FINANCIAL ASSET SECURITIES CORP. First Franklin Mortgage Loan Trust 2006-FF16 Asset-Backed Certificates, Series 2006-FF16 UNDERWRITING AGREEMENT
FINANCIAL
ASSET SECURITIES CORP.
Asset-Backed
Certificates, Series 2006-FF16
November
16, 2006
|
Greenwich
Capital Markets, Inc.
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Ladies
and Gentlemen:
Financial
Asset Securities Corp., a Delaware corporation (the “Company”),
proposes to sell, and Greenwich Capital Markets, Inc. (“GCM” or the
“Underwriter”)
proposes to purchase, the aggregate principal amount (or notional amount, as
applicable) of the First Franklin Mortgage Loan Trust 2006-FF16 Asset-Backed
Certificates, Class I-A1, Class II-A1, Class II-A2, Class II-A3, Class II-A4,
Class M-1, Class M-2, Class M-3, Class
M-4,
Class
M-5, Class M-6, Class M-7, Class M-8 and Class M-9 Certificates (the
“Offered
Certificates”)
set
forth opposite its name on Schedule I hereto. Only the Offered Certificates
are
being purchased by the Underwriter hereunder. The Offered Certificates, together
with the Class C, Class P, Class R and Class R-X Certificates (collectively,
the
“Certificates)”,
will
be issued by the Company pursuant to a Pooling and Servicing Agreement (the
“Pooling
Agreement”),
dated
as of November 1, 2006, among the Company, as depositor (the “Depositor”),
National City Home Loan Services, Inc., as servicer (the “Servicer”),
and
Deutsche Bank National Trust Company, as trustee (the Trustee”).
Each
Certificate will evidence the holder’s beneficial ownership in a trust fund (the
“Trust
Fund”),
created pursuant to the Pooling Agreement, and consisting primarily of fixed
rate and adjustable rate, residential mortgage loans (the “Mortgage
Loans”)
secured by first and second liens on Residential Dwellings. The Offered
Certificates are described more fully in Schedule I hereto and in the Prospectus
Supplement furnished to the Underwriter by the Company and referred to below.
Capitalized
terms used but not otherwise defined herein shall have the respective meanings
assigned to them in the Pooling Agreement.
1.
Representations
and Warranties.
The
Company represents and warrants to, and agrees with, the Underwriter that,
as of
the date hereof and as of the Closing Date:
(a) The
Company has filed with the Securities and Exchange Commission (the “Commission”)
a
registration statement on Form S-3 (the file number of which is set forth in
Schedule I hereto) for the registration of securities, issuable in series under
the Securities Act of 1933, as amended (the “1933
Act”),
which
registration statement was declared effective on the date set forth in Schedule
I hereto and copies of which have heretofore been delivered to the Underwriter.
The Company meets the requirements for use of Form S-3 under the 1933 Act,
and
such registration statement, as amended at the date hereof, meets the
requirements set forth in Rule 415(a)(1)(x) under the 1933 Act and complies
in
all other material respects with the 1933 Act and the rules and regulations
thereunder. The Company proposes to file with the Commission, with the
Underwriter’s consent, pursuant to Rule 424 under the 1933 Act, a supplement to
the form of prospectus included in such registration statement relating to
the
Offered Certificates and the plan of distribution thereof, and has previously
advised the Underwriter of all further information (financial and other) with
respect to the Offered Certificates and the Mortgage Loans to be set forth
therein. Such registration statement, as of its effective date, and each
amendment thereto to the date of this Agreement, as of its effective date,
including all exhibits thereto, is hereinafter called the “Registration
Statement.”
The
Company proposes to prepare and file with the Commission pursuant to Rule 424
under the 1933 Act a final prospectus dated August 10, 2006 (the “Base
Prospectus”)
and a
final prospectus supplement dated November 16, 2006 relating to the Offered
Certificates (the “Prospectus
Supplement”).
The
Company also proposes to prepare and file with the Commission pursuant to Rule
433 of the 1933 Act a free writing prospectus, dated November 2, 2006, relating
to the Offered Certificates (the “Pricing
Free Writing Prospectus”).
The
Base Prospectus and the Prospectus Supplement relating to the Offered
Certificates in the form to be filed with the Commission pursuant to Rule 424
are hereinafter together called the “Final
Prospectus.”
Each
of the Pricing Free Writing Prospectus and the Final Prospectus is referred
to
herein as a “Prospectus.”
(b) As
of the
date hereof, as of the date on which the Pricing Free Writing Prospectus is
first filed pursuant to Rule 433 under the 1933 Act, as of the date on which
the
Final Prospectus is first filed pursuant to Rule 424 under the 1933 Act, as
of
the date on which, prior to the Closing Date (as hereinafter defined), any
amendment to the Registration Statement becomes effective, as of the date on
which any supplement to the Final Prospectus is filed with the Commission,
and
at the Closing Date, (i) the Registration Statement, as amended as of any such
time, the Free Writing Prospectus, as amended or supplemented as of any such
time, and the Final Prospectus, as amended or supplemented as of any such time,
comply and will comply as to form in all material respects with the applicable
requirements of the 1933 Act and the rules and regulations thereunder, (ii)
the
Registration Statement, as of the applicable effective date as to each part
of
the Registration Statement, did not contain any untrue statement of a material
fact or omit to state a material fact required to be stated therein or necessary
to make the statements therein not misleading, (iii) the Free Writing
Prospectus, as of its date, did not contain any untrue statement of a material
fact or omit to state a material fact necessary in order to make the statements
therein, in light of the circumstances under which they were made, not
misleading; provided
that no
representation or warranty is made as to (a) information omitted from the Free
Writing Prospectus but included in the Final Prospectus or (b) information
contained in or omitted from the Registration Statement or the Final Prospectus
in reliance upon and in conformity with information furnished to the Company
in
writing by the Underwriter through the Representative expressly for use therein,
as specified on Exhibit C hereto (the “Underwriter’s
Information”)
and
(iv) the Final Prospectus, as of its date, and as amended or supplemented as
of
the Closing Date, does not and will not contain any untrue statement of a
material fact or omit to state any material fact necessary in order to make
the
statements therein, in the light of the circumstances under which they were
made, not misleading; provided,
however,
that
the Company makes no representations or warranties as to statements contained
in
or omitted from the Registration Statement or the Final Prospectus or any
amendment or supplement thereto made in reliance upon and in conformity with
the
Underwriter’s Information. It is understood and acknowledged that the only
information furnished to the Company in writing by the Underwriter is the
Underwriter’s Information (as defined in Section 7(b) herein).
(c) The
Company has been duly incorporated and is validly existing as a corporation
in
good standing under the laws of the State of Delaware, has full power and
authority (corporate and other) necessary to own or hold its properties and
to
conduct its business as now conducted by it and to enter into and perform its
obligations under this Agreement, the Pooling Agreement and the Mortgage Loan
Purchase Agreement, dated November 6, 2006 among Greenwich Capital Financial
Products, Inc. and
the
Depositor (the “Mortgage
Loan Purchase Agreement”)
.
(d) As
of the
date hereof, as of the date on which the Pricing Free Writing Prospectus is
first filed pursuant to Rule 433 under the 1933 Act, as of the date on which
the
Final Prospectus is first filed pursuant to Rule 424 under the 1933 Act, as
of
the date on which, prior to the Closing Date, any amendment to the Registration
Statement becomes effective, as of the date on which any supplement to the
Final
Prospectus is filed with the Commission, and as of the Closing Date, there
has
not been and will not have been
(i) any
request by the Commission for any further amendment to the Registration
Statement or the Final Prospectus or for any additional information,
(ii) any
issuance by the Commission of any stop order suspending the effectiveness of
the
Registration Statement or the institution or threat of any proceeding for that
purpose or
(iii) any
notification with respect to the suspension of the qualification of the Offered
Certificates for sale in any jurisdiction or any initiation or threat of any
proceeding for such purpose.
(e) As
of the
date hereof, the Company is not an “ineligible issuer” as defined in Rule 405
under the 1933 Act.
(f) This
Agreement has been duly authorized, executed and delivered by the
Company.
(g) Each
of
the Pooling Agreement and the Mortgage Loan Purchase Agreement (collectively,
the “Other
Agreements”),
when
executed and delivered as contemplated thereby, will have been duly authorized,
executed and delivered by the Company; and each of the Other Agreements and
this
Agreement, when so executed and delivered, will constitute a legal, valid,
binding and enforceable agreement of the Company, subject, as to enforceability,
to (i) bankruptcy, insolvency, reorganization, moratorium or other similar
laws
affecting creditors’ rights generally, (ii) general principles of equity
regardless of whether enforcement is sought in a proceeding in equity or at
law,
and (iii) with respect to any rights of indemnity under the Mortgage Loan
Purchase Agreement, limitations of public policy under applicable securities
laws.
(h) As
of the
Closing Date, the Offered Certificates will be duly and validly authorized
and,
when duly and validly executed, authenticated and delivered in accordance with
the Pooling Agreement and delivered to the Underwriter for the account of the
Underwriter against payment therefor as provided herein, will be duly and
validly issued and outstanding and entitled to the benefits of the Pooling
Agreement. The Offered Certificates, will not be “mortgage related securities,”
as such term is defined in the singular in the Securities Exchange Act of 1934,
as amended (the “1934
Act”)
and as
such term is defined in the singular in the Secondary Mortgage Market
Enhancement Act of 1984 (“SMMEA”).
(i) As
of the
Cut-off Date, each of the Mortgage Loans will meet the criteria for selection
to
be described in the Pricing Free Writing Prospectus and the Final Prospectus
and
will conform to the descriptions thereof contained in the Pricing Free Writing
Prospectus and the Final Prospectus.
(j) The
Company is not in violation of its certificate of incorporation or by-laws
or in
default under any agreement, indenture or instrument the effect of which
violation or default would be material to the Company. None of (i) the issuance
and sale of the Offered Certificates, (ii) the execution and delivery by the
Company of this Agreement and the Other Agreements, (iii) the consummation
by
the Company of any of the transactions herein or therein contemplated, and
(iv)
the compliance by the Company with the provisions hereof or thereof, does or
will conflict with or result in a breach of any term or provision of the
certificate of incorporation or by-laws of the Company or conflict with, result
in a breach, violation or acceleration of, or constitute a default under, the
terms of any indenture or other agreement or instrument to which the Company
is
a party or by which it is bound, or any statute, order or regulation applicable
to the Company of any court, regulatory body, administrative agency or
governmental body having jurisdiction over the Company. The Company is not
a
party to, bound by or in breach or violation of any indenture or other agreement
or instrument, or subject to or in violation of any statute, order or regulation
of any court, regulatory body, administrative agency or governmental body having
jurisdiction over it that materially and adversely affects, or may in the future
materially and adversely affect, (i) the ability of the Company to perform
its
obligations under this Agreement and the Other Agreements or (ii) the business,
operations, financial conditions, properties or assets of the
Company.
(k) There
are
no actions or proceedings against, or investigations of, the Company pending
or,
to the knowledge of the Company, threatened, before any court, arbitrator,
administrative agency or other tribunal (i) asserting the invalidity of this
Agreement, the Other Agreements or the Certificates, (ii) seeking to prevent
the
issuance of the Certificates or the consummation of any of the transactions
contemplated by this Agreement and the Other Agreements, (iii) that are
reasonably likely to be adversely determined and that might materially and
adversely affect the performance by the Company of its obligations under, or
the
validity or enforceability of, this Agreement, the Other Agreements or the
Certificates or (iv) seeking to affect adversely the federal income tax
attributes of the Certificates as described in the Final
Prospectus.
(l) Any
taxes, fees and other governmental charges in connection with the execution
and
delivery of this Agreement and the Other Agreements or the execution, delivery
and sale of the Certificates have been or will be paid on or prior to the
Closing Date.
(m)
Immediately prior to the assignment of the Mortgage Loans to the Trustee as
contemplated by the Pooling Agreement, the Company (i) had good title to, and
was the sole owner of, each Mortgage Loan free and clear of any pledge,
mortgage, lien, security interest or other encumbrance (collectively,
“Liens”),
(ii)
had not assigned to any Person any of its right, title or interest in and to
such Mortgage Loans or in the Pooling Agreement and (iii) will have the power
and authority to sell such Mortgage Loans to the Trustee, and upon the execution
and delivery of the Pooling Agreement by the Trustee, the Trustee will have
acquired all of the Company’s right, title and interest in and to the Mortgage
Loans.
(n) Neither
the Company nor the Trust Fund is, and neither the issuance and sale of the
Certificates nor the activities of the Trust Fund pursuant to the Pooling
Agreement will cause the Company or the Trust Fund to be, an “investment
company” or under the control of an “investment company” as such terms are
defined in the Investment Company Act of 1940, as amended (the “Investment
Company Act”).
(o) At
the
Closing Date, the Offered Certificates will conform in all material respects
to
the descriptions thereof contained in the Pricing Free Writing Prospectus and
the Final Prospectus.
2.
Purchase
and Sale.
Subject
to the terms and conditions and in reliance upon the representations and
warranties set forth herein, the Company agrees to sell the Offered Certificates
to the Underwriter, and the Underwriter agrees (except as set forth in Section
8
hereof) to purchase, from the Company, the aggregate principal amount (or
notional amount, as applicable) of the Offered Certificates set forth opposite
its name in Schedule I hereto at the respective purchase prices set forth
therein (plus accrued interest, if applicable).
3.
Delivery
and Payment.
Delivery of and payment for the Offered Certificates shall be made at the
offices of ▇▇▇▇▇▇▇
▇▇▇▇▇▇▇▇ & ▇▇▇▇ llp,
Two
World ▇▇▇▇▇▇▇▇▇ ▇▇▇▇▇▇, ▇▇▇ ▇▇▇▇, ▇▇▇ ▇▇▇▇ ▇▇▇▇▇ at 10:00 a.m., Eastern Standard
Time, on the date specified in Schedule I hereto (or such later date not later
than seven business days after such specified date as the Underwriter shall
designate), which date and time may be changed by agreement between the
Underwriter and the Company or as provided herein (such date and time of
delivery and payment for the Offered Certificates being herein called the
“Closing
Date”).
Delivery of the Offered Certificates shall be made to the Underwriter, against
payment by the Underwriter of the purchase price therefor in immediately
available funds wired to such bank as may be designated by the Company, or
such
other manner of payment as may be agreed upon by the Company and the
Underwriter. The Offered Certificates to be so delivered shall be in book entry
form, in each case, unless otherwise agreed, in such denominations and
registered in such names as the Underwriter may have requested in writing not
less than two full business days in advance of the Closing Date.
The
Company agrees to have the Offered Certificates available for inspection,
checking and packaging by the Underwriter in the Borough of Manhattan in The
City of New York, not later than 10:00 a.m. on the business day prior to the
Closing Date.
4.
Offering
of the Offered Certificates.
It is
understood that, subject to the terms and conditions hereof, the Underwriter
proposes to offer the Offered Certificates for sale to the public as set forth
in the Final Prospectus.
5.
Covenants
of the Company.
The
Company covenants and agrees with the Underwriter that:
(a) The
Company will prepare the Pricing Free Writing Prospectus and the Final
Prospectus setting forth the amount of Offered Certificates covered thereby
and
the terms thereof not otherwise specified in the Base Prospectus, the expected
proceeds to the Company from the sale of such Offered Certificates, and such
other information as the Underwriter and the Company may deem appropriate in
connection with the offering of such Offered Certificates. The Company promptly
will advise the Underwriter or the Underwriter’s counsel (i) when the Pricing
Free Writing Prospectus or the Final Prospectus shall have been filed or
transmitted to the Commission for filing pursuant to Rule 433 or Rule 424,
as
applicable, (ii) when any amendment to the Registration Statement shall have
become effective or any further supplement to the Prospectus shall have been
filed with the Commission, (iii) of any proposal or request to amend or
supplement the Registration Statement, the Base Prospectus, the Pricing Free
Writing Prospectus or the Final Prospectus or any request by the Commission
for
any additional information, (iv) when notice is received from the Commission
that any post-effective amendment to the Registration Statement has become
or
will become effective, (v) of the issuance by the Commission of any stop order
suspending the effectiveness of the Registration Statement or post-effective
amendment thereto or the institution or threatening of any proceeding for that
purpose, (vi) of the receipt by the Company of any notification with respect
to
the suspension of the qualification of the Offered Certificates for sale in
any
jurisdiction or the institution or threatening of any proceeding for that
purpose and (vii) of the occurrence of any event that would cause the
Registration Statement, as then in effect, to contain an untrue statement of
a
material fact or omit to state a material fact required to be stated therein
or
necessary in order to make the statements therein not misleading, or that would
cause the Pricing Free Writing Prospectus or the Final Prospectus, as then
in
effect, to contain an untrue statement of a material fact or omit to state
a
material fact required to be stated therein or necessary in order to make the
statements therein, in light of the circumstances under which they were made,
not misleading.
The
Company will use its best efforts to prevent the issuance of any such stop
order
or suspension and, if issued, to obtain as soon as possible the withdrawal
thereof. The Company will cause the Pricing Free Writing Prospectus and the
Final Prospectus to be transmitted to the Commission for filing pursuant to
Rule
433 and Rule 424 under the 1933 Act, as applicable or will cause the Pricing
Free Writing Prospectus and the Final Prospectus to be filed with the Commission
pursuant to said Rule 433 and Rule 424, as applicable.
(b) If,
at
any time when a prospectus relating to the Offered Certificates is required
to
be delivered under the 1933 Act, any event occurs as a result of which the
Final
Prospectus, as then amended or supplemented, would contain any untrue statement
of a material fact or omit to state any material fact required to be stated
therein or necessary to make the statements therein, in light of the
circumstances under which they were made, not misleading, or if it shall be
necessary in the judgment of the Company or the Underwriter to amend or
supplement the Final Prospectus or the Registration Statement to comply with
the
1933 Act or the rules and regulations thereunder, the Company promptly will
prepare and file with the Commission, at the expense of the Company, subject
to
paragraph (a) of this Section 5, an amendment or supplement that will correct
such statement or omission or an amendment that will effect such compliance
and,
if such amendment or supplement is required to be contained in a post-effective
amendment to the Registration Statement, the Company will use its best efforts
to cause such amendment to the Registration Statement to be made effective
as
soon as possible. Neither the Underwriter’s consent to nor their distribution of
any amendment or supplement shall constitute a waiver of any of the conditions
set forth in Section 6.
(c) The
Company will furnish to the Underwriter and the Underwriter’s counsel, without
charge, signed copies of the Registration Statement (including exhibits thereto)
and each amendment thereto which shall become effective on or prior to the
Closing Date, and so long as delivery of a prospectus by the Underwriter may
be
required by the 1933 Act, as many copies of the Final Prospectus and any
amendments and supplements thereto as the Underwriter may reasonably
request.
(d) [Reserved].
(e) The
Company will furnish such information, execute such instruments and take such
action, if any, as may be required to qualify the Offered Certificates for
sale
under the laws of such jurisdictions as the Underwriter may designate and will
maintain such qualifications in effect so long as required for the distribution
of the Offered Certificates; provided,
however,
that
the Company shall not be required to qualify to do business in any jurisdiction
where it is not now qualified or to take any action that would subject it to
general or unlimited service of process in any jurisdiction where it is not
now
subject to such service of process.
(f) The
Company will pay or cause to be paid all costs and expenses in connection with
the transactions herein contemplated, including, but not limited to, the fees
and disbursements of its counsel; the costs and expenses of printing (or
otherwise reproducing) and delivering the Pooling Agreement and the
Certificates; the fees, costs and expenses of the Trustee (to the extent
permitted under the Pooling Agreement, and except to the extent that another
party is obligated to pay such amounts thereunder); the fees and disbursements
of accountants for the Company; the costs and expenses in connection with the
qualification or exemption of the Offered Certificates under state securities
or
“blue sky” laws, including filing fees and reasonable fees and disbursements of
counsel in connection therewith, in connection with the preparation of any
blue
sky survey and in connection with any determination of the eligibility of the
Offered Certificates for investment by institutional investors and the
preparation of any legal investment survey; the expenses of printing any such
blue sky survey and legal investment survey; the cost and expenses in connection
with the preparation, printing and filing of the Registration Statement
(including exhibits thereto), the Base Prospectus, the Pricing Free Writing
Prospectus and the Final Prospectus, the preparation and production of this
Agreement and the delivery to the Underwriter of such copies of the Pricing
Free
Writing Prospectus and the Final Prospectus as the Underwriter may reasonably
request; and the fees of the Rating Agencies (as defined in Section 6
hereof).
(g) The
Company will enter into the Other Agreements on or prior to the Closing
Date.
(h) The
Company will file with the Commission within fifteen days after the issuance
of
the Offered Certificates a current report on Form 8-K setting forth specific
information concerning the Offered Certificates and the Mortgage Loans to the
extent that such information is not set forth in the Prospectus. The Company
will also file with the Commission any Free Writing Prospectus (as defined
herein) delivered to investors in accordance with Sections 6 and 7 (below)
as
the Company is required under the rules and regulations therunder to file,
and
to do so within the applicable period of time prescribed by the rules and
regulations.
(i) The
Company acknowledges and agrees that the Underwriter is acting solely in the
capacity of an arm’s length contractual counterparty to the Company with respect
to the offering of Securities contemplated hereby (including in connection
with
determining the terms of the offering) and not as a financial advisor or a
fiduciary to, or an agent of, the Company or any other person. In addition,
the
Underwriter is not advising the Company or any other person as to any legal,
tax, investment, accounting or regulatory matters in any jurisdiction. The
Company shall consult with its own advisors concerning such matters, and the
Underwriter shall have no responsibility or liability to the Company with
respect thereto. The Company has been advised that the Underwriter and its
affiliates are engaged in a broad range of transactions that may involve
interests that differ from those of the Company and that the Underwriter has
no
obligation to disclose such interests and transactions to the Company by virtue
of any fiduciary, advisory or agency relationship. Any review by the Underwriter
of the Company, the transactions contemplated hereby or other matters relating
to such transactions will be performed solely for the benefit of the Underwriter
and shall not be on behalf of the Company.
(j) The
Company will, to the extent that the Underwriter has complied with the terms
of
Section 5 (below), file with the Commission any Free Writing Prospectus (as
defined herein) delivered to investors in accordance with Sections 6 and 7
(below), as the Company is required under the rules and regulations to file,
and
do so within the applicable period of time prescribed by the rules and
regulations.
6.
Covenants
of the Underwriter.
The
Underwriter covenants and agrees with the Company that:
(a) It
has
not provided and will not provide to any potential investor any information
that
would constitute “issuer information” within the meaning of Rule 433(h) under
the Securities Act other than information contained in the Preliminary Term
Sheet (as defined herein).
(b) In
disseminating information to prospective investors, it has complied and will
continue to comply fully with the rules and regulations, including, but not
limited to Rules 164 and 433 under the Securities Act and the requirements
thereunder for filing and retention of free writing prospectuses.
(c) It
has
not disseminated and will not disseminate any information relating to the
Offered Certificates in reliance on Rule 167 or 426 under the Securities
Act.
(d) It
has
not disseminated and will not disseminate any information relating to the
Offered Certificates in a manner reasonably designed to lead to its broad
unrestricted dissemination within the meaning of Rule 433(d) under the
Securities Act.
(e) Each
Free
Writing Prospectus disseminated by such Underwriter bore or will bear the
applicable legends required under this Agreement, and no Free Writing Prospectus
disseminated by such Underwriter bore or will bear any legend prohibited under
this Agreement.
(f) Prior
to
entering into any Contract of Sale, the Underwriter shall convey the
Pricing
Free
Writing Prospectus to each prospective investor. The Underwriter shall maintain
sufficient records to document its conveyance of the Pricing Free Writing
Prospectus to each potential investor prior to the formation of the related
Contract of Sale and shall maintain such records as required by the rules and
regulations.
(g) On
or
before the Closing Date, the Underwriter shall execute and deliver to ▇▇▇▇▇▇▇
▇▇▇▇▇▇▇▇ & ▇▇▇▇ llp
a copy
of the original issue discount pricing letter provided to the Representative
by
▇▇▇▇▇▇▇ ▇▇▇▇▇▇▇▇ & Wood llp.
(h) In
relation to each member state of the European Economic Area which has
implemented the Prospectus Directive (each, a “Relevant Member State”), the
Underwriter represents and agrees that with effect from and including the date
on which the Prospectus Directive is implemented in that Relevant Member State
(the “Relevant Implementation Date”), they have not made and will not make an
offer of Underwritten Certificates to the public in that Relevant Member State
prior to the publication of a prospectus in relation to the Underwritten
Certificates which has been approved by the competent authority in that Relevant
Member State or, where appropriate, approved in another Relevant Member State
and notified to the competent authority in that Relevant Member State, all
in
accordance with the Prospectus Directive, except that it may, with effect from
and including the Relevant Implementation Date, make an offer of Underwritten
Certificates to the public in that Relevant Member State at any
time:
(i) 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;
(ii) to
any
legal entity which has two or more of (x) an average of at least 250 employees
during the last financial year; (y) a total balance sheet of more than
€43,000,000 and (z) an annual net turnover of more than €50,000,000, as shown in
its last annual or consolidated accounts; or
(iii) in
any
other circumstances which do not require the publication by the issuer of a
prospectus pursuant to Article 3 of the Prospectus Directive.
For
the
purposes of this Section, the expression an “offer of Underwritten Certificates
to the public” in relation to any certificates in any Relevant Member State
means the communication in any form and by any means of sufficient information
on the terms of the offer and the Underwritten Certificates to be offered so
as
to enable an investor to decide to purchase or subscribe for the offered
certificates, as the same may be varied in that member state by any measure
implementing the Prospectus Directive in that member state and the expression
“Prospectus Directive” means Directive 2003/71/EC and includes any relevant
implementing measure in each Relevant Member State.
(i) Each
confirmation of sale with respect to Offered Certificates delivered by an
Underwriter shall, if such confirmation of sale is not preceded or accompanied
by delivery of the Final Prospectus, include a legend to the following effect
in
compliance with Rule 173:
Rule
173
notice: This security was sold pursuant to an effective registration statement
that is on file with the SEC. You may request a copy of the final prospectus
at
▇▇▇.▇▇▇.▇▇▇, or by calling (▇▇▇) ▇▇▇-▇▇▇▇.
7.
Offering
Procedures.
(a) The
following terms have the specified meanings for purposes of this
Agreement:
(i) “Contract
of Sale” has the same meaning as the term “contract of sale” as used in Rule 159
under the Securities Act.
(ii) “Derived
Information” means any information regarding the Offered Certificates, other
than the Issuer Information, disseminated by any Underwriter to a potential
investor.
(iii) “Free
Writing Prospectus” means the Preliminary Term Sheet, the Pricing Free Writing
Prospectus and any other information relating to the Offered Certificates
disseminated by the Depositor or any Underwriter that constitutes a “free
writing prospectus” within the meaning of Rule 405 under the Securities
Act.
(iv) “Issuer
Information” means the information contained in the Preliminary Term
Sheet.
(v) “Preliminary
Term Sheet” means the preliminary term sheet dated November 1, 2006 attached
hereto as Exhibit A.
(b) Neither
the Company nor the Underwriter will disseminate to any potential investor
any
information relating to the Offered Certificates that constitutes a “written
communication” within the meaning of Rule 405 under the Securities Act, other
than the Preliminary Term Sheet, a Prospectus and, in the case of the
Underwriter, Derived Information, unless (i) if the Underwriter seeks to
disseminate such information, such Underwriter or the Representative has
obtained the prior consent of the Company, or (ii) if the Company seeks to
disseminate such information, the Company has obtained the prior consent of
the
Representative.
The
Underwriter may convey Derived Information (x) to a potential investor prior
to
entering into a Contract of Sale with such investor; provided, however, that
such Derived Information shall not be “broadly disseminated” and (y) to an
investor after a Contract of Sale provided that the Underwriter has complied
with Section 6(f) in connection with such Contract of Sale. The Underwriter
shall maintain records of any conveyance of Derived Information to potential
or
actual investors and shall maintain such records as required by the
Regulations.
Neither
the Company nor the Underwriter shall disseminate or file with the Commission
any information relating to the Offered Certificates in reliance on Rule 167
or
426 under the Securities Act, nor shall the Company or the Underwriter
disseminate any Free Writing Prospectus in a manner reasonably designed to
lead
to its broad unrestricted dissemination within the meaning of Rule 433(d) under
the Securities Act.
(c) Each
Free
Writing Prospectus shall bear the applicable legends specified in Exhibit
B.
8.
Conditions
to the Purchase of the Offered Certificates.
The
obligations of the Underwriter hereunder to purchase the Offered Certificates
shall be subject to the accuracy of the representations and warranties on the
part of the Company contained herein as of the date hereof, as of the date
of
the effectiveness of any amendment to the Registration Statement filed prior
to
the Closing Date and as of the Closing Date, to the accuracy of the statements
of the Company made in any certificates delivered pursuant to the provisions
hereof, to the performance by the Company of its obligations hereunder and
to
the following additional conditions:
(a) The
Registration Statement shall have become effective and no stop order suspending
the effectiveness of the Registration Statement, as amended from time to time,
shall have been issued and not withdrawn and no proceedings for that purpose
shall have been instituted or threatened; the Pricing Free Writing Prospectus
shall have been filed or transmitted for filing with the Commission in
accordance with Rule 433 under the 1933 Act and the Final Prospectus shall
have
been filed or transmitted for filing with the Commission in accordance with
Rule
424 under the ▇▇▇▇ ▇▇▇.
(b) The
Company shall have delivered to the Underwriter a certificate of the Company,
signed by the President or a vice president of the Company and dated the Closing
Date, to the effect that the signer of such certificate has carefully examined
the Registration Statement, the Final Prospectus and this Agreement and that:
(i) the representations and warranties of the Company in this Agreement are
true
and correct in all material respects at and as of the Closing Date with the
same
effect as if made on the Closing Date, (ii) the Company has complied with all
the agreements and satisfied all the conditions on its part to be performed
or
satisfied at or prior to the Closing Date, (iii) no stop order suspending the
effectiveness of the Registration Statement has been issued and no proceedings
for that purpose have been instituted or, to the Company’s knowledge,
threatened, and (iv) nothing has come to the attention of the signer hereof
on
behalf of the Company that would lead said signer to believe that the Final
Prospectus contains any untrue statement of a material fact or omits to state
any material fact necessary in order to make the statements therein, in the
light of the circumstances under which they were made, not
misleading.
(c) The
Representative shall have received, in form and substance reasonably
satisfactory to the Representative and counsel for the Underwriter, a negative
assurance letter of Underwriter’s Counsel, with respect to each
Prospectus.
(d) The
Representative shall have received, in form and substance reasonably
satisfactory to the Representative and counsel for the Underwriter, a negative
assurance letter of ▇▇▇▇▇▇▇ ▇▇▇▇▇▇▇▇ & ▇▇▇▇ llp,
counsel
to the Company, with respect to each Prospectus.
(e) The
Underwriter shall have received from ▇▇▇▇▇▇▇ ▇▇▇▇▇▇▇▇ & Wood llp
and
counsel for the Company, one or more favorable opinions, dated the Closing
Date,
in form
and substance satisfactory to the Underwriter.
(f) The
Underwriter shall have received from the in-house counsel to the Company or
an
affiliate of the Company, a favorable opinion, dated the Closing Date in form
and substance satisfactory to the Underwriter.
(g)
[Reserved];
(h) The
Underwriter shall have received from in-house counsel to the Seller, one or
more
favorable opinions, dated the Closing Date, in form and substance satisfactory
to the Underwriter.
(i) The
Representative shall have received, in form and substance reasonably
satisfactory to the Representative and counsel for the Underwriter, letters
prepared by Deloitte & Touche LLP, certified public accountants, (a)
regarding certain numerical information contained or incorporated by reference
in the Pricing Free Writing Prospectus and the Final Prospectus and (b) relating
to certain agreed upon procedures as requested by the Underwriter relating
to
the Mortgage Loans.
(j) The
Underwriter shall have received from each of Standard & Poor’s Ratings
Services, a division of The ▇▇▇▇▇▇-▇▇▇▇ Companies, Inc. (“S&P”),
Dominion Bond Rating Service (“DBRS”) and ▇▇▇▇▇’▇ Investors Service, Inc.
(“Moody’s”
collectively with S&P and DBRS, the “Rating
Agencies”)
a
rating letter assigning to the Offered Certificates the ratings indicated on
Schedule I hereto, none of which ratings shall have been withdrawn.
(k) The
Underwriter shall have received from counsel for the Trustee a favorable
opinion, dated the Closing Date, in form and substance satisfactory to the
Underwriter and the Underwriter’s counsel, to the effect that the Pooling
Agreement has been duly authorized, executed and delivered by the Trustee and
constitutes the legal, valid, binding and enforceable agreement of the Trustee,
subject, as to enforceability, to bankruptcy, insolvency, reorganization,
moratorium or other similar laws affecting creditors’ rights in general and by
general principles of equity regardless of whether enforcement is considered
in
a proceeding in equity or at law, and as to such other matters as may be agreed
upon by the Underwriter and the Trustee.
(l) [Reserved]
(m)
The
Underwriter shall have received such further information, certificates,
documents and opinions as it may reasonably have requested not less than three
business days prior to the Closing Date.
(n) All
proceedings in connection with the transactions contemplated by this Agreement
and all documents incident hereto shall be satisfactory in form and substance
to
the Underwriter and the Underwriter’s counsel, and the Underwriter and such
counsel shall have received such information, certificates and documents as
it
or they may have reasonably requested.
(o) If
any of
the conditions specified in this Section 8 shall not have been fulfilled in
all
material respects when and as provided in this Agreement, if the Company is
in
breach of any covenants or agreements contained herein or if any of the opinions
and certificates referred to above or elsewhere in this Agreement shall not
be
in all material respects reasonably satisfactory in form and substance to the
Underwriter and the Underwriter’s counsel, this Agreement and all the
obligations of the Underwriter hereunder may be canceled by the Underwriter
at,
or at any time prior to, the Closing Date. Notice of such cancellation shall
be
given to the Company in writing, or by telephone or facsimile transmission
confirmed in writing.
9.
Indemnification
and Contribution.
The
Company agrees with the Underwriter that:
(a) The
Company indemnifies and holds harmless the Underwriter, the Underwriter’s
officers, directors and partners, and each Person who controls the Underwriter
within the meaning of either the 1933 Act or the 1934 Act against any and all
losses, claims, damages or liabilities, joint or several, to which the
Underwriter may become subject under the 1933 Act, the 1934 Act, or other
federal or state law or regulation, at common law or otherwise, insofar as
such
losses, claims, damages or liabilities (or actions in respect thereof) arise
out
of or are based upon (x) any untrue statement or alleged untrue statement of
a
material fact contained in the Registration Statement or in any amendment
thereof, or the omission or alleged omission to state in the Registration
Statement or any amendment thereof a material fact required to be stated therein
or necessary to make the statements therein not misleading, or (y) any untrue
statement or alleged untrue statement of a material fact contained in the Base
Prospectus, the Pricing Free Writing Prospectus or the Final Prospectus, or
the
omission or alleged omission to state in the Base Prospectus, the Pricing Free
Writing Prospectus, the Final Prospectus or in any amendment or supplement
to
any of them, or the Issuer Information, a material fact required to be stated
therein or necessary to make the statements therein, in light of the
circumstances in which they were made, not misleading, and agrees to reimburse
for any legal or other expenses reasonably incurred by the Underwriter, the
Underwriter’s respective officers and directors and each such controlling person
in connection with investigating or defending any such loss, claim, damage,
liability or action as such expenses are incurred; provided,
however,
that
the Company shall not be liable in any such case to the extent that any such
loss, claim, expense, damage or liability arises out of or is based upon an
untrue statement or omission, or alleged untrue statement or omission, made
in
any of such documents (x) under the heading “Yield, Prepayment and Maturity
Considerations—Weighted Average Lives,” the tables regarding assumed mortgage
loan characteristics and the tables entitled “Percent of Original Certificate
Principal Balance Outstanding” (collectively, the “Excluded Information”); (y)
in reliance upon and in conformity with any Underwriter’s Information or (z) in
any Derived Information in any Free Writing Prospectus, except in the case
of
clause (x) or (z) to the extent that any untrue statement or omission or alleged
untrue statement or alleged omission therein results (or is alleged to have
resulted) from an error or material omission in the information in the Pricing
Free Writing Prospectus or the Final Prospectus for which the Company is
responsible or concerning the characteristics of the Mortgage Loans furnished
by
the Seller or the Company, as applicable, to the Underwriter for use in the
preparation of any Excluded Information in any Free Writing Prospectus (any
such
information, the “Pool Information”), which error was not superseded or
corrected by the delivery to the Underwriter of corrected written or electronic
information, or for which the Company did not provide timely written notice
of
such error to the Underwriter (any such uncorrected Pool information, a “Pool
Error”); and, provided
further
that the
Company shall not be liable in any such case to the extent that any such loss,
claim, expense, damage or liability arises out of or is based upon an omission
to include in the Pricing Free Writing Prospectus information included in the
Final Prospectus.
(b) The
Underwriter agrees to indemnify and hold harmless the Company, each of its
directors, each of its officers who signs the Registration Statement, and each
Person, if any, who controls the Company within the meaning of either the 1933
Act or the 1934 Act, to the same extent as the foregoing indemnity from the
Company to the Underwriter, but only if any such loss, claim, damage or
liability arises out of or is based upon any untrue statement or alleged untrue
statement or omission or alleged omission made therein in reliance upon and
in
conformity with the Underwriter’s Information of the Underwriter except to the
extent that such misstatement or omission arises from a misstatement or omission
in the Company Provided Information. This indemnity will be in addition to
any
liability that the Underwriter may otherwise have. The Company and the
Underwriter each acknowledge that (i) the term Underwriter’s Information shall
mean the last paragraph on the cover page of the Prospectus Supplement and
the
first paragraph (including the table following such paragraph) and the first
sentence of the second paragraph under the heading “Method of Distribution” in
the Prospectus Supplement and (ii) Underwriter’s Information constitutes the
only information furnished in writing by the Underwriter for inclusion in the
documents referred to in the foregoing indemnity, and the Underwriter confirms
that its Underwriter’s Information is correct.
(c) Promptly
after receipt by an indemnified party under this Section 9 of notice of the
commencement of any action, such indemnified party will, if a claim in respect
thereof is to be made against the indemnifying party under this Section 9,
notify the indemnifying party in writing of the commencement thereof; but the
omission so to notify the indemnifying party will not relieve it from any
liability that it may have to any indemnified party otherwise than under this
Section 9. In case any such action is brought against any indemnified party
and
it notifies the indemnifying party of the commencement thereof, the indemnifying
party will be entitled to participate therein, and to the extent that it may
elect by written notice delivered to the indemnified party promptly after
receiving the aforesaid notice from such indemnified party, to assume the
defense thereof, with counsel satisfactory to such indemnified party;
provided,
however,
that if
the defendants in any such action include both the indemnified party and the
indemnifying party and the indemnified party or parties shall have reasonably
concluded that there may be legal defenses available to it or them and/or other
indemnified parties that are different from or additional to those available
to
the indemnifying party or there is a conflict or potential conflict between
the
indemnified party and the indemnifying party (in which case the indemnifying
party will not have the right to direct the defense of such action on behalf
of
the indemnified party), the indemnified party or parties shall have the right
to
elect separate counsel to assert such legal defenses and to otherwise
participate in the defense of such action on behalf of such indemnified party
or
parties. Upon receipt of notice from the indemnifying party to such indemnified
party of its election so to assume the defense of such action and approval
by
the indemnified party of counsel, the indemnifying party will not be liable
for
any legal or other expenses subsequently incurred by such indemnified party
in
connection with the defense thereof, unless (i) the indemnified party shall
have
employed separate counsel in connection with the assertion of legal defenses
in
accordance with the proviso to the immediately preceding sentence (it being
understood, however, that the indemnifying party shall not be liable for the
expenses of more than one separate counsel in addition to local counsel,
approved by the Underwriter in the case of paragraph (a) of this Section 9),
(ii) the indemnifying party shall not have employed counsel satisfactory to
the
indemnified party to represent the indemnified party within a reasonable time
after notice of commencement of the action or (iii) the indemnifying party
has
authorized the employment of counsel for the indemnified party at the expense
of
the indemnifying party; and except that, if clause (i) or (iii) is applicable,
such liability shall only be in respect of the counsel referred to in such
clause (i) or (iii). Each indemnified party, as a condition of the indemnity
agreements contained in Section 9(a) and (b), shall use its reasonable efforts
to cooperate with the indemnifying party in the defense of any such action
or
claim. No indemnifying party shall be liable for any settlement of any such
action effected without its written consent (which consent shall not be
unreasonably withheld, conditioned or delayed) but if settled with its written
consent, or if there be a final judgment for the plaintiff in any such action,
the indemnifying party agrees to indemnify and hold harmless any indemnified
party from and against any loss or liability (to the extent set forth in section
9(a) or (b) as applicable) by reason of such settlement or judgment. No
indemnifying party shall, without the prior written consent of the indemnified
party, effect any settlement of any pending or threatened action in respect
of
which any indemnified party is or could have been a party and indemnity could
have been sought hereunder by such indemnified party unless such settlement
(i)
includes an unconditional release of such indemnified party from all liability
on any claims that are the subject of such action and (ii) does not include
a
statement as to, or an admission of, fault, culpability or failure to act by
or
on behalf of an indemnified party.
(d) If
the
indemnification provided for in this Section 9 is unavailable or insufficient
to
hold harmless an indemnified party under this Section 9, then each indemnifying
party shall contribute to the amount paid or payable by such indemnified party
as a result of the aggregate losses, claims, damages and liabilities referred
to
in paragraph (a) or (b) above, in such proportion as is appropriate to reflect
the relative benefits received by the Company on the one hand and the
Underwriter on the other from the offering of the Offered Certificates. If,
however, the allocation provided by the immediately preceding sentence is not
permitted by applicable law, then each indemnifying party shall contribute
to
such amount paid or payable by such indemnified party in such proportion as
is
appropriate to reflect not only such relative benefits but also the relative
fault of the Company on the one hand and the Underwriter on the other in
connection with the statements or omissions which resulted in such losses,
claims, damages or liabilities (or actions in respect thereof), as well as
any
other relevant equitable considerations. The relative benefits received by
the
Underwriter shall be equal to its aggregate discount and underwriting
commissions with respect to the Offered Certificates purchased by it as set
forth on Schedule I hereto, and the relative benefits of the Company shall
be
equal to the balance of the proceeds of the sale of the Offered Certificates.
The relative fault shall be determined by reference to, among other things,
whether the untrue or alleged untrue statement of material fact or the omission
or alleged omission to state a material fact relates to information supplied
by
the Company or the Underwriter and the parties’ relative intent, knowledge,
access to information and opportunity to correct or prevent such statement
or
omission. The Company and the Underwriter agree that it would not be just and
equitable if contribution were determined by pro rata allocation or by any
other
method of allocation which does not take account of the equitable considerations
referred to above. The amount paid or payable by an indemnified party as a
result of the claims (or actions in respect thereof) referred to above shall
be
deemed to include any legal or other expenses reasonably incurred by such
indemnified party in connection with investigating or defending any such claim.
Notwithstanding the provisions of this subsection (d), the Underwriter shall
not
be required to contribute any amount in excess of the amount by which the total
amount of underwriting discounts and commissions received by the Underwriter
with respect to the related Offered Certificates (which amounts are set forth
in
Schedule I hereto) exceeds the amount of damages which the Underwriter would
have otherwise been required to pay by reason of such untrue or alleged untrue
statement or omission or alleged omission. No person guilty of fraudulent
misrepresentation (within the meaning of Section 11(f) of the Act) shall be
entitled to contribution from any person who was not guilty of such fraudulent
misrepresentation. For purposes of this Section 9, a Person, if any, that
controls the Underwriter within the meaning of either the 1933 Act or the 1934
Act shall have the same rights to contribution as does the Underwriter and
each
director of the Underwriter and each officer of the Underwriter shall have
the
same rights to contribution as the Underwriter, and each Person, if any, that
controls the Company within the meaning of either the 1933 Act or the 1934
Act,
each officer of the Company who shall have signed the Registration Statement
and
each director of the Company shall have the same rights to contribution as
the
Company. Any party entitled to contribution will, promptly after receipt of
notice of commencement of any action, suit or proceeding against such party
in
respect of which a claim for contribution may be made against another party
or
parties under this paragraph (d), notify such party or parties from whom
contribution may be sought, but the omission to so notify such party or parties
shall not relieve the party or parties from whom contribution may be sought
from
any other obligation it or they may have hereunder or otherwise than under
this
paragraph (d).
10.
Termination. (a)
This
Agreement shall be subject to termination in the Underwriter’s absolute
discretion, by notice given to the Company prior to delivery of and payment
for
the Offered Certificates, if, prior to such time, (i) trading of securities
generally on the New York Stock Exchange or the American Stock Exchange or
the
over the counter market shall have been suspended or materially limited, (ii)
a
general moratorium on commercial banking activities in New York shall have
been
declared by either federal or New York State authorities, (iii) there shall
have
occurred any material outbreak or declaration of hostilities or other calamity
or crisis the effect of which on the financial markets of the United States
is
such as to make it, in either Underwriter’s reasonable judgment, impracticable
to market the Offered Certificates on the terms specified herein or (iv) if
any
other closing condition set forth in Section 6 shall not have been fulfilled
when required to be fulfilled.
(b) If
the
sale of the Offered Certificates shall not be consummated because any condition
to the obligations of the Underwriter set forth in Section 6 hereof is not
satisfied or because of any refusal, inability or failure on the part of the
Company to perform any agreement herein or comply with any provision hereof
other than by reason of the default of the Underwriter, the Company shall
reimburse the Underwriter for the reasonable fees and expenses of the
Underwriter’s counsel and for the other out-of-pocket expenses as shall have
been incurred by the Underwriter in connection with this Agreement and the
proposed purchase of the Offered Certificates, and upon demand the Company
shall
pay the full amount thereof to the Underwriter.
(c) This
Agreement will survive delivery of and payment for the Offered Certificates.
The
provisions of Section 7 and this Section 8(c) shall survive the termination
or
cancellation of this Agreement and shall remain in full force and effect,
regardless of any investigation made by or on behalf of any of the Underwriter
or any persons controlling it.
11.
[Reserved.]
12.
Notices.
All
communications hereunder will be in writing and effective only on receipt,
and,
if sent to GCM, will be mailed, delivered or transmitted by facsimile and
confirmed to Greenwich Capital Markets, Inc. at ▇▇▇ ▇▇▇▇▇▇▇▇▇ ▇▇▇▇, ▇▇▇▇▇▇▇▇▇,
▇▇▇▇▇▇▇▇▇▇▇ ▇▇▇▇▇, attention: Legal Department; if sent to the Company, will
be
mailed, delivered or transmitted by facsimile and confirmed to it at ▇▇▇
▇▇▇▇▇▇▇▇▇ ▇▇▇▇, ▇▇▇▇▇▇▇▇▇, ▇▇▇▇▇▇▇▇▇▇▇ ▇▇▇▇▇, attention: Legal
Department.
13.
No
Advisory or Fiduciary Responsibility.
Each of
the Company and the Underwriter acknowledges and agrees that: (i) the purchase
and sale of the Offered Certificates pursuant to this Agreement, including
the
determination of the public offering price of the Offered Certificates and
any
related discounts and commissions, is an arm’s-length commercial transaction
between the Company and the Underwriter, on the one hand, and the Underwriter,
on the other hand, and the Company and the Underwriter are capable of evaluating
and understanding and understand and accept the terms, risks and conditions
of
the transactions contemplated by this Agreement; (ii) in connection with each
transaction contemplated hereby and the process leading to such transaction
the
Underwriter is and has been acting solely as a principal and is not the
financial advisor, agent or fiduciary of the Company, the Underwriter or its
respective affiliates, stockholders, creditors or employees or any other party;
(iii) the Underwriter has not assumed or will not assume an advisory, agency
or
fiduciary responsibility in favor of the Company with respect to any of the
transactions contemplated hereby or the process leading thereto (irrespective
of
whether the Underwriter has advised or is currently advising the Company on
other matters) or any other obligation to the Company except the obligations
expressly set forth in this Agreement; (iv) the Underwriter and its respective
affiliates may be engaged in a broad range of transactions that involve
interests that differ from those of the Company and that the Underwriter has
no
obligation to disclose any of such interests by virtue of any advisory, agency
or fiduciary relationship; and (v) the Underwriter has not provided any legal,
accounting, regulatory or tax advice with respect to the offering contemplated
hereby and the Company had consulted its own legal, accounting, regulatory
and
tax advisors to the extent it deemed appropriate.
This
Agreement supersedes all prior agreements and understandings (whether written
or
oral) between the Company and the Underwriter, or any of them, with respect
to
the subject matter hereof. The Company and the Underwriter hereby waive and
release, to the fullest extent permitted by law, any claims that the Company
and
the Underwriter may have against the Underwriter with respect to any breach
or
alleged breach of agency or fiduciary duty.
14.
Successors.
This
Agreement will inure to the benefit of and be binding upon the parties hereto
and their respective successors and the officers and directors and controlling
Persons referred to in Section 7, and their successors and assigns, and no
other
Person will have any right or obligation hereunder except that the
representations, warranties, indemnities and agreements contained in this
Agreement also shall be deemed to be for the benefit of the Person or Persons,
if any, who control the Underwriter within the meaning of the 1933 Act and
for
the benefit of the Underwriter’s officers and directors.
15.
Applicable
Law; Counterparts.
This
Agreement will be governed by and construed in accordance with the laws of
the
State of New York without giving effect to principles of conflicts of law.
This
Agreement may be executed in any number of counterparts, each of which shall
for
all purposes be deemed to be an original and all of which shall together
constitute but one and the same instrument.
16.
Minimum
Investment Amounts.
The
Underwriter shall offer the Certificates in minimum denominations of $25,000,
provided that the Certificates must be purchased in minimum total investments
of
$100,000.
[Signature
page follows]
If
the
foregoing correctly sets forth the agreement between the Depositor and the
Underwriter, please indicate your acceptance in the space provided for the
purpose below.
| Very truly yours, | ||
|
FINANCIAL
ASSET SECURITIES
CORP.
|
||
| |
|
|
| By: | /s/ ▇▇▇ ▇▇▇ | |
| Name: |
▇▇▇ ▇▇▇ |
|
| Title: | Vice President | |
CONFIRMED
AND ACCEPTED, as of the date first above written:
| GREENWICH CAPITAL MARKETS, INC. | |||
| By: /s/ ▇▇▇ ▇▇▇ | |||
|
Name:
▇▇▇ ▇▇▇
|
|||
|
Title:
Vice President
|
SCHEDULE
I
Underwriting
Agreement dated November 16, 2006.
As
used
in this Agreement, the term “Registration
Statement”
refers
to the Registration Statement on Form S-3, File No. 333-130961.
Closing
Date: November 30, 2006.
Approximate
Pool Balance: $1,203,955,585
of
Mortgage Loans.
Cut-Off
Date: November
1, 2006.
Title
and
Description of Offered Certificates:
First
Franklin Mortgage Loan Trust 2006-FF16 Asset-Backed Certificates, Series
2006-FF16, Classes designated on the following page:
|
Class
|
Original
Certificate Principal Balance(1)
|
Pass-Through
Rate(2)
|
Class
|
Original
Certificate Principal Balance(1)
|
Pass-Through
Rate(2)
|
|
Class
I-A1
|
$325,847,000
|
Variable
|
Class
M-3
|
$19,865,000
|
Variable
|
|
Class
II-A1
|
$293,996,000
|
Variable
|
Class
M-4
|
$17,457,000
|
Variable
|
|
Class
II-A2
|
$139,671,000
|
Variable
|
Class
M-5
|
$17,457,000
|
Variable
|
|
Class
II-A3
|
$175,833,000
|
Variable
|
Class
M-6
|
$16,254,000
|
Variable
|
|
Class
II-A4
|
$69,955,000
|
Variable
|
Class
M-7
|
$13,845,000
|
Variable
|
|
Class
M-1
|
$36,721,000
|
Variable
|
Class
M-8
|
$8,428,000
|
Variable
|
|
Class
M-2
|
$32,507,000
|
Variable
|
Class
M-9
|
$12,040,000
|
Variable
|
Initial
Certificate Ratings
|
Class
|
Moody’s
|
S&P
|
|
I-A1
|
Aaa
|
AAA
|
|
II-A1
|
Aaa
|
AAA
|
|
II-A2
|
Aaa
|
AAA
|
|
II-A3
|
Aaa
|
AAA
|
|
II-A4
|
Aaa
|
AAA
|
|
▇-▇
|
▇▇▇
|
▇▇▇
|
|
▇-▇
|
▇▇▇
|
▇▇
|
|
M-3
|
Aa3
|
AA
|
|
M-4
|
A1
|
AA-
|
|
M-5
|
A2
|
A+
|
|
M-6
|
A3
|
A
|
|
M-7
|
Baa1
|
BBB+
|
|
M-8
|
Baa2
|
BBB+
|
|
M-9
|
Baa3
|
BBB-
|
EXHIBIT
A
PRELIMINARY
TERM SHEET
First
Franklin Mortgage Loan Trust
2006-FF16
Marketing
Materials
$854,029,000
(Approximate)
Financial
Asset Securities Corp.
Depositor
National
City Home Loan Services, Inc.
Servicer
First
Franklin Financial Corporation
Originator
Underwriter
|
FOR
ADDITIONAL INFORMATION PLEASE CALL:
|
|
|
RBS
Greenwich Capital
|
|
|
Asset-Backed
Finance
|
|
|
▇▇▇▇▇▇▇
▇▇▇
|
(▇▇▇)
▇▇▇-▇▇▇▇
|
|
▇▇▇▇
McSweeeney
|
(▇▇▇)
▇▇▇-▇▇▇▇
|
|
Trading
|
|
|
▇▇▇
▇▇▇▇▇▇
|
(▇▇▇)
▇▇▇-▇▇▇▇
|
|
▇▇▇
▇▇▇▇▇
|
(▇▇▇)
▇▇▇-▇▇▇▇
|
|
▇▇▇▇▇
▇▇▇▇▇
|
(▇▇▇)
▇▇▇-▇▇▇▇
|
|
Rating
Agencies
|
|
|
▇▇▇▇▇’▇
|
|
|
▇▇▇▇▇
Muni
|
(▇▇▇)
▇▇▇-▇▇▇▇
|
|
S&P
|
|
|
▇▇▇▇
▇▇▇▇
|
(▇▇▇)
▇▇▇-▇▇▇▇
|
The
issuer has filed a registration statement (including a base prospectus) with
the
SEC for the offering to which this free writing prospectus relates. Before
you
invest in this offering, you should read the base prospectus in that
registration statement and other documents the issuer has filed with the
SEC for
more complete information about the issuer and this offering. You may get
these
documents for free by visiting ▇▇▇▇▇ on the SEC Web site at ▇▇▇.▇▇▇.▇▇▇
<▇▇▇▇://▇▇▇.▇▇▇.▇▇▇/>. Alternatively, RBS Greenwich Capital will arrange
to send you the base prospectus at no charge if you request it by calling
▇-▇▇▇-▇▇▇-▇▇▇▇ or emailing ▇▇▇▇▇▇▇▇▇▇▇▇▇▇▇▇▇@▇▇▇▇▇.▇▇▇.
This
free
writing prospectus is being delivered to you solely to provide you with
information about the offering and to solicit an offer to purchase the offered
securities. Any such offer to purchase made by you will not be accepted and
will
not constitute a contractual commitment by you to purchase any of the securities
until we have accepted your offer to purchase such securities. Any such
commitment shall be subject to the conditions specified below.
This
free
writing prospectus is
not
required
to
contain
all of the information that is required to be included in the base prospectus
and the prospectus supplement. The information in this free writing prospectus
is preliminary and is subject to completion or change. The information in
this
free writing prospectus, if conveyed prior to the time of your commitment
to
purchase the offered securities, supersedes any prior version of this free
writing prospectus and any information contained in any prior similar free
writing prospectus relating to these securities. If a preliminary prospectus
is
conveyed to you prior to your commitment to purchase, that document supersedes
all other information provided to you concerning the offered
securities.
This
free
writing prospectus is not an offer to sell or a solicitation of an offer
to buy
these securities in any state where such offer, solicitation or sale is not
permitted.
The
securities referred to in this free writing prospectus are being offered
when,
as and if issued. The issuer is not obligated to issue any such securities
or
any similar securities, and all or a portion of the securities may not be
issued
that have the characteristics described herein. The underwriters' obligation
to
deliver such securities is subject to the terms and conditions of the
underwriting agreement with the issuer and the availability of the securities
having the characteristics described herein.
If, for
any reason, the issuer does not deliver such securities, the underwriter
will
notify you, and neither the issuer nor any underwriter will have any obligation
to you to deliver all or any portion of the securities which you have committed
to purchase, and there will be no liability between us as a consequence of
the
non-delivery.
For
asset-backed and mortgage-backed securities: Certain of the information
contained herein may be based on numerous assumptions (including preliminary
assumptions about the pool assets and structure), which may not be specifically
identified as assumptions in the information. Any such information or
assumptions are
subject
to change. The
information in this free writing prospectus may reflect assumptions specifically
requested by you. If so, prior to the time of your commitment to purchase,
you
should request updated information based on any assumptions specifically
required by you.
Any
legends, disclaimers or other notices that may appear below
or on
any electronic communication to which this free writing prospectus is attached
which state that (1) these materials do not constitute an offer (or a
solicitation of an offer), (2) no representation is made as to the accuracy
or
completeness of these materials and that these materials may not be updated
or
(3) these materials may be confidential
are not
applicable to this communication and should be disregarded. Such legends,
disclaimers or other notices have been automatically generated as a result
of
this communication having been sent via Bloomberg or another
system.
|
Preliminary
Term Sheet
|
Date
Prepared: November 1,
2006
|
$854,029,000
(Approximate)
Asset-Backed
Certificates, Series 2006-FF16
|
Principal
|
WAL
(Years)
|
Payment
Window
|
Expected
Rating
|
Assumed
Final
|
Certificate
|
|
|
Class(1,2,3)
|
Amount
($)
|
Call/Mat(4)
|
Call/Mat(4)
|
▇▇▇▇▇’▇/S&P
|
Distribution
Date
|
Type
|
|
I-A1
|
$325,847,000
|
Not
Offered Hereby
|
[AAA/AAA]
|
December
2036
|
Floating
Rate Senior
|
|
|
II-A1
|
$293,996,000
|
1.00
/ 1.00
|
1-21
/ 1-21
|
[AAA/AAA]
|
December
2036
|
Floating
Rate Senior
|
|
II-A2
|
$139,671,000
|
2.00
/ 2.00
|
21-27
/ 21-27
|
[AAA/AAA]
|
December
2036
|
Floating
Rate Senior
|
|
II-A3
|
$175,833,000
|
3.50
/ 3.50
|
27-69
/ 27-69
|
[AAA/AAA]
|
December
2036
|
Floating
Rate Senior
|
|
II-A4
|
$69,955,000
|
6.32
/ 8.36
|
69-77
/ 69-182
|
[AAA/AAA]
|
December
2036
|
Floating
Rate Senior
|
|
M-1
|
$36,721,000
|
3.46
/ 3.46
|
40-44
/ 40-44
|
[Aa1/AA+]
|
December
2036
|
Seq.
Fltg. Rate Subordinate
|
|
M-2
|
$32,507,000
|
4.59
/ 4.59
|
▇▇-▇▇
/ ▇▇-▇▇
|
[▇▇▇/▇▇]
|
December
2036
|
Seq.
Fltg. Rate Subordinate
|
|
M-3
|
$19,865,000
|
6.39
/ 8.42
|
▇▇-▇▇
/ ▇▇-▇▇▇
|
[▇▇▇/▇▇]
|
December
2036
|
Seq.
Fltg. Rate Subordinate
|
|
M-4
|
$17,457,000
|
4.44
/ 4.84
|
39-77
/ 39-121
|
[A1/AA-]
|
December
2036
|
Floating
Rate Subordinate
|
|
M-5
|
$17,457,000
|
4.43
/ 4.79
|
▇▇-▇▇
/ ▇▇-▇▇▇
|
[▇▇/▇▇]
|
December
2036
|
Floating
Rate Subordinate
|
|
M-6
|
$16,254,000
|
4.41
/ 4.71
|
38-77
/ 38-108
|
[A3/A]
|
December
2036
|
Floating
Rate Subordinate
|
|
M-7
|
$13,845,000
|
4.41
/ 4.64
|
▇▇-▇▇
/ ▇▇-▇▇
|
[▇▇▇▇/▇▇▇▇]
|
December
2036
|
Floating
Rate Subordinate
|
|
M-8
|
$8,428,000
|
4.39
/ 4.53
|
▇▇-▇▇
/ ▇▇-▇▇
|
[▇▇▇▇/▇▇▇▇]
|
December
2036
|
Floating
Rate Subordinate
|
|
M-9
|
$12,040,000
|
4.35
/ 4.37
|
▇▇-▇▇
/ ▇▇-▇▇
|
[▇▇▇▇/▇▇▇-]
|
December
2036
|
Floating
Rate Subordinate
|
|
Total:
|
$1,179,876,000
|
|
||||
| (1) |
The
Class I-A1 Certificates are backed primarily by the cash flow from
the
Group I Mortgage Loans (as defined herein). The Class II-A1, Class
II-A2,
Class II-A3 and Class II-A4 Certificates are backed primarily by
the cash
flow from the Group II Mortgage Loans (as defined herein). The Class
▇-▇,
▇▇▇▇▇ ▇-▇, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7,
Class
M-8 and Class M-9 Certificates are backed by the cash flows from
the Group
I Mortgage Loans and the Group II Mortgage Loans. The principal balance
of
each class of Offered Certificates (as defined herein) is subject
to a 10%
variance.
|
| (2) |
The
Class I-A1, Class II-A1, Class II-A2, Class II-A3, Class II-A4, Class
M-1,
Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7,
Class
M-8 and Class M-9 Certificates are priced to call. The margin on
the Class
I-A1, Class II-A1, Class II-A2, Class II-A3 and Class II-A4 Certificates
will double on the first Distribution Date after the Optional Termination
Date may first be exercised. The margin on each of the Class ▇-▇,
▇▇▇▇▇
▇-▇, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class
M-8 and
Class M-9 Certificates will be equal to 1.5x the original margin
on the
first Distribution Date after the Optional Termination may first
be
exercised.
|
| (3) |
See
“Net WAC Rate” herein.
|
| (4) |
See
“Pricing Prepayment Speed” herein.
|
|
Depositor:
|
Financial
Asset Securities Corp.
|
|
Servicer:
|
National
City Home Loan Services, Inc.
|
|
Underwriter:
|
Greenwich
Capital Markets, Inc.
|
|
Custodian:
|
▇▇▇▇▇
Fargo Bank, N.A.
|
|
Trustee
and Swap Administrator:
|
Deutsche
Bank National Trust Company.
|
|
Loss
Mitigation Advisor:
|
▇▇▇▇▇▇▇
Fixed Income Services Inc. formerly known as The Murrayhill
Company.
|
|
Swap
Provider:
|
TBD.
|
|
Interest
Rate Cap Provider:
|
TBD.
|
|
Basis
Risk Cap Provider:
|
TBD.
|
|
Originator:
|
First
Franklin (“First
Franklin”),
a division of National City Bank of Indiana.
|
|
Offered
Certificates:
|
The
Class I-A1 Certificates (the “Group
I Certificates”)
and the Class II-A1, Class II-A2, Class II-A3 and Class II-A4 Certificates
(together, the “Group
II Certificates,”
and collectively with the Group I Certificates, the “Class
A Certificates”),
and the Class ▇-▇, ▇▇▇▇▇ ▇-▇, Class M-3, Class M-4, Class M-5,
Class M-6,
Class M-7, Class M-8 and Class M-9 Certificates (together, the
“Class
M Certificates”).
The Class A Certificates and the Class M Certificates are referred
to
herein as the “Offered
Certificates”
or “Certificates.”
|
|
Federal
Tax Status:
|
The
Certificates will represent ownership of REMIC regular interests
for tax
purposes.
|
|
Registration:
|
The
Certificates will be available in book-entry form through DTC and,
upon
request, through Clearstream, Luxembourg and the Euroclear System.
|
|
Cut-off
Date:
|
The
close of business on November 1, 2006.
|
|
Expected
Pricing Date:
|
On
or about the week of October [30], 2006.
|
|
Expected
Closing Date:
|
On
or about November 30, 2006.
|
|
Expected
Settlement Date:
|
On
or about November 30, 2006.
|
|
Distribution
Date:
|
The
25th day of each month (or if not a business day, the next succeeding
business day) commencing in December 2006.
|
|
Accrued
Interest:
|
The
price to be paid by investors for the Certificates will not include
accrued interest (settling flat).
|
|
Interest
Accrual Period:
|
The
interest accrual period for each Distribution Date with respect
to the
Certificates will be the period beginning with the previous Distribution
Date (or, in the case of the first Distribution Date, the Closing
Date)
and ending on the day prior to such Distribution Date (on an actual/360
basis).
|
|
Representations
and Warranties:
|
The
Seller will make certain representations and warranties with respect
to
the Mortgage Loans as of the Closing Date, including, but not limited
to,
the following:
|
||
|
(1)
|
All
Mortgage Loans were originated in compliance with all applicable
laws,
including, but not limited to, all applicable anti-predatory lending
laws;
and
|
||
|
(2)
|
no
Mortgage Loan is a High Cost Loan or a Covered Loan, as applicable
(as
such terms are defined in Standard & Poor’s LEVELS Version 5.6
Glossary Revised, Appendix E).
|
||
|
ERISA
Eligibility:
|
The Class
A Certificates may be purchased by ERISA plans after termination
of the
supplemental interest trust. Prior to termination of the
supplemental interest trust, ERISA plans may purchase the Class
A
Certificates if they meet the requirements of an investor based
class
exemption. Other certificates may be purchased by ERISA plans
investing through certain insurance company general
accounts.
|
||
|
SMMEA
Eligibility:
|
The
Class A, Class M-1 and Class M-2 Certificates are expected to constitute
“mortgage related securities” for purposes of SMMEA.
|
||
|
Optional
Termination:
|
The
terms of the transaction allow for a clean-up call of the Mortgage
Loans
and the retirement of the Certificates (the “Clean-up
Call”),
which may be exercised once the aggregate principal balance of
the
Mortgage Loans is less than or equal to 10% of the aggregate principal
balance of the Mortgage Loans as of the Cut-off Date.
|
||
|
Pricing
Prepayment Speed:
|
The
Certificates will be priced based on the following collateral prepayment
assumptions:
|
||
|
FRM
Loans:
|
100%
PPC (100% PPC: 4.6% - 23% CPR over 12 months, 23% CPR
thereafter)
|
||
|
ARM
Loans:
|
100%
PPC (100% PPC: 2% - 30% CPR over 12 months, remain constant at
30% CPR
until month 23, increase to 60% CPR from month 24 until month 27,
decrease
to 35% CPR in month 28 and remain constant at 35% CPR thereafter)
|
||
|
Provided,
however, the prepayment rate will not exceed 90% CPR in any period
under
any scenario.
|
|||
|
Mortgage
Loans:
|
As
of the Cut-off Date, the aggregate principal balance of the Mortgage
Loans
was approximately $1,203,955,585, of which: (i) approximately $390,236,281
consisted of a pool of conforming balance fixed-rate and adjustable-rate,
first-lien, fully amortizing and balloon mortgage loans (the “Group
I Mortgage Loans”)
and (ii) approximately $813,719,304 consisted of a pool of conforming
and
non-conforming balance fixed-rate and adjustable-rate, first-lien,
fully
amortizing and balloon mortgage loans (the “Group
II Mortgage Loans”
together with the Group I Mortgage Loans, the “Mortgage
Loans”).
|
||
|
With
respect to approximately 55.27% of the Mortgage Loans, First Franklin
also
originated a second lien mortgage loan at the time of originating
the
first lien mortgage loan.
|
|||
|
On
or prior to the Closing Date, it is expected that certain of the
Mortgage
Loans may be removed from the trust and certain other similar mortgage
loans may be added to the trust.
|
|||
|
On
the Closing Date, there may be up to 2.00% of the aggregate principal
balance of the Mortgage Loans as of the Cut-off Date that are 30
days or
more delinquent.
|
|||
|
Adjusted
Net Mortgage Rate:
|
The
“Adjusted
Net Mortgage Rate”
for each Mortgage Loan is equal to the loan rate less the sum of
(i) the
Servicing Fee Rate, (ii) the trustee fee rate and (iii) the Loss
Mitigation Advisor fee.
|
|
Adjusted
Net Maximum Mortgage Rate:
|
The
“Adjusted
Net Maximum Mortgage Rate”
for each Mortgage Loan is equal to the maximum loan rate (or the
loan rate
in the case of any fixed-rate Mortgage Loan) less the sum of (i)
the
Servicing Fee Rate, (ii) the trustee fee rate and (iii) the Loss
Mitigation Advisor fee.
|
|
Pass-Through
Rate:
|
The
“Pass-Through
Rate”
for each Class of Certificates will be equal to the lesser of (i)
the
related Formula Rate and (ii) the Net WAC Rate.
|
|
Formula
Rate:
|
The
“Formula
Rate”
on each Class of Certificates will be equal to the lesser of (i)
One Month
LIBOR plus the related margin for such Class and (ii) the Maximum
Cap.
|
|
Net
WAC Rate:
|
The
“Net
WAC Rate”
for any Distribution Date is a per annum rate (subject to adjustment
based
on the actual number of days elapsed in the related Accrual Period)
equal
to the weighted average of the Adjusted Net Mortgage Rates of the
Mortgage
Loans minus an amount, expressed as a per annum rate, equal to
the sum of
(x) the product of (i) any Net Swap Payment owed to the Swap Provider
divided by the outstanding principal balance of the Mortgage Loans
and
(ii) 12 and (y) the product of (i) any Swap Termination Payment
(other
than any Swap Termination Payment resulting from a Swap Provider
Trigger
Event), payable by the Trust, divided by the outstanding principal
balance
of the Mortgage Loans and (ii) 12.
|
|
Maximum
Cap:
|
The
“Maximum
Cap Rate”
for any Distribution Date is a per annum rate (subject to adjustment
based
on the actual number of days elapsed in the related Accrual Period)
equal
to the weighted average of the Adjusted Net Maximum Mortgage Rates
of the
Mortgage Loans minus (A) an amount, expressed as a per annum rate,
equal
to the sum of (x) the product of (i) any Net Swap Payment owed
to the Swap
Provider divided by the outstanding principal balance of the Mortgage
Loans and (ii) 12 and (y) the product of (i) any Swap Termination
Payment
(other than any Swap Termination Payment resulting from a Swap
Provider
Trigger Event), payable by the Trust, divided by the outstanding
principal
balance of the Mortgage Loans and (ii) 12, plus (B) an amount,
expressed as a per annum rate, equal to the product of (i) the
Net Swap
Payment made by the Swap Provider divided by the aggregate Principal
Balance of the Mortgage Loans and (ii) 12.
|
|
Net
WAC Rate Carryover Amount:
|
If,
on any Distribution Date, the related Pass-Through Rate for any
Class of
Certificates is limited by the Net WAC Rate, the “Net
WAC Rate Carryover Amount”
for such Class is equal to the sum of (i) the excess of (a) the
amount of
interest that would have accrued on such Class based on the Formula
Rate
over (b) the amount of interest accrued on such Class based on
the Net WAC
Rate and (ii) the unpaid portion of any Net WAC Rate Carryover
Amount from
the prior Distribution Date together with accrued interest on such
unpaid
portion at the related Formula Rate. Any Net WAC Rate Carryover
Amount
will be paid on such Distribution Date or future Distribution Dates
to the
extent of funds available.
|
|
Interest
Rate Swap Agreement:
|
On
the Closing Date, the Trustee will enter into an Interest Rate
Swap
Agreement with notional amounts as shown in the Swap Schedule herein.
Under the Interest Rate Swap Agreement, on or before each Distribution
Date commencing with the Distribution Date in September 2007 and
ending
immediately following the Distribution Date in November 2011 the
Trust
shall be obligated to pay to the Swap Provider a fixed amount for
that
Distribution Date, equal to the product of (x) a fixed rate equal
to
[5.200]% per annum, (y) the notional amount as set forth in the
Interest
Rate Swap Agreement for that Distribution Date, and (z) a fraction,
the
numerator of which is 30 and the denominator of which is 360, and
the Swap
Provider will be obligated to pay to the Trust a floating amount
for that
Distribution Date, equal to the product of (x) One-Month LIBOR,
as
determined pursuant to the Interest Rate Swap Agreement, for the
related
calculation period (as defined in the Interest Rate Swap Agreement),
(y)
the notional amount as set forth in the Interest Rate Swap Agreement
for
that Distribution Date, and (z) a fraction, the numerator of which
is
equal to the actual number of days in the related calculation period
and
the denominator of which is 360. Only the net amount of the two
obligations will be paid by the appropriate party (the “Net
Swap Payment”)
on each Distribution Date. Generally, the Net Swap Payment will
be
deposited into a swap account (the “Swap
Account”)
by the Swap Administrator pursuant to the Pooling Agreement and
a swap
administration agreement and amounts on deposit in the Swap Account
will
be distributed in accordance with the terms set forth in the Pooling
Agreement. Upon early termination of the Interest Rate Swap Agreement,
the
Trust or the Swap Provider may be liable to make a termination
payment
(the ‘‘Swap
Termination Payment’’)
to the other party (regardless of which party caused the termination).
The
Swap Termination Payment will be computed in accordance with the
procedures set forth in the Interest Rate Swap Agreement and will
generally be paid on the related Distribution Date and on any subsequent
Distribution Date until paid in full. In the event that a Swap
Termination
Payment is paid to the Trust and a new successor swap provider
is not
found, such amount will remain in a reserve fund and only the Net
Swap
Payment that would normally be paid to the trust (assuming no Swap
Termination Payment is made) is distributed through the swap waterfall.
In
the event that the Trust is required to make a Swap Termination
Payment,
such payment generally will be paid prior to distributions to
Certificateholders.
|
|
Interest
Rate Cap Agreement:
|
On
the Closing Date, the Trust will enter into the “Interest
Rate Cap Agreement”
to make payments based upon the priority of cashflows described
within the
Interest Rate Cap Agreement Account herein. On each Distribution
Date, the
counterparty to the Interest Rate Cap Agreement will be obligated
to make
a payment to the trust equal to the product of (a) the excess,
if any, of
(i) One Month LIBOR, subject to a maximum of [9.000]% over (ii)
the strike
price for such Distribution Date specified on the Interest Rate
Cap
Agreement Schedule herein, accrued during the related Interest
Accrual
Period for the Offered Certificates and (b) the lesser of (i) the
notional
balance for such Distribution Date specified on the Interest Rate
Cap
Agreement Schedule herein and (ii) the excess, if any, of the outstanding
balance of the Offered Certificates, for such distribution date,
over the
notional amount as set forth in the Interest Rate Swap Agreement,
for such
distribution date and (c) the actual number of days in the related
Interest Accrual Period divided by 360. The Interest Rate Cap Agreement
will terminate immediately
following
the Distribution Date in November
2011.
|
|
Basis
Risk Cap Agreement:
|
On
the Closing Date, the Trust will enter into the “Basis
Risk Cap Agreement”
to make payments in respect of any Net WAC Rate Carryover Amounts
on the
Certificates, pro
rata,
based on aggregate certificate principal balance of such Certificates.
On
each Distribution Date, the counterparty to the Basis Risk Cap
Agreement
will be obligated to make a payment to the trust equal to the product
of
(a) the excess, if any, of (i) One Month LIBOR, subject to a maximum
of
[10.500]% over (ii) the strike price for such Distribution Date
specified
on the Basis Risk Cap Agreement Schedule herein, accrued during
the
related Interest Accrual Period for the Offered Certificates and
(b) the
lesser of the notional balance for such Distribution Date specified
on the
Basis Risk Cap Agreement Schedule herein and the aggregate of the
certificate principal balance of the Offered Certifciates and (c)
the
actual number of days in the related Interest Accrual Period divided
by
360. The Basis Risk Cap Agreement will terminate immediately following
the
Distribution Date in August 2007.
|
|||
|
Credit
Enhancement:
|
Consists
of the following:
|
|||
|
1)
|
Excess
Cashflow;
|
|||
|
2)
|
Overcollateralization
Amount;
|
|||
|
3)
|
Subordination;
|
|||
|
Excess
Cashflow:
|
The
“Excess
Cashflow”
for any Distribution Date will be equal to the available funds
remaining
after priorities 1) and 2) under “Priority of
Distributions.”
|
|||
|
Overcollateralization
Amount:
|
The
“Overcollateralization
Amount”
is equal to the excess of the aggregate principal balance of the
Mortgage
Loans over the aggregate certificate principal balance of the Class
A,
Class M and Class P Certificates. On the Closing Date, the
Overcollateralization Amount will be equal to approximately 2.00%
of the
aggregate principal balance of the Mortgage Loans as of the Cut-off
Date.
To the extent the Overcollateralization Amount is reduced below
the
Overcollateralization Target Amount, Excess Cashflow will be directed
to
build the Overcollateralization Amount until the Overcollateralization
Target Amount is reached.
|
|||
|
Overcollateralization
Target Amount:
|
Prior
to the Stepdown Date, the “Overcollateralization
Target Amount”
is approximately 2.00% of the aggregate principal balance of the
Mortgage
Loans as of the Cut-off Date.
|
|||
|
On
or after the Stepdown Date, the Overcollateralization Target Amount
is
approximately 4.00% of the aggregate principal balance of the Mortgage
Loans for the related Distribution Date, subject to a floor equal
to 0.50%
of the aggregate principal balance of the Mortgage Loans as of
the Cut-off
Date.
|
||||
|
If
a Trigger Event is in effect on the related Distribution Date,
the
Overcollateralization Target Amount shall be equal to the
Overcollateralization Target Amount for the previous Distribution
Date.
|
||||
|
Stepdown
Date:
|
The
earlier to occur of
|
|||
|
(i)
|
the
Distribution Date on which the certificate principal balance of
the Class
A Certificates has been reduced to zero and
|
|||
|
(ii)
|
the
later to occur of
|
|||
|
(x)
|
the
Distribution Date occurring in December 2009 and
|
|||
|
(y)
|
the
first Distribution Date on which the Credit Enhancement Percentage
is
greater than or equal to 33.00%.
|
|||
|
Credit
Enhancement Percentage:
|
The
“Credit
Enhancement Percentage”
for a Distribution Date is equal to (i) the sum of (a) the aggregate
certificate principal balance of the Class M Certificates and (b)
the
Overcollateralization Amount divided by (ii) the aggregate principal
balance of the Mortgage Loans.
|
|||
|
Delinquency
Trigger Event:
|
A
“Delinquency
Trigger Event”
is
in effect on any Distribution Date on or after the Stepdown Date,
if the
60+ delinquency percentage exceeds [42.35]% of the current Credit
Enhancement Percentage.
|
|
Loss
Trigger Event:
|
A
“Loss
Trigger Event”
is in effect on any Distribution Date on or after the Stepdown
Date, if
the cumulative realized losses on the Mortgage Loans as a percentage
of
the principal balance of the Mortgage Loans as of the Cut-off Date,
for
the related Distribution Date are greater than:
|
|
Distribution
Date
|
Percentage
|
|
December
2008 to November 2009
|
[1.25]%
initially, plus 1/12th
of
[1.55]% for each month thereafter
|
|
December
2009 to November 2010
|
[2.80]%
initially, plus 1/12th
of
[1.60]% for each month thereafter
|
|
December
2010 to November 2011
|
[4.40]%
initially, plus 1/12th
of
[1.30]% for each month thereafter
|
|
December
2011 to November 2012
|
[5.70]%
initially, plus 1/12th
of
[0.75]% for each month thereafter
|
|
December
2012 and thereafter
|
[6.45]%
|
|
Trigger
Event:
|
A
“Trigger
Event”
is in effect with respect to any Distribution Date if either a
Loss
Trigger Event or a Delinquency Trigger Event is in effect on such
Distribution Date.
|
Expected
Credit Support
Percentages:
|
Rating
(M/S)
|
Initial
Credit Support
|
On
or After Stepdown Date Expected Support
|
|
|
Senior
Certificates
|
[AAA/AAA]
|
16.50%
|
33.00%
|
|
Class
M-1
|
[Aa1/AA+]
|
13.45%
|
26.90%
|
|
Class
M-2
|
[Aa2/AA]
|
10.75%
|
21.50%
|
|
Class
M-3
|
[Aa3/AA]
|
9.10%
|
18.20%
|
|
Class
M-4
|
[A1/AA-]
|
7.65%
|
15.30%
|
|
Class
M-5
|
[A2/A+]
|
6.20%
|
12.40%
|
|
Class
M-6
|
[A3/A]
|
4.85%
|
9.70%
|
|
Class
M-7
|
[Baa1/BBB+]
|
3.70%
|
7.40%
|
|
Class
M-8
|
[Baa2/BBB+]
|
3.00%
|
6.00%
|
|
Class
M-9
|
[Baa3/BBB-]
|
2.00%
|
4.00%
|
|
Realized
Losses:
|
If
a Mortgage Loan becomes a liquidated loan, the net liquidation
proceeds
relating thereto may be less than the principal balance on such
Mortgage
Loan. The amount of such insufficiency is a “Realized
Loss.”
Realized Losses on the Mortgage Loans will, in effect, be absorbed
first,
by the Excess Cashflow and second by the reduction of the
Overcollateralization Amount. Following the reduction of any
Overcollateralization Amount to zero, all allocable Realized Losses
will
be applied in reverse sequential order, first to the Class M-9
Certificates, second to the Class M-8 Certificates, third to the
Class M-7
Certificates, fourth to the Class M-6 Certificates, fifth to the
Class M-5
Certificates, sixth to the Class M-4 Certificates, seventh to the
Class
M-3 Certificates, eighth to the Class M-2 Certificates and ninth
to the
Class M-1 Certificates. Realized Losses will not be allocated to
any of
the Class A Certificates.
|
|
Priority
of Distributions:
|
Available
funds from the Mortgage Loans will be distributed first to pay
servicing
fees and trustee fees, second, to the Swap Account, net swap
payments and
swap termination payments (other than any swap termination payment
resulting from a swap provider trigger event) owed to the Swap
Provider
and the remainder will be distributed as follows:
|
|
1)
Interest funds, as follows: first, monthly interest plus any
previously
unpaid interest to the Class A Certificates, generally from the
related
loan group, second, monthly interest to the Class M-1 Certificates,
third,
monthly interest to the Class M-2 Certificates, fourth, monthly
interest
to the Class M-3 Certificates, fifth, monthly interest to the
Class M-4
Certificates, sixth, monthly interest to the Class M-5 Certificates,
seventh, monthly interest to the Class M-6 Certificates, eighth,
monthly
interest to the Class M-7 Certificates, ninth, monthly interest
to the
Class M-8 Certificates, and tenth, monthly interest to the Class
M-9
Certificates.
|
|
|
2)
Principal funds, as described under "Principal
Paydown."
|
|
|
3)
Excess Cashflow as follows: as principal to the Class A and Class
M
Certificates to build the Overcollateralization Amount as described
under
"Principal Paydown" in the order of priority described
below.
|
|
|
4)
Any previously unpaid interest to the Class M-1 Certificates,
then any
unpaid applied Realized Loss amount to the Class M-1 Certificates,
then
any previously unpaid interest to the Class M-2 Certificates,
then any
unpaid applied Realized Loss amount to the Class M-2 Certificates,
then
any previously unpaid interest to the Class M-3 Certificates,
then any
unpaid applied Realized Loss amount to the Class M-3 Certificates,
then
any previously unpaid interest to the Class M-4 Certificates,
then any
unpaid applied Realized Loss amount to the Class M-4 Certificates,
then
any previously unpaid interest to the Class M-5 Certificates,
then any
unpaid applied Realized Loss amount to the Class M-5 Certificates,
then
any previously unpaid interest to the Class M-6 Certificates,
then any
unpaid applied Realized Loss amount to the Class M-6 Certificates,
then
any previously unpaid interest to the Class M-7 Certificates,
then any
unpaid applied Realized Loss amount to the Class M-7 Certificates,
then
any previously unpaid interest to the Class M-8 Certificates,
then any
unpaid applied Realized Loss amount to the Class M-8 Certificates,
then
any previously unpaid interest to the Class M-9 Certificates,
and then any
unpaid applied Realized Loss amount to the Class M-9
Certificates.
|
|
|
5)
Any remaining Excess Cashflow to the Net WAC Rate Carryover Reserve
Account to be paid to the Class A Certificates, pro-rata and
then to the
Class M Certificates sequentially, to the extent of any unpaid
Net WAC
Rate Carryover Amount payable to the Certificates, before taking
into
account payments received by the trust from the Interest Rate
Swap
Agreement.
|
|
|
6)
Any remaining Excess Cashflow to the holders of the non-offered
classes of
certificates as described in the pooling agreement (including
any Swap
Termination Payment owed to the Swap Provider due to a Swap Provider
trigger event pursuant to the Interest Rate Swap
Agreement).
|
|
Principal
Paydown:
|
Principal
will be distributed to the Class I-A1 Certificates from principal
received
on the Group I Mortgage Loans and the Class II-A1, Class II-A2,
Class
II-A3 and Class II-A4 Certificates, sequentially, from principal
received
from the Group II Mortgage Loans, in each case, until the certificate
principal balance thereof has been reduced to zero. In certain
limited
circumstances described in the prospectus supplement, principal
will be
distributed to the Senior Certificates from the unrelated loan
group, to
the extent not received from the related loan group.
|
|
Prior
to the Stepdown Date or if a Trigger Event is in effect, 100% of
principal
will be paid to the Class A Certificates generally pro
rata,
based on principal collected in the related loan group, and within
Loan
Group II, sequentially, to the Class II-A1, Class II-A2, Class
II-A3 and
Class II-A4 Certificates, in that order, provided, however if the
Class A
Certificates have been retired, principal will be applied sequentially
in
the following order of priority: 1) Class M-1 Certificates, 2)
Class M-2
Certificates, 3) Class M-3 Certificates, 4) Class M-4 Certificates,
5)
Class M-5 Certificates, 6) Class M-6 Certificates, 7) Class M-7
Certificates, 8) Class M-8 Certificates, and 9) Class M-9
Certificates.
|
|
|
On
or after the Stepdown Date and if a Trigger Event is not in effect,
the
Certificates will be entitled to receive payments of principal
in the
following order of priority: first to the Class A Certificates,
generally
pro rata based on the principal collected in the related loan group,
such
that the Class A Certificates will have at least 33.00% credit
enhancement, second
to the Class M-1, Class M-2 and Class M-3 Certificates, sequentially,
such
that the Class M-1, Class M-2 and Class M-3 Certificates in the
aggregate
will have at least 18.20% credit enhancement,
third, to the Class M-4 Certificates such that the Class M-4 Certificates
will have at least 15.30% credit enhancement, fourth, to the Class
M-5
Certificates such that the Class M-5 Certificates will have at
least
12.40% credit enhancement, fifth, to the Class M-6 Certificates
such that
the Class M-6 Certificates will have at least 9.70% credit enhancement,
sixth, to the Class M-7 Certificates such that the Class M-7 Certificates
will have at least 7.40% credit enhancement, seventh, to the Class
M-8
Certificates such that the Class M-8 Certificates will have at
least 6.00%
credit enhancement, eighth, to the Class M-9 Certificates such
that the
Class M-9 Certificates will have at least 4.00% credit enhancement
(subject, in the case of the most subordinate certificate
outstanding).
|
|
Swap
Account:
|
On
each Distribution Date, funds deposited into the Swap Account for
payment
to the Swap Provider will be distributed in the following order
of
priority:
|
|
(i) to
pay any Net Swap Payment owed to the Swap Provider pursuant to
the
Interest Rate Swap Agreement; and
|
|
|
(ii) to
pay any Swap Termination Payment (not caused by a Swap Provider
trigger
event) owed to the Swap Provider pursuant to the Interest Rate
Swap
Agreement
|
|
|
On
each Distribution Date, any Net Swap Payments on deposit in the
Swap
Account received from the Swap Provider will be distributed in
the
following order of priority:
|
|
|
(i) to
the Class A Certificates, any unpaid interest, pro rata, including
any
accrued unpaid interest from a prior Distribution Date;
|
|
|
(ii) to
the Class M Certificates, sequentially, any unpaid interest, including
any
accrued unpaid interest from prior Distribution Dates;
|
|
|
(iii) to
the Class A Certificates and to the Class M Certificates, any principal
in
accordance with the principal payment provisions described under
“Principal Paydown” in an amount necessary to maintain the applicable
Overcollateralization Target Amount;
|
|
|
(iv) to
the Class M Certificates, sequentially, any remaining Allocated
Realized
Loss Amounts; and
|
|
|
(v) an
amount equal to any unpaid remaining Net WAC Rate Carryover Amounts
with
respect to the Class A and the Class M Certificates after taking
into
account payments received from the Net WAC Carryover Reserve Account
to
such Certificates first, pro
rata,
to the Class A Certificates based on such remaining Net WAC Carryover
Amount and second, sequentially, to the Class ▇-▇, ▇▇▇▇▇ ▇-▇, Class
M-3,
Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, and Class
M-9
Certificates.
|
|
|
Interest
Rate Cap Agreement Account:
|
Funds
deposited into the Interest Rate Cap Agreement Account on a Distribution
Date will include:
|
|
(i) the
payments received by the Interest Rate Cap Provider for such Distribution
Date.
|
|
|
On
each Distribution Date, following the distribution of Excess Cashflow
and
funds deposited into the Swap Account, payments made pursuant to
the
Interest Rate Cap Agreement shall be distributed from the Interest
Rate
Cap Agreement Account as follows:
|
|
|
(i) to
the Class A Certificates, any unpaid interest, pro rata, including
any
accrued unpaid interest from a prior Distribution Date;
|
|
|
(ii) to
the Class M Certificates, sequentially, any unpaid interest, including
any
accrued unpaid interest from prior Distribution Dates;
|
|
|
(iii) to
the Class A Certificates and the Class M Certificates, any principal
in
accordance with the principal payment provisions described above
under
“Principal Paydown” in an amount necessary to maintain the applicable
Overcollateralization Target Amount;
|
|
|
(iv) to
the Class M Certificates, sequentially, any remaining Allocated
Realized
Loss Amounts;
|
|
|
(v) an
amount equal to any unpaid remaining Net WAC Rate Carryover Amounts
with
respect to the Class A and the Class M Certificates to such Certificates
first, pro
rata,
to the Class A Certificates based on the remaining Net WAC Carryover
Amount and second, sequentially, to the Class ▇-▇, ▇▇▇▇▇ ▇-▇, Class
M-3,
Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, and Class
M-9
Certificates.
|
|
Total
Mortgage Loans
|
|
As
of the Statistical Cut-off Date
|
|
Minimum
|
Maximum
|
||
|
Scheduled
Principal Balance
|
$1,203,955,585
|
$24,973
|
$1,987,500
|
|
Average
Scheduled Principal Balance
|
$199,034
|
||
|
Number
of Mortgage Loans
|
6,049
|
||
|
Weighted
Average Gross Coupon
|
8.076%
|
5.250%
|
12.400%
|
|
Weighted
Average FICO Score
|
649
|
540
|
820
|
|
Weighted
Average Original LTV
|
83.39%
|
12.51%
|
103.00%
|
|
Weighted
Average Debt-to-Income
|
43.13%
|
3.00%
|
55.00%
|
|
Weighted
Average Original Term
|
359
months
|
180
months
|
360
months
|
|
Weighted
Average Stated Remaining Term
|
358
months
|
176
months
|
360
months
|
|
Weighted
Average Seasoning
|
1
months
|
0
months
|
10
months
|
|
Weighted
Average Gross Margin
|
5.498%
|
2.750%
|
6.400%
|
|
Weighted
Average Minimum Interest Rate
|
7.910%
|
5.250%
|
12.200%
|
|
Weighted
Average Maximum Interest Rate
|
13.910%
|
11.250%
|
18.200%
|
|
Weighted
Average Initial Rate Cap
|
2.996%
|
1.000%
|
3.000%
|
|
Weighted
Average Subsequent Rate Cap
|
1.000%
|
1.000%
|
1.000%
|
|
Weighted
Average Months to Roll
|
27
months
|
5
months
|
59
months
|
|
Maturity
Date
|
Jul
1 2021
|
Nov
1 2036
|
|
|
Maximum
Zip Code Concentration
|
0.28%
|
20774
|
|
|
ARM
|
77.00%
|
||
|
Fixed
Rate
|
23.00%
|
||
|
1/29
6 MO LIBOR
|
0.11%
|
||
|
2/28
6 MO LIBOR
|
13.28%
|
||
|
2/28
6 MO LIBOR 40/30 Balloon
|
6.03%
|
||
|
2/28
6 MO LIBOR 50/30 Balloon
|
20.07%
|
||
|
2/28
6 MO LIBOR IO
|
14.46%
|
||
|
3/27
6 MO LIBOR
|
6.15%
|
||
|
3/27
6 MO LIBOR 40/30 Balloon
|
3.05%
|
||
|
3/27
6 MO LIBOR 50/30 Balloon
|
5.89%
|
||
|
3/27
6 MO LIBOR IO
|
6.01%
|
||
|
5/25
6 MO LIBOR
|
0.43%
|
||
|
5/25
6 MO LIBOR 40/30 Balloon
|
0.13%
|
||
|
5/25
6 MO LIBOR 50/30 Balloon
|
0.45%
|
||
|
5/25
6 MO LIBOR IO
|
0.84%
|
||
|
6
MO LIBOR ARM IO
|
0.08%
|
||
|
Fixed
Rate
|
12.87%
|
||
|
Fixed
Rate 30/15 Balloon
|
0.03%
|
||
|
Fixed
Rate 30/15 Balloon IO
|
0.12%
|
||
|
Fixed
Rate 40/30 Balloon
|
1.42%
|
||
|
Fixed
Rate 50/30 Balloon
|
5.77%
|
||
|
Fixed
Rate IO
|
2.80%
|
||
|
I/O
Term: 0 months
|
75.81%
|
|
I/O
Term: 60 months
|
23.35%
|
|
I/O
Term: 120 months
|
0.84%
|
|
Prepay
Penalty: 0 months
|
31.62%
|
|
Prepay
Penalty: 12 months
|
4.97%
|
|
Prepay
Penalty: 24 months
|
36.39%
|
|
Prepay
Penalty: 36 months
|
27.03%
|
|
First
Lien
|
100.00%
|
|
Blended
Documentation
|
0.23%
|
|
Full
Documentation
|
65.14%
|
|
Limited
Income Verification
|
0.60%
|
|
No
Income Verification
|
26.34%
|
|
Rapid
Documentation
|
6.46%
|
|
Stated
Plus Documentation
|
1.22%
|
|
Cash
Out Refinance
|
27.05%
|
|
Purchase
|
70.03%
|
|
Rate/Term
Refinance
|
2.92%
|
|
2
Units
|
4.10%
|
|
3
Units
|
0.61%
|
|
4
Units
|
0.23%
|
|
Condo
High-Rise
|
0.64%
|
|
Condominium
|
5.45%
|
|
PUD
|
19.56%
|
|
Single
Family
|
69.42%
|
|
Non-owner
|
2.35%
|
|
Primary
|
97.07%
|
|
Second
Home
|
0.59%
|
|
Top
5 States:
|
|
|
California
|
23.06%
|
|
Florida
|
10.04%
|
|
Illinois
|
5.83%
|
|
5.43%
|
|
|
Texas
|
4.85%
|
|
Current
Principal Balance
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
0.01
- 50,000.00
|
242
|
9,985,589.57
|
0.83%
|
9.224
|
349
|
86.32
|
626
|
|
50,000.01
- 100,000.00
|
1,374
|
105,868,553.88
|
8.79%
|
8.665
|
356
|
85.97
|
631
|
|
100,000.01
- 150,000.00
|
1,456
|
181,091,956.22
|
15.04%
|
8.223
|
358
|
84.28
|
635
|
|
150,000.01
- 200,000.00
|
944
|
164,703,186.35
|
13.68%
|
8.154
|
358
|
83.70
|
638
|
|
200,000.01
- 250,000.00
|
612
|
136,862,398.89
|
11.37%
|
8.031
|
358
|
83.46
|
644
|
|
250,000.01
- 300,000.00
|
410
|
112,455,781.21
|
9.34%
|
7.983
|
358
|
83.03
|
650
|
|
300,000.01
- 350,000.00
|
252
|
81,497,721.66
|
6.77%
|
7.924
|
357
|
83.35
|
653
|
|
350,000.01
- 400,000.00
|
187
|
70,093,505.66
|
5.82%
|
7.956
|
359
|
83.31
|
653
|
|
400,000.01
- 450,000.00
|
143
|
60,620,172.95
|
5.04%
|
7.960
|
356
|
83.78
|
656
|
|
450,000.01
- 500,000.00
|
100
|
47,587,814.93
|
3.95%
|
7.800
|
357
|
82.49
|
659
|
|
500,000.01
- 550,000.00
|
90
|
47,212,104.82
|
3.92%
|
7.911
|
359
|
83.70
|
663
|
|
550,000.01
- 600,000.00
|
56
|
32,190,346.03
|
2.67%
|
7.715
|
359
|
81.54
|
668
|
|
600,000.01
- 650,000.00
|
37
|
23,278,913.16
|
1.93%
|
7.934
|
359
|
83.38
|
669
|
|
650,000.01
- 700,000.00
|
27
|
18,317,350.23
|
1.52%
|
8.049
|
359
|
81.00
|
645
|
|
700,000.01
- 750,000.00
|
22
|
15,930,464.67
|
1.32%
|
8.303
|
359
|
85.60
|
694
|
|
750,000.01
- 800,000.00
|
13
|
10,205,587.66
|
0.85%
|
8.028
|
359
|
79.41
|
672
|
|
800,000.01
- 850,000.00
|
11
|
9,213,651.01
|
0.77%
|
7.462
|
359
|
80.01
|
662
|
|
850,000.01
- 900,000.00
|
15
|
13,142,485.63
|
1.09%
|
7.896
|
359
|
79.01
|
645
|
|
900,000.01
- 950,000.00
|
11
|
10,126,538.79
|
0.84%
|
7.566
|
359
|
80.00
|
696
|
|
950,000.01
- 1,000,000.00
|
14
|
13,685,151.75
|
1.14%
|
7.663
|
358
|
78.84
|
664
|
|
1,000,000.01+
|
33
|
39,886,310.03
|
3.31%
|
7.652
|
358
|
78.98
|
700
|
|
Total
|
6,049
|
1,203,955,585.10
|
100.00%
|
8.076
|
358
|
83.39
|
649
|
|
|
|
|
|
|
|
|
|
|
Current
Gross Rate
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
5.000
- 5.499
|
1
|
193,278.05
|
0.02%
|
5.250
|
359
|
64.50
|
775
|
|
5.500
- 5.999
|
18
|
5,332,451.99
|
0.44%
|
5.894
|
359
|
69.56
|
727
|
|
6.000
- 6.499
|
77
|
20,841,480.84
|
1.73%
|
6.274
|
359
|
76.14
|
703
|
|
6.500
- 6.999
|
464
|
125,211,446.38
|
10.40%
|
6.807
|
358
|
78.59
|
677
|
|
7.000
- 7.499
|
817
|
190,875,108.54
|
15.85%
|
7.254
|
359
|
79.64
|
663
|
|
7.500
- 7.999
|
1,399
|
309,897,221.51
|
25.74%
|
7.735
|
357
|
80.50
|
653
|
|
8.000
- 8.499
|
962
|
183,672,635.89
|
15.26%
|
8.229
|
357
|
82.46
|
645
|
|
8.500
- 8.999
|
947
|
165,591,144.81
|
13.75%
|
8.714
|
357
|
86.02
|
636
|
|
9.000
- 9.499
|
536
|
82,687,174.46
|
6.87%
|
9.223
|
356
|
91.57
|
620
|
|
9.500
- 9.999
|
453
|
69,153,999.14
|
5.74%
|
9.711
|
358
|
94.44
|
624
|
|
10.000
-10.499
|
165
|
22,514,300.08
|
1.87%
|
10.221
|
358
|
97.11
|
616
|
|
10.500
-10.999
|
121
|
18,320,024.19
|
1.52%
|
10.715
|
352
|
98.05
|
600
|
|
11.000
-11.499
|
43
|
5,370,005.72
|
0.45%
|
11.178
|
357
|
100.00
|
599
|
|
11.500
-11.999
|
39
|
3,560,860.79
|
0.30%
|
11.670
|
359
|
99.93
|
590
|
|
12.000
-12.499
|
7
|
734,452.71
|
0.06%
|
12.189
|
359
|
100.00
|
586
|
|
Total
|
6,049
|
1,203,955,585.10
|
100.00%
|
8.076
|
358
|
83.39
|
649
|
|
|
|
|
|
|
|
|
|
|
FICO
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
525-549
|
101
|
16,794,575.99
|
1.39%
|
8.938
|
352
|
76.49
|
545
|
|
550-574
|
343
|
51,872,045.03
|
4.31%
|
8.860
|
351
|
79.53
|
564
|
|
575-599
|
518
|
74,877,775.80
|
6.22%
|
9.331
|
354
|
87.14
|
588
|
|
600-624
|
1,443
|
244,430,887.56
|
20.30%
|
8.282
|
358
|
84.19
|
612
|
|
625-649
|
1,326
|
265,527,534.23
|
22.05%
|
8.106
|
358
|
84.15
|
638
|
|
650-674
|
1,149
|
241,197,913.66
|
20.03%
|
7.793
|
358
|
83.43
|
661
|
|
675-699
|
549
|
139,584,167.62
|
11.59%
|
7.724
|
358
|
82.78
|
685
|
|
700+
|
620
|
169,670,685.21
|
14.09%
|
7.545
|
358
|
81.71
|
734
|
|
Total
|
6,049
|
1,203,955,585.10
|
100.00%
|
8.076
|
358
|
83.39
|
649
|
|
|
|
|
|
|
|
|
|
|
Original
LTV
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
0.01-
49.99
|
53
|
6,387,939.92
|
0.53%
|
7.538
|
350
|
41.21
|
636
|
|
50.00-
54.99
|
34
|
4,399,003.88
|
0.37%
|
7.797
|
338
|
52.57
|
627
|
|
55.00-
59.99
|
33
|
5,418,903.78
|
0.45%
|
8.308
|
337
|
57.71
|
599
|
|
60.00-
64.99
|
58
|
12,969,594.69
|
1.08%
|
7.377
|
353
|
62.69
|
627
|
|
65.00-
69.99
|
92
|
19,607,574.27
|
1.63%
|
7.596
|
358
|
67.39
|
639
|
|
70.00-
74.99
|
92
|
17,828,707.48
|
1.48%
|
8.004
|
350
|
72.54
|
619
|
|
75.00-
79.99
|
512
|
99,028,344.00
|
8.23%
|
7.657
|
357
|
78.61
|
647
|
|
80.00
|
2,941
|
667,089,655.03
|
55.41%
|
7.651
|
358
|
80.00
|
659
|
|
80.01-
84.99
|
113
|
21,677,319.71
|
1.80%
|
8.315
|
356
|
83.62
|
612
|
|
85.00-
89.99
|
290
|
53,660,434.04
|
4.46%
|
8.493
|
358
|
86.62
|
615
|
|
90.00-
94.99
|
521
|
89,497,134.99
|
7.43%
|
8.722
|
358
|
90.83
|
631
|
|
95.00-
99.99
|
291
|
52,593,892.07
|
4.37%
|
8.809
|
357
|
95.71
|
645
|
|
100.00
|
1,006
|
151,168,976.25
|
12.56%
|
9.552
|
358
|
100.00
|
644
|
|
100.01+
|
13
|
2,628,104.99
|
0.22%
|
8.519
|
358
|
102.89
|
666
|
|
Total
|
6,049
|
1,203,955,585.10
|
100.00%
|
8.076
|
358
|
83.39
|
649
|
|
|
|
|
|
|
|
|
|
|
Original
Term (months)
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
180
|
69
|
8,368,764.50
|
0.70%
|
8.488
|
179
|
78.42
|
605
|
|
240
|
2
|
238,918.16
|
0.02%
|
8.497
|
239
|
84.82
|
652
|
|
360
|
5,978
|
1,195,347,902.44
|
99.29%
|
8.073
|
359
|
83.42
|
649
|
|
Total
|
6,049
|
1,203,955,585.10
|
100.00%
|
8.076
|
358
|
83.39
|
649
|
|
|
|
|
|
|
|
|
|
|
Stated
Remaining Term (months)
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
121-180
|
69
|
8,368,764.50
|
0.70%
|
8.488
|
179
|
78.42
|
605
|
|
181-240
|
2
|
238,918.16
|
0.02%
|
8.497
|
239
|
84.82
|
652
|
|
301-360
|
5,978
|
1,195,347,902.44
|
99.29%
|
8.073
|
359
|
83.42
|
649
|
|
Total
|
6,049
|
1,203,955,585.10
|
100.00%
|
8.076
|
358
|
83.39
|
649
|
|
|
|
|
|
|
|
|
|
|
Debt
Ratio
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
0.01
-20.00
|
177
|
33,302,724.94
|
2.77%
|
7.861
|
357
|
80.11
|
647
|
|
20.01
-25.00
|
185
|
30,902,009.60
|
2.57%
|
8.004
|
355
|
79.89
|
647
|
|
25.01
-30.00
|
378
|
53,156,272.25
|
4.42%
|
8.161
|
356
|
82.68
|
647
|
|
30.01
-35.00
|
522
|
95,533,907.26
|
7.94%
|
8.067
|
358
|
82.88
|
648
|
|
35.01
-40.00
|
832
|
156,598,918.06
|
13.01%
|
8.074
|
358
|
83.16
|
650
|
|
40.01
-45.00
|
1,232
|
255,250,613.55
|
21.20%
|
8.082
|
358
|
83.61
|
655
|
|
45.01
-50.00
|
1,628
|
368,019,431.42
|
30.57%
|
8.166
|
357
|
83.99
|
652
|
|
50.01
-55.00
|
1,095
|
211,191,708.02
|
17.54%
|
7.941
|
358
|
83.69
|
637
|
|
Total
|
6,049
|
1,203,955,585.10
|
100.00%
|
8.076
|
358
|
83.39
|
649
|
|
|
|
|
|
|
|
|
|
|
FRM/ARM
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
ARM
|
4,097
|
927,027,303.10
|
77.00%
|
7.910
|
359
|
82.69
|
655
|
|
Fixed
Rate
|
1,952
|
276,928,282.00
|
23.00%
|
8.631
|
353
|
85.74
|
628
|
|
Total
|
6,049
|
1,203,955,585.10
|
100.00%
|
8.076
|
358
|
83.39
|
649
|
|
|
|
|
|
|
|
|
|
|
Product
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
1/29
6 MO LIBOR
|
7
|
1,375,003.91
|
0.11%
|
8.483
|
359
|
84.66
|
644
|
|
2/28
6 MO LIBOR
|
1,056
|
159,871,295.67
|
13.28%
|
8.209
|
359
|
84.45
|
645
|
|
2/28
6 MO LIBOR 40/30 Balloon
|
335
|
72,622,902.87
|
6.03%
|
8.125
|
359
|
83.61
|
639
|
|
2/28
6 MO LIBOR 50/30 Balloon
|
920
|
241,617,349.78
|
20.07%
|
7.853
|
359
|
81.95
|
645
|
|
2/28
6 MO LIBOR IO
|
513
|
174,093,601.71
|
14.46%
|
7.689
|
359
|
81.22
|
681
|
|
3/27
6 MO LIBOR
|
456
|
74,096,816.18
|
6.15%
|
8.135
|
359
|
84.60
|
647
|
|
3/27
6 MO LIBOR 40/30 Balloon
|
177
|
36,718,115.78
|
3.05%
|
8.083
|
359
|
83.47
|
642
|
|
3/27
6 MO LIBOR 50/30 Balloon
|
281
|
70,857,080.39
|
5.89%
|
7.886
|
359
|
84.03
|
645
|
|
3/27
6 MO LIBOR IO
|
259
|
72,403,755.10
|
6.01%
|
7.572
|
359
|
81.03
|
687
|
|
5/25
6 MO LIBOR
|
30
|
5,215,364.86
|
0.43%
|
7.682
|
359
|
81.89
|
662
|
|
5/25
6 MO LIBOR 40/30 Balloon
|
8
|
1,610,088.48
|
0.13%
|
7.046
|
359
|
76.52
|
652
|
|
5/25
6 MO LIBOR 50/30 Balloon
|
21
|
5,452,376.37
|
0.45%
|
7.547
|
359
|
79.41
|
677
|
|
5/25
6 MO LIBOR IO
|
30
|
10,087,702.00
|
0.84%
|
7.590
|
359
|
79.83
|
681
|
|
6
MO LIBOR ARM IO
|
4
|
1,005,850.00
|
0.08%
|
7.266
|
359
|
80.63
|
663
|
|
Fixed
Rate
|
1,307
|
154,940,269.35
|
12.87%
|
8.541
|
354
|
86.26
|
637
|
|
Fixed
Rate 30/15 Balloon
|
5
|
323,641.45
|
0.03%
|
8.988
|
179
|
86.91
|
618
|
|
Fixed
Rate 30/15 Balloon IO
|
5
|
1,397,399.98
|
0.12%
|
9.561
|
179
|
89.86
|
586
|
|
Fixed
Rate 40/30 Balloon
|
96
|
17,093,672.22
|
1.42%
|
8.626
|
359
|
87.17
|
636
|
|
Fixed
Rate 50/30 Balloon
|
370
|
69,500,441.17
|
5.77%
|
8.820
|
359
|
85.72
|
622
|
|
Fixed
Rate IO
|
169
|
33,672,857.83
|
2.80%
|
8.612
|
344
|
82.47
|
594
|
|
Total
|
6,049
|
1,203,955,585.10
|
100.00%
|
8.076
|
358
|
83.39
|
649
|
|
|
|
|
|
|
|
|
|
|
Interest
Only By Term (months)
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
I/O
Term: 0 months
|
5,074
|
912,691,818.46
|
75.81%
|
8.176
|
358
|
84.07
|
641
|
|
I/O
Term: 60 months
|
945
|
281,176,064.64
|
23.35%
|
7.768
|
357
|
81.32
|
672
|
|
I/O
Term: 120 months
|
30
|
10,087,702.00
|
0.84%
|
7.590
|
359
|
79.83
|
681
|
|
Total
|
6,049
|
1,203,955,585.10
|
100.00%
|
8.076
|
358
|
83.39
|
649
|
|
|
|
|
|
|
|
|
|
|
Prepayment
Penalty Original Term (months)
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
Prepay
Penalty: 0 months
|
1,783
|
380,656,752.83
|
31.62%
|
8.301
|
357
|
84.25
|
650
|
|
Prepay
Penalty: 12 months
|
230
|
59,793,302.26
|
4.97%
|
8.300
|
358
|
83.64
|
661
|
|
Prepay
Penalty: 24 months
|
1,984
|
438,082,564.87
|
36.39%
|
7.809
|
359
|
81.98
|
652
|
|
Prepay
Penalty: 36 months
|
2,052
|
325,422,965.14
|
27.03%
|
8.131
|
356
|
84.24
|
641
|
|
Total
|
6,049
|
1,203,955,585.10
|
100.00%
|
8.076
|
358
|
83.39
|
649
|
|
|
|
|
|
|
|
|
|
|
Lien
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
First
Lien
|
6,049
|
1,203,955,585.10
|
100.00%
|
8.076
|
358
|
83.39
|
649
|
|
Total
|
6,049
|
1,203,955,585.10
|
100.00%
|
8.076
|
358
|
83.39
|
649
|
|
|
|
|
|
|
|
|
|
|
Documentation
Type
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
Blended
Documentation
|
11
|
2,767,424.29
|
0.23%
|
8.601
|
359
|
94.95
|
660
|
|
Full
Documentation
|
4,327
|
784,264,262.44
|
65.14%
|
7.978
|
357
|
83.16
|
639
|
|
Limited
Income Verification
|
34
|
7,221,866.62
|
0.60%
|
7.721
|
359
|
81.72
|
663
|
|
No
Income Verification
|
1,318
|
317,145,452.00
|
26.34%
|
8.076
|
359
|
81.77
|
677
|
|
Rapid
Documentation
|
317
|
77,816,848.00
|
6.46%
|
8.813
|
358
|
89.27
|
635
|
|
Stated
Plus Documentation
|
42
|
14,739,731.75
|
1.22%
|
9.449
|
359
|
97.96
|
646
|
|
Total
|
6,049
|
1,203,955,585.10
|
100.00%
|
8.076
|
358
|
83.39
|
649
|
|
|
|
|
|
|
|
|
|
|
Loan
Purpose
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
Cash
Out Refinance
|
1,564
|
325,672,783.45
|
27.05%
|
8.300
|
356
|
82.79
|
630
|
|
Purchase
|
4,281
|
843,165,581.48
|
70.03%
|
7.991
|
358
|
83.69
|
657
|
|
Rate/Term
Refinance
|
204
|
35,117,220.17
|
2.92%
|
8.038
|
357
|
81.75
|
636
|
|
Total
|
6,049
|
1,203,955,585.10
|
100.00%
|
8.076
|
358
|
83.39
|
649
|
|
|
|
|
|
|
|
|
|
|
Property
Type
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
2
Units
|
208
|
49,306,766.62
|
4.10%
|
8.013
|
357
|
83.26
|
659
|
|
3
Units
|
18
|
7,315,818.54
|
0.61%
|
7.490
|
358
|
80.68
|
693
|
|
4
Units
|
11
|
2,750,033.52
|
0.23%
|
7.402
|
359
|
75.77
|
684
|
|
Condo
High-Rise
|
25
|
7,674,047.42
|
0.64%
|
8.079
|
356
|
81.74
|
661
|
|
Condominium
|
356
|
65,622,658.81
|
5.45%
|
8.037
|
358
|
82.63
|
657
|
|
PUD
|
947
|
235,507,973.74
|
19.56%
|
7.865
|
358
|
82.00
|
653
|
|
Single
Family
|
4,484
|
835,778,286.45
|
69.42%
|
8.150
|
357
|
83.91
|
646
|
|
Total
|
6,049
|
1,203,955,585.10
|
100.00%
|
8.076
|
358
|
83.39
|
649
|
|
|
|
|
|
|
|
|
|
|
Occupancy
Status
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
Non-owner
|
231
|
28,268,732.70
|
2.35%
|
8.108
|
355
|
82.26
|
685
|
|
Primary
|
5,789
|
1,168,639,393.16
|
97.07%
|
8.073
|
358
|
83.41
|
648
|
|
Second
Home
|
29
|
7,047,459.24
|
0.59%
|
8.373
|
359
|
84.48
|
662
|
|
Total
|
6,049
|
1,203,955,585.10
|
100.00%
|
8.076
|
358
|
83.39
|
649
|
|
|
|
|
|
|
|
|
|
|
State
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
Alabama
|
64
|
7,616,569.76
|
0.63%
|
8.990
|
358
|
90.72
|
630
|
|
Arizona
|
112
|
27,226,480.25
|
2.26%
|
7.810
|
356
|
80.97
|
649
|
|
Arkansas
|
25
|
2,427,719.10
|
0.20%
|
8.410
|
359
|
89.22
|
648
|
|
California
|
671
|
277,661,952.44
|
23.06%
|
7.610
|
358
|
80.47
|
666
|
|
Colorado
|
94
|
18,069,526.22
|
1.50%
|
7.816
|
359
|
83.01
|
643
|
|
Connecticut
|
36
|
6,652,565.53
|
0.55%
|
7.909
|
359
|
82.62
|
643
|
|
Delaware
|
2
|
284,486.06
|
0.02%
|
8.862
|
359
|
83.06
|
595
|
|
District
of Columbia
|
3
|
734,754.37
|
0.06%
|
7.974
|
358
|
80.00
|
654
|
|
Florida
|
529
|
120,842,727.46
|
10.04%
|
8.023
|
358
|
81.85
|
656
|
|
Georgia
|
270
|
46,241,325.76
|
3.84%
|
8.241
|
358
|
84.31
|
639
|
|
Idaho
|
20
|
3,127,873.04
|
0.26%
|
8.139
|
359
|
87.36
|
648
|
|
Illinois
|
312
|
70,182,843.78
|
5.83%
|
8.697
|
358
|
85.81
|
644
|
|
Indiana
|
230
|
21,689,285.52
|
1.80%
|
8.915
|
357
|
90.44
|
628
|
|
Iowa
|
38
|
3,289,866.11
|
0.27%
|
9.365
|
359
|
92.24
|
619
|
|
Kansas
|
28
|
2,859,787.37
|
0.24%
|
8.711
|
359
|
84.69
|
637
|
|
Kentucky
|
78
|
7,715,363.42
|
0.64%
|
8.945
|
357
|
89.99
|
619
|
|
Louisiana
|
22
|
2,594,440.07
|
0.22%
|
8.275
|
359
|
86.95
|
644
|
|
Maine
|
17
|
1,984,678.69
|
0.16%
|
8.376
|
354
|
86.92
|
634
|
|
Maryland
|
135
|
36,643,725.53
|
3.04%
|
8.057
|
359
|
83.30
|
640
|
|
Massachusetts
|
115
|
31,019,826.50
|
2.58%
|
8.063
|
355
|
81.91
|
639
|
|
Michigan
|
304
|
41,658,833.65
|
3.46%
|
8.521
|
358
|
87.54
|
634
|
|
Minnesota
|
104
|
19,780,828.38
|
1.64%
|
7.916
|
359
|
82.68
|
650
|
|
Mississippi
|
20
|
2,050,837.15
|
0.17%
|
8.762
|
359
|
89.46
|
645
|
|
Missouri
|
105
|
14,963,527.79
|
1.24%
|
8.728
|
359
|
86.03
|
619
|
|
Montana
|
7
|
902,476.02
|
0.07%
|
7.983
|
359
|
81.77
|
640
|
|
Nebraska
|
12
|
1,340,519.88
|
0.11%
|
9.077
|
359
|
88.78
|
640
|
|
Nevada
|
82
|
22,716,771.46
|
1.89%
|
7.859
|
359
|
79.67
|
649
|
|
New
Hampshire
|
9
|
1,890,654.66
|
0.16%
|
8.488
|
359
|
86.82
|
604
|
|
New
Jersey
|
105
|
27,750,509.49
|
2.30%
|
8.249
|
356
|
85.86
|
655
|
|
New
Mexico
|
22
|
3,534,074.88
|
0.29%
|
8.515
|
359
|
84.19
|
625
|
|
289
|
65,319,297.81
|
5.43%
|
8.055
|
358
|
83.87
|
662
|
|
|
North
Carolina
|
177
|
26,675,385.33
|
2.22%
|
8.288
|
358
|
86.27
|
646
|
|
North
Dakota
|
9
|
838,222.86
|
0.07%
|
8.120
|
359
|
83.96
|
▇▇▇
|
|
▇▇▇▇
|
▇▇▇
|
38,227,527.60
|
3.18%
|
8.710
|
356
|
88.83
|
627
|
|
Oklahoma
|
27
|
2,530,077.57
|
0.21%
|
8.665
|
357
|
86.02
|
631
|
|
Oregon
|
117
|
24,651,030.60
|
2.05%
|
7.742
|
357
|
80.87
|
653
|
|
Pennsylvania
|
142
|
16,928,256.76
|
1.41%
|
8.588
|
358
|
88.87
|
636
|
|
Rhode
Island
|
28
|
6,567,668.21
|
0.55%
|
8.125
|
359
|
82.83
|
638
|
|
South
Carolina
|
69
|
9,496,442.41
|
0.79%
|
8.467
|
349
|
87.10
|
625
|
|
South
Dakota
|
6
|
661,272.34
|
0.05%
|
9.223
|
350
|
91.84
|
632
|
|
Tennessee
|
244
|
25,624,923.08
|
2.13%
|
8.293
|
354
|
83.72
|
633
|
|
Texas
|
476
|
58,389,936.30
|
4.85%
|
8.029
|
355
|
83.36
|
645
|
|
Utah
|
188
|
36,175,387.98
|
3.00%
|
7.836
|
359
|
81.77
|
643
|
|
Vermont
|
2
|
446,355.18
|
0.04%
|
9.250
|
359
|
95.19
|
613
|
|
Virginia
|
64
|
14,378,068.49
|
1.19%
|
8.000
|
359
|
82.46
|
638
|
|
Washington
|
127
|
28,507,768.58
|
2.37%
|
7.705
|
358
|
81.47
|
648
|
|
West
Virginia
|
14
|
1,540,899.62
|
0.13%
|
8.312
|
359
|
87.08
|
641
|
|
Wisconsin
|
151
|
20,458,277.92
|
1.70%
|
8.579
|
358
|
87.59
|
641
|
|
Wyoming
|
8
|
1,083,956.12
|
0.09%
|
7.852
|
350
|
83.08
|
648
|
|
Total
|
6,049
|
1,203,955,585.10
|
100.00%
|
8.076
|
358
|
83.39
|
649
|
|
|
|
|
|
|
|
|
|
|
Gross
Margin
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
2.500
- 2.999
|
77
|
30,545,949.08
|
3.30%
|
7.464
|
359
|
81.10
|
697
|
|
4.500
- 4.999
|
1
|
375,000.00
|
0.04%
|
6.800
|
359
|
67.08
|
638
|
|
5.000
- 5.499
|
2,894
|
674,534,563.24
|
72.76%
|
7.649
|
359
|
79.09
|
657
|
|
5.500
- 5.999
|
472
|
95,924,220.56
|
10.35%
|
8.494
|
359
|
88.22
|
630
|
|
6.000
- 6.499
|
653
|
125,647,570.22
|
13.55%
|
8.980
|
359
|
98.23
|
657
|
|
Total
|
4,097
|
927,027,303.10
|
100.00%
|
7.910
|
359
|
82.69
|
655
|
|
|
|
|
|
|
|
|
|
|
Minimum
Interest Rate
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
5.000
- 5.499
|
1
|
193,278.05
|
0.02%
|
5.250
|
359
|
64.50
|
775
|
|
5.500
- 5.999
|
11
|
3,179,861.32
|
0.34%
|
5.858
|
359
|
71.46
|
733
|
|
6.000
- 6.499
|
62
|
16,214,000.99
|
1.75%
|
6.288
|
359
|
76.52
|
697
|
|
6.500
- 6.999
|
390
|
108,931,437.86
|
11.75%
|
6.804
|
359
|
78.76
|
677
|
|
7.000
- 7.499
|
681
|
167,848,782.76
|
18.11%
|
7.254
|
359
|
79.87
|
662
|
|
7.500
- 7.999
|
1,116
|
263,196,900.16
|
28.39%
|
7.731
|
359
|
80.66
|
655
|
|
8.000
- 8.▇▇▇
|
▇▇▇
|
▇▇▇,279,698.44
|
15.78%
|
8.229
|
359
|
82.75
|
652
|
|
8.500
- 8.999
|
593
|
119,455,247.92
|
12.89%
|
8.706
|
359
|
86.45
|
642
|
|
9.000
- 9.499
|
271
|
47,424,238.89
|
5.12%
|
9.224
|
359
|
92.82
|
633
|
|
9.500
- 9.999
|
211
|
39,509,403.27
|
4.26%
|
9.697
|
359
|
94.05
|
633
|
|
10.000
-10.499
|
58
|
10,332,740.35
|
1.11%
|
10.206
|
359
|
95.54
|
623
|
|
10.500
-10.999
|
13
|
3,851,037.80
|
0.42%
|
10.683
|
359
|
93.72
|
610
|
|
11.000
-11.499
|
4
|
406,023.58
|
0.04%
|
11.248
|
358
|
100.00
|
627
|
|
11.500
-11.999
|
2
|
89,814.91
|
0.01%
|
11.603
|
357
|
100.00
|
594
|
|
12.000
-12.499
|
1
|
114,836.80
|
0.01%
|
12.200
|
358
|
100.00
|
588
|
|
Total
|
4,097
|
927,027,303.10
|
100.00%
|
7.910
|
359
|
82.69
|
655
|
|
|
|
|
|
|
|
|
|
|
Maximum
Interest Rate
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
11.000
-11.499
|
1
|
193,278.05
|
0.02%
|
5.250
|
359
|
64.50
|
775
|
|
11.500
-11.999
|
11
|
3,179,861.32
|
0.34%
|
5.858
|
359
|
71.46
|
733
|
|
12.000
-12.499
|
62
|
16,214,000.99
|
1.75%
|
6.288
|
359
|
76.52
|
697
|
|
12.500
-12.999
|
390
|
108,931,437.86
|
11.75%
|
6.804
|
359
|
78.76
|
677
|
|
13.000
-13.499
|
681
|
167,848,782.76
|
18.11%
|
7.254
|
359
|
79.87
|
662
|
|
13.500
-13.999
|
1,116
|
263,196,900.16
|
28.39%
|
7.731
|
359
|
80.66
|
655
|
|
14.000
-14.▇▇▇
|
▇▇▇
|
▇▇▇,279,698.44
|
15.78%
|
8.229
|
359
|
82.75
|
652
|
|
14.500
-14.999
|
593
|
119,455,247.92
|
12.89%
|
8.706
|
359
|
86.45
|
642
|
|
15.000
-15.499
|
271
|
47,424,238.89
|
5.12%
|
9.224
|
359
|
92.82
|
633
|
|
15.500
-15.999
|
211
|
39,509,403.27
|
4.26%
|
9.697
|
359
|
94.05
|
633
|
|
16.000
-16.499
|
58
|
10,332,740.35
|
1.11%
|
10.206
|
359
|
95.54
|
623
|
|
16.500
-16.999
|
13
|
3,851,037.80
|
0.42%
|
10.683
|
359
|
93.72
|
610
|
|
17.000
-17.499
|
4
|
406,023.58
|
0.04%
|
11.248
|
358
|
100.00
|
627
|
|
17.500
-17.999
|
2
|
89,814.91
|
0.01%
|
11.603
|
357
|
100.00
|
594
|
|
18.000
-18.499
|
1
|
114,836.80
|
0.01%
|
12.200
|
358
|
100.00
|
588
|
|
Total
|
4,097
|
927,027,303.10
|
100.00%
|
7.910
|
359
|
82.69
|
655
|
|
|
|
|
|
|
|
|
|
|
Initial
Periodic Rate Cap
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
1.000
|
4
|
1,005,850.00
|
0.11%
|
7.266
|
359
|
80.63
|
663
|
|
2.000
|
7
|
1,375,003.91
|
0.15%
|
8.483
|
359
|
84.66
|
644
|
|
3.000
|
4,086
|
924,646,449.19
|
99.74%
|
7.910
|
359
|
82.69
|
655
|
|
Total
|
4,097
|
927,027,303.10
|
100.00%
|
7.910
|
359
|
82.69
|
655
|
|
|
|
|
|
|
|
|
|
|
Subsequent
Periodic Rate Cap
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
1.000
|
4,097
|
927,027,303.10
|
100.00%
|
7.910
|
359
|
82.69
|
655
|
|
Total
|
4,097
|
927,027,303.10
|
100.00%
|
7.910
|
359
|
82.69
|
655
|
|
|
|
|
|
|
|
|
|
|
Next
Rate Change Date
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
04/01/07
|
4
|
1,005,850.00
|
0.11%
|
7.266
|
359
|
80.63
|
663
|
|
10/01/07
|
7
|
1,375,003.91
|
0.15%
|
8.483
|
359
|
84.66
|
644
|
|
03/01/08
|
1
|
996,664.17
|
0.11%
|
6.750
|
352
|
79.37
|
643
|
|
04/01/08
|
1
|
74,682.11
|
0.01%
|
8.625
|
353
|
51.02
|
600
|
|
05/01/08
|
1
|
117,329.24
|
0.01%
|
8.250
|
354
|
95.00
|
687
|
|
06/01/08
|
4
|
927,715.40
|
0.10%
|
9.379
|
355
|
90.45
|
667
|
|
07/01/08
|
17
|
4,520,380.57
|
0.49%
|
8.377
|
356
|
82.06
|
624
|
|
08/01/08
|
41
|
10,933,614.77
|
1.18%
|
8.470
|
357
|
83.93
|
655
|
|
09/01/08
|
189
|
50,930,281.77
|
5.49%
|
8.144
|
358
|
83.85
|
656
|
|
10/01/08
|
2,568
|
579,497,432.00
|
62.51%
|
7.894
|
359
|
82.42
|
654
|
|
11/01/08
|
2
|
207,050.00
|
0.02%
|
7.177
|
360
|
77.80
|
664
|
|
01/01/09
|
1
|
49,170.69
|
0.01%
|
8.500
|
350
|
90.00
|
644
|
|
04/01/09
|
1
|
115,641.30
|
0.01%
|
10.125
|
353
|
100.00
|
602
|
|
05/01/09
|
1
|
1,430,000.00
|
0.15%
|
6.750
|
354
|
65.00
|
734
|
|
07/01/09
|
3
|
530,352.56
|
0.06%
|
8.381
|
356
|
86.00
|
636
|
|
08/01/09
|
18
|
8,321,432.29
|
0.90%
|
7.741
|
357
|
82.03
|
689
|
|
09/01/09
|
91
|
23,300,428.74
|
2.51%
|
7.958
|
358
|
82.28
|
650
|
|
10/01/09
|
1,053
|
219,616,541.87
|
23.69%
|
7.900
|
359
|
83.51
|
656
|
|
11/01/09
|
5
|
712,200.00
|
0.08%
|
8.452
|
360
|
84.54
|
625
|
|
08/01/11
|
3
|
545,037.77
|
0.06%
|
7.327
|
357
|
89.40
|
741
|
|
09/01/11
|
3
|
1,208,764.80
|
0.13%
|
7.409
|
358
|
80.00
|
660
|
|
10/01/11
|
83
|
20,611,729.14
|
2.22%
|
7.577
|
359
|
79.72
|
672
|
|
Total
|
4,097
|
927,027,303.10
|
100.00%
|
7.910
|
359
|
82.69
|
655
|
|
Group
I Mortgage Loans
|
||||||
|
As
of the Statistical Cut-off Date
|
||||||
|
Minimum
|
Maximum
|
||
|
Scheduled
Principal Balance
|
$390,236,281
|
$24,973
|
$599,498
|
|
Average
Scheduled Principal Balance
|
$138,284
|
||
|
Number
of Mortgage Loans
|
2,822
|
||
|
Weighted
Average Gross Coupon
|
8.215%
|
5.250%
|
12.400%
|
|
Weighted
Average FICO Score
|
▇▇▇
|
▇▇▇
|
▇▇▇
|
|
Weighted
Average Original LTV
|
83.53%
|
16.17%
|
100.00%
|
|
Weighted
Average Debt-to-Income
|
43.91%
|
20.00%
|
55.00%
|
|
Weighted
Average Original Term
|
359
months
|
180
months
|
360
months
|
|
Weighted
Average Stated Remaining Term
|
358
months
|
176
months
|
360
months
|
|
Weighted
Average Seasoning
|
1
months
|
0
months
|
10
months
|
|
Weighted
Average Gross Margin
|
5.646%
|
2.750%
|
6.400%
|
|
Weighted
Average Minimum Interest Rate
|
8.136%
|
5.250%
|
12.200%
|
|
Weighted
Average Maximum Interest Rate
|
14.136%
|
11.250%
|
18.200%
|
|
Weighted
Average Initial Rate Cap
|
2.995%
|
1.000%
|
3.000%
|
|
Weighted
Average Subsequent Rate Cap
|
1.000%
|
1.000%
|
1.000%
|
|
Weighted
Average Months to Roll
|
27
months
|
5
months
|
59
months
|
|
Maturity
Date
|
Jul
1 2021
|
Nov
1 2036
|
|
|
Maximum
Zip Code Concentration
|
0.41%
|
84084
|
|
|
ARM
|
76.08%
|
||
|
Fixed
Rate
|
23.92%
|
||
|
1/29
6 MO LIBOR
|
0.25%
|
||
|
2/28
6 MO LIBOR
|
21.86%
|
||
|
2/28
6 MO LIBOR 40/30 Balloon
|
8.56%
|
||
|
2/28
6 MO LIBOR 50/30 Balloon
|
18.01%
|
||
|
2/28
6 MO LIBOR IO
|
4.06%
|
||
|
3/27
6 MO LIBOR
|
9.54%
|
||
|
3/27
6 MO LIBOR 40/30 Balloon
|
4.26%
|
||
|
3/27
6 MO LIBOR 50/30 Balloon
|
6.37%
|
||
|
3/27
6 MO LIBOR IO
|
2.07%
|
||
|
5/25
6 MO LIBOR
|
0.35%
|
||
|
5/25
6 MO LIBOR 40/30 Balloon
|
0.23%
|
||
|
5/25
6 MO LIBOR 50/30 Balloon
|
0.37%
|
||
|
5/25
6 MO LIBOR IO
|
0.09%
|
||
|
6
MO LIBOR ARM IO
|
0.05%
|
||
|
Fixed
Rate
|
15.66%
|
||
|
Fixed
Rate 30/15 Balloon
|
0.01%
|
||
|
Fixed
Rate 30/15 Balloon IO
|
0.09%
|
||
|
Fixed
Rate 40/30 Balloon
|
1.49%
|
||
|
Fixed
Rate 50/30 Balloon
|
6.68%
|
||
|
I/O
Term: 0 months
|
93.72%
|
|
I/O
Term: 60 months
|
6.18%
|
|
I/O
Term: 120 months
|
0.09%
|
|
Prepay
Penalty: 0 months
|
33.06%
|
|
Prepay
Penalty: 12 months
|
2.95%
|
|
Prepay
Penalty: 24 months
|
34.07%
|
|
Prepay
Penalty: 36 months
|
29.92%
|
|
First
Lien
|
100.00%
|
|
Blended
Documentation
|
0.09%
|
|
Full
Documentation
|
72.97%
|
|
Limited
Income Verification
|
0.50%
|
|
No
Income Verification
|
14.82%
|
|
Rapid
Documentation
|
11.15%
|
|
Stated
Plus Documentation
|
0.48%
|
|
Cash
Out Refinance
|
47.57%
|
|
Purchase
|
46.67%
|
|
Rate/Term
Refinance
|
5.76%
|
|
2
Units
|
4.28%
|
|
3
Units
|
0.57%
|
|
4
Units
|
0.22%
|
|
Condo
High-Rise
|
0.15%
|
|
Condominium
|
6.44%
|
|
PUD
|
10.19%
|
|
Single
Family
|
78.15%
|
|
Non-owner
|
3.66%
|
|
Primary
|
95.27%
|
|
Second
Home
|
1.08%
|
|
Top
5 States:
|
|
|
California
|
8.00%
|
|
Florida
|
7.73%
|
|
Illinois
|
7.27%
|
|
Michigan
|
6.36%
|
|
Ohio
|
5.26%
|
|
Current
Principal Balance
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
0.01
- 50,000.00
|
151
|
6,277,359.30
|
1.61%
|
9.030
|
348
|
83.86
|
626
|
|
50,000.01
- 100,000.00
|
902
|
69,738,066.08
|
17.87%
|
8.484
|
355
|
83.70
|
633
|
|
100,000.01
- 150,000.00
|
834
|
102,878,724.48
|
26.36%
|
8.160
|
358
|
83.48
|
634
|
|
150,000.01
- 200,000.00
|
454
|
78,856,857.76
|
20.21%
|
8.114
|
358
|
82.90
|
637
|
|
200,000.01
- 250,000.00
|
232
|
51,816,807.84
|
13.28%
|
8.076
|
359
|
83.06
|
637
|
|
250,000.01
- 300,000.00
|
108
|
29,552,532.15
|
7.57%
|
8.123
|
359
|
83.99
|
636
|
|
300,000.01
- 350,000.00
|
67
|
21,623,264.28
|
5.54%
|
8.114
|
359
|
83.52
|
643
|
|
350,000.01
- 400,000.00
|
45
|
16,827,042.73
|
4.31%
|
8.512
|
359
|
86.53
|
623
|
|
400,000.01
- 450,000.00
|
22
|
9,032,161.30
|
2.31%
|
8.113
|
359
|
85.10
|
646
|
|
450,000.01
- 500,000.00
|
3
|
1,459,385.23
|
0.37%
|
7.479
|
359
|
87.50
|
640
|
|
500,000.01
- 550,000.00
|
3
|
1,574,581.81
|
0.40%
|
8.075
|
359
|
76.25
|
623
|
|
550,000.01
- 600,000.00
|
1
|
599,498.40
|
0.15%
|
6.900
|
359
|
69.44
|
685
|
|
Total
|
2,822
|
390,236,281.36
|
100.00%
|
8.215
|
358
|
83.53
|
635
|
|
|
|
|
|
|
|
|
|
|
Current
Gross Rate
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
5.000
- 5.499
|
1
|
193,278.05
|
0.05%
|
5.250
|
359
|
64.50
|
775
|
|
5.500
- 5.999
|
10
|
2,082,557.34
|
0.53%
|
5.823
|
359
|
68.35
|
740
|
|
6.000
- 6.499
|
31
|
5,128,666.94
|
1.31%
|
6.293
|
359
|
76.08
|
689
|
|
6.500
- 6.999
|
182
|
31,103,207.42
|
7.97%
|
6.803
|
357
|
76.73
|
662
|
|
7.000
- 7.499
|
329
|
50,245,707.25
|
12.88%
|
7.253
|
358
|
78.55
|
652
|
|
7.500
- 7.999
|
613
|
88,199,590.79
|
22.60%
|
7.754
|
357
|
80.34
|
642
|
|
8.000
- 8.499
|
513
|
68,437,606.55
|
17.54%
|
8.240
|
357
|
83.47
|
628
|
|
8.500
- 8.999
|
495
|
64,950,074.58
|
16.64%
|
8.717
|
357
|
85.13
|
624
|
|
9.000
- 9.499
|
290
|
35,703,238.19
|
9.15%
|
9.226
|
357
|
90.74
|
617
|
|
9.500
- 9.999
|
217
|
28,463,224.16
|
7.29%
|
9.700
|
359
|
92.50
|
617
|
|
10.000
-10.499
|
84
|
9,828,425.74
|
2.52%
|
10.210
|
358
|
95.71
|
611
|
|
10.500
-10.999
|
36
|
3,961,228.79
|
1.02%
|
10.710
|
357
|
96.35
|
597
|
|
11.000
-11.499
|
12
|
1,247,524.26
|
0.32%
|
11.178
|
359
|
100.00
|
600
|
|
11.500
-11.999
|
7
|
487,216.45
|
0.12%
|
11.747
|
359
|
100.00
|
590
|
|
12.000
-12.499
|
2
|
204,734.85
|
0.05%
|
12.288
|
358
|
100.00
|
592
|
|
Total
|
2,822
|
390,236,281.36
|
100.00%
|
8.215
|
358
|
83.53
|
635
|
|
|
|
|
|
|
|
|
|
|
FICO
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
525-549
|
51
|
6,528,595.35
|
1.67%
|
8.884
|
359
|
74.73
|
545
|
|
550-574
|
207
|
26,962,443.33
|
6.91%
|
8.888
|
356
|
77.82
|
563
|
|
575-599
|
253
|
32,880,998.92
|
8.43%
|
8.857
|
356
|
82.51
|
587
|
|
600-624
|
754
|
102,538,997.61
|
26.28%
|
8.323
|
358
|
83.54
|
611
|
|
625-649
|
655
|
92,249,277.97
|
23.64%
|
8.195
|
358
|
84.82
|
638
|
|
650-674
|
472
|
67,743,639.71
|
17.36%
|
7.899
|
358
|
84.91
|
661
|
|
675-699
|
198
|
29,789,927.42
|
7.63%
|
7.850
|
359
|
84.75
|
684
|
|
700+
|
232
|
31,542,401.05
|
8.08%
|
7.564
|
357
|
83.36
|
735
|
|
Total
|
2,822
|
390,236,281.36
|
100.00%
|
8.215
|
358
|
83.53
|
635
|
|
|
|
|
|
|
|
|
|
|
Original
LTV
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
0.01-
49.99
|
40
|
4,328,164.58
|
1.11%
|
7.742
|
353
|
39.86
|
625
|
|
50.00-
54.99
|
30
|
3,952,537.61
|
1.01%
|
7.762
|
337
|
52.59
|
628
|
|
55.00-
59.99
|
28
|
3,922,759.42
|
1.01%
|
8.280
|
350
|
57.61
|
593
|
|
60.00-
64.99
|
40
|
5,416,842.11
|
1.39%
|
7.506
|
351
|
62.65
|
624
|
|
65.00-
69.99
|
72
|
11,195,492.65
|
2.87%
|
7.704
|
359
|
67.65
|
625
|
|
70.00-
74.99
|
66
|
9,177,966.01
|
2.35%
|
8.000
|
350
|
72.57
|
607
|
|
75.00-
79.99
|
239
|
32,744,564.01
|
8.39%
|
7.824
|
357
|
78.30
|
630
|
|
80.00
|
1,221
|
163,992,547.72
|
42.02%
|
7.764
|
358
|
80.00
|
641
|
|
80.01-
84.99
|
57
|
9,900,660.30
|
2.54%
|
8.214
|
359
|
83.74
|
614
|
|
85.00-
89.99
|
153
|
25,243,034.35
|
6.47%
|
8.474
|
359
|
86.70
|
612
|
|
90.00-
94.99
|
289
|
43,564,938.18
|
11.16%
|
8.632
|
358
|
90.82
|
631
|
|
95.00-
99.99
|
152
|
23,980,178.20
|
6.15%
|
8.797
|
356
|
95.37
|
643
|
|
100.00
|
435
|
52,816,596.22
|
13.53%
|
9.414
|
358
|
100.00
|
647
|
|
Total
|
2,822
|
390,236,281.36
|
100.00%
|
8.215
|
358
|
83.53
|
635
|
|
|
|
|
|
|
|
|
|
|
Original
Term (months)
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
180
|
37
|
2,797,556.54
|
0.72%
|
8.247
|
179
|
71.64
|
634
|
|
240
|
1
|
115,817.30
|
0.03%
|
8.600
|
239
|
80.00
|
636
|
|
360
|
2,784
|
387,322,907.52
|
99.25%
|
8.215
|
359
|
83.61
|
635
|
|
Total
|
2,822
|
390,236,281.36
|
100.00%
|
8.215
|
358
|
83.53
|
635
|
|
|
|
|
|
|
|
|
|
|
Stated
Remaining Term (months)
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
121-180
|
37
|
2,797,556.54
|
0.72%
|
8.247
|
179
|
71.64
|
634
|
|
181-240
|
1
|
115,817.30
|
0.03%
|
8.600
|
239
|
80.00
|
636
|
|
301-360
|
2,784
|
387,322,907.52
|
99.25%
|
8.215
|
359
|
83.61
|
635
|
|
Total
|
2,822
|
390,236,281.36
|
100.00%
|
8.215
|
358
|
83.53
|
635
|
|
|
|
|
|
|
|
|
|
|
Debt
Ratio
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
0.01
-20.00
|
10
|
913,961.14
|
0.23%
|
8.680
|
339
|
78.31
|
622
|
|
20.01
-25.00
|
98
|
10,987,190.99
|
2.82%
|
8.143
|
356
|
79.50
|
641
|
|
25.01
-30.00
|
216
|
22,347,854.88
|
5.73%
|
8.223
|
352
|
80.98
|
634
|
|
30.01
-35.00
|
256
|
31,364,888.50
|
8.04%
|
8.248
|
358
|
82.48
|
635
|
|
35.01
-40.00
|
388
|
50,359,649.93
|
12.90%
|
8.211
|
358
|
83.44
|
638
|
|
40.01
-45.00
|
590
|
84,300,491.96
|
21.60%
|
8.184
|
358
|
83.69
|
642
|
|
45.01
-50.00
|
688
|
100,372,075.31
|
25.72%
|
8.316
|
358
|
84.14
|
634
|
|
50.01
-55.00
|
576
|
89,590,168.65
|
22.96%
|
8.125
|
358
|
84.29
|
629
|
|
Total
|
2,822
|
390,236,281.36
|
100.00%
|
8.215
|
358
|
83.53
|
635
|
|
|
|
|
|
|
|
|
|
|
FRM/ARM
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
ARM
|
1,996
|
296,884,883.36
|
76.08%
|
8.136
|
359
|
83.83
|
639
|
|
Fixed
Rate
|
826
|
93,351,398.00
|
23.92%
|
8.468
|
353
|
82.55
|
624
|
|
Total
|
2,822
|
390,236,281.36
|
100.00%
|
8.215
|
358
|
83.53
|
635
|
|
|
|
|
|
|
|
|
|
|
Product
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
1/29
6 MO LIBOR
|
5
|
968,088.48
|
0.25%
|
8.759
|
359
|
86.62
|
635
|
|
2/28
6 MO LIBOR
|
702
|
85,324,273.31
|
21.86%
|
8.343
|
359
|
84.85
|
635
|
|
2/28
6 MO LIBOR 40/30 Balloon
|
199
|
33,409,640.37
|
8.56%
|
8.295
|
359
|
84.53
|
631
|
|
2/28
6 MO LIBOR 50/30 Balloon
|
403
|
70,299,787.10
|
18.01%
|
8.008
|
359
|
82.47
|
633
|
|
2/28
6 MO LIBOR IO
|
83
|
15,825,374.77
|
4.06%
|
7.613
|
359
|
80.43
|
677
|
|
3/27
6 MO LIBOR
|
289
|
37,237,436.76
|
9.54%
|
8.239
|
359
|
84.70
|
638
|
|
3/27
6 MO LIBOR 40/30 Balloon
|
106
|
16,610,148.86
|
4.26%
|
8.275
|
359
|
85.33
|
640
|
|
3/27
6 MO LIBOR 50/30 Balloon
|
133
|
24,861,608.60
|
6.37%
|
7.971
|
359
|
85.21
|
634
|
|
3/27
6 MO LIBOR IO
|
48
|
8,094,162.50
|
2.07%
|
7.419
|
359
|
82.26
|
688
|
|
5/25
6 MO LIBOR
|
9
|
1,373,294.29
|
0.35%
|
7.588
|
359
|
74.78
|
674
|
|
5/25
6 MO LIBOR 40/30 Balloon
|
5
|
880,456.47
|
0.23%
|
6.941
|
359
|
74.96
|
657
|
|
5/25
6 MO LIBOR 50/30 Balloon
|
10
|
1,429,391.85
|
0.37%
|
7.608
|
359
|
69.36
|
639
|
|
5/25
6 MO LIBOR IO
|
3
|
357,020.00
|
0.09%
|
8.387
|
359
|
79.99
|
672
|
|
6
MO LIBOR ARM IO
|
1
|
214,200.00
|
0.05%
|
7.500
|
359
|
85.00
|
683
|
|
Fixed
Rate
|
609
|
61,101,740.52
|
15.66%
|
8.397
|
352
|
83.23
|
633
|
|
Fixed
Rate 30/15 Balloon
|
1
|
31,805.12
|
0.01%
|
8.350
|
179
|
95.00
|
769
|
|
Fixed
Rate 30/15 Balloon IO
|
2
|
337,149.98
|
0.09%
|
9.162
|
177
|
83.82
|
571
|
|
Fixed
Rate 40/30 Balloon
|
48
|
5,823,085.67
|
1.49%
|
8.589
|
359
|
80.85
|
610
|
|
Fixed
Rate 50/30 Balloon
|
166
|
26,057,616.71
|
6.68%
|
8.598
|
359
|
81.33
|
607
|
|
Total
|
2,822
|
390,236,281.36
|
100.00%
|
8.215
|
358
|
83.53
|
635
|
|
|
|
|
|
|
|
|
|
|
Interest
Only By Term (months)
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
I/O
Term: 0 months
|
2,687
|
365,745,524.09
|
93.72%
|
8.259
|
357
|
83.69
|
632
|
|
I/O
Term: 60 months
|
132
|
24,133,737.27
|
6.18%
|
7.547
|
359
|
81.08
|
681
|
|
I/O
Term: 120 months
|
3
|
357,020.00
|
0.09%
|
8.387
|
359
|
79.99
|
672
|
|
Total
|
2,822
|
390,236,281.36
|
100.00%
|
8.215
|
358
|
83.53
|
635
|
|
|
|
|
|
|
|
|
|
|
Prepayment
Penalty Original Term (months)
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
Prepay
Penalty: 0 months
|
870
|
128,999,916.70
|
33.06%
|
8.424
|
356
|
84.62
|
634
|
|
Prepay
Penalty: 12 months
|
76
|
11,519,609.62
|
2.95%
|
8.515
|
357
|
83.69
|
639
|
|
Prepay
Penalty: 24 months
|
936
|
132,964,773.56
|
34.07%
|
8.080
|
359
|
82.80
|
636
|
|
Prepay
Penalty: 36 months
|
940
|
116,751,981.48
|
29.92%
|
8.109
|
357
|
83.13
|
635
|
|
Total
|
2,822
|
390,236,281.36
|
100.00%
|
8.215
|
358
|
83.53
|
635
|
|
|
|
|
|
|
|
|
|
|
Lien
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
First
Lien
|
2,822
|
390,236,281.36
|
100.00%
|
8.215
|
358
|
83.53
|
635
|
|
Total
|
2,822
|
390,236,281.36
|
100.00%
|
8.215
|
358
|
83.53
|
635
|
|
|
|
|
|
|
|
|
|
|
Documentation
Type
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
Blended
Documentation
|
2
|
346,976.14
|
0.09%
|
9.626
|
359
|
100.00
|
624
|
|
Full
Documentation
|
2,161
|
284,748,286.62
|
72.97%
|
8.089
|
357
|
83.01
|
630
|
|
Limited
Income Verification
|
15
|
1,941,099.34
|
0.50%
|
8.315
|
359
|
83.10
|
638
|
|
No
Income Verification
|
419
|
57,834,484.48
|
14.82%
|
8.338
|
358
|
81.23
|
660
|
|
Rapid
Documentation
|
214
|
43,500,959.68
|
11.15%
|
8.819
|
358
|
89.29
|
637
|
|
Stated
Plus Documentation
|
11
|
1,864,475.10
|
0.48%
|
9.286
|
359
|
96.70
|
640
|
|
Total
|
2,822
|
390,236,281.36
|
100.00%
|
8.215
|
358
|
83.53
|
635
|
|
|
|
|
|
|
|
|
|
|
Loan
Purpose
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
Cash
Out Refinance
|
1,067
|
185,639,164.46
|
47.57%
|
8.310
|
357
|
82.40
|
626
|
|
Purchase
|
1,604
|
182,128,601.92
|
46.67%
|
8.134
|
358
|
84.94
|
644
|
|
Rate/Term
Refinance
|
151
|
22,468,514.98
|
5.76%
|
8.090
|
357
|
81.34
|
636
|
|
Total
|
2,822
|
390,236,281.36
|
100.00%
|
8.215
|
358
|
83.53
|
635
|
|
|
|
|
|
|
|
|
|
|
Property
Type
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
2
Units
|
101
|
16,693,727.96
|
4.28%
|
8.209
|
359
|
83.80
|
636
|
|
3
Units
|
9
|
2,206,642.83
|
0.57%
|
8.031
|
358
|
79.77
|
652
|
|
4
Units
|
3
|
872,880.81
|
0.22%
|
7.039
|
359
|
69.40
|
708
|
|
Condo
High-Rise
|
4
|
577,552.39
|
0.15%
|
8.161
|
359
|
80.00
|
639
|
|
Condominium
|
180
|
25,146,790.71
|
6.44%
|
8.223
|
359
|
83.33
|
647
|
|
PUD
|
254
|
39,782,633.32
|
10.19%
|
7.966
|
357
|
82.52
|
642
|
|
Single
Family
|
2,271
|
304,956,053.34
|
78.15%
|
8.252
|
358
|
83.73
|
633
|
|
Total
|
2,822
|
390,236,281.36
|
100.00%
|
8.215
|
358
|
83.53
|
635
|
|
|
|
|
|
|
|
|
|
|
Occupancy
Status
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
Non-owner
|
147
|
14,267,820.13
|
3.66%
|
8.045
|
354
|
81.94
|
679
|
|
Primary
|
2,654
|
371,762,231.35
|
95.27%
|
8.220
|
358
|
83.58
|
633
|
|
Second
Home
|
21
|
4,206,229.88
|
1.08%
|
8.400
|
359
|
84.24
|
658
|
|
Total
|
2,822
|
390,236,281.36
|
100.00%
|
8.215
|
358
|
83.53
|
635
|
|
|
|
|
|
|
|
|
|
|
State
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
Alabama
|
30
|
2,963,065.40
|
0.76%
|
9.279
|
359
|
90.93
|
616
|
|
Arizona
|
44
|
7,453,118.63
|
1.91%
|
7.842
|
359
|
83.11
|
648
|
|
Arkansas
|
12
|
997,171.37
|
0.26%
|
8.149
|
359
|
87.10
|
636
|
|
California
|
114
|
31,210,362.47
|
8.00%
|
7.523
|
359
|
75.96
|
646
|
|
Colorado
|
52
|
8,121,362.00
|
2.08%
|
7.769
|
359
|
84.30
|
634
|
|
Connecticut
|
25
|
4,394,114.81
|
1.13%
|
8.093
|
359
|
82.44
|
637
|
|
Delaware
|
1
|
110,270.61
|
0.03%
|
8.250
|
359
|
79.99
|
673
|
|
District
of Columbia
|
1
|
102,790.29
|
0.03%
|
8.750
|
359
|
80.00
|
602
|
|
Florida
|
193
|
30,165,296.51
|
7.73%
|
8.089
|
358
|
79.63
|
636
|
|
Georgia
|
121
|
16,450,570.89
|
4.22%
|
8.348
|
357
|
85.17
|
640
|
|
Idaho
|
12
|
1,690,746.49
|
0.43%
|
8.233
|
359
|
87.07
|
638
|
|
Illinois
|
171
|
28,374,018.79
|
7.27%
|
8.794
|
358
|
86.38
|
624
|
|
Indiana
|
132
|
11,565,257.61
|
2.96%
|
8.765
|
357
|
88.67
|
632
|
|
Iowa
|
21
|
1,850,795.07
|
0.47%
|
9.221
|
359
|
90.65
|
624
|
|
Kansas
|
17
|
1,564,657.91
|
0.40%
|
8.328
|
359
|
82.16
|
634
|
|
Kentucky
|
45
|
4,044,819.35
|
1.04%
|
8.738
|
356
|
88.33
|
617
|
|
Louisiana
|
14
|
1,452,735.75
|
0.37%
|
8.423
|
359
|
88.66
|
642
|
|
Maine
|
10
|
1,157,123.98
|
0.30%
|
8.568
|
351
|
86.24
|
628
|
|
Maryland
|
62
|
12,881,911.14
|
3.30%
|
8.104
|
359
|
83.39
|
628
|
|
Massachusetts
|
60
|
12,826,945.82
|
3.29%
|
8.152
|
356
|
82.97
|
635
|
|
Michigan
|
201
|
24,812,518.67
|
6.36%
|
8.456
|
358
|
87.36
|
631
|
|
Minnesota
|
64
|
10,067,739.77
|
2.58%
|
7.950
|
359
|
83.02
|
648
|
|
Mississippi
|
10
|
910,989.82
|
0.23%
|
8.268
|
359
|
85.05
|
665
|
|
Missouri
|
52
|
5,981,964.32
|
1.53%
|
8.568
|
359
|
87.34
|
624
|
|
Montana
|
5
|
620,497.21
|
0.16%
|
7.942
|
359
|
82.58
|
624
|
|
Nebraska
|
6
|
774,485.28
|
0.20%
|
8.651
|
359
|
88.58
|
638
|
|
Nevada
|
27
|
5,203,975.93
|
1.33%
|
7.763
|
359
|
76.21
|
629
|
|
New
Hampshire
|
6
|
1,143,180.82
|
0.29%
|
8.921
|
359
|
88.82
|
600
|
|
New
Jersey
|
55
|
10,315,609.09
|
2.64%
|
8.349
|
359
|
83.57
|
638
|
|
New
Mexico
|
13
|
1,833,269.48
|
0.47%
|
8.794
|
358
|
86.76
|
612
|
|
114
|
15,675,620.05
|
4.02%
|
8.216
|
357
|
83.82
|
636
|
|
|
North
Carolina
|
96
|
12,358,038.42
|
3.17%
|
8.245
|
359
|
86.25
|
639
|
|
North
Dakota
|
5
|
402,278.94
|
0.10%
|
8.136
|
359
|
83.61
|
▇▇▇
|
|
▇▇▇▇
|
▇▇▇
|
20,525,132.92
|
5.26%
|
8.570
|
358
|
87.73
|
627
|
|
Oklahoma
|
12
|
1,047,734.58
|
0.27%
|
8.315
|
354
|
82.14
|
624
|
|
Oregon
|
61
|
10,245,599.50
|
2.63%
|
7.705
|
359
|
80.91
|
639
|
|
Pennsylvania
|
74
|
7,184,350.84
|
1.84%
|
8.515
|
359
|
86.71
|
635
|
|
Rhode
Island
|
12
|
2,348,786.03
|
0.60%
|
8.046
|
358
|
81.70
|
633
|
|
South
Carolina
|
31
|
3,363,165.68
|
0.86%
|
8.456
|
343
|
87.22
|
633
|
|
South
Dakota
|
5
|
453,477.01
|
0.12%
|
9.531
|
346
|
97.27
|
647
|
|
Tennessee
|
128
|
11,117,553.18
|
2.85%
|
8.311
|
354
|
81.87
|
631
|
|
Texas
|
199
|
19,238,951.08
|
4.93%
|
8.010
|
349
|
80.69
|
641
|
|
Utah
|
109
|
16,264,223.94
|
4.17%
|
7.850
|
359
|
81.13
|
636
|
|
Vermont
|
1
|
268,180.75
|
0.07%
|
9.450
|
359
|
90.00
|
593
|
|
Virginia
|
26
|
4,727,815.13
|
1.21%
|
7.946
|
359
|
81.36
|
638
|
|
Washington
|
60
|
10,602,203.15
|
2.72%
|
7.611
|
359
|
79.92
|
648
|
|
West
Virginia
|
9
|
951,825.20
|
0.24%
|
8.600
|
359
|
88.80
|
624
|
|
Wisconsin
|
98
|
11,536,654.69
|
2.96%
|
8.699
|
359
|
88.08
|
640
|
|
Wyoming
|
6
|
883,324.99
|
0.23%
|
7.773
|
359
|
84.23
|
653
|
|
Total
|
2,822
|
390,236,281.36
|
100.00%
|
8.215
|
358
|
83.53
|
635
|
|
|
|
|
|
|
|
|
|
|
Gross
Margin
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
2.500
- 2.999
|
25
|
4,830,616.92
|
1.63%
|
7.465
|
359
|
81.68
|
694
|
|
5.000
- 5.499
|
1,219
|
176,168,633.67
|
59.34%
|
7.761
|
359
|
77.75
|
637
|
|
5.500
- 5.999
|
345
|
57,255,925.73
|
19.29%
|
8.505
|
359
|
88.33
|
625
|
|
6.000
- 6.499
|
407
|
58,629,707.04
|
19.75%
|
8.959
|
359
|
97.88
|
652
|
|
Total
|
1,996
|
296,884,883.36
|
100.00%
|
8.136
|
359
|
83.83
|
639
|
|
|
|
|
|
|
|
|
|
|
Minimum
Interest Rate
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
5.000
- 5.499
|
1
|
193,278.05
|
0.07%
|
5.250
|
359
|
64.50
|
775
|
|
5.500
- 5.999
|
5
|
1,151,406.10
|
0.39%
|
5.772
|
359
|
63.45
|
743
|
|
6.000
- 6.499
|
26
|
4,400,724.17
|
1.48%
|
6.296
|
359
|
75.82
|
688
|
|
6.500
- 6.999
|
145
|
25,085,432.91
|
8.45%
|
6.798
|
359
|
77.62
|
662
|
|
7.000
- 7.499
|
265
|
42,036,047.00
|
14.16%
|
7.250
|
359
|
79.26
|
651
|
|
7.500
- 7.999
|
477
|
70,857,800.11
|
23.87%
|
7.750
|
359
|
80.82
|
642
|
|
8.000
- 8.499
|
362
|
51,329,504.09
|
17.29%
|
8.241
|
359
|
84.60
|
632
|
|
8.500
- 8.999
|
330
|
48,125,085.57
|
16.21%
|
8.716
|
359
|
86.21
|
630
|
|
9.000
- 9.499
|
187
|
25,635,740.33
|
8.63%
|
9.232
|
359
|
92.47
|
623
|
|
9.500
- 9.999
|
145
|
21,405,201.07
|
7.21%
|
9.691
|
359
|
92.37
|
620
|
|
10.000
-10.499
|
42
|
5,441,765.13
|
1.83%
|
10.195
|
359
|
94.41
|
616
|
|
10.500
-10.999
|
4
|
612,223.54
|
0.21%
|
10.609
|
359
|
80.45
|
577
|
|
11.000
-11.499
|
4
|
406,023.58
|
0.14%
|
11.248
|
358
|
100.00
|
627
|
|
11.500
-11.999
|
2
|
89,814.91
|
0.03%
|
11.603
|
357
|
100.00
|
594
|
|
12.000
-12.499
|
1
|
114,836.80
|
0.04%
|
12.200
|
358
|
100.00
|
588
|
|
Total
|
1,996
|
296,884,883.36
|
100.00%
|
8.136
|
359
|
83.83
|
639
|
|
|
|
|
|
|
|
|
|
|
Maximum
Interest Rate
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
11.000
-11.499
|
1
|
193,278.05
|
0.07%
|
5.250
|
359
|
64.50
|
775
|
|
11.500
-11.999
|
5
|
1,151,406.10
|
0.39%
|
5.772
|
359
|
63.45
|
743
|
|
12.000
-12.499
|
26
|
4,400,724.17
|
1.48%
|
6.296
|
359
|
75.82
|
688
|
|
12.500
-12.999
|
145
|
25,085,432.91
|
8.45%
|
6.798
|
359
|
77.62
|
662
|
|
13.000
-13.499
|
265
|
42,036,047.00
|
14.16%
|
7.250
|
359
|
79.26
|
651
|
|
13.500
-13.999
|
477
|
70,857,800.11
|
23.87%
|
7.750
|
359
|
80.82
|
642
|
|
14.000
-14.499
|
362
|
51,329,504.09
|
17.29%
|
8.241
|
359
|
84.60
|
632
|
|
14.500
-14.999
|
330
|
48,125,085.57
|
16.21%
|
8.716
|
359
|
86.21
|
630
|
|
15.000
-15.499
|
187
|
25,635,740.33
|
8.63%
|
9.232
|
359
|
92.47
|
623
|
|
15.500
-15.999
|
145
|
21,405,201.07
|
7.21%
|
9.691
|
359
|
92.37
|
620
|
|
16.000
-16.499
|
42
|
5,441,765.13
|
1.83%
|
10.195
|
359
|
94.41
|
616
|
|
16.500
-16.999
|
4
|
612,223.54
|
0.21%
|
10.609
|
359
|
80.45
|
577
|
|
17.000
-17.499
|
4
|
406,023.58
|
0.14%
|
11.248
|
358
|
100.00
|
627
|
|
17.500
-17.999
|
2
|
89,814.91
|
0.03%
|
11.603
|
357
|
100.00
|
594
|
|
18.000
-18.499
|
1
|
114,836.80
|
0.04%
|
12.200
|
358
|
100.00
|
588
|
|
Total
|
1,996
|
296,884,883.36
|
100.00%
|
8.136
|
359
|
83.83
|
639
|
|
|
|
|
|
|
|
|
|
|
Initial
Periodic Rate Cap
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
1.000
|
1
|
214,200.00
|
0.07%
|
7.500
|
359
|
85.00
|
683
|
|
2.000
|
5
|
968,088.48
|
0.33%
|
8.759
|
359
|
86.62
|
635
|
|
3.000
|
1,990
|
295,702,594.88
|
99.60%
|
8.134
|
359
|
83.82
|
639
|
|
Total
|
1,996
|
296,884,883.36
|
100.00%
|
8.136
|
359
|
83.83
|
639
|
|
|
|
|
|
|
|
|
|
|
Subsequent
Periodic Rate Cap
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
1.000
|
1,996
|
296,884,883.36
|
100.00%
|
8.136
|
359
|
83.83
|
639
|
|
Total
|
1,996
|
296,884,883.36
|
100.00%
|
8.136
|
359
|
83.83
|
639
|
|
|
|
|
|
|
|
|
|
|
Next
Rate Change Date
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
04/01/07
|
1
|
214,200.00
|
0.07%
|
7.500
|
359
|
85.00
|
683
|
|
10/01/07
|
5
|
968,088.48
|
0.33%
|
8.759
|
359
|
86.62
|
635
|
|
04/01/08
|
1
|
74,682.11
|
0.03%
|
8.625
|
353
|
51.02
|
600
|
|
05/01/08
|
1
|
117,329.24
|
0.04%
|
8.250
|
354
|
95.00
|
687
|
|
06/01/08
|
3
|
729,452.17
|
0.25%
|
9.075
|
355
|
87.86
|
687
|
|
07/01/08
|
10
|
1,416,735.87
|
0.48%
|
8.220
|
356
|
79.70
|
624
|
|
08/01/08
|
29
|
4,156,372.10
|
1.40%
|
9.037
|
357
|
87.66
|
618
|
|
09/01/08
|
82
|
11,288,284.53
|
3.80%
|
8.352
|
358
|
82.96
|
632
|
|
10/01/08
|
1,259
|
186,869,169.53
|
62.94%
|
8.130
|
359
|
83.62
|
638
|
|
11/01/08
|
2
|
207,050.00
|
0.07%
|
7.177
|
360
|
77.80
|
664
|
|
01/01/09
|
1
|
49,170.69
|
0.02%
|
8.500
|
350
|
90.00
|
644
|
|
04/01/09
|
1
|
115,641.30
|
0.04%
|
10.125
|
353
|
100.00
|
602
|
|
07/01/09
|
3
|
530,352.56
|
0.18%
|
8.381
|
356
|
86.00
|
636
|
|
08/01/09
|
8
|
1,835,987.12
|
0.62%
|
7.868
|
357
|
84.28
|
687
|
|
09/01/09
|
37
|
5,580,158.21
|
1.88%
|
8.347
|
358
|
87.54
|
643
|
|
10/01/09
|
522
|
78,095,046.84
|
26.30%
|
8.071
|
359
|
84.51
|
641
|
|
11/01/09
|
4
|
597,000.00
|
0.20%
|
8.540
|
360
|
85.41
|
614
|
|
08/01/11
|
1
|
201,086.48
|
0.07%
|
6.850
|
357
|
80.00
|
752
|
|
09/01/11
|
1
|
89,176.55
|
0.03%
|
7.900
|
358
|
80.00
|
624
|
|
10/01/11
|
25
|
3,749,899.58
|
1.26%
|
7.552
|
359
|
72.85
|
654
|
|
Total
|
1,996
|
296,884,883.36
|
100.00%
|
8.136
|
359
|
83.83
|
639
|
|
Group
II Mortgage Loans
|
||||||
|
As
of the Statistical Cut-off Date
|
||||||
|
Minimum
|
Maximum
|
||
|
Scheduled
Principal Balance
|
$813,719,304
|
$24,981
|
$1,987,500
|
|
Average
Scheduled Principal Balance
|
$252,160
|
||
|
Number
of Mortgage Loans
|
3,227
|
||
|
Weighted
Average Gross Coupon
|
8.009%
|
5.750%
|
12.300%
|
|
Weighted
Average FICO Score
|
655
|
540
|
814
|
|
Weighted
Average Original LTV
|
83.32%
|
12.51%
|
103.00%
|
|
Weighted
Average Debt-to-Income
|
42.75%
|
3.00%
|
55.00%
|
|
Weighted
Average Original Term
|
359
months
|
180
months
|
360
months
|
|
Weighted
Average Stated Remaining Term
|
358
months
|
178
months
|
360
months
|
|
Weighted
Average Seasoning
|
1
months
|
0
months
|
8
months
|
|
Weighted
Average Gross Margin
|
5.428%
|
2.750%
|
6.400%
|
|
Weighted
Average Minimum Interest Rate
|
7.804%
|
5.750%
|
10.900%
|
|
Weighted
Average Maximum Interest Rate
|
13.804%
|
11.750%
|
16.900%
|
|
Weighted
Average Initial Rate Cap
|
2.997%
|
1.000%
|
3.000%
|
|
Weighted
Average Subsequent Rate Cap
|
1.000%
|
1.000%
|
1.000%
|
|
Weighted
Average Months to Roll
|
27
months
|
5
months
|
59
months
|
|
Maturity
Date
|
Sep
1 2021
|
Nov
1 2036
|
|
|
Maximum
Zip Code Concentration
|
0.38%
|
92336
|
|
|
ARM
|
77.44%
|
||
|
Fixed
Rate
|
22.56%
|
||
|
1/29
6 MO LIBOR
|
0.05%
|
||
|
2/28
6 MO LIBOR
|
9.16%
|
||
|
2/28
6 MO LIBOR 40/30 Balloon
|
4.82%
|
||
|
2/28
6 MO LIBOR 50/30 Balloon
|
21.05%
|
||
|
2/28
6 MO LIBOR IO
|
19.45%
|
||
|
3/27
6 MO LIBOR
|
4.53%
|
||
|
3/27
6 MO LIBOR 40/30 Balloon
|
2.47%
|
||
|
3/27
6 MO LIBOR 50/30 Balloon
|
5.65%
|
||
|
3/27
6 MO LIBOR IO
|
7.90%
|
||
|
5/25
6 MO LIBOR
|
0.47%
|
||
|
5/25
6 MO LIBOR 40/30 Balloon
|
0.09%
|
||
|
5/25
6 MO LIBOR 50/30 Balloon
|
0.49%
|
||
|
5/25
6 MO LIBOR IO
|
1.20%
|
||
|
6
MO LIBOR ARM IO
|
0.10%
|
||
|
Fixed
Rate
|
11.53%
|
||
|
Fixed
Rate 30/15 Balloon
|
0.04%
|
||
|
Fixed
Rate 30/15 Balloon IO
|
0.13%
|
||
|
Fixed
Rate 40/30 Balloon
|
1.39%
|
||
|
Fixed
Rate 50/30 Balloon
|
5.34%
|
||
|
Fixed
Rate IO
|
4.14%
|
||
|
I/O
Term: 0 months
|
67.22%
|
|
I/O
Term: 60 months
|
31.59%
|
|
I/O
Term: 120 months
|
1.20%
|
|
Prepay
Penalty: 0 months
|
30.93%
|
|
Prepay
Penalty: 12 months
|
5.93%
|
|
Prepay
Penalty: 24 months
|
37.50%
|
|
Prepay
Penalty: 36 months
|
25.64%
|
|
First
Lien
|
100.00%
|
|
Blended
Documentation
|
0.30%
|
|
Full
Documentation
|
61.39%
|
|
Limited
Income Verification
|
0.65%
|
|
No
Income Verification
|
31.87%
|
|
Rapid
Documentation
|
4.22%
|
|
Stated
Plus Documentation
|
1.58%
|
|
Cash
Out Refinance
|
17.21%
|
|
Purchase
|
81.24%
|
|
Rate/Term
Refinance
|
1.55%
|
|
2
Units
|
4.01%
|
|
3
Units
|
0.63%
|
|
4
Units
|
0.23%
|
|
Condo
High-Rise
|
0.87%
|
|
Condominium
|
4.97%
|
|
PUD
|
24.05%
|
|
Single
Family
|
65.23%
|
|
Non-owner
|
1.72%
|
|
Primary
|
97.93%
|
|
Second
Home
|
0.35%
|
|
Top
5 States:
|
|
|
California
|
30.29%
|
|
Florida
|
11.14%
|
|
6.10%
|
|
|
Illinois
|
5.14%
|
|
Texas
|
4.81%
|
|
Current
Principal Balance
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
0.01
- 50,000.00
|
91
|
3,708,230.27
|
0.46%
|
9.553
|
349
|
90.49
|
625
|
|
50,000.01
- 100,000.00
|
472
|
36,130,487.80
|
4.44%
|
9.014
|
357
|
90.36
|
629
|
|
100,000.01
- 150,000.00
|
622
|
78,213,231.74
|
9.61%
|
8.307
|
358
|
85.32
|
636
|
|
150,000.01
- 200,000.00
|
490
|
85,846,328.59
|
10.55%
|
8.192
|
357
|
84.43
|
639
|
|
200,000.01
- 250,000.00
|
380
|
85,045,591.05
|
10.45%
|
8.003
|
358
|
83.71
|
648
|
|
250,000.01
- 300,000.00
|
302
|
82,903,249.06
|
10.19%
|
7.933
|
357
|
82.69
|
654
|
|
300,000.01
- 350,000.00
|
185
|
59,874,457.38
|
7.36%
|
7.855
|
356
|
83.29
|
657
|
|
350,000.01
- 400,000.00
|
142
|
53,266,462.93
|
6.55%
|
7.781
|
359
|
82.30
|
663
|
|
400,000.01
- 450,000.00
|
121
|
51,588,011.65
|
6.34%
|
7.933
|
356
|
83.55
|
658
|
|
450,000.01
- 500,000.00
|
97
|
46,128,429.70
|
5.67%
|
7.810
|
357
|
82.33
|
660
|
|
500,000.01
- 550,000.00
|
87
|
45,637,523.01
|
5.61%
|
7.905
|
359
|
83.95
|
664
|
|
550,000.01
- 600,000.00
|
55
|
31,590,847.63
|
3.88%
|
7.731
|
359
|
81.76
|
668
|
|
600,000.01
- 650,000.00
|
37
|
23,278,913.16
|
2.86%
|
7.934
|
359
|
83.38
|
669
|
|
650,000.01
- 700,000.00
|
27
|
18,317,350.23
|
2.25%
|
8.049
|
359
|
81.00
|
645
|
|
700,000.01
- 750,000.00
|
22
|
15,930,464.67
|
1.96%
|
8.303
|
359
|
85.60
|
694
|
|
750,000.01
- 800,000.00
|
13
|
10,205,587.66
|
1.25%
|
8.028
|
359
|
79.41
|
672
|
|
800,000.01
- 850,000.00
|
11
|
9,213,651.01
|
1.13%
|
7.462
|
359
|
80.01
|
662
|
|
850,000.01
- 900,000.00
|
15
|
13,142,485.63
|
1.62%
|
7.896
|
359
|
79.01
|
645
|
|
900,000.01
- 950,000.00
|
11
|
10,126,538.79
|
1.24%
|
7.566
|
359
|
80.00
|
696
|
|
950,000.01
- 1,000,000.00
|
14
|
13,685,151.75
|
1.68%
|
7.663
|
358
|
78.84
|
664
|
|
1,000,000.01+
|
33
|
39,886,310.03
|
4.90%
|
7.652
|
358
|
78.98
|
700
|
|
Total
|
3,227
|
813,719,303.74
|
100.00%
|
8.009
|
358
|
83.32
|
655
|
|
|
|
|
|
|
|
|
|
|
Current
Gross Rate
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
5.500
- 5.999
|
8
|
3,249,894.65
|
0.40%
|
5.939
|
359
|
70.33
|
719
|
|
6.000
- 6.499
|
46
|
15,712,813.90
|
1.93%
|
6.268
|
359
|
76.17
|
708
|
|
6.500
- 6.999
|
282
|
94,108,238.96
|
11.57%
|
6.809
|
359
|
79.20
|
681
|
|
7.000
- 7.499
|
488
|
140,629,401.29
|
17.28%
|
7.255
|
359
|
80.03
|
667
|
|
7.500
- 7.999
|
786
|
221,697,630.72
|
27.24%
|
7.728
|
357
|
80.56
|
658
|
|
8.000
- 8.499
|
449
|
115,235,029.34
|
14.16%
|
8.222
|
357
|
81.85
|
656
|
|
8.500
- 8.999
|
452
|
100,641,070.23
|
12.37%
|
8.712
|
358
|
86.59
|
643
|
|
9.000
- 9.499
|
246
|
46,983,936.27
|
5.77%
|
9.221
|
356
|
92.20
|
622
|
|
9.500
- 9.999
|
236
|
40,690,774.98
|
5.00%
|
9.719
|
358
|
95.80
|
628
|
|
10.000
-10.499
|
81
|
12,685,874.34
|
1.56%
|
10.229
|
357
|
98.19
|
620
|
|
10.500
-10.999
|
85
|
14,358,795.40
|
1.76%
|
10.716
|
351
|
98.52
|
601
|
|
11.000
-11.499
|
31
|
4,122,481.46
|
0.51%
|
11.178
|
357
|
100.00
|
599
|
|
11.500
-11.999
|
32
|
3,073,644.34
|
0.38%
|
11.658
|
359
|
99.92
|
590
|
|
12.000
-12.499
|
5
|
529,717.86
|
0.07%
|
12.151
|
359
|
100.00
|
584
|
|
Total
|
3,227
|
813,719,303.74
|
100.00%
|
8.009
|
358
|
83.32
|
655
|
|
|
|
|
|
|
|
|
|
|
FICO
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
▇▇▇-▇▇▇
|
▇▇
|
▇▇,265,980.64
|
1.26%
|
8.972
|
349
|
77.61
|
545
|
|
550-574
|
136
|
24,909,601.70
|
3.06%
|
8.829
|
344
|
81.38
|
564
|
|
575-599
|
265
|
41,996,776.88
|
5.16%
|
9.703
|
352
|
90.76
|
589
|
|
600-624
|
689
|
141,891,889.95
|
17.44%
|
8.252
|
358
|
84.65
|
613
|
|
625-649
|
671
|
173,278,256.26
|
21.29%
|
8.058
|
358
|
83.80
|
639
|
|
650-674
|
677
|
173,454,273.95
|
21.32%
|
7.751
|
358
|
82.85
|
662
|
|
675-699
|
351
|
109,794,240.20
|
13.49%
|
7.690
|
358
|
82.24
|
685
|
|
700+
|
388
|
138,128,284.16
|
16.97%
|
7.541
|
359
|
81.33
|
734
|
|
Total
|
3,227
|
813,719,303.74
|
100.00%
|
8.009
|
358
|
83.32
|
655
|
|
|
|
|
|
|
|
|
|
|
Original
LTV
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
0.01-
49.99
|
13
|
2,059,775.34
|
0.25%
|
7.108
|
343
|
44.05
|
658
|
|
50.00-
54.99
|
4
|
446,466.27
|
0.05%
|
8.110
|
348
|
52.41
|
620
|
|
55.00-
59.99
|
5
|
1,496,144.36
|
0.18%
|
8.382
|
302
|
57.97
|
615
|
|
60.00-
64.99
|
18
|
7,552,752.58
|
0.93%
|
7.285
|
354
|
62.71
|
629
|
|
65.00-
69.99
|
20
|
8,412,081.62
|
1.03%
|
7.451
|
358
|
67.05
|
656
|
|
70.00-
74.99
|
26
|
8,650,741.47
|
1.06%
|
8.008
|
351
|
72.50
|
631
|
|
75.00-
79.99
|
273
|
66,283,779.99
|
8.15%
|
7.574
|
357
|
78.77
|
655
|
|
80.00
|
1,720
|
503,097,107.31
|
61.83%
|
7.614
|
358
|
80.00
|
665
|
|
80.01-
84.99
|
56
|
11,776,659.41
|
1.45%
|
8.400
|
353
|
83.52
|
610
|
|
85.00-
89.99
|
137
|
28,417,399.69
|
3.49%
|
8.510
|
357
|
86.54
|
618
|
|
90.00-
94.99
|
232
|
45,932,196.81
|
5.64%
|
8.807
|
357
|
90.83
|
631
|
|
95.00-
99.99
|
139
|
28,613,713.87
|
3.52%
|
8.819
|
357
|
96.00
|
646
|
|
100.00
|
571
|
98,352,380.03
|
12.09%
|
9.626
|
357
|
100.00
|
642
|
|
100.01+
|
13
|
2,628,104.99
|
0.32%
|
8.519
|
358
|
102.89
|
666
|
|
Total
|
3,227
|
813,719,303.74
|
100.00%
|
8.009
|
358
|
83.32
|
655
|
|
|
|
|
|
|
|
|
|
|
Original
Term (months)
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
180
|
32
|
5,571,207.96
|
0.68%
|
8.609
|
179
|
81.83
|
590
|
|
240
|
1
|
123,100.86
|
0.02%
|
8.400
|
239
|
89.35
|
667
|
|
360
|
3,194
|
808,024,994.92
|
99.30%
|
8.005
|
359
|
83.33
|
656
|
|
Total
|
3,227
|
813,719,303.74
|
100.00%
|
8.009
|
358
|
83.32
|
655
|
|
|
|
|
|
|
|
|
|
|
Stated
Remaining Term (months)
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
121-180
|
32
|
5,571,207.96
|
0.68%
|
8.609
|
179
|
81.83
|
590
|
|
181-240
|
1
|
123,100.86
|
0.02%
|
8.400
|
239
|
89.35
|
667
|
|
301-360
|
3,194
|
808,024,994.92
|
99.30%
|
8.005
|
359
|
83.33
|
656
|
|
Total
|
3,227
|
813,719,303.74
|
100.00%
|
8.009
|
358
|
83.32
|
655
|
|
|
|
|
|
|
|
|
|
|
Debt
Ratio
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
0.01
-20.00
|
167
|
32,388,763.80
|
3.98%
|
7.838
|
357
|
80.16
|
648
|
|
20.01
-25.00
|
87
|
19,914,818.61
|
2.45%
|
7.927
|
355
|
80.11
|
650
|
|
25.01
-30.00
|
162
|
30,808,417.37
|
3.79%
|
8.116
|
358
|
83.91
|
656
|
|
30.01
-35.00
|
266
|
64,169,018.76
|
7.89%
|
7.979
|
358
|
83.08
|
655
|
|
35.01
-40.00
|
444
|
106,239,268.13
|
13.06%
|
8.009
|
357
|
83.02
|
656
|
|
40.01
-45.00
|
642
|
170,950,121.59
|
21.01%
|
8.031
|
358
|
83.57
|
661
|
|
45.01
-50.00
|
940
|
267,647,356.11
|
32.89%
|
8.109
|
357
|
83.93
|
658
|
|
50.01
-55.00
|
519
|
121,601,539.37
|
14.94%
|
7.805
|
358
|
83.25
|
644
|
|
Total
|
3,227
|
813,719,303.74
|
100.00%
|
8.009
|
358
|
83.32
|
655
|
|
|
|
|
|
|
|
|
|
|
FRM/ARM
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
ARM
|
2,101
|
630,142,419.74
|
77.44%
|
7.804
|
359
|
82.15
|
663
|
|
Fixed
Rate
|
1,126
|
183,576,884.00
|
22.56%
|
8.713
|
353
|
87.36
|
630
|
|
Total
|
3,227
|
813,719,303.74
|
100.00%
|
8.009
|
358
|
83.32
|
655
|
|
|
|
|
|
|
|
|
|
|
Product
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
1/29
6 MO LIBOR
|
2
|
406,915.43
|
0.05%
|
7.829
|
359
|
80.00
|
665
|
|
2/28
6 MO LIBOR
|
354
|
74,547,022.36
|
9.16%
|
8.055
|
359
|
84.00
|
657
|
|
2/28
6 MO LIBOR 40/30 Balloon
|
136
|
39,213,262.50
|
4.82%
|
7.979
|
359
|
82.82
|
646
|
|
2/28
6 MO LIBOR 50/30 Balloon
|
517
|
171,317,562.68
|
21.05%
|
7.789
|
359
|
81.73
|
649
|
|
2/28
6 MO LIBOR IO
|
430
|
158,268,226.94
|
19.45%
|
7.696
|
359
|
81.30
|
681
|
|
3/27
6 MO LIBOR
|
167
|
36,859,379.42
|
4.53%
|
8.031
|
359
|
84.50
|
656
|
|
3/27
6 MO LIBOR 40/30 Balloon
|
71
|
20,107,966.92
|
2.47%
|
7.925
|
359
|
81.94
|
644
|
|
3/27
6 MO LIBOR 50/30 Balloon
|
148
|
45,995,471.79
|
5.65%
|
7.840
|
359
|
83.39
|
651
|
|
3/27
6 MO LIBOR IO
|
211
|
64,309,592.60
|
7.90%
|
7.592
|
359
|
80.88
|
686
|
|
5/25
6 MO LIBOR
|
21
|
3,842,070.57
|
0.47%
|
7.715
|
359
|
84.43
|
658
|
|
5/25
6 MO LIBOR 40/30 Balloon
|
3
|
729,632.01
|
0.09%
|
7.173
|
359
|
78.40
|
645
|
|
5/25
6 MO LIBOR 50/30 Balloon
|
11
|
4,022,984.52
|
0.49%
|
7.525
|
359
|
82.98
|
690
|
|
5/25
6 MO LIBOR IO
|
27
|
9,730,682.00
|
1.20%
|
7.561
|
359
|
79.82
|
681
|
|
6
MO LIBOR ARM IO
|
3
|
791,650.00
|
0.10%
|
7.203
|
359
|
79.45
|
658
|
|
Fixed
Rate
|
698
|
93,838,528.83
|
11.53%
|
8.635
|
356
|
88.23
|
641
|
|
Fixed
Rate 30/15 Balloon
|
4
|
291,836.33
|
0.04%
|
9.058
|
179
|
86.03
|
602
|
|
Fixed
Rate 30/15 Balloon IO
|
3
|
1,060,250.00
|
0.13%
|
9.688
|
179
|
91.79
|
591
|
|
Fixed
Rate 40/30 Balloon
|
48
|
11,270,586.55
|
1.39%
|
8.645
|
359
|
90.43
|
649
|
|
Fixed
Rate 50/30 Balloon
|
204
|
43,442,824.46
|
5.34%
|
8.953
|
359
|
88.36
|
630
|
|
Fixed
Rate IO
|
169
|
33,672,857.83
|
4.14%
|
8.612
|
344
|
82.47
|
594
|
|
Total
|
3,227
|
813,719,303.74
|
100.00%
|
8.009
|
358
|
83.32
|
655
|
|
|
|
|
|
|
|
|
|
|
Interest
Only By Term (months)
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
I/O
Term: 0 months
|
2,387
|
546,946,294.37
|
67.22%
|
8.121
|
358
|
84.32
|
648
|
|
I/O
Term: 60 months
|
813
|
257,042,327.37
|
31.59%
|
7.788
|
357
|
81.34
|
671
|
|
I/O
Term: 120 months
|
27
|
9,730,682.00
|
1.20%
|
7.561
|
359
|
79.82
|
681
|
|
Total
|
3,227
|
813,719,303.74
|
100.00%
|
8.009
|
358
|
83.32
|
655
|
|
|
|
|
|
|
|
|
|
|
Prepayment
Penalty Original Term (months)
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
Prepay
Penalty: 0 months
|
913
|
251,656,836.13
|
30.93%
|
8.238
|
358
|
84.06
|
659
|
|
Prepay
Penalty: 12 months
|
154
|
48,273,692.64
|
5.93%
|
8.249
|
358
|
83.63
|
666
|
|
Prepay
Penalty: 24 months
|
1,048
|
305,117,791.31
|
37.50%
|
7.691
|
359
|
81.62
|
659
|
|
Prepay
Penalty: 36 months
|
1,112
|
208,670,983.66
|
25.64%
|
8.144
|
356
|
84.86
|
644
|
|
Total
|
3,227
|
813,719,303.74
|
100.00%
|
8.009
|
358
|
83.32
|
655
|
|
|
|
|
|
|
|
|
|
|
Lien
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
First
Lien
|
3,227
|
813,719,303.74
|
100.00%
|
8.009
|
358
|
83.32
|
655
|
|
Total
|
3,227
|
813,719,303.74
|
100.00%
|
8.009
|
358
|
83.32
|
655
|
|
|
|
|
|
|
|
|
|
|
Documentation
Type
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
Blended
Documentation
|
9
|
2,420,448.15
|
0.30%
|
8.454
|
359
|
94.23
|
665
|
|
Full
Documentation
|
2,166
|
499,515,975.82
|
61.39%
|
7.915
|
357
|
83.25
|
644
|
|
Limited
Income Verification
|
19
|
5,280,767.28
|
0.65%
|
7.503
|
359
|
81.21
|
673
|
|
No
Income Verification
|
899
|
259,310,967.52
|
31.87%
|
8.018
|
359
|
81.90
|
680
|
|
Rapid
Documentation
|
103
|
34,315,888.32
|
4.22%
|
8.805
|
358
|
89.26
|
632
|
|
Stated
Plus Documentation
|
31
|
12,875,256.65
|
1.58%
|
9.473
|
359
|
98.14
|
647
|
|
Total
|
3,227
|
813,719,303.74
|
100.00%
|
8.009
|
358
|
83.32
|
655
|
|
|
|
|
|
|
|
|
|
|
Loan
Purpose
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
Cash
Out Refinance
|
497
|
140,033,618.99
|
17.21%
|
8.287
|
354
|
83.30
|
635
|
|
Purchase
|
2,677
|
661,036,979.56
|
81.24%
|
7.951
|
358
|
83.35
|
660
|
|
Rate/Term
Refinance
|
53
|
12,648,705.19
|
1.55%
|
7.946
|
358
|
82.47
|
636
|
|
Total
|
3,227
|
813,719,303.74
|
100.00%
|
8.009
|
358
|
83.32
|
655
|
|
|
|
|
|
|
|
|
|
|
Property
Type
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
2
Units
|
107
|
32,613,038.66
|
4.01%
|
7.913
|
356
|
82.98
|
671
|
|
3
Units
|
9
|
5,109,175.71
|
0.63%
|
7.257
|
359
|
81.08
|
710
|
|
4
Units
|
8
|
1,877,152.71
|
0.23%
|
7.571
|
359
|
78.73
|
673
|
|
Condo
High-Rise
|
21
|
7,096,495.03
|
0.87%
|
8.072
|
356
|
81.88
|
663
|
|
Condominium
|
176
|
40,475,868.10
|
4.97%
|
7.922
|
357
|
82.20
|
663
|
|
PUD
|
693
|
195,725,340.42
|
24.05%
|
7.844
|
358
|
81.89
|
655
|
|
Single
Family
|
2,213
|
530,822,233.11
|
65.23%
|
8.090
|
357
|
84.02
|
653
|
|
Total
|
3,227
|
813,719,303.74
|
100.00%
|
8.009
|
358
|
83.32
|
655
|
|
|
|
|
|
|
|
|
|
|
Occupancy
Status
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
Non-owner
|
84
|
14,000,912.57
|
1.72%
|
8.172
|
357
|
82.59
|
692
|
|
Primary
|
3,135
|
796,877,161.81
|
97.93%
|
8.005
|
358
|
83.33
|
655
|
|
Second
Home
|
8
|
2,841,229.36
|
0.35%
|
8.332
|
359
|
84.82
|
668
|
|
Total
|
3,227
|
813,719,303.74
|
100.00%
|
8.009
|
358
|
83.32
|
655
|
|
|
|
|
|
|
|
|
|
|
State
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
Alabama
|
34
|
4,653,504.36
|
0.57%
|
8.805
|
357
|
90.58
|
638
|
|
Arizona
|
68
|
19,773,361.62
|
2.43%
|
7.798
|
355
|
80.16
|
650
|
|
Arkansas
|
13
|
1,430,547.73
|
0.18%
|
8.592
|
359
|
90.69
|
657
|
|
California
|
557
|
246,451,589.97
|
30.29%
|
7.621
|
357
|
81.04
|
668
|
|
Colorado
|
42
|
9,948,164.22
|
1.22%
|
7.855
|
359
|
81.97
|
650
|
|
Connecticut
|
11
|
2,258,450.72
|
0.28%
|
7.551
|
359
|
82.95
|
652
|
|
Delaware
|
1
|
174,215.45
|
0.02%
|
9.250
|
359
|
85.00
|
546
|
|
District
of Columbia
|
2
|
631,964.08
|
0.08%
|
7.847
|
357
|
80.00
|
662
|
|
Florida
|
336
|
90,677,430.95
|
11.14%
|
8.000
|
358
|
82.59
|
662
|
|
Georgia
|
149
|
29,790,754.87
|
3.66%
|
8.182
|
358
|
83.84
|
639
|
|
Idaho
|
8
|
1,437,126.55
|
0.18%
|
8.029
|
359
|
87.71
|
660
|
|
Illinois
|
141
|
41,808,824.99
|
5.14%
|
8.632
|
358
|
85.42
|
657
|
|
Indiana
|
98
|
10,124,027.91
|
1.24%
|
9.086
|
358
|
92.47
|
624
|
|
Iowa
|
17
|
1,439,071.04
|
0.18%
|
9.549
|
359
|
94.30
|
612
|
|
Kansas
|
11
|
1,295,129.46
|
0.16%
|
9.174
|
359
|
87.75
|
640
|
|
Kentucky
|
33
|
3,670,544.07
|
0.45%
|
9.172
|
359
|
91.82
|
621
|
|
Louisiana
|
8
|
1,141,704.32
|
0.14%
|
8.087
|
359
|
84.77
|
646
|
|
Maine
|
7
|
827,554.71
|
0.10%
|
8.107
|
359
|
87.87
|
641
|
|
Maryland
|
73
|
23,761,814.39
|
2.92%
|
8.031
|
359
|
83.25
|
646
|
|
Massachusetts
|
55
|
18,192,880.68
|
2.24%
|
8.000
|
354
|
81.16
|
642
|
|
Michigan
|
103
|
16,846,314.98
|
2.07%
|
8.617
|
359
|
87.80
|
639
|
|
Minnesota
|
40
|
9,713,088.61
|
1.19%
|
7.881
|
359
|
82.32
|
652
|
|
Mississippi
|
10
|
1,139,847.33
|
0.14%
|
9.157
|
359
|
92.98
|
629
|
|
Missouri
|
53
|
8,981,563.47
|
1.10%
|
8.834
|
359
|
85.16
|
616
|
|
Montana
|
2
|
281,978.81
|
0.03%
|
8.074
|
359
|
80.00
|
676
|
|
Nebraska
|
6
|
566,034.60
|
0.07%
|
9.660
|
358
|
89.04
|
642
|
|
Nevada
|
55
|
17,512,795.53
|
2.15%
|
7.888
|
359
|
80.70
|
655
|
|
New
Hampshire
|
3
|
747,473.84
|
0.09%
|
7.824
|
359
|
83.75
|
609
|
|
New
Jersey
|
50
|
17,434,900.40
|
2.14%
|
8.189
|
354
|
87.21
|
665
|
|
New
Mexico
|
9
|
1,700,805.40
|
0.21%
|
8.215
|
359
|
81.43
|
639
|
|
175
|
49,643,677.76
|
6.10%
|
8.004
|
359
|
83.89
|
670
|
|
|
North
Carolina
|
81
|
14,317,346.91
|
1.76%
|
8.325
|
358
|
86.29
|
652
|
|
North
Dakota
|
4
|
435,943.92
|
0.05%
|
8.105
|
359
|
84.27
|
▇▇▇
|
|
▇▇▇▇
|
▇▇▇
|
17,702,394.68
|
2.18%
|
8.872
|
354
|
90.11
|
627
|
|
Oklahoma
|
15
|
1,482,342.99
|
0.18%
|
8.913
|
359
|
88.77
|
636
|
|
Oregon
|
56
|
14,405,431.10
|
1.77%
|
7.767
|
355
|
80.84
|
663
|
|
Pennsylvania
|
68
|
9,743,905.92
|
1.20%
|
8.642
|
358
|
90.47
|
637
|
|
Rhode
Island
|
16
|
4,218,882.18
|
0.52%
|
8.169
|
359
|
83.45
|
641
|
|
South
Carolina
|
38
|
6,133,276.73
|
0.75%
|
8.473
|
352
|
87.03
|
621
|
|
South
Dakota
|
1
|
207,795.33
|
0.03%
|
8.550
|
359
|
80.00
|
600
|
|
Tennessee
|
116
|
14,507,369.90
|
1.78%
|
8.279
|
354
|
85.14
|
633
|
|
Texas
|
277
|
39,150,985.22
|
4.81%
|
8.038
|
359
|
84.68
|
647
|
|
Utah
|
79
|
19,911,164.04
|
2.45%
|
7.824
|
359
|
82.30
|
648
|
|
Vermont
|
1
|
178,174.43
|
0.02%
|
8.950
|
359
|
103.00
|
643
|
|
Virginia
|
38
|
9,650,253.36
|
1.19%
|
8.026
|
359
|
83.00
|
638
|
|
Washington
|
67
|
17,905,565.43
|
2.20%
|
7.761
|
358
|
82.39
|
648
|
|
West
Virginia
|
5
|
589,074.42
|
0.07%
|
7.845
|
359
|
84.28
|
669
|
|
Wisconsin
|
53
|
8,921,623.23
|
1.10%
|
8.422
|
356
|
86.95
|
642
|
|
Wyoming
|
2
|
200,631.13
|
0.02%
|
8.198
|
312
|
77.99
|
625
|
|
Total
|
3,227
|
813,719,303.74
|
100.00%
|
8.009
|
358
|
83.32
|
655
|
|
|
|
|
|
|
|
|
|
|
Gross
Margin
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
2.500
- 2.999
|
52
|
25,715,332.16
|
4.08%
|
7.463
|
359
|
80.99
|
698
|
|
4.500
- 4.999
|
1
|
375,000.00
|
0.06%
|
6.800
|
359
|
67.08
|
638
|
|
5.000
- 5.499
|
1,675
|
498,365,929.57
|
79.09%
|
7.609
|
359
|
79.56
|
663
|
|
5.500
- 5.999
|
127
|
38,668,294.83
|
6.14%
|
8.479
|
359
|
88.05
|
637
|
|
6.000
- 6.499
|
246
|
67,017,863.18
|
10.64%
|
8.999
|
359
|
98.53
|
661
|
|
Total
|
2,101
|
630,142,419.74
|
100.00%
|
7.804
|
359
|
82.15
|
663
|
|
|
|
|
|
|
|
|
|
|
Minimum
Interest Rate
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
5.500
- 5.999
|
6
|
2,028,455.22
|
0.32%
|
5.907
|
359
|
76.00
|
728
|
|
6.000
- 6.499
|
36
|
11,813,276.82
|
1.87%
|
6.285
|
359
|
76.79
|
700
|
|
6.500
- 6.999
|
245
|
83,846,004.95
|
13.31%
|
6.806
|
359
|
79.10
|
681
|
|
7.000
- 7.499
|
416
|
125,812,735.76
|
19.97%
|
7.255
|
359
|
80.07
|
666
|
|
7.500
- 7.▇▇▇
|
▇▇▇
|
▇▇▇,339,100.05
|
30.52%
|
7.725
|
359
|
80.60
|
660
|
|
8.000
- 8.499
|
321
|
94,950,194.35
|
15.07%
|
8.222
|
359
|
81.75
|
662
|
|
8.500
- 8.999
|
263
|
71,330,162.35
|
11.32%
|
8.699
|
359
|
86.62
|
651
|
|
9.000
- 9.499
|
84
|
21,788,498.56
|
3.46%
|
9.214
|
359
|
93.22
|
645
|
|
9.500
- 9.999
|
66
|
18,104,202.20
|
2.87%
|
9.703
|
359
|
96.05
|
648
|
|
10.000
-10.499
|
16
|
4,890,975.22
|
0.78%
|
10.217
|
358
|
96.79
|
632
|
|
10.500
-10.999
|
9
|
3,238,814.26
|
0.51%
|
10.697
|
359
|
96.22
|
616
|
|
Total
|
2,101
|
630,142,419.74
|
100.00%
|
7.804
|
359
|
82.15
|
663
|
|
|
|
|
|
|
|
|
|
|
Maximum
Interest Rate
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
11.500
-11.999
|
6
|
2,028,455.22
|
0.32%
|
5.907
|
359
|
76.00
|
728
|
|
12.000
-12.499
|
36
|
11,813,276.82
|
1.87%
|
6.285
|
359
|
76.79
|
700
|
|
12.500
-12.999
|
245
|
83,846,004.95
|
13.31%
|
6.806
|
359
|
79.10
|
681
|
|
13.000
-13.499
|
416
|
125,812,735.76
|
19.97%
|
7.255
|
359
|
80.07
|
666
|
|
13.500
-13.▇▇▇
|
▇▇▇
|
▇▇▇,339,100.05
|
30.52%
|
7.725
|
359
|
80.60
|
660
|
|
14.000
-14.499
|
321
|
94,950,194.35
|
15.07%
|
8.222
|
359
|
81.75
|
662
|
|
14.500
-14.999
|
263
|
71,330,162.35
|
11.32%
|
8.699
|
359
|
86.62
|
651
|
|
15.000
-15.499
|
84
|
21,788,498.56
|
3.46%
|
9.214
|
359
|
93.22
|
645
|
|
15.500
-15.999
|
66
|
18,104,202.20
|
2.87%
|
9.703
|
359
|
96.05
|
648
|
|
16.000
-16.499
|
16
|
4,890,975.22
|
0.78%
|
10.217
|
358
|
96.79
|
632
|
|
16.500
-16.999
|
9
|
3,238,814.26
|
0.51%
|
10.697
|
359
|
96.22
|
616
|
|
Total
|
2,101
|
630,142,419.74
|
100.00%
|
7.804
|
359
|
82.15
|
663
|
|
|
|
|
|
|
|
|
|
|
Initial
Periodic Rate Cap
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
1.000
|
3
|
791,650.00
|
0.13%
|
7.203
|
359
|
79.45
|
658
|
|
2.000
|
2
|
406,915.43
|
0.06%
|
7.829
|
359
|
80.00
|
665
|
|
3.000
|
2,096
|
628,943,854.31
|
99.81%
|
7.805
|
359
|
82.15
|
663
|
|
Total
|
2,101
|
630,142,419.74
|
100.00%
|
7.804
|
359
|
82.15
|
663
|
|
|
|
|
|
|
|
|
|
|
Subsequent
Periodic Rate Cap
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
1.000
|
2,101
|
630,142,419.74
|
100.00%
|
7.804
|
359
|
82.15
|
663
|
|
Total
|
2,101
|
630,142,419.74
|
100.00%
|
7.804
|
359
|
82.15
|
663
|
|
|
|
|
|
|
|
|
|
|
Next
Rate Change Date
|
#
of Loans
|
Current
Principal Balance
|
Pct
by Curr Prin Bal
|
Weighted
Average Gross Coupon
|
Weighted
Average Stated Remaining Term
|
Weighted
Average Combined Orig LTV
|
Weighted
Average FICO
|
|
04/01/07
|
3
|
791,650.00
|
0.13%
|
7.203
|
359
|
79.45
|
658
|
|
10/01/07
|
2
|
406,915.43
|
0.06%
|
7.829
|
359
|
80.00
|
665
|
|
03/01/08
|
1
|
996,664.17
|
0.16%
|
6.750
|
352
|
79.37
|
643
|
|
06/01/08
|
1
|
198,263.23
|
0.03%
|
10.500
|
355
|
99.99
|
590
|
|
07/01/08
|
7
|
3,103,644.70
|
0.49%
|
8.449
|
356
|
83.13
|
624
|
|
08/01/08
|
12
|
6,777,242.67
|
1.08%
|
8.122
|
357
|
81.64
|
678
|
|
09/01/08
|
107
|
39,641,997.24
|
6.29%
|
8.085
|
358
|
84.10
|
663
|
|
10/01/08
|
1,309
|
392,628,262.47
|
62.31%
|
7.781
|
359
|
81.85
|
662
|
|
05/01/09
|
1
|
1,430,000.00
|
0.23%
|
6.750
|
354
|
65.00
|
734
|
|
08/01/09
|
10
|
6,485,445.17
|
1.03%
|
7.705
|
357
|
81.39
|
690
|
|
09/01/09
|
54
|
17,720,270.53
|
2.81%
|
7.835
|
358
|
80.62
|
652
|
|
10/01/09
|
531
|
141,521,495.03
|
22.46%
|
7.806
|
359
|
82.96
|
665
|
|
11/01/09
|
1
|
115,200.00
|
0.02%
|
8.000
|
360
|
80.00
|
679
|
|
08/01/11
|
2
|
343,951.29
|
0.05%
|
7.605
|
357
|
94.89
|
735
|
|
09/01/11
|
2
|
1,119,588.25
|
0.18%
|
7.370
|
358
|
80.00
|
663
|
|
10/01/11
|
58
|
16,861,829.56
|
2.68%
|
7.582
|
359
|
81.25
|
677
|
|
Total
|
2,101
|
630,142,419.74
|
100.00%
|
7.804
|
359
|
82.15
|
663
|
EXHIBIT
B
A
legend
in substantially the following form must appear on each Free Writing
Prospectus:
The
issuer has filed a registration statement (including a base prospectus) with
the
SEC for the offering to which this free writing prospectus relates. Before
you
invest in this offering, you should read the base prospectus in that
registration statement and other documents the issuer has filed with the SEC
for
more complete information about the issuer and this offering. You may get these
documents for free by visiting ▇▇▇▇▇ on the SEC Web site at ▇▇▇▇://▇▇▇.▇▇▇.▇▇▇.
Alternatively, RBS Greenwich Capital will arrange to send you the base
prospectus at no charge if you request it by calling ▇-▇▇▇-▇▇▇-▇▇▇▇ or emailing
▇▇▇▇▇▇▇▇▇▇▇▇▇▇▇▇▇@▇▇▇▇▇.▇▇▇.
This
free writing prospectus is being delivered to you solely to provide you with
information about the offering and to solicit an offer to purchase the offered
securities. Any such offer to purchase made by you will not be accepted and
will
not constitute a contractual commitment by you to purchase any of the securities
until we have accepted your offer to purchase such securities. Any such
commitment shall be subject to the conditions specified
below.
This
free writing prospectus is not required to contain all of the information that
is required to be included in the base prospectus and the prospectus supplement.
The information in this free writing prospectus is preliminary and is subject
to
completion or change. The information in this free writing prospectus, if
conveyed prior to the time of your commitment to purchase the offered
securities, supercedes any prior version of this free writing prospectus and
any
information contained in any prior similar free writing prospectus relating
to
these securities. If a preliminary prospectus is conveyed to you prior to your
commitment to purchase, that document supersedes all other information provided
to you concerning the offered securities.
This
free writing prospectus is not an offer to sell or a solicitation of an offer
to
buy these securities in any state where such offer, solicitation or sale is
not
permitted.
The
securities referred to in this free writing prospectus are being offered when,
as and if issued. The issuer is not obligated to issue any such securities
or
any similar securities, and all or a portion of the securities may not be issued
that have the characteristics described herein. The Underwriter’s obligation to
deliver such securities is subject to the terms and conditions of the
underwriting agreement with the issuer and the availability of the securities
having the characteristics described herein. If, for any reason, the issuer
does
not deliver such securities, the underwriter will notify you, and neither the
issuer nor any underwriter will have any obligation to you to deliver all or
any
portion of the securities which you have committed to purchase, and there will
be no liability between us as a consequence of the
non-delivery.
For
asset-backed and mortgage-backed securities: Certain of the information
contained herein may be based on numerous assumptions (including preliminary
assumptions about the pool assets and structure), which may not be specifically
identified as assumptions in the information. Any such information or
assumptions are subject to change. The information in this free writing
prospectus may reflect assumptions specifically requested by you. If so, prior
to the time of your commitment to purchase, you should request updated
information based on any assumptions specifically required by
you.
Any
legends, disclaimers or other notices that may appear below or on any electronic
communication to which this free writing prospectus is attached which state
that
(1) these materials do not constitute an offer (or a solicitation of an offer),
(2) no representation is made as to the accuracy or completeness of these
materials and that these materials may not be updated or (3) these materials
may
be confidential are not applicable to this communication and should be
disregarded. Such legends, disclaimers or other notices have been automatically
generated as a result of this communication having been sent via Bloomberg
or
another system.
EXHIBIT
C
METHOD
OF DISTRIBUTION
Subject
to the terms and conditions set forth in the underwriting agreement, dated
November 2, 2006 (the “Underwriting Agreement”), between
the Underwriter and the Depositor, the Depositor has agreed to sell to the
Underwriter, and the Underwriter has agreed to purchase from the Depositor,
the
Offered Certificates.
Distribution
of the Offered Certificates will be made from time to time in negotiated
transactions or otherwise at varying prices to be determined at the time of
sale. Proceeds to the Depositor from the sale of the Offered Certificates,
before deducting expenses payable by the Depositor and underwriting fees, will
be approximately $1,179,808,275. The Underwriter’s commission will be any
positive difference between the price they pay to the Depositor for the Offered
Certificates and the amount they receive from the sale of the Offered
Certificates to the public. In connection with the purchase and sale of the
Offered Certificates, the Underwriter may be deemed to have received
compensation from the Depositor in the form of underwriting
discounts.
The
Depositor has been advised by the Underwriter that it proposes initially to
offer the Offered Certificates of each class to the public in Europe and the
United States.
Until
the
distribution of the Offered Certificates is completed, rules of the SEC may
limit the ability of the Underwriter and certain selling group members to bid
for and purchase the Offered Certificates. As an exception to these rules,
the
Underwriter is permitted to engage in certain transactions that stabilize the
price of the Offered Certificates. Such transactions consist of bids or
purchases for the purpose of pegging, fixing or maintaining the price of the
Offered Certificates.
LEGAL
MATTERS
Certain
legal matters with respect to the Offered Certificates will be passed upon
for
the Depositor and the Underwriter by ▇▇▇▇▇▇▇ ▇▇▇▇▇▇▇▇ & Wood
llp,
New
York, New York.
RATINGS
It
is a
condition of the issuance of the Certificates that the Offered Certificates
receive the following ratings at least as high as the following ratings from
▇▇▇▇▇’▇ Investors Service, Inc. (“Moody’s”) and Standard & Poor’s, a
division of The ▇▇▇▇▇▇-▇▇▇▇ Companies, Inc. (“S&P”):
|
Class
|
Moody’s
|
S&P
|
|
I-A1
|
Aaa
|
AAA
|
|
II-A1
|
Aaa
|
AAA
|
|
II-A2
|
Aaa
|
AAA
|
|
II-A3
|
Aaa
|
AAA
|
|
II-A4
|
Aaa
|
AAA
|
|
▇-▇
|
▇▇▇
|
▇▇▇
|
|
▇-▇
|
▇▇▇
|
▇▇
|
|
M-3
|
Aa3
|
AA
|
|
M-4
|
A1
|
AA-
|
|
M-5
|
A2
|
A+
|
|
M-6
|
A3
|
A
|
|
M-7
|
Baa1
|
BBB+
|
|
M-8
|
Baa2
|
BBB+
|
|
▇-▇
|
▇▇▇▇
|
▇▇▇-
|