Exhibit 99.1
THE MORTGAGE POOL
GENERAL
References to percentages of the mortgage loans unless otherwise
noted are calculated based on the aggregate principal balance of the initial
mortgage loans as of the Cut-off Date.
The mortgage pool consists of two groups of mortgage loans,
referred to in the prospectus supplement as "Loan Group 1" and "Loan Group 2"
(and each, a "Loan Group"), and also designated as the "Group 1 Loans" and the
"Group 2 Loans", respectively. The Group 1 Loans are one- to four-family,
adjustable-rate, fully-amortizing residential mortgage loans with conforming and
non-conforming loan balances secured by first liens on mortgaged properties. The
Group 2 Loans are one- to four-family, adjustable-rate, fully-amortizing
residential mortgage loans with conforming loan balances secured by first liens
on mortgaged properties. The mortgage loans will have original terms to maturity
of not greater than 30 years.
The mortgage pool includes the initial mortgage loans and the
subsequent mortgage loans in Loan Group 1 and Loan Group 2 (each, a "Group 1
subsequent mortgage loan" or "Group 2 subsequent mortgage loan", as applicable).
The initial mortgage loans are the mortgage loans that were deposited into the
trust on the Closing Date. The Group 1 subsequent mortgage loans and Group 2
subsequent mortgage loans will be purchased with amounts on deposit in the
related pre-funding account described in the prospectus supplement.
The Seller conveyed the initial mortgage loans to the company on
the Closing Date pursuant to the Mortgage Loan Purchase Agreement and the
company conveyed the initial mortgage loans to the trust on the Closing Date
pursuant to the Agreement. The company will convey the Group 1 subsequent
mortgage loans and Group 2 subsequent mortgage loans to the trust during the
Funding Period. The Group 1 subsequent mortgage loans will be acquired with
amounts on deposit in the Group 1 Pre-Funding Account pursuant to the Group 1
Subsequent Transfer Instrument. The Group 2 subsequent mortgage loans will be
acquired with amounts on deposit in the Group 2 Pre-Funding Account pursuant to
the Group 2 Subsequent Transfer Instrument. The Seller made certain
representations and warranties with respect to the initial mortgage loans in the
Mortgage Loan Purchase Agreement and will make certain representations and
warranties with respect to the Group 1 subsequent mortgage loans and Group 2
subsequent mortgage loans in the Group 1 subsequent mortgage loan purchase
agreement and Group 2 subsequent mortgage loan purchase agreement. These
representations and warranties will be assigned by the company to the Trustee
for the benefit of the Certificateholders and the Certificate Insurer.
All of the mortgage loans have scheduled monthly payments due on
the Due Date. Each mortgage loan will contain a customary "due-on-sale" clause.
MORTGAGE RATE ADJUSTMENT
The mortgage rate on the mortgage loans will generally adjust
semi-annually commencing after an initial period after origination of generally
one month, three months, six months, one year, two years, three years, five
years, seven years or ten years, in each case on each applicable adjustment date
to a rate equal to
99-1
the sum, generally rounded to the nearest one-eighth of one percentage point
(12.5 basis points), of (i) the related index and (ii) the gross margin. In
addition, the mortgage rate on each mortgage loan is subject on its first
adjustment date following its origination to an initial rate cap and on each
adjustment date thereafter to a periodic rate cap. All of the mortgage loans are
also subject to maximum and minimum lifetime mortgage rates. The mortgage loans
were generally originated with an initial mortgage rate below the sum of the
index at origination and the gross margin. Due to the application of the initial
rate caps, periodic rate caps, maximum mortgage rates and minimum mortgage
rates, the mortgage rate on any mortgage loan, as adjusted on any related
adjustment date, may not equal the sum of the index and the gross margin.
The mortgage rate on substantially all of the initial mortgage
loans in Loan Group 1 and Loan Group 2 adjusts based on an index equal to
Six-Month LIBOR. In the event that the related index is no longer available, an
index that is based on comparable information will be selected by the Master
Servicer, to the extent that it is permissible under the terms of the related
mortgage and mortgage note.
Substantially all of the initial mortgage loans will not have
reached their first adjustment date as of the Closing Date. The initial mortgage
rate is generally lower than the rate that would have been produced if the
applicable gross margin had been added to the index in effect at origination.
Mortgage loans that have not reached their first adjustment date are subject to
the initial rate cap on their first adjustment date, and periodic rate caps
thereafter.
99-2
INDICES ON THE MORTGAGE LOANS
The index applicable to the determination of the mortgage rate on
approximately 97.26% and 99.00% (in each case, by aggregate outstanding
principal balance of the related initial mortgage loans as of the Cut- off Date)
of the initial Group 1 Loans and initial Group 2 Loans, respectively, is the
average of the interbank offered rates for six-month United States dollar
deposits in the London market as published by Fannie Mae or THE WALL STREET
JOURNAL and, in most cases, as most recently available as of the first business
day of the month preceding such adjustment date, or Six-Month LIBOR.
The table below sets forth historical average rates of Six-Month
LIBOR for the months indicated as made available from Fannie Mae. The rates are
determined from information that is available as of 11:00 a.m. (London time) on
the second to last business day of each month. Such average rates may fluctuate
significantly from month to month as well as over longer periods and may not
increase or decrease in a constant pattern from period to period. There can be
no assurance that levels of Six-Month LIBOR published by Fannie Mae, or
published on a different reference date would have been at the same levels as
those set forth below. The following does not purport to be representative of
future levels of Six-Month LIBOR (as published by Fannie Mae). No assurance can
be given as to the level of Six-Month LIBOR on any adjustment date or during the
life of any mortgage loan based on Six-Month LIBOR.
SIX-MONTH LIBOR
MONTH 1997 1998 1999 2000 2001 2002 2003 2004
- ----- ---- ---- ---- ---- ---- ---- ---- ----
January 5.71% 5.75% 5.04% 6.23% 5.36% 1.99% 1.35% 1.21%
February 5.68 5.78 5.17 6.32 4.96 2.06 1.34 1.10
March 5.96 5.80 5.08 6.53 4.71 2.33 1.26 1.09
April 6.08 5.87 5.08 6.61 4.23 2.10 1.29 1.10
May 6.01 5.81 5.19 7.06 3.91 2.09 1.22 1.11
June 5.94 5.87 5.62 7.01 3.83 1.95 1.12 1.36
July 5.83 5.82 5.65 6.88 3.70 1.86 1.15 1.99
August 5.86 5.69 5.90 6.83 3.48 1.82 1.21
September 5.85 5.36 5.96 6.76 2.53 1.75 1.18
October 5.81 5.13 6.13 6.72 2.17 1.62 1.22
November 6.04 5.28 6.04 6.68 2.10 1.47 1.25
December 6.01 5.17 6.13 6.20 1.98 1.38 1.22
The index applicable to the determination of the mortgage rate on
approximately 1.89% and 0.79% (in each case, by aggregate outstanding principal
balance of the related initial mortgage loans as of the Cut- off Date) of the
initial mortgage loans in Loan Group 1 and the initial mortgage loans in Loan
Group 2, respectively, is the average of the interbank offered rates for
one-year United States dollar deposits in the London market as published by
Fannie Mae or THE WALL STREET JOURNAL and, in most cases, as most recently
available as of the first business day of the month preceding such adjustment
date, or One-Year LIBOR.
The index applicable to the determination of the mortgage rate on
approximately 0.69% and 0.12% (in each case, by aggregate outstanding principal
balance of the related initial mortgage loans as of the Cut- off Date) of the
initial mortgage loans in Loan Group 1 and the initial mortgage loans in Loan
Group 2, respectively, will be based on One-Month LIBOR. One-Month LIBOR will be
a per annum rate equal to the average of interbank offered rates for one-month
U.S. dollar-denominated deposits in the London market
99-3
based on quotations of major banks as published in The Wall Street Journal and
are most recently available as of the time specified in the related mortgage
note.
The index applicable to the determination of the mortgage rate on
approximately 0.15% and 0.08% (in each case, by aggregate outstanding principal
balance of the related initial mortgage loans as of the Cut- off Date) of the
initial mortgage loans in Loan Group 1 and the initial mortgage loans in Loan
Group 2, respectively, will be based on Three-Month LIBOR. Three-Month LIBOR
will be a per annum rate equal to the average of interbank offered rates for
three-month U.S. dollar-denominated deposits in the London market based on
quotations of major banks as published in The Wall Street Journal and are most
recently available as of the time specified in the related mortgage note.
PREPAYMENT CHARGES
Approximately 71.52% of the initial mortgage loans in Loan Group
1 and 72.59% of the initial mortgage loans in Loan Group 2, provide for payment
by the mortgagor of a prepayment charge in limited circumstances on prepayments.
Generally, these mortgage loans provide for payment of a prepayment charge on
partial or full prepayments made within six months, one year, five years or
other period as provided in the related mortgage note from the date of
origination of the mortgage loan. The amount of the prepayment charge is as
provided in the related mortgage note, and the prepayment charge will generally
apply if, in any twelve-month period during the first year, five years or other
period as provided in the related mortgage note from the date of origination of
the mortgage loan, the mortgagor prepays an aggregate amount exceeding 20% of
the original principal balance of the mortgage loan. The amount of the
prepayment charge will generally be equal to 6 months' advance interest
calculated on the basis of the mortgage rate in effect at the time of the
prepayment on the amount prepaid in excess of 20% of the original principal
balance of the mortgage loan. The holders of the Class P Certificates will be
entitled to all prepayment charges received on the mortgage loans, and these
amounts will not be available for distribution on the other classes of
certificates. The Master Servicer may waive the collection of any otherwise
applicable prepayment charge or reduce the amount thereof actually collected,
but only if the Master Servicer does so in compliance with the prepayment charge
waiver standards set forth in the Agreement. If the Master Servicer waives any
prepayment charge other than in accordance with the standards set forth in the
Agreement, the Master Servicer will be required to pay the amount of the waived
prepayment charge. There can be no assurance that the prepayment charges will
have any effect on the prepayment performance of the mortgage loans.
PRIMARY MORTGAGE INSURANCE AND THE RADIAN LENDER-PAID PMI POLICY
Substantially all mortgage loans with a loan-to-value ratio at
origination in excess of 80.00% will be insured by one of the following: (1) a
Primary Insurance Policy issued by a private mortgage insurer (other than a
Radian Lender-Paid PMI Policy) or (2) a Radian Lender-Paid PMI Policy.
Each Primary Insurance Policy will insure against default under
each insured mortgage note as follows: (A) for which the outstanding principal
balance at origination of such mortgage loan is greater than or equal to 80.01%
and up to and including 90.00% of the lesser of the Appraised Value and the
sales price, such mortgage loan is covered by a Primary Insurance Policy in an
amount equal to at least 12.00% of the Allowable Claim and (B) for which the
outstanding principal balance at origination of such mortgage loan exceeded
90.01% of the lesser of the Appraised Value and the sales price, such mortgage
loan is covered by a Primary Insurance Policy in an amount equal to at least
30.00% of the Allowable Claim.
99-4
Each Radian Lender-Paid PMI Policy will insure against default
under each insured mortgage note as follows: (A) for which the outstanding
principal balance at origination of such mortgage loan is greater than or equal
to 80.01% and up to and including 95.00% of the lesser of the Appraised Value
and the sales price, such mortgage loan is covered by a Radian Lender-Paid PMI
Policy in an amount equal to at least 22.00% of the Allowable Claim and (B) for
which the outstanding principal balance at origination of such mortgage loan is
at least 95.01% and up to and including 97.00% of the lesser of the Appraised
Value and the sales price, such mortgage loan is covered by such Radian
Lender-Paid PMI Policy in an amount equal to at least 35.00% of the Allowable
Claim.
With respect to the Radian Lender-Paid PMI Policies, the premium
will be payable by the Master Servicer out of interest collections on the
mortgage loans at a rate equal to the related Radian PMI Rate. The Radian PMI
Rates for the initial mortgage loans range from 0.270% to 2.810% of the Stated
Principal Balance of the related Radian PMI Insured Loan and the Radian PMI
Rates for the initial mortgage loans have a weighted average of approximately
1.203%.
To the extent of a default by Radian under the Radian Lender-Paid
PMI Policy, the Master Servicer will use its best efforts to find a replacement
policy with substantially similar terms, with the approval of the Certificate
Insurer.
Each mortgage loan is required to be covered by a standard hazard
insurance policy.
SEE "PRIMARY MORTGAGE INSURANCE, HAZARD INSURANCE; CLAIMS
THEREUNDER--HAZARD INSURANCE POLICIES" IN THE PROSPECTUS.
SAMPLE MORTGAGE LOAN CHARACTERISTICS
The statistical information included in this exhibit with respect
to the mortgage loans is based on a pool of 7,622 initial mortgage loans, 70.96%
of which are in Loan Group 1 and 29.04% of which are in Loan Group 2. References
to percentages of the initial mortgage loans unless otherwise noted are
calculated based on the aggregate principal balance of the initial mortgage
loans as of the Cut-off Date.
LOAN GROUP 1
The initial Group 1 Loans had an aggregate principal balance as
of the Cut-off Date of approximately $1,355,338,924, after application of
scheduled payments due on or before the Cut-off Date, whether or not received.
All of the initial Group 1 Loans are secured by first liens on the related
mortgaged property.
The average principal balance of the initial Group 1 Loans at
origination was approximately $267,726. No initial Group 1 Loan had a principal
balance at origination of greater than approximately $1,260,000 or less than
approximately $22,050. The average principal balance of the initial Group 1
Loans as of the Cut-off Date was approximately $267,431. No initial Group 1 Loan
had a principal balance as of the Cut-off Date of greater than approximately
$1,260,000 or less than approximately $21,984.
As of the Cut-off Date, the initial Group 1 Loans had mortgage
rates ranging from approximately 2.750% per annum to approximately10.000% per
annum and the weighted average mortgage rate was approximately 5.581% per annum.
The weighted average remaining term to stated maturity of the initial Group 1
Loans was approximately 359 months as of the Cut-off Date. None of the initial
Group 1 Loans will
99-5
have a first Due Date prior to September 1, 2003, or after October 1, 2004, or
will have a remaining term to maturity of less than 348 months or greater than
360 months as of the Cut-off Date. The latest maturity date of any initial Group
1 Loan is September 1, 2034.
Approximately 0.04%, 3.96%, 0.72%, 49.16%, 0.14% and 4.44% of the
initial Group 1 Loans have initial interest only periods of six months, two,
three, five, seven and ten years, respectively.
The loan-to-value ratio of a mortgage loan secured by a first
lien is equal to the ratio, expressed as a percentage, of the principal amount
of the loan at origination, to the lesser of the appraised value of the related
mortgaged property at the time of origination and the sales price. The weighted
average of the loan-to- value ratios at origination of the initial Group 1 Loans
was approximately 79.98%. No loan-to-value ratio at origination of any initial
Group 1 Loan was greater than approximately 100.00% or less than approximately
12.90%.
None of the initial Group 1 Loans are buydown mortgage loans.
None of the Group 1 Loans will be subject to the Home Ownership
and Equity Protection Act of 1994 or any comparable state law.
Substantially all of the initial Group 1 Loans will not have
reached their first adjustment date as of the Closing Date.
Approximately 71.52% of the initial Group 1 Loans provide for
prepayment charges.
Approximately 19.07% and 12.37% of the initial Group 1 Loans are
covered by a Primary Insurance Policy and the Radian Lender-Paid PMI Policy,
respectively. For the initial Group 1 Loans, the weighted average of the Radian
PMI Rates for the mortgage loans covered by the Radian Lender-Paid PMI Policy is
approximately 1.225% per annum.
With respect to substantially all of the Group 1 Loans, the
Minimum Mortgage Rate is equal to the Gross Margin.
Set forth below is a description of certain additional
characteristics of the initial Group 1 Loans as of the Cut-off Date, except as
otherwise indicated. All percentages of the initial Group 1 Loans are
approximate percentages by aggregate principal balance as of the Cut-off Date,
except as otherwise indicated. Dollar amounts and percentages may not add up to
totals due to rounding.
99-6
MORTGAGE LOAN PROGRAMS(1)
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
LOAN PROGRAMS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- --------------------- -------------------- ----------- ---------- -------------- ---------- ----------- ---------- -----------
30Y LIB 1M .......... $ 399,000 1 0.03% $399,000 3.125 360.00% 747 70.00%
30Y LIB 1M-IO ....... 8,899,350 22 0.66 404,516 4.362 359.59 715 73.13
30Y LIB 3M-IO ....... 2,092,200 5 0.15 418,440 4.386 359.81 677 77.16
30Y LIB 6M .......... 17,258,739 69 1.27 250,127 6.178 359.37 676 80.51
30Y LIB 6M-IO ....... 146,934,504 438 10.84 335,467 5.209 359.56 703 77.35
30Y LIB 12M ......... 1,222,161 4 0.09 305,540 5.252 359.91 674 75.51
30Y LIB 12M-IO ...... 5,270,550 16 0.39 329,409 5.853 359.95 712 80.59
1/29 LIB 6M ......... 951,393 3 0.07 317,131 4.685 359.61 736 81.72
2/28 LIB 6M ......... 311,141,683 1,359 22.96 228,949 5.552 357.79 684 85.35
2/28 LIB 6M-IO ...... 403,132,818 1,214 29.74 332,070 5.834 359.33 691 80.03
3/27 LIB 6M ......... 212,893,848 1,099 15.71 193,716 5.331 358.08 681 80.85
3/27 LIB 6M-IO ...... 144,634,947 531 10.67 272,382 5.568 359.36 697 75.74
3/1 LIB 12M ......... 744,687 3 0.05 248,229 5.689 359.23 695 69.02
3/1 LIB 12M-IO ...... 4,672,325 7 0.34 667,475 5.321 357.84 712 72.63
5/25 LIB 6M ......... 12,500,322 52 0.92 240,391 6.097 359.40 693 72.05
5/25 LIB 6M-IO ...... 60,546,618 204 4.47 296,797 5.767 359.44 718 72.02
5/1 LIB 12M ......... 1,142,627 2 0.08 571,314 5.881 359.39 737 73.87
5/1 LIB 12M-IO ...... 7,292,300 10 0.54 729,230 6.181 358.38 728 74.01
7/23 LIB 6M ......... 147,293 1 0.01 147,293 6.000 360.00 737 80.00
7/23 LIB 6M-IO ...... 3,896,400 8 0.29 487,050 5.636 355.84 714 71.35
7/1 LIB 12M ......... 739,351 2 0.05 369,676 5.433 358.00 716 70.27
7/1 LIB 12M-IO ...... 1,774,550 5 0.13 354,910 5.319 358.00 685 67.86
10/20 LIB 6M ........ 2,889,835 5 0.21 577,967 5.323 358.04 780 71.29
10/20 LIB 6M-IO ..... 1,340,000 2 0.10 670,000 5.545 358.00 707 66.57
10/1 LIB 12M ........ 1,058,822 2 0.08 529,411 5.508 358.00 726 60.40
10/1 LIB 12M-IO ..... 1,762,600 4 0.13 440,650 5.529 358.00 684 74.72
-------------- ----- ------ -------- ----- ------ --- -----
Total ... $1,355,338,924 5,068 100.00% $267,431 5.581 358.79% 692 79.98%
============== ===== ======
____________
(1) A mortgage loan with a loan program including the term "30Y LIBOR 1MO" has a
term of 30 years and the mortgage rate adjusts monthly based on the value of
One-Month LIBOR. A mortgage loan with a loan program including the term "30Y
LIBOR 3MO" has a term of 30 years and the mortgage rate adjusts quarterly based
on the value of Three-Month LIBOR. A mortgage loan with a loan program including
the term "30Y LIBOR 6MO" has a term of 30 years and the mortgage rate adjusts
semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan
program including the term "30Y LIBOR 12MO" has a term of 30 years and the
mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage
loan with a loan program including the term "1/29 LIBOR 6MO" has a term of 30
years, the first one of which consist of a fixed rate period, and thereafter the
mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A
mortgage loan with a loan program including the term "2/28 LIBOR 6MO" has a term
of 30 years, the first two of which consist of a fixed rate period, and
thereafter the mortgage rate adjusts semi-annually based on the value of
Six-Month LIBOR. A mortgage loan with a loan program including the term "3/27
LIBOR 6MO" has a term of 30 years, the first three of which consist of a fixed
rate period, and thereafter the mortgage rate adjusts semi- annually based on
the value of Six-Month LIBOR. A mortgage loan with a loan program including the
term "3/1 LIBOR 12MO" has a term of 30 years, the first three of which consist
of a fixed rate period, and thereafter the mortgage rate adjusts annually based
on the value of One-Year LIBOR. A mortgage loan with a loan program including
the term "5/25 LIBOR 6MO" has a term of 30 years, the first five of which
consist of a fixed rate period, and thereafter the mortgage rate adjusts
semi-annually based on the value of Six- Month LIBOR. A mortgage loan with a
loan program including the term "5/1 LIBOR 12MO" has a term of 30 years, the
first five of which consist of a fixed rate period, and thereafter the mortgage
rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with
a loan program including the term "7/1 LIBOR 12MO" has a term of 30 years, the
first seven of which consist of a fixed rate period, and thereafter the mortgage
rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with
a loan program including the term "10/1 LIBOR 12MO" has a term of 30 years, the
first ten of which consist of a fixed rate period, and thereafter the mortgage
rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with
a loan program including the term "7/23 LIBOR 6MO" has a term of 30 years, the
first seven of which consist of a fixed rate period, and thereafter the mortgage
rate adjusts semi-annually based on the value of Six-Month LIBOR . A mortgage
loan with a loan program including the term "10/20 LIBOR 6MO" has a term of 30
years, the first ten of which consist of a fixed rate period, and thereafter
99-7
the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR.
Any mortgage loan with a loan program including the term "IO" has an interest
only period.
PRINCIPAL BALANCES AS OF ORIGINATION
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
RANGE OF MORTGAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
LOAN PRINCIPAL BALANCES CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ------------------------ -------------------- ----------- ---------- -------------- ---------- ----------- ---------- ----------
0.01 - 50,000.00 .. $ 1,537,260 38 0.11% $ 40,454 5.876 357.29% 712 84.19%
50,000.01 - 100,000.00 .. 57,119,636 684 4.21 83,508 5.843 358.50 684 80.46
100,000.01 - 150,000.00 .. 118,970,333 985 8.78 120,782 5.735 358.63 687 81.63
150,000.01 - 200,000.00 .. 94,002,515 539 6.94 174,402 5.728 358.67 687 81.42
200,000.01 - 250,000.00 .. 103,061,138 460 7.60 224,046 5.635 358.72 690 81.00
250,000.01 - 300,000.00 .. 99,807,372 365 7.36 273,445 5.645 358.84 697 80.48
300,000.01 - 350,000.00 .. 143,269,105 436 10.57 328,599 5.589 358.95 694 80.48
350,000.01 - 400,000.00 .. 202,287,291 540 14.93 374,606 5.525 358.85 693 80.84
400,000.01 - 450,000.00 .. 137,100,898 323 10.12 424,461 5.493 358.91 700 80.64
450,000.01 - 500,000.00 .. 119,100,360 250 8.79 476,401 5.659 358.84 693 79.91
500,000.01 - 550,000.00 .. 67,669,822 129 4.99 524,572 5.483 358.78 686 80.17
550,000.01 - 600,000.00 .. 61,716,692 107 4.55 576,792 5.494 358.85 685 79.48
600,000.01 - 650,000.00 .. 70,363,395 111 5.19 633,904 5.373 358.66 683 77.76
650,000.01 - 700,000.00 .. 13,629,775 20 1.01 681,489 5.289 359.35 696 72.43
700,000.01 - 750,000.00 .. 33,809,943 46 2.49 734,999 5.326 358.97 684 74.01
750,000.01 - 800,000.00 .. 9,378,318 12 0.69 781,526 5.289 359.10 697 71.82
800,000.01 - 850,000.00 .. 1,654,972 2 0.12 827,486 4.693 356.51 682 70.00
850,000.01 - 900,000.00 .. 2,616,200 3 0.19 872,067 5.463 357.02 694 70.81
900,000.01 - 950,000.00 .. 1,858,629 2 0.14 929,315 4.133 358.49 733 71.57
950,000.01 - 1,000,000.00 .. 13,887,770 14 1.02 991,984 5.696 358.14 717 64.50
1,200,000.01-1,250,000.00 .. 1,237,500 1 0.09 1,237,500 3.875 359.00 784 75.00
1,250,000.01-1,300,000.00 .. 1,260,000 1 0.09 1,260,000 5.625 359.00 715 70.00
-------------- ----- ------ ----------- ----- ------ --- -----
Total ......... $1,355,338,924 5,068 100.00% $ 267,431 5.581 358.79% 692 79.98%
============== ===== ======
As of origination, the average principal balance of the initial Group 1
Loans will be approximately $267,726.
99-8
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
RANGE OF MORTGAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
LOAN PRINCIPAL BALANCES CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ----------------------- ------------------- --------- --------- ------------ ---------- ---------- -------- ----------
0.01 - 50,000.00 .... $ 1,537,260 38 0.11% $ 40,454 5.876 357.29% 712 84.19%
50,000.01 - 100,000.00 .... 57,314,566 686 4.23 83,549 5.836 358.49 684 80.43
100,000.01 - 150,000.00 .... 119,224,575 986 8.80 120,917 5.734 358.63 687 81.67
150,000.01 - 200,000.00 .... 93,752,845 537 6.92 174,586 5.731 358.67 687 81.41
200,000.01 - 250,000.00 .... 103,861,100 463 7.66 224,322 5.637 358.71 690 81.05
250,000.01 - 300,000.00 .... 98,807,907 361 7.29 273,706 5.643 358.86 696 80.40
300,000.01 - 350,000.00 .... 144,667,138 440 10.67 328,789 5.583 358.93 694 80.56
350,000.01 - 400,000.00 .... 201,688,057 538 14.88 374,885 5.527 358.86 693 80.79
400,000.01 - 450,000.00 .... 136,751,112 322 10.09 424,693 5.492 358.91 701 80.63
450,000.01 - 500,000.00 .... 118,651,348 249 8.75 476,511 5.663 358.85 693 79.91
500,000.01 - 550,000.00 .... 68,218,069 130 5.03 524,754 5.482 358.74 686 80.17
550,000.01 - 600,000.00 .... 61,168,445 106 4.51 577,061 5.495 358.90 685 79.47
600,000.01 - 650,000.00 .... 70,363,395 111 5.19 633,904 5.373 358.66 683 77.76
650,000.01 - 700,000.00 .... 13,629,775 20 1.01 681,489 5.289 359.35 696 72.43
700,000.01 - 750,000.00 .... 34,559,631 47 2.55 735,311 5.346 358.97 684 74.14
750,000.01 - 800,000.00 .... 8,628,630 11 0.64 784,421 5.205 359.10 698 71.11
800,000.01 - 850,000.00 .... 1,654,972 2 0.12 827,486 4.693 356.51 682 70.00
850,000.01 - 900,000.00 .... 2,616,200 3 0.19 872,067 5.463 357.02 694 70.81
900,000.01 - 950,000.00 .... 1,858,629 2 0.14 929,315 4.133 358.49 733 71.57
950,000.01 - 1,000,000.00 .... 13,887,770 14 1.02 991,984 5.696 358.14 717 64.50
1,200,000.01-1,250,000.00 .... 1,237,500 1 0.09 1,237,500 3.875 359.00 784 75.00
1,250,000.01-1,300,000.00 .... 1,260,000 1 0.09 1,260,000 5.625 359.00 715 70.00
-------------- ----- ------ ----------- ----- ------ --- -----
Total ........... $1,355,338,924 5,068 100.00% $ 267,431 5.581 358.79% 692 79.98%
============== ===== ======
As of the Cut-off Date, the average current principal balance of the
initial Group 1 Loans will be approximately $267,431.
99-9
MORTGAGE RATES
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
RANGE OF NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
MORTGAGE RATES (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ----------------------- ------------------- --------- --------- ------------ ---------- ---------- ------ --------
2.500 - 2.999 .......... $ 2,215,228 5 0.16% $ 443,046 2.854% 359.18% 739 71.53%
3.000 - 3.499 .......... 6,326,751 16 0.47 395,422 3.277 358.87 726 67.98
3.500 - 3.999 .......... 36,768,671 119 2.71 308,980 3.782 358.19 720 72.68
4.000 - 4.499 .......... 87,926,010 281 6.49 312,904 4.237 358.54 709 73.90
4.500 - 4.999 .......... 245,178,654 822 18.09 298,271 4.720 358.42 701 77.40
5.000 - 5.499 .......... 233,598,130 884 17.24 264,251 5.217 358.66 699 78.73
5.500 - 5.999 .......... 349,989,629 1,407 25.82 248,749 5.717 358.94 686 80.70
6.000 - 6.499 .......... 175,680,293 658 12.96 266,991 6.206 358.99 684 81.50
6.500 - 6.999 .......... 119,443,526 433 8.81 275,851 6.704 359.12 679 84.72
7.000 - 7.499 .......... 41,585,320 171 3.07 243,189 7.196 359.02 681 86.56
7.500 - 7.999 .......... 31,976,114 155 2.36 206,298 7.691 359.31 672 87.61
8.000 - 8.499 .......... 11,504,212 57 0.85 201,828 8.182 359.16 663 88.63
8.500 - 8.999 .......... 7,947,468 40 0.59 198,687 8.700 359.23 664 88.77
9.000 - 9.499 .......... 3,361,108 13 0.25 258,547 9.190 359.41 661 89.55
9.500 - 9.999 .......... 1,343,361 6 0.10 223,893 9.653 359.24 686 91.75
10.000 - 10.499 .......... 494,450 1 0.04 494,450 10.000 360.00 620 95.00
-------------- ----- ------ --------- ----- ------ --- -----
Total ........... $1,355,338,924 5,068 100.00% $ 267,431 5.581% 358.79% 692 79.98%
============== ===== ======
____________
As of the Cut-off Date, the weighted average mortgage rate of the
initial Group 1 Loans will be approximately 5.581% per annum.
99-10
NEXT ADJUSTMENT DATE
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
NEXT ADJUSTMENT DATE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ----------------------- ------------------- --------- --------- ------------ ---------- ---------- ------ --------
September 1, 2004 ....... $ 2,935,050 7 0.22% $ 419,293 4.496 358.43% 717 78.27%
October 1, 2004 ......... 2,366,500 6 0.17 394,417 3.486 359.15 720 74.34
November 1, 2004 ........ 3,420,011 12 0.25 285,001 4.815 359.47 702 75.78
December 1, 2004 ........ 7,529,972 27 0.56 278,888 5.486 359.01 683 80.97
January 1, 2005 ......... 63,076,254 187 4.65 337,306 5.253 359.00 702 79.35
February 1, 2005 ........ 75,979,976 225 5.61 337,689 5.227 360.00 703 75.69
March 1, 2005 ........... 20,175,900 70 1.49 288,227 5.594 360.00 691 77.02
July 1, 2005 ............ 739,136 4 0.05 184,784 5.890 359.00 670 75.11
August 1, 2005 .......... 3,479,618 9 0.26 386,624 5.355 360.00 713 79.92
September 1, 2005 ....... 3,225,350 10 0.24 322,535 5.810 360.00 713 80.98
December 1, 2005 ........ 276,843 1 0.02 276,843 6.250 352.00 702 90.00
January 1, 2006 ......... 386,437 1 0.03 386,437 6.375 353.00 668 94.88
February 1, 2006 ........ 721,218 4 0.05 180,304 5.824 354.00 666 88.16
March 1, 2006 ........... 924,840 4 0.07 231,210 5.759 355.00 633 74.92
April 1, 2006 ........... 35,273,212 131 2.60 269,261 4.981 356.00 682 85.99
May 1, 2006 ............. 112,239,457 465 8.28 241,375 5.083 357.01 687 86.61
June 1, 2006 ............ 124,608,213 495 9.19 251,734 5.749 358.01 678 86.80
July 1, 2006 ............ 221,591,767 742 16.35 298,641 6.134 359.00 684 81.86
August 1, 2006 .......... 178,155,999 597 13.14 298,419 5.739 360.00 699 77.81
September 1, 2006 ....... 40,196,645 134 2.97 299,975 5.522 360.00 700 76.14
October 1, 2006 ......... 220,220 1 0.02 220,220 7.250 350.00 633 100.00
February 1, 2007 ........ 1,170,553 4 0.09 292,638 5.452 354.00 667 85.32
March 1, 2007 ........... 574,732 2 0.04 287,366 5.348 355.00 641 71.98
April 1, 2007 ........... 17,609,195 75 1.30 234,789 4.739 356.02 687 78.69
May 1, 2007 ............. 66,191,971 288 4.88 229,833 4.901 357.08 689 82.27
June 1, 2007 ............ 83,459,073 433 6.16 192,746 5.413 358.22 682 81.15
July 1, 2007 ............ 94,399,650 496 6.97 190,322 5.663 359.07 678 78.15
August 1, 2007 .......... 83,076,614 283 6.13 293,557 5.691 360.00 704 74.53
September 1, 2007 ....... 16,243,800 58 1.20 280,066 5.626 360.00 696 75.29
April 1, 2009 ........... 136,277 1 0.01 136,277 5.500 356.00 743 80.00
May 1, 2009 ............. 2,066,500 4 0.15 516,625 5.625 357.00 743 70.90
June 1, 2009 ............ 7,254,367 19 0.54 381,809 6.110 358.00 724 76.87
July 1, 2009 ............ 32,631,600 108 2.41 302,144 5.855 359.00 719 72.95
August 1, 2009 .......... 31,434,444 106 2.32 296,551 5.829 360.00 708 70.70
September 1, 2009 ....... 7,958,680 30 0.59 265,289 5.800 360.00 709 71.29
August 1, 2010 .......... 920,000 2 0.07 460,000 4.864 348.00 721 68.42
March 1, 2011 ........... 857,000 1 0.06 857,000 5.250 355.00 691 72.94
June 1, 2011 ............ 2,513,901 7 0.19 359,129 5.353 358.00 694 68.57
July 1, 2011 ............ 896,000 2 0.07 448,000 6.426 359.00 722 72.81
August 1, 2011 .......... 147,293 1 0.01 147,293 6.000 360.00 737 80.00
September 1, 2011 ....... 1,223,400 3 0.09 407,800 5.909 360.00 718 71.36
June 1, 2014 ............ 6,939,371 12 0.51 578,281 5.437 358.00 734 69.81
July 1, 2014 ............ 111,886 1 0.01 111,886 5.875 359.00 745 57.43
-------------- ----- ------ ---------- ----- ------ --- -----
Total ................ $1,355,338,924 5,068 100.00% $ 267,431 5.581 358.79% 692 79.98%
============== ===== ======
_____________
As of the Cut-off Date, the weighted average remaining months to the
next adjustment date of the initial Group 1 Loans will be approximately 27
months.
99-11
GROSS MARGIN
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
RANGE OF GROSS NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
MARGINS (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ----------------------- ------------------- --------- --------- ------------ ---------- ---------- ------ --------
1.500 - 1.749 ........ $ 3,475,303 7 0.26% $ 496,472 3.840% 359.62% 773 68.84%
1.750 - 1.999 ........ 7,625,087 37 0.56 206,083 3.890 357.36 735 73.88
2.000 - 2.249 ........ 17,568,191 71 1.30 247,439 4.240 357.71 703 73.25
2.250 - 2.499 ........ 91,725,795 226 6.77 405,866 5.072 358.23 712 73.30
2.500 - 2.749 ........ 47,380,883 158 3.50 299,879 4.752 357.53 697 77.93
2.750 - 2.999 ........ 78,419,232 290 5.79 270,411 4.967 357.58 694 81.57
3.000 - 3.249 ........ 138,894,584 522 10.25 266,082 5.104 358.16 701 84.04
3.250 - 3.499 ........ 216,016,380 778 15.94 277,656 5.347 359.00 726 78.69
3.500 - 3.749 ........ 142,354,680 496 10.50 287,005 5.427 359.18 692 79.16
3.750 - 3.999 ........ 214,398,344 784 15.82 273,467 5.768 359.49 677 76.98
4.000 - 4.249 ........ 15,470,034 77 1.14 200,910 6.384 358.52 687 84.61
4.250 - 4.499 ........ 22,137,289 82 1.63 269,967 5.862 358.79 679 79.41
4.500 - 4.749 ........ 13,608,754 60 1.00 226,813 5.985 358.68 690 82.52
4.750 - 4.999 ........ 17,449,559 97 1.29 179,892 5.917 359.00 671 82.77
5.000 - 5.249 ........ 58,080,012 264 4.29 220,000 6.367 359.06 679 81.86
5.250 - 5.499 ........ 35,982,499 212 2.65 169,729 5.861 358.93 661 81.01
5.500 - 5.749 ........ 46,740,946 277 3.45 168,740 6.125 359.09 651 81.29
5.750 - 5.999 ........ 96,436,345 356 7.12 270,889 6.250 359.15 683 81.38
6.000 - 6.249 ........ 45,056,386 121 3.32 372,367 6.520 358.84 655 86.24
6.250 - 6.499 ........ 29,158,276 88 2.15 331,344 6.621 358.63 647 92.16
6.500 - 6.749 ........ 8,603,641 24 0.63 358,485 6.747 358.68 645 90.34
6.750 - 6.999 ........ 3,855,253 19 0.28 202,908 6.546 359.66 662 81.62
7.000 - 7.249 ........ 624,438 2 0.05 312,219 7.250 358.25 639 90.66
7.250 - 7.499 ........ 1,093,991 6 0.08 182,332 8.080 359.42 645 85.23
7.500 - 7.749 ........ 1,471,019 7 0.11 210,146 7.967 359.10 663 88.82
7.750 - 7.999 ........ 1,090,490 3 0.08 363,497 8.445 359.68 709 95.00
8.500 - 8.749 ........ 347,590 2 0.03 173,795 8.875 360.00 647 95.00
8.750 - 8.999 ........ 147,250 1 0.01 147,250 9.125 360.00 667 95.00
9.500 - 9.749 ........ 126,672 1 0.01 126,672 9.875 359.00 627 94.58
-------------- ----- ------ --------- ----- ------ --- -----
Total ........ $1,355,338,924 5,068 100.00% $ 267,431 5.581% 358.79% 692 79.98%
============== ===== ======
___________
As of the Cut-off Date, the weighted average Gross Margin of the initial
Group 1 Loans will be approximately 3.873% per annum.
99-12
MAXIMUM MORTGAGE RATE
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
RANGE OF MAXIMUM NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
MORTGAGE RATES (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ----------------------- ------------------- --------- --------- ------------ ---------- --------- ------ --------
8.500 - 8.999 .... $ 1,728,149 4 0.13% $432,037 3.010% 359.00% 734 64.17%
9.000 - 9.499 .... 5,049,751 13 0.37 388,442 3.358 358.60 731 65.96
9.500 - 9.999 .... 45,682,900 143 3.37 319,461 3.934 358.46 716 73.60
10.000 - 10.499 .... 95,020,806 292 7.01 325,414 4.326 358.50 711 73.95
10.500 - 10.999 .... 248,899,549 832 18.36 299,158 4.751 358.41 701 77.22
11.000 - 11.499 .... 223,214,459 858 16.47 260,157 5.229 358.66 698 78.89
11.500 - 11.999 .... 319,353,492 1,321 23.56 241,751 5.717 358.93 684 81.01
12.000 - 12.499 .... 156,271,185 593 11.53 263,526 6.181 358.93 683 81.55
12.500 - 12.999 .... 129,154,807 454 9.53 284,482 6.520 359.10 681 83.98
13.000 - 13.499 .... 55,851,642 214 4.12 260,989 6.874 359.14 683 85.21
13.500 - 13.999 .... 41,825,998 190 3.09 220,137 7.359 359.33 679 86.53
14.000 - 14.499 .... 14,056,183 66 1.04 212,972 7.947 359.30 677 89.45
14.500 - 14.999 .... 11,069,726 56 0.82 197,674 8.402 359.31 661 87.55
15.000 - 15.499 .... 4,384,830 18 0.32 243,602 8.906 359.32 636 82.87
15.500 - 15.999 .... 2,126,643 11 0.16 193,331 9.354 359.44 673 89.42
16.000 - 16.499 .... 494,450 1 0.04 494,450 10.000 360.00 620 95.00
19.000 - 19.499 .... 254,352 1 0.02 254,352 6.500 359.00 786 80.00
More than 20.000 ... 900,000 1 0.07 900,000 5.750 358.00 688 60.00
-------------- ----- ------ -------- ----- ------ --- -----
Total.............. $1,355,338,924 5,068 100.00% $267,431 5.581% 358.79% 692 79.98%
============== ===== ======
_________________
As of the Cut-off Date, the weighted average Maximum Mortgage Rate of
the initial Group 1 Loans will be approximately 11.620% per annum.
INITIAL FIXED-RATE PERIOD
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
INITIAL FIXED PERIOD CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ----------------------- ------------------- --------- --------- ------------ ---------- --------- ------ --------
One Month ......... $ 2,413,050 6 0.18% $ 402,175 4.306 359.17% 731 75.48%
Three Months ...... 8,977,500 22 0.66 408,068 4.328 359.78 703 73.30
Six Months ........ 164,193,243 507 12.11 323,853 5.311 359.54 700 77.68
One Year .......... 7,444,104 23 0.55 323,657 5.605 359.90 709 79.90
Two Years ......... 714,274,501 2,573 52.70 277,604 5.711 358.66 688 82.35
Three Years ....... 362,945,808 1,640 26.78 221,308 5.426 358.59 688 78.69
Five Years ........ 81,481,867 268 6.01 304,037 5.856 359.34 715 72.23
Seven Years ....... 6,557,594 16 0.48 409,850 5.536 356.76 707 70.48
Ten Years ......... 7,051,257 13 0.52 542,404 5.444 358.02 734 69.61
-------------- ----- ------ --------- ----- ------ --- -----
Total .......... $1,355,338,924 5,068 100.00% $ 267,431 5.581 358.79% 692 79.98%
============== ===== ======
99-13
INITIAL RATE CAP
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
INITIAL CAP (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------- ------------------- --------- --------- ------------ --------- --------- ------ --------
1.000 ............ $ 179,086,531 544 13.21% $ 329,203 5.226% 359.56% 702 77.40%
1.500 ............ 2,775,060 9 0.20 308,340 7.063 358.03 626 80.66
2.000 ............ 17,163,462 46 1.27 373,119 5.743 358.80 692 78.28
3.000 ............ 770,949,032 2,953 56.88 261,073 5.881 359.31 689 78.97
5.000 ............ 22,566,023 50 1.66 451,320 5.709 358.33 724 71.15
6.000 ............ 362,798,817 1,466 26.77 247,475 5.090 357.33 692 84.03
-------------- ----- ------ --------- ----- ------ --- -----
Total ......... $1,355,338,924 5,068 100.00% $ 267,431 5.581% 358.79% 692 79.98%
============== ===== ======
PERIODIC RATE CAP
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
SUBSEQUENT CAP (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------- ------------------- --------- --------- ------------ --------- --------- ------ --------
1.000 ............ $1,342,271,160 5,027 99.04% $ 267,012 5.574% 358.79% 692 80.07%
1.500 ............ 3,561,473 19 0.26 187,446 7.688 359.26 582 70.07
2.000 ............ 9,506,291 22 0.70 432,104 5.783 358.59 687 71.95
-------------- ----- ------ ---------- ----- ------ --- -----
Total ......... $1,355,338,924 5,068 100.00% $ 267,431 5.581% 358.79% 692 79.98%
============== ===== ======
99-14
ORIGINAL LOAN-TO-VALUE RATIOS
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
RANGE OF LOAN-TO- NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
VALUE RATIOS (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------- ------------------- --------- --------- ------------ --------- --------- ------ --------
0.01 - 20.00 ..... $ 68,618 1 0.01% $ 68,618 4.250% 356.00% 674 12.90%
20.01 - 25.00 ..... 294,265 4 0.02 73,566 5.087 359.35 745 23.10
25.01 - 30.00 ..... 708,271 7 0.05 101,182 5.107 358.34 677 28.27
30.01 - 35.00 ..... 1,438,702 8 0.11 179,838 5.285 359.42 686 32.76
35.01 - 40.00 ..... 3,114,904 17 0.23 183,230 5.016 359.15 669 37.42
40.01 - 45.00 ..... 6,296,803 18 0.46 349,822 5.008 358.99 708 42.66
45.01 - 50.00 ..... 10,270,437 33 0.76 311,225 5.251 358.70 682 47.39
50.01 - 55.00 ..... 8,544,965 34 0.63 251,322 4.919 358.99 706 53.23
55.01 - 60.00 ..... 22,155,112 71 1.63 312,044 4.929 358.80 706 58.51
60.01 - 65.00 ..... 40,239,204 123 2.97 327,148 5.004 359.04 689 63.43
65.01 - 70.00 ..... 184,697,692 590 13.63 313,047 4.863 359.44 709 69.46
70.01 - 75.00 ..... 56,612,996 195 4.18 290,323 5.377 358.63 691 74.05
75.01 - 80.00 ..... 590,680,401 2,198 43.58 268,735 5.627 359.13 694 79.74
80.01 - 85.00 ..... 49,221,121 174 3.63 282,880 5.892 358.29 672 84.08
85.01 - 90.00 ..... 237,471,800 1,001 17.52 237,235 5.972 358.09 682 89.64
90.01 - 95.00 ..... 140,381,003 576 10.36 243,717 5.976 357.85 679 94.70
95.01 - 100.00 ..... 3,142,630 18 0.23 174,591 7.515 358.54 714 99.55
-------------- ----- ------ --------- ----- ------ --- -----
Total ...... $1,355,338,924 5,068 100.00% $ 267,431 5.581% 358.79% 692 79.98%
============== ===== ======
__________
The minimum and maximum loan-to-value ratios of the initial Group 1
Loans at origination were approximately 12.90% and 100.00%, respectively, and
the weighted average of the loan-to-value ratios of the initial Group 1 Loans at
origination was approximately 79.98%.
OCCUPANCY TYPES
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
OCCUPANCY CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------- ------------------- --------- --------- ------------ --------- --------- ------ --------
Owner Occupied ... $1,135,850,403 4,024 83.81% $ 282,269 5.539 358.80% 688 80.26%
Investment ....... 182,617,129 908 13.47 201,120 5.868 358.75 711 78.81
Second Home ...... 36,871,393 136 2.72 271,113 5.456 358.65 704 77.21
-------------- ----- ------ ---------- ----- ------ --- -----
Total ......... $1,355,338,924 5,068 100.00% $ 267,431 5.581 358.79% 692 79.98%
============== ===== ======
Occupancy type is based on the representation of the borrower at the
time of origination.
99-15
MORTGAGE LOAN PROGRAM AND DOCUMENTATION TYPE
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
DOCUMENT TYPE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------- ------------------- --------- --------- ------------ --------- --------- ------ --------
Progressive Series
Program (Limited
(Stated)
Documentation) ........... $ 583,304,010 1,812 43.04% $ 321,912 5.619 359.32% 699 78.01%
Progressive Series
Program (Full
Documentation) ........... 290,364,603 1,298 21.42 223,702 5.507 359.06 682 78.71
Progressive Express
Program (Non Verified
Assets) .................. 256,716,475 1,034 18.94 248,275 5.504 357.80 686 83.67
Progressive Express No
Doc Program (No
Documentation) ........... 123,529,871 552 9.11 223,786 5.447 357.70 695 83.56
Progressive Express
Program (Verified
Assets) .................. 83,766,398 307 6.18 272,855 5.955 358.76 692 81.61
Progressive Series
Program (Alternative
Documentation) ........... 6,121,697 22 0.45 278,259 6.275 359.32 665 84.67
Progressive Series
Program (Full
Income/Stated Assets
Documentation) ........... 5,558,972 19 0.41 292,577 5.111 358.63 697 79.31
Progressive Series
Program No Doc
Program (Verified
Assets) .................. 4,988,149 19 0.37 262,534 5.933 359.51 685 74.18
Progressive Series
Program (Priority
Refinance Program) ....... 348,300 1 0.03 348,300 6.250 359.00 627 90.00
Progressive Series
Program (No Ratio) ....... 270,318 2 0.02 135,159 6.750 356.00 678 89.99
Progressive Series
Program (Lite/Reduced
Documentation (SE)) ...... 270,000 1 0.02 270,000 4.375 359.00 691 61.37
Progressive Series
Program (No
Income/No Asset
Documentation) ........... 100,130 1 0.01 100,130 6.250 359.00 680 95.00
-------------- ----- ------ --------- ----- ------ --- -----
Total ................. $1,355,338,924 5,068 100.00% $ 267,431 5.581 358.79% 692 79.98%
============== ===== ======
See "--Underwriting Standards" below for a detailed description of the
Seller's loan programs and documentation requirements.
99-16
RISK CATEGORIES
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
CREDIT GRADE CATEGORY CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- --------------------- ------------------- --------- --------- ------------ --------- --------- ------ --------
A+(1) ......................... $ 676,274,601 2,454 49.90% $ 275,581 5.332 358.84% 727 78.85%
A(1) .......................... 515,093,739 1,907 38.00 270,107 5.650 358.59 653 81.31
A- (1) ........................ 42,217,270 208 3.11 202,968 6.118 358.85 611 79.86
B(1) .......................... 267,714 1 0.02 267,714 9.125 359.00 560 80.00
C(1) .......................... 214,943 2 0.02 107,472 9.061 359.63 618 71.17
Progressive Express(TM) I(2) .. 68,520,151 266 5.06 257,595 6.154 359.46 727 80.55
Progressive Express(TM) II(2) . 44,534,305 196 3.29 227,216 6.831 359.20 649 81.66
Progressive Express(TM)III(2) . 4,589,279 16 0.34 286,830 6.980 359.50 639 80.81
Progressive Express(TM) IV(2) . 1,681,146 7 0.12 240,164 6.660 359.77 597 78.15
Progressive Express(TM) V(2) .. 1,222,283 6 0.09 203,714 8.031 359.47 566 66.28
Progressive Express(TM) VI(2) . 723,493 5 0.05 144,699 7.979 359.41 541 66.70
-------------- ----- ------ --------- ----- ------ --- -----
Total ...................... $1,355,338,924 5,068 100.00% $ 267,431 5.581 358.79% 692 79.98%
============== ===== ======
_________________
(1) All of these initial Group 1 Loans were reviewed and placed into risk
categories based on the credit standards of the Progressive Series Program.
Credit grades of A+, A, A-, B and C correspond to Progressive Series I+, I and
II, III and III+, IV and V respectively.
(2) These initial Group 1 Loans were originated under the Seller's Progressive
Express(TM) Program. The underwriting for these initial Group 1 Loans is
generally based on the borrower's "Credit Score" score and therefore these
initial Group 1 Loans do not correspond to the alphabetical risk categories
listed above. Each mortgage loan originated pursuant to the Express Priority
Refi(TM) Program has been placed in either Progressive Express(TM) Program II or
III.
SEE "--UNDERWRITING STANDARDS" BELOW FOR A DESCRIPTION OF THE SELLER'S
RISK CATEGORIES.
99-17
PROPERTY TYPES
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
PROPERTY TYPE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- --------------------- ----------------- --------- --------- ------------ --------- --------- ------ --------
Single-Family Residence $ 976,429,346 3,694 72.04% $264,328 5.522 358.67% 689 80.68%
De Minimis PUD ......... 122,327,300 366 9.03 334,228 5.618 359.54 697 76.31
Condominium ............ 112,111,050 505 8.27 222,002 5.644 358.80 701 80.67
Planned Unit Development 56,294,101 204 4.15 275,951 5.919 359.02 695 77.92
Two Family ............. 49,466,154 169 3.65 292,699 5.933 358.89 696 78.93
Four Family ............ 17,095,145 46 1.26 371,634 5.944 359.09 727 75.96
Three Family ........... 10,318,023 36 0.76 286,612 5.662 358.33 710 79.13
High-rise/Condominium .. 7,933,985 26 0.59 305,153 5.731 359.35 730 74.69
Townhouse .............. 3,218,220 21 0.24 153,249 5.862 359.17 673 74.40
Site Condo ............. 145,600 1 0.01 145,600 5.000 360.00 642 80.00
-------------- ----- ------ -------- ----- ------ --- -----
Total ............... $1,355,338,924 5,068 100.00% $267,431 5.581 358.79% 692 79.98%
============== ===== ======
99-18
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
STATE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- --------------------- ----------------- --------- --------- ------------ --------- --------- ------ --------
Alaska ................... $ 513,151 4 0.04% $ 128,288 5.419 357.08% 689 84.65%
Alabama .................. 2,338,992 14 0.17 167,071 5.400 358.15 701 78.28
Arkansas ................. 356,804 4 0.03 89,201 5.043 356.82 671 91.46
Arizona .................. 36,712,609 211 2.71 173,993 5.506 358.28 677 81.89
California ............... 763,192,776 2,080 56.31 366,920 5.540 359.10 696 78.52
Colorado ................. 31,787,804 140 2.35 227,056 5.115 358.13 690 81.00
Connecticut .............. 7,117,691 27 0.53 263,618 5.912 357.91 675 85.38
District of Columbia ..... 1,873,633 6 0.14 312,272 5.447 358.30 682 77.24
Delaware ................. 2,815,422 15 0.21 187,695 5.943 357.92 669 86.28
Florida .................. 96,087,076 479 7.09 200,599 5.776 358.86 693 80.00
Georgia .................. 17,338,345 98 1.28 176,922 5.545 358.07 683 84.18
Hawaii ................... 8,394,719 16 0.62 524,670 5.781 359.14 702 74.94
Iowa ..................... 3,056,016 29 0.23 105,380 5.226 357.88 693 84.47
Idaho .................... 1,417,047 14 0.10 101,218 5.828 358.42 656 79.46
Illinois ................. 28,835,948 130 2.13 221,815 6.015 358.28 679 83.03
Indiana .................. 4,995,862 45 0.37 111,019 5.723 358.67 679 83.61
Kansas ................... 2,618,575 16 0.19 163,661 5.548 357.38 689 85.18
Kentucky ................. 3,499,231 26 0.26 134,586 5.420 358.30 667 83.23
Louisiana ................ 2,873,135 17 0.21 169,008 5.827 357.64 673 83.32
Massachusetts ............ 23,362,611 73 1.72 320,036 5.389 358.07 696 85.12
Maryland ................. 30,137,534 111 2.22 271,509 5.815 358.44 680 81.97
Maine .................... 2,868,158 14 0.21 204,868 5.273 357.17 694 79.54
Michigan ................. 12,433,467 73 0.92 170,321 5.757 358.10 685 79.81
Minnesota ................ 24,802,760 119 1.83 208,427 5.249 357.78 685 81.17
Missouri ................. 8,141,013 69 0.60 117,986 5.627 358.00 680 84.90
Mississippi .............. 1,745,266 12 0.13 145,439 5.226 358.05 654 81.58
Montana .................. 1,253,295 10 0.09 125,329 5.385 358.66 695 83.62
North Carolina ........... 9,848,342 75 0.73 131,311 5.698 358.23 679 85.33
North Dakota ............. 994,294 9 0.07 110,477 6.467 359.09 673 80.56
Nebraska ................. 2,414,536 21 0.18 114,978 5.811 358.53 682 86.27
New Hampshire ............ 2,405,156 10 0.18 240,516 5.164 358.11 684 79.79
New Jersey ............... 20,644,180 77 1.52 268,106 6.029 358.17 689 83.52
New Mexico ............... 2,728,177 17 0.20 160,481 5.373 357.74 676 81.80
Nevada ................... 41,688,807 164 3.08 254,200 5.749 358.70 695 80.91
New York ................. 21,487,962 60 1.59 358,133 5.551 358.05 697 83.10
Ohio ..................... 10,240,725 99 0.76 103,442 5.723 358.44 667 82.62
Oklahoma ................. 1,210,266 11 0.09 110,024 5.504 358.31 675 86.61
Oregon ................... 13,309,464 83 0.98 160,355 5.459 358.96 686 80.11
Pennsylvania ............. 6,695,894 43 0.49 155,718 5.604 358.34 671 81.33
Rhode Island ............. 2,989,498 11 0.22 271,773 5.592 357.84 685 78.60
South Carolina ........... 4,948,431 27 0.37 183,275 5.426 358.15 690 86.05
South Dakota ............. 1,012,264 6 0.07 168,711 4.819 357.44 709 85.58
Tennessee ................ 7,783,843 54 0.57 144,145 5.398 358.13 681 83.36
Texas .................... 13,556,853 96 1.00 141,217 6.193 358.56 688 84.35
Utah ..................... 10,691,875 64 0.79 167,061 5.417 358.40 699 83.89
Virginia ................. 30,445,349 128 2.25 237,854 5.709 358.40 682 80.48
Washington ............... 23,289,430 116 1.72 200,771 5.407 358.87 675 80.74
Wisconsin ................ 4,306,094 35 0.32 123,031 5.619 358.46 674 84.11
West Virginia ............ 1,230,680 4 0.09 307,670 4.437 357.08 717 85.08
Wyoming .................. 847,864 6 0.06 141,311 5.224 358.23 656 88.00
-------------- ----- ------ --------- ----- ------ --- -----
Total ................. $1,355,338,924 5,068 100.00% $ 267,431 5.581 358.79% 692 79.98%
============== ===== ======
No more than approximately 0.71% of the initial Group 1 Loans (by
aggregate outstanding principal balance as of the Cut-off Date) are secured by
mortgaged properties located in any one zip code.
99-19
DEBT-TO-INCOME RATIO
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
DESCRIPTION (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- --------------------- ----------------- --------- --------- ------------ --------- --------- ------ --------
0.01 - 5.00 ....... $ 119,095 1 0.01% $ 119,095 6.625 360.00% 712 80.00%
5.01 - 10.00 ....... 1,154,877 5 0.09 230,975 6.195 358.41 658 89.10
10.01 - 15.00 ....... 4,835,680 25 0.36 193,427 5.623 359.09 719 76.25
15.01 - 20.00 ....... 13,377,326 52 0.99 257,256 5.355 359.18 708 75.06
20.01 - 25.00 ....... 33,685,719 126 2.49 267,347 5.641 359.32 701 75.51
25.01 - 30.00 ....... 48,833,936 186 3.60 262,548 5.623 359.19 694 77.01
30.01 - 35.00 ....... 113,143,910 372 8.35 304,150 5.629 359.16 692 77.45
35.01 - 40.00 ....... 174,935,151 596 12.91 293,515 5.794 359.25 690 79.13
40.01 - 45.00 ....... 219,869,678 766 16.22 287,036 5.724 359.30 692 78.59
45.01 - 50.00 ....... 188,433,728 743 13.90 253,612 5.620 359.31 690 79.27
50.01 - 55.00 ....... 15,788,149 53 1.16 297,890 5.717 359.58 679 73.16
Greater than 55.00...... 2,132,676 8 0.16 266,585 6.244 359.62 678 75.30
Not Required ........... 539,028,999 2,135 39.77 252,473 5.419 358.07 692 82.51
-------------- ----- ------ --------- ----- ------ --- -----
Total ............... $1,355,338,924 5,068 100.00% $ 267,431 5.581 358.79% 692 79.98%
============== ===== ======
As of the Cut-off Date, the weighted average debt-to-income ratio of the
initial Group 1 Loans will be approximately 39.34% per annum.
PREPAYMENT PENALTY
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
NUMBER OF MONTHS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ------------------ ----------------- --------- --------- ------------ --------- --------- ------ --------
0 ................ $ 386,044,828 1,387 28.48% $278,331 5.533% 358.32% 696 80.49%
3 ................ 436,000 1 0.03 436,000 7.875 360.00 739 80.00
6 ................ 13,755,881 41 1.01 335,509 5.824 358.98 703 76.86
7 ................ 750,000 1 0.06 750,000 3.375 360.00 777 65.21
12 ............... 188,639,852 582 13.92 324,123 5.434 359.29 698 77.87
24 ............... 462,822,428 1,669 34.15 277,305 5.642 358.80 687 81.79
36 ............... 223,537,882 1,085 16.49 206,026 5.532 358.90 684 78.59
48 ............... 476,000 1 0.04 476,000 4.625 359.00 737 70.00
60 ............... 78,876,054 301 5.82 262,047 5.917 359.45 703 76.65
-------------- ----- ------ -------- ----- ------ --- -----
Total ......... $1,355,338,924 5,068 100.00% $267,431 5.581% 358.79% 692 79.98%
============== ===== ======
99-20
MONTHS REMAINING TO SCHEDULED MATURITY
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
RANGE OF MONTHS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ------------------ ----------------- --------- --------- ------------ --------- --------- ------ --------
301-360 .......... $1,355,338,924 5,068 100.00% $267,431 5.581% 358.79% 692 79.98%
-------------- ----- ------ -------- ----- ------ --- -----
Total ......... $1,355,338,924 5,068 100.00% $267,431 5.581% 358.79% 692 79.98%
============== ===== ======
As of the Cut-off Date, the weighted average months remaining to
scheduled maturity of the initial Group 1 Loans will be approximately 359
months.
CREDIT SCORES
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
RANGE OF CREDIT SCORES CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- --------------------- ----------------- --------- --------- ------------ --------- --------- ------ --------
Not Required .......... $ 1,204,062 5 0.09% $240,812 6.710 359.16% N/A 80.10%
801 - 820 .......... 4,899,387 25 0.36 195,975 5.282 358.70 806 78.16
781 - 800 .......... 43,807,598 159 3.23 275,519 5.229 359.12 789 75.27
761 - 780 .......... 85,804,258 308 6.33 278,585 5.253 358.94 770 78.65
741 - 760 .......... 117,365,082 432 8.66 271,678 5.358 358.93 750 78.26
721 - 740 .......... 137,341,013 485 10.13 283,177 5.396 359.02 730 79.33
701 - 720 .......... 173,512,213 634 12.80 273,679 5.446 358.90 710 79.52
681 - 700 .......... 192,167,771 708 14.18 271,423 5.553 358.72 690 79.66
661 - 680 .......... 186,112,097 694 13.73 268,173 5.498 358.62 670 80.17
641 - 660 .......... 201,076,768 759 14.84 264,923 5.866 358.73 650 81.46
621 - 640 .......... 158,893,462 609 11.72 260,909 5.877 358.51 631 82.74
601 - 620 .......... 45,398,554 212 3.35 214,144 6.128 358.92 612 80.65
581 - 600 .......... 5,403,502 26 0.40 207,827 6.246 358.64 596 77.76
561 - 580 .......... 1,299,531 6 0.10 216,588 7.933 359.44 570 67.21
541 - 560 .......... 621,338 4 0.05 155,334 8.374 359.14 559 70.20
521 - 540 .......... 109,788 1 0.01 109,788 8.250 358.00 536 66.27
501 - 520 .......... 322,500 1 0.02 322,500 8.125 360.00 505 75.00
-------------- ----- ------ -------- ----- ------ --- -----
Total ........... $1,355,338,924 5,068 100.00% $267,431 5.581 358.79% 692 79.98%
============== ===== ======
As of the Cut-off Date, the weighted average credit score of the initial
Group 1 Loans for which credit scores are available will be approximately 692.
99-21
RANGE OF MONTHS TO ROLL
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
NUMBER OF MONTHS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ---------------------- ----------------- --------- --------- ------------ --------- --------- ------ --------
1-6 .................. $ 175,583,793 535 12.95% $ 328,194 5.247 359.55% 701 77.42%
7-12 ................. 7,444,104 23 0.55 323,657 5.605 359.90 709 79.90
13-18 ................ 1,384,498 6 0.10 230,750 6.063 353.32 674 90.40
19-24 ................ 712,890,003 2,567 52.60 277,713 5.711 358.67 688 82.33
25-31 ................ 1,965,506 7 0.15 280,787 5.623 353.84 656 83.06
32-37 ................ 360,980,302 1,633 26.63 221,053 5.425 358.62 688 78.66
56-61 ................ 81,481,867 268 6.01 304,037 5.856 359.34 715 72.23
68-73 ................ 920,000 2 0.07 460,000 4.864 348.00 721 68.42
74-79 ................ 857,000 1 0.06 857,000 5.250 355.00 691 72.94
80-85 ................ 4,780,594 13 0.35 367,738 5.716 358.76 707 70.43
Greater than 85 ...... 7,051,257 13 0.52 542,404 5.444 358.02 734 69.61
-------------- ----- ------ --------- ----- ------ --- -----
Total .......... $1,355,338,924 5,068 100.00% $ 267,431 5.581 358.79% 692 79.98%
============== ===== ======
As of the Cut-off Date, the weighted average months to roll of the initial
Group 1 Loans will be approximately 27 months.
LOAN PURPOSES
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
LOAN PURPOSE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ---------------------- ----------------- --------- --------- ------------ --------- --------- ------ --------
Purchase ................. $ 857,728,417 3,311 63.29% $259,054 5.616 358.88% 701 81.34%
Refinance - Cash Out ..... 377,143,092 1,267 27.83 297,666 5.547 358.66 676 77.45
Refinance - Rate/Term .... 120,467,416 490 8.89 245,852 5.433 358.58 671 78.27
-------------- ----- ------ -------- ----- ------ --- -----
Total ................... $1,355,338,924 5,068 100.00% $267,431 5.581 358.79% 692 79.98%
============== ===== ======
In general, in the case of a mortgage loan made for "rate and term"
refinance purposes, substantially all of the proceeds are used to pay in full
the principal balance of a previous mortgage loan of the mortgagor with respect
to a mortgaged property and to pay origination and closing costs associated with
such refinancing. Mortgage loans made for "cash-out" refinance purposes may
involve the use of the proceeds to pay in full the principal balance of a
previous mortgage loan and related costs except that a portion of the proceeds
are generally retained by the mortgagor for uses unrelated to the mortgaged
property. The amount of these proceeds retained by the mortgagor may be
substantial.
LOAN GROUP 2
The initial Group 2 Loans had an aggregate principal balance as of
the Cut-off Date of approximately $554,665,194, after application of scheduled
payments due on or before the Cut-off Date, whether or not received. All of the
initial Group 2 Loans are secured by first liens on the related mortgaged
property.
The average principal balance of the initial Group 2 Loans at
origination was approximately $217,454. No initial Group 2 Loan had a principal
balance at origination of greater than approximately
99-22
$599,900 or less than approximately $120,050. The average principal balance of
the initial Group 2 Loans as of the Cut-off Date was approximately $217,175. No
initial Group 2 Loan had a principal balance as of the Cut-off Date of greater
than approximately $599,900 or less than approximately $120,050.
As of the Cut-off Date, the initial Group 2 Loans had mortgage rates
ranging from approximately 3.250% per annum to approximately 9.990% per annum
and the weighted average mortgage rate was approximately 5.589% per annum. The
weighted average remaining term to stated maturity of the initial Group 2 Loans
was approximately 359 months as of the Cut-off Date. None of the initial Group 2
Loans will have a first Due Date prior to March 1, 2004, or after October 1,
2004, or will have a remaining term to maturity of less than 354 months or
greater than 360 months as of the Cut-off Date. The latest maturity date of any
initial Group 2 Loan is September 1, 2034.
Approximately 3.31%, 0.58%, 42.55%, 0.10% and 2.06% of the initial
Group 2 Loans have initial interest only periods of two, three, five, seven and
ten years, respectively.
The loan-to-value ratio of a mortgage loan secured by a first lien is
equal to the ratio, expressed as a percentage, of the principal amount of the
loan at origination, to the lesser of the appraised value of the related
mortgaged property at the time of origination and the sales price. The weighted
average of the loan-to- value ratios at origination of the initial Group 2 Loans
was approximately 80.87%. No loan-to-value ratio at origination of any initial
Group 2 Loan was greater than approximately 100.00% or less than approximately
26.54%.
None of the initial Group 2 Loans are buydown mortgage loans.
None of the Group 2 Loans will be subject to the Home Ownership and
Equity Protection Act of 1994 or any comparable state law.
Substantially all of the initial Group 2 Loans will not have reached
their first adjustment date as of the Closing Date.
Approximately 72.59% of the initial Group 2 Loans provide for
prepayment charges.
Approximately 23.41% and 10.37% of the initial Group 2 Loans are
covered by a Primary Insurance Policy and the Radian Lender-Paid PMI Policy,
respectively. For the initial Group 2 Loans, the weighted average of the Radian
PMI Rates for the mortgage loans covered by the Radian Lender-Paid PMI Policy is
approximately 1.138% per annum.
With respect to substantially all of the Group 2 Loans, the Minimum
Mortgage Rate is equal to the Gross Margin.
Set forth below is a description of certain additional
characteristics of the initial Group 2 Loans as of the Cut-off Date, except as
otherwise indicated. All percentages of the initial Group 2 Loans are
approximate percentages by aggregate principal balance as of the Cut-off Date,
except as otherwise indicated. Dollar amounts and percentages may not add up to
totals due to rounding.
99-23
MORTGAGE LOAN PROGRAMS(1)
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
LOAN PROGRAMS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ---------------------- ----------------- --------- --------- ------------ --------- --------- ------ --------
30Y LIB 1M ............... $ 146,451 1 0.03% $ 146,451 5.875% 360.00% 688 79.98%
30Y LIB 1M-IO ............ 531,500 2 0.10 265,750 4.500 359.56 716 75.57
30Y LIB 3M-IO ............ 461,600 2 0.08 230,800 5.428 360.00 689 84.21
30Y LIB 6M ............... 6,188,344 29 1.12 213,391 6.244 359.50 695 83.18
30Y LIB 6M-IO ............ 42,340,835 182 7.63 232,642 5.358 359.50 703 79.30
30Y LIB 12M .............. 512,500 2 0.09 256,250 6.910 359.55 708 86.70
30Y LIB 12M-IO ........... 1,133,480 5 0.20 226,696 5.406 359.77 698 78.92
1/29 LIB 6M .............. 1,042,864 5 0.19 208,573 6.588 359.88 702 83.29
2/28 LIB 6M .............. 162,446,026 773 29.29 210,150 5.653 358.00 683 85.37
2/28 LIB 6M-IO ........... 148,183,674 623 26.72 237,855 5.700 359.49 698 78.64
3/27 LIB 6M .............. 108,333,044 553 19.53 195,901 5.327 358.24 681 81.49
3/27 LIB 6M-IO ........... 59,947,763 276 10.81 217,202 5.588 359.19 689 76.85
3/1 LIB 12M .............. 727,981 2 0.13 363,990 5.749 357.85 674 79.42
5/25 LIB 6M .............. 4,540,601 21 0.82 216,219 5.982 359.63 711 71.20
5/25 LIB 6M-IO ........... 14,496,071 63 2.61 230,096 5.837 359.48 717 73.44
5/1 LIB 12M .............. 289,185 2 0.05 144,593 5.799 358.43 673 84.35
5/1 LIB 12M-IO ........... 1,065,000 4 0.19 266,250 6.924 359.43 646 87.47
7/23 LIB 6M .............. 139,857 1 0.03 139,857 5.875 360.00 638 68.30
7/23 LIB 6M-IO ........... 553,000 2 0.10 276,500 5.443 360.00 769 54.83
7/1 LIB 12M .............. 236,168 1 0.04 236,168 5.375 359.00 751 64.98
7/1 LIB 12M-IO ........... 240,000 1 0.04 240,000 5.000 358.00 640 80.00
10/20 LIB 6M ............. 313,526 1 0.06 313,526 4.875 358.00 734 70.00
10/20 LIB 6M-IO .......... 598,200 2 0.11 299,100 5.445 358.51 749 79.87
10/1 LIB 12M ............. 197,523 1 0.04 197,523 5.000 358.00 788 39.00
------------ ----- ------ --------- ----- ------ --- -----
Total ........... $554,665,194 2,554 100.00% $ 217,175 5.589% 358.78% 690 80.87%
============ ===== ======
(1) A mortgage loan with a loan program including the term "30Y LIBOR 1MO" has a
term of 30 years and the mortgage rate adjusts monthly based on the value of
One-Month LIBOR. A mortgage loan with a loan program including the term "30Y
LIBOR 3MO" has a term of 30 years and the mortgage rate adjusts quarterly based
on the value of Three-Month LIBOR. A mortgage loan with a loan program including
the term "30Y LIBOR 6MO" has a term of 30 years and the mortgage rate adjusts
semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan
program including the term "30Y LIBOR 12MO" has a term of 30 years and the
mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage
loan with a loan program including the term "1/29 LIBOR 6MO" has a term of 30
years, the first one of which consist of a fixed rate period, and thereafter the
mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A
mortgage loan with a loan program including the term "2/28 LIBOR 6MO" has a term
of 30 years, the first two of which consist of a fixed rate period, and
thereafter the mortgage rate adjusts semi- annually based on the value of
Six-Month LIBOR. A mortgage loan with a loan program including the term "3/27
LIBOR 6MO" has a term of 30 years, the first three of which consist of a fixed
rate period, and thereafter the mortgage rate adjusts semi-annually based on the
value of Six-Month LIBOR. A mortgage loan with a loan program including the term
"3/1 LIBOR 12MO" has a term of 30 years, the first three of which consist of a
fixed rate period, and thereafter the mortgage rate adjusts annually based on
the value of One- Year LIBOR. A mortgage loan with a loan program including the
term "5/25 LIBOR 6MO" has a term of 30 years, the first five of which consist of
a fixed rate period, and thereafter the mortgage rate adjusts semi-annually
based on the value of Six-Month LIBOR. A mortgage loan with a loan program
including the term "5/1 LIBOR 12MO" has a term of 30 years, the first five of
which consist of a fixed rate period, and thereafter the mortgage rate adjusts
annually based on the value of One-Year LIBOR. A mortgage loan with a loan
program including the term "7/1 LIBOR 12MO" has a term of 30 years, the first
seven of which consist of a fixed rate period, and thereafter the mortgage rate
adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a
loan program including the term "10/1 LIBOR 12MO" has a term of 30 years, the
first ten of which consist of a fixed rate period, and thereafter the mortgage
rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with
a loan program including the term "7/23 LIBOR 6MO" has a term of 30 years, the
first seven of which consist of a fixed rate period, and thereafter the mortgage
rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage
loan with a loan program including the term "10/20 LIBOR 6MO" has a term of 30
years, the first ten of which consist of a fixed rate period, and thereafter the
mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. Any
mortgage loan with a loan program including the term "IO" has an interest only
period.
99-24
PRINCIPAL BALANCES AS OF ORIGINATION
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
RANGE OF MORTGAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
LOAN PRINCIPAL BALANCES CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ----------------------- ----------------- --------- --------- ------------ --------- --------- ------ --------
100,000.01 - 150,000.00 .... $ 62,901,364 466 11.34% $134,981 5.719% 358.60% 686 82.04%
150,000.01 - 200,000.00 .... 124,412,964 712 22.43 174,737 5.638 358.67 687 81.18
200,000.01 - 250,000.00 .... 134,501,907 600 24.25 224,170 5.598 358.72 685 81.54
250,000.01 - 300,000.00 .... 114,749,566 418 20.69 274,520 5.505 358.84 692 80.38
300,000.01 - 350,000.00 .... 99,279,087 312 17.90 318,202 5.495 359.01 696 80.02
350,000.01 - 400,000.00 .... 8,982,617 24 1.62 374,276 5.770 358.87 717 79.98
400,000.01 - 450,000.00 .... 6,275,438 15 1.13 418,363 6.139 358.74 709 76.26
450,000.01 - 500,000.00 .... 1,881,351 4 0.34 470,338 4.899 358.50 698 71.89
500,000.01 - 550,000.00 .... 1,081,000 2 0.19 540,500 5.823 359.49 717 80.16
550,000.01 - 600,000.00 .... 599,900 1 0.11 599,900 4.750 360.00 754 70.00
------------ ----- ------ -------- ----- ------ --- -----
Total ......... $554,665,194 2,554 100.00% $217,175 5.589% 358.78% 690 80.87%
============ ===== ======
As of origination, the average principal balance of the initial Group 2
Loans will be approximately $217,454.
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
RANGE OF MORTGAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
LOAN PRINCIPAL BALANCES CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ----------------------- ----------------- --------- --------- ------------ --------- --------- ------ --------
100,000.01 - 150,000.00... $ 63,200,956 468 11.39% $135,045 5.719 358.59% 686 82.08%
150,000.01 - 200,000.00... 124,313,211 711 22.41 174,843 5.636 358.67 687 81.17
200,000.01 - 250,000.00... 134,302,067 599 24.21 224,210 5.599 358.72 685 81.52
250,000.01 - 300,000.00... 114,749,566 418 20.69 274,520 5.505 358.84 692 80.38
300,000.01 - 350,000.00... 99,279,087 312 17.90 318,202 5.495 359.01 696 80.02
350,000.01 - 400,000.00... 8,982,617 24 1.62 374,276 5.770 358.87 717 79.98
400,000.01 - 450,000.00... 6,275,438 15 1.13 418,363 6.139 358.74 709 76.26
450,000.01 - 500,000.00... 1,881,351 4 0.34 470,338 4.899 358.50 698 71.89
500,000.01 - 550,000.00... 1,081,000 2 0.19 540,500 5.823 359.49 717 80.16
550,000.01 - 600,000.00... 599,900 1 0.11 599,900 4.750 360.00 754 70.00
------------ ----- ------ -------- ----- ------ --- -----
Total ........... $554,665,194 2,554 100.00% $217,175 5.589 358.78% 690 80.87%
============ ===== ======
As of the Cut-off Date, the average current principal balance of the
initial Group 2 Loans will be approximately $217,175.
99-25
MORTGAGE RATES
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
RANGE OF MORTGAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
RATES (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ----------------------- ----------------- --------- --------- ------------ --------- --------- ------ --------
3.000 - 3.499 ....... $ 935,986 4 0.17% $233,997 3.312% 357.01% 725 80.00%
3.500 - 3.999 ....... 16,798,522 70 3.03 239,979 3.772 358.20 720 73.10
4.000 - 4.499 ....... 34,018,399 148 6.13 229,854 4.257 358.25 716 75.07
4.500 - 4.999 ....... 90,952,851 411 16.40 221,296 4.727 358.46 702 78.53
5.000 - 5.499 ....... 110,369,522 499 19.90 221,181 5.214 358.69 694 80.30
5.500 - 5.999 ....... 148,474,187 719 26.77 206,501 5.714 358.86 684 81.14
6.000 - 6.499 ....... 62,122,877 283 11.20 219,515 6.186 359.10 683 82.60
6.500 - 6.999 ....... 47,528,838 217 8.57 219,027 6.692 359.05 675 84.29
7.000 - 7.499 ....... 20,409,112 90 3.68 226,768 7.228 359.36 679 86.25
7.500 - 7.999 ....... 14,274,275 70 2.57 203,918 7.674 359.18 673 88.89
8.000 - 8.499 ....... 3,542,848 17 0.64 208,403 8.173 359.05 650 87.00
8.500 - 8.999 ....... 3,246,772 17 0.59 190,987 8.680 359.11 672 90.94
9.000 - 9.499 ....... 1,801,088 8 0.32 225,136 9.131 359.45 646 87.90
9.500 - 9.999 ....... 189,916 1 0.03 189,916 9.990 360.00 627 95.00
------------ ----- ------ -------- ----- ------ --- -----
Total ....... $554,665,194 2,554 100.00% $217,175 5.589% 358.78% 690 80.87%
============ ===== ======
____________
As of the Cut-off Date, the weighted average mortgage rate of the initial
Group 2 Loans will be approximately 5.589% per annum.
99-26
NEXT ADJUSTMENT DATE
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
NEXT ADJUSTMENT DATE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ----------------------- ----------------- --------- --------- ------------ --------- --------- ------ --------
September 1, 2004 ....... $ 235,200 1 0.04% $235,200 4.500 359.00% 762 70.00%
November 1, 2004 ........ 947,551 4 0.17 236,888 4.395 359.25 699 80.00
December 1, 2004 ........ 1,354,950 6 0.24 225,825 5.921 358.29 680 87.57
January 1, 2005 ......... 21,224,364 89 3.83 238,476 5.478 359.00 701 80.99
February 1, 2005 ........ 20,622,865 92 3.72 224,162 5.391 360.00 703 77.47
March 1, 2005 ........... 5,283,800 24 0.95 220,158 5.785 360.00 699 82.42
July 1, 2005 ............ 622,592 3 0.11 207,531 7.169 359.00 652 80.62
August 1, 2005 .......... 908,372 3 0.16 302,791 6.197 360.00 738 85.17
September 1, 2005 ....... 1,157,880 6 0.21 192,980 5.568 360.00 699 80.48
February 1, 2006 ........ 546,994 2 0.10 273,497 7.507 354.00 596 84.03
March 1, 2006 ........... 291,657 2 0.05 145,829 6.392 355.00 668 92.28
April 1, 2006 ........... 14,044,780 62 2.53 226,529 4.977 356.00 682 87.34
May 1, 2006 ............. 49,377,347 237 8.90 208,343 5.112 357.00 685 88.48
June 1, 2006 ............ 53,401,449 257 9.63 207,788 5.670 358.05 682 86.83
July 1, 2006 ............ 87,152,888 387 15.71 225,201 6.081 359.00 689 80.52
August 1, 2006 .......... 89,319,513 370 16.10 241,404 5.706 360.00 699 77.43
September 1, 2006 ....... 16,350,190 78 2.95 209,618 5.582 360.00 702 78.07
March 1, 2007 ........... 312,381 1 0.06 312,381 4.250 355.00 689 78.75
April 1, 2007 ........... 7,506,332 39 1.35 192,470 4.677 356.02 686 81.96
May 1, 2007 ............. 29,887,807 145 5.39 206,123 4.925 357.09 688 84.06
June 1, 2007 ............ 42,265,555 212 7.62 199,366 5.475 358.24 679 81.39
July 1, 2007 ............ 53,678,784 272 9.68 197,348 5.602 359.10 677 78.31
August 1, 2007 .......... 29,825,711 136 5.38 219,307 5.729 360.00 695 76.58
September 1, 2007 ....... 5,677,100 27 1.02 210,263 5.399 360.00 694 73.72
May 1, 2009 ............. 432,000 2 0.08 216,000 5.625 357.00 724 74.74
June 1, 2009 ............ 944,873 5 0.17 188,975 5.212 358.00 707 73.96
July 1, 2009 ............ 7,100,050 34 1.28 208,825 6.046 359.00 711 75.40
August 1, 2009 .......... 9,829,985 41 1.77 239,756 5.946 360.00 713 73.17
September 1, 2009 ....... 2,083,950 8 0.38 260,494 5.803 360.00 709 71.35
June 1, 2011 ............ 240,000 1 0.04 240,000 5.000 358.00 640 80.00
July 1, 2011 ............ 236,168 1 0.04 236,168 5.375 359.00 751 64.98
August 1, 2011 .......... 439,857 2 0.08 219,929 5.619 360.00 741 54.71
September 1, 2011 ....... 253,000 1 0.05 253,000 5.375 360.00 746 62.47
June 1, 2014 ............ 805,249 3 0.15 268,416 4.951 358.00 743 65.95
July 1, 2014 ............ 304,000 1 0.05 304,000 5.875 359.00 774 80.00
------------ ----- ------ -------- ----- ------ --- -----
Total ............ $554,665,194 2,554 100.00% $217,175 5.589 358.78% 690 80.87%
============ ===== ======
As of the Cut-off Date, the weighted average remaining months to the next
adjustment date of the initial Group 2 Loans will be approximately 26 months.
99-27
GROSS MARGIN
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
RANGE OF GROSS NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
MARGINS (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ----------------------- ----------------- --------- --------- ------------ --------- --------- ------ --------
1.750 - 1.999 .... $ 5,433,078 25 0.98% $217,323 3.865% 357.32% 733 78.94%
2.000 - 2.249 .... 5,635,451 28 1.02 201,266 4.447 357.73 712 75.12
2.250 - 2.499 .... 18,034,552 79 3.25 228,285 4.629 357.82 710 73.91
2.500 - 2.749 .... 15,296,682 75 2.76 203,956 4.751 357.40 693 77.29
2.750 - 2.999 .... 35,918,156 164 6.48 219,013 5.059 357.49 696 82.92
3.000 - 3.249 .... 50,706,002 240 9.14 211,275 5.138 358.00 702 85.54
3.250 - 3.499 .... 96,007,912 421 17.31 228,047 5.298 358.91 726 79.68
3.500 - 3.749 .... 57,967,012 259 10.45 223,811 5.547 358.97 688 82.55
3.750 - 3.999 .... 102,484,879 453 18.48 226,236 5.761 359.38 680 78.44
4.000 - 4.249 .... 6,657,185 34 1.20 195,800 6.176 358.32 688 87.15
4.250 - 4.499 .... 6,988,112 31 1.26 225,423 5.988 358.90 656 82.94
4.500 - 4.749 .... 9,703,816 45 1.75 215,640 5.913 359.11 673 82.56
4.750 - 4.999 .... 10,256,730 48 1.85 213,682 5.682 359.09 663 81.57
5.000 - 5.249 .... 29,093,158 140 5.25 207,808 6.234 359.13 675 80.82
5.250 - 5.499 .... 21,382,789 115 3.86 185,937 5.834 359.06 660 80.20
5.500 - 5.749 .... 26,350,554 140 4.75 188,218 5.997 359.11 659 81.09
5.750 - 5.999 .... 30,723,925 139 5.54 221,035 6.268 359.32 683 80.45
6.000 - 6.249 .... 9,208,546 40 1.66 230,214 6.580 358.96 654 84.36
6.250 - 6.499 .... 9,252,868 43 1.67 215,183 6.841 358.85 654 89.35
6.500 - 6.749 .... 2,381,700 12 0.43 198,475 7.236 359.33 642 86.52
6.750 - 6.999 .... 2,550,447 11 0.46 231,859 6.654 359.19 668 75.78
7.000 - 7.249 .... 684,352 2 0.12 342,176 6.938 360.00 686 71.41
7.250 - 7.499 .... 352,792 2 0.06 176,396 7.672 357.49 642 91.89
7.500 - 7.749 .... 422,100 2 0.08 211,050 7.885 358.56 632 90.00
7.750 - 7.999 .... 131,791 1 0.02 131,791 9.190 358.00 636 67.34
8.500 - 8.749 .... 328,898 2 0.06 164,449 8.598 359.39 664 82.30
8.750 - 8.999 .... 209,000 1 0.04 209,000 9.000 360.00 686 95.00
9.000 - 9.249 .... 312,794 1 0.06 312,794 9.250 359.00 643 95.00
9.500 - 9.749 .... 189,916 1 0.03 189,916 9.990 360.00 627 95.00
------------ ----- ------ -------- ----- ------ --- -----
Total .... $554,665,194 2,554 100.00% $217,175 5.589% 358.78% 690 80.87%
============ ===== ======
___________
As of the Cut-off Date, the weighted average Gross Margin of the initial
Group 2 Loans will be approximately 3.929% per annum.
99-28
MAXIMUM MORTGAGE RATE
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
RANGE OF MAXIMUM NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
MORTGAGE RATES (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ----------------------- ----------------- --------- --------- ------------ --------- --------- ------ --------
9.000 - 9.499 .... $ 935,986 4 0.17% $233,997 3.312% 357.01% 725 80.00%
9.500 - 9.999 .... 18,654,773 78 3.36 239,164 3.914 358.31 719 73.58
10.000 - 10.499 .... 35,605,422 155 6.42 229,712 4.301 358.28 717 74.87
10.500 - 10.999 .... 90,599,040 411 16.33 220,436 4.743 358.46 702 78.66
11.000 - 11.499 .... 105,025,858 478 18.94 219,719 5.212 358.66 693 80.59
11.500 - 11.999 .... 140,168,222 679 25.27 206,433 5.714 358.81 683 81.33
12.000 - 12.499 .... 57,707,145 264 10.40 218,588 6.125 359.09 682 82.27
12.500 - 12.999 .... 47,529,520 219 8.57 217,030 6.517 359.07 676 83.88
13.000 - 13.499 .... 27,239,800 115 4.91 236,868 6.920 359.37 684 84.56
13.500 - 13.999 .... 17,940,201 88 3.23 203,866 7.319 359.29 677 86.35
14.000 - 14.499 .... 6,082,946 28 1.10 217,248 7.880 359.38 670 86.80
14.500 - 14.999 .... 4,181,861 21 0.75 199,136 8.353 359.27 681 90.47
15.000 - 15.499 .... 2,116,215 9 0.38 235,135 8.954 359.52 630 86.66
15.500 - 15.999 .... 546,777 3 0.10 182,259 9.067 358.44 662 94.42
16.000 - 16.499 .... 131,791 1 0.02 131,791 9.190 358.00 636 67.34
16.500 - 16.999 .... 199,636 1 0.04 199,636 8.500 359.00 659 74.07
------------ ----- ------ -------- ----- ------ --- -----
Total ...... $554,665,194 2,554 100.00% $217,175 5.589% 358.78% 690 80.87%
============ ===== ======
_________________
As of the Cut-off Date, the weighted average Maximum Mortgage Rate of
the initial Group 2 Loans will be approximately 11.636% per annum.
99-29
INITIAL FIXED-RATE PERIOD
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
INITIAL FIXED PERIOD CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ----------------------- ----------------- --------- --------- ------------ --------- --------- ------ --------
One Month ................ $ 235,200 1 0.04% $235,200 4.500% 359.00% 762 70.00%
Three Months ............. 904,351 4 0.16 226,088 5.196 360.00 686 82.15
Six Months ............... 48,529,179 211 8.75 229,996 5.471 359.50 702 79.79
One Year ................. 2,688,845 12 0.48 224,070 6.151 359.77 701 82.10
Two Years ................ 310,629,700 1,396 56.00 222,514 5.676 358.71 690 82.16
Three Years .............. 169,008,788 831 30.47 203,380 5.421 358.58 684 79.84
Five Years ............... 20,390,858 90 3.68 226,565 5.926 359.50 712 73.83
Seven Years .............. 1,169,026 5 0.21 233,805 5.390 359.39 723 63.66
Ten Years ................ 1,109,249 4 0.20 277,312 5.204 358.27 752 69.80
------------ ----- ------ -------- ----- ------ --- -----
Total ................ $554,665,194 2,554 100.00% $217,175 5.589% 358.78% 690 80.87%
============ ===== ======
INITIAL RATE CAP
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
INITIAL CAP (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ----------------------- ----------------- --------- --------- ------------ --------- --------- ------ --------
1.000 .................... $ 50,964,071 221 9.19% $ 230,607 5.459% 359.51% 702 79.77%
1.500 .................... 700,553 3 0.13 233,518 6.801 357.50 630 83.62
2.000 .................... 6,838,274 29 1.23 235,803 6.058 359.07 690 82.25
3.000 .................... 335,140,864 1,532 60.42 218,760 5.819 359.37 689 78.58
3.375 .................... 163,649 1 0.03 163,649 5.625 359.00 630 80.00
5.000 .................... 3,003,434 12 0.54 250,286 5.885 358.85 702 76.14
6.000 .................... 157,854,349 756 28.46 208,802 5.111 357.27 689 86.11
------------ ----- ------ --------- ----- ------ --- -----
Total ................ $554,665,194 2,554 100.00% $ 217,175 5.589% 358.78% 690 80.87%
============ ===== ======
PERIODIC RATE CAP
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
SUBSEQUENT CAP (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ----------------------- ----------------- --------- --------- ------------ --------- --------- ------ --------
1.000 .................... $550,778,285 2,539 99.30% $216,927 5.583% 358.77% 691 80.91%
1.500 .................... 1,057,265 4 0.19 264,316 7.411 359.42 567 67.96
2.000 .................... 2,829,644 11 0.51 257,240 5.980 358.81 684 77.67
------------ ----- ------ -------- ----- ------ --- -----
Total ................ $554,665,194 2,554 100.00% $217,175 5.589% 358.78% 690 80.87%
============ ===== ======
99-30
ORIGINAL LOAN-TO-VALUE RATIOS
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
RANGE OF LOAN-TO-VALUE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
RATIOS (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ----------------------- ----------------- --------- --------- ------------ --------- --------- ------ --------
25.01 - 30.00 ...... $ 335,000 2 0.06% $167,500 4.718% 359.58% 712 27.15%
30.01 - 35.00 ...... 889,047 4 0.16 222,262 4.756 358.43 711 32.99
35.01 - 40.00 ...... 1,017,164 6 0.18 169,527 5.225 358.64 690 37.88
40.01 - 45.00 ...... 959,889 6 0.17 159,982 4.964 358.97 704 43.31
45.01 - 50.00 ...... 2,116,857 9 0.38 235,206 4.883 358.23 689 47.77
50.01 - 55.00 ...... 3,770,464 21 0.68 179,546 5.281 359.14 695 53.01
55.01 - 60.00 ...... 5,968,412 28 1.08 213,158 5.239 358.86 683 58.65
60.01 - 65.00 ...... 10,659,807 46 1.92 231,735 5.208 358.95 708 63.01
65.01 - 70.00 ...... 80,725,275 333 14.55 242,418 4.973 359.50 713 69.57
70.01 - 75.00 ...... 19,925,050 90 3.59 221,389 5.330 358.70 690 73.78
75.01 - 80.00 ...... 239,971,397 1,111 43.26 215,996 5.576 359.11 688 79.82
80.01 - 85.00 ...... 17,470,654 84 3.15 207,984 5.757 358.37 672 83.90
85.01 - 90.00 ...... 97,951,554 457 17.66 214,336 6.024 358.14 684 89.72
90.01 - 95.00 ...... 70,881,488 346 12.78 204,860 5.886 357.78 681 94.79
95.01 -100.00 ...... 2,023,135 11 0.36 183,921 6.695 358.87 731 99.55
------------ ----- ------ -------- ----- ------ --- -----
Total ........ $554,665,194 2,554 100.00% $217,175 5.589% 358.78% 690 80.87%
============ ===== ======
__________________
The minimum and maximum loan-to-value ratios of the initial Group 2
Loans at origination were approximately 26.54% and 100.00%, respectively, and
the weighted average of the loan-to-value ratios of the initial Group 2 Loans at
origination was approximately 80.87%.
OCCUPANCY TYPES
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
OCCUPANCY CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ----------------------- ----------------- --------- --------- ------------ --------- --------- ------ --------
Owner Occupied ........... $450,466,591 2,067 81.21% $217,933 5.541% 358.80% 687 81.02%
Investment ............... 88,702,319 414 15.99 214,257 5.864 358.67 707 80.31
Second Home .............. 15,496,284 73 2.79 212,278 5.421 358.68 703 79.83
------------ ----- ------ -------- ----- ------ --- -----
Total ................ $554,665,194 2,554 100.00% $217,175 5.589% 358.78% 690 80.87%
============ ===== ======
Occupancy type is based on the representation of the borrower at the
time of origination.
99-31
MORTGAGE LOAN PROGRAM AND DOCUMENTATION TYPE
WEIGHTED WEIGHTED WEIGHTED
WEIGHTED AVERAGE AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE AVERAGE GROSS REMG. TERM CREDIT ORIGINAL
DOCUMENT TYPE BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ------------- ------- ----- ----- ------- --- -------- ----- ---
Progressive Series
Program (Limited
(Stated)
Documentation).............$ 198,120,840 862 35.72% $ 229,839 5.617% 359.35% 701 78.14%
Progressive Series
Program
(Full Documentation)....... 137,269,265 663 24.75 207,043 5.434 359.23 682 78.63
Progressive Express(TM)
Program (Non Verified
Assets).................... 119,348,687 550 21.52 216,998 5.575 357.89 681 84.56
Progressive Express(TM)
No Doc Program (No
Documentation)............. 64,091,932 317 11.56 202,183 5.495 357.65 693 85.85
Progressive Express(TM)
Program (Verified
Assets).................... 28,646,207 128 5.16 223,798 6.222 358.71 688 82.63
Progressive Express(TM)
No Doc Program
(Verified Assets).......... 3,126,946 15 0.56 208,463 6.717 359.72 711 89.45
Progressive Series
Program ( Alternative
Documentation)............. 1,990,840 8 0.36 248,855 5.942 359.71 670 80.86
Progressive Series
Program (Full
Income/Stated Assets
Documentation)............. 1,621,143 9 0.29 180,127 6.062 358.38 656 85.06
Progressive Series
Program (No
Income/No Asset
Documentation)............. 449,334 2 0.08 224,667 6.218 358.00 661 87.00
------------- ----- ------ --------- ----- ------ --- -----
Total......................$ 554,665,194 2,554 100.00% $ 217,175 5.589% 358.78% 690 80.87%
============= ===== ======
See "--Underwriting Standards" below for a detailed description of the
Seller's loan programs and documentation requirements.
99-32
RISK CATEGORIES
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
CREDIT GRADE CATEGORY CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- --------------------- --------------- ----- ----- ------- --- -------- ----- ---
A+(1).......................... $ 270,132,199 1,216 48.70% $222,148 5.322% 358.84% 725 79.72%
A(1)........................... 212,194,219 991 38.26 214,121 5.637 358.53 654 82.26
A- (1)......................... 18,851,841 99 3.40 190,423 6.077 358.93 612 80.06
C(1)........................... 229,802 1 0.04 229,802 6.750 359.00 545 68.24
CX(1).......................... 226,641 1 0.04 226,641 8.400 354.00 526 68.94
Progressive Express(TM)I(2).... 28,579,592 135 5.15 211,701 6.237 359.50 726 80.45
Progressive Express(TM)II(2)... 20,404,992 94 3.68 217,074 6.934 359.22 649 84.01
Progressive Express(TM)III(2).. 1,792,947 8 0.32 224,118 7.274 359.28 630 82.54
Progressive Express(TM)IV(2)... 1,395,695 6 0.25 232,616 6.559 359.17 604 77.47
Progressive Express(TM)V(2).... 557,466 2 0.10 278,733 6.973 359.45 578 64.44
Progressive Express(TM)VI(2)... 299,799 1 0.05 299,799 8.000 359.00 524 66.67
------------- ----- ------ -------- ----- ------ --- -----
Total.......................... $ 554,665,194 2,554 100.00% $217,175 5.589% 358.78% 690 80.87%
============= ===== ======
___________________
(1) All of these initial Group 2 Loans were reviewed and placed into risk
categories based on the credit standards of the Progressive Series Program.
Credit grades of A+, A, A-, C and CX correspond to Progressive Series I+, I and
II, III and III+, V and VI, respectively.
(2) These initial Group 2 Loans were originated under the Seller's Progressive
Express(TM) Program. The underwriting for these initial Group 2 Loans is
generally based on the borrower's "Credit Score" score and therefore these
initial Group 2 Loans do not correspond to the alphabetical risk categories
listed above. Each mortgage loan originated pursuant to the Express Priority
Refi(TM) Program has been placed in either Progressive Express(TM) Program II or
III.
SEE "--UNDERWRITING STANDARDS" BELOW FOR A DESCRIPTION OF THE SELLER'S
RISK CATEGORIES.
99-33
PROPERTY TYPES
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
PROPERTY TYPE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ------------- --------------- ----- ----- ------- --- -------- ----- ---
Single-Family Residence....... $ 379,871,687 1,794 68.49% $ 211,746 5.517% 358.62% 686 81.53%
Condominium................... 63,879,248 299 11.52 213,643 5.521 358.96 702 80.05
De minimis PUD................ 36,796,481 159 6.63 231,424 5.804 359.52 690 79.07
Planned Unit Development...... 25,694,819 120 4.63 214,123 5.897 359.46 694 80.17
Two Family.................... 21,617,260 91 3.90 237,552 5.988 358.77 694 80.98
Four Family................... 14,420,512 44 2.60 327,739 5.926 358.81 714 76.33
Three Family.................. 7,456,208 27 1.34 276,156 5.755 358.89 715 74.49
High-rise/Condominium......... 3,443,868 12 0.62 286,989 5.864 359.10 721 80.65
Townhouse..................... 1,485,111 8 0.27 185,639 5.753 359.11 666 79.26
------------- ----- ------ --------- ----- ------ --- -----
Total......................... $ 554,665,194 2,554 100.00% $ 217,175 5.589% 358.78% 690 80.87%
============= ===== ======
99-34
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
STATE BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ----- ------- ----- ----- ------- --- -------- ----- ---
Alabama....................... $ 1,224,714 6 0.22% $204,119 4.795% 358.29% 692 77.39%
Arkansas...................... 1,708,471 10 0.31 170,847 6.052 358.18 697 90.65
Arizona....................... 19,540,383 110 3.52 177,640 5.672 358.42 672 84.12
California.................... 237,626,569 944 42.84 251,723 5.470 359.19 699 77.82
Colorado...................... 16,013,378 82 2.89 195,285 5.403 358.11 683 84.31
Connecticut................... 3,053,078 16 0.55 190,817 6.213 358.10 675 83.07
District of Columbia.......... 984,668 4 0.18 246,167 5.934 358.19 636 87.62
Delaware...................... 1,808,729 10 0.33 180,873 5.168 357.34 674 85.76
Florida....................... 44,043,477 242 7.94 181,998 5.967 358.89 692 83.82
Georgia....................... 7,432,892 39 1.34 190,587 5.585 357.94 684 88.49
Hawaii........................ 2,350,107 9 0.42 261,123 5.948 358.48 673 78.71
Iowa.......................... 587,250 3 0.11 195,750 5.828 358.49 688 91.33
Idaho......................... 922,019 6 0.17 153,670 5.639 358.49 653 86.88
Illinois...................... 16,492,018 82 2.97 201,122 5.889 358.51 684 83.01
Indiana....................... 1,931,461 10 0.35 193,146 5.862 359.18 716 81.02
Kansas........................ 2,194,241 11 0.40 199,476 5.537 358.36 693 84.06
Kentucky...................... 560,795 4 0.10 140,199 5.432 358.25 700 89.86
Louisiana..................... 421,207 3 0.08 140,402 5.292 356.97 686 88.98
Massachusetts................. 15,921,513 67 2.87 237,635 5.432 358.43 681 78.27
Maryland...................... 13,658,375 66 2.46 206,945 5.730 358.94 684 81.42
Maine......................... 679,918 3 0.12 226,639 4.967 357.29 733 76.34
Michigan...................... 4,178,371 23 0.75 181,668 6.233 358.53 675 87.93
Minnesota..................... 18,988,654 98 3.42 193,762 5.577 358.10 677 84.52
Missouri...................... 5,299,074 30 0.96 176,636 5.587 357.96 668 87.07
Mississippi................... 1,215,747 7 0.22 173,678 5.288 358.10 657 82.32
Montana....................... 917,195 4 0.17 229,299 6.715 358.02 642 89.87
North Carolina................ 4,958,840 27 0.89 183,661 5.549 358.28 689 84.25
North Dakota.................. 135,855 1 0.02 135,855 5.650 360.00 752 80.00
Nebraska...................... 887,114 5 0.16 177,423 5.557 357.19 665 94.31
New Hampshire................. 3,035,320 13 0.55 233,486 5.298 357.66 683 79.79
New Jersey.................... 12,330,951 50 2.22 246,619 6.006 358.38 674 83.26
New Mexico.................... 1,353,126 6 0.24 225,521 5.412 357.75 686 82.99
Nevada........................ 28,547,825 135 5.15 211,465 5.682 358.61 694 81.68
New York...................... 6,751,710 25 1.22 270,068 5.969 358.16 677 80.70
Ohio.......................... 5,365,388 30 0.97 178,846 5.295 358.20 675 83.03
Oklahoma...................... 304,739 2 0.05 152,369 6.234 358.27 675 88.63
Oregon........................ 8,925,696 53 1.61 168,409 5.337 358.72 680 80.36
Pennsylvania.................. 3,645,855 18 0.66 202,547 5.654 358.69 674 80.99
Rhode Island.................. 1,233,628 5 0.22 246,726 5.755 357.64 703 91.42
South Carolina................ 2,723,063 15 0.49 181,538 5.477 357.58 697 91.04
South Dakota.................. 580,166 3 0.10 193,389 5.520 359.00 672 78.45
Tennessee..................... 1,583,570 9 0.29 175,952 5.421 358.09 669 86.32
Texas......................... 8,144,660 43 1.47 189,411 5.762 358.61 688 84.21
Utah.......................... 5,081,433 29 0.92 175,222 5.428 358.52 712 84.28
Virginia...................... 17,372,589 80 3.13 217,157 5.770 358.51 683 83.22
Washington.................... 17,799,894 94 3.21 189,361 5.283 358.79 682 80.35
Wisconsin..................... 4,149,465 22 0.75 188,612 5.523 357.80 672 82.94
-------------- ----- ------ -------- ----- ------ --- -----
Total......................... $ 554,665,194 2,554 100.00% $217,175 5.589% 358.78% 690 80.87%
============== ===== ======
No more than approximately 0.55% of the initial Group 2 Loans (by
aggregate outstanding principal balance as of the Cut-off Date) are secured by
mortgaged properties located in any one zip code.
99-35
DEBT-TO-INCOME RATIO
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
DESCRIPTION (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- --------------- --------------- ----- ----- ------- --- -------- ----- ---
0.01 -5.00................. $ 487,500 2 0.09% $ 243,750 5.255% 359.65% 732 63.33%
5.01 - 10.00............... 490,920 3 0.09 163,640 5.574 358.98 644 80.22
10.01 - 15.00.............. 1,459,095 7 0.26 208,442 5.962 359.19 668 80.59
15.01 - 20.00.............. 5,698,574 28 1.03 203,521 5.552 359.35 698 75.70
20.01 - 25.00.............. 10,537,853 48 1.90 219,539 5.863 359.23 696 75.96
25.01 - 30.00.............. 17,183,721 82 3.10 209,558 5.669 359.33 696 77.31
30.01 - 35.00.............. 34,830,537 160 6.28 217,691 5.643 359.37 694 78.75
35.01 - 40.00.............. 63,915,108 293 11.52 218,140 5.698 359.35 694 78.73
40.01 - 45.00.............. 89,961,963 396 16.22 227,177 5.779 359.37 688 78.93
45.01 - 50.00.............. 90,556,621 410 16.33 220,870 5.641 359.33 685 78.99
50.01 - 55.00.............. 6,872,023 29 1.24 236,966 5.348 359.26 687 73.00
Greater than 55.00......... 922,356 4 0.17 230,589 6.061 359.50 702 75.91
Not Required............... 231,748,922 1,092 41.78 212,224 5.442 357.98 691 84.17
------------- ----- ------ --------- ----- ------ --- -----
Total...................... $ 554,665,194 2,554 100.00% $ 217,175 5.589% 358.78% 690 80.87%
============= ===== ======
As of the Cut-off Date, the weighted average debt-to-income ratio of
the initial Group 2 Loans will be approximately 40.17% per annum.
PREPAYMENT PENALTY
WEIGHTED WEIGHTED
AVERAGE AVERAGE WEIGHTED WEIGHTED
TERM CREDIT ORIGINAL NO. OF % OF AVERAGE GROSS REMG. AVERAGE AVERAGE
NUMBER OF MONTHS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ---------------- --------------- ----- ----- ------- --- -------- ----- ---
0............................ $ 152,041,009 686 27.41% $ 221,634 5.657% 358.25% 690 82.80%
6............................ 3,984,977 18 0.72 221,388 5.312 358.99 702 79.55
7............................ 366,800 2 0.07 183,400 4.099 360.00 711 70.00
12........................... 76,579,156 327 13.81 234,187 5.455 359.33 698 77.02
24........................... 216,331,929 987 39.00 219,181 5.631 358.84 691 81.55
36........................... 105,361,323 534 19.00 197,306 5.517 358.98 683 79.58
------------- ----- ------ --------- ----- ------ --- -----
Total........................ $ 554,665,194 2,554 100.00% $ 217,175 5.589% 358.78% 690 80.87%
============= ===== ======
99-36
MONTHS REMAINING TO SCHEDULED MATURITY
WEIGHTED WEIGHTED
AVERAGE AVERAGE WEIGHTED WEIGHTED
TERM CREDIT ORIGINAL NO. OF % OF AVERAGE GROSS REMG. AVERAGE AVERAGE
RANGE OF MONTHS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- --------------- --------------- ----- ----- ------- --- -------- ----- ---
301-360...................... $554,665,194 2,554 100.00% $217,175 5.589% 358.78% 690 80.87%
------------ ----- ------ -------- ----- ------ --- -----
Total........................ $554,665,194 2,554 100.00% $217,175 5.589% 358.78% 690 80.87%
============ ===== ======
As of the Cut-off Date, the weighted average months remaining to
scheduled maturity of the initial Group 2 Loans will be approximately 359
months.
CREDIT SCORES
WEIGHTED WEIGHTED
AVERAGE AVERAGE WEIGHTED WEIGHTED
TERM CREDIT ORIGINAL NO. OF % OF AVERAGE GROSS REMG. AVERAGE AVERAGE
RANGE OF CREDIT SCORES CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ---------------------- --------------- ----- ----- ------- --- -------- ----- ---
801-820...................... $ 2,214,307 9 0.40% $246,034 4.959% 358.42% 805 75.95%
781-800...................... 18,163,006 80 3.27 227,038 5.167 358.91 789 77.52
761-780...................... 32,769,930 143 5.91 229,160 5.168 358.92 769 77.60
741-760...................... 39,927,789 179 7.20 223,060 5.357 359.16 749 78.04
721-740...................... 57,285,506 255 10.33 224,649 5.393 358.89 730 79.72
701-720...................... 67,134,003 306 12.10 219,392 5.501 358.80 710 81.81
681-700...................... 84,412,932 393 15.22 214,791 5.573 358.88 690 80.58
661-680...................... 83,212,492 379 15.00 219,558 5.572 358.68 671 81.23
641-660...................... 80,968,285 385 14.60 210,307 5.815 358.64 651 82.68
621-640...................... 64,507,691 303 11.63 212,897 5.875 358.44 631 83.41
601-620...................... 20,688,683 107 3.73 193,352 6.092 358.80 612 81.38
581-600...................... 2,066,864 10 0.37 206,686 6.792 359.52 594 74.75
561-580...................... 557,466 2 0.10 278,733 6.973 359.45 578 64.44
541-560...................... 229,802 1 0.04 229,802 6.750 359.00 545 68.24
521-540...................... 526,440 2 0.09 263,220 8.172 356.85 525 67.65
------------- ----- ------ -------- ----- ------ --- -----
Total........................ $ 554,665,194 2,554 100.00% $217,175 5.589% 358.78% 690 80.87%
============= ===== ======
As of the Cut-off Date, the weighted average credit score of the
initial Group 2 Loans for which credit scores are available will be
approximately 690.
99-37
RANGE OF MONTHS TO ROLL
WEIGHTED WEIGHTED
AVERAGE AVERAGE WEIGHTED WEIGHTED
TERM CREDIT ORIGINAL NO. OF % OF AVERAGE GROSS REMG. AVERAGE AVERAGE
NUMBER OF MONTHS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ---------------- --------------- ----- ----- ------- --- -------- ----- ---
1-6.......................... $ 49,668,730 216 8.95% $ 229,948 5.462% 359.51% 702 79.79%
7-12......................... 2,688,845 12 0.48 224,070 6.151 359.77 701 82.10
13-18........................ 546,994 2 0.10 273,497 7.507 354.00 596 84.03
19-24........................ 310,082,705 1,394 55.90 222,441 5.672 358.72 690 82.16
25-31........................ 312,381 1 0.06 312,381 4.250 355.00 689 78.75
32-37........................ 168,696,408 830 30.41 203,249 5.424 358.58 684 79.84
56-61........................ 20,390,858 90 3.68 226,565 5.926 359.50 712 73.83
80-85........................ 1,169,026 5 0.21 233,805 5.390 359.39 723 63.66
Greater than 85.............. 1,109,249 4 0.20 277,312 5.204 358.27 752 69.80
------------- ----- ------ --------- ----- ------ --- -----
Total........................ $ 554,665,194 2,554 100.00% $ 217,175 5.589% 358.78% 690 80.87%
============= ===== ======
As of the Cut-off Date, the weighted average months to roll of the
initial Group 2 Loans will be approximately 26 months.
LOAN PURPOSES
WEIGHTED WEIGHTED
AVERAGE AVERAGE WEIGHTED WEIGHTED
NO. OF % OF AVERAGE GROSS REMG. AVERAGE AVERAGE
LOAN PURPOSE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- ------------ --------------- ----- ----- ------- --- -------- ----- ---
Purchase................... $ 357,337,129 1,640 64.42% $217,888 5.614% 358.85% 699 81.99%
Refinance - Cash Out....... 148,414,868 668 26.76 222,178 5.537 358.60 675 78.25
Refinance - Rate/Term...... 48,913,197 246 8.82 198,834 5.564 358.76 671 80.64
------------- ----- ------ -------- ----- ------ --- -----
Total...................... $ 554,665,194 2,554 100.00% $217,175 5.589% 358.78% 690 80.87%
============= ===== ======
In general, in the case of a mortgage loan made for "rate and term"
refinance purposes, substantially all of the proceeds are used to pay in full
the principal balance of a previous mortgage loan of the mortgagor with respect
to a mortgaged property and to pay origination and closing costs associated with
such refinancing. Mortgage loans made for "cash-out" refinance purposes may
involve the use of the proceeds to pay in full the principal balance of a
previous mortgage loan and related costs except that a portion of the proceeds
are generally retained by the mortgagor for uses unrelated to the mortgaged
property. The amount of these proceeds retained by the mortgagor may be
substantial.
99-38