JPMAC2006-NC2 Supplmental Prospectus for a securities trust of mortgage loans
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JPMSI OPERATIONS
10 SOUTH DEARBORN STREET
MAIL CODE IL1-0237
CHICAGO, ILLINOIS 60670
(312) 732-8505
You should rely only on the information provided in this prospectus supplement or the accompanying prospectus or incorporated by reference herein. We have
not authorized anyone else to provide you with different information.
TABLE OF CONTENTS
PROSPECTUS SUPPLEMENT
SUMMARY S-1RISK FACTORS S-11
DESCRIPTION OF THE MORTGAGE POOL S-21
General S-21
The Mortgage Loans S-22
Tabular Characteristics of the Mortgage Loans S-25
DELINQUENCY AND FORECLOSURE INFORMATION FOR THE MORTGAGE LOANS S-55
THE DEPOSITOR S-56
THE SPONSOR S-56
General S-56Securitization Activities of the Sponsor S-56
STATIC POOL INFORMATION S-57
THE ORIGINATOR S-57
AFFILIATES AND RELATED TRANSACTIONS S-62
THE SERVICER S-63
JPMorgan Chase Bank, National Association S-63
DESCRIPTION OF THE CERTIFICATES S-65
General S-65
Book-Entry Certificates S-66Glossary S-66
Allocation of Available Funds S-73
Distributions of Interest S-73
Distributions of Principal S-74
Credit Enhancement S-77
Overcollateralization Provisions S-77
Allocation of Losses; Subordination S-79
Certificate Interest Rates S-80
Net WAC Reserve Fund S-81The Interest Rate Swap Agreement, the Swap Provider and the Swap Account S-82
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Calculation of Certificate Index S-85
Example of Distributions S-86
Reports to Certificateholders S-87
Final Scheduled Distribution Date S-88
Optional Clean-Up Call S-88FEES AND EXPENSES OF THE TRUST FUND S-89
THE POOLING AGREEMENT S-90
General S-90
Assignment of the Mortgage Loans S-90
Servicing and Administrative Responsibilities S-92
Payments on Mortgage Loans; Deposits to Collection Account and Distribution Account S-94
Modifications of Mortgage Loan Terms S-94
Advances S-94
Servicing and Other Compensation and Payment of Expenses S-95Servicer Events of Default S-96
The Issuing Entity S-97
The Trustee and the Securities Administrator S-97
The Trust Oversight Manager S-101
Voting Rights S-101
Compliance with Applicable Servicing Criteria and Servicer Attestation S-101
Amendment S-101
YIELD, PREPAYMENT AND WEIGHTED AVERAGE LIFE S-102
Additional Information S-103Weighted Average Lives S-103
Yield Sensitivity of the Subordinate Certificates S-114
USE OF PROCEEDS S-114
MATERIAL FEDERAL INCOME TAX CONSEQUENCES S-115
General S-115
Tax Treatment of the Offered Certificates S-115
Additional Considerations with Respect to the Offered Certificates S-115
Reportable Transactions S-117
Other Taxes S-117ERISA MATTERS S-117
General S-117
Application of the Underwriters Exemption S-118
ERISA Considerations with respect to the Interest Rate Swap Agreement S-118
METHOD OF DISTRIBUTION S-119
LEGAL MATTERS S-120
RATINGS S-120
LEGAL INVESTMENT S-120
INDEX OF CERTAIN DEFINITIONS S-121
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GLOBAL CLEARANCE, SETTLEMENT AND TAX DOCUMENTATION PROCEDURES I-1
INTEREST RATE SWAP SCHEDULE II-1
TABLE OF CONTENTS
PROSPECTUS
Risk Factors 6
Yield is Sensitive to Rate of Principal Prepayment 6
Limited Resale Market for Securities Could Adversely Affect Your Ability to Liquidate Your Investment 7
Protection Against Losses is Limited Since Securities Will Receive Payments Only From Specified Sources 7
Nature of Mortgages Securing the Loans May Delay Receipt of, or Result in Shortfalls in Proceeds Payable on aLoan 8
You Could Be Adversely Affected By Violations of Consumer Protection Laws 10
You Could Be Adversely Affected By Violations of Environmental Laws 10
Value of Trust Assets May Be Less Than Outstanding Principal Balance of the Related Securities 11
Weighted Average Net Mortgage Rate on the Loans May Limit Interest Rate on the Securities 11
Risks Related to Loans with Interest-only Payments 11
High Balance Loans Increase Risk of Default 12
Simultaneous Second Lien Risk 12
Geographic Concentration of Loans Could Adversely Affect Your Investment 12Military Action and Terrorist Attacks May Impact the Return on Your Security 12
Book-Entry System for Certain Classes May Decrease Liquidity and Delay Payment 13
Bankruptcy and Insolvency Risks 13
Borrower May be Unable to Make Balloon Payment 13
High Loan-to-Value Ratios Increase Risk of Loss 14
Mortgage Loans Originated According to Non-Agency Underwriting Guidelines May Have Higher Expected
Delinquencies 14
A Transfer of Servicing May Result in Increased Losses and Delinquencies on the Loans 15
The Recording of the Mortgages in the Name of MERS May Affect the Yield on the Securities 15Risks Related to the Residual Interest Securities 15
The Trust Fund 16
General 16
The Loans 18
Underwriting Standards 22
Modification of Loans 23
Agency Securities 23
Private Mortgage-Backed Securities 28
Representations by Sellers or Originators; Repurchases 30Substitution of Trust Fund Assets 32
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Use of Proceeds 32
The Depositor 32
The Sponsor 33
General 33
Securitization Activities of the Sponsor 33Description of the Securities 34
General 34
Distributions on Securities 36
Advances 37
Reports to Securityholders 38
Categories of Classes of Securities 40
Indices Applicable to Floating Rate and Inverse Floating Rate Classes 42
Book-Entry Registration of Securities 48
Exchangeable Securities 50Purchase Obligations 53
Mandatory Auctions 53
Credit Enhancement 53
General 53
Subordination 54
Letter of Credit 55
Insurance Policies, Surety Bonds and Guaranties 55
Over-Collateralization 55
Spread Account 56Reserve Accounts 56
Pool Insurance Policies 57
Cross-Collateralization 59
Other Insurance, Surety Bonds, Guaranties, and Letters of Credit 59
Derivative Products 59
Yield and Prepayment Considerations 59
The Agreements 62
Servicing 62
Assignment of the Trust Fund Assets 62 No Recourse to Sellers, Originators, Depositor or Master Servicer 65
Payments on Loans; Deposits to Security Account 65
Pre-Funding Account 67
Hazard Insurance 68
Realization Upon Defaulted Loans 70
Servicing and Other Compensation and Payment of Expenses 71
Evidence as to Compliance 71
Matters Regarding the Master Servicer and the Depositor 72
Events of Default; Rights Upon Event of Default 73
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Amendment 75
Termination; Optional Termination 76
The Trustee 76
The Securities Administrator 76
Material Legal Aspects of the Loans 77General 77
Foreclosure/Repossession 78
Environmental Risks 80
Rights of Redemption 81
Anti-deficiency Legislation and Other Limitations on Lenders 81
Due-on-Sale Clauses 82
Enforceability of Prepayment and Late Payment Fees 83
Applicability of Usury Laws 83
The Contracts 83Installment Contracts 85
Servicemembers Civil Relief Act 86
Junior Mortgages; Rights of Senior Mortgagees 86
Commercial Loans 87
The Title I Program 88
Consumer Protection Laws 91
Material Federal Income Tax Consequences 92
General 92
Taxation of Debt Securities 93Taxation of the REMIC and Its Holders 98
REMIC Expenses; Single Class REMICS 98
Taxation of the REMIC 99
Taxation of Holders of Residual Interest Securities 100
Administrative Matters 104
Tax Status as a Grantor Trust 104
Sale or Exchange 106
Miscellaneous Tax Aspects 107
Tax Treatment of Foreign Investors 107Tax Characterization of the Trust Fund as a Partnership 108
Tax Consequences to Holders of the Notes 108
Tax Consequences to Holders of the Certificates 110
State Tax Considerations 114
ERISA Considerations 114
General 114
Prohibited Transactions 115
Plan Asset Regulation 115
Prohibited Transaction Class Exemption 83-1 116
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The Underwriters Exemption 117
Insurance Company Purchasers 119
Consultation with Counsel 119
SUMMARYThis summary highlights selected information from this prospectus supplement and does not contain all the information that you need to consider in making your
investment decision. Please read this entire prospectus supplement and the accompanying prospectus carefully for additional information about the offered certificates.
OFFERED CERTIFICATES
The J.P. Morgan Mortgage Acquisition Trust 2006-NC2 Asset-Backed Pass Through Certificates, Series 2006-NC2 consist of the classes of certificates listed in
the table below. Only the offered certificates listed in the table below are being offered by this prospectus supplement:
CLASS
INITIALCLASS
PRINCIPAL
AMOUNT (1)
CERTIFICATE
INTEREST RATE DESIGNATION
S&P RATING
(6)
FITCH
RATING(6)
MOODYS
RATING(6) CUSIP
OFFERED CERTIFICATES
Class A-1A $223,083,000
One-Month LIBOR +
0.130%(2) Senior AAA AAA Aaa 46629HAA4
Class A-1B $55,771,000
One-Month LIBOR +
0.180%(2) Senior/Mezzanine AAA AAA Aaa 46629HAB2
Class A-2 $237,200,000
One-Month LIBOR +
0.040%(2) Senior/Sequential AAA AAA Aaa
46629FAA8
Class A-3 $77,300,000
One-Month LIBOR +
0.110%(2) Senior/Sequential AAA AAA Aaa
46629FAB6
Class A-4 $74,700,000
One-Month LIBOR +
0.150%(2) Senior/Sequential AAA AAA Aaa
46629FAC4
Class A-5 $38,262,000
One-Month LIBOR +
0.250%(2) Senior/Sequential AAA AAA Aaa
46629FAD2
Class M-1 $41,715,000
One-Month LIBOR +
0.270%(2) Subordinate AA+ AA+ Aa1
46629FAE0
Class M-2 $47,877,000
One-Month LIBOR +
0.300%(2) Subordinate AA AA Aa2
46629FAF7
Class M-3 $13,747,000
One-Month LIBOR +
0.320%(2) Subordinate AA- AA- Aa3
46629FAG5
Class M-4 $20,383,000
One-Month LIBOR +
0.370%(2) Subordinate A+ A+ A1
46629FAH3
Class M-5 $20,857,000
One-Month LIBOR +
0.390%(2) Subordinate A A A2
46629FAJ9
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_________________________(1)
Class M-6 $10,902,000
One-Month LIBOR +
0.450%(2) Subordinate A- A- A3
46629FAK6
Class M-7 $17,539,000
One-Month LIBOR +
0.800%(2) Subordinate BBB+ BBB+ Baa1
46629FAL4
Class M-8 $10,902,000 One-Month LIBOR +0.920%(2) Subordinate BBB BBB Baa2 46629FAM2
Class M-9 $15,169,000
One-Month LIBOR +
1.800%(2) Subordinate BBB- BBB- Baa3
46629FAN0
NON-OFFERED CERTIFICATES
Class C Notional(3) N/A Subordinate Not Rated Not Rated Not Rated 46629JAA0
Class P $100 N/A(4) Prepayment PremiumOnly Not Rated Not Rated Not Rated 46629JAB8
Class R N/A(5) N/A Residual Not Rated Not Rated Not Rated 46629JAC6
These balances are approximate and are subject to an increase or decrease of up to 5%, as described in this prospectus supplement.
(2) The interest rate on these classes of certificates may change from distribution date to distribution date based on changes in the level of one-month LIBOR. The interest rate for any such class is the lesser of
one-month LIBOR plus the applicable margin set forth above and a cap as described in this prospectus supplement. See Description of the CertificatesCertificate Interest Rates in this prospectus
supplement. After the first possible optional termination date, the certificate margins will be as follows:
(3)
After the first possible Optional Termination Date
Class A-1A 0.260%
Class A-1B 0.360%
Class A-2 0.080%
Class A-3 0.220%
Class A-4 0.300%
Class A-5 0.500%
Class M-1 0.405%
Class M-2 0.450%
Class M-3 0.480%
Class M-4 0.555%
Class M-5 0.585%
Class M-6 0.675%
Class M-7 1.200%
Class M-8 1.380%
Class M-9 2.700%
The Class C certificates will not have a class principal amount.
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SERVICING OF THE MORTGAGE LOANS
On and after the servicing transfer date, which is anticipated to be September 1, 2006, JPMorgan Chase Bank, National Association, a national banking association, will
service the mortgage loans under the pooling agreement. Prior to the servicing transfer date, New Century Mortgage Corporation will service the mortgage loans pursuant
to the mortgage loan purchase agreement as modified by an assignment agreement.
Under the pooling agreement or the mortgage loan purchase agreement, as applicable, the servicer is generally obligated to make monthly advances of cash (to the extent
such advances are deemed recoverable), which will be included with mortgage principal and interest collections, in an amount equal to any delinquent monthly payments
due on the related mortgage loans on the immediately preceding determination date.
The servicer will be entitled to reimburse itself for any such advances from future payments and collections (including insurance or liquidation proceeds) with respect to
the related mortgage loans. However, if the servicer makes advances which are determined to be nonrecoverable from future payments and collections on the related
mortgage loan, the servicer will be entitled to reimbursement for such advances prior to any distributions to certificateholders. Advances are intended to maintain a
regular flow of scheduled interest and principal distributions on the certificates and are not intended to guarantee or insure against losses
We refer you to The Servicer and The Pooling AgreementAdvances in this prospectus supplement for more detail.
FEES AND EXPENSES
Before payments are made on the certificates, the servicer will be paid a monthly fee calculated at an annual rate of 0.50% on the principal balance of the mortgage loans
Aggregate Pool 8.353%
Group 1: 8.209%
Group 2: 8.446%
Weighted Average Margin
Aggregate Pool 6.226%
Group 1: 6.276%
Group 2: 6.197%
Weighted Average Original Term to Maturity
Aggregate Pool 359 months
Group 1: 358 months
Group 2: 360 months
Weighted Average Remaining Term to Maturity
Aggregate Pool 355 months
Group 1: 355 months
Group 2: 356 months
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degree of risk a borrower represents to a lender, i.e., that a borrower with a higher score is statistically expected to be less likely to default in payment than a
borrower with a lower score. In addition, it should be noted that credit scores were developed to indicate a level of default probability over a two-year period which does
not correspond to the life of a mortgage loan. Furthermore, credit scores were not developed specifically for use in connection with mortgage loans, but for consumer
loans in general. Therefore, a credit score does not take into consideration the effect of mortgage loan characteristics (which may differ from consumer loan
characteristics) on the probability of repayment by the borrower. There can be no assurance that a credit score will be an accurate predictor of the likely risk or quality of
the related mortgage loan.
Tabular Characteristics of the Mortgage Loans
Tabular Characteristics of the Mortgage Loans (Aggregate Pool)
The Mortgage Loans are expected to have the following approximate aggregate characteristics as of the Cut-off Date.
The Stated Principal Balances of the Mortgage Loans range from approximately $29,945 to approximately $648,000. The Mortgage Loans have an average
Stated Principal Balance of approximately $196,533.
The weighted average Loan-to-Value Ratio at origination of the Mortgage Loans is approximately 81.24% and no Mortgage Loan had a Loan-to-Value Ratio at
origination exceeding 100%.
No more than approximately 0.41% of the Mortgage Loans are secured by Mortgaged Properties located in any one zip code area.
The following tables set forth certain information, as of the Cut-off Date, as to the Mortgage Loans. Other than with respect to rates of interest, percentages(approximate) are stated by Stated Principal Balance of the Mortgage Loans as of the Cut-off Date and, due to rounding, may not total 100%.
Number of Mortgage Loans in Aggregate Pool 4,824Total Stated Principal Balance $948,076,340
Current Mortgage Rates:
Weighted Average 8.353%
Range 5.475% - 13.900%
Weighted Average Margin 6.226%
Weighted Average Remaining Term to Maturity (in months)355
Stated Principal Balance ($) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
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50,000 or less 345 $13,794,389.39 1.45% 10.842% 351 96.09% 638
50,001 - 100,000 1,060 79,626,933.73 8.40 9.554 352 84.64 620
100,001 - 150,000 912 113,274,360.78 11.95 8.699 354 80.27 611
150,001 - 200,000 588 102,788,159.62 10.84 8.447 356 78.36 604
200,001 - 250,000 505 112,938,232.61 11.91 8.241 356 79.94 607250,001 - 300,000 401 109,790,403.40 11.58 8.114 356 79.65 615
300,001 - 350,000 311 101,167,863.47 10.67 8.183 356 81.17 618
350,001 - 400,000 227 84,889,311.07 8.95 8.015 356 82.18 625
400,001 - 450,000 180 76,604,535.70 8.08 7.923 356 81.07 629
450,001 - 500,000 141 67,195,746.96 7.09 8.049 356 81.33 621
500,001 - 550,000 80 41,868,405.45 4.42 7.835 357 83.65 645
550,001 - 600,000 42 24,103,954.40 2.54 7.864 357 84.34 639
600,001 - 650,000 32 20,034,043.78 2.11 7.983 357 81.68 652
Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619
As of the Cut-off Date, the average Stated Principal Balance of the Mortgage Loans in the Aggregate Pool is expected to be approximatel y $196,533.
Current Mortgage Rate (%) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
CurrentMortgage
Rate
Weighted
Average StatedRemaining
Term
WeightedAverage Orig
LTV
WeightedAverage
Credit Score
5.000 - 5.499 1 $323,940.42 0.03% 5.475% 349 80.00% 626
5.500 - 5.999 26 7,856,775.51 0.83 5.788 355 73.72 677
6.000 - 6.499 219 55,228,476.06 5.83 6.297 353 76.11 651
6.500 - 6.999 434 108,372,501.83 11.43 6.775 353 78.17 640
7.000 - 7.499 395 97,524,300.97 10.29 7.251 356 78.72 635
7.500 - 7.999 643 153,487,487.14 16.19 7.770 356 79.85 627
8.000 - 8.499 525 117,506,568.26 12.39 8.250 355 80.17 625
8.500 - 8.999 663 136,026,591.46 14.35 8.744 356 81.66 604
9.000 - 9.499 422 86,375,591.14 9.11 9.246 357 82.38 592
9.500 - 9.999 514 86,698,118.79 9.14 9.756 356 84.12 592
10.000 - 10.499 247 33,371,905.32 3.52 10.216 357 85.70 592
10.500 - 10.999 197 25,517,991.98 2.69 10.723 357 86.78 591
11.000 - 11.499 134 12,231,268.51 1.29 11.250 355 90.56 614
11.500 - 11.999 174 12,762,009.72 1.35 11.749 355 95.79 626
12.000 - 12.499 114 7,876,045.16 0.83 12.214 354 98.25 635
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12.500 - 12.999 91 5,486,066.28 0.58 12.711 356 99.82 632
13.000 - 13.499 18 996,922.13 0.11 13.092 356 100.00 634
13.500 - 13.999 7 433,779.68 0.05 13.774 356 100.00 634
Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619
As of the Cut-off Date, the weighted average current Mortgage Rate of the Mortgage Loans in the Aggregate Pool is expected to be approximately 8.353%per annum.
Credit Score # of LoansCurrent Principal
BalancePct by Curr
Prin Bal
Weighted
Average
Current
MortgageRate
Weighted
Average Stated
RemainingTerm
Weighted
Average OrigLTV
Weighted
AverageCredit Score
500 - 524 360 $70,530,875.28 7.44% 9.295% 357 73.67% 512
525 - 549 346 67,106,739.51 7.08 8.814 356 75.55 537
550 - 574 445 90,997,263.82 9.60 8.850 356 79.35 562
575 - 599 514 101,758,672.96 10.73 8.414 356 80.06 587
600 - 624 784 147,887,155.31 15.60 8.026 355 82.30 612
625 - 649 1,074 191,670,552.95 20.22 8.396 355 84.08 636
650 - 674 590 119,858,624.77 12.64 7.986 355 83.16 661
675 - 699 372 82,712,703.21 8.72 7.933 355 82.29 686
700 - 724 174 39,774,526.68 4.20 7.904 356 83.40 710
725 - 749 93 19,254,231.07 2.03 8.016 353 84.11 735
750 - 774 41 9,772,590.52 1.03 7.984 357 84.27 760
775 - 799 24 5,382,476.93 0.57 8.069 353 83.25 784
800 - 824 7 1,369,927.35 0.14 7.873 357 84.86 803
Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619
Original LTV (%) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
0.01 - 50.00 128 $18,445,305.47 1.95% 7.968% 353 40.74% 590
50.01 - 55.00 66 12,445,115.23 1.31 7.537 353 52.92 589
55.01 - 60.00 122 23,900,713.82 2.52 7.817 353 58.10 585
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60.01 - 65.00 160 32,205,217.29 3.40 7.994 355 63.40 580
65.01 - 70.00 214 45,099,593.63 4.76 7.926 354 68.73 589
70.01 - 75.00 285 61,298,448.38 6.47 8.271 355 73.89 580
75.01 - 80.00 1,544 348,900,607.70 36.80 7.970 356 79.80 637
80.01 - 85.00 516 116,050,359.96 12.24 8.409 356 84.32 590
85.01 - 90.00 688 159,157,010.91 16.79 8.586 356 89.71 618
90.01 - 95.00 323 78,350,495.88 8.26 8.447 356 94.74 641
95.01 - 100.00 778 52,223,472.09 5.51 11.194 355 99.95 657
Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619
Original Term (months) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
120 2 $78,405.19 0.01% 7.745% 116 78.05% 683
180 30 3,048,555.63 0.32 7.849 177 74.11 626
240 31 3,530,779.89 0.37 7.038 237 72.82 640
300 4 709,765.34 0.07 7.694 297 78.92 698
360 4,757 940,708,834.31 99.22 8.360 357 81.29 619
Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619
As of the Cut-off Date, the weighted average Original Term to Maturity of the Mortgage Loans in the Aggregate Pool is expected to be approximately 359 months.
Stated Remaining Term (months) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
61 - 120 2 $78,405.19 0.01% 7.745% 116 78.05% 683
121 - 180 30 3,048,555.63 0.32 7.849 177 74.11 626
181 - 240 31 3,530,779.89 0.37 7.038 237 72.82 640
241 - 300 4 709,765.34 0.07 7.694 297 78.92 698
301 - 360 4,757 940,708,834.31 99.22 8.360 357 81.29 619
Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619
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Debt Ratio (%) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
0.01 - 20.00 110 $17,012,583.33 1.79% 8.446% 355 79.64% 626
20.01 - 25.00 171 26,349,270.34 2.78 8.531 351 80.15 609
25.01 - 30.00 280 47,564,600.88 5.02 8.347 354 79.47 617
30.01 - 35.00 446 78,698,659.37 8.30 8.356 355 79.93 620
35.01 - 40.00 746 142,802,927.03 15.06 8.370 355 80.89 624
40.01 - 45.00 1,113 224,626,687.72 23.69 8.382 355 82.29 622
45.01 - 50.00 1,593 338,943,457.60 35.75 8.373 356 82.87 621
50.01 - 55.00 341 66,814,614.24 7.05 8.061 356 74.17 590
55.01 - 60.00 24 5,263,539.85 0.56 7.857 356 76.32 610
Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619
As of the Cut-off Date, the non-zero weighted average Debt Ratio in the Aggregate Pool is expected to be approximately 41.87%.
Fixed Rate/Adjustable Rate # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
Adjustable Rate Mortgage 3,292 $754,119,153.56 79.54% 8.376% 357 80.79% 614
Fixed Rate Mortgage 1,532 193,957,186.80 20.46 8.263 351 82.98 639
Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619
Product # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
2/28 ARM 954 $158,001,346.72 16.67% 8.714% 357 80.54% 603
2/28 ARM BALLOON 1,705 412,663,111.67 43.53 8.610 357 80.57 602
2/28 ARM IO 497 155,922,855.07 16.45 7.558 357 81.74 653
30/40 BALLOON 295 71,126,420.14 7.50 7.350 356 77.33 634
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3/27 ARM 54 11,549,746.58 1.22 6.943 350 83.30 626
3/27 ARM BALLOON 33 6,731,376.07 0.71 8.473 356 79.63 612
3/27 ARM IO 10 2,447,799.96 0.26 7.653 357 73.73 651
5/25 ARM 39 6,802,917.49 0.72 7.650 355 77.54 635
Fixed 1,237 122,830,766.66 12.96 8.791 348 86.25 641
Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619
Interest Only # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
Not Interest Only 4,317 $789,705,685.33 83.30% 8.512% 355 81.16% 612
Interest Only 507 158,370,655.03 16.70 7.560 357 81.62 653
Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619
Original Interest Only Term (months) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
None 4,317 $789,705,685.33 83.30% 8.512% 355 81.16% 612
60 507 158,370,655.03 16.70 7.560 357 81.62 653
Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619
Original Prepayment Penalty Term
(months) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
None 1,537 $302,328,790.54 31.89% 8.798% 356 82.49% 616
12 205 57,581,847.67 6.07 8.235 355 80.39 629
24 2,377 468,401,432.45 49.41 8.317 357 81.20 615
36 705 119,764,269.70 12.63 7.426 351 78.64 636
Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619
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As of the Cut-off Date, the non-zero weighted average Original Prepayment Penalty Term in the Aggregate Pool is expected to be approximately 25 months.
Lien # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
WeightedAverage
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
First Lien 4,042 $897,490,161.06 94.66% 8.187% 355 80.19% 617
Second Lien 782 50,586,179.30 5.34 11.305 355 99.76 655
Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619
Documentation Type # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
Full Documentation 2,959 $559,570,885.57 59.02% 8.009% 355 81.00% 605
Stated Documentation 1,793 373,675,728.85 39.41 8.871 355 81.55 638
Limited Documentation72 14,829,725.94 1.56 8.259 356 82.15 624
Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619
Loan Purpose # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
Cash Out Refinance 2,063 $452,255,430.36 47.70% 8.176% 355 78.17% 598
Purchase 2,291 400,734,859.98 42.27 8.659 356 84.60 644
Rate/Term Refinance 470 95,086,050.02 10.03 7.903 353 81.65 611
Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619
Weighted
Average
Current
Weighted
Average Stated Weighted Weighted
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Property Type # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Mortgage
Rate
Remaining
Term
Average Orig
LTV
Average
Credit Score
Single Family 3,549 $677,772,021.94 71.49% 8.332% 355 80.84% 616
Planned Unit Development 659 136,091,439.78 14.35 8.287 355 81.82 620
Multi Family 273 75,512,748.19 7.96 8.428 356 83.00 634
Condo 343 58,700,130.45 6.19 8.655 356 82.23 630
Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619
Occupancy Status # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
Primary 4,289 $852,777,400.96 89.95% 8.261% 355 80.83% 615
Investment 318 61,837,109.05 6.52 9.233 357 85.30 645
Second / Vacation 217 33,461,830.35 3.53 9.064 356 84.07 656
Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619
Credit Grade # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
AverageCurrent
Mortgage
Rate
WeightedAverage Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
AA 3,707 $718,454,446.48 75.78% 8.203% 355 82.70% 635
A+ 442 93,727,066.49 9.89 8.513 356 79.67 579
A- 300 61,873,529.37 6.53 8.842 357 78.78 566
B 188 38,141,559.09 4.02 9.037 357 74.85 554
C 166 32,353,425.68 3.41 9.242 357 67.28 547
C- 21 3,526,313.25 0.37 10.587 357 65.17 535
Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619
Geographic Distribution # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
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Alabama 38 $4 011 827 43 0 42% 9 302% 356 87 19% 591
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Alabama 38 $4,011,827.43 0.42% 9.302% 356 87.19% 591
Alaska 14 2,062,029.81 0.22 8.675 357 84.41 650
Arizona 196 37,163,458.57 3.92 8.377 356 81.30 611
Arkansas 32 2,446,637.64 0.26 8.663 356 85.24 629
California 1,059 287,635,834.97 30.34 8.103 356 80.09 633
Colorado 78 12,138,424.30 1.28 8.614 353 84.31 621
Connecticut 51 9,571,595.89 1.01 8.552 354 80.90 606
Delaware 5 793,368.65 0.08 8.858 357 81.09 578
District of Columbia 6 1,318,730.69 0.14 9.181 357 76.36 632
Florida 566 99,218,704.06 10.47 8.480 356 80.42 614
Georgia 127 19,691,787.21 2.08 8.912 357 84.98 617
Hawaii 65 17,559,717.61 1.85 7.750 357 76.47 640
Idaho 22 2,943,066.28 0.31 8.450 357 82.12 582
Illinois 167 30,991,152.16 3.27 8.239 355 82.40 620
Indiana 55 6,176,105.21 0.65 9.028 356 81.88 584
Iowa 16 1,613,931.11 0.17 9.517 356 84.85 567
Kansas 14 1,507,947.63 0.16 9.167 357 84.09 626
Kentucky 17 1,597,862.49 0.17 9.432 357 87.63 580
Louisiana 18 1,882,600.51 0.20 8.594 357 82.47 603
Maine 14 2,653,934.06 0.28 7.379 356 80.99 632
Maryland 152 34,005,541.28 3.59 8.500 356 81.68 596
Massachusetts 157 38,501,825.82 4.06 8.362 356 81.67 604Michigan 87 9,692,316.36 1.02 8.885 355 83.56 587
Minnesota 63 10,459,658.51 1.10 8.761 357 83.68 617
Mississippi 15 1,892,383.16 0.20 9.126 356 86.73 580
Missouri 54 6,597,353.07 0.70 9.292 356 81.74 577
Montana 9 1,821,856.90 0.19 8.634 357 78.95 621
Nebraska 10 884,171.76 0.09 8.606 357 84.27 612
Nevada 116 24,364,080.23 2.57 8.370 356 82.12 632
New Hampshire 17 2,826,769.62 0.30 8.322 357 83.36 595
New Jersey 179 45,173,996.08 4.76 8.546 357 81.27 614
New Mexico 28 4,750,510.44 0.50 8.352 356 83.46 619
New York 229 66,532,262.27 7.02 8.115 356 81.31 626
North Carolina 26 3,501,868.61 0.37 8.986 356 82.18 590
North Dakota 1 54,811.14 0.01 10.300 357 90.00 600
Ohio 91 8,143,630.52 0.86 9.166 355 86.24 603
Oklahoma 16 1,680,340.11 0.18 8.573 356 86.39 623
Oregon 93 14,731,302.31 1.55 8.387 355 81.20 622
Pennsylvania 117 14,786,832.01 1.56 8.599 352 82.14 599
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Rhode Island 19 3 953 448 15 0 42 9 019 356 82 84 605
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Rhode Island 19 3,953,448.15 0.42 9.019 356 82.84 605
South Carolina 31 5,524,147.38 0.58 8.885 356 82.36 571
South Dakota 2 213,827.96 0.02 8.388 357 80.00 597
Tennessee 51 5,200,242.38 0.55 8.576 357 82.64 620
Texas 374 42,593,555.43 4.49 8.022 346 80.90 620
Utah 41 7,005,398.78 0.74 8.641 357 84.00 608
Vermont 4 879,583.25 0.09 9.743 357 78.79 594
Virginia 92 17,680,966.70 1.86 8.668 355 80.43 596
Washington 119 22,386,591.95 2.36 8.620 357 83.88 604
West Virginia 3 540,395.78 0.06 10.493 355 74.98 548
Wisconsin 66 8,524,564.66 0.90 8.822 356 83.83 603
Wyoming 2 193,391.46 0.02 8.467 357 77.26 614
Total 4,824 $948,076,340.36 100.00% 8.353% 355 81.24% 619
As of the Cut-off Date, no more than approximately 0.41% of the Mortgage Loans in the Aggregate Pool will be secured by Mortgaged Properties in any one postal zip code area.
Margin (%) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
4.500 - 4.999 1 $243,658.99 0.03% 11.750% 356 75.00% 502
5.000 - 5.499 11 2,136,941.74 0.28 7.801 352 83.14 603
5.500 - 5.999 621 150,687,765.05 19.98 8.072 356 81.20 618
6.000 - 6.499 2,202 508,442,940.70 67.42 8.302 357 81.79 622
6.500 - 6.999 278 56,262,271.97 7.46 9.231 357 78.20 570
7.000 - 7.499 155 32,737,392.06 4.34 9.336 357 68.61 549
7.500 - 7.999 22 3,255,911.58 0.43 9.666 357 72.28 544
8.000 - 8.499 2 352,271.47 0.05 8.418 355 80.00 692
Total 3,292 $754,119,153.56 100.00% 8.376% 357 80.79% 614
As of the Cut-off Date, the weighted average Margin of the Adjustable-Rate Mortgage Loans in the Aggregate Pool is expected to be approximately 6.226%.
Minimum Rate (%) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
5.000 - 5.499 1 $323,940.42 0.04% 5.475% 349 80.00% 626
5.500 - 5.999 25 7,707,860.30 1.02 5.784 355 73.50 678
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6.000 - 6.499 61 20,164,417.42 2.67 6.294 355 78.76 646
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6.000 6.499 61 20,164,417.42 2.67 6.294 355 78.76 646
6.500 - 6.999 205 60,839,947.12 8.07 6.797 356 79.17 644
7.000 - 7.499 294 80,604,616.98 10.69 7.259 357 79.15 636
7.500 - 7.999 549 134,379,163.06 17.82 7.774 357 79.99 627
8.000 - 8.499 475 108,683,722.91 14.41 8.254 357 80.18 624
8.500 - 8.999 586 128,133,517.32 16.99 8.745 357 81.74 603
9.000 - 9.499 389 82,055,362.86 10.88 9.249 357 82.23 591
9.500 - 9.999 393 77,807,566.21 10.32 9.752 357 83.18 586
10.000 - 10.499 152 26,544,998.39 3.52 10.222 357 82.95 572
10.500 - 10.999 106 19,087,900.37 2.53 10.714 357 82.69 571
11.000 - 11.499 35 5,193,007.43 0.69 11.223 356 79.54 553
11.500 - 11.999 17 2,127,255.27 0.28 11.711 356 77.40 550
12.000 - 12.499 4 465,877.50 0.06 12.171 356 73.10 512
Total 3,292 $754,119,153.56 100.00% 8.376% 357 80.79% 614
As of the Cut-off Date, the weighted average Minimum Rate of the Adjustable-Rate Mortgage Loans in the Aggregate Pool is expected to be approximately 8.376% per annum.
Maximum Rate (%) # of LoansCurrent Principal
BalancePct by Curr
Prin Bal
Weighted
Average
Current
MortgageRate
Weighted
Average Stated
RemainingTerm
Weighted
Average OrigLTV
Weighted
AverageCredit Score
11.500 - 11.999 1 $300,831.37 0.04% 5.875% 350 80.00% 628
12.000 - 12.499 2 444,640.42 0.06 5.719 351 81.20 658
12.500 - 12.999 25 7,694,266.14 1.02 5.812 355 73.49 680
13.000 - 13.499 62 20,521,922.01 2.72 6.320 355 78.70 644
13.500 - 13.999 207 61,200,297.59 8.12 6.809 356 79.27 644
14.000 - 14.499 296 80,688,075.48 10.70 7.265 357 79.15 636
14.500 - 14.999 547 133,935,227.93 17.76 7.775 357 79.95 62715.000 - 15.499 471 108,122,059.82 14.34 8.254 357 80.19 624
15.500 - 15.999 585 127,929,864.77 16.96 8.745 357 81.74 602
16.000 - 16.499 389 82,055,362.86 10.88 9.249 357 82.23 591
16.500 - 16.999 393 77,807,566.21 10.32 9.752 357 83.18 586
17.000 - 17.499 152 26,544,998.39 3.52 10.222 357 82.95 572
17.500 - 17.999 106 19,087,900.37 2.53 10.714 357 82.69 571
18.000 - 18.499 35 5,193,007.43 0.69 11.223 356 79.54 553
18.500 - 18.999 17 2,127,255.27 0.28 11.711 356 77.40 550
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19.000 - 19.499 4 465,877.50 0.06 12.171 356 73.10 512
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,
Total 3,292 $754,119,153.56 100.00% 8.376% 357 80.79% 614
As of the Cut-off Date, the weighted average Maximum Rate of the Adjustable-Rate Mortgage Loans in the Aggregate Pool is expected to be approximately 15.373% per annum.
Initial Periodic Rate Cap (%) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
1.000 11 $2,333,227.40 0.31% 7.350% 356 81.40% 636
1.500 3,281 751,785,926.16 99.69 8.379 357 80.79 614
Total 3,292 $754,119,153.56 100.00% 8.376% 357 80.79% 614
As of the Cut-off Date, the weighted average Initial Periodic Rate Cap of the Adjustable-Rate Mortgage Loans in the Aggregate Pool is expected to be approximately 1.498%.
Subsequent Periodic Rate Cap (%) # of LoansCurrent Principal
BalancePct by Curr
Prin Bal
Weighted
Average
Current
MortgageRate
Weighted
Average Stated
RemainingTerm
Weighted
Average OrigLTV
Weighted
AverageCredit Score
1.000 11 $2,333,227.40 0.31% 7.350% 356 81.40% 636
1.500 3,281 751,785,926.16 99.69 8.379 357 80.79 614
Total 3,292 $754,119,153.56 100.00% 8.376% 357 80.79% 614
As of the Cut-off Date, the weighted average Subsequent Periodic Rate Cap of the Adjustable-Rate Mortgage Loans in the Aggregate Pool is expected to be approximately 1 .498%.
Months to Next Rate Adjustment # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
10 - 12 1 $67,384.03 0.01% 7.875% 348 80.00% 525
13 - 15 19 6,034,947.64 0.80 7.172 351 76.45 621
16 - 18 98 22,543,328.41 2.99 8.408 353 83.65 596
19 - 21 2,806 655,413,199.62 86.91 8.411 357 80.88 614
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22 - 24 234 43,300,581.33 5.74 8.495 358 79.18 608
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Tabular Characteristics of the Group 1 Mortgage Loans
The Group 1 Mortgage Loans are expected to have the following approximate aggregate characteristics as of the Cut-off Date.
The Stated Principal Balances of the Group 1 Mortgage Loans range from approximately $29,945 to approximately $642,634. The Group 1 Mortgage Loans have
an average Stated Principal Balance of approximately $173,127.
The weighted average Loan-to-Value Ratio at origination of the Group 1 Mortgage Loans is approximately 78.76% and no Group 1 Mortgage Loan had a Loan-
to-Value Ratio at origination exceeding 100%.
No more than approximately 0.65% of the Group 1 Mortgage Loans are secured by Mortgaged Properties located in any one zip code area.
The following tables set forth certain information, as of the Cut-off Date, as to the Group 1 Mortgage Loans. Other than with respect to rates of interest,
percentages (approximate) are stated by Stated Principal Balance of the Group 1 Mortgage Loans as of the Cut-off Date and, due to rounding, may not total 100%.
25 - 27 38 8,320,901.96 1.10 6.569 349 83.12 632
28 - 30 10 1,949,527.90 0.26 7.999 352 79.68 599
31 - 33 47 9,686,365.18 1.28 8.306 357 78.40 619
49 - 51 7 1,212,264.48 0.16 7.577 351 83.40 609
52 - 54 4 460,051.62 0.06 7.287 353 77.72 638
55 - 57 28 5,130,601.39 0.68 7.700 357 76.14 641
Total 3,292 $754,119,153.56 100.00% 8.376% 357 80.79% 614
As of the Cut-off Date, the weighted average Months to Next Rate Adjustment of the Adjustable-Rate Mortgage Loans in the Aggregate Pool is expected to be approximately 21 months.
Number of Group 1 Mortgage Loans 2,162
Total Stated Principal Balance $374,301,632
Current Mortgage Rates:
Weighted Average 8.209%
Range 5.550%- 12.950%
Weighted Average Margin 6.276%
Weighted Average Remaining Term to Maturity (in months) 355
Weighted
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Stated Principal Balance ($) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Current
Mortgage
Rate
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
50,000 or less 115 $4,445,744.56 1.19% 10.644% 353 93.88% 632
50,001 - 100,000 494 38,429,408.59 10.27 8.797 352 78.60 604
100,001 - 150,000 522 64,837,023.28 17.32 8.376 354 77.65 600
150,001 - 200,000 298 51,740,689.96 13.82 8.306 355 76.52 591
200,001 - 250,000 259 57,766,715.39 15.43 8.119 355 78.33 595
250,001 - 300,000 171 46,711,739.69 12.48 7.963 355 77.61 600
300,001 - 350,000 144 46,883,085.86 12.53 8.025 354 79.31 610
350,001 - 400,000 108 40,527,309.84 10.83 7.911 356 82.61 619
400,001 - 450,000 32 13,279,098.23 3.55 7.466 356 79.66 616
450,001 - 500,000 10 4,772,103.21 1.27 7.649 356 73.78 615
500,001 - 550,000 5 2,571,504.28 0.69 7.528 356 85.90 628
550,001 - 600,000 3 1,694,575.04 0.45 9.057 357 85.80 636
600,001 - 650,000 1 642,634.25 0.17 9.975 357 89.78 718
Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603
As of the Cut-off Date, the average Stated Principal Balance of the Mortgage Loans in Group 1 is expected to be approximately $173,127.
Current Mortgage Rate (%) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
5.500 - 5.999 14 $3,466,923.79 0.93% 5.746% 355 76.85% 686
6.000 - 6.499 126 25,957,933.44 6.94 6.294 350 73.36 655
6.500 - 6.999 250 53,338,672.79 14.25 6.777 351 77.10 632
7.000 - 7.499 201 39,026,567.47 10.43 7.246 355 77.73 6247.500 - 7.999 303 57,143,038.15 15.27 7.771 356 77.79 609
8.000 - 8.499 228 41,557,404.32 11.10 8.247 354 78.67 604
8.500 - 8.999 317 54,651,434.49 14.60 8.742 355 80.18 584
9.000 - 9.499 202 34,313,771.07 9.17 9.247 356 80.75 570
9.500 - 9.999 227 35,279,409.79 9.43 9.754 357 79.56 566
10.000 - 10.499 102 12,840,638.83 3.43 10.224 357 82.65 570
10.500 - 10.999 70 8,060,540.84 2.15 10.709 357 82.69 567
11.000 - 11.499 44 3,723,436.75 0.99 11.305 354 82.91 570
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11.500 - 11.999 39 2,600,224.76 0.69 11.760 354 89.71 603
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12.000 - 12.499 22 1,391,686.50 0.37 12.157 356 90.39 586
12.500 - 12.999 17 949,949.19 0.25 12.702 356 100.00 631
Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603
As of the Cut-off Date, the weighted average current Mortgage Rate of the Mortgage Loans in Group 1 i s expected to be approximately 8.209%per annum.
Credit Score # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
500 - 524 234 $41,916,142.37 11.20% 9.296% 357 73.74% 513
525 - 549 219 38,545,496.18 10.30 8.860 357 75.55 537
550 - 574 266 48,049,169.03 12.84 8.673 355 78.01 562
575 - 599 276 44,710,352.72 11.95 8.356 355 77.78 587
600 - 624 344 57,677,767.95 15.41 7.833 353 80.91 612
625 - 649 373 59,045,839.92 15.77 7.800 354 80.22 637
650 - 674 233 43,433,590.36 11.60 7.576 355 81.89 661
675 - 699 123 22,619,680.74 6.04 7.558 352 79.88 685
700 - 724 61 11,576,504.23 3.09 7.867 356 81.77 709
725 - 749 18 3,119,500.00 0.83 7.346 345 84.44 734750 - 774 7 1,978,866.00 0.53 6.938 357 76.80 760
775 - 799 5 1,310,771.51 0.35 6.368 343 74.43 788
800 - 824 3 317,951.17 0.08 9.131 357 84.71 804
Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603
Original LTV (%) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
0.01 - 50.00 86 $12,389,588.82 3.31% 8.060% 352 40.34% 596
50.01 - 55.00 34 5,505,600.85 1.47 7.709 349 53.21 588
55.01 - 60.00 86 14,989,888.26 4.00 7.801 352 57.82 588
60.01 - 65.00 105 20,060,387.20 5.36 7.927 355 63.27 586
65.01 - 70.00 144 27,996,063.61 7.48 7.791 354 68.61 595
70.01 - 75.00 183 35,497,401.10 9.48 8.279 355 73.84 578
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75.01 - 80.00 607 100,593,399.22 26.87 8.026 354 79.52 612
80 01 85 00 300 58 696 029 03 15 68 8 382 356 84 36 588
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80.01 - 85.00 300 58,696,029.03 15.68 8.382 356 84.36 588
85.01 - 90.00 333 63,061,599.92 16.85 8.446 355 89.66 611
90.01 - 95.00 128 26,706,165.36 7.13 8.095 355 94.58 641
95.01 - 100.00 156 8,805,508.81 2.35 10.726 356 99.85 656
Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603
Original Term (months) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
180 19 $2,264,001.51 0.60% 7.572% 177 73.78% 628240 20 2,739,838.60 0.73 6.981 237 71.75 642
300 2 203,480.36 0.05 7.172 296 77.69 635
360 2,121 369,094,311.71 98.61 8.223 357 78.85 603
Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603
As of the Cut-off Date, the weighted average Original Term to Maturity of the Mortgage Loans in Group 1 is expected to be approximately 358 months.
Stated Remaining Term (month) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
121 - 180 19 $2,264,001.51 0.60% 7.572% 177 73.78% 628
181 - 240 20 2,739,838.60 0.73 6.981 237 71.75 642
241 - 300 2 203,480.36 0.05 7.172 296 77.69 635
301 - 360 2,121 369,094,311.71 98.61 8.223 357 78.85 603
Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603
Debt Ratio (%) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
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20.01 - 25.00 88 $11,603,567.58 3.10% 8.222% 346 77.03% 598
25 01 30 00 148 22 537 079 99 6 02 8 084 352 75 42 608
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25.01 - 30.00 148 22,537,079.99 6.02 8.084 352 75.42 608
30.01 - 35.00 204 32,052,332.98 8.56 8.283 354 76.83 604
35.01 - 40.00 338 59,570,135.03 15.92 8.171 354 78.11 607
40.01 - 45.00 483 86,519,634.42 23.11 8.233 354 80.19 604
45.01 - 50.00 692 123,885,618.08 33.10 8.250 356 80.88 606
50.01 - 55.00 191 34,172,501.43 9.13 8.121 356 73.55 585
55.01 - 60.00 18 3,960,762.67 1.06 7.876 356 76.06 597
Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603
As of the Cut-off Date, the non-zero weighted average Debt Ratio in Group 1 is expected to be approximately 42.21%.
Fixed Rate/Adjustable Rate # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
Adjustable Rate Mortgage 1,504 $279,041,295.91 74.55% 8.461% 357 78.99% 595
Fixed Rate Mortgage 658 95,260,336.27 25.45 7.473 349 78.10 629
Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603
Product # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
2/28 ARM 502 $71,712,435.93 19.16% 8.702% 357 78.92% 588
2/28 ARM BALLOON 812 166,325,857.93 44.44 8.600 357 78.72 584
2/28 ARM IO 111 27,634,826.38 7.38 7.396 357 80.98 669
30/40 BALLOON 196 41,619,695.38 11.12 7.309 356 76.16 622
3/27 ARM 35 6,674,276.72 1.78 7.123 351 81.85 610
3/27 ARM BALLOON 20 3,464,919.80 0.93 8.262 356 75.99 611
3/27 ARM IO 2 446,599.99 0.12 7.509 357 67.43 647
5/25 ARM 22 2,782,379.16 0.74 8.094 355 76.17 605
Fixed 462 53,640,640.89 14.33 7.600 343 79.60 634
Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603
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Interest Only # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
Not Interest Only 2,049 $346,220,205.81 92.50% 8.275% 354 78.60% 598
Interest Only 113 28,081,426.37 7.50 7.398 357 80.76 668
Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603
Original Interest Only Term (months) # of LoansCurrent Principal
BalancePct by Curr
Prin Bal
Weighted
Average
Current
MortgageRate
Weighted
Average Stated
RemainingTerm
Weighted
Average OrigLTV
Weighted
AverageCredit Score
None 2,049 $346,220,205.81 92.50% 8.275% 354 78.60% 598
60 113 28,081,426.37 7.50 7.398 357 80.76 668
Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603
Original Prepayment Penalty Term
(months) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
AverageCurrent
Mortgage
Rate
WeightedAverage Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
None 655 $117,838,785.45 31.48% 8.544% 355 79.89% 597
12 86 21,831,810.07 5.83 7.912 354 78.18 622
24 1,002 166,275,667.17 44.42 8.407 357 78.92 595
36 419 68,355,369.49 18.26 7.247 348 76.63 629
Total2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603
As of the Cut-off Date, the non-zero weighted average Original Prepayment Penalty Term in Group 1 is expected to be approximately 26 months.
Lien # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
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First Lien 2,002 $366,110,498.26 97.81% 8.144% 355 78.31% 602
Second Lien 160 8,191,133.92 2.19 11.156 356 98.88 649
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Second Lien 160 8,191,133.92 2.19 11.156 356 98.88 649
Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603
Documentation Type # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
Full Documentation 1,537 $259,149,307.89 69.24% 7.995% 355 79.16% 596
Stated Documentation 601 110,427,229.37 29.50 8.731 353 77.87 620
Limited Documentation 24 4,725,094.92 1.26 7.782 357 77.74 623
Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603
Loan Purpose # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
Cash Out Refinance 1,327 $259,434,546.81 69.31% 8.200% 355 77.14% 598
Rate/Term Refinance 342 60,387,957.64 16.13 8.008 352 81.69 608
Purchase 493 54,479,127.73 14.55 8.477 356 83.24 624
Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603
Property Type # of LoansCurrent Principal
BalancePct by Curr
Prin Bal
Weighted
Average
Current
MortgageRate
Weighted
Average Stated
RemainingTerm
Weighted
Average OrigLTV
Weighted
AverageCredit Score
Single Family 1,683 $280,065,626.79 74.82% 8.207% 354 78.59% 601
Planned Unit Development 238 42,262,501.90 11.29 8.123 354 79.52 605
Multi family 115 31,642,648.66 8.45 8.199 355 79.24 616
Condo 126 20,330,854.83 5.43 8.440 356 78.80 606
Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603
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Weighted
Average Weighted
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Occupancy Status # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Current
Mortgage
Rate
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
Primary 2,040 $351,852,358.69 94.00% 8.152% 354 78.61% 602
Investment 104 19,433,067.19 5.19 9.245 357 81.38 628
Second / Vacation 18 3,016,206.30 0.81 8.267 357 80.30 634
Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603
Credit Grade # of LoansCurrent Principal
BalancePct by Curr
Prin Bal
Weighted
Average
Current
MortgageRate
Weighted
Average Stated
RemainingTerm
Weighted
Average OrigLTV
Weighted
AverageCredit Score
AA 1,506 $253,920,375.22 67.84% 7.931% 354 80.31% 623
A+ 253 48,205,910.69 12.88 8.402 356 78.22 573
A- 177 31,373,224.43 8.38 8.838 357 78.59 560
B 112 19,759,780.21 5.28 9.053 357 73.63 556
C 100 18,578,061.54 4.96 9.213 357 66.60 544
C- 14 2,464,280.09 0.66 10.864 357 64.97 538
Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603
Geographic Distribution # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
Alabama 16 $1,449,612.96 0.39% 9.304% 356 86.60% 573
Alaska 9 1,293,823.05 0.35 8.925 357 86.48 639
Arizona 74 13,138,188.13 3.51 8.048 356 77.94 595
Arkansas 9 539,938.99 0.14 8.503 357 78.59 624
California 324 82,137,178.43 21.94 7.859 355 75.39 616
Colorado 37 4,681,643.36 1.25 8.421 347 85.86 625
Connecticut 28 4,854,468.83 1.30 8.539 351 78.88 603
Delaware 3 396,972.84 0.11 8.420 357 76.42 542
District of Columbia 4 709,333.75 0.19 8.548 357 72.56 638
Florida 245 38,880,290.04 10.39 8.224 355 76.93 599
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Georgia 60 7,843,433.38 2.10 8.841 356 84.28 596
Hawaii 32 8,384,033.32 2.24 7.750 357 71.17 610
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Idaho 12 1,569,570.66 0.42 8.461 357 83.01 575
Illinois 105 17,348,955.84 4.64 8.097 354 81.26 610
Indiana 38 3,831,068.07 1.02 8.832 356 81.44 597
Iowa 12 1,131,709.61 0.30 9.374 356 84.78 584
Kansas 9 954,742.74 0.26 8.615 357 81.77 633
Kentucky 13 1,183,798.41 0.32 9.314 357 87.61 582
Louisiana 10 977,998.38 0.26 8.760 357 83.96 599
Maine 9 1,564,285.01 0.42 7.258 356 82.05 622
Maryland 83 17,264,391.12 4.61 8.442 356 78.47 586
Massachusetts 91 21,711,497.48 5.80 8.166 356 80.86 600
Michigan 60 6,112,371.60 1.63 8.972 357 83.98 584
Minnesota 36 4,919,129.65 1.31 8.858 357 84.78 610Mississippi 8 816,407.22 0.22 8.912 357 85.90 594
Missouri 31 3,334,435.45 0.89 9.445 357 82.49 562
Montana 4 860,528.94 0.23 8.306 357 79.24 627
Nebraska 4 323,755.56 0.09 8.629 357 84.64 559
Nevada 33 6,337,966.61 1.69 8.270 355 78.74 608
New Hampshire 11 1,960,024.88 0.52 8.442 357 82.49 580
New Jersey 59 13,632,409.02 3.64 8.209 356 77.04 606
New Mexico 14 2,141,954.45 0.57 8.067 356 82.63 596
New York 87 24,358,307.69 6.51 7.712 356 77.87 610
North Carolina 12 1,265,253.85 0.34 9.402 355 81.71 554
North Dakota 1 54,811.14 0.01 10.300 357 90.00 600
Ohio 45 4,049,303.55 1.08 8.979 354 83.85 594
Oklahoma 8 841,553.70 0.22 8.517 355 86.12 622
Oregon 48 7,712,971.99 2.06 8.183 354 80.58 617
Pennsylvania 78 9,435,594.68 2.52 8.447 349 79.48 582
Rhode island 12 2,800,384.94 0.75 8.603 356 80.59 611
South Carolina 12 2,073,051.96 0.55 9.027 356 76.95 546
South Dakota 2 213,827.96 0.06 8.388 357 80.00 597
Tennessee 33 3,187,200.59 0.85 8.358 357 80.02 620
Texas 171 18,706,580.91 5.00 7.849 343 80.50 612
Utah 20 2,986,619.60 0.80 8.982 357 83.24 582
Vermont 3 704,248.21 0.19 9.940 357 76.01 590
Virginia 45 8,125,836.31 2.17 8.696 354 78.33 576
Washington 51 9,164,951.78 2.45 8.439 357 80.95 591
West Virginia 1 147,925.90 0.04 9.850 357 61.67 510
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Wisconsin 50 6,187,289.64 1.65 8.710 356 83.85 604
Total 2,162 $374,301,632.18 100.00% 8.209% 355 78.76% 603
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o , 6 $37 ,30 ,63 8 00 00% 8 09% 355 78 76% 603
As of the Cut-off Date, no more than approximately 0.65% of the Mortgage Loans in Group 1 will be secured by Mortgaged Properties in any one postal zip code area.
Margin (%) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
5.000 - 5.499 5 $718,187.90 0.26% 7.435% 351 86.51% 610
5.500 - 5.999 263 48,206,812.58 17.28 8.138 356 80.00 601
6.000 - 6.499 971 181,300,281.26 64.97 8.334 357 80.48 603
6.500 - 6.999 152 27,133,017.08 9.72 9.163 357 76.25 565
7.000 - 7.499 100 19,948,371.17 7.15 9.399 357 67.50 547
7.500 - 7.999 13 1,734,625.92 0.62 9.388 357 67.87 541
Total 1,504 $279,041,295.91 100.00% 8.461% 357 78.99% 595
As of the Cut-off Date, the weighted average Margin of the Adjustable-Rate Mortgage Loans in Group 1 is expected to be approximately 6.276%.
Minimum Rate (%) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
5.500 - 5.999 13 $3,318,008.58 1.19% 5.735% 355 76.49% 687
6.000 - 6.499 22 5,683,823.04 2.04 6.280 355 77.69 660
6.500 - 6.999 91 21,560,458.03 7.73 6.831 356 78.03 636
7.000 - 7.499 126 27,207,406.95 9.75 7.270 357 77.58 623
7.500 - 7.999 238 45,437,669.54 16.28 7.782 357 77.96 610
8.000 - 8.499 208 38,252,556.20 13.71 8.246 357 78.53 604
8.500 - 8.999 275 50,611,102.25 18.14 8.744 357 80.38 582
9.000 - 9.499 188 32,912,989.38 11.80 9.248 357 80.45 570
9.500 - 9.999 199 32,667,620.62 11.71 9.754 357 79.16 563
10.000 - 10.499 72 11,296,923.92 4.05 10.229 357 81.35 561
10.500 - 10.999 45 6,543,285.60 2.34 10.695 357 79.42 552
11.000 - 11.499 18 2,195,188.68 0.79 11.314 357 75.22 529
11.500 - 11.999 5 888,385.62 0.32 11.787 357 76.21 556
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12.000 - 12.499 4 465,877.50 0.17 12.171 356 73.10 512
Total 1,504 $279,041,295.91 100.00% 8.461% 357 78.99% 595
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As of the Cut-off Date, the weighted average Minimum Rate of the Adjustable-Rate Mortgage Loans in Group 1 is expected to be approximately 8.461% per annum.
Maximum Rate (%) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
11.500 - 11.999 1 $300,831.37 0.11% 5.875% 350 80.00% 628
12.000 - 12.499 1 120,700.00 0.04 6.375 357 84.41 745
12.500 - 12.999 12 3,017,177.21 1.08 5.721 356 76.14 693
13.000 - 13.499 22 5,797,885.28 2.08 6.323 355 77.43 655
13.500 - 13.999 93 22,077,872.45 7.91 6.855 356 78.28 636
14.000 - 14.499 126 27,042,515.03 9.69 7.272 357 77.61 623
14.500 - 14.999 236 44,920,255.12 16.10 7.782 357 77.84 609
15.000 - 15.499 207 38,182,685.88 13.68 8.246 357 78.52 604
15.500 - 15.999 275 50,611,102.25 18.14 8.744 357 80.38 582
16.000 - 16.499 188 32,912,989.38 11.80 9.248 357 80.45 570
16.500 - 16.999 199 32,667,620.62 11.71 9.754 357 79.16 563
17.000 - 17.499 72 11,296,923.92 4.05 10.229 357 81.35 561
17.500 - 17.999 45 6,543,285.60 2.34 10.695 357 79.42 552
18.000 - 18.499 18 2,195,188.68 0.79 11.314 357 75.22 529
18.500 - 18.999 5 888,385.62 0.32 11.787 357 76.21 556
19.000 - 19.499 4 465,877.50 0.17 12.171 356 73.10 512
Total 1,504 $279,041,295.91 100.00% 8.461% 357 78.99% 595
As of the Cut-off Date, the weighted average Maximum Rate of the Adjustable-Rate Mortgage Loans in Group 1 i s expected to be approximately 15.456% per annum.
Initial Periodic Rate Cap (%) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
1.000 6 $1,243,578.35 0.45% 7.173% 355 83.11% 628
1.500
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1,498 277,797,717.56 99.55 8.467 357 78.97 595
Total 1,504 $279,041,295.91 100.00% 8.461% 357 78.99% 595
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As of the Cut-off Date, the weighted average Initial Periodic Rate Cap of the Adjustable-Rate Mortgage Loans in Group 1 is expected to be approximately 1.498%.
Subsequent Periodic Rate Cap (%) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
1.000 6 $1,243,578.35 0.45% 7.173% 355 83.11% 628
1.500 1,498 277,797,717.56 99.55 8.467 357 78.97 595
Total 1,504 $279,041,295.91 100.00% 8.461% 357 78.99% 595
As of the Cut-off Date, the weighted average Subsequent Periodic Rate Cap of the Adjustable-Rate Mortgage Loans in Group 1 is expected to be approximately 1.498%.
Months to Next Rate Adjustment # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
10 - 12 1 $67,384.03 0.02% 7.875% 348 80.00% 525
13 - 15 8 2,326,244.55 0.83 7.065 351 83.25 629
16 - 18 51 11,166,781.20 4.00 8.492 353 82.74 585
19 - 21 1,209 227,039,287.85 81.36 8.515 357 79.01 594
22 - 24 156 25,073,422.61 8.99 8.528 358 76.97 594
25 - 27 24 4,665,525.95 1.67 6.737 349 83.02 615
28 - 30 7 1,263,264.17 0.45 7.932 352 77.28 596
31 - 33 26 4,657,006.39 1.67 8.175 357 76.17 613
49 - 51 4 585,981.87 0.21 7.717 351 89.62 609
52 - 54 3 277,045.78 0.10 7.971 352 66.64 590
55 - 57 15 1,919,351.51 0.69 8.227 357 73.44 606
Total 1,504 $279,041,295.91 100.00% 8.461% 357 78.99% 595
As of the Cut-off Date, the weighted average Months to Next Rate Adjustment of the Adjustable-Rate Mortgage Loans in Group 1 is expected to be approximately 21 months.
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Tabular Characteristics of the Group 2 Mortgage Loans
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The Group 2 Mortgage Loans are expected to have the following approximate aggregate characteristics as of the Cut-off Date.
The Stated Principal Balances of the Group 2 Mortgage Loans range from approximately $29,947 to approximately $648,000. The Group 2 Mortgage Loans have
an average Stated Principal Balance of approximately $215,542.
The weighted average Loan-to-Value Ratio at origination of the Group 2 Mortgage Loans is approximately 82.85% and no Group 2 Mortgage Loan had a Loan-
to-Value Ratio at origination exceeding 100%.
No more than approximately 0.53% of the Group 2 Mortgage Loans are secured by Mortgaged Properties located in any one zip code area.
The following tables set forth certain information, as of the Cut-off Date, as to the Group 2 Mortgage Loans. Other than with respect to rates of interest,percentages (approximate) are stated by Stated Principal Balance of the Group 2 Mortgage Loans as of the Cut-off Date and, due to rounding, may not total 100%.
Number of Group 2 Mortgage Loans 2,662Total Stated Principal Balance $573,774,708
Current Mortgage Rates:
Weighted Average 8.446%
Range 5.475% - 13.900%
Weighted Average Margin 6.197%
Weighted Average Remaining Term to Maturity (in months) 356
Stated Principal Balance ($) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
50,000 or less 230 $9,348,644.83 1.63% 10.936% 350 97.13% 641
50,001 - 100,000 566 41,197,525.14 7.18 10.260 353 90.27 634
100,001 - 150,000 390 48,437,337.50 8.44 9.132 355 83.76 627
150,001 - 200,000 290 51,047,469.66 8.90 8.590 357 80.22 618
200,001 - 250,000 246 55,171,517.22 9.62 8.369 357 81.64 621
250,001 - 300,000 230 63,078,663.71 10.99 8.226 357 81.16 626
300,001 - 350,000 167 54,284,777.61 9.46 8.320 356 82.79 625
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350,001 - 400,000 119 44,362,001.23 7.73 8.110 356 81.79 631
400,001 - 450,000 148 63,325,437.47 11.04 8.019 356 81.36 631
450 001 500 000 131 62 423 643 75 10 88 8 079 356 81 90 621
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450,001 - 500,000 131 62,423,643.75 10.88 8.079 356 81.90 621
500,001 - 550,000 75 39,296,901.17 6.85 7.856 357 83.50 646
550,001 - 600,000 39 22,409,379.36 3.91 7.773 356 84.23 639
600,001 - 650,000 31 19,391,409.53 3.38 7.917 357 81.41 650
Total 2,662 $573,774,708.18 100.00% 8.446% 356 82.85% 629
As of the Cut-off Date, the average Stated Principal Balance of the Mortgage Loans in Group 2 is expected to be approximately $215,542
Current Mortgage Rate (%) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
CurrentMortgage
Rate
Weighted
Average StatedRemaining
Term
WeightedAverage Orig
LTV
WeightedAverage
Credit Score
5.000 - 5.499 1 $323,940.42 0.06% 5.475% 349 80.00% 626
5.500 - 5.999 12 4,389,851.72 0.77 5.820 355 71.24 671
6.000 - 6.499 93 29,270,542.62 5.10 6.300 355 78.55 647
6.500 - 6.999 184 55,033,829.04 9.59 6.772 354 79.21 647
7.000 - 7.499 194 58,497,733.50 10.20 7.254 356 79.38 642
7.500 - 7.999 340 96,344,448.99 16.79 7.769 356 81.07 637
8.000 - 8.499 297 75,949,163.94 13.24 8.251 356 80.99 636
8.500 - 8.999 346 81,375,156.97 14.18 8.744 356 82.66 617
9.000 - 9.499 220 52,061,820.07 9.07 9.245 357 83.45 606
9.500 - 9.999 287 51,418,709.00 8.96 9.757 356 87.24 610
10.000 - 10.499 145 20,531,266.49 3.58 10.210 356 87.61 606
10.500 - 10.999 127 17,457,451.14 3.04 10.730 357 88.66 602
11.000 - 11.499 90 8,507,831.76 1.48 11.226 356 93.91 633
11.500 - 11.999 135 10,161,784.96 1.77 11.746 355 97.35 632
12.000 - 12.499 92 6,484,358.66 1.13 12.226 353 99.93 645
12.500 - 12.999 74 4,536,117.09 0.79 12.713 356 99.79 633
13.000 - 13.499 18 996,922.13 0.17 13.092 356 100.00 634
13.500 - 13.999 7 433,779.68 0.08 13.774 356 100.00 634
Total 2,662 $573,774,708.18 100.00% 8.446% 356 82.85% 629
As of the Cut-off Date, the weighted average current Mortgage Rate of the Mortgage Loans in Group 2 i s expected to be approximately 8.446%per annum.
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C t P i i l P t b C
Weighted
Average
Current
M t
Weighted
Average Stated
R i i
Weighted
A O i
Weighted
A
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Credit Score # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Mortgage
Rate
Remaining
Term
Average Orig
LTV
Average
Credit Score
500 - 524 126 $28,614,732.91 4.99% 9.294% 357 73.57% 511
525 - 549 127 28,561,243.33 4.98 8.751 356 75.55 537
550 - 574 179 42,948,094.79 7.49 9.049 357 80.84 561
575 - 599 238 57,048,320.24 9.94 8.460 356 81.85 588
600 - 624 440 90,209,387.36 15.72 8.150 356 83.19 612
625 - 649 701 132,624,713.03 23.11 8.661 356 85.80 636
650 - 674 357 76,425,034.41 13.32 8.220 356 83.89 660
675 - 699 249 60,093,022.47 10.47 8.074 356 83.20 686
700 - 724 113 28,198,022.45 4.91 7.920 356 84.06 711
725 - 749 75 16,134,731.07 2.81 8.145 355 84.05 735
750 - 774 34 7,793,724.52 1.36 8.250 357 86.17 760
775 - 799 19 4,071,705.42 0.71 8.616 357 86.09 783
800 - 824 4 1,051,976.18 0.18 7.493 357 84.90 803
Total 2,662 $573,774,708.18 100.00% 8.446% 356 82.85% 629
Original LTV (%) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
AverageCurrent
Mortgage
Rate
WeightedAverage Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
0.01 - 50.00 42 $6,055,716.65 1.06% 7.780% 353 41.57% 580
50.01 - 55.00 32 6,939,514.38 1.21 7.400 357 52.68 589
55.01 - 60.00 36 8,910,825.56 1.55 7.844 356 58.55 580
60.01 - 65.00 55 12,144,830.09 2.12 8.103 354 63.61 569
65.01 - 70.00 70 17,103,530.02 2.98 8.148 354 68.92 579
70.01 - 75.00 102 25,801,047.28 4.50 8.260 356 73.94 582
75.01 - 80.00 937 248,307,208.48 43.28 7.948 356 79.92 647
80.01 - 85.00 216 57,354,330.93 10.00 8.437 356 84.28 591
85.01 - 90.00 355 96,095,410.99 16.75 8.678 356 89.75 623
90.01 - 95.00 195 51,644,330.52 9.00 8.629 356 94.83 642
95.01 - 100.00 622 43,417,963.28 7.57 11.288 355 99.97 657
Total 2,662 $573,774,708.18 100.00% 8.446% 356 82.85% 629
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Weighted
Average Weighted
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Original Term (months) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Current
Mortgage
Rate
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
120 2 $78,405.19 0.01% 7.745% 116 78.05% 683
180 11 784,554.12 0.14 8.649 177 75.08 620
240 11 790,941.29 0.14 7.236 237 76.53 631
300 2 506,284.98 0.09 7.904 297 79.41 724
360 2,636 571,614,522.60 99.62 8.448 357 82.87 629
Total 2,662 $573,774,708.18 100.00% 8.446% 356 82.85% 629
As of the Cut-off Date, the weighted average Original Term to Maturity of the Mortgage Loans in Group 2 is expected to be approximately 360 months.
Stated Remaining Term (month) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
61 - 120 2 $78,405.19 0.01% 7.745% 116 78.05% 683
121 - 180 11 784,554.12 0.14 8.649 177 75.08 620
181 - 240 11 790,941.29 0.14 7.236 237 76.53 631241 - 300 2 506,284.98 0.09 7.904 297 79.41 724
301 - 360 2,636 571,614,522.60 99.62 8.448 357 82.87 629
Total 2,662 $573,774,708.18 100.00% 8.446% 356 82.85% 629
Debt Ratio (%) # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
0.01 - 20.00 110 $17,012,583.33 2.97% 8.446% 355 79.64% 626
20.01 - 25.00 83 14,745,702.76 2.57 8.773 355 82.60 618
25.01 - 30.00 132 25,027,520.89 4.36 8.583 355 83.11 625
30.01 - 35.00 242 46,646,326.39 8.13 8.406 356 82.05 630
35.01 - 40.00 408 83,232,792.00 14.51 8.512 355 82.87 636
40.01 - 45.00 630 138,107,053.30 24.07 8.475 356 83.61 633
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45.01 - 50.00 901 215,057,839.52 37.48 8.445 356 84.02 629
50.01 - 55.00 150 32,642,112.81 5.69 7.999 356 74.82 595
55.01 - 60.00 6 1,302,777.18 0.23 7.799 357 77.09 650
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Total 2,662 $573,774,708.18 100.00% 8.446% 356 82.85% 629
As of the Cut-off Date, the non-zero weighted average Debt Ratio in Group 2 is expected to be approximately 41.65%.
Fixed Rate/Adjustable Rate # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
Adjustable Rate Mortgage 1,788 $475,077,857.65 82.80% 8.326% 357 81.85% 625
Fixed Rate Mortgage 874 98,696,850.53 17.20 9.025 353 87.69 648
Total 2,662 $573,774,708.18 100.00% 8.446% 356 82.85% 629
Product # of Loans
Current Principal
Balance
Pct by Curr
Prin Bal
Weighted
Average
Current
Mortgage
Rate
Weighted
Average Stated
Remaining
Term
Weighted
Average Orig
LTV
Weighted
Average
Credit Score
2/28 ARM 452 $86,288,910.79 15.04% 8.724% 357 81.89% 616
2/28 ARM BALLOON 893 246,337,253.74 42.93 8.617 357 81.82 614
2/28 ARM IO 386 128,288,028.69 22.36 7.593 357 81.91 649
30/40 BALLOON 99 29,506,724.76 5.14 7.407 356 78.97 651
3/27 ARM 19 4,875,469.86 0.85 6.697 349 85.28 647
3/27 ARM BALLOON 13 3,266,456.27 0.57 8.698 356 83.50 613
3/27 ARM IO 8 2,001,199.97 0.35 7.685 357 75.14 652
5/25 ARM 17 4,020,538.33 0.70 7.343 355 78.49 656Fixed 775 69,190,125.77 12.06 9.715 352 91.41 647
Total 2,662 $573,774,708.18 100.00% 8.446% 356 82.85% 629
Current Principal Pct by Curr
Weighted
Average
Current
Mortgage
Weighted
Average Stated
Remaining
Weighted
Average Orig
Weighted
Average
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Interest Only # of Loans Balance Prin Bal Rate Term LTV Credit Score
Not Interest Only 2,268 $443,485,479.52 77.29% 8.697% 356 83.16% 623
Interest Only 394 130,289,228.66 22.71 7.595 357 81.80 649