82
  
150,000.01 - 200,000.00
    
225
    
39,132,629
    
24.91
    
8.108
    
637
    
82.08
  
200,000.01 - 250,000.00
    
116
    
25,674,611
    
16.34
    
7.905
    
637
    
79.74
  
250,000.01 - 300,000.00
    
48
    
13,221,327
    
8.42
    
8.023
    
647
    
81.29
  
300,000.01 - 350,000.00
    
13
    
4,122,130
    
2.62
    
8.017
    
630
    
79.17
  
350,000.01 - 400,000.00
    
6
    
2,234,501
    
1.42
    
8.095
    
671
    
84.52
  
400,000.01 - 450,000.00
    
2
    
835,760
    
0.53
    
8.564
    
682
    
80.00
  
Total:
    
1,222
    
157,085,662
    
100.00
    
8.379
    
633
    
81.92
  

 
 
 


DESCRIPTION OF THE GROUP 1B 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
    
175
    
5,524,439
    
3.52
    
11.087
    
637
    
97.04
  
50,000.01 - 100,000.00
    
269
    
20,625,704
    
13.13
    
9.146
    
618
    
83.43
  
100,000.01 - 150,000.00
    
368
    
45,714,561
    
29.10
    
8.350
    
628
    
80.85
  
150,000.01 - 200,000.00
    
225
    
39,132,629
    
24.91
    
8.108
    
637
    
82.08
  
200,000.01 - 250,000.00
    
117
    
25,924,413
    
16.50
    
7.890
    
637
    
79.74
  
250,000.01 - 300,000.00
    
47
    
12,971,525
    
8.26
    
8.055
    
646
    
81.31
  
300,000.01 - 350,000.00
    
13
    
4,122,130
    
2.62
    
8.017
    
630
    
79.17
  
350,000.01 - 400,000.00
    
6
    
2,234,501
    
1.42
    
8.095
    
671
    
84.52
  
400,000.01 - 450,000.00
    
2
    
835,760
    
0.53
    
8.564
    
682
    
80.00
  
Total:
    
1,222
    
157,085,662
    
100.00
    
8.379
    
633
    
81.92
  


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
    
185
    
7,308,439
    
4.65
    
11.257
    
641
    
98.52
  
181 - 240
    
16
    
530,927
    
0.34
    
11.430
    
643
    
99.44
  
301 - 360
    
1,021
    
149,246,296
    
95.01
    
8.227
    
633
    
81.05
  
Total:
    
1,222
    
157,085,662
    
100.00
    
8.379
    
633
    
81.92
  

 
 
 


DESCRIPTION OF THE GROUP 1B 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
    
2
    
428,703
    
0.27
    
5.875
    
645
    
72.26
  
6.000 - 6.499
    
10
    
1,888,933
    
1.20
    
6.223
    
656
    
74.88
  
6.500 - 6.999
    
59
    
10,637,821
    
6.77
    
6.728
    
672
    
78.69
  
7.000 - 7.499
    
122
    
20,470,284
    
13.03
    
7.230
    
663
    
78.99
  
7.500 - 7.999
    
203
    
32,049,683
    
20.40
    
7.738
    
647
    
78.85
  
8.000 - 8.499
    
181
    
26,209,490
    
16.68
    
8.215
    
629
    
80.27
  
8.500 - 8.999
    
207
    
28,802,456
    
18.34
    
8.711
    
617
    
80.83
  
9.000 - 9.499
    
85
    
10,924,962
    
6.95
    
9.172
    
601
    
83.11
  
9.500 - 9.999
    
111
    
11,815,958
    
7.52
    
9.698
    
601
    
87.94
  
10.000 - 10.499
    
49
    
4,424,355
    
2.82
    
10.231
    
608
    
92.29
  
10.500 - 10.999
    
35
    
2,494,419
    
1.59
    
10.720
    
628
    
96.61
  
11.000 - 11.499
    
44
    
2,303,484
    
1.47
    
11.184
    
633
    
99.29
  
11.500 - 11.999
    
60
    
2,688,402
    
1.71
    
11.729
    
621
    
98.77
  
12.000 - 12.499
    
32
    
1,196,790
    
0.76
    
12.136
    
613
    
99.05
  
12.500 - 12.999
    
22
    
749,920
    
0.48
    
12.779
    
606
    
98.97
  
Total:
    
1,222
    
157,085,662
    
100.00
    
8.379
    
633
    
81.92
  

 



 
 
 


DESCRIPTION OF THE GROUP 1B COLLATERAL

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
    
18
    
2,414,311
    
1.54
    
7.993
    
629
    
39.93
  
50.01 - 55.00
    
3
    
445,352
    
0.28
    
7.624
    
633
    
54.06
  
55.01 - 60.00
    
9
    
1,403,445
    
0.89
    
8.413
    
599
    
57.16
  
60.01 - 65.00
    
28
    
3,980,390
    
2.53
    
7.942
    
615
    
63.49
  
65.01 - 70.00
    
15
    
2,337,666
    
1.49
    
7.923
    
621
    
68.23
  
70.01 - 75.00
    
28
    
4,048,046
    
2.58
    
8.189
    
598
    
74.15
  
75.01 - 80.00
    
689
    
101,291,775
    
64.48
    
7.980
    
639
    
79.88
  
80.01 - 85.00
    
47
    
7,521,635
    
4.79
    
8.721
    
594
    
84.38
  
85.01 - 90.00
    
69
    
9,235,696
    
5.88
    
8.820
    
621
    
89.53
  
90.01 - 95.00
    
48
    
6,761,999
    
4.30
    
8.888
    
638
    
94.65
  
95.01 - 100.00
    
268
    
17,645,346
    
11.23
    
10.371
    
635
    
99.91
  
Total:
    
1,222
    
157,085,662
    
100.00
    
8.379
    
633
    
81.92
  



 
 
 


DESCRIPTION OF THE GROUP 1B 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 (%)
  
525 - 549
    
19
    
2,629,740
    
1.67
    
9.280
    
543
    
73.02
  
550 - 574
    
67
    
8,369,899
    
5.33
    
9.162
    
564
    
78.45
  
575 - 599
    
234
    
27,339,092
    
17.40
    
8.986
    
588
    
82.17
  
600 - 624
    
249
    
30,980,654
    
19.72
    
8.684
    
611
    
81.79
  
625 - 649
    
280
    
36,378,188
    
23.16
    
8.218
    
639
    
83.57
  
650 - 674
    
193
    
25,307,902
    
16.11
    
7.933
    
662
    
81.95
  
675 - 699
    
99
    
14,178,702
    
9.03
    
7.705
    
685
    
81.95
  
700 - 724
    
48
    
7,349,742
    
4.68
    
7.667
    
709
    
83.18
  
725 - 749
    
21
    
2,861,523
    
1.82
    
7.799
    
734
    
78.55
  
750 - 774
    
9
    
1,222,979
    
0.78
    
7.530
    
756
    
72.52
  
775 - 799
    
3
    
467,240
    
0.30
    
7.713
    
784
    
82.91
  
Total:
    
1,222
    
157,085,662
    
100.00
    
8.379
    
633
    
81.92
  


 
 
 


DESCRIPTION OF THE GROUP 1B 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 (%)
  
Minnesota
    
117
    
16,486,280
    
10.50
    
7.977
    
644
    
81.68
  
Michigan
    
132
    
13,039,439
    
8.30
    
8.893
    
624
    
85.11
  
Illinois
    
98
    
12,368,119
    
7.87
    
8.691
    
631
    
81.74
  
Texas
    
96
    
11,263,300
    
7.17
    
7.919
    
630
    
80.98
  
Florida
    
73
    
10,076,225
    
6.41
    
8.062
    
641
    
80.58
  
California
    
44
    
9,335,653
    
5.94
    
7.777
    
651
    
74.47
  
Wisconsin
    
75
    
7,836,982
    
4.99
    
8.605
    
626
    
84.13
  
Arizona
    
45
    
6,919,852
    
4.41
    
8.013
    
651
    
79.89
  
Ohio
    
68
    
6,352,033
    
4.04
    
8.665
    
623
    
83.84
  
Washington
    
32
    
5,790,000
    
3.69
    
8.068
    
642
    
78.68
  
Georgia
    
53
    
5,353,674
    
3.41
    
9.314
    
615
    
85.94
  
Virginia
    
27
    
4,554,115
    
2.90
    
8.087
    
635
    
78.98
  
Colorado
    
27
    
4,401,609
    
2.80
    
7.590
    
651
    
80.27
  
Maryland
    
24
    
4,341,447
    
2.76
    
8.539
    
628
    
80.84
  
Missouri
    
40
    
4,001,746
    
2.55
    
8.940
    
638
    
86.65
  
Pennsylvania
    
25
    
2,842,874
    
1.81
    
8.709
    
619
    
83.86
  
Tennessee
    
23
    
2,726,188
    
1.74
    
8.314
    
636
    
85.71
  
Nevada
    
14
    
2,647,857
    
1.69
    
7.869
    
660
    
80.73
  
Kentucky
    
22
    
2,425,945
    
1.54
    
8.878
    
616
    
83.07
  
New Jersey
    
12
    
2,374,480
    
1.51
    
8.501
    
615
    
78.76
  
Indiana
    
25
    
2,243,378
    
1.43
    
8.832
    
604
    
85.61
  
Connecticut
    
11
    
2,136,620
    
1.36
    
8.251
    
636
    
81.28
  
Oregon
    
10
    
1,655,764
    
1.05
    
7.998
    
641
    
81.05
  
Oklahoma
    
12
    
1,331,820
    
0.85
    
9.064
    
610
    
87.56
  
North Carolina
    
11
    
1,279,321
    
0.81
    
9.428
    
601
    
83.57
  
Utah
    
11
    
1,261,995
    
0.80
    
8.288
    
631
    
83.10
  
Mississippi
    
9
    
1,190,182
    
0.76
    
8.759
    
615
    
86.83
  
Kansas
    
9
    
1,100,872
    
0.70
    
8.721
    
621
    
81.49
  
Louisiana
    
12
    
1,025,447
    
0.65
    
9.036
    
604
    
84.47
  
New Mexico
    
7
    
917,882
    
0.58
    
8.518
    
615
    
82.35
  
Massachusetts
    
4
    
905,725
    
0.58
    
8.584
    
613
    
80.00
  
South Carolina
    
7
    
846,254
    
0.54
    
8.834
    
631
    
86.49
  
District of Columbia
    
4
    
815,252
    
0.52
    
8.053
    
655
    
80.00
  
New York
    
3
    
778,811
    
0.50
    
9.417
    
648
    
79.03
  
*Geographic Distribution continued on the next page



DESCRIPTION OF THE GROUP 1B 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 (%)
  
Iowa
    
8
    
766,567
    
0.49
    
9.047
    
614
    
84.92
  
Alabama
    
7
    
750,814
    
0.48
    
8.994
    
624
    
82.87
  
Idaho
    
5
    
618,678
    
0.39
    
8.151
    
633
    
86.20
  
Arkansas
    
5
    
508,337
    
0.32
    
8.454
    
626
    
82.67
  
Hawaii
    
1
    
300,000
    
0.19
    
7.250
    
663
    
78.95
  
West Virginia
    
3
    
287,092
    
0.18
    
8.841
    
624
    
92.79
  
Delaware
    
1
    
280,000
    
0.18
    
10.250
    
601
    
100.00
  
Montana
    
2
    
237,812
    
0.15
    
9.500
    
601
    
86.05
  
Rhode Island
    
1
    
195,736
    
0.12
    
8.000
    
649
    
80.00
  
South Dakota
    
2
    
144,779
    
0.09
    
9.789
    
610
    
83.99
  
New Hampshire
    
1
    
137,341
    
0.09
    
8.750
    
601
    
87.30
  
Wyoming
    
1
    
118,345
    
0.08
    
8.750
    
599
    
80.00
  
Nebraska
    
3
    
113,021
    
0.07
    
9.327
    
695
    
87.61
  
Total:
    
1,222
    
157,085,662
    
100.00
    
8.379
    
633
    
81.92
  

 
 
 


DESCRIPTION OF THE GROUP 1B 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
    
1,213
    
155,888,856
    
99.24
    
8.376
    
633
    
81.95
  
Investment
    
8
    
928,288
    
0.59
    
8.606
    
648
    
75.10
  
Second Home
    
1
    
268,518
    
0.17
    
9.505
    
601
    
90.00
  
Total:
    
1,222
    
157,085,662
    
100.00
    
8.379
    
633
    
81.92
  
 

 
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
    
961
    
118,147,085
    
75.21
    
8.424
    
625
    
82.39
  
Limited Documentation
    
261
    
38,938,577
    
24.79
    
8.244
    
659
    
80.51
  
Total:
    
1,222
    
157,085,662
    
100.00
    
8.379
    
633
    
81.92
  
 
 
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
    
746
    
88,965,522
    
56.64
    
8.303
    
641
    
82.70
  
Refinance - Cashout
    
362
    
52,362,472
    
33.33
    
8.496
    
620
    
80.06
  
Refinance - Rate Term
    
114
    
15,757,668
    
10.03
    
8.418
    
632
    
83.73
  
Total:
    
1,222
    
157,085,662
    
100.00
    
8.379
    
633
    
81.92
  


 
 
 


DESCRIPTION OF THE GROUP 1B 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
    
856
    
103,491,186
    
65.88
    
8.536
    
626
    
82.48
  
PUD
    
221
    
32,339,493
    
20.59
    
7.945
    
645
    
81.20
  
2-4 Family
    
70
    
12,405,540
    
7.90
    
8.254
    
653
    
80.21
  
Condo
    
74
    
8,706,430
    
5.54
    
8.312
    
643
    
80.40
  
Rowhouse
    
1
    
143,012
    
0.09
    
8.125
    
562
    
80.00
  
Total:
    
1,222
    
157,085,662
    
100.00
    
8.379
    
633
    
81.92
  
 


 
 
 


DESCRIPTION OF THE GROUP 1B 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 (%)
  
May 2007
    
1
    
182,848
    
0.14
    
7.125
    
657
    
80.00
  
June 2007
    
1
    
167,904
    
0.13
    
9.250
    
629
    
100.00
  
July 2007
    
4
    
976,431
    
0.77
    
8.447
    
662
    
81.00
  
August 2007
    
4
    
519,903
    
0.41
    
8.480
    
610
    
86.64
  
April 2008
    
8
    
1,034,446
    
0.82
    
8.272
    
619
    
80.21
  
May 2008
    
55
    
7,320,673
    
5.79
    
8.181
    
634
    
80.40
  
June 2008
    
89
    
13,636,725
    
10.78
    
8.159
    
639
    
80.70
  
July 2008
    
255
    
38,300,283
    
30.27
    
8.215
    
630
    
81.50
  
August 2008
    
227
    
32,985,036
    
26.07
    
8.309
    
635
    
81.86
  
September 2008
    
52
    
7,420,147
    
5.86
    
8.347
    
626
    
81.16
  
April 2009
    
1
    
119,591
    
0.09
    
7.990
    
599
    
80.00
  
May 2009
    
9
    
1,338,222
    
1.06
    
8.473
    
621
    
80.00
  
June 2009
    
22
    
3,207,501
    
2.53
    
8.211
    
624
    
79.97
  
July 2009
    
53
    
8,598,904
    
6.80
    
7.903
    
632
    
77.96
  
August 2009
    
49
    
6,400,022
    
5.06
    
8.261
    
625
    
81.95
  
September 2009
    
9
    
1,306,450
    
1.03
    
8.251
    
615
    
83.96
  
May 2011
    
1
    
224,739
    
0.18
    
7.750
    
601
    
72.90
  
June 2011
    
1
    
180,000
    
0.14
    
8.125
    
655
    
80.00
  
July 2011
    
4
    
555,057
    
0.44
    
7.630
    
666
    
78.32
  
August 2011
    
10
    
1,737,048
    
1.37
    
7.537
    
660
    
78.51
  
September 2011
    
1
    
320,000
    
0.25
    
8.500
    
630
    
80.00
  
Total:
    
856
    
126,531,930
    
100.00
    
8.214
    
632
    
81.13
  
*ARM Loans Only

 
 
 


DESCRIPTION OF THE GROUP 1B 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 (%)
  
2.500 - 2.999
    
1
    
126,172
    
0.10
    
7.990
    
683
    
80.00
  
3.000 - 3.499
    
1
    
323,826
    
0.26
    
6.625
    
675
    
80.00
  
3.500 - 3.999
    
2
    
236,585
    
0.19
    
9.232
    
590
    
47.08
  
4.000 - 4.499
    
79
    
11,671,215
    
9.22
    
7.899
    
635
    
79.67
  
4.500 - 4.999
    
16
    
2,430,907
    
1.92
    
7.701
    
644
    
73.81
  
5.000 - 5.499
    
494
    
75,201,113
    
59.43
    
7.976
    
637
    
78.45
  
5.500 - 5.999
    
100
    
15,338,397
    
12.12
    
8.596
    
616
    
86.04
  
6.000 - 6.499
    
39
    
4,923,401
    
3.89
    
8.404
    
629
    
83.90
  
6.500 - 6.999
    
92
    
12,090,266
    
9.56
    
9.086
    
630
    
91.97
  
7.000 - 7.499
    
16
    
2,075,016
    
1.64
    
9.443
    
595
    
82.00
  
7.500 - 7.999
    
16
    
2,115,033
    
1.67
    
9.745
    
600
    
91.92
  
Total:
    
856
    
126,531,930
    
100.00
    
8.214
    
632
    
81.13
  
*ARM Loans Only


 
 
 


DESCRIPTION OF THE GROUP 1B 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
    
196,313
    
0.16
    
7.000
    
703
    
80.00
  
11.000 - 11.499
    
2
    
219,679
    
0.17
    
8.218
    
646
    
89.09
  
11.500 - 11.999
    
2
    
428,703
    
0.34
    
5.875
    
645
    
72.26
  
12.000 - 12.499
    
9
    
1,629,195
    
1.29
    
6.258
    
661
    
76.83
  
12.500 - 12.999
    
41
    
7,241,264
    
5.72
    
6.706
    
675
    
80.47
  
13.000 - 13.499
    
106
    
17,774,854
    
14.05
    
7.219
    
662
    
78.95
  
13.500 - 13.999
    
178
    
28,059,868
    
22.18
    
7.731
    
646
    
78.87
  
14.000 - 14.499
    
150
    
22,740,411
    
17.97
    
8.204
    
629
    
80.08
  
14.500 - 14.999
    
177
    
25,186,561
    
19.91
    
8.706
    
617
    
81.32
  
15.000 - 15.499
    
63
    
7,944,794
    
6.28
    
9.177
    
596
    
81.63
  
15.500 - 15.999
    
82
    
10,037,859
    
7.93
    
9.640
    
598
    
87.66
  
16.000 - 16.499
    
19
    
2,473,231
    
1.95
    
10.260
    
595
    
91.28
  
16.500 - 16.999
    
13
    
1,365,503
    
1.08
    
10.675
    
603
    
94.35
  
17.000 - 17.499
    
6
    
500,092
    
0.40
    
11.156
    
592
    
100.00
  
17.500 - 17.999
    
6
    
654,449
    
0.52
    
11.696
    
593
    
100.00
  
18.000 - 18.499
    
1
    
79,154
    
0.06
    
12.000
    
574
    
90.00
  
Total:
    
856
    
126,531,930
    
100.00
    
8.214
    
632
    
81.13
  
*ARM Loans Only


 
 
 


DESCRIPTION OF THE GROUP 1B 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 (%)
  
5.500 - 5.999
    
2
    
428,703
    
0.34
    
5.875
    
645
    
72.26
  
6.000 - 6.499
    
10
    
1,888,933
    
1.49
    
6.223
    
656
    
74.88
  
6.500 - 6.999
    
41
    
7,241,264
    
5.72
    
6.706
    
675
    
80.47
  
7.000 - 7.499
    
107
    
17,949,359
    
14.19
    
7.229
    
663
    
79.21
  
7.500 - 7.999
    
180
    
28,551,411
    
22.56
    
7.735
    
645
    
78.89
  
8.000 - 8.499
    
149
    
22,230,617
    
17.57
    
8.224
    
629
    
80.17
  
8.500 - 8.999
    
178
    
25,362,224
    
20.04
    
8.705
    
617
    
81.42
  
9.000 - 9.499
    
63
    
7,944,794
    
6.28
    
9.177
    
596
    
81.63
  
9.500 - 9.999
    
81
    
9,862,197
    
7.79
    
9.660
    
597
    
87.53
  
10.000 - 10.499
    
19
    
2,473,231
    
1.95
    
10.260
    
595
    
91.28
  
10.500 - 10.999
    
13
    
1,365,503
    
1.08
    
10.675
    
603
    
94.35
  
11.000 - 11.499
    
6
    
500,092
    
0.40
    
11.156
    
592
    
100.00
  
11.500 - 11.999
    
6
    
654,449
    
0.52
    
11.696
    
593
    
100.00
  
12.000 - 12.499
    
1
    
79,154
    
0.06
    
12.000
    
574
    
90.00
  
Total:
    
856
    
126,531,930
    
100.00
    
8.214
    
632
    
81.13
  
*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
    
1
    
135,936
    
0.11
    
9.700
    
656
    
80.00
  
2.000
    
5
    
1,068,594
    
0.84
    
8.291
    
661
    
84.00
  
3.000
    
850
    
125,327,400
    
99.05
    
8.212
    
632
    
81.10
  
Total:
    
856
    
126,531,930
    
100.00
    
8.214
    
632
    
81.13
  
*ARM Loans Only 


 
 
 


DESCRIPTION OF THE GROUP 1B 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
    
853
    
125,939,030
    
99.53
    
8.219
    
632
    
81.14
  
1.500
    
2
    
435,401
    
0.34
    
7.009
    
620
    
75.70
  
2.000
    
1
    
157,500
    
0.12
    
7.875
    
641
    
90.00
  
Total:
    
856
    
126,531,930
    
100.00
    
8.214
    
632
    
81.13
  
*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
    
3
    
415,992
    
0.33
    
7.643
    
673
    
84.80
  
5.000 - 5.499
    
1
    
86,306
    
0.07
    
8.200
    
648
    
80.00
  
6.000 - 6.499
    
846
    
124,778,454
    
98.61
    
8.224
    
632
    
81.14
  
6.500 - 6.999
    
2
    
491,543
    
0.39
    
7.943
    
598
    
80.00
  
7.000 - 7.499
    
4
    
759,636
    
0.60
    
7.097
    
635
    
77.54
  
Total:
    
856
    
126,531,930
    
100.00
    
8.214
    
632
    
81.13
  
*ARM Loans Only


 
 
 


DESCRIPTION OF THE GROUP 1B COLLATERAL

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
    
351
    
46,573,757
    
29.65
    
8.578
    
630
    
82.72
  
6
    
1
    
99,929
    
0.06
    
7.250
    
651
    
64.94
  
12
    
21
    
2,797,681
    
1.78
    
8.500
    
648
    
81.82
  
24
    
482
    
62,061,884
    
39.51
    
8.304
    
636
    
81.69
  
36
    
367
    
45,552,411
    
29.00
    
8.274
    
632
    
81.46
  
Total:
    
1,222
    
157,085,662
    
100.00
    
8.379
    
633
    
81.92
  




 
 
 


DESCRIPTION OF THE GROUP 2 COLLATERAL

SUMMARY - GROUP 2 POOL*
 
Number of Mortgage Loans
2,069
  
Index Type:
  
Aggregate Principal Balance
$394,679,210
 
6 Month LIBOR:
85.41%
Conforming Principal Balance Loans
$223,984,350
 
Fixed Rate:
14.59%
Average Principal Balance:
$190,758
 
W.A. Initial Periodic Cap:1
2.973%
Range:
$10,995 - $1,198,400
  
W.A. Subsequent Periodic Cap:1
1.005%
W.A. Coupon:
8.202%
  
W.A. Lifetime Rate Cap:1
5.994%
Range:
5.500% - 13.750%
  
Property Type:
  
W.A. Gross Margin:1
5.469%
  
Single Family:
58.15%
Range:1
2.250% - 8.000%
  
PUD:
29.85%
W.A. Remaining Term (months):
343
  
Condo:
7.90%
Range (months):
167 - 360
  
2-4 Family:
4.10%
W.A. Seasoning (months):
2
 
Occupancy Status:
  
Latest Maturity Date:
September 1, 2036
  
Primary:
98.95%
State Concentration (Top 5):
    
Investment:
0.77%
California:
36.26%
  
Second Home:
0.27%
Florida:
8.93%
  
Documentation Status:
  
Arizona:
5.55%
  
Limited:
46.02%
Texas:
4.54%
  
Full:
45.60%
Nevada:
4.31%
  
None:
8.39%
W.A. Original Combined LTV:
81.94%
  
Non-Zero W.A. Prepayment Penalty - Term (months):
27
Range:
20.83% - 100.00%
  
Loans with Prepay Penalties:
73.96%
First Liens:
91.88%
  
Interest Only Loans:
55.12%
Second Liens:
8.12%
  
Non-Zero W.A. Interest Only Term (months):
60
Non-Balloon Loans:
83.12%
      
Non-Zero W.A. FICO Score:
650
      
* Subject to a permitted variance of +/- 10%
1 ARM loans only

 
 
 


DESCRIPTION OF THE GROUP 2 COLLATERAL

Collateral 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
    
29
    
1,448,714
    
0.37
    
10.115
    
627
    
86.67
  
Fixed - 20 Year
    
14
    
611,541
    
0.15
    
11.331
    
624
    
99.75
  
Fixed - 30 Year
    
111
    
19,968,624
    
5.06
    
7.879
    
665
    
79.27
  
Balloon - 15/30
    
591
    
30,454,595
    
7.72
    
11.120
    
650
    
99.26
  
Balloon - 20/30
    
4
    
223,357
    
0.06
    
12.367
    
626
    
99.57
  
Balloon - 30/40
    
17
    
4,878,161
    
1.24
    
7.867
    
654
    
78.11
  
ARM - 6 Month IO
    
4
    
2,071,200
    
0.52
    
8.430
    
641
    
79.95
  
ARM - 1 Year/6 Month
    
6
    
1,612,784
    
0.41
    
7.827
    
634
    
79.14
  
ARM - 1 Year/6 Month 30/40 Balloon
    
2
    
743,910
    
0.19
    
8.585
    
613
    
72.62
  
ARM - 1 Year/6 Month IO
    
8
    
3,500,736
    
0.89
    
8.458
    
641
    
80.02
  
ARM - 2 Year/6 Month
    
378
    
68,283,035
    
17.30
    
8.291
    
645
    
81.99
  
ARM - 2 Year/6 Month IO
    
572
    
175,814,508
    
44.55
    
7.812
    
655
    
79.79
  
ARM - 2 Year/6 Month 30/40 Balloon
    
78
    
25,185,356
    
6.38
    
8.355
    
635
    
81.36
  
ARM - 2 Year/6 Month 30/50 Balloon
    
10
    
2,725,104
    
0.69
    
8.298
    
640
    
84.01
  
ARM - 3 Year/6 Month
    
84
    
16,852,195
    
4.27
    
7.928
    
646
    
81.54
  
ARM - 3 Year/6 Month IO
    
127
    
32,232,176
    
8.17
    
7.579
    
646
    
80.79
  
ARM - 3 Year/6 Month 30/40 Balloon
    
7
    
1,929,220
    
0.49
    
7.794
    
604
    
74.01
  
ARM - 5 Year/6 Month
    
8
    
1,738,943
    
0.44
    
7.609
    
676
    
78.03
  
ARM - 5 Year/6 Month IO
    
17
    
3,909,163
    
0.99
    
7.637
    
664
    
80.47
  
ARM - 5 Year/6 Month 30/40 Balloon
    
1
    
135,953
    
0.03
    
7.375
    
715
    
80.00
  
ARM - 5 Year/6 Month 30/50 Balloon
    
1
    
359,934
    
0.09
    
7.000
    
711
    
79.12
  
Total:
    
2,069
    
394,679,210
    
100.00
    
8.202
    
650
    
81.94
  


IO Terms
  
           
% of Aggregate
      
W.A.
  
W.A.
  
IO Terms (mos.)
  
Number of
  
Aggregate Remaining
  
Remaining
  
W.A.
  
Non-Zero
  
Original
  
   
Initial Mortgage Loans
  
Principal Balance ($)
  
Principal Balance
  
Coupon (%)
  
FICO
  
CLTV (%)
  
0
    
1,341
    
177,151,426
    
44.88
    
8.706
    
646
    
84.37
  
60
    
728
    
217,527,784
    
55.12
    
7.791
    
653
    
79.96
  
Total:
    
2,069
    
394,679,210
    
100.00
    
8.202
    
650
    
81.94
  


 
 
 


DESCRIPTION OF THE GROUP 2 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
    
428
    
14,371,823
    
3.64
    
11.170
    
634
    
96.23
  
50,000.01 - 100,000.00
    
365
    
26,215,971
    
6.64
    
10.032
    
635
    
90.50
  
100,000.01 - 150,000.00
    
248
    
30,878,489
    
7.82
    
8.466
    
642
    
82.96
  
150,000.01 - 200,000.00
    
234
    
40,883,594
    
10.36
    
8.111
    
641
    
81.48
  
200,000.01 - 250,000.00
    
207
    
46,217,563
    
11.71
    
7.934
    
647
    
81.15
  
250,000.01 - 300,000.00
    
146
    
40,007,842
    
10.14
    
7.708
    
653
    
81.00
  
300,000.01 - 350,000.00
    
118
    
38,305,370
    
9.71
    
7.825
    
653
    
80.67
  
350,000.01 - 400,000.00
    
112
    
42,012,668
    
10.64
    
7.906
    
642
    
80.74
  
400,000.01 - 450,000.00
    
55
    
23,446,130
    
5.94
    
7.806
    
662
    
80.80
  
450,000.01 - 500,000.00
    
54
    
25,638,088
    
6.50
    
8.062
    
650
    
81.13
  
500,000.01 - 550,000.00
    
29
    
15,231,713
    
3.86
    
7.994
    
651
    
78.81
  
550,000.01 - 600,000.00
    
29
    
16,705,527
    
4.23
    
7.669
    
665
    
76.97
  
600,000.01 - 650,000.00
    
11
    
6,837,249
    
1.73
    
8.234
    
650
    
81.84
  
650,000.01 - 700,000.00
    
6
    
4,068,401
    
1.03
    
7.264
    
686
    
80.00
  
700,000.01 - 750,000.00
    
7
    
5,046,814
    
1.28
    
8.283
    
670
    
82.59
  
750,000.01 - 800,000.00
    
5
    
3,880,942
    
0.98
    
7.857
    
643
    
84.05
  
800,000.01 - 850,000.00
    
1
    
840,000
    
0.21
    
7.990
    
706
    
80.00
  
850,000.01 - 900,000.00
    
2
    
1,755,000
    
0.44
    
8.309
    
674
    
76.01
  
900,000.01 - 950,000.00
    
4
    
3,703,746
    
0.94
    
7.806
    
680
    
79.79
  
950,000.01 - 1,000,000.00
    
3
    
2,960,000
    
0.75
    
7.748
    
679
    
64.42
  
Greater than or equal to 1,000,000.01
    
5
    
5,672,281
    
1.44
    
7.517
    
731
    
77.97
  
Total:
    
2,069
    
394,679,210
    
100.00
    
8.202
    
650
    
81.94
  

 
 
 


DESCRIPTION OF THE GROUP 2 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
    
428
    
14,371,823
    
3.64
    
11.170
    
634
    
96.23
  
50,000.01 - 100,000.00
    
365
    
26,215,971
    
6.64
    
10.032
    
635
    
90.50
  
100,000.01 - 150,000.00
    
248
    
30,878,489
    
7.82
    
8.466
    
642
    
82.96
  
150,000.01 - 200,000.00
    
234
    
40,883,594
    
10.36
    
8.111
    
641
    
81.48
  
200,000.01 - 250,000.00
    
207
    
46,217,563
    
11.71
    
7.934
    
647
    
81.15
  
250,000.01 - 300,000.00
    
146
    
40,007,842
    
10.14
    
7.708
    
653
    
81.00
  
300,000.01 - 350,000.00
    
118
    
38,305,370
    
9.71
    
7.825
    
653
    
80.67
  
350,000.01 - 400,000.00
    
112
    
42,012,668
    
10.64
    
7.906
    
642
    
80.74
  
400,000.01 - 450,000.00
    
55
    
23,446,130
    
5.94
    
7.806
    
662
    
80.80
  
450,000.01 - 500,000.00
    
54
    
25,638,088
    
6.50
    
8.062
    
650
    
81.13
  
500,000.01 - 550,000.00
    
29
    
15,231,713
    
3.86
    
7.994
    
651
    
78.81
  
550,000.01 - 600,000.00
    
29
    
16,705,527
    
4.23
    
7.669
    
665
    
76.97
  
600,000.01 - 650,000.00
    
11
    
6,837,249
    
1.73
    
8.234
    
650
    
81.84
  
650,000.01 - 700,000.00
    
6
    
4,068,401
    
1.03
    
7.264
    
686
    
80.00
  
700,000.01 - 750,000.00
    
7
    
5,046,814
    
1.28
    
8.283
    
670
    
82.59
  
750,000.01 - 800,000.00
    
5
    
3,880,942
    
0.98
    
7.857
    
643
    
84.05
  
800,000.01 - 850,000.00
    
1
    
840,000
    
0.21
    
7.990
    
706
    
80.00
  
850,000.01 - 900,000.00
    
2
    
1,755,000
    
0.44
    
8.309
    
674
    
76.01
  
900,000.01 - 950,000.00
    
4
    
3,703,746
    
0.94
    
7.806
    
680
    
79.79
  
950,000.01 - 1,000,000.00
    
3
    
2,960,000
    
0.75
    
7.748
    
679
    
64.42
  
Greater than or equal to 1,000,000.01
    
5
    
5,672,281
    
1.44
    
7.517
    
731
    
77.97
  
Total:
    
2,069
    
394,679,210
    
100.00
    
8.202
    
650
    
81.94
  


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
    
620
    
31,903,310
    
8.08
    
11.074
    
649
    
98.69
  
181 - 240
    
18
    
834,897
    
0.21
    
11.608
    
625
    
99.70
  
301 - 360
    
1,431
    
361,941,003
    
91.71
    
7.940
    
650
    
80.42
  
Total:
    
2,069
    
394,679,210
    
100.00
    
8.202
    
650
    
81.94
  

 
 
 


DESCRIPTION OF THE GROUP 2 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
    
5
    
1,790,387
    
0.45
    
5.825
    
759
    
68.54
  
6.000 - 6.499
    
30
    
8,118,504
    
2.06
    
6.252
    
666
    
79.94
  
6.500 - 6.999
    
117
    
34,283,800
    
8.69
    
6.754
    
672
    
79.46
  
7.000 - 7.499
    
212
    
57,995,796
    
14.69
    
7.228
    
666
    
79.44
  
7.500 - 7.999
    
375
    
108,736,313
    
27.55
    
7.713
    
656
    
78.53
  
8.000 - 8.499
    
263
    
63,039,688
    
15.97
    
8.202
    
642
    
81.04
  
8.500 - 8.999
    
198
    
44,908,214
    
11.38
    
8.696
    
635
    
81.94
  
9.000 - 9.499
    
106
    
20,124,247
    
5.10
    
9.194
    
623
    
84.18
  
9.500 - 9.999
    
172
    
21,766,798
    
5.52
    
9.701
    
625
    
87.61
  
10.000 - 10.499
    
90
    
6,988,809
    
1.77
    
10.244
    
643
    
92.73
  
10.500 - 10.999
    
98
    
7,299,158
    
1.85
    
10.747
    
662
    
96.00
  
11.000 - 11.499
    
115
    
6,552,982
    
1.66
    
11.243
    
653
    
99.78
  
11.500 - 11.999
    
127
    
6,148,103
    
1.56
    
11.695
    
636
    
99.81
  
12.000 - 12.499
    
65
    
3,519,791
    
0.89
    
12.188
    
613
    
100.00
  
12.500 - 12.999
    
55
    
1,877,676
    
0.48
    
12.726
    
592
    
99.88
  
13.000 - 13.499
    
31
    
1,111,139
    
0.28
    
13.134
    
595
    
98.58
  
13.500 - 13.999
    
10
    
417,804
    
0.11
    
13.532
    
593
    
100.00
  
Total:
    
2,069
    
394,679,210
    
100.00
    
8.202
    
650
    
81.94
  
 



 
 
 


DESCRIPTION OF THE GROUP 2 COLLATERAL

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
    
20
    
2,850,745
    
0.72
    
7.966
    
635
    
42.06
  
50.01 - 55.00
    
5
    
455,822
    
0.12
    
7.390
    
657
    
52.87
  
55.01 - 60.00
    
13
    
2,885,286
    
0.73
    
7.800
    
633
    
58.32
  
60.01 - 65.00
    
20
    
5,553,085
    
1.41
    
8.146
    
625
    
63.40
  
65.01 - 70.00
    
23
    
6,413,389
    
1.62
    
8.110
    
661
    
68.64
  
70.01 - 75.00
    
28
    
9,943,205
    
2.52
    
7.706
    
653
    
73.63
  
75.01 - 80.00
    
1,123
    
287,253,619
    
72.78
    
7.780
    
653
    
79.96
  
80.01 - 85.00
    
39
    
10,256,365
    
2.60
    
8.447
    
616
    
84.51
  
85.01 - 90.00
    
86
    
18,273,279
    
4.63
    
9.079
    
629
    
89.71
  
90.01 - 95.00
    
55
    
9,483,880
    
2.40
    
9.102
    
652
    
94.58
  
95.01 - 100.00
    
657
    
41,310,534
    
10.47
    
10.671
    
650
    
99.96
  
Total:
    
2,069
    
394,679,210
    
100.00
    
8.202
    
650
    
81.94
  



 
 
 


DESCRIPTION OF THE GROUP 2 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
    
1
    
99,200
    
0.03
    
8.375
    
516
    
80.00
  
525 - 549
    
22
    
2,465,357
    
0.62
    
9.156
    
543
    
80.00
  
550 - 574
    
36
    
6,211,526
    
1.57
    
8.887
    
562
    
75.79
  
575 - 599
    
332
    
44,829,994
    
11.36
    
9.016
    
588
    
82.28
  
600 - 624
    
387
    
65,616,757
    
16.63
    
8.508
    
612
    
82.48
  
625 - 649
    
424
    
83,007,404
    
21.03
    
8.184
    
639
    
82.45
  
650 - 674
    
417
    
89,963,536
    
22.79
    
7.948
    
662
    
81.34
  
675 - 699
    
225
    
47,397,482
    
12.01
    
7.731
    
685
    
82.06
  
700 - 724
    
125
    
29,777,042
    
7.54
    
7.921
    
710
    
82.66
  
725 - 749
    
59
    
14,604,608
    
3.70
    
8.010
    
735
    
81.17
  
750 - 774
    
36
    
7,752,091
    
1.96
    
7.825
    
761
    
83.14
  
775 - 799
    
4
    
2,846,427
    
0.72
    
7.310
    
789
    
73.99
  
800 - 824
    
1
    
107,787
    
0.03
    
8.125
    
802
    
80.00
  
Total:
    
2,069
    
394,679,210
    
100.00
    
8.202
    
650
    
81.94
  


 
 
 


DESCRIPTION OF THE GROUP 2 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
    
439
    
143,097,062
    
36.26
    
7.848
    
659
    
80.84
  
Florida
    
195
    
35,235,541
    
8.93
    
8.200
    
651
    
81.79
  
Arizona
    
102
    
21,899,289
    
5.55
    
8.123
    
640
    
78.78
  
Texas
    
140
    
17,938,069
    
4.54
    
8.090
    
638
    
82.14
  
Nevada
    
74
    
17,002,686
    
4.31
    
7.895
    
655
    
80.81
  
Michigan
    
165
    
16,957,111
    
4.30
    
9.007
    
648
    
84.29
  
Illinois
    
74
    
16,953,749
    
4.30
    
8.595
    
663
    
83.34
  
Ohio
    
180
    
15,548,354
    
3.94
    
8.396
    
628
    
85.05
  
Maryland
    
65
    
14,989,471
    
3.80
    
8.524
    
644
    
83.74
  
Minnesota
    
89
    
13,162,782
    
3.34
    
8.475
    
644
    
83.62
  
Virginia
    
60
    
13,000,020
    
3.29
    
8.228
    
645
    
83.17
  
Georgia
    
53
    
7,121,414
    
1.80
    
9.070
    
635
    
85.99
  
Missouri
    
56
    
6,665,006
    
1.69
    
9.165
    
642
    
87.00
  
Tennessee
    
47
    
6,630,716
    
1.68
    
7.799
    
643
    
81.96
  
Colorado
    
33
    
6,416,727
    
1.63
    
8.248
    
648
    
83.31
  
Washington
    
25
    
5,404,355
    
1.37
    
8.068
    
650
    
78.91
  
Wisconsin
    
52
    
5,204,680
    
1.32
    
8.978
    
644
    
86.80
  
New York
    
9
    
2,889,703
    
0.73
    
8.390
    
658
    
78.38
  
Oregon
    
16
    
2,729,713
    
0.69
    
8.153
    
647
    
81.47
  
New Jersey
    
9
    
2,514,362
    
0.64
    
8.996
    
618
    
78.56
  
Utah
    
13
    
2,334,948
    
0.59
    
8.437
    
657
    
88.30
  
Hawaii
    
4
    
2,075,985
    
0.53
    
7.495
    
727
    
74.70
  
Kentucky
    
25
    
1,957,836
    
0.50
    
9.093
    
621
    
80.80
  
Pennsylvania
    
18
    
1,918,995
    
0.49
    
9.074
    
657
    
86.06
  
New Mexico
    
9
    
1,731,189
    
0.44
    
8.458
    
637
    
79.98
  
North Carolina
    
13
    
1,571,659
    
0.40
    
9.011
    
632
    
81.88
  
District of Columbia
    
9
    
1,429,298
    
0.36
    
8.832
    
639
    
78.51
  
Massachusetts
    
5
    
1,138,029
    
0.29
    
9.277
    
650
    
82.17
  
Connecticut
    
5
    
1,086,019
    
0.28
    
8.273
    
669
    
86.90
  
South Carolina
    
7
    
1,000,196
    
0.25
    
7.808
    
635
    
77.32
  
Louisiana
    
10
    
822,592
    
0.21
    
8.877
    
596
    
75.52
  
Arkansas
    
7
    
765,341
    
0.19
    
9.844
    
615
    
87.77
  
Indiana
    
9
    
675,613
    
0.17
    
9.091
    
625
    
80.67
  
Mississippi
    
10
    
653,288
    
0.17
    
9.077
    
605
    
86.69
  
*Geographic Distribution continued on the next page




DESCRIPTION OF THE GROUP 2 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 (%)
  
Kansas
    
7
    
529,829
    
0.13
    
9.129
    
595
    
81.46
  
West Virginia
    
2
    
451,737
    
0.11
    
8.274
    
642
    
83.99
  
Rhode Island
    
3
    
450,930
    
0.11
    
9.501
    
619
    
87.01
  
Idaho
    
3
    
424,120
    
0.11
    
7.813
    
645
    
80.97
  
Iowa
    
3
    
417,322
    
0.11
    
8.050
    
645
    
87.73
  
Alabama
    
8
    
408,167
    
0.10
    
10.440
    
621
    
91.83
  
Delaware
    
2
    
273,964
    
0.07
    
8.388
    
657
    
84.86
  
Alaska
    
1
    
257,920
    
0.07
    
8.375
    
607
    
80.00
  
Nebraska
    
3
    
242,177
    
0.06
    
8.704
    
631
    
83.08
  
Oklahoma
    
5
    
207,070
    
0.05
    
9.536
    
639
    
88.02
  
Montana
    
2
    
158,846
    
0.04
    
8.864
    
582
    
73.45
  
Maine
    
1
    
147,500
    
0.04
    
9.625
    
540
    
84.77
  
Wyoming
    
1
    
135,707
    
0.03
    
7.250
    
632
    
80.00
  
North Dakota
    
1
    
52,122
    
0.01
    
8.250
    
622
    
95.00
  
Total:
    
2,069
    
394,679,210
    
100.00
    
8.202
    
650
    
81.94
  

 
 
 


DESCRIPTION OF THE GROUP 2 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
    
2,038
    
390,549,472
    
98.95
    
8.194
    
650
    
81.94
  
Investment
    
26
    
3,052,814
    
0.77
    
8.953
    
666
    
81.92
  
Second Home
    
5
    
1,076,923
    
0.27
    
8.932
    
647
    
81.83
  
Total:
    
2,069
    
394,679,210
    
100.00
    
8.202
    
650
    
81.94
  
 
 
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 (%)
  
Limited Documentation
    
774
    
181,623,631
    
46.02
    
8.204
    
667
    
81.94
  
Full Documentation
    
1,153
    
179,959,501
    
45.60
    
8.197
    
629
    
82.41
  
No Documentation
    
142
    
33,096,078
    
8.39
    
8.213
    
668
    
79.38
  
Total:
    
2,069
    
394,679,210
    
100.00
    
8.202
    
650
    
81.94
  
 
 
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
    
1,747
    
327,795,227
    
83.05
    
8.171
    
654
    
82.51
  
Refinance - Cashout
    
262
    
58,044,294
    
14.71
    
8.322
    
630
    
78.68
  
Refinance - Rate Term
    
60
    
8,839,689
    
2.24
    
8.555
    
627
    
82.10
  
Total:
    
2,069
    
394,679,210
    
100.00
    
8.202
    
650
    
81.94
  


 
 
 


DESCRIPTION OF THE GROUP 2 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
    
1,238
    
229,504,253
    
58.15
    
8.263
    
651
    
81.81
  
PUD
    
601
    
117,794,555
    
29.85
    
8.057
    
645
    
81.85
  
Condo
    
159
    
31,196,828
    
7.90
    
8.273
    
654
    
83.20
  
2-4 Family
    
71
    
16,183,574
    
4.10
    
8.253
    
666
    
81.91
  
Total:
    
2,069
    
394,679,210
    
100.00
    
8.202
    
650
    
81.94
  


 
 
 


DESCRIPTION OF THE GROUP 2 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 (%)
  
January 2007
    
1
    
324,000
    
0.10
    
7.500
    
651
    
80.00
  
February 2007
    
2
    
1,027,200
    
0.30
    
8.586
    
638
    
79.90
  
March 2007
    
1
    
720,000
    
0.21
    
8.625
    
642
    
80.00
  
June 2007
    
2
    
515,834
    
0.15
    
8.221
    
715
    
86.79
  
July 2007
    
8
    
2,349,538
    
0.70
    
8.324
    
608
    
78.03
  
August 2007
    
4
    
1,353,308
    
0.40
    
8.294
    
628
    
84.30
  
September 2007
    
2
    
1,638,750
    
0.49
    
8.295
    
656
    
72.98
  
February 2008
    
1
    
483,735
    
0.14
    
7.750
    
645
    
80.00
  
March 2008
    
4
    
1,271,978
    
0.38
    
7.339
    
641
    
73.45
  
April 2008
    
7
    
2,034,596
    
0.60
    
7.803
    
702
    
80.53
  
May 2008
    
71
    
17,988,454
    
5.34
    
7.767
    
652
    
79.88
  
June 2008
    
157
    
38,466,785
    
11.41
    
7.943
    
645
    
80.27
  
July 2008
    
352
    
93,818,974
    
27.83
    
7.935
    
650
    
79.99
  
August 2008
    
366
    
98,586,424
    
29.25
    
8.055
    
652
    
81.15
  
September 2008
    
80
    
19,357,058
    
5.74
    
8.262
    
647
    
81.63
  
April 2009
    
1
    
385,996
    
0.11
    
9.625
    
617
    
89.77
  
May 2009
    
13
    
2,752,426
    
0.82
    
7.832
    
636
    
83.37
  
June 2009
    
27
    
6,674,961
    
1.98
    
7.934
    
647
    
81.18
  
July 2009
    
74
    
18,509,646
    
5.49
    
7.642
    
648
    
80.78
  
August 2009
    
81
    
18,297,239
    
5.43
    
7.600
    
645
    
79.63
  
September 2009
    
22
    
4,393,323
    
1.30
    
7.780
    
623
    
82.57
  
May 2011
    
2
    
483,200
    
0.14
    
7.517
    
675
    
80.00
  
June 2011
    
2
    
456,042
    
0.14
    
7.251
    
677
    
80.00
  
July 2011
    
9
    
2,061,837
    
0.61
    
7.184
    
686
    
79.80
  
August 2011
    
13
    
2,910,915
    
0.86
    
7.941
    
658
    
79.49
  
September 2011
    
1
    
232,000
    
0.07
    
7.500
    
697
    
80.00
  
Total:
    
1,303
    
337,094,218
    
100.00
    
7.945
    
649
    
80.52
  
*ARM Loans Only

 
 
 


DESCRIPTION OF THE GROUP 2 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 (%)
  
2.000 - 2.499
    
2
    
564,400
    
0.17
    
6.891
    
668
    
80.00
  
2.500 - 2.999
    
1
    
182,559
    
0.05
    
8.980
    
584
    
80.00
  
3.500 - 3.999
    
3
    
344,220
    
0.10
    
7.068
    
633
    
77.18
  
4.000 - 4.499
    
69
    
15,893,783
    
4.71
    
7.526
    
661
    
79.40
  
4.500 - 4.999
    
21
    
6,517,814
    
1.93
    
7.949
    
651
    
79.80
  
5.000 - 5.499
    
943
    
246,432,969
    
73.11
    
7.779
    
650
    
79.23
  
5.500 - 5.999
    
120
    
32,770,188
    
9.72
    
8.687
    
636
    
85.66
  
6.000 - 6.499
    
27
    
6,716,274
    
1.99
    
8.218
    
661
    
76.52
  
6.500 - 6.999
    
95
    
23,759,353
    
7.05
    
8.710
    
656
    
88.63
  
7.000 - 7.499
    
12
    
2,183,287
    
0.65
    
8.718
    
586
    
80.58
  
7.500 - 7.999
    
8
    
1,417,773
    
0.42
    
9.123
    
613
    
84.85
  
8.000 - 8.499
    
2
    
311,598
    
0.09
    
9.845
    
593
    
89.30
  
Total:
    
1,303
    
337,094,218
    
100.00
    
7.945
    
649
    
80.52
  
*ARM Loans Only


 
 
 


DESCRIPTION OF THE GROUP 2 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
    
3
    
552,372
    
0.16
    
6.300
    
671
    
80.00
  
9.500 - 9.999
    
2
    
425,982
    
0.13
    
6.875
    
626
    
80.00
  
10.000 - 10.499
    
2
    
340,778
    
0.10
    
7.375
    
623
    
80.00
  
10.500 - 10.999
    
1
    
209,792
    
0.06
    
7.625
    
606
    
80.00
  
11.000 - 11.499
    
1
    
167,920
    
0.05
    
8.125
    
601
    
80.00
  
11.500 - 11.999
    
3
    
638,360
    
0.19
    
5.736
    
696
    
74.65
  
12.000 - 12.499
    
21
    
5,677,342
    
1.68
    
6.311
    
661
    
79.96
  
12.500 - 12.999
    
100
    
30,503,454
    
9.05
    
6.757
    
671
    
79.62
  
13.000 - 13.499
    
186
    
51,388,801
    
15.24
    
7.219
    
664
    
79.52
  
13.500 - 13.999
    
348
    
102,563,884
    
30.43
    
7.710
    
656
    
78.64
  
14.000 - 14.499
    
239
    
60,072,760
    
17.82
    
8.164
    
644
    
81.31
  
14.500 - 14.999
    
185
    
43,659,271
    
12.95
    
8.666
    
634
    
81.54
  
15.000 - 15.499
    
91
    
19,075,756
    
5.66
    
9.162
    
625
    
84.15
  
15.500 - 15.999
    
81
    
16,654,522
    
4.94
    
9.676
    
614
    
85.15
  
16.000 - 16.499
    
20
    
2,806,855
    
0.83
    
10.239
    
610
    
86.01
  
16.500 - 16.999
    
16
    
1,905,219
    
0.57
    
10.697
    
633
    
90.26
  
17.000 - 17.499
    
2
    
328,000
    
0.10
    
11.314
    
600
    
100.00
  
17.500 - 17.999
    
1
    
70,179
    
0.02
    
11.875
    
584
    
100.00
  
19.000 - 19.499
    
1
    
52,970
    
0.02
    
12.100
    
580
    
100.00
  
Total:
    
1,303
    
337,094,218
    
100.00
    
7.945
    
649
    
80.52
  
*ARM Loans Only


 
 
 


DESCRIPTION OF THE GROUP 2 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 (%)
  
5.500 - 5.999
    
3
    
638,360
    
0.19
    
5.736
    
696
    
74.65
  
6.000 - 6.499
    
25
    
6,614,897
    
1.96
    
6.228
    
659
    
79.93
  
6.500 - 6.999
    
101
    
30,497,579
    
9.05
    
6.748
    
671
    
79.62
  
7.000 - 7.499
    
189
    
52,732,347
    
15.64
    
7.230
    
665
    
79.53
  
7.500 - 7.999
    
353
    
104,127,423
    
30.89
    
7.710
    
656
    
78.66
  
8.000 - 8.499
    
241
    
60,175,191
    
17.85
    
8.194
    
643
    
81.30
  
8.500 - 8.999
    
180
    
41,898,335
    
12.43
    
8.690
    
634
    
81.57
  
9.000 - 9.499
    
90
    
18,555,756
    
5.50
    
9.187
    
623
    
84.26
  
9.500 - 9.999
    
81
    
16,691,106
    
4.95
    
9.679
    
614
    
85.25
  
10.000 - 10.499
    
20
    
2,806,855
    
0.83
    
10.239
    
610
    
86.01
  
10.500 - 10.999
    
16
    
1,905,219
    
0.57
    
10.697
    
633
    
90.26
  
11.000 - 11.499
    
2
    
328,000
    
0.10
    
11.314
    
600
    
100.00
  
11.500 - 11.999
    
1
    
70,179
    
0.02
    
11.875
    
584
    
100.00
  
12.000 - 12.499
    
1
    
52,970
    
0.02
    
12.100
    
580
    
100.00
  
Total:
    
1,303
    
337,094,218
    
100.00
    
7.945
    
649
    
80.52
  
*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
    
2,071,200
    
0.61
    
8.430
    
641
    
79.95
  
1.500
    
1
    
271,122
    
0.08
    
7.975
    
690
    
80.00
  
2.000
    
15
    
5,410,402
    
1.61
    
8.272
    
629
    
80.10
  
3.000
    
1,282
    
328,966,068
    
97.59
    
7.937
    
650
    
80.53
  
5.000
    
1
    
375,426
    
0.11
    
7.375
    
738
    
80.00
  
Total:
    
1,303
    
337,094,218
    
100.00
    
7.945
    
649
    
80.52
  
*ARM Loans Only


 
 
 


DESCRIPTION OF THE GROUP 2 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
    
1,295
    
333,811,650
    
99.03
    
7.952
    
649
    
80.53
  
1.500
    
8
    
3,282,568
    
0.97
    
7.240
    
665
    
79.92
  
Total:
    
1,303
    
337,094,218
    
100.00
    
7.945
    
649
    
80.52
  
*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
    
9
    
1,696,844
    
0.50
    
7.005
    
635
    
80.00
  
4.000 - 4.499
    
1
    
275,640
    
0.08
    
8.125
    
646
    
80.00
  
5.000 - 5.499
    
2
    
526,808
    
0.16
    
7.906
    
622
    
83.60
  
6.000 - 6.499
    
1,278
    
329,914,825
    
97.87
    
7.956
    
650
    
80.53
  
6.500 - 6.999
    
2
    
802,462
    
0.24
    
8.308
    
568
    
79.45
  
7.000 - 7.499
    
11
    
3,877,639
    
1.15
    
7.393
    
659
    
80.21
  
Total:
    
1,303
    
337,094,218
    
100.00
    
7.945
    
649
    
80.52
  
*ARM Loans Only


 
 
 


DESCRIPTION OF THE GROUP 2 COLLATERAL

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
    
534
    
102,784,449
    
26.04
    
8.361
    
653
    
81.88
  
12
    
88
    
26,116,906
    
6.62
    
8.322
    
663
    
80.79
  
13
    
2
    
699,941
    
0.18
    
7.875
    
677
    
84.00
  
24
    
892
    
173,803,790
    
44.04
    
8.129
    
652
    
82.21
  
36
    
492
    
82,198,731
    
20.83
    
8.195
    
643
    
81.87
  
48
    
58
    
8,805,427
    
2.23
    
7.454
    
620
    
80.88
  
60
    
3
    
269,965
    
0.07
    
9.845
    
568
    
90.50
  
Total:
    
2,069
    
394,679,210
    
100.00
    
8.202
    
650
    
81.94
  

 
 
 



FOR ADDITIONAL INFORMATION PLEASE CALL:


Deutsche Bank Securities
   
Whole Loan Trading
  
Michael Commaroto
212-250-3114
Paul Mangione
212-250-5786
Adam Simms
212-250-8119
   
ABS Banking
  
Sue Valenti
212-250-3455
Rika Yano
212-250-6997
   
ABS Structuring
  
Bill Yeung
212-250-6893
Christopher Sudol
212-250-0507
   
ABS Collateral
  
Justice Asante
212-250-8595
Reta Chandra
212-250-2729
   


Standard & Poor’s Rating Service
   
Mark Goldenberg
212-438-1641
James Grundy
212-438-1962
   

Moody’s Investors Service, Inc.
   
Karen Ramallo
212-553-0370
Ketut Kesuma
212-553-7764
   




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