Preliminary Term Sheet Date Prepared: October 20, 2004
Sequoia Mortgage Trust 2004-10
Mortgage Pass-Through Certificates
$673,354,000 (Approximate, Subject to Final Collateral)
Publicly Offered Certificates
Adjustable Rate Residential Mortgage Loans
Class | Principal Balance(1) | WAL (Yrs) (Call/Mat) (2) | Pymt Window (Mths) (Call/Mat)(2) | Certificate Interest Rates | Tranche Type | Expected Ratings S&P/Moody’s/Fitch |
A-1(3) | $337,093,000 | 3.91 / 4.24 | 1-123 / 1-359 | Floater | Senior | AAA/Aaa/AAA |
A-2(4) | $315,370,000 | 3.91 / 4.25 | 1-123 / 1-359 | Floater | Senior | AAA/Aaa/AAA |
X-A(5)(6) | Notional | Not Marketed Hereby | N/A | Senior/ IO | AAA/Aaa/AAA | |
X-B(5)(7) | Notional | Information Not Provided Herein | N/A | Senior/ IO | AAA/Aaa/AAA | |
A-R | $100 | N/A | Senior | AAA/Aaa/AAA | ||
B-1(3) | $14,042,000 | 6.73 / 7.46 | 39-123 / 39-359 | Floater | Subordinate | AA/Aa2/AA |
B-2(3) | $6,849,000 | 6.73 / 7.46 | 39-123 / 39-359 | Floater | Subordinate | A/A2/A |
B-3 | $3,767,000 | Information Not Provided Herein | N/A | Subordinate | BBB/Baa2/BBB | |
B-4 | $3,081,000 | N/A | Subordinate | BB/Ba2/BB | ||
B-5 | $1,711,000 | N/A | Subordinate | B/B2/B | ||
B-6 | $3,089,104 | N/A | Subordinate | NR/NR/NR | ||
Total | $685,002,204 |
(1) Distributions on the Class A-1 Certificates will be primarily derived from one-month and six-month LIBOR adjustable rate mortgage loans (Group 1 Mortgage Loans, as described herein). Distributions on the Class A-2 Certificates will be primarily derived from six-month LIBOR adjustable rate mortgage loans (Group 2 Mortgage Loans, as described herein). Distributions on the Subordinate Certificates (as described herein) will be derived from all Mortgage Loans (as described herein). Class sizes are subject to final collateral and rating agency approval and are subject to a +/-10% variance.
(2) The WAL and Payment Windows for the Class A-1, Class A-2, Class B-1 and Class B-2 Certificates are shown to the Clean-Up Call Date and to maturity calculated as of the Cut-off Date (as described herein).
(3) The Class A-1, Class B-1 and Class B-2 Certificates will have a coupon equal to the lesser of (i) One-Month LIBOR plus a margin (which margin is multiplied by [2.0] in the case of the Class A-1 Certificates and [1.5] in the case of the Class B-1 and Class B-2 Certificates after the Clean-Up Call Date), (ii) the related Net WAC Cap and (iii) 11.50%.
(4) The Class A-2 Certificates will have a coupon equal to the lesser of (i) Six-Month LIBOR plus a related margin (which margin doubles after the Clean-Up Call Date), (ii) the related Net WAC Cap and (iii) 11.50%. Six-Month LIBOR will reset every 6 months beginning with the first Distribution Date in November 2004.
(5) Balances shown with respect to the Class X-A and Class X-B Certificates are notional balances. Such classes are interest-only certificates and will not be entitled to distributions of principal.
(6) The notional amount of the Class X-A Certificates for any Distribution Date is equal to the aggregate class principal amounts of the Class A-1 and Class A-2 Certificates, immediately prior to such distribution date. The interest rate of the Class X-A Certificates will be the excess, if any, of (i) the weighted average of the Net WAC Caps for the Class A-1 and Class A-2 Certificates over (ii) the weighted average of the Certificate Interest Rates for the Class A-1 and Class A-2 Certificates. Distributions on the Class X-A Certificates will be subject to certain limitations in connection with the related Net WAC Shortfalls of the Class A-1 and Class A-2 Certificates, and as otherwise described herein. No principal will be distributed on the X-A Certificates.
(7) The notional amount of the Class X-B for any distribution date is equal to the aggregate principal amounts of the Class B-1 and Class B-2 Certificates immediately prior to such distribution date. The interest rate on the Class X-B Certificate will be equal to the weighted average of the net interest rates of the Mortgage Loans in the trust less the weighted average of the Certificate Interest Rates of the Class B-1 and Class B-2 Certificates. Distributions on the Class X-B Certificate will be subject to certain limitations in connection with aggregate Net WAC Shortfalls of the Class B-1 and Class B-2 Certificates, and as otherwise described herein. No principal will be distributed on the X-B Certificates.
Depositor: Sequoia Residential Funding, Inc.
Co-Lead Managers: Greenwich Capital Markets, Inc. and Morgan Stanley.
Co-Managers: Banc of America Securities LLC and Merrill Lynch, Pierce, Fenner & Smith Incorporated.
Master Servicer/
Custodian/
Securities Administrator: Wells Fargo Bank, N.A.
Trustee: HSBC Bank USA.
Rating Agencies: S&P, Moody’s and Fitch will rate the Offered Certificates. It is expected that the Certificates will be assigned the credit ratings on page 1 of this Preliminary Term Sheet.
Statistical
Cut-off Date: September 1, 2004.
Cut-off Date: October 1, 2004.
Pricing Date: On or about October [22], 2004.
Closing Date: On or about October 28, 2004.
Distribution Date: The 20th day of each month (or if not a business day, the next succeeding business day), commencing in November 2004.
Certificates: The “Senior Certificates” will consist of the Class A-1, Class A-2, Class X-A, Class X-B, and Class A-R Certificates. The “Class X Certificates” will consist of the Class X-A and Class X-B. The “Subordinate Certificates” will consist of the Class B-1, Class B-2, Class B-3, Class B-4, Class B-5 and Class B-6 Certificates. The Senior Certificates and the Subordinate Certificates are collectively referred to herein as the “Certificates”. The Class A-1, Class A-2, Class B-1 and Class B-2 Certificates (collectively, the“Offered Certificates”) are being offered publicly.
Accrued Interest: The Class A-1, Class A-2, Class B-1 and Class B-2 Certificates will settle flat.
Accrual Period: The interest accrual period (the “Accrual Period”) with respect to the Class A-1, Class A-2, Class B-1 and Class B-2 Certificates for a given Distribution Date will be the period beginning on the 20th day of the month (or, in the case of the first Distribution Date, the Closing Date) and ending on the 19th day of the month (on a 30/360 basis), and with respect to the Class X Certificates for a given Distribution Date will be the calendar month preceding the month in which such Distribution Date occurs (on a 30/360 basis).
Registration: The Offered Certificates will be made available in book-entry form through DTC, and upon request only, through Clearstream, Luxembourg and Euroclear system.
Federal Tax Treatment: It is anticipated that the Offered Certificates will represent ownership of REMIC regular interests for tax purposes.
ERISA Eligibility: The Offered Certificates are expected to be ERISA eligible. Prospective investors should review with their legal advisors whether the purchase and holding of any of the Offered Certificates could give rise to a transaction prohibited or not otherwise permissible under ERISA or other similar laws.
SMMEA Treatment: The Senior Certificates and the Class B-1 Certificates are expected to constitute “mortgage related securities” for purposes of SMMEA.
Clean-Up Call: The terms of the transaction allow for a purchase of the Mortgage Loans resulting in a termination of the trust and retirement of the Certificates once the aggregate principal balance of the Mortgage Loans is equal to 10% or less of aggregate principal balance of the Mortgage Loans as of the Cut-off Date (the “Clean-Up Call Date”).
Pricing Prepayment
Speed: The Offered Certificates will be priced to a prepayment speed of 20% CPR.
Mortgage Loans: The trust will consist of adjustable rate, prime quality mortgage loans secured by first liens on one- to four-family residential properties with an aggregate principal balance as of the Statistical Cut-off Date of approximately $685,002,204, (the “Mortgage Loans”). As of the Statistical Cut-off Date, approximately 64.02% and 35.98% of the Mortgage Loans are six-month LIBOR and one-month LIBOR indexed mortgage loans, respectively. All of the Mortgage Loans have original terms to maturity of approximately 25 or 30 years. As of the Statistical Cut-off Date, approximately 8.37% and 91.63% of the Mortgage Loans are scheduled to pay interest only for the first 5 years and 10 years, respectively. In ea ch case, after such 5-year or 10-year interest-only term, the mortgage loans are scheduled to amortize on a 25-year, 20-year or 15-year fully amortizing basis, respectively.
It is anticipated that on the Closing Date, the characteristics of the Mortgage Loans as of the Cut-Off Date will be substantially similar to the characteristics of the Mortgage Loans as described and shown herein. The aggregate principal balance is expected to be subject to an increase or decrease of up to 10%.
Group 1
Mortgage Loans: The Group 1 Mortgage Loans have an aggregate principal balance as of the Statistical Cut-off Date of approximately $353,904,046, which equals approximately 51.66% of the Mortgage Loans.
As of the Statistical Cut-off Date, approximately 30.35% and 69.65% of the Group 1 Mortgage Loans are six-month LIBOR and one-month LIBOR indexed Mortgage Loans, respectively, and approximately 7.86% and 92.14% of the Group 1 Mortgage Loans are scheduled to pay interest only for the first 5 years and 10 years, respectively. As of the Statistical Cut-off Date none of the Group 1 Mortgage Loans have an initial or subsequent periodic rate cap.
Group 2
Mortgage Loans: The Group 2 Mortgage Loans have an aggregate principal balance as of the Statistical Cut-off Date of approximately $331,098,158, which equals approximately 48.34% of the Mortgage Loans.
All of the Group 2 Mortgage Loans are six-month LIBOR indexed Mortgage Loans and approximately 8.90% and 91.10% of the Group 2 Mortgage Loans are scheduled to pay interest only for the first 5 years and 10 years, respectively.
Net WAC Cap: In the case of the Class A-1 and Class A-2 Certificates, the weighted average of the net mortgage rates for the Group 1 and Group 2 Mortgage Loans, respectively; in the case of the Class B-1 and Class B-2 Certificates, the weighted average of the net mortgage rates for the Mortgage Loans in both Groups, weighted on the basis of the relative related subordinate component.
Certificate
Interest Rate: The Class A-1, Class B-1 and Class B-2 Certificates will have a Certificate Interest Rate equal to the lesser of (i) one-month LIBOR plus the related margin (which margin is multiplied by [2.0] in the case of the Class A-1 Certificates and [1.5] in the case of the Class B-1 and Class B-2 Certificates after the Clean-Up Call Date), (ii) the related related Net WAC Cap and (iii) [11.50]%.
The Class A-2 Certificates will have a Certificate Interest Rate equal to the lesser of (i) six-month LIBOR plus the related margin (which margin is multiplied by [2.0] after the Clean-Up Call Date), (ii) the related related Net WAC Cap and (iii) [11.50]%.
If on any Distribution Date, the Certificate Interest Rate of the Class A-1 Certificates is subject to the related Net WAC Cap, such Certificates will, to the extent described below, be entitled to payment of an amount equal to the sum of (i) the excess of (a) interest accrued at the respective Certificate Interest Rate (without giving effect to the related Net WAC Cap) over (b) the amount of interest received on such Certificates based on the related Net WAC Cap, plus (ii) the unpaid portion of any such excess from previous Distribution Dates (and any interest thereon at the then applica ble Certificate Interest Rate without giving effect to the related Net WAC Cap) (a “Class A-1Net WAC Shortfall”) from related amounts on deposit in the Reserve Fund.
If on any Distribution Date, the Certificate Interest Rate of the Class A-2 Certificates is subject to the related Net WAC Cap, such Certificates will, to the extent described below, be entitled to payment of an amount equal to the sum of (i) the excess of (a) interest accrued at the respective Certificate Interest Rate (without giving effect to the related Net WAC Cap) over (b) the amount of interest received on such Certificates based on the related Net WAC Cap, plus (ii) the unpaid portion of any such excess from previous Distribution Dates (and any interest thereon at the then applica ble Certificate Interest Rate without giving effect to the related Net WAC Cap) (a “Class A-2Net WAC Shortfall”) from related amounts on deposit in the Reserve Fund.
If on any Distribution Date, the Certificate Interest Rate of the Class B-1 Certificates is subject to the related Net WAC Cap, such Certificates will, to the extent described below, be entitled to payment of an amount equal to the sum of (i) the excess of the (a) interest accrued at the respective Certificate Interest Rate (without giving effect to the related Net WAC Cap) over (b) the amount of interest received on such Certificates based on the related Net WAC Cap, plus (ii) the unpaid portion of any such excess from previous Distribution Dates (and any interest thereon at the then app licable Certificate Interest Rate without giving effect to the related Net WAC Cap) (a “Class B-1Net WAC Shortfall”) from related amounts on deposit in the Reserve Fund.
If on any Distribution Date, the Certificate Interest Rate of the Class B-2 Certificates is subject to the related Net WAC Cap, such Certificates will, to the extent described below, be entitled to payment of an amount equal to the sum of (i) the excess of the (a) interest accrued at the respective Certificate Interest Rate (without giving effect to the related Net WAC Cap) over (b) the amount of interest received on such Certificates based on the related Net WAC Cap, plus (ii) the unpaid portion of any such excess from previous Distribution Dates (and any interest thereon at the then applicable Certificate Interest Rate without giving effect to the related Net WAC Cap) (a “Class B-2Net WAC Shortfall”) from related amounts on deposit in the Reserve Fund.
The “Net WAC Shortfall”means any of the Class A-1 Net WAC Shortfall, the Class A-2 Net WAC Shortfall, the Class B-1 Net WAC Shortfall and the Class B-2 Net WAC Shortfall amounts.
Reserve Fund: As of the Closing Date, the “Reserve Fund” will be established on behalf of the Offered Certificates. The Reserve Fund will be funded by an initial deposit of funds on the Closing Date, and thereafter, by amounts otherwise distributable to any of the Class X Certificates to the extent of any of the related Net WAC Shortfall amounts for a related Distribution Date. The Reserve Fund will not be an asset of the REMIC. On any Distribution Date, Offered Certificates will be entitled to receive payments from the Reserve Fund in an amount equal to the related Net WAC Shortfall amount for such Distribution Date, to the extent available. Any amounts remaining in the Res erve Fund after such distribution will be distributed to the related Class X Certificates.
Credit Enhancement: Senior/subordinate, shifting interest structure.
Credit enhancement for theSenior Certificates will consist of the subordination of the Subordinate Certificates (total subordination initially [4.75]%).
Credit enhancement for theClass B-1 Certificates will consist of the subordination of the Class B-2, Class B-3, Class B-4, Class B-5 and Class B-6 Certificates (total subordination initially [2.70]%).
Credit enhancement for theClass B-2 Certificates will consist of the subordination of the Class B-3, Class B-4, Class B-5 and Class B-6 Certificates (total subordination initially [1.70]%).
Shifting Interest: Until the first Distribution Date occurring after October 2014, the Subordinate Certificates will be locked out from receipt of all principal (unless the Senior Certificates are paid down to zero or the credit enhancement provided by the Subordinate Certificates has doubled prior to such date as described below). After such time and subject to standard collateral performance triggers (as described in the prospectus supplement), the Subordinate Certificates will receive their pro-rata share of scheduled principal and increasing portions of unscheduled principal prepayments.
The prepayment percentages on the Subordinate Certificates are as follows:
November 2004 – October 2014 0% Pro Rata Share
November 2014 – October 2015 30% Pro Rata Share
November 2015 – October 2016 40% Pro Rata Share
November 2016 – October 2017 60% Pro Rata Share
November 2017 – October 2018 80% Pro Rata Share
November 2018 and after 100% Pro Rata Share
Notwithstanding the foregoing, if the credit enhancement provided by the Subordinate Certificates doubles, all principal (scheduled principal and prepayments) will be paid pro-rata between the Senior Certificate (other than the Class X Certificates) and Subordinate Certificates (subject to performance triggers). However, if the credit enhancement provided by the Subordinate Certificates has doubled prior to the Distribution Date in November 2007 (subject to performance triggers), then the Subordinate Certificates will be entitled to only 50% of their pro-rata share of principal (scheduled principal and prepayments).
Any principal not allocated to the Subordinate Certificates will be allocated to the Senior Certificates. In the event the applicable current senior percentage (equal to the aggregate principal balance of the Senior Certificates, divided by the aggregate principal balance of the Mortgage Loans) exceeds the initial senior percentage (equal to the aggregate principal balance of the Senior Certificates as of the Closing Date, divided by the sum of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date, the Senior Certificates (other than the Class X Certificates) will receive all unscheduled prepayments from the Mortgage Loans, regardless of any prepayment percentages as described above.
Allocation of
Realized Losses: Any realized losses on the Mortgage Loans will be allocated as follows:first, to the Subordinate Certificates in reverse order of their alpha numerical Class designations, in each case until the respective class principal balance has been reduced to zero;thereafter, pro-rata to the Class A Certificates in reduction of their principal balance.
Certificates Priority of
Distributions: Available funds from the Mortgage Loans will be distributed in the following order of priority:
With respect to any Distribution Date, available funds from the Mortgage Loans will be distributed in the following order of priority:
1) Senior Certificates, accrued and unpaid interest at the related Certificate Interest Rate, from the related Mortgage Loans; provided that, to the extent of any Net WAC Shortfall amount for such Distribution Date with respect to each of the Offered Certificates, the amount of interest otherwise distributable to the related Class X Certificates shall be deposited in the Reserve Fund.
2) Class A-R Certificates, principal allocable to such class.
3) Concurrently to the Class A Certificates:
4) Class A-1 and Class A-2 Certificates, generally based on principal collected on the related Mortgage Loans, until their respective class principal amounts are reduced to zero.*
5) Class B-1 Certificates, accrued and unpaid interest at the related Certificate Interest Rate.
6) Class B-1 Certificates, principal allocable to such class.
7) Class B-2 Certificates, accrued and unpaid interest at the related Certificate Interest Rate.
8) Class B-2 Certificates, principal allocable to such class.
9) Class A-1 and Class A-2 Certificates, the related Net WAC Shortfall amount, from the Reserve Fund on a pro-rata basis based on such classes Net WAC Shortfall amounts.
10) Class B-1 Certificates, the related Net WAC Shortfall Amount, from the Reserve Fund.
11) Class B-2 Certificates, the related Net WAC Shortfall Amount, from the Reserve Fund.
12) Class X Certificates, the excess amounts related to each Class X Certificate, from the Reserve Fund.
13) Class B-3, Class B-4, Class B-5 and Class B-6 Certificates, in sequential order, accrued and unpaid interest at the related Certificate Interest Rate and the respective shares of principal allocable to such classes.
14) Class A-R Certificate, any remaining amount.
*In certain limited circumstances described in the prospectus supplement, Senior Certificates may receive principal from the unrelated Mortgage Loan group, to the extent not received from the related Mortgage Loan group.
COMPUTATIONAL MATERIALS DISCLAIMER
The attached tables and other statistical analyses (the “Computational Materials”) are privileged and intended for use by the addressee only. These Computational Materials are furnished to you solely by Greenwich Capital Markets, Inc. and not by the issuer of the securities. They may not be provided to any third party other than the addressee’s legal, tax, financial and/or accounting advisors for the purposes of evaluating said material.
Numerous assumptions were used in preparing the Computational Materials, which may or may not be reflected therein. As such, no assurance can be given as to the Computational Materials’ accuracy, appropriateness or completeness in any particular context; nor as to whether the Computational Materials and/or the assumptions upon which they are based reflect present market conditions or future market performance. These Computational Materials should not be construed as either projections or predictions or as legal, tax, financial or accounting advice.
Any weighted average lives, yields and principal payment periods shown in the Computational Materials are based on prepayment assumptions, and changes in such prepayment assumptions may dramatically affect such weighted average lives, yields and principal payment periods. In addition, it is possible that prepayments on the underlying assets will occur at rates slower or faster than the rates shown in the attached Computational Materials. Furthermore, unless otherwise provided, the Computational Materials assume no losses on the underlying assets and no interest shortfall. The specific characteristics of the securities may differ from those shown in the Computational Materials due to differences between the actual underlying assets and the hypothetical underlying assets used in preparing the Computational Materials. The principal amount and designation of any security described in the Computational Materials are subject to change prior to issuance. Neither Greenwich Capital Markets, Inc. nor any of its affiliates makes any representation or warranty as to the actual rate or timing of payments on any of the underlying assets or the payments or yield on the securities.
Although a registration statement (including the Prospectus) relating to the securities discussed in this communication has been filed with the Securities and Exchange Commission and is effective, the final prospectus supplement relating to the securities discussed in this communication has not been filed with Securities and Exchange Commission. This communication shall not constitute an offer to sell or the solicitation of an offer to buy nor shall there be any sale of the securities discussed in this communication in any state in which such offer, solicitation or sale would be unlawful prior to registration or qualification of such securities under the securities laws of any such state. Prospective purchasers are referred to the final prospectus supplement relating to the securities discussed in this communication which supersede these Co mputational Materials and any matter discussed in this communication. Once available, a final prospectus and prospectus supplement may be obtained by contacting the Greenwich Capital Markets, Inc. Trading Desk at (203) 625-6160.
Please be advised that the securities described herein may not be appropriate for all investors. Potential investors must be willing to assume, among other things, market price volatility, prepayment, yield curve and interest rate risks. Investors should make every effort to consider the risks of these securities.
If you have received this communication in error, please notify the sending party immediately by telephone and return the original to such party by mail.
Sensitivity Tables
Class A-1 To Call | ||||||||||||
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| 12% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR | 40% CPR | ||||||
WAL (yr) | 6.44 | 5.24 | 3.91 | 3.04 | 2.44 | 1.70 | ||||||
MDUR (yr) | 5.70 | 4.72 | 3.60 | 2.84 | 2.31 | 1.63 | ||||||
First Prin Pay | 11/20/2004 | 11/20/2004 | 11/20/2004 | 11/20/2004 | 11/20/2004 | 11/20/2004 | ||||||
Last Prin Pay | 7/20/2020 | 1/20/2018 | 1/20/2015 | 11/20/2012 | 4/20/2011 | 5/20/2009 |
Class A-1 To Maturity | ||||||||||
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| 12% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR | 40% CPR | ||||
WAL (yr) | 6.82 | 5.62 | 4.24 | 3.33 | 2.69 | 1.87 | ||||
MDUR (yr) | 5.95 | 4.99 | 3.85 | 3.07 | 2.51 | 1.78 | ||||
First Prin Pay | 11/20/2004 | 11/20/2004 | 11/20/2004 | 11/20/2004 | 11/20/2004 | 11/20/2004 | ||||
Last Prin Pay | 9/20/2034 | 9/20/2034 | 9/20/2034 | 9/20/2034 | 9/20/2034 | 9/20/2034 |
Class A-2 To Call | ||||||||||||
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| 12% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR | 40% CPR | ||||||
WAL (yr) | 6.44 | 5.24 | 3.91 | 3.04 | 2.44 | 1.70 | ||||||
MDUR (yr) | 5.61 | 4.65 | 3.56 | 2.82 | 2.29 | 1.62 | ||||||
First Prin Pay | 11/20/2004 | 11/20/2004 | 11/20/2004 | 11/20/2004 | 11/20/2004 | 11/20/2004 | ||||||
Last Prin Pay | 7/20/2020 | 1/20/2018 | 1/20/2015 | 11/20/2012 | 4/20/2011 | 5/20/2009 |
Class A-2 To Maturity | ||||||||||
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| 12% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR | 40% CPR | ||||
WAL (yr) | 6.85 | 5.63 | 4.25 | 3.33 | 2.69 | 1.87 | ||||
MDUR (yr) | 5.86 | 4.91 | 3.80 | 3.04 | 2.49 | 1.77 | ||||
First Prin Pay | 11/20/2004 | 11/20/2004 | 11/20/2004 | 11/20/2004 | 11/20/2004 | 11/20/2004 | ||||
Last Prin Pay | 9/20/2034 | 9/20/2034 | 9/20/2034 | 9/20/2034 | 9/20/2034 | 9/20/2034 |
Sensitivity Tables
Class B-1 To Call | |||||||
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| 12% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR | 40% CPR | |
WAL (yr) | 10.94 | 8.97 | 6.73 | 5.44 | 4.60 | 3.46 | |
MDUR (yr) | 9.40 | 7.89 | 6.08 | 5.01 | 4.28 | 3.27 | |
First Prin Pay | 5/20/2010 | 3/20/2009 | 1/20/2008 | 4/20/2007 | 11/20/2006 | 4/20/2006 | |
Last Prin Pay | 7/20/2020 | 1/20/2018 | 1/20/2015 | 11/20/2012 | 4/20/2011 | 5/20/2009 |
Class B-1 To Maturity | |||||||||||
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| 12% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR | 40% CPR | |||||
WAL (yr) | 11.78 | 9.80 | 7.46 | 6.12 | 5.26 | 4.05 | |||||
MDUR (yr) | 9.93 | 8.44 | 6.61 | 5.53 | 4.81 | 3.77 | |||||
First Prin Pay | 5/20/2010 | 3/20/2009 | 1/20/2008 | 4/20/2007 | 11/20/2006 | 4/20/2006 | |||||
Last Prin Pay | 9/20/2034 | 9/20/2034 | 9/20/2034 | 9/20/2034 | 9/20/2034 | 9/20/2034 |
Class B-2 To Call | |||||||||||
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| 12% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR | 40% CPR | |||||
WAL (yr) | 10.94 | 8.97 | 6.73 | 5.44 | 4.60 | 3.46 | |||||
MDUR (yr) | 9.19 | 7.74 | 5.99 | 4.94 | 4.24 | 3.24 | |||||
First Prin Pay | 5/20/2010 | 3/20/2009 | 1/20/2008 | 4/20/2007 | 11/20/2006 | 4/20/2006 | |||||
Last Prin Pay | 7/20/2020 | 1/20/2018 | 1/20/2015 | 11/20/2012 | 4/20/2011 | 5/20/2009 |
Class B-2 To Maturity | |||||||||||
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12% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR | 40% CPR | ||||||
WAL (yr) | 11.78 | 9.80 | 7.46 | 6.12 | 5.26 | 4.05 | |||||
MDUR (yr) | 9.69 | 8.26 | 6.49 | 5.45 | 4.75 | 3.73 | |||||
First Prin Pay | 5/20/2010 | 3/20/2009 | 1/20/2008 | 4/20/2007 | 11/20/2006 | 4/20/2006 | |||||
Last Prin Pay | 9/20/2034 | 9/20/2034 | 9/20/2034 | 9/20/2034 | 9/20/2034 | 9/20/2034 |
Class A-1, Class A-2, Class B-1 and Class B-2 Certificates
Effective Net WAC Cap Schedule
Assumptions : | |||
20% CPR | |||
To Cleanup Call | |||
1MO & 6MO LIBOR spike to 20% in month 1 | |||
Class A-1, Class A-2, Class B-1 & Class B-2 Hard Cap of 11.50% |
Distribution | Class A-1 | Class A-2 | Class B-1 and Class B-2 | ||
Period | 30/360 | 30/360 | 30/360 | ||
Net WAC | Net WAC | Net WAC | |||
1 | 2.992 | 3.198 | 3.092 | ||
2 | 9.086 | 3.198 | 6.240 | ||
3 | 9.187 | 3.428 | 6.403 | ||
4 | 9.277 | 4.002 | 6.727 | ||
5 | 9.298 | 4.090 | 6.781 | ||
6 | 11.437 | 10.715 | 11.088 | ||
7 and After | 11.500 | 11.500 | 11.500 |
.
Mortgage Loan Statistics
As of the Statistical Cut-off Date
Minimum | Maximum | ||
Scheduled Principal Balance | $685,002,204 | $30,000 | $3,000,000 |
Average Scheduled Principal Balance | $358,640 | ||
Number of Mortgage Loans | 1,910 | ||
Weighted Average Gross Coupon | 3.476% | 2.000% | 4.500% |
Weighted Average FICO Score | 732 | 624 | 817 |
Weighted Average Combined Original LTV | 71.77% | 9.44% | 100.00% |
Weighted Average Original Term | 341 months | 300 months | 360 months |
Weighted Average Stated Remaining Term | 340 months | 264 months | 360 months |
Weighted Average Seasoning | 1 months | 0 months | 36 months |
Weighted Average Gross Margin | 1.709% | 1.000% | 3.500% |
Weighted Average Minimum Interest Rate | 1.709% | 1.000% | 3.500% |
Weighted Average Maximum Interest Rate | 12.028% | 12.000% | 15.000% |
Weighted Average Months to Roll | 4 months | 1 months | 6 months |
Maturity Date | Oct 1, 2026 | Oct 1, 2034 | |
Maximum Zip Code Concentration | 0.59% | 94010 |
Current Principal Balance ($) | # 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 | 7 | 330,000.00 | 0.05% | 3.527 | 327 | 41.67 | 755 |
50,000.01 - 100,000.00 | 94 | 7,792,344.28 | 1.14% | 3.431 | 347 | 68.49 | 731 |
100,000.01 - 150,000.00 | 263 | 33,424,545.78 | 4.88% | 3.526 | 351 | 73.63 | 729 |
150,000.01 - 200,000.00 | 293 | 51,358,864.05 | 7.50% | 3.483 | 348 | 72.67 | 728 |
200,000.01 - 250,000.00 | 193 | 43,365,719.08 | 6.33% | 3.429 | 347 | 74.15 | 732 |
250,000.01 - 300,000.00 | 186 | 51,137,955.78 | 7.47% | 3.452 | 347 | 72.38 | 731 |
300,000.01 - 350,000.00 | 136 | 44,349,610.12 | 6.47% | 3.465 | 344 | 74.70 | 731 |
350,000.01 - 400,000.00 | 150 | 56,567,980.00 | 8.26% | 3.481 | 335 | 72.35 | 734 |
400,000.01 - 450,000.00 | 99 | 42,517,124.79 | 6.21% | 3.509 | 343 | 71.20 | 732 |
450,000.01 - 500,000.00 | 103 | 49,180,610.98 | 7.18% | 3.490 | 340 | 69.59 | 741 |
500,000.01 - 550,000.00 | 75 | 39,408,538.36 | 5.75% | 3.470 | 340 | 73.85 | 734 |
550,000.01 - 600,000.00 | 66 | 38,507,894.00 | 5.62% | 3.526 | 333 | 73.03 | 727 |
600,000.01 - 650,000.00 | 51 | 32,167,329.99 | 4.70% | 3.522 | 347 | 71.18 | 732 |
650,000.01 - 700,000.00 | 30 | 20,305,775.01 | 2.96% | 3.514 | 329 | 74.94 | 742 |
700,000.01 - 750,000.00 | 24 | 17,467,552.00 | 2.55% | 3.422 | 332 | 71.31 | 735 |
750,000.01 - 800,000.00 | 23 | 18,131,700.00 | 2.65% | 3.447 | 341 | 70.68 | 731 |
800,000.01 - 850,000.00 | 9 | 7,463,455.00 | 1.09% | 3.456 | 326 | 69.50 | 706 |
850,000.01 - 900,000.00 | 18 | 15,833,144.06 | 2.31% | 3.463 | 330 | 66.95 | 734 |
900,000.01 - 950,000.00 | 12 | 11,177,083.71 | 1.63% | 3.480 | 336 | 64.70 | 726 |
950,000.01 - 1,000,000.00 | 26 | 25,813,599.98 | 3.77% | 3.498 | 338 | 64.61 | 730 |
1,000,000.01+ | 52 | 78,701,377.21 | 11.49% | 3.436 | 332 | 71.43 | 729 |
Total | 1,910 | 685,002,204.18 | 100.00% | 3.476 | 340 | 71.77 | 732 |
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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 |
2.000 - 2.499 | 1 | 487,499.98 | 0.07% | 2.000 | 345 | 78.63 | 693 |
2.500 - 2.999 | 98 | 38,007,671.97 | 5.55% | 2.826 | 352 | 69.95 | 735 |
3.000 - 3.499 | 748 | 272,419,055.07 | 39.77% | 3.201 | 337 | 73.05 | 732 |
3.500 - 3.999 | 905 | 310,932,118.25 | 45.39% | 3.673 | 340 | 71.70 | 732 |
4.000 - 4.499 | 157 | 63,031,058.91 | 9.20% | 4.089 | 348 | 67.74 | 726 |
4.500 - 4.999 | 1 | 124,800.00 | 0.02% | 4.500 | 359 | 45.41 | 812 |
Total | 1,910 | 685,002,204.18 | 100.00% | 3.476 | 340 | 71.77 | 732 |
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Credit Score | # 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 |
600-624 | 2 | 490,700.00 | 0.07% | 3.336 | 300 | 73.57 | 624 |
625-649 | 19 | 6,795,686.00 | 0.99% | 3.404 | 313 | 79.81 | 641 |
650-674 | 167 | 50,612,399.46 | 7.39% | 3.517 | 343 | 71.92 | 664 |
675-699 | 310 | 114,645,930.93 | 16.74% | 3.470 | 342 | 73.09 | 688 |
700+ | 1,412 | 512,457,487.79 | 74.81% | 3.474 | 340 | 71.36 | 749 |
Total | 1,910 | 685,002,204.18 | 100.00% | 3.476 | 340 | 71.77 | 732 |
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Combined 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 | 128 | 44,576,144.28 | 6.51% | 3.533 | 334 | 40.72 | 736 |
50.00- 54.99 | 59 | 20,345,276.48 | 2.97% | 3.409 | 346 | 52.20 | 736 |
55.00- 59.99 | 75 | 32,579,003.35 | 4.76% | 3.502 | 348 | 57.45 | 732 |
60.00- 64.99 | 133 | 56,057,368.44 | 8.18% | 3.524 | 345 | 62.37 | 739 |
65.00- 69.99 | 159 | 69,691,164.84 | 10.17% | 3.495 | 347 | 67.81 | 728 |
70.00- 74.99 | 288 | 111,328,436.29 | 16.25% | 3.526 | 344 | 72.03 | 731 |
75.00- 79.99 | 420 | 136,707,788.63 | 19.96% | 3.441 | 344 | 77.43 | 728 |
80.00 | 547 | 180,186,360.28 | 26.30% | 3.454 | 334 | 80.00 | 732 |
80.01- 84.99 | 10 | 1,824,900.00 | 0.27% | 3.597 | 345 | 83.86 | 720 |
85.00- 89.99 | 23 | 8,271,762.79 | 1.21% | 3.344 | 332 | 88.76 | 730 |
90.00- 94.99 | 23 | 4,713,500.00 | 0.69% | 3.576 | 343 | 92.18 | 717 |
95.00- 99.99 | 18 | 4,168,149.80 | 0.61% | 3.718 | 339 | 95.46 | 732 |
100.00 | 27 | 14,552,349.00 | 2.12% | 3.233 | 300 | 100.00 | 730 |
Total | 1,910 | 685,002,204.18 | 100.00% | 3.476 | 340 | 71.77 | 732 |
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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 |
300 | 484 | 213,222,761.95 | 31.13% | 3.420 | 299 | 73.86 | 736 |
360 | 1,426 | 471,779,442.23 | 68.87% | 3.501 | 359 | 70.83 | 730 |
Total | 1,910 | 685,002,204.18 | 100.00% | 3.476 | 340 | 71.77 | 732 |
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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 |
241-300 | 484 | 213,222,761.95 | 31.13% | 3.420 | 299 | 73.86 | 736 |
301-360 | 1,426 | 471,779,442.23 | 68.87% | 3.501 | 359 | 70.83 | 730 |
Total | 1,910 | 685,002,204.18 | 100.00% | 3.476 | 340 | 71.77 | 732 |
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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 MO LIBOR | 621 | 246,483,409.33 | 35.98% | 3.273 | 335 | 72.88 | 733 |
6 MO LIBOR | 1,289 | 438,518,794.85 | 64.02% | 3.590 | 343 | 71.16 | 731 |
Total | 1,910 | 685,002,204.18 | 100.00% | 3.476 | 340 | 71.77 | 732 |
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Interest Only | # 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 |
Interest Only | 1,910 | 685,002,204.18 | 100.00% | 3.476 | 340 | 71.77 | 732 |
Total | 1,910 | 685,002,204.18 | 100.00% | 3.476 | 340 | 71.77 | 732 |
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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 | 1,234 | 486,037,806.86 | 70.95% | 3.508 | 332 | 71.82 | 733 |
Prepay Penalty: 36 months | 676 | 198,964,397.32 | 29.05% | 3.396 | 359 | 71.67 | 729 |
Total | 1,910 | 685,002,204.18 | 100.00% | 3.476 | 340 | 71.77 | 732 |
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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 | 1,910 | 685,002,204.18 | 100.00% | 3.476 | 340 | 71.77 | 732 |
Total | 1,910 | 685,002,204.18 | 100.00% | 3.476 | 340 | 71.77 | 732 |
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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 |
Alternative Documentation | 219 | 97,429,075.18 | 14.22% | 3.255 | 301 | 75.91 | 728 |
Asset, No Income | 364 | 142,948,773.03 | 20.87% | 3.649 | 359 | 65.85 | 728 |
Full Documentation | 1,124 | 357,021,622.60 | 52.12% | 3.463 | 353 | 73.28 | 731 |
Limited Documentation | 77 | 41,321,878.58 | 6.03% | 3.763 | 306 | 69.70 | 752 |
Lite Documentation | 118 | 42,772,179.79 | 6.24% | 3.251 | 300 | 72.27 | 738 |
No Ratio | 8 | 3,508,675.00 | 0.51% | 3.185 | 300 | 62.89 | 749 |
Total | 1,910 | 685,002,204.18 | 100.00% | 3.476 | 340 | 71.77 | 732 |
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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 | 589 | 201,302,183.99 | 29.39% | 3.454 | 343 | 67.63 | 730 |
Purchase | 715 | 294,511,992.02 | 42.99% | 3.489 | 333 | 76.30 | 737 |
Rate/Term Refinance | 606 | 189,188,028.17 | 27.62% | 3.478 | 349 | 69.15 | 725 |
Total | 1,910 | 685,002,204.18 | 100.00% | 3.476 | 340 | 71.77 | 732 |
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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 |
Condominium | 200 | 68,350,554.34 | 9.98% | 3.458 | 330 | 75.54 | 736 |
Cooperative | 9 | 3,539,750.00 | 0.52% | 3.596 | 314 | 64.23 | 732 |
Planned Unit Development | 516 | 191,384,688.02 | 27.94% | 3.477 | 344 | 71.99 | 732 |
Single Family | 1,150 | 408,995,123.85 | 59.71% | 3.477 | 341 | 71.21 | 731 |
Townhouse | 2 | 669,555.16 | 0.10% | 4.000 | 323 | 72.13 | 742 |
Two-Four Family | 33 | 12,062,532.81 | 1.76% | 3.467 | 334 | 68.17 | 742 |
Total | 1,910 | 685,002,204.18 | 100.00% | 3.476 | 340 | 71.77 | 732 |
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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 |
Investor | 51 | 13,766,502.99 | 2.01% | 3.360 | 314 | 66.67 | 741 |
Primary | 1,702 | 608,306,963.52 | 88.80% | 3.486 | 342 | 71.70 | 732 |
Second Home | 157 | 62,928,737.67 | 9.19% | 3.402 | 324 | 73.59 | 730 |
Total | 1,910 | 685,002,204.18 | 100.00% | 3.476 | 340 | 71.77 | 732 |
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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 | 1 | 61,250.00 | 0.01% | 2.875 | 299 | 70.00 | 753 |
Alaska | 1 | 205,000.00 | 0.03% | 3.500 | 298 | 100.00 | 781 |
Arizona | 99 | 29,564,015.83 | 4.32% | 3.541 | 347 | 72.34 | 727 |
Arkansas | 2 | 263,982.42 | 0.04% | 3.243 | 327 | 82.10 | 774 |
California | 394 | 185,899,010.01 | 27.14% | 3.592 | 343 | 68.82 | 735 |
Colorado | 80 | 23,824,750.95 | 3.48% | 3.497 | 350 | 71.39 | 737 |
Connecticut | 10 | 6,336,100.00 | 0.92% | 2.954 | 353 | 58.05 | 743 |
Delaware | 3 | 790,600.00 | 0.12% | 3.059 | 325 | 59.23 | 756 |
District of Columbia | 7 | 4,018,515.16 | 0.59% | 3.346 | 319 | 73.18 | 700 |
Florida | 156 | 56,917,580.52 | 8.31% | 3.464 | 335 | 73.54 | 733 |
Georgia | 95 | 27,884,096.86 | 4.07% | 3.499 | 342 | 74.60 | 729 |
Hawaii | 9 | 7,178,950.00 | 1.05% | 3.263 | 300 | 84.61 | 724 |
Idaho | 1 | 122,200.00 | 0.02% | 3.625 | 359 | 78.84 | 723 |
Illinois | 65 | 20,256,221.00 | 2.96% | 3.497 | 339 | 73.67 | 736 |
Indiana | 2 | 500,000.00 | 0.07% | 3.500 | 300 | 80.00 | 725 |
Kansas | 7 | 1,374,250.00 | 0.20% | 3.459 | 324 | 75.77 | 704 |
Kentucky | 9 | 2,031,910.31 | 0.30% | 3.350 | 348 | 63.78 | 743 |
Louisiana | 1 | 150,000.00 | 0.02% | 3.375 | 357 | 75.00 | 743 |
Maine | 11 | 3,210,900.00 | 0.47% | 3.484 | 320 | 72.52 | 701 |
Maryland | 44 | 20,470,969.00 | 2.99% | 3.485 | 337 | 73.48 | 731 |
Massachusetts | 34 | 15,987,500.00 | 2.33% | 3.336 | 318 | 70.11 | 745 |
Michigan | 45 | 13,962,498.24 | 2.04% | 3.375 | 344 | 75.51 | 717 |
Minnesota | 46 | 16,199,006.98 | 2.36% | 3.396 | 346 | 76.41 | 744 |
Mississippi | 2 | 326,900.00 | 0.05% | 3.613 | 332 | 82.73 | 795 |
Missouri | 5 | 1,457,943.00 | 0.21% | 3.362 | 305 | 79.92 | 730 |
Nebraska | 2 | 530,000.00 | 0.08% | 2.929 | 333 | 59.54 | 669 |
Nevada | 45 | 15,873,176.00 | 2.32% | 3.612 | 330 | 72.77 | 729 |
New Hampshire | 3 | 665,000.00 | 0.10% | 3.732 | 358 | 72.60 | 715 |
New Jersey | 55 | 25,287,225.39 | 3.69% | 3.484 | 324 | 67.50 | 735 |
New Mexico | 5 | 1,172,720.00 | 0.17% | 3.674 | 350 | 81.02 | 724 |
New York | 56 | 32,691,546.31 | 4.77% | 3.446 | 325 | 70.91 | 722 |
North Carolina | 72 | 23,593,450.00 | 3.44% | 3.295 | 345 | 72.49 | 725 |
Ohio | 208 | 38,134,667.98 | 5.57% | 3.397 | 357 | 76.12 | 726 |
Oklahoma | 1 | 147,996.00 | 0.02% | 3.625 | 300 | 80.00 | 713 |
Oregon | 13 | 3,454,200.00 | 0.50% | 3.481 | 335 | 72.91 | 748 |
Pennsylvania | 28 | 8,199,400.00 | 1.20% | 3.516 | 344 | 74.19 | 743 |
Rhode Island | 4 | 1,091,420.00 | 0.16% | 3.448 | 348 | 74.48 | 749 |
South Carolina | 30 | 9,727,410.51 | 1.42% | 3.381 | 333 | 72.24 | 730 |
Tennessee | 29 | 7,525,351.20 | 1.10% | 3.447 | 340 | 77.16 | 732 |
Texas | 52 | 17,076,895.77 | 2.49% | 3.351 | 352 | 69.73 | 733 |
Utah | 28 | 6,011,294.14 | 0.88% | 3.409 | 357 | 75.88 | 723 |
Vermont | 2 | 202,000.00 | 0.03% | 3.574 | 300 | 71.83 | 745 |
Virginia | 82 | 34,566,602.32 | 5.05% | 3.391 | 341 | 72.36 | 729 |
Washington | 61 | 18,352,418.28 | 2.68% | 3.408 | 351 | 72.58 | 731 |
West Virginia | 1 | 253,750.00 | 0.04% | 3.250 | 300 | 70.00 | 745 |
Wisconsin | 4 | 1,451,530.00 | 0.21% | 3.315 | 300 | 74.08 | 691 |
Total | 1,910 | 685,002,204.18 | 100.00% | 3.476 | 340 | 71.77 | 732 |
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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 |
1.000 - 1.499 | 381 | 153,400,903.19 | 22.39% | 3.069 | 325 | 73.11 | 732 |
1.500 - 1.999 | 1,108 | 372,952,769.01 | 54.45% | 3.507 | 341 | 72.46 | 733 |
2.000 - 2.499 | 418 | 157,010,531.98 | 22.92% | 3.796 | 352 | 68.87 | 728 |
2.500 - 2.999 | 2 | 1,314,000.00 | 0.19% | 3.768 | 356 | 65.85 | 774 |
3.500 - 3.999 | 1 | 324,000.00 | 0.05% | 3.500 | 356 | 80.00 | 695 |
Total | 1,910 | 685,002,204.18 | 100.00% | 3.476 | 340 | 71.77 | 732 |
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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 |
1.000 - 1.499 | 381 | 153,400,903.19 | 22.39% | 3.069 | 325 | 73.11 | 732 |
1.500 - 1.999 | 1,108 | 372,952,769.01 | 54.45% | 3.507 | 341 | 72.46 | 733 |
2.000 - 2.499 | 418 | 157,010,531.98 | 22.92% | 3.796 | 352 | 68.87 | 728 |
2.500 - 2.999 | 2 | 1,314,000.00 | 0.19% | 3.768 | 356 | 65.85 | 774 |
3.500 - 3.999 | 1 | 324,000.00 | 0.05% | 3.500 | 356 | 80.00 | 695 |
Total | 1,910 | 685,002,204.18 | 100.00% | 3.476 | 340 | 71.77 | 732 |
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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 |
12.000 -12.499 | 1,826 | 648,986,533.05 | 94.74% | 3.487 | 339 | 71.95 | 731 |
12.500 -12.999 | 83 | 35,654,871.13 | 5.21% | 3.276 | 357 | 68.45 | 744 |
15.000 -15.499 | 1 | 360,800.00 | 0.05% | 3.000 | 359 | 80.00 | 732 |
Total | 1,910 | 685,002,204.18 | 100.00% | 3.476 | 340 | 71.77 | 732 |
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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 |
11/01/04 | 637 | 254,860,455.38 | 37.21% | 3.274 | 335 | 72.49 | 733 |
12/01/04 | 31 | 12,367,043.41 | 1.81% | 3.321 | 354 | 72.16 | 711 |
01/01/05 | 57 | 23,442,250.62 | 3.42% | 3.201 | 354 | 70.07 | 737 |
02/01/05 | 97 | 34,510,479.15 | 5.04% | 3.504 | 351 | 72.18 | 732 |
03/01/05 | 567 | 195,956,993.00 | 28.61% | 3.647 | 342 | 71.56 | 731 |
04/01/05 | 521 | 163,864,982.62 | 23.92% | 3.630 | 340 | 71.04 | 731 |
Total | 1,910 | 685,002,204.18 | 100.00% | 3.476 | 340 | 71.77 | 732 |
Group I Mortgage Loan Statistics
As of the Statistical Cut-off Date
Minimum | Maximum | ||
Scheduled Principal Balance | $353,904,046 | $30,000 | $3,000,000 |
Average Scheduled Principal Balance | $379,725 | ||
Number of Mortgage Loans | 932 | ||
Weighted Average Gross Coupon | 3.376% | 2.000% | 4.500% |
Weighted Average FICO Score | 732 | 624 | 817 |
Weighted Average Combined Original LTV | 72.20% | 9.44% | 100.00% |
Weighted Average Original Term | 339 months | 300 months | 360 months |
Weighted Average Stated Remaining Term | 338 months | 264 months | 360 months |
Weighted Average Seasoning | 1 months | 0 months | 36 months |
Weighted Average Gross Margin | 1.668% | 1.000% | 2.375% |
Weighted Average Minimum Interest Rate | 1.668% | 1.000% | 2.375% |
Weighted Average Maximum Interest Rate | 12.021% | 12.000% | 15.000% |
Weighted Average Months to Roll | 2 months | 1 months | 6 months |
Maturity Date | Oct 1, 2026 | Oct 1, 2034 | |
Maximum Zip Code Concentration | 0.98% | 22066 |
Current Principal Balance ($) | # 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 | 3 | 130,000.00 | 0.04% | 3.519 | 323 | 22.39 | 782 |
50,000.01 - 100,000.00 | 40 | 3,129,650.00 | 0.88% | 3.321 | 343 | 69.25 | 730 |
100,000.01 - 150,000.00 | 123 | 15,466,555.57 | 4.37% | 3.449 | 347 | 74.41 | 732 |
150,000.01 - 200,000.00 | 139 | 24,231,799.97 | 6.85% | 3.365 | 342 | 73.26 | 728 |
200,000.01 - 250,000.00 | 88 | 19,821,159.99 | 5.60% | 3.302 | 343 | 74.16 | 736 |
250,000.01 - 300,000.00 | 92 | 25,387,881.26 | 7.17% | 3.376 | 344 | 71.80 | 734 |
300,000.01 - 350,000.00 | 64 | 20,900,845.68 | 5.91% | 3.345 | 342 | 74.96 | 731 |
350,000.01 - 400,000.00 | 73 | 27,623,050.00 | 7.81% | 3.361 | 338 | 70.76 | 736 |
400,000.01 - 450,000.00 | 49 | 21,037,919.98 | 5.94% | 3.467 | 339 | 69.45 | 732 |
450,000.01 - 500,000.00 | 46 | 22,091,099.98 | 6.24% | 3.295 | 339 | 69.23 | 738 |
500,000.01 - 550,000.00 | 40 | 21,109,200.00 | 5.96% | 3.336 | 343 | 73.63 | 737 |
550,000.01 - 600,000.00 | 35 | 20,419,224.00 | 5.77% | 3.478 | 332 | 75.11 | 726 |
600,000.01 - 650,000.00 | 34 | 21,390,754.99 | 6.04% | 3.445 | 349 | 69.09 | 740 |
650,000.01 - 700,000.00 | 13 | 8,766,952.45 | 2.48% | 3.434 | 323 | 76.60 | 736 |
700,000.01 - 750,000.00 | 15 | 10,859,602.00 | 3.07% | 3.325 | 323 | 75.18 | 739 |
750,000.01 - 800,000.00 | 15 | 11,882,500.00 | 3.36% | 3.411 | 344 | 71.08 | 738 |
800,000.01 - 850,000.00 | 3 | 2,490,000.00 | 0.70% | 3.159 | 339 | 70.85 | 729 |
850,000.01 - 900,000.00 | 9 | 7,859,294.06 | 2.22% | 3.289 | 315 | 71.12 | 712 |
900,000.01 - 950,000.00 | 6 | 5,626,755.83 | 1.59% | 3.459 | 333 | 61.52 | 733 |
950,000.01 - 1,000,000.00 | 11 | 10,960,949.98 | 3.10% | 3.294 | 341 | 64.31 | 726 |
1,000,000.01+ | 34 | 52,718,850.00 | 14.90% | 3.380 | 329 | 74.28 | 725 |
Total | 932 | 353,904,045.74 | 100.00% | 3.376 | 338 | 72.20 | 732 |
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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 |
2.000 - 2.499 | 1 | 487,499.98 | 0.14% | 2.000 | 345 | 78.63 | 693 |
2.500 - 2.999 | 59 | 20,671,899.90 | 5.84% | 2.844 | 346 | 69.58 | 737 |
3.000 - 3.499 | 490 | 193,976,953.97 | 54.81% | 3.178 | 330 | 74.08 | 732 |
3.500 - 3.999 | 330 | 113,867,415.98 | 32.17% | 3.658 | 347 | 70.95 | 733 |
4.000 - 4.499 | 51 | 24,775,475.91 | 7.00% | 4.093 | 349 | 65.43 | 725 |
4.500 - 4.999 | 1 | 124,800.00 | 0.04% | 4.500 | 359 | 45.41 | 812 |
Total | 932 | 353,904,045.74 | 100.00% | 3.376 | 338 | 72.20 | 732 |
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Credit Score | # 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 |
600-624 | 1 | 226,700.00 | 0.06% | 3.000 | 300 | 66.09 | 624 |
625-649 | 10 | 4,356,493.00 | 1.23% | 3.330 | 312 | 79.19 | 640 |
650-674 | 75 | 25,615,073.48 | 7.24% | 3.442 | 334 | 70.29 | 665 |
675-699 | 138 | 55,790,747.14 | 15.76% | 3.368 | 338 | 74.26 | 688 |
700+ | 708 | 267,915,032.12 | 75.70% | 3.372 | 339 | 71.84 | 749 |
Total | 932 | 353,904,045.74 | 100.00% | 3.376 | 338 | 72.20 | 732 |
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Combined 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 | 66 | 23,775,050.00 | 6.72% | 3.434 | 331 | 40.23 | 735 |
50.00- 54.99 | 27 | 9,908,699.98 | 2.80% | 3.409 | 342 | 52.31 | 732 |
55.00- 59.99 | 35 | 12,471,251.44 | 3.52% | 3.421 | 337 | 57.99 | 735 |
60.00- 64.99 | 64 | 29,010,683.14 | 8.20% | 3.492 | 340 | 62.11 | 735 |
65.00- 69.99 | 84 | 41,507,081.84 | 11.73% | 3.410 | 347 | 67.85 | 727 |
70.00- 74.99 | 144 | 57,958,791.36 | 16.38% | 3.443 | 346 | 72.25 | 735 |
75.00- 79.99 | 184 | 63,676,856.19 | 17.99% | 3.299 | 341 | 77.29 | 731 |
80.00 | 270 | 92,045,258.20 | 26.01% | 3.332 | 333 | 80.00 | 731 |
80.01- 84.99 | 2 | 308,900.00 | 0.09% | 3.554 | 360 | 84.63 | 687 |
85.00- 89.99 | 11 | 5,309,962.79 | 1.50% | 3.219 | 321 | 88.89 | 739 |
90.00- 94.99 | 12 | 2,365,750.00 | 0.67% | 3.529 | 339 | 92.05 | 731 |
95.00- 99.99 | 9 | 2,096,349.80 | 0.59% | 3.665 | 342 | 95.00 | 723 |
100.00 | 24 | 13,469,411.00 | 3.81% | 3.209 | 300 | 100.00 | 730 |
Total | 932 | 353,904,045.74 | 100.00% | 3.376 | 338 | 72.20 | 732 |
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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 |
300 | 281 | 123,717,174.88 | 34.96% | 3.235 | 299 | 74.50 | 731 |
360 | 651 | 230,186,870.86 | 65.04% | 3.451 | 359 | 70.96 | 732 |
Total | 932 | 353,904,045.74 | 100.00% | 3.376 | 338 | 72.20 | 732 |
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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 |
241-300 | 281 | 123,717,174.88 | 34.96% | 3.235 | 299 | 74.50 | 731 |
301-360 | 651 | 230,186,870.86 | 65.04% | 3.451 | 359 | 70.96 | 732 |
Total | 932 | 353,904,045.74 | 100.00% | 3.376 | 338 | 72.20 | 732 |
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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 MO LIBOR | 621 | 246,483,409.33 | 69.65% | 3.273 | 335 | 72.88 | 733 |
6 MO LIBOR | 311 | 107,420,636.41 | 30.35% | 3.613 | 345 | 70.64 | 729 |
Total | 932 | 353,904,045.74 | 100.00% | 3.376 | 338 | 72.20 | 732 |
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Interest Only | # 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 |
Interest Only | 932 | 353,904,045.74 | 100.00% | 3.376 | 338 | 72.20 | 732 |
Total | 932 | 353,904,045.74 | 100.00% | 3.376 | 338 | 72.20 | 732 |
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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 | 619 | 252,044,577.39 | 71.22% | 3.398 | 329 | 72.16 | 732 |
Prepay Penalty: 36 months | 313 | 101,859,468.35 | 28.78% | 3.321 | 359 | 72.30 | 733 |
Total | 932 | 353,904,045.74 | 100.00% | 3.376 | 338 | 72.20 | 732 |
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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 | 932 | 353,904,045.74 | 100.00% | 3.376 | 338 | 72.20 | 732 |
Total | 932 | 353,904,045.74 | 100.00% | 3.376 | 338 | 72.20 | 732 |
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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 |
Alternative Documentation | 144 | 69,426,005.50 | 19.62% | 3.151 | 300 | 75.96 | 730 |
Asset, No Income | 171 | 67,061,247.78 | 18.95% | 3.593 | 359 | 66.04 | 729 |
Full Documentation | 512 | 175,535,528.67 | 49.60% | 3.417 | 354 | 73.23 | 733 |
Limited Documentation | 10 | 6,176,125.00 | 1.75% | 3.670 | 316 | 65.67 | 745 |
Lite Documentation | 89 | 33,019,463.79 | 9.33% | 3.158 | 300 | 73.29 | 732 |
No Ratio | 6 | 2,685,675.00 | 0.76% | 3.065 | 300 | 62.74 | 735 |
Total | 932 | 353,904,045.74 | 100.00% | 3.376 | 338 | 72.20 | 732 |
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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 | 290 | 111,006,413.61 | 31.37% | 3.394 | 338 | 67.52 | 729 |
Purchase | 367 | 156,498,642.04 | 44.22% | 3.358 | 333 | 76.49 | 737 |
Rate/Term Refinance | 275 | 86,398,990.09 | 24.41% | 3.384 | 346 | 70.43 | 726 |
Total | 932 | 353,904,045.74 | 100.00% | 3.376 | 338 | 72.20 | 732 |
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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 |
Condominium | 100 | 38,459,006.53 | 10.87% | 3.346 | 327 | 76.33 | 736 |
Cooperative | 3 | 1,605,000.00 | 0.45% | 3.532 | 331 | 55.77 | 739 |
Planned Unit Development | 224 | 85,773,262.02 | 24.24% | 3.359 | 341 | 72.66 | 733 |
Single Family | 585 | 219,342,272.03 | 61.98% | 3.386 | 339 | 71.50 | 731 |
Townhouse | 1 | 299,555.16 | 0.08% | 4.000 | 352 | 75.00 | 685 |
Two-Four Family | 19 | 8,424,950.00 | 2.38% | 3.365 | 328 | 69.65 | 739 |
Total | 932 | 353,904,045.74 | 100.00% | 3.376 | 338 | 72.20 | 732 |
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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 |
Investor | 32 | 8,954,022.99 | 2.53% | 3.208 | 313 | 68.69 | 748 |
Primary | 810 | 306,077,645.11 | 86.49% | 3.391 | 341 | 71.91 | 731 |
Second Home | 90 | 38,872,377.64 | 10.98% | 3.296 | 317 | 75.26 | 732 |
Total | 932 | 353,904,045.74 | 100.00% | 3.376 | 338 | 72.20 | 732 |
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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 | 1 | 61,250.00 | 0.02% | 2.875 | 299 | 70.00 | 753 |
Alaska | 1 | 205,000.00 | 0.06% | 3.500 | 298 | 100.00 | 781 |
Arizona | 38 | 12,917,662.58 | 3.65% | 3.460 | 339 | 72.93 | 720 |
Arkansas | 1 | 139,000.00 | 0.04% | 3.125 | 300 | 100.00 | 800 |
California | 178 | 90,928,556.00 | 25.69% | 3.496 | 344 | 68.66 | 735 |
Colorado | 34 | 10,447,280.00 | 2.95% | 3.402 | 350 | 72.79 | 747 |
Connecticut | 6 | 2,137,000.00 | 0.60% | 3.211 | 343 | 63.97 | 744 |
Delaware | 2 | 432,400.00 | 0.12% | 3.212 | 299 | 42.03 | 740 |
District of Columbia | 5 | 2,968,515.16 | 0.84% | 3.316 | 305 | 75.82 | 703 |
Florida | 74 | 28,003,549.00 | 7.91% | 3.259 | 328 | 73.29 | 744 |
Georgia | 40 | 12,330,320.00 | 3.48% | 3.454 | 338 | 76.59 | 731 |
Hawaii | 6 | 5,807,700.00 | 1.64% | 3.161 | 299 | 87.51 | 714 |
Idaho | 1 | 122,200.00 | 0.03% | 3.625 | 359 | 78.84 | 723 |
Illinois | 38 | 11,610,025.00 | 3.28% | 3.374 | 340 | 71.82 | 746 |
Kansas | 6 | 1,222,250.00 | 0.35% | 3.361 | 320 | 75.37 | 701 |
Kentucky | 2 | 526,464.48 | 0.15% | 3.166 | 319 | 65.01 | 754 |
Maine | 6 | 1,541,400.00 | 0.44% | 3.428 | 313 | 71.35 | 717 |
Maryland | 20 | 9,112,649.00 | 2.57% | 3.462 | 343 | 75.98 | 737 |
Massachusetts | 19 | 9,362,500.00 | 2.65% | 3.097 | 308 | 72.90 | 748 |
Michigan | 27 | 8,832,081.99 | 2.50% | 3.277 | 340 | 76.34 | 714 |
Minnesota | 24 | 9,101,154.00 | 2.57% | 3.307 | 346 | 79.68 | 745 |
Mississippi | 1 | 178,500.00 | 0.05% | 3.500 | 358 | 85.00 | 816 |
Missouri | 3 | 923,920.00 | 0.26% | 3.162 | 308 | 80.00 | 727 |
Nebraska | 2 | 530,000.00 | 0.15% | 2.929 | 333 | 59.54 | 669 |
Nevada | 23 | 7,386,726.00 | 2.09% | 3.403 | 317 | 71.86 | 722 |
New Hampshire | 1 | 166,500.00 | 0.05% | 3.500 | 359 | 79.98 | 691 |
New Jersey | 36 | 17,727,724.39 | 5.01% | 3.407 | 323 | 65.78 | 727 |
New Mexico | 1 | 185,000.00 | 0.05% | 3.000 | 300 | 100.00 | 773 |
New York | 36 | 24,942,563.50 | 7.05% | 3.409 | 327 | 70.17 | 722 |
North Carolina | 28 | 10,396,000.00 | 2.94% | 3.231 | 338 | 74.06 | 723 |
Ohio | 102 | 20,322,819.99 | 5.74% | 3.304 | 356 | 75.97 | 725 |
Oregon | 7 | 1,779,800.00 | 0.50% | 3.275 | 335 | 75.77 | 726 |
Pennsylvania | 14 | 4,077,000.00 | 1.15% | 3.326 | 339 | 74.18 | 736 |
Rhode Island | 2 | 535,500.00 | 0.15% | 3.235 | 360 | 72.00 | 732 |
South Carolina | 13 | 4,045,500.00 | 1.14% | 3.296 | 325 | 77.83 | 741 |
Tennessee | 16 | 4,239,151.20 | 1.20% | 3.412 | 337 | 78.58 | 737 |
Texas | 23 | 6,889,793.49 | 1.95% | 3.223 | 351 | 67.05 | 729 |
Utah | 16 | 3,798,700.00 | 1.07% | 3.401 | 358 | 76.30 | 729 |
Vermont | 1 | 30,000.00 | 0.01% | 4.000 | 300 | 25.00 | 775 |
Virginia | 34 | 14,490,549.96 | 4.09% | 3.266 | 346 | 71.99 | 727 |
Washington | 40 | 12,724,060.00 | 3.60% | 3.411 | 355 | 74.11 | 730 |
West Virginia | 1 | 253,750.00 | 0.07% | 3.250 | 300 | 70.00 | 745 |
Wisconsin | 3 | 471,530.00 | 0.13% | 3.191 | 300 | 70.66 | 711 |
Total | 932 | 353,904,045.74 | 100.00% | 3.376 | 338 | 72.20 | 732 |
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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 |
1.000 - 1.499 | 284 | 116,713,408.79 | 32.98% | 3.057 | 316 | 73.91 | 732 |
1.500 - 1.999 | 468 | 161,699,315.22 | 45.69% | 3.419 | 346 | 73.19 | 734 |
2.000 - 2.499 | 180 | 75,491,321.73 | 21.33% | 3.777 | 354 | 67.41 | 728 |
Total | 932 | 353,904,045.74 | 100.00% | 3.376 | 338 | 72.20 | 732 |
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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 |
1.000 - 1.499 | 284 | 116,713,408.79 | 32.98% | 3.057 | 316 | 73.91 | 732 |
1.500 - 1.999 | 468 | 161,699,315.22 | 45.69% | 3.419 | 346 | 73.19 | 734 |
2.000 - 2.499 | 180 | 75,491,321.73 | 21.33% | 3.777 | 354 | 67.41 | 728 |
Total | 932 | 353,904,045.74 | 100.00% | 3.376 | 338 | 72.20 | 732 |
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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 |
12.000 -12.499 | 900 | 340,676,525.80 | 96.26% | 3.376 | 337 | 72.24 | 731 |
12.500 -12.999 | 31 | 12,866,719.94 | 3.64% | 3.392 | 357 | 70.86 | 747 |
15.000 -15.499 | 1 | 360,800.00 | 0.10% | 3.000 | 359 | 80.00 | 732 |
Total | 932 | 353,904,045.74 | 100.00% | 3.376 | 338 | 72.20 | 732 |
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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 |
11/01/04 | 627 | 249,926,409.31 | 70.62% | 3.274 | 335 | 72.64 | 733 |
12/01/04 | 8 | 3,927,049.98 | 1.11% | 3.321 | 352 | 66.25 | 698 |
01/01/05 | 16 | 5,573,201.78 | 1.57% | 3.145 | 355 | 76.53 | 728 |
02/01/05 | 25 | 7,599,943.19 | 2.15% | 3.647 | 346 | 73.79 | 739 |
03/01/05 | 152 | 53,494,510.00 | 15.12% | 3.641 | 344 | 71.93 | 726 |
04/01/05 | 104 | 33,382,931.48 | 9.43% | 3.698 | 344 | 68.91 | 735 |
Total | 932 | 353,904,045.74 | 100.00% | 3.376 | 338 | 72.20 | 732 |
Group II Mortgage Loan Statistics
As of the Statistical Cut-off Date
Minimum | Maximum | ||
Scheduled Principal Balance | $331,098,158 | $50,000 | $2,000,000 |
Average Scheduled Principal Balance | $338,546 | ||
Number of Mortgage Loans | 978 | ||
Weighted Average Gross Coupon | 3.583% | 2.625% | 4.375% |
Weighted Average FICO Score | 731 | 624 | 817 |
Weighted Average Combined Original LTV | 71.32% | 19.00% | 100.00% |
Weighted Average Original Term | 344 months | 300 months | 360 months |
Weighted Average Stated Remaining Term | 343 months | 274 months | 360 months |
Weighted Average Seasoning | 1 months | 0 months | 26 months |
Weighted Average Gross Margin | 1.753% | 1.000% | 3.500% |
Weighted Average Minimum Interest Rate | 1.753% | 1.000% | 3.500% |
Weighted Average Maximum Interest Rate | 12.034% | 12.000% | 12.500% |
Weighted Average Months to Roll | 5 months | 1 months | 6 months |
Maturity Date | Aug 1, 2027 | Oct 1, 2034 | |
Maximum Zip Code Concentration | 0.88% | 22102 |
Current Principal Balance ($) | # 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 | 4 | 200,000.00 | 0.06% | 3.531 | 330 | 54.19 | 738 |
50,000.01 - 100,000.00 | 54 | 4,662,694.28 | 1.41% | 3.506 | 349 | 67.99 | 731 |
100,000.01 - 150,000.00 | 140 | 17,957,990.21 | 5.42% | 3.591 | 355 | 72.96 | 726 |
150,000.01 - 200,000.00 | 154 | 27,127,064.08 | 8.19% | 3.589 | 354 | 72.14 | 729 |
200,000.01 - 250,000.00 | 105 | 23,544,559.09 | 7.11% | 3.535 | 350 | 74.15 | 728 |
250,000.01 - 300,000.00 | 94 | 25,750,074.52 | 7.78% | 3.526 | 349 | 72.95 | 728 |
300,000.01 - 350,000.00 | 72 | 23,448,764.44 | 7.08% | 3.572 | 345 | 74.46 | 732 |
350,000.01 - 400,000.00 | 77 | 28,944,930.00 | 8.74% | 3.595 | 333 | 73.86 | 732 |
400,000.01 - 450,000.00 | 50 | 21,479,204.81 | 6.49% | 3.551 | 346 | 72.92 | 732 |
450,000.01 - 500,000.00 | 57 | 27,089,511.00 | 8.18% | 3.649 | 341 | 69.89 | 743 |
500,000.01 - 550,000.00 | 35 | 18,299,338.36 | 5.53% | 3.625 | 337 | 74.10 | 731 |
550,000.01 - 600,000.00 | 31 | 18,088,670.00 | 5.46% | 3.580 | 334 | 70.70 | 729 |
600,000.01 - 650,000.00 | 17 | 10,776,575.00 | 3.25% | 3.676 | 345 | 75.33 | 716 |
650,000.01 - 700,000.00 | 17 | 11,538,822.56 | 3.49% | 3.574 | 334 | 73.68 | 747 |
700,000.01 - 750,000.00 | 9 | 6,607,950.00 | 2.00% | 3.582 | 345 | 64.96 | 729 |
750,000.01 - 800,000.00 | 8 | 6,249,200.00 | 1.89% | 3.516 | 336 | 69.92 | 718 |
800,000.01 - 850,000.00 | 6 | 4,973,455.00 | 1.50% | 3.604 | 320 | 68.83 | 694 |
850,000.01 - 900,000.00 | 9 | 7,973,850.00 | 2.41% | 3.635 | 345 | 62.85 | 756 |
900,000.01 - 950,000.00 | 6 | 5,550,327.88 | 1.68% | 3.501 | 339 | 67.93 | 719 |
950,000.01 - 1,000,000.00 | 15 | 14,852,650.00 | 4.49% | 3.649 | 336 | 64.83 | 734 |
1,000,000.01+ | 18 | 25,982,527.21 | 7.85% | 3.550 | 338 | 65.64 | 736 |
Total | 978 | 331,098,158.44 | 100.00% | 3.583 | 343 | 71.32 | 731 |
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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 |
2.500 - 2.999 | 39 | 17,335,772.07 | 5.24% | 2.805 | 358 | 70.39 | 731 |
3.000 - 3.499 | 258 | 78,442,101.10 | 23.69% | 3.258 | 352 | 70.51 | 732 |
3.500 - 3.999 | 575 | 197,064,702.27 | 59.52% | 3.682 | 337 | 72.13 | 732 |
4.000 - 4.499 | 106 | 38,255,583.00 | 11.55% | 4.087 | 348 | 69.24 | 726 |
Total | 978 | 331,098,158.44 | 100.00% | 3.583 | 343 | 71.32 | 731 |
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Credit Score | # 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 |
600-624 | 1 | 264,000.00 | 0.08% | 3.625 | 300 | 80.00 | 624 |
625-649 | 9 | 2,439,193.00 | 0.74% | 3.537 | 316 | 80.93 | 642 |
650-674 | 92 | 24,997,325.98 | 7.55% | 3.593 | 353 | 73.59 | 662 |
675-699 | 172 | 58,855,183.79 | 17.78% | 3.567 | 346 | 71.98 | 688 |
700+ | 704 | 244,542,455.67 | 73.86% | 3.586 | 341 | 70.83 | 750 |
Total | 978 | 331,098,158.44 | 100.00% | 3.583 | 343 | 71.32 | 731 |
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Combined 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 | 62 | 20,801,094.28 | 6.28% | 3.647 | 338 | 41.29 | 737 |
50.00- 54.99 | 32 | 10,436,576.50 | 3.15% | 3.409 | 350 | 52.11 | 740 |
55.00- 59.99 | 40 | 20,107,751.91 | 6.07% | 3.552 | 355 | 57.11 | 731 |
60.00- 64.99 | 69 | 27,046,685.30 | 8.17% | 3.559 | 350 | 62.64 | 744 |
65.00- 69.99 | 75 | 28,184,083.00 | 8.51% | 3.620 | 347 | 67.76 | 729 |
70.00- 74.99 | 144 | 53,369,644.93 | 16.12% | 3.616 | 342 | 71.78 | 727 |
75.00- 79.99 | 236 | 73,030,932.44 | 22.06% | 3.565 | 346 | 77.56 | 726 |
80.00 | 277 | 88,141,102.08 | 26.62% | 3.581 | 334 | 80.00 | 734 |
80.01- 84.99 | 8 | 1,516,000.00 | 0.46% | 3.606 | 342 | 83.70 | 726 |
85.00- 89.99 | 12 | 2,961,800.00 | 0.89% | 3.568 | 351 | 88.53 | 714 |
90.00- 94.99 | 11 | 2,347,750.00 | 0.71% | 3.624 | 347 | 92.31 | 703 |
95.00- 99.99 | 9 | 2,071,800.00 | 0.63% | 3.772 | 336 | 95.94 | 741 |
100.00 | 3 | 1,082,938.00 | 0.33% | 3.538 | 300 | 100.00 | 730 |
Total | 978 | 331,098,158.44 | 100.00% | 3.583 | 343 | 71.32 | 731 |
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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 |
300 | 203 | 89,505,587.07 | 27.03% | 3.676 | 299 | 72.97 | 743 |
360 | 775 | 241,592,571.37 | 72.97% | 3.548 | 359 | 70.71 | 727 |
Total | 978 | 331,098,158.44 | 100.00% | 3.583 | 343 | 71.32 | 731 |
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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 |
241-300 | 203 | 89,505,587.07 | 27.03% | 3.676 | 299 | 72.97 | 743 |
301-360 | 775 | 241,592,571.37 | 72.97% | 3.548 | 359 | 70.71 | 727 |
Total | 978 | 331,098,158.44 | 100.00% | 3.583 | 343 | 71.32 | 731 |
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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 |
6 MO LIBOR | 978 | 331,098,158.44 | 100.00% | 3.583 | 343 | 71.32 | 731 |
Total | 978 | 331,098,158.44 | 100.00% | 3.583 | 343 | 71.32 | 731 |
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Interest Only | # 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 |
Interest Only | 978 | 331,098,158.44 | 100.00% | 3.583 | 343 | 71.32 | 731 |
Total | 978 | 331,098,158.44 | 100.00% | 3.583 | 343 | 71.32 | 731 |
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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 | 615 | 233,993,229.47 | 70.67% | 3.627 | 336 | 71.45 | 734 |
Prepay Penalty: 36 months | 363 | 97,104,928.97 | 29.33% | 3.475 | 359 | 71.01 | 726 |
Total | 978 | 331,098,158.44 | 100.00% | 3.583 | 343 | 71.32 | 731 |
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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 | 978 | 331,098,158.44 | 100.00% | 3.583 | 343 | 71.32 | 731 |
Total | 978 | 331,098,158.44 | 100.00% | 3.583 | 343 | 71.32 | 731 |
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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 |
Alternative Documentation | 75 | 28,003,069.68 | 8.46% | 3.511 | 303 | 75.79 | 724 |
Asset, No Income | 193 | 75,887,525.25 | 22.92% | 3.698 | 359 | 65.69 | 726 |
Full Documentation | 612 | 181,486,093.93 | 54.81% | 3.508 | 352 | 73.34 | 729 |
Limited Documentation | 67 | 35,145,753.58 | 10.61% | 3.779 | 304 | 70.41 | 753 |
Lite Documentation | 29 | 9,752,716.00 | 2.95% | 3.564 | 300 | 68.81 | 758 |
No Ratio | 2 | 823,000.00 | 0.25% | 3.576 | 300 | 63.37 | 795 |
Total | 978 | 331,098,158.44 | 100.00% | 3.583 | 343 | 71.32 | 731 |
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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 | 299 | 90,295,770.38 | 27.27% | 3.526 | 348 | 67.77 | 730 |
Purchase | 348 | 138,013,349.98 | 41.68% | 3.639 | 333 | 76.07 | 738 |
Rate/Term Refinance | 331 | 102,789,038.08 | 31.04% | 3.557 | 352 | 68.07 | 724 |
Total | 978 | 331,098,158.44 | 100.00% | 3.583 | 343 | 71.32 | 731 |
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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 |
Condominium | 100 | 29,891,547.81 | 9.03% | 3.602 | 335 | 74.52 | 736 |
Cooperative | 6 | 1,934,750.00 | 0.58% | 3.650 | 300 | 71.24 | 727 |
Planned Unit Development | 292 | 105,611,426.00 | 31.90% | 3.574 | 345 | 71.45 | 731 |
Single Family | 565 | 189,652,851.82 | 57.28% | 3.581 | 343 | 70.88 | 731 |
Townhouse | 1 | 370,000.00 | 0.11% | 4.000 | 299 | 69.81 | 789 |
Two-Four Family | 14 | 3,637,582.81 | 1.10% | 3.703 | 347 | 64.74 | 749 |
Total | 978 | 331,098,158.44 | 100.00% | 3.583 | 343 | 71.32 | 731 |
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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 |
Investor | 19 | 4,812,480.00 | 1.45% | 3.644 | 318 | 62.92 | 728 |
Primary | 892 | 302,229,318.41 | 91.28% | 3.582 | 344 | 71.49 | 732 |
Second Home | 67 | 24,056,360.03 | 7.27% | 3.573 | 335 | 70.88 | 728 |
Total | 978 | 331,098,158.44 | 100.00% | 3.583 | 343 | 71.32 | 731 |
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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 |
Arizona | 61 | 16,646,353.25 | 5.03% | 3.604 | 354 | 71.88 | 732 |
Arkansas | 1 | 124,982.42 | 0.04% | 3.375 | 358 | 62.19 | 745 |
California | 216 | 94,970,454.01 | 28.68% | 3.685 | 342 | 68.96 | 735 |
Colorado | 46 | 13,377,470.95 | 4.04% | 3.572 | 350 | 70.31 | 729 |
Connecticut | 4 | 4,199,100.00 | 1.27% | 2.823 | 358 | 55.04 | 743 |
Delaware | 1 | 358,200.00 | 0.11% | 2.875 | 356 | 80.00 | 776 |
District of Columbia | 2 | 1,050,000.00 | 0.32% | 3.429 | 357 | 65.71 | 692 |
Florida | 82 | 28,914,031.52 | 8.73% | 3.662 | 341 | 73.78 | 723 |
Georgia | 55 | 15,553,776.86 | 4.70% | 3.534 | 346 | 73.02 | 727 |
Hawaii | 3 | 1,371,250.00 | 0.41% | 3.693 | 304 | 72.34 | 767 |
Illinois | 27 | 8,646,196.00 | 2.61% | 3.661 | 337 | 76.16 | 723 |
Indiana | 2 | 500,000.00 | 0.15% | 3.500 | 300 | 80.00 | 725 |
Kansas | 1 | 152,000.00 | 0.05% | 4.250 | 359 | 78.96 | 725 |
Kentucky | 7 | 1,505,445.83 | 0.45% | 3.415 | 358 | 63.35 | 739 |
Louisiana | 1 | 150,000.00 | 0.05% | 3.375 | 357 | 75.00 | 743 |
Maine | 5 | 1,669,500.00 | 0.50% | 3.535 | 327 | 73.60 | 686 |
Maryland | 24 | 11,358,320.00 | 3.43% | 3.503 | 333 | 71.48 | 726 |
Massachusetts | 15 | 6,625,000.00 | 2.00% | 3.674 | 331 | 66.15 | 742 |
Michigan | 18 | 5,130,416.25 | 1.55% | 3.543 | 350 | 74.08 | 721 |
Minnesota | 22 | 7,097,852.98 | 2.14% | 3.510 | 345 | 72.21 | 741 |
Mississippi | 1 | 148,400.00 | 0.04% | 3.750 | 300 | 80.00 | 769 |
Missouri | 2 | 534,023.00 | 0.16% | 3.709 | 300 | 79.78 | 734 |
Nevada | 22 | 8,486,450.00 | 2.56% | 3.794 | 340 | 73.55 | 735 |
New Hampshire | 2 | 498,500.00 | 0.15% | 3.810 | 358 | 70.14 | 724 |
New Jersey | 19 | 7,559,501.00 | 2.28% | 3.666 | 325 | 71.53 | 755 |
New Mexico | 4 | 987,720.00 | 0.30% | 3.800 | 359 | 77.47 | 715 |
New York | 20 | 7,748,982.81 | 2.34% | 3.567 | 319 | 73.29 | 722 |
North Carolina | 44 | 13,197,450.00 | 3.99% | 3.346 | 349 | 71.25 | 727 |
Ohio | 106 | 17,811,847.99 | 5.38% | 3.503 | 358 | 76.28 | 728 |
Oklahoma | 1 | 147,996.00 | 0.04% | 3.625 | 300 | 80.00 | 713 |
Oregon | 6 | 1,674,400.00 | 0.51% | 3.700 | 334 | 69.86 | 770 |
Pennsylvania | 14 | 4,122,400.00 | 1.25% | 3.703 | 349 | 74.19 | 750 |
Rhode Island | 2 | 555,920.00 | 0.17% | 3.653 | 336 | 76.87 | 765 |
South Carolina | 17 | 5,681,910.51 | 1.72% | 3.441 | 339 | 68.25 | 721 |
Tennessee | 13 | 3,286,200.00 | 0.99% | 3.492 | 343 | 75.32 | 726 |
Texas | 29 | 10,187,102.28 | 3.08% | 3.437 | 352 | 71.55 | 735 |
Utah | 12 | 2,212,594.14 | 0.67% | 3.424 | 354 | 75.17 | 713 |
Vermont | 1 | 172,000.00 | 0.05% | 3.500 | 300 | 80.00 | 740 |
Virginia | 48 | 20,076,052.36 | 6.06% | 3.481 | 338 | 72.63 | 730 |
Washington | 21 | 5,628,358.28 | 1.70% | 3.403 | 342 | 69.13 | 733 |
Wisconsin | 1 | 980,000.00 | 0.30% | 3.375 | 300 | 75.73 | 681 |
Total | 978 | 331,098,158.44 | 100.00% | 3.583 | 343 | 71.32 | 731 |
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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 |
1.000 - 1.499 | 97 | 36,687,494.40 | 11.08% | 3.106 | 353 | 70.57 | 730 |
1.500 - 1.999 | 640 | 211,253,453.79 | 63.80% | 3.575 | 338 | 71.90 | 733 |
2.000 - 2.499 | 238 | 81,519,210.25 | 24.62% | 3.814 | 350 | 70.22 | 728 |
2.500 - 2.999 | 2 | 1,314,000.00 | 0.40% | 3.768 | 356 | 65.85 | 774 |
3.500 - 3.999 | 1 | 324,000.00 | 0.10% | 3.500 | 356 | 80.00 | 695 |
Total | 978 | 331,098,158.44 | 100.00% | 3.583 | 343 | 71.32 | 731 |
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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 |
1.000 - 1.499 | 97 | 36,687,494.40 | 11.08% | 3.106 | 353 | 70.57 | 730 |
1.500 - 1.999 | 640 | 211,253,453.79 | 63.80% | 3.575 | 338 | 71.90 | 733 |
2.000 - 2.499 | 238 | 81,519,210.25 | 24.62% | 3.814 | 350 | 70.22 | 728 |
2.500 - 2.999 | 2 | 1,314,000.00 | 0.40% | 3.768 | 356 | 65.85 | 774 |
3.500 - 3.999 | 1 | 324,000.00 | 0.10% | 3.500 | 356 | 80.00 | 695 |
Total | 978 | 331,098,158.44 | 100.00% | 3.583 | 343 | 71.32 | 731 |
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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 |
12.000 -12.499 | 926 | 308,310,007.25 | 93.12% | 3.610 | 342 | 71.63 | 731 |
12.500 -12.999 | 52 | 22,788,151.19 | 6.88% | 3.210 | 358 | 67.09 | 742 |
Total | 978 | 331,098,158.44 | 100.00% | 3.583 | 343 | 71.32 | 731 |
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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 |
11/01/04 | 10 | 4,934,046.07 | 1.49% | 3.305 | 352 | 64.92 | 728 |
12/01/04 | 23 | 8,439,993.43 | 2.55% | 3.321 | 355 | 74.91 | 717 |
01/01/05 | 41 | 17,869,048.84 | 5.40% | 3.218 | 354 | 68.05 | 740 |
02/01/05 | 72 | 26,910,535.96 | 8.13% | 3.464 | 353 | 71.72 | 730 |
03/01/05 | 415 | 142,462,483.00 | 43.03% | 3.649 | 341 | 71.42 | 733 |
04/01/05 | 417 | 130,482,051.14 | 39.41% | 3.612 | 340 | 71.59 | 730 |
Total | 978 | 331,098,158.44 | 100.00% | 3.583 | 343 | 71.32 | 731 |