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As Of Filer Filing As/For/On Docs:Pgs Issuer Agent 3/01/07 Saxon Asset Securities Co 424B5 1:1148 Vintage Filings LLC/FA Saxon Asset Securities Trust 2007-1
Document/Exhibit Description Pages Size 1: 424B5 Prospectus HTML 4,596K
|
$592,928,000
(Approximate)
Mortgage
Loan Asset Backed Certificates, Series 2007-1
Principal
and interest distributable monthly, beginning in March
2007
|
Saxon
Funding Management LLC
|
Saxon
Asset Securities Company
|
Sponsor
and Seller
|
Depositor
|
Saxon
Mortgage Services Inc.
|
Saxon
Asset Securities Trust 2007-1
|
Servicer
|
Issuing
Entity
|
Class
|
Class
Principal
Balance(1)
|
Interest
Rate(2)
|
Approximate
Proceeds to
Depositor(3)
|
|||||||
Class
A-1
|
$
|
209,071,000
|
Adjustable
|
[___]
|
%
|
|||||
Class
A-2a
|
$
|
139,970,000
|
Adjustable
|
[___]
|
%
|
|||||
Class
A-2b
|
$
|
35,830,000
|
Adjustable
|
[___]
|
%
|
|||||
Class
A-2c
|
$
|
54,750,000
|
Adjustable
|
[___]
|
%
|
|||||
Class
A-2d
|
$
|
27,629,000
|
Adjustable
|
[___]
|
%
|
|||||
Class
M-1
|
$
|
25,820,000
|
Adjustable
|
[___]
|
%
|
|||||
Class
M-2
|
$
|
26,442,000
|
Adjustable
|
[___]
|
%
|
|||||
Class
M-3
|
$
|
13,688,000
|
Adjustable
|
[___]
|
%
|
|||||
Class
M-4
|
$
|
12,132,000
|
Adjustable
|
[___]
|
%
|
|||||
Class
M-5
|
$
|
11,510,000
|
Adjustable
|
[___]
|
%
|
|||||
Class
M-6
|
$
|
10,266,000
|
Adjustable
|
[___]
|
%
|
|||||
Class
B-1
|
$
|
9,644,000
|
Adjustable
|
[___]
|
%
|
|||||
Class
B-2
|
$
|
8,399,000
|
Adjustable
|
[___]
|
%
|
|||||
Class
B-3
|
$
|
7,777,000
|
Adjustable
|
[___]
|
%
|
(2)
|
The
interest rate for each class of offered certificates is subject to
limitation and is described in this prospectus supplement under “Summary
of Terms.”
|
(3)
|
Represents
the approximate amount of proceeds the depositor expects to receive
before
deducting expenses.
|
(a)
|
to
legal entities which are authorized or regulated to operate in the
financial markets or, if not so authorized or regulated, whose corporate
purpose is solely to invest in
securities;
|
(b)
|
to
any legal entity which has two or more of (1) an average of at least
250
employees during the last financial year; (2) a total balance sheet
of
more than €43,000,000 and (3) an annual net turnover of more than
€50,000,000, as shown in its last annual or consolidated accounts;
or
|
(c)
|
in
any other circumstances which do not require the publication by the
issuer
of a prospectus pursuant to Article 3 of the Prospectus
Directive.
|
OFFERED
CERTIFICATES
|
S-3
|
|||
SUMMARY
OF TERMS
|
S-7
|
|||
RISK
FACTORS
|
S-19
|
|||
MATERIAL
LEGAL PROCEEDINGS
|
S-40
|
|||
SERVICING;
THE SERVICER
|
S-41
|
|||
THE
MORTGAGE LOAN POOL
|
S-46
|
|||
STATIC
POOL INFORMATION
|
S-53
|
|||
RECENT
DEVELOPMENTS; AFFILIATIONS AND CERTAIN RELATIONSHIPS AND RELATED
TRANSACTIONS
|
S-54
|
|||
ADDITIONAL
INFORMATION
|
S-54
|
|||
PREPAYMENT
AND YIELD CONSIDERATIONS
|
S-55
|
|||
DESCRIPTION
OF THE OFFERED CERTIFICATES
|
S-74
|
|||
ADMINISTRATION
OF THE TRUST
|
S-96
|
|||
THE
POOLING AND SERVICING AGREEMENT
|
S-100
|
|||
FEDERAL
INCOME TAX CONSEQUENCES
|
S-106
|
|||
ERISA
CONSIDERATIONS
|
S-109
|
|||
RATINGS
|
S-111
|
|||
LEGAL
INVESTMENT CONSIDERATIONS
|
S-112
|
|||
ACCOUNTING
CONSIDERATIONS
|
S-112
|
|||
USE
OF PROCEEDS
|
S-112
|
|||
LEGAL
MATTERS
|
S-112
|
|||
UNDERWRITING
|
S-112
|
|||
GLOSSARY
|
S-114
|
|||
Annex
1 Scheduled Notional Amounts for the Interest Rate Swap
Agreement
|
S-134
|
|||
Annex
2 Notional Amounts for the Interest Rate Cap Agreement
|
S-135
|
|||
Appendix
A: Mortgage Loan Pool Information
|
S-A-1
|
IMPORTANT
NOTICE ABOUT INFORMATION PRESENTED IN THIS PROSPECTUS AND THE PROSPECTUS
SUPPLEMENT
|
2
|
|||
RISK
FACTORS
|
3
|
|||
DESCRIPTION
OF THE SECURITIES
|
32
|
|||
REGISTRATION
OF THE OFFERED SECURITIES
|
33
|
|||
MATURITY,
PREPAYMENT AND YIELD CONSIDERATIONS
|
45
|
|||
THE
TRUSTS
|
47
|
|||
CREDIT
ENHANCEMENT
|
67
|
|||
DERIVATIVES
|
71
|
|||
THE
SPONSORS AND THE MASTER SERVICERS
|
73
|
|||
THE
DEPOSITOR
|
75
|
|||
SAXON
MORTGAGE SERVICES, INC. - THE SERVICER
|
76
|
|||
THE
ISSUING ENTITY
|
76
|
|||
AFFILIATIONS
AND CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
|
77
|
|||
ORIGINATION
OF MORTGAGE LOANS
|
77
|
|||
SERVICING
OF MORTGAGE LOANS
|
79
|
|||
THE
AGREEMENTS
|
87
|
|||
MATERIAL
LEGAL ASPECTS OF MORTGAGE LOANS
|
104
|
|||
USE
OF PROCEEDS
|
116
|
|||
MATERIAL
FEDERAL INCOME TAX CONSEQUENCES
|
116
|
|||
STATE
AND LOCAL TAX CONSIDERATIONS
|
141
|
|||
ERISA
CONSIDERATIONS
|
142
|
|||
LEGAL
INVESTMENT MATTERS
|
148
|
|||
PLAN
OF DISTRIBUTION
|
150
|
|||
STATIC
POOL INFORMATION
|
150
|
|||
ADDITIONAL
INFORMATION
|
151
|
|||
INCORPORATION
OF CERTAIN DOCUMENTS BY REFERENCE
|
151
|
|||
REPORTS
TO SECURITYHOLDERS AND TO THE SEC
|
152
|
Initial
Ratings(3)
|
|||||||||||||||||||
Class
|
Class
Principal
Balance(1)
|
Initial
Pass-Through
Rate
Formula(2)
|
Principal
Type
|
Interest
Type
|
S&P
|
Moody’s
|
|||||||||||||
A-1
|
$
|
209,071,000
|
LIBOR
+ [___] %(4)
|
|
Senior
|
Variable
Rate
|
AAA
|
Aaa
|
|||||||||||
A-2a
|
$
|
139,970,000
|
LIBOR
+ [___] %(5)
|
|
Senior
Sequential
|
Variable
Rate
|
AAA
|
Aaa
|
|||||||||||
A-2b
|
$
|
35,830,000
|
LIBOR
+ [___] %(6)
|
|
Senior
Sequential
|
Variable
Rate
|
AAA
|
Aaa
|
|||||||||||
A-2c
|
$
|
54,750,000
|
LIBOR
+ [___] %(7)
|
|
Senior
Sequential
|
Variable
Rate
|
AAA
|
Aaa
|
|||||||||||
A-2d
|
$
|
27,629,000
|
LIBOR
+ [___] %(8)
|
|
Senior
Sequential
|
Variable
Rate
|
AAA
|
Aaa
|
|||||||||||
M-1
|
$
|
25,820,000
|
LIBOR
+ [___] %(9)
|
|
Subordinate
|
Variable
Rate
|
AA+
|
Aa1
|
|||||||||||
M-2
|
$
|
26,442,000
|
LIBOR
+ [___] %(10)
|
|
Subordinate
|
Variable
Rate
|
AA
|
Aa2
|
|||||||||||
M-3
|
$
|
13,688,000
|
LIBOR
+ [___] %(11)
|
|
Subordinate
|
Variable
Rate
|
AA-
|
Aa3
|
|||||||||||
M-4
|
$
|
12,132,000
|
LIBOR
+ [___] %(12)
|
|
Subordinate
|
Variable
Rate
|
A+
|
A1
|
|||||||||||
M-5
|
$
|
11,510,000
|
LIBOR
+ [___] %(13)
|
|
Subordinate
|
Variable
Rate
|
A
|
A2
|
|||||||||||
M-6
|
$
|
10,266,000
|
LIBOR
+ [___] %(14)
|
|
Subordinate
|
Variable
Rate
|
A-
|
A3
|
|||||||||||
B-1
|
$
|
9,644,000
|
LIBOR
+ [___] %(15)
|
|
Subordinate
|
Variable
Rate
|
BBB+
|
Baa1
|
|||||||||||
B-2
|
$
|
8,399,000
|
LIBOR
+ [___] %(16)
|
|
Subordinate
|
Variable
Rate
|
BBB
|
Baa2
|
|||||||||||
B-3
|
$
|
7,777,000
|
LIBOR
+ [___] %(17)
|
|
Subordinate
|
Variable
Rate
|
BBB-
|
Baa3
|
(2) |
The
interest rate for each class of offered certificates is subject to
limitation and is described in this prospectus supplement under “Summary
of Terms.”
|
(3) |
It
is a condition of the issuance of the offered certificates that they
receive ratings as set forth above.
|
(4)
|
The
pass-through rate for the Class A-1 Certificates for the interest
accrual
period related to any distribution date on or prior to the first
related
optional purchase date will be a per annum rate equal to the least
of (i)
one-month LIBOR +[___]%, (ii) the Aggregate Net WAC Cap and (iii)
the
Group 1 WAC Cap. Beginning with the interest accrual period related
to the
distribution date immediately following the first related optional
purchase date, the pass-through rate for the Class A-1 Certificates
will
be a per annum rate equal to the least of (i) one-month LIBOR + [___]%,
(ii) the Aggregate Net WAC Cap and (iii) the Group 1 WAC
Cap.
|
(5)
|
The
pass-through rate for the Class A-2a Certificates for the interest
accrual
period related to any distribution date on or prior to the first
related
optional purchase date will be a per annum rate equal to the least
of (i)
one-month LIBOR + [___]%, (ii) the Aggregate Net WAC Cap and (iii)
the
Group 2 WAC Cap. Beginning with the interest accrual period related
to the
distribution date immediately following the first related optional
purchase date, the pass-through rate for the Class A-2a Certificates
will
be a per annum rate equal to the least of (i) one-month LIBOR + [___]%,
(ii) the Aggregate Net WAC Cap and (iii) the Group 2 WAC
Cap.
|
(6)
|
The
pass-through rate for the Class A-2b Certificates for the interest
accrual
period related to any distribution date on or prior to the first
related
optional purchase date will be a per annum rate equal to the least
of (i)
one-month LIBOR + [___]%, (ii) the Aggregate Net WAC Cap and (iii)
the
Group 2 WAC Cap. Beginning with the interest accrual period related
to the
distribution date immediately following the first related optional
purchase date, the pass-through rate for the Class A-2b Certificates
will
be a per annum rate equal to the least of (i) one-month LIBOR + [___]%,
(ii) the Aggregate Net WAC Cap and (iii) the Group 2 WAC Cap.
|
(7)
|
The
pass-through rate for the Class A-2c Certificates for the interest
accrual
period related to any distribution date on or prior to the first
related
optional purchase date will be a per annum rate equal to the least
of (i)
one-month LIBOR + [___]%, (ii) the Aggregate Net WAC Cap and (iii)
the
Group 2 WAC Cap. Beginning with the interest accrual period related
to the
distribution date immediately following the first related optional
purchase date, the pass-through rate for the Class A-2c Certificates
will
be a per annum rate equal to the least of (i) one-month LIBOR + [___]%,
(ii) the Aggregate Net WAC Cap and (iii) the Group 2 WAC Cap.
|
(8)
|
The
pass-through rate for the Class A-2d Certificates for the interest
accrual
period related to any distribution date on or prior to the first
related
optional purchase date will be a per annum rate equal to the least
of (i)
one-month LIBOR + [___]%, (ii) the Aggregate Net WAC Cap and (iii)
the
Group 2 WAC Cap. Beginning with the interest accrual period related
to the
distribution date immediately following the first related optional
purchase date, the pass-through rate for the Class A-2d Certificates
will
be a per annum rate equal to the least of (i) one-month LIBOR + [___]%,
(ii) the Aggregate Net WAC Cap and (iii) the Group 2 WAC
Cap.
|
(9)
|
The
pass-through rate for the Class M-1 Certificates for the interest
accrual
period related to any distribution date on or prior to the first
related
optional purchase date will be a per annum rate equal to the lesser
of (i)
one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap. Beginning
with the interest accrual period related to the distribution date
immediately following the first related optional purchase date, the
pass-through rate for the Class M-1 Certificates will be a per annum
rate
equal to the lesser of (i) one-month LIBOR + [___]% and (ii) the
Aggregate
Net WAC Cap.
|
(10)
|
The
pass-through rate for the Class M-2 Certificates for the interest
accrual
period related to any distribution date on or prior to the first
related
optional purchase date will be a per annum rate equal to the lesser
of (i)
one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap. Beginning
with the interest accrual period related to the distribution date
immediately following the first related optional purchase date, the
pass-through rate for the Class M-2 Certificates will be a per annum
rate
equal to the lesser of (i) one-month LIBOR + [___]% and (ii) the
Aggregate
Net WAC Cap.
|
(11)
|
The
pass-through rate for the Class M-3 Certificates for the interest
accrual
period related to any distribution date on or prior to the first
related
optional purchase date will be a per annum rate equal to the lesser
of (i)
one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap. Beginning
with the interest accrual period related to the distribution date
immediately following the first related optional purchase date, the
pass-through rate for the Class M-3 Certificates will be a per annum
rate
equal to the lesser of (i) one-month LIBOR + [___]% and (ii) the
Aggregate
Net WAC Cap.
|
(12)
|
The
pass-through rate for the Class M-4 Certificates for the interest
accrual
period related to any distribution date on or prior to the first
related
optional purchase date will be a per annum rate equal to the lesser
of (i)
one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap. Beginning
with the interest accrual period related to the distribution date
immediately following the first related optional purchase date, the
pass-through rate for the Class M-4 Certificates will be a per annum
rate
equal to the lesser of (i) one-month LIBOR +[___]% and (ii) the Aggregate
Net WAC Cap.
|
(13)
|
The
pass-through rate for the Class M-5 Certificates for the interest
accrual
period related to any distribution date on or prior to the first
related
optional purchase date will be a per annum rate equal to the lesser
of (i)
one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap. Beginning
with the interest accrual period related to the distribution date
immediately following the first related optional purchase date, the
pass-through rate for the Class M-5 Certificates will be a per annum
rate
equal to the lesser of (i) one-month LIBOR +[___]% and (ii) the Aggregate
Net WAC Cap.
|
(14)
|
The
pass-through rate for the Class M-6 Certificates for the interest
accrual
period related to any distribution date on or prior to the first
related
optional purchase date will be a per annum rate equal to the lesser
of (i)
one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap. Beginning
with the interest accrual period related to the distribution date
immediately following the first related optional purchase date, the
pass-through rate for the Class M-6 Certificates will be a per annum
rate
equal to the lesser of (i) one-month LIBOR + [___]% and (ii) the
Aggregate
Net WAC Cap.
|
(15)
|
The
pass-through rate for the Class B-1 Certificates for the interest
accrual
period related to any distribution date on or prior to the first
related
optional purchase date will be a per annum rate equal to the lesser
of (i)
one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap. Beginning
with the interest accrual period related to the distribution date
immediately following the first related optional purchase date, the
pass-through rate for the Class B-1 Certificates will be a per annum
rate
equal to the lesser of (i) one-month LIBOR + [___]% and (ii) the
Aggregate
Net WAC Cap.
|
(16)
|
The
pass-through rate for the Class B-2 Certificates for the interest
accrual
period related to any distribution date on or prior to the first
related
optional purchase date will be a per annum rate equal to the lesser
of (i)
one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap. Beginning
with the interest accrual period related to the distribution date
immediately following the first related optional purchase date, the
pass-through rate for the Class B-2 Certificates will be a per annum
rate
equal to the lesser of (i) one-month LIBOR + [___]% and (ii) the
Aggregate
Net WAC Cap.
|
(17)
|
The
pass-through rate for the Class B-3 Certificates for the interest
accrual
period related to any distribution date on or prior to the first
related
optional purchase date will be a per annum rate equal to the lesser
of (i)
one-month LIBOR + [___]% and (ii) the Aggregate Net WAC Cap. Beginning
with the interest accrual period related to the distribution date
immediately following the first related optional purchase date, the
pass-through rate for the Class B-3 Certificates will be a per annum
rate
equal to the lesser of (i) one-month LIBOR + [___]% and (ii) the
Aggregate
Net WAC Cap.
|
Class
|
Record
Date (1)
|
Delay/Accrual
Period
(2)
|
Interest
Accrual
Convention
|
Final
Scheduled Distribution
Date(3)
|
Expected
Final
Distribution
Date(4)
|
Minimum
Denomination
|
Incremental
Denomination
|
|||||||||||||||
A-1
|
|
|
DD
|
|
|
0
day
|
|
|
Actual/360
|
|
|
February
2037
|
|
|
November
2023
|
|
$
|
25,000
|
|
$
|
1,000
|
|
A-2a
|
|
|
DD
|
|
|
0
day
|
|
|
Actual/360
|
|
|
February
2037
|
|
|
November
2008
|
|
$
|
25,000
|
|
$
|
1,000
|
|
A-2b
|
|
|
DD
|
|
|
0
day
|
|
|
Actual/360
|
|
|
February
2037
|
|
|
June
2009
|
|
$
|
25,000
|
|
$
|
1,000
|
|
A-2c
|
|
|
DD
|
|
|
0
day
|
|
|
Actual/360
|
|
|
February
2037
|
|
|
December
2012
|
|
$
|
25,000
|
|
$
|
1,000
|
|
A-2d
|
|
|
DD
|
|
|
0
day
|
|
|
Actual/360
|
|
|
February
2037
|
|
|
March
2023
|
|
$
|
25,000
|
|
$
|
1,000
|
|
M-1
|
|
|
DD
|
|
|
0
day
|
|
|
Actual/360
|
|
|
February
2037
|
|
|
September
2021
|
|
$
|
100,000
|
|
$
|
1,000
|
|
M-2
|
|
|
DD
|
|
|
0
day
|
|
|
Actual/360
|
|
|
February
2037
|
|
|
March
2021
|
|
$
|
100,000
|
|
$
|
1,000
|
|
M-3
|
|
|
DD
|
|
|
0
day
|
|
|
Actual/360
|
|
|
February
2037
|
|
|
June
2020
|
|
$
|
100,000
|
|
$
|
1,000
|
|
M-4
|
|
|
DD
|
|
|
0
day
|
|
|
Actual/360
|
|
|
February
2037
|
|
|
January
2020
|
|
$
|
100,000
|
|
$
|
1,000
|
|
M-5
|
|
|
DD
|
|
|
0
day
|
|
|
Actual/360
|
|
|
February
2037
|
|
|
July
2019
|
|
$
|
100,000
|
|
$
|
1,000
|
|
M-6
|
|
|
DD
|
|
|
0
day
|
|
|
Actual/360
|
|
|
February
2037
|
|
|
January
2019
|
|
$
|
100,000
|
|
$
|
1,000
|
|
B-1
|
|
|
DD
|
|
|
0
day
|
|
|
Actual/360
|
|
|
February
2037
|
|
|
July
2018
|
|
$
|
100,000
|
|
$
|
1,000
|
|
B-2
|
|
|
DD
|
|
|
0
day
|
|
|
Actual/360
|
|
|
February
2037
|
|
|
November
2017
|
|
$
|
100,000
|
|
$
|
1,000
|
|
B-3
|
|
|
DD
|
|
|
0
day
|
|
|
Actual/360
|
|
|
February
2037
|
|
|
April
2017
|
|
$
|
100,000
|
|
$
|
1,000
|
(1)
|
DD
= For any distribution date, the close of business on the business
day
immediately before that distribution
date.
|
(4) |
Calculated
based on 100% PPC of the assumptions as set forth under “Prepayment and
Yield Considerations — Prepayments and Yields for the Offered
Certificates” (and assuming that the optional termination is not
exercised).
|
·
|
to
the swap account, amounts payable to the counterparty, excluding
swap
termination payments payable to the counterparty when the counterparty
is
the sole affected or defaulting
party;
|
·
|
to
the unrelated senior certificates (after application of interest
funds
from the loan group for such unrelated senior
certificates);
|
·
|
to
the subordinate certificates, in the order of priority described
in this
prospectus supplement, monthly interest due such certificates;
and
|
·
|
any
remaining interest funds to be applied as described under “¾Net
Monthly Excess Cashflow” below.
|
·
|
whether
a distribution date occurs before the “stepdown date,” which is the
earlier to occur of (i) the later to occur of (A) the
distribution
date in March 2010 and (B) the first distribution
date on which the class principal balance of the senior certificates
immediately prior to such distribution
date (less the principal funds for such distribution
date) is less than or equal to approximately 50.20%, of the stated
principal balance of the mortgage loans on the related determination
date,
and (ii) the
distribution
date after the distribution date on which the aggregate class principal
balance of the senior certificates has been reduced to zero;
and
|
·
|
whether
a “trigger event” has occurred, and cumulative losses or delinquencies on
the mortgage loans are higher than certain levels specified in this
prospectus supplement.
|
·
|
first,
to the senior and subordinate certificates to make principal payments
to
maintain the required overcollateralization
amount;
|
·
|
to
the subordinate certificates, in order of seniority, the amount of
unpaid
interest for prior distribution dates (excluding any shortfall resulting
from application of a cap)
and amounts in repayment of any realized losses previously allocated
to
those certificates;
|
·
|
to
the certificates entitled thereto, any interest shortfall resulting
from
application of a cap, in the order of priority described in this
prospectus supplement;
|
·
|
to
the certificates entitled thereto, any prepayment interest shortfalls
and
any shortfalls resulting from application of the Servicemembers Civil
Relief Act, in the order of priority described in this prospectus
supplement;
|
·
|
to
the swap account for payment to the counterparty of termination payments
in certain circumstances described in this prospectus supplement,
and
|
·
|
the
use of net monthly excess cashflow from the mortgage loans as described
under “—Net Monthly Excess Cashflow”
above;
|
·
|
the
subordination of distributions of interest and principal on the
subordinate certificates to required payments of interest and principal
on
the more senior certificates;
|
·
|
the
use of net monthly excess cashflow to build and maintain
overcollateralization at certain required levels as described in
this
prospectus supplement.
|
Total
Outstanding Principal Balance:
|
$622,171,726
|
||||
Number
of Loans:
|
3,134
|
||||
Average
|
Minimum
|
Maximum
|
|||
Original
Loan Amount:
|
|||||
Outstanding
Principal Balance:
|
$198,523
|
$14,716
|
$998,999
|
||
Weighted
Average
|
Minimum
|
Maximum
|
|||
Mortgage
Rate:
|
8.358%
|
5.750%
|
14.200%
|
||
Gross
Margin:
|
6.133%
|
4.500%
|
9.990%
|
||
Initial
Periodic Rate Cap:
|
2.988%
|
1.000%
|
3.000%
|
||
Periodic
Rate Cap:
|
1.002%
|
1.000%
|
1.500%
|
||
Life
Floor:
|
6.404%
|
4.500%
|
12.000%
|
||
Life
Cap:
|
14.366%
|
11.750%
|
18.990%
|
||
Months
to Roll:
|
27
|
9
|
59
|
||
Combined
Original LTV(1):
|
80.21%
|
15.66%
|
100.00%
|
||
Credit
Score(2):
|
608
|
490
|
816
|
||
Original
Term (months):
|
362
|
120
|
480
|
||
Remaining
Term (months):
|
359
|
117
|
479
|
||
Seasoning
(months):
|
2
|
1
|
30
|
||
Top
Property State Concentrations:
|
CA
(16.22%), MD (14.82%), FL (9.94%)
|
||||
Maximum
Zip Code Concentrations:
|
20743
(0.61%), 20774 (0.47%), 22193 (0.42%)
|
||||
Adjustable
Rate:
|
79.92%
|
||||
Fixed
Rate:
|
20.08%
|
||||
Earliest
|
Latest
|
||||
First
Distribution Date:
|
|||||
Maturity
Date:
|
January
1, 2047
|
||||
First
Lien:
|
2,900
(98.07%)
|
||||
Second
Lien:
|
234
(1.93%)
|
||||
(1)
|
The
combined original loan-to-value ratio of a mortgage loan is equal
to the
ratio (expressed as a percentage) of the original stated principal
balance
of the mortgage loan plus, in the case of a second lien mortgage
loan, any
senior lien balances and the fair market value of the mortgaged premises
at the time of origination. The fair market value is the lower of
(i) the
purchase price and (ii) the appraised value in the case of purchases
and
is the appraised value in all other cases.
|
(2)
|
The
weighted average and minimum credit scores are calculated based on
approximately 99.88% of
the mortgage loans (by stated principal balance) that have valid
FICO
scores.
|
Total
Outstanding Principal Balance:
|
$278,392,074
|
||||
Number
of Loans:
|
1,506
|
||||
Average
|
Minimum
|
Maximum
|
|||
Original
Loan Amount:
|
|||||
Outstanding
Principal Balance:
|
$184,855
|
$14,716
|
$570,595
|
||
Weighted
Average
|
Minimum
|
Maximum
|
|||
Mortgage
Rate:
|
8.367%
|
5.750%
|
14.200%
|
||
Gross
Margin:
|
6.096%
|
4.500%
|
9.990%
|
||
Initial
Periodic Rate Cap:
|
2.995%
|
1.000%
|
3.000%
|
||
Periodic
Rate Cap:
|
1.001%
|
1.000%
|
1.500%
|
||
Life
Floor:
|
6.282%
|
4.500%
|
12.000%
|
||
Life
Cap:
|
14.311%
|
11.750%
|
18.990%
|
||
Months
to Roll:
|
27
|
19
|
35
|
||
Combined
Original LTV(1):
|
80.37%
|
15.66%
|
100.00%
|
||
Credit
Score(2):
|
606
|
500
|
806
|
||
Original
Term (months):
|
361
|
120
|
480
|
||
Remaining
Term (months):
|
359
|
117
|
479
|
||
Seasoning
(months):
|
2
|
1
|
30
|
||
Top
Property State Concentrations:
|
CA
(16.81%), MD (15.87%), FL (9.31%)
|
||||
Maximum
Zip Code Concentrations:
|
20743
(0.89%), 21222 (0.46%), 20744 (0.45%)
|
||||
Adjustable
Rate:
|
77.96%
|
||||
Fixed
Rate:
|
22.04%
|
||||
Earliest
|
Latest
|
||||
First
Distribution Date:
|
|||||
Maturity
Date:
|
January
1, 2047
|
||||
First
Lien:
|
1,372
(98.13%)
|
||||
Second
Lien:
|
134
(1.87%)
|
||||
(1)
|
The
combined original loan-to-value ratio of a mortgage loan is equal
to the
ratio (expressed as a percentage) of the original stated principal
balance
of the mortgage loan plus, in the case of a second lien mortgage
loan, any
senior lien balances and the fair market value of the mortgaged premises
at the time of origination. The fair market value is the lower of
(i) the
purchase price and (ii) the appraised value in the case of purchases
and
is the appraised value in all other
cases.
|
(2)
|
The
weighted average and minimum credit scores are calculated based on
all of
the mortgage loans (by stated principal balance) that have valid
FICO
scores.
|
Total
Outstanding Principal Balance:
|
$343,779,652
|
||||
Number
of Loans:
|
1,628
|
||||
Average
|
Minimum
|
Maximum
|
|||
Original
Loan Amount:
|
|||||
Outstanding
Principal Balance:
|
$211,167
|
$15,484
|
$998,999
|
||
Weighted
Average
|
Minimum
|
Maximum
|
|||
Mortgage
Rate:
|
8.350%
|
5.750%
|
14.100%
|
||
Gross
Margin:
|
6.161%
|
4.500%
|
9.990%
|
||
Initial
Periodic Rate Cap:
|
2.983%
|
1.000%
|
3.000%
|
||
Periodic
Rate Cap:
|
1.002%
|
1.000%
|
1.500%
|
||
Life
Floor:
|
6.499%
|
4.500%
|
11.990%
|
||
Life
Cap:
|
14.409%
|
11.750%
|
18.990%
|
||
Months
to Roll:
|
27
|
9
|
59
|
||
Combined
Original LTV(1):
|
80.08%
|
17.18%
|
100.00%
|
||
Credit
Score(2):
|
609
|
490
|
816
|
||
Original
Term (months):
|
362
|
120
|
480
|
||
Remaining
Term (months):
|
360
|
117
|
479
|
||
Seasoning
(months):
|
2
|
1
|
21
|
||
Top
Property State Concentrations:
|
CA
(15.74%), MD (13.97%), FL (10.44%)
|
||||
Maximum
Zip Code Concentrations:
|
20774
(0.69%), 20772 (0.53%), 22193 (0.48%)
|
||||
Adjustable
Rate:
|
81.52%
|
||||
Fixed
Rate:
|
18.48%
|
||||
Earliest
|
Latest
|
||||
First
Distribution Date:
|
|||||
Maturity
Date:
|
January
1, 2047
|
||||
First
Lien:
|
1,528
(98.02%)
|
||||
Second
Lien:
|
100
(1.98%)
|
||||
(1)
|
The
combined original loan-to-value ratio of a mortgage loan is equal
to the
ratio (expressed as a percentage) of the original stated principal
balance
of the mortgage loan plus, in the case of a second lien mortgage
loan, any
senior lien balances and the fair market value of the mortgaged premises
at the time of origination. The fair market value is the lower of
(i) the
purchase price and (ii) the appraised value in the case of purchases
and
is the appraised value in all other
cases.
|
(2)
|
The
weighted average and minimum credit scores are calculated based on
approximately
99.79% of
the mortgage loans (by stated principal balance) that have valid
FICO
scores.
|
· |
The
amounts you receive on your offered certificates will depend on the
amount
of the payments borrowers make on the related mortgage loans. Because
we
cannot predict the rate at which borrowers will repay their loans,
you may
receive distributions on your certificates in amounts that are larger
or
smaller than you expect. In addition, the life of your certificates
may be
longer or shorter than anticipated. Because of this, we cannot guarantee
that you will receive distributions at any specific future date or
in any
specific amount. You bear the reinvestment risks resulting from a
rate of
principal payments that is faster or slower than you
expect.
|
· |
The
yield to maturity on your certificates will depend primarily on the
purchase price of your certificates and the rate of principal payments
and
realized losses on the mortgage
loans.
|
· |
Rapid
prepayment rates on the mortgage loans are likely to coincide with
periods
of low prevailing interest rates. During these periods, the yield
at which
you may be able to reinvest amounts received as payments on your
certificates may be lower than the yield on your certificates. Conversely,
slow prepayment rates on the mortgage loans are likely to coincide
with
periods of high interest rates. During these periods, the amount
of
payments available to you for reinvestment at high rates may be relatively
low.
|
· |
All
of the pass-through rates of the certificates are based to some extent
on
the weighted average of the net mortgage rates of the mortgage loans.
If
the mortgage loans with relatively higher mortgage rates prepay,
the
Aggregate Net WAC Cap (as defined herein) will be reduced. In addition,
with respect to the senior certificates, the pass-through rates of
the
group 1 senior certificates will be further limited by the Group
1 WAC Cap
(as defined herein), and the pass-through rates of the group 2 senior
certificates will be further limited by the Group 2 WAC Cap (as defined
herein), each of which is based upon the net mortgage rates of the
mortgage loans in the related loan group, and which may be lower
than the
Aggregate Net WAC Cap. Reductions in the net mortgage rates of the
mortgage loans in a loan group could affect both the yield on the
certificates in the related certificate group and the amount of excess
interest generated by the mortgage loans in the related loan group.
|
· |
if
you buy a Class B-3 Certificate and losses on the mortgage loans
exceed
the total principal balance of the Class OC Certificates, the excess
interest in that period and, on and after the distribution date in
February 2008 and prior to the distribution date in September 2011,
any
net swap receipts received from the swap counterparty, the principal
balance of your certificate will be reduced proportionately with
the
principal balance of the other Class B-3 Certificates by the amount
of
that excess;
|
· |
if
you buy a Class B-2 Certificate and losses on the mortgage loans
exceed
the total principal balance of the Class B-3 and Class OC Certificates,
the excess interest in that period and, on and after the distribution
date
in February 2008 and prior to the distribution date in September
2011, any
net swap receipts received from the swap counterparty, the principal
balance of your certificate will be reduced proportionately with
the
principal balance of the other Class B-2 Certificates by the amount
of
that excess;
|
· |
if
you buy a Class B-1 Certificate and losses on the mortgage loans
exceed
the total principal balance of the Class B-2, Class B-3 and Class
OC
Certificates, the excess interest in that period and, on and after
the
distribution date in February 2008 and prior to the distribution
date in
September 2011, any net swap receipts received from the swap counterparty,
the principal balance of your certificate will be reduced proportionately
with the principal balance of the other Class B-1 Certificates by
the
amount of that excess;
|
· |
if
you buy a Class M-6 Certificate and losses on the mortgage loans
exceed
the total principal balance of the Class B-1, Class B-2, Class B-3
and
Class OC Certificates, the excess interest in that period and, on
and
after the distribution date in February 2008 and prior to the distribution
date in September 2011, any net swap receipts received from the swap
counterparty, the principal balance of your certificate will be reduced
proportionately with the principal balance of the other Class M-6
Certificates by the amount of that
excess;
|
· |
if
you buy a Class M-5 Certificate and losses on the mortgage loans
exceed
the total principal balance of the Class M-6, Class B-1, Class B-2,
Class
B-3 and Class OC Certificates, the excess interest in that period
and, on
and after the distribution date in February 2008 and prior to the
distribution date in September 2011, any net swap receipts received
from
the swap counterparty, the principal balance of your certificate
will be
reduced proportionately with the principal balance of the other Class
M-5
Certificates by the amount of that
excess;
|
· |
if
you buy a Class M-4 Certificate and losses on the mortgage loans
exceed
the total principal balance of the Class M-5, Class M-6, Class B-1,
Class
B-2, Class B-3 and Class OC Certificates, the excess interest in
that
period and, on and after the distribution date in February 2008 and
prior
to the distribution date in September 2011, any net swap receipts
received
from the swap counterparty, the principal balance of your certificate
will
be reduced proportionately with the principal balance of the other
Class
M-4 Certificates by the amount of that
excess;
|
· |
if
you buy a Class M-3 Certificate and losses on the mortgage loans
exceed
the total principal balance of the Class M-4, Class M-5, Class M-6,
Class
B-1, Class B-2, Class B-3 and Class OC Certificates, the excess interest
in that period and, on and after the distribution date in February
2008
and prior to the distribution date in September 2011, any net swap
receipts received from the swap counterparty, the principal balance
of
your certificate will be reduced proportionately with the principal
balance of the other Class M-3 Certificates by the amount of that
excess;
|
· |
if
you buy a Class M-2 Certificate and losses on the mortgage loans
exceed
the total principal balance of the Class M-3, Class M-4, Class M-5,
Class
M-6, Class B-1, Class B-2, Class B-3 and Class OC Certificates, the
excess
interest in that period and, on and after the distribution date in
February 2008 and prior to the distribution date in September 2011,
any
net swap receipts received from the swap counterparty, the principal
balance of your certificate will be reduced proportionately with
the
principal balance of the other Class M-2 Certificates by the amount
of
that excess; and
|
· |
if
you buy a Class M-1 Certificate and losses on the mortgage loans
exceed
the total principal balance of the Class M-2, Class M-3, Class M-4,
Class
M-5, Class M-6, Class B-1, Class B-2, Class B-3 and Class OC Certificates,
the excess interest in that period and, on and after the distribution
date
in February 2008 and prior to the distribution date in September
2011, any
net swap receipts received from the swap counterparty, the principal
balance of your certificate will be reduced proportionately with
the
principal balance of the other Class M-1 Certificates by the amount
of
that excess.
|
· |
the
rate of principal prepayments, including partial prepayments and
full
prepayments resulting from:
|
·
|
repurchases
of mortgage loans by an originator or the seller as a result of defective
documentation or breaches of representations and
warranties.
|
· |
if
you are purchasing any offered certificate at a discount, your yield
may
be lower than expected if principal payments on the related mortgage
loans
occur at a slower rate than you
expected;
|
· |
if
you are purchasing an offered certificate at a premium, your yield
may be
lower than expected if principal payments on the related mortgage
loans
occur at a faster rate than you
expected;
|
· |
if
the rate of default and the amount of losses on the related mortgage
loans
are higher than you expect, then your yield may be lower than you
expect;
|
· |
the
earlier a payment of principal occurs, the greater the impact on
your
yield. For example, if you purchase any offered certificate at a
premium,
although the average rate of principal payments is consistent with
your
expectations, if the rate of principal payments occurs initially
at a rate
higher than expected, which would adversely impact your yield, a
subsequent reduction in the rate of principal payments will not offset
any
adverse yield effect; and
|
· |
the
priorities governing payments of scheduled and unscheduled principal
on
the mortgage loans will have the effect of accelerating the rate
of
principal payments to holders of the classes of the related senior
certificates relative to the classes of the subordinate
certificates.
|
· |
differences
in interest rates, credit quality and any of various other material
pool
characteristics, both at formation of a pool and over
time;
|
· |
whether
the loans were originated by different lenders, and the extent to
which
the underwriting guidelines differed;
and
|
· |
Because
the subordinate certificates generally receive interest and principal
distributions after the related senior certificates receive those
distributions, there is a greater likelihood that the subordinate
certificates will not receive the distributions to which they are
entitled
on any distribution date.
|
· |
If
the servicer of a mortgage loan determines not to advance a delinquent
payment on that mortgage loan because the servicer determines the
amount
is not recoverable from a borrower, there may be a shortfall in
distributions on the related certificates which will impact the
subordinate certificates.
|
· |
As
a result of the absorption of realized losses on the mortgage loans
by
excess interest and overcollateralization as described in this prospectus
supplement, and after taking into account certain payments received
or
paid by pursuant to the swap agreement, liquidations of defaulted
mortgage
loans, whether or not realized losses are incurred upon the liquidations,
are likely to result in an earlier return of principal to the offered
certificates and are likely to influence the yield on the certificates
in
a manner similar to the manner in which principal prepayments on
the
mortgage loans would influence the yield on the certificates. The
overcollateralization provisions are intended to result in an accelerated
rate of principal distributions to holders of the offered certificates
then entitled to principal distributions at any time that the
overcollateralization provided by the mortgage loans falls below
the
related required level. An earlier return of principal to the holders
of
the offered certificates as a result of the overcollateralization
provisions will influence the yield on the offered certificates and
is
likely to influence the yield on the certificates in a manner similar
to
the manner in which principal prepayments on the mortgage loans would
influence the yield on the certificates. In addition, losses resulting
from the liquidation of defaulted mortgage loans that are not covered
by
excess interest or overcollateralization or net swap receipts paid
by the
counterparty, will be allocated to the subordinate certificates.
A loss
allocation results in a reduction in a certificate balance, potentially
to
zero, without a corresponding distribution of cash to the holder.
A lower
certificate balance will result in less interest accruing on the
certificate.
|
· |
The
earlier in the transaction that a loss on a mortgage loan occurs,
the
greater the impact on your yield on the subordinate
certificates.
|
· |
result
in payment delays on your certificates because the trustee will be
sending
distributions on the certificates to DTC instead of directly to
you;
|
· |
make
it difficult for you to pledge your certificates if physical certificates
are required by the party demanding the pledge;
and
|
· |
hinder
your ability to resell your certificates because some investors may
be
unwilling to buy certificates that are not in physical form. See
“Description of the Offered Certificates—Book-Entry Registration of the
Offered Certificates” in this prospectus supplement and “Registration of
the Offered Securities—Book-Entry Registration” in the accompanying
prospectus.
|
Unpaid
Principal Balance as
of:
(Dollar
Amounts, in thousands)
|
|||||||||||||
SMSI
Affiliate
|
$
|
6,794,992
|
$
|
6,394,873
|
$
|
5,950,965
|
$
|
4,665,770
|
|||||
Third
Party
|
19,810,560
|
18,365,897
|
14,214,977
|
5,233,753
|
|||||||||
Total
|
$
|
26,605,552
|
$
|
24,760,770
|
$
|
20,165,942
|
$
|
9,899,523
|
September
30,
|
|||||||||||||
2005
|
2004
|
2003
|
|||||||||||
Total
Servicing
Portfolio
|
Total
Servicing
Portfolio
|
Total
Servicing
Portfolio
|
Total
Servicing
Portfolio
|
||||||||||
Total
outstanding principal balance (at period end)
|
$
|
26,605,552
|
$
|
24,760,770
|
$
|
20,165,942
|
$
|
9,899,523
|
|||||
Delinquency
(at period end):
|
|||||||||||||
30-59
days:
|
|||||||||||||
Principal
balance
|
$
|
1,740,898
|
$
|
1,442,450
|
$
|
956,478
|
$
|
605,980
|
|||||
Delinquency
percentage
|
6.54
|
%
|
5.83
|
%
|
4.74
|
%
|
6.12
|
%
|
|||||
60-89
days:
|
|||||||||||||
Principal
balance
|
$
|
598,466
|
$
|
465,173
|
$
|
247,863
|
$
|
138,253
|
|||||
Delinquency
percentage
|
2.25
|
%
|
1.88
|
%
|
1.23
|
%
|
1.40
|
%
|
|||||
90
days or more:
|
|||||||||||||
Principal
balance
|
$
|
471,033
|
$
|
391,147
|
$
|
172,124
|
$
|
96,388
|
|||||
Delinquency
percentage
|
1.77
|
%
|
1.58
|
%
|
0.85
|
%
|
0.97
|
%
|
|||||
Bankruptcies
(1):
|
|||||||||||||
Principal
balance
|
$
|
415,796
|
$
|
491,243
|
$
|
279,331
|
$
|
300,282
|
|||||
Delinquency
percentage
|
1.56
|
%
|
1.98
|
%
|
1.39
|
%
|
3.03
|
%
|
|||||
Foreclosures:
|
|||||||||||||
Principal
balance
|
$
|
747,668
|
$
|
595,905
|
$
|
314,253
|
$
|
298,658
|
|||||
Delinquency
percentage
|
2.81
|
%
|
2.41
|
%
|
1.56
|
%
|
3.02
|
%
|
|||||
Real
Estate Owned:
|
|||||||||||||
Principal
balance
|
$
|
384,793
|
$
|
187,449
|
$
|
107,939
|
$
|
107,202
|
|||||
Delinquency
percentage
|
1.45
|
%
|
0.76
|
%
|
0.54
|
%
|
1.08
|
%
|
|||||
Total
Seriously Delinquent including real estate owned (2)
|
9.48
|
%
|
7.92
|
%
|
5.26
|
%
|
8.89
|
%
|
|||||
Total
Seriously Delinquent excluding real estate owned
|
8.04
|
%
|
7.16
|
%
|
4.73
|
%
|
7.81
|
%
|
(1)
|
Bankruptcies
include both non-performing and performing mortgage loans in which
the
related borrower is in bankruptcy. Amounts included for contractually
current bankruptcies for the total servicing portfolio for September
30,
2006, December 31, 2005, 2004, and 2003 are $69.8 million, $133.5
million,
$47.5 million and $43.7 million,
respectively.
|
(2)
|
Seriously
delinquent is defined as mortgage loans that are 60 or more days
delinquent, foreclosed, REO, or held by a borrower who has declared
bankruptcy and is 60 or more days contractually delinquent.
|
Loan
Group
|
Number
of Mortgage Loans
|
Approximate
Cut-off Date Loan Group Balance
|
|||||
Loan
Group 1
(the
“Group 1 Mortgage Loans”)
|
1,506
|
$
|
278,392,074
|
||||
Loan
Group 2
(the
“Group 2 Mortgage Loans”)
|
1,628
|
$
|
343,779,652
|
·
|
2/28
and 2/38 LIBOR mortgage loans, 3/27 and 3/37 LIBOR mortgage loans
and 5/25
LIBOR mortgage loans which bear interest initially at a rate fixed
at
origination for two, three and five years, respectively, and thereafter
at
a rate that adjusts semiannually based on six month LIBOR (i.e.,
the London interbank offered rate for six month United States Dollar
deposits in the London market based on quotations of major banks
as
published in The
Wall Street Journal).
|
·
|
whether
the value of the property securing the loan will allow the lender
to
recover its investment if a loan default
occurs.
|
·
|
Full
Documentation—underwriter
review of documents that are provided to verify employment, income
and
bank deposits, such as W-2’s and pay stubs, or signed tax returns for the
past two years;
|
·
|
12
Months Personal Bank Statements—the
underwriter will review 12 months consecutive personal bank statements
to
document the borrowers stated cash
flow;
|
·
|
Limited
Documentation—
six months of personal and/or business bank statements are acceptable
documentation of the borrower’s stated cash flow;
and
|
·
|
Stated
Income—the
borrower’s income as stated on the loan application must be reasonable for
the related occupation because the income is not independently verified.
The existence of the business and employment is, however, confirmed;
and
any self-employed business must have been in existence for at least
two
years.
|
·
|
The
ScorePlus Underwriting Program (1st
lien mortgage loans only)—generally, a borrower’s secondary credit
(excluding mortgage, foreclosure and bankruptcy histories) is evaluated
by
credit score. Accordingly, credit score minimums apply for each credit
grade.
|
A+
|
A
|
A-
|
B+
|
B
|
C
|
Mortgage
History
|
No
late payments over 30 days within last 12 months
|
Maximum
of one 30-day late payment
|
Maximum
of two 30-day late payments in last 12 months
|
Maximum
of three 30-day late payments
|
Maximum
of one 60-day late payment in last 12 months
|
Maximum
of one 90-day late payment in last 12
months
|
Secondary
Credit
|
Minimum
Credit Score
500
|
Minimum
Credit Score
500
|
Minimum
Credit Score
500
|
Minimum
Credit Score
500
|
Minimum
Credit Score
500
525
for LTV>80%
640
for LTV > 85%
|
Minimum
Credit Score
500
525
for LTV>70%
660
for LTV > 80%
|
Debt-To-Income
Ratio*
|
50%
|
50%
|
50%
|
50%
|
50%
|
50%
|
Maximum
Loan-To-Value (1st
lien mortgage loans
only)
|
100%
|
100%
|
100%
|
95%
|
90%
|
85%
|
Bankruptcy
|
||||
Full
Documentation and 12 months bank statements
|
Stated
or Limited Documentation
|
|||
Chapter
7
|
Full
Doc and 12 months bank statement loans allow a bankruptcy discharged
at
least 6 months as long as the credit score is at least 600,
else:
Discharge
2 years if LTV > 85%
Discharge
1.5 years if LTV > 80% but <=85%
Discharge
1 day if LTV <=80%
|
Discharge
2 years if LTV > 80%
Discharge
1.5 years if LTV > 70% but <=80%
Discharge
1 day if LTV <=70%
|
||
Chapter
11, 13
|
Discharge
2 years if LTV > 90%
Discharge
and 1 year from filing
Discharge
1 day and paid as agreed if LTV <=80%
|
Discharge
2 years if LTV > 80%
Discharge
and 1 year from filing
Discharge
1 day and paid as agreed if LTV
<=70%
|
Foreclosure
|
|
Full
Documentation, 12 months bank statements,
Stated
or Limited Documentation
|
|
3
years if Credit Score is < 600
2
years if Credit Score >=600
|
|
·
|
The
ScoreDirect Underwriting Program (owner occupied, fully documented
1st
lien mortgage loans only)—generally, a borrower’s secondary credit
(excluding, foreclosure and bankruptcy histories) is evaluated by
credit
score and the customary credit grading methodology is replaced by
credit
score tiers.
|
Credit
Score
|
||||||
640+
|
620-639
|
600-619
|
580-599
|
Bankruptcy
Discharge
|
|||
All
chapters must be discharged at least 6
months.
|
Debt-to-Income
Ratio
|
||||||
50%
|
50%
|
50%
|
50%
|
Maximum
LTV (1st
lien mortgage loans only)
|
||||||
100%
|
100%
|
95%
|
90%
|
Foreclosure
|
Borrowers currently in Foreclosure are not eligible. Borrowers who have lost a property to foreclosure are not eligible. Any Foreclosure event in the last 3 years is ineligible under ScoreDirect. Borrowers that have experienced foreclosure events within 3 to 5 years are limited to a maximum LTV of 90% and no subordinate financing is allowed. The term Foreclosure includes: NOD filed, delinquencies greater than 120 days, short pay, settled for less than loan amount balance or foreclosure redeemed, consummated or filed. Mortgages for all properties (primary, second home or investment) apply. |
Piggyback
(Combo) Second Lien
|
||||
A+
|
A
|
A-
|
||
Mortgage
History
|
||||
No
late payments over 30 days within last 12 months
|
Maximum
of one 30-day late payment in the last 12 months
|
Maximum
of two 30-day late payments in last 12 months
|
||
Secondary
Credit
|
||||
Minimum
Credit Score for Full
documentation
580
Minimum
Credit Score for Stated
Documentation:
650
for W-2 borrowers
640
for self-employed borrowers
|
Minimum
Credit Score
600
|
Minimum
Credit Score
600
|
||
Bankruptcy
Filings
|
||||
Chapter
7 - Discharged 2 years
Chapter
13 -Discharged 2 years for first time home buyers; discharged 12
months
from application date
|
Chapters
7 & 13 - Discharged 2 years
|
Chapters
7 & 13 - Discharged 2 years
|
Debt-to-Income
Ratio
|
||||
50%
|
50%
|
50%
|
||
45%
if score <600
|
||||
Maximum
Combined Loan-To-Value
|
||||
100%
|
100%
|
90%
|
||
Foreclosure
|
||||
>5
years
|
>5
years
|
>5
years
|
·
|
The
overcollateralization level provided by the mortgage loans. This
means the
extent to which the principal balance of the mortgage loans is higher
than
the aggregate principal balances of the Offered
Certificates;
|
·
|
The
loss experience of the mortgage loans. For example, excess interest
available to pay principal on the classes of Offered Certificates
will be
reduced as a result of realized losses on the mortgage
loans;
|
·
|
The
extent to which the weighted average Net Mortgage Rate of the mortgage
loans exceeds the weighted average of the pass-through rates of the
related Offered Certificates;
|
·
|
The
extent to which amounts are paid to, or received from, the Swap
Counterparty under the interest rate swap agreement;
and
|
·
|
The
extent to which amounts are received from the Cap Counterparty under
the
interest rate cap agreement.
|
·
|
prepayments
are likely to occur which will be paid in reduction of the class
principal
balances of the Offered Certificates;
and
|
·
|
the
Servicer will have the right to purchase all of the mortgage loans
on any
Distribution Date when the aggregate principal balance of the mortgage
loans has declined to less than or equal to 10% of the sum of the
aggregate principal balance of the mortgage loans as of the cut-off
date.
|
·
|
the
mortgage loans of each loan group prepay at the indicated percentage
of
the related prepayment assumption;
|
·
|
payments
on the Offered Certificates are received, in cash, on the 25th
day of each month, commencing in March 2007, in accordance with the
payment priorities set forth in this prospectus
supplement;
|
·
|
no
defaults or delinquencies in, or modifications, waivers or amendments
respecting, the payment by the mortgagors of principal and interest
on the
mortgage loans occur;
|
·
|
unless
otherwise indicated, scheduled payments on the mortgage loans are
assumed
to be received on the first day of each due period commencing
in March
2007, and prepayments represent payment in full of individual mortgage
loans and are assumed to be received on the last day of each prepayment
period, commencing in February 2007, and include 30 days’ interest
thereon;
|
·
|
the
optional termination is not exercised (except with respect to the
weighted
average life to optional
termination);
|
·
|
the
scheduled monthly payment on each mortgage loan is adjusted to equal
a
fully amortizing payment (except for interest only mortgage loans
during
their respective interest only terms and balloon mortgage
loans);
|
·
|
the
Class Principal Balances of the Certificates and the Overcollateralized
Amount as of the Closing Date are as specified in this prospectus
supplement;
|
·
|
the
mortgage loans accrue interest on the basis of a 360 day year consisting
of twelve 30-day months;
|
·
|
the
mortgage interest rate for each adjustable rate mortgage loan is
adjusted
on its next reset date and on subsequent reset dates, if necessary,
to
equal the sum, subject to the applicable periodic adjustment caps
and
floors, of:
|
Mortgage
Loan Characteristics
|
Group
|
Type
|
Index
Name
|
Original
Interest Only Period (Months)
|
Cut-off
Date Principal Balance ($)
|
Cut-off
Date Gross Mortgage Rate (%)
|
Expense
Fee Rate (%)
|
Original
Amortization Term* (Months)
|
Remaining
Amortization Term* (Months)
|
Stated
Remaining Term (Months)
|
Gross
Margin (%)
|
Next
Rate Adjustment Date (Months)
|
Rate
Adjustment Frequency (Months)
|
Gross
Life Floor (%)
|
Gross
Life Cap (%)
|
Initial
Periodic Rate Cap (%)
|
Next
Periodic Rate Cap (%)
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
5,671,648.62
|
8.658
|
0.520
|
600
|
598
|
358
|
6.059
|
22
|
6
|
6.119
|
14.679
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
6,478,294.55
|
9.066
|
0.520
|
480
|
477
|
357
|
5.999
|
21
|
6
|
6.076
|
15.088
|
2.977
|
1.011
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
431,831.74
|
9.046
|
0.520
|
600
|
598
|
358
|
6.183
|
22
|
6
|
6.369
|
15.046
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
17,412,377.95
|
8.287
|
0.520
|
480
|
478
|
358
|
6.250
|
22
|
6
|
6.301
|
14.300
|
2.973
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
18,163,425.30
|
8.017
|
0.520
|
598
|
596
|
358
|
6.201
|
22
|
6
|
6.243
|
14.036
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
206,520.99
|
9.400
|
0.520
|
480
|
475
|
355
|
7.900
|
19
|
6
|
9.400
|
16.400
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
11,941,899.13
|
8.346
|
0.520
|
479
|
477
|
358
|
5.958
|
34
|
6
|
5.976
|
14.346
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
672,646.99
|
7.929
|
0.520
|
600
|
596
|
356
|
6.066
|
20
|
6
|
7.305
|
14.929
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
321,293.01
|
8.684
|
0.520
|
480
|
478
|
358
|
6.324
|
22
|
6
|
6.324
|
14.684
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
1,955,400.18
|
8.647
|
0.520
|
480
|
477
|
357
|
6.217
|
21
|
6
|
6.505
|
14.647
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
1,313,763.27
|
8.614
|
0.520
|
480
|
477
|
357
|
6.169
|
33
|
6
|
6.169
|
14.614
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
154,707.02
|
10.702
|
0.520
|
480
|
478
|
358
|
6.442
|
22
|
6
|
6.442
|
16.702
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
4,855,124.72
|
8.232
|
0.520
|
599
|
597
|
358
|
6.290
|
34
|
6
|
6.290
|
14.232
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
4,643,414.20
|
7.713
|
0.520
|
479
|
477
|
358
|
6.266
|
34
|
6
|
6.266
|
13.713
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
8,534,070.89
|
8.683
|
0.520
|
599
|
597
|
358
|
5.893
|
34
|
6
|
5.922
|
14.683
|
2.989
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
125,801.77
|
9.350
|
0.520
|
480
|
477
|
357
|
6.750
|
21
|
6
|
6.750
|
15.350
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
734,375.46
|
7.878
|
0.520
|
480
|
477
|
357
|
6.027
|
33
|
6
|
6.027
|
13.878
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
509,159.68
|
7.812
|
0.520
|
480
|
477
|
357
|
5.886
|
21
|
6
|
5.886
|
13.812
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
790,991.10
|
9.561
|
0.520
|
600
|
597
|
357
|
5.586
|
21
|
6
|
5.586
|
15.561
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
630,281.52
|
8.173
|
0.520
|
599
|
597
|
358
|
6.463
|
34
|
6
|
6.463
|
14.173
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
656,663.13
|
9.041
|
0.520
|
480
|
478
|
358
|
6.725
|
22
|
6
|
6.725
|
15.041
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
613,873.98
|
9.168
|
0.520
|
600
|
598
|
358
|
6.239
|
34
|
6
|
7.197
|
15.553
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
414,364.11
|
7.402
|
0.520
|
600
|
598
|
358
|
5.487
|
34
|
6
|
5.487
|
13.402
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
1,905,394.49
|
8.548
|
0.520
|
600
|
598
|
358
|
6.462
|
22
|
6
|
6.596
|
14.548
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
271,824.51
|
8.900
|
0.520
|
596
|
593
|
357
|
6.200
|
33
|
6
|
6.200
|
14.900
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
913,740.44
|
9.633
|
0.520
|
600
|
598
|
358
|
6.378
|
22
|
6
|
6.378
|
15.633
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
369,986.03
|
10.146
|
0.520
|
600
|
598
|
358
|
6.456
|
22
|
6
|
6.456
|
16.146
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
413,218.86
|
7.951
|
0.520
|
480
|
478
|
358
|
5.712
|
22
|
6
|
5.712
|
13.951
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
116,979.12
|
9.600
|
0.520
|
480
|
479
|
359
|
6.550
|
23
|
6
|
6.550
|
15.600
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
155,163.55
|
9.250
|
0.520
|
600
|
597
|
357
|
6.350
|
21
|
6
|
6.350
|
15.250
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
168,792.80
|
10.750
|
0.520
|
600
|
599
|
359
|
5.950
|
35
|
6
|
5.950
|
16.750
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
249,199.87
|
7.300
|
0.520
|
480
|
478
|
358
|
6.550
|
34
|
6
|
6.550
|
13.300
|
3.000
|
1.000
|
Group
|
Type
|
Index
Name
|
Original
Interest Only Period (Months)
|
Cut-off
Date Principal Balance ($)
|
Cut-off
Date Gross Mortgage Rate (%)
|
Expense
Fee Rate (%)
|
Original
Amortization Term* (Months)
|
Remaining
Amortization Term* (Months)
|
Stated
Remaining Term (Months)
|
Gross
Margin (%)
|
Next
Rate Adjustment Date (Months)
|
Rate
Adjustment Frequency (Months)
|
Gross
Life Floor (%)
|
Gross
Life Cap (%)
|
Initial
Periodic Rate Cap (%)
|
Next
Periodic Rate Cap (%)
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
10,153,843.23
|
9.008
|
0.520
|
359
|
357
|
357
|
6.067
|
22
|
6
|
6.453
|
15.022
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
13,782,307.94
|
8.770
|
0.520
|
360
|
357
|
357
|
5.885
|
33
|
6
|
5.946
|
14.770
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
3,286,902.21
|
8.996
|
0.520
|
360
|
357
|
357
|
6.362
|
21
|
6
|
6.362
|
14.996
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
459,395.72
|
9.931
|
0.520
|
360
|
356
|
356
|
7.009
|
32
|
6
|
9.931
|
15.931
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
3,204,250.58
|
9.796
|
0.520
|
360
|
357
|
357
|
6.754
|
33
|
6
|
8.364
|
15.916
|
3.000
|
1.010
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
14,066,017.65
|
8.116
|
0.520
|
360
|
358
|
358
|
6.219
|
22
|
6
|
6.487
|
14.116
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
941,690.61
|
8.685
|
0.520
|
360
|
357
|
357
|
6.065
|
21
|
6
|
6.065
|
14.685
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
4,032,011.11
|
8.608
|
0.520
|
360
|
358
|
358
|
6.363
|
34
|
6
|
6.756
|
14.736
|
2.905
|
1.024
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
92,770.05
|
9.950
|
0.520
|
360
|
358
|
358
|
6.150
|
22
|
6
|
6.150
|
15.950
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
1,520,503.56
|
9.462
|
0.520
|
360
|
358
|
358
|
6.033
|
22
|
6
|
6.934
|
15.462
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
437,476.69
|
9.503
|
0.520
|
360
|
358
|
358
|
6.156
|
22
|
6
|
8.197
|
15.503
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
2,290,242.10
|
9.290
|
0.520
|
360
|
358
|
358
|
6.363
|
22
|
6
|
6.968
|
15.290
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
110,171.46
|
8.000
|
0.520
|
360
|
358
|
358
|
6.100
|
34
|
6
|
6.100
|
14.000
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
121,528.04
|
7.900
|
0.520
|
480
|
478
|
478
|
6.350
|
34
|
6
|
6.350
|
13.900
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
404,184.74
|
9.585
|
0.520
|
360
|
357
|
357
|
6.230
|
33
|
6
|
9.585
|
15.585
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
581,791.56
|
10.391
|
0.520
|
360
|
357
|
357
|
6.964
|
33
|
6
|
8.926
|
16.391
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
191,441.01
|
10.100
|
0.520
|
480
|
478
|
478
|
6.750
|
22
|
6
|
6.750
|
16.100
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
696,560.65
|
9.625
|
0.520
|
360
|
357
|
357
|
6.309
|
21
|
6
|
7.789
|
16.216
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
597,277.00
|
8.870
|
0.520
|
360
|
359
|
359
|
5.974
|
35
|
6
|
5.974
|
14.870
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
309,896.99
|
10.600
|
0.520
|
479
|
477
|
477
|
6.750
|
34
|
6
|
10.600
|
16.600
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
370,830.97
|
8.800
|
0.520
|
480
|
478
|
478
|
6.350
|
22
|
6
|
6.350
|
14.800
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
61,986.55
|
11.250
|
0.520
|
360
|
357
|
357
|
6.400
|
21
|
6
|
10.250
|
17.250
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
439,830.75
|
8.576
|
0.520
|
359
|
357
|
357
|
6.283
|
22
|
6
|
6.283
|
14.576
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
107,098.49
|
9.700
|
0.520
|
360
|
358
|
358
|
6.700
|
22
|
6
|
9.700
|
15.700
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
139,438.39
|
8.900
|
0.520
|
480
|
478
|
478
|
6.350
|
22
|
6
|
6.350
|
14.900
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
141,335.48
|
8.400
|
0.520
|
360
|
357
|
357
|
5.950
|
21
|
6
|
5.950
|
14.400
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
0
|
523,852.20
|
8.740
|
0.520
|
480
|
477
|
477
|
5.972
|
33
|
6
|
5.972
|
14.740
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
60
|
7,426,577.97
|
8.500
|
0.520
|
360
|
358
|
358
|
5.946
|
22
|
6
|
6.406
|
14.500
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
60
|
5,846,356.38
|
7.715
|
0.520
|
360
|
358
|
358
|
6.264
|
22
|
6
|
6.295
|
13.715
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
60
|
985,599.70
|
7.737
|
0.520
|
360
|
358
|
358
|
5.035
|
22
|
6
|
5.400
|
13.737
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
60
|
22,075,901.11
|
7.494
|
0.520
|
360
|
358
|
358
|
5.713
|
34
|
6
|
5.767
|
13.494
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
60
|
773,245.83
|
8.696
|
0.520
|
360
|
359
|
359
|
6.315
|
23
|
6
|
6.913
|
14.696
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
60
|
488,950.00
|
9.044
|
0.520
|
360
|
358
|
358
|
6.557
|
34
|
6
|
6.557
|
15.044
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
60
|
17,392,714.06
|
7.620
|
0.520
|
360
|
358
|
358
|
6.165
|
22
|
6
|
6.208
|
13.620
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
60
|
697,240.00
|
7.567
|
0.520
|
360
|
358
|
358
|
5.582
|
22
|
6
|
7.228
|
13.567
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
60
|
1,388,558.28
|
6.711
|
0.520
|
360
|
357
|
357
|
6.052
|
33
|
6
|
6.052
|
12.711
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
60
|
7,045,920.37
|
7.530
|
0.520
|
360
|
358
|
358
|
6.054
|
34
|
6
|
6.200
|
13.530
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
60
|
225,000.00
|
9.650
|
0.520
|
360
|
358
|
358
|
6.600
|
22
|
6
|
6.600
|
15.650
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
60
|
104,000.00
|
7.425
|
0.520
|
360
|
357
|
357
|
5.950
|
21
|
6
|
6.425
|
13.425
|
3.000
|
1.000
|
Group
|
Type
|
Index
Name
|
Original
Interest Only Period (Months)
|
Cut-off
Date Principal Balance ($)
|
Cut-off
Date Gross Mortgage Rate (%)
|
Expense
Fee Rate (%)
|
Original
Amortization Term* (Months)
|
Remaining
Amortization Term* (Months)
|
Stated
Remaining Term (Months)
|
Gross
Margin (%)
|
Next
Rate Adjustment Date (Months)
|
Rate
Adjustment Frequency (Months)
|
Gross
Life Floor (%)
|
Gross
Life Cap (%)
|
Initial
Periodic Rate Cap (%)
|
Next
Periodic Rate Cap (%)
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
60
|
132,000.00
|
8.850
|
0.520
|
360
|
358
|
358
|
5.950
|
22
|
6
|
5.950
|
14.850
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
60
|
189,000.00
|
8.688
|
0.520
|
360
|
357
|
357
|
6.688
|
33
|
6
|
7.688
|
14.688
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
60
|
1,170,500.00
|
8.477
|
0.520
|
360
|
359
|
359
|
6.158
|
23
|
6
|
6.615
|
14.477
|
3.000
|
1.000
|
||||||||||||||||
1
|
ARM
|
6MonthLIBOR
|
60
|
225,000.00
|
6.600
|
0.520
|
360
|
358
|
358
|
4.500
|
34
|
6
|
4.500
|
12.600
|
3.000
|
1.000
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
2,321,666.70
|
12.076
|
0.520
|
359
|
357
|
238
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
520,339.41
|
11.350
|
0.520
|
360
|
358
|
238
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
156,448.92
|
11.666
|
0.520
|
360
|
357
|
237
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
30,784.66
|
12.640
|
0.520
|
360
|
358
|
238
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
302,563.29
|
11.648
|
0.520
|
360
|
358
|
238
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
79,148.62
|
12.440
|
0.520
|
360
|
358
|
238
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
718,215.73
|
11.692
|
0.520
|
354
|
352
|
238
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
247,935.55
|
11.900
|
0.520
|
360
|
358
|
238
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
52,383.26
|
11.500
|
0.520
|
360
|
359
|
239
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
2,064,725.72
|
8.740
|
0.520
|
480
|
477
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
3,996,719.83
|
7.617
|
0.520
|
600
|
597
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
76,765.47
|
8.550
|
0.520
|
600
|
596
|
356
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
3,080,387.67
|
8.042
|
0.520
|
480
|
477
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
174,954.89
|
7.950
|
0.520
|
600
|
598
|
358
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
1,714,838.63
|
9.011
|
0.520
|
597
|
594
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
437,202.79
|
7.419
|
0.520
|
480
|
477
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
989,878.39
|
8.630
|
0.520
|
480
|
477
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
50,881.86
|
11.030
|
0.520
|
360
|
359
|
239
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
97,833.03
|
11.409
|
0.520
|
360
|
358
|
238
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
203,020.46
|
13.012
|
0.520
|
355
|
353
|
238
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
47,470.81
|
11.700
|
0.520
|
360
|
358
|
178
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
49,787.12
|
12.450
|
0.520
|
360
|
359
|
239
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
67,941.04
|
12.000
|
0.520
|
360
|
357
|
237
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
69,978.83
|
11.750
|
0.520
|
360
|
359
|
179
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
74,990.20
|
11.990
|
0.520
|
600
|
595
|
355
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
95,994.23
|
9.900
|
0.520
|
600
|
599
|
359
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
423,894.11
|
8.482
|
0.520
|
480
|
479
|
359
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
249,862.48
|
10.500
|
0.520
|
480
|
476
|
356
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
658,217.83
|
6.875
|
0.520
|
480
|
477
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
384,829.47
|
7.600
|
0.520
|
600
|
597
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
13,700,920.88
|
7.909
|
0.520
|
360
|
357
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
1,073,566.26
|
9.799
|
0.520
|
360
|
357
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
1,982,775.85
|
9.458
|
0.520
|
360
|
358
|
358
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
7,525,784.53
|
8.805
|
0.520
|
360
|
357
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
2,257,527.02
|
8.058
|
0.520
|
358
|
355
|
355
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
Group
|
Type
|
Index
Name
|
Original
Interest Only Period (Months)
|
Cut-off
Date Principal Balance ($)
|
Cut-off
Date Gross Mortgage Rate (%)
|
Expense
Fee Rate (%)
|
Original
Amortization Term* (Months)
|
Remaining
Amortization Term* (Months)
|
Stated
Remaining Term (Months)
|
Gross
Margin (%)
|
Next
Rate Adjustment Date (Months)
|
Rate
Adjustment Frequency (Months)
|
Gross
Life Floor (%)
|
Gross
Life Cap (%)
|
Initial
Periodic Rate Cap (%)
|
Next
Periodic Rate Cap (%)
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
1,598,104.62
|
8.800
|
0.520
|
480
|
477
|
477
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
714,362.02
|
9.687
|
0.520
|
360
|
357
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
468,423.53
|
9.294
|
0.520
|
240
|
237
|
237
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
613,515.15
|
8.164
|
0.520
|
180
|
178
|
178
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
64,737.99
|
9.650
|
0.520
|
360
|
358
|
358
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
67,256.06
|
10.750
|
0.520
|
240
|
237
|
237
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
709,594.56
|
9.007
|
0.520
|
480
|
477
|
477
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
628,284.98
|
7.466
|
0.520
|
300
|
298
|
298
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
234,870.58
|
7.944
|
0.520
|
240
|
238
|
238
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
87,885.37
|
9.200
|
0.520
|
300
|
296
|
296
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
100,395.87
|
9.950
|
0.520
|
240
|
237
|
237
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
833,689.34
|
8.486
|
0.520
|
360
|
358
|
358
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
5,303,322.29
|
7.890
|
0.520
|
480
|
477
|
477
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
134,786.28
|
7.350
|
0.520
|
180
|
179
|
179
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
347,887.33
|
8.917
|
0.520
|
360
|
358
|
358
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
1,088,671.18
|
8.236
|
0.520
|
480
|
478
|
478
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
39,790.43
|
11.270
|
0.520
|
180
|
178
|
178
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
52,897.23
|
10.720
|
0.520
|
240
|
238
|
238
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
21,577.57
|
11.800
|
0.520
|
240
|
239
|
239
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
37,262.04
|
11.950
|
0.520
|
240
|
239
|
239
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
45,753.67
|
11.300
|
0.520
|
360
|
357
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
57,831.32
|
7.650
|
0.520
|
360
|
356
|
356
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
59,889.89
|
9.750
|
0.520
|
119
|
116
|
116
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
169,870.61
|
9.397
|
0.520
|
180
|
178
|
178
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
86,640.36
|
11.250
|
0.520
|
300
|
297
|
297
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
390,629.09
|
7.436
|
0.520
|
480
|
477
|
477
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
159,768.59
|
9.700
|
0.520
|
360
|
358
|
358
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
239,513.69
|
8.000
|
0.520
|
360
|
357
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
275,820.57
|
6.900
|
0.520
|
240
|
236
|
236
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
324,731.37
|
9.150
|
0.520
|
480
|
476
|
476
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
1
|
FRM
|
N/A
|
0
|
426,646.29
|
8.150
|
0.520
|
480
|
477
|
477
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
25,953,014.20
|
8.326
|
0.520
|
480
|
478
|
358
|
6.214
|
22
|
6
|
6.359
|
14.355
|
2.951
|
1.005
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
662,923.89
|
9.063
|
0.520
|
480
|
478
|
358
|
6.188
|
22
|
6
|
6.188
|
15.063
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
19,599,640.23
|
8.191
|
0.520
|
600
|
598
|
358
|
6.229
|
22
|
6
|
6.262
|
14.191
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
5,388,219.22
|
7.822
|
0.520
|
598
|
596
|
358
|
6.143
|
34
|
6
|
6.143
|
13.822
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
3,686,030.52
|
8.605
|
0.520
|
480
|
478
|
358
|
6.231
|
22
|
6
|
6.562
|
14.726
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
4,019,065.08
|
8.415
|
0.520
|
600
|
598
|
358
|
6.344
|
22
|
6
|
6.444
|
14.458
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
1,293,523.70
|
7.116
|
0.520
|
600
|
597
|
357
|
6.255
|
33
|
6
|
6.255
|
13.116
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
9,004,024.83
|
8.241
|
0.520
|
599
|
597
|
358
|
5.751
|
34
|
6
|
5.825
|
14.241
|
2.977
|
1.000
|
Group
|
Type
|
Index
Name
|
Original
Interest Only Period (Months)
|
Cut-off
Date Principal Balance ($)
|
Cut-off
Date Gross Mortgage Rate (%)
|
Expense
Fee Rate (%)
|
Original
Amortization Term* (Months)
|
Remaining
Amortization Term* (Months)
|
Stated
Remaining Term (Months)
|
Gross
Margin (%)
|
Next
Rate Adjustment Date (Months)
|
Rate
Adjustment Frequency (Months)
|
Gross
Life Floor (%)
|
Gross
Life Cap (%)
|
Initial
Periodic Rate Cap (%)
|
Next
Periodic Rate Cap (%)
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
1,717,093.02
|
9.212
|
0.520
|
478
|
476
|
358
|
6.485
|
34
|
6
|
6.687
|
15.212
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
359,168.42
|
8.696
|
0.520
|
600
|
599
|
359
|
6.297
|
35
|
6
|
6.297
|
14.696
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
184,713.47
|
8.400
|
0.520
|
480
|
478
|
358
|
6.332
|
34
|
6
|
7.968
|
14.400
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
89,234.34
|
8.950
|
0.520
|
600
|
598
|
358
|
6.150
|
22
|
6
|
6.150
|
14.950
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
90,794.73
|
8.875
|
0.520
|
476
|
461
|
345
|
7.375
|
9
|
6
|
8.875
|
15.875
|
1.500
|
1.500
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
6,373,918.03
|
8.119
|
0.520
|
480
|
477
|
357
|
6.410
|
33
|
6
|
6.677
|
14.119
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
518,642.44
|
9.580
|
0.520
|
600
|
598
|
358
|
6.401
|
22
|
6
|
6.401
|
15.580
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
1,920,236.49
|
8.332
|
0.520
|
480
|
477
|
357
|
6.276
|
21
|
6
|
8.332
|
15.270
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
812,216.27
|
9.044
|
0.520
|
480
|
478
|
358
|
6.329
|
22
|
6
|
6.720
|
15.257
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
2,214,003.09
|
7.755
|
0.520
|
480
|
478
|
358
|
6.164
|
34
|
6
|
6.164
|
13.755
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
23,186,379.75
|
7.934
|
0.520
|
480
|
478
|
358
|
5.841
|
34
|
6
|
5.914
|
13.934
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
5,144,376.25
|
8.824
|
0.520
|
479
|
477
|
358
|
5.921
|
22
|
6
|
6.410
|
14.862
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
333,256.69
|
9.866
|
0.520
|
600
|
598
|
358
|
6.353
|
22
|
6
|
6.353
|
15.866
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
7,096,181.13
|
9.043
|
0.520
|
598
|
596
|
358
|
5.876
|
22
|
6
|
6.036
|
15.074
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
691,849.93
|
7.054
|
0.520
|
599
|
597
|
358
|
4.916
|
34
|
6
|
4.916
|
13.054
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
1,325,560.69
|
8.538
|
0.520
|
599
|
597
|
358
|
6.386
|
34
|
6
|
6.842
|
14.538
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
263,944.87
|
8.500
|
0.520
|
600
|
598
|
358
|
6.350
|
34
|
6
|
6.350
|
14.500
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
638,481.93
|
7.244
|
0.520
|
600
|
597
|
357
|
6.339
|
33
|
6
|
6.339
|
13.952
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
505,921.51
|
8.362
|
0.520
|
480
|
478
|
358
|
5.434
|
34
|
6
|
5.910
|
14.362
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
90,922.42
|
10.150
|
0.520
|
480
|
478
|
358
|
6.400
|
22
|
6
|
6.400
|
16.150
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
255,784.07
|
9.084
|
0.520
|
480
|
478
|
358
|
6.262
|
22
|
6
|
6.262
|
15.084
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
103,492.12
|
9.300
|
0.520
|
600
|
599
|
359
|
6.350
|
59
|
6
|
6.350
|
15.300
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
868,528.64
|
8.760
|
0.520
|
600
|
597
|
357
|
6.288
|
21
|
6
|
8.288
|
15.594
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
288,050.61
|
8.561
|
0.520
|
480
|
479
|
359
|
6.336
|
23
|
6
|
6.336
|
14.561
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
144,467.73
|
8.850
|
0.520
|
480
|
479
|
359
|
6.150
|
35
|
6
|
8.850
|
14.850
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
1,193,310.03
|
9.517
|
0.520
|
480
|
478
|
358
|
5.969
|
22
|
6
|
6.697
|
15.806
|
2.698
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
187,931.86
|
7.042
|
0.520
|
600
|
598
|
358
|
6.500
|
22
|
6
|
7.042
|
13.042
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
196,970.91
|
10.500
|
0.520
|
600
|
597
|
357
|
6.750
|
57
|
6
|
6.750
|
16.500
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
245,935.42
|
8.300
|
0.520
|
480
|
479
|
359
|
5.950
|
23
|
6
|
5.950
|
14.300
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
274,850.46
|
7.050
|
0.520
|
600
|
597
|
357
|
5.650
|
21
|
6
|
5.650
|
13.050
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
804,460.87
|
8.367
|
0.520
|
600
|
599
|
359
|
6.408
|
35
|
6
|
6.408
|
14.367
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
410,422.41
|
8.150
|
0.520
|
480
|
479
|
359
|
6.600
|
35
|
6
|
6.600
|
14.150
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
679,969.16
|
10.600
|
0.520
|
600
|
599
|
359
|
6.600
|
23
|
6
|
6.600
|
16.600
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
19,668,613.39
|
8.484
|
0.520
|
359
|
357
|
357
|
6.257
|
22
|
6
|
6.673
|
14.537
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
8,512,667.79
|
8.672
|
0.520
|
360
|
357
|
357
|
6.730
|
33
|
6
|
7.274
|
14.823
|
2.824
|
1.035
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
209,406.59
|
8.544
|
0.520
|
360
|
357
|
357
|
5.870
|
21
|
6
|
6.676
|
14.544
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
6,642,806.58
|
8.227
|
0.520
|
360
|
358
|
358
|
5.999
|
22
|
6
|
6.213
|
14.259
|
2.992
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
312,205.89
|
8.832
|
0.520
|
360
|
357
|
357
|
6.454
|
33
|
6
|
6.901
|
14.832
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
4,203,110.37
|
9.419
|
0.520
|
360
|
357
|
357
|
6.546
|
33
|
6
|
8.550
|
15.485
|
2.976
|
1.000
|
Group
|
Type
|
Index
Name
|
Original
Interest Only Period (Months)
|
Cut-off
Date Principal Balance ($)
|
Cut-off
Date Gross Mortgage Rate (%)
|
Expense
Fee Rate (%)
|
Original
Amortization Term* (Months)
|
Remaining
Amortization Term* (Months)
|
Stated
Remaining Term (Months)
|
Gross
Margin (%)
|
Next
Rate Adjustment Date (Months)
|
Rate
Adjustment Frequency (Months)
|
Gross
Life Floor (%)
|
Gross
Life Cap (%)
|
Initial
Periodic Rate Cap (%)
|
Next
Periodic Rate Cap (%)
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
122,584.55
|
9.150
|
0.520
|
341
|
338
|
338
|
6.400
|
21
|
6
|
6.400
|
15.150
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
21,652,087.50
|
8.501
|
0.520
|
360
|
358
|
358
|
5.950
|
34
|
6
|
6.209
|
14.500
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
3,077,344.84
|
8.356
|
0.520
|
360
|
358
|
358
|
6.101
|
22
|
6
|
6.442
|
14.398
|
2.915
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
2,461,163.77
|
9.096
|
0.520
|
359
|
357
|
357
|
6.292
|
22
|
6
|
6.538
|
15.096
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
13,804,234.56
|
8.817
|
0.520
|
360
|
358
|
358
|
6.107
|
22
|
6
|
6.795
|
14.874
|
2.980
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
2,460,586.36
|
9.510
|
0.520
|
360
|
358
|
358
|
6.115
|
22
|
6
|
6.428
|
15.510
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
236,827.17
|
8.631
|
0.520
|
480
|
479
|
479
|
6.029
|
35
|
6
|
8.631
|
15.631
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
1,806,527.83
|
9.063
|
0.520
|
360
|
357
|
357
|
6.169
|
33
|
6
|
8.201
|
15.063
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
1,962,946.42
|
9.095
|
0.520
|
360
|
358
|
358
|
6.438
|
34
|
6
|
7.068
|
15.199
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
897,809.34
|
9.101
|
0.520
|
480
|
478
|
478
|
6.205
|
34
|
6
|
6.205
|
15.101
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
3,304,040.43
|
8.862
|
0.520
|
360
|
357
|
357
|
6.363
|
33
|
6
|
8.727
|
15.403
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
282,407.92
|
10.023
|
0.520
|
360
|
357
|
357
|
7.028
|
33
|
6
|
8.988
|
16.316
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
1,511,943.79
|
8.240
|
0.520
|
360
|
357
|
357
|
6.216
|
21
|
6
|
7.684
|
15.059
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
828,320.17
|
8.498
|
0.520
|
360
|
358
|
358
|
6.579
|
22
|
6
|
6.736
|
14.498
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
302,056.92
|
8.452
|
0.520
|
480
|
478
|
478
|
6.302
|
22
|
6
|
8.452
|
14.452
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
392,755.86
|
9.481
|
0.520
|
360
|
359
|
359
|
6.094
|
23
|
6
|
6.094
|
15.481
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
423,218.16
|
10.920
|
0.520
|
360
|
356
|
356
|
7.138
|
32
|
6
|
10.920
|
16.920
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
186,461.55
|
7.700
|
0.520
|
360
|
356
|
356
|
5.100
|
56
|
6
|
5.100
|
13.700
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
191,756.78
|
8.300
|
0.520
|
360
|
358
|
358
|
6.400
|
22
|
6
|
6.400
|
14.300
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
209,371.00
|
8.700
|
0.520
|
360
|
355
|
355
|
6.000
|
55
|
6
|
8.700
|
14.700
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
538,464.72
|
9.226
|
0.520
|
360
|
358
|
358
|
6.513
|
22
|
6
|
7.106
|
15.348
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
584,020.70
|
8.427
|
0.520
|
360
|
357
|
357
|
7.196
|
33
|
6
|
7.811
|
14.427
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
1,346,576.55
|
9.120
|
0.520
|
480
|
477
|
477
|
5.177
|
21
|
6
|
5.177
|
15.120
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
59,462.44
|
8.300
|
0.520
|
360
|
359
|
359
|
6.400
|
23
|
6
|
6.400
|
14.300
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
72,153.83
|
10.000
|
0.520
|
359
|
357
|
357
|
5.950
|
34
|
6
|
5.950
|
16.000
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
85,934.23
|
7.350
|
0.520
|
360
|
359
|
359
|
5.800
|
35
|
6
|
5.800
|
13.350
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
87,954.96
|
8.400
|
0.520
|
480
|
478
|
478
|
5.950
|
34
|
6
|
5.950
|
14.400
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
99,164.63
|
11.000
|
0.520
|
360
|
359
|
359
|
6.400
|
35
|
6
|
6.400
|
17.000
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
135,319.42
|
9.990
|
0.520
|
360
|
358
|
358
|
6.450
|
22
|
6
|
6.450
|
15.990
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
153,710.28
|
11.990
|
0.520
|
480
|
477
|
477
|
7.000
|
33
|
6
|
11.990
|
18.990
|
3.000
|
1.500
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
161,886.06
|
9.690
|
0.520
|
480
|
476
|
476
|
7.690
|
20
|
6
|
9.690
|
16.690
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
503,670.00
|
7.688
|
0.520
|
480
|
478
|
478
|
6.350
|
22
|
6
|
6.350
|
13.688
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
659,799.71
|
7.800
|
0.520
|
480
|
479
|
479
|
6.400
|
35
|
6
|
6.400
|
13.800
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
123,093.63
|
8.950
|
0.520
|
360
|
357
|
357
|
6.350
|
21
|
6
|
8.950
|
14.950
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
0
|
85,344.42
|
8.150
|
0.520
|
360
|
359
|
359
|
5.600
|
23
|
6
|
8.150
|
15.150
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
60
|
14,513,547.52
|
7.950
|
0.520
|
360
|
358
|
358
|
6.357
|
22
|
6
|
6.499
|
13.950
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
60
|
7,434,401.35
|
8.350
|
0.520
|
360
|
358
|
358
|
6.294
|
22
|
6
|
6.477
|
14.350
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
60
|
887,500.00
|
8.851
|
0.520
|
360
|
357
|
357
|
6.124
|
21
|
6
|
6.124
|
14.851
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
60
|
11,622,588.20
|
7.492
|
0.520
|
360
|
358
|
358
|
5.902
|
34
|
6
|
5.966
|
13.492
|
3.000
|
1.000
|
Group
|
Type
|
Index
Name
|
Original
Interest Only Period (Months)
|
Cut-off
Date Principal Balance ($)
|
Cut-off
Date Gross Mortgage Rate (%)
|
Expense
Fee Rate (%)
|
Original
Amortization Term* (Months)
|
Remaining
Amortization Term* (Months)
|
Stated
Remaining Term (Months)
|
Gross
Margin (%)
|
Next
Rate Adjustment Date (Months)
|
Rate
Adjustment Frequency (Months)
|
Gross
Life Floor (%)
|
Gross
Life Cap (%)
|
Initial
Periodic Rate Cap (%)
|
Next
Periodic Rate Cap (%)
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
60
|
9,604,542.96
|
7.669
|
0.520
|
360
|
357
|
357
|
6.494
|
33
|
6
|
6.967
|
13.687
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
60
|
737,500.00
|
7.900
|
0.520
|
360
|
355
|
355
|
6.458
|
19
|
6
|
7.237
|
13.900
|
2.221
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
60
|
1,401,271.97
|
7.684
|
0.520
|
360
|
358
|
358
|
6.366
|
22
|
6
|
6.366
|
13.684
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
60
|
663,850.00
|
7.856
|
0.520
|
360
|
357
|
357
|
6.480
|
21
|
6
|
6.896
|
13.856
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
60
|
462,939.15
|
10.718
|
0.520
|
360
|
358
|
358
|
6.934
|
22
|
6
|
6.934
|
16.718
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
60
|
593,049.00
|
7.714
|
0.520
|
360
|
359
|
359
|
6.160
|
59
|
6
|
6.160
|
13.714
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
60
|
514,213.00
|
6.723
|
0.520
|
360
|
358
|
358
|
6.033
|
34
|
6
|
6.723
|
12.723
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
60
|
1,632,418.90
|
8.151
|
0.520
|
360
|
357
|
357
|
6.357
|
33
|
6
|
6.357
|
14.151
|
3.000
|
1.000
|
||||||||||||||||
2
|
ARM
|
6MonthLIBOR
|
60
|
992,750.00
|
9.197
|
0.520
|
360
|
357
|
357
|
4.500
|
21
|
6
|
4.500
|
15.197
|
3.000
|
1.000
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
194,370.15
|
11.487
|
0.520
|
351
|
345
|
174
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
1,975,190.42
|
12.028
|
0.520
|
358
|
356
|
238
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
420,953.24
|
11.702
|
0.520
|
360
|
358
|
238
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
1,540,654.16
|
12.016
|
0.520
|
359
|
357
|
238
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
132,686.89
|
12.523
|
0.520
|
360
|
353
|
173
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
69,956.49
|
11.650
|
0.520
|
360
|
358
|
238
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
515,271.39
|
8.811
|
0.520
|
475
|
472
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
83,968.98
|
9.500
|
0.520
|
480
|
478
|
358
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
301,030.16
|
9.967
|
0.520
|
480
|
476
|
356
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
106,348.64
|
8.600
|
0.520
|
480
|
478
|
358
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
138,470.19
|
11.650
|
0.520
|
360
|
357
|
237
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
1,529,361.37
|
8.514
|
0.520
|
600
|
597
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
2,317,388.29
|
7.916
|
0.520
|
598
|
596
|
358
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
430,074.50
|
11.213
|
0.520
|
360
|
357
|
237
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
41,260.18
|
11.990
|
0.520
|
359
|
355
|
236
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
99,975.95
|
12.948
|
0.520
|
360
|
359
|
239
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
762,206.38
|
11.607
|
0.520
|
360
|
357
|
237
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
50,359.11
|
12.300
|
0.520
|
360
|
357
|
237
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
59,150.02
|
10.240
|
0.520
|
360
|
358
|
178
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
91,760.66
|
8.450
|
0.520
|
600
|
596
|
356
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
115,210.01
|
6.750
|
0.520
|
600
|
597
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
1,196,927.19
|
7.372
|
0.520
|
480
|
477
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
436,407.87
|
7.621
|
0.520
|
480
|
478
|
358
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
311,863.58
|
8.400
|
0.520
|
600
|
596
|
356
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
530,029.33
|
12.083
|
0.520
|
359
|
350
|
350
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
32,325.54
|
12.700
|
0.520
|
360
|
351
|
351
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
6,971,439.49
|
7.977
|
0.520
|
360
|
357
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
115,372.59
|
9.176
|
0.520
|
300
|
294
|
294
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
10,920,532.58
|
7.884
|
0.520
|
359
|
357
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
780,601.71
|
8.511
|
0.520
|
480
|
476
|
476
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
Group
|
Type
|
Index
Name
|
Original
Interest Only Period (Months)
|
Cut-off
Date Principal Balance ($)
|
Cut-off
Date Gross Mortgage Rate (%)
|
Expense
Fee Rate (%)
|
Original
Amortization Term* (Months)
|
Remaining
Amortization Term* (Months)
|
Stated
Remaining Term (Months)
|
Gross
Margin (%)
|
Next
Rate Adjustment Date (Months)
|
Rate
Adjustment Frequency (Months)
|
Gross
Life Floor (%)
|
Gross
Life Cap (%)
|
Initial
Periodic Rate Cap (%)
|
Next
Periodic Rate Cap (%)
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
65,854.80
|
12.900
|
0.520
|
360
|
351
|
351
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
39,016.50
|
11.838
|
0.520
|
240
|
219
|
219
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
3,823,690.71
|
7.706
|
0.520
|
360
|
357
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
242,036.74
|
8.553
|
0.520
|
480
|
477
|
477
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
597,151.97
|
8.705
|
0.520
|
360
|
358
|
358
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
87,708.91
|
7.000
|
0.520
|
360
|
356
|
356
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
2,356,910.12
|
7.454
|
0.520
|
360
|
357
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
2,773,905.07
|
8.694
|
0.520
|
360
|
358
|
358
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
688,881.82
|
6.996
|
0.520
|
300
|
297
|
297
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
2,522,271.53
|
7.866
|
0.520
|
480
|
477
|
477
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
429,774.71
|
6.835
|
0.520
|
300
|
297
|
297
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
6,340,063.37
|
7.755
|
0.520
|
478
|
475
|
475
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
422,320.29
|
8.950
|
0.520
|
360
|
354
|
354
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
769,616.78
|
7.350
|
0.520
|
360
|
356
|
356
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
571,626.66
|
8.160
|
0.520
|
359
|
357
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
50,690.07
|
11.199
|
0.520
|
360
|
350
|
350
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
161,807.69
|
11.895
|
0.520
|
360
|
357
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
366,699.49
|
7.136
|
0.520
|
180
|
177
|
177
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
51,961.51
|
8.550
|
0.520
|
298
|
294
|
294
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
53,811.14
|
11.000
|
0.520
|
240
|
237
|
237
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
65,826.91
|
7.450
|
0.520
|
120
|
119
|
119
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
425,355.19
|
8.394
|
0.520
|
180
|
178
|
178
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
89,639.99
|
7.350
|
0.520
|
120
|
117
|
117
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
101,391.12
|
6.750
|
0.520
|
240
|
237
|
237
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
345,274.86
|
6.750
|
0.520
|
240
|
239
|
239
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
503,433.14
|
8.202
|
0.520
|
360
|
358
|
358
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
154,886.88
|
7.290
|
0.520
|
480
|
478
|
478
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
164,900.75
|
9.000
|
0.520
|
360
|
356
|
356
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
180,072.76
|
8.450
|
0.520
|
360
|
359
|
359
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
299,754.17
|
6.750
|
0.520
|
480
|
478
|
478
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
0
|
319,255.48
|
8.750
|
0.520
|
360
|
356
|
356
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
60
|
81,600.00
|
7.800
|
0.520
|
360
|
358
|
358
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
60
|
104,650.00
|
6.999
|
0.520
|
240
|
237
|
237
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
60
|
2,686,576.20
|
7.292
|
0.520
|
360
|
357
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
60
|
2,665,192.82
|
7.636
|
0.520
|
360
|
357
|
357
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
||||||||||||||||
2
|
FRM
|
N/A
|
60
|
667,000.00
|
6.923
|
0.520
|
360
|
358
|
358
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
Scenario
I
|
Scenario
II
|
Scenario
III
|
Scenario
IV
|
Scenario
V
|
||||||||||||
Fixed
Rate Prepayment Assumption:
|
0
|
%
|
75
|
%
|
100
|
%
|
125
|
%
|
150
|
%
|
||||||
Adjustable
Rate Prepayment Assumption:
|
0
|
%
|
75
|
%
|
100
|
%
|
125
|
%
|
150
|
%
|
Class
A-1
|
||||||||||||||||
I
|
II
|
III
|
IV
|
V
|
||||||||||||
Initial
Percentage
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
||||||
February
2008
|
100
|
75
|
66
|
58
|
50
|
|||||||||||
February
2009
|
99
|
53
|
39
|
27
|
16
|
|||||||||||
February
2010
|
99
|
35
|
20
|
7
|
0
|
|||||||||||
February
2011
|
98
|
27
|
20
|
7
|
0
|
|||||||||||
February
2012
|
98
|
22
|
14
|
7
|
0
|
|||||||||||
February
2013
|
97
|
17
|
11
|
6
|
0
|
|||||||||||
February
2014
|
96
|
14
|
8
|
4
|
0
|
|||||||||||
February
2015
|
95
|
11
|
6
|
3
|
0
|
|||||||||||
February
2016
|
94
|
9
|
4
|
2
|
0
|
|||||||||||
February
2017
|
93
|
7
|
3
|
1
|
0
|
|||||||||||
February
2018
|
91
|
6
|
2
|
1
|
0
|
|||||||||||
February
2019
|
90
|
4
|
2
|
1
|
0
|
|||||||||||
February
2020
|
88
|
4
|
1
|
0
|
0
|
|||||||||||
February
2021
|
86
|
3
|
1
|
0
|
0
|
|||||||||||
February
2022
|
84
|
2
|
1
|
0
|
0
|
|||||||||||
February
2023
|
82
|
2
|
0
|
0
|
0
|
|||||||||||
February
2024
|
79
|
1
|
0
|
0
|
0
|
|||||||||||
February
2025
|
77
|
1
|
0
|
0
|
0
|
|||||||||||
February
2026
|
74
|
1
|
0
|
0
|
0
|
|||||||||||
February
2027
|
69
|
1
|
0
|
0
|
0
|
|||||||||||
February
2028
|
65
|
0
|
0
|
0
|
0
|
|||||||||||
February
2029
|
61
|
0
|
0
|
0
|
0
|
|||||||||||
February
2030
|
57
|
0
|
0
|
0
|
0
|
|||||||||||
February
2031
|
52
|
0
|
0
|
0
|
0
|
|||||||||||
February
2032
|
46
|
0
|
0
|
0
|
0
|
|||||||||||
February
2033
|
40
|
0
|
0
|
0
|
0
|
|||||||||||
February
2034
|
33
|
0
|
0
|
0
|
0
|
|||||||||||
February
2035
|
29
|
0
|
0
|
0
|
0
|
|||||||||||
February
2036
|
25
|
0
|
0
|
0
|
0
|
|||||||||||
February
2037
|
0
|
0
|
0
|
0
|
0
|
|||||||||||
Weighted
Average Life(1)
to:
|
||||||||||||||||
Maturity
(Yrs.)
|
22.51
|
3.45
|
2.47
|
1.73
|
1.12
|
|||||||||||
Optional
Termination
(Yrs.)
|
22.51
|
3.16
|
2.26
|
1.56
|
1.12
|
Class
A-2a
|
||||||||||||||||
I
|
II
|
III
|
IV
|
V
|
||||||||||||
Initial
Percentage
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
||||||
February
2008
|
99
|
52
|
37
|
21
|
5
|
|||||||||||
February
2009
|
98
|
11
|
0
|
0
|
0
|
|||||||||||
February
2010
|
97
|
0
|
0
|
0
|
0
|
|||||||||||
February
2011
|
96
|
0
|
0
|
0
|
0
|
|||||||||||
February
2012
|
95
|
0
|
0
|
0
|
0
|
|||||||||||
February
2013
|
93
|
0
|
0
|
0
|
0
|
|||||||||||
February
2014
|
92
|
0
|
0
|
0
|
0
|
|||||||||||
February
2015
|
90
|
0
|
0
|
0
|
0
|
|||||||||||
February
2016
|
88
|
0
|
0
|
0
|
0
|
|||||||||||
February
2017
|
86
|
0
|
0
|
0
|
0
|
|||||||||||
February
2018
|
84
|
0
|
0
|
0
|
0
|
|||||||||||
February
2019
|
81
|
0
|
0
|
0
|
0
|
|||||||||||
February
2020
|
78
|
0
|
0
|
0
|
0
|
|||||||||||
February
2021
|
75
|
0
|
0
|
0
|
0
|
|||||||||||
February
2022
|
71
|
0
|
0
|
0
|
0
|
|||||||||||
February
2023
|
67
|
0
|
0
|
0
|
0
|
|||||||||||
February
2024
|
63
|
0
|
0
|
0
|
0
|
|||||||||||
February
2025
|
58
|
0
|
0
|
0
|
0
|
|||||||||||
February
2026
|
52
|
0
|
0
|
0
|
0
|
|||||||||||
February
2027
|
43
|
0
|
0
|
0
|
0
|
|||||||||||
February
2028
|
37
|
0
|
0
|
0
|
0
|
|||||||||||
February
2029
|
29
|
0
|
0
|
0
|
0
|
|||||||||||
February
2030
|
21
|
0
|
0
|
0
|
0
|
|||||||||||
February
2031
|
12
|
0
|
0
|
0
|
0
|
|||||||||||
February
2032
|
2
|
0
|
0
|
0
|
0
|
|||||||||||
February
2033
|
0
|
0
|
0
|
0
|
0
|
|||||||||||
February
2034
|
0
|
0
|
0
|
0
|
0
|
|||||||||||
February
2035
|
0
|
0
|
0
|
0
|
0
|
|||||||||||
February
2036
|
0
|
0
|
0
|
0
|
0
|
|||||||||||
February
2037
|
0
|
0
|
0
|
0
|
0
|
|||||||||||
Weighted
Average Life(1)
to:
|
||||||||||||||||
Maturity
(Yrs.)
|
17.58
|
1.09
|
0.80
|
0.63
|
0.51
|
|||||||||||
Optional
Termination
(Yrs.)
|
17.58
|
1.09
|
0.80
|
0.63
|
0.51
|
Class
A-2b
|
||||||||||||||||
I
|
II
|
III
|
IV
|
V
|
||||||||||||
Initial
Percentage
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
||||||
February
2008
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2009
|
100
|
100
|
49
|
0
|
0
|
|||||||||||
February
2010
|
100
|
19
|
0
|
0
|
0
|
|||||||||||
February
2011
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2012
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2013
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2014
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2015
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2016
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2017
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2018
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2019
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2020
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2021
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2022
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2023
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2024
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2025
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2026
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2027
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2028
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2029
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2030
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2031
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2032
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2033
|
65
|
0
|
0
|
0
|
0
|
|||||||||||
February
2034
|
16
|
0
|
0
|
0
|
0
|
|||||||||||
February
2035
|
0
|
0
|
0
|
0
|
0
|
|||||||||||
February
2036
|
0
|
0
|
0
|
0
|
0
|
|||||||||||
February
2037
|
0
|
0
|
0
|
0
|
0
|
|||||||||||
Weighted
Average
Life(1)
to:
|
||||||||||||||||
Maturity
(Yrs.)
|
26.32
|
2.75
|
2.00
|
1.56
|
1.26
|
|||||||||||
Optional
Termination (Yrs.)
|
26.32
|
2.75
|
2.00
|
1.56
|
1.26
|
Class
A-2c
|
||||||||||||||||
I
|
II
|
III
|
IV
|
V
|
||||||||||||
Initial
Percentage
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
||||||
February
2008
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2009
|
100
|
100
|
100
|
75
|
23
|
|||||||||||
February
2010
|
100
|
100
|
40
|
0
|
0
|
|||||||||||
February
2011
|
100
|
76
|
39
|
0
|
0
|
|||||||||||
February
2012
|
100
|
50
|
14
|
0
|
0
|
|||||||||||
February
2013
|
100
|
29
|
0
|
0
|
0
|
|||||||||||
February
2014
|
100
|
13
|
0
|
0
|
0
|
|||||||||||
February
2015
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2016
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2017
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2018
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2019
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2020
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2021
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2022
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2023
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2024
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2025
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2026
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2027
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2028
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2029
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2030
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2031
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2032
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2033
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2034
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2035
|
92
|
0
|
0
|
0
|
0
|
|||||||||||
February
2036
|
72
|
0
|
0
|
0
|
0
|
|||||||||||
February
2037
|
0
|
0
|
0
|
0
|
0
|
|||||||||||
Weighted
Average
Life(1)
to:
|
||||||||||||||||
Maturity
(Yrs.)
|
29.31
|
5.20
|
3.50
|
2.24
|
1.80
|
|||||||||||
Optional
Termination (Yrs.)
|
29.31
|
5.20
|
3.50
|
2.24
|
1.80
|
Class
A-2d
|
||||||||||||||||
I
|
II
|
III
|
IV
|
V
|
||||||||||||
Initial
Percentage
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
||||||
February
2008
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2009
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2010
|
100
|
100
|
100
|
59
|
0
|
|||||||||||
February
2011
|
100
|
100
|
100
|
59
|
0
|
|||||||||||
February
2012
|
100
|
100
|
100
|
59
|
0
|
|||||||||||
February
2013
|
100
|
100
|
93
|
52
|
0
|
|||||||||||
February
2014
|
100
|
100
|
67
|
34
|
0
|
|||||||||||
February
2015
|
100
|
99
|
49
|
22
|
0
|
|||||||||||
February
2016
|
100
|
78
|
35
|
14
|
0
|
|||||||||||
February
2017
|
100
|
61
|
25
|
8
|
0
|
|||||||||||
February
2018
|
100
|
48
|
18
|
5
|
0
|
|||||||||||
February
2019
|
100
|
38
|
12
|
1
|
0
|
|||||||||||
February
2020
|
100
|
30
|
9
|
0
|
0
|
|||||||||||
February
2021
|
100
|
23
|
6
|
0
|
0
|
|||||||||||
February
2022
|
100
|
18
|
3
|
0
|
0
|
|||||||||||
February
2023
|
100
|
14
|
0
|
0
|
0
|
|||||||||||
February
2024
|
100
|
10
|
0
|
0
|
0
|
|||||||||||
February
2025
|
100
|
8
|
0
|
0
|
0
|
|||||||||||
February
2026
|
100
|
6
|
0
|
0
|
0
|
|||||||||||
February
2027
|
100
|
3
|
0
|
0
|
0
|
|||||||||||
February
2028
|
100
|
1
|
0
|
0
|
0
|
|||||||||||
February
2029
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2030
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2031
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2032
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2033
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2034
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2035
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2036
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2037
|
0
|
0
|
0
|
0
|
0
|
|||||||||||
Weighted
Average Life(1)
to:
|
||||||||||||||||
Maturity
(Yrs.)
|
29.81
|
11.86
|
8.68
|
5.80
|
2.47
|
|||||||||||
Optional
Termination
(Yrs.)
|
29.80
|
9.61
|
7.04
|
4.56
|
2.47
|
Class
M-1
|
||||||||||||||||
I
|
II
|
III
|
IV
|
V
|
||||||||||||
Initial
Percentage
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
||||||
February
2008
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2009
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2010
|
100
|
100
|
100
|
100
|
78
|
|||||||||||
February
2011
|
100
|
81
|
58
|
100
|
78
|
|||||||||||
February
2012
|
100
|
65
|
42
|
66
|
78
|
|||||||||||
February
2013
|
100
|
51
|
31
|
18
|
67
|
|||||||||||
February
2014
|
100
|
41
|
22
|
12
|
41
|
|||||||||||
February
2015
|
100
|
32
|
16
|
8
|
25
|
|||||||||||
February
2016
|
100
|
26
|
12
|
5
|
13
|
|||||||||||
February
2017
|
100
|
20
|
9
|
3
|
3
|
|||||||||||
February
2018
|
100
|
16
|
6
|
2
|
0
|
|||||||||||
February
2019
|
100
|
13
|
5
|
0
|
0
|
|||||||||||
February
2020
|
100
|
10
|
3
|
0
|
0
|
|||||||||||
February
2021
|
100
|
8
|
2
|
0
|
0
|
|||||||||||
February
2022
|
100
|
6
|
0
|
0
|
0
|
|||||||||||
February
2023
|
100
|
5
|
0
|
0
|
0
|
|||||||||||
February
2024
|
100
|
4
|
0
|
0
|
0
|
|||||||||||
February
2025
|
100
|
3
|
0
|
0
|
0
|
|||||||||||
February
2026
|
100
|
2
|
0
|
0
|
0
|
|||||||||||
February
2027
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2028
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2029
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2030
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2031
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2032
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2033
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2034
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2035
|
89
|
0
|
0
|
0
|
0
|
|||||||||||
February
2036
|
76
|
0
|
0
|
0
|
0
|
|||||||||||
February
2037
|
0
|
0
|
0
|
0
|
0
|
|||||||||||
Weighted
Average
Life(1)
to:
|
||||||||||||||||
Maturity
(Yrs.)
|
29.34
|
7.32
|
5.69
|
5.66
|
6.41
|
|||||||||||
Optional
Termination
(Yrs.)
|
29.34
|
6.57
|
5.13
|
5.23
|
4.17
|
Class
M-2
|
||||||||||||||||
I
|
II
|
III
|
IV
|
V
|
||||||||||||
Initial
Percentage
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
||||||
February
2008
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2009
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2010
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2011
|
100
|
81
|
58
|
98
|
100
|
|||||||||||
February
2012
|
100
|
65
|
42
|
26
|
49
|
|||||||||||
February
2013
|
100
|
51
|
31
|
18
|
10
|
|||||||||||
February
2014
|
100
|
41
|
22
|
12
|
6
|
|||||||||||
February
2015
|
100
|
32
|
16
|
8
|
3
|
|||||||||||
February
2016
|
100
|
26
|
12
|
5
|
0
|
|||||||||||
February
2017
|
100
|
20
|
9
|
3
|
0
|
|||||||||||
February
2018
|
100
|
16
|
6
|
0
|
0
|
|||||||||||
February
2019
|
100
|
13
|
5
|
0
|
0
|
|||||||||||
February
2020
|
100
|
10
|
3
|
0
|
0
|
|||||||||||
February
2021
|
100
|
8
|
0
|
0
|
0
|
|||||||||||
February
2022
|
100
|
6
|
0
|
0
|
0
|
|||||||||||
February
2023
|
100
|
5
|
0
|
0
|
0
|
|||||||||||
February
2024
|
100
|
4
|
0
|
0
|
0
|
|||||||||||
February
2025
|
100
|
3
|
0
|
0
|
0
|
|||||||||||
February
2026
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2027
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2028
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2029
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2030
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2031
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2032
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2033
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2034
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2035
|
89
|
0
|
0
|
0
|
0
|
|||||||||||
February
2036
|
76
|
0
|
0
|
0
|
0
|
|||||||||||
February
2037
|
0
|
0
|
0
|
0
|
0
|
|||||||||||
Weighted
Average
Life(1)
to:
|
||||||||||||||||
Maturity
(Yrs.)
|
29.34
|
7.30
|
5.57
|
5.08
|
5.20
|
|||||||||||
Optional
Termination (Yrs.)
|
29.34
|
6.57
|
5.03
|
4.66
|
4.53
|
Class
M-3
|
||||||||||||||||
I
|
II
|
III
|
IV
|
V
|
||||||||||||
Initial
Percentage
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
||||||
February
2008
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2009
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2010
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2011
|
100
|
81
|
58
|
40
|
88
|
|||||||||||
February
2012
|
100
|
65
|
42
|
26
|
16
|
|||||||||||
February
2013
|
100
|
51
|
31
|
18
|
10
|
|||||||||||
February
2014
|
100
|
41
|
22
|
12
|
6
|
|||||||||||
February
2015
|
100
|
32
|
16
|
8
|
3
|
|||||||||||
February
2016
|
100
|
26
|
12
|
5
|
0
|
|||||||||||
February
2017
|
100
|
20
|
9
|
3
|
0
|
|||||||||||
February
2018
|
100
|
16
|
6
|
0
|
0
|
|||||||||||
February
2019
|
100
|
13
|
5
|
0
|
0
|
|||||||||||
February
2020
|
100
|
10
|
2
|
0
|
0
|
|||||||||||
February
2021
|
100
|
8
|
0
|
0
|
0
|
|||||||||||
February
2022
|
100
|
6
|
0
|
0
|
0
|
|||||||||||
February
2023
|
100
|
5
|
0
|
0
|
0
|
|||||||||||
February
2024
|
100
|
4
|
0
|
0
|
0
|
|||||||||||
February
2025
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2026
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2027
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2028
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2029
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2030
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2031
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2032
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2033
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2034
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2035
|
89
|
0
|
0
|
0
|
0
|
|||||||||||
February
2036
|
76
|
0
|
0
|
0
|
0
|
|||||||||||
February
2037
|
0
|
0
|
0
|
0
|
0
|
|||||||||||
Weighted
Average
Life(1)
to:
|
||||||||||||||||
Maturity
(Yrs.)
|
29.34
|
7.28
|
5.51
|
4.83
|
4.56
|
|||||||||||
Optional
Termination (Yrs.)
|
29.34
|
6.57
|
4.99
|
4.42
|
4.23
|
Class
M-4
|
||||||||||||||||
I
|
II
|
III
|
IV
|
V
|
||||||||||||
Initial
Percentage
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
||||||
February
2008
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2009
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2010
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2011
|
100
|
81
|
58
|
40
|
26
|
|||||||||||
February
2012
|
100
|
65
|
42
|
26
|
16
|
|||||||||||
February
2013
|
100
|
51
|
31
|
18
|
10
|
|||||||||||
February
2014
|
100
|
41
|
22
|
12
|
6
|
|||||||||||
February
2015
|
100
|
32
|
16
|
8
|
0
|
|||||||||||
February
2016
|
100
|
26
|
12
|
5
|
0
|
|||||||||||
February
2017
|
100
|
20
|
9
|
0
|
0
|
|||||||||||
February
2018
|
100
|
16
|
6
|
0
|
0
|
|||||||||||
February
2019
|
100
|
13
|
5
|
0
|
0
|
|||||||||||
February
2020
|
100
|
10
|
0
|
0
|
0
|
|||||||||||
February
2021
|
100
|
8
|
0
|
0
|
0
|
|||||||||||
February
2022
|
100
|
6
|
0
|
0
|
0
|
|||||||||||
February
2023
|
100
|
5
|
0
|
0
|
0
|
|||||||||||
February
2024
|
100
|
2
|
0
|
0
|
0
|
|||||||||||
February
2025
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2026
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2027
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2028
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2029
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2030
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2031
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2032
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2033
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2034
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2035
|
89
|
0
|
0
|
0
|
0
|
|||||||||||
February
2036
|
76
|
0
|
0
|
0
|
0
|
|||||||||||
February
2037
|
0
|
0
|
0
|
0
|
0
|
|||||||||||
Weighted
Average Life(1)
to:
|
||||||||||||||||
Maturity
(Yrs.)
|
29.34
|
7.26
|
5.47
|
4.71
|
4.32
|
|||||||||||
Optional
Termination
(Yrs.)
|
29.34
|
6.57
|
4.96
|
4.32
|
4.00
|
Class
M-5
|
||||||||||||||||
I
|
II
|
III
|
IV
|
V
|
||||||||||||
Initial
Percentage
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
||||||
February
2008
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2009
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2010
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2011
|
100
|
81
|
58
|
40
|
26
|
|||||||||||
February
2012
|
100
|
65
|
42
|
26
|
16
|
|||||||||||
February
2013
|
100
|
51
|
31
|
18
|
10
|
|||||||||||
February
2014
|
100
|
41
|
22
|
12
|
6
|
|||||||||||
February
2015
|
100
|
32
|
16
|
8
|
0
|
|||||||||||
February
2016
|
100
|
26
|
12
|
5
|
0
|
|||||||||||
February
2017
|
100
|
20
|
9
|
0
|
0
|
|||||||||||
February
2018
|
100
|
16
|
6
|
0
|
0
|
|||||||||||
February
2019
|
100
|
13
|
4
|
0
|
0
|
|||||||||||
February
2020
|
100
|
10
|
0
|
0
|
0
|
|||||||||||
February
2021
|
100
|
8
|
0
|
0
|
0
|
|||||||||||
February
2022
|
100
|
6
|
0
|
0
|
0
|
|||||||||||
February
2023
|
100
|
5
|
0
|
0
|
0
|
|||||||||||
February
2024
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2025
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2026
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2027
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2028
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2029
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2030
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2031
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2032
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2033
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2034
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2035
|
89
|
0
|
0
|
0
|
0
|
|||||||||||
February
2036
|
76
|
0
|
0
|
0
|
0
|
|||||||||||
February
2037
|
0
|
0
|
0
|
0
|
0
|
|||||||||||
Weighted
Average Life(1)
to:
|
||||||||||||||||
Maturity
(Yrs.)
|
29.34
|
7.23
|
5.44
|
4.62
|
4.16
|
|||||||||||
Optional
Termination
(Yrs.)
|
29.34
|
6.57
|
4.95
|
4.24
|
3.85
|
Class
M-6
|
||||||||||||||||
I
|
II
|
III
|
IV
|
V
|
||||||||||||
Initial
Percentage
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
||||||
February
2008
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2009
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2010
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2011
|
100
|
81
|
58
|
40
|
26
|
|||||||||||
February
2012
|
100
|
65
|
42
|
26
|
16
|
|||||||||||
February
2013
|
100
|
51
|
31
|
18
|
10
|
|||||||||||
February
2014
|
100
|
41
|
22
|
12
|
6
|
|||||||||||
February
2015
|
100
|
32
|
16
|
8
|
0
|
|||||||||||
February
2016
|
100
|
26
|
12
|
3
|
0
|
|||||||||||
February
2017
|
100
|
20
|
9
|
0
|
0
|
|||||||||||
February
2018
|
100
|
16
|
6
|
0
|
0
|
|||||||||||
February
2019
|
100
|
13
|
0
|
0
|
0
|
|||||||||||
February
2020
|
100
|
10
|
0
|
0
|
0
|
|||||||||||
February
2021
|
100
|
8
|
0
|
0
|
0
|
|||||||||||
February
2022
|
100
|
6
|
0
|
0
|
0
|
|||||||||||
February
2023
|
100
|
1
|
0
|
0
|
0
|
|||||||||||
February
2024
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2025
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2026
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2027
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2028
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2029
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2030
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2031
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2032
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2033
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2034
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2035
|
89
|
0
|
0
|
0
|
0
|
|||||||||||
February
2036
|
76
|
0
|
0
|
0
|
0
|
|||||||||||
February
2037
|
0
|
0
|
0
|
0
|
0
|
|||||||||||
Weighted
Average
Life(1)
to:
|
||||||||||||||||
Maturity
(Yrs.)
|
29.34
|
7.20
|
5.39
|
4.54
|
4.02
|
|||||||||||
Optional
Termination (Yrs.)
|
29.34
|
6.57
|
4.93
|
4.18
|
3.73
|
Class
B-1
|
||||||||||||||||
I
|
II
|
III
|
IV
|
V
|
||||||||||||
Initial
Percentage
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
||||||
February
2008
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2009
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2010
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2011
|
100
|
81
|
58
|
40
|
26
|
|||||||||||
February
2012
|
100
|
65
|
42
|
26
|
16
|
|||||||||||
February
2013
|
100
|
51
|
31
|
18
|
10
|
|||||||||||
February
2014
|
100
|
41
|
22
|
12
|
1
|
|||||||||||
February
2015
|
100
|
32
|
16
|
8
|
0
|
|||||||||||
February
2016
|
100
|
26
|
12
|
0
|
0
|
|||||||||||
February
2017
|
100
|
20
|
9
|
0
|
0
|
|||||||||||
February
2018
|
100
|
16
|
4
|
0
|
0
|
|||||||||||
February
2019
|
100
|
13
|
0
|
0
|
0
|
|||||||||||
February
2020
|
100
|
10
|
0
|
0
|
0
|
|||||||||||
February
2021
|
100
|
8
|
0
|
0
|
0
|
|||||||||||
February
2022
|
100
|
3
|
0
|
0
|
0
|
|||||||||||
February
2023
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2024
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2025
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2026
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2027
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2028
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2029
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2030
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2031
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2032
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2033
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2034
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2035
|
89
|
0
|
0
|
0
|
0
|
|||||||||||
February
2036
|
76
|
0
|
0
|
0
|
0
|
|||||||||||
February
2037
|
0
|
0
|
0
|
0
|
0
|
|||||||||||
Weighted
Average
Life(1)
to:
|
||||||||||||||||
Maturity
(Yrs.)
|
29.34
|
7.16
|
5.35
|
4.47
|
3.92
|
|||||||||||
Optional
Termination (Yrs.)
|
29.34
|
6.57
|
4.92
|
4.14
|
3.65
|
(1) |
The
weighted average life is determined by (i) multiplying the amount
of each
principal payment by the number of years from the date of issuance
to the
related Distribution Date, (ii) adding the results and (iii) dividing
the
sum by the initial class principal balance for the applicable
class.
|
Class
B-2
|
||||||||||||||||
I
|
II
|
III
|
IV
|
V
|
||||||||||||
Initial
Percentage
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
||||||
February
2008
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2009
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2010
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2011
|
100
|
81
|
58
|
40
|
26
|
|||||||||||
February
2012
|
100
|
65
|
42
|
26
|
16
|
|||||||||||
February
2013
|
100
|
51
|
31
|
18
|
10
|
|||||||||||
February
2014
|
100
|
41
|
22
|
12
|
0
|
|||||||||||
February
2015
|
100
|
32
|
16
|
5
|
0
|
|||||||||||
February
2016
|
100
|
26
|
12
|
0
|
0
|
|||||||||||
February
2017
|
100
|
20
|
9
|
0
|
0
|
|||||||||||
February
2018
|
100
|
16
|
0
|
0
|
0
|
|||||||||||
February
2019
|
100
|
13
|
0
|
0
|
0
|
|||||||||||
February
2020
|
100
|
10
|
0
|
0
|
0
|
|||||||||||
February
2021
|
100
|
6
|
0
|
0
|
0
|
|||||||||||
February
2022
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2023
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2024
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2025
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2026
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2027
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2028
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2029
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2030
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2031
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2032
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2033
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2034
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2035
|
89
|
0
|
0
|
0
|
0
|
|||||||||||
February
2036
|
76
|
0
|
0
|
0
|
0
|
|||||||||||
February
2037
|
0
|
0
|
0
|
0
|
0
|
|||||||||||
Weighted
Average Life(1)
to:
|
||||||||||||||||
Maturity
(Yrs.)
|
29.34
|
7.10
|
5.30
|
4.40
|
3.83
|
|||||||||||
Optional
Termination
(Yrs.)
|
29.34
|
6.57
|
4.91
|
4.10
|
3.59
|
Class
B-3
|
||||||||||||||||
I
|
II
|
III
|
IV
|
V
|
||||||||||||
Initial
Percentage
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
100
|
%
|
||||||
February
2008
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2009
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2010
|
100
|
100
|
100
|
100
|
100
|
|||||||||||
February
2011
|
100
|
81
|
58
|
40
|
26
|
|||||||||||
February
2012
|
100
|
65
|
42
|
26
|
16
|
|||||||||||
February
2013
|
100
|
51
|
31
|
18
|
5
|
|||||||||||
February
2014
|
100
|
41
|
22
|
12
|
0
|
|||||||||||
February
2015
|
100
|
32
|
16
|
0
|
0
|
|||||||||||
February
2016
|
100
|
26
|
12
|
0
|
0
|
|||||||||||
February
2017
|
100
|
20
|
1
|
0
|
0
|
|||||||||||
February
2018
|
100
|
16
|
0
|
0
|
0
|
|||||||||||
February
2019
|
100
|
13
|
0
|
0
|
0
|
|||||||||||
February
2020
|
100
|
8
|
0
|
0
|
0
|
|||||||||||
February
2021
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2022
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2023
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2024
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2025
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2026
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2027
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2028
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2029
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2030
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2031
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2032
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2033
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2034
|
100
|
0
|
0
|
0
|
0
|
|||||||||||
February
2035
|
89
|
0
|
0
|
0
|
0
|
|||||||||||
February
2036
|
76
|
0
|
0
|
0
|
0
|
|||||||||||
February
2037
|
0
|
0
|
0
|
0
|
0
|
|||||||||||
Weighted
Average Life(1)
to:
|
||||||||||||||||
Maturity
(Yrs.)
|
29.34
|
7.02
|
5.24
|
4.33
|
3.75
|
|||||||||||
Optional
Termination
(Yrs.)
|
29.34
|
6.57
|
4.91
|
4.08
|
3.54
|
(1) |
The
weighted average life is determined by (i) multiplying the amount
of each
principal payment by the number of years from the date of issuance
to the
related Distribution Date, (ii) adding the results and (iii) dividing
the
sum by the initial class principal balance for the applicable
class.
|
(b) |
the
Class M-2 Certificates, which are subordinate to the Senior Certificates
and the Class M-1 Certificates,
|
(c) |
the
Class M-3 Certificates, which are subordinate to the Senior Certificates,
the Class M-1 and Class M-2 Certificates,
|
(d) |
the
Class M-4 Certificates, which are subordinate to the Senior Certificates,
the Class M-1, Class M-2 and Class M-3 Certificates,
|
(e) |
the
Class M-5 Certificates, which are subordinate to the Senior Certificates,
the Class M-1, Class M-2, Class M-3 and Class M-4 Certificates,
|
(f) |
the
Class M-6 Certificates, which are subordinate to the Senior Certificates,
the Class M-1, Class M-2, Class M-3, Class M-4 and Class M-5 Certificates,
|
(g) |
the
Class B-1 Certificates, which are subordinate to the Senior Certificates,
the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and Class
M-6
Certificates,
|
(h) |
the
Class B-2 Certificates, which are subordinate to the Senior Certificates,
the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class
M-6 and
Class B-1 Certificates,
|
(i) |
the
Class B-3 Certificates, which are subordinate to the Senior Certificates,
the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class
M-6,
Class B-1 and Class B-2 Certificates,
and
|
· |
The
Class A-2a, Class A-2b, Class A-2c and Class A-2d Certificates are
referred to as the “Group 2 Senior
Certificates.”
|
· |
The
Group 1 Senior Certificates and the Group 2 Senior Certificates are
together referred to as the “Senior
Certificates.”
|
· |
The
Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and Class M-6
Certificates are referred to as the “Class M
Certificates.”
|
· |
The
Class M-1, Class M-2 and Class M-3 Certificates are referred to as
the
“Class M Senior Certificates.”
|
· |
The
Class B-1, Class B-2 and Class B-3 Certificates are referred to as
the
“Class B Certificates.”
|
· |
The
Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6,
Class
B-1, Class B-2 and Class B-3 Certificates are referred to as the
“Subordinate Certificates.”
|
· |
The
Senior Certificates and the Subordinate Certificates are referred
to as
the “Offered Certificates.”
|
·
|
all
amounts previously distributed to holders of certificates of the
class as
payments of principal, and
|
·
|
with
respect to the Subordinate Certificates only, the amount of Realized
Losses on the mortgage loans allocated to the
class;
|
The
Subordinate Certificates
|
Beneficial
Interest
|
|||
Class
M-1
|
4.15
|
%
|
||
Class
M-2
|
4.25
|
%
|
||
Class
M-3
|
2.20
|
%
|
||
Class
M-4
|
1.95
|
%
|
||
Class
M-5
|
1.85
|
%
|
||
Class
M-6
|
1.65
|
%
|
||
Class
B-1
|
1.55
|
%
|
||
Class
B-2
|
1.35
|
%
|
||
Class
B-3
|
1.25
|
%
|
·
|
all
insurance proceeds, Subsequent Recoveries and liquidation proceeds,
other
than proceeds to be applied to the restoration or repair of a mortgaged
property or released to the mortgagor in accordance with the Servicer’s
normal servicing procedures;
|
·
|
any
amount required to be deposited by the Servicer pursuant to the Pooling
and Servicing Agreement in connection with any losses on permitted
investments for which it is
responsible;
|
·
|
any
amounts received by the Servicer with respect to primary mortgage
insurance and in respect of net monthly rental income from REO
Property;
|
· |
first,
to the Swap Account, the sum of (x) all Net Swap Payments and (y)
any Swap
Termination Payment owed to the Swap Counterparty, but not including
any
Defaulted Swap Termination Payment owed to the Swap Counterparty,
if
any;
|
· |
second,
concurrently, (1) from the remaining portion of the Interest Remittance
Amount related to the Group 1 Mortgage Loans, to the Class A-1
Certificates, their Senior Interest Distribution Amount for such
Distribution Date, and (2) from the remaining portion of the Interest
Remittance Amount related to the Group 2 Mortgage Loans, concurrently,
to
the Group 2 Senior Certificates, their respective Senior Interest
Distribution Amounts for such Distribution Date, pro rata based on
their
respective Senior Interest Distribution Amounts for such Distribution
Date;
|
· |
third,
concurrently, (1) from the remaining portion of the Interest Remittance
Amount related to the Group 1 Mortgage Loans, concurrently, to the
Group 2
Senior Certificates, their respective Senior Interest Distribution
Amounts
for such Distribution Date remaining unpaid after clause second above,
pro
rata based on their respective Senior Interest Distribution Amounts
for
such Distribution Date, and (2) from the remaining portion of the
Interest
Remittance Amount related to the Group 2 Mortgage Loans, to the Class
A-1
Certificates, their Senior Interest Distribution Amount for such
Distribution Date remaining unpaid after clause second
above;
|
· |
fourth,
sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4,
Class
M-5, Class M-6, Class B-1, Class B-2 and Class B-3 Certificates,
in that
order, their respective Subordinate Interest Distribution Amounts,
in each
case, to the extent of the Interest Remittance Amount remaining after
distributions of interest to the classes of certificates with a higher
payment priority; and
|
· |
fifth,
any remaining Interest Remittance Amount on any Distribution Date
will be
distributed as part of Net Monthly Excess Cashflow as described under
“—Net Monthly Excess Cashflow and Overcollateralization Provisions
on the
Certificates” below.
|
· |
first,
to the Swap Account, the sum of (x) all Net Swap Payments and (y)
any Swap
Termination Payment owed to the Swap Counterparty, but not including
any
Defaulted Swap Termination Payment owed to the Swap Counterparty,
if any,
remaining unpaid on that Distribution Date after distributions from
the
Interest Remittance Amount for that Distribution
Date;
|
· |
second,
to the holders of the Senior Certificates, as described under “—Allocation
of Principal Payments to Senior Certificates” below, until their
respective Class Principal Balances are reduced to zero;
|
· |
third,
sequentially, to the holders of the Class M-1, Class M-2, Class M-3,
Class
M-4, Class M-5, Class M-6, Class B-1, Class B-2 and Class B-3
Certificates, in that order, until their respective Class Principal
Balances are reduced to zero; and
|
· |
fourth,
any remaining Principal Distribution Amount on any Distribution Date
will
be distributed as part of Net Monthly Excess Cashflow as described
under
“—Net Monthly Excess Cashflow and Overcollateralization Provisions
on the
Certificates” below.
|
Party:
|
Responsibilities:
|
Party:
|
Responsibilities:
|
See
“The Agreements” in the prospectus.
|
||
Custodian
|
Performing
the custodial functions in accordance with the provisions of the
custody
agreement and the Pooling and Servicing Agreement, including but
not
limited to:
|
|
See
“The Pooling and Servicing Agreement — Custody of the Mortgage Files”
below.
|
Trust
Account:
|
Responsible
Party:
|
Application
of any Investment Earnings:
|
||
Collection
Account
|
Servicer
|
Any
investment earnings will be paid as compensation to the Servicer
and will
not be available for distribution to
certificateholders.
|
||
Distribution
Account
|
Trustee
|
Any
investment earnings will be paid as compensation to the Servicer,
and will
not be available for distribution to
certificateholders.
|
||
Swap
Account
|
Trustee
|
Any
investment earnings will be paid to the certificateholders as described
in
“Description of the Offered Certificates—Swap Account”
above.
|
||
Excess
Reserve Fund Account
|
Trustee
|
Amounts
on deposit in the Excess Reserve Fund Account will not be
invested.
|
March
2 through April 1
|
Due
Period:
|
Payments
due during the related due period March 2 through April 1 from borrowers
will be deposited in the Servicer’s Collection Account as received and
will include scheduled principal payments due during the related
due
period and interest accrued on the ending scheduled balance from
the prior
due period.
|
||
March
18 through April 17
|
Prepayment
Period for partial and full prepayments received from
borrowers
|
Partial
principal prepayments received by the Servicer, principal prepayments
in
full and prepayment penalties received by the Servicer during the
related
Prepayment Period (March 18 through April 17) will be deposited into
the
Servicer’s Collection Account for remittance to the Trustee on the
Servicer Deposit Date.
|
||
April
24
|
Servicer
Deposit Date:
|
One
business day immediately before the Distribution Date, the Servicer
will
remit to the Trustee amounts on deposit in the Collection Account
for
deposit into the Distribution Account, including any advances made
by the
Servicer for that Distribution Date, net of any amounts payable or
reimbursable to the Servicer.
|
||
April
24
|
Record
Date:
|
Distributions
will be made to certificateholders of record for all classes as of
the
business day immediately before the related Distribution
Date.
|
||
April
25
|
Any
payment received from or paid to the Swap Counterparty under the
interest
rate swap agreement:
|
One
each Distribution Date, the Swap Counterparty will pay to the Trustee
for
deposit into the Swap Account any payments required to be paid by
the Swap
Counterparty under the interest rate swap agreement and the Trustee
will
make any payments due to the Swap Counterparty under the interest
rate
swap agreement.
|
April
25
|
Any
payment received from the Cap Counterparty under the interest rate
cap
agreement:
|
On
each Distribution Date, the Cap Counterparty will pay to the Trustee
for
deposit into the Excess Reserve Fund Account any payments required
to be
paid by the Cap Counterparty under the interest rate cap
agreement.
|
||
April
25
|
Distribution
Date:
|
On
the 25th
day of each month (or if the 25th
day is not a business day, the next business day), the Trustee will
make
distributions to certificateholders from amounts on deposit in the
Distribution Account.
|
Fee
Payable to:
|
Frequency
of
Payment:
|
Amount
of Fee:
|
How
and When
Fee
Is Payable:
|
|||
Servicer
|
Monthly
|
A
monthly fee paid to the Servicer, from amounts that would otherwise
be
paid to certificateholders in respect of interest, calculated on
the
outstanding principal balance of each mortgage loan, at a rate
of
approximately
0.50% per annum, plus,
all investment earnings on amounts on deposit in the Collection
Account.
|
Withdrawn
from the Collection Account in respect of each mortgage loan serviced
by
the Servicer, before payment of any amounts to
certificateholders.
|
Fee
Payable to:
|
Frequency
of
Payment:
|
Amount
of Fee:
|
How
and When
Fee
Is Payable:
|
Trustee
|
Monthly
|
A
monthly fee paid to the Trustee, calculated at a rate of no more
than
0.02% per annum on the outstanding principal balance of the mortgage
loans.
|
Withdrawn
from the Collection Account in respect of each mortgage loan before
payment of any amounts to certificateholders.
|
|||
Custodian
|
Monthly
|
A
monthly fee paid to the Custodian, from the Trustee Fee.
|
Paid
by the Trustee from the Trustee
Fee.
|
·
|
the
remainder to the classes of Offered Certificates in proportion to
their
respective outstanding Class Principal
Balances.
|
·
|
the
disposition of all property acquired in respect of any mortgage loan
remaining in the trust fund.
|
·
|
the
original mortgage note endorsed in blank or to the order of the Trustee
or
a custodian acting on behalf of the Trustee, or a lost note affidavit
in
lieu thereof, with all prior and intervening endorsements (the Seller,
in
some instances, having instructed the party selling a mortgage loan
to
have required the originator to endorse the original mortgage note
directly to such custodian);
|
·
|
the
original recorded security instrument or a certified copy, naming
the
originator or the Servicer, Trustee or Custodian as mortgagee, or
if the
original security instrument has been submitted for recordation but
has
not been returned by the applicable public recording office, a photocopy
certified by an officer of the Servicer, title company,
closing/settlement-escrow agent or closing
attorney;
|
·
|
each
original recorded intervening assignment of the security instrument
as may
be necessary to show a complete chain of title to the Servicer, Trustee
or
Custodian (the Seller, in some instances, having instructed the party
selling a mortgage loan to record an assignment directly from the
originator to the custodian) or if any assignment has been submitted
for
recordation but has not been returned from the applicable public
recording
office or is otherwise not available, a copy certified by an officer
of
the Servicer;
|
·
|
if
an assignment of the security instrument to the Servicer has been
recorded
or sent for recordation, an original assignment of the security instrument
from the Servicer in blank or to the Trustee or custodian in recordable
form;
|
·
|
an
original title insurance policy, certificate of title insurance or
written
commitment or a copy certified as true and correct by the insurer;
and
|
·
|
if
indicated on the applicable schedule, the original or certified copies
of
each assumption agreement, modification agreement, written assurance
or
substitution agreement, if any.
|
· |
all
scheduled payments of principal and related interest collected on
the
mortgage loans but due on a date after the related Due
Date;
|
· |
all
partial principal prepayments received with respect to the mortgage
loans
after the related Prepayment Period, together with all related interest
accrued on such mortgage loans;
|
· |
all
prepayments in full received with respect to the mortgage loans after
the
related Prepayment Period, together with all related interest accrued
on
such mortgage loans;
|
· |
Liquidation
Proceeds, condemnation proceeds, insurance proceeds and Subsequent
Recoveries received on such mortgage loans after the previous calendar
month;
|
· |
all
amounts reimbursable to the Servicer pursuant to the terms of the
Pooling
and Servicing Agreement or to the Trustee and/or the Custodian pursuant
to
the terms of the Pooling and Servicing Agreement or the custody agreement,
in each case with respect to the mortgage loans or otherwise allocable
to
the certificates;
|
· |
reinvestment
income on the balance of funds, if any, in the Collection Account
or the
Distribution Account; and
|
· |
amounts
as to which the Servicer is entitled to reimbursement from the Collection
Account pursuant to the Pooling and Servicing Agreement (including
Servicing Fees), and as to which the Trustee and/or the Custodian,
as
applicable, are entitled with respect to the mortgage loans or otherwise
allocable to the certificates to be reimbursed from the Distribution
Account or otherwise pursuant to the Pooling and Servicing Agreement
or
the custody agreement, as applicable (including the Trustee
Fee);
|
· |
the
Principal Distribution Amount for that Distribution Date remaining
after
distribution of the Senior Principal Distribution Amount, the Class
M-1
Principal Distribution Amount, the Class M-2 Principal Distribution
Amount, the Class M-3 Principal Distribution Amount, the Class M-4
Principal Distribution Amount, the Class M-5 Principal Distribution
Amount
and the Class M-6 Principal Distribution Amount; and
|
· |
the
excess (if any) of (A) the sum of (1) the Class Principal Balance
of the
Class B-1 Certificates immediately prior to that Distribution Date
and (2)
the aggregate Class Principal Balance of the Senior Certificates
and the
Class M Certificates (after taking into account the payment of the
Senior,
Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and Class M-6
Principal Distribution Amounts for such Distribution Date) over (B)
the
lesser of (i) the aggregate Stated Principal Balance of the mortgage
loans
as of the last day of the related Due Period multiplied by approximately
85.40% and (ii) the amount, if any, by which (x) the aggregate Stated
Principal Balance of the mortgage loans as of the last day of the
related
Due Period exceeds (y) the Overcollateralization
Floor.
|
· |
the
Principal Distribution Amount for that Distribution Date remaining
after
distribution of the Senior Principal Distribution Amount, the Class
M-1
Principal Distribution Amount, the Class M-2 Principal Distribution
Amount, the Class M-3 Principal Distribution Amount, the Class M-4
Principal Distribution Amount, the Class M-5 Principal Distribution
Amount, the Class M-6 Principal Distribution Amount and the Class
B-1
Principal Distribution Amount; and
|
· |
the
excess (if any) of (A) the sum of (1) the Class Principal Balance
of the
Class B-2 Certificates immediately prior to that Distribution Date
and (2)
the aggregate Class Principal Balance of the Senior Certificates,
the
Class M Certificates and the Class B-1 Certificates (after taking
into
account the payment of the Senior, Class M-1, Class M-2, Class M-3,
Class
M-4, Class M-5, Class M-6 and Class B-1 Principal Distribution Amounts
for
such Distribution Date) over (B) the lesser of (i) the aggregate
Stated
Principal Balance of the mortgage loans as of the last day of the
related
Due Period multiplied by approximately 88.10% and (ii) the amount,
if any,
by which (x) the aggregate Stated Principal Balance of the mortgage
loans
as of the last day of the related Due Period exceeds (y) the
Overcollateralization Floor.
|
· |
the
Principal Distribution Amount for that Distribution Date remaining
after
distribution of the Senior Principal Distribution Amount, the Class
M-1
Principal Distribution Amount, the Class M-2 Principal Distribution
Amount, the Class M-3 Principal Distribution Amount, the Class M-4
Principal Distribution Amount, the Class M-5 Principal Distribution
Amount, the Class M-6 Principal Distribution Amount, the Class B-1
Principal Distribution Amount and the Class B-2 Principal Distribution
Amount; and
|
· |
the
excess (if any) of (A) the sum of (1) the Class Principal Balance
of the
Class B-3 Certificates immediately prior to that Distribution Date
and (2)
the aggregate Class Principal Balance of the Senior Certificates,
the
Class M Certificates and the Class B-1 and Class B-2 Certificates
(after
taking into account the payment of the Senior, Class M-1, Class M-2,
Class
M-3, Class M-4, Class M-5, Class M-6, Class B-1 and Class B-2 Principal
Distribution Amounts for such Distribution Date) over (B) the lesser
of
(i) the aggregate Stated Principal Balance of the mortgage loans
as of the
last day of the related Due Period multiplied by approximately 90.60%
and
(ii) the amount, if any, by which (x) the aggregate Stated Principal
Balance of the mortgage loans as of the last day of the related Due
Period
exceeds (y) the Overcollateralization
Floor.
|
· |
the
Principal Distribution Amount for that Distribution Date remaining
after
distribution of the Senior Principal Distribution Amount;
and
|
· |
the
excess (if any) of (A) the sum of (1) the Class Principal Balance
of the
Class M-1 Certificates immediately prior to that Distribution Date
and (2)
the aggregate Class Principal Balance of the Senior Certificates
(after
taking into account the payment of the Senior Principal Distribution
Amount for such Distribution Date) over (B) the lesser of (i) the
aggregate Stated Principal Balance of the mortgage loans as of the
last
day of the related Due Period multiplied by approximately 58.50%
and (ii)
the amount, if any, by which (x) the aggregate Stated Principal Balance
of
the mortgage loans as of the last day of the related Due Period exceeds
(y) the Overcollateralization
Floor.
|
· |
the
Principal Distribution Amount for that Distribution Date remaining
after
distribution of the Senior Principal Distribution Amount and the
Class M-1
Principal Distribution Amount; and
|
· |
the
excess (if any) of (A) the sum of (1) the Class Principal Balance
of the
Class M-2 Certificates immediately prior to that Distribution Date
and (2)
the aggregate Class Principal Balance of the Senior Certificates
and the
Class M-1 Certificates (after taking into account the payment of
the
Senior and Class M-1 Principal Distribution Amounts for such Distribution
Date) over (B) the lesser of (i) the aggregate Stated Principal Balance
of
the mortgage loans as of the last day of the related Due Period multiplied
by approximately 67.00% and (ii) the amount, if any, by which (x)
the
aggregate Stated Principal Balance of the mortgage loans as of the
last
day of the related Due Period exceeds (y) the Overcollateralization
Floor.
|
· |
the
Principal Distribution Amount for that Distribution Date remaining
after
distribution of the Senior Principal Distribution Amount, the Class
M-1
Principal Distribution Amount and the Class M-2 Principal Distribution
Amount; and
|
· |
the
excess (if any) of (A) the sum of (1) the Class Principal Balance
of the
Class M-3 Certificates immediately prior to that Distribution Date
and (2)
the aggregate Class Principal Balance of the Senior Certificates
and the
Class M-1 and Class M-2 Certificates (after taking into account the
payment of the Senior, Class M-1 and Class M-2 Principal Distribution
Amounts for such Distribution Date) over (B) the lesser of (i) the
aggregate Stated Principal Balance of the mortgage loans as of the
last
day of the related Due Period multiplied by approximately 71.40%
and (ii)
the amount, if any, by which (x) the aggregate Stated Principal Balance
of
the mortgage loans as of the last day of the related Due Period exceeds
(y) the Overcollateralization
Floor.
|
· |
the
Principal Distribution Amount for that Distribution Date remaining
after
distribution of the Senior Principal Distribution Amount, the Class
M-1
Principal Distribution Amount, the Class M-2 Principal Distribution
Amount
and the Class M-3 Principal Distribution Amount; and
|
· |
the
excess (if any) of (A) the sum of (1) the Class Principal Balance
of the
Class M-4 Certificates immediately prior to that Distribution Date
and (2)
the aggregate Class Principal Balance of the Senior Certificates
and the
Class M Senior Certificates (after taking into account the payment
of the
Senior, Class M-1, Class M-2 and Class M-3 Principal Distribution
Amounts
for such Distribution Date) over (B) the lesser of (i) the aggregate
Stated Principal Balance of the mortgage loans as of the last day
of the
related Due Period multiplied by approximately 75.30% and (ii) the
amount,
if any, by which (x) the aggregate Stated Principal Balance of the
mortgage loans as of the last day of the related Due Period exceeds
(y)
the Overcollateralization Floor.
|
· |
the
Principal Distribution Amount for that Distribution Date remaining
after
distribution of the Senior Principal Distribution Amount, the Class
M-1
Principal Distribution Amount, the Class M-2 Principal Distribution
Amount, the Class M-3 Principal Distribution Amount and the Class
M-4
Principal Distribution Amount; and
|
· |
the
excess (if any) of (A) the sum of (1) the Class Principal Balance
of the
Class M-5 Certificates immediately prior to that Distribution Date
and (2)
the aggregate Class Principal Balance of the Senior Certificates,
the
Class M Senior Certificates and the Class M-4 Certificates (after
taking
into account the payment of the Senior, Class M-1, Class M-2, Class
M-3
and Class M-4 Principal Distribution Amounts for such Distribution
Date)
over (B) the lesser of (i) the aggregate Stated Principal Balance
of the
mortgage loans as of the last day of the related Due Period multiplied
by
approximately 79.00% and (ii) the amount, if any, by which (x) the
aggregate Stated Principal Balance of the mortgage loans as of the
last
day of the related Due Period exceeds (y) the Overcollateralization
Floor.
|
· |
the
Principal Distribution Amount for that Distribution Date remaining
after
distribution of the Senior Principal Distribution Amount, the Class
M-1
Principal Distribution Amount, the Class M-2 Principal Distribution
Amount, the Class M-3 Principal Distribution Amount, the Class M-4
Principal Distribution Amount and the Class M-5 Principal Distribution
Amount; and
|
· |
the
excess (if any) of (A) the sum of (1) the Class Principal Balance
of the
Class M-6 Certificates immediately prior to that Distribution Date
and (2)
the aggregate Class Principal Balance of the Senior Certificates,
the
Class M Senior Certificates and the Class M-4 and Class M-5 Certificates
(after taking into account the payment of the Senior, Class M-1,
Class
M-2, Class M-3, Class M-4 and Class M-5 Principal Distribution Amounts
for
such Distribution Date) over (B) the lesser of (i) the aggregate
Stated
Principal Balance of the mortgage loans as of the last day of the
related
Due Period multiplied by approximately 82.30% and (ii) the amount,
if any,
by which (x) the aggregate Stated Principal Balance of the mortgage
loans
as of the last day of the related Due Period exceeds (y) the
Overcollateralization Floor.
|
Distribution
Date
|
Percentage
|
|
March
2009 — February 2010
|
1.65%
for the first month, plus an additional 1/12th of 2.10% for each
month
thereafter
|
|
March
2010 — February 2011
|
3.75%
for the first month, plus an additional 1/12th of 2.10% for each
month
thereafter
|
|
March
2011 — February 2012
|
5.85%
for the first month, plus an additional 1/12th of 1.70% for each
month
thereafter
|
|
March
2012 — February 2013
|
7.55%
for the first month, plus an additional 1/12th of 0.95% for each
month
thereafter
|
|
March
2013 — February 2014
|
8.50%
for the first month, plus an additional 1/12th of 0.05% for each
month
thereafter
|
|
March
2014 and thereafter
|
8.55%
|
· |
the
projected net liquidation value thereof (i.e.,
the fair market value of the related mortgaged property less all
expenses
expected to be incurred in liquidation of such loan);
and
|
· |
the
excess (if any) of (A) the aggregate Class Principal Balance of the
Senior
Certificates immediately prior to that Distribution Date over (B)
the
lesser of (i) the aggregate Stated Principal Balance of the mortgage
loans
as of the last day of the related Due Period multiplied by approximately
50.20% and (ii) the amount, if any, by which (x) the aggregate Stated
Principal Balance of the mortgage loans as of the last day of the
related
Due Period exceeds (y) the Overcollateralization
Floor.
|
Distribution
Date
|
Notional
Balance ($)
|
|||
381,020,466.35
|
||||
365,179,108.87
|
||||
349,805,493.16
|
||||
335,024,351.06
|
||||
320,854,178.45
|
||||
307,303,586.44
|
||||
294,329,937.46
|
||||
281,908,487.06
|
||||
269,816,493.02
|
||||
258,270,475.90
|
||||
242,751,309.15
|
||||
186,238,832.44
|
||||
177,861,995.92
|
||||
170,506,087.35
|
||||
163,351,357.78
|
||||
156,512,351.56
|
||||
147,584,647.66
|
||||
116,845,343.34
|
||||
111,756,387.68
|
||||
107,233,543.97
|
||||
102,861,194.77
|
||||
98,571,646.57
|
||||
87,054,554.52
|
||||
59,906,551.80
|
||||
57,147,871.20
|
||||
54,974,720.50
|
||||
52,885,003.16
|
||||
50,821,416.97
|
||||
45,309,568.02
|
||||
35,289,645.37
|
||||
33,836,523.30
|
||||
32,628,761.80
|
||||
31,464,051.97
|
||||
30,323,257.43
|
||||
28,073,995.11
|
||||
24,368,015.18
|
||||
23,469,589.51
|
||||
22,664,744.64
|
||||
21,887,107.43
|
||||
21,135,773.91
|
||||
20,409,869.49
|
||||
19,708,548.01
|
||||
19,030,990.84
|
||||
18,376,406.03
|
||||
0.00
|
Distribution
Date
|
Notional
Balance ($)
|
|||
591,374,225.20
|
||||
569,032,429.34
|
||||
547,434,903.75
|
||||
526,542,718.75
|
||||
506,319,817.53
|
||||
486,732,934.40
|
||||
467,751,508.87
|
||||
449,347,690.21
|
||||
431,497,197.88
|
||||
414,146,818.47
|
||||
397,337,528.97
|
||||
0.00
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
SAXON
|
3,134
|
$
|
622,171,726
|
100.00
|
%
|
8.358
|
%
|
359
|
80.21
|
%
|
608
|
|||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
3,134
|
$
|
622,171,726
|
100.00
|
%
|
8.358
|
%
|
359
|
80.21
|
%
|
608
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Fixed
- 10 Year
|
3
|
$
|
215,357
|
0.03
|
%
|
8.048
|
%
|
118
|
70.46
|
%
|
696
|
|||||||||||
Fixed
- 15 Year
|
19
|
1,750,017
|
0.28
|
8.132
|
178
|
66.55
|
612
|
|||||||||||||||
Fixed
- 20 Year
|
18
|
1,797,997
|
0.29
|
8.443
|
237
|
75.22
|
624
|
|||||||||||||||
Fixed
- 25 Year
|
14
|
2,088,801
|
0.34
|
7.533
|
297
|
76.78
|
638
|
|||||||||||||||
Fixed
- 30 Year
|
373
|
60,307,391
|
9.69
|
8.243
|
357
|
76.71
|
618
|
|||||||||||||||
Fixed
- 40 Year
|
87
|
20,181,314
|
3.24
|
8.002
|
477
|
77.76
|
624
|
|||||||||||||||
Balloon
- 15/30
|
10
|
503,657
|
0.08
|
11.670
|
175
|
100.00
|
645
|
|||||||||||||||
Balloon
- 20/30
|
202
|
10,428,050
|
1.68
|
11.898
|
238
|
99.68
|
647
|
|||||||||||||||
Balloon
- 30/40
|
55
|
10,544,123
|
1.69
|
8.227
|
357
|
77.31
|
605
|
|||||||||||||||
Balloon
- 30/50
|
48
|
10,884,677
|
1.75
|
8.108
|
357
|
76.27
|
623
|
|||||||||||||||
ARM
- 2 Year/6 Month Balloon 30/40
|
332
|
68,694,011
|
11.04
|
8.506
|
358
|
80.07
|
593
|
|||||||||||||||
ARM
- 2 Year/6 Month Balloon 30/50
|
259
|
62,742,128
|
10.08
|
8.407
|
358
|
80.66
|
588
|
|||||||||||||||
ARM
- 3 Year/6 Month Balloon 30/40
|
212
|
53,619,571
|
8.62
|
8.085
|
358
|
80.91
|
602
|
|||||||||||||||
ARM
- 3 Year/6 Month Balloon 30/50
|
152
|
35,257,567
|
5.67
|
8.243
|
358
|
79.56
|
590
|
|||||||||||||||
ARM
- 5 Year/6 Month Balloon 30/50
|
2
|
300,463
|
0.05
|
10.087
|
358
|
96.56
|
609
|
|||||||||||||||
ARM
- 2 Year/6 Month
|
497
|
86,549,460
|
13.91
|
8.649
|
358
|
79.87
|
600
|
|||||||||||||||
ARM
- 3 Year/6 Month
|
386
|
66,471,876
|
10.68
|
8.819
|
358
|
80.61
|
596
|
|||||||||||||||
ARM
- 5 Year/6 Month
|
2
|
395,833
|
0.06
|
8.229
|
355
|
43.04
|
592
|
|||||||||||||||
ARM
- 2 Year/6 Month - 40 Years
|
10
|
3,015,900
|
0.48
|
8.857
|
478
|
80.77
|
597
|
|||||||||||||||
ARM
- 3 Year/6 Month - 40 Years
|
13
|
2,991,379
|
0.48
|
8.948
|
478
|
83.42
|
586
|
|||||||||||||||
Interest
Only Fixed - 20 Year - 60 mo. IO term
|
1
|
104,650
|
0.02
|
6.999
|
237
|
65.00
|
617
|
|||||||||||||||
Interest
Only Fixed - 30 Year - 60 mo. IO term
|
20
|
6,100,369
|
0.98
|
7.409
|
357
|
75.50
|
642
|
|||||||||||||||
Interest
Only ARM - 2 Year/6 Month - 60 mo. IO term
|
220
|
61,846,994
|
9.94
|
8.014
|
358
|
82.00
|
630
|
|||||||||||||||
Interest
Only ARM - 3 Year/6 Month - 60 mo. IO term
|
196
|
54,787,093
|
8.81
|
7.536
|
358
|
81.05
|
637
|
|||||||||||||||
Interest
Only ARM - 5 Year/6 Month - 60 mo. IO term
|
3
|
593,049
|
0.10
|
7.714
|
359
|
83.81
|
652
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
3,134
|
$
|
622,171,726
|
100.00
|
%
|
8.358
|
%
|
359
|
80.21
|
%
|
608
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
5.000
- 5.999
|
10
|
$
|
2,970,882
|
0.48
|
%
|
5.843
|
%
|
358
|
82.43
|
%
|
686
|
|||||||||||
6.000
- 6.999
|
348
|
89,439,954
|
14.38
|
6.725
|
361
|
74.76
|
640
|
|||||||||||||||
7.000
- 7.999
|
753
|
181,132,212
|
29.11
|
7.580
|
361
|
78.69
|
622
|
|||||||||||||||
8.000
- 8.999
|
868
|
189,070,212
|
30.39
|
8.522
|
363
|
80.89
|
600
|
|||||||||||||||
9.000
- 9.999
|
591
|
100,898,812
|
16.22
|
9.477
|
360
|
81.89
|
581
|
|||||||||||||||
10.000
- 10.999
|
280
|
38,679,397
|
6.22
|
10.452
|
354
|
85.27
|
572
|
|||||||||||||||
11.000
- 11.999
|
170
|
13,699,925
|
2.20
|
11.487
|
315
|
91.19
|
601
|
|||||||||||||||
12.000
- 12.999
|
90
|
5,267,154
|
0.85
|
12.390
|
273
|
97.06
|
617
|
|||||||||||||||
13.000
- 13.999
|
21
|
922,204
|
0.15
|
13.454
|
240
|
99.92
|
591
|
|||||||||||||||
14.000
- 14.999
|
3
|
90,974
|
0.01
|
14.140
|
238
|
100.00
|
584
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
3,134
|
$
|
622,171,726
|
100.00
|
%
|
8.358
|
%
|
359
|
80.21
|
%
|
608
|
Range
of Cut-off Date Principal Balances ($)
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
|||||||||||||||
1
-
25,000
|
36
|
$
|
728,931
|
0.12
|
%
|
11.874
|
%
|
236
|
99.48
|
%
|
642
|
|||||||||||
25,001
- 50,000
|
122
|
4,751,777
|
0.76
|
11.583
|
264
|
92.17
|
629
|
|||||||||||||||
50,001
- 75,000
|
237
|
15,002,916
|
2.41
|
10.119
|
326
|
82.23
|
603
|
|||||||||||||||
75,001
- 100,000
|
327
|
28,983,618
|
4.66
|
9.255
|
348
|
78.99
|
598
|
|||||||||||||||
100,001
- 125,000
|
323
|
36,098,861
|
5.80
|
8.971
|
356
|
79.68
|
597
|
|||||||||||||||
125,001
- 150,000
|
300
|
41,341,844
|
6.64
|
8.685
|
359
|
81.41
|
604
|
|||||||||||||||
150,001
- 175,000
|
294
|
47,819,012
|
7.69
|
8.639
|
361
|
79.52
|
596
|
|||||||||||||||
175,001
- 200,000
|
270
|
50,609,040
|
8.13
|
8.283
|
360
|
79.75
|
601
|
|||||||||||||||
200,001
- 225,000
|
232
|
49,497,174
|
7.96
|
8.226
|
359
|
79.11
|
607
|
|||||||||||||||
225,001
- 250,000
|
168
|
40,029,831
|
6.43
|
8.068
|
364
|
79.65
|
605
|
|||||||||||||||
250,001
- 275,000
|
143
|
37,544,751
|
6.03
|
8.172
|
364
|
79.12
|
606
|
|||||||||||||||
275,001
- 300,000
|
126
|
36,316,265
|
5.84
|
8.048
|
361
|
80.22
|
611
|
|||||||||||||||
300,001
- 325,000
|
79
|
24,690,427
|
3.97
|
8.107
|
364
|
80.18
|
604
|
|||||||||||||||
325,001
- 350,000
|
78
|
26,267,579
|
4.22
|
8.118
|
359
|
81.23
|
609
|
|||||||||||||||
350,001
- 375,000
|
76
|
27,513,547
|
4.42
|
7.977
|
361
|
81.80
|
617
|
|||||||||||||||
375,001
- 400,000
|
68
|
26,291,661
|
4.23
|
8.023
|
358
|
82.34
|
625
|
|||||||||||||||
400,001
- 425,000
|
49
|
20,286,642
|
3.26
|
7.997
|
360
|
77.53
|
599
|
|||||||||||||||
425,001
- 450,000
|
41
|
18,026,731
|
2.90
|
7.931
|
367
|
80.07
|
614
|
|||||||||||||||
450,001
- 475,000
|
32
|
14,816,479
|
2.38
|
7.929
|
369
|
84.43
|
617
|
|||||||||||||||
475,001
- 500,000
|
37
|
18,081,195
|
2.91
|
8.123
|
361
|
80.46
|
626
|
|||||||||||||||
500,001
- 750,000
|
88
|
50,270,958
|
8.08
|
7.898
|
367
|
80.36
|
622
|
|||||||||||||||
750,001
- 1,000,000
|
8
|
7,202,489
|
1.16
|
8.503
|
390
|
70.80
|
620
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
3,134
|
$
|
622,171,726
|
100.00
|
%
|
8.358
|
%
|
359
|
80.21
|
%
|
608
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
120
|
3
|
$
|
215,357
|
0.03
|
%
|
8.048
|
%
|
118
|
70.46
|
%
|
696
|
|||||||||||
180
|
29
|
2,253,674
|
0.36
|
8.923
|
177
|
74.03
|
619
|
|||||||||||||||
240
|
221
|
12,330,697
|
1.98
|
11.353
|
238
|
95.82
|
643
|
|||||||||||||||
300
|
14
|
2,088,801
|
0.34
|
7.533
|
297
|
76.78
|
638
|
|||||||||||||||
360
|
2,757
|
579,094,604
|
93.08
|
8.301
|
358
|
79.98
|
607
|
|||||||||||||||
480
|
110
|
26,188,592
|
4.21
|
8.209
|
477
|
78.76
|
616
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
3,134
|
$
|
622,171,726
|
100.00
|
%
|
8.358
|
%
|
359
|
80.21
|
%
|
608
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
109
- 120
|
3
|
$
|
215,357
|
0.03
|
%
|
8.048
|
%
|
118
|
70.46
|
%
|
696
|
|||||||||||
169
- 180
|
29
|
2,253,674
|
0.36
|
8.923
|
177
|
74.03
|
619
|
|||||||||||||||
205
- 216
|
1
|
14,716
|
0.00
|
9.875
|
210
|
100.00
|
719
|
|||||||||||||||
217
- 228
|
2
|
79,925
|
0.01
|
11.358
|
223
|
100.00
|
613
|
|||||||||||||||
229
- 240
|
218
|
12,236,057
|
1.97
|
11.354
|
238
|
95.78
|
643
|
|||||||||||||||
289
- 300
|
14
|
2,088,801
|
0.34
|
7.533
|
297
|
76.78
|
638
|
|||||||||||||||
337
- 348
|
2
|
246,591
|
0.04
|
8.512
|
346
|
83.16
|
538
|
|||||||||||||||
349
- 360
|
2,755
|
578,848,013
|
93.04
|
8.301
|
358
|
79.98
|
607
|
|||||||||||||||
469
- 480
|
110
|
26,188,592
|
4.21
|
8.209
|
477
|
78.76
|
616
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
3,134
|
$
|
622,171,726
|
100.00
|
%
|
8.358
|
%
|
359
|
80.21
|
%
|
608
|
Range
of Combined Original LTV Ratios (%)
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
|||||||||||||||
15.01
- 20.00
|
7
|
$
|
572,614
|
0.09
|
%
|
8.651
|
%
|
358
|
18.28
|
%
|
595
|
|||||||||||
20.01
- 25.00
|
4
|
303,396
|
0.05
|
9.020
|
356
|
21.94
|
600
|
|||||||||||||||
25.01
- 30.00
|
11
|
1,396,912
|
0.22
|
8.185
|
364
|
27.97
|
597
|
|||||||||||||||
30.01
- 35.00
|
13
|
1,105,344
|
0.18
|
7.896
|
348
|
32.75
|
600
|
|||||||||||||||
35.01
- 40.00
|
15
|
2,877,454
|
0.46
|
8.529
|
369
|
37.25
|
571
|
|||||||||||||||
40.01
- 45.00
|
26
|
4,424,086
|
0.71
|
8.075
|
362
|
42.72
|
575
|
|||||||||||||||
45.01
- 50.00
|
56
|
10,043,058
|
1.61
|
8.207
|
357
|
47.80
|
600
|
|||||||||||||||
50.01
- 55.00
|
62
|
12,421,699
|
2.00
|
8.346
|
362
|
52.96
|
577
|
|||||||||||||||
55.01
- 60.00
|
89
|
16,203,612
|
2.60
|
8.126
|
361
|
58.07
|
588
|
|||||||||||||||
60.01
- 65.00
|
130
|
29,548,784
|
4.75
|
7.944
|
358
|
63.25
|
594
|
|||||||||||||||
65.01
- 70.00
|
178
|
38,720,831
|
6.22
|
8.039
|
361
|
68.41
|
594
|
|||||||||||||||
70.01
- 75.00
|
267
|
59,471,985
|
9.56
|
8.012
|
362
|
73.87
|
591
|
|||||||||||||||
75.01
- 80.00
|
783
|
165,405,485
|
26.59
|
8.022
|
362
|
79.55
|
613
|
|||||||||||||||
80.01
- 85.00
|
355
|
73,479,476
|
11.81
|
8.359
|
361
|
84.37
|
602
|
|||||||||||||||
85.01
- 90.00
|
499
|
112,613,555
|
18.10
|
8.463
|
362
|
89.52
|
615
|
|||||||||||||||
90.01
- 95.00
|
234
|
50,986,634
|
8.19
|
8.470
|
361
|
94.71
|
623
|
|||||||||||||||
95.01
- 100.00
|
405
|
42,596,801
|
6.85
|
10.459
|
330
|
99.94
|
632
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
3,134
|
$
|
622,171,726
|
100.00
|
%
|
8.358
|
%
|
359
|
80.21
|
%
|
608
|
(1) |
The
Combined Original Loan-to-Value ratio of a mortgage loan is equal
to the
ratio (expressed as a percentage) of the original stated principal
balance
of the mortgage loan plus, in the case of a second lien mortgage
loan, any
senior lien balances and the fair market value of the mortgaged
premises
at the time of origination. The fair market value is the lower
of (i) the
purchase price and (ii) the appraised value in the case of purchases
and
is the appraised value in all other
cases.
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Fixed
Rate Loans
|
850
|
$
|
124,906,403
|
20.08
|
%
|
8.457
|
%
|
360
|
78.66
|
%
|
622
|
|||||||||||
4.001
- 4.500
|
56
|
12,720,736
|
2.04
|
8.585
|
360
|
84.11
|
617
|
|||||||||||||||
4.501
- 5.000
|
10
|
2,887,156
|
0.46
|
7.457
|
357
|
71.26
|
653
|
|||||||||||||||
5.001
- 5.500
|
348
|
85,031,234
|
13.67
|
7.893
|
360
|
77.01
|
598
|
|||||||||||||||
5.501
- 6.000
|
465
|
93,107,077
|
14.96
|
7.821
|
358
|
72.04
|
606
|
|||||||||||||||
6.001
- 6.500
|
865
|
189,723,284
|
30.49
|
8.394
|
359
|
80.61
|
599
|
|||||||||||||||
6.501
- 7.000
|
463
|
100,110,499
|
16.09
|
8.921
|
359
|
91.20
|
618
|
|||||||||||||||
7.001
- 7.500
|
40
|
6,854,136
|
1.10
|
9.285
|
356
|
85.03
|
608
|
|||||||||||||||
7.501
- 8.000
|
18
|
3,303,042
|
0.53
|
9.411
|
362
|
81.14
|
565
|
|||||||||||||||
8.001
- 8.500
|
11
|
2,328,925
|
0.37
|
9.259
|
356
|
71.47
|
593
|
|||||||||||||||
8.501
- 9.000
|
6
|
1,044,608
|
0.17
|
9.314
|
355
|
86.51
|
584
|
|||||||||||||||
9.501
- 10.000
|
2
|
154,625
|
0.02
|
11.990
|
357
|
92.02
|
568
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
3,134
|
$
|
622,171,726
|
100.00
|
%
|
8.358
|
%
|
359
|
80.21
|
%
|
608
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Fixed
Rate Loans
|
850
|
$
|
124,906,403
|
20.08
|
%
|
8.457
|
%
|
360
|
78.66
|
%
|
622
|
|||||||||||
5.000
or less
|
61
|
13,839,551
|
2.22
|
8.561
|
360
|
83.39
|
617
|
|||||||||||||||
5.001
- 5.500
|
326
|
80,544,907
|
12.95
|
7.849
|
360
|
77.28
|
598
|
|||||||||||||||
5.501
- 6.000
|
390
|
80,614,535
|
12.96
|
7.725
|
358
|
71.24
|
605
|
|||||||||||||||
6.001
- 6.500
|
749
|
169,291,691
|
27.21
|
8.361
|
359
|
80.41
|
599
|
|||||||||||||||
6.501
- 7.000
|
406
|
90,804,859
|
14.59
|
8.799
|
359
|
90.93
|
617
|
|||||||||||||||
7.001
- 7.500
|
41
|
8,979,798
|
1.44
|
8.099
|
357
|
80.76
|
626
|
|||||||||||||||
7.501
- 8.000
|
58
|
14,150,763
|
2.27
|
8.183
|
358
|
81.84
|
615
|
|||||||||||||||
8.001
- 8.500
|
41
|
7,887,126
|
1.27
|
8.495
|
359
|
81.92
|
605
|
|||||||||||||||
8.501
- 9.000
|
65
|
11,403,263
|
1.83
|
8.995
|
359
|
82.30
|
596
|
|||||||||||||||
9.001
- 9.500
|
39
|
6,582,655
|
1.06
|
9.357
|
357
|
76.13
|
586
|
|||||||||||||||
9.501
- 10.000
|
54
|
6,928,785
|
1.11
|
9.866
|
359
|
83.67
|
590
|
|||||||||||||||
10.001
- 10.500
|
26
|
2,792,739
|
0.45
|
10.394
|
357
|
84.37
|
619
|
|||||||||||||||
10.501
- 11.000
|
13
|
1,831,124
|
0.29
|
10.856
|
377
|
87.72
|
593
|
|||||||||||||||
11.001
- 11.500
|
8
|
827,905
|
0.13
|
11.199
|
356
|
84.88
|
618
|
|||||||||||||||
11.501
- 12.000
|
7
|
785,622
|
0.13
|
11.856
|
381
|
89.83
|
560
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
3,134
|
$
|
622,171,726
|
100.00
|
%
|
8.358
|
%
|
359
|
80.21
|
%
|
608
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Fixed
Rate Loans
|
850
|
$
|
124,906,403
|
20.08
|
%
|
8.457
|
%
|
360
|
78.66
|
%
|
622
|
|||||||||||
12.500
or less
|
72
|
19,478,576
|
3.13
|
6.264
|
358
|
76.00
|
649
|
|||||||||||||||
12.501
- 13.000
|
176
|
47,787,900
|
7.68
|
6.820
|
358
|
77.05
|
630
|
|||||||||||||||
13.001
- 13.500
|
237
|
59,129,796
|
9.50
|
7.311
|
358
|
78.27
|
622
|
|||||||||||||||
13.501
- 14.000
|
348
|
87,527,893
|
14.07
|
7.799
|
360
|
79.65
|
620
|
|||||||||||||||
14.001
- 14.500
|
319
|
75,471,517
|
12.13
|
8.290
|
358
|
80.96
|
600
|
|||||||||||||||
14.501
- 15.000
|
369
|
79,454,179
|
12.77
|
8.767
|
361
|
81.92
|
591
|
|||||||||||||||
15.001
- 15.500
|
234
|
45,180,849
|
7.26
|
9.223
|
359
|
80.05
|
584
|
|||||||||||||||
15.501
- 16.000
|
244
|
41,499,065
|
6.67
|
9.675
|
360
|
83.89
|
581
|
|||||||||||||||
16.001
- 16.500
|
129
|
19,328,831
|
3.11
|
10.173
|
359
|
86.39
|
571
|
|||||||||||||||
16.501
- 17.000
|
86
|
14,074,269
|
2.26
|
10.572
|
361
|
86.84
|
580
|
|||||||||||||||
17.001
- 17.500
|
36
|
4,305,186
|
0.69
|
11.063
|
357
|
83.68
|
576
|
|||||||||||||||
17.501
- 18.000
|
24
|
2,886,363
|
0.46
|
11.653
|
358
|
87.47
|
567
|
|||||||||||||||
18.001
- 18.500
|
8
|
925,511
|
0.15
|
11.802
|
357
|
82.02
|
558
|
|||||||||||||||
18.501
- 19.000
|
2
|
215,388
|
0.03
|
11.990
|
442
|
79.98
|
511
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
3,134
|
$
|
622,171,726
|
100.00
|
%
|
8.358
|
%
|
359
|
80.21
|
%
|
608
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Fixed
Rate Loans
|
850
|
$
|
124,906,403
|
20.08
|
%
|
8.457
|
%
|
360
|
78.66
|
%
|
622
|
|||||||||||
1.000
|
9
|
1,866,218
|
0.30
|
8.802
|
357
|
70.10
|
619
|
|||||||||||||||
1.500
|
2
|
365,956
|
0.06
|
8.142
|
349
|
79.14
|
545
|
|||||||||||||||
2.000
|
9
|
1,537,179
|
0.25
|
8.822
|
356
|
92.71
|
614
|
|||||||||||||||
3.000
|
2,264
|
493,495,970
|
79.32
|
8.329
|
359
|
80.60
|
604
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
3,134
|
$
|
622,171,726
|
100.00
|
%
|
8.358
|
%
|
359
|
80.21
|
%
|
608
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Fixed
Rate Loans
|
850
|
$
|
124,906,403
|
20.08
|
%
|
8.457
|
%
|
360
|
78.66
|
%
|
622
|
|||||||||||
1.000
|
2,272
|
495,756,350
|
79.68
|
8.327
|
359
|
80.59
|
604
|
|||||||||||||||
1.500
|
12
|
1,508,973
|
0.24
|
10.027
|
367
|
81.23
|
548
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
3,134
|
$
|
622,171,726
|
100.00
|
%
|
8.358
|
%
|
359
|
80.21
|
%
|
608
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Fixed
Rate Loans
|
850
|
$
|
124,906,403
|
20.08
|
%
|
8.457
|
%
|
360
|
78.66
|
%
|
622
|
|||||||||||
9
|
1
|
90,795
|
0.01
|
8.875
|
345
|
80.00
|
519
|
|||||||||||||||
14
|
1
|
275,162
|
0.04
|
7.900
|
350
|
78.86
|
554
|
|||||||||||||||
15
|
5
|
759,940
|
0.12
|
9.782
|
351
|
96.38
|
643
|
|||||||||||||||
16
|
1
|
197,716
|
0.03
|
9.675
|
352
|
90.00
|
645
|
|||||||||||||||
17
|
4
|
1,106,918
|
0.18
|
8.474
|
353
|
88.96
|
613
|
|||||||||||||||
18
|
2
|
659,752
|
0.11
|
7.672
|
354
|
97.60
|
650
|
|||||||||||||||
19
|
9
|
2,094,153
|
0.34
|
8.797
|
355
|
74.67
|
589
|
|||||||||||||||
20
|
72
|
16,843,528
|
2.71
|
8.469
|
357
|
80.82
|
603
|
|||||||||||||||
21
|
430
|
92,580,710
|
14.88
|
8.464
|
358
|
80.09
|
600
|
|||||||||||||||
22
|
448
|
97,695,530
|
15.70
|
8.419
|
360
|
80.19
|
603
|
|||||||||||||||
23
|
346
|
70,700,086
|
11.36
|
8.346
|
359
|
81.36
|
602
|
|||||||||||||||
27
|
2
|
623,000
|
0.10
|
7.621
|
351
|
84.12
|
628
|
|||||||||||||||
29
|
1
|
94,562
|
0.02
|
8.650
|
353
|
95.00
|
567
|
|||||||||||||||
30
|
1
|
219,282
|
0.04
|
9.840
|
354
|
80.00
|
559
|
|||||||||||||||
31
|
20
|
4,022,036
|
0.65
|
8.604
|
355
|
81.54
|
629
|
|||||||||||||||
32
|
74
|
15,886,653
|
2.55
|
8.640
|
356
|
78.86
|
607
|
|||||||||||||||
33
|
310
|
67,279,271
|
10.81
|
8.211
|
358
|
80.85
|
604
|
|||||||||||||||
34
|
309
|
69,628,838
|
11.19
|
8.082
|
360
|
80.32
|
609
|
|||||||||||||||
35
|
241
|
55,218,048
|
8.88
|
8.220
|
361
|
81.26
|
608
|
|||||||||||||||
55
|
1
|
209,371
|
0.03
|
8.700
|
355
|
49.65
|
607
|
|||||||||||||||
56
|
1
|
186,462
|
0.03
|
7.700
|
356
|
35.62
|
575
|
|||||||||||||||
57
|
1
|
196,971
|
0.03
|
10.500
|
357
|
100.00
|
625
|
|||||||||||||||
58
|
1
|
131,999
|
0.02
|
7.850
|
358
|
80.00
|
660
|
|||||||||||||||
59
|
3
|
564,542
|
0.09
|
7.972
|
359
|
85.84
|
636
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
3,134
|
$
|
622,171,726
|
100.00
|
%
|
8.358
|
%
|
359
|
80.21
|
%
|
608
|
Geograhic
Distribution of Mortgaged Properties
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
|||||||||||||||
California
|
330
|
$
|
100,915,563
|
16.22
|
%
|
7.892
|
%
|
361
|
77.10
|
%
|
614
|
|||||||||||
Maryland
|
373
|
92,209,453
|
14.82
|
8.024
|
359
|
80.12
|
601
|
|||||||||||||||
Florida
|
344
|
61,828,863
|
9.94
|
8.310
|
361
|
79.05
|
609
|
|||||||||||||||
Virginia
|
188
|
43,155,356
|
6.94
|
8.101
|
356
|
79.93
|
613
|
|||||||||||||||
New
York
|
134
|
42,751,221
|
6.87
|
8.145
|
362
|
78.00
|
613
|
|||||||||||||||
Arizona
|
148
|
26,278,817
|
4.22
|
8.403
|
361
|
79.24
|
601
|
|||||||||||||||
Georgia
|
145
|
23,819,795
|
3.83
|
8.977
|
354
|
85.69
|
606
|
|||||||||||||||
Ohio
|
195
|
21,850,953
|
3.51
|
9.156
|
360
|
88.49
|
606
|
|||||||||||||||
New
Jersey
|
61
|
16,237,840
|
2.61
|
8.592
|
361
|
78.86
|
607
|
|||||||||||||||
Washington
|
75
|
15,210,294
|
2.44
|
8.203
|
355
|
79.30
|
600
|
|||||||||||||||
Pennsylvania
|
92
|
12,607,099
|
2.03
|
8.737
|
357
|
81.12
|
597
|
|||||||||||||||
Illinois
|
65
|
12,574,979
|
2.02
|
8.788
|
359
|
85.84
|
615
|
|||||||||||||||
Texas
|
98
|
11,551,480
|
1.86
|
9.093
|
367
|
84.21
|
606
|
|||||||||||||||
Wisconsin
|
82
|
9,641,671
|
1.55
|
9.398
|
355
|
84.66
|
601
|
|||||||||||||||
Nevada
|
37
|
9,553,256
|
1.54
|
8.284
|
360
|
78.97
|
627
|
|||||||||||||||
Other
|
767
|
121,985,086
|
19.61
|
8.669
|
358
|
80.94
|
607
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
3,134
|
$
|
622,171,726
|
100.00
|
%
|
8.358
|
%
|
359
|
80.21
|
%
|
608
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Primary
|
2,909
|
$
|
583,495,088
|
93.78
|
%
|
8.327
|
%
|
359
|
80.35
|
%
|
606
|
|||||||||||
Investment
|
207
|
35,630,510
|
5.73
|
8.799
|
361
|
78.55
|
637
|
|||||||||||||||
Second
Home
|
18
|
3,046,127
|
0.49
|
8.980
|
358
|
72.08
|
630
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
3,134
|
$
|
622,171,726
|
100.00
|
%
|
8.358
|
%
|
359
|
80.21
|
%
|
608
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Single
Family Residence
|
2,494
|
$
|
475,136,310
|
76.37
|
%
|
8.373
|
%
|
359
|
80.16
|
%
|
607
|
|||||||||||
Planned
Unit Development
|
376
|
89,735,524
|
14.42
|
8.298
|
361
|
82.34
|
610
|
|||||||||||||||
2-4
Family
|
121
|
32,778,079
|
5.27
|
8.225
|
360
|
74.57
|
617
|
|||||||||||||||
Condominium
|
142
|
24,425,825
|
3.93
|
8.458
|
357
|
80.84
|
614
|
|||||||||||||||
Manufactured
Housing
|
1
|
95,987
|
0.02
|
8.050
|
359
|
80.00
|
593
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
3,134
|
$
|
622,171,726
|
100.00
|
%
|
8.358
|
%
|
359
|
80.21
|
%
|
608
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Refinance
- Cashout
|
2,300
|
$
|
481,279,982
|
77.35
|
%
|
8.259
|
%
|
360
|
78.36
|
%
|
603
|
|||||||||||
Purchase
|
681
|
113,266,639
|
18.21
|
8.834
|
354
|
87.38
|
627
|
|||||||||||||||
Refinance
- Rate Term
|
153
|
27,625,104
|
4.44
|
8.131
|
364
|
82.96
|
621
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
3,134
|
$
|
622,171,726
|
100.00
|
%
|
8.358
|
%
|
359
|
80.21
|
%
|
608
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Full
Documentation
|
2,126
|
$
|
379,182,088
|
60.94
|
%
|
8.262
|
%
|
358
|
81.67
|
%
|
601
|
|||||||||||
Stated
Documentation
|
949
|
227,692,790
|
36.60
|
8.541
|
360
|
78.07
|
619
|
|||||||||||||||
Limited
Documentation
|
59
|
15,296,847
|
2.46
|
8.006
|
381
|
75.87
|
610
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
3,134
|
$
|
622,171,726
|
100.00
|
%
|
8.358
|
%
|
359
|
80.21
|
%
|
608
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
NA
|
6
|
$
|
735,562
|
0.12
|
%
|
9.479
|
%
|
358
|
68.77
|
%
|
N/A
|
|||||||||||
Below
500
|
3
|
323,867
|
0.05
|
11.318
|
358
|
58.94
|
492
|
|||||||||||||||
500
- 524
|
168
|
26,433,255
|
4.25
|
9.817
|
357
|
70.98
|
512
|
|||||||||||||||
525
- 549
|
254
|
46,963,809
|
7.55
|
9.106
|
359
|
73.51
|
537
|
|||||||||||||||
550
- 574
|
423
|
84,739,913
|
13.62
|
8.627
|
361
|
77.63
|
561
|
|||||||||||||||
575
- 599
|
588
|
115,639,721
|
18.59
|
8.497
|
363
|
79.55
|
586
|
|||||||||||||||
600
- 624
|
630
|
125,003,644
|
20.09
|
8.214
|
358
|
82.29
|
611
|
|||||||||||||||
625
- 649
|
500
|
102,759,767
|
16.52
|
8.041
|
359
|
83.21
|
637
|
|||||||||||||||
650
- 674
|
276
|
62,535,789
|
10.05
|
7.867
|
360
|
82.81
|
661
|
|||||||||||||||
675
- 699
|
155
|
31,076,528
|
4.99
|
7.824
|
356
|
83.70
|
685
|
|||||||||||||||
700
- 724
|
53
|
9,429,942
|
1.52
|
7.760
|
344
|
83.16
|
713
|
|||||||||||||||
725
- 749
|
41
|
8,255,563
|
1.33
|
7.689
|
356
|
81.82
|
736
|
|||||||||||||||
750
- 774
|
24
|
5,502,049
|
0.88
|
7.612
|
361
|
80.24
|
758
|
|||||||||||||||
775
- 799
|
10
|
2,260,808
|
0.36
|
7.899
|
351
|
74.79
|
786
|
|||||||||||||||
800
+
|
3
|
511,508
|
0.08
|
7.450
|
340
|
75.50
|
811
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
3,134
|
$
|
622,171,726
|
100.00
|
%
|
8.358
|
%
|
359
|
80.21
|
%
|
608
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
0
|
1,031
|
$
|
222,354,465
|
35.74
|
%
|
8.436
|
%
|
358
|
81.30
|
%
|
605
|
|||||||||||
12
|
76
|
18,712,881
|
3.01
|
8.449
|
367
|
76.03
|
620
|
|||||||||||||||
24
|
1,050
|
210,457,546
|
33.83
|
8.352
|
356
|
80.55
|
604
|
|||||||||||||||
30
|
4
|
788,528
|
0.13
|
8.693
|
387
|
94.01
|
644
|
|||||||||||||||
36
|
972
|
169,769,071
|
27.29
|
8.250
|
364
|
78.75
|
616
|
|||||||||||||||
60
|
1
|
89,234
|
0.01
|
8.950
|
358
|
85.00
|
541
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
3,134
|
$
|
622,171,726
|
100.00
|
%
|
8.358
|
%
|
359
|
80.21
|
%
|
608
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
1st
Lien
|
2,900
|
$
|
610,163,014
|
98.07
|
%
|
8.288
|
%
|
362
|
79.82
|
%
|
607
|
|||||||||||
2nd
Lien
|
234
|
12,008,712
|
1.93
|
11.891
|
243
|
99.70
|
646
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
3,134
|
$
|
622,171,726
|
100.00
|
%
|
8.358
|
%
|
359
|
80.21
|
%
|
608
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
0
|
2,694
|
$
|
498,739,571
|
80.16
|
%
|
8.503
|
%
|
360
|
79.95
|
%
|
602
|
|||||||||||
60
|
440
|
123,432,155
|
19.84
|
7.770
|
358
|
81.25
|
634
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
3,134
|
$
|
622,171,726
|
100.00
|
%
|
8.358
|
%
|
359
|
80.21
|
%
|
608
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
SAXON
|
1,506
|
$
|
278,392,074
|
100.00
|
%
|
8.367
|
%
|
359
|
80.37
|
%
|
606
|
|||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,506
|
$
|
278,392,074
|
100.00
|
%
|
8.367
|
%
|
359
|
80.37
|
%
|
606
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Fixed
- 10 Year
|
1
|
$
|
59,890
|
0.02
|
%
|
9.750
|
%
|
117
|
80.00
|
%
|
566
|
|||||||||||
Fixed
- 15 Year
|
11
|
957,962
|
0.34
|
8.397
|
178
|
73.83
|
583
|
|||||||||||||||
Fixed
- 20 Year
|
13
|
1,258,503
|
0.45
|
8.829
|
237
|
75.80
|
596
|
|||||||||||||||
Fixed
- 25 Year
|
6
|
802,811
|
0.29
|
8.064
|
297
|
71.71
|
624
|
|||||||||||||||
Fixed
- 30 Year
|
196
|
29,004,118
|
10.42
|
8.421
|
357
|
77.07
|
599
|
|||||||||||||||
Fixed
- 40 Year
|
51
|
9,841,699
|
3.54
|
8.192
|
477
|
76.63
|
607
|
|||||||||||||||
Balloon
- 15/30
|
2
|
117,450
|
0.04
|
11.730
|
179
|
100.00
|
655
|
|||||||||||||||
Balloon
- 20/30
|
125
|
4,898,950
|
1.76
|
11.915
|
238
|
99.76
|
641
|
|||||||||||||||
Balloon
- 30/40
|
40
|
7,904,169
|
2.84
|
8.268
|
357
|
75.22
|
594
|
|||||||||||||||
Balloon
- 30/50
|
31
|
6,519,093
|
2.34
|
8.086
|
357
|
76.46
|
625
|
|||||||||||||||
ARM
- 2 Year/6 Month Balloon 30/40
|
139
|
28,350,416
|
10.18
|
8.530
|
358
|
80.80
|
594
|
|||||||||||||||
ARM
- 2 Year/6 Month Balloon 30/50
|
123
|
29,074,828
|
10.44
|
8.316
|
358
|
80.20
|
591
|
|||||||||||||||
ARM
- 3 Year/6 Month Balloon 30/40
|
84
|
18,882,652
|
6.78
|
8.177
|
358
|
80.96
|
602
|
|||||||||||||||
ARM
- 3 Year/6 Month Balloon 30/50
|
64
|
15,488,333
|
5.56
|
8.532
|
358
|
78.97
|
584
|
|||||||||||||||
ARM
- 2 Year/6 Month
|
200
|
34,236,258
|
12.30
|
8.690
|
358
|
81.63
|
600
|
|||||||||||||||
ARM
- 3 Year/6 Month
|
135
|
23,171,390
|
8.32
|
8.961
|
357
|
83.21
|
602
|
|||||||||||||||
ARM
- 2 Year/6 Month - 40 Years
|
3
|
701,710
|
0.25
|
9.175
|
478
|
81.14
|
608
|
|||||||||||||||
ARM
- 3 Year/6 Month - 40 Years
|
4
|
955,277
|
0.34
|
9.237
|
478
|
93.54
|
626
|
|||||||||||||||
Interest
Only ARM - 2 Year/6 Month - 60 mo. IO term
|
145
|
34,753,234
|
12.48
|
7.896
|
358
|
79.48
|
622
|
|||||||||||||||
Interest
Only ARM - 3 Year/6 Month - 60 mo. IO term
|
133
|
31,413,330
|
11.28
|
7.493
|
358
|
81.40
|
637
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,506
|
$
|
278,392,074
|
100.00
|
%
|
8.367
|
%
|
359
|
80.37
|
%
|
606
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
5.000
- 5.999
|
6
|
$
|
1,584,680
|
0.57
|
%
|
5.887
|
%
|
358
|
82.70
|
%
|
678
|
|||||||||||
6.000
- 6.999
|
171
|
42,027,572
|
15.10
|
6.718
|
361
|
73.32
|
633
|
|||||||||||||||
7.000
- 7.999
|
351
|
75,493,410
|
27.12
|
7.573
|
361
|
79.56
|
621
|
|||||||||||||||
8.000
- 8.999
|
409
|
85,321,663
|
30.65
|
8.537
|
362
|
81.12
|
601
|
|||||||||||||||
9.000
- 9.999
|
283
|
47,541,210
|
17.08
|
9.456
|
361
|
82.14
|
581
|
|||||||||||||||
10.000
- 10.999
|
134
|
17,484,811
|
6.28
|
10.445
|
356
|
85.26
|
568
|
|||||||||||||||
11.000
- 11.999
|
89
|
6,305,162
|
2.26
|
11.437
|
313
|
91.48
|
601
|
|||||||||||||||
12.000
- 12.999
|
51
|
2,238,078
|
0.80
|
12.453
|
259
|
99.34
|
617
|
|||||||||||||||
13.000
- 13.999
|
10
|
359,502
|
0.13
|
13.398
|
237
|
99.79
|
598
|
|||||||||||||||
14.000
- 14.999
|
2
|
35,984
|
0.01
|
14.200
|
237
|
100.00
|
587
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,506
|
$
|
278,392,074
|
100.00
|
%
|
8.367
|
%
|
359
|
80.37
|
%
|
606
|
Range
of Cut-off Date Principal Balances ($)
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
|||||||||||||||
1
-
25,000
|
31
|
$
|
632,413
|
0.23
|
%
|
11.728
|
%
|
233
|
99.40
|
%
|
644
|
|||||||||||
25,001
- 50,000
|
80
|
3,016,955
|
1.08
|
11.707
|
254
|
94.54
|
629
|
|||||||||||||||
50,001
- 75,000
|
95
|
6,138,310
|
2.20
|
10.401
|
314
|
85.43
|
603
|
|||||||||||||||
75,001
- 100,000
|
132
|
11,796,931
|
4.24
|
9.238
|
355
|
78.64
|
595
|
|||||||||||||||
100,001
- 125,000
|
151
|
16,850,383
|
6.05
|
8.855
|
362
|
80.03
|
596
|
|||||||||||||||
125,001
- 150,000
|
154
|
21,276,093
|
7.64
|
8.678
|
360
|
82.26
|
607
|
|||||||||||||||
150,001
- 175,000
|
140
|
22,723,895
|
8.16
|
8.567
|
360
|
79.47
|
598
|
|||||||||||||||
175,001
- 200,000
|
126
|
23,577,214
|
8.47
|
8.326
|
361
|
80.59
|
600
|
|||||||||||||||
200,001
- 225,000
|
128
|
27,262,733
|
9.79
|
8.104
|
361
|
79.41
|
609
|
|||||||||||||||
225,001
- 250,000
|
98
|
23,261,750
|
8.36
|
8.041
|
364
|
79.80
|
607
|
|||||||||||||||
250,001
- 275,000
|
80
|
21,031,150
|
7.55
|
8.081
|
363
|
77.51
|
606
|
|||||||||||||||
275,001
- 300,000
|
74
|
21,286,584
|
7.65
|
8.019
|
363
|
79.39
|
611
|
|||||||||||||||
300,001
- 325,000
|
43
|
13,425,380
|
4.82
|
8.066
|
366
|
79.77
|
605
|
|||||||||||||||
325,001
- 350,000
|
45
|
15,117,805
|
5.43
|
8.085
|
360
|
79.80
|
599
|
|||||||||||||||
350,001
- 375,000
|
47
|
17,027,909
|
6.12
|
8.080
|
363
|
83.16
|
619
|
|||||||||||||||
375,001
- 400,000
|
45
|
17,399,711
|
6.25
|
8.091
|
358
|
82.69
|
621
|
|||||||||||||||
400,001
- 425,000
|
21
|
8,646,475
|
3.11
|
7.715
|
358
|
78.56
|
601
|
|||||||||||||||
425,001
- 450,000
|
4
|
1,739,590
|
0.62
|
8.301
|
387
|
74.60
|
555
|
|||||||||||||||
450,001
- 475,000
|
1
|
473,832
|
0.17
|
7.100
|
358
|
64.05
|
626
|
|||||||||||||||
475,001
- 500,000
|
2
|
984,874
|
0.35
|
7.825
|
358
|
82.50
|
653
|
|||||||||||||||
500,001
- 750,000
|
9
|
4,722,086
|
1.70
|
8.288
|
372
|
79.54
|
622
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,506
|
$
|
278,392,074
|
100.00
|
%
|
8.367
|
%
|
359
|
80.37
|
%
|
606
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
120
|
1
|
$
|
59,890
|
0.02
|
%
|
9.750
|
%
|
117
|
80.00
|
%
|
566
|
|||||||||||
180
|
13
|
1,075,412
|
0.39
|
8.761
|
178
|
76.69
|
590
|
|||||||||||||||
240
|
138
|
6,157,453
|
2.21
|
11.284
|
238
|
94.86
|
631
|
|||||||||||||||
300
|
6
|
802,811
|
0.29
|
8.064
|
297
|
71.71
|
624
|
|||||||||||||||
360
|
1,290
|
258,797,821
|
92.96
|
8.298
|
358
|
80.16
|
606
|
|||||||||||||||
480
|
58
|
11,498,687
|
4.13
|
8.338
|
477
|
78.31
|
609
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,506
|
$
|
278,392,074
|
100.00
|
%
|
8.367
|
%
|
359
|
80.37
|
%
|
606
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
109
- 120
|
1
|
$
|
59,890
|
0.02
|
%
|
9.750
|
%
|
117
|
80.00
|
%
|
566
|
|||||||||||
169
- 180
|
13
|
1,075,412
|
0.39
|
8.761
|
178
|
76.69
|
590
|
|||||||||||||||
205
- 216
|
1
|
14,716
|
0.01
|
9.875
|
210
|
100.00
|
719
|
|||||||||||||||
229
- 240
|
137
|
6,142,738
|
2.21
|
11.288
|
238
|
94.85
|
631
|
|||||||||||||||
289
- 300
|
6
|
802,811
|
0.29
|
8.064
|
297
|
71.71
|
624
|
|||||||||||||||
337
- 348
|
1
|
155,796
|
0.06
|
8.300
|
346
|
85.00
|
549
|
|||||||||||||||
349
- 360
|
1,289
|
258,642,025
|
92.91
|
8.298
|
358
|
80.16
|
606
|
|||||||||||||||
469
- 480
|
58
|
11,498,687
|
4.13
|
8.338
|
477
|
78.31
|
609
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,506
|
$
|
278,392,074
|
100.00
|
%
|
8.367
|
%
|
359
|
80.37
|
%
|
606
|
Range
of Combined Original LTV Ratios (%)
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
|||||||||||||||
15.01
- 20.00
|
5
|
$
|
427,702
|
0.15
|
%
|
8.866
|
%
|
357
|
18.34
|
%
|
590
|
|||||||||||
20.01
- 25.00
|
1
|
74,857
|
0.03
|
9.700
|
356
|
22.03
|
597
|
|||||||||||||||
25.01
- 30.00
|
4
|
699,234
|
0.25
|
7.439
|
401
|
27.08
|
626
|
|||||||||||||||
30.01
- 35.00
|
8
|
728,902
|
0.26
|
7.676
|
335
|
32.94
|
623
|
|||||||||||||||
35.01
- 40.00
|
10
|
1,522,644
|
0.55
|
8.226
|
379
|
37.55
|
576
|
|||||||||||||||
40.01
- 45.00
|
14
|
2,053,791
|
0.74
|
8.209
|
358
|
42.07
|
590
|
|||||||||||||||
45.01
- 50.00
|
26
|
4,497,478
|
1.62
|
8.189
|
361
|
47.46
|
591
|
|||||||||||||||
50.01
- 55.00
|
26
|
5,240,846
|
1.88
|
8.360
|
369
|
53.59
|
575
|
|||||||||||||||
55.01
- 60.00
|
40
|
7,418,971
|
2.66
|
8.174
|
358
|
58.25
|
580
|
|||||||||||||||
60.01
- 65.00
|
64
|
13,276,820
|
4.77
|
7.951
|
354
|
63.31
|
585
|
|||||||||||||||
65.01
- 70.00
|
87
|
19,159,285
|
6.88
|
7.859
|
365
|
68.20
|
593
|
|||||||||||||||
70.01
- 75.00
|
127
|
28,667,801
|
10.30
|
8.128
|
363
|
73.94
|
584
|
|||||||||||||||
75.01
- 80.00
|
333
|
67,142,917
|
24.12
|
8.016
|
360
|
79.47
|
608
|
|||||||||||||||
80.01
- 85.00
|
142
|
28,063,406
|
10.08
|
8.441
|
358
|
84.58
|
606
|
|||||||||||||||
85.01
- 90.00
|
219
|
45,529,509
|
16.35
|
8.408
|
361
|
89.47
|
619
|
|||||||||||||||
90.01
- 95.00
|
173
|
34,503,909
|
12.39
|
8.490
|
363
|
94.62
|
624
|
|||||||||||||||
95.01
- 100.00
|
227
|
19,384,003
|
6.96
|
10.487
|
331
|
99.94
|
625
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,506
|
$
|
278,392,074
|
100.00
|
%
|
8.367
|
%
|
359
|
80.37
|
%
|
606
|
(1) |
The
Combined Original Loan-to-Value ratio of a mortgage loan is equal
to the
ratio (expressed as a percentage) of the original stated principal
balance
of the mortgage loan plus, in the case of a second lien mortgage
loan, any
senior lien balances and the fair market value of the mortgaged
premises
at the time of origination. The fair market value is the lower
of (i) the
purchase price and (ii) the appraised value in the case of purchases
and
is the appraised value in all other
cases.
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Fixed
Rate Loans
|
476
|
$
|
61,364,645
|
22.04
|
%
|
8.619
|
%
|
360
|
78.41
|
%
|
606
|
|||||||||||
4.001
- 4.500
|
31
|
6,354,887
|
2.28
|
8.574
|
358
|
84.89
|
621
|
|||||||||||||||
4.501
- 5.000
|
4
|
912,252
|
0.33
|
8.243
|
357
|
78.72
|
644
|
|||||||||||||||
5.001
- 5.500
|
182
|
41,422,152
|
14.88
|
7.713
|
358
|
78.53
|
608
|
|||||||||||||||
5.501
- 6.000
|
178
|
36,372,676
|
13.07
|
7.708
|
358
|
70.33
|
607
|
|||||||||||||||
6.001
- 6.500
|
374
|
81,107,673
|
29.13
|
8.425
|
359
|
79.53
|
597
|
|||||||||||||||
6.501
- 7.000
|
244
|
48,628,688
|
17.47
|
8.883
|
360
|
92.59
|
617
|
|||||||||||||||
7.001
- 7.500
|
9
|
1,103,461
|
0.40
|
10.408
|
357
|
85.13
|
637
|
|||||||||||||||
7.501
- 8.000
|
4
|
628,853
|
0.23
|
10.311
|
355
|
93.94
|
571
|
|||||||||||||||
8.001
- 8.500
|
2
|
345,622
|
0.12
|
10.288
|
356
|
60.58
|
623
|
|||||||||||||||
8.501
- 9.000
|
1
|
89,486
|
0.03
|
10.925
|
356
|
100.00
|
590
|
|||||||||||||||
9.501
- 10.000
|
1
|
61,678
|
0.02
|
11.990
|
356
|
79.99
|
539
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,506
|
$
|
278,392,074
|
100.00
|
%
|
8.367
|
%
|
359
|
80.37
|
%
|
606
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Fixed
Rate Loans
|
476
|
$
|
61,364,645
|
22.04
|
%
|
8.619
|
%
|
360
|
78.41
|
%
|
606
|
|||||||||||
5.000
or less
|
34
|
6,929,099
|
2.49
|
8.608
|
358
|
83.83
|
618
|
|||||||||||||||
5.001
- 5.500
|
173
|
39,582,091
|
14.22
|
7.689
|
358
|
79.23
|
609
|
|||||||||||||||
5.501
- 6.000
|
155
|
32,186,832
|
11.56
|
7.673
|
358
|
69.50
|
604
|
|||||||||||||||
6.001
- 6.500
|
344
|
75,649,463
|
27.17
|
8.362
|
359
|
79.23
|
598
|
|||||||||||||||
6.501
- 7.000
|
227
|
46,369,154
|
16.66
|
8.770
|
359
|
91.92
|
616
|
|||||||||||||||
7.001
- 7.500
|
13
|
2,877,739
|
1.03
|
8.504
|
358
|
78.86
|
627
|
|||||||||||||||
7.501
- 8.000
|
13
|
2,825,074
|
1.01
|
8.312
|
357
|
82.46
|
602
|
|||||||||||||||
8.001
- 8.500
|
9
|
1,796,372
|
0.65
|
8.811
|
357
|
83.25
|
615
|
|||||||||||||||
8.501
- 9.000
|
17
|
2,893,761
|
1.04
|
9.212
|
357
|
85.67
|
607
|
|||||||||||||||
9.001
- 9.500
|
13
|
1,950,189
|
0.70
|
9.354
|
357
|
77.63
|
597
|
|||||||||||||||
9.501
- 10.000
|
12
|
1,440,623
|
0.52
|
9.890
|
357
|
83.82
|
586
|
|||||||||||||||
10.001
- 10.500
|
11
|
1,288,276
|
0.46
|
10.473
|
357
|
83.56
|
626
|
|||||||||||||||
10.501
- 11.000
|
3
|
617,297
|
0.22
|
10.783
|
418
|
96.68
|
608
|
|||||||||||||||
11.001
- 11.500
|
2
|
266,324
|
0.10
|
11.050
|
357
|
80.00
|
665
|
|||||||||||||||
11.501
- 12.000
|
4
|
355,133
|
0.13
|
11.792
|
357
|
96.52
|
574
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,506
|
$
|
278,392,074
|
100.00
|
%
|
8.367
|
%
|
359
|
80.37
|
%
|
606
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average
FICO
Score
|
||||||||||||||||
Fixed
Rate Loans
|
476
|
$
|
61,364,645
|
22.04
|
%
|
8.619
|
%
|
360
|
78.41
|
%
|
606
|
|||||||||||
12.500
or less
|
42
|
10,327,849
|
3.71
|
6.258
|
358
|
75.09
|
648
|
|||||||||||||||
12.501
- 13.000
|
94
|
23,478,114
|
8.43
|
6.831
|
358
|
76.18
|
626
|
|||||||||||||||
13.001
- 13.500
|
119
|
26,919,435
|
9.67
|
7.327
|
358
|
78.35
|
623
|
|||||||||||||||
13.501
- 14.000
|
155
|
34,316,797
|
12.33
|
7.802
|
358
|
81.58
|
620
|
|||||||||||||||
14.001
- 14.500
|
141
|
32,867,324
|
11.81
|
8.306
|
359
|
80.23
|
603
|
|||||||||||||||
14.501
- 15.000
|
170
|
35,089,727
|
12.60
|
8.797
|
360
|
82.00
|
596
|
|||||||||||||||
15.001
- 15.500
|
102
|
20,350,937
|
7.31
|
9.268
|
358
|
81.91
|
587
|
|||||||||||||||
15.501
- 16.000
|
97
|
17,548,346
|
6.30
|
9.654
|
359
|
84.54
|
580
|
|||||||||||||||
16.001
- 16.500
|
58
|
8,918,227
|
3.20
|
10.219
|
360
|
87.78
|
574
|
|||||||||||||||
16.501
- 17.000
|
25
|
4,139,667
|
1.49
|
10.741
|
367
|
89.53
|
572
|
|||||||||||||||
17.001
- 17.500
|
15
|
1,824,120
|
0.66
|
11.146
|
358
|
84.86
|
581
|
|||||||||||||||
17.501
- 18.000
|
8
|
936,111
|
0.34
|
11.744
|
357
|
93.51
|
573
|
|||||||||||||||
18.001
- 18.500
|
3
|
249,096
|
0.09
|
12.231
|
358
|
100.00
|
580
|
|||||||||||||||
18.501
- 19.000
|
1
|
61,678
|
0.02
|
11.990
|
356
|
79.99
|
539
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,506
|
$
|
278,392,074
|
100.00
|
%
|
8.367
|
%
|
359
|
80.37
|
%
|
606
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average
FICO
Score
|
||||||||||||||||
Fixed
Rate Loans
|
476
|
$
|
61,364,645
|
22.04
|
%
|
8.619
|
%
|
360
|
78.41
|
%
|
606
|
|||||||||||
1.000
|
2
|
423,539
|
0.15
|
8.926
|
358
|
80.00
|
579
|
|||||||||||||||
2.000
|
2
|
239,490
|
0.09
|
9.353
|
357
|
87.17
|
591
|
|||||||||||||||
3.000
|
1,026
|
216,364,399
|
77.72
|
8.293
|
359
|
80.92
|
606
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,506
|
$
|
278,392,074
|
100.00
|
%
|
8.367
|
%
|
359
|
80.37
|
%
|
606
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average
FICO Score
|
||||||||||||||||
Fixed
Rate Loans
|
476
|
$
|
61,364,645
|
22.04
|
%
|
8.619
|
%
|
360
|
78.41
|
%
|
606
|
|||||||||||
1.000
|
1,026
|
216,628,320
|
77.81
|
8.293
|
359
|
80.92
|
606
|
|||||||||||||||
1.500
|
4
|
399,108
|
0.14
|
9.985
|
358
|
85.47
|
570
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,506
|
$
|
278,392,074
|
100.00
|
%
|
8.367
|
%
|
359
|
80.37
|
%
|
606
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Fixed
Rate Loans
|
476
|
$
|
61,364,645
|
22.04
|
%
|
8.619
|
%
|
360
|
78.41
|
%
|
606
|
|||||||||||
19
|
2
|
352,696
|
0.13
|
9.566
|
355
|
95.00
|
567
|
|||||||||||||||
20
|
40
|
8,199,548
|
2.95
|
8.516
|
356
|
78.77
|
602
|
|||||||||||||||
21
|
228
|
48,331,647
|
17.36
|
8.330
|
357
|
79.75
|
598
|
|||||||||||||||
22
|
204
|
41,989,244
|
15.08
|
8.414
|
360
|
80.20
|
603
|
|||||||||||||||
23
|
137
|
28,399,108
|
10.20
|
8.247
|
359
|
82.67
|
609
|
|||||||||||||||
31
|
2
|
233,003
|
0.08
|
9.417
|
355
|
80.00
|
660
|
|||||||||||||||
32
|
23
|
3,857,601
|
1.39
|
9.213
|
356
|
80.16
|
599
|
|||||||||||||||
33
|
172
|
37,463,806
|
13.46
|
8.145
|
358
|
80.44
|
606
|
|||||||||||||||
34
|
140
|
31,232,643
|
11.22
|
8.153
|
361
|
81.62
|
616
|
|||||||||||||||
35
|
82
|
16,968,132
|
6.10
|
8.224
|
359
|
83.85
|
619
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,506
|
$
|
278,392,074
|
100.00
|
%
|
8.367
|
%
|
359
|
80.37
|
%
|
606
|
Geograhic
Distribution of Mortgaged Properties
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
|||||||||||||||
California
|
171
|
$
|
46,807,824
|
16.81
|
%
|
7.738
|
%
|
359
|
74.19
|
%
|
608
|
|||||||||||
Maryland
|
198
|
44,171,019
|
15.87
|
7.900
|
358
|
81.11
|
607
|
|||||||||||||||
Florida
|
140
|
25,922,644
|
9.31
|
8.127
|
366
|
78.67
|
610
|
|||||||||||||||
New
York
|
60
|
18,178,467
|
6.53
|
8.394
|
368
|
76.37
|
606
|
|||||||||||||||
Virginia
|
81
|
16,442,542
|
5.91
|
8.095
|
353
|
81.52
|
608
|
|||||||||||||||
Georgia
|
83
|
12,514,063
|
4.50
|
9.235
|
353
|
85.37
|
605
|
|||||||||||||||
Arizona
|
69
|
12,400,584
|
4.45
|
8.268
|
363
|
78.07
|
603
|
|||||||||||||||
Ohio
|
107
|
11,132,966
|
4.00
|
9.259
|
361
|
90.45
|
606
|
|||||||||||||||
Washington
|
35
|
6,959,599
|
2.50
|
8.255
|
356
|
80.76
|
592
|
|||||||||||||||
New
Jersey
|
24
|
5,877,327
|
2.11
|
8.795
|
367
|
80.12
|
610
|
|||||||||||||||
Illinois
|
37
|
5,819,946
|
2.09
|
9.054
|
352
|
88.97
|
622
|
|||||||||||||||
Oregon
|
26
|
4,778,072
|
1.72
|
8.308
|
360
|
77.55
|
609
|
|||||||||||||||
Pennsylvania
|
43
|
4,400,435
|
1.58
|
8.775
|
350
|
82.77
|
600
|
|||||||||||||||
Tennessee
|
35
|
4,312,402
|
1.55
|
9.012
|
359
|
88.96
|
609
|
|||||||||||||||
Texas
|
41
|
4,193,551
|
1.51
|
9.072
|
345
|
87.69
|
624
|
|||||||||||||||
Other
|
356
|
54,480,633
|
19.57
|
8.875
|
357
|
82.05
|
600
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,506
|
$
|
278,392,074
|
100.00
|
%
|
8.367
|
%
|
359
|
80.37
|
%
|
606
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Primary
|
1,398
|
$
|
258,622,130
|
92.90
|
%
|
8.346
|
%
|
359
|
80.66
|
%
|
604
|
|||||||||||
Investment
|
98
|
17,890,466
|
6.43
|
8.663
|
362
|
76.77
|
638
|
|||||||||||||||
Second
Home
|
10
|
1,879,478
|
0.68
|
8.431
|
357
|
74.08
|
665
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,506
|
$
|
278,392,074
|
100.00
|
%
|
8.367
|
%
|
359
|
80.37
|
%
|
606
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Single
Family Residence
|
1,204
|
$
|
213,751,155
|
76.78
|
%
|
8.398
|
%
|
359
|
80.46
|
%
|
603
|
|||||||||||
Planned
Unit Development
|
160
|
33,590,015
|
12.07
|
8.193
|
358
|
83.04
|
613
|
|||||||||||||||
2-4
Family
|
56
|
17,024,753
|
6.12
|
8.258
|
366
|
73.36
|
610
|
|||||||||||||||
Condominium
|
86
|
14,026,151
|
5.04
|
8.432
|
353
|
81.15
|
626
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,506
|
$
|
278,392,074
|
100.00
|
%
|
8.367
|
%
|
359
|
80.37
|
%
|
606
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Refinance
- Cashout
|
1,171
|
$
|
232,271,563
|
83.43
|
%
|
8.268
|
%
|
359
|
79.12
|
%
|
604
|
|||||||||||
Purchase
|
253
|
32,145,951
|
11.55
|
9.085
|
357
|
87.06
|
618
|
|||||||||||||||
Refinance
- Rate Term
|
82
|
13,974,560
|
5.02
|
8.354
|
357
|
85.79
|
615
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,506
|
$
|
278,392,074
|
100.00
|
%
|
8.367
|
%
|
359
|
80.37
|
%
|
606
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Full
Documentation
|
963
|
$
|
157,857,204
|
56.70
|
%
|
8.274
|
%
|
357
|
83.04
|
%
|
604
|
|||||||||||
Stated
Documentation
|
512
|
114,043,298
|
40.96
|
8.520
|
362
|
77.15
|
610
|
|||||||||||||||
Limited
Documentation
|
31
|
6,491,572
|
2.33
|
7.950
|
353
|
71.93
|
594
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,506
|
$
|
278,392,074
|
100.00
|
%
|
8.367
|
%
|
359
|
80.37
|
%
|
606
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
500
- 524
|
78
|
$
|
11,967,816
|
4.30
|
%
|
9.925
|
%
|
354
|
70.85
|
%
|
512
|
|||||||||||
525
- 549
|
89
|
15,311,653
|
5.50
|
9.181
|
356
|
71.65
|
537
|
|||||||||||||||
550
- 574
|
211
|
43,623,379
|
15.67
|
8.551
|
361
|
75.91
|
562
|
|||||||||||||||
575
- 599
|
324
|
59,298,223
|
21.30
|
8.499
|
362
|
79.09
|
586
|
|||||||||||||||
600
- 624
|
323
|
58,220,754
|
20.91
|
8.227
|
360
|
83.90
|
611
|
|||||||||||||||
625
- 649
|
220
|
41,180,966
|
14.79
|
8.155
|
357
|
83.81
|
635
|
|||||||||||||||
650
- 674
|
121
|
23,801,609
|
8.55
|
7.851
|
354
|
85.02
|
660
|
|||||||||||||||
675
- 699
|
77
|
14,591,759
|
5.24
|
7.626
|
357
|
83.34
|
685
|
|||||||||||||||
700
- 724
|
28
|
3,670,989
|
1.32
|
7.595
|
349
|
82.69
|
713
|
|||||||||||||||
725
- 749
|
17
|
2,860,419
|
1.03
|
7.995
|
355
|
83.13
|
733
|
|||||||||||||||
750
- 774
|
12
|
2,748,040
|
0.99
|
7.361
|
372
|
79.78
|
761
|
|||||||||||||||
775
- 799
|
5
|
903,902
|
0.32
|
8.066
|
358
|
79.26
|
789
|
|||||||||||||||
800
+
|
1
|
212,564
|
0.08
|
7.950
|
357
|
94.67
|
806
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,506
|
$
|
278,392,074
|
100.00
|
%
|
8.367
|
%
|
359
|
80.37
|
%
|
606
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
0
|
543
|
$
|
103,505,503
|
37.18
|
%
|
8.542
|
%
|
356
|
81.94
|
%
|
605
|
|||||||||||
12
|
33
|
6,909,259
|
2.48
|
8.416
|
382
|
71.96
|
619
|
|||||||||||||||
24
|
470
|
93,728,942
|
33.67
|
8.219
|
357
|
80.49
|
604
|
|||||||||||||||
30
|
4
|
788,528
|
0.28
|
8.693
|
387
|
94.01
|
644
|
|||||||||||||||
36
|
456
|
73,459,841
|
26.39
|
8.300
|
364
|
78.65
|
609
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,506
|
$
|
278,392,074
|
100.00
|
%
|
8.367
|
%
|
359
|
80.37
|
%
|
606
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
1st
Lien
|
1,372
|
$
|
273,178,394
|
98.13
|
%
|
8.300
|
%
|
361
|
80.00
|
%
|
606
|
|||||||||||
2nd
Lien
|
134
|
5,213,680
|
1.87
|
11.888
|
237
|
99.74
|
642
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,506
|
$
|
278,392,074
|
100.00
|
%
|
8.367
|
%
|
359
|
80.37
|
%
|
606
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
0
|
1,228
|
$
|
212,225,510
|
76.23
|
%
|
8.573
|
%
|
359
|
80.36
|
%
|
599
|
|||||||||||
60
|
278
|
66,166,564
|
23.77
|
7.705
|
358
|
80.39
|
629
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,506
|
$
|
278,392,074
|
100.00
|
%
|
8.367
|
%
|
359
|
80.37
|
%
|
606
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
SAXON
|
1,628
|
$
|
343,779,652
|
100.00
|
%
|
8.350
|
%
|
360
|
80.08
|
%
|
609
|
|||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,628
|
$
|
343,779,652
|
100.00
|
%
|
8.350
|
%
|
360
|
80.08
|
%
|
609
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Fixed
- 10 Year
|
2
|
$
|
155,467
|
0.05
|
%
|
7.392
|
%
|
118
|
66.79
|
%
|
745
|
|||||||||||
Fixed
- 15 Year
|
8
|
792,055
|
0.23
|
7.812
|
177
|
57.75
|
647
|
|||||||||||||||
Fixed
- 20 Year
|
5
|
539,494
|
0.16
|
7.542
|
237
|
73.88
|
690
|
|||||||||||||||
Fixed
- 25 Year
|
8
|
1,285,991
|
0.37
|
7.200
|
297
|
79.95
|
646
|
|||||||||||||||
Fixed
- 30 Year
|
177
|
31,303,272
|
9.11
|
8.078
|
357
|
76.38
|
636
|
|||||||||||||||
Fixed
- 40 Year
|
36
|
10,339,614
|
3.01
|
7.822
|
477
|
78.85
|
640
|
|||||||||||||||
Balloon
- 15/30
|
8
|
386,207
|
0.11
|
11.652
|
174
|
100.00
|
642
|
|||||||||||||||
Balloon
- 20/30
|
77
|
5,529,101
|
1.61
|
11.883
|
238
|
99.61
|
652
|
|||||||||||||||
Balloon
- 30/40
|
15
|
2,639,954
|
0.77
|
8.107
|
357
|
83.57
|
638
|
|||||||||||||||
Balloon
- 30/50
|
17
|
4,365,584
|
1.27
|
8.141
|
357
|
75.98
|
620
|
|||||||||||||||
ARM
- 2 Year/6 Month Balloon 30/40
|
193
|
40,343,595
|
11.74
|
8.489
|
358
|
79.56
|
592
|
|||||||||||||||
ARM
- 2 Year/6 Month Balloon 30/50
|
136
|
33,667,300
|
9.79
|
8.485
|
358
|
81.06
|
585
|
|||||||||||||||
ARM
- 3 Year/6 Month Balloon 30/40
|
128
|
34,736,919
|
10.10
|
8.035
|
358
|
80.89
|
603
|
|||||||||||||||
ARM
- 3 Year/6 Month Balloon 30/50
|
88
|
19,769,234
|
5.75
|
8.016
|
358
|
80.02
|
594
|
|||||||||||||||
ARM
- 5 Year/6 Month Balloon 30/50
|
2
|
300,463
|
0.09
|
10.087
|
358
|
96.56
|
609
|
|||||||||||||||
ARM
- 2 Year/6 Month
|
297
|
52,313,202
|
15.22
|
8.622
|
358
|
78.72
|
600
|
|||||||||||||||
ARM
- 3 Year/6 Month
|
251
|
43,300,486
|
12.60
|
8.742
|
358
|
79.21
|
593
|
|||||||||||||||
ARM
- 5 Year/6 Month
|
2
|
395,833
|
0.12
|
8.229
|
355
|
43.04
|
592
|
|||||||||||||||
ARM
- 2 Year/6 Month - 40 Years
|
7
|
2,314,190
|
0.67
|
8.761
|
477
|
80.66
|
593
|
|||||||||||||||
ARM
- 3 Year/6 Month - 40 Years
|
9
|
2,036,101
|
0.59
|
8.813
|
478
|
78.67
|
568
|
|||||||||||||||
Interest
Only Fixed - 20 Year - 60 mo. IO term
|
1
|
104,650
|
0.03
|
6.999
|
237
|
65.00
|
617
|
|||||||||||||||
Interest
Only Fixed - 30 Year - 60 mo. IO term
|
20
|
6,100,369
|
1.77
|
7.409
|
357
|
75.50
|
642
|
|||||||||||||||
Interest
Only ARM - 2 Year/6 Month - 60 mo. IO term
|
75
|
27,093,760
|
7.88
|
8.165
|
358
|
85.24
|
640
|
|||||||||||||||
Interest
Only ARM - 3 Year/6 Month - 60 mo. IO term
|
63
|
23,373,763
|
6.80
|
7.594
|
357
|
80.58
|
638
|
|||||||||||||||
Interest
Only ARM - 5 Year/6 Month - 60 mo. IO term
|
3
|
593,049
|
0.17
|
7.714
|
359
|
83.81
|
652
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,628
|
$
|
343,779,652
|
100.00
|
%
|
8.350
|
%
|
360
|
80.08
|
%
|
609
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
5.000
- 5.999
|
4
|
$
|
1,386,202
|
0.40
|
%
|
5.792
|
%
|
358
|
82.12
|
%
|
696
|
|||||||||||
6.000
- 6.999
|
177
|
47,412,381
|
13.79
|
6.732
|
362
|
76.04
|
645
|
|||||||||||||||
7.000
- 7.999
|
402
|
105,638,802
|
30.73
|
7.584
|
361
|
78.08
|
623
|
|||||||||||||||
8.000
- 8.999
|
459
|
103,748,549
|
30.18
|
8.509
|
364
|
80.71
|
599
|
|||||||||||||||
9.000
- 9.999
|
308
|
53,357,602
|
15.52
|
9.496
|
360
|
81.66
|
581
|
|||||||||||||||
10.000
- 10.999
|
146
|
21,194,586
|
6.17
|
10.458
|
352
|
85.27
|
576
|
|||||||||||||||
11.000
- 11.999
|
81
|
7,394,763
|
2.15
|
11.530
|
316
|
90.93
|
601
|
|||||||||||||||
12.000
- 12.999
|
39
|
3,029,075
|
0.88
|
12.344
|
283
|
95.37
|
617
|
|||||||||||||||
13.000
- 13.999
|
11
|
562,702
|
0.16
|
13.489
|
242
|
100.00
|
587
|
|||||||||||||||
14.000
- 14.999
|
1
|
54,990
|
0.02
|
14.100
|
239
|
100.00
|
582
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,628
|
$
|
343,779,652
|
100.00
|
%
|
8.350
|
%
|
360
|
80.08
|
%
|
609
|
Range
of Cut-off Date Principal Balances ($)
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
|||||||||||||||
1
-
25,000
|
5
|
$
|
96,519
|
0.03
|
%
|
12.830
|
%
|
254
|
100.00
|
%
|
634
|
|||||||||||
25,001
- 50,000
|
42
|
1,734,822
|
0.50
|
11.367
|
282
|
88.05
|
628
|
|||||||||||||||
50,001
- 75,000
|
142
|
8,864,606
|
2.58
|
9.923
|
335
|
80.01
|
602
|
|||||||||||||||
75,001
- 100,000
|
195
|
17,186,686
|
5.00
|
9.267
|
344
|
79.24
|
600
|
|||||||||||||||
100,001
- 125,000
|
172
|
19,248,477
|
5.60
|
9.073
|
350
|
79.37
|
598
|
|||||||||||||||
125,001
- 150,000
|
146
|
20,065,751
|
5.84
|
8.692
|
357
|
80.51
|
601
|
|||||||||||||||
150,001
- 175,000
|
154
|
25,095,116
|
7.30
|
8.704
|
361
|
79.55
|
595
|
|||||||||||||||
175,001
- 200,000
|
144
|
27,031,826
|
7.86
|
8.246
|
360
|
79.02
|
602
|
|||||||||||||||
200,001
- 225,000
|
104
|
22,234,441
|
6.47
|
8.377
|
356
|
78.74
|
604
|
|||||||||||||||
225,001
- 250,000
|
70
|
16,768,081
|
4.88
|
8.106
|
364
|
79.43
|
601
|
|||||||||||||||
250,001
- 275,000
|
63
|
16,513,600
|
4.80
|
8.287
|
365
|
81.18
|
605
|
|||||||||||||||
275,001
- 300,000
|
52
|
15,029,681
|
4.37
|
8.088
|
359
|
81.39
|
611
|
|||||||||||||||
300,001
- 325,000
|
36
|
11,265,047
|
3.28
|
8.156
|
361
|
80.66
|
603
|
|||||||||||||||
325,001
- 350,000
|
33
|
11,149,774
|
3.24
|
8.163
|
358
|
83.17
|
624
|
|||||||||||||||
350,001
- 375,000
|
29
|
10,485,638
|
3.05
|
7.812
|
357
|
79.61
|
614
|
|||||||||||||||
375,001
- 400,000
|
23
|
8,891,950
|
2.59
|
7.890
|
358
|
81.67
|
634
|
|||||||||||||||
400,001
- 425,000
|
28
|
11,640,168
|
3.39
|
8.207
|
362
|
76.77
|
597
|
|||||||||||||||
425,001
- 450,000
|
37
|
16,287,141
|
4.74
|
7.891
|
364
|
80.66
|
621
|
|||||||||||||||
450,001
- 475,000
|
31
|
14,342,647
|
4.17
|
7.956
|
369
|
85.10
|
617
|
|||||||||||||||
475,001
- 500,000
|
35
|
17,096,321
|
4.97
|
8.140
|
361
|
80.34
|
624
|
|||||||||||||||
500,001
- 750,000
|
79
|
45,548,872
|
13.25
|
7.857
|
367
|
80.45
|
622
|
|||||||||||||||
750,001
- 1,000,000
|
8
|
7,202,489
|
2.10
|
8.503
|
390
|
70.80
|
620
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,628
|
$
|
343,779,652
|
100.00
|
%
|
8.350
|
%
|
360
|
80.08
|
%
|
609
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
120
|
2
|
$
|
155,467
|
0.05
|
%
|
7.392
|
%
|
118
|
66.79
|
%
|
745
|
|||||||||||
180
|
16
|
1,178,262
|
0.34
|
9.070
|
176
|
71.60
|
645
|
|||||||||||||||
240
|
83
|
6,173,244
|
1.80
|
11.421
|
238
|
96.77
|
655
|
|||||||||||||||
300
|
8
|
1,285,991
|
0.37
|
7.200
|
297
|
79.95
|
646
|
|||||||||||||||
360
|
1,467
|
320,296,783
|
93.17
|
8.304
|
358
|
79.84
|
608
|
|||||||||||||||
480
|
52
|
14,689,905
|
4.27
|
8.107
|
477
|
79.11
|
622
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,628
|
$
|
343,779,652
|
100.00
|
%
|
8.350
|
%
|
360
|
80.08
|
%
|
609
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
109
- 120
|
2
|
$
|
155,467
|
0.05
|
%
|
7.392
|
%
|
118
|
66.79
|
%
|
745
|
|||||||||||
169
- 180
|
16
|
1,178,262
|
0.34
|
9.070
|
176
|
71.60
|
645
|
|||||||||||||||
217
- 228
|
2
|
79,925
|
0.02
|
11.358
|
223
|
100.00
|
613
|
|||||||||||||||
229
- 240
|
81
|
6,093,319
|
1.77
|
11.422
|
238
|
96.73
|
655
|
|||||||||||||||
289
- 300
|
8
|
1,285,991
|
0.37
|
7.200
|
297
|
79.95
|
646
|
|||||||||||||||
337
- 348
|
1
|
90,795
|
0.03
|
8.875
|
345
|
80.00
|
519
|
|||||||||||||||
349
- 360
|
1,466
|
320,205,988
|
93.14
|
8.304
|
358
|
79.84
|
608
|
|||||||||||||||
469
- 480
|
52
|
14,689,905
|
4.27
|
8.107
|
477
|
79.11
|
622
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,628
|
$
|
343,779,652
|
100.00
|
%
|
8.350
|
%
|
360
|
80.08
|
%
|
609
|
Range
of Combined Original LTV Ratios (%)
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
|||||||||||||||
15.01
- 20.00
|
2
|
$
|
144,912
|
0.04
|
%
|
8.017
|
%
|
358
|
18.11
|
%
|
610
|
|||||||||||
20.01
- 25.00
|
3
|
228,539
|
0.07
|
8.797
|
357
|
21.92
|
601
|
|||||||||||||||
25.01
- 30.00
|
7
|
697,678
|
0.20
|
8.932
|
327
|
28.87
|
567
|
|||||||||||||||
30.01
- 35.00
|
5
|
376,442
|
0.11
|
8.324
|
374
|
32.38
|
557
|
|||||||||||||||
35.01
- 40.00
|
5
|
1,354,810
|
0.39
|
8.869
|
357
|
36.92
|
566
|
|||||||||||||||
40.01
- 45.00
|
12
|
2,370,295
|
0.69
|
7.959
|
365
|
43.29
|
562
|
|||||||||||||||
45.01
- 50.00
|
30
|
5,545,580
|
1.61
|
8.221
|
353
|
48.08
|
607
|
|||||||||||||||
50.01
- 55.00
|
36
|
7,180,853
|
2.09
|
8.336
|
358
|
52.50
|
580
|
|||||||||||||||
55.01
- 60.00
|
49
|
8,784,641
|
2.56
|
8.086
|
364
|
57.91
|
596
|
|||||||||||||||
60.01
- 65.00
|
66
|
16,271,964
|
4.73
|
7.939
|
361
|
63.19
|
601
|
|||||||||||||||
65.01
- 70.00
|
91
|
19,561,545
|
5.69
|
8.217
|
358
|
68.61
|
595
|
|||||||||||||||
70.01
- 75.00
|
140
|
30,804,184
|
8.96
|
7.904
|
361
|
73.81
|
598
|
|||||||||||||||
75.01
- 80.00
|
450
|
98,262,568
|
28.58
|
8.025
|
364
|
79.60
|
616
|
|||||||||||||||
80.01
- 85.00
|
213
|
45,416,071
|
13.21
|
8.308
|
362
|
84.23
|
599
|
|||||||||||||||
85.01
- 90.00
|
280
|
67,084,046
|
19.51
|
8.501
|
363
|
89.56
|
613
|
|||||||||||||||
90.01
- 95.00
|
61
|
16,482,725
|
4.79
|
8.429
|
356
|
94.91
|
622
|
|||||||||||||||
95.01
- 100.00
|
178
|
23,212,799
|
6.75
|
10.434
|
330
|
99.94
|
639
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,628
|
$
|
343,779,652
|
100.00
|
%
|
8.350
|
%
|
360
|
80.08
|
%
|
609
|
(1) |
The
Combined Original Loan-to-Value ratio of a mortgage loan is equal
to the
ratio (expressed as a percentage) of the original stated principal
balance
of the mortgage loan plus, in the case of a second lien mortgage
loan, any
senior lien balances and the fair market value of the mortgaged
premises
at the time of origination. The fair market value is the lower
of (i) the
purchase price and (ii) the appraised value in the case of purchases
and
is the appraised value in all other
cases.
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Fixed
Rate Loans
|
374
|
$
|
63,541,757
|
18.48
|
%
|
8.301
|
%
|
360
|
78.91
|
%
|
638
|
|||||||||||
4.001
- 4.500
|
25
|
6,365,848
|
1.85
|
8.596
|
363
|
83.33
|
614
|
|||||||||||||||
4.501
- 5.000
|
6
|
1,974,904
|
0.57
|
7.094
|
357
|
67.81
|
657
|
|||||||||||||||
5.001
- 5.500
|
166
|
43,609,082
|
12.69
|
8.065
|
362
|
75.58
|
588
|
|||||||||||||||
5.501
- 6.000
|
287
|
56,734,401
|
16.50
|
7.893
|
358
|
73.14
|
605
|
|||||||||||||||
6.001
- 6.500
|
491
|
108,615,611
|
31.59
|
8.370
|
360
|
81.41
|
600
|
|||||||||||||||
6.501
- 7.000
|
219
|
51,481,810
|
14.98
|
8.957
|
359
|
89.90
|
618
|
|||||||||||||||
7.001
- 7.500
|
31
|
5,750,675
|
1.67
|
9.070
|
356
|
85.02
|
603
|
|||||||||||||||
7.501
- 8.000
|
14
|
2,674,190
|
0.78
|
9.199
|
363
|
78.13
|
564
|
|||||||||||||||
8.001
- 8.500
|
9
|
1,983,304
|
0.58
|
9.080
|
356
|
73.37
|
588
|
|||||||||||||||
8.501
- 9.000
|
5
|
955,122
|
0.28
|
9.164
|
355
|
85.25
|
583
|
|||||||||||||||
9.501
- 10.000
|
1
|
92,946
|
0.03
|
11.990
|
358
|
100.00
|
588
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,628
|
$
|
343,779,652
|
100.00
|
%
|
8.350
|
%
|
360
|
80.08
|
%
|
609
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Fixed
Rate Loans
|
374
|
$
|
63,541,757
|
18.48
|
%
|
8.301
|
%
|
360
|
78.91
|
%
|
638
|
|||||||||||
5.000
or less
|
27
|
6,910,452
|
2.01
|
8.515
|
362
|
82.94
|
616
|
|||||||||||||||
5.001
- 5.500
|
153
|
40,962,816
|
11.92
|
8.004
|
362
|
75.40
|
588
|
|||||||||||||||
5.501
- 6.000
|
235
|
48,427,703
|
14.09
|
7.760
|
358
|
72.39
|
606
|
|||||||||||||||
6.001
- 6.500
|
405
|
93,642,227
|
27.24
|
8.361
|
360
|
81.36
|
599
|
|||||||||||||||
6.501
- 7.000
|
179
|
44,435,704
|
12.93
|
8.830
|
359
|
89.89
|
619
|
|||||||||||||||
7.001
- 7.500
|
28
|
6,102,058
|
1.77
|
7.909
|
357
|
81.65
|
625
|
|||||||||||||||
7.501
- 8.000
|
45
|
11,325,689
|
3.29
|
8.150
|
358
|
81.69
|
618
|
|||||||||||||||
8.001
- 8.500
|
32
|
6,090,754
|
1.77
|
8.402
|
360
|
81.53
|
602
|
|||||||||||||||
8.501
- 9.000
|
48
|
8,509,503
|
2.48
|
8.921
|
360
|
81.15
|
592
|
|||||||||||||||
9.001
- 9.500
|
26
|
4,632,466
|
1.35
|
9.358
|
357
|
75.50
|
581
|
|||||||||||||||
9.501
- 10.000
|
42
|
5,488,162
|
1.60
|
9.860
|
360
|
83.64
|
591
|
|||||||||||||||
10.001
- 10.500
|
15
|
1,504,462
|
0.44
|
10.326
|
357
|
85.07
|
613
|
|||||||||||||||
10.501
- 11.000
|
10
|
1,213,827
|
0.35
|
10.892
|
356
|
83.16
|
586
|
|||||||||||||||
11.001
- 11.500
|
6
|
561,581
|
0.16
|
11.270
|
355
|
87.20
|
595
|
|||||||||||||||
11.501
- 12.000
|
3
|
430,489
|
0.13
|
11.909
|
400
|
84.31
|
548
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,628
|
$
|
343,779,652
|
100.00
|
%
|
8.350
|
%
|
360
|
80.08
|
%
|
609
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Fixed
Rate Loans
|
374
|
$
|
63,541,757
|
18.48
|
%
|
8.301
|
%
|
360
|
78.91
|
%
|
638
|
|||||||||||
12.500
or less
|
30
|
9,150,727
|
2.66
|
6.271
|
358
|
77.02
|
650
|
|||||||||||||||
12.501
- 13.000
|
82
|
24,309,786
|
7.07
|
6.809
|
358
|
77.90
|
633
|
|||||||||||||||
13.001
- 13.500
|
118
|
32,210,361
|
9.37
|
7.298
|
358
|
78.21
|
621
|
|||||||||||||||
13.501
- 14.000
|
193
|
53,211,096
|
15.48
|
7.797
|
361
|
78.40
|
620
|
|||||||||||||||
14.001
- 14.500
|
178
|
42,604,194
|
12.39
|
8.278
|
358
|
81.52
|
598
|
|||||||||||||||
14.501
- 15.000
|
199
|
44,364,452
|
12.90
|
8.743
|
362
|
81.86
|
586
|
|||||||||||||||
15.001
- 15.500
|
132
|
24,829,912
|
7.22
|
9.187
|
360
|
78.53
|
582
|
|||||||||||||||
15.501
- 16.000
|
147
|
23,950,719
|
6.97
|
9.691
|
361
|
83.42
|
581
|
|||||||||||||||
16.001
- 16.500
|
71
|
10,410,603
|
3.03
|
10.134
|
358
|
85.20
|
568
|
|||||||||||||||
16.501
- 17.000
|
61
|
9,934,602
|
2.89
|
10.501
|
359
|
85.72
|
583
|
|||||||||||||||
17.001
- 17.500
|
21
|
2,481,067
|
0.72
|
11.002
|
357
|
82.80
|
572
|
|||||||||||||||
17.501
- 18.000
|
16
|
1,950,252
|
0.57
|
11.610
|
358
|
84.56
|
565
|
|||||||||||||||
18.001
- 18.500
|
5
|
676,415
|
0.20
|
11.643
|
356
|
75.40
|
550
|
|||||||||||||||
18.501
- 19.000
|
1
|
153,710
|
0.04
|
11.990
|
477
|
79.97
|
500
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,628
|
$
|
343,779,652
|
100.00
|
%
|
8.350
|
%
|
360
|
80.08
|
%
|
609
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Fixed
Rate Loans
|
374
|
$
|
63,541,757
|
18.48
|
%
|
8.301
|
%
|
360
|
78.91
|
%
|
638
|
|||||||||||
1.000
|
7
|
1,442,679
|
0.42
|
8.765
|
357
|
67.20
|
630
|
|||||||||||||||
1.500
|
2
|
365,956
|
0.11
|
8.142
|
349
|
79.14
|
545
|
|||||||||||||||
2.000
|
7
|
1,297,689
|
0.38
|
8.724
|
356
|
93.74
|
618
|
|||||||||||||||
3.000
|
1,238
|
277,131,571
|
80.61
|
8.358
|
360
|
80.35
|
603
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,628
|
$
|
343,779,652
|
100.00
|
%
|
8.350
|
%
|
360
|
80.08
|
%
|
609
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Fixed
Rate Loans
|
374
|
$
|
63,541,757
|
18.48
|
%
|
8.301
|
%
|
360
|
78.91
|
%
|
638
|
|||||||||||
1.000
|
1,246
|
279,128,030
|
81.19
|
8.354
|
360
|
80.34
|
603
|
|||||||||||||||
1.500
|
8
|
1,109,864
|
0.32
|
10.043
|
370
|
79.71
|
540
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,628
|
$
|
343,779,652
|
100.00
|
%
|
8.350
|
%
|
360
|
80.08
|
%
|
609
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Fixed
Rate Loans
|
374
|
$
|
63,541,757
|
18.48
|
%
|
8.301
|
%
|
360
|
78.91
|
%
|
638
|
|||||||||||
9
|
1
|
90,795
|
0.03
|
8.875
|
345
|
80.00
|
519
|
|||||||||||||||
14
|
1
|
275,162
|
0.08
|
7.900
|
350
|
78.86
|
554
|
|||||||||||||||
15
|
5
|
759,940
|
0.22
|
9.782
|
351
|
96.38
|
643
|
|||||||||||||||
16
|
1
|
197,716
|
0.06
|
9.675
|
352
|
90.00
|
645
|
|||||||||||||||
17
|
4
|
1,106,918
|
0.32
|
8.474
|
353
|
88.96
|
613
|
|||||||||||||||
18
|
2
|
659,752
|
0.19
|
7.672
|
354
|
97.60
|
650
|
|||||||||||||||
19
|
7
|
1,741,457
|
0.51
|
8.642
|
355
|
70.55
|
593
|
|||||||||||||||
20
|
32
|
8,643,980
|
2.51
|
8.424
|
358
|
82.77
|
604
|
|||||||||||||||
21
|
202
|
44,249,063
|
12.87
|
8.610
|
360
|
80.47
|
601
|
|||||||||||||||
22
|
244
|
55,706,286
|
16.20
|
8.422
|
360
|
80.19
|
603
|
|||||||||||||||
23
|
209
|
42,300,978
|
12.30
|
8.413
|
359
|
80.48
|
598
|
|||||||||||||||
27
|
2
|
623,000
|
0.18
|
7.621
|
351
|
84.12
|
628
|
|||||||||||||||
29
|
1
|
94,562
|
0.03
|
8.650
|
353
|
95.00
|
567
|
|||||||||||||||
30
|
1
|
219,282
|
0.06
|
9.840
|
354
|
80.00
|
559
|
|||||||||||||||
31
|
18
|
3,789,033
|
1.10
|
8.553
|
355
|
81.63
|
627
|
|||||||||||||||
32
|
51
|
12,029,052
|
3.50
|
8.457
|
356
|
78.44
|
610
|
|||||||||||||||
33
|
138
|
29,815,465
|
8.67
|
8.293
|
358
|
81.36
|
602
|
|||||||||||||||
34
|
169
|
38,396,195
|
11.17
|
8.024
|
360
|
79.27
|
603
|
|||||||||||||||
35
|
159
|
38,249,916
|
11.13
|
8.218
|
362
|
80.11
|
603
|
|||||||||||||||
55
|
1
|
209,371
|
0.06
|
8.700
|
355
|
49.65
|
607
|
|||||||||||||||
56
|
1
|
186,462
|
0.05
|
7.700
|
356
|
35.62
|
575
|
|||||||||||||||
57
|
1
|
196,971
|
0.06
|
10.500
|
357
|
100.00
|
625
|
|||||||||||||||
58
|
1
|
131,999
|
0.04
|
7.850
|
358
|
80.00
|
660
|
|||||||||||||||
59
|
3
|
564,542
|
0.16
|
7.972
|
359
|
85.84
|
636
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,628
|
$
|
343,779,652
|
100.00
|
%
|
8.350
|
%
|
360
|
80.08
|
%
|
609
|
Geograhic
Distribution of Mortgaged Properties
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
|||||||||||||||
California
|
159
|
$
|
54,107,739
|
15.74
|
%
|
8.026
|
%
|
362
|
79.61
|
%
|
619
|
|||||||||||
Maryland
|
175
|
48,038,434
|
13.97
|
8.138
|
361
|
79.21
|
595
|
|||||||||||||||
Florida
|
204
|
35,906,219
|
10.44
|
8.442
|
358
|
79.32
|
608
|
|||||||||||||||
Virginia
|
107
|
26,712,814
|
7.77
|
8.105
|
357
|
78.94
|
616
|
|||||||||||||||
New
York
|
74
|
24,572,754
|
7.15
|
7.960
|
358
|
79.20
|
618
|
|||||||||||||||
Arizona
|
79
|
13,878,233
|
4.04
|
8.523
|
358
|
80.28
|
599
|
|||||||||||||||
Georgia
|
62
|
11,305,731
|
3.29
|
8.690
|
355
|
86.05
|
607
|
|||||||||||||||
Ohio
|
88
|
10,717,987
|
3.12
|
9.050
|
359
|
86.46
|
607
|
|||||||||||||||
New
Jersey
|
37
|
10,360,513
|
3.01
|
8.476
|
357
|
78.14
|
605
|
|||||||||||||||
Washington
|
40
|
8,250,695
|
2.40
|
8.159
|
355
|
78.07
|
606
|
|||||||||||||||
Pennsylvania
|
49
|
8,206,664
|
2.39
|
8.716
|
361
|
80.23
|
594
|
|||||||||||||||
Texas
|
57
|
7,357,930
|
2.14
|
9.106
|
380
|
82.23
|
595
|
|||||||||||||||
Nevada
|
26
|
6,923,798
|
2.01
|
8.227
|
357
|
79.10
|
636
|
|||||||||||||||
Illinois
|
28
|
6,755,033
|
1.96
|
8.559
|
365
|
83.15
|
609
|
|||||||||||||||
Wisconsin
|
45
|
5,668,962
|
1.65
|
9.218
|
358
|
82.41
|
601
|
|||||||||||||||
Other
|
398
|
65,016,146
|
18.91
|
8.551
|
359
|
80.06
|
612
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,628
|
$
|
343,779,652
|
100.00
|
%
|
8.350
|
%
|
360
|
80.08
|
%
|
609
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Primary
|
1,511
|
$
|
324,872,958
|
94.50
|
%
|
8.313
|
%
|
360
|
80.10
|
%
|
608
|
|||||||||||
Investment
|
109
|
17,740,045
|
5.16
|
8.936
|
360
|
80.35
|
637
|
|||||||||||||||
Second
Home
|
8
|
1,166,649
|
0.34
|
9.863
|
358
|
68.85
|
573
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,628
|
$
|
343,779,652
|
100.00
|
%
|
8.350
|
%
|
360
|
80.08
|
%
|
609
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Single
Family Residence
|
1,290
|
$
|
261,385,155
|
76.03
|
%
|
8.352
|
%
|
359
|
79.92
|
%
|
609
|
|||||||||||
Planned
Unit Development
|
216
|
56,145,510
|
16.33
|
8.360
|
362
|
81.93
|
609
|
|||||||||||||||
2-4
Family
|
65
|
15,753,326
|
4.58
|
8.188
|
353
|
75.87
|
624
|
|||||||||||||||
Condominium
|
56
|
10,399,674
|
3.03
|
8.492
|
363
|
80.41
|
597
|
|||||||||||||||
Manufactured
Housing
|
1
|
95,987
|
0.03
|
8.050
|
359
|
80.00
|
593
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,628
|
$
|
343,779,652
|
100.00
|
%
|
8.350
|
%
|
360
|
80.08
|
%
|
609
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Refinance
- Cashout
|
1,129
|
$
|
249,008,419
|
72.43
|
%
|
8.250
|
%
|
361
|
77.66
|
%
|
602
|
|||||||||||
Purchase
|
428
|
81,120,689
|
23.60
|
8.734
|
353
|
87.50
|
630
|
|||||||||||||||
Refinance
- Rate Term
|
71
|
13,650,544
|
3.97
|
7.902
|
372
|
80.05
|
627
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,628
|
$
|
343,779,652
|
100.00
|
%
|
8.350
|
%
|
360
|
80.08
|
%
|
609
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
Full
Documentation
|
1,163
|
$
|
221,324,884
|
64.38
|
%
|
8.253
|
%
|
359
|
80.69
|
%
|
599
|
|||||||||||
Stated
Documentation
|
437
|
113,649,492
|
33.06
|
8.563
|
357
|
78.98
|
629
|
|||||||||||||||
Limited
Documentation
|
28
|
8,805,275
|
2.56
|
8.047
|
402
|
78.77
|
623
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,628
|
$
|
343,779,652
|
100.00
|
%
|
8.350
|
%
|
360
|
80.08
|
%
|
609
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
NA
|
6
|
$
|
735,562
|
0.21
|
%
|
9.479
|
%
|
358
|
68.77
|
%
|
N/A
|
|||||||||||
Below
500
|
3
|
323,867
|
0.09
|
11.318
|
358
|
58.94
|
492
|
|||||||||||||||
500
- 524
|
90
|
14,465,438
|
4.21
|
9.729
|
360
|
71.09
|
512
|
|||||||||||||||
525
- 549
|
165
|
31,652,156
|
9.21
|
9.069
|
360
|
74.42
|
537
|
|||||||||||||||
550
- 574
|
212
|
41,116,535
|
11.96
|
8.708
|
361
|
79.46
|
561
|
|||||||||||||||
575
- 599
|
264
|
56,341,498
|
16.39
|
8.495
|
363
|
80.04
|
585
|
|||||||||||||||
600
- 624
|
307
|
66,782,890
|
19.43
|
8.202
|
357
|
80.89
|
611
|
|||||||||||||||
625
- 649
|
280
|
61,578,800
|
17.91
|
7.965
|
361
|
82.80
|
637
|
|||||||||||||||
650
- 674
|
155
|
38,734,181
|
11.27
|
7.877
|
363
|
81.46
|
661
|
|||||||||||||||
675
- 699
|
78
|
16,484,769
|
4.80
|
8.000
|
355
|
84.01
|
685
|
|||||||||||||||
700
- 724
|
25
|
5,758,953
|
1.68
|
7.866
|
341
|
83.46
|
713
|
|||||||||||||||
725
- 749
|
24
|
5,395,144
|
1.57
|
7.526
|
357
|
81.13
|
738
|
|||||||||||||||
750
- 774
|
12
|
2,754,009
|
0.80
|
7.862
|
349
|
80.71
|
756
|
|||||||||||||||
775
- 799
|
5
|
1,356,906
|
0.39
|
7.787
|
346
|
71.82
|
784
|
|||||||||||||||
800
+
|
2
|
298,944
|
0.09
|
7.094
|
327
|
61.87
|
814
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,628
|
$
|
343,779,652
|
100.00
|
%
|
8.350
|
%
|
360
|
80.08
|
%
|
609
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
0
|
488
|
$
|
118,848,962
|
34.57
|
%
|
8.343
|
%
|
359
|
80.74
|
%
|
605
|
|||||||||||
12
|
43
|
11,803,622
|
3.43
|
8.469
|
358
|
78.42
|
620
|
|||||||||||||||
24
|
580
|
116,728,604
|
33.95
|
8.458
|
356
|
80.59
|
603
|
|||||||||||||||
36
|
516
|
96,309,230
|
28.01
|
8.212
|
364
|
78.82
|
620
|
|||||||||||||||
60
|
1
|
89,234
|
0.03
|
8.950
|
358
|
85.00
|
541
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,628
|
$
|
343,779,652
|
100.00
|
%
|
8.350
|
%
|
360
|
80.08
|
%
|
609
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
1st
Lien
|
1,528
|
$
|
336,984,620
|
98.02
|
%
|
8.279
|
%
|
362
|
79.68
|
%
|
609
|
|||||||||||
2nd
Lien
|
100
|
6,795,032
|
1.98
|
11.894
|
248
|
99.66
|
649
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,628
|
$
|
343,779,652
|
100.00
|
%
|
8.350
|
%
|
360
|
80.08
|
%
|
609
|
Number
of
Mortgage
Loans
|
Aggregate
Cut-off
Date
Principal
Balance
($)
|
%
of
Mortgage
Pool
by
Aggregate
Cut-off
Date
Principal
Balance
|
Weighted
Average
Gross
Interest
Rate
(%)
|
Weighted
Average
Remaining
Term
(months)
|
Weighted
Average
Combined
Original
LTV
(%)
|
Weighted
Average FICO Score
|
||||||||||||||||
0
|
1,466
|
$
|
286,514,061
|
83.34
|
%
|
8.451
|
%
|
360
|
79.64
|
%
|
603
|
|||||||||||
60
|
162
|
57,265,591
|
16.66
|
7.844
|
357
|
82.25
|
639
|
|||||||||||||||
Total/Weighted
Average/
%
of Mortgage Loan Pool:
|
1,628
|
$
|
343,779,652
|
100.00
|
%
|
8.350
|
%
|
360
|
80.08
|
%
|
609
|
•
|
will
consist of one or more classes of mortgage pass through certificates
or
mortgaged-backed notes representing
|
•
|
will
represent obligations of the issuing entity only and will not
represent
interests in or obligations of any sponsor, the depositor or
any of their
affiliates or any other party.
|
•
|
will
be mortgage loans or mortgage backed securities sold to the
trust by Saxon
Asset Securities Company and various forms of credit enhancement
of the
types described in this prospectus; and
|
•
|
in
the case of mortgage loans, will be serviced by one or more
entities
identified in the related prospectus
supplement.
|
The
mortgage loan underwriting standards are generally less stringent
than
those used by federal agencies, which may increase the risk of
default on
the mortgage loans
|
All
or a portion of the mortgage assets may consist of mortgage loans
underwritten in accordance with underwriting standards that do
not comply
with Fannie Mae or Freddie Mac guidelines. These types of mortgage
loans
are referred to as “subprime,” “nonprime” or “non-conforming” mortgage
loans. Whereas “prime” loans are typically made to borrowers who have a
strong credit history and can demonstrate a capacity to repay
their loans,
subprime loans are typically made to borrowers who are perceived
as
deficient in either or both of these respects. The borrowers
may have
imperfect credit histories, ranging from minor delinquencies
to
bankruptcy, or relatively high ratios of monthly mortgage payments
to
income or relatively high ratios of total monthly credit payments
to
income. While lenders consider a borrower’s credit history when
determining whether a loan is other than prime, they also consider
the
mortgage loan characteristic, such as loan-to-value ratio, or
attributes
of the property that may cause a loan to carry elevated
risk.
|
|
Compared
with prime loans, subprime loans typically have higher loan-to-value
ratios, reflecting the greater difficulty that subprime borrowers
have in
making down payments and the propensity of these borrowers to
extract
equity during financing. Historically, subprime borrowers pay
higher rates
of interest, go into delinquency more often and have their properties
foreclosed at a higher rate than either prime borrowers or borrowers
of
mortgage loans originated in accordance with Fannie Mae or Freddie
Mac
guidelines. A significant portion of the mortgage loans in the
trust may
have been classified in these relatively low (i.e., relatively
higher
risk) credit categories.
|
||
Rising
unemployment, higher interest rates, or a decline in housing
prices
generally or in certain regions of the United States may have
a greater
effect on the delinquency, foreclosure, bankruptcy and loss experience
of
subprime mortgage loans and other mortgage loans of relatively
low credit
quality than on mortgage loans originated under stricter guidelines.
We
cannot assure you that the values of the mortgaged properties
have
remained or will remain at levels in effect on the dates of origination
of
the related mortgage loans. These risks are magnified with respect
to
adjustable payment mortgage loans, interest-only mortgage loans,
loans
with balloon payments and loans that provide for negative
amortization.
|
See
“—Changes in U.S. economic conditions may adversely affect the
performance
of the mortgage loans, particularly adjustable payment loans
of various
types” for a discussion of risks related to economic conditions generally
and adjustable payment mortgage loans.
|
||
Consequently,
mortgage loans originated according to underwriting guidelines
that are
not as strict as Fannie Mae or Freddie Mac guidelines may be
likely to
experience rates of delinquency, foreclosure and bankruptcy that
are
higher, and that may be substantially higher, than those experienced
by
mortgage loans underwritten in accordance with higher
standards.
|
||
See
“Origination of Mortgage Loans” in this prospectus and see the related
prospectus supplement for a description of the underwriting guidelines
applied in originating the related mortgage loans.
|
||
Mortgage
loans may be delinquent, resulting in greater defaults, prepayments
and
losses
|
As
specified in the related prospectus supplement, a certain number
of
mortgage loans included in the trust may be delinquent as of
the
applicable cut-off date or may have been delinquent in payment
in the last
twelve months on one or more due dates.
|
|
Prior
delinquencies and, in particular, first or early payment defaults,
may be
an indication of underwriting errors in assessing the financial
means
and/or credit history of the borrower or of an adverse change
in the
financial status of the borrower. These mortgage loans are likely
to
experience rates of delinquency, foreclosure and bankruptcy that
are
higher, and that may be substantially higher, than those experienced
by
mortgage loans whose borrowers have more favorable payment
histories.
|
||
Mortgage
loans with interest-only payments may experience higher rates
of
delinquencies and losses
|
A
portion of the mortgage assets may provide for payment of interest
at the
related mortgage interest rate, but no payment of principal,
for a
specified period of several years following the origination of
the
mortgage loan. Following the interest-only period, the monthly
payment
with respect to each of these mortgage loans will change, and
most likely
increase, to an amount sufficient to amortize the principal balance
of the
mortgage loan over the remaining term and to pay interest at the related
mortgage interest rate.
|
The
presence of these mortgage assets will, absent other considerations,
result in longer weighted average lives of the related securities
than
would have been the case had these loans not been included in
the trust
fund. The extension of weighted average lives could result in
a lower
yield on securities purchased at a discount than would be the
case if
these mortgage loans provided for payment of principal and interest
on
every payment date. In addition, a borrower may view the absence
of any
obligation to make a payment of principal during the interest-only
period
of the term of a mortgage loan as a disincentive to
prepayment.
|
||
If
a recalculated monthly payment as described above is substantially
higher
than a borrower’s previous interest-only monthly payment, that loan may be
subject to an increased risk of delinquency and loss.
|
||
See
also “—Changes in U.S. economic conditions may adversely affect the
performance of the mortgage loans, particularly adjustable payment
loans
of various types” for a discussion of risks related to interest-only
mortgage loans and economic conditions.
|
||
Mortgage
loans secured by junior liens may experience higher rates of
delinquencies
and losses
|
All
or a portion of the mortgage assets included in a trust may be
loans
secured by second or more junior liens on residential properties.
If a
borrower defaults, there may be no, or an insufficient amount
of,
liquidation or other proceeds to satisfy a second or more junior
lien
after satisfaction of the senior lien and the payment of any
liquidation
expenses. Generally, the holder of a junior lien mortgage loan
will be
subject to a loss of its mortgage if the holder of the first
mortgage is
successful in foreclosure of its mortgage, because no junior
liens or
encumbrances survive such a foreclosure. In addition, due to
the priority
of the first mortgage, the holder of the junior lien mortgage
may not be
able to control the timing, method or procedure of any foreclosure
action
relating to the mortgaged property. Furthermore, any liquidation,
insurance or condemnation proceeds received on the junior lien
mortgage
will be available to satisfy the outstanding balance of the mortgage
loan
only to the extent that the claim of the related first mortgage
has been
satisfied in full, including any foreclosure costs. Accordingly,
if
liquidation proceeds are insufficient to satisfy the mortgage
loan secured
by the junior lien and all prior liens in the aggregate, and
if the credit
enhancement provided by any excess interest and overcollateralization
(if
applicable) has been exhausted or is otherwise unavailable to
cover the
loss, securityholders will bear the risk of delay in payments
while any
deficiency judgment against the borrower is sought and the risk
of loss if
the deficiency judgment is not pursued, cannot be obtained or
is not
realized for any other reason.
|
Risks
related to simultaneous second liens and other borrower
debt
|
At
the time of origination of any first lien mortgage loans in the
trust, the
originators or other lenders may also have made second lien loans
to the
same borrowers that will not be included in the trust. In addition,
other
borrowers whose first lien loans are included in the trust may
have
obtained secondary mortgage financing following origination of
the first
lien loans. In addition, borrowers may increase their aggregate
indebtedness substantially by assuming consumer debt of various
types.
Consequently, investors should consider that borrowers who have
less
equity in their homes, or who have substantial mortgage and consumer
indebtedness, may be more likely to default and may be more likely
to
submit to foreclosure proceedings.
|
|
In
addition, the nature of any second lien may influence the prepayment
characteristics of the first lien included in the trust. Borrowers
may be
more likely to refinance and prepay the first lien when any secondary
mortgage financing becomes due in full, and consequently investors
should
be aware that the rate of prepayment of the first lien mortgage
loans in
the trust may be affected by any associated second lien
loans.
|
||
Mortgage
loans with high original loan-to-value ratios may present a greater
risk
of loss
|
As
specified in the related prospectus supplement, some of the mortgage
loans
included in the trust may have original loan-to-value ratios
of greater
than 80%. Mortgage loans with high loan-to-value ratios, particularly
those in excess of 100%, may be more likely to experience default
and
foreclosure than mortgage loans with low original loan-to-value
ratios.
|
|
Moreover,
mortgage loans with high original loan-to-value ratios are more
likely to
be subject to a judicial reduction of the loan amount in bankruptcy
or
other proceedings than mortgage loans with lower original loan-to-value
ratios. If a court relieves a borrower’s obligation to repay amounts
otherwise due on a mortgage loan, neither the applicable servicer
nor the
related master servicer will be required to advance funds in
respect of
relieved amounts, and any related loss may reduce the amount
available to
be paid to securityholders. In such event, holders of subordinate
classes
of securities may suffer losses.
|
The
rate of delinquency on mortgage loans secured by non-owner occupied
mortgage premises could be higher
|
A
portion of the mortgage assets included in a trust may be secured
by liens
on mortgaged premises that are not owner-occupied. Mortgage loans
secured
by properties acquired by investors for the purpose of rental
income or
capital appreciation, or properties acquired as second homes,
tend to have
higher severities of default than properties that are regularly
occupied
by the related borrowers. In a default, real property investors
who do not
occupy the mortgaged property may be more likely to abandon the
related
mortgaged property, increasing the severity of the
default.
|
|
Mortgage
loans with balloon payment features may have a greater default
risk
|
A
portion of the mortgage assets included in a trust may be balloon
loans
that provide for the payment of the unamortized principal balance
of the
mortgage loans in a single payment at maturity. Balloon loans
provide for
equal monthly payments, consisting of principal and interest,
generally
based on a 30-year amortization schedule, and a single payment
of the
remaining balance of the balloon loan, generally five, seven,
10 or 15
years after origination. Amortization of a balloon loan based
on a
scheduled period that is longer than its term results in a remaining
principal balance at maturity that is substantially larger than
the
regular scheduled payments. Because borrowers of balloon loans
must make
substantial single payments at maturity, the default risk associated
with
balloon loans may be greater than that associated with fully-amortizing
mortgage loans. The ability of a borrower to repay a balloon
loan at
maturity frequently will depend upon the borrower’s ability to refinance
the loan. Neither the depositor nor the trustee is obligated
to obtain
refinancing. Securityholders will bear any loss on a balloon
loan
resulting from a default caused by the borrower’s inability to obtain
refinancing.
|
|
Mortgage
loans that provide for negative amortization may have a greater
default
risk
|
If
specified in the related prospectus supplement, the trust may
include
mortgage loans that provide for so-called “negative amortization.”
Negative amortization mortgage loans generally provide the borrower
with a
low initial introductory interest rate. Thereafter, the mortgage
interest
rate is calculated at the index specified in the related mortgage
note
plus the applicable margin. However, the borrower is only required
to make
(or may elect to make) for the period specified in the related
mortgage
note a minimum monthly payment on the mortgage loan that may
be sufficient
to amortize the principal balance of the mortgage loan over the
remaining
term but not to pay all accrued interest, or may be insufficient
to pay
accrued interest and not amortize the principal balance at
all.
|
At
the end of this initial period, and periodically thereafter,
the
borrower’s minimum monthly payment is adjusted to reflect the prevailing
interest rate, consisting of the current applicable index plus
the
applicable margin, plus a principal amount sufficient to amortize
the
mortgage loan over the remaining applicable term. Typically,
the
borrower’s monthly payment will not be increased or decreased by more
than
a periodic cap and is subject to a maximum interest rate, as
specified in
the related mortgage note. Nevertheless, although each year’s recalculated
monthly payment will be based on the prevailing rate of the applicable
index at the time of the annual payment adjustment date, this
index may
continue to adjust up or down throughout the course of the
year.
|
||
During
a period of rising interest rates, as well as before the annual
adjustment
to the minimum monthly payment made by the borrower, the amount
of
interest accruing on the principal balance of the related mortgage
loan
may exceed the amount of the scheduled monthly payment. As a
result, a
portion of the accrued interest on the related mortgage loan
may become
deferred interest that will be added to its principal balance
and will
also bear interest at the applicable interest rate.
|
||
In
addition, the amount by which a monthly payment may be adjusted
on an
annual payment adjustment date is generally limited and may not
be
sufficient to amortize fully the unpaid principal balance of
a negative
amortization mortgage loan over its remaining term to
maturity.
|
||
Generally,
under the circumstances and at the intervals provided in the
related
mortgage note, the monthly payment due on a negative amortization
mortgage
loan will be “recast” without regard to the related payment cap in order
to provide for payment of the outstanding balance of the mortgage
loan
over its remaining term.
|
||
In
summary, then, as interest rates increase (or, in some cases,
even if
market interest rates remain stable), the principal balance of
a negative
amortization mortgage loan will increase over time, thereby increasing
the
monthly payments to be paid by the borrower when principal must
be repaid,
making refinancing more difficult and increasing the potential
adverse
effect of macroeconomic trends.
|
See
“—Changes in U.S. economic conditions may adversely affect the
performance
of the mortgage loans, particularly adjustable payment loans
of various
types” above.
|
||
In
addition, any deferral of interest on negative amortization mortgage
loans
will result in a reduction of the amount of interest available
to be
distributed as interest to the securities. If specified in the
related
prospectus supplement, the reduction in interest collections
may be
offset, in part, by applying certain prepayments received on
the mortgage
loans to interest payments on the securities. In that case, the
excess of
any deferred interest on the mortgage loans over the prepayments
received
on the mortgage loans, or net deferred interest, will be allocated
among
the classes of securities in an amount equal to the excess of
the interest
accrued on each such class at its applicable interest rate over
the amount
of interest that would have accrued if the applicable interest
rate for
each class had been equal to a rate adjusted for net deferred
interest on
the related mortgage loans, as described in the related prospectus
supplement. Any such allocation of net deferred interest could,
as a
result, affect the weighted average maturity of the affected
class of
securities.
|
||
Geographic
concentration of mortgage loans may increase risk of
loss
|
The
mortgage loans to be included in the trust may be concentrated
in one or
more states, as specified in the related prospectus supplement.
The rate
of delinquencies, defaults and losses on the mortgage loans may
be higher
than if fewer of the mortgage loans were concentrated in those
states
because the following conditions will have a disproportionate
impact on
the mortgage loans in general:
|
|
Natural
disasters affect regions of the United States from time to time,
and may
result in increased losses on mortgage loans in those regions,
or in
insurance payments that will constitute prepayments of principal
of those
mortgage loans.
|
||
For
additional information regarding the geographic concentration
of the
mortgage loans to be included in the trust, see the geographic
distribution table or tables in the prospectus
supplement.
|
||
Default
risk on high balance mortgage loans
|
If
specified in the related prospectus supplement, a certain percentage
of
the mortgage loans included in the trust may have a principal
balance as
of the cut-off date in excess of $1,000,000. You should consider
the risk
that the loss and delinquency experience on these high balance
loans may
have a disproportionate effect on the trust as a whole.
|
|
Mortgage
loan interest rates may limit interest rates on the
securities
|
The
securities generally will have either fixed or variable interest
rates.
However, as specified in the related prospectus supplement, the
interest
rates on your securities may be subject to certain limitations,
generally
based on the weighted average interest rates of the mortgage
loans in the
trust or as otherwise described in the related prospectus supplement,
net
of certain allocable fees and expenses of the trust and any payments
owed
on derivative instruments. The mortgage loans to be included
in the trust
will have interest rates that either are fixed or adjust based
on a
variable index, as described in the related prospectus
supplement.
|
|
Any
adjustable rate mortgage loans in the trust may also have periodic
maximum
and minimum limitations on adjustments to their interest rates,
and may
have the first adjustment to their interest rates a number of
years after
their first payment dates. In addition, adjustable rate mortgage
loans
generally have lifetime maximum interest rates. As a result,
your variable
rate securities may accrue less interest than they would accrue
if their
interest rates were solely based on the specified index plus
the specified
margin.
|
If
specified in the related prospectus supplement, the trust may
include
significant concentrations of these types of adjustable payment
mortgage
loans, which present special default and prepayment
risks.
|
||
The
primary attraction to borrowers of these adjustable payment mortgage
loan
products is that initial monthly mortgage loan payments can be
significantly lower than fixed rate or level pay mortgage loans
under
which the borrower pays both principal and interest at an interest
rate
fixed for the life of the mortgage loan. As a result, many borrowers
are
able to incur substantially greater mortgage debt using one of
these
adjustable payment mortgage loan products than if they used a
standard
amortizing fixed rate mortgage loan.
|
||
In
addition, a substantial number of these adjustable payment mortgage
loans
have been originated in regions of the United States that have
seen
substantial real estate price appreciation over the past few
years, such
as California and major metropolitan areas in other states. Many
borrowers
in these markets have used adjustable payment mortgage loan products
to
purchase properties that are comparatively larger or more expensive
than
they would otherwise have purchased with a fixed rate mortgage
loan with
relatively higher monthly payments. These borrowers may have
taken out
these mortgage loan products in the expectation that either (1)
their
income will rise by the time their fixed rate period or interest-only
period expires, thus enabling them to make the higher monthly
payments, or
(2) in an appreciating real estate market, they will be able
to sell their
property for a higher price or will be able to refinance the
mortgage loan
before the expiration of the fixed rate or interest-only
period.
|
||
Borrowers
with adjustable payment mortgage loans will likely be exposed
to increased
monthly payments (1) when the mortgage interest rate adjusts
upward from a
low introductory rate to the rate computed in accordance with
the
applicable index and margin, (2) if interest rates rise significantly,
(3)
in the case of interest-only mortgage loans, from the large increases
in
monthly payments when the interest-only terms expire and the
monthly
payments on these loans are recalculated to amortize the outstanding
principal balance over the remaining term or (4) in the case
of loans with
negative amortization features, from the large increases in monthly
payments when the payments are recalculated to amortize the outstanding
principal balance.
|
When
evaluating a mortgage loan application from a prospective borrower
for an
adjustable payment or interest-only mortgage loan, many mortgage
originators determine the amount of loan that borrower can afford
based on
the borrower’s initial scheduled monthly payments, or the scheduled
monthly payments on the first mortgage interest rate reset date,
rather
than based on the adjusted monthly payments as of future mortgage
interest
reset dates (in the case of adjustable rate mortgage loans) or
the
principal amortization date (in the case of interest-only mortgage
loans).
Unless otherwise specified in the related prospectus supplement,
mortgage
loan characteristics and debt-to-income ratios set forth in the
prospectus
supplement will reflect the scheduled mortgage loan payments
due or being
made as of the “cut-off date,” and will not reflect the mortgage loan
payment resets that will occur during the life of the mortgage
loan. These
origination practices may increase the sensitivity of mortgage
loan
performance and defaults to changes in U.S. economic
conditions.
|
||
In
recent years, mortgage interest rates have been at historically
low
levels. Although short-term interest rates have increased from
their
lowest levels, long-term interest rates have remained low. If
mortgage
interest rates rise, borrowers will experience increased monthly
payments
on their adjustable rate mortgage loans. As the fixed interest
rates on
hybrid mortgage loans expire and convert to adjustable rates,
borrowers
may find that the new minimum monthly payments are considerably
higher and
they may not be able to make those payments.
|
||
In
addition, without regard to changes in interest rates, the monthly
payments on mortgage loans with interest-only or negative amortization
features will increase substantially when the principal must
be
repaid.
|
||
Any
of these factors, or a combination of these factors, could cause
mortgage
loan defaults to increase
substantially.
|
Borrowers
who intend to avoid increased monthly payments by refinancing
their
mortgage loans may find that lenders may not in the future be
willing or
able to offer these adjustable payment mortgage loan products,
or to offer
these products at relatively low interest rates. A decline in
real estate
prices generally or in certain regions of the United States could
also
leave borrowers with insufficient equity in their property to
permit them
to refinance. In addition, if the recent rapid increase in real
estate
prices ceases or real estate prices decline, borrowers who intend
to sell
their properties on or before the expiration of the fixed rate
periods or
interest-only periods on their mortgage loans may find that they
cannot
sell their properties for an amount equal to or greater than
the unpaid
principal balance of their loans, especially in the case of negative
amortization mortgage loans. These events could cause borrowers
to default
on their mortgage loans.
|
||
Rising
unemployment and slow wage growth in certain regions of the United
States
or generally could also impact the ability of many borrowers
with
adjustable payment mortgage loans to make the higher monthly
payments
resulting from the expiration of fixed rate periods or interest-only
periods, or from increases in interest rates. If borrowers become
unemployed in a slowing economy, or if they find that expected
increases
in personal income have not occurred, they may be unable to make
the
higher monthly mortgage payments.
|
||
It
is likely that borrowers with adjustable payment mortgage loans
will over
the next several years be required to spend a larger proportion
of their
income to service their mortgage debt. This increase could, in
the absence
of strong wage growth, come at the expense of other expenditures
by these
borrowers, particularly consumer spending. It is possible that
a decline
in consumer spending could cause the U.S. economy to slow or
decline,
which could give rise to increased unemployment and falling property
values. These factors would negatively impact the ability of
many
borrowers to meet their increased monthly mortgage payments as
described
above. As a consequence, defaults on adjustable payment mortgage
loans may
increase significantly.
|
||
Any
of the factors described above, alone or in combination, could
adversely
affect the yield on your securities. Depending upon the type
of security
purchased and the price paid, the adverse yield effect could
be
substantial.
|
These
risks are magnified with respect to mortgage loans made on the
basis of
relatively low credit standards.
|
||
See
“—The mortgage loan underwriting standards are generally less stringent
than those used by federal agencies, which may increase the risk
of
default on the mortgage loans” for a discussion of risks related to
mortgage loans that are sometimes referred to as “subprime” or
“non-conforming” or are otherwise originated in accordance with credit
standards that do not conform to those of Fannie Mae or Freddie
Mac.
|
||
Several
types of adjustable payment mortgage loans discussed above, in
particular
“option ARMs” and interest-only mortgage loans, have only been originated
in any significant numbers in relatively recent years. Consequently,
there
is no material statistical information showing payment and default
trends
under a variety of macroeconomic conditions. In particular, it
is unclear
how these mortgage loan products will perform in a declining
housing
market or under other negative macroeconomic
conditions.
|
||
See
“—Mortgage loans with interest-only payments may experience higher
rates
of delinquencies and losses” and “—Mortgage loans that provide for
negative amortization may have a greater default risk” for further
discussion of mortgage loans with interest-only or negative amortization
features, respectively.
|
||
Unpredictability
and effect of prepayments
|
The
rate of prepayments on the mortgage loans will be sensitive to
prevailing
interest rates. Generally, if prevailing interest rates decline,
mortgage
loan prepayments may increase due to the availability of refinancing
at
lower interest rates. If prevailing interest rates rise, prepayments
on
the mortgage loans may decrease.
|
|
Borrowers
may prepay their mortgage loans in whole or in part at any time;
however,
some or all of the mortgage loans to be included in the trust
may require
the payment of a prepayment premium in connection with any voluntary
prepayments in full, and certain voluntary prepayments in part,
made
during periods ranging from the periods specified in the related
prospectus supplement. These prepayment premiums may discourage
borrowers
from prepaying their mortgage loans during the applicable
period.
|
Prepayments
on the mortgage loans may occur as a result of solicitations
of the
borrowers by mortgage loan originators, including the related
seller and
its affiliates, the servicer or servicers, as applicable, and
any master
servicer. In addition, the availability of newer mortgage products
with
more flexible payment terms or that require lower monthly payments,
such
as “option ARMs,” may result in an increase in the number of borrowers who
prepay their mortgage loans to take advantage of new
products.
|
||
The
timing of prepayments of principal may also be affected by liquidations
of
or insurance payments on the mortgage loans. In addition, the
related
seller or the party from which such seller acquired a particular
mortgage
loan may be required to purchase mortgage loans from the trust
in the
event that certain breaches of representations and warranties
made with
respect to the mortgage loans are not cured. These purchases
will have the
same effect on securityholders as prepayments of mortgage
loans.
|
||
A
prepayment of a mortgage loan will usually result in a payment
of
principal on the securities:
|
||
The
prepayment experience of the mortgage loans to be included in
the trust
may differ significantly from that of other first and junior
lien
residential or commercial mortgage loans.
|
||
See
“Maturity, Prepayment and Yield Considerations” in this prospectus and in
the related prospectus supplement for a description of factors
that may
influence the rate and timing of prepayments on the mortgage
loans.
|
||
Modification
of mortgage loans may delay or reduce payments on
securities
|
With
respect to a mortgage loan on which a default has occurred or
is imminent,
the related servicer may enter into a forbearance or modification
on
agreement with the borrower. The terms of any forbearance or
modification
agreement may affect the amount and timing of payments on the
mortgage
loan and, consequently, the amount and timing of payments on
one or more
classes of the related series of securities. For example, a modification
agreement that results in a lower mortgage interest rate would
lower the
pass through rate or interest rate of any related class of securities
that
accrues interest at a rate based on the weighted average net
rate of the
mortgage loans.
|
Risks
related to defaults or resignation of a master servicer or a
servicer
|
If
a master servicer or a servicer were to default in their obligations
under
the related master servicing or servicing agreement, the trustee
or the
related seller may attempt to terminate the defaulting party.
However,
certain aspects of the servicing of mortgage loans are subject
to various
interpretations of what actions are “accepted” or “market standard”
practices, and the parties’ determination of what servicing actions are in
the best interest for the securityholders may, at such times,
be in
disagreement between the trustee, the related sponsor and seller
on the
one hand, and the applicable master servicer or the applicable
servicer,
as applicable, on the other. As a consequence, if the trustee
or the
related seller attempts to terminate a defaulting master servicer
or
servicer, the master servicer or servicer may challenge that
termination.
While such a dispute is being resolved, the performance of the
servicing
function of the master servicer or servicer may continue to suffer
and may
adversely affect the mortgage loans.
|
|
If
a master servicer or servicer were to become a debtor in a bankruptcy
proceeding, it could seek to reject its obligations under the
relevant
agreements under the bankruptcy laws, thus forcing the trustee
to appoint
a successor servicer or master servicer.
|
||
If
any master servicer or servicer resigns or is in default and
the cost of
servicing the mortgage loans has increased, the trustee may not
be able to
find a successor master servicer or servicer willing to service
the loans
for the master servicing fee or servicing fee specified in the
relevant
governing agreement. These circumstances might cause the trustee
to seek
authority from securityholders to increase the applicable fee
to an amount
necessary to provide acceptable compensation to the then current
master
servicer or servicer or any replacement master servicer or servicer.
If
that approval was not granted by securityholders, under the law
generally
applicable to trusts the trustee could seek approval for such
an increase
from a court if such increase were necessary for the preservation
or
continued administration of the trust. Any increase in the master
servicing fee or servicing fee would reduce amounts available
for
distribution to securityholders, particularly holders of subordinate
securities.
|
Delinquencies
may be higher due to servicing transfers
|
Servicing
of mortgage loans may be transferred in the future to other servicers
in
accordance with the provisions of the pooling and servicing agreement
or
sale and servicing agreement, as applicable, and the related
servicing
agreement as a result of, among other things, (1) the occurrence
of
unremedied events of default in servicer performance under a
servicing
agreement or (2) the exercise by the related seller of its right
to
terminate a servicer without cause.
|
|
All
transfers of servicing involve some risk of disruption in collections
due
to data input errors, misapplied or misdirected payments, inadequate
borrower notification, system incompatibilities and other reasons.
As a
result, the affected mortgage loans may experience increased
delinquencies
and defaults, at least for a period of time, until all of the
borrowers
are informed of the transfer and the related servicing mortgage
files and
records and all the other relevant data has been obtained by
the new
servicer. There can be no assurance as to the extent or duration
of any
disruptions associated with the transfer of servicing or as to
the
resulting effects on the yields on the securities.
|
||
See
the related prospectus supplement for a description of any servicing
transfers.
|
||
Potential
inadequacy of credit enhancement
|
If
specified in the related prospectus supplement, the features
of
subordination and loss allocation, excess interest, over-collateralization
and limited cross-collateralization, together with any primary
mortgage
insurance and financial guaranty insurance policies, are intended
to
enhance the likelihood that holders of more senior classes of
securities
will receive regular payments of interest and principal, but
are limited
in nature and may be insufficient to cover all losses on the
related
mortgage loans.
|
|
Subordination
and Allocation of Losses.
If
the applicable subordination is insufficient to absorb losses,
then
securityholders will likely incur losses and may never receive
all of
their principal payments. You should consider
that:
|
See
“Credit Enhancement” in this prospectus and see the descriptions of excess
interest and overcollateralization in the prospectus
supplement.
|
||
Limited
Cross-Collateralization.
The trust may contain two or more separate mortgage pools, as
specified in
the related prospectus supplement. Principal payments on the
senior
securities will depend, for the most part, on collections on
the mortgage
loans in the related pool. However, as specified in the related
prospectus
supplement, the senior securities may have the benefit of credit
enhancement in the form of subordination from one or more of
the other
pools. That means that even if the rate of losses on mortgage
loans in the
pool related to your class of senior securities is low, losses
in an
unrelated pool may reduce the loss protection for your
securities.
|
||
Interest
Rate Derivative Agreements.
If
specified in the related prospectus supplement, any amounts received
under
any interest rate cap or swap agreement will generally be applied
as
described in the related prospectus supplement to pay interest
shortfalls
and, if applicable, to maintain overcollateralization and cover
losses.
However, we cannot assure you that any amounts will be received
under that
interest rate derivative agreement, or that any such amounts
that are
received will be sufficient to maintain any required overcollateralization
or to cover interest shortfalls and losses on the mortgage
loans.
|
||
See
“Credit Enhancement” in this prospectus and see the description of any
interest rate cap agreement or swap agreement, as applicable,
in the
prospectus supplement.
|
||
Primary
Mortgage Insurance.
If
specified in the related prospectus supplement, some of the first
lien
mortgage loans which have original loan-to-value ratios greater
than 80%
may be covered by existing borrower-paid primary mortgage insurance
policies. The existing borrower-paid primary mortgage insurance
policies
will to-value ratios of those covered mortgage loans to
80%.
|
In
addition, if specified in the related prospectus supplement,
one or more
loan-level primary mortgage insurance policies may be acquired
on behalf
of the trust from primary mortgage insurance providers, providing
the
initial insurance coverage specified in the related prospectus
supplement
for those first lien mortgage loans with original loan-to-value
ratios
greater than 80%.
|
||
These
loan-level primary mortgage insurance policies will generally
have the
effect of reducing the original loan-to-value ratios of those
covered
mortgage loans to approximately 80%.
|
||
However,
these policies will only cover first lien mortgage loans and
will be
subject to various other limitations and exclusions. In addition,
borrower-paid primary mortgage insurance may be subject to cancellation
by
the related borrower. As a result, coverage may be rescinded
or denied on
some mortgage loans. Primary mortgage insurance providers will
generally
curtail the insured payments on a foreclosed mortgage loan if
the related
servicer does not foreclose that mortgage loan within a limited
time
period determined by the insurance provider. In addition, because
the
amount of coverage under these policies depends on the loan-to-value
ratio
of the related mortgaged property at the inception of these policies,
a
decline in the value of the related mortgaged property will not
result in
increased coverage, and the trust may still suffer a loss on
a covered
mortgage loan. Accordingly, these primary mortgage insurance
policies will
provide only limited protection against losses on the mortgage
loans.
|
||
See
“Insurance — Primary Mortgage Insurance Policies” in this prospectus and
see the descriptions of any primary mortgage insurance policies
in the
prospectus supplement.
|
||
Effect
of creditworthiness of primary mortgage insurers on ratings of
securities
|
If
the related prospectus supplement specifies that one or more
loan-level
primary mortgage insurance policies have been acquired on behalf
of the
trust from one or more primary mortgage insurance providers,
then the
ratings assigned to your securities by the applicable rating
agencies will
be based in part on the financial strength ratings assigned to
the insurer
or insurers providing the primary mortgage insurance coverage
described
above. However, these financial strength generally have the effect
of
reducing the original loan ratings assigned to the insurer or
insurers
could be qualified, reduced or withdrawn at any time. In addition,
you
should consider that a credit rating does not assure you that
the insurer
or insurers will not default on their
obligations.
|
Any
qualification, reduction or withdrawal of the financial strength
ratings
assigned to the insurer or insurers could result in reduction
of the
ratings assigned to your securities, which could in turn affect
the
liquidity and market value of your securities.
|
||
See
“Credit Enhancement — Mortgage Pool Insurance Policies” in this prospectus
and see the descriptions of any primary mortgage insurance providers
in
the prospectus supplement.
|
||
Risks
related to any interest rate swap agreement
|
If
the related prospectus supplement specifies that the trust includes
one or
more interest rate swap agreements, then any net swap payment
payable to
the swap counterparty under the terms of those interest rate
swap
agreements will reduce amounts available for payment to securityholders,
and may reduce payments of interest on the securities. If the
rate of
prepayments on the mortgage loans is faster than anticipated,
the
scheduled notional amounts on which payments due under the interest
rate
swap agreements are calculated may exceed the total principal
balance of
the mortgage loans, thereby increasing the relative proportion
of interest
collections on the mortgage loans that must be applied to make
swap
payments to the swap counterparty and, under certain circumstances,
requiring application of principal received on the mortgage loans
to make
net swap payments to the swap counterparty. Therefore, a rapid
rate of
prepayments during periods in which the trust makes net payments
to a swap
counterparty could adversely affect the yields on the
securities.
|
|
Effect
of creditworthiness of swap counterparty on ratings of
securities
|
If
the related prospectus supplement specifies that the trust includes
one or
more interest rate swap agreements, in the event that the trust,
after
application of all interest and principal received on the related
mortgage
loans, cannot make the required swap payments to the swap counterparty,
a
swap termination payment as described in the related prospectus
supplement
may be owed to the swap counterparty. Any termination payment
payable to
the swap counterparty in the event of early termination of any
interest
rate swap agreement will likely reduce amounts available for
payment to
securityholders.
|
If
the related prospectus supplement specifies that the trust includes
one or
more interest rate swap agreements, the ratings on your securities
will be
dependent in part upon the credit ratings of the swap counterparty
or its
credit support provider. If a credit rating of the swap counterparty
or
its credit support provider is qualified, reduced or withdrawn,
or if the
swap counterparty or its credit support provider defaults on
its
obligations, and a substitute counterparty or credit support
provider is
not obtained in accordance with the terms of the interest rate
swap
agreement, the ratings of your securities may be qualified, reduced
or
withdrawn. In such event, the value and marketability of those
securities
will be adversely affected.
|
||
See
the descriptions of any interest rate swap agreement and the
swap
counterparty in the prospectus supplement.
|
||
Special
risks for certain classes of securities
|
The
related prospectus supplement may specify that certain classes
of
securities are interest-only or principal-only securities. These
securities will have yields to maturity (or early termination)—the yield
you will receive if you hold a security until it has been paid
in
full—that are highly sensitive to prepayments on the related mortgage
loans.
|
|
If
you purchase any of these classes of securities, you should consider
the
risk that you may receive a lower than expected yield under the
following
circumstances:
|
||
Prepayments
on the mortgage loans, including liquidations, purchases and
insurance
payments, could result in the failure of investors in any interest-only
securities to fully recover their initial investments. Prepayments
on the
mortgage loans may occur as a result of solicitations of the
borrowers by
mortgage loan providers, including the related seller and its
affiliates
and any master servicer or
servicer.
|
Violations
of certain provisions of these federal laws may limit the ability
of the
servicers to collect all or part of the principal of or interest
on the
related mortgage loans and in addition could subject the trust
to damages
and administrative enforcement.
|
||
The
related seller of the mortgage loans will represent in the mortgage
loan
sale agreement described in the related prospectus supplement
that each
mortgage loan was originated in compliance with applicable federal,
state
and local laws and regulations. In the event of a breach of this
representation, that seller will be obligated to cure the breach
or
repurchase or replace the affected mortgage loan in the manner
described
in the related prospectus supplement and under “The Agreements—Repurchase
and Substitution of Non- Conforming Loans” in this
prospectus.
|
||
Risks
related to predatory lending laws/high cost loans
|
Various
federal, state and local laws have been enacted that are designed
to
discourage predatory lending practices. The federal Home Ownership
and
Equity Protection Act of 1994, commonly known as HOEPA, prohibits
inclusion of certain provisions in mortgage loans that have mortgage
rates
or origination costs in excess of prescribed levels, and requires
that
borrowers be given certain disclosures prior to the origination
of
mortgage loans. Some states have enacted, or may enact, similar
laws or
regulations, which in some cases impose restrictions and requirements
greater than those in HOEPA.
|
|
In
addition, under the anti-predatory lending laws of some states,
the
origination of certain mortgage loans (including loans that are
not
classified as “high cost” loans under applicable law) must satisfy a net
tangible benefits test with respect to the related borrower.
This test may
be highly subjective and open to interpretation. As a result,
a court may
determine that a mortgage loan does not meet the test even if
the related
originator reasonably believed that the test was
satisfied.
|
||
Failure
to comply with these laws, to the extent applicable to any of
the mortgage
loans, could subject the trust, as an assignee of the related
mortgage
loans, to monetary penalties and could result in the borrowers
rescinding
the affected mortgage loans. Lawsuits have been brought in various
states
making claims against assignees of high cost loans for violations
of state
law. Named defendants in these cases have included numerous participants
within the secondary mortgage market, including some securitization
trusts.
|
The
related seller will represent that the trust does not include
any mortgage
loans that are subject to HOEPA or that would be classified as
“high cost”
loans under any similar state or local predatory or abusive lending
law.
There may be mortgage loans in the trust that are subject to
the state or
local requirement that the loan provide a net tangible benefit
(however
denominated) to the borrower; the related seller will represent
that these
mortgage loans are in compliance with applicable requirements.
If it is
determined that the trust includes loans subject to HOEPA or
otherwise
classified as high cost loans, or which do not comply with applicable
net
tangible benefit requirements, the related seller will be required
to
repurchase the affected loans and to pay any liabilities incurred
by the
trust due to any violations of these laws. If the loans are found
to have
been originated in violation of predatory or abusive lending
laws and the
related seller does not repurchase the affected loans and pay
any related
liabilities, securityholders could incur losses.
|
||
Military
action and terrorist attacks
|
The
effects that military action by U.S. forces in Iraq, Afghanistan
or other
regions, terrorist attacks in the United States or other incidents
and
related military action may have on the performance of the mortgage
loans
in the trust or on the values of mortgaged properties cannot
be determined
at this time. Investors should consider the possible effects
on
delinquency, default and prepayment experience of the related
mortgage
loans. Federal agencies and non-government lenders may defer,
reduce or
forgive payments and delay foreclosure proceedings in respect
of loans to
borrowers affected in some way by possible future events. In
addition, the
activation of additional U.S. military reservists or members
of the
National Guard may significantly increase the proportion of mortgage
loans
whose mortgage rates are reduced by application of the Servicemembers
Civil Relief Act or similar state or local laws. The amount of
interest
available for payment to securityholders will be reduced by any
reductions
in the amount of interest collectible as a result of application
of the
Servicemembers Civil Relief Act or similar state or local laws
and no
servicer, master servicer nor any other party will be required
to fund any
interest shortfall caused by any such
reduction.
|
Risks
related to delay in receipt of liquidation proceeds; liquidation
proceeds
may be less than mortgage balance
|
Substantial
delays could be encountered in connection with the liquidation
of
delinquent mortgage loans. Further, reimbursement of advances
made by a
servicer and liquidation expenses such as legal fees, real estate
taxes
and maintenance and preservation expenses may reduce the portion
of
liquidation proceeds payable to securityholders. If a mortgaged
property
fails to provide adequate security for the related mortgage loan,
you
could incur a loss on your investment if the applicable credit
enhancement
is insufficient to cover the loss.
|
|
Limited
obligations
|
The
assets of the trust are the sole source of payments on the related
securities. The securities are not the obligations of any other
entity.
None of the sponsors, the related seller, the depositor, any
underwriter,
the trustee, any administrator, any master servicer, any servicer
or any
of their affiliates will have any obligation to replace or supplement
the
credit enhancement, or take any other action to maintain the
applicable
ratings of the securities. If credit enhancement is not available,
holders
of securities may suffer losses on their investments.
|
|
Limited
ability to resell securities
|
The
underwriter will not be required to assist in resales of the
securities,
although it may do so. A secondary market for any class of securities
may
not develop. If a secondary market does develop, it might not
continue or
it might not be sufficiently liquid to allow you to resell any
of your
securities.
|
|
Particular
classes of securities may not constitute mortgage related securities
under
SMMEA, and some investors may be subject to legal restrictions
that
preclude their purchase of any such non-SMMEA securities. In
addition, if
so specified in the related prospectus supplement, transferability
of some
classes of securities to particular types of entities may be
restricted.
|
||
Any
restrictions on the purchase or transferability of the securities
of a
series may have a negative effect on the development of a secondary
market
for the securities.
|
Issuance
of securities in book-entry form may reduce the liquidity of
the
securities
|
If
so specified in the related prospectus supplement, a trust may
issue
securities of a series in book-entry form. Issuance of the securities
in
book-entry try form may reduce the liquidity of the securities
in the
secondary market because investors may be unwilling to purchase
securities
for which they cannot obtain physical certificates. In addition,
because
transfers of book-entry securities will, in most cases, be able
to be
effected only through persons or entities that participate in
the
book-entry system, your ability to pledge a book-entry securities
to
persons or entities that do not participate in the book-entry
system, or
otherwise to take actions with respect to a book-entry security,
may be
impaired because physical certificates representing the securities
will
generally not be available. You may experience some delay in
receipt of
distributions of interest on and principal of the book-entry
securities
because the trustee will forward distributions through book-entry
system
participants which thereafter will be required to credit those
distributions to your accounts as a beneficial owner of the securities,
whether directly or indirectly through financial
intermediaries.
|
|
The
ratings assigned to your securities by the rating agencies may
be lowered
or withdrawn at any time, which may affect the value of your
securities
and your ability to sell them
|
The
ratings on the securities depend primarily on an assessment by
the rating
agencies of the mortgage loans and other assets of the trust,
any credit
enhancement and the ability of the servicers and the related
master
servicer to service the loans. The ratings of the securities
by the rating
agencies:
|
|
Ratings
are not recommendations to buy, sell or hold the securities.
A rating may
be changed or withdrawn at any time by the assigning rating
agency
|
Securities
not be a suitable investment
|
The
securities may not be a suitable investment if you require a
regular or
predictable schedule of payment, or payment on any specific date.
Because
the mortgage loans in the trust may include a substantial proportion
of
loans as to which the borrowers have blemished credit histories
(including
prior bankruptcy proceedings) or loans whose future performance
is
difficult to predict, such as adjustable payment mortgage loans,
interest-only loans, and for the other factors relating to the
mortgage
loans discussed above, the yields and the aggregate amount and
timing of
distributions on your securities may be subject to substantial
variability
from period to period and over the lives of the securities. An
investment
in these types of securities involves significant risks and uncertainties
and should only be considered by sophisticated investors who,
either alone
or with their financial, tax and legal advisors, have carefully
analyzed
the mortgage loans and the securities and understand the risks.
In
addition, investors should not purchase classes of securities
that are
susceptible to special risks, such as subordinate securities,
interest-only securities and principal-only securities, unless
the
investors have the financial ability to absorb a substantial
loss on their
investment.
|
|
Any
original issue discount must be included in income for tax
purposes
|
Compound
interest securities and some classes of securities that are entitled
only
to interest distributions will be, and particular classes of
securities
may be, issued with original issue discount for federal income
tax
purposes. The holder of a security issued with original issue
discount
must include original issue discount in ordinary gross income
for federal
income tax purposes as it accrues, in advance of receipt of the
cash
attributable to income.
|
Ÿ
|
amounts
only after the occurrence of specified events, or in accordance
with a
specified schedule or formula or on the basis of distributions
on
specified portions of the mortgage
assets,
|
Ÿ
|
may
be subordinated in right to receive distributions and may be
subject to
allocation of losses in favor of one or more other classes of
Securities
of the series, and
|
Ÿ
|
interest
at a rate, which may be fixed, variable or adjustable and may
differ from
the rate at which other classes of Securities of the series are
entitled
to receive interest, and
|
Ÿ
|
distributions
only after the occurrence of specified events and may accrue
interest
until such events occur, in each case as specified in the related
prospectus supplement.
|
Ÿ
|
borrowing
through Clearstream or Euroclear for one day, until the purchase
side of
the day trade is reflected in their Clearstream or Euroclear
accounts, in
accordance with the clearing system’s customary procedures;
|
Ÿ
|
borrowing
the globally-offered Securities in the U.S. from a DTC participant
no
later than one day prior to settlement, which would give the
globally-offered Securities sufficient time to be reflected in
their
Clearstream or Euroclear accounts in order to settle the sale
side of the
trade; or
|
Ÿ
|
staggering
the value dates for the buy and sell sides of the trade so that
the value
date for the purchase form the DTC participant is at least one
day prior
to the value date for the sale to the Clearstream participant
or the
Euroclear system participant.
|
Ÿ
|
DTC
or the depositor advise in writing that DTC is no longer willing
or able
to discharge properly its responsibilities as a nominee and depository
with respect to the book-entry certificates and the depositor
or the
trustee is unable to locate a qualified successor;
|
Ÿ
|
DTC,
at the direction of the depositary participants to whose accounts
are
credited a majority of the outstanding book-entry Securities,
advises the
trustee in writing that the continuation of a book-entry system
through
DTC, or a successor to DTC, is no longer in the best interests
of the
beneficial owners of the Securities.
|
Ÿ
|
whether
distributions on the Securities will be made monthly, quarterly,
semiannually or at other intervals,
|
Ÿ
|
the
final liquidation of the mortgage loan through foreclosure sale,
disposition of the related property securing the mortgage loan
if acquired
by deed-in-lieu of foreclosure, disposition of the defaulted
mortgage loan
or otherwise,
|
Ÿ
|
the
reduction of the unpaid principal balance of the mortgage loan
or the
modification of the payment terms of the mortgage loan in connection
with
a proceeding under the federal Bankruptcy Code or otherwise,
|
Ÿ
|
the
reduction (in some cases to zero) of the unpaid principal balance
of the
mortgage loan upon a determination by the servicer that unpaid
principal
is unlikely to be recoverable, or is unlikely to be recoverable
in amounts
sufficient to offset related collection expenditures, as a result
of
insufficient recoverable collateral value; loan originator error
or
violation of law; fraud, dishonesty or misrepresentation in the
origination of the mortgage loan; or other cause; or
|
Ÿ
|
physical
damage to the related property securing the mortgage loan of
a type not
covered by standard hazard insurance policies.
|
Ÿ
|
the
principal portion of all scheduled monthly payments due on or
before the
date of determination, whether or not received,
|
Ÿ
|
all
amounts allocable to unscheduled principal payments received
on or before
the last day of the preceding prepayment period, and
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without
duplication, the amount of any realized loss that has occurred
with
respect to the mortgage loan on or before the date of determination.
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economic
conditions generally and in the geographic area in which the
mortgaged
premises are located,
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prevailing
mortgage market interest rates in relation to the interest rates
on the
mortgage loans,
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if
the mortgage loans are secured by investment properties, tax-related
considerations and the availability of other investments.
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The
seller is the sole owner of, and has good and marketable title
to, the
mortgage assets, subject to no prior lien, mortgage, security
interest,
pledge, charge or other encumbrance, except any lien to be released
concurrently with the purchase by the depositor of the mortgage
assets.
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The
information set forth on the closing schedule is true and correct
in all
material respects as of the related cut off date or such other
date as may
be indicated on such schedule.
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The
seller did not use adverse selection procedures in selecting
the mortgage
assets to be sold to the depositor. All information regarding
the mortgage
assets that could reasonably be expected to adversely affect
the value or
the marketability of any mortgaged property or mortgage asset
and of which
the seller is aware has been provided by the seller to the depositor.
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Each
mortgage asset at the time it was made complied in all material
respects
with applicable local, state, and federal laws, including, but
not limited
to, all applicable predatory and abusive lending laws.
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None
of the mortgage assets are (A) subject to 12 CFR Part 226.31,
12 CFR Part
226.32
or 12 CFR Part 226.34 of Regulation Z, the regulation implementing
TILA,
which implements the Home Ownership and Equity Protection Act
of 1994, as
amended, (B)(i) “High-Cost Home Loans” as defined in the New Jersey Home
Ownership Act effective November 27, 2003, (ii) “High-Cost Home Loans” as
defined in the New Mexico Home Loan Protection Act effective
January 1,
2004, (iii) secured by property located in Illinois and in violation
of
the Illinois Interest Act (815 111 Comp. Stat. 205/1 et
seq.
or
“High-Risk Home Loans” as defined in the Illinois High-Risk Home Loan Act
(815 111 Comp. Stat 137/1 et
seq.),
(iv) “High Cost Loans” or “Covered Loans,” as applicable (as such terms
are defined in the then current S&P’s LEVELS® Glossary which is now
Version 5.6b revised, Appendix E), (v) governed by the Georgia
Fair
Lending Act, if such mortgage asset was originated on or after
October 1,
2002 through March 6, 2003, (vi) “High Cost Home Loans” as defined in the
Arkansas Home Loan Protection Act (Act 1340 of 2003) or (vii)
“High Cost
Home Loans” as defined in the Kentucky high-cost home loan statute (Ky,
Rev. Stat. Section 360.100) or (C) classified and/or defined
as a “high
cost” loan or “predatory,” “high cost,” “threshold” or “covered” lending
under any other state, federal or local law where such law expressly
exposes an assignee to civil or criminal liability or damages,
or to
regulatory action or enforcement proceedings or penalties or
materially
impairs the enforceability of the mortgage asset. Each mortgage
asset at
the time it was made otherwise complied in all material respects
with any
and all requirements of any federal, state or local law including,
but not
limited to, all predatory lending laws, usury, truth in lending,
real
estate settlement procedures (including the Real Estate Settlement
Procedures Act of 1974, as amended), consumer credit protection,
equal
credit opportunity or disclosure laws applicable to such mortgage
asset.
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As
of the related closing date, each mortgaged property is free
of material
damage and is in good repair.
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Each
security instrument securing a mortgage asset has been duly executed
and
delivered by the borrower and constitutes a legal, valid and
binding
obligation of the borrower, enforceable against the borrower
in accordance
with its terms, subject, as to enforcement of remedies, to applicable
bankruptcy, reorganization, insolvency or other laws affecting
the
enforcement of creditors’ rights generally and to general principles of
equity.
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With
respect to a deed of trust, the trustee named in the mortgage
loan
documents is authorized to serve as such in the applicable jurisdiction.
No fees or expenses are payable by the seller or the depositor
to such
trustee pursuant to a deed of trust other than any applicable
trustee’s
expenses incurred after a default.
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There
are no mechanic’s or other liens against the mortgaged property that are
superior to or equal to the lien of the mortgage asset, except
such liens
as are expressly insured against by a title insurance policy.
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No
payment due on any mortgage asset was more than fifty-nine (59)
days past
due as of the applicable date set forth on the closing schedule.
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The
seller has not acted (1) to modify the mortgage asset in any
material
respect, (2) to satisfy, cancel or subordinate the mortgage asset
in whole
or in part, (3) to release the related mortgaged property in
whole or in
part from the lien of the related mortgage or (4) to execute
any
instrument of release, cancellation, modification or satisfaction
of the
mortgage asset, except to the extent reflected in the mortgage
loan file.
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There
is no offset, defense or counterclaim to any mortgage note or
security
instrument, including any offset, defense or counterclaim that
would
excuse or lessen the obligation of the borrower to pay the unpaid
principal or interest on such mortgage note.
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A
title insurance policy has been issued on a currently prescribed
American
Land Title Association form (or other acceptable form of Title
Insurance
Policy) with respect to each mortgage asset (other than a junior
mortgage
loan), is valid and binding and remains in full force and effect
and
insures the seller, its successors or assigns as holding a lien
for the
full principal amount of such mortgage asset.
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Each
of the mortgage assets was underwritten in accordance with the
standards
described in the related prospectus supplement.
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With
respect to any mortgage asset that provides for an adjustable
interest
rate, all rate adjustments have been performed in accordance
with the
terms of the related mortgage note, subsequent modifications,
if any, and
all applicable laws. Each adjustable rate mortgage asset has
been serviced
pursuant to prudent servicing standards.
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With
respect to each adjustable rate mortgage asset, such mortgage
asset has a
gross margin of not less than the specified percentage.
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In
connection with the origination and servicing of each mortgage
asset, all
applicable federal, state and local laws and regulations including
but not
limited to consumer credit, equal credit opportunity, real estate
settlement procedures, truth-in-lending and usury, have been
complied with
by the seller and the entity from whom the seller purchased such
mortgage
assets. All levied assessments not part of the general tax bill
have been
paid in full before or at closing of each mortgage assets.
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All
fees and charges (including finance charges) and whether or not
financed,
assessed, collected or to be collected in connection with the
origination
and servicing of each mortgage asset have been disclosed in writing
to the
borrower in accordance with applicable state and federal law
and
regulation.
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The
seller has no knowledge of any default, breach, violation or
event of
acceleration existing under any of the mortgage loan documents
transferred
to the depositor or any event that with notice and expiration
of any grace
or cure period would result in a default, breach, violation or
event of
acceleration. The seller has not waived any event of default
or breach,
violation or event of acceleration.
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As
of the related cut-off date, the seller has no knowledge of any
relief
requested and allowed to any borrower under the Servicemembers
Civil
Relief Act.
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As
of the related cut-off date, no borrower is subject to bankruptcy
or
insolvency proceedings, and no property securing a mortgage asset
is
subject to foreclosure proceedings, and, to the best of the seller’s
knowledge, the commencement of foreclosure proceedings, with
respect to
property securing a mortgage asset, is not imminent.
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As
of the closing date, a hazard insurance policy is in full force
and effect
as required by the applicable underwriting guidelines, and flood
insurance
coverage is in effect if required by the applicable underwriting
guidelines. Such insurance policies contain a mortgagee clause
insuring
the seller, its successors and assigns. If mortgage insurance
is required,
all conditions necessary for the effectiveness thereof have been
satisfied, and the mortgage insurance is valid and in full force
and
effect and meets the requirements of the applicable underwriting
guidelines. Such mortgage insurance is the valid and binding
agreement of
the insurer, and all premiums thereon have been paid when due
and
sufficient escrow arrangements have been established to provide
for future
premium payments. To the best of the seller’s knowledge, no events have
occurred since the mortgage insurance was issued that would reduce
the
stated coverage of the mortgage insurance.
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No
mortgage note is secured by any collateral except the lien of
the
corresponding security instrument.
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Upon
default by a borrower on a mortgage asset and the subsequent
foreclosure
on the mortgaged property pursuant to proper procedures, the
holder of the
mortgage asset will be able to deliver “good and merchantable title” to
the mortgaged property underlying that mortgage asset, except
to the
extent that the enforceability of remedies against such borrower may be
subject to applicable bankruptcy, reorganization, insolvency
or other
similar laws affecting creditors’ rights generally from time to time in
effect, and to general principles of equity. There is no homestead
exemption or other defense available to the borrower that would
prevent
the sale of the mortgaged property at a trustee’s sale or impair the right
of foreclosure.
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All
improvements located on each mortgaged property lie within the
boundary
lines of the related mortgaged property. There are no violations
of
applicable zoning laws or regulations.
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No
mortgage asset is a graduated payment mortgage loan and no mortgage
asset
has a shared appreciation or other contingent interest feature.
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None
of the mortgage assets is a retail installment contract for goods
or
services or a home improvement loan for goods or services, which
are
either “consumer credit contracts” or “purchase money loans” as such terms
are defined in 16 CFR 433.1.
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Each
mortgage asset securing a series of Certificates is an “obligation
principally secured by an interest in real property” within the meaning of
Treasury Regulation Section 1.860G-2(a).
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The
full principal amount of the mortgage assets has been advanced
to the
borrowers or advanced according to the direction of the borrowers.
The
borrowers have no option under the security instruments to borrow
additional funds secured by the security instruments. The stated
principal
balances of the mortgage assets are as represented by the seller
to the
depositor and are fully secured by the related security instruments.
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No
borrower was required to purchase any credit life, disability,
accident or
health insurance product as a condition of obtaining the extension
of
credit for such mortgage asset. No borrower obtained a prepaid
single-premium credit life, disability, accident or health insurance
policy in connection with the origination of the mortgage asset;
No
proceeds from any mortgage asset were used to purchase single
premium
credit insurance policies as part of the origination of, or as
a condition
to closing, such mortgage asset.
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All
taxes, government assessments or municipal charges due and owing
have been
paid, and sufficient escrow arrangements have been established
to make
payment thereof in the future.
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With
respect to an appraisal of a mortgaged property, each was made
by an
appraiser who either (1) met the minimum qualifications of Fannie
Mae or
Freddie Mac for appraisers, and each appraisal was completed
on a form
satisfactory to Fannie Mae and Freddie Mac and includes information
concerning comparable property values or (2) at the time that
the
appraisal was made, was certified in the state in which the mortgaged
property are located.
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No
mortgage asset is secured by a leasehold estate except such leasehold
estates as are permitted pursuant to the applicable underwriting
guidelines.
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The
amount of the servicing fee with respect to the mortgage assets
constitutes fair compensation for the services of the applicable
servicer.
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The
security instrument with respect to certain of the mortgage assets
contains a provision for the acceleration of the payment of the
unpaid
principal balance of such mortgage assets if the related mortgaged
property is sold or transferred without the prior written consent
of the
mortgagee thereunder, at the option of the mortgagee. To the
best of the
seller’s knowledge, such provisions are enforceable.
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Each
prepayment penalty is permissible, originated in compliance with,
and
enforceable in accordance with its terms under, applicable federal,
state
and local law (except to the extent that the enforceability thereof
may be
limited by bankruptcy, insolvency, moratorium, receivership and
other
similar laws affecting creditor’s rights generally or the collectibility
thereof may be limited due to acceleration in connection with
foreclosure).
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With
respect to any junior lien mortgage loan, no funds provided to
a borrower
from a junior mortgage loan were concurrently used as a downpayment
for a
first mortgage loan.
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With
respect to any junior lien mortgage loan: (a) the indebtedness
secured by
the related prior lien requires equal monthly payments and does
not
provide for a balloon payment; (b) at the time of origination,
the related
prior lien was not more than 30 days delinquent; (c) either (i)
no consent
for the making of such junior mortgage loan was required by the
holder of
the related prior lien or (ii) such consent was obtained and
has been
delivered to the trustee; and (d) the related seller has not
received, and
is not aware of, a notice of default of any senior mortgage loan
which has
not been cured.
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to
repurchase the affected mortgage assets at a price generally
equal to the
unpaid principal balance of the mortgage assets, together with
accrued and
unpaid interest on the mortgage assets at the rate in the related
mortgage
note.
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the
related property’s geographic location and whether it is located in a
recently-designated FEMA disaster area (and, if so, whether the
related
sponsor can determine that the specific property is free from
damage,
notwithstanding the natural disaster afflicting the area as a
whole);
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the
delinquency status of such loan, including whether such loan
is in
foreclosure or if the related borrower is in bankruptcy proceedings.
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Interest
may be payable at a fixed rate or may be payable at a rate that
is
adjustable on specified adjustment dates. Types of adjustable
rate
mortgage loans that may be included in a trust fund include the
following:
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mortgage
loans whose interest rate adjusts on the basis of a variable
index plus a
margin, with the initial adjustment typically occurring less
than a year
after origination of the related mortgage loan and adjustments
occurring
periodically thereafter on specified adjustment dates by adding
a
specified fixed percentage to the index, subject to periodic
limitations,
maximum rate, a minimum rate or a combination of these limitations;
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“hybrid”
mortgage loans, whose interest rate is fixed for the initial
period
specified in the related mortgage note (typically for a period
of a year
or more after origination), and thereafter adjusts periodically
based on
the related index;
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“interest-only”
mortgage loans, which provide for payment of interest at the
related
mortgage interest rate, but no payment of principal, for the
period
specified in the related mortgage note; thereafter, the monthly
payment is
increased to an amount sufficient to amortize the principal balance
of the
mortgage loan over the remaining term and to pay interest at
the
applicable interest rate borne by such mortgage loan;
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“negative
amortization” mortgage loans, which may have a low introductory interest
rate, and thereafter have a mortgage interest rate which adjusts
periodically based on the related index; however, the borrower
is only
required to make a minimum monthly payment which may not be sufficient
to
pay the monthly interest accrued, resulting in an increase to
the
principal balance of the mortgage loan by the amount of unpaid
interest;
and
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“option
ARMs,” which combine several of the features described above and permit
the borrower to elect whether to make a monthly payment sufficient
to pay
accrued interest and amortize the principal balance, make an
interest-only
payment or make a minimum payment that may be insufficient to
pay accrued
interest (with the unpaid interest added to the principal balance
of the
mortgage loan).
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The
mortgage rate may be convertible from an adjustable rate to a
fixed rate,
or from a fixed rate to an adjustable rate , in accordance with
the terms
of the related mortgage note or at the option of the borrower
under
certain circumstances.
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Principal
may be payable on a level basis to amortize fully the mortgage
loan over
its term, may be calculated on the basis of an assumed amortization
schedule that is significantly longer than the original term
of the
mortgage loan (such loans are referred to as “balloon” mortgage loans) or
on an interest rate that is different from the rate in the related
mortgage note or may not be amortized during all or a portion
of the
original term. Payment of all or a substantial portion of the
principal
may be due at maturity. Principal may include interest that has
been
deferred and added to the principal balance of the mortgage loan.
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Payments
may be fixed for the life of the mortgage loan, may increase
over a
specified period of time or may change from period to period.
Mortgage
loans may include limits on periodic increases or decreases in
the amount
of monthly payments and may include maximum or minimum amounts
of monthly
payments.
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Prepayments
of principal may be subject to a prepayment penalty or fee, which
may
decline in amount over time and which will be eliminated after
a specified
period. Other mortgage loans may permit prepayments without payment
of a
prepayment fee. The mortgage loans may include due-on-sale clauses
that,
subject to certain legal limitations, permit the mortgagee to
demand
payment of the entire mortgage loan in connection with the sale
or certain
other transfers of the property or interest securing the related
mortgage
loan. Other mortgage loans may be assumable by persons meeting
the then
applicable underwriting standards of the originator.
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“LIBOR”
which is the average of the London Interbank Offer Rate, a rate
at which
banks in London, England lend U.S. dollars to other banks in
U.S. dollar
wholesale or interbank money markets for a specified duration;
or
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“Constant
Maturity Treasury (“CMT”) indices, which is an average yield on United
States Treasury Securities adjusted to a specified constant maturity,
as
by the Federal Reserve Board.
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the
range of outstanding principal balances and average outstanding
principal
balance of the mortgage loans;
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the
expected weighted average term to maturity of the mortgage loans
as of the
applicable cut-off date and the expected range of the terms to
maturity;
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the
expected aggregate outstanding principal balance of mortgage
loans having
loan-to-value ratios at origination exceeding 80%;
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the
expected aggregate outstanding scheduled principal balance, if
any, of
buy-down loans as of the applicable cut-off date;
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the
expected aggregate outstanding principal balance, if any, of
graduated
payment mortgage (“GPM”) loans as of the applicable cut-off date;
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the
amount and type of credit enhancement to be maintained with respect
to all
or a material portion of the mortgage loans;
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the
expected geographic location of the property or interest securing
the
mortgage loans, or, in the case of a cooperative loan, the building
owned
by the related cooperative;
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with
respect to adjustable rate mortgage loans (“ARMs”), the adjustment dates,
the highest, lowest and weighted average margin, the limitations
on the
adjustment of the interest rates on any adjustment date and over
the life
of the loans;
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whether
the mortgage loan provides for an interest only period and whether
the
principal balance of that loan is fully amortizing or is amortized
on the
basis of a period of time that extends beyond the maturity date
of the
loan;
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if
applicable, the aggregate of any capitalized or uncapitalized
accrued
interest on the mortgage loans;
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the
range of loan-to-value ratios for the mortgage loans and if applicable,
combined loan-to-value ratios;
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the
percentage of mortgage loans (by outstanding principal balance
as of the
applicable cut-off date) that are not covered by primary mortgage
insurance policies;
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any
pool insurance policy, special hazard insurance policy or bankruptcy
bond
or other credit support relating to the mortgage loan;
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the
originator distribution, if more than one originator originated
the
mortgage loans in the trust;
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Ÿ |
have
an unpaid principal balance not greater than (and not more than
10% less
than) the unpaid principal balance of any deleted mortgage loan,
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Ÿ |
with
respect to a fixed rate mortgage loan, have a mortgage interest
rate not
less than, and not more than one percentage point in excess of,
the
mortgage interest rate of the deleted mortgage loan,
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with
respect to an ARM loan, provide for a lowest possible net rate
and a
highest possible net rate that is not more than 1% lower than
the
respective net rate for the deleted mortgage loan, and have a
gross margin
that is not more than 1% less than the gross margin of the deleted
mortgage loan,
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comply
with each applicable representation, warranty and covenant pertaining
to
an individual mortgage loan set forth in the applicable agreement,
have
been underwritten on the basis of credit underwriting standards
at least
as strict as the credit underwriting standards used with respect to
the
deleted mortgage loan and, if a seller is effecting the substitution,
comply with each applicable representation, warranty or covenant
pertaining to an individual mortgage loan set forth in the related
sales
agreement or subsequent sales agreement.
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the
approximate aggregate principal amount and type of any mortgage-backed
securities to be included in the trust,
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•
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to
the extent known to the depositor, certain characteristics of
the mortgage
loans underlying the mortgage-backed securities including:
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Ÿ
|
the
approximate aggregate principal balance, if known, of underlying
mortgage
loans insured or guaranteed by a governmental entity,
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Ÿ
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characteristics
of credit support, if any, including reserve funds, insurance
policies,
surety bonds, letters of credit or guaranties, relating to the
mortgage
loans underlying the mortgage-backed securities or to the mortgage-backed
securities themselves,
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the
terms on which the underlying mortgage loans may, or are required
to, be
repurchased prior to their stated maturity or the stated maturity
of the
mortgage-backed securities, and
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the
terms on which other mortgage loans may be substituted for those
originally underlying the mortgage-backed securities.
|
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the
period during which Subsequent Assets may be purchased from amounts
on
deposit in the related pre-funding account will not exceed 90
days from
the related closing date, unless otherwise specified; and
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the
Subsequent Assets to be acquired by the related trust will be
subject to
the same representations and warranties as the mortgage assets
included in
the related trust on the closing date, although additional criteria
may
also be required to be satisfied, as described in the related
prospectus
supplement.
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Ÿ
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each
Subsequent Asset purchased after the applicable closing date
must satisfy
the representations and warranties contained in the subsequent
transfer
agreement to be entered into by the depositor, the related seller
and the
trustee and in the related agreement;
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the
related seller will not select the Subsequent Assets in a manner
that it
believes is adverse to the interests of the securityholders;
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Ÿ
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as
of the related cut-off date, all of the mortgage assets in the
loan pool
at that time, including the Subsequent Assets purchased after
the closing
date, will satisfy the criteria set forth in the related agreement;
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the
Subsequent Assets will have been approved by any third party
provider of
credit enhancement, if applicable; and
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Ÿ
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before
the purchase of each Subsequent Asset, the trustee will perform
an initial
review of certain related loan file documentation for the loan
and issue
an initial certification for which the required documentation
in the loan
file has been received with respect to each Subsequent Asset.
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obligations
of the United States or any agency thereof, provided the obligations
are
backed by the full faith and credit of the United States,
|
Ÿ
|
general
obligations of or obligations guaranteed by any state of the
United States
or the District of Columbia receiving the highest long-term debt
rating of
each rating agency, or such lower rating as will not result in
the
downgrading or withdrawal of the ratings then assigned to the
securities
by each rating agency,
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within
specified limitations, securities bearing interest or sold at
a discount
issued by any corporation, which securities are rated in the
rating
category required to support the then applicable rating assigned
to the
series,
|
Ÿ
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commercial
paper which is then rated in the commercial paper rating category
required
to support the then applicable rating assigned to the series,
|
Ÿ
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demand
or time deposits, certificates of deposit, bankers’ acceptances and
federal funds sold by any depository institution or trust company
incorporated under the laws of the United States or of any state
thereof,
provided that either the senior debt obligations or commercial
paper of
the depository institution or trust company, or the senior debt
obligations or commercial paper of the parent company of the
depository
institution or trust company, are then rated in the rating category
required to support the then applicable rating assigned to the
series,
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demand
and time deposits and certificates of deposit issued by any bank
or trust
company or savings and loan association and fully insured by
the FDIC,
|
Ÿ
|
guaranteed
reinvestment agreements issued by any bank insurance company,
corporation
or other entity acceptable to each rating agency that provides,
at the
request of the depositor, a rating for the securities of the
series at the
time of issuance of the series,
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|
units
of a taxable money-market portfolio having the highest rating
assigned by
each applicable rating agency and restricted to obligations issued
or
guaranteed by the United States of America or entities whose
obligations
are backed by the full faith and credit of the United States
of America
and repurchase agreements collateralized by such obligations,
and
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|
such
other investments bearing interest or sold at a discount acceptable
to
each rating agency as will not result in the downgrading or withdrawal
of
the rating then assigned to the securities by either rating agency,
as
evidenced by a signed writing delivered by each rating agency.
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|
to
cause to be made all initial filings establishing or creating
a security
interest over the mortgage assets and any other related assets
and make
all filings necessary to maintain the effectiveness of any original
filings necessary under the relevant UCC (as defined herein)
to perfect
the trustee’s security interest in or lien on the mortgage assets and any
such related assets;
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Ÿ
|
to
appoint a successor owner trustee, securities registrar or paying
agent in
the event such party resigns, is removed or becomes ineligible
to continue
serving in such capacity under the trust agreement;
|
Ÿ
|
to
prepare and file, or cause the preparation and filing of, any
reports
required under the Exchange Act;
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Ÿ
|
to
notify the rating agencies and any other relevant parties of
any
termination or redemption event or the occurrence of any event
of default
or other event specified in the related agreements;
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Ÿ
|
to
prepare and file, or cause the preparation and filing, of tax
returns and
investor reports on behalf of the trust and to collect or cause
to be
collected any withholding tax as described in the agreements;
|
Ÿ
|
to
obtain and preserve the trust’s licenses and qualification to do business
in each jurisdiction in which such licenses or qualification
are or shall
be necessary to protect the validity and enforceability of the
trust
assets;
|
Ÿ
|
to
pay certain organizational expenses of the trust, to indemnify
the trustee
and the administrator and to reimburse certain expenses of such
parties;
|
Ÿ
|
to
monitor the performance of the issuing entity and to deliver
to the
trustee and the rating agencies notice of any event of default;
|
Ÿ
|
to
obtain opinions of counsel, and prepare and file, or cause to
be prepared
and filed, instruments, certificates and documents required for
the
release of collateral or the amendment or waiver of any provision
of the
agreements;
|
Ÿ
|
to
prepare or cause to be prepared, any annual officers’ certificates
required to be delivered pursuant to the agreements;
|
Ÿ
|
to
comply with any directive of the trustee in connection with a
sale of the
collateral upon the occurrence of an event of default;
|
Ÿ
|
has
tangible net worth, determined in accordance with generally accepted
accounting principles, of at least $3,000,000.
|
Ÿ
|
all
rents or other payments collected or received by the insured,
other than
the proceeds of hazard insurance, that are derived from or are
in any way
related to the related mortgaged premises,
|
Ÿ
|
hazard
insurance proceeds in excess of the amount required to restore
the
mortgaged premises and which have not been applied to the payment
of the
mortgage loan,
|
Ÿ
|
the
actual cash value, or the replacement cost less physical depreciation,
of
the dwellings, structures and other improvements damaged or destroyed,
or
|
Ÿ
|
that
proportion of the loss, without deduction for depreciation, as
the amount
of insurance carried bears to the specified percentage of the
full
replacement cost of such dwellings, structures and other improvements.
|
Ÿ
|
administer
and supervise the performance by each servicer of its duties
and
responsibilities under the related servicing agreement,
|
Ÿ
|
prepare
periodic reports to the trustee or the securityholders with respect
to the
foregoing matters.
|
Ÿ
|
purchase
mortgage loans from a trust due to a breach by the servicer of
a
representation or warranty under the related servicing agreement,
|
Ÿ
|
advance
payments of principal and interest on a delinquent mortgage loan
in excess
of the master servicer’s independent advance obligation under the related
agreement.
|
Ÿ
|
to
correct or amplify the description of any property at any time
subject to
the lien of the indenture, or better to assure, convey and confirm
unto
the indenture trustee any property subject or required to be
subjected to
the lien of the indenture, or to subject to the lien of the indenture
additional property;
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Ÿ
|
to
evidence the succession of a successor to the issuing entity,
and the
assumption by any such successor of the covenants of the issuing
entity;
|
Ÿ
|
to
add to the covenants of the issuing entity for the benefit of
the
securityholders, or to surrender any right or power herein conferred
upon
the issuing entity;
|
•
|
to
(1) cure any ambiguity, (2) correct or supplement any provision
in the
indenture that may be inconsistent with any other provisions
of the
indenture, or to conform the provisions of the indenture to those
of any
offering document relating to the Securities, (3) obtain a rating
for a
class of securities from a nationally recognized statistical
rating
organization, or (4) make any other provisions with respect to
matters or
questions arising under the indenture; provided,
however,
that no such supplemental indenture entered into pursuant to
clause (4)
will adversely affect in any material respect the interests of
any
securityholder not consenting thereto as evidenced by an opinion
of
counsel (or, in lieu thereof, written confirmation from each
rating agency
that the supplemental indenture will not cause it to reduce or
withdraw
its then-current ratings on any class of Securities);
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Ÿ
|
to
evidence and provide for the acceptance of the appointment of
a successor
indenture trustee with respect to the Notes and to add to or
change any of
the provisions of the indenture to the extent necessary to facilitate
the
administration of the trusts hereunder by more than one indenture
trustee;
or
|
Ÿ
|
to
modify, eliminate or add to the provisions of the indenture to
such extent
as shall be necessary to effect the qualification of the indenture
under
the Trust Indenture Act or under any similar federal statute
hereafter
enacted and to add to the indenture such other provisions as
may be
expressly required by the Trust Indenture Act (as evidenced by
an opinion
of counsel furnished to the indenture trustee).
|
Ÿ
|
a
default in the payment of current interest in respect of any
class of
Notes when the same becomes due and payable, and the continuance
of such
default for a period of thirty (30) days; or
|
Ÿ
|
a
default in the payment of the entire class principal balance
of any Note
on the applicable maturity date; or
|
Ÿ
|
either
the issuing entity or the pool of collateral becomes an “investment
company” required to be registered under the Investment Company Act of
1940, as amended; or
|
Ÿ
|
default
in the observance or performance of any covenant or agreement
of the
issuing entity made in the indenture, or any representation or
warranty of
the issuing entity in the agreements or in any certificate or
other
writing delivered pursuant hereto or in connection herewith proves
to have
been incorrect in any material respect as of the time it was
made, and
such default continues or is not cured, or the circumstance or
condition
in respect of which such representation or warranty was incorrect
is not
eliminated or otherwise cured, for a period of 60 days after
written
notice is given to the issuing entity by the indenture trustee
or to the
issuing entity and the indenture trustee by the holders of at
least 25% of
the outstanding amount of the Notes, a written notice specifying
such
default or incorrect representation or warranty and requiring
it to be
remedied and stating that such notice is a notice of default
hereunder; or
|
Ÿ |
the
receipt of notice from the holder of a certificate issued by
the issuing
entity, to the indenture trustee of such holder’s failure to qualify as a
REIT or a qualified REIT subsidiary; or
|
Ÿ |
a
transfer of a certificate issued by the issuing entity that causes
such
certificate not to be beneficially owned (directly or indirectly
through
qualified REIT subsidiaries) by the same REIT.
|
Ÿ
|
such
holder previously has given to the indenture trustee written
notice of a
continuing indenture default;
|
Ÿ
|
the
holders of a majority in outstanding amount of the highest priority
class
notes have made written request to the indenture trustee to institute
such
proceeding in its own name as indenture trustee;
|
Ÿ
|
the
indenture trustee has, for 60 days after receipt of such notice,
request
and offer of indemnity, failed to institute such proceeding;
and
|
Ÿ
|
no
direction inconsistent with such written request has been given
to the
indenture trustee during such 60-day period by the holders of
a majority
in outstanding amount of the highest priority class notes.
|
Ÿ
|
except
as expressly permitted by the agreements, sell, transfer, exchange
or
otherwise dispose of any of the properties or assets of the issuing
entity, including those included in the collateral, unless directed
to do
so by the indenture trustee;
|
Ÿ
|
claim
any credit on, or make any deduction from the principal or interest
payable in respect of, the Notes of the related series (other
than amounts
properly withheld from such payments under the Code) or assert
any claim
against any present or former Noteholder by reason of the payment
of the
taxes levied or assessed upon any part of the collateral;
|
Ÿ
|
engage
in any business or activity other than as permitted by the agreements
or
other than in connection with, or relating to, the issuance of
Notes
pursuant to the indenture, or take any action under the trust
agreement
that requires prior written consent of the Noteholders without
such
consent;
|
Ÿ
|
incur
or assume any indebtedness or guarantee any indebtedness of any
person,
except for such indebtedness as may be incurred by the Issuer
in
connection with the issuance of the Notes pursuant to the indenture;
|
Ÿ
|
(A)
permit the validity or effectiveness of the indenture to be impaired,
or
permit the lien of the indenture to be amended, hypothecated,
subordinated, terminated or discharged, or permit any person
to be
released from any covenants or obligations with respect to the
Notes under
the indenture except as may be expressly permitted hereby, (B)
permit any
lien, charge, excise, claim, security interest, mortgage or other
encumbrance (other than the lien of the indenture) to be created
on or
extend to or otherwise arise upon or burden the collateral or
any part
thereof or any interest therein or the proceeds thereof (other
than any
junior liens or tax liens, mechanics’ liens and other liens that arise by
operation of law, in each case on any of the mortgaged properties
and
arising solely as a result of an action or omission of the related
borrowers), or (C) permit the lien of the indenture not to constitute
a
valid first priority (other than with respect to any such tax,
mechanic’s
or other lien) security interest in the collateral;
|
Ÿ
|
remove
the administrator without cause unless the rating agency condition
shall
have been satisfied in connection with such removal; or
|
Ÿ
|
take
any other action that may cause the trust to be taxable as an
association,
a publicly traded partnership or a taxable mortgage pool pursuant
to the
Code.
|
Ÿ
|
issuing
certificates pursuant to a trust agreement and conducting an
offering or a
private placement of the certificates;
|
Ÿ
|
acquiring
mortgage assets and other property from the depositor and, pursuant
to an
indenture, pledging the mortgage assets to the indenture trustee
as
security for the trust’s obligations under the Notes;
|
Ÿ
|
entering
into and performing its obligations under the sale and servicing
agreement
or other applicable agreement, the trust agreement, the indenture,
the
servicing agreements, the sale agreement, the custodial agreement
the
administration agreement and any other applicable agreements;
|
Ÿ
|
engaging
in those activities that are necessary, suitable or convenient
to
accomplish the foregoing or are incidental thereto or connected
therewith;
and
|
Ÿ
|
engaging
in such other activities as may be appropriate in connection
with
conservation of the trust estate and the making of payments to
securityholders.
|
•
|
any
applicable record dates, accrual dates, determination dates
for
calculating distributions and actual distribution dates for
the
distribution period;
|
•
|
the
amount of fees and expenses accrued and paid, the purpose of
such fees and
expenses and the identification of each payee, including the
amount of
fees paid to the trustee, the custodian, the master servicer,
any
securities or trust administrator, the servicers and any subservicers
for
such distribution date;
|
•
|
the
aggregate amount of the distribution allocable to principal,
separately
identifying the amount allocable to each class of Securities;
|
•
|
the
aggregate amount of the distribution allocable to interest,
separately
identifying the amount allocable to each class of Securities,
|
•
|
the
aggregate principal balance (or notional balance) of each class
of
Securities after giving effect to distributions on the related
distribution date,
|
•
|
if
applicable, the amount otherwise distributable to any class
of Securities
that was distributed to any other class of Securities,
|
•
|
if
any class of Securities has priority in the right to receive
principal
prepayments, the amount of principal prepayments in respect
of the related
mortgage assets,
|
•
|
the
amount, terms and general purpose of any monthly advances for
such
distribution date, including the general use of funds advanced
and the
general source of funds for reimbursements, and the amount
of any
outstanding monthly advances remaining after such distribution
date;
|
•
|
the
total number of mortgage loans and the aggregate principal
balances
thereof, together with the number and aggregate principal balances
of
mortgage loans (a) 30-59 days delinquent, (b) 60-89 days delinquent
and
(c) 90 or more days delinquent;
|
•
|
the
number and aggregate principal balance of mortgage loans in
foreclosure
proceedings (and whether any such mortgage loans are also included
in any
of the statistics described in the preceding clause);
|
•
|
with
respect to any Subsequent Asset, if applicable, the number
and aggregate
scheduled principal balance of any such mortgage loan included
in the
trust on such distribution date and the amounts of any funds
on deposit in
the pre-funding account;
|
•
|
the
amount of excess cash flow or excess spread and the disposition
of such
excess cash flow or excess spread;
|
•
|
the
amount of any shortfalls in distributions of interest with
respect to each
class of securities on such distribution date and the cumulative
amount of
any unreimbursed shortfalls in distributions of interest from
prior
distribution dates;
|
•
|
any
amounts drawn on any credit enhancement or other support, as
applicable,
and the amount of coverage remaining under any such enhancement,
if known
and applicable;
|
•
|
delinquency
and loss information for the distribution period with respect
to the
mortgage assets in the pool;
|
•
|
the
number of properties and the unpaid principal balance with
respect to each
property relating to defaulted mortgage loans in the trust;
|
•
|
the
beginning and ending balances of the distribution account,
reserve account
or other transaction account and any material account activity
during the
related period;
|
•
|
any
material modifications, extensions or waivers to pool asset
terms, fees,
penalties or payments during the distribution period or that
have
cumulatively become material over time;
|
•
|
information
with respect to material breaches of pool asset representations
or
warranties or transaction covenants;
|
•
|
information
on ratio, coverage or other tests used for determining any
early
amortization, liquidation or other performance trigger and
whether the
trigger was met;
|
•
|
information
regarding any changes to the mortgage assets in the pool, including
any
additions or removals in connection with a pre-funding, repurchases
or
substitutions;
|
•
|
information
regarding any material changes in the solicitation, credit
granting,
underwriting, origination, acquisition or pool selection criteria
or
procedures, as applicable, used to originate, acquire or select
additional
mortgage assets acquired during a pre-funding or revolving
period or in
connection with a substitution; and
|
•
|
are
entitled to have interest rates reduced and capped at 6% per
annum on
obligations, including mortgage loans, incurred prior to the
commencement
of military service for the duration of military service,
|
•
|
may
be entitled to a stay of proceedings on any kind of foreclosure
or
repossession action in the case of defaults on obligations
incurred before
the commencement of military service, and
|
•
|
may
have the maturity of obligations incurred before the commencement
of
military service extended, the payments lowered and the payment
schedule
readjusted for a period of time after the completion of military
service.
|
•
|
the
granting of a leasehold interest which has a term of three
years or less
and which does not contain an option to purchase,
|
•
|
a
transfer to a relative resulting from the death of a borrower,
or a
transfer where the spouse or one or more children become owners
of the
mortgaged premises, in each case where the transferee(s) will
occupy the
mortgaged premises,
|
•
|
a
transfer resulting from a decree of dissolution of marriage,
legal
separation agreement or an incidental property settlement agreement
by
which the spouse becomes an owner of the mortgaged premises,
|
•
|
the
creation of a lien or other encumbrance subordinate to the
lender’s
security instrument which does not relate to a transfer of
rights of
occupancy in the mortgaged premises, provided that the lien
or encumbrance
is not created under contract for deed,
|
•
|
a
transfer by devise, descent or operation of law on the death
of a joint
tenant or tenant by the entirety, and
|
•
|
other
transfers as set forth in the Garn-St Germain Depository Institutions
Act
and the regulations thereunder.
|
•
|
“AFR,”
we mean the applicable federal rate, which is an average of
current yields
for U.S. Treasury securities with specified ranges of maturities
and which
is computed and published monthly by the IRS for use in various
tax
calculations;
|
•
|
“U.S.
Person,” we mean (i) a citizen or resident of the United States; (ii)
a
corporation (or entity treated as a corporation for tax purposes)
created
or organized in the United States or under the laws of the
United States
or of any state thereof, including, for this purpose, the District
of
Columbia; (iii) a partnership (or entity treated as a partnership
for tax
purposes) organized in the United States or under the laws
of the United
States or of any state thereof, including, for this purpose,
the District
of Columbia (unless provided otherwise by future Treasury regulations);
(iv) an estate whose income is includible in gross income for
United
States income tax purposes regardless of its source; or (v)
a trust, if a
court within the United States is able to exercise primary
supervision
over the administration of the trust and one or more U.S. Persons
have
authority to control all substantial decisions of the trust.
Notwithstanding the preceding clause, to the extent provided
in Treasury
regulations, certain trusts that were in existence
on August 20, 1996, that were treated as U.S. Persons prior
to such date,
and that elect to continue to be treated as U.S. Persons, also
are U.S.
Persons
|
•
|
the
transferor must perform a reasonable investigation of the financial
status
of the transferee and determine that the transferee has historically
paid
its debts as they come due and find no evidence to indicate
that the
transferee will not continue to pay its debts as they come
due,
|
•
|
the
transferor must obtain a representation from the transferee
to the effect
that the transferee understands that as the holder of the REMIC
residual
certificate the transferee will recognize taxable income in
excess of cash
flow and that the transferee intends to pay taxes on the income
as those
taxes become due,
|
•
|
the
transferee must represent that it will not cause income from
the REMIC
residual certificate to be attributable to a foreign permanent
establishment or fixed base (within the meaning of an applicable
income
tax treaty) of the transferee or another U.S. taxpayer and
|
•
|
either
(i) the amount received by the transferee must be no less on
a present
value basis than the present value of the net tax detriment
attributable
to holding the REMIC residual certificate reduced by the present
value of
the projected payments to be received on the REMIC residual
certificate or
(ii) the transfer must be to a domestic taxable corporation
with specified
large amounts of gross and net assets and that meets certain
other
requirements where agreement is made that all future transfers
will be to
taxable domestic corporations in transactions that qualify
for the same
“safe harbor” provision.
|
•
|
The
acquisition of Securities by a Plan must be on terms (including
the price
for the Securities) that are at least as favorable to the Plan
as they
would be in an arm’s-length transaction with an unrelated party;
|
•
|
Securities
eligible for exemptive relief may only be subordinated to the
rights and
interests evidenced by the other Securities of the issuing
entity if all
the mortgage loans are fully-secured;
|
•
|
The
Securities at the time of acquisition by the Plan must be rated
in one of
the four highest generic rating categories by Standard & Poor’s Rating
Services, a division of The McGraw-Hill Companies, Inc. (“S&P”),
Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”)
(each, a “Rating Agency”);
|
•
|
The
trustee may not be an affiliate of any other member of the
Restricted
Group, as defined below, other than any underwriter;
|
•
|
The
sum of all payments made to and retained by the underwriter(s)
must
represent not more than reasonable compensation for underwriting
the
Securities; the sum of all payments made to and retained by
the depositor
pursuant to the assignment of the assets to the issuing entity
must
represent not more than the fair market value of those obligations;
and
the sum of all payments made to and retained by the master
servicer and
any other servicer must represent not more than reasonable
compensation
for that person’s services under the related agreement and reimbursement
of that person’s reasonable expenses in connection therewith;
|
•
|
The
Plan investing in the Securities must be an accredited investor
as defined
in Rule 501(a)(1) of Regulation D of the Commission under
the Securities
Act of 1933, as amended; and
|
•
|
For
certain types of issuers, the documents establishing the
issuer and
governing the transaction must contain provisions intended
to protect the
assets of the issuer from creditors of the seller.
|
•
|
annual
reports on Form 10-K (including reports on assessment of compliance,
attestation reports and statements of compliance as described
under
“Servicing of Mortgage Loans—Evidence as to Compliance”); and
|
This 424B5 Filing | Date | Other Filings | ||
---|---|---|---|---|
8/24/95 | ||||
9/22/95 | ||||
12/31/95 | ||||
5/6/96 | ||||
8/20/96 | ||||
5/26/98 | ||||
10/1/98 | ||||
12/1/98 | ||||
4/1/02 | ||||
10/1/02 | ||||
12/31/02 | ||||
3/6/03 | 8-K | |||
11/27/03 | ||||
12/31/03 | ||||
1/1/04 | ||||
3/12/04 | ||||
9/1/04 | ||||
12/1/04 | ||||
12/31/04 | ||||
1/26/05 | ||||
1/31/05 | ||||
2/17/05 | ||||
6/1/05 | ||||
8/10/05 | ||||
9/30/05 | 8-K, 424B5 | |||
10/12/05 | ||||
12/31/05 | ||||
1/1/06 | ||||
1/24/06 | ||||
1/25/06 | ||||
3/1/06 | ||||
4/26/06 | ||||
6/19/06 | ||||
8/1/06 | ||||
8/30/06 | ||||
9/30/06 | ||||
12/4/06 | ||||
12/31/06 | ||||
2/1/07 | ||||
2/13/07 | ||||
2/27/07 | ||||
Filed On / Filed As Of | 3/1/07 | |||
3/7/07 | ||||
3/25/07 | ||||
3/26/07 | ||||
4/25/07 | ||||
5/25/07 | ||||
6/25/07 | ||||
7/25/07 | ||||
8/25/07 | ||||
9/25/07 | ||||
10/25/07 | ||||
11/25/07 | ||||
12/25/07 | ||||
1/25/08 | ||||
2/25/08 | ||||
3/25/08 | ||||
4/25/08 | ||||
5/25/08 | ||||
6/25/08 | ||||
7/25/08 | ||||
8/25/08 | ||||
9/25/08 | ||||
10/25/08 | ||||
11/25/08 | ||||
12/25/08 | ||||
1/25/09 | ||||
2/25/09 | ||||
3/25/09 | ||||
4/25/09 | ||||
5/25/09 | ||||
6/25/09 | ||||
7/25/09 | ||||
8/25/09 | ||||
9/25/09 | ||||
10/25/09 | ||||
11/25/09 | ||||
12/25/09 | ||||
1/25/10 | ||||
2/25/10 | ||||
3/25/10 | ||||
4/25/10 | ||||
5/25/10 | ||||
6/25/10 | ||||
7/25/10 | ||||
8/25/10 | ||||
9/25/10 | ||||
10/25/10 | ||||
11/25/10 | ||||
12/25/10 | ||||
1/25/11 | ||||
2/25/11 | ||||
3/25/11 | ||||
4/25/11 | ||||
5/25/11 | ||||
6/25/11 | ||||
7/25/11 | ||||
8/25/11 | ||||
9/25/11 | ||||
10/25/11 | ||||
11/1/16 | ||||
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