COMPUTATIONAL MATERIALS FOR
SEMT 2004-12
Computational Materials
$589,081,000(Approximately)
Offered Certificates
Sequoia Mortgage Trust Series 2004-12
Mortgage Pass-Through Certificates
Adjustable Rate Residential Mortgage Loans
RWT Holdings, Inc.
Seller
Sequoia Residential Funding, Inc.
Depositor
Wells Fargo Bank, N.A.
Master Servicer and Custodian
December [9 ], 2004
Recipients must read the information contained in the attached statement. Do not use or rely on this information if you have not received or reviewed the statement. If you have not received the statement, call your Merrill Lynch account executive for another copy. The collateral information set forth in the Computational Materials supersedes any previously distributed collateral information relating to the securities discussed in this communication and will be superseded by the information set forth in the Prospectus and Prospectus Supplement.
The attached tables and other statistical analyses (the "Computational Materials") are furnished to you solely by Merrill Lynch, Pierce, Fenner & Smith Incorporated ("Merrill Lynch") and not by the issuer of the securities or any of its affiliates. The issuer of these securities has not prepared or taken part in the preparation of these materials. None of Merrill Lynch, the issuer of the securities nor any of their affiliates makes any representation as to the accuracy or completeness of the information herein. The information herein is preliminary, and will be superseded by the applicable Prospectus Supplement and by any other information subsequently filed with the Securities and Exchange Commission. The information herein may not be provided by the addressees to any third party other than the addressee's legal, tax, financial and/or accounting advis ors for the purposes of evaluating said material.
Numerous assumptions were used in preparing the Computational Materials which may or may not be stated therein. As such, no assurance can be given as to the accuracy, appropriateness or completeness of the Computational Materials in any particular context; or 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 yields or weighted average lives shown in the Computational Materials are based on prepayment assumptions and actual prepayment experience may dramatically affect such yields or weighted average lives. In addition, it is possible that prepayments on the underlying assets will occur at rates slower or faster than the rates assumed 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 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.
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 the Securities and Exchange Commission. This communication shall not constitute an offer to sell or the solicitation of any 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 under the securities laws of any such state. Prospective purchasers are referred to the final prospectus and prospectus supplement relating to the securities discussed in this communication for definitive information on any matter discussed in this communication. A final pro spectus and prospectus supplement may be obtained by contacting the Merrill Lynch Trading Desk at (212) 449-3659.
Please be advised that residential mortgage-backed securities may not be appropriate for all investors. Potential investors must be willing to assume, among other things, market price volatility, prepayments, yield curve and interest rate risk. Investors should fully consider the risk of an investment in 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.
FOR ADDITIONAL INFORMATION PLEASE CALL:
Banking / Deal Management
Matt Whalen | (212) 449-0752 |
Paul Park | (212) 449-6380 |
Tom Saywell | (212) 449-2122 |
Alan Chan | (212) 449-8140 |
Fred Hubert | (212) 449-5071 |
Alice Chang | (212) 449-1701 |
Sonia Lee | (212) 449-5067 |
Oleg Saitskiy | (212) 449-1901 |
Keith Singletary | (212) 449-9431 |
Calvin Look | (212) 449-5029 |
Trading | |
Scott Soltas | (212) 449-3659 |
Charles Sorrentino | (212) 449-3659 |
Edgar Seah | (212) 449-3659 |
Research | |
Glenn Costello | (212) 449-4457 |
DEAL STRUCTURE SUMMARY:
SEQUOIA MORTGAGE TRUST 2004-12
Mortgage Pass-Through Certificates
$589,081,000 (Approximate, Subject to Final Collateral)
Offered Certificates
Adjustable Rate Residential Mortgage Loans
Class | Principal Balance (1) | WAL (Yrs) (Call/Mat)(2) | Pymt Window (Months)(Call/Mat)(2) | Certificate Interest Rates | Tranche Type | Expected Rtgs S&P/Moody’s/[Fitch] | ||
1-A-1 | $ | 380,510,000 | 3.94/4.29 | 1 – 123 / 1 – 359 | Floater | Senior | AAA/Aaa/AAA | |
1-A-2 | $ | 208,571,000 | 3.94/4.29 | 1 – 123 / 1 – 359 | Floater(4) | Senior | AAA/Aaa/AAA | |
2-A-1 | $ | 217,625,934 | Information Not Provided Hereby | Senior | AAA/Aaa/AAA | |||
1-X-A | $ | 589,081,000 | (5) | N/A | N/A | Interest Only | Notional/Senior | AAA/Aaa/AAA |
2-X-A | $ | 217,625,934 | (6) | N/A | N/A | Interest Only | Notional/Senior | AAA/Aaa/AAA |
1-X-B | $ | 18,407,000 | (7) | Notional/Senior | AAA/Aaa/AAA | |||
A-R | $ | 100 | Information Not Provided Hereby | Residual | AAA/Aaa/AAA | |||
B-1 | $ | 8,590,000 | Subordinate | AA/Aa2/AA | ||||
B-2 | $ | 6,136,000 | Subordinate | A/A2/A | ||||
B-3 | $ | 3,681,000 | Subordinate | BBB/Baa2/BBB | ||||
B-4 | $ | 2,454,000 | Subordinate | BB+/Ba2/BB | ||||
B-5 | $ | 920,000 | Subordinate | BB-/B2/B | ||||
B-6 | $ | 2,764,396 | Subordinate | NR/NR/NR | ||||
Total | $ | 830,670,261 |
(1)
Distributions on the Class 1-A-1 Certificates will be primarily derived from one-month and six-month LIBOR adjustable rate mortgage loans (“Group 1A Mortgage Loans”) as described herein. Distribution on the Class 1-A-2 Certificates will be primarily derived from six-month LIBOR adjustable rate mortgage loans (“Group 1B Mortgage Loans”) as described herein. Distributions on the Class 2-A-1 Certificates will be derived from the Underlying Certificates described herein. Distributions on the Subordinate Certificates will be derived solely from the 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 to Call for the Class 1-A-1 and Class 1-A-2 Certificates are shown to the Clean-Up Call Date at pricing speed of 20% CPR. The WAL and Payment Windows to Maturity for the Class 1-A-1 and Class 1-A-2 Certificates are shown at pricing speed of 20% CPR (as described herein).
(3)
The Class 1-A-1 Certificates will initially have an interest rate equal to the least of (i) One-Month LIBOR plus [ ] bps (which margin doubles on the first distribution date after the Clean-Up Call Date (as described herein)), (ii) the Group 1A Net WAC (as described herein) and (iii) 11.50%.
(4)
The Class 1-A-2 Certificates will initially have an interest rate equal to the least of (i) Six-Month LIBOR plus [ ] bps (which margin doubles on the first distribution date after the Clean-Up Call Date (as described herein)), (ii) the Group 1B Net WAC (as described herein) and (iii) 11.50%. In the case of the Class 1-A-2 Certificates, Six-Month LIBOR will reset every 6 months beginning with the first Distribution Date in January 2005.
(5)
The balance shown is the combined initial notional amount of the two components that make up the Class 1-X-A Certificates. The notional amount of the Class 1-X-A Certificates for any Distribution Date is equal to the aggregate class principal amounts of the Class 1-A-1 and Class 1-A-2 Certificates, immediately prior to such distribution date. Interest will accrue on the Class 1-X-A Certificates as described in the Prospectus Supplement. The Class 1-X-A Certificates are interest-only Certificates and will not be entitled to distributions of principal.
(6)
The notional amount of the Class 2-X-A Certificates for any Distribution Date is equal to the class principal amount of the Class 2-A-1 Certificates, immediately prior to such distribution date. Interest will accrue on the Class 2-X-A Certificates as described in the Prospectus Supplement. The Class 2-X-A Certificates are interest-only Certificates and will not be entitled to distributions of principal.
(7)
The notional amount of the Class 1-X-B Certificates for any distribution date is equal to the aggregate class principal amount of the Class B-1, Class B-2 and Class B-3 Certificates immediately prior to such distribution date. Interest will accrue on the Class 1-X-B Certificates as described in the Prospectus Supplement. The Class 1-X-B Certificates are interest-only Certificates and will not be entitled to distributions of principal.
Depositor: | Sequoia Residential Funding, Inc. |
Joint Lead Managers: | Merrill Lynch, Pierce, Fenner & Smith Incorporated and Morgan Stanley & Co. Incorporated |
Co-Managers: | Greenwich Capital Markets, Inc. and Banc of America Securities LLC |
Master Servicer: | Wells Fargo Bank, N.A. |
Trustee: | HSBC Bank USA. |
Custodian: | Wells Fargo Bank, N.A. |
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 4 of this Preliminary Term Sheet. |
Cut-off Date: | December 1, 2004. |
Pricing Date: | On or about December [10], 2004. |
Closing Date: | On or about December [22], 2004. |
Distribution Dates: | The 20th day of each month (or if not a business day, the next succeeding business day), commencing in January 2005. |
Certificates: | The “Senior Certificates” will consist of the Class 1-A-1, Class 1-A-2 and Class 2-A-1, the Class 1-X-A, Class 1-X-B and Class 2-X-A (together, the ���Class X Certificates”) and Class A-R Certificates. 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”. |
Offered Certificates: | Only the Class 1-A-1, Class 1-A-2, Class 2-A-1, Class 1-X-A, Class 2-X-A, Class 1-X-B, Class B-1, Class B-2 and Class B-3 Certificates (collectively, the “Publicly Offered Certificates”) are being offered publicly. The Class 1-A-1, Class 1-A-2, Class 1-X-A and Class 2-X-A Certificates are being offered hereby. |
Accrued Interest: | The Class 1-A-1 and Class 1-A-2 will settle flat. |
Accrual Period: | The interest accrual period (the “Accrual Period”) with respect to the Class 1-A-1 and Class 1-A-2 Certificates for each Distribution Date will be the period beginning on the 20th day of the month prior to such Distribution Date (or, in the case of the first Distribution Date, the Closing Date) and ending on the 19th day of the month of such Distribution Date 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 the Euroclear system. |
Federal Tax Treatment: | It is anticipated that the Offered Certificates will represent ownership of REMIC regular interests along with rights under interest rate cap agreements held outside the REMIC 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 (other than the Class A-R 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 an optional purchase of the Mortgage Loans in the trust on the date (the “Clean-Up Call Date”) on which the aggregate principal balance of the Mortgage Loans is equal to 10% or less of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date. |
Pricing Prepayment | The Offered Certificates will be priced to a prepayment speed of 20% CPR. |
Trust Assets: | The assets of the trust will consist primarily of (1) 2 groups of adjustable rate, prime quality mortgage loans secured by first liens on one- to four-family residential properties and (2) the Underlying Certificate. The information on the Mortgage Loans and the underlying mortgage loans related to the Underlying Certificate described herein is as of November 1, 2004 (“Statistical Calculation Date”). |
Mortgage Loans: | The Mortgage Loans will consist of 2 groups (Group 1A and Group 1B) of approximately 1,777 adjustable rate, prime quality mortgage loans secured by first liens on one- to four-family residential properties. As of the Statistical Calculation Date, the Mortgage Loans have an aggregate principal balance of approximately $613,626,497. Approximately 34.59% and 65.41% of the Mortgage Loans are one-month LIBOR indexed and six-month LIBOR indexed Mortgage Loans, respectively. |
Group 1A | As of the Statistical Calculation Date, the Group 1A Mortgage Loans have an aggregate principal balance of approximately $396,364,705, which equals approximately 64.59% of the Mortgage Loans. |
Approximately 53.56% and 46.44% of the Group 1A Mortgage Loans are one-month and six-month LIBOR indexed Mortgage Loans, respectively. Approximately 4.77% and 94.95% of the Group 1A Mortgage Loans are scheduled to pay interest only for the first 5 and 10 years, respectively. 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. | |
Group 1B | As of the Statistical Calculation Date, the Group 1B Mortgage Loans have an aggregate principal balance of approximately $217,261,792, which equals approximately 35.41% of the Mortgage Loans. |
All of the Group 1B Mortgage Loans are six-month LIBOR indexed Mortgage Loans. Approximately 7.09% and 92.73% of the Group 1B Mortgage Loans are scheduled to pay interest only for the first 5 and 10 years, respectively. 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. | |
Underlying | The trust fund will include $231,000,000 initial principle balance of a previously issued mortgage pass-through certificate (SEMT 2004-7, Class A1) representing a senior ownership interest in one of three pools of adjustable rate mortgage loans secured by first liens on one-to-four-family residential properties (the “Underlying Certificate”). |
Group Subordinate | For any Distribution Date and for Group 1A, the excess of the aggregate of the principal balances of the Group 1A Mortgage Loans at the beginning of the related collection period over the Principal Balance of the Class 1-A-1 Certificates immediately before such Distribution Date. |
For any Distribution Date and for Group 1B, the excess of the aggregate of the principal balances of the Group 1B Mortgage Loans at the beginning of the related collection period over the Principal Balance of the Class 1-A-2 Certificates immediately before such Distribution Date. | |
Delay Days: | The Class 1-A-1 and Class 1-A-2 Certificates will have 0 delay days. |
Net WAC Caps: | In the case of the Class 1-A-1 Certificates, the weighted average of the net mortgage rates of the Group 1A Mortgage Loans. The Class 1-A-1 Certificates will have a coupon equal to the least of (i) one-month LIBOR plus the related margin, (ii) the related Net WAC Cap and (iii) 11.50%. |
In the case of the Class 1-A-2 Certificates, the weighted average of the net mortgage rates of the Group 1B Mortgage Loans. The Class 1-A-2 Certificates will have a coupon equal to the least of (i) the six-month LIBOR plus the related margin, (ii) the related Net WAC Cap and (iii) 11.50%. | |
If on any Distribution Date, the Certificate Interest Rate of the Class 1-A-1 or Class 1-A-2 Certificates is subject to the related Net WAC Cap, such Certificates become 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 applicable Certificate Interest Rate without giving effect to the related Net WAC Cap (together, a “Net WAC Shortfall”) from amounts on deposit in the Reserve Fund. | |
Reserve Fund: | As of the Closing Date, the “Reserve Fund” will be established on behalf of the Class 1-A-1, Class 1-A-2, Class B-1, Class B-2 and Class B-3 Certificates (together, the “LIBOR Certificates”). The Reserve Fund will be funded with any excess interest available as described in “Certificates’ Priority of Distributions” herein. The Reserve Fund will not be an asset of the REMIC. On any Distribution Date, the LIBOR 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, if any. Amounts otherwise distributable in respect of the Class 1-X-A Certificates will instead be deposited into the Reserve Fund and distributed to the Class 1-A-1 and Class 1-A-2 Certificates, pro rata, to the extent of any Net WAC Shortfalls for such Classes. Amounts otherwise distributable in re spect of the Class 1-X-B Certificates will instead be deposited in to the Reserve Fund and distributed to the Class B-1, Class B-2 and Class B-3 Certificates, in that order, to the extent of any Net WAC Shortfalls for such Classes. Any amounts remaining in the Reserve Fund after such distribution will be distributed to the Class 1-X-A and Class 1-X-B Certificates, as applicable. |
Credit Enhancement: | Senior/subordinate, shifting interest structure. |
Certificates S&P/Moody's/Fitch Bond Sizes* Initial Subordination* Senior Certificates AAA/Aaa/AAA 96.00% 4.00% * | |
* Preliminary and subject to revision. | |
Shifting Interest: | Until the first Distribution Date occurring on or after January 2015, the Subordinate Certificates will be locked out from receipt of all scheduled and unscheduled principal (unless the Class 1-A-1 and Class 1-A-2 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 principal prepayments. There is no scheduled principal due on certain of the Mortgage Loans for the first five years and for other Mortgage Loans for the first ten years following origination. The prepayment percentages on the Subordinate Certificates are as follows: January 2005 – December 2014 0% Pro Rata Share January 2015 – December 2015 30% Pro Rata Share January 2016 – December 2016 40% Pro Rata Share January 2017 – December 2017 60% Pro Rata Share January 2018 – December 2018 80% Pro Rata Share January 2019 and after 100% Pro Rata Share |
Notwithstanding the foregoing, if the credit enhancement provided by the Subordinate Certificates reaches twice the initial subordination, all principal (scheduled principal and prepayments) will be paid pro-rata among the Class 1-A- 1 and Class 1-A-2 Certificates and the Subordinate Certificates (subject to performance triggers). However, if the credit enhancement provided by the Subordinate Certificates has reached twice the initial subordination prior to the Distribution Date in January 2008 (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 Class 1-A-1 and Class 1-A-2 Certificates. In the event the current senior percentage (aggregate principal balance of the Class 1-A-1 and Class 1-A-2 Certificates, divided by the aggregate principal balance of the Mortgage Loans) exceeds the initial senior percentage (aggregate principal balance of the Class 1-A-1 and Class 1-A-2 Certificates as of the Closing Date, divided by the aggregate principal balance of the Mortgage Loans as of the Cut-off Date), the Class 1-A-1 and Class 1- A-2 Certificates will receive all principal prepayments from the Mortgage Loans in 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, to the Class 1-A-1 and Class 1-A-2 Certificates, pro rata, in reduction of their respective class principal balances. |
Certificates’ Priority of Distributions: | Available funds from the Trust Assets will be distributed in the following order of priority: 1) Class 1-A-1, Class 1–A-2, Class 1-X-A, Class 1-X-B and Class A-R Certificates, accrued and unpaid interest at the related Certificate Interest Rate, from the Mortgage Loans; provided that, to the extent of any Net WAC Shortfall amount for such Distribution Date with respect to any of the LIBOR Certificates, the amount of interest otherwise distributable to the Class 1-X-A and Class 1-X-B Certificates shall be deposited in the Reserve Fund. 2) Class 2-A-1 Certificates accrued and unpaid interest at the related Certificate Interest Rate, based on collections from Underlying Certificate. 3) Class A-R Certificates, principal allocable to such class from the Mortgage Loans. 4) Class 1-A-1 and Class 1-A-2 Certificates, principal, generally based on collections from the Group 1A Mortgage Loans and the Group 1B Mortgage Loans, respectively, until their respective class principal amounts are reduced to zero.* 5) Class 2-A-1 Certificates, principal, generally based on collections from the Underlying Certificate, until their class principal amount is reduced to zero.* 6) Class B-1 Certificates, accrued and unpaid interest at the related Certificate Interest Rate based on collections from the Mortgage Loans. 7) Class B-1 Certificates, principal allocable to such class based on collections from the Mortgage Loans. 8) Class B-2 Certificates, accrued and unpaid interest at the related Certificate Interest Rate based on collections from the Mortgage Loans. 9) Class B-2 Certificates, principal allocable to such class based on collections from the Mortgage Loans, until their class principal amount is reduced to zero. 10) Class B-3 Certificates, accrued and unpaid interest at the related Certificate Interest Rate based on collections from the Mortgage Loans. 11) Class B-3 Certificates, principal allocable to such class based on collections from the Mortgage Loans, until their class principal amount is reduced to zero. 12) Class 1-A-1 and Class 1-A-2 Certificates, pro-rata, the related Net WAC Shortfall amount, from the Reserve Fund. 13) Class B-1 Certificates, the related Net WAC Shortfall Amount, from the Reserve Fund. 14) Class B-2 Certificates, the related Net WAC Shortfall Amount, from the Reserve Fund. 15) Class B-3 Certificates, the related Net WAC Shortfall Amount, from the Reserve Fund. 16) Class 1-X-A and Class 1-X-B Certificates, the excess amounts related to such Class 1-X–A and Class 1-X-B Certificates, from the Reserve Fund. 17) 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 based on collections from the Mortgage Loans. 18) Class A-R Certificate, any remaining amount . |
*In certain limited circumstances described in the prospectus supplement, Senior Certificates may receive principal from an unrelated asset group, to the extent not received from the related asset group.
Group 1A Net WAC Cap Schedule for Class 1-A-1
Group 1B Net WAC Cap Schedule for Class 1-A-2
Assumptions: |
20% CPR |
Hard Cap: 11.50% |
To Call |
Initial 1 Month LIBOR: 2.35000% |
Initial 6 Month LIBOR: 2.63125% |
Assumed Mortgage Loan Characteristics
Mortgage Pool | Loan Type | Principal Balance($) | Current Mortgage Rate(%) | Current Net Mortgage Rate(%) | Original Term to Maturity (Months) | Remaining Term to Maturity (Months) | Gross Margin(%) | Minimum Mortgage Rate(%) | Maximum Mortgage Rate(%) | Next Rate Adjustment Date (Months) |
1A | One-Month LIBOR | 323,455.81 3.12500 | 2.74000 | 360 | 357 | 0 | 1.50000 | 1.50000 | 12.50000 | 1 |
1A | One-Month LIBOR | 7,888,365.22 3.73950 | 3.35450 | 360 | 359 | 59 | 1.77528 | 1.77528 | 12.00000 | 1 |
1A | One-Month LIBOR | 204,064,926.75 3.58266 | 3.19781 | 335 | 334 | 119 | 1.62404 | 1.62404 | 12.02383 | 1 |
1A | Six-Month LIBOR | 786,090.11 3.38731 | 3.00231 | 360 | 355 | 0 | 1.26615 | 1.26615 | 12.50000 | 4 |
1A | Six-Month LIBOR | 11,015,923.53 3.75399 | 3.36899 | 360 | 357 | 57 | 1.81287 | 1.81287 | 12.00000 | 4 |
1A | Six-Month LIBOR | 172,285,943.25 3.79230 | 3.40682 | 339 | 338 | 119 | 1.70509 | 1.70509 | 12.05285 | 5 |
1B | Six-Month LIBOR | 389,846.08 3.87500 | 3.49000 | 360 | 356 | 0 | 2.00000 | 2.00000 | 12.50000 | 2 |
1B | Six-Month LIBOR | 15,404,463.37 3.81507 | 3.43007 | 360 | 357 | 57 | 1.86098 | 1.86098 | 12.00000 | 5 |
1B | Six-Month LIBOR | 201,467,482.52 3.79326 | 3.40806 | 342 | 341 | 119 | 1.73276 | 1.73276 | 12.05154 | 5 |
The Group 1A Net WAC Cap and Group 1B Net WAC Cap are calculated using the above noted assumptions. In addition, 1 Month LIBOR and 6 Month LIBOR each increase to 20% after the first period.
Distribution | Group 1A Net | Group 1B Net |
Period | WAC Cap(1) (2) | WAC Cap(2) |
1 | 3.30% | 3.41% |
2 | 7.81% | 3.41% |
3 | 7.81% | 3.43% |
4 | 7.81% | 3.43% |
5 | 8.06% | 3.43% |
6 | 11.50% | 11.50% |
7 and after | 11.50% | 11.50% |
(1) 1 Month LIBOR has a lookback period of 25 days.
(2) 6 Month LIBOR has a lookback period of 30 days.
GROUP 1 MORTGAGE LOANS
As of the Statistical Calculation Date
BALANCE | $613,626,496.64 | ||
NUMBER OF LOANS | 1,777 | ||
Minimum | Maximum | ||
AVG CURRENT BALANCE | $345,315.98 | $25,200.00 | $2,650,000.00 |
AVG ORIGINAL BALANCE | $345,524.47 | $25,200.00 | $2,650,000.00 |
WAVG LOAN RATE | 3.721% | 2.625% | 4.750% |
WAVG EXPENSE FEE(1) | 0.385% | 0.260% | 0.760% |
WAVG NET LOAN RATE | 3.336% | 2.240% | 4.365% |
WAVG GROSS MARGIN | 1.693% | 1.000% | 2.500% |
WAVG MAXIMUM LOAN RATE | 12.041% | 12.000% | 13.000% |
WAVG ORIGINAL LTV | 69.31% | 12.07% | 100.00% |
WAVG EFFECTIVE LTV(2) | 68.77% | 12.07% | 95.00% |
WAVG CREDIT SCORE(3) | 734 | 576 | 817 |
WAVG ORIGINAL TERM | 340 months | 300 months | 360 months |
WAVG REMAINING TERM | 340 months | 209 months | 360 months |
WAVG SEASONING | 1 months | 0 months | 91 months |
WAVG NEXT RATE RESET | 4 months | 1 months | 7 months |
WAVG RATE ADJ FREQ | 4 months | 1 months | 6 months |
WAVG FIRST RATE ADJ FREQ | 4 months | 1 months | 6 months |
WAVG IO ORIGINAL TERM(4) | 117 months | 60 months | 120 months |
WAVG IO REMAINING TERM(4) | 116 months | 29 months | 120 months |
TOP STATE CONCENTRATIONS($) | CA(30.00%),FL(11.30%),OH(5.66%),CO(4.45%),AZ(4.15%) | ||
MAXIMUM ZIP CODE CONCENTRATION($) | 94583(0.55%) | ||
FIRST PAY DATE | 05/01/1997 | 01/01/2005 | |
NEXT RATE CHANGE DATE | 12/01/2004 | 06/01/2005 | |
MATURITY DATE | 04/01/2022 | 12/01/2034 |
(1)
Expense Fee is defined as the sum of the servicing fee and the trustee fee.
(2)
Effective LTV is defined as the following: original loan balance less amount of the pledge account divided by the lesser of the appraised value or sales price of the property.
(3)
Original Credit Scores for Group 1 and 2 Loans. Credit Scores as of November 2004 for Group 3 Loans.
(4)
Includes Interest-Only Loans only.
INDEX | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
1 M LIBOR | 546 | $212,276,747.78 | 34.59% |
6 M LIBOR | 1,231 | 401,349,748.86 | 65.41 |
Total: | 1,777 | $613,626,496.64 | 100.00% |
DELINQUENCY | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Current | 1,777 | $613,626,496.64 | 100.00% |
Total: | 1,777 | $613,626,496.64 | 100.00% |
CURRENT BALANCE ($) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
25,200.00 to 100,000.00 | 110 | $9,027,935.67 | 1.47% |
100,000.01 to 200,000.00 | 527 | 78,933,270.06 | 12.86 |
200,000.01 to 300,000.00 | 369 | 91,616,284.19 | 14.93 |
300,000.01 to 400,000.00 | 278 | 97,225,786.38 | 15.84 |
400,000.01 to 500,000.00 | 169 | 76,544,592.38 | 12.47 |
500,000.01 to 600,000.00 | 96 | 52,829,229.94 | 8.61 |
600,000.01 to 700,000.00 | 72 | 46,418,057.08 | 7.56 |
700,000.01 to 800,000.00 | 49 | 37,117,640.54 | 6.05 |
800,000.01 to 900,000.00 | 23 | 19,724,281.84 | 3.21 |
900,000.01 to 1,000,000.00 | 36 | 35,025,966.99 | 5.71 |
1,000,000.01 to 1,500,000.00 | 33 | 40,707,368.24 | 6.63 |
1,500,000.01 to 2,000,000.00 | 14 | 25,806,083.33 | 4.21 |
2,500,000.01 to 2,650,000.00 | 1 | 2,650,000.00 | 0.43 |
Total: | 1,777 | $613,626,496.64 | 100.00% |
LOAN RATE (%) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
2.625 to 2.750 | 8 | $3,997,344.31 | 0.65% |
2.751 to 3.000 | 40 | 16,131,632.55 | 2.63 |
3.001 to 3.250 | 157 | 54,664,681.23 | 8.91 |
3.251 to 3.500 | 387 | 129,942,869.56 | 21.18 |
3.501 to 3.750 | 435 | 150,142,654.54 | 24.47 |
3.751 to 4.000 | 465 | 157,650,841.60 | 25.69 |
4.001 to 4.250 | 212 | 78,781,920.91 | 12.84 |
4.251 to 4.500 | 64 | 18,767,551.94 | 3.06 |
4.501 to 4.750 | 9 | 3,547,000.00 | 0.58 |
Total: | 1,777 | $613,626,496.64 | 100.00% |
GROSS MARGIN (%) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
1.000 | 3 | $1,232,302.99 | 0.20% |
1.125 | 27 | 11,676,058.24 | 1.9 |
1.250 | 56 | 16,732,190.56 | 2.73 |
1.375 | 154 | 68,003,751.61 | 11.08 |
1.500 | 321 | 109,516,207.76 | 17.85 |
1.625 | 374 | 124,752,382.48 | 20.33 |
1.725 | 1 | 158,000.00 | 0.03 |
1.750 | 283 | 90,210,149.57 | 14.7 |
1.875 | 194 | 65,213,055.26 | 10.63 |
2.000 | 196 | 70,289,472.35 | 11.45 |
2.125 | 73 | 26,690,007.56 | 4.35 |
2.250 | 93 | 28,785,846.57 | 4.69 |
2.375 | 1 | 101,571.69 | 0.02 |
2.500 | 1 | 265,500.00 | 0.04 |
Total: | 1,777 | $613,626,496.64 | 100.00% |
ORIGINAL TERM (Months) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
300 | 469 | $203,143,798.73 | 33.11% |
360 | 1,308 | 410,482,697.91 | 66.89 |
Total: | 1,777 | $613,626,496.64 | 100.00% |
REMAINING TERM (Months) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
209 to 210 | 1 | $174,157.83 | 0.03% |
211 to 216 | 3 | 577,782.23 | 0.09 |
295 to 300 | 465 | 202,391,858.67 | 32.98 |
337 to 342 | 2 | 459,600.00 | 0.07 |
343 to 348 | 2 | 976,104.51 | 0.16 |
349 to 354 | 18 | 5,963,234.30 | 0.97 |
355 to 360 | 1,286 | 403,083,759.10 | 65.69 |
Total: | 1,777 | $613,626,496.64 | 100.00% |
IO REMAINING TERM (Months) (1) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
29 to 30 | 1 | $174,157.83 | 0.03% |
31 to 36 | 3 | 577,782.23 | 0.09 |
37 to 42 | 2 | 459,600.00 | 0.08 |
43 to 48 | 2 | 976,104.51 | 0.16 |
49 to 54 | 6 | 1,535,899.01 | 0.25 |
55 to 60 | 103 | 31,337,148.60 | 5.12 |
109 to 114 | 12 | 4,427,335.29 | 0.72 |
115 to 120 | 1,643 | 572,639,077.17 | 93.55 |
Total: | 1,772 | $612,127,104.64 | 100.00% |
(1) Interest-Only loans only.
PREPAY TERM (Months) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
0 | 1,090 | $425,500,648.42 | 69.34% |
36 | 687 | 188,125,848.22 | 30.66 |
Total: | 1,777 | $613,626,496.64 | 100.00% |
RATE CHANGE DATE | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
December 2004 | 321 | $117,710,745.56 | 19.18% |
January 2005 | 277 | 114,545,683.13 | 18.67 |
February 2005 | 30 | 10,880,666.75 | 1.77 |
March 2005 | 49 | 17,129,764.27 | 2.79 |
April 2005 | 152 | 50,846,083.93 | 8.29 |
May 2005 | 558 | 181,082,525.33 | 29.51 |
June 2005 | 390 | 121,431,027.67 | 19.79 |
Total: | 1,777 | $613,626,496.64 | 100.00% |
ORIGINAL LTV (%) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
12.07 to 20.00 | 6 | $1,833,846.08 | 0.30% |
20.01 to 30.00 | 21 | 5,835,899.99 | 0.95 |
30.01 to 40.00 | 46 | 19,515,188.13 | 3.18 |
40.01 to 50.00 | 105 | 45,910,210.35 | 7.48 |
50.01 to 60.00 | 149 | 58,168,046.36 | 9.48 |
60.01 to 65.00 | 120 | 49,489,812.34 | 8.07 |
65.01 to 70.00 | 224 | 81,350,136.16 | 13.26 |
70.01 to 75.00 | 289 | 106,636,409.48 | 17.38 |
75.01 to 80.00 | 735 | 224,425,274.17 | 36.57 |
80.01 to 85.00 | 9 | 2,138,464.58 | 0.35 |
85.01 to 90.00 | 29 | 6,298,304.02 | 1.03 |
90.01 to 95.00 | 20 | 3,508,064.98 | 0.57 |
95.01 to 100.00 | 24 | 8,516,840.00 | 1.39 |
Total: | 1,777 | $613,626,496.64 | 100.00% |
EFFECTIVE LTV (1) (%) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
12.07 to 20.00 | 6 | $1,833,846.08 | 0.30% |
20.01 to 30.00 | 22 | 6,575,899.99 | 1.07 |
30.01 to 40.00 | 46 | 19,515,188.13 | 3.18 |
40.01 to 50.00 | 106 | 46,066,210.35 | 7.51 |
50.01 to 60.00 | 155 | 60,167,421.36 | 9.81 |
60.01 to 65.00 | 120 | 49,489,812.34 | 8.07 |
65.01 to 70.00 | 243 | 87,968,726.15 | 14.34 |
70.01 to 75.00 | 289 | 106,636,409.48 | 17.38 |
75.01 to 80.00 | 734 | 224,166,274.18 | 36.53 |
80.01 to 85.00 | 9 | 2,138,464.58 | 0.35 |
85.01 to 90.00 | 28 | 5,809,554.02 | 0.95 |
90.01 to 95.00 | 19 | 3,258,689.98 | 0.53 |
Total: | 1,777 | $613,626,496.64 | 100.00% |
(1)
Effective LTV is defined as the following: loan balance less amount of the pledge account divided by the less of the appraised values or sales price of the property.
CREDIT SCORE | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
576 to 579 | 1 | $280,000.00 | 0.05% |
580 to 599 | 1 | 740,000.00 | 0.12 |
600 to 619 | 5 | 990,900.00 | 0.16 |
620 to 639 | 13 | 6,478,613.41 | 1.06 |
640 to 659 | 46 | 15,408,531.75 | 2.51 |
660 to 679 | 146 | 41,716,459.56 | 6.80 |
680 to 699 | 232 | 80,480,052.41 | 13.12 |
700 to 719 | 237 | 82,380,351.03 | 13.43 |
720 to 739 | 231 | 86,509,030.43 | 14.10 |
740 to 759 | 279 | 93,704,836.12 | 15.27 |
760 to 779 | 321 | 111,242,922.14 | 18.13 |
780 to 799 | 214 | 78,810,872.39 | 12.84 |
800 to 817 | 51 | 14,883,927.40 | 2.43 |
Total: | 1,777 | $613,626,496.64 | 100.00% |
AMORTIZATION | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Interest Only | 1,772 | $612,127,104.64 | 99.76% |
Principal and Interest | 5 | 1,499,392.00 | 0.24 |
Total: | 1,777 | $613,626,496.64 | 100.00% |
DOCUMENTATION | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Full Documentation | 1,021 | $297,298,100.61 | 48.45% |
Asset Verification/No Income Verification | 319 | 128,068,624.40 | 20.87 |
Alternative Documentation | 151 | 76,528,210.12 | 12.47 |
Lite Documentation | 142 | 56,241,234.19 | 9.17 |
Limited Documentation | 128 | 50,621,985.43 | 8.25 |
No Income/No Asset | 7 | 2,196,591.89 | 0.36 |
No Ratio | 7 | 1,986,200.00 | 0.32 |
Reduced Documentation | 2 | 685,550.00 | 0.11 |
Total: | 1,777 | $613,626,496.64 | 100.00% |
OCCUPANCY | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Primary | 1,557 | $536,954,283.48 | 87.51% |
Second Home | 154 | 63,986,891.88 | 10.43 |
Investment | 66 | 12,685,321.28 | 2.07 |
Total: | 1,777 | $613,626,496.64 | 100.00% |
PROPERTY TYPE | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Single Family | 1,098 | $376,013,299.59 | 61.28% |
Planned Unit Development | 461 | 169,615,354.74 | 27.64 |
Condominium | 182 | 56,359,483.47 | 9.18 |
Two-to-Four Family | 21 | 6,005,380.02 | 0.98 |
Cooperative | 10 | 4,344,898.82 | 0.71 |
Townhouse | 5 | 1,288,080.00 | 0.21 |
Total: | 1,777 | $613,626,496.64 | 100.00% |
PURPOSE | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Purchase | 576 | $234,581,653.88 | 38.23% |
Refinance (Cash-out) | 572 | 198,083,647.90 | 32.28 |
Refinance (Rate-Term) | 629 | 180,961,194.86 | 29.49 |
Total: | 1,777 | $613,626,496.64 | 100.00% |
STATES | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Alabama | 6 | $1,326,530.83 | 0.22% |
Alaska | 1 | 187,500.00 | 0.03 |
Arizona | 97 | 25,491,714.48 | 4.15 |
Arkansas | 3 | 615,800.00 | 0.10 |
California | 381 | 184,073,286.60 | 30.00 |
Colorado | 92 | 27,319,929.30 | 4.45 |
Connecticut | 9 | 3,344,615.79 | 0.55 |
Delaware | 4 | 1,140,000.00 | 0.19 |
District of Columbia | 4 | 1,349,911.00 | 0.22 |
Florida | 187 | 69,333,160.87 | 11.30 |
Georgia | 47 | 12,035,801.25 | 1.96 |
Hawaii | 13 | 6,173,867.63 | 1.01 |
Idaho | 6 | 1,578,389.00 | 0.26 |
Illinois | 53 | 21,770,920.61 | 3.55 |
Indiana | 8 | 1,819,200.00 | 0.30 |
Iowa | 1 | 128,000.00 | 0.02 |
Kansas | 6 | 2,661,729.28 | 0.43 |
Kentucky | 6 | 1,060,342.79 | 0.17 |
Louisiana | 1 | 305,000.00 | 0.05 |
Maine | 4 | 2,049,200.00 | 0.33 |
Maryland | 37 | 15,350,934.51 | 2.50 |
Massachusetts | 29 | 14,075,425.16 | 2.29 |
Michigan | 33 | 10,115,295.38 | 1.65 |
Minnesota | 34 | 10,007,941.80 | 1.63 |
Missouri | 12 | 2,228,750.00 | 0.36 |
Montana | 3 | 536,450.00 | 0.09 |
Nebraska | 2 | 273,900.00 | 0.04 |
Nevada | 37 | 13,596,871.81 | 2.22 |
New Hampshire | 5 | 1,845,950.00 | 0.30 |
New Jersey | 46 | 22,845,385.12 | 3.72 |
New Mexico | 3 | 763,550.00 | 0.12 |
New York | 49 | 23,988,204.76 | 3.91 |
North Carolina | 67 | 16,414,527.55 | 2.68 |
Ohio | 209 | 34,753,767.32 | 5.66 |
Oklahoma | 4 | 638,000.00 | 0.10 |
Oregon | 8 | 1,940,016.48 | 0.32 |
Pennsylvania | 32 | 7,729,578.27 | 1.26 |
Rhode Island | 2 | 825,000.00 | 0.13 |
South Carolina | 22 | 7,211,441.32 | 1.18 |
Tennessee | 18 | 3,925,761.76 | 0.64 |
Texas | 57 | 17,121,994.35 | 2.79 |
Utah | 24 | 5,236,967.64 | 0.85 |
Vermont | 3 | 1,034,000.00 | 0.17 |
Virginia | 54 | 20,378,599.99 | 3.32 |
Washington | 50 | 15,278,843.99 | 2.49 |
Wisconsin | 7 | 1,624,940.00 | 0.26 |
Wyoming | 1 | 119,500.00 | 0.02 |
Total: | 1,777 | $613,626,496.64 | 100.00% |
GROUP 1A MORTGAGE LOANS
As of the Statistical Calculation Date
TOTAL CURRENT BALANCE | $396,364,704.67 | |||||
NUMBER OF LOANS | 1,111 | |||||
Minimum | Maximum | |||||
AVG CURRENT BALANCE | $356,763.91 | $38,700.00 | $2,650,000.00 | |||
AVG ORIGINAL BALANCE | $356,979.51 | $38,700.00 | $2,650,000.00 | |||
WAVG LOAN RATE | 3.681% | 2.625% | 4.750% | |||
WAVG EXPENSE FEE(1) | 0.385% | 0.260% | 0.635% | |||
WAVG NET LOAN RATE | 3.296% | 2.240% | 4.365% | |||
WAVG GROSS MARGIN | 1.667% | 1.000% | 2.500% | |||
WAVG MAXIMUM LOAN RATE | 12.037% | 12.000% | 12.880% | |||
WAVG ORIGINAL LTV | 69.42% | 15.93% | 100.00% | |||
WAVG EFFECTIVE LTV(2) | 68.69% | 15.93% | 95.00% | |||
WAVG CREDIT SCORE(3) | 733 | 576 | 817 | |||
WAVG ORIGINAL TERM | 338 months | 300 months | 360 months | |||
WAVG REMAINING TERM | 338 months | 209 months | 360 months | |||
WAVG SEASONING | 1 months | 0 months | 91 months | |||
WAVG NEXT RATE RESET | 3 months | 1 months | 7 months | |||
WAVG RATE ADJ FREQ | 3 months | 1 months | 6 months | |||
WAVG FIRST RATE ADJ FREQ | 3 months | 1 months | 6 months | |||
WAVG IO ORIGINAL TERM(4) | 117 months | 60 months | 120 months | |||
WAVG IO REMAINING TERM(4) | 117 months | 29 months | 120 months | |||
TOP STATE CONCENTRATIONS($) | CA(28.09%),FL(12.56%),OH(5.16%),CO(4.86%),NJ(4.74%) | |||||
MAXIMUM ZIP CODE CONCENTRATION($) | 34134(0.68%) | |||||
FIRST PAY DATE | 05/01/1997 | 01/01/2005 | ||||
NEXT RATE CHANGE DATE | 12/01/2004 | 06/01/2005 | ||||
MATURITY DATE | 04/01/2022 | 12/01/2034 | ||||
(1)
Expense Fee is defined as the sum of the servicing fee and the trustee fee.
(2)
Effective LTV is defined as the following: original loan balance less amount of the pledge account divided by the lesser of the appraised value or sales price of the property.
(3)
Original Credit Scores.
(4)
Includes Interest-Only Loans only.
INDEX | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
1 M LIBOR | 546 | $212,276,747.78 | 53.56% |
6 M LIBOR | 565 | 184,087,956.89 | 46.44 |
Total: | 1,111 | $396,364,704.67 | 100.00% |
DELINQUENCY | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Current | 1,111 | $396,364,704.67 | 100.00% |
Total: | 1,111 | $396,364,704.67 | 100.00% |
CURRENT BALANCE ($) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
38,700.00 to 100,000.00 | 66 | $5,443,004.66 | 1.37% |
100,000.01 to 200,000.00 | 336 | 50,567,912.09 | 12.76 |
200,000.01 to 300,000.00 | 221 | 55,044,565.57 | 13.89 |
300,000.01 to 400,000.00 | 173 | 60,575,999.16 | 15.28 |
400,000.01 to 500,000.00 | 102 | 46,122,583.00 | 11.64 |
500,000.01 to 600,000.00 | 61 | 33,416,983.03 | 8.43 |
600,000.01 to 700,000.00 | 42 | 27,265,286.54 | 6.88 |
700,000.01 to 800,000.00 | 29 | 22,071,340.55 | 5.57 |
800,000.01 to 900,000.00 | 15 | 12,934,544.84 | 3.26 |
900,000.01 to 1,000,000.00 | 28 | 27,230,666.99 | 6.87 |
1,000,000.01 to 1,500,000.00 | 25 | 30,774,868.24 | 7.76 |
1,500,000.01 to 2,000,000.00 | 12 | 22,266,950.00 | 5.62 |
2,500,000.01 to 2,650,000.00 | 1 | 2,650,000.00 | 0.67 |
Total: | 1,111 | $396,364,704.67 | 100.00% |
LOAN RATE (%) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
2.625 to 2.750 | 6 | $3,414,044.31 | 0.86% |
2.751 to 3.000 | 24 | 9,142,122.66 | 2.31 |
3.001 to 3.250 | 113 | 39,519,195.19 | 9.97 |
3.251 to 3.500 | 268 | 96,462,869.35 | 24.34 |
3.501 to 3.750 | 293 | 107,632,049.53 | 27.15 |
3.751 to 4.000 | 248 | 85,389,538.03 | 21.54 |
4.001 to 4.250 | 124 | 44,463,583.90 | 11.22 |
4.251 to 4.500 | 31 | 9,369,301.70 | 2.36 |
4.501 to 4.750 | 4 | 972,000.00 | 0.25 |
Total: | 1,111 | $396,364,704.67 | 100.00% |
GROSS MARGIN (%) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
1.000 | 2 | $1,106,602.99 | 0.28% |
1.125 | 12 | 4,327,383.24 | 1.09 |
1.250 | 36 | 10,469,130.67 | 2.64 |
1.375 | 128 | 60,608,359.75 | 15.29 |
1.500 | 227 | 81,930,643.94 | 20.67 |
1.625 | 220 | 77,361,279.77 | 19.52 |
1.725 | 1 | 158,000.00 | 0.04 |
1.750 | 156 | 49,080,542.20 | 12.38 |
1.875 | 126 | 44,709,768.46 | 11.28 |
2.000 | 103 | 33,060,731.86 | 8.34 |
2.125 | 47 | 16,532,505.65 | 4.17 |
2.250 | 51 | 16,652,684.45 | 4.2 |
2.375 | 1 | 101,571.69 | 0.03 |
2.500 | 1 | 265,500.00 | 0.07 |
Total: | 1,111 | $396,364,704.67 | 100.00% |
ORIGINAL TERM (Months) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | Principal Balance Outstanding as of the Cut-off Date |
300 | 320 | $144,230,772.60 | 36.39% |
360 | 791 | 252,133,932.07 | 63.61 |
Total: | 1,111 | $396,364,704.67 | 100.00% |
REMAINING TERM (Months) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
209 to 210 | 1 | $174,157.83 | 0.04% |
211 to 216 | 2 | 318,782.24 | 0.08 |
295 to 300 | 317 | 143,737,832.53 | 36.26 |
337 to 342 | 1 | 187,600.00 | 0.05 |
343 to 348 | 1 | 487,500.00 | 0.12 |
349 to 354 | 7 | 2,751,691.30 | 0.69 |
355 to 360 | 782 | 248,707,140.77 | 62.75 |
Total: | 1,111 | $396,364,704.67 | 100.00% |
IO REMAINING TERM (Months) (1) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
29 to 30 | 1 | $174,157.83 | 0.04% |
31 to 36 | 2 | 318,782.24 | 0.08 |
37 to 42 | 1 | 187,600.00 | 0.05 |
43 to 48 | 1 | 487,500.00 | 0.12 |
49 to 54 | 1 | 393,750.00 | 0.1 |
55 to 60 | 55 | 17,835,438.75 | 4.51 |
109 to 114 | 6 | 2,357,941.30 | 0.6 |
115 to 120 | 1,040 | 373,499,988.63 | 94.5 |
Total: | 1,107 | $395,255,158.75 | 100.00% |
(1)
Interest-Only loans only.
PREPAY TERM (Months) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
0 | 701 | $279,347,588.30 | 70.48% |
36 | 410 | 117,017,116.37 | 29.52 |
Total: | 1,111 | $396,364,704.67 | 100.00% |
RATE CHANGE DATE | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
December 2004 | 311 | $114,333,098.42 | 28.85% |
January 2005 | 259 | 107,833,583.27 | 27.21 |
February 2005 | 12 | 4,638,431.87 | 1.17 |
March 2005 | 25 | 9,930,161.88 | 2.51 |
April 2005 | 78 | 25,112,802.30 | 6.34 |
May 2005 | 237 | 74,870,583.26 | 18.89 |
June 2005 | 189 | 59,646,043.67 | 15.05 |
Total: | 1,111 | $396,364,704.67 | 100.00% |
ORIGINAL LTV (%) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
15.93 to 20.00 | 2 | $786,000.00 | 0.20% |
20.01 to 30.00 | 11 | 2,362,700.00 | 0.6 |
30.01 to 40.00 | 25 | 11,816,649.99 | 2.98 |
40.01 to 50.00 | 70 | 32,767,096.13 | 8.27 |
50.01 to 60.00 | 94 | 36,307,402.44 | 9.16 |
60.01 to 65.00 | 86 | 35,214,956.01 | 8.88 |
65.01 to 70.00 | 143 | 50,990,320.80 | 12.86 |
70.01 to 75.00 | 172 | 67,175,237.12 | 16.95 |
75.01 to 80.00 | 457 | 145,068,400.85 | 36.6 |
80.01 to 85.00 | 4 | 1,034,300.00 | 0.26 |
85.01 to 90.00 | 15 | 3,633,226.34 | 0.92 |
90.01 to 95.00 | 11 | 1,964,574.99 | 0.5 |
95.01 to 100.00 | 21 | 7,243,840.00 | 1.83 |
Total: | 1,111 | $396,364,704.67 | 100.00% |
EFFECTIVE LTV (1) (%) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
15.93 to 20.00 | 2 | $786,000.00 | 0.20% |
20.01 to 30.00 | 12 | 3,102,700.00 | 0.78 |
30.01 to 40.00 | 25 | 11,816,649.99 | 2.98 |
40.01 to 50.00 | 71 | 32,923,096.13 | 8.31 |
50.01 to 60.00 | 99 | 38,118,777.44 | 9.62 |
60.01 to 65.00 | 86 | 35,214,956.01 | 8.88 |
65.01 to 70.00 | 159 | 56,264,910.80 | 14.20 |
70.01 to 75.00 | 172 | 67,175,237.12 | 16.95 |
75.01 to 80.00 | 457 | 145,068,400.85 | 36.60 |
80.01 to 85.00 | 4 | 1,034,300.00 | 0.26 |
85.01 to 90.00 | 14 | 3,144,476.34 | 0.79 |
90.01 to 95.00 | 10 | 1,715,199.99 | 0.43 |
Total: | 1,111 | $396,364,704.67 | 100.00% |
(1)
Effective LTV is defined as the following: loan balance less amount of the pledge account divided by the less of the appraised values or sales price of the property.
CREDIT SCORE | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
576 to 579 | 1 | $280,000.00 | 0.07% |
580 to 599 | 1 | 740,000.00 | 0.19 |
600 to 619 | 5 | 990,900.00 | 0.25 |
620 to 639 | 7 | 4,495,013.41 | 1.13 |
640 to 659 | 33 | 11,820,631.76 | 2.98 |
660 to 679 | 98 | 30,433,442.31 | 7.68 |
680 to 699 | 137 | 49,535,454.79 | 12.50 |
700 to 719 | 148 | 51,152,980.47 | 12.91 |
720 to 739 | 146 | 52,779,240.66 | 13.32 |
740 to 759 | 177 | 62,722,342.21 | 15.82 |
760 to 779 | 193 | 70,499,487.66 | 17.79 |
780 to 799 | 132 | 50,704,851.92 | 12.79 |
800 to 817 | 33 | 10,210,359.48 | 2.58 |
Total: | 1,111 | $396,364,704.67 | 100.00% |
AMORTIZATION | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Interest Only | 1,107 | $395,255,158.75 | 99.72% |
Principal and Interest | 4 | 1,109,545.92 | 0.28 |
Total: | 1,111 | $396,364,704.67 | 100.00% |
DOCUMENTATION | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Full Documentation | 612 | $179,307,630.60 | 45.24% |
Asset Verification/No Income Verification | 190 | 77,633,426.96 | 19.59 |
Alternative Documentation | 122 | 65,978,571.90 | 16.65 |
Lite Documentation | 114 | 45,868,875.19 | 11.57 |
Limited Documentation | 62 | 24,208,358.13 | 6.11 |
No Ratio | 5 | 1,520,200.00 | 0.38 |
No Income/No Asset | 4 | 1,162,091.89 | 0.29 |
Reduced Documentation | 2 | 685,550.00 | 0.17 |
Total: | 1,111 | $396,364,704.67 | 100.00% |
OCCUPANCY | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Primary | 953 | $342,813,985.60 | 86.49% |
Second Home | 105 | 43,154,516.79 | 10.89 |
Investment | 53 | 10,396,202.28 | 2.62 |
Total: | 1,111 | $396,364,704.67 | 100.00% |
PROPERTY TYPE | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Single Family | 687 | $245,516,131.09 | 61.94% |
Planned Unit Development | 286 | 105,416,027.25 | 26.60 |
Condominium | 119 | 39,508,966.31 | 9.97 |
Two-to-Four Family | 11 | 3,297,480.02 | 0.83 |
Cooperative | 6 | 2,201,500.00 | 0.56 |
Townhouse | 2 | 424,600.00 | 0.11 |
Total: | 1,111 | $396,364,704.67 | 100.00% |
PURPOSE | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Purchase | 364 | $152,292,396.10 | 38.42% |
Refinance (Cash-out) | 377 | 134,237,055.66 | 33.87 |
Refinance (Rate-Term) | 370 | 109,835,252.91 | 27.71 |
Total: | 1,111 | $396,364,704.67 | 100.00% |
STATES | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Alabama | 3 | $660,930.83 | 0.17% |
Alaska | 1 | 187,500.00 | 0.05 |
Arizona | 50 | 15,849,055.69 | 4.00 |
Arkansas | 1 | 206,500.00 | 0.05 |
California | 226 | 111,357,056.25 | 28.09 |
Colorado | 66 | 19,269,984.01 | 4.86 |
Connecticut | 5 | 1,971,050.00 | 0.50 |
Delaware | 4 | 1,140,000.00 | 0.29 |
District of Columbia | 1 | 356,640.00 | 0.09 |
Florida | 131 | 49,802,573.27 | 12.56 |
Georgia | 25 | 7,623,930.91 | 1.92 |
Hawaii | 11 | 5,473,367.63 | 1.38 |
Idaho | 4 | 1,240,789.00 | 0.31 |
Illinois | 32 | 11,963,437.28 | 3.02 |
Indiana | 7 | 1,675,200.00 | 0.42 |
Iowa | 1 | 128,000.00 | 0.03 |
Kansas | 6 | 2,661,729.28 | 0.67 |
Kentucky | 3 | 589,200.00 | 0.15 |
Maine | 2 | 1,455,200.00 | 0.37 |
Maryland | 24 | 10,911,800.00 | 2.75 |
Massachusetts | 17 | 9,498,425.16 | 2.40 |
Michigan | 26 | 8,153,575.39 | 2.06 |
Minnesota | 23 | 7,022,103.47 | 1.77 |
Missouri | 8 | 1,608,250.00 | 0.41 |
Montana | 2 | 365,000.00 | 0.09 |
Nebraska | 1 | 202,000.00 | 0.05 |
Nevada | 25 | 9,945,711.93 | 2.51 |
New Hampshire | 4 | 1,073,950.00 | 0.27 |
New Jersey | 35 | 18,802,642.04 | 4.74 |
New Mexico | 3 | 763,550.00 | 0.19 |
New York | 30 | 15,017,282.24 | 3.79 |
North Carolina | 39 | 9,938,783.00 | 2.51 |
Ohio | 122 | 20,464,343.24 | 5.16 |
Oklahoma | 3 | 538,000.00 | 0.14 |
Oregon | 6 | 1,463,776.48 | 0.37 |
Pennsylvania | 20 | 4,368,878.27 | 1.10 |
Rhode Island | 2 | 825,000.00 | 0.21 |
South Carolina | 11 | 3,373,396.32 | 0.85 |
Tennessee | 15 | 3,252,541.76 | 0.82 |
Texas | 35 | 10,032,461.22 | 2.53 |
Utah | 14 | 3,244,000.00 | 0.82 |
Vermont | 2 | 884,000.00 | 0.22 |
Virginia | 26 | 9,969,450.00 | 2.52 |
Washington | 32 | 9,314,400.00 | 2.35 |
Wisconsin | 6 | 1,599,740.00 | 0.40 |
Wyoming | 1 | 119,500.00 | 0.03 |
Total: | 1,111 | $396,364,704.67 | 100.00% |
GROUP 1B MORTGAGE LOANS
As of the Statistical Calculation Date
TOTAL CURRENT BALANCE | $217,261,791.97 | |||
NUMBER OF LOANS | 666 | |||
Minimum | Maximum | |||
AVG CURRENT BALANCE | $326,218.91 | $25,200.00 | $2,000,000.00 | |
AVG ORIGINAL BALANCE | $326,415.53 | $25,200.00 | $2,000,000.00 | |
WAVG LOAN RATE | 3.795% | 2.750% | 4.625% | |
WAVG EXPENSE FEE(1) | 0.385% | 0.260% | 0.760% | |
WAVG NET LOAN RATE | 3.410% | 2.365% | 4.240% | |
WAVG GROSS MARGIN | 1.742% | 1.000% | 2.250% | |
WAVG MAXIMUM LOAN RATE | 12.049% | 12.000% | 13.000% | |
WAVG ORIGINAL LTV | 69.10% | 12.07% | 100.00% | |
WAVG EFFECTIVE LTV(2) | 68.90% | 12.07% | 95.00% | |
WAVG CREDIT SCORE(3) | 736 | 622 | 813 | |
WAVG ORIGINAL TERM | 344 months | 300 months | 360 months | |
WAVG REMAINING TERM | 343 months | 212 months | 360 months | |
WAVG SEASONING | 1 months | 0 months | 88 months | |
WAVG NEXT RATE RESET | 6 months | 1 months | 7 months | |
WAVG RATE ADJ FREQ | 6 months | 6 months | 6 months | |
WAVG FIRST RATE ADJ FREQ | 6 months | 6 months | 6 months | |
WAVG IO ORIGINAL TERM(4) | 116 months | 60 months | 120 months | |
WAVG IO REMAINING TERM(4) | 115 months | 32 months | 120 months | |
TOP STATE CONCENTRATIONS($) | CA(33.47%),FL(8.99%),OH(6.58%),VA(4.79%),IL(4.51%) | |||
MAXIMUM ZIP CODE CONCENTRATION($) | 92675(0.92%) | |||
FIRST PAY DATE | 08/01/1997 | 01/01/2005 | ||
NEXT RATE CHANGE DATE | 12/01/2004 | 06/01/2005 | ||
MATURITY DATE | 07/01/2022 | 12/01/2034 |
(1)
Expense Fee is defined as the sum of the servicing fee and the trustee fee.
(2)
Effective LTV is defined as the following: original loan balance less amount of the pledge account divided by the lesser of the appraised value or sales price of the property.
(3)
Original Credit Scores.
(4)
Includes Interest-Only Loans only.
INDEX | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
6 M LIBOR | 666 | $217,261,791.97 | 100.00% |
Total: | 666 | $217,261,791.97 | 100.00% |
DELINQUENCY | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Current | 666 | $217,261,791.97 | 100.00% |
Total: | 666 | $217,261,791.97 | 100.00% |
CURRENT BALANCE ($) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
25,200.00 to 100,000.00 | 44 | $3,584,931.01 | 1.65% |
100,000.01 to 200,000.00 | 191 | 28,365,357.97 | 13.06 |
200,000.01 to 300,000.00 | 148 | 36,571,718.62 | 16.83 |
300,000.01 to 400,000.00 | 105 | 36,649,787.22 | 16.87 |
400,000.01 to 500,000.00 | 67 | 30,422,009.38 | 14.00 |
500,000.01 to 600,000.00 | 35 | 19,412,246.91 | 8.93 |
600,000.01 to 700,000.00 | 30 | 19,152,770.54 | 8.82 |
700,000.01 to 800,000.00 | 20 | 15,046,299.99 | 6.93 |
800,000.01 to 900,000.00 | 8 | 6,789,737.00 | 3.13 |
900,000.01 to 1,000,000.00 | 8 | 7,795,300.00 | 3.59 |
1,000,000.01 to 1,500,000.00 | 8 | 9,932,500.00 | 4.57 |
1,500,000.01 to 2,000,000.00 | 2 | 3,539,133.33 | 1.63 |
Total: | 666 | $217,261,791.97 | 100.00% |
LOAN RATE (%) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
2.750 | 2 | $583,300.00 | 0.27% |
2.751 to 3.000 | 16 | 6,989,509.89 | 3.22 |
3.001 to 3.250 | 44 | 15,145,486.04 | 6.97 |
3.251 to 3.500 | 119 | 33,480,000.21 | 15.41 |
3.501 to 3.750 | 142 | 42,510,605.01 | 19.57 |
3.751 to 4.000 | 217 | 72,261,303.57 | 33.26 |
4.001 to 4.250 | 88 | 34,318,337.01 | 15.80 |
4.251 to 4.500 | 33 | 9,398,250.24 | 4.33 |
4.501 to 4.750 | 5 | 2,575,000.00 | 1.19 |
Total: | 666 | $217,261,791.97 | 100.00% |
GROSS MARGIN (%) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
1.000 | 1 | $125,700.00 | 0.06% |
1.125 | 15 | 7,348,675.00 | 3.38 |
1.250 | 20 | 6,263,059.89 | 2.88 |
1.375 | 26 | 7,395,391.86 | 3.4 |
1.500 | 94 | 27,585,563.82 | 12.7 |
1.625 | 154 | 47,391,102.71 | 21.81 |
1.750 | 127 | 41,129,607.37 | 18.93 |
1.875 | 68 | 20,503,286.80 | 9.44 |
2.000 | 93 | 37,228,740.49 | 17.14 |
2.125 | 26 | 10,157,501.91 | 4.68 |
2.250 | 42 | 12,133,162.12 | 5.58 |
Total: | 666 | $217,261,791.97 | 100.00% |
ORIGINAL TERM (Months) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
300 | 149 | $58,913,026.13 | 27.12% |
360 | 517 | 158,348,765.84 | 72.88 |
Total: | 666 | $217,261,791.97 | 100.00% |
REMAINING TERM (Months) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
212 to 216 | 1 | $258,999.99 | 0.12% |
295 to 300 | 148 | 58,654,026.14 | 27 |
337 to 342 | 1 | 272,000.00 | 0.13 |
343 to 348 | 1 | 488,604.51 | 0.22 |
349 to 354 | 11 | 3,211,543.00 | 1.48 |
355 to 360 | 504 | 154,376,618.33 | 71.06 |
Total: | 666 | $217,261,791.97 | 100.00% |
IO REMAINING TERM (Months) (1) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
32 to 36 | 1 | $258,999.99 | 0.12% |
37 to 42 | 1 | 272,000.00 | 0.13 |
43 to 48 | 1 | 488,604.51 | 0.23 |
49 to 54 | 5 | 1,142,149.01 | 0.53 |
55 to 60 | 48 | 13,501,709.85 | 6.23 |
109 to 114 | 6 | 2,069,393.99 | 0.95 |
115 to 120 | 603 | 199,139,088.54 | 91.82 |
Total: | 665 | $216,871,945.89 | 100.00% |
(1)
Interest-Only loans only.
PREPAY TERM (Months) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
0 | 389 | $146,153,060.12 | 67.27% |
36 | 277 | 71,108,731.85 | 32.73 |
Total: | 666 | $217,261,791.97 | 100.00% |
RATE CHANGE DATE | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
December 2004 | 10 | $3,377,647.14 | 1.55% |
January 2005 | 18 | 6,712,099.86 | 3.09 |
February 2005 | 18 | 6,242,234.88 | 2.87 |
March 2005 | 24 | 7,199,602.39 | 3.31 |
April 2005 | 74 | 25,733,281.63 | 11.84 |
May 2005 | 321 | 106,211,942.07 | 48.89 |
June 2005 | 201 | 61,784,984.00 | 28.44 |
Total: | 666 | $217,261,791.97 | 100.00% |
ORIGINAL LTV (%) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
12.07 to 20.00 | 4 | $1,047,846.08 | 0.48% |
20.01 to 30.00 | 10 | 3,473,199.99 | 1.6 |
30.01 to 40.00 | 21 | 7,698,538.14 | 3.54 |
40.01 to 50.00 | 35 | 13,143,114.22 | 6.05 |
50.01 to 60.00 | 55 | 21,860,643.92 | 10.06 |
60.01 to 65.00 | 34 | 14,274,856.33 | 6.57 |
65.01 to 70.00 | 81 | 30,359,815.36 | 13.97 |
70.01 to 75.00 | 117 | 39,461,172.36 | 18.16 |
75.01 to 80.00 | 278 | 79,356,873.32 | 36.53 |
80.01 to 85.00 | 5 | 1,104,164.58 | 0.51 |
85.01 to 90.00 | 14 | 2,665,077.68 | 1.23 |
90.01 to 95.00 | 9 | 1,543,489.99 | 0.71 |
95.01 to 100.00 | 3 | 1,273,000.00 | 0.59 |
Total: | 666 | $217,261,791.97 | 100.00% |
EFFECTIVE LTV (1) (%) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
12.07 to 20.00 | 4 | $1,047,846.08 | 0.48% |
20.01 to 30.00 | 10 | 3,473,199.99 | 1.60 |
30.01 to 40.00 | 21 | 7,698,538.14 | 3.54 |
40.01 to 50.00 | 35 | 13,143,114.22 | 6.05 |
50.01 to 60.00 | 56 | 22,048,643.92 | 10.15 |
60.01 to 65.00 | 34 | 14,274,856.33 | 6.57 |
65.01 to 70.00 | 84 | 31,703,815.35 | 14.59 |
70.01 to 75.00 | 117 | 39,461,172.36 | 18.16 |
75.01 to 80.00 | 277 | 79,097,873.33 | 36.41 |
80.01 to 85.00 | 5 | 1,104,164.58 | 0.51 |
85.01 to 90.00 | 14 | 2,665,077.68 | 1.23 |
90.01 to 95.00 | 9 | 1,543,489.99 | 0.71 |
Total: | 666 | $217,261,791.97 | 100.00% |
(1)
Effective LTV is defined as the following: loan balance less amount of the pledge account divided by the less of the appraised values or sales price of the property.
CREDIT SCORE | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
622 to 639 | 6 | $1,983,600.00 | 0.91% |
640 to 659 | 13 | 3,587,899.99 | 1.65 |
660 to 679 | 48 | 11,283,017.25 | 5.19 |
680 to 699 | 95 | 30,944,597.62 | 14.24 |
700 to 719 | 89 | 31,227,370.56 | 14.37 |
720 to 739 | 85 | 33,729,789.77 | 15.52 |
740 to 759 | 102 | 30,982,493.91 | 14.26 |
760 to 779 | 128 | 40,743,434.48 | 18.75 |
780 to 799 | 82 | 28,106,020.47 | 12.94 |
800 to 813 | 18 | 4,673,567.92 | 2.15 |
Total: | 666 | $217,261,791.97 | 100.00% |
AMORTIZATION | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Interest Only | 665 | $216,871,945.89 | 99.82% |
Principal and Interest | 1 | 389,846.08 | 0.18 |
Total: | 666 | $217,261,791.97 | 100.00% |
DOCUMENTATION | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Full Documentation | 409 | $117,990,470.01 | 54.31% |
Asset Verification/No Income Verification | 129 | 50,435,197.44 | 23.21 |
Limited Documentation | 66 | 26,413,627.30 | 12.16 |
Alternative Documentation | 29 | 10,549,638.22 | 4.86 |
Lite Documentation | 28 | 10,372,359.00 | 4.77 |
No Income/No Asset | 3 | 1,034,500.00 | 0.48 |
No Ratio | 2 | 466,000.00 | 0.21 |
Total: | 666 | $217,261,791.97 | 100.00% |
OCCUPANCY | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Primary | 604 | $194,140,297.88 | 89.36% |
Second Home | 49 | 20,832,375.09 | 9.59 |
Investment | 13 | 2,289,119.00 | 1.05 |
Total: | 666 | $217,261,791.97 | 100.00% |
PROPERTY TYPE | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Single Family | 411 | $130,497,168.50 | 60.06% |
Planned Unit Development | 175 | 64,199,327.49 | 29.55 |
Condominium | 63 | 16,850,517.16 | 7.76 |
Two-to-Four Family | 10 | 2,707,900.00 | 1.25 |
Cooperative | 4 | 2,143,398.82 | 0.99 |
Townhouse | 3 | 863,480.00 | 0.40 |
Total: | 666 | $217,261,791.97 | 100.00% |
PURPOSE | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Purchase | 212 | $82,289,257.78 | 37.88% |
Refinance (Rate-Term) | 259 | 71,125,941.95 | 32.74 |
Refinance (Cash-out) | 195 | 63,846,592.24 | 29.39 |
Total: | 666 | $217,261,791.97 | 100.00% |
STATES | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Alabama | 3 | $665,600.00 | 0.31% |
Arizona | 47 | 9,642,658.79 | 4.44 |
Arkansas | 2 | 409,300.00 | 0.19 |
California | 155 | 72,716,230.35 | 33.47 |
Colorado | 26 | 8,049,945.29 | 3.71 |
Connecticut | 4 | 1,373,565.79 | 0.63 |
District of Columbia | 3 | 993,271.00 | 0.46 |
Florida | 56 | 19,530,587.60 | 8.99 |
Georgia | 22 | 4,411,870.34 | 2.03 |
Hawaii | 2 | 700,500.00 | 0.32 |
Idaho | 2 | 337,600.00 | 0.16 |
Illinois | 21 | 9,807,483.33 | 4.51 |
Indiana | 1 | 144,000.00 | 0.07 |
Kentucky | 3 | 471,142.79 | 0.22 |
Louisiana | 1 | 305,000.00 | 0.14 |
Maine | 2 | 594,000.00 | 0.27 |
Maryland | 13 | 4,439,134.51 | 2.04 |
Massachusetts | 12 | 4,577,000.00 | 2.11 |
Michigan | 7 | 1,961,719.99 | 0.90 |
Minnesota | 11 | 2,985,838.33 | 1.37 |
Missouri | 4 | 620,500.00 | 0.29 |
Montana | 1 | 171,450.00 | 0.08 |
Nebraska | 1 | 71,900.00 | 0.03 |
Nevada | 12 | 3,651,159.88 | 1.68 |
New Hampshire | 1 | 772,000.00 | 0.36 |
New Jersey | 11 | 4,042,743.08 | 1.86 |
New York | 19 | 8,970,922.52 | 4.13 |
North Carolina | 28 | 6,475,744.55 | 2.98 |
Ohio | 87 | 14,289,424.08 | 6.58 |
Oklahoma | 1 | 100,000.00 | 0.05 |
Oregon | 2 | 476,240.00 | 0.22 |
Pennsylvania | 12 | 3,360,700.00 | 1.55 |
South Carolina | 11 | 3,838,045.00 | 1.77 |
Tennessee | 3 | 673,220.00 | 0.31 |
Texas | 22 | 7,089,533.13 | 3.26 |
Utah | 10 | 1,992,967.64 | 0.92 |
Vermont | 1 | 150,000.00 | 0.07 |
Virginia | 28 | 10,409,149.99 | 4.79 |
Washington | 18 | 5,964,443.99 | 2.75 |
Wisconsin | 1 | 25,200.00 | 0.01 |
Total: | 666 | $217,261,791.97 | 100.00% |
GROUP 2 MORTGAGE LOANS UNDERLYING SEMT 2004-7 CERTIFICATE
As of the Statistical Calculation Date
TOTAL CURRENT BALANCE | $502,714,412.00 | ||||
NUMBER OF LOANS | 1,493 | ||||
Minimum | Maximum | ||||
AVG CURRENT BALANCE | $336,714.27 | $37,859.38 | $2,830,347.27 | ||
AVG ORIGINAL BALANCE | $339,737.96 | $50,000.00 | $2,830,665.00 | ||
WAVG LOAN RATE | 3.328% | 2.500% | 5.000% | ||
WAVG EXPENSE FEE(1) | 0.381% | 0.381% | 0.631% | ||
WAVG NET LOAN RATE | 2.947% | 2.120% | 4.620% | ||
WAVG GROSS MARGIN | 1.810% | 1.250% | 3.375% | ||
WAVG MAXIMUM LOAN RATE | 12.008% | 8.500% | 15.880% | ||
WAVG ORIGINAL LTV | 70.55% | 16.17% | 100.00% | ||
WAVG EFFECTIVE LTV(3) | 69.96% | 16.17% | 95.00% | ||
WAVG CREDIT SCORE(4) | 732 | 586 | 820 | ||
WAVG ORIGINAL TERM | 343 months | 300 months | 360 months | ||
WAVG REMAINING TERM | 339 months | 267 months | 356 months | ||
WAVG SEASONING | 5 months | 4 months | 33 months | ||
WAVG NEXT RATE RESET | 2 months | 1 months | 6 months | ||
WAVG RATE ADJ FREQ | 6 months | 6 months | 6 months | ||
WAVG FIRST RATE ADJ FREQ | 6 months | 6 months | 6 months | ||
WAVG IO ORIGINAL TERM | 105 months | 60 months | 120 months | ||
WAVG IO REMAINING TERM | 101 months | 45 months | 116 months | ||
TOP STATE CONCENTRATIONS($) | CA(28.40%),FL(10.96%),AZ(5.24%),OH(4.16%),GA(4.00%) | ||||
MAXIMUM ZIP CODE CONCENTRATION($) | 92130(1.14%) | ||||
FIRST PAY DATE | 03/01/2002 | 08/01/2004 | |||
NEXT RATE CHANGE DATE | 12/01/2004 | 05/01/2005 | |||
MATURITY DATE | 02/01/2027 | 07/01/2034 |
(1)
Expense Fee is defined as the sum of the servicing fee and the trustee fee.
(2)
Current LTV is defined as the following: current balance as of the Cut-Off Date divided by the lesser of the appraised value or sales price of the property.
(3)
Effective LTV is defined as the following: original loan balance less amount of the pledge account divided by the lesser of the appraised value or sales price of the property.
(4)
Original Credit Scores.
INDEX | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
6 M LIBOR | 1,493 | $502,714,412.00 | 100.00% |
Total: | 1,493 | $502,714,412.00 | 100.00% |
DELINQUENCY | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Current | 1,493 | $502,714,412.00 | 100.00% |
Total: | 1,493 | $502,714,412.00 | 100.00% |
CURRENT BALANCE ($) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
37,859.38 to 100,000.00 | 102 | $8,363,246.76 | 1.66% |
100,000.01 to 200,000.00 | 453 | 68,747,647.62 | 13.68 |
200,000.01 to 300,000.00 | 316 | 78,604,643.99 | 15.64 |
300,000.01 to 400,000.00 | 223 | 78,164,410.83 | 15.55 |
400,000.01 to 500,000.00 | 153 | 69,565,501.84 | 13.84 |
500,000.01 to 600,000.00 | 77 | 42,214,221.55 | 8.40 |
600,000.01 to 700,000.00 | 58 | 37,615,069.92 | 7.48 |
700,000.01 to 800,000.00 | 33 | 24,769,233.58 | 4.93 |
800,000.01 to 900,000.00 | 17 | 14,440,658.31 | 2.87 |
900,000.01 to 1,000,000.00 | 23 | 22,367,807.70 | 4.45 |
1,000,000.01 to 1,500,000.00 | 21 | 26,719,562.34 | 5.32 |
1,500,000.01 to 2,000,000.00 | 16 | 28,312,060.29 | 5.63 |
2,500,000.01 to 2,830,347.27 | 1 | 2,830,347.27 | 0.56 |
Total: | 1,493 | $502,714,412.00 | 100.00% |
LOAN RATE (%) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
2.500 | 4 | $1,678,248.23 | 0.33% |
2.501 to 2.750 | 40 | 14,846,738.40 | 2.95 |
2.751 to 3.000 | 206 | 69,993,115.06 | 13.92 |
3.001 to 3.250 | 473 | 159,854,624.84 | 31.80 |
3.251 to 3.500 | 503 | 163,611,833.01 | 32.55 |
3.501 to 3.750 | 177 | 61,675,573.84 | 12.27 |
3.751 to 4.000 | 60 | 19,634,402.89 | 3.91 |
4.001 to 4.250 | 28 | 10,738,076.12 | 2.14 |
4.251 to 4.500 | 1 | 335,999.61 | 0.07 |
4.751 to 5.000 | 1 | 345,800.00 | 0.07 |
Total: | 1,493 | $502,714,412.00 | 100.00% |
GROSS MARGIN (%) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
1.250 | 17 | $4,356,340.75 | 0.87% |
1.375 | 50 | 16,226,313.58 | 3.23 |
1.500 | 221 | 84,590,434.57 | 16.83 |
1.625 | 239 | 77,032,249.72 | 15.32 |
1.750 | 240 | 81,696,928.58 | 16.25 |
1.875 | 272 | 83,493,693.37 | 16.61 |
2.000 | 184 | 63,625,662.37 | 12.66 |
2.125 | 134 | 46,924,990.06 | 9.33 |
2.250 | 105 | 33,154,680.05 | 6.6 |
2.375 | 13 | 3,417,640.97 | 0.68 |
2.500 | 17 | 7,849,677.98 | 1.56 |
3.375 | 1 | 345,800.00 | 0.07 |
Total: | 1,493 | $502,714,412.00 | 100.00% |
ORIGINAL TERM (Months) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
300 | 326 | $139,402,733.87 | 27.73% |
360 | 1,167 | 363,311,678.13 | 72.27 |
Total: | 1,493 | $502,714,412.00 | 100.00% |
REMAINING TERM (Months) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
267 to 270 | 1 | $121,839.31 | 0.02% |
289 to 294 | 8 | 5,694,103.87 | 1.13 |
295 to 300 | 317 | 133,586,790.69 | 26.57 |
343 to 348 | 17 | 5,393,573.81 | 1.07 |
349 to 354 | 113 | 37,003,801.20 | 7.36 |
355 to 356 | 1,037 | 320,914,303.12 | 63.84 |
Total: | 1,493 | $502,714,412.00 | 100.00% |
IO REMAINING TERM (Months) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
45 to 48 | 16 | $5,215,943.05 | 1.04% |
49 to 54 | 57 | 16,152,081.91 | 3.21 |
55 to 60 | 314 | 101,287,865.03 | 20.15 |
85 to 90 | 1 | 121,839.31 | 0.02 |
103 to 108 | 1 | 177,630.76 | 0.04 |
109 to 114 | 64 | 26,545,823.16 | 5.28 |
115 to 116 | 1,040 | 353,213,228.78 | 70.26 |
Total: | 1,493 | $502,714,412.00 | 100.00% |
PREPAY TERM (Months) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
0 | 1,076 | $394,294,670.83 | 78.43% |
36 | 417 | 108,419,741.17 | 21.57 |
Total: | 1,493 | $502,714,412.00 | 100.00% |
RATE CHANGE DATE | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
December 2004 | 667 | $211,497,664.98 | 42.07% |
January 2005 | 709 | 248,664,879.32 | 49.46 |
February 2005 | 18 | 5,308,873.59 | 1.06 |
March 2005 | 20 | 7,892,495.75 | 1.57 |
April 2005 | 17 | 4,938,679.24 | 0.98 |
May 2005 | 62 | 24,411,819.12 | 4.86 |
Total: | 1,493 | $502,714,412.00 | 100.00% |
ORIGINAL LTV (%) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
16.17 to 20.00 | 5 | $1,295,390.40 | 0.26% |
20.01 to 30.00 | 16 | 5,046,644.95 | 1 |
30.01 to 40.00 | 45 | 14,913,041.45 | 2.97 |
40.01 to 50.00 | 63 | 16,957,864.32 | 3.37 |
50.01 to 60.00 | 141 | 56,135,473.82 | 11.17 |
60.01 to 65.00 | 112 | 41,998,496.90 | 8.35 |
65.01 to 70.00 | 185 | 71,003,913.99 | 14.12 |
70.01 to 75.00 | 223 | 80,935,161.24 | 16.1 |
75.01 to 80.00 | 599 | 186,890,330.39 | 37.18 |
80.01 to 85.00 | 15 | 2,904,566.06 | 0.58 |
85.01 to 90.00 | 38 | 9,316,974.89 | 1.85 |
90.01 to 95.00 | 34 | 6,671,975.17 | 1.33 |
95.01 to 100.00 | 17 | 8,644,578.42 | 1.72 |
Total: | 1,493 | $502,714,412.00 | 100.00% |
EFFECTIVE LTV (1) (%) | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
16.17 to 20.00 | 5 | $1,295,390.40 | 0.26% |
20.01 to 30.00 | 16 | 5,046,644.95 | 1.00 |
30.01 to 40.00 | 45 | 14,913,041.45 | 2.97 |
40.01 to 50.00 | 63 | 16,957,864.32 | 3.37 |
50.01 to 60.00 | 144 | 58,814,613.82 | 11.70 |
60.01 to 65.00 | 112 | 41,998,496.90 | 8.35 |
65.01 to 70.00 | 200 | 77,619,352.41 | 15.44 |
70.01 to 75.00 | 223 | 80,935,161.24 | 16.10 |
75.01 to 80.00 | 599 | 186,890,330.39 | 37.18 |
80.01 to 85.00 | 15 | 2,904,566.06 | 0.58 |
85.01 to 90.00 | 37 | 8,666,974.89 | 1.72 |
90.01 to 95.00 | 34 | 6,671,975.17 | 1.33 |
Total: | 1,493 | $502,714,412.00 | 100.00% |
(1)
Effective LTV is defined as the following: loan balance less amount of the pledge account divided by the less of the appraised values or sales price of the property.
CREDIT SCORE | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
586 to 599 | 1 | $120,000.00 | 0.02% |
620 to 639 | 8 | 1,740,739.02 | 0.35 |
640 to 659 | 45 | 13,717,962.69 | 2.73 |
660 to 679 | 132 | 45,199,681.26 | 8.99 |
680 to 699 | 195 | 72,508,654.81 | 14.42 |
700 to 719 | 226 | 70,720,663.42 | 14.07 |
720 to 739 | 194 | 63,952,167.20 | 12.72 |
740 to 759 | 234 | 83,401,951.11 | 16.59 |
760 to 779 | 219 | 76,348,645.70 | 15.19 |
780 to 799 | 178 | 59,385,834.19 | 11.81 |
800 to 819 | 60 | 15,490,912.60 | 3.08 |
820 | 1 | 127,200.00 | 0.03 |
Total: | 1,493 | $502,714,412.00 | 100.00% |
AMORTIZATION | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Interest Only | 1,493 | $502,714,412.00 | 100.00% |
Total: | 1,493 | $502,714,412.00 | 100.00% |
DOCUMENTATION | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Full Documentation | 951 | $272,652,670.56 | 54.24% |
Limited Documentation | 317 | 138,182,555.51 | 27.49 |
Alternative Documentation | 110 | 50,604,234.66 | 10.07 |
Lite Documentation | 104 | 37,479,308.71 | 7.46 |
No Ratio | 8 | 2,355,398.12 | 0.47 |
Asset Verification/No Income Verification | 2 | 1,080,244.44 | 0.21 |
Reduced Documentation | 1 | 360,000.00 | 0.07 |
Total: | 1,493 | $502,714,412.00 | 100.00% |
OCCUPANCY | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Primary | 1,339 | $445,814,988.69 | 88.68% |
Second Home | 121 | 49,642,842.66 | 9.87 |
Investment | 33 | 7,256,580.65 | 1.44 |
Total: | 1,493 | $502,714,412.00 | 100.00% |
PROPERTY TYPE | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Single Family | 899 | $296,567,624.18 | 58.99% |
Planned Unit Development | 442 | 162,358,463.00 | 32.30 |
Condominium | 140 | 39,950,997.44 | 7.95 |
Two-to-Four Family | 9 | 3,281,327.39 | 0.65 |
Cooperative | 2 | 445,999.99 | 0.09 |
Manufactured Housing | 1 | 110,000.00 | 0.02 |
Total: | 1,493 | $502,714,412.00 | 100.00% |
PURPOSE | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Purchase | 523 | $210,011,611.51 | 41.78% |
Refinance (Rate-Term) | 563 | 159,405,213.53 | 31.71 |
Refinance (Cash-out) | 407 | 133,297,586.96 | 26.52 |
Total: | 1,493 | $502,714,412.00 | 100.00% |
STATES | Number of Mortgage Loans | Principal Balance Outstanding as of the Cut-off Date | % of Aggregate Principal Balance Outstanding as of the Cut-off Date |
Alabama | 6 | $1,279,266.12 | 0.25% |
Alaska | 1 | 200,450.00 | 0.04 |
Arizona | 104 | 26,347,017.08 | 5.24 |
Arkansas | 2 | 373,532.20 | 0.07 |
California | 306 | 142,761,172.74 | 28.40 |
Colorado | 73 | 19,895,137.61 | 3.96 |
Connecticut | 11 | 6,197,772.28 | 1.23 |
Delaware | 3 | 2,057,981.25 | 0.41 |
District of Columbia | 1 | 428,000.00 | 0.09 |
Florida | 152 | 55,088,909.60 | 10.96 |
Georgia | 76 | 20,115,759.39 | 4.00 |
Hawaii | 6 | 2,524,517.39 | 0.50 |
Idaho | 4 | 1,205,450.00 | 0.24 |
Illinois | 44 | 16,981,923.97 | 3.38 |
Indiana | 11 | 2,771,516.66 | 0.55 |
Kansas | 8 | 1,753,831.98 | 0.35 |
Kentucky | 6 | 1,008,908.84 | 0.20 |
Louisiana | 6 | 2,745,478.93 | 0.55 |
Maine | 2 | 1,487,999.00 | 0.30 |
Maryland | 42 | 16,643,715.52 | 3.31 |
Massachusetts | 19 | 8,997,871.11 | 1.79 |
Michigan | 19 | 5,928,803.47 | 1.18 |
Minnesota | 25 | 5,830,343.85 | 1.16 |
Missouri | 5 | 1,416,396.44 | 0.28 |
Montana | 1 | 133,000.00 | 0.03 |
Nebraska | 1 | 99,400.00 | 0.02 |
Nevada | 37 | 16,130,036.64 | 3.21 |
New Hampshire | 1 | 197,200.00 | 0.04 |
New Jersey | 33 | 17,435,317.43 | 3.47 |
New Mexico | 5 | 1,829,962.09 | 0.36 |
New York | 21 | 8,273,865.99 | 1.65 |
North Carolina | 57 | 16,742,298.46 | 3.33 |
Ohio | 130 | 20,894,953.34 | 4.16 |
Oklahoma | 4 | 1,062,581.64 | 0.21 |
Oregon | 15 | 2,936,882.91 | 0.58 |
Pennsylvania | 23 | 5,803,357.34 | 1.15 |
Rhode Island | 4 | 1,209,635.62 | 0.24 |
South Carolina | 31 | 9,666,897.05 | 1.92 |
Tennessee | 14 | 2,943,722.42 | 0.59 |
Texas | 51 | 13,501,774.82 | 2.69 |
Utah | 29 | 6,950,967.04 | 1.38 |
Virginia | 49 | 15,159,672.64 | 3.02 |
Washington | 49 | 16,275,591.05 | 3.24 |
West Virginia | 1 | 176,000.00 | 0.04 |
Wisconsin | 4 | 1,133,140.28 | 0.23 |
Wyoming | 1 | 116,399.81 | 0.02 |
Total: | 1,493 | $502,714,412.00 | 100.00% |
Discount Margin Table (To Call)
Prepayment Speed | 10% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR |
Discount Margin | Discount Margin | Discount Margin | Discount Margin | Discount Margin | |
1-A-1 | |||||
Price 100.00000 | 29 | 29 | 29 | 29 | 29 |
WAL | 7.59 | 5.29 | 3.94 | 3.06 | 2.47 |
Mod Dur | 6.46 | 4.68 | 3.58 | 2.83 | 2.32 |
Principal Window | Jan05 - Oct22 | Jan05 - Apr18 | Jan05 - Mar15 | Jan05 - Dec12 | Jan05 - Jun11 |
1-A-2 | |||||
Price 100.00000 | 31 | 31 | 31 | 31 | 31 |
WAL | 7.59 | 5.29 | 3.94 | 3.06 | 2.47 |
Mod Dur | 6.35 | 4.62 | 3.54 | 2.81 | 2.30 |
Principal Window | Jan05 - Oct22 | Jan05 - Apr18 | Jan05 - Mar15 | Jan05 - Dec12 | Jan05 - Jun11 |
Yield Table (To Call)
10% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR | |
Yield | Yield | Yield | Yield | Yield | |
1-X-A | |||||
Price 2.48655 | 31.96 | 25.22 | 18.00 | 9.85 | 0.80 |
Mod Duration | 2.23 | 2.26 | 2.26 | 2.22 | 2.17 |
2-X-A | |||||
Price 2.60427 | 32.06 | 25.29 | 18.00 | 9.79 | 0.69 |
Mod Duration | 2.13 | 2.16 | 2.16 | 2.11 | 2.06 |
Discount Margin Table (To Maturity)
Prepayment Speed | 10% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR |
Discount Margin | Discount Margin | Discount Margin | Discount Margin | Discount Margin | |
1-A-1 | |||||
Price 100.00000 | 30 | 31 | 31 | 31 | 32 |
WAL | 7.96 | 5.68 | 4.29 | 3.37 | 2.73 |
Mod Dur | 6.68 | 4.93 | 3.82 | 3.06 | 2.52 |
Principal Window | Jan05 – Nov34 | Jan05 - Nov34 | Jan05 - Nov34 | Jan05 - Nov34 | Jan05 - Nov34 |
1-A-2 | |||||
Price 100.00000 | 32 | 33 | 33 | 34 | 34 |
WAL | 7.99 | 5.69 | 4.29 | 3.37 | 2.73 |
Mod Dur | 6.57 | 4.86 | 3.78 | 3.03 | 2.49 |
Principal Window | Jan05 – Sep34 | Jan05 - Sep34 | Jan05 - Sep34 | Jan05 - Sep34 | Jan05 - Sep34 |
Yield Table (To Maturity)
10% CPR | 15% CPR | 20% CPR | 25% CPR | 30% CPR | |
Yield | Yield | Yield | Yield | Yield | |
1-X-A | |||||
Price 2.48655 | 31.97 | 25.34 | 18.50 | 11.24 | 3.61 |
Mod Duration | 2.23 | 2.29 | 2.34 | 2.39 | 2.45 |
2-X-A | |||||
Price 2.60427 | 32.09 | 25.48 | 18.75 | 11.80 | 4.55 |
Mod Duration | 2.13 | 2.20 | 2.26 | 2.34 | 2.42 |