EXHIBIT 99.2
The depositor purchased mortgage loans from IndyMac Bank, F.S.B.
("INDYMAC BANK") pursuant to a pooling and servicing agreement, dated as of
March 1, 2005, among IndyMac Bank, as seller and master servicer, the depositor
and the trustee, and assigned to the trustee for the benefit of holders of the
certificates the statistical calculation mortgage loans (other than those
removed prior to the closing date) and other similar mortgage loans (together,
the "CLOSING DATE MORTGAGE LOANS"). Pursuant to each subsequent transfer
instrument the trust acquired subsequent mortgage loans. The Closing Date
Mortgage Loans and subsequent mortgage loans included in the trust are referred
to as the "MORTGAGE LOANS". The Closing Date Mortgage Loans have an aggregate
principal balance as of the cut-off date of approximately $999,491,933. The
Closing Date Mortgage Loans to be included in loan group I have an aggregate
principal balance equal to approximately $713,377,245, and the Closing Date
Mortgage Loans to be included in loan group II have an aggregate principal
balance equal to approximately $286,114,588.
As of the cut-off date, the aggregate Stated Principal Balance of the
Statistical Calculation Mortgage Loans is approximately $999,491,933. The
mortgage loans to be included in the mortgage pool were acquired or originated
by the seller in the normal course of its business.
At origination, 98.48% of the Statistical Calculation Mortgage Loans in
loan group I and approximately 99.44% of the Statistical Calculation Mortgage
Loans in loan group II had stated terms to maturity of 30 years. All of the
Statistical Calculation Mortgage Loans provide for payments due on the first day
of each month (a "due date"). Scheduled monthly payments made by the mortgagors
on the mortgage loans ("scheduled payments") either earlier or later than the
scheduled due dates thereof is not expected to affect the amortization schedule
or the relative application of those payments to principal and interest.
With the exception of 596 of the Statistical Calculation Mortgage Loans
in loan group I and 259 of the Statistical Calculation Mortgage Loans in loan
group II, representing approximately 17.54% and 32.94%, respectively, of the
Statistical Calculation Mortgage Loans in that loan group (these Statistical
Calculation Mortgage Loans are referred to in this prospectus supplement as the
"interest-only mortgage loans"), all of the Statistical Calculation Mortgage
Loans in each loan group will provide for the amortization of the amount
financed over a series of substantially equal monthly payments. The terms of the
interest-only mortgage loans only require the related mortgagor to pay interest
on the principal balance of the mortgage loan for either the first two, three,
five, or ten years after its origination, but require that the entire principal
balance of the mortgage loan be fully amortized over the related remaining term
of the mortgage loan following such interest only period.
Approximately 82.46% of the Statistical Calculation Mortgage Loans in
loan group I and approximately 67.06% of the Statistical Calculation Mortgage
Loans in loan group II provide for the amortization of the amount financed over
a series of substantially equal monthly payments, and approximately 0.16% of the
Statistical Calculation Mortgage Loans in loan group I and approximately 0.00%
of the Statistical Calculation Mortgage Loans in loan group II are balloon loans
and provide for equal monthly payments, consisting of principal and interest,
based on a stated amortization schedule, and a single payment of the remaining
principal balance of the loan at maturity.
Approximately 3,042 Statistical Calculation Mortgage Loans in loan
group I and approximately 743 Statistical Calculation Mortgage Loans in group
II, representing approximately 73.73% and 72.67% of the cut-off date principal
balance of the mortgage loans in the respective loan groups contain prepayment
charges. Prepayment charges provide that if the borrower were to prepay the
mortgage loan in full at any time from the origination of the mortgage loan to a
date set forth in the related mortgage note (the "Prepayment Charge Period"),
the borrower would also have to pay a fee in addition to the amount necessary to
repay the mortgage loan. The Prepayment Charge Period for the mortgage loans
vary from one year to five years, depending on the terms set forth in the
related mortgage note. The amount of the prepayment charge varies.
The mortgage rate (the "Mortgage Rate") of each of the fixed-rate
mortgage loans will be fixed for the life of the loan. The Mortgage Rates for a
substantial majority of the adjustable-rate mortgage loans will be fixed for a
period after the origination of each such mortgage loan, after which it will
adjust semi-annually or
10
annually based on the applicable Loan Index. The adjustable-rate mortgage loans
include 2/28 Adjustable Mortgage Loans, 3/27 Adjustable Mortgage Loans, 5/25
Adjustable Mortgage Loans and 7/23 Adjustable Mortgage Loans. The rates on these
loans adjust periodically on a date (the "Adjustment Date"), in most cases,
after an initial period during which their rate is fixed that ends on their
initial Adjustment Date. The change in the interest rate of any adjustable rate
loan on any single Adjustment Date may not exceed a maximum known as its
"Periodic Rate Cap". The interest rate for each of these mortgage loans is
computed as a margin specified in the related mortgage note over the applicable
Loan Index. "6-month LIBOR" and "1-year LIBOR" are equal to the average of
interbank offered rates for six month or one year U.S. dollar deposits,
respectively, in the London market based on quotations of major banks, as
published either (x) by Xxxxxx Xxx either 30 or 45 days before the Adjustment
Date or (y) in the "Money Rates" section of The Wall Street Journal as of the
first business day of the month before the Adjustment Date. The "1-year CMT" is
the weekly average yield on U.S. Treasury Securities adjusted to a constant
maturity of one year as made available by the Federal Reserve. The following
tables summarize these characteristics of the different loan programs for the
adjustable-rate Statistical Calculation Mortgage Loans.
--------------------------------------------------------------------------------
INITIAL PERIODIC RATE
FIXED BASE ADJUSTMENT
PERIOD INDEX PERIOD
1 Year CMT 1 year 1-year CMT 1 year
2/28 LIBOR Adjustable
Mortgage Loans 2 years 6-month LIBOR 6 mos.
3/27 LIBOR
Adjustable
Mortgage Loans 3 years 6-month LIBOR 6 mos.
3/27 CMT Adjustable
Mortgage Loans 3 years 1-year CMT 1 year
5/25 LIBOR Adjustable
Mortgage Loans 5 years 6-month LIBOR 6 mos.
5/25 CMT Adjustable
Mortgage Loans 5 years 1-year CMT 1 year
5/25 LIBOR Adjustable
Mortgage Loans 5 years 1-year LIBOR 1 year
7/23 LIBOR Adjustable
Mortgage Loans 7 years 1-year CMT 6 mos.
--------------------------------------------------------------------------------
The 2/28 Adjustable Mortgage Loans will include performance loans
("Performance Loans") that provide borrowers the potential of a margin reduction
for good payment history. The payment history for the Performance Loan is
evaluated in the second month preceding the month in which the initial
Adjustment Date occurs. If the related borrower has made scheduled payments in
full since the origination of that loan with a maximum of one late payment
(which cannot be in the month of evaluation) the loan is eligible for a
reduction (ranging from 0.50% to 1.00%) in the margin used to calculate the
mortgage rate. Approximately 3.61% of the Statistical Calculation Mortgage Loans
are Performance Loans.
11
ALL STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS1
CURRENT PRINCIPAL BALANCE
Percentage of
Aggregate Principal
Number of Balance of
Range of Statistical Statistical
Current Mortgage Loan Calculation Aggregate Principal Calculation Mortgage
Principal Balance Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
50,000 or less...................... 250 $ 9,647,177 0.97%
50,001 - 100,000.................. 788 60,513,978 6.05
100,001 - 150,000.................. 1,051 131,648,450 13.17
150,001 - 200,000.................. 970 169,925,882 17.00
200,001 - 250,000.................. 685 153,372,791 15.35
250,001 - 300,000.................. 494 136,182,216 13.63
300,001 - 350,000.................. 327 106,411,589 10.65
350,001 - 400,000.................. 228 85,351,374 8.54
400,001 - 450,000.................. 111 47,424,926 4.74
450,001 - 500,000.................. 95 45,650,394 4.57
500,001 - 550,000.................. 24 12,691,125 1.27
550,001 - 600,000.................. 28 16,239,772 1.62
600,001 - 650,000.................. 17 10,800,601 1.08
650,001 - 700,000.................. 7 4,684,604 0.47
700,001 - 750,000.................. 1 750,000 0.08
750,001 - 800,000.................. 1 760,000 0.08
850,001 - 900,000.................. 3 2,595,712 0.26
900,001 - 950,000.................. 2 1,878,844 0.19
950,001 - 1,000,000.................. 3 2,962,499 0.30
------ ------------- -------
TOTAL:............................... 5,085 $ 999,491,933 100.00%
====== ============= =======
As of April 1, 2005, the average current principal balance of the Statistical
Calculation Mortgage Loans is approximately $196,557.
----------
1 The values in all tables are calculated as of April 1, 2005
12
MORTGAGE RATE
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
Current Gross Mortgage Rate Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
4.001 - 4.500..................... 33 $ 8,268,657 0.83%
4.501 - 5.000..................... 122 34,068,033 3.41
5.001 - 5.500..................... 191 48,820,130 4.88
5.501 - 6.000..................... 449 116,252,250 11.63
6.001 - 6.500..................... 610 138,119,389 13.82
6.501 - 7.000..................... 798 179,471,844 17.96
7.001 - 7.500..................... 685 129,342,907 12.94
7.501 - 8.000..................... 662 121,798,223 12.19
8.001 - 8.500..................... 470 79,788,386 7.98
8.501 - 9.000..................... 342 49,478,923 4.95
9.001 - 9.500..................... 212 27,275,282 2.73
9.501 - 10.000..................... 172 23,534,400 2.35
10.001 - 10.500..................... 115 16,121,821 1.61
10.501 - 11.000..................... 88 11,209,965 1.12
11.001 - 11.500..................... 80 10,213,580 1.02
11.501 - 12.000..................... 34 3,660,424 0.37
12.001 - 12.500..................... 16 1,495,589 0.15
12.501 - 13.000..................... 4 332,907 0.03
13.001 - 13.500..................... 1 90,750 0.01
13.501 - 14.000..................... 1 148,471 0.01
------ ------------- -------
TOTAL:............................... 5,085 $ 999,491,933 100.00%
====== ============= =======
As of April 1, 2005, the weighted average mortgage rate of the Statistical
Calculation Mortgage Loans is approximately 7.198%.
13
FICO SCORE
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
Fico Score Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
<= 500............................ 15 $ 1,788,949 0.18%
501 - 520............................ 289 44,877,107 4.49
521 - 540............................ 349 58,584,624 5.86
541 - 560............................ 431 73,378,480 7.34
561 - 580............................ 408 71,043,606 7.11
581 - 600............................ 598 108,896,082 10.90
601 - 620............................ 623 119,295,935 11.94
621 - 640............................ 497 102,049,426 10.21
641 - 660............................ 557 116,042,306 11.61
661 - 680............................ 404 86,318,952 8.64
681 - 700............................ 287 65,322,323 6.54
701 - 720............................ 202 46,139,452 4.62
721 - 740............................ 158 39,332,406 3.94
741 - 760............................ 109 27,204,345 2.72
761 - 780............................ 98 25,128,203 2.51
781 - 800............................ 44 10,711,144 1.07
801 - 820............................ 16 3,378,593 0.34
------ ------------- -------
TOTAL:............................... 5,085 $ 999,491,933 100.00%
====== ============= =======
As of April 1, 2005, the weighted average FICO score of the Statistical
Calculation Mortgage Loans is approximately 629.
14
CREDIT LEVELS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS
Number of Percentage of Aggregate
Statistical Principal Balance of
Calculation Aggregate Principal Statistical Calculation
Credit Level Mortgage Loans Balance Outstanding Mortgage Loans
------------ -------------- ------------------- --------------
1.......................... 372 $ 70,462,476 7.05%
1+......................... 2,359 496,965,618 49.72
1++........................ 1,420 275,680,522 27.58
2.......................... 217 37,534,410 3.76
3.......................... 209 30,312,134 3.03
4.......................... 393 61,504,498 6.15
N/A........................ 115 27,032,275 2.70
----- ------------ ------
TOTAL:................ 5,085 $999,491,933 100.00%
===== ============ ======
(1) Credit Levels are assigned as described under the heading "--UNDERWRITING
STANDARDS."
LIEN STATUS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
Lien Status Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
First Lien........................... 5,085 $ 999,491,933 100.00%
------ ------------- -------
TOTAL:............................... 5,085 $ 999,491,933 100.00%
====== ============= =======
15
ORIGINAL LOAN-TO-VALUE RATIOS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Original Calculation Aggregate Principal Calculation Mortgage
Loan-to-value Ratios Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
50.00 or less........................ 281 $ 42,692,278 4.27%
50.01 - 55.00........................ 133 24,809,853 2.48
55.01 - 60.00........................ 171 38,007,078 3.80
60.01 - 65.00........................ 259 54,805,317 5.48
65.01 - 70.00........................ 468 89,109,563 8.92
70.01 - 75.00........................ 417 89,197,856 8.92
75.01 - 80.00........................ 1,953 394,675,077 39.49
80.01 - 85.00........................ 397 82,087,697 8.21
85.01 - 90.00........................ 682 122,025,597 12.21
90.01 - 95.00........................ 224 44,868,531 4.49
95.01 -100.00........................ 100 17,213,087 1.72
------ ------------- -------
TOTAL:............................... 5,085 $ 999,491,933 100.00%
====== ============= =======
As of April 1, 2005, the weighted average original loan-to-value ratio of the
Statistical Calculation Mortgage Loans is approximately 76.80%.
TYPE OF DOCUMENTATION PROGRAM
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Type of Calculation Aggregate Principal Calculation Mortgage
DOCUMENTATION PROGRAM Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
Alternate............................ 2 $ 425,977 0.04%
Express.............................. 14 3,509,360 0.35
Full................................. 2,821 515,729,957 51.60
Limited Income & Asset............... 119 26,068,540 2.61
No Doc............................... 12 2,684,885 0.27
No Income No Asset................... 2 436,669 0.04
No Ratio............................. 1 286,000 0.03
Stated Doc........................... 2,114 450,350,543 45.06
------ ------------- -------
TOTAL:............................... 5,085 $ 999,491,933 100.00%
====== ============= =======
16
LOAN PURPOSE
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
LOAN PURPOSE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
Cash Out Refi........................ 2,849 $ 560,089,728 56.04%
Purchase............................. 2,013 393,509,875 39.37
Xxxx & Term Refi..................... 223 45,892,329 4.59
------ ------------- -------
TOTAL:............................... 5,085 $ 999,491,933 100.00%
====== ============= =======
OCCUPANCY TYPE(1)
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
OCCUPANCY TYPE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
Owner Occupied....................... 4,519 $ 919,385,883 91.99%
Investor Occupied.................... 512 69,807,331 6.98
Second Home.......................... 54 10,298,720 1.03
------ ------------- -------
TOTAL:............................... 5,085 $ 999,491,933 100.00%
====== ============= =======
(1) Based on representations of the related mortgagors at the time of
origination.
PROPERTY TYPE
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
PROPERTY TYPE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
Single Family........................ 3,652 $ 703,953,602 70.43
Pud.................................. 604 131,374,464 13.14
Two Family........................... 269 61,612,515 6.16
Condominium.......................... 311 54,334,461 5.44
Townhouse............................ 128 18,075,661 1.81
Three Family......................... 47 13,557,773 1.36
High Rise Condo (gt 8 floors)........ 44 9,440,992 0.94
Four Family.......................... 29 7,042,466 0.70
Coop................................. 1 100,000 0.01
------ ------------- -------
TOTAL:............................... 5,085 $ 999,491,933 100.00
====== ============= =======
17
STATE
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
STATE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
Alabama.............................. 95 $ 9,316,219 0.93%
Alaska............................... 14 1,821,497 0.18
Arizona.............................. 67 11,845,326 1.19
Arkansas............................. 22 2,566,138 0.26
California........................... 827 235,224,403 23.53
Colorado............................. 73 13,232,433 1.32
Connecticut.......................... 71 12,986,092 1.30
Delaware............................. 13 2,200,844 0.22
District of Columbia................. 39 8,176,707 0.82
Florida.............................. 518 88,894,596 8.89
Georgia.............................. 244 39,293,904 3.93
Hawaii............................... 11 2,344,196 0.23
Idaho................................ 8 1,284,199 0.13
Illinois............................. 163 28,271,437 2.83
Indiana.............................. 52 4,981,204 0.50
Iowa................................. 15 1,520,838 0.15
Kansas............................... 20 2,014,504 0.20
Kentucky............................. 25 2,314,493 0.23
Louisiana............................ 48 5,173,047 0.52
Maine................................ 4 511,763 0.05
Maryland............................. 189 37,879,606 3.79
Massachusetts........................ 117 29,669,306 2.97
Michigan............................. 197 24,265,794 2.43
Minnesota............................ 32 5,918,774 0.59
Mississippi.......................... 19 2,329,612 0.23
Missouri............................. 41 4,813,249 0.48
Montana.............................. 7 735,066 0.07
Nebraska............................. 14 1,461,862 0.15
Nevada............................... 84 16,985,285 1.70
New Hampshire........................ 23 4,495,928 0.45
New Jersey........................... 366 85,168,126 8.52
New Mexico........................... 8 1,623,759 0.16
New York............................. 583 153,343,335 15.34
North Carolina....................... 74 8,840,940 0.88
Ohio................................. 125 14,313,621 1.43
Oklahoma............................. 18 1,600,497 0.16
Oregon............................... 23 3,913,817 0.39
Pennsylvania......................... 111 12,373,087 1.24
Rhode Island......................... 36 7,409,882 0.74
South Carolina....................... 61 7,489,240 0.75
South Dakota......................... 2 91,248 0.01
Tennessee............................ 48 4,029,248 0.40
Texas................................ 212 29,675,707 2.97
Utah................................. 22 3,320,115 0.33
Vermont.............................. 3 437,397 0.04
Virginia............................. 216 41,470,339 4.15
Washington........................... 94 17,959,564 1.80
West Virginia........................ 6 938,664 0.09
Wisconsin............................ 21 2,400,504 0.24
Wyoming.............................. 4 564,527 0.06
------ ------------- -------
TOTAL:............................... 5,085 $ 999,491,933 100.00%
====== ============= =======
18
ZIP CODE
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
ZIP CODE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
11236................................ 12 $ 3,718,243 0.37%
11203................................ 14 3,167,271 0.32
11746................................ 10 2,813,965 0.28
11729................................ 10 2,659,010 0.27
91709................................ 7 2,608,247 0.26
11717................................ 11 2,556,398 0.26
11003................................ 8 2,472,865 0.25
11208................................ 8 2,464,096 0.25
91306................................ 7 2,246,953 0.22
92154................................ 5 2,150,071 0.22
Other................................ 4,993 972,634,815 97.31
------ ------------- -------
TOTAL:............................... 5,085 $ 999,491,933 100.00%
====== ============= =======
REMAINING TERM TO MATURITY
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
REMAINING TERM TO MATURITY (MONTHS) Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
180 or less.......................... 81 $ 11,865,723 1.19%
181 - 240............................ 6 598,447 0.06
301 - 360............................ 4,998 987,027,763 98.75
------ ------------- -------
TOTAL:............................... 5,085 $ 999,491,933 100.00%
====== ============= =======
As of April 1, 2005, the weighted average term to maturity of the Statistical
Calculation Mortgage Loans is approximately 355 months.
19
PRODUCT TYPE
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
PRODUCT TYPE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
1 Yr Cmt............................. 1 $ 183,218 0.02%
15yr Balloon......................... 8 1,130,597 0.11
15yr Fxd............................. 72 10,610,326 1.06
15yr Fxd -120 Month IO............... 1 124,800 0.01
2/6 Month LIBOR...................... 3,093 557,468,638 55.78
2/6 Month LIBOR - 24 Month IO........ 615 153,894,341 15.27
2/6 Month LIBOR - 60 Month IO........ 12 2,826,487 0.28
2/6 Month LIBOR -120 Month IO........ 102 30,141,208 3.02
30yr Fxd............................. 794 163,616,177 16.37
30yr Fxd -120 Month IO............... 41 11,716,379 1.17
3/1 Arm 1 Yr Cmt..................... 93 15,063,954 1.51
3/1 Arm 1 Yr Cmt - 36 Month IO....... 3 587,920 0.06
3/6 Month LIBOR...................... 157 29,311,131 2.93
3/6 Month LIBOR - 36 Month IO........ 52 12,326,971 1.23
3/6 Month LIBOR - 60 Month IO........ 7 2,178,899 0.22
3/6 Month LIBOR -120 Month IO........ 13 2,992,984 0.30
5/1 Arm 1 Yr Cmt..................... 1 299,631 0.03
5/1 Arm 1 Yr Cmt - 60 Month IO....... 1 362,000 0.04
5/1 Arm 1 Yr Cmt -120 Month IO....... 1 344,000 0.03
5/1 Arm 1 Yr LIBOR................... 6 1,160,159 0.12
5/1 Arm 1 Yr LIBOR -
60 Month IO......................... 3 768,541 0.08
5/6 Month LIBOR...................... 3 703,242 0.07
5/6 Month LIBOR - 60 Month IO........ 3 963,400 0.10
5/6 Month LIBOR -120 Month IO........ 1 132,000 0.01
7/1 Arm 1 Yr Cmt..................... 2 584,927 0.06
------ ------------- -------
TOTAL:............................... 5,085 $ 999,491,933 100.00%
====== ============= =======
20
PREPAYMENT CHARGE TERM
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Prepayment Charge Calculation Aggregate Principal Calculation Mortgage
TERM (MONTHS) Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
0................................... 1,300 $ 265,599,747 26.57%
12................................... 238 53,862,648 5.39
24................................... 2,519 476,402,176 47.66
36................................... 1,024 202,844,928 20.29
60................................... 4 782,434 0.08
------ ------------- -------
TOTAL:............................... 5,085 $ 999,491,933 100.00%
====== ============= =======
21
INITIAL PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
INITIAL PERIODIC RATE CAP Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
1.50................................. 3 $ 606,116 0.07%
2.00................................. 360 82,219,597 10.12
3.00................................. 3,784 723,708,633 89.09
5.00................................. 12 2,586,618 0.32
6.00................................. 10 3,172,690 0.39
------ ------------- -------
TOTAL:............................... 4,169 $ 812,293,653 100.00%
====== ============= =======
SUBSEQUENT PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
SUBSEQUENT PERIODIC RATE CAP Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
1.00................................. 4,037 $ 787,569,728 96.96%
1.50................................. 6 1,360,049 0.17
2.00................................. 126 23,363,876 2.88
------ ------------- -------
TOTAL:............................... 4,169 $ 812,293,653 100.00%
====== ============= =======
22
GROSS MARGIN OF THE ADJUSTABLE-RATE LOANS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
GROSS MARGIN Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
less than 4.000...................... 42 $ 10,608,300 1.31%
4.001 - 4.500...................... 361 77,410,418 9.53
4.501 - 5.000...................... 1,045 239,378,543 29.47
5.001 - 5.500...................... 996 188,710,589 23.23
5.501 - 6.000...................... 724 143,280,823 17.64
6.001 - 6.500...................... 406 64,105,806 7.89
6.501 - 7.000...................... 391 62,934,995 7.75
7.001 - 7.500...................... 177 21,758,285 2.68
7.501 - 8.000...................... 19 2,803,320 0.35
8.001 - 8.500...................... 5 923,334 0.11
8.501 - 9.000...................... 3 379,242 0.05
------ ------------- -------
TOTAL:............................... 4,169 $ 812,293,653 100.00%
====== ============= =======
As of April 1, 2005, the weighted average gross margin of the Statistical
Calculation Mortgage Loans is approximately 5.422%.
23
MAXIMUM MORTGAGE RATE OF THE ADJUSTABLE-RATE LOANS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
MAXIMUM MORTGAGE RATE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
less than 10.000..................... 2 $ 448,168 0.06%
10.001 - 10.500..................... 10 2,200,751 0.27
10.501 - 11.000..................... 25 6,710,758 0.83
11.001 - 11.500..................... 83 21,256,211 2.62
11.501 - 12.000..................... 270 67,598,937 8.32
12.001 - 12.500..................... 462 102,822,664 12.66
12.501 - 13.000..................... 648 146,979,091 18.09
13.001 - 13.500..................... 614 121,864,161 15.00
13.501 - 14.000..................... 618 121,325,012 14.94
14.001 - 14.500..................... 447 78,499,895 9.66
14.501 - 15.000..................... 330 51,449,286 6.33
15.001 - 15.500..................... 203 26,462,144 3.26
15.501 - 16.000..................... 158 24,275,057 2.99
16.001 - 16.500..................... 99 15,226,426 1.87
16.501 - 17.000..................... 82 10,897,426 1.34
17.001 - 17.500..................... 71 9,196,323 1.13
17.501 - 18.000..................... 29 3,236,508 0.40
18.001 - 18.500..................... 13 1,332,665 0.16
18.501 - 19.000..................... 3 272,950 0.03
19.001 - 19.500..................... 1 90,750 0.01
19.501 - 20.000..................... 1 148,471 0.02
------ ------------- -------
TOTAL:............................... 4,169 $ 812,293,653 100.00%
====== ============= =======
As of April 1, 2005, the weighted average maximum mortgage rate of the
Statistical Calculation Mortgage Loans is approximately 13.482%.
24
MINIMUM MORTGAGE RATE OF THE ADJUSTABLE-RATE LOANS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
MINIMUM MORTGAGE RATE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
less than 4.000..................... 33 $ 7,852,762 0.97%
4.001 - 4.500..................... 342 73,470,302 9.04
4.501 - 5.000..................... 1,020 233,645,288 28.76
5.001 - 5.500..................... 983 188,215,253 23.17
5.501 - 6.000..................... 725 143,202,189 17.63
6.001 - 6.500..................... 413 64,709,095 7.97
6.501 - 7.000..................... 398 64,850,896 7.98
7.001 - 7.500..................... 193 25,872,072 3.19
7.501 - 8.000..................... 30 4,919,106 0.61
8.001 - 8.500..................... 15 2,767,445 0.34
8.501 - 9.000..................... 10 1,646,819 0.20
9.001 - 9.500..................... 4 865,977 0.11
10.001 - 10.500..................... 1 53,833 0.01
12.501 - 13.000..................... 1 101,117 0.01
14.001 - 14.500..................... 1 121,500 0.01
------ ------------- -------
TOTAL:............................... 4,169 $ 812,293,653 100.00%
====== ============= =======
As of April 1, 2005, the weighted average minimum mortgage rate of the
Statistical Calculation Mortgage Loans is approximately 5.476%.
25
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
NEXT RATE ADJUSTMENT DATE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
October 1, 2005...................... 1 $ 295,669 0.04%
November 1, 2005..................... 1 53,833 0.01
January 1, 2006...................... 1 183,218 0.02
June 1, 2006......................... 3 732,764 0.09
July 1, 2006......................... 8 2,247,541 0.28
August 1, 2006....................... 22 5,717,279 0.70
September 1, 2006.................... 78 18,737,494 2.31
October 1, 2006...................... 78 19,791,697 2.44
November 1, 2006..................... 84 18,090,806 2.23
December 1, 2006..................... 228 50,060,096 6.16
January 1, 2007...................... 906 181,536,294 22.35
February 1, 2007..................... 888 167,004,011 20.56
March 1, 2007........................ 742 138,589,106 17.06
April 1, 2007........................ 752 134,984,173 16.62
May 1, 2007.......................... 31 6,586,129 0.81
July 1, 2007......................... 1 161,884 0.02
August 1, 2007....................... 5 605,313 0.07
September 1, 2007.................... 9 2,366,427 0.29
October 1, 2007...................... 10 2,706,467 0.33
November 1, 2007..................... 18 4,670,969 0.58
December 1, 2007..................... 51 9,736,463 1.20
January 1, 2008...................... 68 12,870,709 1.58
February 1, 2008..................... 65 13,050,852 1.61
March 1, 2008........................ 45 7,469,360 0.92
April 1, 2008........................ 44 7,648,905 0.94
May 1, 2008.......................... 8 930,290 0.11
August 1, 2009....................... 7 1,563,183 0.19
September 1, 2009.................... 2 553,900 0.07
October 1, 2009...................... 1 146,000 0.02
December 1, 2009..................... 4 1,096,442 0.13
January 1, 2010...................... 1 362,000 0.04
February 1, 2010..................... 2 563,517 0.07
March 1, 2010........................ 2 447,931 0.06
April 1, 2010........................ 1 148,000 0.02
December 1, 2011..................... 1 520,000 0.06
January 1, 2012...................... 1 64,927 0.01
------ ------------- -------
TOTAL:............................... 4,169 $ 812,293,653 100.00%
====== ============= =======
As of April 1, 2005, the weighted average number of months to the next
adjustment date for the Statistical Calculation Mortgage Loans is approximately
23 months.
26
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP I
The Mortgage Loans to be included in loan group I consist of 4080
adjustable-rate and fixed-rate Mortgage Loans having an aggregate principal
balance as of April 1, 2005 of $713,377,245, after application of scheduled
payments due on or before April 1, 2005 whether or not received and application
of all unscheduled payments of principal received prior to April 1, 2005, and
subject to a permitted variance of plus or minus 10%. The Mortgage Loans
included in loan group I have the characteristics set forth below (the sum in
any column may not equal the total indicated due to rounding).
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP I
CURRENT PRINCIPAL BALANCE
Percentage of
Aggregate Principal
Number of Balance of
Range of Statistical Statistical
Current Mortgage Loan Calculation Aggregate Principal Calculation Mortgage
PRINCIPAL BALANCE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
50,000 or less...................... 210 $ 8,041,512 1.13%
50,001 - 100,000.................... 661 50,510,887 7.08
100,001 - 150,000.................... 919 115,260,693 16.16
150,001 - 200,000.................... 855 149,919,103 21.02
200,001 - 250,000.................... 590 132,024,280 18.51
250,001 - 300,000.................... 456 125,729,467 17.62
300,001 - 350,000.................... 291 94,662,439 13.27
350,001 - 400,000.................... 80 29,203,963 4.09
400,001 - 450,000.................... 11 4,698,227 0.66
450,001 - 500,000.................... 7 3,326,676 0.47
------ ------------- --------
TOTAL:............................... $4,080 $ 713,377,245 100.00%
====== ============= ========
As of April 1, 2005, the average current principal balance of the Group I
Statistical Calculation Mortgage Loans is approximately $174,847.
27
MORTGAGE RATE
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP I
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
CURRENT GROSS MORTGAGE RATE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
4.001 - 4.500..................... 27 $ 6,303,666 0.88%
4.501 - 5.000..................... 75 17,248,702 2.42
5.001 - 5.500..................... 87 19,699,819 2.76
5.501 - 6.000..................... 366 81,080,491 11.37
6.001 - 6.500..................... 519 104,904,680 14.71
6.501 - 7.000..................... 674 131,556,015 18.44
7.001 - 7.500..................... 614 103,325,786 14.48
7.501 - 8.000..................... 555 90,289,707 12.66
8.001 - 8.500..................... 403 61,711,850 8.65
8.501 - 9.000..................... 295 38,480,795 5.39
9.001 - 9.500..................... 197 24,016,736 3.37
9.501 - 10.000..................... 144 18,941,019 2.66
10.001 - 10.500..................... 57 7,585,687 1.06
10.501 - 11.000..................... 28 3,460,344 0.49
11.001 - 11.500..................... 23 2,969,071 0.42
11.501 - 12.000..................... 12 1,436,926 0.20
12.001 - 12.500..................... 3 250,950 0.04
12.501 - 13.000..................... 1 115,000 0.02
------ -------------- --------
TOTAL................................ 4,080 $ 713,377,245 100.00%
====== ============== ========
As of April 1, 2005, the weighted average mortgage rate of the Group I
Statistical Calculation Mortgage Loans is approximately 7.215%.
28
FICO SCORE
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP I
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
FICO SCORE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
<= 500............................ 9 $ 1,075,835 0.15%
501 - 520............................ 202 32,125,752 4.50
521 - 540............................ 265 43,143,517 6.05
541 - 560............................ 358 58,027,993 8.13
561 - 580............................ 346 55,907,928 7.84
581 - 600............................ 500 81,691,418 11.45
601 - 620............................ 525 90,798,332 12.73
621 - 640............................ 397 68,169,784 9.56
641 - 660............................ 445 79,684,945 11.17
661 - 680............................ 332 62,758,086 8.80
681 - 700............................ 219 41,416,378 5.81
701 - 720............................ 161 30,828,642 4.32
721 - 740............................ 110 23,462,530 3.29
741 - 760............................ 87 18,560,185 2.60
761 - 780............................ 72 15,190,999 2.13
781 - 800............................ 37 7,545,637 1.06
801 - 820............................ 15 2,989,283 0.42
------ -------------- --------
TOTAL:............................... 4,080 $ 713,377,245 100.00%
====== ============== ========
As of April 1, 2005, the weighted average FICO score of the Group I Statistical
Calculation Mortgage Loans is approximately 625.
29
CREDIT LEVELS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP I
Number of Percentage of Aggregate
Statistical Principal Balance of
Calculation Aggregate Principal Statistical Calculation
Credit Level Mortgage Loans Balance Outstanding Mortgage Loans
------------ -------------- --------------
1................... 323 $ 55,501,096 7.78%
1+.................. 1,979 358,461,382 50.25
1++................. 1,099 189,203,927 26.52
2................... 198 32,001,211 4.49
3................... 182 25,369,277 3.56
4................... 207 35,011,720 4.91
N/A................. 92 17,828,631 2.50
------- ------------- ------
TOTAL:......... 4,080 $ 713,377,245 100.00%
======= ============= ======
(1) Credit Levels are assigned as described under the heading "--UNDERWRITING
STANDARDS."
LIEN STATUS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP I
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
LIEN STATUS Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
First Lien........................... 4,080 $ 713,377,245 100.00%
------ -------------- -------
TOTAL:............................... 4,080 $ 713,377,245 100.00%
====== ============== =======
30
ORIGINAL LOAN-TO-VALUE RATIOS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP I
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Original Calculation Aggregate Principal Calculation Mortgage
LOAN-TO-VALUE RATIOS Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
50.00 or below....................... 240 $ 35,212,270 4.94%
50.01- 55.00....................... 96 17,425,526 2.44
55.01- 60.00....................... 139 26,818,590 3.76
60.01- 65.00....................... 201 38,225,099 5.36
65.01- 70.00....................... 322 58,160,465 8.15
70.01- 75.00....................... 344 62,293,783 8.73
75.01- 80.00....................... 1,574 276,454,548 38.75
80.01- 85.00....................... 332 61,234,317 8.58
85.01- 90.00....................... 567 91,776,138 12.87
90.01- 95.00....................... 182 32,928,113 4.62
95.01- 100.00....................... 83 12,848,396 1.80
------ -------------- --------
TOTAL................................ 4,080 $ 713,377,245 100.00%
====== ============== ========
(1) References to loan-to-value ratios are references to combined loan-to-value
ratios with respect to second lien Mortgage Loans.
As of April 1, 2005, the weighted average original loan-to-value ratio of the
Group I Statistical Calculation Mortgage Loans is approximately 76.74%.
TYPE OF DOCUMENTATION PROGRAM
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP I
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Type of Calculation Aggregate Principal Calculation Mortgage
DOCUMENTATION PROGRAM Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
Alternate............................ 2 $ 425,977 0.06%
Express.............................. 11 2,073,863 0.29
Full................................. 2,278 373,486,783 52.35
Limited Income & Asset............... 98 18,442,403 2.59
No Doc............................... 9 1,173,652 0.16
No Income No Asset................... 2 436,669 0.06
No Ratio............................. 1 286,000 0.04
Stated Doc........................... 1,679 317,051,897 44.44
------ -------------- --------
TOTAL:............................... 4,080 $ 713,377,245 100.00%
====== ============== ========
31
LOAN PURPOSE
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP I
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
LOAN PURPOSE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
Refinance-Cashout.................... 2,304 $ 409,997,823 57.47%
Purchase............................. 1,603 271,134,845 38.01
Refinance-Rate/Term.................. 173 32,244,577 4.52
------ -------------- --------
TOTAL................................ 4,080 $ 713,377,245 100.00%
====== ============== ========
OCCUPANCY TYPE(1)
(STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS)
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
OCCUPANCY TYPE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
Owner Occupied....................... 3,579 $ 644,936,662 90.41%
Investor Occupied.................... 453 59,770,220 8.38
Second Home.......................... 48 8,670,363 1.22
------ -------------- --------
TOTAL:............................... 4,080 $ 713,377,245 100.00%
====== ============== ========
(1) Based on representations of the related mortgagors at the time of
origination.
PROPERTY TYPE
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP I
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
PROPERTY TYPE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
Single Family........................ 2,910 $ 494,758,748 69.35%
PUD.................................. 469 86,652,936 12.15
Two Family........................... 229 51,509,004 7.22
Condominium.......................... 256 40,948,222 5.74
Townhouse............................ 112 15,037,680 2.11
Three Family......................... 42 11,991,442 1.68
High Rise Condo (gt 8 floors)........ 36 6,916,797 0.97
Four Family.......................... 25 5,462,416 0.77
Coop................................. 1 100,000 0.01
------ -------------- --------
TOTAL:............................... 4,080 $ 713,377,245 100.00%
====== ============== ========
32
STATE
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP I
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
STATE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
Alabama.............................. 74 $ 6,488,797 0.91%
Alaska............................... 12 1,470,304 0.21
Arizona.............................. 56 8,009,075 1.12
Arkansas............................. 17 1,904,407 0.27
California........................... 580 135,483,882 18.99
Colorado............................. 60 9,617,045 1.35
Connecticut.......................... 56 10,046,535 1.41
Delaware............................. 12 2,020,844 0.28
District of Columbia................. 32 6,782,942 0.95
Florida.............................. 437 70,212,382 9.84
Georgia.............................. 201 30,643,945 4.30
Hawaii............................... 11 2,344,196 0.33
Idaho................................ 7 884,199 0.12
Illinois............................. 140 23,513,841 3.30
Indiana.............................. 42 4,110,973 0.58
Iowa................................. 12 1,298,666 0.18
Kansas............................... 18 1,848,368 0.26
Kentucky............................. 22 2,008,352 0.28
Louisiana............................ 37 3,402,712 0.48
Maine................................ 3 403,400 0.06
Maryland............................. 157 29,380,484 4.12
Massachusetts........................ 89 20,391,491 2.86
Michigan............................. 167 19,962,974 2.80
Minnesota............................ 29 5,017,819 0.70
Mississippi.......................... 18 1,862,468 0.26
Missouri............................. 38 3,904,618 0.55
Montana.............................. 7 735,066 0.10
Nebraska............................. 11 1,141,413 0.16
Nevada............................... 68 13,026,459 1.83
New Hampshire........................ 19 3,446,705 0.48
New Jersey........................... 293 62,770,537 8.80
New Mexico........................... 7 1,223,759 0.17
New York............................. 459 108,450,713 15.20
North Carolina....................... 67 8,149,288 1.14
Ohio................................. 106 11,646,263 1.63
Oklahoma............................. 16 1,494,962 0.21
Oregon............................... 19 3,218,172 0.45
Pennsylvania......................... 94 9,967,385 1.40
Rhode Island......................... 30 6,183,616 0.87
South Carolina....................... 54 6,419,419 0.90
South Dakota......................... 1 49,273 0.01
Tennessee............................ 42 3,474,330 0.49
Texas................................ 165 20,477,282 2.87
Utah................................. 19 2,662,155 0.37
Vermont.............................. 2 380,432 0.05
Virginia............................. 170 28,866,544 4.05
Washington........................... 77 13,068,604 1.83
West Virginia........................ 5 772,487 0.11
Wisconsin............................ 18 2,173,132 0.30
Wyoming.............................. 4 564,527 0.08
------ -------------- --------
TOTAL:............................... 4,080 $ 713,377,245 100.00%
====== ============== ========
33
ZIP CODE
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP I
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
ZIP CODE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
11203................................ 14 $ 3,167,271 0.44%
11236................................ 9 2,766,532 0.39
11717................................ 11 2,556,398 0.36
11746................................ 9 2,480,215 0.35
92376................................ 11 2,090,856 0.29
11729................................ 8 2,048,502 0.29
11208................................ 6 1,972,196 0.28
92345................................ 12 1,891,481 0.27
20019................................ 9 1,781,270 0.25
92503................................ 7 1,684,309 0.24
Other................................ 3,984 690,938,214 96.85
------ -------------- --------
TOTAL:............................... 4,080 $ 713,377,245 100.00%
====== ============== ========
REMAINING TERM TO MATURITY
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP I
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
REMAINING TERM TO MATURITY (MONTHS) Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
180 or less.......................... 76 $ 10,252,557 1.44%
181 - 240............................ 6 598,447 0.08
301 - 360............................ 3,998 702,526,241 98.48
------ -------------- --------
TOTAL:............................... 4,080 $ 713,377,245 100.00%
====== ============== ========
As of April 1, 2005, the weighted average term to maturity of the Group I
Statistical Calculation Mortgage Loans is approximately 355 months.
34
PRODUCT TYPE
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP I
Number of Aggregate Percentage of Aggregate
Statistical Principal Principal Balance of
Calculation Balance Statistical Calculation
Product Type Mortgage Loans Outstanding Mortgage Loans
------------ -------------- ----------- --------------
1 Yr CMT............................ 1 $ 183,218 0.03%
15yr Balloon........................ 8 1,130,597 0.16
15yr Fxd............................ 68 9,121,960 1.28
2/6 Month LIBOR..................... 2,488 414,469,316 58.10
2/6 Month LIBOR - 24 Month IO....... 432 88,600,202 12.42
2/6 Month LIBOR - 60 Month IO....... 6 1,397,295 0.20
2/6 Month LIBOR -120 Month IO....... 70 16,505,207 2.31
30yr Fxd............................ 703 127,645,283 17.89
30yr Fxd -120 Month IO.............. 33 7,139,744 1.00
3/1 ARM 1 Yr CMT.................... 78 12,208,343 1.71
3/1 ARM 1 Yr CMT - 36 Month IO...... 3 587,920 0.08
3/6 Month LIBOR..................... 134 22,895,142 3.21
3/6 Month LIBOR - 36 Month IO....... 35 6,885,911 0.97
3/6 Month LIBOR - 60 Month IO....... 5 1,324,899 0.19
3/6 Month LIBOR -120 Month IO....... 7 1,594,079 0.22
5/1 ARM 1 Yr CMT.................... 1 299,631 0.04
5/1 ARM 1 Yr CMT -120 Month IO...... 1 344,000 0.05
5/1 ARM 1 Yr LIBOR.................. 1 97,128 0.01
5/1 ARM 1 Yr LIBOR - 60 Month IO.... 2 468,541 0.07
5/6 Month LIBOR..................... 1 148,300 0.02
5/6 Month LIBOR - 60 Month IO....... 1 133,600 0.02
5/6 Month LIBOR -120 Month IO....... 1 132,000 0.02
7/1 ARM 1 Yr CMT.................... 1 64,927 0.01
------- ------------- ------
TOTAL:...................... 4,080 $ 713,377,245 100.00%
======= ============= ======
PREPAYMENT CHARGE TERM
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP I
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
PREPAYMENT CHARGE TERM (MONTHS) Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
0................................... 1,038 $ 187,399,848 26.27%
12................................... 177 34,342,992 4.81
24................................... 2,008 341,537,333 47.88
36................................... 854 149,439,438 20.95
60................................... 3 657,634 0.09
------- ------------- --------
TOTAL................................ 4,080 $ 713,377,245 100.00%
======= ============= ========
35
INITIAL PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP I
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
INITIAL PERIODIC RATE CAP Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
1.50................................. 3 $ 606,116 0.11%
2.00................................. 292 56,127,760 9.88
3.00................................. 2,963 509,546,861 89.66
5.00................................. 5 741,286 0.13
6.00................................. 5 1,317,637 0.23
------- ------------- --------
TOTAL:............................... 3,268 $ 568,339,661 100.00%
======= ============= ========
SUBSEQUENT PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP I
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
SUBSEQUENT PERIODIC RATE CAP Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
1.000................................ 3,167 $ 551,181,333 96.98%
1.500................................ 4 922,647 0.16
2.000................................ 97 16,235,681 2.86
------- ------------- --------
TOTAL................................ 3,268 $ 568,339,661 100.00%
======= ============= ========
36
GROSS MARGIN OF THE ADJUSTABLE-RATE LOANS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP I
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
GROSS MARGIN Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
less than 4.000...................... 16 $ 2,896,303 0.51%
4.001 - 4.500...................... 302 58,842,560 10.35
4.501 - 5.000...................... 827 163,107,385 28.70
5.001 - 5.500...................... 791 133,769,020 23.54
5.501 - 6.000...................... 597 100,838,449 17.74
6.001 - 6.500...................... 325 47,403,644 8.34
6.501 - 7.000...................... 276 43,347,219 7.63
7.001 - 7.500...................... 119 15,407,194 2.71
7.501 - 8.000...................... 9 1,563,749 0.28
8.001 - 8.500...................... 4 827,373 0.15
8.501 - 9.000...................... 2 336,765 0.06
------- ------------- --------
TOTAL:............................... 3,268 $ 568,339,661 100.00%
======= ============= ========
As of April 1, 2005, the weighted average gross margin of the Group I
Statistical Calculation Mortgage Loans is approximately 5.440%.
37
MAXIMUM MORTGAGE RATE OF THE ADJUSTABLE-RATE LOANS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP I
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
MAXIMUM MORTGAGE RATE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
less than 10.000..................... 1 $ 299,631 0.05%
10.001 - 10.500..................... 4 780,128 0.14
10.501 - 11.000..................... 5 1,173,964 0.21
11.001 - 11.500..................... 13 2,762,916 0.49
11.501 - 12.000..................... 213 45,909,741 8.08
12.001 - 12.500..................... 375 74,457,385 13.10
12.501 - 13.000..................... 538 104,983,754 18.47
13.001 - 13.500..................... 539 94,215,227 16.58
13.501 - 14.000..................... 507 88,060,074 15.49
14.001 - 14.500..................... 380 60,751,832 10.69
14.501 - 15.000..................... 280 39,093,082 6.88
15.001 - 15.500..................... 188 23,108,003 4.07
15.501 - 16.000..................... 128 18,768,730 3.30
16.001 - 16.500..................... 43 6,839,258 1.20
16.501 - 17.000..................... 22 3,147,804 0.55
17.001 - 17.500..................... 18 2,428,255 0.43
17.501 - 18.000..................... 11 1,240,926 0.22
18.001 - 18.500..................... 2 203,950 0.04
18.501 - 19.000..................... 1 115,000 0.02
------- ------------- --------
TOTAL:............................... 3,268 $ 568,339,661 100.00%
======= ============= ========
As of April 1, 2005, the weighted average maximum mortgage rate of the Group I
Statistical Calculation Mortgage Loans is approximately 13.494%.
38
MINIMUM MORTGAGE RATE OF THE ADJUSTABLE-RATE LOANS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP I
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
MINIMUM MORTGAGE RATE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
less than 4.000...................... 14 $ 2,548,410 0.45%
4.001 - 4.500...................... 288 56,628,624 9.96
4.501 - 5.000...................... 807 158,951,611 27.97
5.001 - 5.500...................... 771 131,073,129 23.06
5.501 - 6.000...................... 600 101,285,551 17.82
6.001 - 6.500...................... 333 47,870,156 8.42
6.501 - 7.000...................... 284 44,867,294 7.89
7.001 - 7.500...................... 132 17,811,199 3.13
7.501 - 8.000...................... 18 3,391,284 0.60
8.001 - 8.500...................... 10 1,941,429 0.34
8.501 - 9.000...................... 6 1,060,333 0.19
9.001 - 9.500...................... 3 688,025 0.12
12.501 - 13.000...................... 1 101,117 0.02
14.001 - 14.500...................... 1 121,500 0.02
------- ------------- --------
TOTAL:............................... 3,268 $ 568,339,661 100.00%
======= ============= ========
As of April 1, 2005, the weighted average minimum mortgage rate of the Group I
Statistical Calculation Mortgage Loans is approximately 5.488%.
39
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP I
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
NEXT RATE ADJUSTMENT DATE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
October 1, 2005...................... 1 $ 295,669 0.05%
January 1, 2006...................... 1 183,218 0.03
June 1, 2006......................... 3 732,764 0.13
July 1, 2006......................... 5 1,251,941 0.22
August 1, 2006....................... 15 2,705,864 0.48
September 1, 2006.................... 57 12,495,180 2.20
October 1, 2006...................... 65 14,330,881 2.52
November 1, 2006..................... 67 12,561,829 2.21
December 1, 2006..................... 181 34,285,342 6.03
January 1, 2007...................... 755 133,776,089 23.54
February 1, 2007..................... 706 119,879,962 21.09
March 1, 2007........................ 609 102,531,262 18.04
April 1, 2007........................ 523 84,360,938 14.84
May 1, 2007.......................... 9 1,764,300 0.31
July 1, 2007......................... 1 161,884 0.03
August 1, 2007....................... 5 605,313 0.11
September 1, 2007.................... 5 1,390,527 0.24
October 1, 2007...................... 5 904,926 0.16
November 1, 2007..................... 11 2,397,379 0.42
December 1, 2007..................... 43 7,165,511 1.26
January 1, 2008...................... 58 9,858,625 1.73
February 1, 2008..................... 50 9,489,961 1.67
March 1, 2008........................ 40 6,199,363 1.09
April 1, 2008........................ 38 6,568,405 1.16
May 1, 2008.......................... 6 754,400 0.13
August 1, 2009....................... 2 419,669 0.07
September 1, 2009.................... 1 133,600 0.02
October 1, 2009...................... 1 146,000 0.03
December 1, 2009..................... 1 132,000 0.02
February 1, 2010..................... 1 344,000 0.06
March 1, 2010........................ 2 447,931 0.08
January 1, 2012...................... 1 64,927 0.01
------- ------------- --------
TOTAL:............................... 3,268 $ 568,339,661 100.00%
======= ============= ========
As of April 1, 2005, the weighted average number of months to the next
adjustment date for the Group I Statistical Calculation Mortgage Loans is
approximately 23 months.
40
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP II
The Mortgage Loans to be included in loan group II consist of 1005
adjustable-rate and fixed-rate Mortgage Loans having an aggregate principal
balance as of April 1, 2005 of $286,114,688, after application of scheduled
payments due on or before April 1, 2005 whether or not received and application
of all unscheduled payments of principal received prior to April 1, 2005, and
subject to a permitted variance of plus or minus 10%. The Mortgage Loans
included in loan group II have the characteristics set forth below (the sum in
any column may not equal the total indicated due to rounding).
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP II2
CURRENT PRINCIPAL BALANCE
Percentage of
Aggregate Principal
Number of Balance of
Range of Statistical Statistical
Current Mortgage Loan Calculation Aggregate Principal Calculation Mortgage
PRINCIPAL BALANCE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
50,000 or less...................... 40 $ 1,605,665 0.56%
50,001 - 100,000.................. 127 10,003,091 3.50
100,001 - 150,000.................. 132 16,387,757 5.73
150,001 - 200,000.................. 115 20,006,779 6.99
200,001 - 250,000.................. 95 21,348,512 7.46
250,001 - 300,000.................. 38 10,452,750 3.65
300,001 - 350,000.................. 36 11,749,149 4.11
350,001 - 400,000.................. 148 56,147,411 19.62
400,001 - 450,000.................. 100 42,726,699 14.93
450,001 - 500,000.................. 88 42,323,719 14.79
500,001 - 550,000.................. 24 12,691,125 4.44
550,001 - 600,000.................. 28 16,239,772 5.68
600,001 - 650,000.................. 17 10,800,601 3.77
650,001 - 700,000.................. 7 4,684,604 1.64
700,001 - 750,000.................. 1 750,000 0.26
750,001 - 800,000.................. 1 760,000 0.27
850,001 - 900,000.................. 3 2,595,712 0.91
900,001 - 950,000.................. 2 1,878,844 0.66
950,001 - 1,000,000.................. 3 2,962,499 1.04
------ ------------- -------
TOTAL:............................... 1,005 $ 286,114,688 100.00%
====== ============= =======
As of April 1, 2005, the average current principal balance of the Group II
Statistical Calculation Mortgage Loans is approximately $284,691.
----------
2 The values in all tables are calculated as of April 1, 2005
41
MORTGAGE RATE
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP II
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
CURRENT GROSS MORTGAGE RATE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
4.001 - 4.500..................... 6 $ 1,964,991 0.69%
4.501 - 5.000..................... 47 16,819,331 5.88
5.001 - 5.500..................... 104 29,120,311 10.18
5.501 - 6.000..................... 83 35,171,760 12.29
6.001 - 6.500..................... 91 33,214,709 11.61
6.501 - 7.000..................... 124 47,915,829 16.75
7.001 - 7.500..................... 71 26,017,121 9.09
7.501 - 8.000..................... 107 31,508,516 11.01
8.001 - 8.500..................... 67 18,076,536 6.32
8.501 - 9.000..................... 47 10,998,128 3.84
9.001 - 9.500..................... 15 3,258,546 1.14
9.501 - 10.000..................... 28 4,593,380 1.61
10.001 - 10.500..................... 58 8,536,134 2.98
10.501 - 11.000..................... 60 7,749,621 2.71
11.001 - 11.500..................... 57 7,244,509 2.53
11.501 - 12.000..................... 22 2,223,498 0.78
12.001 - 12.500..................... 13 1,244,639 0.44
12.501 - 13.000..................... 3 217,907 0.08
13.001 - 13.500..................... 1 90,750 0.03
13.501 - 14.000..................... 1 148,471 0.05
------ ------------- -------
TOTAL:............................... 1,005 $ 286,114,688 100.00%
====== ============= =======
As of April 1, 2005, the weighted average mortgage rate of the Group II
Statistical Calculation Mortgage Loans is approximately 7.158%.
42
FICO SCORE
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP II
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
FICO SCORE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
<= 500............................ 6 $ 713,115 0.25%
501 - 520............................ 87 12,751,355 4.46
521 - 540............................ 84 15,441,107 5.40
541 - 560............................ 73 15,350,486 5.37
561 - 580............................ 62 15,135,678 5.29
581 - 600............................ 98 27,204,664 9.51
601 - 620............................ 98 28,497,603 9.96
621 - 640............................ 100 33,879,642 11.84
641 - 660............................ 112 36,357,361 12.71
661 - 680............................ 72 23,560,867 8.23
681 - 700............................ 68 23,905,945 8.36
701 - 720............................ 41 15,310,810 5.35
721 - 740............................ 48 15,869,876 5.55
741 - 760............................ 22 8,644,160 3.02
761 - 780............................ 26 9,937,204 3.47
781 - 800............................ 7 3,165,507 1.11
801 - 820............................ 1 389,310 0.14
------ ------------- -------
TOTAL:............................... 1,005 $ 286,114,688 100.00%
====== ============= =======
As of April 1, 2005, the weighted average FICO score of the Group II Statistical
Calculation Mortgage Loans is approximately 637.
43
CREDIT LEVELS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP II
Number of Percentage of Aggregate
Statistical Principal Balance of
Calculation Aggregate Principal Statistical Calculation
Credit Level Mortgage Loans Balance Outstanding Mortgage Loans
-------------------- -------------- --------------
1................... 49 $ 14,961,380 5.23%
1+.................. 380 138,504,236 48.41
1++................. 321 86,476,595 30.22
2................... 19 5,533,199 1.93
3................... 27 4,942,856 1.73
4................... 186 26,492,778 9.26
N/A................. 23 9,203,644 3.22
------ -------------- ------
TOTAL:.......... 1,005 $ 286,114,688 100.00%
====== ============== ======
(1) Credit Levels are assigned as described under the heading "--UNDERWRITING
STANDARDS."
LIEN STATUS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP II
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
LIEN STATUS Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
First Lien........................... 1,005 $ 286,114,688 100.00%
------ ------------- -------
TOTAL:............................... 1,005 $ 286,114,688 100.00%
====== ============= =======
44
ORIGINAL LOAN-TO-VALUE RATIOS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP II
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Original Calculation Aggregate Principal Calculation Mortgage
LOAN-TO-VALUE RATIOS Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
50.00 or less........................ 41 $ 7,480,008 2.61%
50.01 - 55.00........................ 37 7,384,327 2.58
55.01 - 60.00........................ 32 11,188,488 3.91
60.01 - 65.00........................ 58 16,580,218 5.79
65.01 - 70.00........................ 146 30,949,098 10.82
70.01 - 75.00........................ 73 26,904,073 9.40
75.01 - 80.00........................ 379 118,220,529 41.32
80.01 - 85.00........................ 65 20,853,380 7.29
85.01 - 90.00........................ 115 30,249,459 10.57
90.01 - 95.00........................ 42 11,940,418 4.17
95.01 -100.00........................ 17 4,364,691 1.53
------ ------------- -------
TOTAL:............................... 1,005 $ 286,114,688 100.00%
====== ============= =======
As of April 1, 2005, the weighted average original loan-to-value ratio of the
Group II Statistical Calculation Mortgage Loans is approximately 76.93%.
TYPE OF DOCUMENTATION PROGRAM
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP II
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Type of Calculation Aggregate Principal Calculation Mortgage
DOCUMENTATION PROGRAM Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
Express.............................. 3 $ 1,435,497 0.50%
Full Documentation................... 543 142,243,174 49.72
Limited Income & Asset............... 21 7,626,138 2.67
No Documentation..................... 3 1,511,233 0.53
Stated Documentation................. 435 133,298,646 46.59
------ --------------- ------
TOTAL:............................... 1,005 $ 286,114,688 100.00%
====== =============== ======
45
LOAN PURPOSE
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP II
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
LOAN PURPOSE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
Cash Out Refinance................... 545 $ 150,091,905 52.46%
Purchase............................. 410 122,375,030 42.77
Rate & Term Refinance................ 50 13,647,753 4.77
----- ------------- -------
TOTAL:............................... 1,005 $ 286,114,688 100.00%
===== ============= =======
OCCUPANCY TYPE(1)
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP II
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
OCCUPANCY TYPE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
Owner Occupied....................... 940 $ 274,449,220 95.92%
Investor Occupied.................... 59 10,037,111 3.51
Second Home.......................... 6 1,628,357 0.57
------ ------------- ------
TOTAL:............................... 1,005 $ 286,114,688 100.00%
====== ============= ======
(1) Based on representations of the related mortgagors at the time of
origination.
PROPERTY TYPE
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP II
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
PROPERTY TYPE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
Single Family........................ 742 $ 209,194,854 73.12%
PUD.................................. 135 44,721,527 15.63
Condominium.......................... 55 13,386,239 4.68
Two Family........................... 40 10,103,511 3.53
Townhouse............................ 16 3,037,982 1.06
High Rise Condo (gt 8 floors)........ 8 2,524,195 0.88
Four Family.......................... 4 1,580,050 0.55
Three Family......................... 5 1,566,330 0.55
----- ------------- -------
TOTAL:............................... 1,005 $ 286,114,688 100.00%
===== ============= =======
46
STATE
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP II
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
STATE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
Alabama.............................. 21 $ 2,827,423 0.99%
Alaska............................... 2 351,193 0.12
Arizona.............................. 11 3,836,251 1.34
Arkansas............................. 5 661,731 0.23
California........................... 247 99,740,521 34.86
Colorado............................. 13 3,615,388 1.26
Connecticut.......................... 15 2,939,556 1.03
Delaware............................. 1 180,000 0.06
District of Columbia................. 7 1,393,764 0.49
Florida.............................. 81 18,682,214 6.53
Georgia.............................. 43 8,649,958 3.02
Idaho................................ 1 400,000 0.14
Illinois............................. 23 4,757,595 1.66
Indiana.............................. 10 870,230 0.30
Iowa................................. 3 222,172 0.08
Kansas............................... 2 166,136 0.06
Kentucky............................. 3 306,141 0.11
Louisiana............................ 11 1,770,335 0.62
Maine................................ 1 108,362 0.04
Maryland............................. 32 8,499,122 2.97
Massachusetts........................ 28 9,277,815 3.24
Michigan............................. 30 4,302,819 1.50
Minnesota............................ 3 900,955 0.31
Mississippi.......................... 1 467,143 0.16
Missouri............................. 3 908,631 0.32
Nebraska............................. 3 320,449 0.11
Nevada............................... 16 3,958,826 1.38
New Hampshire........................ 4 1,049,222 0.37
New Jersey........................... 73 22,397,590 7.83
New Mexico........................... 1 400,000 0.14
New York............................. 124 44,892,622 15.69
North Carolina....................... 7 691,652 0.24
Ohio................................. 19 2,667,357 0.93
Oklahoma............................. 2 105,534 0.04
Oregon............................... 4 695,645 0.24
Pennsylvania......................... 17 2,405,702 0.84
Rhode Island......................... 6 1,226,265 0.43
South Carolina....................... 7 1,069,820 0.37
South Dakota......................... 1 41,975 0.01
Tennessee............................ 6 554,918 0.19
Texas................................ 47 9,198,425 3.21
Utah................................. 3 657,960 0.23
Vermont.............................. 1 56,964 0.02
Virginia............................. 46 12,603,795 4.41
Washington........................... 17 4,890,959 1.71
West Virginia........................ 1 166,177 0.06
Wisconsin............................ 3 227,372 0.08
------ ------------- -------
TOTAL:............................... 1,005 $ 286,114,688 100.00%
====== ============= =======
47
ZIP CODE
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP II
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
ZIP CODE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
91709................................ 5 $ 2,020,247 0.71%
92880................................ 4 1,870,638 0.65
95382................................ 3 1,377,871 0.48
10305................................ 3 1,361,200 0.48
33028................................ 3 1,263,974 0.44
90404................................ 2 1,250,960 0.44
92656................................ 2 1,231,715 0.43
91739................................ 2 1,227,842 0.43
95747................................ 2 1,215,196 0.42
80234................................ 2 1,198,400 0.42
Other................................ 977 272,096,647 95.10
------ ------------ ------
TOTAL:............................... 1,005 $286,114,688 100.00%
====== ============ ======
REMAINING TERM TO MATURITY
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP II
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
REMAINING TERM TO MATURITY (MONTHS) Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
180 or less.......................... 5 $ 1,613,166 0.56%
301 - 360............................ 1,000 284,501,522 99.44
----- ------------- -------
TOTAL:............................... 1,005 $ 286,114,688 100.00%
===== ============= =======
As of April 1, 2005, the weighted average term to maturity of the Group II
Statistical Calculation Mortgage Loans is approximately 357 months.
48
PRODUCT TYPE
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP II
Number of Percentage of Aggregate
Statistical Principal Balance of
Calculation Aggregate Principal Statistical Calculation
Product Type Mortgage Loans Balance Outstanding Mortgage Loans
------------------------------------ -------------- ------------------- ------------------------
15yr Fxd............................ 4 $ 1,488,366 0.52%
15yr Fxd -120 Month Io.............. 1 124,800 0.04
2/6 Month LIBOR..................... 605 142,999,322 49.98
2/6 Month LIBOR - 24 Month IO....... 183 65,294,139 22.82
2/6 Month LIBOR - 60 Month IO....... 6 1,429,192 0.50
2/6 Month LIBOR -120 Month IO....... 32 13,636,001 4.77
30yr Fxd............................ 91 35,970,894 12.57
30yr Fxd -120 Month Io.............. 8 4,576,635 1.60
3/1 ARM 1 Yr CMT.................... 15 2,855,610 1.00
3/6 Month LIBOR..................... 23 6,415,989 2.24
3/6 Month LIBOR - 36 Month IO....... 17 5,441,060 1.90
3/6 Month LIBOR - 60 Month IO....... 2 854,000 0.30
3/6 Month LIBOR -120 Month IO....... 6 1,398,905 0.49
5/1 ARM 1 Yr CMT - 60 Month IO...... 1 362,000 0.13
5/1 ARM 1 Yr LIBOR.................. 5 1,063,031 0.37
5/1 ARM 1 Yr LIBOR - 60 Month IO.... 1 300,000 0.10
5/6 Month LIBOR..................... 2 554,942 0.19
5/6 Month LIBOR - 60 Month IO....... 2 829,800 0.29
7/1 ARM 1 Yr CMT.................... 1 520,000 0.18
----- ------------- -------
TOTAL:.......................... 1,005 $ 286,114,688 100.00%
===== ============= =======
PREPAYMENT CHARGE TERM
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP II
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Prepayment Charge Calculation Aggregate Principal Calculation Mortgage
TERM (MONTHS) Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
0................................... 262 $ 78,199,900 27.33%
12................................... 61 19,519,655 6.82
24................................... 511 134,864,843 47.14
36................................... 170 53,405,490 18.67
60................................... 1 124,800 0.04
----- ------------- -------
TOTAL:............................... 1,005 $ 286,114,688 100.00%
===== ============= =======
49
INITIAL PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP II
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
Initial Periodic Rate Cap Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
2.00................................. 68 $ 26,091,837 10.70%
3.00................................. 821 214,161,772 87.79
5.00................................. 7 1,845,331 0.76
6.00................................. 5 1,855,053 0.76
---- ------------ -------
TOTAL:............................... 901 $243,953,993 100.00%
==== ============ =======
SUBSEQUENT PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP II
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
SUBSEQUENT PERIODIC RATE CAP Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
1.00................................. 870 $236,388,395 96.90%
1.50................................. 2 437,403 0.18
2.00................................. 29 7,128,195 2.92
---- ------------ -------
TOTAL:............................... 901 $243,953,993 100.00%
==== ============ =======
50
GROSS MARGIN OF THE ADJUSTABLE-RATE LOANS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP II
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
GROSS MARGIN Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
less than 4.000...................... 26 $ 7,711,997 3.16%
4.001 - 4.500...................... 59 18,567,858 7.61
4.501 - 5.000...................... 218 76,271,158 31.26
5.001 - 5.500...................... 205 54,941,570 22.52
5.501 - 6.000...................... 127 42,442,374 17.40
6.001 - 6.500...................... 81 16,702,162 6.85
6.501 - 7.000...................... 115 19,587,775 8.03
7.001 - 7.500...................... 58 6,351,090 2.60
7.501 - 8.000...................... 10 1,239,571 0.51
8.001 - 8.500...................... 1 95,961 0.04
8.501 - 9.000...................... 1 42,476 0.02
----- ------------ ------
TOTAL:............................... 901 $243,953,993 100.00%
===== ============ ======
As of April 1, 2005, the weighted average gross margin of the Group II
Statistical Calculation Mortgage Loans is approximately 5.381%.
51
MAXIMUM MORTGAGE RATE OF THE ADJUSTABLE-RATE LOANS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP II
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
MAXIMUM MORTGAGE RATE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
less than 10.000..................... 1 $ 148,537 0.06%
10.001 - 10.500..................... 6 1,420,623 0.58
10.501 - 11.000..................... 20 5,536,794 2.27
11.001 - 11.500..................... 70 18,493,295 7.58
11.501 - 12.000..................... 57 21,689,196 8.89
12.001 - 12.500..................... 87 28,365,279 11.63
12.501 - 13.000..................... 110 41,995,337 17.21
13.001 - 13.500..................... 75 27,648,934 11.33
13.501 - 14.000..................... 111 33,264,938 13.64
14.001 - 14.500..................... 67 17,748,063 7.28
14.501 - 15.000..................... 50 12,356,204 5.06
15.001 - 15.500..................... 15 3,354,141 1.37
15.501 - 16.000..................... 30 5,506,327 2.26
16.001 - 16.500..................... 56 8,387,169 3.44
16.501 - 17.000..................... 60 7,749,621 3.18
17.001 - 17.500..................... 53 6,768,068 2.77
17.501 - 18.000..................... 18 1,995,582 0.82
18.001 - 18.500..................... 11 1,128,715 0.46
18.501 - 19.000..................... 2 157,950 0.06
19.001 - 19.500..................... 1 90,750 0.04
19.501 - 20.000..................... 1 148,471 0.06
----- ------------- -------
TOTAL:............................... 901 $ 243,953,993 100.00%
===== ============= =======
As of April 1, 2005, the weighted average maximum mortgage rate of the Group II
Statistical Calculation Mortgage Loans is approximately 13.452%.
52
MINIMUM MORTGAGE RATE OF THE ADJUSTABLE-RATE LOANS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP II
Percentage of
Aggregate Principal
Number of Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation Mortgage
MINIMUM MORTGAGE RATE Mortgage Loans Balance Outstanding Loans
------------------------------------- -------------- ------------------- --------------------
less than 4.000...................... 19 $ 5,304,352 2.17%
4.001 - 4.500...................... 54 16,841,677 6.90
4.501 - 5.000...................... 213 74,693,677 30.62
5.001 - 5.500...................... 212 57,142,124 23.42
5.501 - 6.000...................... 125 41,916,638 17.18
6.001 - 6.500...................... 80 16,838,939 6.90
6.501 - 7.000...................... 114 19,983,601 8.19
7.001 - 7.500...................... 61 8,060,873 3.30
7.501 - 8.000...................... 12 1,527,822 0.63
8.001 - 8.500...................... 5 826,016 0.34
8.501 - 9.000...................... 4 586,487 0.24
9.001 - 9.500...................... 1 177,952 0.07
10.001 - 10.500...................... 1 53,833 0.02
----- ------------ -------
TOTAL:............................... 901 $243,953,993 100.00%
===== ============ =======
As of April 1, 2005, the weighted average minimum mortgage rate of the Group II
Statistical Calculation Mortgage Loans is approximately 5.447%.
53
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP II
Percentage of
Aggregate
Number of Principal Balance of
Statistical Statistical
Calculation Aggregate Principal Calculation
NEXT RATE ADJUSTMENT DATE MORTGAGE LOANS BALANCE OUTSTANDING MORTGAGE LOANS
------------------------------------- -------------- ------------------- --------------------
November 1, 2005..................... 1 $ 53,833 0.02%
July 1, 2006......................... 3 995,600 0.41
August 1, 2006....................... 7 3,011,416 1.23
September 1, 2006.................... 21 6,242,314 2.56
October 1, 2006...................... 13 5,460,816 2.24
November 1, 2006..................... 17 5,528,977 2.27
December 1, 2006..................... 47 15,774,754 6.47
January 1, 2007...................... 151 47,760,205 19.58
February 1, 2007..................... 182 47,124,050 19.32
March 1, 2007........................ 133 36,057,844 14.78
April 1, 2007........................ 229 50,623,235 20.75
May 1, 2007.......................... 22 4,821,829 1.98
September 1, 2007.................... 4 975,900 0.40
October 1, 2007...................... 5 1,801,541 0.74
November 1, 2007..................... 7 2,273,590 0.93
December 1, 2007..................... 8 2,570,952 1.05
January 1, 2008...................... 10 3,012,084 1.23
February 1, 2008..................... 15 3,560,891 1.46
March 1, 2008........................ 5 1,269,997 0.52
April 1, 2008........................ 6 1,080,500 0.44
May 1, 2008.......................... 2 175,890 0.07
August 1, 2009....................... 5 1,143,514 0.47
September 1, 2009.................... 1 420,300 0.17
December 1, 2009..................... 3 964,442 0.40
January 1, 2010...................... 1 362,000 0.15
February 1, 2010..................... 1 219,517 0.09
April 1, 2010........................ 1 148,000 0.06
December 1, 2011..................... 1 520,000 0.21
----- ------------- -------
TOTAL:............................... 901 $ 243,953,993 100.00%
===== ============= =======
As of April 1, 2005, the weighted average number of months to the next
adjustment date for the Group II Statistical Calculation Mortgage Loans is
approximately 23 months.
54
