Exhibit 99.1
Unless otherwise noted, all statistical percentages or weighted averages
given as of the Subsequent Cut-off Date set forth herein are measured as a
percentage of the aggregate Principal Balance of the Initial Mortgage Loans in
the related Loan Group or in the Mortgage Pool as of the Cut-off Date and the
Subsequent Mortgage Loans in the related Loan Group or in the Mortgage Pool as
of the Subsequent Cut-off Date.
The Group I Mortgage Loans consist of approximately 2,973 Mortgage Loans
with a Subsequent Cut-off Date Principal Balance of approximately $345,208,640 .
The Group II Mortgage Loans consist of approximately 2,456 Mortgage Loans with a
Subsequent Cut-off Date Principal Balance of approximately $345,233,403.
All of the Mortgage Loans will be secured by first or second mortgages or
deeds of trust or other similar security instruments (each, a "Mortgage"). The
Mortgages create first or second liens on one- to four-family residential
properties consisting of attached or detached one- to four- family dwelling
units and individual condominium units (each, a "Mortgaged Property").
Each Mortgage Loan will accrue interest at the adjustable-rate or
fixed-rate calculated as specified under the terms of the related mortgage note
(each such rate, a "Mortgage Rate"). Approximately 91.81 % of the Group I
Mortgage Loans are adjustable-rate Mortgage Loans (the "Adjustable-Rate Group I
Mortgage Loans") and approximately 8.19% of the Group I Mortgage Loans are
fixed-rate Mortgage Loans (the "Fixed-Rate Group I Mortgage Loans").
Approximately 91.17% of the Group II Mortgage Loans are adjustable-rate Mortgage
Loans (the "Adjustable-Rate Group II Mortgage Loans") and approximately 8.83% of
the Group II Mortgage Loans are fixed-rate Mortgage Loans (the "Fixed-Rate Group
II Mortgage Loans"). Approximately 91.49% of the Mortgage Loans are
adjustable-rate Mortgage Loans (the "Adjustable-Rate Mortgage Loans") and
approximately 8.51% of the Mortgage Loans are fixed-rate Mortgage Loans (the
"Fixed-Rate Mortgage Loans").
Each fixed-rate Mortgage Loan has a Mortgage Rate that is fixed for the
life of such Mortgage Loan.
Each adjustable-rate Mortgage Loan accrues interest at a Mortgage Rate
that is adjustable following an initial period of two years or three years
following origination. Generally, the adjustable-rate Mortgage Loans provide for
semi-annual adjustment to the Mortgage Rate thereon and for corresponding
adjustments to the monthly payment amount due thereon, in each case on each
adjustment date applicable thereto (each such date, an "Adjustment Date");
provided, (i) the first adjustment of the rates for approximately 61.17% of the
Adjustable-Rate Group I Mortgage Loans and approximately 69.15% of the
Adjustable-Rate Group II Mortgage Loans, (in each case, by aggregate principal
balance of the Adjustable-Rate Mortgage Loans in the related Loan Group as of
the Subsequent Cut-off Date) and approximately 68.16% of the Adjustable-Rate
Mortgage Loans (by aggregate principal balance of the Adjustable-Rate Mortgage
Loans) will not occur until two years after the date of origination and (ii) the
first adjustment of the rates for approximately 24.52% of the Adjustable-Rate
Group I Mortgage Loans and approximately 21.63% of the Adjustable-Rate Group II
Mortgage Loans, (in each case, by aggregate principal balance of the
Adjustable-Rate Mortgage Loans in the related Loan Group as of the Subsequent
Cut-off Date) and approximately 23.07% of the Adjustable-Rate Mortgage Loans (by
aggregate principal balance of the Adjustable-Rate Mortgage Loans) will not
occur until three years after the date of origination (each adjustable-rate
Mortgage Loan having any such two year or three year initial fixed period, a
"Delayed First Adjustment Mortgage Loan"). On each Adjustment Date for each
adjustable-rate Mortgage Loan, the Mortgage Rate thereon will be adjusted to
equal the sum, rounded as provided in the related mortgage note, of Six-Month
LIBOR (as defined below), and a fixed percentage amount (the "Gross Margin").
The Mortgage Rate on any adjustable-rate Mortgage Loan will not decrease on the
first related Adjustment Date, will not increase by more than a stated
percentage on the first related Adjustment Date (the "Periodic Rate Cap") and
will not increase or decrease by more than a stated percentage on any Adjustment
Date thereafter (the "Periodic Rate Cap"). Each Mortgage Rate on each
adjustable-rate Mortgage Loan will not exceed a specified maximum Mortgage Rate
over the life of such
Mortgage Loan (the "Maximum Mortgage Rate") or be less than a specified minimum
Mortgage Rate over the life of such Mortgage Loan (the "Minimum Mortgage Rate").
Effective with the first monthly payment due on each adjustable-rate Mortgage
Loan after each related Adjustment Date, the monthly payment amount will be
adjusted to an amount that will amortize fully the outstanding Principal Balance
of the related adjustable-rate Mortgage Loan over its remaining term, and pay
interest at the Mortgage Rate as so adjusted. Due to the application of the
Periodic Rate Caps, the Periodic Rate Caps and the Maximum Mortgage Rates, the
Mortgage Rate on each adjustable-rate Mortgage Loan, as adjusted on any related
Adjustment Date, may be less than the sum of the Index and the related Gross
Margin, rounded as described in this prospectus supplement. None of the
adjustable-rate Mortgage Loans will permit the related mortgagor to convert the
adjustable Mortgage Rate thereon to a fixed Mortgage Rate.
Approximately 17.39% of the Mortgage Loans provide that for a period of 24
months after origination and approximately 3.09% of the Mortgage Loans provide
that for a period of 36 months after origination (the "Interest Only Mortgage
Loans"), the required monthly payments are limited to accrued interest (each, an
"Interest Only Period"). At the end of the Interest Only Period, the monthly
payments on each such Mortgage Loan will be recalculated to provide for
amortization of the Principal Balance by the maturity date and payment of
interest at the then-current Mortgage Rate.
Approximately 85.80% of the Group I Mortgage Loans and approximately
87.71% of the Group II Mortgage Loans (in each case, by aggregate principal
balance of the Mortgage Loans in the related Loan Group as of the Subsequent
Cut-off Date) and approximately 86.75% of the Mortgage Loans (by aggregate
principal balance of the Mortgage Loans) provide for payment by the mortgagor of
a prepayment charge in limited circumstances on certain prepayments. Generally,
each such Mortgage Loan provides for payment of a prepayment charge on partial
prepayments and prepayments in full made within a stated number of months that
is generally between 12 and 36 months from the date of origination of such
Mortgage Loan. The amount of the prepayment charge is provided in the related
mortgage note and is generally equal to six months' interest on any amounts
prepaid in excess of 20.00% of the original Principal Balance of the related
Mortgage Loan in any 12 month period. The holders of the Class P Certificates
will be entitled to all prepayment charges received on the Mortgage Loans, and
such amounts will not be available for distribution on the other classes of
Certificates. Under certain circumstances, as described in the Pooling
Agreement, the Servicer may waive the payment of any otherwise applicable
prepayment charge. Investors should conduct their own analysis of the effect, if
any, that the prepayment charges, and decisions by the Servicer with respect to
the waiver thereof, may have on the prepayment performance of the Mortgage
Loans. As of July 1, 2003, the Alternative Mortgage Parity Act of 1982 (the
"Parity Act"), which regulates the ability of some originators to impose
prepayment charges, was amended. The Depositor makes no representations as to
the effect that the prepayment charges, decisions by the Servicer with respect
to the waiver thereof and the recent amendment of the Parity Act, may have on
the prepayment performance of the Mortgage Loans. However, the Office of Thrift
Supervision's ruling does not retroactively affect loans originated before July
1, 2003.
Mortgage Loan Statistics for all Mortgage Loans
Approximately 47.37% of the Mortgage Loans had combined loan-to-value
ratios at origination in excess of 80.00%. No Mortgage Loan had a combined
loan-to-value ratio at origination in excess of 100.00%. The weighted average
combined loan-to-value ratio of the Mortgage Loans at origination was
approximately 86.46%. There can be no assurance that the loan-to-value ratio of
any Mortgage Loan determined at any time after origination is less than or equal
to its original loan-to-value ratio. Additionally, the Originator's
determination of the value of a Mortgaged Property used in the calculation of
the original loan-to-value ratios of the Mortgage Loans may differ from the
appraised value of such Mortgaged Property or the actual value of such Mortgaged
Property at origination.
All of the Mortgage Loans have a scheduled payment due each month (the
"Due Date") on the first day of the month.
The weighted average remaining term to maturity of the Mortgage Loans was
approximately 348 months as of the Subsequent Cut-off Date. None of the Mortgage
Loans had a first Due Date prior to April 1, 2003 or after May 1, 2004, or has a
remaining term to maturity of less than 170 months or greater than 360 months as
of the Subsequent Cut-off Date. The latest maturity date of any Mortgage Loan is
April 1, 2034.
The average Principal Balance of the Mortgage Loans at origination was
approximately $127,389. The average Subsequent Cut-off Date Principal Balance of
the Mortgage Loans was approximately $127,177. No Mortgage Loan had a Subsequent
Cut-off Date Principal Balance of greater than approximately $719,283 or less
than approximately $7,643.
As of the Subsequent Cut-off Date, the Mortgage Loans had Mortgage Rates
of not less than 4.625% per annum and not more than 16.490% per annum and the
weighted average Mortgage Rate of the Mortgage Loans was approximately 7.857%
per annum. As of the Subsequent Cut-off Date, the Adjustable-Rate Mortgage Loans
had Gross Margins ranging from 3.875% per annum to 10.000% per annum, Minimum
Mortgage Rates ranging from 4.000% per annum to 12.875% per annum and Maximum
Mortgage Rates ranging from 7.000% per annum to 19.875% per annum. As of the
Subsequent Cut-off Date, the weighted average Gross Margin of the
Adjustable-Rate Mortgage Loans was approximately 6.188% per annum, the weighted
average Minimum Mortgage Rate of the Adjustable-Rate Mortgage Loans was
approximately 7.569% per annum and the weighted average Maximum Mortgage Rate of
the Adjustable-Rate Mortgage Loans was approximately 14.658% per annum. The
latest next Adjustment Date following the Subsequent Cut-off Date on any
Adjustable-Rate Mortgage Loan occurs on April 1, 2009 and the weighted average
time until the next Adjustment Date for all of the Adjustable-Rate Mortgage
Loans is approximately 24 months.
The Mortgage Loans are expected to have the following characteristics as
of the Subsequent Cut-off Date (the sum in any column may not equal the total
indicated due to rounding):
Subsequent Cut-off Date Principal Balances of the Mortgage Loans(1)
Principal Balance % of Aggregate Principal
Principal Balance ($) Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
7,643 - 25,000 313 $ 5,440,659.23 0.79%
25,001 - 50,000 827 31,199,060.25 4.52
50,001 - 75,000 808 50,914,463.97 7.37
75,001 - 100,000 708 62,041,958.09 8.99
100,001 - 125,000 644 72,350,051.87 10.48
125,001 - 150,000 539 73,794,203.69 10.69
150,001 - 175,000 376 60,849,672.53 8.81
175,001 - 200,000 282 52,890,961.16 7.66
200,001 - 225,000 204 43,479,654.00 6.30
225,001 - 250,000 155 36,888,847.59 5.34
250,001 - 275,000 132 34,607,504.80 5.01
275,001 - 300,000 93 26,750,359.79 3.87
300,001 - 325,000 83 26,078,902.60 3.78
325,001 - 350,000 61 20,645,303.59 2.99
350,001 - 375,000 42 15,069,605.77 2.18
375,001 - 400,000 30 11,680,872.78 1.69
400,001 - 425,000 17 7,050,615.15 1.02
425,001 - 450,000 16 7,007,519.59 1.01
450,001 - 475,000 31 14,320,562.08 2.07
475,001 - 500,000 19 9,266,836.30 1.34
500,001 - 525,000 11 5,649,912.77 0.82
525,001 - 550,000 7 3,750,584.40 0.54
550,001 - 575,000 6 3,372,402.38 0.49
575,001 - 600,000 16 9,483,956.06 1.37
600,001 - 625,000 2 1,216,649.06 0.18
625,001 - 650,000 3 1,946,353.25 0.28
650,001 - 675,000 3 1,975,286.46 0.29
700,001 - 719,283 1 719,283.10 0.10
- ----------------------------------------------------------------------------------------------------------------
Total 5,429 $ 690,442,042.31 100.00%
================================================================================================================
- ----------
(1) The average Subsequent Cut-off Date Principal Balance of the Mortgage
Loans was approximately $127,177.
Credit Scores for the Mortgage Loans(1)
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Credit Score Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
506 - 525 13 1,399,488.13 0.20
526 - 550 195 19,482,598.28 2.82
551 - 575 235 23,559,276.37 3.41
576 - 600 641 74,924,263.26 10.85
601 - 625 891 93,453,797.80 13.54
626 - 650 1,191 147,403,889.96 21.35
651 - 675 1,030 142,692,514.20 20.67
676 - 700 606 89,439,547.95 12.95
701 - 725 293 46,078,876.74 6.67
726 - 750 186 28,037,178.81 4.06
751 - 775 112 17,846,338.82 2.58
776 - 800 35 5,919,858.69 0.86
801 - 802 1 204,413.30 0.03
- --------------------------------------------------------------------------------------------------------------------
Total 5,429 690,442,042.31 100.00
====================================================================================================================
- ----------
(1) The weighted average credit score of the Mortgage Loans that had credit
scores was approximately 648
Original Terms to Maturity of the Mortgage Loans(1)
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Original Term (months) Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
180 - 180 803 31,135,239.06 4.51
181 - 240 75 1,740,322.39 0.25
301 - 360 4,551 657,566,480.86 95.24
- --------------------------------------------------------------------------------------------------------------------
Total 5,429 690,442,042.31 100.00
====================================================================================================================
- ----------
(1) The weighted average original term to maturity of the Mortgage Loans was
approximately 352 months.
Remaining Terms to Maturity of the Mortgage Loans(1)
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Remaining Term (months) Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
170 - 192 803 31,135,239.06 4.51
217 - 240 75 1,740,322.39 0.25
337 - 360 4,551 657,566,480.86 95.24
- --------------------------------------------------------------------------------------------------------------------
Total 5,429 690,442,042.31 100.00
====================================================================================================================
- ----------
(1) The weighted average remaining term to maturity of the Mortgage Loans was
approximately 348 months.
Property Types of the Mortgage Loans
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Property Type Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
Single Family 3,988 464,869,313.95 67.33
PUD 786 126,053,543.49 18.26
3 Units 184 33,421,194.80 4.84
2 Units 183 25,382,407.52 3.68
Condominium 205 23,939,501.72 3.47
4 Units 80 16,543,501.09 2.40
Manufactured Housing 2 176,479.74 0.03
Townhouse 1 56,100.00 0.01
- --------------------------------------------------------------------------------------------------------------------
Total 5,429 690,442,042.31 100.00
====================================================================================================================
Occupancy Status of the Mortgage Loans(1)
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Occupancy Status Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
Primary 5,204 670,897,007.52 97.17
Non-owner 219 18,309,758.46 2.65
Second Home 6 1,235,276.33 0.18
- --------------------------------------------------------------------------------------------------------------------
Total 5,429 690,442,042.31 100.00
====================================================================================================================
- ----------
(1) Occupancy as represented by the mortgagor at the time of origination.
Purpose of the Mortgage Loans
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Purpose Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
Purchase 3,981 469,288,405.22 67.97
Cash Out Refinance 1,367 208,401,385.65 30.18
Rate/Term Refinance 81 12,752,251.44 1.85
- --------------------------------------------------------------------------------------------------------------------
Total 5,429 690,442,042.31 100.00
====================================================================================================================
Combined Original Loan-to-Value Ratios of the Mortgage Loans(1)(2)
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Combined Original Loan-to-Value Ratio (%) Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
14.97 - 15.00 1 17,785.77 0.00
15.01 - 20.00 1 20,384.15 0.00
20.01 - 25.00 1 29,957.52 0.00
25.01 - 30.00 3 194,602.79 0.03
35.01 - 40.00 5 316,506.22 0.05
40.01 - 45.00 8 602,848.32 0.09
45.01 - 50.00 8 844,765.45 0.12
50.01 - 55.00 17 1,871,555.81 0.27
55.01 - 60.00 25 3,296,246.07 0.48
60.01 - 65.00 31 4,680,057.07 0.68
65.01 - 70.00 101 15,617,558.98 2.26
70.01 - 75.00 162 20,827,983.58 3.02
75.01 - 80.00 2,063 315,055,729.79 45.63
80.01 - 85.00 334 40,432,669.06 5.86
85.01 - 90.00 341 53,897,741.13 7.81
90.01 - 95.00 258 51,923,225.88 7.52
95.01 - 100.00 2,070 180,812,424.72 26.19
- --------------------------------------------------------------------------------------------------------------------
Total 5,429 690,442,042.31 100.00
====================================================================================================================
- ----------
(1) The weighted average combined original loan-to-value ratio of the Mortgage
Loans as of the Subsequent Cut-off Date was approximately 86.46%.
Geographic Distribution of the Mortgaged Properties related to the Mortgage
Loans(1)
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Location Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
Alabama 56 4,697,779.22 0.68
Arizona 549 64,602,436.35 9.36
Arkansas 26 2,279,863.64 0.33
California 939 204,175,606.07 29.57
Colorado 95 14,389,977.26 2.08
Connecticut 50 6,523,139.10 0.94
Delaware 14 1,354,728.78 0.20
District of Columbia 20 4,416,487.82 0.64
Florida 348 37,939,314.58 5.49
Georgia 73 9,447,321.36 1.37
Idaho 71 6,422,484.82 0.93
Illinois 173 19,674,094.78 2.85
Indiana 223 15,947,198.43 2.31
Iowa 78 5,202,446.01 0.75
Kansas 168 12,471,830.43 1.81
Kentucky 45 3,386,212.70 0.49
Louisiana 81 7,708,743.46 1.12
Maryland 81 12,666,012.61 1.83
Massachusetts 178 33,720,107.07 4.88
Michigan 188 17,351,437.30 2.51
Minnesota 9 1,092,934.70 0.16
Mississippi 26 2,309,342.57 0.33
Missouri 247 18,527,217.03 2.68
Montana 15 2,233,429.93 0.32
Nebraska 82 7,585,943.08 1.10
Nevada 135 19,965,160.54 2.89
New Hampshire 8 1,229,774.77 0.18
New Jersey 35 5,328,256.03 0.77
New Mexico 39 4,587,052.98 0.66
North Dakota 3 244,508.65 0.04
Ohio 185 15,385,634.20 2.23
Oklahoma 110 7,909,816.35 1.15
Oregon 237 29,389,546.22 4.26
Pennsylvania 227 15,881,916.68 2.30
Rhode Island 51 6,107,540.95 0.88
South Carolina 3 388,672.50 0.06
South Dakota 20 1,698,850.24 0.25
Tennessee 33 3,911,353.80 0.57
Texas 112 12,788,073.83 1.85
Utah 99 10,074,415.12 1.46
Virginia 95 12,881,821.25 1.87
Washington 186 25,195,833.38 3.65
Wisconsin 3 376,955.65 0.05
Wyoming 13 970,770.07 0.14
- --------------------------------------------------------------------------------------------------------------------
Total 5,429 690,442,042.31 100.00
====================================================================================================================
- ----------
(1) The greatest ZIP Code geographic concentration of Mortgage Loans was
approximately 0.85% in the 94591 ZIP Code.
Documentation Levels of the Mortgage Loans
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Documentation Level Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
Full Documentation 4,557 573,972,043.20 83.13
Stated Documentation 871 116,383,940.09 16.86
Limited Documentation 1 86,059.02 0.01
- --------------------------------------------------------------------------------------------------------------------
Total 5,429 690,442,042.31 100.00
====================================================================================================================
Current Mortgage Rates of the Mortgage Loans(1)
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Current Mortgage Rate (%) Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
4.6250 - 5.0000 38 10,860,053.37 1.57
5.0001 - 5.5000 193 46,778,934.18 6.78
5.5001 - 6.0000 381 80,418,920.93 11.65
6.0001 - 6.5000 441 79,008,397.40 11.44
6.5001 - 7.0000 382 66,229,578.75 9.59
7.0001 - 7.5000 505 73,568,409.37 10.66
7.5001 - 8.0000 581 78,275,231.92 11.34
8.0001 - 8.5000 214 24,910,439.80 3.61
8.5001 - 9.0000 225 24,786,865.78 3.59
9.0001 - 9.5000 489 57,356,890.01 8.31
9.5001 - 10.0000 463 48,562,764.34 7.03
10.0001 - 10.5000 335 32,755,034.23 4.74
10.5001 - 11.0000 371 31,061,306.39 4.50
11.0001 - 11.5000 227 13,706,919.66 1.99
11.5001 - 12.0000 192 9,228,979.97 1.34
12.0001 - 12.5000 120 5,323,521.28 0.77
12.5001 - 13.0000 64 2,130,430.96 0.31
13.0001 - 13.5000 23 702,976.24 0.10
13.5001 - 14.0000 61 1,557,333.13 0.23
14.0001 - 14.5000 85 2,111,441.84 0.31
14.5001 - 15.0000 16 434,321.09 0.06
15.0001 - 15.5000 5 134,000.26 0.02
15.5001 - 16.0000 15 411,542.87 0.06
16.0001 - 16.4900 3 127,748.54 0.02
- --------------------------------------------------------------------------------------------------------------------
Total 5,429 690,442,042.31 100.00
====================================================================================================================
- ----------
(1) The weighted average current Mortgage Rate of the Mortgage Loans as of the
Subsequent Cut-off Date was approximately 7.857% per annum.
Gross Margins of the Adjustable-Rate Mortgage Loans(1)
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Gross Margin (%) Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
0.000 - 4.000 9 1,785,847.60 0.28
4.001 - 5.000 615 119,870,764.97 18.98
5.001 - 6.000 1,205 198,018,542.70 31.35
6.001 - 7.000 1,098 152,773,585.16 24.18
7.001 - 8.000 952 113,775,879.58 18.01
8.001 - 9.000 384 40,657,797.30 6.44
9.001 - 10.000 68 4,813,818.96 0.76
- --------------------------------------------------------------------------------------------------------------------
Total 4,331 631,696,236.27 100.00
====================================================================================================================
- ----------
(1) The weighted average Gross Margin of the Adjustable-Rate Mortgage Loans as
of the Subsequent Cut-off Date was approximately 6.188% per annum.
Next Rate Adjustment Date for the Adjustable-Rate Mortgage Loans(1)
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Next Rate Adjustment Date Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
03/01/05 - 03/31/05 1 138,773.99 0.02
06/01/05 - 06/30/05 2 466,230.15 0.07
07/01/05 - 07/31/05 2 643,134.10 0.10
08/01/05 - 08/31/05 10 1,472,367.55 0.23
09/01/05 - 09/30/05 127 22,132,261.43 3.50
10/01/05 - 10/31/05 221 41,238,836.57 6.53
11/01/05 - 11/30/05 429 65,386,999.62 10.35
12/01/05 - 12/31/05 465 66,582,388.69 10.54
01/01/06 - 01/31/06 530 79,099,489.47 12.52
02/01/06 - 02/28/06 430 60,027,974.87 9.50
03/01/06 - 03/31/06 584 86,608,796.92 13.71
04/01/06 - 04/30/06 333 46,791,593.80 7.41
05/01/06 - 05/31/06 3 403,838.47 0.06
06/01/06 - 06/30/06 10 1,102,115.75 0.17
07/01/06 - 07/31/06 11 1,702,402.50 0.27
08/01/06 - 08/31/06 30 3,015,692.11 0.48
09/01/06 - 09/30/06 174 21,689,792.37 3.43
10/01/06 - 10/31/06 226 32,090,694.99 5.08
11/01/06 - 11/30/06 325 42,933,199.59 6.80
12/01/06 - 12/31/06 165 21,659,281.25 3.43
01/01/07 - 01/31/07 122 16,925,946.97 2.68
02/01/07 - 02/28/07 72 9,795,793.81 1.55
03/01/07 - 03/31/07 42 5,645,933.51 0.89
04/01/07 - 04/30/07 10 2,335,025.10 0.37
12/01/08 - 12/31/08 1 506,412.35 0.08
02/01/09 - 02/28/09 3 568,000.00 0.09
04/01/09 - 04/30/09 3 733,260.34 0.12
- --------------------------------------------------------------------------------------------------------------------
Total 4,331 631,696,236.27 100.00
====================================================================================================================
- ----------
(1) The weighted average time until the next rate Adjustment Date for the
Adjustable-Rate Mortgage Loans as of the Subsequent Cut-off Date was
approximately 24 months.
Maximum Mortgage Rates of the Adjustable-Rate Mortgage Loans(1)
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Maximum Mortgage Rate (%) Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
0.000 - 7.000 1 259,759.19 0.04
8.001 - 9.000 1 115,085.32 0.02
9.001 - 10.000 1 322,620.79 0.05
10.001 - 11.000 3 489,591.13 0.08
11.001 - 12.000 39 11,143,838.57 1.76
12.001 - 13.000 571 126,500,622.15 20.03
13.001 - 14.000 758 133,509,452.21 21.14
14.001 - 15.000 1,013 143,047,941.25 22.65
15.001 - 16.000 371 44,543,714.14 7.05
16.001 - 17.000 861 101,764,112.04 16.11
17.001 - 18.000 538 56,040,117.37 8.87
18.001 - 19.000 160 12,936,420.11 2.05
19.001 - 19.875 14 1,022,962.00 0.16
- --------------------------------------------------------------------------------------------------------------------
Total 4,331 631,696,236.27 100.00
====================================================================================================================
- ----------
(1) The weighted average Maximum Mortgage Rate of the Adjustable-Rate Mortgage
Loans as of the Subsequent Cut-off Date was approximately 14.658% per
annum.
Minimum Mortgage Rates of the Adjustable-Rate Mortgage Loans(1)
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Minimum Mortgage Rate (%) Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
0.000 - 4.000 1 169,285.01 0.03
4.001 - 5.000 59 15,142,828.96 2.40
5.001 - 6.000 645 136,083,170.65 21.54
6.001 - 7.000 810 138,405,160.19 21.91
7.001 - 8.000 984 137,775,118.54 21.81
8.001 - 9.000 357 42,795,070.86 6.77
9.001 - 10.000 797 94,241,296.04 14.92
10.001 - 11.000 507 53,399,243.98 8.45
11.001 - 12.000 157 12,662,100.04 2.00
12.001 - 16.490 14 1,022,962.00 0.16
- --------------------------------------------------------------------------------------------------------------------
Total 4,331 631,696,236.27 100.00
====================================================================================================================
- ----------
(1) The weighted average Minimum Mortgage Rate of the Adjustable-Rate Mortgage
Loans as of the Subsequent Cut-off Date was approximately 7.569% per
annum.
Periodic Rate Caps of the Adjustable-Rate Mortgage Loans(1)
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Periodic Rate Cap (%) Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
2.000 492 125,874,121.84 19.93
3.000 3,839 505,822,114.43 80.07
- --------------------------------------------------------------------------------------------------------------------
Total 4,331 631,696,236.27 100.00
====================================================================================================================
- ----------
(1) Relates solely to initial rate adjustments.
Subsequent Periodic Rate Caps of the Adjustable-Rate Mortgage Loans(1)
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Periodic Rate Cap (%) Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
1.500 4,331 631,696,236.27 100.00
- --------------------------------------------------------------------------------------------------------------------
Total 4,331 631,696,236.27 100.00
====================================================================================================================
- ----------
(1) Relates to all rate adjustments subsequent to initial rate adjustments.
Group I Mortgage Loan Statistics
Approximately 47.97% of the Group I Mortgage Loans had combined
loan-to-value ratios at origination in excess of 80.00%. No Group I Mortgage
Loan had a combined loan-to-value ratio at origination in excess of 100.00%. The
weighted average combined loan-to-value ratio of the Group I Mortgage Loans at
origination was approximately 86.76%. There can be no assurance that the
loan-to-value ratio of any Group I Mortgage Loan determined at any time after
origination is less than or equal to its original loan-to-value ratio.
Additionally, the Originator's determination of the value of a Mortgaged
Property used in the calculation of the original loan-to-value ratios of the
Mortgage Loans may differ from the appraised value of such Mortgaged Property or
the actual value of such Mortgaged Property at origination.
All of the Group I Mortgage Loans have a scheduled payment due each month
(the "Due Date") on the first day of the month.
The weighted average remaining term to maturity of the Group I Mortgage
Loans was approximately 349 months as of the Subsequent Cut-off Date. None of
the Group I Mortgage Loans had a first Due Date prior to April 1, 2003 or after
May 1, 2004, or has a remaining term to maturity of less than 170 months or
greater than 360 months as of the Subsequent Cut-off Date. The latest maturity
date of any Group I Mortgage Loan is April 1, 2034.
The average Principal Balance of the Group I Mortgage Loans at origination
was approximately $116,319. The average Subsequent Cut-off Date Principal
Balance of the Group I Mortgage Loans was approximately $116,115. No Group I
Mortgage Loan had a Subsequent Cut-off Date Principal Balance of greater than
approximately $600,000 or less than approximately $7,643.
As of the Subsequent Cut-off Date, the Group I Mortgage Loans had Mortgage
Rates of not less than 4.625% per annum and not more than 16.490% per annum and
the weighted average Mortgage Rate of the Group I Mortgage Loans was
approximately 7.994% per annum. As of the Subsequent Cut-off Date, the
Adjustable-Rate Group I Mortgage Loans had Gross Margins ranging from 3.875% per
annum to 10.000% per annum, Minimum Mortgage Rates ranging from 4.000% per annum
to 12.875% per annum and Maximum Mortgage Rates ranging from 7.000% per annum to
19.875% per annum. As of the Subsequent Cut-off Date, the weighted average Gross
Margin of the Adjustable-Rate Group I Mortgage Loans was approximately 6.227%
per annum, the weighted average Minimum Mortgage Rate of the Adjustable-Rate
Group I Mortgage Loans was approximately 7.702% per annum and the weighted
average Maximum Mortgage Rate of the Adjustable-Rate Group I Mortgage Loans was
approximately 14.805% per annum. The latest next Adjustment Date following the
Subsequent Cut-off Date on any Adjustable-Rate Group I Mortgage Loan occurs in
April 1, 2009 and the weighted average time until the next Adjustment Date for
all of the Adjustable-Rate Group I Mortgage Loans is approximately 24 months.
The Group I Mortgage Loans are expected to have the following
characteristics as of the Subsequent Cut-off Date (the sum in any column may not
equal the total indicated due to rounding):
Subsequent Cut-off Date Principal Balances of the Group I Mortgage Loans(1)
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Principal Balance ($) Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
7,643 - 25,000 174 3,030,079.42 0.88
25,001 - 50,000 446 17,027,028.62 4.93
50,001 - 75,000 471 29,773,071.17 8.62
75,001 - 100,000 404 35,378,075.59 10.25
100,001 - 125,000 378 42,533,456.88 12.32
125,001 - 150,000 312 42,730,253.76 12.38
150,001 - 175,000 219 35,432,980.60 10.26
175,001 - 200,000 140 26,294,708.30 7.62
200,001 - 225,000 121 25,705,273.80 7.45
225,001 - 250,000 86 20,481,398.17 5.93
250,001 - 275,000 72 18,860,225.45 5.46
275,001 - 300,000 56 16,074,510.74 4.66
300,001 - 325,000 57 17,890,971.50 5.18
325,001 - 350,000 21 6,987,845.58 2.02
350,001 - 375,000 3 1,062,535.42 0.31
375,001 - 400,000 4 1,553,565.95 0.45
400,001 - 425,000 2 830,722.49 0.24
425,001 - 450,000 1 429,600.00 0.12
450,001 - 475,000 1 468,000.00 0.14
475,001 - 500,000 1 490,587.45 0.14
500,001 - 525,000 2 1,029,748.82 0.30
525,001 - 550,000 1 544,000.00 0.16
575,001 - 600,000 1 600,000.00 0.17
- --------------------------------------------------------------------------------------------------------------------
Total 345,208,639.71 100.00
====================================================================================================================
- ----------
(1) The average Subsequent Cut-off Date Principal Balance of the Group I
Mortgage Loans was approximately $116,115.
Credit Scores for the Group I Mortgage Loans(1)
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Credit Score Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
506 - 525 6 635,670.76 0.18
526 - 550 99 10,992,801.73 3.18
551 - 575 129 12,838,673.12 3.72
576 - 600 363 40,286,051.14 11.67
601 - 625 466 48,024,228.52 13.91
626 - 650 672 74,915,219.77 21.70
651 - 675 569 70,138,749.00 20.32
676 - 700 327 42,568,680.08 12.33
701 - 725 163 20,402,239.41 5.91
726 - 750 108 14,600,732.80 4.23
751 - 775 57 7,821,546.87 2.27
776 - 800 13 1,779,633.21 0.52
801 - 802 1 204,413.30 0.06
- --------------------------------------------------------------------------------------------------------------------
Total 2,973 345,208,639.71 100.00
====================================================================================================================
- ----------
(1) The weighted average credit score of the Group I Mortgage Loans that had
credit scores was approximately 645.
Original Terms to Maturity of the Group I Mortgage Loans(1)
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Original Term (months) Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
180 - 180 418 14,789,216.77 4.28
181 - 240 41 926,131.63 0.27
301 - 360 2,514 329,493,291.31 95.45
- --------------------------------------------------------------------------------------------------------------------
Total 2,973 345,208,639.71 100.00
====================================================================================================================
- ----------
(1) The weighted average original term to maturity of the Group I Mortgage
Loans was approximately 352 months.
Remaining Terms to Maturity of the Group I Mortgage Loans(1)
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Remaining Term (months) Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
170 - 192 418 14,789,216.77 4.28
217 - 240 41 926,131.63 0.27
337 - 360 2,514 329,493,291.31 95.45
- --------------------------------------------------------------------------------------------------------------------
Total 2,973 345,208,639.71 100.00
====================================================================================================================
- ----------
(1) The weighted average remaining term to maturity of the Group I Mortgage
Loans was approximately 349 months.
Property Types of the Group I Mortgage Loans
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Property Type Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
Single Family 2,200 233,898,095.67 67.76
PUD 408 57,133,016.99 16.55
3 Units 109 18,426,392.52 5.34
2 Units 101 13,529,355.18 3.92
Condominium 116 13,471,301.62 3.90
4 Units 38 8,650,322.28 2.51
Manufactured Housing 1 100,155.45 0.03
- --------------------------------------------------------------------------------------------------------------------
Total 2,973 345,208,639.71 100.00
====================================================================================================================
Occupancy Status of the Group I Mortgage Loans(1)
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Occupancy Status Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
Primary 2,842 334,154,820.04 96.80
Non-owner 128 10,778,877.17 3.12
Second Home 3 274,942.50 0.08
- --------------------------------------------------------------------------------------------------------------------
Total 2,973 345,208,639.71 100.00
====================================================================================================================
- ----------
(1) Occupancy as represented by the mortgagor at the time of origination.
Purpose of the Group I Mortgage Loans
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Purpose Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
Purchase 2,201 238,190,943.20 69.00
Cash Out Refinance 731 101,805,244.99 29.49
Rate/Term Refinance 41 5,212,451.52 1.51
- --------------------------------------------------------------------------------------------------------------------
Total 2,973 345,208,639.71 100.00
====================================================================================================================
Combined Original Loan-to-Value Ratios of the Group I Mortgage Loans(1)
Principal Balance % of Aggregate Principal
Combined Original Loan-to-Value Ratio (%) Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
- --------------------------------------------------------------------------------------------------------------------
14.97 - 15.00 1 17,785.77 0.01
15.01 - 20.00 1 20,384.15 0.01
25.01 - 30.00 2 104,237.53 0.03
35.01 - 40.00 2 194,979.56 0.06
40.01 - 45.00 5 309,337.81 0.09
45.01 - 50.00 6 606,476.23 0.18
50.01 - 55.00 8 919,838.61 0.27
55.01 - 60.00 15 1,944,621.51 0.56
60.01 - 65.00 24 2,929,753.58 0.85
65.01 - 70.00 51 7,763,058.30 2.25
70.01 - 75.00 77 8,371,590.27 2.43
75.01 - 80.00 1,132 156,420,253.24 45.31
80.01 - 85.00 190 20,238,281.40 5.86
85.01 - 90.00 167 23,420,784.20 6.78
90.01 - 95.00 121 20,569,716.12 5.96
95.01 - 100.00 1,171 101,377,541.43 29.37
- --------------------------------------------------------------------------------------------------------------------
Total 2,973 345,208,639.71 100.00
====================================================================================================================
- ----------
(1) The weighted average combined original loan-to-value ratio of the Group I
Mortgage Loans as of the Subsequent Cut-off Date was approximately 86.76%.
Geographic Distribution of the Mortgaged Properties related to the Group I
Mortgage Loans(1)
- --------------------------------------------------------------------------------------------------------------------
% of Aggregate
Principal
Principal Balance Balance
Location Outstanding Outstanding as
Number of as of the of the
Mortgage Loans Subsequent Subsequent
Cut-off Date Cut-off Date
Alabama 34 2,928,391.20 0.85
Arizona 316 34,908,447.52 10.11
Arkansas 18 1,542,720.63 0.45
California 437 82,358,714.17 23.86
Colorado 49 6,372,209.81 1.85
Connecticut 27 4,061,736.77 1.18
Delaware 9 689,329.13 0.20
District of Columbia 11 2,361,614.54 0.68
Florida 198 21,219,868.69 6.15
Georgia 42 4,982,215.54 1.44
Idaho 40 3,509,963.74 1.02
Illinois 101 10,895,815.21 3.16
Indiana 124 9,154,345.18 2.65
Iowa 45 2,839,848.91 0.82
Kansas 100 7,309,407.64 2.12
Kentucky 23 1,778,270.24 0.52
Louisiana 45 4,024,442.43 1.17
Maryland 35 4,847,955.78 1.40
Massachusetts 96 16,530,941.88 4.79
Michigan 101 9,648,790.42 2.80
Minnesota 4 470,443.06 0.14
Mississippi 17 1,483,420.24 0.43
Missouri 143 10,403,778.68 3.01
Montana 9 1,166,224.23 0.34
Nebraska 42 3,893,732.80 1.13
Nevada 73 10,592,712.68 3.07
New Hampshire 7 960,264.25 0.28
New Jersey 24 3,298,889.42 0.96
New Mexico 22 2,388,764.81 0.69
North Dakota 3 244,508.65 0.07
Ohio 103 8,876,329.90 2.57
Oklahoma 67 4,980,923.27 1.44
Oregon 128 15,684,055.20 4.54
Pennsylvania 132 9,996,280.14 2.90
Rhode Island 29 3,618,644.42 1.05
South Carolina 1 138,693.19 0.04
South Dakota 11 854,932.07 0.25
Tennessee 15 1,512,429.82 0.44
Texas 66 7,650,850.65 2.22
Utah 50 4,858,055.65 1.41
Virginia 57 6,354,655.70 1.84
Washington 112 13,211,834.12 3.83
Wisconsin 1 173,615.88 0.05
Wyoming 6 429,571.45 0.12
Total 2,973 345,208,639.71 100.00
- --------------------------------------------------------------------------------------------------------------------
- ----------
(1) The greatest ZIP Code geographic concentration of Group I Mortgage Loans
was approximately 0.77% in the 94591ZIP Code.
Documentation Levels of the Group I Mortgage Loans(1)
- --------------------------------------------------------------------------------------------------------------------
Principal Balance % of Aggregate Principal
Documentation Level Number of Outstanding as of the Balance Outstanding as of
Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
Full Documentation 2,506 289,495,321.70 83.86
Stated Documentation 466 55,627,258.99 16.11
Limited Documentation 1 86,059.02 0.02
- --------------------------------------------------------------------------------------------------------------------
Total 2,973 345,208,639.71 100.00
====================================================================================================================
Current Mortgage Rates of the Group I Mortgage Loans(1)
- ----------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Current Mortgage Rate (%) Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
4.625 - 5.000 13 2,507,458.45 0.73
5.000 - 5.500 92 17,335,300.64 5.02
5.500 - 6.000 185 33,288,559.02 9.64
6.000 - 6.500 242 39,268,125.89 11.38
6.500 - 7.000 205 33,002,758.32 9.56
7.000 - 7.500 317 41,715,300.80 12.08
7.500 - 8.000 328 42,764,786.56 12.39
8.000 - 8.500 122 13,773,737.82 3.99
8.500 - 9.000 125 13,463,589.70 3.90
9.000 - 9.500 274 29,523,632.17 8.55
9.500 - 10.000 274 28,054,417.10 8.13
10.000 - 10.500 165 16,092,824.18 4.66
10.500 - 11.000 196 15,648,665.47 4.53
11.000 - 11.500 127 7,302,562.88 2.12
11.500 - 12.000 113 5,123,735.16 1.48
12.000 - 12.500 67 2,834,755.71 0.82
12.500 - 13.000 36 1,201,198.21 0.35
13.000 - 13.500 8 263,957.10 0.08
13.500 - 14.000 30 695,046.91 0.20
14.000 - 14.500 36 904,876.19 0.26
14.500 - 15.000 7 151,719.12 0.04
15.000 - 15.500 3 75,215.45 0.02
15.500 - 16.000 7 178,451.31 0.05
16.000 - 16.490 1 37,965.55 0.01
- ------------------------------------------------------------------------------------------------------------
Total 2,973 345,208,639.71 100.00
============================================================================================================
- ----------
(1) The weighted average current Mortgage Rate of the Group I Mortgage Loans
as of the Subsequent Cut-off Date was approximately 7.994% per annum.
Gross Margins of the Adjustable-Rate Group I Mortgage Loans(1)
- ----------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Gross Margin (%) Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
3.875 - 4.000 6 1,298,817.07 0.41
4.001 - 5.000 317 53,295,582.16 16.82
5.001 - 6.000 684 99,218,482.45 31.30
6.001 - 7.000 642 82,619,142.03 26.07
7.001 - 8.000 547 60,887,446.42 19.21
8.001 - 9.000 168 17,404,855.43 5.49
9.001 - 10.000 35 2,221,936.12 0.70
- ------------------------------------------------------------------------------------------------------------
Total 2,399 316,946,261.68 100.00
============================================================================================================
- ----------
(1) The weighted average Gross Margin of the Adjustable-Rate Group I Mortgage
Loans as of the Subsequent Cut-off Date was approximately 6.227% per
annum.
Next Rate Adjustment Date for the Adjustable-Rate Group I Mortgage Loans(1)
- ----------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Next Rate Adjustment Date Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
03/01/05 - 03/31/05 1 138,773.99 0.04
06/01/05 - 06/30/05 2 466,230.15 0.15
07/01/05 - 07/31/05 1 123,573.46 0.04
08/01/05 - 08/31/05 4 569,863.01 0.18
09/01/05 - 09/30/05 64 9,976,052.06 3.15
10/01/05 - 10/31/05 115 18,769,658.86 5.92
11/01/05 - 11/30/05 232 31,997,810.30 10.10
12/01/05 - 12/31/05 257 33,772,105.37 10.66
01/01/06 - 01/31/06 290 37,579,295.63 11.86
02/01/06 - 02/28/06 242 31,532,108.94 9.95
03/01/06 - 03/31/06 310 40,635,987.57 12.82
04/01/06 - 04/30/06 206 26,305,260.32 8.30
05/01/06 - 05/31/06 2 254,816.28 0.08
06/01/06 - 06/30/06 5 310,247.77 0.10
07/01/06 - 07/31/06 5 605,531.05 0.19
08/01/06 - 08/31/06 18 1,625,934.08 0.51
09/01/06 - 09/30/06 98 12,095,928.93 3.82
10/01/06 - 10/31/06 138 18,102,503.16 5.71
11/01/06 - 11/30/06 180 22,277,177.43 7.03
12/01/06 - 12/31/06 82 9,941,588.19 3.14
01/01/07 - 01/31/07 68 9,146,453.66 2.89
02/01/07 - 02/28/07 48 6,296,549.53 1.99
03/01/07 - 03/31/07 25 3,249,238.74 1.03
04/01/07 - 04/30/07 4 725,648.47 0.23
02/01/09 - 02/28/09 1 300,000.00 0.09
04/01/09 - 04/30/09 1 147,924.73 0.05
- ------------------------------------------------------------------------------------------------------------
Total 2,399 316,946,261.68 100.00
============================================================================================================
- ----------
(1) The weighted average time until the next rate Adjustment Date for the
Adjustable-Rate Group I Mortgage Loans as of the Subsequent Cut-off Date
was approximately 24 months.
Maximum Mortgage Rates of the Adjustable-Rate Group I Mortgage Loans(1)
- ----------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Maximum Mortgage Rate (%) Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
7.000 - 7.000 1 259,759.19 0.08
8.001 - 9.000 1 115,085.32 0.04
10.001 - 11.000 2 404,274.38 0.13
11.001 - 12.000 14 2,791,243.65 0.88
12.001 - 13.000 275 50,259,684.55 15.86
13.001 - 14.000 413 66,809,618.75 21.08
14.001 - 15.000 609 80,398,689.07 25.37
15.001 - 16.000 213 24,504,402.17 7.73
16.001 - 17.000 497 55,488,982.73 17.51
17.001 - 18.000 271 27,871,054.64 8.79
18.001 - 19.000 93 7,315,835.14 2.31
19.001 - 19.875 10 727,632.09 0.23
- ------------------------------------------------------------------------------------------------------------
Total 2,399 316,946,261.68 100.00
============================================================================================================
- ----------
(1) The weighted average Maximum Mortgage Rate of the Adjustable-Rate Group I
Mortgage Loans as of the Subsequent Cut-off Date was approximately 14.805%
per annum.
Minimum Mortgage Rates of the Adjustable-Rate Group I Mortgage Loans(1)
- ----------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Minimum Mortgage Rate (%) Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
4.000 - 4.000 1 169,285.01 0.05
4.001 - 5.000 26 4,800,706.65 1.51
5.001 - 6.000 329 57,268,165.23 18.07
6.001 - 7.000 452 69,722,708.81 22.00
7.001 - 8.000 592 77,557,327.12 24.47
8.001 - 9.000 184 21,363,242.16 6.74
9.001 - 10.000 450 50,709,442.63 16.00
10.001 - 11.000 262 27,311,916.84 8.62
11.001 - 12.000 93 7,315,835.14 2.31
12.001 - 12.875 10 727,632.09 0.23
- ------------------------------------------------------------------------------------------------------------
Total 2,399 316,946,261.68 100.00
============================================================================================================
- ----------
(1) The weighted average Minimum Mortgage Rate of the Adjustable-Rate Group I
Mortgage Loans as of the Subsequent Cut-off Date was approximately 7.702%
per annum.
Periodic Rate Caps of the Adjustable-Rate Group I Mortgage Loans(1)
- ----------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Periodic Rate Cap (%) Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
2.000 237 50,934,805.70 16.07
3.000 2,162 266,011,455.98 83.93
- ------------------------------------------------------------------------------------------------------------
Total 2,399 316,946,261.68 100.00
============================================================================================================
- ----------
(1) Relates solely to initial rate adjustments.
Subsequent Periodic Rate Caps of the Adjustable-Rate Group I Mortgage Loans(1)
- ----------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Periodic Rate Cap (%) Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
1.500 2,399 316,946,261.68 100.00
- ------------------------------------------------------------------------------------------------------------
Total 2,399 316,946,261.68 100.00
============================================================================================================
- ----------
(2) Relates to all rate adjustments subsequent to initial rate adjustments.
Group II Mortgage Loan Statistics
Approximately 46.77% of the Group II Mortgage Loans had combined
loan-to-value ratios at origination in excess of 80.00%. No Group II Mortgage
Loan had a combined loan-to-value ratio at origination in excess of 100.00%. The
weighted average combined loan-to-value ratio of the Group II Mortgage Loans at
origination was approximately 86.16%. There can be no assurance that the
loan-to-value ratio of any Group II Mortgage Loan determined at any time after
origination is less than or equal to its original loan-to-value ratio.
Additionally, the Originator's determination of the value of a Mortgaged
Property used in the calculation of the original loan-to-value ratios of the
Mortgage Loans may differ from the appraised value of such Mortgaged Property or
the actual value of such Mortgaged Property at origination.
All of the Group II Mortgage Loans have a scheduled payment due each month
(the "Due Date") on the first day of the month.
The weighted average remaining term to maturity of the Group II Mortgage
Loans was approximately 348 months as of the Subsequent Cut-off Date. None of
the Group II Mortgage Loans had a first Due Date prior to June 1, 2003 or after
May 1, 2004, or has a remaining term to maturity of less than 170 months or
greater than 360 months as of the Subsequent Cut-off Date. The latest maturity
date of any Group II Mortgage Loan is April 1, 2034.
The average Principal Balance of the Group II Mortgage Loans at
origination was approximately $140,789. The average Subsequent Cut-off Date
Principal Balance of the Group II Mortgage Loans was approximately $140,567. No
Group II Mortgage Loan had a Subsequent Cut-off Date Principal Balance of
greater than approximately $719,283 or less than approximately $9,832.
As of the Subsequent Cut-off Date, the Group II Mortgage Loans had
Mortgage Rates of not less than 4.625% per annum and not more than 16.250% per
annum and the weighted average Mortgage Rate of the Group II Mortgage Loans was
approximately 7.720% per annum. As of the Subsequent Cut-off Date, the
Adjustable-Rate Group II Mortgage Loans had Gross Margins ranging from 3.875%
per annum to 10.000% per annum, Minimum Mortgage Rates ranging from 4.375% per
annum to 12.750% per annum and Maximum Mortgage Rates ranging from 9.125% per
annum to
19.750% per annum. As of the Subsequent Cut-off Date, the weighted average Gross
Margin of the Adjustable-Rate Group II Mortgage Loans was approximately 6.150%
per annum, the weighted average Minimum Mortgage Rate of the Adjustable-Rate
Group II Mortgage Loans was approximately 7.435% per annum and the weighted
average Maximum Mortgage Rate of the Adjustable-Rate Group II Mortgage Loans was
approximately 14.509% per annum. The latest next Adjustment Date following the
Subsequent Cut-off Date on any Adjustable-Rate Group II Mortgage Loan occurs in
April 1, 2009 and the weighted average time until the next Adjustment Date for
all of the Adjustable-Rate Group II Mortgage Loans is approximately 24 months.
The Group II Mortgage Loans are expected to have the following
characteristics as of the Subsequent Cut-off Date (the sum in any column may not
equal the total indicated due to rounding):
Subsequent Cut-off Date Principal Balances of the Group II Mortgage Loans(1)
- ----------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Principal Balance ($) Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
9,832 - 25,000 139 2,410,579.81 0.70
25,001 - 50,000 381 14,172,031.63 4.11
50,001 - 75,000 337 21,141,392.80 6.12
75,001 - 100,000 304 26,663,882.50 7.72
100,001 - 125,000 266 29,816,594.99 8.64
125,001 - 150,000 227 31,063,949.93 9.00
150,001 - 175,000 157 25,416,691.93 7.36
175,001 - 200,000 142 26,596,252.86 7.70
200,001 - 225,000 83 17,774,380.20 5.15
225,001 - 250,000 69 16,407,449.42 4.75
250,001 - 275,000 60 15,747,279.35 4.56
275,001 - 300,000 37 10,675,849.05 3.09
300,001 - 325,000 26 8,187,931.10 2.37
325,001 - 350,000 40 13,657,458.01 3.96
350,001 - 375,000 39 14,007,070.35 4.06
375,001 - 400,000 26 10,127,306.83 2.93
400,001 - 425,000 15 6,219,892.66 1.80
425,001 - 450,000 15 6,577,919.59 1.91
450,001 - 475,000 30 13,852,562.08 4.01
475,001 - 500,000 18 8,776,248.85 2.54
500,001 - 525,000 9 4,620,163.95 1.34
525,001 - 550,000 6 3,206,584.40 0.93
550,001 - 575,000 6 3,372,402.38 0.98
575,001 - 600,000 15 8,883,956.06 2.57
600,001 - 625,000 2 1,216,649.06 0.35
625,001 - 650,000 3 1,946,353.25 0.56
650,001 - 675,000 3 1,975,286.46 0.57
700,001 - 719,283 1 719,283.10 0.21
- ------------------------------------------------------------------------------------------------------------
Total 2,456 345,233,402.60 100.00
============================================================================================================
- ----------
(1) The average Subsequent Cut-off Date Principal Balance of the Group II
Mortgage Loans was approximately $140,567.
Credit Scores for the Group II Mortgage Loans(1)
- ----------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Credit Score Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
525 - 525 7 763,817.37 0.22
526 - 550 96 8,489,796.55 2.46
551 - 575 106 10,720,603.25 3.11
576 - 600 278 34,638,212.12 10.03
601 - 625 425 45,429,569.28 13.16
626 - 650 519 72,488,670.19 21.00
651 - 675 461 72,553,765.20 21.02
676 - 700 279 46,870,867.87 13.58
701 - 725 130 25,676,637.33 7.44
726 - 750 78 13,436,446.01 3.89
751 - 775 55 10,024,791.95 2.90
776 - 797 22 4,140,225.48 1.20
- ------------------------------------------------------------------------------------------------------------
Total 2,456 345,233,402.60 100.00
============================================================================================================
- ----------
(1) The weighted average credit score of the Group II Mortgage Loans that had
credit scores was approximately 650.
Original Terms to Maturity of the Group II Mortgage Loans(1)
- ----------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Original Term (months) Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
180 - 180 385 16,346,022.29 4.73
181 - 240 34 814,190.76 0.24
301 - 360 2,037 328,073,189.55 95.03
- ------------------------------------------------------------------------------------------------------------
Total 2,456 345,233,402.60 100.00
============================================================================================================
- ----------
(1) The weighted average original term to maturity of the Group II Mortgage
Loans was approximately 351 months.
Remaining Terms to Maturity of the Group II Mortgage Loans(1)
- ----------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Remaining Term (months) Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
170 - 192 385 16,346,022.29 4.73
217 - 240 34 814,190.76 0.24
337 - 360 2,037 328,073,189.55 95.03
- ------------------------------------------------------------------------------------------------------------
Total 2,456 345,233,402.60 100.00
============================================================================================================
- ----------
(1) The weighted average remaining term to maturity of the Group II Mortgage
Loans was approximately 348 months.
Property Types of the Group II Mortgage Loans
- ----------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Property Type Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
Single Family 1,788 230,971,218.28 66.90
PUD 378 68,920,526.50 19.96
3 Units 75 14,994,802.28 4.34
2 Units 82 11,853,052.34 3.43
Condominium 89 10,468,200.10 3.03
4 Units 42 7,893,178.81 2.29
Manufactured Housing 1 76,324.29 0.02
Townhouse 1 56,100.00 0.02
- ------------------------------------------------------------------------------------------------------------
Total 2,456 345,233,402.60 100.00
============================================================================================================
Occupancy Status of the Group II Mortgage Loans(1)
- ----------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Occupancy Status Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
Primary 2,362 336,742,187.48 97.54
Non-owner 91 7,530,881.29 2.18
Second Home 3 960,333.83 0.28
- ------------------------------------------------------------------------------------------------------------
Total 2,456 345,233,402.60 100.00
============================================================================================================
- ----------
(1) Occupancy as represented by the mortgagor at the time of origination.
Purpose of the Group II Mortgage Loans
- ----------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Purpose Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
Purchase 1,780 231,097,462.02 66.94
Cash Out Refinance 636 106,596,140.66 30.88
Rate/Term Refinance 40 7,539,799.92 2.18
- ------------------------------------------------------------------------------------------------------------
Total 2,456 345,233,402.60 100.00
============================================================================================================
Combined Original Loan-to-Value Ratios of the Group II Mortgage Loans(1)
- ------------------------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Combined Original Loan-to-Value Ratio (%) Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
24.59 - 25.00 1 29,957.52 0.01
25.01 - 30.00 1 90,365.26 0.03
35.01 - 40.00 3 121,526.66 0.04
40.01 - 45.00 3 293,510.51 0.09
45.01 - 50.00 2 238,289.22 0.07
50.01 - 55.00 9 951,717.20 0.28
55.01 - 60.00 10 1,351,624.56 0.39
60.01 - 65.00 7 1,750,303.49 0.51
65.01 - 70.00 50 7,854,500.68 2.28
70.01 - 75.00 85 12,456,393.31 3.61
75.01 - 80.00 931 158,635,476.55 45.95
80.01 - 85.00 144 20,194,387.66 5.85
85.01 - 90.00 174 30,476,956.93 8.83
90.01 - 95.00 137 31,353,509.76 9.08
95.01 - 100.00 899 79,434,883.29 23.01
- --------------------------------------------------------------------------------------------------------------------------
Total 2,456 345,233,402.60 100.00
==========================================================================================================================
- ----------
(1) The weighted average combined original loan-to-value ratio of the Group II
Mortgage Loans as of the Subsequent Cut-off Date was approximately 86.16%.
Geographic Distribution of the Mortgaged Properties related to
the Group II Mortgage Loans(1)
- ----------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Location Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
Alabama 22 1,769,388.02 0.51
Arizona 233 29,693,988.83 8.60
Arkansas 8 737,143.01 0.21
California 502 121,816,891.90 35.29
Colorado 46 8,017,767.45 2.32
Connecticut 23 2,461,402.33 0.71
Delaware 5 665,399.65 0.19
District of Columbia 9 2,054,873.28 0.60
Florida 150 16,719,445.89 4.84
Georgia 31 4,465,105.82 1.29
Idaho 31 2,912,521.08 0.84
Illinois 72 8,778,279.57 2.54
Indiana 99 6,792,853.25 1.97
Iowa 33 2,362,597.10 0.68
Kansas 68 5,162,422.79 1.50
Kentucky 22 1,607,942.46 0.47
Louisiana 36 3,684,301.03 1.07
Maryland 46 7,818,056.83 2.26
Massachusetts 82 17,189,165.19 4.98
Michigan 87 7,702,646.88 2.23
Minnesota 5 622,491.64 0.18
Mississippi 9 825,922.33 0.24
Missouri 104 8,123,438.35 2.35
Montana 6 1,067,205.70 0.31
Nebraska 40 3,692,210.28 1.07
Nevada 62 9,372,447.86 2.71
New Hampshire 1 269,510.52 0.08
New Jersey 11 2,029,366.61 0.59
New Mexico 17 2,198,288.17 0.64
Ohio 82 6,509,304.30 1.89
Oklahoma 43 2,928,893.08 0.85
Oregon 109 13,705,491.02 3.97
Pennsylvania 95 5,885,636.54 1.70
Rhode Island 22 2,488,896.53 0.72
South Carolina 2 249,979.31 0.07
South Dakota 9 843,918.17 0.24
Tennessee 18 2,398,923.98 0.69
Texas 46 5,137,223.18 1.49
Utah 49 5,216,359.47 1.51
Virginia 38 6,527,165.55 1.89
Washington 74 11,983,999.26 3.47
Wisconsin 2 203,339.77 0.06
Wyoming 7 541,198.62 0.16
- ------------------------------------------------------------------------------------------------------------
Total 2,456 345,233,402.60 100.00
============================================================================================================
- ----------
(1) The greatest ZIP Code geographic concentration of Group II Mortgage Loans
was approximately 0.95% in the 02128 ZIP Code.
Documentation Levels of the Group II Mortgage Loans
- ----------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Documentation Level Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
Full Documentation 2,051 284,476,721.50 82.40
Stated Documentation 405 60,756,681.10 17.60
- ------------------------------------------------------------------------------------------------------------
Total 2,456 345,233,402.60 100.00
============================================================================================================
Current Mortgage Rates of the Group II Mortgage Loans(1)
- ----------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Current Mortgage Rate (%) Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
4.625 - 5.000 25 8,352,594.92 2.42
5.000 - 5.500 101 29,443,633.54 8.53
5.500 - 6.000 196 47,130,361.91 13.65
6.000 - 6.500 199 39,740,271.51 11.51
6.500 - 7.000 177 33,226,820.43 9.62
7.000 - 7.500 188 31,853,108.57 9.23
7.500 - 8.000 253 35,510,445.36 10.29
8.000 - 8.500 92 11,136,701.98 3.23
8.500 - 9.000 100 11,323,276.08 3.28
9.000 - 9.500 215 27,833,257.84 8.06
9.500 - 10.000 189 20,508,347.24 5.94
10.000 - 10.500 170 16,662,210.05 4.83
10.500 - 11.000 175 15,412,640.92 4.46
11.000 - 11.500 100 6,404,356.78 1.86
11.500 - 12.000 79 4,105,244.81 1.19
12.000 - 12.500 53 2,488,765.57 0.72
12.500 - 13.000 28 929,232.75 0.27
13.000 - 13.500 15 439,019.14 0.13
13.500 - 14.000 31 862,286.22 0.25
14.000 - 14.500 49 1,206,565.65 0.35
14.500 - 15.000 9 282,601.97 0.08
15.000 - 15.500 2 58,784.81 0.02
15.500 - 16.000 8 233,091.56 0.07
16.000 - 16.250 2 89,782.99 0.03
- ------------------------------------------------------------------------------------------------------------
Total 2,456 345,233,402.60 100.00
============================================================================================================
- ----------
(1) The weighted average current Mortgage Rate of the Group II Mortgage Loans
as of the Subsequent Cut-off Date was approximately 7.720% per annum.
Gross Margins of the Adjustable-Rate Group II Mortgage Loans(1)
- ----------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Gross Margin (%) Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
3.875 - 4.000 3 487,030.53 0.15
4.001 - 5.000 298 66,575,182.81 21.15
5.001 - 6.000 521 98,800,060.25 31.39
6.001 - 7.000 456 70,154,443.13 22.29
7.001 - 8.000 405 52,888,433.16 16.80
8.001 - 9.000 216 23,252,941.87 7.39
9.001 - 10.000 33 2,591,882.84 0.82
- ------------------------------------------------------------------------------------------------------------
Total 1,932 314,749,974.59 100.00
============================================================================================================
- ----------
(1) The weighted average Gross Margin of the Adjustable-Rate Group II Mortgage
Loans as of the Subsequent Cut-off Date was approximately 6.150% per
annum.
Next Rate Adjustment Date for the Adjustable-Rate Group II Mortgage Loans(1)
- ----------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Next Rate Adjustment Date Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
07/01/05 - 07/31/05 1 519,560.64 0.17
08/01/05 - 08/31/05 6 902,504.54 0.29
09/01/05 - 09/30/05 63 12,156,209.37 3.86
10/01/05 - 10/31/05 106 22,469,177.71 7.14
11/01/05 - 11/30/05 197 33,389,189.32 10.61
12/01/05 - 12/31/05 208 32,810,283.32 10.42
01/01/06 - 01/31/06 240 41,520,193.84 13.19
02/01/06 - 02/28/06 188 28,495,865.93 9.05
03/01/06 - 03/31/06 274 45,972,809.35 14.61
04/01/06 - 04/30/06 127 20,486,333.48 6.51
05/01/06 - 05/31/06 1 149,022.19 0.05
06/01/06 - 06/30/06 5 791,867.98 0.25
07/01/06 - 07/31/06 6 1,096,871.45 0.35
08/01/06 - 08/31/06 12 1,389,758.03 0.44
09/01/06 - 09/30/06 76 9,593,863.44 3.05
10/01/06 - 10/31/06 88 13,988,191.83 4.44
11/01/06 - 11/30/06 145 20,656,022.16 6.56
12/01/06 - 12/31/06 83 11,717,693.06 3.72
01/01/07 - 01/31/07 54 7,779,493.31 2.47
02/01/07 - 02/28/07 24 3,499,244.28 1.11
03/01/07 - 03/31/07 17 2,396,694.77 0.76
04/01/07 - 04/30/07 6 1,609,376.63 0.51
12/01/08 - 12/31/08 1 506,412.35 0.16
02/01/09 - 02/28/09 2 268,000.00 0.09
04/01/09 - 04/30/09 2 585,335.61 0.19
- ------------------------------------------------------------------------------------------------------------
Total 1,932 314,749,974.59 100.00
============================================================================================================
- ----------
(1) The weighted average time until the next rate Adjustment Date for the
Adjustable-Rate Group II Mortgage Loans as of the Subsequent Cut-off Date
was approximately 24 months.
Maximum Mortgage Rates of the Adjustable-Rate Group II Mortgage Loans(1)
- ----------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Maximum Mortgage Rate (%) Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
7.000 - 10.000 1 322,620.79 0.10
10.001 - 11.000 1 85,316.75 0.03
11.001 - 12.000 25 8,352,594.92 2.65
12.001 - 13.000 296 76,240,937.60 24.22
13.001 - 14.000 345 66,699,833.46 21.19
14.001 - 15.000 404 62,649,252.18 19.90
15.001 - 16.000 158 20,039,311.97 6.37
16.001 - 17.000 364 46,275,129.31 14.70
17.001 - 18.000 267 28,169,062.73 8.95
18.001 - 19.000 67 5,620,584.97 1.79
19.001 - 19.750 4 295,329.91 0.09
- ------------------------------------------------------------------------------------------------------------
Total 1,932 314,749,974.59 100.00
============================================================================================================
- ----------
(1) The weighted average Maximum Mortgage Rate of the Adjustable-Rate Group II
Mortgage Loans as of the Subsequent Cut-off Date was approximately 14.509%
per annum.
Minimum Mortgage Rates of the Adjustable-Rate Group II Mortgage Loans(1)
- ----------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Minimum Mortgage Rate (%) Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
4.375 - 5.000 33 10,342,122.31 3.29
5.001 - 6.000 316 78,815,005.42 25.04
6.001 - 7.000 358 68,682,451.38 21.82
7.001 - 8.000 392 60,217,791.42 19.13
8.001 - 9.000 173 21,431,828.70 6.81
9.001 - 10.000 347 43,531,853.41 13.83
10.001 - 11.000 245 26,087,327.14 8.29
11.001 - 12.000 64 5,346,264.90 1.70
12.001 - 12.750 4 295,329.91 0.09
- ------------------------------------------------------------------------------------------------------------
Total 1,932 314,749,974.59 100.00
============================================================================================================
- ----------
(1) The weighted average Minimum Mortgage Rate of the Adjustable-Rate Group II
Mortgage Loans as of the Subsequent Cut-off Date was approximately 7.435%
per annum.
Periodic Rate Caps of the Adjustable-Rate Group II Mortgage Loans(1)
- ----------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Periodic Rate Cap (%) Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
2.000 255 74,939,316.14 23.81
3.000 1,677 239,810,658.45 76.19
- ------------------------------------------------------------------------------------------------------------
Total 1,932 314,749,974.59 100.00
============================================================================================================
- ----------
(1) Relates solely to initial rate adjustments.
Subsequent Periodic Rate Caps of the Adjustable-Rate Group II Mortgage Loans(1)
- ----------------------------- ---------------- ------------------------- -----------------------------
Principal Balance % of Aggregate Principal
Number of Outstanding as of the Balance Outstanding as of
Periodic Rate Cap (%) Mortgage Loans Subsequent Cut-off Date the Subsequent Cut-off Date
1.500 1,932 314,749,974.59 100.00
- ------------------------------------------------------------------------------------------------------------
Total 1,932 314,749,974.59 100.00
============================================================================================================
- ----------
(3) Relates to all rate adjustments subsequent to initial rate adjustments.