EXHIBIT 99.1
The mortgage loans delivered to the trust on the Closing Date (the
"Initial Mortgage Loans") consisted of conventional, one-to four- family,
adjustable-rate and fixed-rate mortgage loans. The Depositor purchased the
Initial Mortgage Loans from the Seller pursuant to the Mortgage Loan Purchase
Agreement dated August 30, 2004 (the "Mortgage Loan Purchase Agreement"), among
the Seller, the Depositor and Option One Mortgage Corporation. The Subsequent
Group I Mortgage Loans (the "Subsequent Group I Mortgage Loans") and subsequent
Group II Mortgage Loans (the "Subsequent Group II Mortgage Loans" and together
with the Subsequent Group I Mortgage Loans, the "Subsequent Mortgage Loans" and
together with the Initial Mortgage Loans, the "Mortgage Loans") were purchased
by the Trust from the Depositor pursuant to the Subsequent Mortgage Loan
Purchase Agreement dated September 15, 2004 (the "Subsequent Mortgage Loan
Purchase Agreement") between the Seller, the Depositor and Option One Mortgage
Corporation from funds on deposit in the Pre-Funding Accounts. Pursuant to the
Pooling and Servicing Agreement, dated September 1, 2004 (the "Pooling and
Servicing Agreement"), among the Depositor, the Servicer and the Trustee, the
Depositor caused the Mortgage Loans to be assigned to the Trustee for the
benefit of the certificateholders. The Pooling and Servicing Agreement provides
that each Mortgage Loan in the Mortgage Pool must conform to certain specified
characteristics and, following the conveyance of the Additional Mortgage Loans
and the Subsequent Mortgage Loans, the Mortgage Pool must conform to certain
specified characteristics. The Cut-off Date for both the Initial Mortgage Loans
and the Subsequent Mortgage Loans is September 1, 2004 (the "Cut-off Date").
The Initial Mortgage Loans had an aggregate principal balance as of the
Cut-off Date of $1,083,027,227.62. The Subsequent Mortgage Loans had an
aggregate principal balance as of the Cut-off Date of $549,819,689.35. The
Mortgage Loans had aggregate principal balance as of the Cut-off Date of
$1,632,846,916.97.
The mortgage loans are secured by mortgages or deeds of trust or other
similar security instruments creating first or second liens on residential
properties. The mortgaged properties consist of attached, detached or
semi-detached, one- to four-family dwelling units, individual condominium units,
individual units in planned unit developments and modular homes. The mortgage
loans will be acquired by the depositor from the seller in the manner described
in this prospectus supplement. Option One Mortgage Corporation will act as the
servicer under the pooling and servicing agreement.
Each mortgage loan will accrue interest at the fixed-rate or the
adjustable-rate calculated as specified under the terms of the related mortgage
note. Approximately 74.43% of the Group I Mortgage Loans are adjustable -rate
mortgage loans and approximately 25.57% of the Group I Mortgage Loans are
fixed-rate mortgage loans. Approximately 76.63% of the Group II Mortgage Loans
are adjustable -rate mortgage loans and approximately 23.37% of the Group II
Mortgage Loans are fixed-rate mortgage loans. Approximately 74.89% of the
mortgage loans are adjustable-rate mortgage loans and approximately 25.11% of
the mortgage loans are fixed-rate mortgage loans.
12
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. Generally, the adjustable-rate mortgage loans provide for
semi-annual adjustment to their mortgage rates; provided, however, that (i) the
first adjustment of the rates for approximately 91.80% of the adjustable-rate
Group I Mortgage Loans and approximately 91.16% of the adjustable-rate Group II
Mortgage Loans (in each case, by aggregate principal balance of the
adjustable-rate mortgage loans in the related loan group as of the cut-off date)
and approximately 91.67% of the adjustable-rate mortgage loans (by aggregate
principal balance of the adjustable-rate mortgage loans as of the cut-off date),
will not occur until after an period of approximately two years from the date of
origination and (ii) the first adjustment of the rates for approximately 8.07%
of the adjustable-rate Group I Mortgage Loans and approximately 8.60% of the
adjustable-rate Group II Mortgage Loans (in each case, by aggregate principal
balance of the adjustable-rate mortgage loans in the related loan group as of
the cut-off date) and approximately 8.18% of the adjustable-rate mortgage loans
(by aggregate principal balance of the adjustable-rate mortgage loans as of the
cut-off date), will not occur until after an period of approximately three years
from the date of origination. Such adjustable-rate mortgage loans are referred
to in this prospectus supplement as "delayed first adjustment mortgage loans."
In connection with each mortgage rate adjustment, the adjustable-rate mortgage
loans have corresponding adjustments to their monthly payment amount, in each
case on each applicable adjustment date. On each adjustment date, the mortgage
rate on each adjustable-rate mortgage loan will be adjusted to equal the sum,
rounded to the nearest multiple of 0.125%, of the index and a fixed percentage
amount, or gross margin, for that mortgage loan specified in the related
mortgage note. However, the mortgage rate on each adjustable-rate mortgage loan
will generally not increase or decrease by more than 1.000% to 4.000% per annum,
on any related adjustment date and will not exceed a specified maximum mortgage
rate over the life of the mortgage loan or be less than a specified minimum
mortgage rate over the life of the mortgage loan. 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 that mortgage loan over
its remaining term and pay interest at the mortgage rate as so adjusted. Due to
the application of the periodic rate caps and the maximum mortgage rates, the
mortgage rate on each adjustable-rate mortgage loan, as adjusted on any related
adjustment date, may be less than the sum of the index, calculated as described
in this prospectus supplement, and the related gross margin. See "--The Index"
in this prospectus supplement. None of the adjustable-rate mortgage loans
permits the related mortgagor to convert the adjustable mortgage rate thereon to
a fixed mortgage rate.
Approximately 2.81% of the Group I Mortgage Loans, approximately 9.30%
of the Group II Mortgage Loans and approximately 4.16% of the mortgage loans
provide that for a period of 60 months after origination, the required monthly
payments are limited to accrued interest. At the end of such 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.
13
The mortgage loans have scheduled monthly payments due on the first day
of the month and that day is referred to in this prospectus supplement as the
"due date." Each mortgage loan will contain a customary due-on-sale clause which
provides that the mortgage loan must be repaid at the time of a sale of the
related mortgaged property or, in the case of an adjustable-rate mortgage loan,
assumed by a creditworthy purchaser of the related mortgaged property.
Approximately 71.18% of the Group I Mortgage Loans, approximately
74.40% of the Group II Mortgage Loans and approximately 71.85% of the mortgage
loans provide for payment by the mortgagor of a prepayment charge in limited
circumstances on prepayments as provided in the related mortgage note. These
mortgage loans provide for payment of a prepayment charge on some partial
prepayments and all prepayments in full made within a specified period not in
excess of three years from the date of origination of the mortgage loan, as
provided in the related mortgage note. The amount of the prepayment charge is as
provided in the related mortgage note, but, in most cases, is equal to six
month's interest on any amounts prepaid in excess of 20% of the original
principal balance of the related mortgage loan in any 12 month period, as
permitted by law. 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 offered certificates. Under the limited
instances described under the terms of the pooling and servicing 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 of
the prepayment charges, may have on the prepayment performance of the mortgage
loans. As of July 1, 2003, the Alternative Mortgage Parity Act of 1982, or
Parity Act, which regulates the ability of the originator to impose prepayment
charges, was amended, and as a result, the originator will be required to comply
with state and local laws in originating mortgage loans with prepayment charge
provisions with respect to loans originated on or after July 1, 2003. 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. See "Legal Aspects of
Mortgage Loans--Enforceability of Provisions--Prepayment Charges and
Prepayments" in the prospectus.
None of the mortgage loans are buydown mortgage loans.
MORTGAGE LOAN STATISTICS FOR ALL MORTGAGE LOANS
The average principal balance of the mortgage loans at origination was
approximately $168,855. No mortgage loan had a principal balance at origination
greater than approximately $1,000,000 or less than approximately $50,000. The
average principal balance of the mortgage loans as of the cut-off date was
approximately $168,595. No mortgage loan had a principal balance as of the
cut-off date of greater than approximately $1,099,208 or less than approximately
$49,637
14
The mortgage loans had mortgage rates as of the cut-off date ranging
from approximately 4.090% per annum to approximately 13.150% per annum, and the
weighted average mortgage rate for the mortgage loans was approximately 7.252%
per annum.
As of the cut-off date, the adjustable-rate mortgage loans had gross
margins ranging from approximately 2.000% to approximately 10.090%, minimum
mortgage rates ranging from approximately 4.090% per annum to approximately
12.500% per annum and maximum mortgage rates ranging from approximately 10.090%
per annum to approximately 18.500% per annum. As of the cut-off date, with
respect to the adjustable-rate mortgage loans, the weighted average gross margin
was approximately 5.302%, the weighted average minimum mortgage rate was
approximately 7.180% per annum and the weighted average maximum mortgage rate
was approximately 13.184% per annum. The latest first adjustment date following
the cut-off date on any adjustable-rate mortgage loan occurs in August 1, 2019
and the weighted average next adjustment date for all of the adjustable-rate
mortgage loans following the cut-off date is August 1, 2006.
The weighted average combined loan-to-value ratio of the mortgage loans
at origination was approximately 79.83%. At origination, no mortgage loan had a
combined loan-to-value ratio greater than 109.59% or less than approximately
9.47%; provided however, on or before the closing date, the depositor will
remove from the mortgage pool any mortgage loan with a loan-to-value ratio of
greater than 100.00%.
The weighted average remaining term to stated maturity of the mortgage
loans was approximately 355 months as of the cut-off date. None of the mortgage
loans will have a first due date prior to August 1, 2004 or after October 1,
2004, or will have a remaining term to stated maturity of less than 118 months
or greater than 360 months as of the cut-off date. The latest maturity date of
any mortgage loan is September 1, 2034.
The mortgage loans are expected to have the following characteristics
as of the cut-off date, but investors should note that the sum in any column may
not equal the total indicated due to rounding:
15
PRINCIPAL BALANCES OF THE MORTGAGE LOANS AT ORIGINATION
WEIGHTED
% OF AVERAGE
NUMBER AGGREGATE WEIGHTED ORIGINAL WEIGHTED
OF ORIGINAL AVERAGE AVERAGE COMBINED AVERAGE
MORTGAGE AGGREGATE ORIGINAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- CREDIT
RANGE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE VALUE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
25,000.01 - 50,000.00.... 105 $ 5,250,000.00 0.32% $ 50,000.00 8.581% 64.24% 591
50,000.01 - 75,000.00.... 1,418 89,069,053.20 5.45 62,813.15 8.431 80.42 599
75,000.01 - 100,000.00.... 1,354 118,972,029.00 7.27 87,867.08 7.939 80.60 599
100,000.01 - 125,000.00.... 1,210 136,619,064.10 8.35 112,908.32 7.645 81.28 598
125,000.01 - 150,000.00.... 1,134 156,050,139.20 9.54 137,610.35 7.406 79.41 601
150,000.01 - 175,000.00.... 861 139,747,223.40 8.55 162,308.04 7.258 79.91 600
175,000.01 - 200,000.00.... 820 154,337,177.44 9.44 188,216.07 7.156 78.75 603
200,000.01 - 225,000.00.... 620 132,168,941.40 8.08 213,175.71 7.113 79.27 604
225,000.01 - 250,000.00.... 447 106,242,117.71 6.50 237,678.12 7.026 79.37 603
250,000.01 - 275,000.00.... 405 106,247,500.60 6.50 262,339.51 7.020 79.23 608
275,000.01 - 300,000.00.... 296 85,235,825.00 5.21 287,958.87 7.009 79.25 608
300,000.01 - 333,700.00.... 284 89,888,588.50 5.50 316,509.11 6.943 81.91 612
333,700.01 - 350,000.00.... 119 40,809,418.00 2.50 342,936.29 6.966 79.15 608
350,000.01 - 500,000.00.... 486 198,169,278.40 12.12 407,755.72 6.863 81.21 625
500,000.01 -1,000,000.00... 125 75,450,524.00 4.61 603,604.19 6.535 77.34 624
> 1,000,000.00............... 1 1,100,000.00 0.07 1,100,000.00 7.650 27.50 616
----- ----------------- ------ ------------ ----- ----- ---
Total............. 9,685 $1,635,356,879.95 100.00% $ 168,854.61 7.252% 79.83% 607
===== ================= ====== ============ ===== ===== ===
PRINCIPAL BALANCES OF THE MORTGAGE LOANS AS OF THE CUT-OFF DATE
WEIGHTED
AVERAGE
NUMBER % OF WEIGHTED ORIGINAL WEIGHTED
OF AGGREGATE AVERAGE AVERAGE COMBINED AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- CREDIT
RANGE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE VALUE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
25,000.01 - 50,000.00..... 108 $ 5,389,452.90 0.33% $ 49,902.34 8.573% 64.29 591
50,000.01 - 75,000.00..... 1,416 88,857,534.44 5.44 62,752.50 8.432 80.46 599
75,000.01 - 100,000.00..... 1,354 118,815,172.70 7.28 87,751.24 7.939 80.59 599
100,000.01 - 125,000.00..... 1,213 136,808,712.21 8.38 112,785.42 7.643 81.32 598
125,000.01 - 150,000.00..... 1,130 155,309,504.28 9.51 137,442.04 7.408 79.38 601
150,000.01 - 175,000.00..... 865 140,232,838.39 8.59 162,118.89 7.254 79.88 600
175,000.01 - 200,000.00..... 819 153,992,212.06 9.43 188,024.68 7.159 78.72 602
200,000.01 - 225,000.00..... 621 132,266,858.50 8.10 212,990.11 7.112 79.35 604
225,000.01 - 250,000.00..... 444 105,431,836.74 6.46 237,459.09 7.030 79.38 603
250,000.01 - 275,000.00..... 408 106,933,060.22 6.55 262,090.83 7.012 79.26 609
275,000.01 - 300,000.00..... 295 84,898,823.16 5.20 287,792.62 7.016 79.34 608
300,000.01 - 333,700.00..... 285 90,188,337.94 5.52 316,450.31 6.937 81.82 612
333,700.01 - 350,000.00..... 117 40,114,503.05 2.46 342,859.00 6.985 78.78 609
350,000.01 - 500,000.00..... 484 197,174,753.01 12.08 407,385.85 6.862 81.26 625
500,000.01 -1,000,000.00..... 125 75,334,110.53 4.61 602,672.88 6.535 77.34 624
> 1,000,000.00................ 1 1,099,207.84 0.07 1099207.84 7.650 27.50 616
----- ----------------- ------ ------------ ----- ----- ---
Total........... 9,685 $1,632,846,917.97 100.00% $ 168,595.45 7.252% 79.83 607
===== ================= ====== ============ ===== ===== ===
16
MORTGAGE RATES OF THE MORTGAGE LOANS AS OF THE CUT-OFF DATE
WEIGHTED
AVERAGE
% OF WEIGHTED ORIGINAL WEIGHTED
NUMBER OF AGGREGATE AVERAGE AVERAGE COMBINED AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- CREDIT
MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE VALUE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
4.000- 4.499.......... 2 $ 328,539.57 0.02% $ 164,269.79 4.159% 81.20% 648
4.500- 4.999.......... 34 8,355,229.66 0.51 245,742.05 4.917 81.48 650
5.000- 5.499.......... 219 49,989,938.96 3.06 228,264.56 5.352 79.28 636
5.500- 5.999.......... 655 153,479,413.59 9.40 234,319.72 5.816 78.14 641
6.000- 6.499.......... 1,005 209,819,772.61 12.85 208,775.89 6.276 80.02 634
6.500- 6.999.......... 1,827 357,673,695.10 21.90 195,771.04 6.765 80.10 619
7.000- 7.499.......... 1,265 216,239,219.19 13.24 170,940.09 7.243 80.80 603
7.500- 7.999.......... 1,746 282,706,654.26 17.31 161,916.76 7.746 79.53 589
8.000- 8.499.......... 939 125,572,014.71 7.69 133,729.52 8.244 80.87 583
8.500- 8.999.......... 936 121,666,602.94 7.45 129,985.69 8.733 80.04 572
9.000- 9.499.......... 370 41,990,641.46 2.57 113,488.22 9.229 78.92 564
9.500- 9.999.......... 362 37,331,728.55 2.29 103,126.32 9.724 77.34 556
10.000- 10.499........... 132 11,827,898.59 0.72 89,605.29 10.240 79.92 568
10.500- 10.999........... 95 8,173,547.69 0.50 86,037.34 10.750 75.98 560
11.000- 11.499........... 39 3,267,480.61 0.20 83,781.55 11.230 77.07 564
11.500- 11.999........... 49 3,712,689.36 0.23 75,769.17 11.677 85.54 583
12.000- 12.499........... 5 301,273.23 0.02 60,254.65 12.071 80.66 571
12.500- 12.999........... 4 263,713.19 0.02 65,928.30 12.568 84.92 579
13.000- 13.499........... 1 146,864.70 0.01 146,864.70 13.150 70.00 516
----- ----------------- ------ ------------- ----- ----- ---
Total........... 9,685 $1,632,846,917.97 100.00% $ 168,595.45 7.252% 79.83% 607
===== ================= ====== ============= ===== ===== ===
ORIGINAL TERMS TO STATED MATURITY OF THE MORTGAGE LOANS
WEIGHTED
AVERAGE
% OF WEIGHTED ORIGINAL WEIGHTED
NUMBER OF AGGREGATE AVERAGE AVERAGE COMBINED AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- CREDIT
ORIGINAL TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE VALUE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
0 - 180............. 192 $ 18,020,637.65 1.10% $ 93,857.49 7.851% 69.70% 606
181 - 240............. 122 13,203,928.15 0.81 108,228.92 7.690 71.76 618
241 - 360............. 9,371 1,601,622,352.17 98.09 170,912.64 7.242 80.01 606
----- ----------------- ------ ----------- ----- ----- ---
Total............... 9,685 $1,632,846,917.97 100.00% $168,595.45 7.252% 79.83% 607
===== ================= ====== =========== ===== ===== ===
17
REMAINING TERMS TO STATED MATURITY OF THE MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
REMAINING TERM (MONTHS) MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
61 - 120................ 9 $ 626,000.43 0.04% $ 69,555.60 8.024% 76.42% 636
121 - 180................. 183 17,394,637.22 1.07 95,052.66 7.845 69.45 605
181 - 240................. 122 13,203,928.15 0.81 108,228.92 7.690 71.76 618
301 - 360................. 9,371 1,601,622,352.17 98.09 170,912.64 7.242 80.01 606
----- ------------------ ------ ------------ ----- ----- ---
Total............... 9,685 $ 1,632,846,917.97 100.00% $ 168,595.45 7.252% 79.83% 607
===== ================== ====== ============ ===== ===== ===
ORIGINAL COMBINED LOAN-TO-VALUE RATIOS OF THE MORTGAGE LOANS(1)
WEIGHTED
AVERAGE
% OF WEIGHTED ORIGINAL WEIGHTED
NUMBER OF AGGREGATE AVERAGE AVERAGE COMBINED AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- CREDIT
LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE VALUE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
0.01 - 25.00.......... 30 $ 2,623,407.90 0.16% $ 87,446.93 7.191% 19.98% 588
25.01 - 30.00.......... 28 4,383,521.84 0.27 156,554.35 7.066 27.41 639
30.01 - 35.00.......... 22 2,629,031.09 0.16 119,501.41 7.070 32.37 582
35.01 - 40.00.......... 59 6,835,305.11 0.42 115,852.63 7.251 37.48 599
40.01 - 45.00.......... 83 11,462,006.55 0.70 138,096.46 6.859 43.29 592
45.01 - 50.00.......... 141 21,241,327.97 1.30 150,647.72 7.098 48.20 589
50.01 - 55.00.......... 163 24,820,397.88 1.52 152,272.38 6.915 52.97 597
55.01 - 60.00.......... 323 54,984,806.97 3.37 170,231.60 7.198 57.89 589
60.01 - 65.00.......... 591 104,068,689.58 6.37 176,089.15 7.344 63.60 580
65.01 - 70.00.......... 769 138,250,235.21 8.47 179,779.24 7.066 68.80 586
70.01 - 75.00.......... 996 179,516,462.92 10.99 180,237.41 7.307 74.03 587
75.01 - 80.00.......... 2,350 389,950,216.20 23.88 165,936.26 7.385 79.49 588
80.01 - 85.00.......... 896 159,678,649.35 9.78 178,212.78 7.239 84.46 617
85.01 - 90.00.......... 1,448 267,803,302.98 16.40 184,947.03 7.357 89.66 627
90.01 - 95.00.......... 610 103,783,591.21 6.36 170,137.03 7.334 94.67 634
95.01 - 100.00......... 1,174 160,487,856.71 9.83 136,701.75 6.879 99.92 654
105.01 - 110.00........ 2 328,108.50 0.02 164,054.25 7.885 108.91 555
----- ----------------- ------ ------------ ----- ----- ---
Total.......... 9,685 $1,632,846,917.97 100.00% $ 168,595.45 7.252% 79.83% 607
===== ================= ====== ============ ===== ===== ===
---------------
(1) On or before the Closing Date, the Depositor will remove from the mortgage
pool any mortgage loans with a loan-to-value ratio of greater than 100.00%.
18
OCCUPANCY STATUS OF THE MORTGAGE LOANS(1)
WEIGHTED
AVERAGE
% OF WEIGHTED ORIGINAL WEIGHTED
NUMBER OF AGGREGATE AVERAGE COMBINED AVERAGE
MORTGAGE AGGREGATE PRINCIPAL AVERAGE MORTGAGE LOAN-TO- CREDIT
OCCUPANCY STATUS LOANS PRINCIPAL BALANCE BALANCE PRINCIPAL BALANCE RATE VALUE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
Owner Occupied.............. 8,862 $1,509,182,987.78 92.43% $ 170,298.24 7.211% 80.16% 604
Non-Owner Occupied.......... 682 97,982,130.92 6.00 143,668.81 7.882 75.22 644
Second Home................. 141 25,681,799.27 1.57 182,140.42 7.278 77.88 640
----- ----------------- ------ ------------- ----- ----- ---
Total............ 9,685 $1,632,846,917.97 100.00% $ 168,595.45 7.252% 79.83% 607
===== ================= ====== ============= ===== ===== ===
-------------
(1) The occupancy status of a Mortgaged Property is as represented by the
mortgagor in its loan application.
PROPERTY TYPES OF THE MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
% OF WEIGHTED COMBINED WEIGHTED
NUMBER OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
PROPERTY TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
Single Family Detached.............. 7,210 $1,173,069,270.73 71.84% $162,700.31 7.257% 79.84% 602
2-4 Family Detached................. 711 150,951,874.35 9.24 212,309.25 7.183 77.57 630
Planned Unit Development Detached... 498 99,264,959.31 6.08 199,327.23 7.198 82.61 602
Condo 1-4 Stories Attached.......... 433 68,662,701.84 4.21 158,574.37 7.246 81.63 617
2-4 Family Attached................. 219 55,938,144.01 3.43 255,425.32 7.061 77.95 633
Single Family Attached.............. 296 42,089,877.40 2.58 142,195.53 7.442 78.17 596
Planned Unit Development Attached... 132 22,186,229.63 1.36 168,077.50 7.450 83.32 606
Manufactured Home Detached.......... 156 15,538,066.11 0.95 99,602.99 7.672 80.72 640
Condo 5 Stories +................... 28 4,865,899.44 0.30 173,782.12 7.656 82.05 634
Condo 1-4 Stories Detached.......... 2 279,895.15 0.02 139,947.58 8.368 91.95 572
----- ----------------- ------ ----------- ----- ----- ---
Total................... 9,685 $1,632,846,917.97 100.00% $168,595.45 7.252% 79.83% 607
===== ================= ====== =========== ===== ===== ===
PURPOSES OF THE MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
% OF WEIGHTED COMBINED WEIGHTED
NUMBER OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
LOAN PURPOSE LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
Cash-Out Refinance.................. 6,195 $1,072,602,413.78 65.69% $173,140.02 7.251% 76.03% 596
Purchase............................ 2,627 418,432,139.72 25.63 159,281.36 7.196 89.56 640
Rate-Term Refinance................. 863 141,812,364.47 8.68 164,324.87 7.425 79.86 591
----- ----------------- ------ ----------- ----- ----- ---
Total.................... 9,685 $1,632,846,917.97 100.00% $168,595.45 7.252% 79.83% 607
===== ================= ====== =========== ===== ===== ===
19
DOCUMENTATION TYPES OF THE MORTGAGE LOANS(1)
WEIGHTED
AVERAGE
ORIGINAL
% OF WEIGHTED COMBINED WEIGHTED
NUMBER OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
DOCUMENTATION TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
Full Documentation.................. 6,415 $1,004,095,321.56 61.49% $156,523.04 7.191% 81.72% 600
Stated Income Documentation......... 3,197 615,546,092.21 37.70 192,538.66 7.347 76.79 616
No Income / No Asset................ 37 7,210,262.55 0.44 194,871.96 7.464 73.90 601
Limited Income Documentation........ 36 5,995,241.65 0.37 166,534.49 7.509 82.62 708
----- ----------------- ------ ----------- ----- ----- ---
Total.................. 9,685 $1,632,846,917.97 100.00% $168,595.45 7.252% 79.83% 607
===== ================= ====== =========== ===== ===== ===
-------------
(1) For a description of the loan programs, see "The Originator--Underwriting
Standards" in this prospectus supplement.
RISK CATEGORIES OF THE MORTGAGE LOANS(1)
WEIGHTED
% OF AVERAGE WEIGHTED
AGGREGATE WEIGHTED ORIGINAL AVERAGE
NUMBER OF AGGREGATE ---------- AVERAGE AVERAGE COMBINED CREDIT
-------------- ------------------ PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO-VALU SCORE
RISK CATEGORIES MORTGAGE LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO E
------------------------------------------------------------------------------------------------------------------------------------
A................................... 1,346 $ 224,246,448.79 13.73% $ 166,602.12 7.466% 75.80% 555
AA.................................. 4,418 788,314,866.69 48.28 178,432.52 7.007 79.17 623
B................................... 1,031 163,239,415.66 10.00 158,331.15 7.938 72.60 541
C................................... 288 41,969,838.15 2.57 145,728.60 8.821 69.22 538
CC.................................. 125 18,027,617.69 1.10 144,220.94 9.690 63.99 544
Unavailable......................... 2,477 397,048,730.99 24.32 160,294.20 7.059 88.21 640
----- ----------------- ------ ------------ ----- ----- ---
Total.................... 9,685 $1,632,846,917.97 100.00% $ 168,595.45 7.252% 79.83% 607
===== ================= ====== ============ ===== ===== ===
--------------
(1) For a description of the risk categories, see "The Originator--Underwriting
Standards" in this prospectus supplement.
20
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES OF THE MORTGAGE LOANS
WEIGHTED
AVERAGE
NUMBER % OF WEIGHTED ORIGINAL WEIGHTED
OF AGGREGATE AVERAGE AVERAGE COMBINED AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- CREDIT
LOCATION LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE VALUE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
Arizona..................... 162 $ 22,029,710.39 1.35% $135,985.87 7.389% 85.30% 611
California.................. 1,345 326,746,482.77 20.01 242,934.19 6.859 76.95 600
Colorado.................... 203 33,289,488.13 2.04 163,987.63 6.714 87.63 616
Connecticut................. 232 37,824,424.75 2.32 163,036.31 7.177 80.79 613
Florida..................... 861 116,076,765.67 7.11 134,816.22 7.497 82.12 601
Georgia..................... 221 28,420,011.20 1.74 128,597.34 8.210 86.37 603
Illinois.................... 342 49,941,743.35 3.06 146,028.49 7.647 82.73 599
Maine....................... 131 16,428,800.47 1.01 125,410.69 7.463 82.42 621
Maryland.................... 207 38,477,684.91 2.36 185,882.54 7.588 79.79 594
Massachusetts............... 702 150,809,965.44 9.24 214,829.01 6.867 77.93 620
Michigan.................... 334 34,995,205.11 2.14 104,776.06 8.004 81.85 593
Nevada...................... 115 23,497,128.61 1.44 204,322.86 7.181 81.69 620
New Hampshire............... 124 21,436,863.12 1.31 172,877.93 7.204 76.53 601
New Jersey.................. 507 102,075,041.51 6.25 201,331.44 7.353 76.77 596
New York.................... 973 234,368,133.04 14.35 240,871.67 6.987 76.24 619
North Carolina.............. 194 20,719,668.69 1.27 106,802.42 8.138 86.43 601
Ohio........................ 234 22,838,876.40 1.40 97,602.04 7.949 84.82 603
Pennsylvania................ 331 40,992,225.25 2.51 123,843.58 7.424 82.74 601
Rhode Island................ 229 41,540,727.31 2.54 181,400.56 6.919 78.07 625
Texas....................... 554 58,575,695.34 3.59 105,732.30 7.964 80.43 591
Virginia.................... 288 45,495,629.80 2.79 157,970.94 7.696 82.01 601
Washington.................. 126 20,653,115.96 1.26 163,913.62 7.210 86.77 616
Other....................... 1,270 145,613,530.75 8.92 114,656.32 7.609 84.67 605
----- ------------------ ------ ----------- ----- ----- ---
Total............ 9,685 $ 1,632,846,917.97 100.00% $168,595.45 7.252% 79.83% 607
===== ================== ====== =========== ===== ===== ===
21
GROSS MARGINS OF THE ADJUSTABLE-RATE MORTGAGE LOANS
WEIGHTED
AVERAGE
NUMBER % OF WEIGHTED ORIGINAL WEIGHTED
OF AGGREGATE AVERAGE AVERAGE COMBINED AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- CREDIT
GROSS MARGIN (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE VALUE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
2.000 - 2.499.......... 1 $ 74,952.66 0.01% $ 74,952.66 8.300% 45.45% 568
2.500 - 2.999.......... 3 569,310.42 0.05 189,770.14 6.019 94.98 657
3.000 - 3.499.......... 99 22,894,142.35 1.87 231,253.96 5.451 73.35 642
3.500 - 3.999.......... 351 77,191,771.75 6.31 219,919.58 5.834 76.95 638
4.000 - 4.499.......... 871 183,308,439.35 14.99 210,457.45 6.258 81.57 633
4.500 - 4.999.......... 1,202 229,206,446.57 18.74 190,687.56 6.708 82.91 617
5.000 - 5.499.......... 1,263 224,817,821.39 18.39 178,003.03 7.166 81.02 601
5.500 - 5.999.......... 1,139 190,743,012.46 15.60 167,465.33 7.579 81.00 583
6.000 - 6.499.......... 861 129,767,308.21 10.61 150,716.97 7.947 79.83 567
6.500 - 6.999.......... 564 79,418,083.77 6.49 140,812.21 8.267 80.16 563
7.000 - 7.499.......... 317 42,164,558.49 3.45 133,011.23 8.775 80.00 544
7.500 - 7.999.......... 199 24,449,479.50 2.00 122,861.71 9.138 76.81 542
8.000 - 8.499.......... 122 14,628,171.95 1.20 119,903.05 9.773 75.53 534
8.500 - 8.999.......... 25 2,698,041.21 0.22 107,921.65 9.770 76.66 540
9.000 - 9.499.......... 2 287,866.72 0.02 143,933.36 10.875 69.69 512
9.500 - 9.999.......... 5 537,300.91 0.04 107,460.18 10.378 64.04 519
10.000 - 10.500....... 1 58,455.97 0.00 58,455.97 10.100 65.00 526
----- ----------------- ------ ----------- ----- ----- ---
Totals............... 7,025 $1,222,815,163.68 100.00% $174,066.22 7.180% 80.67% 599
===== ================= ====== =========== ===== ===== ===
NEXT ADJUSTMENT DATES FOR THE ADJUSTABLE-RATE MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
NEXT ADJUSTMENT DATE LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
January 2005................. 5 $ 536,971.94 0.04% $ 107,394.397.079% 7.079% 72.77% 558
February 2005................ 2 194,919.65 0.02 97,459.837.569 7.569 73.50 585
July 2006.................... 4,854 837,945,457.48 68.53 172,629.887.137 7.137 81.02 599
August 2006.................. 1,623 281,361,842.94 23.01 173,359.117.459 7.459 80.61 592
September 2006............... 1 79,950.00 0.01 79,950.008.400 8.400 64.48 550
July 2007.................... 422 79,846,250.01 6.53 189,209.126.694 6.694 78.18 615
August 2007.................. 103 20,200,505.81 1.65 196,121.427.016 7.016 77.51 612
July 2009.................... 7 1,511,890.68 0.12 215,984.387.661 7.661 81.51 598
July 2019.................... 4 772,970.64 0.06 193,242.666.426 6.426 73.12 724
August 2019.................. 4 364,404.53 0.03 91,101.138.084 8.084 81.73 628
----- ----------------- ------ ------------------- ----- ----- ---
Total............ 7,025 $1,222,815,163.68 100.00% $ 174,066.227.180% 7.180% 80.67% 599
===== ================= ====== =================== ===== ===== ===
22
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MAXIMUM MORTGAGE RATE MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
(%) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
10.000 - 10.499......... 2 $ 328,539.57 0.03% $ 164,269.79 4.159% 81.20% 648
10.500 - 10.999......... 32 7,765,157.80 0.64 242,661.18 4.916 81.28 649
11.000 - 11.499......... 212 48,085,215.53 3.93 226,817.05 5.354 79.32 634
11.500 - 11.999......... 551 124,367,682.09 10.17 225,712.67 5.801 80.15 630
12.000 - 12.499......... 751 154,734,883.90 12.65 206,038.46 6.252 81.87 626
12.500 - 12.999......... 1,325 258,611,282.07 21.15 195,178.33 6.764 81.90 612
13.000 - 13.499......... 935 161,940,190.96 13.24 173,198.07 7.238 81.86 597
13.500 - 13.999......... 1,318 217,175,681.62 17.76 164,776.69 7.735 79.87 582
14.000 - 14.499......... 691 96,264,174.25 7.87 139,311.40 8.233 80.79 573
14.500 - 14.999......... 635 86,653,479.93 7.09 136,462.17 8.720 79.50 559
15.000 - 15.499......... 249 31,167,060.62 2.55 125,168.92 9.206 78.26 554
15.500 - 15.999......... 210 23,824,620.83 1.95 113,450.58 9.716 75.02 542
16.000 - 16.499......... 50 5,533,847.62 0.45 110,676.95 10.201 76.04 537
16.500 - 16.999......... 39 3,928,829.89 0.32 100,739.23 10.732 69.16 532
17.000 - 17.499......... 14 1,460,018.59 0.12 104,287.04 11.282 70.17 523
17.500 - 17.999......... 8 791,987.06 0.06 98,998.38 11.675 64.93 524
18.000 - 18.499......... 2 123,376.48 0.01 61,688.24 12.174 65.00 536
18.500 - 18.999......... 1 59,134.87 0.00 59,134.87 12.500 65.00 519
----- ----------------- ------ ------------ ----- ----- ---
Total......... 7,025 $1,222,815,163.68 100.00% $ 174,066.22 7.180% 80.67% 599
===== ================= ====== ============ ===== ===== ===
23
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
MINIMUM MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
4.000 - 4.499........ 3 $ 553,068.62 0.05% $ 184,356.21 4.805% 84.77% 705
4.500 - 4.999........ 33 8,236,907.80 0.67 249,603.27 4.918 81.50 650
5.000 - 5.499........ 213 48,196,020.93 3.94 226,272.40 5.357 79.28 634
5.500 - 5.999........ 550 123,781,154.93 10.12 225,056.65 5.804 80.11 630
6.000 - 6.499........ 752 155,022,973.63 12.68 206,147.57 6.253 81.88 626
6.500 - 6.999........ 1,328 259,193,853.70 21.20 195,176.09 6.761 81.91 612
7.000 - 7.499........ 935 162,001,613.62 13.25 173,263.76 7.240 81.82 597
7.500 - 7.999........ 1,318 217,181,813.92 17.76 164,781.35 7.742 79.81 582
8.000 - 8.499........ 691 96,454,082.19 7.89 139,586.23 8.238 80.90 573
8.500 - 8.999........ 633 86,400,775.39 7.07 136,494.12 8.729 79.63 559
9.000 - 9.499........ 248 30,681,512.50 2.51 123,715.78 9.225 77.99 554
9.500 - 9.999........ 209 23,477,722.36 1.92 112,333.60 9.730 75.00 542
10.000 - 10.499......... 49 5,370,223.52 0.44 109,596.40 10.235 76.47 537
10.500 - 10.999......... 38 3,828,923.57 0.31 100,761.15 10.758 68.87 533
11.000 - 11.499......... 14 1,460,018.59 0.12 104,287.04 11.282 70.17 523
11.500 - 11.999......... 8 791,987.06 0.06 98,998.38 11.675 64.93 524
12.000 - 12.499......... 2 123,376.48 0.01 61,688.24 12.174 65.00 536
12.500 - 12.999......... 1 59,134.87 0.00 59,134.87 12.500 65.00 519
----- ----------------- ------ ------------ ----- ----- ---
Total........................ 7,025 $1,222,815,163.68 100.00% $ 174,066.22 7.180% 80.67% 599
===== ================= ====== ============ ===== ===== ===
INITIAL PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
INITIAL PERIODIC RATE CAPS MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
(%) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
1.000...................... 8 $ 873,267.34 0.07% $ 109,158.42 7.532% 74.11% 561
2.000...................... 8 2,622,423.16 0.21 327,802.90 7.608 85.17 597
3.000...................... 7,008 1,219,208,667.78 99.71 173,973.84 7.179 80.67 599
4.000...................... 1 110,805.40 0.01 110,805.40 6.750 61.67 561
----- ----------------- ------ ------------- ----- ----- ---
Total.................... 7,025 $1,222,815,163.68 100.00% $ 174,066.22 7.180% 80.67% 599
===== ================= ====== ============= ===== ===== ===
24
SUBSEQUENT PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
SUBSEQUENT PERIODIC MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
RATE CAPS (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
1.000........................ 6,994 $ 1,215,601,843.58 99.41% $ 173,806.38 7.180% 80.67% 599
1.500........................ 25 5,450,760.05 0.45 218,030.40 7.122 77.44 583
2.000........................ 5 1,621,184.30 0.13 324,236.86 7.132 89.01 619
3.000........................ 1 141,375.75 0.01 141,375.75 9.200 80.00 555
----- ------------------- ------ ------------- ----- ----- ---
Total...................... 7,025 $ 1,222,815,163.68 100.00% $ 174,066.22 7.180% 80.67% 599
===== =================== ====== ============= ===== ===== ===
CREDIT SCORES OF THE MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
CREDIT SCORES LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
500 - 525................... 1,156 $ 176,295,736.99 10.80% $ 152,504.96 8.138% 74.30% 513
526 - 550................... 1,147 186,230,567.61 11.41 162,363.18 7.880 74.25 538
551 - 575................... 1,019 162,450,237.98 9.95 159,421.23 7.626 75.16 563
576 - 600................... 1,213 202,605,135.79 12.41 167,028.14 7.198 77.32 588
601 - 625................... 1,731 295,636,983.79 18.11 170,789.71 6.999 81.79 613
626 - 650................... 1,355 230,586,456.96 14.12 170,174.51 6.896 83.66 637
651 - 675................... 943 166,981,796.67 10.23 177,075.08 6.751 84.61 662
676 - 700................... 478 91,619,230.26 5.61 191,672.03 6.830 84.46 687
701 - 725................... 284 53,621,698.76 3.28 188,808.80 6.840 85.60 712
726 - 750................... 183 38,707,922.54 2.37 211,518.70 6.903 86.19 737
751 - 775................... 83 14,490,350.98 0.89 174,582.54 6.838 84.25 762
776 - 800................... 33 6,758,206.20 0.41 204,794.13 6.320 83.80 786
801 - 825................... 3 744,674.24 0.05 248,224.75 5.731 75.56 812
Not Available............... 57 6,117,919.20 0.37 107,331.92 8.109 71.16 N/A
----- ------------------ ------ ------------ ----- ----- ---
Total................. 9,685 $ 1,632,846,917.97 100.00% $ 168,595.45 7.252% 79.83% 607
===== ================== ====== ============ ===== ===== ===
25
GROUP I MORTGAGE LOAN STATISTICS
The average principal balance of the Group I Mortgage Loans at
origination was approximately $154,596. No Group I Mortgage Loan had a principal
balance at origination greater than approximately $475,000 or less than
approximately $50,000. The average principal balance of the Group I Mortgage
Loans as of the cut-off date was approximately $154,355. No Group I Mortgage
Loan had a principal balance as of the cut-off date of greater than
approximately $474,099 or less than approximately $49,637.
The Group I Mortgage Loans had mortgage rates as of the cut-off date
ranging from approximately 4.090% per annum to approximately 12.800% per annum,
and the weighted average mortgage rate for the Group I Mortgage Loans was
approximately 7.298% per annum.
As of the cut-off date, the adjustable-rate Group I Mortgage Loans had
gross margins ranging from approximately 2.000% to approximately 8.800%, minimum
mortgage rates ranging from approximately 4.090% per annum to approximately
11.450% per annum and maximum mortgage rates ranging from approximately 10.090%
per annum to approximately 17.450% per annum. As of the cut-off date, with
respect to the adjustable-rate Group I Mortgage Loans, the weighted average
gross margin was approximately 5.325%, the weighted average minimum mortgage
rate was approximately 7.204% per annum and the weighted average maximum
mortgage rate was approximately 13.208% per annum. The latest first adjustment
date following the cut-off date on any adjustable-rate Group I Mortgage Loan
occurs in August 1, 2019 and the weighted average next adjustment date for all
of the adjustable-rate Group I Mortgage Loans following the cut-off date is
August 1, 2006.
The weighted average combined loan-to-value ratio of the Group I
Mortgage Loans at origination was approximately 79.97%. At origination, no Group
I Mortgage Loan had a combined loan-to-value ratio greater than 109.59% or less
than approximately 9.47%; provided however, on or before the closing date, the
depositor will remove from the mortgage pool any mortgage loan with a
loan-to-value ratio of greater than 100.00%.
The weighted average remaining term to stated maturity of the Group I
Mortgage Loans was approximately 355 months as of the cut-off date. None of the
Group I Mortgage Loans will have a first due date prior to August 1, 2004 or
after October 1, 2004, or will have a remaining term to stated maturity of less
than 118 months or greater than 360 months as of the cut-off date. The latest
maturity date of any Group I Mortgage Loan is September 1, 2034.
The Group I Mortgage Loans are expected to have the following
characteristics as of the cut-off date, but investors should note that the sum
in any column may not equal the total indicated due to rounding:
26
PRINCIPAL BALANCES OF THE GROUP I MORTGAGE LOANS AT ORIGINATION
WEIGHTED
AVERAGE
% OF ORIGINAL
NUMBER AGGREGATE AGGREGATE WEIGHTED COMBINED WEIGHTED
OF ORIGINAL ORIGINAL AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
RANGE ($) LOANS BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
25,000.01 - 50,000.00..... 81 $ 4,050,000.00 0.31% $ 50,000.00 8.597% 65.05% 601
50,000.01 - 75,000.00..... 1,165 73,533,330.20 5.68 63,118.74 8.412 80.71 602
75,000.01 - 100,000.00...... 1,190 104,670,842.00 8.08 87,958.69 7.893 80.88 602
100,000.01 - 125,000.00...... 1,109 125,308,551.10 9.67 112,992.38 7.607 81.36 599
125,000.01 - 150,000.00...... 1,080 148,684,345.20 11.48 137,670.69 7.372 79.40 602
150,000.01 - 175,000.00...... 826 134,093,838.40 10.35 162,341.21 7.228 80.05 601
175,000.01 - 200,000.00...... 790 148,609,999.44 11.47 188,113.92 7.108 78.87 604
200,000.01 - 225,000.00...... 608 129,611,891.40 10.01 213,177.45 7.099 79.43 604
225,000.01 - 250,000.00...... 442 105,051,767.71 8.11 237,673.68 7.020 79.35 603
250,000.01 - 275,000.00...... 399 104,686,150.60 8.08 262,371.30 6.980 79.37 609
275,000.01 - 300,000.00...... 290 83,506,225.00 6.45 287,952.50 6.984 79.39 609
300,000.01 - 333,700.00...... 279 88,289,978.50 6.82 316,451.54 6.947 82.05 612
333,700.01 - 350,000.00...... 31 10,664,025.00 0.82 344,000.81 7.064 76.85 608
350,000.01 - 500,000.00...... 89 34,596,051.00 2.67 388,719.67 6.908 81.87 646
----- ----------------- ------ ------------- ----- ----- ---
Total................. 8,379 $1,295,356,995.55 100.00% $ 154,595.66 7.298% 79.97% 605
===== ================= ====== ============= ===== ===== ===
27
PRINCIPAL BALANCES OF THE GROUP I MORTGAGE LOANS AS OF THE CUT-OFF DATE
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
RANGE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
25,000.01 - 50,000.00...... 83 $ 4,141,480.56 0.32% $ 49,897.36 8.602% 64.96% 599
50,000.01 - 75,000.00...... 1,164 73,393,723.71 5.67 63,053.03 8.413 80.76 602
75,000.01 - 100,000.00...... 1,190 104,532,723.01 8.08 87,842.62 7.893 80.86 601
100,000.01 -125,000.00...... 1,112 125,513,661.48 9.70 112,872.00 7.605 81.40 599
125,000.01 -150,000.00...... 1,076 147,954,406.08 11.44 137,504.09 7.373 79.37 602
150,000.01 -175,000.00...... 829 134,411,475.58 10.39 162,136.88 7.226 80.04 601
175,000.01 -200,000.00...... 790 148,447,003.06 11.48 187,907.60 7.109 78.83 604
200,000.01 -225,000.00...... 609 129,713,370.31 10.03 212,994.04 7.098 79.51 604
225,000.01 -250,000.00...... 439 104,243,178.46 8.06 237,455.99 7.024 79.37 603
250,000.01 -275,000.00...... 402 105,373,387.48 8.15 262,122.85 6.973 79.40 610
275,000.01 -300,000.00...... 289 83,171,405.57 6.43 287,790.33 6.991 79.48 609
300,000.01 -333,700.00...... 276 87,257,911.03 6.75 316,151.85 6.947 81.92 612
333,700.01 -350,000.00...... 32 10,999,145.51 0.85 343,723.30 7.069 76.26 610
350,000.01 -500,000.00...... 88 34,188,393.09 2.64 388,504.47 6.905 82.11 646
----- ----------------- ------ ----------- ----- ----- ---
Total.................. 8,379 $1,293,341,264.93 100.00% $154,355.09 7.298% 79.97% 605
===== ================= ====== =========== ===== ===== ===
MORTGAGE RATES OF THE GROUP I MORTGAGE LOANS AS OF THE CUT-OFF DATE
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
4.000- 4.499............. 2 $ 328,539.57 0.03% $ 164,269.79 4.159% 81.20% 648
4.500- 4.999............. 27 5,338,100.05 0.41 197,707.41 4.921 84.23 663
5.000- 5.499............. 184 36,566,401.66 2.83 198,730.44 5.356 80.01 637
5.500- 5.999............. 548 108,545,682.26 8.39 198,076.06 5.808 78.37 636
6.000- 6.499............. 866 159,555,369.91 12.34 184,244.08 6.279 79.90 633
6.500- 6.999............. 1,572 269,382,744.66 20.83 171,363.07 6.761 79.77 618
7.000- 7.499............. 1,125 179,161,370.75 13.85 159,254.55 7.244 80.56 604
7.500- 7.999............. 1,561 238,750,458.12 18.46 152,947.12 7.746 80.06 589
8.000- 8.499............. 835 107,728,214.69 8.33 129,015.83 8.241 80.99 584
8.500- 8.999............. 808 103,510,456.50 8.00 128,107.00 8.730 80.12 573
9.000- 9.499............. 311 34,763,657.62 2.69 111,780.25 9.231 78.56 567
9.500- 9.999............. 295 29,956,766.42 2.32 101,548.36 9.717 78.41 557
10.000- 10.499.............. 107 9,172,482.77 0.71 85,724.14 10.229 80.33 575
10.500- 10.999.............. 63 5,234,096.99 0.40 83,080.90 10.734 82.20 576
11.000- 11.499.............. 30 2,211,189.37 0.17 73,706.31 11.202 81.97 585
11.500- 11.999.............. 39 2,753,258.52 0.21 70,596.37 11.678 92.15 603
12.000- 12.499.............. 3 177,896.75 0.01 59,298.92 12.000 91.51 595
12.500- 12.999.............. 3 204,578.32 0.02 68,192.77 12.588 90.68 597
----- ----------------- ------ ------------- ----- ----- ---
Total................... 8,379 $1,293,341,264.93 100.00% $ 154,355.09 7.298% 79.97% 605
===== ================= ====== ============= ===== ===== ===
ORIGINAL TERMS TO STATED MATURITY OF THE GROUP I MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
ORIGINAL TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
0 - 180................ 167 $ 15,698,773.31 1.21% $ 94,004.63 7.879% 69.31% 605
181 - 240................ 113 12,274,251.93 0.95 108,621.70 7.697 71.65 620
241 - 360................ 8,099 1,265,368,239.69 97.84 156,237.59 7.287 80.18 605
----- ------------------ ------ ------------ ----- ----- ---
Total.................. 8,379 $ 1,293,341,264.93 100.00% $ 154,355.09 7.298% 79.97% 605
===== ================== ====== ============ ===== ===== ===
28
REMAINING TERMS TO STATED MATURITY OF THE GROUP I MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
REMAINING TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
61 - 120................... 9 $ 626,000.43 0.05% $ 69,555.60 8.024% 76.42% 636
121 - 180................... 158 15,072,772.88 1.17 95,397.30 7.873 69.02 603
181 - 240................... 113 12,274,251.93 0.95 108,621.70 7.697 71.65 620
301 - 360................... 8,099 1,265,368,239.69 97.84 156,237.59 7.287 80.18 605
----- ------------------ ------ ------------ ----- ----- ---
Total.................. 8,379 $ 1,293,341,264.93 100.00% $ 154,355.09 7.298% 79.97% 605
===== ================== ====== ============ ===== ===== ===
ORIGINAL COMBINED LOAN-TO-VALUE RATIOS OF THE GROUP I MORTGAGE LOANS(1)
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
0.01- 25.00.............. 30 $ 2,623,407.90 0.20% $ 87,446.93 7.191% 19.98% 588
25.01- 30.00.............. 24 2,785,338.28 0.22 116,055.76 6.938 27.44 653
30.01- 35.00.............. 22 2,629,031.09 0.20 119,501.41 7.070 32.37 582
35.01- 40.00.............. 53 5,660,174.10 0.44 106,795.74 7.295 37.46 596
40.01- 45.00.............. 73 9,607,918.28 0.74 131,615.32 6.875 43.27 590
45.01- 50.00.............. 126 17,128,606.94 1.32 135,941.32 7.227 48.12 587
50.01- 55.00.............. 149 22,185,890.46 1.72 148,898.59 6.900 52.93 598
55.01- 60.00.............. 280 44,840,468.99 3.47 160,144.53 7.136 57.93 589
60.01- 65.00.............. 485 80,515,425.42 6.23 166,011.19 7.229 63.47 582
65.01- 70.00.............. 669 110,162,260.60 8.52 164,667.06 7.102 68.83 586
70.01- 75.00.............. 831 135,078,074.29 10.44 162,548.83 7.350 74.00 582
75.01- 80.00.............. 2,054 311,152,081.17 24.06 151,485.92 7.486 79.52 584
80.01- 85.00.............. 693 113,437,652.44 8.77 163,690.70 7.328 84.45 615
85.01- 90.00.............. 1,242 205,593,907.60 15.90 165,534.55 7.447 89.71 626
90.01- 95.00.............. 542 84,484,511.26 6.53 155,875.48 7.382 94.67 634
95.01- 100.00............. 1,104 145,128,407.61 11.22 131,456.89 6.911 99.92 653
105.01- 110.00............. 2 328,108.50 0.03 164,054.25 7.885 108.91 555
----- ----------------- ------ ------------ ----- ----- ---
Total ................... 8,379 $1,293,341,264.93 100.00% $ 154,355.09 7.298% 79.97% 605
===== ================= ====== ============ ===== ===== ===
---------------
(1) On or before the Closing Date, the Depositor will remove from the mortgage
pool any mortgage loans with a loan-to-value ratio of greater than 100.00%.
29
OCCUPANCY STATUS OF THE GROUP I MORTGAGE LOANS(1)
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
OCCUPANCY STATUS LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
Owner Occupied............... 7,658 $1,189,869,260.56 92.00% $ 155,375.98 7.257% 80.35% 602
Non-owner Occupied........... 601 85,928,188.60 6.64 142,975.36 7.861 75.27 648
Second Home.................. 120 17,543,815.77 1.36 146,198.46 7.343 77.51 627
----- ----------------- ------ ------------ ----- ----- ---
Total........................ 8,379 $1,293,341,264.93 100.00% $ 154,355.09 7.298% 79.97% 605
===== ================= ====== ============ ===== ===== ===
-------------
(1) The occupancy status of a Mortgaged Property is as represented by the
mortgagor in its loan application.
PROPERTY TYPES OF THE GROUP I MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
PROPERTY TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
Single Family Detached......... 6,245 $ 918,599,819.02 71.03% $ 147,093.65 7.322% 80.07% 600
2-4 Family Detached............ 656 133,076,573.51 10.29 202,860.63 7.210 77.24 629
Planned Unit Development
Detached....................... 429 74,306,567.22 5.75 173,208.78 7.246 83.37 602
Condo 1-4 Stories Attached..... 387 56,755,436.70 4.39 146,654.88 7.167 81.71 619
2-4 Family Attached............ 197 46,587,830.89 3.60 236,486.45 7.085 77.46 628
Single Family Attached......... 270 38,001,522.05 2.94 140,746.38 7.439 79.70 595
Planned Unit Development
Attached....................... 117 17,622,206.96 1.36 150,617.15 7.542 83.13 600
Manufactured Home Detached..... 53 4,936,308.20 0.38 93,137.89 7.406 73.66 634
Condo 5 Stories +.............. 23 3,175,105.23 0.25 138,048.05 7.499 84.55 646
Condo 1-4 Stories Detached..... 2 279,895.15 0.02 139,947.58 8.368 91.95 572
----- ----------------- ------ ------------ ----- ----- ---
Total...................... 8,379 $1,293,341,264.93 100.00% $ 154,355.09 7.298% 79.97% 605
===== ================= ====== ============ ===== ===== ===
PURPOSES OF THE GROUP I MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
LOAN PURPOSE LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
Cash-Out Refinance............. 5,301 $ 843,140,771.72 65.19% $ 159,053.15 7.301% 75.79% 593
Purchase....................... 2,365 342,017,617.41 26.44 144,616.33 7.260 90.20 638
Rate-Term Refinance............ 713 108,182,875.80 8.36 151,729.14 7.397 80.22 594
----- ------------------ ------ ------------ ----- ----- ---
Total....................... 8,379 $ 1,293,341,264.93 100.00% $ 154,355.09 7.298% 79.97% 605
===== ================== ====== ============ ===== ===== ===
30
DOCUMENTATION TYPES OF THE GROUP I MORTGAGE LOANS(1)
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
DOCUMENTATION TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
Full Documentation........... 5,552 $ 811,147,322.68 62.72% $ 146,100.02 7.222% 81.87% 599
Stated Income Documentation.. 2,764 471,547,174.12 36.46 170,603.17 7.428 76.72 614
No Income / No Asset......... 34 5,578,691.71 0.43 164,079.17 7.497 82.07 708
Limited Income Documentation. 29 5,068,076.42 0.39 174,761.26 7.218 74.91 614
----- ----------------- ------ ------------ ----- ----- ---
Total.................. 8,379 $1,293,341,264.93 100.00% $ 154,355.09 7.298% 79.97% 605
===== ================= ====== ============ ===== ===== ===
-------------
(1) For a description of the loan programs, see "The Originator--Underwriting
Standards" in this prospectus supplement.
RISK CATEGORIES OF THE GROUP I MORTGAGE LOANS(1)
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
RISK CATEGORIES LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
A............................ 1,167 $ 179,413,001.68 13.87% $ 153,738.65 7.483% 75.45% 555
AA........................... 3,785 598,940,325.00 46.31 158,240.51 7.093 78.89 619
B............................ 885 133,198,366.34 10.30 150,506.63 7.984 72.72 540
C............................ 212 31,217,765.10 2.41 147,253.61 8.756 68.72 537
CC........................... 64 10,784,786.79 0.83 168,512.29 9.166 64.35 553
Unavailable.................. 2,266 339,787,020.02 26.27 149,950.14 7.101 88.63 640
----- ------------------ ------ ------------ ----- ----- ---
Total................. 8,379 $ 1,293,341,264.93 100.00% $ 154,355.09 7.298% 79.97% 605
===== ================== ====== ============ ===== ===== ===
-------------
(1) For a description of the risk categories, see "The Originator--Underwriting
Standards" in this prospectus supplement.
31
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES OF THE
GROUP I MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
LOCATION LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
California .................. 1,056 $ 205,831,077.35 15.91% $ 194,915.79 6.952% 75.30% 595
New York .................... 828 174,185,713.17 13.47 210,369.22 7.062 75.71 613
Massachusetts ............... 645 128,734,959.77 9.95 199,589.08 6.858 77.63 619
Florida ..................... 749 98,350,259.60 7.60 131,308.76 7.497 82.94 602
New Jersey .................. 468 86,044,464.70 6.65 183,855.69 7.418 76.38 595
Texas ....................... 509 50,807,299.70 3.93 99,817.88 8.040 80.95 589
Illinois .................... 325 46,186,233.89 3.57 142,111.49 7.643 83.28 599
Rhode Island ................ 216 37,615,405.56 2.91 174,145.40 6.945 78.61 624
Pennsylvania ................ 286 36,749,449.10 2.84 128,494.58 7.389 82.82 603
Virginia .................... 239 35,543,404.69 2.75 148,717.17 7.683 81.42 600
Connecticut ................. 215 32,767,084.17 2.53 152,405.04 7.134 82.06 616
Michigan .................... 276 29,356,273.94 2.27 106,363.31 7.965 82.67 594
Colorado .................... 189 28,426,476.28 2.20 150,404.64 6.798 88.22 618
Maryland .................... 169 27,930,099.80 2.16 165,266.86 7.677 79.83 587
Georgia ..................... 196 23,843,764.59 1.84 121,651.86 8.044 86.93 604
Nevada ...................... 108 20,676,505.09 1.60 191,449.12 7.203 82.03 613
Arizona ..................... 148 19,534,443.26 1.51 131,989.48 7.448 85.22 609
New Hampshire ............... 114 18,987,848.89 1.47 166,560.08 7.199 77.48 601
Ohio ........................ 180 18,206,077.72 1.41 101,144.88 7.803 87.69 608
North Carolina .............. 163 17,651,787.95 1.36 108,293.18 8.139 86.94 600
Washington .................. 109 17,587,969.13 1.36 161,357.51 7.160 86.96 614
Maine ....................... 108 13,660,073.58 1.06 126,482.16 7.456 82.82 625
Minnesota ................... 92 13,252,303.81 1.02 144,046.78 7.043 83.71 611
Other ....................... 991 111,412,289.19 8.61 112,424.11 7.605 85.33 605
----- ------------------ ------ ------------ ----- ----- ---
Total................. 8,379 $ 1,293,341,264.93 100.00% $ 154,355.09 7.298% 79.97% 605
===== ================== ====== ============ ===== ===== ===
GROSS MARGINS OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
GROSS MARGIN (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
2.000- 2.499............... 1 $ 74,952.66 0.01% $ 74,952.66 8.300% 45.45% 568
2.500- 2.999............... 3 569,310.42 0.06 189,770.14 6.019 94.98 657
3.000- 3.499............... 81 16,222,388.43 1.69 200,276.40 5.490 72.69 638
3.500- 3.999............... 292 55,689,498.74 5.79 190,717.46 5.837 77.54 641
4.000- 4.499............... 737 133,619,297.27 13.88 181,301.62 6.251 81.58 635
4.500- 4.999............... 1,056 178,240,404.60 18.52 168,788.26 6.729 82.87 616
5.000- 5.499............... 1,094 177,998,964.13 18.49 162,704.72 7.180 81.33 601
5.500- 5.999............... 1,014 156,812,126.51 16.29 154,647.07 7.582 81.02 583
6.000- 6.499............... 783 112,704,064.50 11.71 143,938.78 7.939 79.84 566
6.500- 6.999............... 512 69,329,393.80 7.20 135,408.97 8.275 80.46 563
7.000- 7.499............... 292 38,697,081.55 4.02 132,524.25 8.791 80.01 545
7.500- 7.999............... 181 22,483,032.40 2.34 124,215.65 9.119 77.20 540
8.000- 8.499............... 1 84,413.88 0.01 84,413.88 9.350 93.89 550
8.500- 8.999............... 1 119,793.50 0.01 119,793.50 8.800 75.00 590
----- ------------------ ------ ------------ ----- ----- ---
Totals................ 6,048 $ 962,644,722.39 100.00% $ 159,167.45 7.204% 80.86% 598
===== ================== ====== ============ ===== ===== ===
32
NEXT ADJUSTMENT DATES FOR THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
NEXT ADJUSTMENT DATE LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
January 2005................. 4 $ 479,277.21 0.05% $ 119,819.30 6.769% 72.50% 565
February 2005................ 2 194,919.65 0.02 97,459.83 7.569 73.50 585
July 2006.................... 4,205 663,269,927.74 68.90 157,733.63 7.165 81.13 598
August 2006.................. 1,365 218,858,357.69 22.74 160,335.79 7.443 80.78 594
September 2006............... 1 79,950.00 0.01 79,950.00 8.400 64.48 550
July 2007.................... 368 61,829,143.79 6.42 168,013.98 6.816 78.46 610
August 2007.................. 91 15,846,048.79 1.65 174,132.40 7.037 80.57 610
July 2009.................... 7 1,511,890.68 0.16 215,984.38 7.661 81.51 598
July 2019.................... 2 297,420.04 0.03 148,710.02 6.135 44.04 711
August 2019.................. 3 277,786.80 0.03 92,595.60 8.655 80.71 613
----- ------------------ ------ ------------ ----- ----- ---
Totals................ 6,048 $ 962,644,722.39 100.00% $ 159,167.45 7.204% 80.86% 598
===== ================== ====== ============ ===== ===== ===
33
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
MAXIMUM MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
10.000 -10.499............. 2 $ 328,539.57 0.03% $ 164,269.79 4.159% 81.20% 648
10.500 -10.999............. 26 5,219,778.19 0.54 200,760.70 4.924 84.32 663
11.000 -11.499............. 179 35,564,540.22 3.69 198,684.58 5.356 80.09 636
11.500 -11.999............. 475 93,135,363.38 9.67 196,074.45 5.798 80.31 629
12.000 -12.499............. 639 115,299,868.16 11.98 180,437.98 6.260 81.78 626
12.500 -12.999............. 1,146 196,143,073.81 20.38 171,154.51 6.757 81.74 611
13.000 -13.499............. 825 131,155,918.25 13.62 158,976.87 7.239 81.79 597
13.500 -13.999............. 1,182 183,190,690.09 19.03 154,983.66 7.734 80.50 582
14.000 -14.499............. 614 81,782,944.14 8.50 133,196.98 8.228 81.03 575
14.500 -14.999............. 548 73,089,892.29 7.59 133,375.72 8.714 79.49 560
15.000 -15.499............. 207 25,462,048.26 2.65 123,005.06 9.219 77.58 558
15.500 -15.999............. 154 17,243,835.45 1.79 111,972.96 9.710 76.22 542
16.000 -16.499............. 31 3,096,458.01 0.32 99,885.74 10.194 74.98 535
16.500 -16.999............. 14 1,477,264.37 0.15 105,518.88 10.626 74.56 543
17.000 -17.499............. 6 454,508.20 0.05 75,751.37 11.267 75.39 533
----- ----------------- ------ ------------ ----- ----- ---
Total................. 6,048 $ 962,644,722.39 100.00% $ 159,167.45 7.204% 80.86% 598
===== ================= ====== ============ ===== ===== ===
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
MINIMUM MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
4.000 - 4.499........ 3 $ 553,068.62 0.06% $ 184,356.21 4.805% 84.77% 705
4.500 - 4.999........ 26 5,219,778.19 0.54 200,760.70 4.924 84.32 663
5.000 - 5.499........ 180 35,675,345.62 3.71 198,196.36 5.361 80.03 636
5.500 - 5.999........ 475 93,020,586.22 9.66 195,832.81 5.798 80.28 629
6.000 - 6.499........ 640 115,587,957.89 12.01 180,606.18 6.260 81.79 626
6.500 - 6.999........ 1,149 196,925,181.82 20.46 171,388.32 6.756 81.76 611
7.000 - 7.499........ 825 131,217,340.91 13.63 159,051.32 7.242 81.74 597
7.500 - 7.999........ 1,182 182,997,286.01 19.01 154,820.04 7.740 80.41 581
8.000 - 8.499........ 613 81,523,410.57 8.47 132,990.88 8.233 81.11 575
8.500 - 8.999........ 545 72,455,108.13 7.53 132,945.15 8.724 79.67 560
9.000 - 9.499........ 206 25,262,317.55 2.62 122,632.61 9.229 77.56 558
9.500 - 9.999........ 154 17,279,016.60 1.79 112,201.41 9.714 76.19 541
10.000 - 10.499........ 31 3,096,458.01 0.32 99,885.74 10.194 74.98 535
10.500 - 10.999........ 13 1,377,358.05 0.14 105,950.62 10.690 74.16 545
11.000 - 11.499........ 6 454,508.20 0.05 75,751.37 11.267 75.39 533
----- ----------------- ------ ------------ ----- ----- ---
Total................... 6,048 $ 962,644,722.39 100.00% $ 159,167.45 7.204% 80.86% 598
===== ================= ====== ============ ===== ===== ===
34
INITIAL PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
INITIAL PERIODIC RATE CAPS (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
1.000........................ 7 $ 815,572.61 0.08% $ 116,510.37 7.382% 74.04% 565
2.000........................ 4 906,601.59 0.09 226,650.40 6.794 86.53 622
3.000........................ 6,036 960,811,742.79 99.81 159,180.21 7.205 80.86 598
4.000........................ 1 110,805.40 0.01 110,805.40 6.750 61.67 561
----- ----------------- ------ ------------ ----- ----- ---
Total.................. 6,048 $ 962,644,722.39 100.00% $ 159,167.45 7.204% 80.86% 598
===== ================= ====== ============ ===== ===== ===
SUBSEQUENT PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
SUBSEQUENT PERIODIC MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
RATE CAPS (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
1.000........................ 6,024 $ 958,134,384.03 99.53% $ 159,052.85 7.205% 80.86% 598
1.500........................ 20 3,632,078.75 0.38 181,603.94 7.021 76.10 574
2.000........................ 3 736,883.86 0.08 245,627.95 6.758 92.96 623
3.000........................ 1 141,375.75 0.01 141,375.75 9.200 80.00 555
----- ----------------- ------ ------------ ----- ----- ---
Total...................... 6,048 $ 962,644,722.39 100.00% $ 159,167.45 7.204% 80.86% 598
===== ================= ====== ============ ===== ===== ===
CREDIT SCORES OF THE GROUP I MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
CREDIT SCORES LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
500 - 525.................. 965 $ 142,843,785.32 11.04% $ 148,024.65 8.093% 74.50% 514
526 - 550.................. 978 150,578,572.93 11.64 153,965.82 7.871 74.20 538
551 - 575.................. 876 129,838,426.23 10.04 148,217.38 7.659 74.43 563
576 - 600.................. 1,068 164,821,650.83 12.74 154,327.39 7.253 77.31 588
601 - 625.................. 1,507 231,659,535.40 17.91 153,722.32 7.054 82.82 613
626 - 650.................. 1,201 184,002,004.47 14.23 153,207.33 6.929 83.99 637
651 - 675.................. 827 130,557,830.52 10.09 157,869.20 6.830 84.62 661
676 - 700.................. 408 69,067,210.71 5.34 169,282.38 6.896 84.65 687
701 - 725.................. 247 42,417,471.00 3.28 171,730.65 6.917 85.85 712
726 - 750.................. 152 26,573,754.14 2.05 174,827.33 7.076 87.01 738
751 - 775.................. 75 11,645,697.62 0.90 155,275.97 6.940 85.88 762
776 - 800.................. 27 4,052,058.90 0.31 150,076.26 6.427 87.19 786
801 - 825.................. 2 193,885.41 0.01 96,942.71 6.389 34.55 805
Not Available............... 46 5,089,381.45 0.39 110,638.73 8.128 69.98 N/A
----- ----------------- ------ ------------ ----- ----- ---
Total..................... 8,379 $1,293,341,264.93 100.00% $ 154,355.09 7.298% 79.97% 605
===== ================= ====== ============ ===== ===== ===
GROUP II MORTGAGE LOAN STATISTICS
The average principal balance of the Group II Mortgage Loans at
origination was approximately $260,337. No Group II Mortgage Loan had a
principal balance at origination greater than approximately $1,100,000 or less
35
than approximately $50,000. The average principal balance of the Group II
Mortgage Loans as of the cut-off date was approximately $259,958. No Group II
Mortgage Loan had a principal balance as of the cut-off date of greater than
approximately $1,099,208 or less than approximately $49,731.
The Group II Mortgage Loans had mortgage rates as of the cut-off date
ranging from approximately 4.740% per annum to approximately 13.150% per annum,
and the weighted average mortgage rate for the Group II Mortgage Loans was
approximately 7.075% per annum.
As of the cut-off date, the adjustable-rate Group II Mortgage Loans had
gross margins ranging from approximately 3.000% to approximately 10.090%,
minimum mortgage rates ranging from approximately 4.740% per annum to
approximately 12.500% per annum and maximum mortgage rates ranging from
approximately 10.740% per annum to approximately 18.500% per annum. As of the
cut-off date, with respect to the adjustable-rate Group II Mortgage Loans, the
weighted average gross margin was approximately 5.217%, the weighted average
minimum mortgage rate was approximately 7.093% per annum and the weighted
average maximum mortgage rate was approximately 13.098% per annum. The latest
first adjustment date following the cut-off date on any adjustable-rate Group II
Mortgage Loan occurs in August 1, 2019 and the weighted average next adjustment
date for all of the adjustable-rate Group II Mortgage Loans following the
cut-off date is August 1, 2006.
The weighted average combined loan-to-value ratio of the Group II
Mortgage Loans at origination was approximately 79.29%. At origination, no Group
II Mortgage Loan had a combined loan-to-value ratio greater than 100.00% or less
than approximately 26.67%.
The weighted average remaining term to stated maturity of the Group II
Mortgage Loans was approximately 357 months as of the cut-off date. None of the
Group II Mortgage Loans will have a first due date prior to August 1, 2004 or
after September 1, 2004, or will have a remaining term to stated maturity of
less than 178 months or greater than 359 months as of the cut-off date. The
latest maturity date of any Group II Mortgage Loan is August 1, 2034.
The Group II Mortgage Loans are expected to have the following
characteristics as of the cut-off date, but investors should note that the sum
in any column may not equal the total indicated due to rounding:
36
PRINCIPAL BALANCES OF THE GROUP II MORTGAGE LOANS AT ORIGINATION
WEIGHTED
% OF AVERAGE
NUMBER AGGREGATE WEIGHTED ORIGINAL WEIGHTED
OF AGGREGATE ORIGINAL AVERAGE AVERAGE COMBINED AVERAGE
MORTGAGE ORIGINAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- CREDIT
RANGE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE VALUE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
25,000.01 - 50,000.00... 24 $ 1,200,000.00 0.35% $ 50,000.00 8.525% 61.51% 561
50,000.01 - 75,000.00... 253 15,535,723.00 4.57 61,406.02 8.518 79.04 585
75,000.01 - 100,000.00... 164 14,301,187.00 4.21 87,202.36 8.276 78.59 583
100,000.01 - 125,000.00... 101 11,310,513.00 3.33 111,985.28 8.068 80.42 587
125,000.01 - 150,000.00... 54 7,365,794.00 2.17 136,403.59 8.097 79.70 581
150,000.01 - 175,000.00... 35 5,653,385.00 1.66 161,525.29 7.970 76.62 571
175,000.01 - 200,000.00... 30 5,727,178.00 1.68 190,905.93 8.404 75.53 566
200,000.01 - 225,000.00... 12 2,557,050.00 0.75 213,087.50 7.826 70.96 581
225,000.01 - 250,000.00... 5 1,190,350.00 0.35 238,070.00 7.541 81.02 643
250,000.01 - 275,000.00... 6 1,561,350.00 0.46 260,225.00 9.684 70.06 524
275,000.01 - 300,000.00... 6 1,729,600.00 0.51 288,266.67 8.251 72.50 559
300,000.01 - 333,700.00... 5 1,598,610.00 0.47 319,722.00 6.745 74.47 593
333,700.01 - 350,000.00... 88 30,145,393.00 8.87 342,561.28 6.931 79.97 608
350,000.01 - 500,000.00... 397 163,573,227.40 48.11 412,023.24 6.853 81.07 621
500,000.01 - 1,000,000.00.... 125 75,450,524.00 22.19 603,604.19 6.535 77.34 624
More than $1,000,000.000..... 1 1,100,000.00 0.32 1,100,000.00 7.650 27.50 616
----- ----------------- ------ ------------ ----- ----- ---
Total.................. 1,306 $ 339,999,884.40 100.00% $ 260,336.82 7.075% 79.29% 612
===== ================= ====== ============ ===== ===== ===
PRINCIPAL BALANCES OF THE GROUP II MORTGAGE LOANS AS OF THE CUT-OFF DATE
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
RANGE ($) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
25,000.01 - 50,000.00.... 25 $ 1,247,972.34 0.37% $ 49,918.89 8.474% 62.09% 566
50,000.01 - 75,000.00.... 252 15,463,810.73 4.55 61,364.33 8.522 79.06 584
75,000.01 - 100,000.00.... 164 14,282,449.69 4.21 87,088.11 8.277 78.59 583
100,000.01 - 125,000.00.... 101 11,295,050.73 3.33 111,832.19 8.068 80.42 587
125,000.01 - 150,000.00.... 54 7,355,098.20 2.17 136,205.52 8.098 79.70 581
150,000.01 - 175,000.00.... 36 5,821,362.81 1.71 161,704.52 7.893 76.27 573
175,000.01 - 200,000.00.... 29 5,545,209.00 1.63 191,214.10 8.499 75.86 564
200,000.01 - 225,000.00.... 12 2,553,488.19 0.75 212,790.68 7.827 70.96 581
225,000.01 - 250,000.00.... 5 1,188,658.28 0.35 237,731.66 7.542 81.01 643
250,000.01 - 275,000.00.... 6 1,559,672.74 0.46 259,945.46 9.684 70.06 524
275,000.01 - 300,000.00.... 6 1,727,417.59 0.51 287,902.93 8.251 72.50 559
300,000.01 - 333,700.00.... 9 2,930,426.91 0.86 325,602.99 6.617 78.67 597
333,700.01 - 350,000.00.... 85 29,115,357.54 8.58 342,533.62 6.953 79.74 608
350,000.01 - 500,000.00.... 396 162,986,359.92 48.01 411,581.72 6.853 81.09 621
500,000.01 - 1,000,000.00.... 125 75,334,110.53 22.19 602,672.88 6.535 77.34 624
More than $1,000,000.000..... 1 1,099,207.84 0.32 1,099,207.84 7.650 27.50 616
----- ----------------- ------ ------------ ----- ----- ---
Total................. 1,306 $ 339,505,653.04 100.00% $ 259,958.39 7.075% 79.29% 612
===== ================= ====== ============ ===== ===== ===
37
MORTGAGE RATES OF THE GROUP II MORTGAGE LOANS AS OF THE CUT-OFF DATE
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
4.500- 4.999............. 7 $ 3,017,129.61 0.89% $ 431,018.52 4.909% 76.61% 627
5.000- 5.499............. 35 13,423,537.30 3.95 383,529.64 5.342 77.29 631
5.500- 5.999............. 107 44,933,731.33 13.24 419,941.41 5.835 77.60 655
6.000- 6.499............. 139 50,264,402.70 14.81 361,614.41 6.266 80.40 638
6.500- 6.999............. 255 88,290,950.44 26.01 346,239.02 6.777 81.09 621
7.000- 7.499............. 140 37,077,848.44 10.92 264,841.77 7.241 81.95 603
7.500- 7.999............. 185 43,956,196.14 12.95 237,601.06 7.749 76.68 592
8.000- 8.499............. 104 17,843,800.02 5.26 171,575.00 8.258 80.15 572
8.500- 8.999............. 128 18,156,146.44 5.35 141,844.89 8.746 79.62 564
9.000- 9.499............. 59 7,226,983.84 2.13 122,491.25 9.224 80.65 549
9.500- 9.999............. 67 7,374,962.13 2.17 110,074.06 9.755 72.96 554
10.000- 10.499............. 25 2,655,415.82 0.78 106,216.63 10.278 78.51 541
10.500- 10.999............. 32 2,939,450.70 0.87 91,857.83 10.780 64.91 530
11.000- 11.499............. 9 1,056,291.24 0.31 117,365.69 11.289 66.80 520
11.500- 11.999............. 10 959,430.84 0.28 95,943.08 11.673 66.57 530
12.000- 12.499............. 2 123,376.48 0.04 61,688.24 12.174 65.00 536
12.500- 12.999............. 1 59,134.87 0.02 59,134.87 12.500 65.00 519
13.000- 13.499............. 1 146,864.70 0.04 146,864.70 13.150 70.00 516
----- ----------------- ------ ------------ ----- ----- ---
Total................. 1,306 $ 339,505,653.04 100.00% $ 259,958.39 7.075% 79.29% 612
===== ================= ====== ============ ===== ===== ===
ORIGINAL TERMS TO STATED MATURITY OF THE GROUP II MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
ORIGINAL TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
1 - 180............... 25 $ 2,321,864.34 0.68% $ 92,874.57 7.658% 72.28% 613
181 - 240............... 9 929,676.22 0.27 103,297.36 7.591 73.19 589
241 - 360............... 1,272 336,254,112.48 99.04 264,350.72 7.070 79.35 612
----- ----------------- ------ ------------ ----- ----- ---
Total................. 1,306 $ 339,505,653.04 100.00% $ 259,958.39 7.075% 79.29% 612
===== ================= ====== ============ ===== ===== ===
38
REMAINING TERMS TO STATED MATURITY OF THE GROUP II MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
REMAINING TERM (MONTHS) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
121 -180.................... 25 $ 2,321,864.34 0.68% $ 92,874.57 7.658% 72.28% 613
181 -240.................... 9 929,676.22 0.27 103,297.36 7.591 73.19 589
301 -360.................... 1,272 336,254,112.48 99.04 264,350.72 7.070 79.35 612
----- ----------------- ------ ------------ ----- ----- ---
Total................... 1,306 $ 339,505,653.04 100.00% $ 259,958.39 7.075% 79.29% 612
===== ================= ====== ============ ===== ===== ===
ORIGINAL COMBINED LOAN-TO-VALUE RATIOS OF THE GROUP II MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
LOAN-TO-VALUE RATIO (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
25.01 - 30.00............ 4 $ 1,598,183.56 0.47% $ 399,545.89 7.290% 27.35% 615
35.01 - 40.00............ 6 1,175,131.01 0.35 195,855.17 7.037 37.59 609
40.01 - 45.00............ 10 1,854,088.27 0.55 185,408.83 6.776 43.38 603
45.01 - 50.00............ 15 4,112,721.03 1.21 274,181.40 6.561 48.53 598
50.01 - 55.00............ 14 2,634,507.42 0.78 188,179.10 7.038 53.27 587
55.01 - 60.00............ 43 10,144,337.98 2.99 235,914.84 7.471 57.70 589
60.01 - 65.00............ 106 23,553,264.16 6.94 222,200.61 7.740 64.03 575
65.01 - 70.00............ 100 28,087,974.61 8.27 280,879.75 6.924 68.71 587
70.01 - 75.00............ 165 44,438,388.63 13.09 269,323.57 7.176 74.13 602
75.01 - 80.00............ 296 78,798,135.03 23.21 266,209.92 6.985 79.39 604
80.01 - 85.00............ 203 46,240,996.91 13.62 227,788.16 7.020 84.50 624
85.01 - 90.00............ 206 62,209,395.38 18.32 301,987.36 7.061 89.50 633
90.01 - 95.00............ 68 19,299,079.95 5.68 283,810.00 7.123 94.67 635
95.01 - 100.00............ 70 15,359,449.10 4.52 219,420.70 6.572 99.92 663
----- ----------------- ------ ------------ ----- ----- ---
Total ................. 1,306 $ 339,505,653.04 100.00% $ 259,958.39 7.075% 79.29% 612
===== ================= ====== ============ ===== ===== ===
OCCUPANCY STATUS OF THE GROUP II MORTGAGE LOANS(1)
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
OCCUPANCY STATUS LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
Owner Occupied............... 1,204 $ 319,313,727.22 94.05% $ 265,210.74 7.038% 79.47% 611
Non-owner Occupied........... 81 12,053,942.32 3.55 148,814.10 8.030 74.87 614
Second Home.................. 21 8,137,983.50 2.40 387,523.02 7.137 78.68 668
----- ----------------- ------ ------------ ----- ----- ---
Total................. 1,306 $ 339,505,653.04 100.00% $ 259,958.39 7.075% 79.29% 612
===== ================= ====== ============ ===== ===== ===
----------
(1) The occupancy status of a Mortgaged Property is as represented by the
mortgagor in its loan application.
39
PROPERTY TYPES OF THE GROUP II MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
PROPERTY TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
Single Family Detached......... 965 $ 254,469,451.71 74.95% $ 263,698.91 7.021% 78.98% 609
Planned Unit Development
Detached....................... 69 24,958,392.09 7.35 361,715.83 7.055 80.36 602
2-4 Family Detached............ 55 17,875,300.84 5.27 325,005.47 6.979 79.97 633
Condo 1-4 Stories Attached..... 46 11,907,265.14 3.51 258,853.59 7.622 81.23 609
Manufactured Home Detached..... 103 10,601,757.91 3.12 102,929.69 7.795 84.00 642
2-4 Family Attached............ 22 9,350,313.12 2.75 425,014.23 6.941 80.43 658
Planned Unit Development
Attached....................... 15 4,564,022.67 1.34 304,268.18 7.093 84.05 626
Single Family Attached......... 26 4,088,355.35 1.20 157,244.44 7.472 63.86 600
Condo 5 Stories +.............. 5 1,690,794.21 0.50 338,158.84 7.950 77.35 611
----- ----------------- ------ ------------ ----- ----- ---
Total.................. 1,306 $ 339,505,653.04 100.00% $ 259,958.39 7.075% 79.29% 612
===== ================= ====== ============ ===== ===== ===
PURPOSES OF THE GROUP II MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
LOAN PURPOSE LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
Cash-Out Refinance........... 894 $ 229,461,642.06 67.59% $ 256,668.50 7.066% 76.92% 605
Purchase..................... 262 76,414,522.31 22.51 291,658.48 6.911 86.65 647
Rate-Term Refinance.......... 150 33,629,488.67 9.91 224,196.59 7.515 78.68 583
----- ----------------- ------ ------------ ----- ----- ---
Total................. 1,306 $ 339,505,653.04 100.00% $ 259,958.39 7.075% 79.29% 612
===== ================= ====== ============ ===== ===== ===
DOCUMENTATION TYPES OF THE GROUP II MORTGAGE LOANS(1)
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
DOCUMENTATION TYPE LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
Full Documentation........... 863 $ 192,947,998.88 56.83% $ 223,578.21 7.058% 81.05% 605
Stated Income Documentation.. 433 143,998,918.09 42.41 332,561.01 7.083 77.01 622
Limited Income Documentation. 8 2,142,186.13 0.63 267,773.27 8.048 71.52 572
No Income / No Asset......... 2 416,549.94 0.12 208,274.97 7.673 90.00 714
----- ----------------- ------ ------------ ----- ----- ---
Total................. 1,306 $ 339,505,653.04 100.00% $ 259,958.39 7.075% 79.29% 612
===== ================= ====== ============ ===== ===== ===
-----------
(1) For a description of the loan programs, see "The Originator--Underwriting
Standards" in this prospectus supplement.
40
RISK CATEGORIES OF THE GROUP II MORTGAGE LOANS(1)
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
RISK CATEGORIES LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
A............................ 179 $ 44,833,447.11 13.21% $ 250,466.18 7.399% 77.19% 557
AA........................... 633 189,374,541.69 55.78 299,169.89 6.736 80.08 635
B............................ 146 30,041,049.32 8.85 205,760.61 7.732 72.09 543
C............................ 76 10,752,073.05 3.17 141,474.65 9.011 70.66 541
CC........................... 61 7,242,830.90 2.13 118,734.93 10.472 63.44 530
Unavailable.................. 211 57,261,710.97 16.87 271,382.52 6.808 85.71 639
----- ----------------- ------ ------------ ----- ----- ---
Total.................. 1,306 $ 339,505,653.04 100.00% $ 259,958.39 7.075% 79.29% 612
===== ================= ====== ============ ===== ===== ===
-------------
(1) For a description of the risk categories, see "The Originator--Underwriting
Standards" in this prospectus supplement.
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES OF THE
GROUP II MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
LOCATION LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
California .................. 289 $ 120,915,405.42 35.62% $ 418,392.41 6.701% 79.77% 608
New York .................... 145 60,182,419.87 17.73 415,051.17 6.769 77.76 636
Massachusetts ............... 57 22,075,005.67 6.50 387,280.80 6.919 79.72 624
Florida ..................... 112 17,726,506.07 5.22 158,272.38 7.495 77.58 598
New Jersey .................. 39 16,030,576.81 4.72 411,040.43 7.004 78.88 600
Maryland .................... 38 10,547,585.11 3.11 277,568.03 7.353 79.68 613
Virginia .................... 49 9,952,225.11 2.93 203,106.63 7.741 84.12 606
Texas ....................... 45 7,768,395.64 2.29 172,631.01 7.468 77.04 607
Michigan .................... 58 5,638,931.17 1.66 97,222.95 8.209 77.59 587
Connecticut ................. 17 5,057,340.58 1.49 297,490.62 7.459 72.52 597
Colorado .................... 14 4,863,011.85 1.43 347,357.99 6.223 84.16 606
Ohio ........................ 54 4,632,798.68 1.36 85,792.57 8.526 73.53 580
Georgia ..................... 25 4,576,246.61 1.35 183,049.86 9.073 83.47 596
Pennsylvania ................ 45 4,242,776.15 1.25 94,283.91 7.726 81.98 582
Rhode Island ................ 13 3,925,321.75 1.16 301,947.83 6.665 72.93 639
Illinois .................... 17 3,755,509.46 1.11 220,912.32 7.693 75.85 592
Other ....................... 289 37,615,597.09 11.08 130,157.78 7.734 81.40 608
----- ----------------- ------ ------------ ----- ----- ---
Total.................. 1,306 $ 339,505,653.04 100.00% $ 259,958.39 7.075% 79.29% 612
===== ================= ====== ============ ===== ===== ===
41
GROSS MARGINS OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
GROSS MARGIN (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
3.000- 3.499............... 18 $ 6,671,753.92 2.56% $ 370,653.00 5.358% 74.97% 653
3.500- 3.999............... 59 21,502,273.01 8.26 364,445.31 5.826 75.43 631
4.000- 4.499............... 134 49,689,142.08 19.10 370,814.49 6.276 81.54 628
4.500- 4.999............... 146 50,966,041.97 19.59 349,082.48 6.635 83.03 618
5.000- 5.499............... 169 46,818,857.26 18.00 277,034.66 7.112 79.83 602
5.500- 5.999............... 125 33,930,885.95 13.04 271,447.09 7.564 80.89 581
6.000- 6.499............... 78 17,063,243.71 6.56 218,759.53 7.996 79.74 577
6.500- 6.999............... 52 10,088,689.97 3.88 194,013.27 8.212 78.12 558
7.000- 7.499............... 25 3,467,476.94 1.33 138,699.08 8.598 79.78 528
7.500- 7.999............... 18 1,966,447.10 0.76 109,247.06 9.362 72.41 556
8.000- 8.499............... 121 14,543,758.07 5.59 120,196.35 9.775 75.42 534
8.500- 8.999............... 24 2,578,247.71 0.99 107,426.99 9.815 76.74 537
9.000- 9.499............... 2 287,866.72 0.11 143,933.36 10.875 69.69 512
9.500- 9.999............... 5 537,300.91 0.21 107,460.18 10.378 64.04 519
10.000- 10.500.............. 1 58,455.97 0.02 58,455.97 10.100 65.00 526
--- ----------------- ------ ------------ ----- ----- ---
Total.................. 977 $ 260,170,441.29 100.00% $ 266,295.23 7.091% 79.98% 602
=== ================= ====== ============ ===== ===== ===
NEXT ADJUSTMENT DATES FOR THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
NEXT ADJUSTMENT DATE LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
January 2005................. 1 $ 57,694.73 0.02% $ 57,694.73 9.650% 75.00% 504
July 2006.................... 649 174,675,529.74 67.14 269,145.65 7.029 80.57 603
August 2006.................. 258 62,503,485.25 24.02 242,261.57 7.513 80.00 587
July 2007.................... 54 18,017,106.22 6.93 333,650.12 6.275 77.20 630
August 2007.................. 12 4,354,457.02 1.67 362,871.42 6.939 66.39 620
July 2019.................... 2 475,550.60 0.18 237,775.30 6.608 91.31 733
August 2019.................. 1 86,617.73 0.03 86,617.73 6.250 85.00 678
--- ----------------- ------ ------------ ----- ----- ---
Total.................. 977 $ 260,170,441.29 100.00% $ 266,295.23 7.091% 79.98% 602
=== ================= ====== ============ ===== ===== ===
42
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
MAXIMUM MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
10.500 -10.999............. 6 $ 2,545,379.61 0.98% $ 424,229.94 4.902% 75.06% 621
11.000 -11.499............. 33 12,520,675.31 4.81 379,414.40 5.348 77.12 629
11.500 -11.999............. 76 31,232,318.71 12.00 410,951.56 5.812 79.67 633
12.000 -12.499............. 112 39,435,015.74 15.16 352,098.35 6.232 82.13 626
12.500 -12.999............. 179 62,468,208.26 24.01 348,984.40 6.784 82.43 615
13.000 -13.499............. 110 30,784,272.71 11.83 279,857.02 7.234 82.15 597
13.500 -13.999............. 136 33,984,991.53 13.06 249,889.64 7.740 76.48 583
14.000 -14.499............. 77 14,481,230.11 5.57 188,067.92 8.261 79.42 564
14.500 -14.999............. 87 13,563,587.64 5.21 155,903.31 8.749 79.59 555
15.000 -15.499............. 42 5,705,012.36 2.19 135,833.63 9.150 81.30 539
15.500 -15.999............. 56 6,580,785.38 2.53 117,514.02 9.730 71.87 542
16.000 -16.499............. 19 2,437,389.61 0.94 128,283.66 10.210 77.40 539
16.500 -16.999............. 25 2,451,565.52 0.94 98,062.62 10.796 65.90 526
17.000 -17.499............. 8 1,005,510.39 0.39 125,688.80 11.289 67.81 519
17.500 -17.999............. 8 791,987.06 0.30 98,998.38 11.675 64.93 524
18.000 -18.499............. 2 123,376.48 0.05 61,688.24 12.174 65.00 536
18.500 -18.999............. 1 59,134.87 0.02 59,134.87 12.500 65.00 519
--- ----------------- ------ ------------ ----- ----- ---
Total................. 977 $ 260,170,441.29 100.00% $ 266,295.23 7.091% 79.98% 602
=== ================= ====== ============ ===== ===== ===
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
MINIMUM MORTGAGE RATE (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
4.500 - 4.999........ 7 $ 3,017,129.61 1.16% $ 431,018.52 4.909% 76.61% 627
5.000 - 5.499........ 33 12,520,675.31 4.81 379,414.40 5.348 77.12 629
5.500 - 5.999........ 75 30,760,568.71 11.82 410,140.92 5.825 79.59 633
6.000 - 6.499........ 112 39,435,015.74 15.16 352,098.35 6.232 82.13 626
6.500 - 6.999........ 179 62,268,671.88 23.93 347,869.68 6.774 82.36 615
7.000 - 7.499........ 110 30,784,272.71 11.83 279,857.02 7.234 82.15 597
7.500 - 7.999........ 136 34,184,527.91 13.14 251,356.82 7.753 76.63 583
8.000 - 8.499........ 78 14,930,671.62 5.74 191,418.87 8.265 79.74 564
8.500 - 8.999........ 88 13,945,667.26 5.36 158,473.49 8.755 79.46 554
9.000 - 9.499........ 42 5,419,194.95 2.08 129,028.45 9.211 79.99 537
9.500 - 9.999........ 55 6,198,705.76 2.38 112,703.74 9.775 71.68 542
10.000 - 10.499........ 18 2,273,765.51 0.87 126,320.31 10.290 78.50 540
10.500 - 10.999........ 25 2,451,565.52 0.94 98,062.62 10.796 65.90 526
11.000 - 11.499........ 8 1,005,510.39 0.39 125,688.80 11.289 67.81 519
11.500 - 11.999........ 8 791,987.06 0.30 98,998.38 11.675 64.93 524
12.000 - 12.499........ 2 123,376.48 0.05 61,688.24 12.174 65.00 536
12.500 - 12.999........ ` 1 59,134.87 0.02 59,134.87 12.500 65.00 519
--- ----------------- ------ ------------ ----- ----- ---
Total................. 977 $ 260,170,441.29 100.00% $ 266,295.23 7.091% 79.98% 602
=== ================= ====== ============ ===== ===== ===
43
INITIAL PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
INITIAL PERIODIC RATE CAPS (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
1.000........................ 1 $ 57,694.73 0.02% $ 57,694.73 9.650% 75.00% 504
2.000........................ 4 1,715,821.57 0.66 428,955.39 8.039 84.45 584
3.000........................ 972 258,396,924.99 99.32 265,840.46 7.084 79.95 602
--- ----------------- ------ ------------ ----- ----- ---
Total................. 977 $ 260,170,441.29 100.00% $ 266,295.23 7.091% 79.98% 602
=== ================= ====== ============ ===== ===== ===
44
SUBSEQUENT PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
SUBSEQUENT PERIODIC MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
RATE CAPS (%) LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
1.000........................ 970 $ 257,467,459.55 98.96% $ 265,430.37 7.088% 79.96% 602
1.500........................ 5 1,818,681.30 0.70 363,736.26 7.325 80.13 603
2.000........................ 2 884,300.44 0.34 442,150.22 7.444 85.72 616
--- ----------------- ------ ------------ ----- ----- ---
Total................. 977 $ 260,170,441.29 100.00% $ 266,295.23 7.091% 79.98% 602
=== ================= ====== ============ ===== ===== ===
CREDIT SCORES OF THE GROUP II MORTGAGE LOANS
WEIGHTED
AVERAGE
ORIGINAL
NUMBER % OF WEIGHTED COMBINED WEIGHTED
OF AGGREGATE AVERAGE AVERAGE LOAN-TO- AVERAGE
MORTGAGE AGGREGATE PRINCIPAL PRINCIPAL MORTGAGE VALUE CREDIT
CREDIT SCORES LOANS PRINCIPAL BALANCE BALANCE BALANCE RATE RATIO SCORE
------------------------------------------------------------------------------------------------------------------------------------
500 - 525............... 191 $ 33,451,951.67 9.85% $ 175,141.11 8.330% 73.47% 513
526 - 550............... 169 35,651,994.68 10.50 210,958.55 7.919 74.43 537
551 - 575............... 143 32,611,811.75 9.61 228,054.63 7.495 78.08 563
576 - 600............... 145 37,783,484.96 11.13 260,575.76 6.956 77.35 589
601 - 625............... 224 63,977,448.39 18.84 285,613.61 6.797 78.07 613
626 - 650............... 154 46,584,452.49 13.72 302,496.44 6.767 82.35 638
651 - 675............... 116 36,423,966.15 10.73 313,999.71 6.468 84.58 663
676 - 700............... 70 22,552,019.55 6.64 322,171.71 6.629 83.88 688
701 - 725............... 37 11,204,227.76 3.30 302,816.97 6.547 84.63 711
726 - 750............... 31 12,134,168.40 3.57 391,424.79 6.523 84.39 737
751 - 775............... 8 2,844,653.36 0.84 355,581.67 6.423 77.61 764
776 - 800............... 6 2,706,147.30 0.80 451,024.55 6.160 78.74 785
801 - 825............... 1 550,788.83 0.16 550,788.83 5.500 90.00 814
Not Available.............. 11 1,028,537.75 0.30 93,503.43 8.014 77.01 N/A
----- ----------------- ------ ------------ ----- ----- ---
Total............... 1,306 $ 339,505,653.04 100.00% $ 259,958.39 7.075% 79.29% 612
===== ================= ====== ============ ===== ===== ===
45
