EXHIBIT 99.1
Unless otherwise noted, all statistical percentages or weighted
averages set forth below are measured as a percentage of the aggregate Principal
Balance of the Initial Mortgage Loans in the related Loan Group or in the
Mortgage Pool as of the Cut-off Date and the Subsequent Mortgage Loans in the
related Loan Group or in the Mortgage Pool as of the Subsequent Cut-off Date.
The Group I Mortgage Loans consist of approximately 3,161 Mortgage
Loans with a Principal Balance as of the Cut-off Date or the Subsequent Cut-off
Date, as applicable, of approximately $488,287,738. The Group II Mortgage Loans
consist of approximately 2,180 Mortgage Loans with a Principal Balance as of the
Cut-off Date or the Subsequent Cut-off Date, as applicable, of approximately
$661,712,261.
All of the Mortgage Loans will be secured by first mortgages or deeds
of trust or other similar security instruments (each, a "Mortgage"). The
Mortgages create first liens on one- to four-family residential properties
consisting of attached or detached one- to four-family dwelling units and
individual condominium units (each, a "Mortgaged Property").
Each Mortgage Loan will accrue interest at the adjustable-rate or
fixed-rate calculated as specified under the terms of the related mortgage note
(each such rate, a "Mortgage Rate"). Approximately 93.48% of the Group I
Mortgage Loans are adjustable-rate Mortgage Loans (the "Adjustable-Rate Group I
Mortgage Loans") and approximately 6.52% of the Group I Mortgage Loans are
fixed-rate Mortgage Loans (the "Fixed-Rate Group I Mortgage Loans").
Approximately 95.22% of the Group II Mortgage Loans are adjustable-rate Mortgage
Loans (the "Adjustable-Rate Group II Mortgage Loans") and approximately 4.78% of
the Group II Mortgage Loans are fixed-rate Mortgage Loans (the "Fixed-Rate Group
II Mortgage Loans"). Approximately 94.48% of the Mortgage Loans are
adjustable-rate Mortgage Loans (the "Adjustable-Rate Mortgage Loans") and
approximately 5.52% of the Mortgage Loans are fixed-rate Mortgage Loans (the
"Fixed-Rate Mortgage Loans").
Each fixed-rate Mortgage Loan has a Mortgage Rate that is fixed for the
life of such Mortgage Loan.
Substantially all of the adjustable-rate Mortgage Loans accrue interest
at a Mortgage Rate that is adjustable following an initial period of one year,
two years, three years or five years following origination. Generally, the
adjustable-rate 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 (i) the first adjustment
of the rates for approximately 0.03% of the Adjustable-Rate Group I Mortgage
Loans (by aggregate Principal Balance of the Adjustable-Rate Group I Mortgage
Loans in the related Loan Group as of the Cut-off Date or the Subsequent Cut-off
Date, as applicable) and approximately 0.01% of the Adjustable-Rate Mortgage
Loans (by aggregate Principal Balance of the Adjustable-Rate Mortgage Loans as
of the Cut-off Date or the Subsequent Cut-off Date, as applicable), will not
occur until one year after the date of origination, (ii) the first adjustment of
the rates for approximately 74.94% of the Adjustable-Rate Group I Mortgage Loans
and approximately 77.80% of the Adjustable-Rate Group II Mortgage Loans (in each
case, by aggregate Principal Balance of the Adjustable-Rate Mortgage Loans in
the related Loan Group as of the Cut-off Date or the Subsequent Cut-off Date, as
applicable) and approximately 76.60% of the Adjustable-Rate Mortgage Loans (by
aggregate Principal Balance of the Adjustable-Rate Mortgage Loans as of the
Cut-off Date or the Subsequent Cut-off Date, as applicable), will not occur
until two years after the date of origination, (iii) the first adjustment of the
rates for approximately 2.74% of the Adjustable-Rate Group I Mortgage Loans and
approximately 3.07% of the Adjustable-Rate Group II Mortgage Loans (in each
case, by aggregate Principal Balance of the Adjustable-Rate Mortgage Loans in
the related Loan Group as of the Cut-off Date or the Subsequent Cut-off Date, as
applicable) and approximately 2.93% of the Adjustable-Rate Mortgage Loans (by
aggregate Principal Balance of the Adjustable-Rate Mortgage Loans as of the
Cut-off Date or the Subsequent Cut-off Date, as applicable) will not occur until
three years after the date of origination and (iv) the first adjustment of the
rates for approximately 22.17% of the Adjustable- Rate Group I Mortgage Loans
and approximately 18.52% of the Adjustable-Rate Group II Mortgage Loans (in each
case, by aggregate Principal Balance of the Adjustable-Rate Mortgage Loans in
the related Loan Group as of the Cut-off Date or the Subsequent Cut-off Date, as
applicable) and approximately 20.05% of the Adjustable-Rate Mortgage Loans (by
aggregate Principal Balance of the Adjustable-Rate Mortgage Loans as of the
Cut-off Date or the Subsequent Cut-off Date, as applicable) will not occur until
five years after the date of origination (each such Adjustable-Rate Mortgage
Loan, a "Delayed First Adjustment Mortgage Loan"). On each Adjustment Date for
each adjustable-rate Mortgage Loan, the Mortgage Rate thereon will be adjusted
to equal the sum, rounded to the nearest or next highest multiple of 0.125%, of
Six-Month LIBOR (as defined below) and a fixed percentage amount (the "Gross
Margin"). The Mortgage Rate on any adjustable-rate Mortgage Loan will not
decrease on the first related Adjustment Date, will not increase by more than a
stated percentage (up to 3.000% per annum, as specified in the related mortgage
note) on the first related Adjustment Date (the "Initial Periodic Rate Cap") and
will not increase or decrease by more than a stated percentage (1.000% per
annum, as specified in the related mortgage note) on any Adjustment Date
thereafter (the "Periodic Rate Cap"). The Adjustable-Rate Group I Mortgage Loans
have a weighted average Initial Periodic Rate Cap of approximately 2.997% per
annum and a weighted average Periodic Rate Cap of approximately 1.000% per annum
thereafter. The Adjustable-Rate Group II Mortgage Loans have a weighted average
Initial Periodic Rate Cap of approximately 2.988% per annum and a weighted
average Periodic Rate Cap of approximately 1.000% per annum thereafter. The
Adjustable-Rate Mortgage Loans have a weighted average Initial Periodic Rate Cap
of approximately 2.992% per annum and a weighted average Periodic Rate Cap of
approximately 1.000% per annum thereafter. Each Mortgage Rate on each
adjustable-rate 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
adjustable-rate 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 adjustable-rate 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 adjustable-rate 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 in this prospectus supplement. None of the
adjustable-rate Mortgage Loans will permit the related mortgagor to convert the
adjustable Mortgage Rate thereon to a fixed Mortgage Rate.
Approximately 49.93% of the Group I Mortgage Loans, approximately
63.79% of the Group II Mortgage Loans and approximately 57.90% of the Mortgage
Loans (the "Interest Only Mortgage Loans") provide that for a period of 60
months after origination, the required monthly payments are limited to accrued
interest (each, an "Interest Only Period"). At the end of the Interest Only
Period, the monthly payments on each such Mortgage Loan will be recalculated to
provide for amortization of the Principal Balance by the maturity date and
payment of interest at the then-current Mortgage Rate.
Approximately 87.48% of the Group I Mortgage Loans, approximately
89.47% of the Group II Mortgage Loans and approximately 88.63% of the Mortgage
Loans provide for payment by the mortgagor of a prepayment charge in limited
circumstances on certain prepayments. Generally, each such Mortgage Loan
provides for payment of a prepayment charge on partial prepayments and
prepayments in full made
within a stated number of months that is between 12 and 48 months from the date
of origination of such Mortgage Loan. The amount of the prepayment charge is
provided in the related mortgage note and with respect to approximately 83.04%
of the Group I Mortgage Loans, 92.55% of the Group II Mortgage Loans and
approximately 88.57% of the Mortgage Loans that have a prepayment charge, the
prepayment charge is equal to six months' interest on any amounts prepaid in
excess of 80% of the original Principal Balance of the related Mortgage Loan in
any 12 month period.
Approximately 0.24% of the Group I Mortgage Loans, approximately 0.18%
of the Group II Mortgage Loans and approximately 0.21% of the Mortgage Loans
(the "Dividend Mortgage Loans") contain a provision entitling the mortgagor
thereunder to annual refunds, at the end of each of the first four years of the
life of the related Mortgage Loan, of a portion of the interest paid by such
mortgagor during the preceding twelve months, if the mortgagor is not currently
delinquent and has not defaulted or prepaid.
MORTGAGE LOAN STATISTICS FOR ALL MORTGAGE LOANS
The following statistical information, unless otherwise specified, is
based upon percentages of the Principal Balances of the Mortgage Loans as of the
Cut-off Date or the Subsequent Cut-off Date, as applicable.
Approximately 37.54% of the Mortgage Loans had loan-to-value ratios at
origination in excess of 80.00%. Except with respect to 0.01% of the Mortgage
Loans, no Mortgage Loan had a loan-to-value ratio at origination in excess of
100.00%. The weighted average loan-to-value ratio of the Mortgage Loans at
origination was approximately 81.20%. There can be no assurance that the
loan-to-value ratio of any Initial Mortgage Loan determined at any time after
origination is less than or equal to its original loan-to-value ratio.
Additionally, the Originator's determination of the value of a Mortgaged
Property used in the calculation of the original loan-to-value ratios of the
Mortgage Loans may differ from the appraised value of such Mortgaged Property or
the actual value of such Mortgaged Property at origination.
All of the Mortgage Loans have a scheduled payment due each month (the
"Due Date") on the first day of the month.
The weighted average remaining term to maturity of the Mortgage Loans
was approximately 358 months as of the Cut-off Date or the Subsequent Cut-off
Date, as applicable. None of the Mortgage Loans had a first Due Date prior to
March 1, 2003 or after February 1, 2004, or has a remaining term to maturity of
less than 176 months or greater than 360 months as of the Cut-off Date or the
Subsequent Cut-off Date, as applicable. The latest maturity date of any Mortgage
Loan is January 1, 2034.
The average Principal Balance of the Mortgage Loans at origination was
approximately $215,441. The average Principal Balance of the Mortgage Loans as
of the Cut-off Date or the Subsequent Cut-off Date, as applicable, was
approximately $215,315. No Mortgage Loan had a Principal Balance as of the
Cut-off Date or the Subsequent Cut-off Date, as applicable, of greater than
approximately $1,000,000 or less than approximately $24,932.
As of the Cut-off Date or the Subsequent Cut-off Date, as applicable,
the Mortgage Loans had Mortgage Rates of not less than 4.625% per annum and not
more than 10.750% per annum and the weighted average Mortgage Rate of the
Mortgage Loans was approximately 6.772% per annum. As of the Cut-off Date or the
Subsequent Cut-off Date, as applicable, the Adjustable-Rate Mortgage Loans had
Gross Margins ranging from 0.750% per annum to 8.250% per annum, Minimum
Mortgage Rates ranging from 4.625% per
annum to 9.990% per annum and Maximum Mortgage Rates ranging from 6.875% per
annum to 15.990% per annum. As of the Cut-off Date or the Subsequent Cut-off
Date, as applicable, the weighted average Gross Margin of the Adjustable-Rate
Mortgage Loans was approximately 4.753% per annum, the weighted average Minimum
Mortgage Rate of the Adjustable-Rate Mortgage Loans was approximately 6.718% per
annum and the weighted average Maximum Mortgage Rate of the Adjustable-Rate
Mortgage Loans was approximately 12.715% per annum. The latest next Adjustment
Date following the Cut-off Date or the Subsequent Cut-off Date, as applicable,
on any Adjustable-Rate Mortgage Loan occurs in December 2008 and the weighted
average time until the next Adjustment Date for all of the Adjustable-Rate
Mortgage Loans is approximately 30 months.
The Mortgage Loans are expected to have the following characteristics
as of the Cut-off Date or the Subsequent Cut-off Date, as applicable (the sum in
any column may not equal the total indicated due to rounding):
SUBSEQUENT CUT-OFF DATE PRINCIPAL BALANCES OF THE MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
PRINCIPAL BALANCE ($) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
--------------------- -------------- ----------------------- ---------------------------
24,932 - 50,000........................ 206 $ 8,609,857.75 0.75%
50,001 - 100,000........................ 1,030 79,321,034.22 6.90
100,001 - 150,000........................ 1,084 135,042,829.24 11.74
150,001 - 200,000........................ 899 156,258,725.35 13.59
200,001 - 250,000........................ 578 129,648,872.20 11.27
250,001 - 300,000........................ 429 118,162,231.12 10.27
300,001 - 350,000........................ 262 85,406,153.18 7.43
350,001 - 400,000........................ 207 77,715,859.05 6.76
400,001 - 450,000........................ 120 51,425,546.73 4.47
450,001 - 500,000........................ 110 53,032,188.60 4.61
500,001 - 550,000........................ 142 74,464,628.93 6.48
550,001 - 600,000........................ 118 67,774,385.99 5.89
600,001 - 650,000........................ 54 33,822,749.84 2.94
650,001 - 700,000........................ 33 22,543,616.78 1.96
700,001 - 750,000........................ 21 15,300,476.53 1.33
750,001 - 800,000........................ 15 11,603,078.73 1.01
800,001 - 850,000........................ 9 7,434,224.33 0.65
850,001 - 900,000........................ 10 8,753,025.28 0.76
900,001 - 950,000........................ 2 1,866,355.32 0.16
950,001 -1,000,000....................... 12 11,814,159.99 1.03
----- -------------------- ------
Total.................................. 5,341 $ 1,149,999,999.16 100.00%
===== ==================== ======
___________________
(1) The average Principal Balance of the Mortgage Loans as of the Cut-off Date
or the Subsequent Cut-off Date, as applicable, was approximately $215,315.
CREDIT SCORES FOR THE MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
CREDIT SCORE MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
------------ -------------- ----------------------- ---------------------------
540 - 550................................. 404 $ 51,123,020.81 4.45%
551 - 575................................. 1,241 173,855,942.37 15.12
576 - 600................................. 380 67,178,811.88 5.84
601 - 625................................. 496 108,401,475.25 9.43
626 - 650................................. 740 183,634,726.78 15.97
651 - 675................................. 690 183,107,361.73 15.92
676 - 700................................. 512 137,759,497.79 11.98
701 - 725................................. 419 117,194,875.18 10.19
726 - 750................................. 253 74,127,814.97 6.45
751 - 775................................. 150 40,132,038.38 3.49
776 - 800................................. 52 12,993,740.42 1.13
801 - 810................................. 4 490,693.60 0.04
----- -------------------- ------
Total............................... 5,341 $ 1,149,999,999.16 100.00%
===== ==================== ======
___________________
(1) The weighted average credit score of the Mortgage Loans that had credit
scores was approximately 647.
ORIGINAL TERMS TO MATURITY OF THE MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
ORIGINAL TERM (MONTHS) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
---------------------- -------------- ----------------------- ---------------------------
180....................................... 81 $ 6,718,471.32 0.58%
240....................................... 1 143,747.83 0.01
360....................................... 5,259 1,143,137,780.01 99.40
----- -------------------- ------
Total............... 5,341 $ 1,149,999,999.16 100.00%
===== ==================== ======
___________________
(1) The weighted average original term to maturity of the Mortgage Loans was
approximately 359 months.
REMAINING TERMS TO MATURITY OF THE MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
REMAINING TERM (MONTHS) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
----------------------- -------------- ----------------------- ---------------------------
176 - 176................................. 2 $ 147,933.43 0.01%
177 - 178................................. 30 2,179,366.90 0.19
179 - 180................................. 49 4,391,170.99 0.38
239 - 240................................. 1 143,747.83 0.01
349 - 350................................. 1 59,938.17 0.01
353 - 354................................. 3 494,035.39 0.04
355 - 356................................. 31 9,446,559.35 0.82
357 - 358................................. 1,675 374,440,458.41 32.56
359 - 360................................. 3,549 758,696,788.69 65.97
----- -------------------- ------
Total............... 5,341 $ 1,149,999,999.16 100.00%
===== ==================== ======
___________________
(1) The weighted average remaining term to maturity of the Mortgage Loans was
approximately 358 months.
PROPERTY TYPES OF THE MORTGAGE LOANS
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
PROPERTY TYPE MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
------------- -------------- ----------------------- ---------------------------
Single Family ............................ 3,862 $ 788,108,163.19 68.53%
PUD(1).................................... 857 223,952,541.10 19.47
Condominium............................... 408 80,742,025.93 7.02
2 Units................................... 172 43,169,874.70 3.75
3 Units................................... 24 8,315,662.25 0.72
4 Units................................... 16 5,311,804.75 0.46
Manufactured Housing...................... 1 219,927.24 0.02
Modular................................... 1 180,000.00 0.02
----- -------------------- ------
Total............... 5,341 $ 1,149,999,999.16 100.00%
===== ==================== ======
___________________
(1) PUD refers to a home or "unit" in a Planned Unit Development.
OCCUPANCY STATUS OF THE MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
OCCUPANCY STATUS MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
---------------- -------------- ----------------------- ---------------------------
Primary................................... 5,007 $ 1,095,760,517.58 95.28%
Non-owner................................. 276 44,636,371.76 3.88
Second Home............................... 58 9,603,109.82 0.84
----- -------------------- ------
Total............... 5,341 $ 1,149,999,999.16 100.00%
===== ==================== ======
___________________
(1) Occupancy as represented by the mortgagor at the time of origination.
PURPOSE OF THE MORTGAGE LOANS
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
PURPOSE MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
------- -------------- ----------------------- ---------------------------
Purchase.................................. 2,628 $ 642,531,495.01 55.87%
Cash Out Refinance........................ 1,999 370,959,128.18 32.26
Rate/Term Refinance....................... 714 136,509,375.97 11.87
----- -------------------- ------
Total............... 5,341 $ 1,149,999,999.16 100.00%
===== ==================== ======
ORIGINAL LOAN-TO-VALUE RATIOS OF THE MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
ORIGINAL LOAN-TO-VALUE RATIO (%) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
-------------------------------- -------------- ----------------------- ---------------------------
16.39 - 20.00......................... 5 $ 294,242.19 0.03%
20.01 - 25.00......................... 8 384,037.66 0.03
25.01 - 30.00......................... 10 805,801.98 0.07
30.01 - 35.00......................... 16 1,942,508.35 0.17
35.01 - 40.00......................... 13 2,435,246.93 0.21
40.01 - 45.00......................... 25 3,323,879.14 0.29
45.01 - 50.00......................... 44 4,969,547.40 0.43
50.01 - 55.00......................... 59 9,192,090.39 0.80
55.01 - 60.00......................... 81 17,678,117.65 1.54
60.01 - 65.00......................... 173 31,079,666.85 2.70
65.01 - 70.00......................... 220 49,417,986.65 4.30
70.01 - 75.00......................... 330 75,629,631.21 6.58
75.01 - 80.00......................... 2,056 521,110,596.07 45.31
80.01 - 85.00......................... 712 125,760,743.56 10.94
85.01 - 90.00......................... 858 170,167,420.16 14.80
90.01 - 95.00......................... 706 132,446,106.94 11.52
95.01 - 100.00.......................... 24 3,300,899.05 0.29
100.01 - 102.58.......................... 1 61,476.98 0.01
----- -------------------- ------
Total............... 5,341 $ 1,149,999,999.16 100.00%
===== ==================== ======
___________________
(1) The weighted average original loan-to-value ratio of the Mortgage Loans as
of the Subsequent Cut-off Date was approximately 81.20%.
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES RELATED TO THE MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
LOCATION MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
-------- -------------- ----------------------- ---------------------------
Alabama................................... 40 $ 5,372,036.65 0.47%
Arizona................................... 94 16,470,146.07 1.43
Arkansas.................................. 10 768,973.54 0.07
California................................ 1,813 587,450,744.96 51.08
Colorado.................................. 147 32,357,811.22 2.81
Connecticut............................... 33 6,357,007.03 0.55
Delaware.................................. 6 1,192,728.40 0.10
District of Columbia...................... 1 234,800.00 0.02
Florida................................... 460 71,351,031.86 6.20
Georgia................................... 153 25,008,351.72 2.17
Idaho..................................... 9 955,184.84 0.08
Illinois.................................. 235 38,719,924.95 3.37
Indiana................................... 63 5,320,001.30 0.46
Iowa...................................... 15 1,295,590.08 0.11
Kansas.................................... 31 3,468,764.44 0.30
Kentucky.................................. 45 5,503,713.72 0.48
Louisiana................................. 4 827,961.37 0.07
Maine..................................... 6 569,819.30 0.05
Maryland.................................. 73 18,868,196.60 1.64
Massachusetts............................. 66 13,057,277.97 1.14
Michigan.................................. 229 30,321,855.05 2.64
Minnesota................................. 101 17,614,572.25 1.53
Missouri.................................. 119 12,064,135.39 1.05
Nebraska.................................. 12 1,331,899.60 0.12
Nevada.................................... 98 16,836,641.91 1.46
New Hampshire............................. 17 2,857,933.11 0.25
New Jersey................................ 80 16,379,720.54 1.42
New Mexico................................ 14 2,518,022.64 0.22
New York.................................. 161 38,166,260.69 3.32
North Carolina............................ 51 7,818,900.55 0.68
North Dakota.............................. 2 81,050.28 0.01
Ohio...................................... 221 24,914,717.75 2.17
Oklahoma.................................. 7 554,959.24 0.05
Oregon.................................... 120 23,716,979.03 2.06
Pennsylvania.............................. 77 8,493,314.83 0.74
Rhode Island.............................. 17 3,262,331.66 0.28
South Carolina............................ 13 1,343,579.61 0.12
South Dakota.............................. 4 370,193.73 0.03
Tennessee................................. 77 8,405,036.28 0.73
Texas..................................... 341 51,337,861.55 4.46
Utah...................................... 64 10,299,181.60 0.90
Vermont................................... 4 561,059.37 0.05
Virginia.................................. 38 8,110,927.07 0.71
Washington................................ 114 20,876,947.20 1.82
West Virginia............................. 4 404,402.86 0.04
Wisconsin................................. 50 6,012,254.31 0.52
Wyoming................................... 2 195,195.04 0.02
----- ------------------ ------
Total............... 5,341 $ 1,149,999,999.16 100.00%
===== ================== ======
___________________
(1) The greatest ZIP Code geographic concentration of Mortgage Loans was
approximately 0.57% in the 92592 ZIP Code.
DOCUMENTATION LEVELS OF THE MORTGAGE LOANS
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
DOCUMENTATION LEVEL MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
------------------- -------------- ----------------------- ---------------------------
Full Documentation........................ 4,653 $ 1,024,068,703.63 89.05%
No Income Verification.................... 297 59,499,408.93 5.17
No Documentation.......................... 238 32,514,542.25 2.83
Limited Income Verification............... 111 28,430,634.81 2.47
No Documentation.......................... 42 5,486,709.54 0.48
----- -------------------- ------
Total............... 5,341 $ 1,149,999,999.16 100.00%
===== ==================== ======
CURRENT MORTGAGE RATES OF THE MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
CURRENT MORTGAGE RATE (%) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
------------------------- -------------- ----------------------- ---------------------------
4.625 - 5.000.......................... 23 $ 6,835,474.33 0.59%
5.001 - 6.000.......................... 817 271,887,123.71 23.64
6.001 - 7.000.......................... 1,941 484,349,206.49 42.12
7.001 - 8.000.......................... 1,761 291,442,311.23 25.34
8.001 - 9.000.......................... 713 87,584,929.27 7.62
9.001 - 10.000.......................... 80 7,386,743.67 0.64
10.001 - 10.750.......................... 6 514,210.46 0.04
----- -------------------- ------
Total............... 5,341 $ 1,149,999,999.16 100.00%
===== ==================== ======
___________________
(1) The weighted average current Mortgage Rate of the Mortgage Loans as of the
Cut-off Date or the Subsequent Cut-off Date, as applicable, was
approximately 6.772% per annum.
GROSS MARGINS OF THE ADJUSTABLE-RATE MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
GROSS MARGIN (%) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
---------------- -------------- ----------------------- ---------------------------
0.750 - 1.000.......................... 1 $ 59,938.17 0.01%
2.000 - 3.000.......................... 10 2,898,583.00 0.27
3.001 - 4.000.......................... 995 335,761,577.94 30.90
4.001 - 5.000.......................... 1,362 329,110,625.08 30.29
5.001 - 6.000.......................... 1,652 303,583,571.85 27.94
6.001 - 7.000.......................... 786 104,975,414.45 9.66
7.001 - 8.000.......................... 80 10,062,812.17 0.93
8.001 - 8.250.......................... 1 47,678.85 0.00
----- -------------------- ------
Total............... 4,887 $ 1,086,500,201.51 100.00%
===== ==================== ======
___________________
(1) The weighted average Gross Margin of the Adjustable-Rate Mortgage Loans as
of the Cut-off Date or the Subsequent Cut-off Date, as applicable, was
approximately 4.753% per annum.
NEXT ADJUSTMENT DATE FOR THE ADJUSTABLE-RATE MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
NEXT ADJUSTMENT DATE MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
-------------------- -------------- ----------------------- ---------------------------
March 1, 2004............................. 1 $ 181,560.77 0.02%
April 1, 2004............................. 3 794,008.33 0.07
May 1, 2004............................... 5 2,623,972.16 0.24
June 1, 2004.............................. 2 757,438.82 0.07
October 1, 2004........................... 1 159,096.14 0.01
February 1, 2005.......................... 1 59,938.17 0.01
May 1, 2005............................... 1 174,653.32 0.02
June 1, 2005.............................. 1 239,938.75 0.02
July 1, 2005.............................. 6 2,332,255.25 0.21
August 1, 2005............................ 11 3,218,873.38 0.30
September 1, 2005......................... 109 22,498,901.03 2.07
October 1, 2005........................... 959 214,437,555.46 19.74
November 1, 2005.......................... 1,931 409,425,631.84 37.68
December 1, 2005.......................... 841 179,759,542.83 16.54
January 1, 2006........................... 2 119,165.00 0.01
September 1, 2006......................... 2 225,003.94 0.02
October 1, 2006........................... 39 6,631,986.52 0.61
November 1, 2006.......................... 65 15,003,193.90 1.38
December 1, 2006.......................... 52 9,773,048.30 0.90
January 1, 2007........................... 1 191,200.00 0.02
July 1, 2008.............................. 1 956,250.00 0.09
September 1, 2008......................... 23 6,958,175.66 0.64
October 1, 2008........................... 280 72,308,079.67 6.66
November 1, 2008.......................... 413 104,909,727.41 9.66
December 1, 2008.......................... 137 32,761,004.86 3.02
----- -------------------- ------
Total............... 4,887 $ 1,086,500,201.51 100.00%
===== ==================== ======
___________________
(1) The weighted average time until the next Adjustment Date for the
Adjustable-Rate Mortgage Loans as of the Cut-off Date or the Subsequent
Cut-off Date, as applicable, was approximately 30 months.
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
MAXIMUM MORTGAGE RATE (%) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
------------------------- -------------- ----------------------- ---------------------------
6.875 - 7.000........................ 1 $ 215,900.00 0.02%
7.001 - 8.000........................ 1 395,100.00 0.04
10.001 - 11.000......................... 23 6,835,474.33 0.63
11.001 - 12.000......................... 809 269,126,835.06 24.77
12.001 - 13.000......................... 1,887 470,880,154.96 43.34
13.001 - 14.000......................... 1,569 262,582,182.68 24.17
14.001 - 15.000......................... 558 71,701,261.49 6.60
15.001 - 15.990......................... 39 4,763,292.99 0.44
----- -------------------- ------
Total............... 4,887 $ 1,086,500,201.51 100.00%
===== ==================== ======
___________________
(1) The weighted average Maximum Mortgage Rate of the Adjustable-Rate Mortgage
Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable,
was approximately 12.715% per annum.
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
MINIMUM MORTGAGE RATE (%) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
------------------------- -------------- ----------------------- ---------------------------
4.625 - 5.000.......................... 23 $ 6,835,474.33 0.63%
5.001 - 6.000.......................... 810 269,342,735.06 24.79
6.001 - 7.000.......................... 1,888 471,275,254.96 43.38
7.001 - 8.000.......................... 1,569 262,582,182.68 24.17
8.001 - 9.000.......................... 558 71,701,261.49 6.60
9.001 - 9.990.......................... 39 4,763,292.99 0.44
----- -------------------- ------
Total............... 4,887 $ 1,086,500,201.51 100.00%
===== ==================== ======
___________________
(1) The weighted average Minimum Mortgage Rate of the Adjustable-Rate Mortgage
Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable,
was approximately 6.718% per annum.
INITIAL PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
INITIAL PERIODIC RATE CAP (%) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
----------------------------- -------------- ----------------------- ---------------------------
1.000..................................... 11 $ 4,356,980.08 0.40%
2.000..................................... 1 159,096.14 0.01
3.000..................................... 4,875 1,081,984,125.29 99.58
----- -------------------- ------
Total............... 4,887 $ 1,086,500,201.51 100.00%
===== ==================== ======
___________________
(1) Relates solely to initial rate adjustments.
SUBSEQUENT PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
PERIODIC RATE CAP (%) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
--------------------- -------------- ----------------------- ---------------------------
1.000..................................... 4,887 $ 1,086,500,201.51 100.00%
----- ------------------ ------
Total............... 4,887 $ 1,086,500,201.51 100.00%
===== ================== ======
___________________
(1) Relates to all rate adjustments subsequent to initial rate adjustments.
GROUP I MORTGAGE LOAN STATISTICS
The following statistical information, unless otherwise specified, is
based upon percentages of the Principal Balances of the Group I Mortgage Loans
as of the Cut-off Date or the Subsequent Cut-off Date, as applicable.
Approximately 46.37% of the Group I Mortgage Loans had loan-to-value
ratios at origination in excess of 80.00%. Except with respect to approximately
0.01% of the Group I Mortgage Loans, no Group I Mortgage Loan had a
loan-to-value ratio at origination in excess of 100.00%. The weighted average
loan- to-value ratio of the Group I Mortgage Loans at origination was
approximately 81.74%. There can be no assurance that the loan-to-value ratio of
any Group I Mortgage Loan determined at any time after origination is less than
or equal to its original loan-to-value ratio. Additionally, the Originator's
determination of the value of a Mortgaged Property used in the calculation of
the original loan-to-value ratios of the Mortgage Loans may differ from the
appraised value of such Mortgaged Property or the actual value of such Mortgaged
Property at origination.
All of the Group I Mortgage Loans have a Due Date on the first day of
the month.
The weighted average remaining term to maturity of the Group I Mortgage
Loans was approximately 357 months as of the Cut-off Date or the Subsequent
Cut-off Date, as applicable. None of the Group I Mortgage Loans had a first Due
Date prior to March 1, 2003 or after January 1, 2004, or has a remaining term to
maturity of less than 176 months or greater than 360 months as of the Cut-off
Date or the Subsequent Cut-off Date, as applicable. The latest maturity date of
any Group I Mortgage Loan is December 1, 2033.
The average Principal Balance of the Group I Mortgage Loans at
origination was approximately $154,582. The average Principal Balance of the
Group I Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as
applicable, was approximately $154,473. No Group I Mortgage Loan had a Principal
Balance as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, of
greater than approximately $595,332 or less than approximately $24,932.
As of the Cut-off Date or the Subsequent Cut-off Date, as applicable,
the Group I Mortgage Loans had Mortgage Rates of not less than 4.625% per annum
and not more than 10.375% per annum and the weighted average Mortgage Rate of
the Group I Mortgage Loans was approximately 7.076% per annum. As of the Cut-off
Date or the Subsequent Cut-off Date, as applicable, the Adjustable-Rate Group I
Mortgage Loans had Gross Margins ranging from 0.750% per annum to 8.250% per
annum, Minimum Mortgage Rates ranging from 4.625% per annum to 9.990% per annum
and Maximum Mortgage Rates ranging from 10.625% per annum to 15.990% per annum.
As of the Cut-off Date or the Subsequent Cut-off Date, as applicable, the
weighted average Gross Margin of the Adjustable-Rate Group I Mortgage Loans was
approximately 5.103% per annum, the weighted average Minimum Mortgage Rate of
the Adjustable-Rate Group I Mortgage Loans was approximately 7.010% per annum
and the weighted average Maximum Mortgage Rate of the Adjustable- Rate Group I
Mortgage Loans was approximately 13.010% per annum. The latest next Adjustment
Date following the Cut-off Date or the Subsequent Cut-off Date, as applicable,
on any Adjustable-Rate Group I Mortgage Loan occurs in November 2008 and the
weighted average time until the next Adjustment Date for all of the
Adjustable-Rate Group I Mortgage Loans is approximately 31 months.
The Group I Mortgage Loans are expected to have the following
characteristics as of the Cut-off Date or the Subsequent Cut-off Date, as
applicable (the sum in any column may not equal the total indicated due to
rounding):
PRINCIPAL BALANCES OF THE GROUP I MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
PRINCIPAL BALANCE ($) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
--------------------- -------------- ----------------------- ---------------------------
24,932 - 50,000........................ 159 $ 6,651,697.26 1.36%
50,001 - 100,000........................ 762 58,290,953.28 11.94
100,001 - 150,000........................ 760 94,712,370.16 19.40
150,001 - 200,000........................ 628 109,235,357.33 22.37
200,001 - 250,000........................ 420 94,332,095.96 19.32
250,001 - 300,000........................ 319 87,852,694.89 17.99
300,001 - 350,000........................ 97 30,436,762.21 6.23
350,001 - 400,000........................ 10 3,773,217.76 0.77
400,001 - 450,000........................ 2 834,257.41 0.17
450,001 - 500,000........................ 1 489,000.00 0.10
500,001 - 550,000........................ 1 524,000.00 0.11
550,001 - 595,332........................ 2 1,155,332.15 0.24
----- ------------------ ------
Total.................................. 3,161 $ 488,287,738.41 100.00%
===== ================== ======
___________________
(1) The average Principal Balance of the Group I Mortgage Loans as of the
Cut-off Date or the Subsequent Cut-off Date, as applicable, was
approximately $154,473.
CREDIT SCORES FOR THE GROUP I MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
CREDIT SCORE MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
------------ -------------- ----------------------- ---------------------------
540 - 550................................. 305 $ 36,732,573.97 7.52%
551 - 575................................. 906 119,524,609.66 24.48
576 - 600................................. 250 38,839,088.92 7.95
601 - 625................................. 255 43,284,202.26 8.86
626 - 650................................. 357 59,295,251.50 12.14
651 - 675................................. 368 65,525,087.96 13.42
676 - 700................................. 272 46,643,436.18 9.55
701 - 725................................. 206 35,049,640.69 7.18
726 - 750................................. 124 22,932,122.33 4.70
751 - 775................................. 78 13,393,118.07 2.74
776 - 800................................. 36 6,577,913.27 1.35
801 - 810................................. 4 490,693.60 0.10
----- ------------------ ------
Total............................... 3,161 $ 488,287,738.41 100.00%
===== ================== ======
___________________
(1) The weighted average credit score of the Group I Mortgage Loans that had
credit scores was approximately 630.
ORIGINAL TERMS TO MATURITY OF THE GROUP I MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
ORIGINAL TERM (MONTHS) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
---------------------- -------------- ----------------------- ---------------------------
180....................................... 60 $ 4,290,415.55 0.88%
360....................................... 3,101 483,997,322.86 99.12
----- ------------------ ------
Total............... 3,161 $ 488,287,738.41 100.00%
===== ================== ======
___________________
(1) The weighted average original term to maturity of the Group I Mortgage
Loans was approximately 358 months.
REMAINING TERMS TO MATURITY OF THE GROUP I MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
REMAINING TERM (MONTHS) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
----------------------- -------------- ----------------------- ---------------------------
176 - 176................................. 1 $ 52,132.70 0.01%
177 - 178................................. 28 1,989,471.60 0.41
179 - 180................................. 31 2,248,811.25 0.46
349 - 350................................. 1 59,938.17 0.01
353 - 354................................. 2 254,096.64 0.05
355 - 356................................. 13 1,774,973.57 0.36
357 - 358................................. 1,212 190,787,971.99 39.07
359 - 360................................. 1,873 291,120,342.49 59.62
----- ------------------ ------
Total............... 3,161 $ 488,287,738.41 100.00%
===== ================== ======
___________________
(1) The weighted average remaining term to maturity of the Group I Mortgage
Loans was approximately 357 months.
PROPERTY TYPES OF THE GROUP I MORTGAGE LOANS
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
PROPERTY TYPE MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
------------- -------------- ----------------------- ---------------------------
Single Family ............................ 2,287 $ 334,919,807.73 68.59%
PUD(1).................................... 471 81,016,159.16 16.59
Condominium............................... 272 45,578,399.71 9.33
2 Units................................... 104 19,666,396.68 4.03
4 Units................................... 14 4,168,035.33 0.85
3 Units................................... 12 2,719,012.56 0.56
Manufactured Housing...................... 1 219,927.24 0.05
----- ------------------ ------
Total............... 3,161 $ 488,287,738.41 100.00%
===== ================== ======
___________________
(1) PUD refers to a home or "unit" in a Planned Unit Development.
OCCUPANCY STATUS OF THE GROUP I MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
OCCUPANCY STATUS MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
---------------- -------------- ----------------------- ---------------------------
Primary................................... 2,919 $ 453,515,060.20 92.88%
Non-owner................................. 205 29,612,371.24 6.06
Second Home............................... 37 5,160,306.97 1.06
----- ------------------ ------
Total............... 3,161 $ 488,287,738.41 100.00%
===== ================== ======
___________________
(1) Occupancy as represented by the mortgagor at the time of origination.
PURPOSE OF THE GROUP I MORTGAGE LOANS
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
PURPOSE MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
------- -------------- ----------------------- ---------------------------
Purchase.................................. 1,471 $ 238,260,520.17 48.80%
Cash Out Refinance........................ 1,223 178,856,732.06 36.63
Rate/Term Refinance....................... 467 71,170,486.18 14.58
----- ------------------ ------
Total............... 3,161 $ 488,287,738.41 100.00%
===== ================== ======
ORIGINAL LOAN-TO-VALUE RATIOS OF THE GROUP I MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
ORIGINAL LOAN-TO-VALUE RATIO (%) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
-------------------------------- -------------- ----------------------- ---------------------------
16.39 - 20.00......................... 4 $ 164,609.63 0.03%
20.01 - 25.00......................... 6 314,062.99 0.06
25.01 - 30.00......................... 6 373,958.71 0.08
30.01 - 35.00......................... 11 1,163,815.25 0.24
35.01 - 40.00......................... 8 980,734.64 0.20
40.01 - 45.00......................... 15 1,479,957.40 0.30
45.01 - 50.00......................... 32 3,346,178.77 0.69
50.01 - 55.00......................... 38 4,393,361.25 0.90
55.01 - 60.00......................... 52 7,965,181.84 1.63
60.01 - 65.00......................... 114 15,135,193.66 3.10
65.01 - 70.00......................... 129 17,461,886.85 3.58
70.01 - 75.00......................... 197 27,726,862.33 5.68
75.01 - 80.00......................... 1,115 181,367,546.73 37.14
80.01 - 85.00......................... 489 73,436,480.25 15.04
85.01 - 90.00......................... 567 92,539,898.79 18.95
90.01 - 95.00......................... 377 60,376,532.34 12.36
100.01 - 102.58.......................... 1 61,476.98 0.01
----- ------------------ ------
Total............... 3,161 $ 488,287,738.41 100.00%
===== ================== ======
___________________
(1) The weighted average original loan-to-value ratio of the Group I Mortgage
Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable,
was approximately 81.74%.
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES RELATED TO THE GROUP I MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
LOCATION MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
-------- -------------- ----------------------- ---------------------------
Alabama................................... 25 $ 3,195,309.76 0.65%
Arizona................................... 65 9,680,988.39 1.98
Arkansas.................................. 7 446,172.08 0.09
California................................ 805 177,833,656.60 36.42
Colorado.................................. 101 17,964,540.55 3.68
Connecticut............................... 21 2,936,649.75 0.60
Delaware.................................. 5 621,174.62 0.13
Florida................................... 296 37,190,218.32 7.62
Georgia................................... 106 13,857,537.06 2.84
Idaho..................................... 6 623,034.57 0.13
Illinois.................................. 143 20,316,491.90 4.16
Indiana................................... 49 3,934,279.65 0.81
Iowa...................................... 10 799,998.87 0.16
Kansas.................................... 23 2,108,441.18 0.43
Kentucky.................................. 34 3,508,082.82 0.72
Louisiana................................. 2 98,347.34 0.02
Maine..................................... 5 519,000.91 0.11
Maryland.................................. 36 6,931,068.32 1.42
Massachusetts............................. 49 8,521,713.81 1.75
Michigan.................................. 145 16,667,468.82 3.41
Minnesota................................. 72 11,833,458.77 2.42
Missouri.................................. 80 7,203,471.20 1.48
Nebraska.................................. 5 605,821.11 0.12
Nevada.................................... 72 11,559,179.48 2.37
New Hampshire............................. 14 2,375,171.64 0.49
New Jersey................................ 46 8,062,423.19 1.65
New Mexico................................ 12 1,811,066.56 0.37
New York.................................. 91 16,253,784.72 3.33
North Carolina............................ 40 4,691,074.21 0.96
North Dakota.............................. 2 81,050.28 0.02
Ohio...................................... 166 17,494,498.70 3.58
Oklahoma.................................. 6 449,812.16 0.09
Oregon.................................... 83 12,484,274.09 2.56
Pennsylvania.............................. 52 4,958,744.80 1.02
Rhode Island.............................. 11 1,775,490.72 0.36
South Carolina............................ 12 1,124,579.61 0.23
South Dakota.............................. 3 275,324.92 0.06
Tennessee................................. 61 5,479,032.92 1.12
Texas..................................... 212 24,531,682.89 5.02
Utah...................................... 45 6,246,780.75 1.28
Vermont................................... 1 123,684.14 0.03
Virginia.................................. 27 4,389,129.52 0.90
Washington................................ 78 12,812,476.92 2.62
West Virginia............................. 3 264,402.86 0.05
Wisconsin................................. 32 3,451,951.89 0.71
Wyoming................................... 2 195,195.04 0.04
----- ------------------ ------
Total............... 3,161 $ 488,287,738.41 100.00%
===== ================== ======
___________________
(1) The greatest ZIP Code geographic concentration of Group I Mortgage Loans
was approximately 0.60% in the 92592 ZIP Code.
DOCUMENTATION LEVELS OF THE GROUP I MORTGAGE LOANS
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
DOCUMENTATION LEVEL MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
------------------- -------------- ----------------------- ---------------------------
Full Documentation........................ 2,698 $ 421,278,665.02 86.28%
No Income Verification.................... 192 29,657,980.24 6.07
No Documentation.......................... 210 25,816,120.37 5.29
Limited Income Verification............... 61 11,534,972.78 2.36
----- ------------------ ------
Total............... 3,161 $ 488,287,738.41 100.00%
===== ================== ======
CURRENT MORTGAGE RATES OF THE GROUP I MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
CURRENT MORTGAGE RATE (%) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
------------------------- -------------- ----------------------- ---------------------------
4.625 - 5.000.......................... 11 $ 1,781,050.00 0.36%
5.001 - 6.000.......................... 350 71,086,251.77 14.56
6.001 - 7.000.......................... 1,025 178,524,534.10 36.56
7.001 - 8.000.......................... 1,164 166,492,693.39 34.10
8.001 - 9.000.......................... 533 63,644,264.57 13.03
9.001 - 10.000.......................... 75 6,508,879.87 1.33
10.001 - 10.375.......................... 3 250,064.71 0.05
----- ------------------ ------
Total............... 3,161 $ 488,287,738.41 100.00%
===== ================== ======
___________________
(1) The weighted average current Mortgage Rate of the Group I Mortgage Loans as
of the Cut-off Date or the Subsequent Cut-off Date, as applicable, was
approximately 7.076% per annum.
GROSS MARGINS OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
GROSS MARGIN (%) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
---------------- -------------- ----------------------- ---------------------------
0.750 - 1.000.......................... 1 $ 59,938.17 0.01%
2.000 - 3.000.......................... 5 989,702.59 0.22
3.001 - 4.000.......................... 423 84,652,665.43 18.55
4.001 - 5.000.......................... 748 128,866,129.29 28.23
5.001 - 6.000.......................... 1,010 157,948,913.40 34.60
6.001 - 7.000.......................... 579 74,091,455.81 16.23
7.001 - 8.000.......................... 77 9,778,146.86 2.14
8.001 - 8.250.......................... 1 47,678.85 0.01
----- ------------------ ------
Total............... 2,844 $ 456,434,630.40 100.00%
===== ================== ======
___________________
(1) The weighted average Gross Margin of the Adjustable-Rate Group I Mortgage
Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable,
was approximately 5.103% per annum.
NEXT ADJUSTMENT DATE FOR THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
NEXT ADJUSTMENT DATE MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
-------------------- -------------- ----------------------- ---------------------------
March 1, 2004............................. 1 $ 181,560.77 0.04%
April 1, 2004............................. 2 243,368.55 0.05
May 1, 2004............................... 1 93,421.45 0.02
October 1, 2004........................... 1 159,096.14 0.03
February 1, 2005.......................... 1 59,938.17 0.01
May 1, 2005............................... 1 174,653.32 0.04
July 1, 2005.............................. 2 295,379.40 0.06
August 1, 2005............................ 8 1,223,677.50 0.27
September 1, 2005......................... 76 10,849,008.86 2.38
October 1, 2005........................... 755 116,379,400.54 25.50
November 1, 2005.......................... 1,399 213,033,711.91 46.67
December 1, 2005.......................... 1 58,400.00 0.01
September 1, 2006......................... 1 47,912.14 0.01
October 1, 2006........................... 34 4,892,768.20 1.07
November 1, 2006.......................... 48 7,549,038.36 1.65
September 1, 2008......................... 13 2,671,994.09 0.59
October 1, 2008........................... 211 41,558,113.40 9.10
November 1, 2008.......................... 289 56,963,187.60 12.48
----- ------------------ ------
Total............... 2,844 $ 456,434,630.40 100.00%
===== ================== ======
___________________
(1) The weighted average time until the next Adjustment Date for the
Adjustable-Rate Group I Mortgage Loans as of the Cut-off Date or the
Subsequent Cut-off Date, as applicable, was approximately 31 months.
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
MAXIMUM MORTGAGE RATE (%) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
------------------------- -------------- ----------------------- ---------------------------
10.625 - 11.000......................... 11 $ 1,781,050.00 0.39%
11.001 - 12.000......................... 346 70,529,810.00 15.45
12.001 - 13.000......................... 997 175,141,560.73 38.37
13.001 - 14.000......................... 1,042 152,942,742.37 33.51
14.001 - 15.000......................... 412 51,972,981.41 11.39
15.001 - 15.990......................... 36 4,066,485.89 0.89
----- ------------------ ------
Total............... 2,844 $ 456,434,630.40 100.00%
===== ================== ======
___________________
(1) The weighted average Maximum Mortgage Rate of the Adjustable-Rate Group I
Mortgage Loans as of the Cut-off Date or the Subsequent Cut- off Date, as
applicable, was approximately 13.010% per annum.
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
MINIMUM MORTGAGE RATE (%) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
------------------------- -------------- ----------------------- ---------------------------
4.625 - 5.000.......................... 11 $ 1,781,050.00 0.39%
5.001 - 6.000.......................... 346 70,529,810.00 15.45
6.001 - 7.000.......................... 997 175,141,560.73 38.37
7.001 - 8.000.......................... 1,042 152,942,742.37 33.51
8.001 - 9.000.......................... 412 51,972,981.41 11.39
9.001 - 9.990.......................... 36 4,066,485.89 0.89
----- ------------------ ------
Total............... 2,844 $ 456,434,630.40 100.00%
===== ================== ======
___________________
(1) The weighted average Minimum Mortgage Rate of the Adjustable-Rate Group I
Mortgage Loans as of the Cut-off Date or the Subsequent Cut- off Date, as
applicable, was approximately 7.010% per annum.
INITIAL PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
INITIAL PERIODIC RATE CAP (%) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
----------------------------- -------------- ----------------------- ---------------------------
1.000..................................... 4 $ 518,350.77 0.11%
2.000..................................... 1 159,096.14 0.03
3.000..................................... 2,839 455,757,183.49 99.85
----- ------------------ ------
Total............... 2,844 $ 456,434,630.40 100.00%
===== ================== ======
___________________
(1) Relates solely to initial rate adjustments.
SUBSEQUENT PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
PERIODIC RATE CAP (%) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
--------------------- -------------- ----------------------- ---------------------------
1.000..................................... 2,844 $ 456,434,630.40 100.00%
----- ---------------- ------
Total............... 2,844 $ 456,434,630.40 100.00%
===== ================ ======
___________________
(1) Relates to all rate adjustments subsequent to initial rate adjustments.
GROUP II MORTGAGE LOAN STATISTICS
The following statistical information, unless otherwise specified, is
based upon percentages of the Principal Balances of the Group I Mortgage Loans
as of the Cut-off Date or the Subsequent Cut-off Date, as applicable.
Approximately 31.03% of the Group II Mortgage Loans had loan-to-value
ratios at origination in excess of 80.00%. No Group II Mortgage Loan had a
loan-to-value ratio at origination in excess of 100.00%. The weighted average
loan-to-value ratio of the Group II Mortgage Loans at origination was
approximately 80.80%. There can be no assurance that the loan-to-value ratio of
any Group II Mortgage Loan determined at any time after origination is less than
or equal to its original loan-to-value ratio. Additionally, the Originator's
determination of the value of a Mortgaged Property used in the calculation of
the original loan- to-value ratios of the Mortgage Loans may differ from the
appraised value of such Mortgaged Property or the actual value of such Mortgaged
Property at origination.
All of the Group II Mortgage Loans have a Due Date on the first day of
the month.
The weighted average remaining term to maturity of the Group II
Mortgage Loans was approximately 358 months as of the Cut-off Date or the
Subsequent Cut-off Date, as applicable. None of the Group II Mortgage Loans had
a first Due Date prior to July 1, 2003or after February 1, 2004, or has a
remaining term to maturity of less than 176 months or greater than 360 months as
of the Cut-off Date or the Subsequent Cut- off Date, as applicable. The latest
maturity date of any Group II Mortgage Loan is January 1, 2034.
The average Principal Balance of the Group II Mortgage Loans at
origination was approximately $303,686. The average Principal Balance of the
Group II Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date,
as applicable, was approximately $303,538. No Group II Mortgage Loan had a
Principal Balance as of the Cut-off Date or the Subsequent Cut-off Date, as
applicable, of greater than approximately $1,000,000 or less than approximately
$27,134.
As of the Cut-off Date or the Subsequent Cut-off Date, as applicable,
the Group II Mortgage Loans had Mortgage Rates of not less than 4.625% per annum
and not more than 10.750% per annum and the weighted average Mortgage Rate of
the Group II Mortgage Loans was approximately 6.547% per annum. As of the
Cut-off Date or the Subsequent Cut-off Date, as applicable, the Adjustable-Rate
Group II Mortgage Loans had Gross Margins ranging from 2.875% per annum to
7.625% per annum, Minimum Mortgage Rates ranging from 4.625% per annum to 9.500%
per annum and Maximum Mortgage Rates ranging from 6.875% per annum to 15.500%
per annum. As of the Cut-off Date or the Subsequent Cut-off Date, as applicable,
the weighted average Gross Margin of the Adjustable-Rate Group II Mortgage Loans
was approximately 4.500% per annum, the weighted average Minimum Mortgage Rate
of the Adjustable-Rate Group II Mortgage Loans was approximately 6.506% per
annum and the weighted average Maximum Mortgage Rate of the Adjustable- Rate
Group II Mortgage Loans was approximately 12.501% per annum. The latest next
Adjustment Date following the Cut-off Date or the Subsequent Cut-off Date, as
applicable, on any Adjustable-Rate Group II Mortgage Loan occurs in December
2008 and the weighted average time until the next Adjustment Date for all of the
Adjustable-Rate Group II Mortgage Loans is approximately 30 months.
The Group II Mortgage Loans are expected to have the following
characteristics as of the Cut-off Date or the Subsequent Cut-off Date, as
applicable (the sum in any column may not equal the total indicated due to
rounding):
PRINCIPAL BALANCES OF THE GROUP II MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
PRINCIPAL BALANCE ($) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
--------------------- -------------- ----------------------- ---------------------------
27,134 - 50,000......................... 47 $ 1,958,160.49 0.30%
50,001 - 100,000......................... 268 21,030,080.94 3.18
100,001 - 150,000......................... 324 40,330,459.08 6.09
150,001 - 200,000......................... 271 47,023,368.02 7.11
200,001 - 250,000......................... 158 35,316,776.24 5.34
250,001 - 300,000......................... 110 30,309,536.23 4.58
300,001 - 350,000......................... 165 54,969,390.97 8.31
350,001 - 400,000......................... 197 73,942,641.29 11.17
400,001 - 450,000......................... 118 50,591,289.32 7.65
450,001 - 500,000......................... 109 52,543,188.60 7.94
500,001 - 550,000......................... 141 73,940,628.93 11.17
550,001 - 600,000......................... 116 66,619,053.84 10.07
600,001 - 650,000......................... 54 33,822,749.84 5.11
650,001 - 700,000......................... 33 22,543,616.78 3.41
700,001 - 750,000......................... 21 15,300,476.53 2.31
750,001 - 800,000......................... 15 11,603,078.73 1.75
800,001 - 850,000......................... 9 7,434,224.33 1.12
850,001 - 900,000......................... 10 8,753,025.28 1.32
900,001 - 950,000......................... 2 1,866,355.32 0.28
950,001 -1,000,000........................ 12 11,814,159.99 1.79
----- ------------------ ------
Total............... 2,180 $ 661,712,260.75 100.00%
===== ================== ======
___________________
(1) The average Principal Balance of the Group II Mortgage Loans as of the
Cut-off Date or the Subsequent Cut-off Date, as applicable, was
approximately $303,538.
CREDIT SCORES FOR THE GROUP II MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
CREDIT SCORE MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
------------ -------------- ----------------------- ---------------------------
540 - 550............................... 99 $ 14,390,446.84 2.17%
551 - 575............................... 335 54,331,332.71 8.21
576 - 600............................... 130 28,339,722.96 4.28
601 - 625............................... 241 65,117,272.99 9.84
626 - 650............................... 383 124,339,475.28 18.79
651 - 675............................... 322 117,582,273.77 17.77
676 - 700............................... 240 91,116,061.61 13.77
701 - 725............................... 213 82,145,234.49 12.41
726 - 750............................... 129 51,195,692.64 7.74
751 - 775............................... 72 26,738,920.31 4.04
776 - 799................................ 16 6,415,827.15 0.97
----- ------------------ ------
Total............... 2,180 $ 661,712,260.75 100.00%
===== ================== ======
___________________
(1) The weighted average credit score of the Group II Mortgage Loans that had
credit scores was approximately 660.
ORIGINAL TERMS TO MATURITY OF THE GROUP II MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
ORIGINAL TERM (MONTHS) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
---------------------- -------------- ----------------------- ---------------------------
180....................................... 21 $ 2,428,055.77 0.37%
240....................................... 1 143,747.83 0.02
360....................................... 2,158 659,140,457.15 99.61
----- ------------------ ------
Total............... 2,180 $ 661,712,260.75 100.00%
===== ================== ======
___________________
(1) The weighted average original term to maturity of the Group II Mortgage
Loans was approximately 359 months.
REMAINING TERMS TO MATURITY OF THE GROUP II MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
REMAINING TERM (MONTHS) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
----------------------- -------------- ----------------------- ---------------------------
176 - 176............................... 1 $ 95,800.73 0.01%
177 - 178............................... 2 189,895.30 0.03
179 - 180............................... 18 2,142,359.74 0.32
239 - 240................................ 1 143,747.83 0.02
353 - 354................................ 1 239,938.75 0.04
355 - 356............................... 18 7,671,585.78 1.16
357 - 358............................... 463 183,652,486.42 27.75
359 - 359............................... 1,676 467,576,446.20 70.66
----- ------------------ ------
Total............... 2,180 $ 661,712,260.75 100.00%
===== ================== ======
___________________
(1) The weighted average remaining term to maturity of the Group II Mortgage
Loans was approximately 358 months.
PROPERTY TYPES OF THE GROUP II MORTGAGE LOANS
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
PROPERTY TYPE MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
------------- -------------- ----------------------- ---------------------------
Single Family ............................ 1,575 $ 453,188,355.46 68.49%
PUD(1).................................... 386 142,936,381.94 21.60
Condominium............................... 136 35,163,626.22 5.31
2 Units................................... 68 23,503,478.02 3.55
3 Units................................... 12 5,596,649.69 0.85
4 Units................................... 2 1,143,769.42 0.17
Modular................................... 1 180,000.00 0.03
----- ------------------ ------
Total............... 2,180 $ 661,712,260.75 100.00%
===== ================== ======
___________________
(1) PUD refers to a home or "unit" in a Planned Unit Development.
OCCUPANCY STATUS OF THE GROUP II MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
OCCUPANCY STATUS MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
---------------- -------------- ----------------------- ---------------------------
Primary................................... 2,088 $ 642,245,457.38 97.06%
Non-Owner................................. 71 15,024,000.52 2.27
Second Home............................... 21 4,442,802.85 0.67
----- ------------------ ------
Total............... 2,180 $ 661,712,260.75 100.00%
===== ================== ======
___________________
(1) Occupancy as represented by the mortgagor at the time of origination.
PURPOSE OF THE GROUP II MORTGAGE LOANS
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
PURPOSE MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
------- -------------- ----------------------- ---------------------------
Purchase.................................. 1,157 $ 404,270,974.84 61.09%
Cash Out Refinance........................ 776 192,102,396.12 29.03
Rate/Term Refinance....................... 247 65,338,889.79 9.87
----- ------------------ ------
Total............... 2,180 $ 661,712,260.75 100.00%
===== ================== ======
ORIGINAL LOAN-TO-VALUE RATIOS OF THE GROUP II MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
ORIGINAL LOAN-TO-VALUE RATIO (%) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
-------------------------------- -------------- ----------------------- ---------------------------
17.33 - 20.00............................ 1 $ 129,632.56 0.02%
20.01 - 25.00............................ 2 69,974.67 0.01
25.01 - 30.00............................ 4 431,843.27 0.07
30.01 - 35.00............................ 5 778,693.10 0.12
35.01 - 40.00............................ 5 1,454,512.29 0.22
40.01 - 45.00............................ 10 1,843,921.74 0.28
45.01 - 50.00............................ 12 1,623,368.63 0.25
50.01 - 55.00............................ 21 4,798,729.14 0.73
55.01 - 60.00............................ 29 9,712,935.81 1.47
60.01 - 65.00............................ 59 15,944,473.19 2.41
65.01 - 70.00............................ 91 31,956,099.80 4.83
70.01 - 75.00............................ 133 47,902,768.88 7.24
75.01 - 80.00............................ 941 339,743,049.34 51.34
80.01 - 85.00............................ 223 52,324,263.31 7.91
85.01 - 90.00............................ 291 77,627,521.37 11.73
90.01 - 95.00............................ 329 72,069,574.60 10.89
95.01 -100.00............................ 24 3,300,899.05 0.50
----- ------------------ ------
Total............... 2,180 $ 661,712,260.75 100.00%
===== ================== ======
___________________
(1) The weighted average original loan-to-value ratio of the Group II Mortgage
Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable,
was approximately 80.80%.
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES RELATED TO THE GROUP II MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
LOCATION MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
-------- -------------- ----------------------- ---------------------------
Alabama................................... 15 $ 2,176,726.89 0.33%
Arizona................................... 29 6,789,157.68 1.03
Arkansas.................................. 3 322,801.46 0.05
California................................ 1,008 409,617,088.36 61.90
Colorado.................................. 46 14,393,270.67 2.18
Connecticut............................... 12 3,420,357.28 0.52
Delaware.................................. 1 571,553.78 0.09
District of Columbia...................... 1 234,800.00 0.04
Florida................................... 164 34,160,813.54 5.16
Georgia................................... 47 11,150,814.66 1.69
Idaho..................................... 3 332,150.27 0.05
Illinois.................................. 92 18,403,433.05 2.78
Indiana................................... 14 1,385,721.65 0.21
Iowa...................................... 5 495,591.21 0.07
Kansas.................................... 8 1,360,323.26 0.21
Kentucky.................................. 11 1,995,630.90 0.30
Louisiana................................. 2 729,614.03 0.11
Maine..................................... 1 50,818.39 0.01
Maryland.................................. 37 11,937,128.28 1.80
Massachusetts............................. 17 4,535,564.16 0.69
Michigan.................................. 84 13,654,386.23 2.06
Minnesota................................. 29 5,781,113.48 0.87
Missouri.................................. 39 4,860,664.19 0.73
Nebraska.................................. 7 726,078.49 0.11
Nevada.................................... 26 5,277,462.43 0.80
New Hampshire............................. 3 482,761.47 0.07
New Jersey................................ 34 8,317,297.35 1.26
New Mexico................................ 2 706,956.08 0.11
New York.................................. 70 21,912,475.97 3.31
North Carolina............................ 11 3,127,826.34 0.47
Ohio...................................... 55 7,420,219.05 1.12
Oklahoma.................................. 1 105,147.08 0.02
Oregon.................................... 37 11,232,704.94 1.70
Pennsylvania.............................. 25 3,534,570.03 0.53
Rhode Island.............................. 6 1,486,840.94 0.22
South Carolina............................ 1 219,000.00 0.03
South Dakota.............................. 1 94,868.81 0.01
Tennessee................................. 16 2,926,003.36 0.44
Texas..................................... 129 26,806,178.66 4.05
Utah...................................... 19 4,052,400.85 0.61
Vermont................................... 3 437,375.23 0.07
Virginia.................................. 11 3,721,797.55 0.56
Washington................................ 36 8,064,470.28 1.22
West Virginia............................. 1 140,000.00 0.02
Wisconsin................................. 18 2,560,302.42 0.39
----- ------------------ ------
Total............... 2,180 $ 661,712,260.75 100.00%
===== ================== ======
___________________
(1) The greatest ZIP Code geographic concentration of Group II Mortgage Loans
was approximately 0.79% in the 91913 ZIP Code.
DOCUMENTATION LEVELS OF THE GROUP II MORTGAGE LOANS
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
DOCUMENTATION LEVEL MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
------------------- -------------- ----------------------- ---------------------------
Full Documentation........................ 1,955 $ 602,790,038.61 91.10%
No Income Verification.................... 105 29,841,428.69 4.51
Limited Income Verification............... 50 16,895,662.03 2.55
No Documentation.......................... 70 12,185,131.42 1.84
----- ------------------ ------
Total............... 2,180 $ 661,712,260.75 100.00%
===== ================== ======
CURRENT MORTGAGE RATES OF THE GROUP II MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
CURRENT MORTGAGE RATE (%) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
------------------------- -------------- ----------------------- ---------------------------
4.625 - 5.000............................ 12 $ 5,054,424.33 0.76%
5.001 - 6.000............................ 467 200,800,871.94 30.35
6.001 - 7.000............................ 916 305,824,672.39 46.22
7.001 - 8.000............................ 597 124,949,617.84 18.88
8.001 - 9.000............................ 180 23,940,664.70 3.62
9.001 - 10.000........................... 5 877,863.80 0.13
10.001 -10.750............................ 3 264,145.75 0.04
----- ------------------ ------
Total............... 2,180 $ 661,712,260.75 100.00%
===== ================== ======
___________________
(1) The weighted average current Mortgage Rate of the Group II Mortgage Loans
as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, was
approximately 6.547% per annum.
GROSS MARGINS OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
GROSS MARGIN (%) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
---------------- -------------- ----------------------- ---------------------------
2.875 - 3.000............................ 5 $ 1,908,880.41 0.30%
3.001 - 4.000............................ 572 251,108,912.51 39.85
4.001 - 5.000............................ 614 200,244,495.79 31.78
5.001 - 6.000............................ 642 145,634,658.45 23.11
6.001 - 7.000............................ 207 30,883,958.64 4.90
7.001 - 7.625............................ 3 284,665.31 0.05
----- ------------------ ------
Total............... 2,043 $ 630,065,571.11 100.00%
===== ================== ======
___________________
(1) The weighted average Gross Margin of the Adjustable-Rate Group II Mortgage
Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable,
was approximately 4.500% per annum.
NEXT ADJUSTMENT DATE FOR THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
NEXT ADJUSTMENT DATE MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
-------------------- -------------- ----------------------- ---------------------------
April 1, 2004............................. 1 $ 550,639.78 0.09%
May 1, 2004............................... 4 2,530,550.71 0.40
June 1, 2004.............................. 2 757,438.82 0.12
June 1, 2005.............................. 1 239,938.75 0.04
July 1, 2005.............................. 4 2,036,875.85 0.32
August 1, 2005............................ 3 1,995,195.88 0.32
September 1, 2005......................... 33 11,649,892.17 1.85
October 1, 2005........................... 204 98,058,154.92 15.56
November 1, 2005.......................... 532 196,391,919.93 31.17
December 1, 2005.......................... 840 179,701,142.83 28.52
January 1, 2006........................... 2 119,165.00 0.02
September 1, 2006......................... 1 177,091.80 0.03
October 1, 2006........................... 5 1,739,218.32 0.28
November 1, 2006.......................... 17 7,454,155.54 1.18
December 1, 2006.......................... 52 9,773,048.30 1.55
January 1, 2007........................... 1 191,200.00 0.03
July 1, 2008.............................. 1 956,250.00 0.15
September 1, 2008......................... 10 4,286,181.57 0.68
October 1, 2008........................... 69 30,749,966.27 4.88
November 1, 2008.......................... 124 47,946,539.81 7.61
December 1, 2008.......................... 137 32,761,004.86 5.20
----- ------------------ ------
Total............... 2,043 $ 630,065,571.11 100.00%
===== ================== ======
___________________
(1) The weighted average time until the next Adjustment Date for the
Adjustable-Rate Group II Mortgage Loans as of the Cut-off Date or the
Subsequent Cut-off Date, as applicable, was approximately 30 months.
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
MAXIMUM MORTGAGE RATE (%) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
------------------------- -------------- ----------------------- ---------------------------
6.875 - 7.000......................... 1 $ 215,900.00 0.03%
7.001 - 8.000......................... 1 395,100.00 0.06
10.001 - 11.000.......................... 12 5,054,424.33 0.80
11.001 - 12.000.......................... 463 198,597,025.06 31.52
12.001 - 13.000.......................... 890 295,738,594.23 46.94
13.001 - 14.000.......................... 527 109,639,440.31 17.40
14.001 - 15.000.......................... 146 19,728,280.08 3.13
15.001 - 15.500.......................... 3 696,807.10 0.11
----- ------------------ ------
Total............... 2,043 $ 630,065,571.11 100.00%
===== ================== ======
___________________
(1) The weighted average Maximum Mortgage Rate of the Adjustable-Rate Group II
Mortgage Loans as of the Cut-off Date or the Subsequent Cut- off Date, as
applicable, was approximately 12.501% per annum.
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
MINIMUM MORTGAGE RATE (%) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
------------------------- -------------- ----------------------- ---------------------------
4.625 - 5.000............................ 12 $ 5,054,424.33 0.80%
5.001 - 6.000............................ 464 198,812,925.06 31.55
6.001 - 7.000............................ 891 296,133,694.23 47.00
7.001 - 8.000............................ 527 109,639,440.31 17.40
8.001 - 9.000............................ 146 19,728,280.08 3.13
9.001 - 9.500............................ 3 696,807.10 0.11
----- ------------------ ------
Total............... 2,043 $ 630,065,571.11 100.00%
===== ================== ======
___________________
(1) The weighted average Minimum Mortgage Rate of the Adjustable-Rate Group II
Mortgage Loans as of the Cut-off Date or the Subsequent Cut- off Date, as
applicable, was approximately 6.506% per annum.
INITIAL PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
INITIAL PERIODIC RATE CAP (%) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
----------------------------- -------------- ----------------------- ---------------------------
1.000..................................... 7 $ 3,838,629.31 0.61%
3.000..................................... 2,036 626,226,941.80 99.39
----- ------------------ ------
Total............... 2,043 $ 630,065,571.11 100.00%
===== ================== ======
___________________
(1) Relates solely to initial rate adjustments.
SUBSEQUENT PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1)
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
PERIODIC RATE CAP (%) MORTGAGE LOANS SUBSEQUENT CUT-OFF DATE THE SUBSEQUENT CUT-OFF DATE
--------------------- -------------- ----------------------- ---------------------------
1.000..................................... 2,043 $ 630,065,571.11 100.00%
----- ---------------- ------
Total............... 2,043 $ 630,065,571.11 100.00%
===== ================ ======
___________________
(1) Relates to all rate adjustments subsequent to initial rate adjustments.