Exhibit 99.1
------------
The Group I Mortgage Loans consist of approximately 2,642 fixed-rate
Mortgage Loans having an aggregate principal balance as of the Cut-off Date of
approximately $353,651,044.48, after application of scheduled payments due on or
before the Cut-off Date whether or not received, and subject to a permitted
variance of plus or minus 5%. The Group II Mortgage Loans consist of
approximately 6,871 adjustable-rate Mortgage Loans having an aggregate principal
balance as of the Cut-off Date of approximately $946,341,572.42, after
application of scheduled payments due on or before the Cut-off Date whether or
not received, and subject to a permitted variance of plus or minus 5%. The
Mortgage Loans have original terms to maturity of not greater than 30 years from
the date on which the first payment was due on each Mortgage Loan.
Each Group I Mortgage Loan has a Mortgage Rate that is fixed for the
life of such Mortgage Loan.
Each Group II Mortgage Loan accrues interest at a Mortgage Rate that is
adjustable.
Approximately 80.22% of the Group I Mortgage Loans and approximately
78.21% of the Group II Mortgage Loans provide for payment by the mortgagor of a
prepayment charge on certain principal prepayments, subject to certain
limitations in the related mortgage note and limitations upon collection in the
Pooling and Servicing Agreement.
None of the Mortgage Loans are buydown Mortgage Loans.
GROUP I MORTGAGE LOAN STATISTICS
The average Principal Balance of the Group I Mortgage Loans at
origination was approximately $134,063.78. No Group I Mortgage Loan had a
Principal Balance at origination greater than approximately $425,000 or less
than approximately $50,000. The average Principal Balance of the Group I
Mortgage Loans as of the Cut-off Date was approximately $133,857.32. No Group I
Mortgage Loan had a principal balance as of the Cut-off Date greater than
approximately $424,528.10 or less than approximately $49,171.34.
The Group I Mortgage Loans had Mortgage Rates as of the Cut-off Date
ranging from approximately 6.400% per annum to approximately 13.750% per annum,
and the weighted average Mortgage Rate on the Group I Mortgage Loans was
approximately 8.215% per annum.
The weighted average original loan-to-value ratio of the Group I
Mortgage Loans was approximately 79.91%. At origination, no Group I Mortgage
Loan had an original loan-to-value ratio greater than approximately 95.00% or
less than approximately 16.13%.
The weighted average remaining term to stated maturity of the Group I
Mortgage Loans was approximately 28 years as of the Cut-off Date. None of the
Group I Mortgage Loans had a first Due Date prior to May 2002 or after December
2002, or will have a remaining term to stated maturity of less than
approximately 14 years and 7 months or greater than 30 years as of the Cut-off
Date. The latest maturity date of any Group I Mortgage Loan is November 2032.
The Group I Mortgage Loans are expected to have the following
characteristics as of the Cut-off Date (the sum in any column may not equal the
total indicated due to rounding):
PRINCIPAL BALANCES OF THE GROUP I MORTGAGE LOANS AT ORIGINATION(1)
RANGE OF PRINCIPAL BALANCES AT NUMBER OF AGGREGATE ORIGINAL PRINCIPAL % OF AGGREGATE ORIGINAL
ORIGINATION ($) MORTGAGE LOANS BALANCE PRINCIPAL BALANCE
--------------- -------------- ------- -----------------
0.01 - 50,000.00................... 47 $ 2,350,000.00 0.66%
50,000.01 - 100,000.00................... 943 70,786,377.00 19.99
100,000.01 - 150,000.00................... 746 91,728,795.00 25.90
150,000.01 - 200,000.00................... 448 77,389,600.00 21.85
200,000.01 - 250,000.00................... 297 66,069,907.00 18.65
250,000.01 - 300,000.00................... 129 35,035,971.00 9.89
300,000.01 - 350,000.00................... 23 7,388,349.00 2.09
350,000.01 - 400,000.00................... 7 2,617,500.00 0.74
400,000.01 - 450,000.00................... 2 830,000.00 0.23
----- ------------------ ------
Total............................ 2,642 $ 354,196,499.00 100.00%
===== ================== ======
___________________
(1) The average principal balance of the Group I Mortgage Loans as of
origination was approximately $134,063.78.
PRINCIPAL BALANCES OF THE GROUP I MORTGAGE LOANS AS OF THE CUT-OFF DATE(1)
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
RANGE OF PRINCIPAL BALANCES AS NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
OF THE CUT OFF DATE ($) MORTGAGE LOANS DATE CUT-OFF DATE
----------------------- -------------- ---- ------------
0.01 - 50,000.00................... 50 $ 2,494,007.83 0.71%
50,000.01 - 100,000.00................... 949 71,393,230.56 20.19
100,000.01 - 150,000.00................... 740 91,126,595.73 25.77
150,000.01 - 200,000.00................... 451 78,038,120.46 22.07
200,000.01 - 250,000.00................... 292 65,036,648.65 18.39
250,000.01 - 300,000.00................... 129 35,040,239.41 9.91
300,000.01 - 350,000.00................... 22 7,080,021.13 2.00
350,000.01 - 400,000.00................... 7 2,613,139.12 0.74
400,000.01 - 450,000.00................... 2 829,041.59 0.23
----- ------------------ ------
Total............................ 2,642 $ 353,651,044.48 100.00%
===== ================== ======
___________________
(1) The average principal balance of the Group I Mortgage Loans as of the
Cut-off Date was approximately $133,857.32.
MORTGAGE RATES OF THE GROUP I MORTGAGE LOANS AS OF THE CUT-OFF DATE(1)
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
CURRENT MORTGAGE RATE (%) MORTGAGE LOANS DATE CUT-OFF DATE
------------------------- -------------- ---- ------------
Less than or equal to 6.499............... 2 $ 306,718.19 0.09%
6.500 - 6.999............................ 109 19,048,891.09 5.39
7.000 - 7.499............................ 318 52,592,069.68 14.87
7.500 - 7.999............................ 744 105,230,390.14 29.76
8.000 - 8.499............................ 345 42,914,251.94 12.13
8.500 - 8.999............................ 562 73,767,118.64 20.86
9.000 - 9.499............................ 188 23,186,501.39 6.56
9.500 - 9.999............................ 204 21,125,491.86 5.97
10.000 - 10.499........................... 62 6,270,841.96 1.77
10.500 - 10.999........................... 66 5,493,017.18 1.55
11.000 - 11.499........................... 17 1,553,947.84 0.44
11.500 - 11.999........................... 15 1,248,965.94 0.35
12.000 - 12.499........................... 3 364,607.79 0.10
12.500 - 12.999........................... 4 391,345.80 0.11
13.000 - 13.499........................... 1 50,977.32 0.01
13.500 - 13.999........................... 2 105,907.72 0.03
----- ------------------ ------
Total.................................... 2,642 $ 353,651,044.48 100.00%
===== ================== ======
__________________
(1) The weighted average current Mortgage Rate of the Group I Mortgage
Loans as of the Cut-off Date was approximately 8.215% per annum.
ORIGINAL LOAN-TO-VALUE RATIOS OF THE GROUP I MORTGAGE LOANS(1)
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
ORIGINAL LOAN-TO-VALUE RATIO (%) MORTGAGE LOANS DATE CUT-OFF DATE
-------------------------------- -------------- ---- ------------
Less than or equal to 30.00............... 19 $ 1,427,489.27 0.40%
30.01 -35.00............................. 13 1,185,067.25 0.34
35.01 -40.00............................. 21 1,726,281.59 0.49
40.01 -45.00............................. 27 3,070,436.89 0.87
45.01 -50.00............................. 43 5,155,207.57 1.46
50.01 -55.00............................. 47 4,502,393.53 1.27
55.01 -60.00............................. 81 9,902,461.54 2.80
60.01 -65.00............................. 110 13,565,846.16 3.84
65.01 -70.00............................. 153 19,625,532.05 5.55
70.01 -75.00............................. 243 31,804,096.29 8.99
75.01 -80.00............................. 519 68,577,472.57 19.39
80.01 -85.00............................. 402 57,494,416.30 16.26
85.01 -90.00............................. 929 129,743,738.24 36.69
90.01 and over............................ 35 5,870,605.23 1.66
----- ------------------ ------
Total.................................... 2,642 $ 353,651,044.48 100.00%
===== ================== ======
___________________
(1) The weighted average original loan-to-value ratio of the Group I
Mortgage Loans as of the Cut-off Date was approximately 79.91%.
MORTGAGED PROPERTY TYPES OF THE GROUP I MORTGAGE LOANS
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
PROPERTY TYPE MORTGAGE LOANS DATE CUT-OFF DATE
------------- -------------- ---- ------------
Single Family Detached.................... 2,126 $ 277,004,597.29 78.33%
Two- to Four-Family....................... 238 39,997,541.98 11.31
Planned Unit Development Detached......... 130 17,823,231.70 5.04
Condominium............................... 97 13,021,637.08 3.68
Planned Unit Development Attached......... 16 2,254,643.90 0.64
Single Family Attached.................... 16 1,939,744.99 0.55
Manufactured Housing...................... 19 1,609,647.54 0.46
----- ------------------ ------
Total.................................... 2,642 $ 353,651,044.48 100.00%
===== ================== ======
MORTGAGED PROPERTY OCCUPANCY STATUS OF THE GROUP I MORTGAGE LOANS(1)
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
OCCUPANCY STATUS MORTGAGE LOANS DATE CUT-OFF DATE
---------------- -------------- ---- ------------
Owner Occupied............................ 2,429 $ 331,233,064.23 93.66%
Non-Owner Occupied........................ 195 20,012,479.35 5.66
Second Homes.............................. 18 2,405,500.90 0.68
----- ------------------ ------
Total.................................... 2,642 $ 353,651,044.48 100.00%
===== ================== ======
___________________
(1) Occupancy status as represented by the mortgagor at the time of
origination.
PURPOSE OF THE GROUP I MORTGAGE LOANS
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
PURPOSE MORTGAGE LOANS DATE CUT-OFF DATE
------- -------------- ---- ------------
Refinance-Debt Consolidation, Cashout(1).. 1,631 $ 208,938,907.45 59.08%
Refinance-Debt Consolidation, No Cashout(2) 878 124,830,744.47 35.30
Purchase.................................. 133 19,881,392.56 5.62
----- ------------------ ------
Total.................................... 2,642 $ 353,651,044.48 100.00%
===== ================== ======
___________________
(1) Cash proceeds to the borrower exclusive of Debt Consolidation payments
exceed 3% of the original Principal Balance of the related Mortgage
Loan.
(2) Cash proceeds to the borrower exclusive of Debt Consolidation payments
are 3% or less of the original Principal Balance of the related
Mortgage Loan.
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES RELATING TO THE GROUP I MORTGAGE LOANS(1)
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
LOCATION MORTGAGE LOANS DATE CUT-OFF DATE
-------- -------------- ---- ------------
Alabama................................... 41 $ 3,653,115.52 1.03%
Alaska.................................... 4 471,079.58 0.13
Arizona................................... 56 5,971,290.52 1.69
Arkansas.................................. 9 709,144.27 0.20
California................................ 395 69,109,040.17 19.54
Colorado.................................. 41 5,935,476.38 1.68
Connecticut............................... 55 6,804,306.51 1.92
Delaware.................................. 9 1,057,769.64 0.30
Florida................................... 232 25,470,815.20 7.20
Georgia................................... 38 3,955,415.95 1.12
Hawaii.................................... 33 7,282,579.33 2.06
Idaho..................................... 4 292,530.68 0.08
Illinois.................................. 96 11,660,241.35 3.30
Indiana................................... 57 4,803,151.48 1.36
Iowa...................................... 24 2,240,280.09 0.63
Kansas.................................... 12 1,207,756.82 0.34
Kentucky.................................. 3 219,401.47 0.06
Louisiana................................. 29 2,635,676.93 0.75
Maine..................................... 26 3,130,397.80 0.89
Maryland.................................. 54 6,981,913.52 1.97
Massachussetts............................ 98 17,083,996.24 4.83
Michigan.................................. 98 11,575,758.63 3.27
Minnesota................................. 113 15,541,936.84 4.39
Mississippi............................... 14 1,354,668.68 0.38
Missouri.................................. 28 2,586,990.36 0.73
Montana................................... 2 212,445.37 0.06
Nebraska.................................. 12 1,384,444.39 0.39
Nevada.................................... 3 467,546.72 0.13
New York.................................. 319 59,501,155.43 16.82
New Mexico................................ 16 1,694,145.10 0.48
New Hampshire............................. 14 1,922,086.84 0.54
New Jersey................................ 80 13,285,701.17 3.76
Ohio...................................... 110 9,893,705.97 2.80
Oklahoma.................................. 18 1,474,426.90 0.42
Oregon.................................... 12 1,395,476.51 0.39
Pennsylvania.............................. 108 11,561,922.53 3.27
Rhode Island.............................. 34 4,589,645.99 1.30
South Carolina............................ 5 428,886.15 0.12
Tennessee................................. 19 1,642,278.83 0.46
Texas..................................... 223 19,863,603.35 5.62
Utah...................................... 9 1,324,638.05 0.37
Washington................................ 60 7,897,126.38 2.23
Wisconsin................................. 25 3,011,499.89 0.85
Wyoming................................... 4 365,574.95 0.10
----- ------------------ ------
Total.................................... 2,642 $ 353,651,044.48 100.00%
===== ================== ======
___________________
(1) The greatest ZIP Code geographic concentration of Group I Mortgage
Loans was approximately 0.45% in the 11550 ZIP Code.
QUALIFYING FICO SCORES FOR THE GROUP I MORTGAGE LOANS AT ORIGINATION(1)
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
QUALIFYING FICO SCORE MORTGAGE LOANS DATE CUT-OFF DATE
--------------------- -------------- ---- ------------
500 - 519................................. 11 $ 1,080,026.58 0.31%
520 - 539................................. 45 5,869,333.10 1.66
540 - 559................................. 135 17,147,405.85 4.85
560 - 579................................. 162 21,070,840.83 5.96
580 - 599................................. 177 24,745,612.23 7.00
600 - 619................................. 166 24,020,336.88 6.79
620 - 639................................. 433 57,312,889.79 16.21
640 - 659................................. 426 57,273,963.01 16.20
660 - 679................................. 326 42,673,673.70 12.07
680 - 699................................. 296 41,449,070.05 11.72
700 - 719................................. 185 23,400,512.03 6.62
720 - 739................................. 133 19,166,269.88 5.42
740 - 759................................. 76 9,670,176.19 2.73
760 - 779................................. 42 4,955,040.00 1.40
780 - 799................................. 24 3,076,368.06 0.87
800 - 819................................. 4 615,386.12 0.17
820 - 839................................. 1 124,140.18 0.04
----- ------------------ ------
Total............................... 2,642 $ 353,651,044.48 100.00%
===== ================== ======
___________________
(1) The weighted average qualifying FICO score at origination of the Group
I Mortgage Loans that had qualifying FICO scores at origination was
approximately 649.
INCOME DOCUMENTATION OF THE GROUP I MORTGAGE LOANS(1)
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
INCOME DOCUMENTATION MORTGAGE LOANS DATE CUT-OFF DATE
-------------------- -------------- ---- ------------
Full Documentation........................ 1,973 $ 262,929,877.77 74.35%
Stated Income Documentation............... 505 67,790,118.78 19.17
Limited Documentation..................... 164 22,931,047.93 6.48
----- ------------------ ------
Total.................................... 2,642 $ 353,651,044.48 100.00%
===== ================== ======
___________________
(1) For a description of each documentation level, see "The Mortgage
Pool--Underwriting Standards" in the Prospectus Supplement.
RISK CATEGORIES FOR THE GROUP I MORTGAGE LOANS (RETAIL)
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
CREDIT GRADE (RETAIL) MORTGAGE LOANS DATE CUT-OFF DATE
--------------------- -------------- ---- ------------
AAA....................................... 1,489 $ 189,949,795.91 88.19%
AA........................................ 175 18,806,759.65 8.73
A......................................... 32 3,545,784.40 1.65
B......................................... 33 3,085,506.17 1.43
----- ------------------ ------
Total.................................... 1,729 $ 215,387,846.13 100.00%
===== ================== ======
RISK CATEGORIES FOR THE GROUP I MORTGAGE LOANS (WHOLESALE)
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
CREDIT GRADE (WHOLESALE) MORTGAGE LOANS DATE CUT-OFF DATE
------------------------ -------------- ---- ------------
I......................................... 721 $ 110,396,253.34 79.85%
II........................................ 90 12,990,449.97 9.40
III....................................... 56 7,844,003.89 5.67
IV........................................ 37 5,864,279.81 4.24
V......................................... 7 812,683.80 0.59
VI........................................ 2 355,527.54 0.26
--- ------------------ ------
Total.................................... 913 $ 138,263,198.35 100.00%
=== ================== ======
ORIGINATION SOURCE OF THE GROUP I MORTGAGE LOANS
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
ORIGINATION SOURCE MORTGAGE LOANS DATE CUT-OFF DATE
------------------ -------------- ---- ------------
Retail.................................... 1,729 $ 215,387,846.13 60.90%
Wholesale................................. 913 138,263,198.35 39.10
----- ------------------ ------
Total.................................... 2,642 $ 353,651,044.48 100.00%
===== ================== ======
GROUP II MORTGAGE LOAN STATISTICS
The average principal balance of the Group II Mortgage Loans at
origination was approximately $137,846.02. No Group II Mortgage Loan had a
principal balance at origination greater than approximately $440,640 or less
than approximately $50,000. The average principal balance of the Group II
Mortgage Loans as of the Cut-off Date was approximately $137,729.82. No Group II
Mortgage Loan had a principal balance as of the Cut-off Date greater than
approximately $440,364.71 or less than approximately $48,108.75.
The Group II Mortgage Loans had Mortgage Rates as of the Cut-off Date
ranging from approximately 5.850% per annum to approximately 14.990% per annum,
and the weighted average Mortgage Rate on the Group II Mortgage Loans was
approximately 8.877% per annum. As of the Cut-off Date, the Group II Mortgage
Loans had Gross Margins ranging from approximately 5.000% to approximately
7.125%, Minimum Mortgage Rates ranging from approximately 5.850% per annum to
approximately 14.990% per annum and Maximum Mortgage Rates ranging from
approximately 11.850% per annum to approximately 20.990% per annum. As of the
Cut-off Date, the weighted average Gross Margin on the Group II Mortgage Loans
was approximately 6.407%, the weighted average Minimum Mortgage Rate on the
Group II Mortgage Loans was approximately 8.877% per annum and the weighted
average Maximum Mortgage Rate on the Group II Mortgage Loans was approximately
14.877% per annum. The latest first Adjustment Date following the Cut-off Date
on any Group II Mortgage Loan occurs in November 2004 and the weighted average
next Adjustment Date for all of the Group II Mortgage Loans following the
Cut-off Date is September 2004.
The weighted average original loan-to-value ratio of the Group II
Mortgage Loans was approximately 80.12%. At origination, no Group II Mortgage
Loan had an original loan-to-value ratio greater than approximately 95.00% or
less than approximately 13.70%.
The weighted average remaining term to stated maturity of the Group II
Mortgage Loans was approximately 29 years and 6 months as of the Cut-off Date.
None of the Group II Mortgage Loans had a first Due Date prior to May 2002 or
after December 2002, or will have a remaining term to stated maturity of less
than approximately 14 years and 7 months or greater than 30 years as of the
Cut-off Date. The latest maturity date of any Group II Mortgage Loan is November
2032.
The Group II Mortgage Loans are expected to have the following
characteristics as of the Cut-off Date (the sum in any column may not equal the
total indicated due to rounding):
PRINCIPAL BALANCES OF THE GROUP II MORTGAGE LOANS AT ORIGINATION(1)
RANGE OF PRINCIPAL BALANCES AT NUMBER OF AGGREGATE ORIGINAL PRINCIPAL % OF AGGREGATE ORIGINAL
ORIGINATION ($) MORTGAGE LOANS BALANCE PRINCIPAL BALANCE
--------------- -------------- ------- -----------------
0.01 - 50,000.00................... 104 $ 5,200,000.00 0.55%
50,000.01 - 100,000.00................... 2,240 168,495,558.00 17.79
100,000.01 - 150,000.00................... 1,952 240,285,084.00 25.37
150,000.01 - 200,000.00................... 1,318 227,889,369.00 24.06
200,000.01 - 250,000.00................... 816 181,363,047.00 19.15
250,000.01 - 300,000.00................... 391 107,046,835.00 11.30
300,000.01 - 350,000.00................... 36 11,411,294.00 1.20
350,000.01 - 400,000.00................... 9 3,320,445.00 0.35
400,000.01 - 450,000.00................... 5 2,128,390.00 0.22
----- ------------------ ------
Total............................ 6,871 $ 947,140,022.00 100.00%
===== ================== ======
___________________
(1) The average Principal Balance of the Group II Mortgage Loans as of
origination was approximately $137,846.02.
PRINCIPAL BALANCES OF THE GROUP II MORTGAGE LOANS AS OF THE CUT-OFF DATE(1)
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
RANGE OF PRINCIPAL BALANCES AS NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
OF THE CUT-OFF DATE MORTGAGE LOANS DATE CUT-OFF DATE
------------------- -------------- ---- ------------
0.01 - 50,000.00................... 111 $ 5,540,952.03 0.59%
50,000.01 - 100,000.00................... 2,245 169,193,571.28 17.88
100,000.01 - 150,000.00................... 1,947 239,940,926.01 25.35
150,000.01 - 200,000.00................... 1,319 228,253,346.23 24.12
200,000.01 - 250,000.00................... 808 179,615,669.65 18.98
250,000.01 - 300,000.00................... 391 106,952,352.03 11.30
300,000.01 - 350,000.00................... 36 11,400,986.10 1.20
350,000.01 - 400,000.00................... 9 3,317,076.60 0.35
400,000.01 - 450,000.00................... 5 2,126,692.49 0.22
----- ------------------ ------
Total............................ 6,871 $ 946,341,572.42 100.00%
===== ================== ======
___________________
(1) The average Principal Balance of the Group II Mortgage Loans as of the
Cut-off Date was approximately $137,729.82.
MORTGAGE RATES OF THE GROUP II MORTGAGE LOANS AS OF THE CUT-OFF DATE(1)
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
CURRENT MORTGAGE RATE (%) MORTGAGE LOANS DATE CUT-OFF DATE
------------------------- -------------- ---- ------------
Less than or equal to 6.499............... 38 $ 7,185,683.54 0.76%
6.500 - 6.999............................ 220 35,834,516.08 3.79
7.000 - 7.499............................ 291 50,224,843.94 5.31
7.500 - 7.999............................ 868 145,594,282.36 15.38
8.000 - 8.499............................ 783 118,436,188.25 12.52
8.500 - 8.999............................ 1,639 223,657,908.33 23.63
9.000 - 9.499............................ 796 103,064,475.88 10.89
9.500 - 9.999............................ 1,006 126,396,961.28 13.36
10.000 - 10.499........................... 296 33,626,163.26 3.55
10.500 - 10.999........................... 436 49,822,920.48 5.26
11.000 - 11.499........................... 148 16,808,038.32 1.78
11.500 - 11.999........................... 150 15,463,332.83 1.63
12.000 - 12.499........................... 53 5,568,578.97 0.59
12.500 - 12.999........................... 103 10,363,109.30 1.10
13.000 - 13.499........................... 17 1,749,543.58 0.18
13.500 - 13.999........................... 20 1,982,558.05 0.21
14.000 - 14.499........................... 3 200,422.62 0.02
14.500 - 14.999........................... 4 362,045.35 0.04
----- ------------------ ------
Total.................................. 6,871 $ 946,341,572.42 100.00%
===== ================== ======
___________________
(1) The weighted average current Mortgage Rate of the Group II Mortgage
Loans as of the Cut-off Date was approximately 8.877% per annum.
MAXIMUM MORTGAGE RATES OF THE GROUP II MORTGAGE LOANS(1)
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
MAXIMUM MORTGAGE RATE (%) MORTGAGE LOANS DATE CUT-OFF DATE
------------------------- -------------- ---- ------------
11.001 - 12.000........................... 11 $ 1,905,079.85 0.20%
12.001 - 13.000........................... 270 45,327,116.81 4.79
13.001 - 14.000........................... 1,240 206,878,882.30 21.86
14.001 - 15.000........................... 2,441 343,372,002.10 36.28
15.001 - 16.000........................... 1,732 219,296,690.14 23.17
16.001 - 17.000........................... 704 80,090,224.06 8.46
17.001 - 18.000........................... 284 30,246,354.19 3.20
18.001 - 19.000........................... 150 15,470,261.29 1.63
19.001 - 20.000........................... 34 3,341,954.05 0.35
20.001 - 21.000........................... 5 413,007.63 0.04
----- ------------------ ------
Total.................................... 6,871 $ 946,341,572.42 100.00%
===== ================== ======
___________________
(1) The weighted average Maximum Mortgage Rate of the Group II Mortgage
Loans as of the Cut-off Date was approximately 14.877% per annum.
MINIMUM MORTGAGE RATES OF THE GROUP II MORTGAGE LOANS(1)
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
MINIMUM MORTGAGE RATE (%) MORTGAGE LOANS DATE CUT-OFF DATE
------------------------- -------------- ---- ------------
less than or equal to 6.000............... 11 $ 1,905,079.85 0.20%
6.001 - 7.000............................ 270 45,327,116.81 4.79
7.001 - 8.000............................ 1,240 206,878,882.30 21.86
8.001 - 9.000............................ 2,441 343,372,002.10 36.28
9.001 - 10.000........................... 1,732 219,296,690.14 23.17
10.001 - 11.000........................... 704 80,090,224.06 8.46
11.001 - 12.000........................... 284 30,246,354.19 3.20
12.001 - 13.000........................... 150 15,470,261.29 1.63
13.001 - 14.000........................... 34 3,341,954.05 0.35
14.001 - 15.000........................... 5 413,007.63 0.04
----- ------------------ ------
Total.................................... 6,871 $ 946,341,572.42 100.00%
===== ================== ======
___________________
(1) The weighted average Minimum Mortgage Rate of the Group II Mortgage
Loans as of the Cut-off Date was approximately 8.877% per annum.
GROSS MARGINS OF THE GROUP II MORTGAGE LOANS(1)
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
GROSS MARGINS (%) MORTGAGE LOANS DATE CUT-OFF DATE
----------------- -------------- ---- ------------
4.010 - 5.009............................. 3 $ 573,191.04 0.06%
5.010 - 6.009............................. 814 110,490,908.31 11.68
6.010 - 7.009............................. 5,652 793,930,651.13 83.89
7.010 - 8.009............................. 402 41,346,821.94 4.37
----- ------------------ ------
Total.................................... 6,871 $ 946,341,572.42 100.00%
===== ================== ======
___________________
(1) The weighted average Gross Margin of the Group II Mortgage Loans as of
the Cut-off Date was approximately 6.407% per annum.
NEXT ADJUSTMENT DATE FOR THE GROUP II MORTGAGE LOANS(1)
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
NEXT ADJUSTMENT DATE MORTGAGE LOANS DATE CUT-OFF DATE
-------------------- -------------- ---- ------------
April 1, 2004............................. 5 $ 367,993.03 0.04%
May 1, 2004............................... 16 2,258,955.58 0.24
June 1, 2004.............................. 85 11,284,015.83 1.19
July 1, 2004.............................. 154 22,080,982.69 2.33
August 1, 2004............................ 2,699 374,130,854.26 39.53
September 1, 2004......................... 2,405 332,599,426.03 35.15
October 1, 2004........................... 1,502 202,933,445.00 21.44
November 1, 2004.......................... 5 685,900.00 0.07
----- ------------------ ------
Total.................................... 6,871 $ 946,341,572.42 100.00%
===== ================== ======
___________________
(1) The weighted average next Adjustment Date for the Group II Mortgage
Loans as of the Cut-off Date is September 2004.
ORIGINAL LOAN-TO-VALUE RATIOS OF THE GROUP II MORTGAGE LOANS(1)
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
ORIGINAL LOAN-TO-VALUE RATIO (%) MORTGAGE LOANS DATE CUT-OFF DATE
-------------------------------- -------------- ---- ------------
Less than 30.00........................... 32 $ 2,290,318.67 0.24%
30.01 - 35.00............................ 17 1,328,563.34 0.14
35.01 - 40.00............................ 36 2,900,990.65 0.31
40.01 - 45.00............................ 45 4,988,040.73 0.53
45.01 - 50.00............................ 64 7,282,678.35 0.77
50.01 - 55.00............................ 116 13,759,365.84 1.45
55.01 - 60.00............................ 189 23,246,203.71 2.46
60.01 - 65.00............................ 320 40,540,968.27 4.28
65.01 - 70.00............................ 406 53,428,253.77 5.65
70.01 - 75.00............................ 970 127,484,348.90 13.47
75.01 - 80.00............................ 1,298 176,408,064.47 18.64
80.01 - 85.00............................ 1,443 202,134,791.42 21.36
85.01 - 90.00............................ 1,761 261,958,281.65 27.68
90.01 and over............................ 174 28,590,702.65 3.02
----- ------------------ ------
Total.................................... 6,871 $ 946,341,572.42 100.00%
===== ================== ======
___________________
(1) The weighted average original loan-to-value ratio of the Group II
Mortgage Loans as of the Cut-off Date was approximately 80.12%.
MORTGAGED PROPERTY TYPES OF THE GROUP II MORTGAGE LOANS
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
PROPERTY TYPE MORTGAGE LOANS DATE CUT-OFF DATE
------------- -------------- ---- ------------
Single Family Detached.................... 5,615 $ 756,559,780.51 79.95%
Two- to Four-Family....................... 417 73,501,434.68 7.77
Planned Unit Development Detached......... 376 54,562,048.83 5.77
Condominium............................... 347 47,707,641.83 5.04
Planned Unit Development Attached......... 48 7,150,918.50 0.76
Manufactured Housing...................... 42 3,749,510.80 0.40
Single Family Attached.................... 26 3,110,237.27 0.33
----- ------------------ ------
Total.................................... 6,871 $ 946,341,572.42 100.00%
===== ================== ======
MORTGAGED PROPERTY OCCUPANCY STATUS OF THE GROUP II MORTGAGE LOANS(1)
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
OCCUPANCY STATUS MORTGAGE LOANS DATE CUT-OFF DATE
---------------- -------------- ---- ------------
Owner Occupied............................ 6,442 $ 896,515,387.91 94.73%
Non Owner Occupied........................ 397 45,662,072.70 4.83
Second Home............................... 32 4,164,111.81 0.44
----- ------------------ ------
Total.................................... 6,871 $ 946,341,572.42 100.00%
===== ================== ======
___________________
(1) Occupancy status as represented by the mortgagor at the time of
origination.
PURPOSE OF THE GROUP II MORTGAGE LOANS
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
PURPOSE MORTGAGE LOANS DATE CUT-OFF DATE
------- -------------- ---- ------------
Refinance-Debt Consolidation, Cashout(1).. 3,969 $ 525,943,501.68 55.58%
Refinance-Debt Consolidation, No Cashout(2) 2,170 313,090,914.66 33.08
Purchase.................................. 732 107,307,156.08 11.34
----- ------------------ ------
Total.................................... 6,871 $ 946,341,572.42 100.00%
===== ================== ======
___________________
(1) Cash proceeds to the borrower exclusive of Debt Consolidation payments
exceed 3% of the original Principal Balance of the related Mortgage
Loan.
(2) Cash proceeds to the borrower exclusive of Debt Consolidation payments
are 3% or less of the original Principal Balance of the related
Mortgage Loan.
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES RELATING TO THE GROUP II MORTGAGE LOANS(1)
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
LOCATION MORTGAGE LOANS DATE CUT-OFF DATE
-------- -------------- ---- ------------
Alabama................................... 69 $ 6,148,258.42 0.65%
Alaska.................................... 19 3,008,317.77 0.32
Arizona................................... 265 28,703,955.78 3.03
Arkansas.................................. 8 774,746.34 0.08
California................................ 1,003 183,015,631.25 19.34
Colorado.................................. 163 25,277,768.75 2.67
Connecticut............................... 147 20,559,637.09 2.17
Delaware.................................. 9 1,149,275.77 0.12
Florida................................... 444 50,304,175.09 5.32
Georgia................................... 141 16,928,019.09 1.79
Hawaii.................................... 17 3,683,536.40 0.39
Idaho..................................... 17 1,994,252.29 0.21
Illinois.................................. 506 69,137,850.58 7.31
Indiana................................... 127 11,306,359.65 1.19
Iowa...................................... 141 13,125,484.42 1.39
Kansas.................................... 39 3,654,937.57 0.39
Kentucky.................................. 17 1,719,668.64 0.18
Louisiana................................. 45 4,646,316.13 0.49
Maine..................................... 43 4,995,564.44 0.53
Maryland.................................. 88 13,093,368.23 1.38
Massachussetts............................ 384 66,272,298.60 7.00
Michigan.................................. 391 41,721,020.06 4.41
Minnesota................................. 337 47,888,781.33 5.06
Mississippi............................... 21 1,989,265.21 0.21
Missouri.................................. 151 13,793,553.69 1.46
Montana................................... 4 355,053.83 0.04
Nebraska.................................. 21 1,763,438.87 0.19
Nevada.................................... 64 9,490,446.52 1.00
New Mexico................................ 49 5,549,017.88 0.59
New Hampshire............................. 37 5,113,784.66 0.54
New Jersey................................ 300 48,782,858.53 5.15
New York.................................. 440 85,115,500.35 8.99
Ohio...................................... 208 21,137,220.79 2.23
Oklahoma.................................. 35 3,289,319.83 0.35
Oregon.................................... 44 6,681,600.12 0.71
Pennsylvania.............................. 172 16,586,605.03 1.75
Rhode Island.............................. 89 11,783,565.97 1.25
South Dakota.............................. 1 71,144.14 0.01
South Carolina............................ 14 1,621,871.35 0.17
Tennessee................................. 32 2,920,737.15 0.31
Texas..................................... 447 45,849,491.58 4.84
Utah...................................... 58 7,894,657.40 0.83
Vermont................................... 4 365,671.67 0.04
Washington................................ 199 30,449,736.19 3.22
Wisconsin................................. 41 4,715,156.18 0.50
Wyoming................................... 20 1,912,651.79 0.20
----- ------------------ ------
Total............................... 6,871 $ 946,341,572.42 100.00%
===== ================== ======
___________________
(1) The greatest ZIP Code geographic concentration of Group II Mortgage
Loans was approximately 0.23% in the 94565 ZIP Code.
QUALIFYING FICO SCORES FOR THE GROUP II MORTGAGE LOANS AT ORIGINATION(1)
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
QUALIFYING FICO SCORE MORTGAGE LOANS DATE CUT-OFF DATE
--------------------- -------------- ---- ------------
500 - 519................................. 242 $ 28,706,127.86 3.03%
520 - 539................................. 634 80,037,586.38 8.46
540 - 559................................. 1,122 151,657,913.97 16.03
560 - 579................................. 1,084 143,213,818.79 15.13
580 - 599................................. 974 133,038,235.31 14.06
600 - 619................................. 732 102,027,251.70 10.78
620 - 639................................. 900 132,891,897.39 14.04
640 - 659................................. 538 78,553,193.34 8.30
660 - 679................................. 291 43,404,190.96 4.59
680 - 699................................. 186 27,133,190.06 2.87
700 - 719................................. 78 11,818,400.45 1.25
720 - 739................................. 47 7,441,661.68 0.79
740 - 759................................. 27 4,033,026.62 0.43
760 - 779................................. 13 1,997,233.77 0.21
780 - 799................................. 1 98,866.70 0.01
800 - 819................................. 2 288,977.44 0.03
----- ------------------ ------
Total............................... 6,871 $ 946,341,572.42 100.00%
===== ================== ======
___________________
(1) The weighted average qualifying FICO score at origination of the Group
II Mortgage Loans that had qualifying FICO scores at origination was
approximately 596.
INCOME DOCUMENTATION OF THE GROUP II MORTGAGE LOANS(1)
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
INCOME DOCUMENTATION MORTGAGE LOANS DATE CUT-OFF DATE
-------------------- -------------- ---- ------------
Full Documentation........................ 4,895 $ 668,256,331.66 70.61%
Stated Income Documentation............... 1,615 226,124,290.27 23.89
Limited Documentation..................... 361 51,960,950.49 5.49
----- ------------------ ------
Total.................................... 6,871 $ 946,341,572.42 100.00%
===== ================== ======
___________________
(1) For a description of each documentation level, see "The Mortgage
Pool--Underwriting Standards" in the Prospectus Supplement.
RISK CATEGORIES FOR THE GROUP II MORTGAGE LOANS (RETAIL)
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
CREDIT GRADE (RETAIL) MORTGAGE LOANS DATE CUT-OFF DATE
--------------------- -------------- ---- ------------
AAA....................................... 865 $ 119,320,586.40 23.20
AA........................................ 1,380 178,018,487.14 34.61
A......................................... 627 82,227,382.89 15.99%
B......................................... 768 88,221,367.83 17.15
C......................................... 349 44,332,980.60 8.62
D......................................... 23 2,192,189.52 0.43
----- ------------------ ------
Total.................................... 4,012 $ 514,312,994.38 100.00%
===== ================== ======
RISK CATEGORIES FOR THE GROUP II MORTGAGE LOANS (WHOLESALE)
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
CREDIT GRADE (WHOLESALE) MORTGAGE LOANS DATE CUT-OFF DATE
------------------------ -------------- ---- ------------
I......................................... 1,903 $ 287,275,092.25 66.49%
II........................................ 297 45,486,712.19 10.53
III....................................... 321 50,177,192.31 11.61
IV........................................ 190 27,464,708.57 6.36
V......................................... 113 17,087,157.85 3.96
VI........................................ 35 4,537,714.87 1.05
----- ------------------ ------
Total.................................... 2,859 $ 432,028,578.04 100.00%
===== ================== ======
ORIGINATION SOURCE OF THE GROUP II MORTGAGE LOANS
% OF AGGREGATE
AGGREGATE PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE CUT-OFF OUTSTANDING AS OF THE
ORIGINATION SOURCE MORTGAGE LOANS DATE CUT-OFF DATE
------------------ -------------- ---- ------------
Retail.................................... 4,012 $ 514,312,994.38 54.35%
Wholesale................................. 2,859 432,028,578.04 45.65
----- ------------------ ------
Total.................................... 6,871 $ 946,341,572.42 100.00%
===== ================== ======