Exhibit 99.1
------------
The Depositor purchased the Initial Group I Mortgage Loans (the
"Initial Group I Mortgage Loans"), the Initial Group II Mortgage Loans (the
"Initial Group II Mortgage Loans") and the Initial Group III Mortgage Loans (the
"Initial Group III Mortgage Loans" and collectively with the Initial Group I
Mortgage Loans and the Initial Group II Mortgage Loans, the "Initial Mortgage
Loans") from the Seller pursuant to the Mortgage Loan Purchase Agreement, dated
as of November 10, 2003 (the "Mortgage Loan Purchase Agreement"), between the
Seller and the Depositor. Subsequent Group I Mortgage Loans (the "Subsequent
Group I Mortgage Loans"), Subsequent Group II Mortgage Loans (the "Subsequent
Group II Mortgage Loans") and Subsequent Group III Mortgage Loans (the
"Subsequent Group III Mortgage Loans"; collectively with the Subsequent Group I
Mortgage Loans, the Subsequent Group II Mortgage Loans and the Subsequent Group
III Mortgage Loans, the "Subsequent Mortgage Loans") were purchased by the Trust
from the Depositor on December 24, 2003 and December 30, 2003 from funds on
deposit in the Pre-Funding Accounts and sold by the Depositor to the Trust for
deposit in the Mortgage Pool. Pursuant to the Pooling and Servicing Agreement,
dated as of November 1, 2003 (the "Pooling and Servicing Agreement"), among the
Depositor, the Master Servicer and the Trustee, the Depositor will cause the
Initial Mortgage Loans and the Subsequent Mortgage Loans (together, 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 Subsequent Mortgage Loans,
the Mortgage Pool must conform to certain specified characteristics, as
described in the Prospectus Supplement, dated November 10, 2003 (the "Prospectus
Supplement") under "--Conveyance of Subsequent Mortgage Loans and the
Pre-Funding Accounts."
The Initial Group I Mortgage Loans and the Subsequent Group I Mortgage
Loans (the "Group I Mortgage Loans") consist of approximately 8213
adjustable-rate and fixed-rate Mortgage Loans having an aggregate principal
balance as of the Cut-off Date of approximately $1,235,316,109.62, after
application of scheduled payments due on or before the Cut-off Date whether or
not received, and subject to a permitted variance of plus or minus 5%. The
Initial Group II Mortgage Loans and the Subsequent Group II Mortgage Loans (the
"Group II Mortgage Loans") consist of approximately 2,700 adjustable-rate and
fixed-rate Mortgage Loans having an aggregate principal balance as of the Cut-
off Date of approximately $453,819,875.44, after application of scheduled
payments due on or before the Cut-off Date whether or not received, and subject
to a permitted variance of plus or minus 5%. The Initial Group III Mortgage
Loans and the Subsequent Group III Mortgage Loans (the "Group III Mortgage
Loans") consist of approximately 1,371 fixed- rate Mortgage Loans having an
aggregate principal balance as of the Cut-off Date of approximately
$210,853,014.77, after application of scheduled payments due on or before the
Cut-off Date whether or not received, and subject to a permitted variance of
plus or minus 5%. The Mortgage Loans have original terms to maturity of not
greater than 30 years from the date on which the first payment was due on each
Mortgage Loan.
Each Mortgage Loan will accrue interest at the fixed-rate (in the case
of the fixed-rate Group I Mortgage Loans, the fixed-rate Group II Mortgage Loans
and the Group III Mortgage Loans) or the adjustable-rate (in the case of the
adjustable-rate Group I Mortgage Loans and the adjustable-rate Group II Mortgage
Loans) calculated as specified under the terms of the related mortgage note
(each such rate, a "Mortgage Rate").
Each adjustable-rate Mortgage Loan accrues interest at a Mortgage Rate
that is adjustable. The adjustable-rate Mortgage Loans provide for semi-annual
adjustment to the Mortgage Rate thereon and for corresponding adjustments to the
monthly payment amount due thereon, in each case on each adjustment date
applicable thereto (each such date, an "Adjustment Date"); provided, that the
first adjustment for such Mortgage Loans will occur after an initial period of
two or three years after origination. On each Adjustment Date for each
adjustable-rate Mortgage Loan, the Mortgage Rate thereon will be adjusted
(subject to rounding) to equal the sum of the applicable Index (as defined
below) and a fixed percentage amount (the "Gross Margin"). The Mortgage Rate on
each adjustable-rate Mortgage Loan will not decrease on the first related
Adjustment Date, will not increase by more than 2.00% per annum on the first
related Adjustment Date (the "Initial Periodic Rate Cap") and will not increase
or decrease by more than 1.00% per annum on any Adjustment Date thereafter (the
"Periodic Rate Cap"). Each Mortgage Rate on each adjustable-rate Mortgage Loan
will not exceed a specified maximum Mortgage Rate over the life of such Mortgage
Loan (the "Maximum Mortgage Rate") or be less than a specified minimum Mortgage
Rate over the life of such Mortgage Loan (the "Minimum Mortgage Rate").
Effective with the first monthly payment due on each adjustable-rate Mortgage
Loan after each related Adjustment Date, the monthly payment amount will be
adjusted to an amount that will amortize fully the outstanding principal balance
of the related 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 such adjustable-rate Mortgage Loan, as
adjusted on any related Adjustment Date, may be less than the sum of the Index
and the related Gross Margin, rounded as described herein. None of the
adjustable-rate Mortgage Loans permits the related mortgagor to convert the
adjustable Mortgage Rate thereon to a fixed Mortgage Rate.
The Mortgage Loans have scheduled monthly payments due on the first day
of the month (with respect to each Mortgage Loan, a "Due Date"). Each Mortgage
Loan will contain a customary "due-on-sale" clause which provides that (subject
to state and federal restrictions) the Mortgage Loan must be repaid at the time
of sale of the related Mortgaged Property or with the consent of the holder of
the mortgage note assumed by a creditworthy purchaser of the related Mortgaged
Property.
Approximately 69.65% of the Group I Mortgage Loans, approximately
67.44% of the Group II Mortgage Loans and approximately 78.01% of the Group III
Mortgage Loans provide for payment by the mortgagor of a prepayment charge on
certain principal prepayments, subject to certain limitations in the related
mortgage note and limitations upon collection in the Pooling and Servicing
Agreement. Generally, each such Mortgage Loan provides for payment of a
prepayment charge on certain prepayments made within a defined period set forth
in the related Mortgage Note (generally within the first three years but
possibly as short as one year from the date of origination of such Mortgage
Loan). The amount of the prepayment charge is as provided in the related
Mortgage Note. The holders of the Class P Certificates will be entitled to all
prepayment charges received on the Mortgage Loans in all of the loan groups, and
such amounts will not be available for distribution on the other classes of
Certificates. Under certain instances, as described under the terms of the
Pooling and Servicing Agreement, the Master 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 Master Servicer with respect to the waiver thereof, may have on the
prepayment performance of the Mortgage Loans. The Depositor makes no
representation as to the effect that the prepayment charges, and decisions by
the Master Servicer with respect to the waiver thereof, may have on the
prepayment performance of the Mortgage Loans. As of July 1, 2003, the
Alternative Mortgage Parity Act of 1982 (the "Parity Act"), which regulates the
ability of the Originators to impose prepayment charges, was amended, and as a
result, the Originators 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
Master 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 OTS's ruling does not retroactively affect loans originated before
July 1, 2003. See "Certain Legal Aspects of Mortgage Loans-Enforceability of
Certain Provisions-Prepayment Charges" in the prospectus.
None of the Mortgage Loans are Buydown Mortgage Loans.
-20-
GROUP I MORTGAGE LOAN STATISTICS
The Group I Mortgage Loans have an aggregate principal balance as of
the Cut-off Date of approximately $1,235,316,109.62, after application of
scheduled payments due on or before the Cut-off Date whether or not received,
and subject to a permitted variance of plus or minus 5%. None of the Group I
Mortgage Loans had a first Due Date prior to April 2003 or after February 2004,
or will have a remaining term to stated maturity of less than 119 months or
greater than 360 months as of the Cut-off Date. The latest maturity date of any
Group I Mortgage Loan is January 2034. The Group I Mortgage Loans are expected
to have the following characteristics as of the Cut-off Date (the sum in any
column may not equal the total indicated due to rounding):
PRINCIPAL BALANCES OF THE GROUP I MORTGAGE LOANS AS OF THE CUT-OFF DATE(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
RANGE OF PRINCIPAL BALANCES AS NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
OF THE CUT-OFF DATE ($) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
50,000.01 - 75,000.00 ........... 542 $ 35,519,023.14 2.88%
75,000.01 - 100,000.00 ........... 1,692 148,844,923.28 12.05
100,000.01 - 125,000.00 ........... 1,445 162,603,244.65 13.16
125,000.01 - 150,000.00 ........... 1,211 165,937,947.57 13.43
150,000.01 - 175,000.00 ........... 823 133,562,815.85 10.81
175,000.01 - 200,000.00 ........... 729 136,900,069.65 11.08
200,000.01 - 225,000.00 ........... 542 115,280,888.52 9.33
225,000.01 - 250,000.00 ........... 394 93,619,629.16 7.58
250,000.01 - 275,000.00 ........... 341 89,610,244.63 7.25
275,000.01 - 300,000.00 ........... 242 69,680,793.93 5.64
300,000.01 - 325,000.00 ........... 196 61,370,352.36 4.97
325,000.01 - 350,000.00 ........... 10 3,365,248.04 0.27
350,000.01 - 375,000.00 ........... 12 4,329,547.81 0.35
375,000.01 - 400,000.00 ........... 17 6,560,576.41 0.53
400,000.01 - 425,000.00 ........... 3 1,227,747.40 0.10
425,000.01 - 450,000.00 ........... 4 1,760,018.45 0.14
450,000.01 - 475,000.00 ........... 2 915,458.99 0.07
475,000.01 - 500,000.00 ........... 2 980,034.26 0.08
500,000.01 - 525,000.00 ........... 3 1,555,610.81 0.13
525,000.01 - 550,000.00 ........... 2 1,097,528.18 0.09
575,000.01 - 600,000.00 ........... 1 594,406.53 0.05
----- -------------------- ------
Total. ....................... 8,213 $ 1,235,316,109.62 100.00%
===== ==================== ======
______________
(1) The average principal balance of the Group I Mortgage Loans as of the
Cut-off Date was approximately $150,410.
-21-
CURRENT MORTGAGE RATES OF THE GROUP I MORTGAGE LOANS AS OF THE CUT-OFF DATE(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
CURRENT MORTGAGE RATE (%) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
5.000 - 5.999 ............. 350 $ 62,472,779.27 5.06%
6.000 - 6.999 ............. 1,351 232,542,748.17 18.82
7.000 - 7.999 ............. 2,149 343,596,715.69 27.81
8.000 - 8.999 ............. 1,934 280,412,789.77 22.70
9.000 - 9.999 ............. 1,457 200,479,462.04 16.23
10.000 - 10.999 ............. 677 82,756,313.52 6.70
11.000 - 11.999 ............. 216 24,259,287.76 1.96
12.000 - 12.999 ............. 79 8,796,013.40 0.71
----- -------------------- ------
Total....................... 8,213 $ 1,235,316,109.62 100.00%
===== ==================== ======
______________
(1) The weighted average current Mortgage Rate of the Group I Mortgage Loans as
of the Cut-off Date was approximately 8.21% per annum.
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
MAXIMUM MORTGAGE RATE (%) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
11.001 - 11.500 .............. 1 $ 219,636.74 0.03%
11.501 - 12.000 .............. 61 12,079,681.51 1.51
12.001 - 12.500 .............. 148 29,211,698.60 3.64
12.501 - 13.000 .............. 302 56,010,954.47 6.98
13.001 - 13.500 .............. 521 89,491,075.12 11.15
13.501 - 14.000 .............. 674 108,678,750.10 13.54
14.001 - 14.500 .............. 598 91,476,509.91 11.40
14.501 - 15.000 .............. 945 140,074,012.03 17.45
15.001 - 15.500 .............. 632 90,494,900.35 11.28
15.501 - 16.000 .............. 619 86,949,054.95 10.83
16.001 - 16.500 .............. 285 36,051,192.64 4.49
16.501 - 17.000 .............. 270 33,190,124.57 4.14
17.001 - 17.500 .............. 109 13,167,042.39 1.64
17.501 - 18.000 .............. 74 7,881,860.89 0.98
18.001 - 18.500 .............. 43 4,934,261.51 0.61
18.501 - 19.000 .............. 25 2,693,637.33 0.34
----- ------------------ ------
Total ....................... 5,307 $ 802,604,393.11 100.00%
===== ================== ======
______________
(1) The weighted average Maximum Mortgage Rate of the adjustable-rate Group I
Mortgage Loans as of the Cut-off Date was approximately 14.63% per annum.
-22-
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
MINIMUM MORTGAGE RATE (%) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
5.001 - 5.500 .............. 1 $ 219,636.74 0.03%
5.501 - 6.000 .............. 61 12,079,681.51 1.51
6.001 - 6.500 .............. 148 29,211,698.60 3.64
6.501 - 7.000 .............. 302 56,010,954.47 6.98
7.001 - 7.500 .............. 521 89,491,075.12 11.15
7.501 - 8.000 .............. 674 108,678,750.10 13.54
8.001 - 8.500 .............. 598 91,476,509.91 11.40
8.501 - 9.000 .............. 945 140,074,012.03 17.45
9.001 - 9.500 .............. 632 90,494,900.35 11.28
9.501 - 10.000 .............. 619 86,949,054.95 10.83
10.001 - 10.500 .............. 285 36,051,192.64 4.49
10.501 - 11.000 .............. 270 33,190,124.57 4.14
11.001 - 11.500 .............. 109 13,167,042.39 1.64
11.501 - 12.000 .............. 74 7,881,860.89 0.98
12.001 - 12.500 .............. 43 4,934,261.51 0.61
12.501 - 13.000 .............. 25 2,693,637.33 0.34
----- ------------------ ------
Total ....................... 5,307 $ 802,604,393.11 100.00%
===== ================== ======
______________
(1) The weighted average Minimum Mortgage Rate of the adjustable-rate Group I
Mortgage Loans as of the Cut-off Date was approximately 8.63% per annum.
GROSS MARGINS OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
GROSS MARGINS (%) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
3.001 - 3.500 ............... 3 $ 506,354.35 0.06%
3.501 - 4.000 ............... 2 369,171.60 0.05
4.001 - 4.500 ............... 1 85,500.00 0.01
4.501 - 5.000 ............... 390 69,351,411.54 8.64
5.001 - 5.500 ............... 610 103,027,814.35 12.84
5.501 - 6.000 ............... 2,254 342,357,227.49 42.66
6.001 - 6.500 ............... 1,420 199,037,804.51 24.80
6.501 - 7.000 ............... 627 87,869,109.27 10.95
----- ------------------ ------
Total ....................... 5,307 $ 802,604,393.11 100.00%
===== ================== ======
______________
(1) The weighted average Gross Margin of the adjustable-rate Group I Mortgage
Loans as of the Cut-off Date was approximately 5.99% per annum.
-23-
NEXT ADJUSTMENT DATE FOR THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
NEXT ADJUSTMENT DATE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
March 2005 .................. 1 $ 198,977.96 0.02%
April 2005 .................. 5 955,681.55 0.12
May 2005 .................... 135 19,677,725.44 2.45
June 2005 ................... 184 27,604,063.56 3.44
July 2005 ................... 118 18,686,816.89 2.33
August 2005 ................. 140 22,060,329.67 2.75
September 2005 .............. 114 18,201,367.27 2.27
October 2005 ................ 2,210 352,851,797.42 43.96
November 2005 ............... 994 146,747,036.56 18.28
December 2005 ............... 562 81,489,758.00 10.15
January 2006 ................ 838 113,096,346.00 14.09
July 2006 ................... 1 152,583.46 0.02
August 2006 ................. 3 468,503.31 0.06
September 2006 .............. 2 413,406.02 0.05
----- ------------------ ------
Total ..................... 5,307 $ 802,604,393.11 100.00%
===== ================== ======
______________
(1) The weighted average next Adjustment Date for the adjustable-rate Group I
Mortgage Loans as of the Cut-off Date is October 2005.
ORIGINAL LOAN-TO-VALUE RATIOS OF THE GROUP I MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
ORIGINAL LOAN-TO-VALUE RATIO (%) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
--------------------------------- -------------- ----------------- -----------------
20.000 or less ............ 5 $ 406,912.12 0.03%
20.001 - 25.000 ............ 9 799,645.30 0.07
25.001 - 30.000 ............ 18 1,993,927.56 0.16
30.001 - 35.000 ............ 24 3,027,546.62 0.25
35.001 - 40.000 ............ 51 6,300,023.09 0.51
40.001 - 45.000 ............ 61 7,294,596.51 0.59
45.001 - 50.000 ............ 94 12,364,629.54 1.00
50.001 - 55.000 ............ 140 19,947,555.46 1.62
55.001 - 60.000 ............ 270 37,810,398.73 3.06
60.001 - 65.000 ............ 303 43,196,204.54 3.50
65.001 - 70.000 ............ 442 66,199,398.63 5.36
70.001 - 75.000 ............ 1,204 174,236,485.91 14.11
75.001 - 80.000 ............ 1,395 202,357,399.37 16.38
80.001 - 85.000 ............ 1,595 244,848,932.27 19.82
85.001 - 90.000 ............ 2,373 374,960,728.01 30.35
90.001 - 95.000 ............ 229 39,571,725.96 3.20
----- ----------------- ------
Total ..................... 8,213 $1,235,316,109.62 100.00%
===== ================= ======
______________
(1) The weighted average original loan-to-value ratio of the Group I Mortgage
Loans as of the Cut-off Date was approximately 79.57%.
-24-
MORTGAGED PROPERTY TYPES OF THE GROUP I MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PROPERTY TYPE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
--------------------------------- -------------- ----------------- -----------------
Single Family Detached ................ 6,771 $ 1,001,968,986.03 81.11%
Two- to Four-Family ................... 460 92,010,513.99 7.45
Planned Unit Development Detached ..... 394 60,755,476.58 4.92
Condominium ........................... 349 53,064,248.05 4.30
Manufactured Housing .................. 131 13,197,229.43 1.07
Single Family Attached ................ 56 6,546,316.47 0.53
Planned Unit Development Attached ..... 52 7,773,339.07 0.63
----- ------------------ -----
Total ............................... 8,213 $ 1,235,316,109.62 100.0%
===== ================== =====
MORTGAGED PROPERTY OCCUPANCY STATUS OF THE GROUP I MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
OCCUPANCY STATUS MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
--------------------------------- -------------- ----------------- -----------------
Owner Occupied ............... 7,808 $ 1,178,904,533.35 95.43%
Non Owner Occupied ........... 335 46,305,645.90 3.75
Second Home .................. 70 10,105,930.37 0.82
----- -------------------- ------
Total ...................... 8,213 $ 1,235,316,109.62 100.00%
===== ==================== ======
______________
(1) Occupancy status as represented by the mortgagor at the time of origination.
PURPOSE OF THE GROUP I MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PURPOSE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
--------------------------------- -------------- ----------------- -----------------
Refinance-Debt Consolidation, Cashout(1) .. 7,511 $ 1,135,911,510.39 91.95%
Refinance-Debt Consolidation, No Cashout(2) 663 93,137,078.83 7.54
Purchase .................................. 39 6,267,520.40 0.51
----- -------------------- ------
Total ................................... 8,213 $ 1,235,316,109.62 100.00%
===== ==================== ======
______________
(1) Cash proceeds to the borrower inclusive of Debt Consolidation payments
exceed $2,000 or 2% of the original Principal Balance of the related
mortgage loan. Also includes all home equity loans originated in Texas
with any cash proceeds.
(2) Cash proceeds to the borrower inclusive of Debt Consolidation payments
are $2,000 or 2% or less of the original Principal Balance of the related
mortgage loan. Excludes home equity loans originated in Texas with any
cash proceeds.
-25-
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES RELATING TO THE GROUP I MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
LOCATION MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
--------------------------------- -------------- ----------------- -----------------
Alaska ................................. 8 $ 1,413,894.28 0.11%
Alabama ................................ 133 14,367,821.91 1.16
Arkansas ............................... 25 2,718,736.27 0.22
Arizona ................................ 123 17,692,188.15 1.43
California ............................. 1,232 247,114,715.03 20.00
Colorado ............................... 182 29,208,612.41 2.36
Connecticut ............................ 218 32,885,803.49 2.66
Delaware ............................... 50 6,964,609.45 0.56
Florida ................................ 887 111,210,532.57 9.00
Georgia ................................ 96 13,246,646.11 1.07
Hawaii ................................. 18 4,490,568.17 0.36
Iowa ................................... 52 5,649,474.90 0.46
Idaho .................................. 8 1,137,041.30 0.09
Illinois ............................... 423 62,050,718.14 5.02
Indiana ................................ 148 15,829,151.24 1.28
Kansas ................................. 44 4,881,819.99 0.40
Kentucky ............................... 19 2,272,641.27 0.18
Louisiana .............................. 103 10,597,900.78 0.86
Massachusetts .......................... 329 64,398,204.53 5.21
Maryland ............................... 270 43,034,392.18 3.48
Maine .................................. 67 9,154,467.02 0.74
Michigan ............................... 424 52,571,346.68 4.26
Minnesota .............................. 381 59,118,352.30 4.79
Missouri ............................... 145 16,833,062.32 1.36
Mississippi ............................ 59 6,578,231.18 0.53
Montana ................................ 2 241,469.97 0.02
North Carolina.......................... 39 4,136,754.57 0.33
North Dakota ........................... 6 655,335.62 0.05
Nebraska ............................... 50 5,141,752.26 0.42
New Hampshire .......................... 45 6,572,300.67 0.53
New Jersey ............................. 318 57,077,620.53 4.62
New Mexico ............................. 25 2,748,634.56 0.22
Nevada ................................. 33 4,926,933.77 0.40
New York ............................... 465 93,797,001.20 7.59
Ohio ................................... 137 14,847,984.54 1.20
Oklahoma ............................... 74 8,539,770.59 0.69
Oregon ................................. 23 3,825,127.68 0.31
Pennsylvania ........................... 282 34,940,718.83 2.83
Rhode Island ........................... 127 20,567,709.95 1.66
South Carolina.......................... 28 3,242,428.91 0.26
South Dakota ........................... 6 578,811.96 0.05
Tennessee .............................. 67 7,430,911.41 0.60
Texas .................................. 578 62,131,265.48 5.03
Utah ................................... 16 2,370,321.34 0.19
Vermont ................................ 12 1,631,360.46 0.13
Washington ............................. 184 31,744,179.27 2.57
Wisconsin .............................. 238 31,144,447.70 2.52
Wyoming ................................ 14 1,602,336.68 0.13
-26-
Total:.............................. 8,213 $ 1,235,316,109.62 100.00%
______________
(1) The greatest ZIP Code geographic concentration of the Group I Mortgage
Loans was approximately 0.32% in the 11717 ZIP Code.
QUALIFYING FICO SCORES FOR THE GROUP I MORTGAGE LOANS AT ORIGINATION(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
QUALIFYING FICO SCORE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------- -------------- ----------------- -----------------
500-524 ................ 544 $ 72,197,117.39 5.84%
525-549 ................ 825 114,438,457.95 9.26
550-574 ................ 1,302 183,585,794.30 14.86
575-599 ................ 844 117,879,355.85 9.54
600-624 ................ 953 145,447,662.76 11.77
625-649 ................ 1,121 174,217,915.23 14.10
650-674 ................ 905 145,505,035.66 11.78
675-699 ................ 687 114,602,137.95 9.28
700-724 ................ 467 80,082,787.37 6.48
725-749 ................ 302 47,463,445.54 3.84
750-774 ................ 157 23,139,537.79 1.87
775-799 ................ 97 15,204,341.26 1.23
800-824 ................ 9 1,552,520.57 0.13
----- ----------------- ------
Total ................ 8,213 $1,235,316,109.62 100.00%
===== ================= ======
______________
(1) The weighted average qualifying FICO score at origination of the Group I
Mortgage Loans that had FICO scores was approximately 622. See "--FICO
Scores" herein.
INCOME DOCUMENTATION OF THE GROUP I MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
INCOME DOCUMENTATION MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------- -------------- ----------------- -----------------
Full Documentation Program ............... 5,625 $ 826,602,990.70 66.91%
Stated Income Documentation Program ...... 1,998 311,986,998.58 25.26
Limited Documentation Program ............ 590 96,726,120.34 7.83
----- ----------------- ------
Total .................................. 8,213 $1,235,316,109.62 100.00%
===== ================= ======
______________
(1) For a description of each documentation level, see "The Mortgage
Loans--Underwriting Standards" herein.
-27-
RISK CATEGORIES FOR THE GROUP I MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
RISK CATEGORY MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------- -------------- ----------------- -----------------
8A ..................... 840 $ 133,233,635.08 10.79%
7A ..................... 710 121,742,929.58 9.86
6A ..................... 643 104,645,363.14 8.47
5A ..................... 676 106,802,193.24 8.65
4A ..................... 788 124,818,117.71 10.10
3A ..................... 530 79,753,472.14 6.46
2A ..................... 1,545 221,692,837.13 17.95
A ...................... 572 81,680,537.06 6.61
B ...................... 1,075 145,108,157.31 11.75
C ...................... 764 106,820,778.23 8.65
D ...................... 70 9,018,089.00 0.73
----- ------------------ ------
Total ................ 8,213 $ 1,235,316,109.62 100.00%
===== ================== ======
-28-
GROUP II MORTGAGE LOAN STATISTICS
The Group II Mortgage Loans have an aggregate principal balance as of
the Cut-off Date of approximately $453,819,875.44, after application of
scheduled payments due on or before the Cut-off Date whether or not received,
and subject to a permitted variance of plus or minus 5%. None of the Group II
Mortgage Loans had a first Due Date prior to May 2003 or after February 2004, or
will have a remaining term to stated maturity of less than 119 months or greater
than 360 months as of the Cut-off Date. The latest maturity date of any Group II
Mortgage Loan is January 2034. The Group II Mortgage Loans are expected to have
the following characteristics as of the Cut-off Date (the sum in any column may
not equal the total indicated due to rounding):
PRINCIPAL BALANCES OF THE GROUP II MORTGAGE LOANS AS OF THE CUT-OFF DATE(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
RANGE OF PRINCIPAL BALANCES AS NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
OF THE CUT-OFF DATE ($) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
50,000.00 - 75,000.00 ............. 909 $ 60,021,253.29 13.23%
75,000.01 - 100,000.00 ............. 285 24,887,402.02 5.48
100,000.01 - 125,000.00 ............. 292 32,504,822.58 7.16
125,000.01 - 150,000.00 ............. 217 29,694,850.32 6.54
150,000.01 - 175,000.00 ............. 135 21,977,740.24 4.84
175,000.01 - 200,000.00 ............. 124 23,343,294.52 5.14
200,000.01 - 225,000.00 ............. 85 18,125,875.32 3.99
225,000.01 - 250,000.00 ............. 67 15,968,760.10 3.52
250,000.01 - 275,000.00 ............. 47 12,267,403.29 2.70
275,000.01 - 300,000.00 ............. 42 12,167,948.06 2.68
300,000.01 - 325,000.00 ............. 39 12,286,813.26 2.71
325,000.01 - 350,000.00 ............. 100 33,898,837.70 7.47
350,000.01 - 375,000.00 ............. 80 28,879,923.96 6.36
375,000.01 - 400,000.00 ............. 58 22,523,340.04 4.96
400,000.01 - 425,000.00 ............. 52 21,537,618.87 4.75
425,000.01 - 450,000.00 ............. 45 19,698,609.17 4.34
450,000.01 - 475,000.00 ............. 24 11,153,855.51 2.46
475,000.01 - 500,000.00 ............. 32 15,686,590.64 3.46
500,000.01 - 525,000.00 ............. 14 7,228,492.78 1.59
525,000.01 - 550,000.00 ............. 23 12,357,409.46 2.72
550,000.01 - 575,000.00 ............. 9 5,125,309.58 1.13
575,000.01 - 600,000.00 ............. 20 11,844,303.30 2.61
625,000.01 - 650,000.00 ............. 1 639,421.43 0.14
----- ---------------- ------
Total. ......................... 2,700 $ 453,819,875.44 100.00%
===== ================ ======
______________
(1) The average principal balance of the Group II Mortgage Loans as of the
Cut-off Date was approximately $168,081.
-29-
CURRENT MORTGAGE RATES OF THE GROUP II MORTGAGE LOANS AS OF THE CUT-OFF DATE(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
CURRENT MORTGAGE RATE (%) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
5.000 - 5.999 ................ 128 $ 31,187,675.52 6.87%
6.000 - 6.999 ................ 428 96,676,306.20 21.30
7.000 - 7.999 ................ 650 121,235,074.98 26.71
8.000 - 8.999 ................ 549 87,911,762.26 19.37
9.000 - 9.999 ................ 487 65,543,522.82 14.44
10.000 - 10.999 ............... 288 33,906,552.22 7.47
11.000 - 11.999 ............... 142 13,634,595.85 3.00
12.000 - 12.999 ............... 23 3,078,063.68 0.68
13.000 - 13.999 ............... 5 646,321.91 0.14
----- ---------------- ------
Total. ....................... 2,700 $ 453,819,875.44 100.00%
===== ================ ======
______________
(1) The weighted average current Mortgage Rate of the Group II Mortgage Loans
as of the Cut-off Date was approximately 8.16% per annum.
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
MAXIMUM MORTGAGE RATE (%) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
11.001 - 11.500 ............... 2 $ 534,934.32 0.18%
11.501 - 12.000 ............... 30 10,905,380.52 3.69
12.001 - 12.500 ............... 50 15,497,148.10 5.25
12.501 - 13.000 ............... 80 23,048,687.48 7.80
13.001 - 13.500 ............... 135 31,242,870.40 10.57
13.501 - 14.000 ............... 175 36,114,301.65 12.22
14.001 - 14.500 ............... 153 26,888,177.56 9.10
14.501 - 15.000 ............... 240 42,891,262.74 14.52
15.001 - 15.500 ............... 188 27,437,933.39 9.29
15.501 - 16.000 ............... 245 32,656,764.24 11.05
16.001 - 16.500 ............... 126 14,513,358.09 4.91
16.501 - 17.000 ............... 142 17,820,697.41 6.03
17.001 - 17.500 ............... 76 6,425,101.65 2.17
17.501 - 18.000 ............... 55 5,947,069.70 2.01
18.001 - 18.500 ............... 15 2,253,816.27 0.76
18.501 - 19.000 ............... 6 620,197.41 0.21
19.001 - 19.500 ............... 4 586,344.92 0.20
19.501 - 20.000 ............... 1 59,976.99 0.02
----- ---------------- ------
Total......................... 1,723 $ 295,444,022.84 100.00%
===== ================ ======
______________
(1) The weighted average Maximum Mortgage Rate of the adjustable-rate Group II
Mortgage Loans as of the Cut-off Date was approximately 14.63% per annum.
-30-
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
MINIMUM MORTGAGE RATE (%) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
5.001- 5.500 .............. 2 $ 534,934.32 0.18%
5.501- 6.000 .............. 30 10,905,380.52 3.69
6.001- 6.500 .............. 50 15,497,148.10 5.25
6.501- 7.000 .............. 80 23,048,687.48 7.80
7.001- 7.500 .............. 135 31,242,870.40 10.57
7.501- 8.000 .............. 175 36,114,301.65 12.22
8.001- 8.500 .............. 153 26,888,177.56 9.10
8.501- 9.000 .............. 240 42,891,262.74 14.52
9.001- 9.500 .............. 188 27,437,933.39 9.29
9.501- 10.000 .............. 245 32,656,764.24 11.05
10.001-10.500 ............... 126 14,513,358.09 4.91
10.501-11.000 ............... 142 17,820,697.41 6.03
11.001-11.500 ............... 76 6,425,101.65 2.17
11.501-12.000 ............... 55 5,947,069.70 2.01
12.001-12.500 ............... 15 2,253,816.27 0.76
12.501-13.000 ............... 6 620,197.41 0.21
13.001-13.500 ............... 4 586,344.92 0.20
13.501-14.000 ............... 1 59,976.99 0.02
----- --------------- ------
Total ...................... 1,723 $295,444,022.84 100.00%
===== =============== ======
______________
(1) The weighted average Minimum Mortgage Rate of the adjustable-rate Group II
Mortgage Loans as of the Cut-off Date was approximately 8.63% per annum.
GROSS MARGINS OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
GROSS MARGINS (%) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
2.501 - 3.000 ............. 2 $ 615,508.33 0.21%
3.501 - 4.000 ............. 2 188,763.89 0.06
4.001 - 4.500 ............. 3 258,888.59 0.09
4.501 - 5.000 ............. 107 25,791,820.10 8.73
5.001 - 5.500 ............. 182 44,301,247.85 14.99
5.501 - 6.000 ............. 699 118,834,806.69 40.22
6.001 - 6.500 ............. 454 69,109,528.63 23.39
6.501 - 7.000 ............. 273 36,097,586.30 12.22
8.001 - 8.500 ............. 1 245,872.46 0.08
----- --------------- ------
Total ............... 1,723 $295,444,022.84 100.00%
===== =============== ======
______________
(1) The weighted average Gross Margin of the adjustable-rate Group II Mortgage
Loans as of the Cut-off Date was approximately 5.97% per annum.
-31-
NEXT ADJUSTMENT DATE FOR THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
NEXT ADJUSTMENT DATE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
April 2005 .................. 1 $ 219,771.09 0.07%
May 2005 .................... 47 7,729,892.48 2.62
June 2005 ................... 65 8,392,880.02 2.84
July 2005 ................... 27 4,147,151.47 1.40
August 2005 ................. 52 9,082,148.11 3.07
September 2005 .............. 49 6,892,254.10 2.33
October 2005 ................ 774 132,092,416.24 44.71
November 2005 ............... 310 55,300,268.94 18.72
December 2005 ............... 163 33,227,674.00 11.25
January 2006 ................ 233 37,357,793.00 12.64
July 2006 ................... 1 598,489.82 0.20
August 2006 ................. 1 403,283.57 0.14
----- --------------- ------
Total ................ 1,723 $295,444,022.84 100.00%
===== =============== ======
______________
(1) The weighted average next Adjustment Date for the adjustable-rate Group II
Mortgage Loans as of the Cut-off Date is October 2005.
ORIGINAL LOAN-TO-VALUE RATIOS OF THE GROUP II MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
ORIGINAL LOAN-TO-VALUE RATIO (%) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
-------------------------------- -------------- ----------------- -----------------
20.000 or Less .............. 8 $ 520,343.52 0.11%
20.001 - 25.000 ............. 11 993,218.69 0.22
25.001 - 30.000 ............. 6 1,108,000.00 0.24
30.001 - 35.000 ............. 16 1,612,674.39 0.36
35.001 - 40.000 ............. 11 772,086.35 0.17
40.001 - 45.000 ............. 23 2,995,899.54 0.66
45.001 - 50.000 ............. 25 3,860,886.16 0.85
50.001 - 55.000 ............. 42 7,446,411.53 1.64
55.001 - 60.000 ............. 71 8,900,684.89 1.96
60.001 - 65.000 ............. 109 13,663,162.64 3.01
65.001 - 70.000 ............. 169 32,325,112.21 7.12
70.001 - 75.000 ............. 439 63,542,664.94 14.00
75.001 - 80.000 ............. 537 78,086,676.13 17.21
80.001 - 85.000 ............. 458 83,515,528.13 18.40
85.001 - 90.000 ............. 719 143,253,169.78 31.57
90.001 - 95.000 ............. 56 11,223,356.54 2.47
----- ---------------- ------
Total ................ 2,700 $ 453,819,875.44 100.00%
===== ================ ======
______________
(1) The weighted average original loan-to-value ratio of the Group II Mortgage
Loans as of the Cut-off Date was approximately 79.60%.
MORTGAGED PROPERTY TYPES OF THE GROUP II MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PROPERTY TYPE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
-------------------------------- -------------- ----------------- -----------------
Single Family Detached .................. 2,315 $386,406,391.72 85.15%
Two- to Four-Family ..................... 90 17,138,492.42 3.78
Planned Unit Development Detached ....... 115 24,419,764.22 5.38
Condominium ............................. 98 18,270,357.63 4.03
Manufactured Housing .................... 47 3,399,793.75 0.75
Single Family Residence - Attached ...... 26 2,997,117.95 0.66
Planned Unit Development Attached ....... 9 1,187,957.75 0.26
----- --------------- ------
Total .................................. 2,700 $453,819,875.44 100.00%
===== =============== ======
-32-
MORTGAGED PROPERTY OCCUPANCY STATUS OF THE GROUP II MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
OCCUPANCY STATUS MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
-------------------------------- -------------- ----------------- -----------------
Owner Occupied ................. 2,552 $ 432,963,255.23 95.40%
Non Owner Occupied ............. 117 15,736,732.85 3.47
Second Home .................... 31 5,119,887.36 1.13
----- ---------------- ------
Total ......................... 2,700 $ 453,819,875.44 100.00%
===== ================ ======
______________
(1) Occupancy status as represented by the mortgagor at the time of origination.
PURPOSE OF THE GROUP II MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PURPOSE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
-------------------------------- -------------- ----------------- -----------------
Refinance-Debt Consolidation, Cashout(1) ... 2,460 $ 413,251,813.35 91.06%
Refinance-Debt Consolidation, No Cashout(2) 236 39,964,257.14 8.81
Purchase ................................... 4 603,804.95 0.13
----- ------------------ ------
Total ..................................... 2,700 $ 453,819,875.44 100.00%
===== ================= ======
______________
(1) Cash proceeds to the borrower inclusive of Debt Consolidation payments
exceed $2,000 or 2% of the original Principal Balance of the related
mortgage loan. Also includes all home equity loans originated in Texas
with any cash proceeds.
(2) Cash proceeds to the borrower inclusive of Debt Consolidation payments are
$2,000 or 2% or less of the original Principal Balance of the related
mortgage loan. Excludes home equity loans originated in Texas with any
cash proceeds.
-33-
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES RELATING TO THE GROUP II MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
LOCATION MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------------------------- -------------- ----------------- -----------------
Alaska ...................... 2 $ 547,672.73 0.12%
Alabama ..................... 60 5,934,158.70 1.31
Arkansas .................... 10 830,089.47 0.18
Arizona ..................... 40 5,160,849.80 1.14
California .................. 358 108,321,808.59 23.87
Colorado .................... 57 12,685,822.95 2.80
Connecticut ................. 51 9,635,760.19 2.12
Delaware .................... 10 1,969,593.21 0.43
Florida ..................... 277 36,230,372.77 7.98
Georgia ..................... 27 4,012,739.97 0.88
Hawaii ...................... 10 2,445,179.42 0.54
Iowa ........................ 53 4,242,912.45 0.93
Illinois .................... 132 22,837,874.47 5.03
Indiana ..................... 50 4,655,519.69 1.03
Kansas ...................... 17 1,756,997.31 0.39
Kentucky .................... 8 611,659.12 0.13
Louisiana ................... 42 4,182,307.51 0.92
Massachusetts ............... 113 27,331,094.34 6.02
Maryland .................... 60 15,729,447.41 3.47
Maine ....................... 17 1,996,574.46 0.44
Michigan .................... 130 14,993,434.93 3.30
Minnesota ................... 100 16,832,893.50 3.71
Missouri .................... 65 6,174,764.80 1.36
Mississippi ................. 23 1,517,394.43 0.33
Montana ..................... 2 177,578.12 0.04
North Carolina .............. 9 732,323.49 0.16
North Dakota ................ 1 269,860.02 0.06
Nebraska .................... 16 1,233,052.36 0.27
New Hampshire ............... 14 2,100,016.51 0.46
New Jersey .................. 86 19,872,663.55 4.38
New Mexico .................. 10 948,450.41 0.21
Nevada ...................... 11 2,119,521.25 0.47
New York .................... 140 34,496,328.04 7.60
Ohio ........................ 42 3,567,798.87 0.79
Oklahoma .................... 34 3,449,752.11 0.76
Oregon ...................... 11 1,247,679.59 0.27
Pennsylvania ................ 118 13,797,479.93 3.04
Rhode Island ................ 25 4,546,567.62 1.00
South Carolina .............. 13 1,210,059.83 0.27
South Dakota ................ 3 457,249.30 0.10
Tennessee ................... 41 4,039,535.17 0.89
Texas ....................... 265 24,622,834.93 5.43
Utah ........................ 8 1,640,561.19 0.36
Vermont ..................... 1 61,466.33 0.01
Washington .................. 58 13,594,829.72 3.00
Wisconsin ................... 79 8,871,446.14 1.95
Wyoming ..................... 1 125,898.74 0.03
-34-
Total:............... 2,700 $ 453,819,875.44 100.00%
______________
(1) The greatest ZIP Code geographic concentration of the Group II Mortgage
Loans was approximately 0.40% in the 92592 ZIP Code.
QUALIFYING FICO SCORES FOR THE GROUP II MORTGAGE LOANS AT ORIGINATION(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
QUALIFYING FICO SCORE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------------------------- -------------- ----------------- -----------------
500-524 .................. 248 $ 32,125,539.90 7.08%
525-549 .................. 289 40,391,953.71 8.90
550-574 .................. 356 54,835,250.15 12.08
575-599 .................. 256 42,643,779.01 9.40
600-624 .................. 318 54,001,413.52 11.90
625-649 .................. 366 63,478,729.09 13.99
650-674 .................. 277 52,974,635.94 11.67
675-699 .................. 251 50,839,236.77 11.20
700-724 .................. 158 29,594,869.81 6.52
725-749 .................. 97 17,364,495.62 3.83
750-774 .................. 58 10,223,731.40 2.25
775-799 .................. 20 4,418,833.60 0.97
800-824 .................. 6 927,406.92 0.20
----- ------------------ ------
Total ............. 2,700 $ 453,819,875.44 100.00%
===== ================== ======
______________
(1) The weighted average qualifying FICO score at origination of the Group II
Mortgage Loans that had FICO scores was approximately 624. See "--FICO
Scores" herein.
INCOME DOCUMENTATION OF THE GROUP II MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
INCOME DOCUMENTATION MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------------------------- -------------- ----------------- -----------------
Full Documentation Program................ 1,896 $ 303,490,689.97 66.87%
Stated Income Documentation Program....... 590 104,840,725.98 23.10
Limited Documentation Program............. 214 45,488,459.49 10.02
----- ---------------- ------
Total.................................... 2,700 $ 453,819,875.44 100.00%
===== ================ ======
______________
(1) For a description of each documentation level, see "The Mortgage
Loans--Underwriting Standards" herein.
RISK CATEGORIES FOR THE GROUP II MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
RISK CATEGORY MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------------------------- -------------- ----------------- -----------------
8A ....................... 269 $ 49,669,881.63 10.94%
7A ....................... 256 49,534,475.33 10.92
6A ....................... 201 40,878,880.45 9.01
5A ....................... 236 42,292,083.98 9.32
4A ....................... 261 49,033,557.77 10.80
3A ....................... 177 29,618,723.85 6.53
2A ....................... 488 77,890,207.32 17.16
A ........................ 142 24,098,039.70 5.31
B ........................ 362 49,156,502.04 10.83
C ........................ 280 37,720,848.72 8.31
D ........................ 28 3,926,674.65 0.87
----- --------------- ------
Total ................... 2,700 $453,819,875.44 100.00%
===== =============== ======
-35-
GROUP III MORTGAGE LOAN STATISTICS
The Group III Mortgage Loans have an aggregate principal balance as of
the Cut-off Date of approximately $210,853,014.77, after application of
scheduled payments due on or before the Cut-off Date whether or not received,
and subject to a permitted variance of plus or minus 5%. None of the Group III
Mortgage Loans had a first Due Date prior to June 2003 or after February 2004,
or will have a remaining term to stated maturity of less than 119 months or
greater than 360 months as of the Cut-off Date. The latest maturity date of any
Group III Mortgage Loan is January 2034. The Group III Mortgage Loans are
expected to have the following characteristics as of the Cut-off Date (the sum
in any column may not equal the total indicated due to rounding):
PRINCIPAL BALANCES OF THE GROUP III MORTGAGE LOANS AS OF THE CUT-OFF DATE(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
RANGE OF PRINCIPAL BALANCES AS NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
OF THE CUT-OFF DATE ($) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
50,000.01 - 75,000.00 ............. 477 $ 31,153,765.21 14.78%
75,000.01 - 100,000.00 ............. 209 18,201,991.30 8.63
100,000.01 - 125,000.00 ............. 148 16,601,645.96 7.87
125,000.01 - 150,000.00 ............. 123 16,974,932.16 8.05
150,000.01 - 175,000.00 ............. 68 11,013,351.28 5.22
175,000.01 - 200,000.00 ............. 39 7,330,129.35 3.48
200,000.01 - 225,000.00 ............. 49 10,372,662.69 4.92
225,000.01 - 250,000.00 ............. 31 7,396,119.40 3.51
250,000.01 - 275,000.00 ............. 20 5,241,206.35 2.49
275,000.01 - 300,000.00 ............. 20 5,752,684.51 2.73
300,000.01 - 325,000.00 ............. 16 5,065,943.16 2.40
325,000.01 - 350,000.00 ............. 26 8,761,303.73 4.16
350,000.01 - 375,000.00 ............. 29 10,535,578.55 5.00
375,000.01 - 400,000.00 ............. 15 5,853,125.62 2.78
400,000.01 - 425,000.00 ............. 17 7,008,850.91 3.32
425,000.01 - 450,000.00 ............. 8 3,545,568.88 1.68
450,000.01 - 475,000.00 ............. 17 7,888,122.22 3.74
475,000.01 - 500,000.00 ............. 18 8,880,266.01 4.21
500,000.01 - 525,000.00 ............. 9 4,621,045.93 2.19
525,000.01 - 550,000.00 ............. 9 4,836,384.11 2.29
550,000.01 - 575,000.00 ............. 6 3,389,600.22 1.61
575,000.01 - 600,000.00 ............. 16 9,529,591.18 4.52
875,000.01 - 900,000.00 ............. 1 899,146.04 0.43
----- --------------- ------
Total........................... 1,371 $210,853,014.77 100.00%
===== =============== ======
______________
(1) The average principal balance of the Group III Mortgage Loans as of the
Cut-off Date was approximately $153,795.
-36-
MORTGAGE RATES OF THE GROUP III MORTGAGE LOANS AS OF THE CUT-OFF DATE(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
MORTGAGE RATE ($) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
5.000 - 5.999 ............... 102 $ 21,663,760.28 10.27%
6.000 - 6.999 ............... 353 75,837,333.83 35.97
7.000 - 7.999 ............... 401 64,749,568.11 30.71
8.000 - 8.999 ............... 200 21,352,245.42 10.13
9.000 - 9.999 ............... 116 12,075,487.48 5.73
10.000 - 10.999 ............... 137 10,835,869.50 5.14
11.000 - 11.999 ............... 47 3,206,211.96 1.52
12.000 - 12.999 ............... 13 885,343.71 0.42
13.000 - 13.999 ............... 2 247,194.48 0.12
----- ---------------- ------
Total ................. 1,371 $ 210,853,014.77 100.00%
===== ================ ======
______________
(1) The weighted average current Mortgage Rate of the Group III Mortgage Loans
as of the Cut-off Date was approximately 7.53% per annum.
ORIGINAL LOAN-TO-VALUE RATIOS OF THE GROUP III MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
MORTGAGE RATE ($) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------------------------- -------------- ----------------- -----------------
20.000 or less .............. 6 $ 478,959.65 0.23%
20.001 - 25.000 ............. 13 970,980.76 0.46
25.001 - 30.000 ............. 7 540,498.85 0.26
30.001 - 35.000 ............. 16 1,333,689.84 0.63
35.001 - 40.000 ............. 29 3,160,253.52 1.50
40.001 - 45.000 ............. 29 3,125,195.01 1.48
45.001 - 50.000 ............. 43 4,784,306.38 2.27
50.001 - 55.000 ............. 58 6,452,788.36 3.06
55.001 - 60.000 ............. 85 10,101,396.49 4.79
60.001 - 65.000 ............. 47 6,845,054.57 3.25
65.001 - 70.000 ............. 123 17,263,488.21 8.19
70.001 - 75.000 ............. 154 17,985,367.87 8.53
75.001 - 80.000 ............. 221 31,079,360.68 14.74
80.001 - 85.000 ............. 161 29,699,571.38 14.09
85.001 - 90.000 ............. 349 71,412,258.81 33.87
90.001 - 95.000 ............. 30 5,619,844.39 2.67
----- --------------- ------
Total ................ 1,371 $210,853,014.77 100.00%
===== =============== ======
______________
(1) The weighted average original loan-to-value ratio of the Group III Mortgage
Loans as of the Cut-off Date was approximately 77.01%.
MORTGAGED PROPERTY TYPES OF THE GROUP III MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PROPERTY TYPE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------------------------- -------------- ----------------- -----------------
Single Family Detached .................. 1,096 $ 168,533,167.50 79.93%
Two- to Four-Family ..................... 75 16,194,317.07 7.68
Planned Unit Development Detached ....... 80 13,746,063.63 6.52
Condominium ............................. 29 4,498,365.75 2.13
Manufactured Housing .................... 77 6,514,278.26 3.09
Single Family Attached .................. 10 939,287.38 0.45
Planned Unit Development Attached ....... 4 427,535.18 0.20
----- ---------------- ------
Total .................................. 1,371 $ 210,853,014.77 100.00%
===== ================ ======
-37-
MORTGAGED PROPERTY OCCUPANCY STATUS OF THE GROUP III MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
OCCUPANCY STATUS MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------------------------- -------------- ----------------- -----------------
Owner Occupied ................. 1,287 $ 198,803,116.06 94.29%
Non Owner Occupied ............. 76 10,931,005.10 5.18
Second Home .................... 8 1,118,893.61 0.53
----- ------------------ ------
Total ......................... 1,371 $ 210,853,014.77 100.00%
===== ================== ======
______________
(1) Occupancy status as represented by the mortgagor at the time of origination.
PURPOSE OF THE GROUP III MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PURPOSE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------------------------- -------------- ----------------- -----------------
Refinance-Debt Consolidation, Cashout(1) ... 1,244 $189,629,185.72 89.93%
Refinance-Debt Consolidation, No Cashout(2) 123 20,649,279.45 9.79
Purchase ................................... 4 574,549.60 0.27
----- --------------- ------
Total ..................................... 1,371 $210,853,014.77 100.00%
===== =============== ======
______________
(1) Cash proceeds to the borrower inclusive of Debt Consolidation payments
exceed $2,000 or 2% of the original Principal Balance of the related
mortgage loan. Also includes all home equity loans originated in Texas
with any cash proceeds.
(2) Cash proceeds to the borrower inclusive of Debt Consolidation payments are
$2,000 or 2% or less of the original Principal Balance of the related
mortgage loan. Excludes home equity loans originated in Texas with any
cash proceeds.
-38-
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES RELATING TO THE GROUP III MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
LOCATION MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------------------------- -------------- ----------------- -----------------
Alaska ...................... 2 $ 187,338.11 0.09%
Alabama ..................... 33 3,354,231.73 1.59
Arkansas .................... 8 538,586.36 0.26
Arizona ..................... 25 2,824,841.40 1.34
California .................. 216 61,933,611.06 29.37
Colorado .................... 26 3,177,035.30 1.51
Connecticut ................. 33 6,933,169.78 3.29
Delaware .................... 4 466,976.55 0.22
Florida ..................... 149 17,351,994.50 8.23
Georgia ..................... 6 568,549.73 0.27
Hawaii ...................... 6 862,916.83 0.41
Iowa ........................ 13 973,644.76 0.46
Illinois .................... 34 4,192,056.14 1.99
Indiana ..................... 28 2,882,925.50 1.37
Kansas ...................... 9 793,913.31 0.38
Kentucky .................... 3 413,956.04 0.20
Louisiana ................... 33 2,489,821.80 1.18
Massachusetts ............... 38 8,140,123.68 3.86
Maryland .................... 36 7,066,335.58 3.35
Maine ....................... 13 1,290,847.78 0.61
Michigan .................... 78 8,802,357.40 4.17
Minnesota ................... 42 8,090,736.55 3.84
Missouri .................... 27 2,626,332.90 1.25
Mississippi ................. 14 1,174,141.70 0.56
North Carolina .............. 9 923,254.49 0.44
North Dakota ................ 1 85,448.20 0.04
Nebraska .................... 11 1,451,033.97 0.69
New Hampshire ............... 12 2,089,641.67 0.99
New Jersey .................. 24 5,638,414.60 2.67
New Mexico .................. 5 489,919.62 0.23
Nevada ...................... 7 868,520.36 0.41
New York .................... 54 10,735,115.49 5.09
Ohio ........................ 22 2,056,798.71 0.98
Oklahoma .................... 34 3,253,109.54 1.54
Oregon ...................... 10 1,699,659.74 0.81
Pennsylvania ................ 52 6,631,844.90 3.15
Rhode Island ................ 11 1,387,750.66 0.66
South Carolina .............. 7 826,547.35 0.39
Tennessee ................... 25 2,132,271.33 1.01
Texas ....................... 154 14,290,983.54 6.78
Utah ........................ 2 173,115.51 0.08
Washington .................. 25 4,339,493.02 2.06
Wisconsin ................... 26 4,285,686.17 2.03
Wyoming ..................... 4 357,961.41 0.17
----- --------------- ------
Total: ............... 1,371 $210,853,014.77 100.00%
===== =============== ======
______________
(1) The greatest ZIP Code geographic concentration of the Group III Mortgage
Loans was approximately 0.66% in the 94015 ZIP Code.
-39-
QUALIFYING FICO SCORES FOR THE GROUP III MORTGAGE LOANS AT ORIGINATION(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
QUALIFYING FICO SCORE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------------------------- -------------- ----------------- -----------------
500-524 .................. 71 $ 6,116,727.45 2.90%
525-549 .................. 55 4,755,673.22 2.26
550-574 .................. 100 10,359,368.75 4.91
575-599 .................. 100 10,522,528.56 4.99
600-624 .................. 117 16,656,742.04 7.90
625-649 .................. 190 28,704,677.03 13.61
650-674 .................. 195 33,516,254.75 15.90
675-699 .................. 205 37,845,857.76 17.95
700-724 .................. 143 30,316,270.62 14.38
725-749 .................. 97 15,499,095.56 7.35
750-774 .................. 70 12,526,611.84 5.94
775-799 .................. 24 3,668,608.31 1.74
800-824 .................. 4 364,598.88 0.17
----- --------------- ------
Total ............. 1,371 $210,853,014.77 100.00%
===== =============== ======
______________
(1) The weighted average qualifying FICO score at origination of the Group III
Mortgage Loans that had FICO scores was approximately 664. See "--FICO
Scores" herein.
INCOME DOCUMENTATION OF THE GROUP III MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
INCOME DOCUMENTATION MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------------------------- -------------- ----------------- -----------------
Full Documentation Program .............. 1,021 $152,882,722.27 72.51%
Stated Income Documentation Program ..... 251 40,292,282.68 19.11
Limited Documentation Program ........... 99 17,678,009.82 8.38
----- --------------- ------
Total .................................. 1,371 $210,853,014.77 100.00%
===== =============== ======
______________
(1) For a description of each documentation level, see "The Mortgage
Loans--Underwriting Standards" herein.
RISK CATEGORIES FOR THE GROUP III MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
RISK CATEGORY MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------------------------- -------------- ----------------- -----------------
8A ....................... 264 $ 46,403,856.17 22.01%
7A ....................... 220 45,842,323.35 21.74
6A ....................... 159 27,142,225.85 12.87
5A ....................... 168 26,750,505.81 12.69
4A ....................... 127 18,050,210.44 8.56
3A ....................... 65 9,991,751.04 4.74
2A ....................... 150 16,646,454.09 7.89
A ........................ 38 4,406,298.57 2.09
B ........................ 86 7,950,322.20 3.77
C ........................ 81 6,545,823.32 3.10
D ........................ 13 1,123,243.93 0.53
----- --------------- ------
Total ................... 1,371 $210,853,014.77 100.00%
===== =============== ======
-40-
