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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported) July 30, 2004
CWABS, Inc. (as company under a Pooling and Servicing Agreement, dated as of
July 1, 2004, providing for, inter alia, the issuance of Asset-Backed
Certificates, Series 2004-BC3)
CWABS, Inc.
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(Exact name of registrant as specified in its charter)
DELAWARE 333-109272 95-4596514
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(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
4500 Park Granada 91302
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Calabasas, California (Zip Code)
(Address of Principal
Executive Offices)
Registrant's telephone number, including area code, is (818) 225-3237
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Item 5. Other Events.
Description of the Mortgage Pool 1/
CWABS, Inc. (the "Company") entered into a Pooling and Servicing
Agreement, dated as of July 1, 2004 (the "Pooling and Servicing Agreement"), by
and among the Company, as depositor, Countrywide Home Loans, Inc., as seller,
Countrywide Home Loans Servicing LP, as master servicer and The Bank of New
York, as trustee, providing for the issuance of the Company's Asset-Backed
Certificates, Series 2004-BC3.
1/ Capitalized terms used and not otherwise defined herein shall have the
meanings assigned to them in the Prospectus dated June 24, 2004 and the
Prospectus Supplement dated July 23, 2004 of CWABS, Inc., relating to its
Asset-Backed Certificates, Series 2004-BC3.
-2-
Mortgage Loan Statistics
For purposes of this Form 8-K, "Tables" shall mean computer generated
tables and/or charts describing the characteristics of the Mortgage Loans as of
the Cut-off Date. All percentages in the Tables were calculated based on the
principal balance of the Mortgage Loans as of the Cut-off Date. The sum of the
columns may not equal the respective totals due to rounding.
MORTGAGE LOAN PROGRAMS FOR THE MORTGAGE LOANS
IN LOAN GROUP 1
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
LOAN PROGRAMS OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
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2/28 LIBOR 6MO.............. $266,033,714 1,676 71.81% $ 158,731 7.262 354.92 600 79.4%
2/28 LIBOR 6MO - IO......... 3,353,768 17 0.91 197,280 5.906 356.16 714 81.9
3/27 LIBOR 6MO.............. 79,325,757 527 21.41 150,523 6.216 355.61 642 82.3
3/27 LIBOR 6MO - IO ........ 2,690,507 14 0.73 192,179 5.298 356.97 711 84.1
5/25 LIBOR 6 MO............. 3,313,184 19 0.89 174,378 6.379 354.33 652 73.4
5/25 LIBOR 6MO - IO......... 787,500 3 0.21 262,500 5.912 355.00 712 83.1
10 Yr Fixed................. 210,614 3 0.06 70,205 6.996 114.99 615 47.1
15 Yr Fixed................. 1,201,260 13 0.32 92,405 7.375 175.01 607 68.7
20 Yr Fixed................. 399,188 4 0.11 99,797 8.142 235.54 542 66.4
30 Yr Fixed................. 13,140,951 96 3.55 136,885 7.036 355.16 631 75.0
----------- ------ -------- --------- ------ ------- ---- -----
Total/Weighted Average...... $370,456,442 2,372 100.00% $ 156,179 6.994 354.24 612 79.8%
============ ====== ======== ========= ====== ======= ==== =====
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-3-
MORTGAGE LOAN PRINCIPAL BALANCES FOR THE MORTGAGE LOANS
IN LOAN GROUP 1*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
RANGE OF MORTGAGE BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
LOAN PRINCIPAL BALANCES OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
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$25,000.01 - $50,000.00.......... $ 890,028 19 0.24% $ 46,844 8.402 335.86 589 69.1%
$50,000.01 - $75,000.00.......... 16,284,515 254 4.40 64,112 7.778 350.73 593 76.9
$75,000.01 - $100,000.00......... 29,331,447 334 7.92 87,819 7.289 351.14 606 78.7
$100,000.01 - $150,000.00........ 83,520,459 674 22.55 123,918 7.082 354.28 613 79.9
$150,000.01 - $200,000.00........ 79,675,469 459 21.51 173,585 6.954 355.18 612 80.0
$200,000.01 - $250,000.00........ 75,138,353 336 20.28 223,626 6.809 354.55 614 79.9
$250,000.01 - $300,000.00........ 54,591,985 200 14.74 272,960 6.862 354.94 613 80.1
$300,000.01 - $350,000.00........ 27,849,333 88 7.52 316,470 6.828 355.09 620 81.5
$350,000.01 - $400,000.00........ 1,895,618 5 0.51 379,124 6.944 355.19 633 82.2
$400,000.01 - $450,000.00........ 1,279,235 3 0.35 426,412 6.094 355.32 750 82.9
------------ ------ -------- --------- ------- ------- ----- -----
Total/Weighted Average........... $370,456,442 2,372 100.00% $ 156,179 6.994 354.24 612 79.8%
============ ====== ======== ========= ======= ======= ===== =====
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* The average Principal Balance of the Mortgage Loans in Loan Group 1 as of the
Cut-off Date was approximately $156,179.
-4-
MORTGAGE RATES FOR THE MORTGAGE LOANS
IN LOAN GROUP 1*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
RANGE OF MORTGAGE RATES BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
(%) OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
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4.001 - 4.500................ $ 1,395,005 8 0.38% $174,376 4.500 356.24 732 80.3%
4.501 - 5.000................ 9,996,130 50 2.70 199,923 4.901 355.87 692 82.4
5.001 - 5.500................ 20,431,858 114 5.52 179,227 5.364 355.42 672 81.4
5.501 - 6.000................ 50,715,847 290 13.69 174,882 5.836 353.98 665 81.4
6.001 - 6.500................ 53,727,072 320 14.50 167,897 6.318 354.72 633 78.1
6.501 - 7.000................ 79,768,040 501 21.53 159,218 6.819 354.26 619 79.7
7.001 - 7.500................ 42,680,565 279 11.52 152,977 7.294 354.72 586 79.7
7.501 - 8.000................ 49,389,549 336 13.33 146,993 7.813 353.51 579 81.0
8.001 - 8.500................ 25,755,715 188 6.95 136,998 8.285 353.66 564 79.7
8.501 - 9.000................ 19,735,184 144 5.33 137,050 8.800 353.41 550 78.9
9.001 - 9.500................ 9,505,356 80 2.57 118,817 9.297 354.15 548 78.3
9.501 - 10.000............... 4,741,294 42 1.28 112,888 9.776 355.00 548 78.3
10.001 - 10.500.............. 1,473,235 11 0.40 133,930 10.337 345.71 522 62.3
10.501 - 11.000.............. 927,534 7 0.25 132,505 10.858 356.04 523 72.2
11.001 - 11.500.............. 174,686 1 0.05 174,686 11.050 355.00 509 70.0
11.501 - 12.000.............. 39,372 1 0.01 39,372 11.890 356.00 504 73.0
------------ ------ ------- -------- ------ ------- ----- ------
Total/Weighted Average....... $370,456,442 2,372 100.00% $156,179 6.994 354.24 612 79.8%
============ ====== ======= ======== ====== ======= ===== ======
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* The weighted average Mortgage Rate of the Mortgage Loans in Loan Group 1 as of
the Cut-off Date was approximately 6.99% per annum.
-5-
REMAINING TERMS TO STATED MATURITY FOR THE MORTGAGE LOANS
IN LOAN GROUP 1*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
RANGE OF REMAINING TERMS BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
(MONTHS) OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
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1 - 120.................... $ 210,614 3 0.06% $ 70,205 6.996 114.99 615 47.1%
121 - 180...................... 1,201,260 13 0.32 92,405 7.375 175.01 607 68.7
181 - 300...................... 399,188 4 0.11 99,797 8.142 235.54 542 66.4
301 - 360...................... 368,645,380 2,352 99.51 156,737 6.991 355.09 613 79.9
-------------- ----- ------- --------- ------- ------- ---- ----
Total/Weighted Average......... $ 370,456,442 2,372 100.00% $ 156,179 6.994 354.24 612 79.8%
============== ===== ====== ========= ======= ======= ==== ====
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* The weighted average remaining term to maturity of the Mortgage Loans in Loan
Group 1 as of the Cut-off Date was approximately 354 months.
ORIGINAL LOAN-TO-VALUE RATIOS FOR THE MORTGAGE LOANS
IN LOAN GROUP 1*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
RANGE OF ORIGINAL AGGREGATE PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
LOAN-TO-VALUE RATIOS PRINCIPAL BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
(%) OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
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Up to 50.00................ $ 6,907,344 60 1.86% $ 115,122 7.191 344.78 571 42.8%
50.01 - 55.00.............. 4,295,285 30 1.16 143,176 7.304 351.64 571 52.5
55.01 - 60.00.............. 8,070,736 52 2.18 155,206 6.962 355.04 566 57.8
60.01 - 65.00.............. 14,022,947 90 3.79 155,811 7.066 350.79 574 63.4
65.01 - 70.00.............. 25,342,015 165 6.84 153,588 7.398 354.28 572 68.9
70.01 - 75.00.............. 33,136,321 207 8.94 160,079 7.489 353.25 568 74.0
75.01 - 80.00.............. 132,654,840 854 35.81 155,334 6.628 354.60 634 79.8
80.01 - 85.00.............. 55,793,602 363 15.06 153,701 7.471 354.66 595 84.4
85.01 - 90.00.............. 73,896,313 459 19.95 160,994 7.044 355.17 625 89.7
90.01 - 95.00.............. 7,444,229 41 2.01 181,567 6.439 355.53 664 94.4
95.01 - 100.00............. 8,892,808 51 2.40 174,369 6.119 354.54 701 99.9
-------------- ------ -------- --------- ------- ------- ---- -----
Total/Weighted Average..... $ 370,456,442 2,372 100.00% $ 156,179 6.994 354.24 612 79.8%
============== ====== ======== ========= ======= ======= ==== =====
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* The weighted average original Loan-to-Value Ratio at origination of the
Mortgage Loans in Loan Group 1 as of the Cut-off Date was approximately 79.85%.
-6-
STATE DISTRIBUTION FOR THE MORTGAGE LOANS
IN LOAN GROUP 1
PERCENT OF AVERAGE WEIGHTED
AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
AGGREGATE PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
PRINCIPAL BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
STATE OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
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Alabama................. $ 573,150 6 0.15% $ 95,525 7.178 356.10 612 78.5%
Alaska.................. 73,368 1 0.02 73,368 9.990 356.00 536 70.0
Arizona................. 10,114,691 71 2.73 142,460 6.724 355.49 622 82.7
Arkansas................ 226,943 3 0.06 75,648 7.239 354.61 672 83.8
California.............. 136,852,654 684 36.94 200,077 6.808 354.18 612 77.5
Colorado................ 5,775,460 34 1.56 169,866 6.339 355.94 649 84.1
Connecticut............. 4,955,469 33 1.34 150,166 7.130 349.52 606 82.5
Delaware................ 2,531,504 14 0.68 180,822 7.390 355.21 622 85.6
District of Columbia.... 148,485 1 0.04 148,485 9.500 355.00 635 63.8
Florida................. 28,318,494 220 7.64 128,720 7.167 353.50 607 79.8
Georgia................. 5,619,885 41 1.52 137,070 7.019 355.82 622 84.0
Hawaii.................. 104,490 1 0.03 104,490 7.140 354.00 519 30.0
Idaho................... 1,100,289 10 0.30 110,029 7.209 355.62 608 80.0
Illinois................ 18,777,971 119 5.07 157,798 7.231 355.65 618 81.5
Indiana................. 5,294,179 53 1.43 99,890 7.496 352.53 605 81.8
Iowa.................... 1,779,567 19 0.48 93,661 6.685 354.94 637 83.6
Kansas.................. 1,842,588 22 0.50 83,754 7.305 349.06 620 83.5
Kentucky................ 2,901,684 25 0.78 116,067 6.882 355.05 639 84.7
Louisiana............... 640,296 6 0.17 106,716 7.915 356.21 566 79.7
Maine................... 1,379,714 7 0.37 197,102 7.468 355.21 604 82.3
Maryland................ 11,842,361 63 3.20 187,974 7.192 355.34 595 80.5
Massachusetts........... 11,303,008 48 3.05 235,479 7.148 353.70 604 78.0
Michigan................ 7,532,352 69 2.03 109,165 7.788 351.82 593 80.7
Minnesota............... 6,817,884 42 1.84 162,331 6.816 355.70 638 82.3
Mississippi............. 503,750 3 0.14 167,917 5.999 355.49 625 81.3
Missouri................ 5,059,989 51 1.37 99,215 7.235 355.48 612 82.4
Montana................. 278,752 3 0.08 92,917 7.311 355.36 625 84.5
Nebraska................ 1,228,747 13 0.33 94,519 6.860 355.22 641 85.7
Nevada.................. 6,435,909 39 1.74 165,023 6.930 355.30 632 82.9
New Hampshire........... 1,036,378 5 0.28 207,276 7.237 355.28 638 88.1
New Jersey.............. 3,217,704 21 0.87 153,224 7.400 353.22 603 78.2
New Mexico.............. 610,542 5 0.16 122,108 7.656 354.67 586 81.5
New York................ 9,392,277 42 2.54 223,626 6.971 355.66 595 77.1
North Carolina.......... 3,803,183 29 1.03 131,144 7.753 349.17 595 81.8
North Dakota............ 446,101 5 0.12 89,220 6.734 356.00 652 88.2
Ohio.................... 11,081,246 95 2.99 116,645 7.114 355.02 607 82.8
Oklahoma................ 776,427 8 0.21 97,053 7.252 355.48 609 83.7
Oregon.................. 4,474,540 35 1.21 127,844 6.532 355.46 632 82.1
Pennsylvania............ 7,580,242 69 2.05 109,859 7.535 354.91 597 81.9
Rhode Island............ 2,184,908 11 0.59 198,628 6.120 355.67 647 85.3
South Carolina.......... 1,978,362 16 0.53 123,648 7.314 345.65 623 85.3
Tennessee............... 3,559,071 34 0.96 104,679 7.343 348.29 610 82.5
Texas................... 4,908,425 50 1.32 98,168 7.527 352.00 600 79.2
Utah.................... 1,469,385 10 0.40 146,939 6.487 355.06 643 82.7
Virginia................ 15,557,682 95 4.20 163,765 7.151 354.30 601 80.1
Washington.............. 9,622,746 60 2.60 160,379 6.373 355.09 634 80.9
West Virginia........... 357,337 5 0.10 71,467 7.677 356.14 563 75.9
Wisconsin............... 8,171,887 74 2.21 110,431 7.057 355.57 614 79.5
Wyoming................. 214,369 2 0.06 107,184 6.315 356.00 653 80.0
------------ ------ ------- ---------- ------ ------- ---- ----
Total/Weighted Average.. $370,456,442 2,372 100.00% $ 156,179 6.994 354.24 612 79.8%
============ ====== ======= ========== ====== ======= ==== ====
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-7-
CREDIT BUREAU RISK SCORES(1) FOR THE MORTGAGE LOANS
IN LOAN GROUP 1*
PERCENT OF AVERAGE WEIGHTED
AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
AGGREGATE PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
RANGE OF CREDIT BUREAU PRINCIPAL BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
RISK SCORES OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
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801 - 820.............. $ 241,419 2 0.07% $ 120,710 5.877 353.35 807 81.7%
781 - 800.............. 2,221,815 11 0.60 201,983 6.271 355.21 788 82.0
761 - 780.............. 4,113,737 23 1.11 178,858 5.929 355.25 768 84.1
741 - 760.............. 7,729,713 44 2.09 175,675 5.889 353.88 748 84.6
721 - 740.............. 10,463,822 64 2.82 163,497 6.268 352.38 730 82.3
701 - 720.............. 14,900,659 90 4.02 165,563 5.962 354.39 710 82.8
681 - 700.............. 20,045,124 111 5.41 180,587 6.054 355.30 690 85.0
661 - 680.............. 24,670,569 151 6.66 163,381 6.226 353.31 670 82.0
641 - 660.............. 37,366,032 244 10.09 153,139 6.496 355.03 650 82.0
621 - 640.............. 41,701,789 261 11.26 159,777 6.551 354.99 631 82.0
601 - 620.............. 37,985,408 252 10.25 150,736 6.959 354.63 610 81.2
581 - 600.............. 44,042,086 291 11.89 151,347 7.252 353.69 590 80.5
561 - 580.............. 39,588,071 258 10.69 153,442 7.464 354.45 570 79.5
541 - 560.............. 28,862,756 198 7.79 145,771 7.678 353.89 550 76.2
521 - 540.............. 19,433,135 138 5.25 140,820 7.845 354.86 531 73.7
501 - 520.............. 36,144,988 228 9.76 158,531 8.293 353.00 510 71.7
500 or less............ 945,319 6 0.26 157,553 7.796 355.77 500 74.2
------------ ------ ------ --------- ------ -------- ----- ------
Total/Weighted Average. $370,456,442 2,372 100.00% $ 156,179 6.994 354.24 612 79.8%
============ ====== ====== ========= ====== ======== ===== ======
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(1) The Credit Bureau Risk Scores referenced in this table with respect to
substantially all of the Mortgage Loans in Loan Group 1 were obtained by the
respective originators from one or more credit reporting agencies, and were
determined at the time of origination.
* The weighted average Credit Bureau Risk Score of the Mortgage Loans in Loan
Group 1 as of the Cut-off Date was approximately 612.
-8-
GROSS MARGINS FOR THE ADJUSTABLE RATE MORTGAGE LOANS
IN LOAN GROUP 1*
PERCENT OF AVERAGE WEIGHTED
AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
AGGREGATE PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
RANGE OF GROSS MARGINS PRINCIPAL BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
(%) OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
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3.001 - 4.000.......... $ 1,604,830 7 0.45% $ 229,261 5.803 355.38 655 66.2%
4.001 - 5.000.......... 46,548,160 248 13.09 187,694 6.279 355.36 628 78.8
5.001 - 6.000.......... 144,792,870 856 40.73 169,151 6.470 354.96 635 80.3
6.001 - 7.000.......... 94,846,315 616 26.68 153,971 7.308 355.26 591 79.0
7.001 - 8.000.......... 45,026,534 342 12.67 131,657 7.794 354.97 584 82.7
8.001 - 9.000 ......... 17,489,809 139 4.92 125,826 8.719 354.92 567 81.6
9.001 - 10.000......... 4,967,689 46 1.40 107,993 9.567 354.99 571 81.2
10.001 - 11.000........ 228,224 2 0.06 114,112 10.801 354.00 575 87.7
------------ ------ ------- --------- ------- ------- ---- -----
Total/Weighted Average. $355,504,430 2,256 100.00% $ 157,582 6.990 355.09 612 80.1%
============ ====== ======= ========= ======= ======= ==== =====
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* The weighted average Gross Margin for the Adjustable Rate Mortgage Loans in
Loan Group 1 as of the Cut-off Date was approximately 6.14%.
-9-
NEXT ADJUSTMENT DATE FOR THE ADJUSTABLE RATE MORTGAGE LOANS
IN LOAN GROUP 1*
PERCENT OF AVERAGE WEIGHTED
AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
AGGREGATE PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
PRINCIPAL BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
NEXT ADJUSTMENT DATE OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
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4-Aug........................ $ 283,097 1 0.08 $ 283,097 7.875 337.00 587 80.0
5-Apr........................ 54,242 1 0.02 54,242 7.540 346.00 667 68.8
5-Jun........................ 149,344 1 0.04 149,344 8.640 348.00 584 85.0
5-Aug........................ 115,867 1 0.03 115,867 7.840 350.00 617 95.0
5-Sep........................ 733,543 6 0.21 122,257 7.853 350.78 597 80.7
5-Oct........................ 677,484 6 0.19 112,914 7.913 351.52 594 77.1
5-Nov........................ 5,193,001 40 1.46 129,825 7.681 352.89 602 84.3
5-Dec........................ 30,683,091 197 8.63 155,752 7.235 353.42 615 80.4
6-Jan........................ 74,641,572 467 21.00 159,832 7.214 354.14 605 79.6
6-Feb........................ 84,586,285 526 23.79 160,810 7.341 355.3 593 78.8
6-Mar........................ 58,734,797 350 16.52 167,814 7.030 356.00 609 79.6
6-Apr........................ 6,756,139 47 1.90 143,748 7.214 357.00 590 79.5
6-May........................ 6,779,019 50 1.91 135,580 7.788 358.00 548 76.7
6-Aug........................ 102,981 1 0.03 102,981 7.990 350.00 593 85.0
6-Sep........................ 52,459 1 0.01 52,459 7.790 351.00 587 80.0
6-Oct........................ 984,612 9 0.28 109,401 7.015 352.00 596 84.5
6-Nov........................ 2,274,595 23 0.64 98,895 7.281 352.83 602 75.8
6-Dec........................ 4,106,942 41 1.16 100,169 6.977 353.52 631 80.8
7-Jan........................ 3,712,151 30 1.04 123,738 6.612 354.56 630 76.6
7-Feb........................ 27,218,773 183 7.66 148,736 6.198 355.60 642 81.4
7-Mar........................ 37,698,822 216 10.60 174,532 5.926 356.01 652 84.0
7-Apr........................ 2,252,596 14 0.63 160,900 6.726 357.00 627 86.6
7-May........................ 3,612,333 23 1.02 157,058 6.133 358.00 665 82.6
9-Jan........................ 2,463,085 16 0.69 153,943 6.318 354.00 652 71.3
9-Feb........................ 1,378,594 5 0.39 275,719 6.246 355.00 692 80.2
9-Mar........................ 259,005 1 0.07 259,005 6.250 356.00 620 86.7
-------------- ----- ------ --------- ------- ------ --- -----
Total/Weighted Average....... $ 355,504,430 2,256 100.00% $ 157,582 6.990 355.09 612 80.1%
============== ===== ====== ========= ======= ====== === =====
- --------------
* The weighted average number of months to next adjustment date for the
Adjustable Rate Mortgage Loans in Loan Group 1 as of the Cut-off Date is 22
months.
-10-
MAXIMUM MORTGAGE RATES FOR THE ADJUSTABLE RATE MORTGAGE LOANS
IN LOAN GROUP 1*
PERCENT OF AVERAGE WEIGHTED
AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
AGGREGATE PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
RANGE OF MAXIMUM PRINCIPAL BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
MORTGAGE RATES OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
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10.001 - 10.500........ $ 1,874,560 10 0.53% $187,456 4.740 355.66 725 76.4%
10.501 - 11.000........ 10,155,206 50 2.86 203,104 4.960 355.75 690 83.5
11.001 - 11.500........ 21,896,072 123 6.16 178,017 5.453 355.42 669 81.2
11.501 - 12.000........ 48,671,281 284 13.69 171,378 5.890 355.36 663 81.1
12.001 - 12.500........ 42,304,085 259 11.90 163,336 6.354 355.34 637 79.3
12.501 - 13.000........ 60,483,401 380 17.01 159,167 6.780 354.86 624 81.2
13.001 - 13.500........ 39,359,398 256 11.07 153,748 7.098 354.89 591 79.1
13.501 - 14.000........ 49,040,069 330 13.79 148,606 7.498 354.83 591 80.8
14.001 - 14.500........ 24,788,230 167 6.97 148,433 7.937 355.09 572 80.1
14.501 - 15.000........ 24,858,915 162 6.99 153,450 8.252 354.74 558 79.4
15.001 - 15.500........ 13,960,478 103 3.93 135,539 8.716 355.11 549 78.6
15.501 - 16.000........ 11,119,653 79 3.13 140,755 9.072 355.19 536 76.5
16.001 - 16.500........ 3,338,639 27 0.94 123,653 9.397 355.39 522 75.8
16.501 - 17.000........ 1,785,453 14 0.50 127,532 10.019 355.52 517 75.8
17.001 - 17.500........ 1,064,039 6 0.30 177,340 10.359 356.16 510 59.6
17.501 - 18.000........ 590,893 4 0.17 147,723 10.911 356.47 507 66.6
18.001 - 18.500........ 174,686 1 0.05 174,686 11.050 355.00 509 70.0
18.501 - 19.000........ 39,372 1 0.01 39,372 11.890 356.00 504 73.0
------------- ------ ------- --------- ------ ------- ----- ----
Total/Weighted Average. $ 355,504,430 2,256 100.00% $157,582 6.990 355.09 612 80.1%
============= ====== ======= ========= ====== ======= ===== ====
- -----------------
- ------------------------------------------------------------------------------------------------------------------------------------
* The weighted average Maximum Mortgage Rate for the Adjustable Rate Mortgage
Loans in Loan Group 1 as of the Cut-off Date was approximately 13.17% per annum.
-11-
INITIAL PERIODIC RATE CAP FOR THE ADJUSTABLE RATE MORTGAGE LOANS
IN LOAN GROUP 1*
PERCENT OF AVERAGE WEIGHTED
AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
AGGREGATE PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
INITIAL PERIODIC PRINCIPAL BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
RATE CAP (%) OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
1.000.................. $ 290,828 3 0.08% $ 96,943 8.753 355.49 579 68.0%
1.500.................. 70,380,941 404 19.80 174,210 7.627 355.12 565 76.6
2.000.................. 997,439 8 0.28 124,680 8.172 358.00 509 73.7
3.000.................. 280,052,483 1,822 78.78 153,706 6.834 355.08 623 81.1
5.000.................. 3,782,739 19 1.06 199,092 6.219 354.50 664 75.8
------------- ----- -------- --------- ------ -------- ----- -----
Total/Weighted Average. $355,504,430 2,256 $ 100.00% $157,582 6.990 355.09 612 80.1%
============= ===== ========= ========= ====== ======== ===== ======
- ----------------
* The weighted average Initial Periodic Rate Cap for the Adjustable Rate
Mortgage Loans in Loan Group 1 as of the Cut-off Date was approximately 2.72%.
SUBSEQUENT PERIODIC RATE CAP FOR THE ADJUSTABLE RATE MORTGAGE LOANS
IN LOAN GROUP 1*
PERCENT OF AVERAGE WEIGHTED
AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
AGGREGATE PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
SUBSEQUENT PRINCIPAL BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
PERIODIC RATE CAP (%) OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
1.000.................. $ 283,842,953 1,843 79.84% $ 154,011 6.827 355.09 624 81.0%
1.500.................. 71,661,477 413 20.16 173,514 7.636 355.09 564 76.6
------------- ------ ------- --------- ------ ------- ----- ------
Total/Weighted Average. $ 355,504,430 2,256 100.00% $ 157,582 6.990 355.09 612 80.1%
============= ====== ======= ========= ====== ======= ===== ======
- ----------------
* The weighted average Subsequent Periodic Rate Cap for the Adjustable Rate
Mortgage Loans in Loan Group 1 as of the Cut-off Date was approximately 1.10%.
-13-
MINIMUM MORTGAGE RATES FOR THE ADJUSTABLE RATE MORTGAGE LOANS
IN LOAN GROUP 1*
PERCENT OF AVERAGE WEIGHTED
AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
AGGREGATE PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
RANGE OF PRINCIPAL BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
MINIMUM MORTGAGE RATES (%) OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
3.001 - 4.000................ $ 1,123,541 5 0.32% $224,708 6.204 355.33 660 74.0%
4.001 - 5.000................ 14,916,583 75 4.20 198,888 5.210 355.87 672 80.7
5.001 - 6.000................ 72,364,902 410 20.36 176,500 5.797 355.39 662 81.7
6.001 - 7.000................ 121,317,246 744 34.13 163,061 6.629 354.98 624 79.4
7.001 - 8.000................ 87,052,433 582 24.49 149,575 7.575 354.88 582 80.5
8.001 - 9.000................ 42,762,338 307 12.03 139,291 8.511 355.04 556 79.5
9.001 - 10.000............... 13,434,387 114 3.78 117,845 9.393 355.01 548 79.1
10.001 or more............... 2,533,000 19 0.71 133,316 10.596 355.84 521 66.9
-------------- ------ ------- --------- ------ ------- ----- ------
Total/Weighted Average....... $ 355,504,430 2,256 100.00% $157,582 6.990 355.09 612 80.1%
============== ====== ======= ========= ====== ======= ===== ======
- ----------------
*The weighted average Minimum Mortgage Rate for the Adjustable Rate Mortgage
Loans in Loan Group 1 as of the Cut-off Date was approximately 6.94% per annum.
TYPES OF MORTGAGED PROPERTIES FOR THE MORTGAGE LOANS
IN LOAN GROUP 1
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
PROPERTY TYPE OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
Single-Family Residence.... $282,426,625 1,864 76.24 $ 151,516 7.021 354.17 609 79.9%
Planned Unit Development... 33,249,193 184 8.98 180,702 6.683 354.22 622 81.6
Condominium................ 18,706,541 126 5.05 148,465 6.933 354.89 626 79.3
Two Family................. 18,158,856 101 4.90 179,791 7.153 354.94 620 78.1
Three Family............... 8,035,957 38 2.17 211,473 6.801 354.62 638 75.0
Four Family................ 4,164,999 18 1.12 231,389 6.966 355.12 681 79.3
SFRA....................... 3,693,329 29 1.00 127,356 7.426 354.84 600 81.1
APUD....................... 1,336,294 9 0.36 148,477 7.700 346.66 537 76.8
CNDP....................... 545,458 2 0.15 272,729 7.172 354.47 656 80.0
MNF........................ 139,190 1 0.04 139,190 6.500 354.00 609 80.0
------------ ----- ------- --------- ------ ------- ----- -----
Total/Weighted Average..... $370,456,442 2,372 100.00 $ 156,179 6.994 354.24 612 79.8%
============ ===== ======= ========= ====== ======= ===== =====
-13-
OCCUPANCY TYPES FOR THE MORTGAGE LOANS
IN LOAN GROUP 1(1)
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
OCCUPANCY OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
Owner Occupied........... $ 349,842,117 2,214 94.44% $ 158,014 6.980 354.23 610 79.9%
Investment............... 19,513,322 150 5.27 130,089 7.244 354.50 647 79.0
Second Home.............. 1,101,002 8 0.30 137,625 6.862 354.75 662 80.3
-------------- ----- ------- ---------- ------ -------- --- -----
Total/Weighted Average... $ 370,456,442 2,372 100.00% $ 156,179 6.994 354.24 612 79.8%
============== ===== ======= ========== ====== ======== === =====
(1) Based on representations by the Mortgagors at the time of origination of the
Mortgage Loans in Loan Group 1.
LOAN PURPOSES FOR THE MORTGAGE LOANS
IN LOAN GROUP 1
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
LOAN PURPOSE OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
Refinance - Cash Out.... $ 240,628,504 1,512 64.95% $ 159,146 7.139 353.96 595 78.8%
Purchase................ 97,783,793 623 26.40 156,956 6.622 355.00 656 82.7
Refinance - No Cash Out. 32,044,145 237 8.65 135,207 7.036 354.04 614 79.3
-------------- ------ -------- ---------- ------ -------- --- -----
Total/Weighted Average.. $ 370,456,442 2,372 100.00% $ 156,179 6.994 354.24 612 79.8%
============== ====== ======== ========== ====== ======== === =====
-14-
CREDIT GRADE CATEGORIES FOR THE MORTGAGE LOANS
IN LOAN GROUP 1(1)
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
CREDIT GRADE CATEGORY OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
PR...................... $ 89,729,008 586 24.22% $153,121 6.855 354.20 618 81.1%
PP...................... 176,855,825 1,083 47.74 163,302 6.556 354.04 642 81.7
A....................... 3,352,357 25 0.90 134,094 7.198 351.25 624 80.1
A-...................... 13,279,962 80 3.58 166,000 7.537 354.83 567 78.7
B....................... 56,387,685 372 15.22 151,580 7.730 354.78 559 77.0
C....................... 20,759,758 156 5.60 133,075 8.243 354.32 537 72.7
C-...................... 8,448,521 60 2.28 140,809 8.361 355.16 545 68.6
D....................... 1,643,326 10 0.44 164,333 8.768 355.76 558 64.4
------------- ----- ------ --------- ------- ------- ----- -----
Total/Weighted Average.. $370,456,442 2,372 100.00% $156,179 6.994 354.24 612 79.8%
============= ===== ====== ========= ======= ======= ===== =====
- --------------------
(1) Although the Mortgage Loans in Group 1 were originated by various
originators under differing underwriting guidelines, the Mortgage Loans in Group
1 loosely correspond to the Countrywide Home Loans credit grades shown in this
table. SEE "--UNDERWRITING GUIDELINES" IN THIS PROSPECTUS SUPPLEMENT.
ORIGINAL TERM FOR THE MORTGAGE LOANS
IN LOAN GROUP 1
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
ORIGINAL TERM OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
ARM 360................ $355,504,430 2,256 95.96% $157,582 6.990 355.09 612 80.1%
Fixed 120.............. 210,614 3 0.06 70,205 6.996 114.99 615 47.1
Fixed 180.............. 1,201,260 13 0.32 92,405 7.375 175.01 607 68.7
Fixed 240.............. 399,188 4 0.11 99,797 8.142 235.54 542 66.4
Fixed 360.............. 13,140,951 96 3.55 136,885 7.036 355.16 631 75.0
------------- ----- ------ --------- ------- ------- --- ----
Total/Weighted Average. $370,456,442 2,372 100.00% $156,179 6.994 354.24 612 79.8%
============= ===== ====== ========= ======= ======= === ====
-15-
LOAN DOCUMENTATION TYPE FOR THE MORTGAGE LOANS
IN LOAN GROUP 1
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
LOAN BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
DOCUMENTATION TYPE OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
Full.................... $ 218,363,494 1,492 58.94% $ 146,356 6.837 354.56 607 81.0%
Stated Income........... 148,913,126 862 40.20 172,753 7.231 353.77 620 78.2
NINA.................... 2,478,238 15 0.67 165,216 6.794 354.66 660 72.7
SIMPLE.................. 701,584 3 0.19 233,861 6.115 354.70 665 82.3
-------------- ----- ------- ---------- ------ ------- ---- -----
Total/Weighted Average.. $ 370,456,442 2,372 100.00% $ 156,179 6.994 354.24 612 79.8%
============== ===== ======= ========== ====== ======= ==== =====
ORIGINAL PREPAYMENT PENALTY TERM FOR THE MORTGAGE LOANS
IN LOAN GROUP 1
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
ORIGINAL PREPAYMENT BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
PENALTY TERM OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
0........................ $ 23,863,716 165 6.44% $ 144,629 7.807 353.87 588 78.0%
12....................... 23,574,568 124 6.36 190,117 7.045 355.30 617 79.6
24....................... 225,239,864 1,422 60.80 158,397 7.184 354.79 603 79.6
36....................... 97,778,294 661 26.39 147,925 6.345 352.83 639 81.0
------------- ----- ------- --------- ------ ------- ---- -----
Total/Weighted Average... $ 370,456,442 2,372 100.00% $ 156,179 6.994 354.24 612 79.8%
============= ===== ======= ========= ====== ======= ==== =====
-16-
RANGE OF MONTHS TO ROLL FOR THE ADJUSTABLE RATE MORTGAGE LOANS
IN LOAN GROUP 1
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
WEIGHTED AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
AVERAGE PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
RANGE OF MONTHS BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
MONTHS TO ROLL TO ROLL OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ----------------------------------------------------------------------------------------------------------------------------------
0 - 6................... 1 $ 283,097 1 0.08% $ 283,097 7.875 337.00 587 80.0%
7 - 12.................. 11 203,587 2 0.06 101,793 8.347 347.47 606 80.7
13 - 18................. 18 101,228,894 638 28.47 158,666 7.147 353.72 610 79.5
19 - 24................. 20 167,671,905 1,052 47.16 159,384 7.302 355.70 596 79.4
25 - 31................. 30 22,161,541 172 6.23 128,846 6.553 354.26 633 79.2
32 - 37................. 32 59,854,723 369 16.84 162,208 6.050 356.16 649 83.6
>= 38................... 54 4,100,684 22 1.15 186,395 6.289 354.46 664 75.3
------------- ----- ------- ---------- ------ ------- ---- -----
Total/Weighted Average.. $ 355,504,430 2,256 100.00% $ 157,582 6.990 355.09 612 80.1%
============= ===== ======= ========== ====== ======= ==== =====
-17-
MORTGAGE LOAN PROGRAMS FOR THE MORTGAGE LOANS
IN LOAN GROUP 2
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
LOAN PROGRAMS OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
30Y LIB6M................... $ 410,459 1 0.52% $ 410,459 5.028 349.00 720 80.0%
2/28 LIB6M.................. 45,521,784 131 57.23 347,495 7.040 354.80 604 81.5
2/28 LIB6M - IO............. 2,816,389 9 3.54 312,932 5.472 356.05 708 80.0
3/27 LIB6M.................. 16,066,149 53 20.20 303,135 6.031 355.81 656 81.6
3/27 LIB6M - IO............. 3,203,647 19 4.03 168,613 5.731 357.05 661 80.8
5/25 LIB6M.................. 773,827 2 0.97 386,913 6.788 354.00 626 86.6
5/25 LIB6M - IO............. 904,800 2 1.14 452,400 5.766 354.57 746 72.4
10Yr Fixed.................. 70,302 1 0.09 70,302 6.790 116.00 762 80.0
15Yr Fixed.................. 248,198 2 0.31 124,099 6.134 176.00 604 63.3
20Yr Fixed.................. 262,989 2 0.33 131,495 6.288 236.00 762 63.3
30Yr Fixed.................. 8,606,367 38 10.82 226,483 6.336 355.53 663 73.9
30Yr Fixed - IO............. 657,842 2 0.83 328,921 5.992 356.00 738 89.7
------------ ---- ------- ---------- ------ ------- ---- -----
Total/Weighted Average...... $79,542,755 262 100.00% $ 303,598 6.610 354.03 631 80.5%
============ ==== ======= ========== ====== ======= ==== =====
-18-
MORTGAGE LOAN PRINCIPAL BALANCES FOR THE MORTGAGE LOANS
IN LOAN GROUP 2*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
RANGE OF MORTGAGE BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
LOAN PRINCIPAL BALANCES OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
25,000.01 - 50,000.00........ $ 97,778 2 0.12% $ 48,889 7.741 356.53 574 80.0%
50,000.01 - 75,000.00........ 644,533 10 0.81 64,453 7.639 330.43 628 78.8
75,000.01 - 100,000.00........ 1,445,784 16 1.82 90,362 6.748 357.00 629 82.1
100,000.01 - 150,000.00........ 4,745,372 39 5.97 121,676 6.426 344.60 632 79.6
150,000.01 - 200,000.00........ 3,237,673 19 4.07 170,404 6.343 350.69 629 76.4
200,000.01 - 250,000.00........ 1,387,168 6 1.74 231,195 6.233 356.18 682 83.0
250,000.01 - 300,000.00........ 1,116,826 4 1.40 279,206 5.942 356.00 645 79.6
300,000.01 - 350,000.00........ 13,268,003 39 16.68 340,205 6.817 354.96 632 82.8
350,000.01 - 400,000.00........ 24,208,573 65 30.43 372,440 6.759 354.88 627 81.8
400,000.01 - 450,000.00........ 9,752,074 23 12.26 424,003 6.507 355.27 634 81.1
450,000.01 - 500,000.00........ 10,873,727 23 13.67 472,771 6.373 354.82 626 80.6
500,000.01 - 550,000.00........ 5,768,688 11 7.25 524,426 6.499 354.82 633 80.1
550,000.01 - 600,000.00........ 2,350,017 4 2.95 587,504 6.530 355.24 622 60.0
600,000.01 - 650,000.00........ 646,539 1 0.81 646,539 6.800 354.00 680 72.2
------------- ---- ------ ---------- ------ ------- --- ----
Total/Weighted Average........... $ 79,542,755 262 100.00% $ 303,598 6.610 354.03 631 80.5%
============= ==== ====== ========== ====== ======= === ====
- --------------------
* The average Principal Balance of the Mortgage Loans in Loan Group 2 as of the
Cut-off Date was approximately $303,598.
-19-
MORTGAGE RATES FOR THE MORTGAGE LOANS
IN LOAN GROUP 2*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
RANGE OF MORTGAGE RATES BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
(%) OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
4.501 - 5.000.......... $ 3,504,475 10 4.41% $ 350,448 4.942 355.74 684 82.0%
5.001 - 5.500.......... 8,150,170 26 10.25 313,468 5.349 355.56 693 77.4
5.501 - 6.000.......... 15,528,034 51 19.52 304,471 5.868 353.35 660 79.0
6.001 - 6.500.......... 14,730,582 56 18.52 263,046 6.374 352.38 639 80.1
6.501 - 7.000.......... 16,442,131 50 20.67 328,843 6.796 353.76 622 81.6
7.001 - 7.500.......... 6,865,536 21 8.63 326,930 7.314 355.00 597 85.2
7.501 - 8.000.......... 6,756,309 19 8.49 355,595 7.801 354.77 576 79.9
8.001 - 8.500.......... 5,079,738 16 6.39 317,484 8.366 354.77 578 83.1
8.501 - 9.000.......... 1,525,519 7 1.92 217,931 8.762 355.87 537 74.2
9.001 - 9.500.......... 188,791 3 0.24 62,930 9.319 356.85 568 83.7
9.501 - 10.000......... 716,586 2 0.90 358,293 9.851 356.50 509 80.0
10.001 - 10.500........ 54,884 1 0.07 54,884 10.290 355.00 553 63.2
------------- ---- ------- ----------- ------ ------- ---- ----
Total.................. $ 79,542,755 262 100.00% $ 303,598 6.610 354.03 631 80.5%
============= ==== ======= =========== ====== ======= ==== ====
- --------------------
* The weighted average Mortgage Rate for the Mortgage Loans in Group 2 as of the
Cut-off Date was approximately 6.61%.
REMAINING TERMS TO STATED MATURITY FOR THE MORTGAGE LOANS
IN LOAN GROUP 2*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
RANGE OF REMAINING TERMS BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
(MONTHS) OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
1 - 120...................... $ 70,302 1 0.09% $ 70,302 6.790 116.00 762 80.0%
121 - 180.................... 248,198 2 0.31 124,099 6.134 176.00 604 63.3
181 - 300.................... 262,989 2 0.33 131,495 6.288 236.00 762 63.3
301 - 360.................... 78,961,265 257 99.27 307,242 6.613 355.19 630 80.6
------------- ---- ------- -------- ------ -------- ----- -----
Total/Weighted Average....... $ 79,542,755 262 100.00% $303,598 6.610 354.03 631 80.5%
============= ==== ======= ======== ====== ======== ===== =====
- --------------------
* The weighted average remaining term to maturity of the Mortgage Loans in Loan
Group 2 as of the Cut-off Date was approximately 354 months.
-20-
ORIGINAL LOAN-TO-VALUE RATIOS FOR THE MORTGAGE LOANS
IN LOAN GROUP 2*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
RANGE OF ORIGINAL AGGREGATE PRINCIPAL NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
LOAN-TO-VALUE RATIOS (%) BALANCE OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
Up to 50.00.............. $ 805,969 3 1.01 $ 268,656 5.848 333.25 711 44.1%
50.01 - 55.00............ 734,790 2 0.92 367,395 7.469 319.80 594 52.7
55.01 - 60.00............ 654,730 2 0.82 327,365 6.113 353.48 657 58.4
60.01 - 65.00............ 3,401,598 11 4.28 309,236 6.663 355.71 613 62.2
65.01 - 70.00............ 3,856,933 10 4.85 385,693 6.321 355.29 625 68.5
70.01 - 75.00............ 7,137,684 21 8.97 339,890 7.021 355.44 572 73.7
75.01 - 80.00............ 31,638,012 119 39.77 265,866 6.262 354.18 649 79.7
80.01 - 85.00............ 13,757,741 41 17.30 335,555 7.097 354.09 613 84.5
85.01 - 90.00............ 13,088,389 38 16.45 344,431 6.718 354.89 630 89.4
90.01 - 95.00............ 2,281,345 7 2.87 325,906 7.266 354.84 627 94.9
95.01 - 100.00........... 2,185,564 8 2.75 273,196 6.499 355.34 690 100.0
------------- ---- ------- ---------- ------ -------- ------ -----
Total/Weighted Average... $ 79,542,755 262 100.00% $ 303,598 6.610 354.03 631 80.5%
============= ==== ======= ========== ====== ======== ====== =====
- --------------------
* The weighted average original Loan-to-Value Ratio at origination of the
Mortgage Loans in Loan Group 2 as of the Cut-off Date was approximately 80.51%.
-21-
STATE DISTRIBUTION OF THE MORTGAGED PROPERTIES FOR
THE MORTGAGE LOANS IN LOAN GROUP 2
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
STATE OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
Arizona................ $ 2,417,875 12 3.04% $ 201,490 5.936 356.18 693 84.0%
Arkansas............... 72,991 1 0.09 72,991 9.500 357.00 537 85.0
California............. 47,056,820 124 59.16 379,490 6.554 353.96 632 79.5
Colorado............... 1,350,316 5 1.70 270,063 6.219 355.64 666 90.2
Connecticut............ 619,085 2 0.78 309,543 6.302 355.45 560 76.1
Florida................ 2,583,955 8 3.25 322,994 6.351 354.65 650 77.6
Georgia................ 721,282 3 0.91 240,427 5.251 356.31 669 89.2
Idaho.................. 164,000 1 0.21 164,000 5.300 357.00 660 80.0
Illinois............... 2,117,857 9 2.66 235,317 7.288 356.18 582 79.7
Indiana................ 467,439 1 0.59 467,439 6.350 356.00 622 85.0
Kansas................. 920,020 4 1.16 230,005 6.798 355.54 644 81.9
Maryland............... 2,948,987 11 3.71 268,090 6.420 344.32 636 83.1
Massachusetts.......... 1,384,019 4 1.74 346,005 6.455 355.49 634 85.2
Michigan............... 820,074 8 1.03 102,509 8.159 356.72 596 79.7
Minnesota.............. 510,714 3 0.64 170,238 7.049 357.00 619 80.0
Missouri............... 996,687 5 1.25 199,337 6.343 355.94 630 85.7
Nevada................. 186,938 2 0.24 93,469 6.252 358.00 598 70.0
New Jersey............. 398,191 1 0.50 398,191 7.500 354.00 614 89.9
New York............... 2,118,603 6 2.66 353,100 6.631 355.42 605 83.7
North Carolina......... 908,463 3 1.14 302,821 6.931 355.26 651 80.2
Ohio................... 516,586 6 0.65 86,098 6.761 323.14 685 86.7
Oregon................. 1,096,532 6 1.38 182,755 6.716 355.89 613 83.5
Pennsylvania........... 1,527,796 8 1.92 190,975 7.284 355.72 611 82.1
Rhode Island........... 772,662 2 0.97 386,331 6.683 355.57 628 76.4
South Carolina......... 758,944 2 0.95 379,472 7.077 354.97 624 73.7
Tennessee.............. 868,859 2 1.09 434,429 7.645 356.00 581 84.2
Texas.................. 394,224 2 0.50 197,112 7.506 354.12 624 80.0
Utah................... 118,480 1 0.15 118,480 5.650 357.00 676 80.0
Virginia............... 3,027,377 10 3.81 302,738 7.175 354.99 607 82.4
Washington............. 1,251,377 6 1.57 208,563 6.174 356.54 651 75.3
Wisconsin.............. 445,601 4 0.56 111,400 7.011 357.75 640 82.5
------------- ----- ------- --------- ------ ------- ---- -----
Total.................. $ 79,542,755 262 100.00% $ 303,598 6.610 354.03 631 80.5%
============= ===== ======= ========= ====== ======= ==== =====
-22-
CREDIT BUREAU RISK SCORES(1) FOR THE MORTGAGE LOANS
IN LOAN GROUP 2*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
RANGE OF CREDIT BUREAU BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
RISK SCORES OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
781 - 800............. $ 546,525 2 0.69 $ 273,263 6.105 320.81 787 71.1%
761 - 780............. 785,273 3 0.99 261,758 6.092 334.03 773 88.6
741 - 760............. 2,675,821 8 3.36 334,478 5.763 355.23 755 87.1
721 - 740............. 1,918,266 6 2.41 319,711 5.525 349.16 731 77.2
701 - 720............. 4,344,908 12 5.46 362,076 5.977 354.00 710 73.9
681 - 700............. 9,277,271 26 11.66 356,818 5.934 355.13 690 80.8
661 - 680............. 6,635,554 23 8.34 288,502 6.322 355.13 673 81.2
641 - 660............. 8,591,783 36 10.80 238,661 6.160 353.13 651 79.2
621 - 640............. 10,649,588 38 13.39 280,252 6.340 355.68 630 83.2
601 - 620............. 9,406,719 33 11.83 285,052 6.762 355.59 612 82.4
581 - 600............. 6,204,206 17 7.80 364,953 7.439 354.68 591 81.1
561 - 580............. 5,061,190 14 6.36 361,514 7.423 349.62 571 84.2
541 - 560............. 5,483,363 17 6.89 322,551 7.058 354.69 549 80.9
521 - 540............. 3,175,208 14 3.99 226,801 7.626 355.47 536 75.5
501 - 520............. 4,453,703 12 5.60 371,142 8.068 355.77 511 74.0
<= 500................ 333,379 1 0.42 333,379 6.200 355.00 500 63.2
------------- ---- ------ ---------- ------ ------- ---- -----
Weighted Average $ 79,542,755 262 100.00% $ 303,598 6.610 354.03 631 80.5%
============= ==== ====== ============ ====== ======= ==== =====
- ----------------------
(1) The Credit Bureau Risk Scores referenced in this table with respect to
substantially all of the Mortgage Loans in Loan Group 2 were obtained by the
respective originators from one or more credit reporting agencies, and were
determined at the time of origination.
* The weighted average Credit Bureau Risk Score of the Mortgage Loans in Group 2
as of the Cut-off Date was approximately 631.
-23-
GROSS MARGINS FOR THE ADJUSTABLE RATE MORTGAGE LOANS IN LOAN GROUP 2*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
RANGE OF GROSS MARGINS (%) OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
3.001 - 4.000................. $ 410,459 1 0.59% $410,459 5.028 349.00 720 80.0%
4.001 - 5.000................. 15,148,286 39 21.73 388,418 6.079 355.49 640 79.7
5.001 - 6.000................. 33,098,602 105 47.49 315,225 6.443 354.98 634 80.5
6.001 - 7.000................. 13,050,720 41 18.72 318,310 6.948 355.35 604 83.2
7.001 - 8.000................. 4,395,443 13 6.31 338,111 7.895 354.99 606 86.8
8.001 - 9.000................. 3,465,669 16 4.97 216,604 8.550 355.37 573 83.3
9.001 - 10.000................ 72,991 1 0.10 72,991 9.500 357.00 537 85.0
10.001 - 11.000............... 54,884 1 0.08 54,884 10.290 355.00 553 63.2
------------- ---- ------- --------- ------ ------- --- -----
Total/Weighted Average........ $ 69,697,055 217 100.00% $321,185 6.653 355.14 625 81.4%
============= ==== ======= ========= ====== ======= === =====
- --------------------
* The weighted average Gross Margin of the Adjustable Rate Mortgage Loans in
Loan Group 2 as of the Cut-off Date was approximately 5.81%.
NEXT ADJUSTMENT DATE FOR THE ADJUSTABLE RATE MORTGAGE LOANS|
IN LOAN GROUP 2*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL E
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALU
NEXT ADJUSTMENT DATE OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
4-Jul.................. $ 410,459 1 0.59 $410,459 5.028 349.00 720 80.0%
5-Nov.................. 353,762 1 0.51 353,762 6.990 352.00 563 85.0
5-Dec.................. 6,055,723 14 8.69 432,552 7.125 353.30 620 83.6
6-Jan.................. 14,062,000 36 20.18 390,611 6.939 354.00 620 82.3
6-Feb.................. 14,585,408 38 20.93 383,827 6.883 355.20 599 79.9
6-Mar.................. 9,222,421 27 13.23 341,571 6.712 356.00 619 82.7
6-Apr.................. 3,037,827 17 4.36 178,696 7.829 357.00 569 77.1
6-May.................. 679,240 6 0.97 113,207 6.746 358.00 620 76.9
6-Nov.................. 354,468 1 0.51 354,468 6.7.00 352.00 712 80.0
6-Dec.................. 838,248 2 1.20 419,124 5.974 353.00 676 69.5
7-Jan.................. 384,905 1 0.55 384,905 6.690 354.00 693 75.0
7-Feb.................. 6,056,083 15 8.69 403,739 5.994 355.59 667 83.0
7-Mar.................. 7,501,493 19 10.76 394,815 5.888 356.00 653 82.9
7-Apr.................. 2,516,850 19 3.61 132,466 6.119 357.00 637 80.0
7-May.................. 1,959,541 16 2.81 122,471 5.852 358.00 638 80.0
9-Jan.................. 1,166,627 3 1.67 388,876 6.506 354.00 681 84.4
9-Feb.................. 512,000 1 0.73 512,000 5.625 355.00 713 66.5
----------- ---- ------- --------- ------ ------ ---- -----
Total/Weighted Average $ 69,697,055 217 100.00% $321,185 6.653 355.14 625 81.4%
============= ==== ======= ========= ====== ====== ==== =====
- --------------------
* The weighted average number of months to next adjustment date for the
Adjustable Rate Mortgage Loans in Loan Group 2 as of the Cut-off Date is 23
months.
-24-
MAXIMUM MORTGAGE RATES FOR THE ADJUSTABLE RATE MORTGAGE LOANS
IN LOAN GROUP 2*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
RANGE OF MAXIMUM BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
MORTGAGE RATES (%) OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
10.501 - 11.000........ $ 3,504,475 10 5.03% $350,448 4.942 355.74 684 82.0%
11.001 - 11.500........ 6,420,945 22 9.21 291,861 5.365 355.89 691 81.8
11.501 - 12.000........ 12,997,075 41 18.65 317,002 5.899 355.19 661 79.5
12.001 - 12.500........ 9,415,247 35 13.51 269,007 6.381 355.52 647 82.6
12.501 - 13.000........ 12,175,694 34 17.47 358,109 6.733 354.80 620 82.5
13.001 - 13.500........ 8,369,659 23 12.01 363,898 7.086 354.81 592 83.8
13.501 - 14.000........ 6,211,681 16 8.91 388,230 7.344 354.55 582 82.7
14.001 - 14.500........ 4,809,122 15 6.90 320,608 8.200 354.81 577 82.5
14.501 - 15.000........ 3,943,881 13 5.66 303,375 8.091 355.24 555 71.6
15.001 - 15.500........ 707,141 4 1.01 176,785 8.601 355.49 571 81.0
15.501 - 16.000........ 370,665 1 0.53 370,665 8.650 354.00 516 80.0
16.001 - 16.500........ 54,884 1 0.08 54,884 10.290 355.00 553 63.2
16.501 - 17.000........ 716,586 2 1.03 358,293 9.851 356.50 509 80.0
------------- ---- ------- --------- ------ ------- --- -----
Total/Weighted Average $ 69,697,055 217 100.00% $321,185 6.653 355.14 625 81.4%
============= ==== ======= ========= ====== ======= === =====
- --------------------
* The weighted average Maximum Mortgage Rate for the Adjustable Rate Mortgage
Loans in Loan Group 2 as of the Cut-off Date was approximately 12.80% per annum.
-25-
INITIAL PERIODIC RATE CAP FOR THE ADJUSTABLE RATE MORTGAGE LOANS
IN LOAN GROUP 2*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
INITIAL PERIODIC PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL E
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALU
RATE CAP (%) OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
1.500.................. $ 11,560,966 29 16.59% $ 398,654 7.200 354.73 572 77.5%
2.000.................. 410,459 1 0.59 410,459 5.028 349.00 720 80.0
3.000.................. 57,725,630 187 82.82 308,693 6.555 355.27 635 82.1
------------- ---- ------- ---------- ----- ------- ---- -----
Total/Weighted Average. $ 69,697,055 217 100.00% $ 321,185 6.653 355.14 625 81.4%
============= ==== ======= ========== ===== ======= ==== =====
- --------------------
* The weighted average Initial Periodic Rate Cap for the Adjustable Rate
Mortgage Loans in Loan Group 2 as of the Cut-off Date was approximately 2.75%.
SUBSEQUENT PERIODIC RATE CAP FOR THE ADJUSTABLE RATE MORTGAGE LOANS
IN LOAN GROUP 2*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
SUBSEQUENT PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL E
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALU
PERIODIC RATE CAP (%) OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
1.000.................. $58,136,088 188 83.41% $ 309,235 6.544 355.23 636 82.1%
1.500.................. 11,560,966 29 16.59 398,654 7.200 354.73 572 77.5
------------ ----- ------- ---------- ------- -------- ---- -----
Total/Weighted Average. $69,697,055 217 100.00% $ 321,185 6.653 355.14 625 81.4%
============ ===== ======= ========== ======= ======== ==== =====
- --------------------
* The weighted average Subsequent Periodic Rate Cap for the Adjustable Rate
Mortgage Loans in Loan Group 2 as of the Cut-off Date was approximately 1.08%.
-26-
MINIMUM MORTGAGE RATES FOR THE ADJUSTABLE RATE MORTGAGE LOANS
IN LOAN GROUP 2*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
RANGE OF PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
MINIMUM MORTGAGE RATES (%) OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
3.001 - 4.000............... $ 410,459 1 0.59% $ 410,459 5.028 349.00 720 80.0%
4.001 - 5.000............... 6,719,726 17 9.64 395,278 5.675 355.73 653 80.4
5.001 - 6.000............... 20,277,967 66 29.09 307,242 5.835 355.57 663 80.6
6.001 - 7.000............... 23,248,769 73 33.36 318,476 6.601 354.89 622 82.0
7.001 - 8.000............... 12,016,044 33 17.24 364,123 7.580 354.83 583 81.6
8.001 - 9.000............... 6,063,828 21 8.70 288,754 8.449 354.87 573 82.4
9.001 - 10.000.............. 905,377 5 1.30 181,075 9.740 356.58 521 80.8
More than 10.000............ 54,884 1 0.08 54,884 10.290 355.00 553 63.2
------------- --- ------- ---------- ------- -------- ---- -----
Total/Weighted Average...... $ 69,697,055 217 100.00% $ 321,185 6.653 355.14 625 81.4%
============= === ======= ========== ======= ======== ==== =====
- --------------------
* The weighted average Minimum Mortgage Rate for the Adjustable Rate Mortgage
Loans in Loan Group 2 as of the Cut-off Date was approximately 6.52% per annum.
TYPES OF MORTGAGED PROPERTIES FOR THE MORTGAGE LOANS
IN LOAN GROUP 2
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL E
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALU
PROPERTY TYPE OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
SFR...................... $ 61,130,651 205 76.85% $ 298,198 6.625 354.15 630 80.4%
PUD...................... 11,919,500 34 14.99 350,574 6.771 355.55 621 81.3
CND...................... 4,058,851 14 5.10 289,918 6.223 354.87 668 83.4
2 FAM.................... 1,446,179 4 1.82 361,545 6.131 354.71 612 71.1
CNDP..................... 364,423 1 0.46 364,423 5.900 355.00 637 90.0
APUD..................... 239,035 1 0.30 239,035 5.990 356.00 740 80.0
SFRA..................... 230,390 2 0.29 115,195 6.074 299.09 712 82.0
3 FAM.................... 153,725 1 0.19 153,725 6.500 236.00 781 48.4
------------- ---- ------- ---------- ------ -------- ---- -----
Total/Weighted Average...... $ 79,542,755 262 100.00% $ 303,598 6.610 354.03 631 80.5%
============= ==== ======= ========== ====== ======== ==== =====
-27-
OCCUPANCY TYPES FOR THE MORTGAGE LOANS
IN LOAN GROUP 2(1)
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
OCCUPANCY OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
Owner Occupied........... $ 75,376,533 249 94.76% $ 302,717 6.628 354.25 627 80.6%
Investment............... 3,276,120 11 4.12 297,829 6.423 348.90 692 74.8
Second Home.............. 890,101 2 1.12 445,051 5.832 354.14 722 90.0
------------- ---- ------- ---------- ------- -------- ---- -----
Total/Weighted Average... $ 79,542,755 262 100.00% $ 303,598 6.610 354.03 631 80.5%
============= ==== ======= ========== ======= ======== ==== =====
- --------------------
(1) Based on representations by the Mortgagors at the time of origination of the
Mortgage Loans in Loan Group 2.
LOAN PURPOSES FOR THE MORTGAGE LOANS
IN LOAN GROUP 2
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
LOAN PURPOSE OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
Refinance - Cash Out.... $ 51,270,515 149 64.46 $ 344,097 6.766 353.93 610 79.8%
Purchase................ 25,292,973 96 31.80 263,468 6.317 354.64 670 82.8
Refinance - No Cash Out. 2,979,267 17 3.75 175,251 6.424 350.54 654 72.4
------------- ----- ------ ---------- ------ -------- ---- ----
Total/Weighted Average.. $ 79,542,755 262 100.00 $ 303,598 6.610 354.03 631 80.5%
============= ===== ====== ========== ====== ====== ==== ====
-28-
CREDIT GRADE CATEGORIES FOR THE MORTGAGE LOANS
- ------------------------------------------------------------------------------------------------------------------------------------
IN LOAN GROUP 2(1)
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
CREDIT GRADE CATEGORY OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
PR...................... 24,545,971 76 30.86% $ 322,973 6.533 355.23 629 82.3%
PP...................... 41,626,295 142 52.33 293,143 6.380 353.49 653 80.9
A....................... 410,459 1 0.52 410,459 5.028 349.00 720 80.0
A-...................... 2,938,412 8 3.69 367,302 7.323 354.01 584 79.5
B....................... 7,331,052 21 9.22 349,098 7.577 355.36 555 76.7
C....................... 2,419,539 12 3.04 201,628 7.592 347.62 551 69.8
D....................... 271,027 2 0.34 135,513 8.740 357.0.0 537 74.4
------------- ---- ------ ---------- ------ ------- ----- ----
Total/Weighted Average.. $ 79,542,755 262 100.00% $ 303,598 6.610 354.03 631 80.5%
============= ==== ====== ========== ====== ====== ===== ====
- --------------------
(1) Although the Mortgage Loans in Loan Group 2 were originated by various
originators under differing underwriting guidelines, the Mortgage Loans in Loan
Group 2 loosely correspond to the Countrywide Home Loans credit grades shown in
this table. SEE "--UNDERWRITING GUIDELINES" IN THIS PROSPECTUS SUPPLEMENT.
ORIGINAL TERM FOR THE MORTGAGE LOANS
IN LOAN GROUP 2
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
ORIGINAL TERM OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
ARM 360................. $ 69,697,055 217 87.62% $ 321,185 6.653 355.14 625 81.4%
Fixed 120............... 70,302 1 0.09 70,302 6.790 116.00 762 80.0
Fixed 180............... 248,198 2 0.31 124,099 6.134 176.00 604 63.3
Fixed 240............... 262,989 2 0.33 131,495 6.288 236.00 762 63.3
Fixed 360............... 9,264,210 40 11.65 231,605 6.312 355.56 668 75.1
------------- ---- ------- ---------- ------ ------- ---- -----
Total/Weighted Average.. $ 79,542,755 262 100.00% $ 303,598 6.610 354.03 631 80.5%
============= ==== ======= ========== ====== ======= ==== =====
-29-
LOAN DOCUMENTATION TYPE FOR THE MORTGAGE LOANS
IN LOAN GROUP 2
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
LOAN PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
DOCUMENTATION TYPE OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
Full.................... $40,100,770 149 50.41% 269,133 6.366 353.14 632 80.9%
Stated Income........... 39,051,690 112 49.10 348,676 6.857 354.93 630 80.1
NINA.................... 390,295 1 0.49 390,295 7.000 355.00 662 80.0
------------ ---- ------- -------- ----- ------ ---- -----
Total/Weighted Average.. $79,542,755 262 100.00% 303,598 6.610 354.03 631 80.5%
=========== ==== ======= ======== ===== ====== ==== =====
ORIGINAL PREPAYMENT PENALTY TERM FOR THE MORTGAGE LOANS
IN LOAN GROUP 2
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
ORIGINAL PREPAYMENT BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
PENALTY TERM OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
0..................... $ 5,359,525 15 6.74% $ 357,302 7.232 354.95 607 80.4%
12.................... 5,881,395 17 7.39 345,964 7.184 355.21 597 80.2
24.................... 38,999,326 112 49.03 348,208 6.832 354.82 615 81.8
36.................... 22,059,707 75 27.73 294,129 5.959 355.74 666 78.7
48.................... 248,592 1 0.31 248,592 6.450 356.00 691 100.0
60.................... 6,994,210 42 8.79 166,529 6.475 342.45 653 78.7
-------------- ---- ------- ---------- ------ ------- ---- -----
Total/Weighted Average.. $ 79,542,755 262 100.00% $ 303,598 6.610 354.03 631 80.5%
============== ==== ======= ========== ====== ======= ==== =====
RANGE OF MONTHS TO ROLL FOR THE ADJUSTABLE RATE MORTGAGE LOANS
IN LOAN GROUP 2
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
WEIGHTED AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
RANGE OF AVERAGE PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL L
MONTHS TO BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VA
MONTHS TO ROLL ROLL OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
0 - 6.................. 1 $ 410,459 1 0.59% $410,459 5.028 349.00 720 80.0%
13 - 18................ 18 20,813,277 52 29.86 400,255 6.978 353.74 620 82.8
19 - 24................ 20 27,524,896 88 39.49 312,783 6.927 355.73 603 80.4
25 - 31................ 30 3,695,059 9 5.30 410,562 6.043 354.34 707 80.4
32 - 37................ 32 15,574,737 63 22.35 247,218 5.967 356.41 645 81.7
>= 38.................. 54 1,678,627 4 2.41 419,657 6.237 354.31 691 78.9
------------ --- ------- -------- ------ ------ --- -----
Total/Weighted Average. $69,697,055 217 100.00% $321,185 6.653 355.14 625 81.4%
============ === ======= ======== ====== ====== === =====
-30-
MORTGAGE LOAN PROGRAMS FOR THE MORTGAGE LOANS
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
LOAN PROGRAMS OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
30Y LIB6M.................... $ 410,459 1 0.09% $ 410,459 5.028 349.00 720 80.00%
2/28 LIB6M................... 311,555,497 1,807 69.23 172,416 7.230 354.90 600 79.70
2/28 LIB6M - IO.............. 6,170,158 26 1.37 237,314 5.708 356.11 711 81.00
3/27 LIB6M................... 95,391,906 580 21.20 164,469 6.185 355.64 645 82.20
3/27 LIB6M - IO.............. 5,894,154 33 1.31 178,611 5.533 357.01 684 82.30
5/25 LIB6M................... 4,087,011 21 0.91 194,620 6.457 354.27 647 75.90
5/25 LIB6M - IO.............. 1,692,300 5 0.38 338,460 5.834 354.77 730 77.40
10Yr Fixed................... 280,916 4 0.06 70,229 6.944 115.24 651 55.30
15Yr Fixed................... 1,449,458 15 0.32 96,631 7.162 175.18 607 67.80
20Yr Fixed................... 662,177 6 0.15 110,363 7.406 235.72 630 65.10
30Yr Fixed................... 21,747,318 134 4.83 162,293 6.759 355.30 644 74.60
30Yr Fixed - IO.............. 657,842 2 0.15 328,921 5.992 356.00 738 89.70
------------ ----- ------ --------- ------- -------- ---- ------
Total/Weighted Average....... $449,999,196 2,634 100.00% $ 170,843 6.926 354.21 616 80.00%
============ ===== ====== ========= ======= ======== ==== ======
MORTGAGE LOAN PRINCIPAL BALANCES FOR THE MORTGAGE LOANS*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
RANGE OF MORTGAGE BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
LOAN PRINCIPAL BALANCES OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
25,000.01 - 50,000.00........... $ 987,807 21 0.22% $ 47,038 8.336 337.90 587 70.2%
50,000.01 - 75,000.00........... 16,929,048 264 3.76 64,125 7.773 349.96 594 77.0
75,000.01 - 100,000.00.......... 30,777,231 350 6.84 87,935 7.264 351.42 607 78.8
100,000.01 - 150,000.00.......... 88,265,830 713 19.61 123,795 7.047 353.76 614 79.9
150,000.01 - 200,000.00.......... 82,913,142 478 18.43 173,458 6.930 355.00 613 79.9
200,000.01 - 250,000.00.......... 76,525,521 342 17.01 223,759 6.799 354.58 615 79.9
250,000.01 - 300,000.00.......... 55,708,811 204 12.38 273,082 6.844 354.96 614 80.1
300,000.01 - 350,000.00.......... 41,117,335 127 9.14 323,759 6.824 355.05 624 82.0
350,000.01 - 400,000.00.......... 26,104,191 70 5.80 372,917 6.772 354.90 628 81.9
400,000.01 - 450,000.00.......... 11,031,309 26 2.45 424,281 6.459 355.28 647 81.3
450,000.01 - 500,000.00.......... 10,873,727 23 2.42 472,771 6.373 354.82 626 80.6
500,000.01 - 550,000.00.......... 5,768,688 11 1.28 524,426 6.499 354.82 633 80.1
550,000.01 - 600,000.00.......... 2,350,017 4 0.52 587,504 6.530 355.24 622 60.0
600,000.01 - 650,000.00.......... 646,539 1 0.14 646,539 6.800 354.00 680 72.2
----------- ----- ------ -------- ------ ------- ---- -----
Total/Weighted Average........... $449,999,196 2,634 100.00 $170,843 6.926 354.21 616 80.0%
============ ===== ====== ======== ====== ======= ==== =====
- ------------
* The average Principal Balance of the Mortgage Loans as of the Cut-off Date was
approximately $170,843.
-31-
MORTGAGE RATES FOR THE MORTGAGE LOANS*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
RANGE OF MORTGAGE RATES BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
% OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
4.001 - 4.500........... $ 1,395,005 8 0.31% $174,376 4.500 356.24 732 80.3%
4.501 - 5.000........... 13,500,605 60 3.00 225,010 4.912 355.83 690 82.3
5.001 - 5.500........... 28,582,028 140 6.35 204,157 5.359 355.46 678 80.2
5.501 - 6.000........... 66,243,881 341 14.72 194,264 5.844 353.83 664 80.8
6.001 - 6.500........... 68,457,653 376 15.21 182,068 6.330 354.22 634 78.5
6.501 - 7.000........... 96,210,171 551 21.38 174,610 6.815 354.17 620 80.0
7.001 - 7.500........... 49,546,101 300 11.01 165,154 7.297 354.76 588 80.5
7.501 - 8.000........... 56,145,858 355 12.48 158,157 7.812 353.66 578 80.9
8.001 - 8.500........... 30,835,453 204 6.85 151,154 8.298 353.84 566 80.3
8.501 - 9.000........... 21,260,703 151 4.72 140,799 8.797 353.58 549 78.6
9.001 - 9.500........... 9,694,148 83 2.15 116,797 9.297 354.20 549 78.4
9.501 - 10.000.......... 5,457,880 44 1.21 124,043 9.786 355.19 543 78.5
10.001 - 10.500........... 1,528,118 12 0.34 127,343 10.335 346.04 523 62.4
10.501 - 11.000........... 927,534 7 0.21 132,505 10.858 356.04 523 72.2
11.001 - 11.500........... 174,686 1 0.04 174,686 11.050 355.00 509 70.0
11.501 - 12.000........... 39,372 1 0.01 39,372 11.890 356.00 504 73.0
------------- ----- ------- -------- ------- ------- ---- -----
Total/Weighted Average.... $ 449,999,196 2,634 100.00% $170,843 6.926 354.21 616 80.0%
============= ===== ======= ======== ======= ======= ==== =====
- -------------
* The weighted average Mortgage Rate for the Mortgage Loans as of the Cut-off
Date was approximately 6.93%.
REMAINING TERMS TO STATED MATURITY FOR THE MORTGAGE LOANS*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
RANGE OF REMAINING TERMS BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
(MONTHS) OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
1 - 120........................ $ 280,916 4 0.06% $ 70,229 6.944 115.24 651 55.3%
121 - 180...................... 1,449,458 15 0.32 96,631 7.162 175.18 607 67.8
181 - 300...................... 662,177 6 0.15 110,363 7.406 235.72 630 65.1
301 - 360...................... 447,606,645 2,609 99.47 171,563 6.925 355.11 616 80.0
------------- ----- ------ --------- ------- ------- ---- ------
Total/Weighted Average......... $ 449,999,196 2,634 100.00% $ 170,843 6.926 354.21 616 80.0%
============= ===== ====== ========= ======= ======= ==== ======
- ------------
* The weighted average remaining term to maturity of the Mortgage Loans as of
the Cut-off Date was approximately 354 months.
-32-
ORIGINAL LOAN-TO-VALUE RATIOS FOR THE MORTGAGE LOANS*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
AGGREGATE PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
RANGE OF ORIGINAL PRINCIPAL BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
LOAN-TO-VALUE RATIOS (%) OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
Up to 50.00................ $ 7,713,313 63 1.71% $122,434 7.050 343.57 586 42.9%
50.01 - 55.00.............. 5,030,075 32 1.12 157,190 7.328 346.99 574 52.5
55.01 - 60.00.............. 8,725,466 54 1.94 161,583 6.899 354.92 573 57.9
60.01 - 65.00.............. 17,424,545 101 3.87 172,520 6.987 351.75 582 63.2
65.01 - 70.00.............. 29,198,949 175 6.49 166,851 7.256 354.41 579 68.8
70.01 - 75.00.............. 40,274,005 228 8.95 176,640 7.406 353.64 569 74.0
75.01 - 80.00.............. 164,292,852 973 36.51 168,852 6.557 354.52 637 79.7
80.01 - 85.00.............. 69,551,343 404 15.46 172,157 7.397 354.55 598 84.4
85.01 - 90.00.............. 86,984,702 497 19.33 175,020 6.995 355.13 625 89.6
90.01 - 95.00.............. 9,725,574 48 2.16 202,616 6.633 355.37 656 94.5
95.01 - 100.00............. 11,078,372 59 2.46 187,769 6.194 354.70 699 99.9
------------- ----- ------ -------- ------ ------- ---- -----
Total...................... $ 449,999,196 2,634 100.00% $170,843 6.926 354.21 616 80.0%
============= ===== ====== ======== ====== ======= ==== =====
- ----------
* The weighted average original Loan-to-Value Ratio at origination of the
Mortgage Loans as of the Cut-off Date was approximately 79.96%.
-33-
STATE DISTRIBUTION OF THE MORTGAGED PROPERTIES FOR
THE MORTGAGE LOANS
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
STATE OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
Alabama................. $ 573,150 6 0.13% $ 95,525 7.178 356.10 612 78.5%
Alaska.................. 73,368 1 0.02 73,368 9.990 356.00 536 70.0
Arizona................. 12,532,565 83 2.79 150,995 6.571 355.63 635 83.0
Arkansas................ 299,935 4 0.07 74,984 7.789 355.19 640 84.1
California.............. 183,909,474 808 40.87 227,611 6.743 354.13 617 78.0
Colorado................ 7,125,776 39 1.58 182,712 6.316 355.88 653 85.2
Connecticut............. 5,574,554 35 1.24 159,273 7.038 350.18 601 81.7
Delaware................ 2,531,504 14 0.56 180,822 7.390 355.21 622 85.6
District of Columbia.... 148,485 1 0.03 148,485 9.500 355.00 635 63.8
Florida................. 30,902,449 228 6.87 135,537 7.099 353.60 611 79.7
Georgia................. 6,341,167 44 1.41 144,117 6.818 355.87 628 84.6
Hawaii.................. 104,490 1 0.02 104,490 7.140 354.00 519 30.0
Idaho................... 1,264,289 11 0.28 114,935 6.961 355.80 614 80.0
Illinois................ 20,895,828 128 4.64 163,249 7.237 355.70 614 81.3
Indiana................. 5,761,618 54 1.28 106,697 7.403 352.81 606 82.0
Iowa.................... 1,779,567 19 0.40 93,661 6.685 354.94 637 83.6
Kansas.................. 2,762,608 26 0.61 106,254 7.136 351.22 628 83.0
Kentucky................ 2,901,684 25 0.64 116,067 6.882 355.05 639 84.7
Louisiana............... 640,296 6 0.14 106,716 7.915 356.21 566 79.7
Maine................... 1,379,714 7 0.31 197,102 7.468 355.21 604 82.3
Maryland................ 14,791,348 74 3.29 199,883 7.038 353.14 603 81.1
Massachusetts........... 12,687,027 52 2.82 243,981 7.072 353.90 607 78.8
Michigan................ 8,352,426 77 1.86 108,473 7.825 352.30 593 80.6
Minnesota............... 7,328,597 45 1.63 162,858 6.832 355.79 637 82.2
Mississippi............. 503,750 3 0.11 167,917 5.999 355.49 625 81.3
Missouri................ 6,056,676 56 1.35 108,155 7.088 355.55 615 83.0
Montana................. 278,752 3 0.06 92,917 7.311 355.36 625 84.5
Nebraska................ 1,228,747 13 0.27 94,519 6.860 355.22 641 85.7
Nevada.................. 6,622,847 41 1.47 161,533 6.910 355.38 631 82.5
New Hampshire........... 1,036,378 5 0.23 207,276 7.237 355.28 638 88.1
New Jersey.............. 3,615,895 22 0.80 164,359 7.411 353.31 604 79.5
New Mexico.............. 610,542 5 0.14 122,108 7.656 354.67 586 81.5
New York................ 11,510,880 48 2.56 239,810 6.909 355.61 597 78.3
North Carolina.......... 4,711,645 32 1.05 147,239 7.594 350.34 606 81.5
North Dakota............ 446,101 5 0.10 89,220 6.734 356.00 652 88.2
Ohio.................... 11,597,832 101 2.58 114,830 7.098 353.60 611 83.0
Oklahoma................ 776,427 8 0.17 97,053 7.252 355.48 609 83.7
Oregon.................. 5,571,072 41 1.24 135,880 6.568 355.55 628 82.3
Pennsylvania............ 9,108,038 77 2.02 118,286 7.493 355.05 599 81.9
Rhode Island............ 2,957,570 13 0.66 227,505 6.267 355.65 642 83.0
South Carolina.......... 2,737,305 18 0.61 152,073 7.248 348.23 623 82.1
Tennessee............... 4,427,929 36 0.98 122,998 7.402 349.80 604 82.8
Texas................... 5,302,649 52 1.18 101,974 7.526 352.16 602 79.2
Utah.................... 1,587,865 11 0.35 144,351 6.425 355.21 646 82.5
Virginia................ 18,585,059 105 4.13 177,001 7.155 354.41 602 80.5
Washington.............. 10,874,123 66 2.42 164,759 6.350 355.26 636 80.3
West Virginia........... 357,337 5 0.08 71,467 7.677 356.14 563 75.9
Wisconsin............... 8,617,488 78 1.92 110,481 7.055 355.68 615 79.7
Wyoming................. 214,369 2 0.05 107,184 6.315 356.00 653 80.0
----------- ----- ------ -------- ------ ------- --- -----
Total................... $449,999,196 2,634 100.00% $170,843 6.926 354.21 616 80.0%
============ ===== ====== ======== ====== ======= === =====
-34-
CREDIT BUREAU RISK SCORES(1) FOR THE MORTGAGE LOANS*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
RANGE OF CREDIT BUREAU BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
RISK SCORES OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
801 - 820.............. $ 241,419 2 0.05% $ 120,710 5.877 353.35 807 81.7%
781 - 800.............. 2,768,340 13 0.62 212,949 6.238 348.42 788 79.9
761 - 780.............. 4,899,009 26 1.09 188,423 5.955 351.85 769 84.8
741 - 760.............. 10,405,534 52 2.31 200,106 5.856 354.23 750 85.2
721 - 740.............. 12,382,088 70 2.75 176,887 6.152 351.88 730 81.5
701 - 720.............. 19,245,567 102 4.28 188,682 5.965 354.30 710 80.8
681 - 700.............. 29,322,395 137 6.52 214,032 6.016 355.25 690 83.7
661 - 680.............. 31,306,123 174 6.96 179,920 6.246 353.69 670 81.8
641 - 660.............. 45,957,815 280 10.21 164,135 6.433 354.67 650 81.4
621 - 640.............. 52,351,376 299 11.63 175,088 6.508 355.13 630 82.2
601 - 620.............. 47,392,127 285 10.53 166,288 6.920 354.82 611 81.5
581 - 600.............. 50,246,292 308 11.17 163,137 7.275 353.81 590 80.6
561 - 580.............. 44,649,261 272 9.92 164,152 7.459 353.90 570 80.1
541 - 560.............. 34,346,119 215 7.63 159,749 7.579 354.02 550 77.0
521 - 540.............. 22,608,343 152 5.02 148,739 7.814 354.94 532 74.0
501 - 520.............. 40,598,691 240 9.02 169,161 8.268 353.30 510 72.0
<= 500................. 1,278,697 7 0.28 182,671 7.380 355.57 500 71.4
------------- ----- ------- --------- ------- ------- --- -----
Total.................. $ 449,999,196 2,634 100.00% $ 170,843 6.926 354.21 616 80.0%
============= ===== ======= ========= ======= ======= === =====
- ----------------------
(1) The Credit Bureau Risk Scores referenced in this table with respect to
substantially all of the Mortgage Loans were obtained by the respective
originators from one or more credit reporting agencies, and were determined at
the time of origination.
* The weighted average Credit Bureau Risk Score of the Mortgage Loans as of the
Cut-off Date was approximately 616.
GROSS MARGINS FOR THE ADJUSTABLE RATE MORTGAGE LOANS*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
RANGE OF GROSS MARGINS (%) OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
3.001 - 4.000................ $ 2,015,288 8 0.47% $ 251,911 5.645 354.08 668 69.0%
4.001 - 5.000................ 61,696,446 287 14.51 214,970 6.230 355.39 631 79.0
5.001 - 6.000................ 177,891,472 961 41.84 185,111 6.465 354.96 635 80.4
6.001 - 7.000................ 107,897,036 657 25.38 164,227 7.264 355.27 592 79.5
7.001 - 8.000................ 49,421,977 355 11.62 139,217 7.803 354.97 586 83.1
8.001 - 9.000................ 20,955,479 155 4.93 135,197 8.691 354.99 568 81.8
9.001 - 10.000............... 5,040,680 47 1.19 107,249 9.566 355.02 570 81.2
10.001 - 11.000.............. 283,107 3 0.07 94,369 10.702 354.19 571 82.9
---------- ----- ------- ---------- ------- -------- ---- -----
Total........................ $425,201,485 2,473 100.00% $ 171,938 6.934 355.10 614 80.3%
============ ===== ======= ========== ======= ======== ==== =====
- ------------
* The weighted average Gross Margin of the Adjustable Rate Mortgage Loans as of
the Cut-off Date was approximately 6.09%.
-35-
NEXT ADJUSTMENT DATE FOR THE ADJUSTABLE RATE MORTGAGE LOANS*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL E
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALU
NEXT ADJUSTMENT DATE OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
4-Jul................... $ 410,459 1 0.10% $ 410,459 5.028 349.00 720 80.0%
4-Aug................... 283,097 1 0.07 283,097 7.875 337.00 587 80.0
5-Apr................... 54,242 1 0.01 54,242 7.540 346.00 667 68.8
5-Jun................... 149,344 1 0.04 149,344 8.640 348.00 584 85.0
5-Aug................... 115,867 1 0.03 115,867 7.840 350.00 617 95.0
5-Sep................... 733,543 6 0.17 122,257 7.853 350.78 597 80.7
5-Oct................... 677,484 6 0.16 112,914 7.913 351.52 594 77.1
5-Nov................... 5,546,762 41 1.30 135,287 7.637 352.83 599 84.4
5-Dec................... 36,738,814 211 8.64 174,118 7.217 353.40 616 80.9
6-Jan................... 88,703,573 503 20.86 176,349 7.171 354.12 607 80.1
6-Feb................... 99,171,693 564 23.32 175,836 7.274 355.28 593 78.9
6-Mar................... 67,957,219 377 15.98 180,258 6.987 356.00 611 80.0
6-Apr................... 9,793,966 64 2.30 153,031 7.405 357.00 584 78.8
6-May................... 7,458,258 56 1.75 133,183 7.693 358.00 555 76.8
6-Aug................... 102,981 1 0.02 102,981 7.990 350.00 593 85.0
6-Sep................... 52,459 1 0.01 52,459 7.790 351.00 587 80.0
6-Oct................... 984,612 9 0.23 109,401 7.015 352.00 596 84.5
6-Nov................... 2,629,063 24 0.62 109,544 7.203 352.72 617 76.4
6-Dec................... 4,945,190 43 1.16 115,004 6.807 353.43 638 78.9
7-Jan................... 4,097,055 31 0.96 132,163 6.619 354.51 636 76.5
7-Feb................... 33,274,856 198 7.83 168,055 6.161 355.60 647 81.7
7-Mar................... 45,200,314 235 10.63 192,342 5.920 356.01 652 83.8
7-Apr................... 4,769,447 33 1.12 144,529 6.406 357.00 632 83.1
7-May................... 5,571,874 39 1.31 142,869 6.034 358.00 656 81.7
9-Jan................... 3,629,712 19 0.85 191,037 6.378 354.00 662 75.5
9-Feb................... 1,890,594 6 0.44 315,099 6.078 355.00 697 76.5
9-Mar................... 259,005 1 0.06 259,005 6.250 356.00 620 86.7
------------- ----- ------- --------- ------ -------- ---- ----
Total................... $ 425,201,485 2,473 100.00% $ 171,938 6.934 355.10 614 80.3%
============= ===== ======= ========= ====== ======== ==== ====
- --------------
* The weighted average number of months to next adjustment date for the
Adjustable Rate Mortgage Loans as of the Cut-off Date is 22 months.
-36-
MAXIMUM MORTGAGE RATES FOR THE ADJUSTABLE RATE MORTGAGE LOANS*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
RANGE OF MAXIMUM BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
MORTGAGE RATES (%) OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
10.001 - 10.500........ $ 1,874,560 10 0.44% $ 187,456 4.740 355.66 725 76.4%
10.501 - 11.000........ 13,659,681 60 3.21 227,661 4.955 355.75 688 83.1
11.001 - 11.500........ 28,317,017 145 6.66 195,290 5.433 355.53 674 81.3
11.501 - 12.000........ 61,668,356 325 14.50 189,749 5.892 355.33 663 80.8
12.001 - 12.500........ 51,719,332 294 12.16 175,916 6.359 355.37 639 79.9
12.501 - 13.000........ 72,659,096 414 17.09 175,505 6.772 354.85 623 81.4
13.001 - 13.500........ 47,729,057 279 11.23 171,072 7.096 354.88 591 79.9
13.501 - 14.000........ 55,251,750 346 12.99 159,687 7.480 354.80 590 81.0
14.001 - 14.500........ 29,597,352 182 6.96 162,623 7.979 355.05 573 80.5
14.501 - 15.000........ 28,802,796 175 6.77 164,587 8.230 354.81 558 78.3
15.001 - 15.500........ 14,667,618 107 3.45 137,081 8.711 355.13 550 78.8
15.501 - 16.000........ 11,490,318 80 2.70 143,629 9.059 355.15 535 76.6
16.001 - 16.500........ 3,393,523 28 0.80 121,197 9.411 355.38 523 75.6
16.501 - 17.000........ 2,502,039 16 0.59 156,377 9.971 355.80 515 77.0
17.001 - 17.500........ 1,064,039 6 0.25 177,340 10.359 356.16 510 59.6
17.501 - 18.000........ 590,893 4 0.14 147,723 10.911 356.47 507 66.6
18.001 - 18.500........ 174,686 1 0.04 174,686 11.050 355.00 509 70.0
18.501 - 19.000........ 39,372 1 0.01 39,372 11.890 356.00 504 73.0
------------- ----- ------- --------- ------- ------- ---- -----
Total/Weighted Average. $ 425,201,485 2,473 100.00% $ 171,938 6.934 355.10 614 80.3%
============= ===== ======= ========= ======= ======= ==== =====
- -----------------
* The weighted average Maximum Mortgage Rate for the Adjustable Rate Mortgage
Loans as of the Cut-off Date was approximately 13.11% per annum.
-37-
INITIAL PERIODIC RATE CAP FOR THE ADJUSTABLE RATE MORTGAGE LOANS*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
INITIAL PERIODIC PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
RATE CAP (%) OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
1.000................... $ 290,828 3 0.07% $ 96,943 8.753 355.49 579 68.0%
1.500................... 81,941,907 433 19.27 189,242 7.567 355.06 566 76.8
2.000................... 1,407,898 9 0.33 156,433 7.255 355.38 571 75.6
3.000................... 337,778,112 2,009 79.44 168,132 6.786 355.11 625 81.2
5.000................... 3,782,739 19 0.89 199,092 6.219 354.50 664 75.8
------------- ----- ------- -------- ------ -------- ---- -----
Total/Weighted Average.. $ 425,201,485 2,473 100.00% $171,938 6.934 355.10 614 80.3%
============= ===== ======= ======== ====== ======== ==== =====
- ----------------
* The weighted average Initial Periodic Rate Cap for the Adjustable Rate
Mortgage Loans as of the Cut-off Date was approximately 2.72%.
SUBSEQUENT PERIODIC RATE CAP FOR THE ADJUSTABLE RATE
MORTGAGE LOANS*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
SUBSEQUENT BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
PERIODIC RATE CAP (%) OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
1.000..................... $341,979,041 2,031 80.43% $ 168,380 6.779 355.12 626 81.2%
1.500..................... 83,222,443 442 19.57 188,286 7.575 355.04 565 76.7
----------- ----- ------- --------- ------ ------- ---- -----
Total/Weighted Average.... $425,201,485 2,473 100.00% $ 171,938 6.934 355.10 614 80.3%
============ ===== ======= ========= ====== ======= ==== =====
- ----------------
* The weighted average Subsequent Periodic Rate Cap for the Adjustable Rate
Mortgage Loans as of the Cut-off Date was approximately 1.10%.
-38-
MINIMUM MORTGAGE RATES FOR THE ADJUSTABLE RATE MORTGAGE LOANS*
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
RANGE OF PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
MINIMUM MORTGAGE RATES BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
% OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
3.001 - 4.000................ $ 1,534,000 6 0.36% $255,667 5.889 353.63 676 75.6%
4.001 - 5.000................ 21,636,309 92 5.09 235,177 5.354 355.83 666 80.6
5.001 - 6.000................ 92,642,869 476 21.79 194,628 5.806 355.43 663 81.5
6.001 - 7.000................ 144,566,015 817 34.00 176,947 6.625 354.97 624 79.8
7.001 - 8.000................ 99,068,477 615 23.30 161,087 7.575 354.87 582 80.6
8.001 - 9.000................ 48,826,166 328 11.48 148,860 8.504 355.02 558 79.9
9.001 - 10.000............... 14,339,764 119 3.37 120,502 9.415 355.11 547 79.2
More than 10.000............. 2,587,884 20 0.61 129,394 10.59 355.82 522 66.9
------------ ----- ------ -------- ----- ------- --- -----
Total/Weighted Average....... $425,201,485 2,473 100.00% $171,938 6.934 355.10 614 80.3%
============ ===== ====== ======== ====== ======= === =====
- ----------------
* The weighted average Minimum Mortgage Rate for the Adjustable Rate Mortgage
Loans as of the Cut-off Date was approximately 6.87% per annum.
TYPES OF MORTGAGED PROPERTIES FOR THE MORTGAGE LOANS
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL E
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALU
PROPERTY TYPE OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
SFR...................... $343,557,276 2,069 76.35% $166,050 6.950 354.16 612 80.0%
PUD...................... 45,168,692 218 10.04 207,196 6.707 354.57 622 81.5
CND...................... 22,765,392 140 5.06 162,610 6.807 354.89 634 80.1
2 FAM.................... 19,605,035 105 4.36 186,715 7.078 354.92 620 77.6
3 FAM.................... 8,189,682 39 1.82 209,992 6.796 352.39 641 74.5
4 FAM.................... 4,164,999 18 0.93 231,389 6.966 355.12 681 79.3
SFRA..................... 3,923,718 31 0.87 126,572 7.347 351.57 607 81.1
APUD..................... 1,575,329 10 0.35 157,533 7.441 348.08 568 77.3
CNDP..................... 909,882 3 0.20 303,294 6.663 354.68 648 84.0
MNF...................... 139,190 1 0.03 139,190 6.500 354.00 609 80.0
------------ ----- ------- -------- ------- ------- --- ----
Total.................... $449,999,196 2,634 100.00% $170,843 6.926 354.21 616 80.0%
============ ===== ======= ======== ======= ======= === ====
-39-
OCCUPANCY TYPES FOR THE MORTGAGE LOANS (1)
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
OCCUPANCY OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
Owner Occupied........... $ 425,218,651 2,463 94.49% $ 172,643 6.918 354.23 613 80.0%
Investment............... 22,789,442 161 5.06 141,549 7.126 353.70 654 78.4
Second Home.............. 1,991,103 10 0.44 199,110 6.401 354.48 689 84.6
------------- ----- ------- --------- ------ ------- --- -----
Total/Weighted Average... $ 449,999,196 2,634 100.00% $ 170,843 6.926 354.21 616 80.0%
============= ===== ======= ========= ====== ======= === =====
- -----------------------
(1) Based on representations by the Mortgagors at the time of origination of the
Mortgage Loans.
LOAN PURPOSES FOR THE MORTGAGE LOANS
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
LOAN PURPOSE OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
Refinance - Cash Out...... $ 291,899,019 1,661 64.87% $ 175,737 7.074 353.96 597 78.9%
Purchase.................. 123,076,766 719 27.35 171,178 6.559 354.93 659 82.7
Refinance - No Cash Out... 35,023,411 254 7.78 137,887 6.984 353.74 617 78.7
------------- ----- ------ --------- ------ ------- ---- -----
Total/Weighted Average.... $ 449,999,196 2,634 100.00% $ 170,843 6.926 354.21 616 80.0%
============= ===== ====== ========= ====== ======= ==== =====
CREDIT GRADE CATEGORIES FOR THE MORTGAGE LOANS
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
CREDIT GRADE CATEGORY OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
PR...................... $ 114,274,978 662 25.39% $172,621 6.786 354.42 621 81.4%
PP...................... 218,482,119 1,225 48.55 178,353 6.523 353.94 644 81.6
A....................... 3,762,815 26 0.84 144,724 6.961 351.01 634 80.1
A-...................... 16,218,374 88 3.60 184,300 7.498 354.68 570 78.9
B....................... 63,718,738 393 14.16 162,134 7.713 354.84 558 76.9
C....................... 23,179,297 168 5.15 137,972 8.175 353.62 539 72.4
C-...................... 8,448,521 60 1.88 140,809 8.361 355.16 545 68.6
D....................... 1,914,353 12 0.43 159,529 8.764 355.93 555 65.9
------------- ------ ------ -------- ------ ------- --- ----
Total/Weighted Average.. $ 449,999,196 2,634 100.00% $170,843 6.926 354.21 616 80.0%
============= ====== ====== ======== ====== ======= === ====
- -----------------------
(1) Although the Mortgage Loans were originated by various originators under
differing underwriting guidelines, the Mortgage Loans loosely correspond to the
Countrywide Home Loans credit grades shown in this table. SEE "--UNDERWRITING
GUIDELINES" IN THIS PROSPECTUS SUPPLEMENT.
-40-
ORIGINAL TERM FOR THE MORTGAGE LOANS
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
ORIGINAL TERM OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
ARM 360................. $425,201,485 2,473 94.49% $ 171,938 6.934 355.10 614 80.3%
Fixed 120............... 280,916 4 0.06 70,229 6.944 115.24 651 55.3
Fixed 180............... 1,449,458 15 0.32 96,631 7.162 175.18 607 67.8
Fixed 240............... 662,177 6 0.15 110,363 7.406 235.72 630 65.1
Fixed 360............... 22,405,160 136 4.98 164,744 6.737 355.33 646 75.1
------------- ------ ------- ---------- ------ ------ ---- -----
Total................... $449,999,196 2,634 100.00% $ 170,843 6.926 354.21 616 80.0%
============ ====== ======= ========== ====== ====== ==== =====
LOAN DOCUMENTATION TYPE FOR THE MORTGAGE LOANS
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
LOAN PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL UE
BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VAL
DOCUMENTATION TYPE OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
FULL.................... $ 258,464,264 1,641 57.44% $ 157,504 6.764 354.34 611 81.0%
STATED INCOME........... 187,964,816 974 41.77 192,982 7.153 354.01 622 78.6
NINA.................... 2,868,533 16 0.64 179,283 6.822 354.71 660 73.7
SIMPLE.................. 701,584 3 0.16 233,861 6.115 354.70 665 82.3
------------- ----- ------- --------- ----- ------- --- ------
Total/Weighted Average.. $ 449,999,196 2,634 100.00% $ 170,843 6.926 354.21 616 80.0%
============= ===== ======= ========= ===== ======= === ======
ORIGINAL PREPAYMENT PENALTY TERM FOR THE MORTGAGE LOANS
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
ORIGINAL PREPAYMENT BALANCE NUMBER BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
PENALTY TERM OUTSTANDING OF LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATIO
- ------------------------------------------------------------------------------------------------------------------------------------
0....................... $ 29,223,240 180 6.49% $ 162,351 7.702 354.06 592 78.5%
12...................... 29,455,963 141 6.55 208,908 7.072 355.28 613 79.7
24...................... 264,239,190 1,534 58.72 172,255 7.132 354.79 605 79.9
36...................... 119,838,001 736 26.63 162,823 6.274 353.37 644 80.6
48...................... 248,592 1 0.06 248,592 6.450 356.00 691 100.0
60...................... 6,994,210 42 1.55 166,529 6.475 342.45 653 78.7
------------- ------ ------- --------- ----- ------- ---- -----
Total................... $ 449,999,196 2,634 100.00% $ 170,843 6.926 354.21 616 80.0%
============= ====== ======= ========= ===== ======= ==== =====
-41-
RANGE OF MONTHS TO ROLL FOR THE ADJUSTABLE RATE MORTGAGE LOANS
WEIGHTED
PERCENT OF AVERAGE WEIGHTED
WEIGHTED AGGREGATE AGGREGATE WEIGHTED REMAINING WEIGHTED AVERAGE
AVERAGE PRINCIPAL NUMBER PRINCIPAL AVERAGE AVERAGE TERM TO AVERAGE ORIGINAL
RANGE OF MONTHS BALANCE OF BALANCE PRINCIPAL MORTGAGE MATURITY CREDIT LOAN-TO-VALUE
MONTHS TO ROLL TO ROLL OUTSTANDING LOANS OUTSTANDING BALANCE RATE (MONTHS) SCORE RATI0
- ----------------------------------------------------------------------------------------------------------------------------
0 - 6.................. 1 $ 693,555 2 0.16% $ 346,778 6.190 344.10 666 80
7 - 12................. 11 203,587 2 0.05 101,793 8.347 347.47 606 80
13 - 18................ 18 122,042,171 690 28.70 176,873 7.118 353.73 612 80
19 - 24................ 20 195,196,801 1,140 45.91 171,225 7.249 355.71 597 79
25 - 31................ 30 25,856,600 181 6.08 142,854 6.480 354.27 643 79
32 - 37................ 32 75,429,460 432 17.74 174,605 6.033 356.21 648 83
>= 38.................. 54 5,779,311 26 1.36 222,281 6.274 354.42 672 76
----- ------------- ------ ------- --------- ------ ------- ---- ---
Total.................. $ 425,201,485 2,473 100.00% $ 171,938 6.934 355.10 614 80
============= ====== ======= ========= ====== ======= ==== ===
- 42 -
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
- ---------------------------------------------------------------------------
(a) Not applicable.
(b) Not applicable.
-43-
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the Registrant has duly caused this report to be signed on behalf of the
Registrant by the undersigned thereunto duly authorized.
CWABS, INC.
By: /s/ Ruben Avilez
-------------------------------
Name: Ruben Avilez
Title: Vice President
Dated: August 16, 2004