Exhibit 99.1
------------
The Group I Mortgage Loans consist of approximately 715 fixed-rate
Mortgage Loans having an aggregate principal balance as of the Subsequent
Cut-off Date of approximately $95,551,210.31, after application of scheduled
payments due on or before the Subsequent 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 1,560 adjustable-rate Mortgage Loans having an
aggregate principal balance as of the Subsequent Cut-off Date of approximately
$222,457,253.20, after application of scheduled payments due on or before the
Subsequent 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 Mortgage Loan will accrue interest at the fixed-rate (in the case
of the Group I Mortgage Loans) or the adjustable-rate (in the case of the Group
II Mortgage Loans) calculated as specified under the terms of the related
mortgage note (each such rate, a "Mortgage Rate").
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. Generally, the Group II Mortgage Loans provide for semi-annual
adjustment to the Mortgage Rate thereon and for corresponding adjustments to the
monthly payment amount due thereon, in each case on each adjustment date
applicable thereto (each such date, an "Adjustment Date"); provided, that the
first adjustment for the Group II Mortgage Loans will occur after an initial
period of two years after origination. On each Adjustment Date for each Group II
Mortgage Loan, the Mortgage Rate thereon will be adjusted (subject to rounding)
to equal the sum of the applicable Index (as defined below) and a fixed
percentage amount (the "Gross Margin"). The Mortgage Rate on each Group II
Mortgage Loan will not decrease on the first related Adjustment Date, will not
increase by more than 2.000% per annum on the first related Adjustment Date (the
"Initial Periodic Rate Cap") and will not increase or decrease by more than
1.000% per annum on any Adjustment Date thereafter (the "Periodic Rate Cap").
Each Mortgage Rate on each Group II Mortgage Loan will not exceed a specified
maximum Mortgage Rate over the life of such Mortgage Loan (the "Maximum Mortgage
Rate") or be less than a specified minimum Mortgage Rate over the life of such
Mortgage Loan (the "Minimum Mortgage Rate"). Effective with the first monthly
payment due on each Group II Mortgage Loan after each related Adjustment Date,
the monthly payment amount will be adjusted to an amount that will amortize
fully the outstanding principal balance of the related Mortgage Loan over its
remaining term, and pay interest at the Mortgage Rate as so adjusted. Due to the
application of the Periodic Rate Caps and the Maximum Mortgage Rates, the
Mortgage Rate on each such Group II Mortgage Loan, as adjusted on any related
Adjustment Date, may be less than the sum of the Index and the related Gross
Margin, rounded as described herein. None of the Group II Mortgage Loans permits
the related mortgagor to convert the adjustable Mortgage Rate thereon to a fixed
Mortgage Rate.
Approximately 78.55% of the Group I Mortgage Loans and
approximately 80.62% 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. Generally, each such Mortgage Loan
provides for payment of a prepayment charge on certain prepayments made within a
defined period set forth in the related Mortgage Note (generally within the
first three years but possibly as short as one year from the date of origination
of such Mortgage Loan). The amount of the prepayment charge is as provided in
the related Mortgage Note. The holders of the Class P Certificates will be
entitled to all prepayment charges received on the Mortgage Loans in both Loan
Groups, and such amounts will not be available for distribution on the other
classes of Certificates. Under certain instances, as described under the terms
of the Pooling and Servicing Agreement, the Master Servicer may waive the
payment of any otherwise applicable prepayment charge. Investors should conduct
their own analysis of the effect, if any, that the prepayment charges, and
decisions by the Master Servicer with respect to the waiver thereof, may have on
the prepayment performance of the Mortgage Loans. The Depositor makes no
representation as to the effect that the prepayment charges, and decisions by
the Master Servicer with respect to the waiver thereof, may have on the
prepayment performance of the Mortgage Loans.
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 $133,682. No Group I Mortgage Loan had a Principal
Balance at origination greater than approximately $402,500 or less than
approximately $50,000. The average Principal Balance of the Group I Mortgage
Loans as of the Subsequent Cut-off Date was approximately $133,638. No Group I
Mortgage Loan had a principal balance as of the Subsequent Cut-off Date greater
than approximately $402,500 or less than approximately $49,711.
The Group I Mortgage Loans had Mortgage Rates as of the Subsequent
Cut-off Date ranging from approximately 5.750% per annum to approximately
13.050% per annum, and the weighted average Mortgage Rate on the Group I
Mortgage Loans was approximately 7.740% per annum.
The weighted average original loan-to-value ratio of the Group I
Mortgage Loans was approximately 80.69%. At origination, no Group I Mortgage
Loan had an original loan-to-value ratio greater than approximately 95.00% or
less than approximately 19.64%.
The weighted average remaining term to stated maturity of the Group I
Mortgage Loans was approximately 336 months as of the Subsequent Cut-off Date.
None of the Group I Mortgage Loans had a first Due Date prior to August 1, 2002
or after February 1, 2003, or will have an original term to stated maturity of
less than 180 months or greater than 360 months as of the Subsequent Cut-off
Date. The latest maturity date of any Group I Mortgage Loan is January 1, 2033.
The Group I Mortgage Loans are expected to have the following
characteristics as of the Subsequent Cut-off Date (the sum in any column may not
equal the total indicated due to rounding):
PRINCIPAL BALANCES OF THE GROUP I MORTGAGE LOANS AT ORIGINATION(1)
RANGE OF PRINCIPAL BALANCES AT NUMBER OF AGGREGATE ORIGINAL PRINCIPAL % OF AGGREGATE ORIGINAL
ORIGINATION ($) MORTGAGE LOANS BALANCE PRINCIPAL BALANCE
- ------------------------------------------ -------------- ---------------------------- ------------------------
0.01 - 50,000.00 ................ 36 $ 1,800,000.00 1.8832%
50,000.01 - 100,000.00 ................ 245 18,727,800.00 19.5933
100,000.01 - 150,000.00 ................ 188 23,150,617.00 24.2206
150,000.01 - 200,000.00 ................ 119 20,584,325.00 21.5357
200,000.01 - 250,000.00 ................ 82 18,421,834.00 19.2732
250,000.01 - 300,000.00 ................ 39 10,771,625.00 11.2695
300,000.01 - 350,000.00 ................ 3 962,999.00 1.0075
350,000.01 - 400,000.00 ................ 2 760,750.00 0.7959
400,000.01 - 450,000.00 ................ 1 402,500.00 0.4211
--- ----------------- --------
Total ..................... 715 $ 95,582,450.00 100.0000%
=== ================= ========
___________________
(1) The average principal balance of the Group I Mortgage Loans as of
origination was approximately $133,681.75.
PRINCIPAL BALANCES OF THE GROUP I MORTGAGE LOANS AS OF THE SUBSEQUENT CUT-OFF DATE(1)
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
RANGE OF PRINCIPAL BALANCES AS NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
OF THE CUT-OFF DATE ($) MORTGAGE LOANS DATE CUT-OFF DATE
- ----------------------------------------- --------------- ----------------------------- ------------------------------
0.01 - 50,000.00 ................. 37 $ 1,849,206.47 1.935%
50,000.01 - 100,000.00 ................. 245 18,768,870.41 19.643
100,000.01 - 150,000.00 ................. 187 23,043,357.48 24.116
150,000.01 - 200,000.00 ................. 119 20,579,771.01 21.538
200,000.01 - 250,000.00 ................. 82 18,415,977.99 19.273
250,000.01 - 300,000.00 ................. 39 10,769,301.55 11.271
300,000.01 - 350,000.00 ................. 3 962,163.62 1.007
350,000.01 - 400,000.00 ................. 2 760,061.78 0.795
400,000.01 - 450,000.00 ................. 1 402,500.00 0.421
--- ----------------- -------
Total .......................... 715 $ 95,551,210.31 100.000%
=== ================= =======
___________________
(1) The average principal balance of the Group I Mortgage Loans as of the
Cut-off Date was approximately $133,638.06.
MORTGAGE RATES OF THE GROUP I MORTGAGE LOANS AS OF THE SUBSEQUENT CUT-OFF DATE(1)
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
CURRENT MORTGAGE LOAN (%) MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
5.501 - 6.000 .................. 3 $ 419,200.00 0.439%
6.001 - 6.500 .................. 24 4,924,173.12 5.153
6.501 - 7.000 .................. 135 20,813,641.83 21.783
7.001 - 7.500 .................. 131 17,666,567.74 18.489
7.501 - 8.000 .................. 173 24,851,053.64 26.008
8.001 - 8.500 .................. 101 11,475,104.85 12.009
8.501 - 9.000 .................. 72 8,420,357.64 8.812
9.001 - 9.500 .................. 23 2,026,509.46 2.121
9.501 -10.000 .................. 23 2,934,914.56 3.072
10.001 -10.500 .................. 14 895,127.88 0.937
10.501 -11.000 .................. 9 737,701.52 0.772
11.001 -11.500 .................. 3 151,000.00 0.158
11.501 -12.000 .................. 1 49,971.16 0.052
12.001 -12.500 .................. 2 128,993.71 0.135
13.001 -13.500 .................. 1 56,893.20 0.060
--- -------------------- -------
Total ................... 715 $ 95,551,210.31 100.000%
=== ==================== =======
__________________
(1) The weighted average current Mortgage Rate of the Group I Mortgage Loans as
of the Cut-off Date was approximately 7.740% per annum.
ORIGINAL LOAN-TO-VALUE RATIOS OF THE GROUP I MORTGAGE LOANS(1)
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
ORIGINAL LOAN-TO-VALUE RATIO (%) MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
Less than or equal to 30.00............... 5 $278,471.20 0.291%
30.01 - 35.00........................... 5 365,732.14 0.383
35.01 - 40.00........................... 2 124,769.59 0.131
40.01 - 45.00........................... 7 588,993.71 0.616
45.01 - 50.00........................... 14 1,591,038.89 1.665
50.01 - 55.00........................... 12 1,252,091.89 1.31
55.01 - 60.00........................... 22 2,408,766.11 2.521
60.01 - 65.00........................... 27 2,865,590.40 2.999
65.01 - 70.00........................... 42 5,009,346.25 5.243
70.01 - 75.00........................... 62 7,542,415.29 7.894
75.01 - 80.00........................... 133 18,094,155.98 18.937
80.01 - 85.00........................... 138 19,445,617.66 20.351
85.01 - 90.00........................... 217 30,956,904.30 32.398
90.01 - 95.00........................... 29 5,027,316.90 5.261
Total................................... 715 $95,551,210.31 100.000%
___________________
(1) The weighted average original loan-to-value ratio of the Group I
Mortgage Loans as of the Cut-off Date was approximately 80.69%.
MORTGAGED PROPERTY TYPES OF THE GROUP I MORTGAGE LOANS
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
PROPERTY TYPE MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
Two- to Four-Family .................... 55 $ 8,889,560.28 9.303%
Condominium ............................ 27 3,335,208.68 3.49
Manufactured/Mobile Housing ............ 2 178,200.00 0.186
Planned Unit Development Detached ...... 24 3,031,758.02 3.173
Planned Unit Development Attached ...... 3 380,287.32 0.398
Single Family Detached ................. 597 79,081,846.01 82.764
Single Family Attached ................. 7 654,350.00 0.685
--- ----------------- -------
Total ................................ 715 $ 95,551,210.31 100.000%
=== ================= =======
MORTGAGED PROPERTY OCCUPANCY STATUS OF THE GROUP I MORTGAGE LOANS(1)
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
OCCUPANCY STATUS MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
Non-Owner Occupied........................ 60 $ 5,809,627.27 6.080%
Owner Occupied............................ 649 89,207,273.04 93.361
Second Homes.............................. 6 534,310.00 0.559
--- -------------- -------
Total................................... 715 $95,551,210.31 100.000%
=== ============== =======
___________________
(1) Occupancy status as represented by the mortgagor at the time of
origination.
PURPOSE OF THE GROUP I MORTGAGE LOANS
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
PURPOSE MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
Purchase.................................. 35 $ 4,612,387.16 4.827%
Refinance-Debt Consolidation, Cashout(1).. 422 52,921,026.66 55.385
Refinance-Debt Consolidation, No Cashout(2) 258 38,017,796.49 39.788
--- -------------- -------
Total................................... 715 $95,551,210.31 100.000%
=== ============== =======
___________________
(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)
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
LOCATION MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
Alabama .................... 11 $ 1,095,114.97 1.146%
Arizona .................... 23 2,565,809.22 2.685
Arkansas ................... 2 104,908.99 0.11
California ................. 94 16,945,880.72 17.735
Colorado ................... 15 2,270,260.00 2.376
Connecticut ................ 20 2,941,736.71 3.079
Delaware ................... 5 464,450.00 0.486
Florida .................... 66 7,899,871.52 8.268
Georgia .................... 4 375,845.04 0.393
Hawaii ..................... 11 2,549,585.55 2.668
Illinois ................... 22 2,499,720.83 2.616
Indiana .................... 18 1,534,508.54 1.606
Iowa ....................... 3 369,939.35 0.387
Kansas ..................... 4 439,370.78 0.46
Louisiana .................. 11 1,114,800.00 1.167
Maine ...................... 4 547,150.00 0.573
Maryland ................... 11 1,500,569.67 1.57
Massachussetts ............. 26 4,322,763.20 4.524
Michigan ................... 35 4,076,109.60 4.266
Minnesota .................. 32 4,639,034.34 4.855
Mississippi ................ 1 160,000.00 0.167
Missouri ................... 14 1,305,787.64 1.367
Montana .................... 1 119,700.00 0.125
Nebraska ................... 6 527,050.00 0.552
Nevada ..................... 6 549,700.00 0.575
New Hampshire .............. 5 728,300.00 0.762
New Jersey ................. 28 4,580,033.34 4.793
New Mexico ................. 1 67,552.76 0.071
New York ................... 44 9,333,948.20 9.769
North Dakota ............... 1 110,700.00 0.116
Ohio ....................... 38 3,533,971.89 3.699
Oklahoma ................... 3 188,890.00 0.198
Oregon ..................... 3 268,100.00 0.281
Pennsylvania ............... 33 3,703,737.13 3.876
Rhode Island ............... 9 1,406,850.38 1.472
South Carolina ............. 4 252,600.00 0.264
Tennessee .................. 13 986,973.76 1.033
Texas ...................... 60 5,474,494.90 5.729
Utah ....................... 3 427,000.00 0.447
Washington ................. 10 1,717,209.44 1.797
Wisconsin .................. 14 1,731,566.33 1.812
Wyoming .................... 1 119,615.51 0.125
--- ----------------- -------
Total .................... 715 $ 95,551,210.31 100.000%
=== ================= =======
___________________
(1) The greatest ZIP Code geographic concentration of Group I Mortgage Loans
was approximately 0.439% in the 92592 ZIP Code.
QUALIFYING FICO SCORES FOR THE GROUP I MORTGAGE LOANS AT ORIGINATION(1)
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
QUALIFYING FICO SCORE MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
500 - 519 .................. 10 $ 968,443.52 1.014%
520 - 539 .................. 23 2,259,922.72 2.365
540 - 559 .................. 32 3,938,463.65 4.122
560 - 579 .................. 42 4,638,684.94 4.855
580 - 599 .................. 44 5,990,540.21 6.269
600 - 619 .................. 45 6,900,052.89 7.221
620 - 639 .................. 84 12,281,745.42 12.854
640 - 659 .................. 83 11,100,014.78 11.617
660 - 679 .................. 90 12,845,497.82 13.444
680 - 699 .................. 97 12,597,376.44 13.184
700 - 719 .................. 54 7,980,989.76 8.353
720 - 739 .................. 52 6,889,314.74 7.21
740 - 759 .................. 28 3,174,049.91 3.322
760 - 779 .................. 22 2,925,875.03 3.062
780 - 799 .................. 8 995,438.48 1.042
800 and above .............. 1 64,800.00 0.068
--- ----------------- -------
Total ............... 715 $ 95,551,210.31 100.000%
=== ================= =======
___________________
(1) The weighted average qualifying FICO score at origination of the Group I
Mortgage Loans that had qualifying FICO scores at origination was
approximately 655.
INCOME DOCUMENTATION OF THE GROUP I MORTGAGE LOANS(1)
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
INCOME DOCUMENTATION MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
Full Documentation........................ 533 $69,942,715.66 73.199%
Limited Documentation..................... 49 6,875,254.81 7.195
Stated Income Documentation............... 133 18,733,239.84 19.605
--- -------------- -------
Total................................... 715 $95,551,210.31 100.000%
=== ============== =======
___________________
(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)
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
CREDIT GRADE (RETAIL) MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
AAA....................................... 376 $48,523,159.98 85.173%
AA........................................ 42 4,539,254.26 7.968
A......................................... 14 1,548,781.81 2.719
B......................................... 22 2,359,011.24 4.141
--- -------------- -------
Total................................... 454 $56,970,207.29 100.000%
=== ============== =======
RISK CATEGORIES FOR THE GROUP I MORTGAGE LOANS (WHOLESALE)
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
CREDIT GRADE (WHOLESALE) MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
I......................................... 205 $30,817,603.64 79.878%
II........................................ 28 4,511,310.03 11.693
III....................................... 14 1,712,877.42 4.44
IV........................................ 12 1,265,711.93 3.281
V......................................... 2 273,500.00 0.709
--- -------------- -------
Total................................... 261 $38,581,003.02 100.000%
=== ============== =======
ORIGINATION SOURCE OF THE GROUP I MORTGAGE LOANS
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
ORIGINATION SOURCE MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
Retail.................................... 454 $56,970,207.29 59.623%
Wholesale................................. 261 38,581,003.02 40.377
--- -------------- -------
Total................................... 715 $95,551,210.31 100.000%
=== ============== =======
GROUP II MORTGAGE LOAN STATISTICS
The average principal balance of the Group II Mortgage Loans at
origination was approximately $142,663. No Group II Mortgage Loan had a
principal balance at origination greater than approximately $412,250 or less
than approximately $50,000. The average principal balance of the Group II
Mortgage Loans as of the Subsequent Cut-off Date was approximately $142,601. No
Group II Mortgage Loan had a principal balance as of the Subsequent Cut-off Date
greater than approximately $411,694 or less than approximately $49,443.
The Group II Mortgage Loans had Mortgage Rates as of the Subsequent
Cut-off Date ranging from approximately 5.550% per annum to approximately
13.750% per annum, and the weighted average Mortgage Rate on the Group II
Mortgage Loans was approximately 8.198% per annum. As of the Subsequent Cut-off
Date, the Group II Mortgage Loans had Gross Margins ranging from approximately
5.250% to approximately 7.125%, Minimum Mortgage Rates ranging from
approximately 5.550% per annum to approximately 13.750% per annum and Maximum
Mortgage Rates ranging from approximately 11.550% per annum to approximately
19.750% per annum. As of the Subsequent Cut- off Date, the weighted average
Gross Margin on the Group II Mortgage Loans was approximately 6.201%, the
weighted average Minimum Mortgage Rate on the Group II Mortgage Loans was
approximately 8.198% per annum and the weighted average Maximum Mortgage Rate on
the Group II Mortgage Loans was approximately 14.198% per annum. The latest
first Adjustment Date following the Subsequent Cut-off Date on any Group II
Mortgage Loan occurs in January 2005 and the weighted average next Adjustment
Date for all of the Group II Mortgage Loans following the Subsequent Cut-off
Date is November 2004.
The weighted average original loan-to-value ratio of the Group II
Mortgage Loans was approximately 80.03%. At origination, no Group II Mortgage
Loan had an original loan-to-value ratio greater than approximately 95.00% or
less than approximately 17.86%.
The weighted average remaining term to stated maturity of the Group II
Mortgage Loans was approximately 355 months as of the Subsequent Cut-off Date.
None of the Group II Mortgage Loans had a first Due Date prior to August 1, 2002
or after February 1, 2003, or will have an original term to stated maturity of
less than approximately 180 months or greater than 360 months as of the
Subsequent Cut-off Date. The latest maturity date of any Group II Mortgage Loan
is January 1, 2033.
The Group II Mortgage Loans are expected to have the following
characteristics as of the Subsequent 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)
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
RANGE OF PRINCIPAL BALANCES AT NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
ORIGINATION ($) MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
0.01 - 50,000.00 .............. 41 $ 2,050,000.00 0.92%
50,000.01 - 100,000.00 ............... 469 35,717,184.00 16.05
100,000.01 - 150,000.00 ............... 426 52,775,325.00 23.71
150,000.01 - 200,000.00 ............... 291 50,204,906.00 22.56
200,000.01 - 250,000.00 ............... 211 47,274,359.00 21.24
250,000.01 - 300,000.00 ............... 107 29,310,993.00 13.17
300,000.01 - 350,000.00 ............... 8 2,521,899.00 1.13
350,000.01 - 400,000.00 ............... 4 1,479,525.00 0.66
400,000.01 - 450,000.00 ............... 3 1,220,750.00 0.55
----- ------------------ ------
Total .................... 1,560 $ 222,554,941.00 100.00%
===== ================== ======
___________________
(1) The average Principal Balance of the Group II Mortgage Loans as of
origination was approximately $142,663.42.
PRINCIPAL BALANCES OF THE GROUP II MORTGAGE LOANS AS OF THE SUBSEQUENT CUT-OFF DATE(1)
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
RANGE OF PRINCIPAL BALANCES AS NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
OF THE CUT-OFF DATE ($) MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
0.01 - 50,000.00 ............... 42 $ 2,098,800.75 0.94%
50,000.01 - 100,000.00 ............... 470 35,853,091.12 16.12
100,000.01 - 150,000.00 ............... 425 52,703,107.53 23.69
150,000.01 - 200,000.00 ............... 290 50,033,261.81 22.49
200,000.01 - 250,000.00 ............... 211 47,254,261.41 21.24
250,000.01 - 300,000.00 ............... 108 29,594,546.28 13.30
300,000.01 - 350,000.00 ............... 7 2,221,399.00 1.00
350,000.01 - 400,000.00 ............... 4 1,478,894.31 0.66
400,000.01 - 450,000.00 ............... 3 1,219,890.99 0.55
----- ------------------ ------
Total .................... 1,560 $ 222,457,253.20 100.00%
===== ================== ======
___________________
(1) The average Principal Balance of the Group II Mortgage Loans as of the
Subsequent Cut-off Date was approximately $142,600.80.
MORTGAGE RATES OF THE GROUP II MORTGAGE LOANS AS OF THE SUBSEQUENT CUT-OFF DATE(1)
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
CURRENT MORTGAGE RATE ($) MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
5.500 - 5.999 .................... 19 $ 3,636,883.48 1.63%
6.000 - 6.499 .................... 66 11,098,528.38 4.99
6.500 - 6.999 .................... 155 26,381,613.87 11.86
7.000 - 7.499 .................... 145 24,296,818.12 10.92
7.500 - 7.999 .................... 290 46,138,235.99 20.74
8.000 - 8.499 .................... 172 24,383,086.50 10.96
8.500 - 8.999 .................... 278 36,919,292.70 16.60
9.000 - 9.499 .................... 111 14,554,710.79 6.54
9.500 - 9.999 .................... 160 18,017,036.20 8.10
10.000 -10.499 .................... 38 3,980,165.47 1.79
10.500 -10.999 .................... 82 8,600,331.82 3.87
11.000 -11.499 .................... 16 1,735,579.23 0.78
11.500 -11.999 .................... 17 1,765,839.89 0.79
12.000 -12.499 .................... 5 444,631.08 0.20
12.500 -12.999 .................... 5 407,037.50 0.18
13.500 -13.999 .................... 1 97,462.18 0.04
----- ------------------ ------
Total ................... 1,560 $ 222,457,253.20 100.00%
===== ================== ======
___________________
(1) The weighted average current Mortgage Rate of the Group II Mortgage Loans
as of the Subsequent Cut-off Date was approximately 8.198% per annum.
MAXIMUM MORTGAGE RATES OF THE GROUP II MORTGAGE LOANS(1)
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
MAXIMUM MORTGAGE RATE ($) MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
11.500 - 11.999 ................... 19 $ 3,636,883.48 1.63%
12.000 - 12.499 ................... 66 11,098,528.38 4.99
12.500 - 12.999 ................... 155 26,381,613.87 11.86
13.000 - 13.499 ................... 145 24,296,818.12 10.92
13.500 - 13.999 ................... 290 46,138,235.99 20.74
14.000 - 14.499 ................... 172 24,383,086.50 10.96
14.500 - 14.999 ................... 278 36,919,292.70 16.60
15.000 - 15.499 ................... 111 14,554,710.79 6.54
15.500 - 15.999 ................... 160 18,017,036.20 8.10
16.000 - 16.499 ................... 38 3,980,165.47 1.79
16.500 - 16.999 ................... 82 8,600,331.82 3.87
17.000 - 17.499 ................... 16 1,735,579.23 0.78
17.500 - 17.999 ................... 17 1,765,839.89 0.79
18.000 - 18.499 ................... 5 444,631.08 0.20
18.500 - 18.999 ................... 5 407,037.50 0.18
19.500 - 19.999 ................... 1 97,462.18 0.04
----- ------------------ ------
Total .................... 1,560 $ 222,457,253.20 100.00%
===== ================== ======
___________________
(1) The weighted average Maximum Mortgage Rate of the Group II Mortgage Loans
as of the Subsequent Cut-off Date was approximately 14.198% per annum.
MINIMUM MORTGAGE RATES OF THE GROUP II MORTGAGE LOANS(1)
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
MINIMUM MORTGAGE RATE ($) MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
5.500 - 5.999 ................... 19 $ 3,636,883.48 1.63%
6.000 - 6.499 ................... 66 11,098,528.38 4.99
6.500 - 6.999 ................... 155 26,381,613.87 11.86
7.000 - 7.499 ................... 145 24,296,818.12 10.92
7.500 - 7.999 ................... 290 46,138,235.99 20.74
8.000 - 8.499 ................... 172 24,383,086.50 10.96
8.500 - 8.999 ................... 278 36,919,292.70 16.60
9.000 - 9.499 ................... 111 14,554,710.79 6.54
9.500 - 9.999 ................... 160 18,017,036.20 8.10
10.000 - 10.499 ................... 38 3,980,165.47 1.79
10.500 - 10.999 ................... 82 8,600,331.82 3.87
11.000 - 11.499 ................... 16 1,735,579.23 0.78
11.500 - 11.999 ................... 17 1,765,839.89 0.79
12.000 - 12.499 ................... 5 444,631.08 0.20
12.500 - 12.999 ................... 5 407,037.50 0.18
13.500 - 13.999 ................... 1 97,462.18 0.04
----- ------------------ ------
Total ................... 1,560 $ 222,457,253.20 100.00%
===== ================== ======
___________________
(1) The weighted average Minimum Mortgage Rate of the Group II Mortgage Loans
as of the Subsequent Cut-off Date was approximately 8.198% per annum.
GROSS MARGINS OF THE GROUP II MORTGAGE LOANS(1)
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
GROSS MARGINS ($) MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
5.250 - 5.499 .................... 286 $ 40,495,908.30 18.20%
5.500 - 5.749 .................... 11 1,524,048.77 0.69
5.750 - 5.999 .................... 1 49,917.71 0.02
6.000 - 6.249 .................... 11 1,366,540.77 0.61
6.250 - 6.499 .................... 492 61,585,896.99 27.68
6.500 - 6.749 .................... 731 113,295,697.63 50.93
6.750 - 6.999 .................... 14 2,536,533.79 1.14
7.000 - 7.249 .................... 14 1,602,709.24 0.72
----- ------------------ ------
Total .................... 1,560 $ 222,457,253.20 100.00%
===== ================== ======
___________________
(1) The weighted average Gross Margin of the Group II Mortgage Loans as of the
Subsequent Cut-off Date was approximately 6.201% per annum.
NEXT ADJUSTMENT DATE FOR THE GROUP II MORTGAGE LOANS(1)
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
NEXT ADJUSTMENT DATE MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
July 1, 2004 ................... 1 $ 190,772.11 0.09%
August 1, 2004 ................. 10 911,897.43 0.41
September 1, 2004 .............. 53 7,025,121.76 3.16
October 1, 2004 ................ 137 21,799,621.60 9.80
November 1, 2004 ............... 441 64,734,578.30 29.10
December 2, 2004 ............... 917 127,555,262.00 57.34
January 1, 2005 ................ 1 240,000.00 0.11
----- ------------------ ------
Total ......................... 1,560 $ 222,457,253.20 100.00%
===== ================== ======
___________________
(1) The weighted average next Adjustment Date for the Group II Mortgage Loans
as of the Subsequent Cut-off Date is November 2004.
ORIGINAL LOAN-TO-VALUE RATIOS OF THE GROUP II MORTGAGE LOANS(1)
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
ORIGINAL LOAN-TO-VALUE RATIO (%) MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
Less than 30.00........................... 14 $ 926,218.21 0.42%
30.01 - 35.00............................ 5 659,812.09 0.30
35.01 - 40.00............................ 13 1,239,726.87 0.56
40.01 - 45.00............................ 11 1,055,664.70 0.47
45.01 - 50.00............................ 23 2,618,818.16 1.18
50.01 - 55.00............................ 31 3,946,923.57 1.77
55.01 - 60.00............................ 42 5,293,186.97 2.38
60.01 - 65.00............................ 70 8,083,044.54 3.63
65.01 - 70.00............................ 78 10,377,050.39 4.66
70.01 - 75.00............................ 212 28,308,994.95 12.73
75.01 - 80.00............................ 273 39,346,362.27 17.69
80.01 - 85.00............................ 352 51,549,806.62 23.17
85.01 - 90.00............................ 375 57,980,739.45 26.06
90.01 -95.00............................. 61 11,070,904.41 4.98
----- --------------- ------
Total.................................... 1,560 $222,457,253.20 100.00%
===== =============== ======
___________________
(1) The weighted average original loan-to-value ratio of the Group II
Mortgage Loans as of the Subsequent Cut-off Date was approximately
80.029%.
MORTGAGED PROPERTY TYPES OF THE GROUP II MORTGAGE LOANS
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
PROPERTY TYPE MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
Single Family Detached .................. 1,298 $ 181,113,484.16 81.41%
Two- to Four-Family ..................... 88 16,773,410.02 7.54
Condominium ............................. 87 12,386,124.52 5.57
Planned Unit Development Detached ....... 63 9,583,339.04 4.31
Planned Unit Development Attached ....... 9 1,085,550.19 0.49
Single Family Attached .................. 8 959,677.46 0.43
Manufactured Housing .................... 7 555,667.81 0.25
----- ------------------ ------
Total .................................. 1,560 $ 222,457,253.20 100.00%
===== ================== ======
MORTGAGED PROPERTY OCCUPANCY STATUS OF THE GROUP II MORTGAGE LOANS(1)
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
OCCUPANCY STATUS MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
Owner Occupied............................ 1,460 $210,086,094.14 94.44%
Non Owner Occupied........................ 90 11,483,620.79 5.16
Second Home............................... 10 887,538.27 0.40
----- --------------- ------
Total.................................... 1,560 $222,457,253.20 100.00%
===== =============== ======
___________________
(1) Occupancy status as represented by the mortgagor at the time of
origination.
PURPOSE OF THE GROUP II MORTGAGE LOANS
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
PURPOSE MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
Refinance-Debt Consolidation, Cashout(1).. 919 $123,793,406.06 55.65%
Refinance-Debt Consolidation, No Cashout(2) 529 80,305,979.52 36.10
Purchase.................................. 112 18,357,867.62 8.25
----- --------------- ------
Total.................................... 1,560 $222,457,253.20 100.00%
===== =============== ======
___________________
(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)
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
LOCATION MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
Alabama ..................... 16 $ 1,461,028.20 0.66%
Alaska ...................... 2 293,600.00 0.13
Arizona ..................... 52 6,225,199.80 2.80
Arkansas .................... 2 165,800.00 0.07
California .................. 276 51,638,905.90 23.21
Colorado .................... 36 5,541,044.43 2.49
Connecticut ................. 32 5,010,480.72 2.25
Delaware .................... 3 254,421.79 0.11
Florida ..................... 120 13,072,040.73 5.88
Georgia ..................... 12 1,406,189.77 0.63
Hawaii ...................... 5 801,193.79 0.36
Idaho ....................... 4 376,016.51 0.17
Illinois .................... 107 14,470,458.34 6.50
Indiana ..................... 40 3,114,393.03 1.40
Iowa ........................ 18 1,743,817.64 0.78
Kansas ...................... 13 1,291,908.23 0.58
Kentucky .................... 2 132,000.00 0.06
Louisiana ................... 11 1,178,314.21 0.53
Maine ....................... 7 1,050,925.52 0.47
Maryland .................... 20 3,329,156.23 1.50
Massachusetts ............... 86 15,550,183.72 6.99
Michigan .................... 101 10,881,588.86 4.89
Minnesota ................... 88 12,755,067.80 5.73
Mississippi ................. 3 218,976.03 0.10
Missouri .................... 31 3,637,876.00 1.64
Montana ..................... 4 353,162.48 0.16
Nebraska .................... 9 772,318.61 0.35
Nevada ...................... 12 1,768,573.56 0.80
New Hampshire ............... 13 2,080,422.90 0.94
New Jersey .................. 64 11,248,822.74 5.06
New Mexico .................. 10 1,102,517.00 0.50
New York .................... 71 13,757,807.26 6.18
Ohio ........................ 46 4,889,964.10 2.20
Oklahoma .................... 2 161,222.62 0.07
Oregon ...................... 10 1,717,039.60 0.77
Pennsylvania ................ 33 3,795,130.22 1.71
Rhode Island ................ 22 3,223,587.83 1.45
South Carolina .............. 5 442,315.27 0.20
South Dakota ................ 1 190,772.11 0.09
Tennessee ................... 6 566,244.16 0.25
Texas ....................... 89 9,147,942.92 4.11
Utah ........................ 17 2,344,659.36 1.05
Vermont ..................... 5 687,852.53 0.31
Washington .................. 34 6,397,038.39 2.88
Wisconsin ................... 18 2,033,426.37 0.91
Wyoming ..................... 2 175,845.92 0.08
----- ------------------ ------
Total ................. 1,560 $ 222,457,253.20 100.00%
===== ================== ======
___________________
(1) The greatest ZIP Code geographic concentration of Group II Mortgage Loans
was approximately .312% in the 94531 ZIP Code.
QUALIFYING FICO SCORES FOR THE GROUP II MORTGAGE LOANS AT ORIGINATION(1)
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
QUALIFYING FICO SCORE MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
500 - 519 ...................... 53 $ 6,362,005.91 2.86%
520 - 539 ...................... 140 17,422,843.00 7.83
540 - 559 ...................... 211 28,313,740.75 12.73
560 - 579 ...................... 243 34,969,817.26 15.72
580 - 599 ...................... 209 28,365,667.47 12.75
600 - 619 ...................... 156 23,586,835.76 10.60
620 - 639 ...................... 159 24,343,055.80 10.94
640 - 659 ...................... 137 20,844,743.04 9.37
660 - 679 ...................... 85 12,607,118.38 5.67
680 - 699 ...................... 65 9,979,428.16 4.49
700 - 719 ...................... 50 8,283,394.49 3.72
720 - 739 ...................... 28 4,306,108.38 1.94
740 - 759 ...................... 13 1,776,812.25 0.80
760 - 779 ...................... 6 608,047.10 0.27
780 - 799 ...................... 5 687,635.45 0.31
----- ------------------ ------
Total .................... 1,560 $ 222,457,253.20 100.00%
===== ================== ======
___________________
(1) The weighted average qualifying FICO score at origination of the Group II
Mortgage Loans that had qualifying FICO scores at origination was
approximately 605.
INCOME DOCUMENTATION OF THE GROUP II MORTGAGE LOANS(1)
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
INCOME DOCUMENTATION MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
Full Documentation ................ 1,151 $ 163,639,762.51 73.56%
Stated Income Documentation ....... 322 44,840,646.13 20.16
Limited Documentation ............. 87 13,976,844.56 6.28
----- ------------------ ------
Total ......................... 1,560 $ 222,457,253.20 100.00%
===== ================== ======
___________________
(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)
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
CREDIT GRADE (RETAIL) MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
AAA ...................... 299 $ 43,003,774.69 32.51%
AA ....................... 296 38,134,438.73 28.83
A ........................ 137 18,346,236.99 13.87
B ........................ 183 20,682,747.27 15.64
C ........................ 98 11,816,676.55 8.93
D ........................ 3 283,744.10 0.21
----- ------------------ ------
Total ................ 1,016 $ 132,267,618.33 100.00%
===== ================== ======
RISK CATEGORIES FOR THE GROUP II MORTGAGE LOANS (WHOLESALE)
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
CREDIT GRADE (WHOLESALE) MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
I ........................... 373 $ 61,516,264.77 68.21%
II .......................... 57 10,039,742.10 11.13
III ......................... 51 8,849,841.87 9.81
IV .......................... 41 6,577,271.40 7.29
V ........................... 20 3,014,199.37 3.34
VI .......................... 2 192,315.36 0.21
--- ----------------- ------
Total ................... 544 $ 90,189,634.87 100.00%
=== ================= ======
ORIGINATION SOURCE OF THE GROUP II MORTGAGE LOANS
AGGREGATE PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE
ORIGINATION SOURCE MORTGAGE LOANS DATE CUT-OFF DATE
- ------------------------------------------ ---------------- ----------------------------- -----------------------------
Retail.................................... 1,016 $132,267,618.33 59.46%
Wholesale................................. 544 90,189,634.87 40.54
----- --------------- ------
Total................................. 1,560 $222,457,253.20 100.00%
===== =============== ======