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 Originator pursuant to the Mortgage Loan Purchase Agreement, dated as
of August 4, 2003 (the "Mortgage Loan Purchase Agreement"), between the
Originator 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 September 4, 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 August 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
August 4, 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 10,440
adjustable-rate and fixed-rate Mortgage Loans having an aggregate principal
balance as of the Cut-off Date of approximately $1,424,537,190, 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 5,645 fixed-rate Mortgage
Loans having an aggregate principal balance as of the Cut-off Date of
approximately $808,691,344, 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 632 adjustable-rate and fixed-rate Mortgage Loans having an
aggregate principal balance as of the Cut-off Date of approximately
$266,768,326, 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 Group II Mortgage Loans and the
fixed-rate Group III Mortgage Loans) or the adjustable-rate (in the case of the
adjustable-rate Group I Mortgage Loans and the adjustable-rate Group III
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 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 80.24% of the Group I Mortgage Loans, approximately 79.51%
of the Group II Mortgage Loans and approximately 74.21% 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 Originator to impose prepayment charges, was amended, and as a
result, the Originator will be required to comply with state and local laws in
originating mortgage loans with prepayment charge provisions with respect to
loans originated on or after July 1, 2003. The Depositor makes no
representations as to the effect that the prepayment charges, decisions by the
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.
Group I Mortgage Loan Statistics
The average principal balance of the Group I Mortgage Loans at origination
was approximately $136,630. No Group I Mortgage Loan had a principal balance at
origination greater than approximately $489,000 or less than approximately
$60,000. The average principal balance of the Group I Mortgage Loans as of the
Cut-off Date was approximately $136,450. No Group I Mortgage Loan had a
principal balance as of the Cut-off Date greater than approximately $488,273 or
less than approximately $51,583.
The Group I Mortgage Loans had Mortgage Rates as of the Cut-off Date
ranging from approximately 4.77% per annum to approximately 14.30% per annum,
and the weighted average current Mortgage Rate on the Group I Mortgage Loans was
approximately 8.47% per annum. As of the Cut-off Date, the adjustable-rate Group
I Mortgage Loans had Gross Margins ranging from approximately 3.00% to
approximately 8.60%, Minimum Mortgage Rates ranging from approximately 5.35% per
annum to approximately 14.30% per annum and Maximum Mortgage Rates ranging from
approximately 11.35% per annum to approximately 20.30% per annum. As of the
Cut-off Date, the weighted average Gross Margin on the adjustable-rate Group I
Mortgage Loans was approximately 6.02%, the weighted average Minimum Mortgage
Rate on the adjustable-rate Group I Mortgage Loans was approximately 8.69% per
annum and the weighted average Maximum Mortgage Rate on the adjustable-rate
Group I Mortgage Loans was approximately 14.69% per annum. The latest first
Adjustment Date following the Cut-off Date on any adjustable-rate Group I
Mortgage Loan occurs in September 2005 and the weighted average next Adjustment
Date for all of the adjustable-rate Group I
-14-
Mortgage Loans following the Cut-off Date is February 2005.
The weighted average loan-to-value ratio at origination of the Group I
Mortgage Loans was approximately 78.08%. At origination, no Group I Mortgage
Loan had a loan-to-value ratio greater than approximately 95.00% or less than
approximately 15.00%.
The weighted average remaining term to stated maturity of the Group I
Mortgage Loans was approximately 349 months as of the Cut-off Date. None of the
Group I Mortgage Loans had a first Due Date prior to March 2003 or after October
2003, 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 September 2033.
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 Principal Balance % of Aggregate Principal
Range of Principal Balances as Number of Outstanding as of the Cut-off Balance Outstanding as of the
of the Cut-off Date ($) Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
50,000.01 - 100,000.00 ............. 3,753 $ 288,994,961.74 20.287%
100,000.01 - 150,000.00 ............. 3,118 385,523,892.79 27.063
150,000.01 - 200,000.00 ............. 1,856 321,480,734.13 22.567
200,000.01 - 250,000.00 ............. 971 217,273,415.45 15.252
250,000.01 - 300,000.00 ............. 561 152,733,796.76 10.722
300,000.01 - 350,000.00 ............. 158 49,644,434.32 3.485
350,000.01 - 400,000.00 ............. 17 6,344,070.55 0.445
400,000.01 - 450,000.00 ............. 5 2,053,611.26 0.144
450,000.01 - 500,000.00 ............. 1 488,272.69 0.034
------ ----------------- -------
Total .......................... 10,440 $1,424,537,189.69 100.000%
====== ================= =======
----------
(1) The average principal balance of the Group I Mortgage Loans as of the
Cut-off Date was approximately $136,450.
-15-
Current Mortgage Rates of the Group I Mortgage Loans as of the Cut-off Date(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Current Mortgage Rate (%) Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Less than 6.500 ..................... 270 $ 45,513,302.63 3.195%
6.500 - 6.999 ................... 1,110 183,589,695.29 12.888
7.000 - 7.499 ................... 579 87,473,476.81 6.140
7.500 - 7.999 ................... 1,914 296,763,821.04 20.832
8.000 - 8.499 ................... 603 77,456,289.24 5.437
8.500 - 8.999 ................... 2,214 310,565,107.60 21.801
9.000 - 9.499 ................... 745 88,818,137.57 6.235
9.500 - 9.999 ................... 1,544 186,276,474.73 13.076
10.000 - 10.499 .................. 464 50,788,476.67 3.565
10.500 - 10.999 .................. 593 60,565,428.14 4.252
11.000 - 11.499 .................. 169 15,197,424.99 1.067
11.500 - 11.999 .................. 193 17,570,289.06 1.233
12.000 - 12.499 .................. 31 2,994,738.48 0.210
12.500 - 12.999 .................. 9 834,604.58 0.059
13.000 - 13.499 .................. 1 61,957.94 0.004
14.000 - 14.499 .................. 1 67,964.92 0.005
------ ----------------- -------
Total ........................... 10,440 $1,424,537,189.69 100.000%
====== ================= =======
----------
(1) The weighted average current Mortgage Rate of the Group I Mortgage Loans
as of the Cut-off Date was approximately 8.47% per annum.
Maximum Mortgage Rates of the Adjustable-Rate Group I Mortgage Loans(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Maximum Mortgage Rate (%) Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Less than 12.500 .................... 212 $ 35,823,194.77 3.143%
12.500 - 12.999 .................. 475 82,353,284.59 7.226
13.000 - 13.499 .................. 379 59,499,876.58 5.221
13.500 - 13.999 .................. 1,330 215,515,754.10 18.911
14.000 - 14.499 .................. 486 63,584,306.50 5.579
14.500 - 14.999 .................. 2,022 289,221,307.73 25.378
15.000 - 15.499 .................. 699 83,965,471.00 7.368
15.500 - 15.999 .................. 1,421 171,900,934.74 15.084
16.000 - 16.499 .................. 423 47,075,342.82 4.131
16.500 - 16.999 .................. 546 56,838,854.86 4.987
17.000 - 17.499 .................. 152 14,007,126.91 1.229
17.500 - 17.999 .................. 174 16,161,493.81 1.418
18.000 - 18.499 .................. 28 2,743,898.14 0.241
18.500 - 18.999 .................. 9 834,604.58 0.073
19.000 - 19.499 .................. 1 61,957.94 0.005
20.000 - 20.499 .................. 1 67,964.92 0.006
------ ----------------- -------
Total ........................... 8,358 $1,139,655,373.99 100.000%
====== ================= =======
----------
(1) The weighted average Maximum Mortgage Rate of the adjustable-rate Group I
Mortgage Loans as of the Cut-off Date was approximately 14.69% per annum.
-16-
Minimum Mortgage Rates of the Adjustable-Rate Group I Mortgage Loans(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Minimum Mortgage Rate (%) Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Less than 6.500 ..................... 212 $ 35,823,194.77 3.143%
6.500 - 6.999 ................... 475 82,353,284.59 7.226
7.000 - 7.499 ................... 379 59,499,876.58 5.221
7.500 - 7.999 ................... 1,330 215,515,754.10 18.911
8.000 - 8.499 ................... 486 63,584,306.50 5.579
8.500 - 8.999 ................... 2,022 289,221,307.73 25.378
9.000 - 9.499 ................... 699 83,965,471.00 7.368
9.500 - 9.999 ................... 1,421 171,900,934.74 15.084
10.000 - 10.499 .................. 423 47,075,342.82 4.131
10.500 - 10.999 .................. 546 56,838,854.86 4.987
11.000 - 11.499 .................. 152 14,007,126.91 1.229
11.500 - 11.999 .................. 174 16,161,493.81 1.418
12.000 - 12.499 .................. 28 2,743,898.14 0.241
12.500 - 12.999 .................. 9 834,604.58 0.073
13.000 - 13.499 .................. 1 61,957.94 0.005
14.000 - 14.499 .................. 1 67,964.92 0.006
------ ----------------- -------
Total ........................... 8,358 $1,139,655,373.99 100.000%
====== ================= =======
----------
(1) The weighted average Minimum Mortgage Rate of the adjustable-rate Group I
Mortgage Loans as of the Cut-off Date was approximately 8.69% per annum.
Gross Margins of the Adjustable-Rate Group I Mortgage Loans(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Gross Margins (%) Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Less than or equal to 3.749 ......... 4 $ 508,454.96 0.045%
3.750 - 3.999 .................... 12 1,604,765.43 0.141
4.000 - 4.249 .................... 8 949,623.90 0.083
4.250 - 4.499 .................... 7 1,098,021.95 0.096
4.500 - 4.749 .................... 9 1,184,657.50 0.104
4.750 - 4.999 .................... 229 37,175,564.72 3.262
5.000 - 5.249 .................... 343 53,751,941.51 4.717
5.250 - 5.499 .................... 307 47,465,971.24 4.165
5.500 - 5.749 .................... 536 80,641,301.48 7.076
5.750 - 5.999 .................... 642 92,448,266.80 8.112
6.000 - 6.249 .................... 2,831 385,161,777.13 33.796
6.250 - 6.499 .................... 687 93,375,364.24 8.193
6.500 - 6.749 .................... 1,521 192,891,801.80 16.925
6.750 - 6.999 .................... 1,221 151,264,124.90 13.273
7.250 or greater ................. 1 133,736.43 0.012
------ ----------------- -------
Total ............................ 8,358 $1,139,655,373.99 100.000%
====== ================= =======
----------
(1) The weighted average Gross Margin of the adjustable-rate Group I Mortgage
Loans as of the Cut-off Date was approximately 6.02% per annum.
-17-
Next Adjustment Date for the Adjustable-Rate Group I Mortgage Loans(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Next Adjustment Date Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
February 2005 ....................... 26 $ 3,683,350.06 0.323%
March 2005 .......................... 184 24,672,559.40 2.165
April 2005 .......................... 131 16,065,491.81 1.410
May 2005 ............................ 764 105,927,964.43 9.295
June 2005 ........................... 2,445 342,588,012.22 30.061
July 2005 ........................... 2,642 364,746,631.14 32.005
August 2005 ......................... 1,856 241,886,964.93 21.225
September 2005 ...................... 310 40,084,400.00 3.517
------ ----------------- -------
Total ............................ 8,358 $1,139,655,373.99 100.000%
====== ================= =======
----------
(1) The weighted average next Adjustment Date for the adjustable-rate Group I
Mortgage Loans as of the Cut-off Date is June 2005.
Original Loan-to-Value Ratios of the Group I Mortgage Loans(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Original Loan-to-Value Ratio (%) Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Less than or equal to 30.00 ......... 82 $ 6,440,106.31 0.452%
30.01 - 35.00 .................... 58 5,947,792.58 0.418
35.01 - 40.00 .................... 95 10,729,632.84 0.753
40.01 - 45.00 .................... 131 14,914,099.24 1.047
45.01 - 50.00 .................... 188 21,904,853.36 1.538
50.01 - 55.00 .................... 233 28,751,014.29 2.018
55.01 - 60.00 .................... 414 51,127,295.65 3.589
60.01 - 65.00 .................... 483 62,024,733.02 4.354
65.01 - 70.00 .................... 623 80,965,647.03 5.684
70.01 - 75.00 .................... 1,748 223,847,456.44 15.714
75.01 - 80.00 .................... 1,617 208,558,938.64 14.640
80.01 - 85.00 .................... 1,910 276,986,759.55 19.444
85.01 - 90.00 .................... 2,640 394,855,617.38 27.718
90.01 - 95.00 .................... 218 37,483,243.36 2.631
------ ----------------- -------
Total ............................ 10,440 $1,424,537,189.69 100.000%
====== ================= =======
----------
(1) The weighted average original loan-to-value ratio of the Group I Mortgage
Loans as of the Cut-off Date was approximately 78.08%.
-18-
Mortgaged Property Types of the Group I Mortgage Loans
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Property Type Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Single Family Detached .............. 8,764 $1,189,534,210.86 83.503%
Two- to Four-Family ................. 443 78,597,638.20 5.517
Planned Unit Development Detached ... 512 69,629,018.82 4.888
Condominium ......................... 367 50,976,458.28 3.578
Manufactured Housing ................ 224 19,839,660.83 1.393
Single Family Attached .............. 68 7,543,100.09 0.530
Planned Unit Development Attached ... 62 8,417,102.61 0.591
------ ----------------- -------
Total ............................ 10,440 $1,424,537,189.69 100.000%
====== ================= =======
Mortgaged Property Occupancy Status of the Group I Mortgage Loans(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Occupancy Status Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Owner Occupied ...................... 10,069 $1,381,788,786.55 96.999%
Non Owner Occupied .................. 309 34,686,048.98 2.435
Second Home ......................... 62 8,062,354.16 0.566
------ ----------------- -------
Total ............................ 10,440 $1,424,537,189.69 100.000%
====== ================= =======
----------
(1) Occupancy status as represented by the mortgagor at the time of
origination.
Purpose of the Group I Mortgage Loans
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Purpose Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Refinance-Debt Consolidation,
Cashout(1) ......................... 6,762 $ 872,008,773.82 61.213%
Refinance-Debt Consolidation,
No Cashout(2) ...................... 3,645 547,167,848.29 38.410
Purchase ............................ 33 5,360,567.58 0.376
------ ----------------- -------
Total ............................ 10,440 $1,424,537,189.69 100.000%
====== ================= =======
----------
(1) Cash proceeds to the borrower exclusive of Debt Consolidation payments
exceed 3% 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 exclusive of Debt Consolidation payments are
3% or less of the original Principal Balance of the related mortgage loan.
Excludes home equity loans originated in Texas with any cash proceeds.
-19-
Geographic Distribution of the Mortgaged Properties Relating to the Group
I Mortgage Loans(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Location Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Alabama ............................. 212 $ 22,069,214.28 1.549%
Alaska .............................. 7 798,742.04 0.056
Arizona ............................. 204 25,246,780.66 1.772
Arkansas ............................ 23 2,600,725.94 0.183
California .......................... 1,382 254,433,757.32 17.861
Colorado ............................ 322 50,156,612.02 3.521
Connecticut ......................... 222 32,438,944.39 2.277
Delaware ............................ 43 5,892,414.25 0.414
Florida ............................. 1,062 125,445,166.54 8.806
Georgia ............................. 60 7,255,627.02 0.509
Hawaii .............................. 35 7,670,874.36 0.538
Idaho ............................... 11 1,362,299.60 0.096
Illinois ............................ 582 79,570,960.30 5.586
Indiana ............................. 192 18,070,951.69 1.269
Iowa ................................ 171 16,453,823.74 1.155
Kansas .............................. 71 7,155,137.07 0.502
Kentucky ............................ 37 3,367,445.00 0.236
Louisiana ........................... 109 10,760,710.71 0.755
Maine ............................... 67 8,370,505.97 0.588
Maryland ............................ 290 42,988,099.04 3.018
Massachusetts ....................... 531 92,571,847.96 6.498
Michigan ............................ 496 54,373,400.62 3.817
Minnesota ........................... 550 81,336,357.65 5.710
Mississippi ......................... 78 7,401,218.51 0.520
Missouri ............................ 196 19,383,436.11 1.361
Montana ............................. 1 107,839.18 0.008
Nebraska ............................ 50 4,757,306.76 0.334
Nevada .............................. 58 8,152,408.57 ▇.▇▇▇
▇▇▇ ▇▇▇▇▇▇▇▇▇ ....................... 73 9,653,275.02 0.678
New Jersey .......................... 417 68,950,405.12 4.840
New Mexico .......................... 60 7,415,868.36 0.521
New York ............................ 447 81,163,019.44 5.698
North Carolina ...................... 21 2,497,965.29 0.175
North Dakota ........................ 4 395,082.06 0.028
Ohio ................................ 256 25,886,197.23 1.817
Oklahoma ............................ 102 10,184,278.54 0.715
Oregon .............................. 41 6,105,833.69 0.429
Pennsylvania ........................ 326 37,414,208.35 ▇.▇▇▇
▇▇▇▇▇ ▇▇▇▇▇▇ ........................ 161 23,709,944.15 1.664
South Carolina ...................... 22 2,213,696.73 0.155
South Dakota ........................ 9 1,158,214.74 0.081
Tennessee ........................... 72 7,107,594.85 0.499
Texas ............................... 843 79,038,306.42 5.548
Utah ................................ 19 2,569,073.27 0.180
Vermont ............................. 9 947,884.26 0.067
Washington .......................... 184 30,610,013.25 2.149
Wisconsin ........................... 300 36,069,938.70 2.532
Wyoming ............................. 12 1,253,782.92 0.088
------ ----------------- -------
Total: ........................... 10,440 $1,424,537,189.69 100.000%
====== ================= =======
----------
(1) The greatest ZIP Code geographic concentration of the Group I Mortgage
Loans was approximately 0.21% in the 92114 ZIP Code.
-20-
Qualifying FICO Scores for the Group I Mortgage Loans at Origination(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Qualifying FICO Score Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
500 -- 519 .......................... 655 $ 78,283,113.62 5.495%
520 -- 539 .......................... 1,113 141,469,471.72 9.931
540 -- 559 .......................... 1,308 166,979,515.69 11.722
560 -- 579 .......................... 1,331 178,143,408.91 12.505
580 -- 599 .......................... 998 130,590,404.20 9.167
600 -- 619 .......................... 995 138,920,735.49 9.752
620 -- 639 .......................... 1,135 158,638,487.59 11.136
640 -- 659 .......................... 878 126,014,113.73 8.846
660 -- 679 .......................... 599 88,515,351.51 6.214
680 -- 699 .......................... 576 86,989,202.46 6.106
700 -- 719 .......................... 338 52,692,302.26 3.699
720 -- 739 .......................... 236 36,764,802.25 2.581
740 -- 759 .......................... 148 21,175,410.92 1.486
760 -- 779 .......................... 83 12,585,460.06 0.883
780 -- 799 .......................... 39 5,552,335.17 0.390
greater than 800 .................... 8 1,223,074.11 0.086
------ ----------------- -------
Total ............................ 10,440 $1,424,537,189.69 100.000%
====== ================= =======
----------
(1) The weighted average qualifying FICO score at origination of the Group I
Mortgage Loans that had FICO scores was approximately 607. See "--FICO
Scores" herein.
Income Documentation of the Group I Mortgage Loans(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Income Documentation Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Full Documentation Program .......... 7,310 $ 969,116,177.12 68.03%
Stated Income Documentation Program . 2,258 321,211,715.38 22.548
Limited Documentation Program ....... 872 134,209,297.19 9.421
------ ----------------- -------
Total ............................ 10,440 $1,424,537,189.69 100.000%
====== ================= =======
----------
(1) For a description of each documentation level, see "The Mortgage
Loans--Underwriting Standards" herein.
Risk Categories for the Group I Mortgage Loans
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Risk Category Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
2A .................................. 2,082 $ 278,389,708.53 19.542%
3A .................................. 760 108,448,608.79 7.613
4A .................................. 919 129,792,267.70 9.111
5A .................................. 759 110,341,837.89 7.746
6A .................................. 524 77,960,703.85 5.473
7A .................................. 679 102,512,592.00 7.196
8A .................................. 691 106,000,979.68 7.441
A ................................... 874 117,851,132.26 8.273
B ................................... 1,620 203,804,739.27 14.307
C ................................... 1,401 173,848,031.58 12.204
D ................................... 131 15,586,588.14 1.094
------ ----------------- -------
Total ............................ 10,440 $1,424,537,189.69 100.000%
====== ================= =======
-21-
Group II Mortgage Loan Statistics
The average principal balance of the Group II Mortgage Loans at
origination was approximately $143,570. No Group II Mortgage Loan had a
principal balance at origination greater than approximately $600,000 or less
than approximately $60,000. The average principal balance of the Group II
Mortgage Loans as of the Cut-off Date was approximately $143,258. No Group II
Mortgage Loan had a principal balance as of the Cut-off Date greater than
approximately $598,911 or less than approximately $59,061.
The Group II Mortgage Loans had Mortgage Rates as of the Cut-off Date
ranging from approximately 4.95% per annum to approximately 13.60% per annum,
and the weighted average Mortgage Rate on the Group II Mortgage Loans was
approximately 7.50% per annum.
The weighted average loan-to-value ratio at origination of the Group II
Mortgage Loans was approximately 79.42%. At origination, no Group II Mortgage
Loan had a loan-to-value ratio greater than approximately 95.00% or less than
approximately 13.20%.
The weighted average remaining term to stated maturity of the Group II
Mortgage Loans was approximately 333 months as of the Cut-off Date. None of the
Group II Mortgage Loans had a first Due Date prior to February 2003 or after
October 2003, or will have a remaining term to stated maturity of less than 174
months or greater than 360 months as of the Cut-off Date. The latest maturity
date of any Group II Mortgage Loan is September 2033.
The Group II Mortgage Loans are expected to have the following
characteristics as of the Cut-off Date (the sum in any column may not equal the
total indicated due to rounding):
Principal Balances of the Group II Mortgage Loans as of the Cut-off Date(1)
Aggregate Principal Balance % of Aggregate Principal
Range of Principal Balances as Number of Outstanding as of the Cut-off Balance Outstanding as of the
of the Cut-off Date ($) Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
50,000.01 - 100,000.00 ............. 1,944 $ 150,073,446.28 18.558%
100,000.01 - 150,000.00 ............. 1,692 209,854,619.97 25.950
150,000.01 - 200,000.00 ............. 941 163,106,760.91 20.169
200,000.01 - 250,000.00 ............. 541 120,247,127.88 14.869
250,000.01 - 300,000.00 ............. 296 80,447,466.59 9.948
300,000.01 - 350,000.00 ............. 127 40,584,170.38 5.018
350,000.01 - 400,000.00 ............. 46 17,262,576.66 2.135
400,000.01 - 450,000.00 ............. 28 11,853,267.53 1.466
450,000.01 - 500,000.00 ............. 17 8,181,042.51 1.012
500,000.01 - 550,000.00 ............. 8 4,170,980.19 0.516
550,000.01 - 600,000.00 ............. 5 2,909,884.66 0.360
------ ----------------- -------
Total .......................... 5,645 $ 808,691,343.56 100.000%
====== ================= =======
----------
(1) The average principal balance of the Group II Mortgage Loans as of the
Cut-off Date was approximately $143,258.
-22-
Mortgage Rates of the Group II Mortgage Loans as of the Cut-off Date(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Mortgage Rate (%) Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Less than 6.500 ..................... 251 $ 57,591,709.67 7.122%
6.500 - 6.999 ..................... 1,687 287,151,256.86 35.508
7.000 - 7.499 ..................... 512 69,933,808.57 8.648
7.500 - 7.999 ..................... 1,590 223,484,561.51 27.635
8.000 - 8.499 ..................... 265 30,354,116.89 3.753
8.500 - 8.999 ..................... 525 59,271,647.54 7.329
9.000 - 9.499 ..................... 110 11,842,359.10 1.464
9.500 - 9.999 ..................... 341 36,166,003.34 4.472
10.000 - 10.499 .................... 117 12,104,161.11 1.497
10.500 - 10.999 .................... 145 12,914,728.54 1.597
11.000 - 11.499 .................... 44 3,284,136.52 0.406
11.500 - 11.999 .................... 47 3,590,000.67 0.444
12.000 - 12.499 .................... 7 759,960.56 0.094
12.500 - 12.999 .................... 1 62,953.25 0.008
13.500 - 13.999 .................... 3 179,939.43 0.022
------ ----------------- -------
Total ....................... 5,645 $ 808,691,343.56 100.000%
====== ================= =======
----------
(1) The weighted average current Mortgage Rate of the Group II Mortgage Loans
as of the Cut-off Date was approximately 7.50% per annum.
-23-
Original Loan-to-Value Ratios of the Group II Mortgage Loans(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Original Loan-to-Value Ratio (%) Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Less than or equal to 30.00 ......... 63 $ 5,963,968.58 0.737%
30.01 - 35.00 ....................... 33 3,676,693.87 0.455
35.01 - 40.00 ....................... 59 6,761,121.04 0.836
40.01 - 45.00 ....................... 66 7,064,220.43 0.874
45.01 - 50.00 ....................... 98 12,352,760.57 1.528
50.01 - 55.00 ....................... 147 19,909,024.94 2.462
55.01 - 60.00 ....................... 200 26,868,127.19 3.322
60.01 - 65.00 ....................... 239 31,673,987.84 3.917
65.01 - 70.00 ....................... 302 41,707,119.07 5.157
70.01 - 75.00 ....................... 539 70,566,270.46 8.726
75.01 - 80.00 ....................... 852 111,830,447.38 13.829
80.01 - 85.00 ....................... 815 119,780,047.99 14.812
85.01 - 90.00 ....................... 1,947 301,967,487.71 37.340
90.01 - 95.00 ....................... 285 48,570,066.49 6.006
------ ----------------- -------
Total ......................... 5,645 $ 808,691,343.56 100.000%
====== ================= =======
----------
(1) The weighted average original loan-to-value ratio of the Group II Mortgage
Loans as of the Cut-off Date was approximately 79.42%.
Mortgaged Property Types of the Group II Mortgage Loans
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Property Type Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Single Family Detached .............. 4,643 $ 660,093,288.62 81.625%
Two- to Four-Family ................. 276 50,437,119.86 6.237
Planned Unit Development Detached ... 301 48,698,680.81 6.022
Condominium ......................... 209 27,151,240.22 3.357
Planned Unit Development Attached ... 41 6,086,502.31 0.753
Manufactured Housing ................ 132 12,164,732.41 1.504
Single Family Attached .............. 43 4,059,779.33 0.502
------ ----------------- -------
Total ............................ 5,645 $ 808,691,343.56 100.000%
====== ================= =======
-24-
Mortgaged Property Occupancy Status of the Group II Mortgage Loans(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Occupancy Status Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Owner Occupied ...................... 5,268 $ 761,931,474.62 94.218%
Non Owner Occupied .................. 322 39,979,723.05 4.944
Second Home ......................... 55 6,780,145.89 0.838
------ ----------------- -------
Total ............................ 5,645 $ 808,691,343.56 100.000%
====== ================= =======
----------
(1) Occupancy status as represented by the mortgagor at the time of
origination.
Purpose of the Group II Mortgage Loans
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Purpose Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Refinance-Debt Consolidation,
Cashout(1) ......................... 3,531 $ 473,785,289.33 58.587%
Refinance-Debt Consolidation,
No Cashout(2) ...................... 2,098 332,772,709.35 41.150
Purchase ............................ 16 2,133,344.88 0.264
------ ----------------- -------
Total ............................ 5,645 $ 808,691,343.56 100.000%
====== ================= =======
----------
(1) Cash proceeds to the borrower exclusive of Debt Consolidation payments
exceed 3% 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 exclusive of Debt Consolidation payments are
3% 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
II Mortgage Loans(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Location Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Alabama ............................. 142 $ 16,099,349.98 1.991%
Alaska .............................. 2 323,103.34 0.040
Arizona ............................. 117 14,158,110.13 1.751
Arkansas ............................ 16 1,365,299.79 0.169
California .......................... 903 181,466,575.19 22.440
Colorado ............................ 180 29,654,918.71 3.667
Connecticut ......................... 106 16,351,272.28 2.022
Delaware ............................ 10 1,271,361.61 0.157
Florida ............................. 601 73,360,805.70 9.072
Georgia ............................. 20 2,304,412.48 0.285
Hawaii .............................. 42 8,641,909.02 1.069
Idaho ............................... 4 450,894.43 0.056
Illinois ............................ 197 26,242,622.61 3.245
Indiana ............................. 94 8,908,322.77 1.102
Iowa ................................ 54 5,081,149.77 0.628
Kansas .............................. 11 1,443,783.23 0.179
Kentucky ............................ 22 3,226,911.48 0.399
Louisiana ........................... 129 12,699,507.92 1.570
Maine ............................... 29 3,302,335.56 0.408
Maryland ............................ 172 25,810,519.07 3.192
Massachusetts ....................... 182 35,952,603.58 4.446
Michigan ............................ 298 34,142,681.57 4.222
Minnesota ........................... 271 40,277,169.21 4.981
Mississippi ......................... 52 5,439,509.63 0.673
Missouri ............................ 64 7,275,734.52 0.900
Montana ............................. 2 198,679.52 0.025
Nebraska ............................ 33 2,949,381.45 0.365
Nevada .............................. 26 4,101,043.85 ▇.▇▇▇
▇▇▇ ▇▇▇▇▇▇▇▇▇ ....................... 46 6,462,256.37 0.799
New Jersey .......................... 166 27,871,362.16 3.446
New Mexico .......................... 28 3,389,713.12 0.419
New York ............................ 253 45,108,697.18 5.578
North Carolina ...................... 11 1,400,752.51 0.173
North Dakota ........................ 1 118,663.66 0.015
Ohio ................................ 106 11,171,088.94 1.381
Oklahoma ............................ 80 8,177,169.67 1.011
Oregon .............................. 26 3,418,490.30 0.423
Pennsylvania ........................ 257 30,090,069.67 ▇.▇▇▇
▇▇▇▇▇ ▇▇▇▇▇▇ ........................ 78 12,423,157.25 1.536
South Carolina ...................... 12 1,361,488.70 0.168
South Dakota ........................ 6 681,110.94 0.084
Tennessee ........................... 48 5,626,222.57 0.696
Texas ............................... 448 45,209,685.90 5.590
Utah ................................ 8 1,004,934.82 0.124
Vermont ............................. 2 270,723.60 0.033
Washington .......................... 131 21,274,752.59 2.631
Wisconsin ........................... 137 18,519,743.42 2.290
Wyoming ............................. 22 2,611,291.79 0.323
------ ----------------- -------
Total: ........................... 5,645 $ 808,691,343.56 100.000%
====== ================= =======
----------
(1) The greatest ZIP Code geographic concentration of the Group II Mortgage
Loans was approximately 0.25% in the 90044 ZIP Code.
-26-
Qualifying FICO Scores for the Group II Mortgage Loans at Origination(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Qualifying FICO Score Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
500 -- 519 .......................... 67 $ 6,527,074.91 0.807%
520 -- 539 .......................... 74 7,764,482.58 0.960
540 -- 559 .......................... 184 20,324,866.18 2.513
560 -- 579 .......................... 209 24,213,045.28 2.994
580 -- 599 .......................... 162 17,585,653.31 2.175
600 -- 619 .......................... 266 29,747,198.41 3.678
620 -- 639 .......................... 801 109,532,432.95 13.544
640 -- 659 .......................... 767 105,449,670.43 13.040
660 -- 679 .......................... 713 97,943,556.10 12.111
680 -- 699 .......................... 851 134,814,335.58 16.671
700 -- 719 .......................... 612 100,520,240.90 12.430
720 -- 739 .......................... 439 73,848,848.57 9.132
740 -- 759 .......................... 258 41,518,435.36 5.134
760 -- 779 .......................... 157 25,054,227.57 3.098
780 -- 799 .......................... 69 11,593,192.80 1.434
greater than 800 .................... 16 2,254,082.63 0.279
------ ----------------- -------
Total ............................ 5,645 $ 808,691,343.56 100.000%
====== ================= =======
----------
(1) The weighted average qualifying FICO score at origination of the Group II
Mortgage Loans that had FICO scores was approximately 671. See "--FICO
Scores" herein.
Income Documentation of the Group II Mortgage Loans(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Income Documentation Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Full Documentation Program .......... 4,054 $ 567,425,394.43 70.166%
Limited Documentation Program ....... 545 84,310,606.13 10.426
Stated Income Documentation Program . 1,046 156,955,343.00 19.409
------ ----------------- -------
Total ............................ 5,645 $ 808,691,343.56 100.000%
====== ================= =======
----------
(1) For a description of each documentation level, see "The Mortgage
Loans--Underwriting Standards" herein.
Risk Categories for the Group II Mortgage Loans
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Risk Category Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
2A .................................. 483 $ 55,888,539.46 6.911%
3A .................................. 208 24,888,813.92 3.078
4A .................................. 784 107,642,580.86 13.311
5A .................................. 725 100,472,240.61 12.424
6A .................................. 686 94,776,732.02 11.720
7A .................................. 1,096 170,680,507.41 21.106
8A .................................. 1,256 211,442,040.25 26.146
A ................................... 90 9,902,398.56 1.224
B ................................... 136 14,859,676.15 1.837
C ................................... 171 17,184,885.60 2.125
D ................................... 10 952,928.72 0.118
------ ----------------- -------
Total ............................ 5,645 $ 808,691,343.56 100.000%
====== ================= =======
-27-
Group III Mortgage Loan Statistics
The average principal balance of the Group III Mortgage Loans at
origination was approximately $422,724. No Group III Mortgage Loan had a
principal balance at origination greater than approximately $749,000 or less
than approximately 322,800. The average principal balance of the Group III
Mortgage Loans as of the Cut-off Date was approximately $422,102. No Group III
Mortgage Loan had a principal balance as of the Cut-off Date greater than
approximately $748,416 or less than approximately $322,664.
The Group III Mortgage Loans had Mortgage Rates as of the Cut-off Date
ranging from approximately 5.00% per annum to approximately 12.65% per annum,
and the weighted average current Mortgage Rate on the Group III Mortgage Loans
was approximately 7.90% per annum. As of the Cut-off Date, the Group III
Mortgage Loans had Gross Margins ranging from approximately 3.00% to
approximately 6.75%, Minimum Mortgage Rates ranging from approximately 5.00% per
annum to approximately 12.65% per annum and Maximum Mortgage Rates ranging from
approximately 11.00% per annum to approximately 18.65% per annum. As of the
Cut-off Date, the weighted average Gross Margin on the Group III Mortgage Loans
was approximately 5.81%, the weighted average Minimum Mortgage Rate on the Group
III Mortgage Loans was approximately 8.17% per annum and the weighted average
Maximum Mortgage Rate on the Group III Mortgage Loans was approximately 14.17%
per annum. The latest first Adjustment Date following the Cut-off Date on any
Group III Mortgage Loan occurs in September 2005 and the weighted average next
Adjustment Date for all of the Group III Mortgage Loans following the Cut-off
Date is June 2005.
The weighted average loan-to-value ratio at origination of the Group III
Mortgage Loans was approximately 79.63%. At origination, no Group III Mortgage
Loan had a loan-to-value ratio greater than approximately 95.00% or less than
approximately 20.00%.
The weighted average remaining term to stated maturity of the Group III
Mortgage Loans was approximately 356 months as of the Cut-off Date. None of the
Group III Mortgage Loans had a first Due Date prior to March 2003 or after
October 2033, or will have a remaining term to stated maturity of less than 175
months or greater than 360 months as of the Cut-off Date. The latest maturity
date of any Group III Mortgage Loan is September 2033.
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 Principal Balance % of Aggregate Principal
Range of Principal Balances as Number of Outstanding as of the Cut-off Balance Outstanding as of the
of the Cut-off Date ($) Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
300,000.01 - 350,000.00 ............. 140 $ 47,216,646.84 17.699%
350,000.01 - 400,000.00 ............. 188 70,250,749.01 26.334
400,000.01 - 450,000.00 ............. 118 50,069,190.47 18.769
450,000.01 - 500,000.00 ............. 67 31,994,425.63 11.993
500,000.01 - 550,000.00 ............. 43 22,628,045.93 8.482
550,000.01 - 600,000.00 ............. 75 43,860,852.06 16.442
greater than 650,000.01 ............. 1 748,415.70 0.281
--- ----------------- -------
Total ............................ 632 $ 266,768,325.64 100.000%
=== ================= =======
----------
(1) The average principal balance of the Group III Mortgage Loans as of the
Cut-off Date was approximately $422,102.
-28-
Current Mortgage Rates of the Group III Mortgage Loans as of the Cut-off Date(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Current Mortgage Rate (%) Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Less than 6.500 ..................... 58 $ 24,731,876.74 9.271%
6.500 - 6.999 ................... 123 51,166,829.96 19.180
7.000 - 7.499 ................... 48 20,499,153.64 7.684
7.500 - 7.999 ................... 186 79,621,586.70 29.847
8.000 - 8.499 ................... 27 11,475,208.00 4.302
8.500 - 8.999 ................... 100 40,388,036.93 15.140
9.000 - 9.499 ................... 21 8,769,335.14 3.287
9.500 - 9.999 ................... 32 14,108,230.83 5.289
10.000 - 10.499 .................. 5 2,171,986.13 0.814
10.500 - 10.999 .................. 18 7,844,153.19 2.940
11.000 - 11.499 .................. 1 449,851.36 0.169
11.500 - 11.999 .................. 10 4,353,848.26 1.632
12.000 - 12.499 .................. 1 352,401.36 0.132
12.500 - 12.999 .................. 2 835,827.40 0.313
--- ----------------- -------
Total ........................... 632 $ 266,768,325.64 100.000%
=== ================= =======
----------
(1) The weighted average current Mortgage Rate of the Group III Mortgage Loans
as of the Cut-off Date was approximately 7.90% per annum.
Maximum Mortgage Rates of the Group III Mortgage Loans(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Maximum Mortgage Rate (%) Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Less than 12.500 .................... 34 $ 15,006,395.56 8.034%
12.500 - 12.999 .................. 63 26,834,251.58 14.366
13.000 - 13.499 .................. 27 11,060,439.36 5.921
13.500 - 13.999 .................. 128 53,539,986.19 28.664
14.000 - 14.499 .................. 19 8,349,285.59 4.470
14.500 - 14.999 .................. 88 35,207,273.43 18.849
15.000 - 15.499 .................. 21 8,769,335.14 4.695
15.500 - 15.999 .................. 30 13,173,356.86 7.053
16.000 - 16.499 .................. 5 2,171,986.13 1.163
16.500 - 16.999 .................. 17 7,484,437.49 4.007
17.000 - 17.499 .................. 1 449,851.36 0.241
17.500 - 17.999 .................. 8 3,550,816.29 1.901
18.000 - 18.499 .................. 1 352,401.36 0.189
18.500 - 18.999 .................. 2 835,827.40 0.447
--- ----------------- -------
Total ........................... 444 $ 186,785,643.74 100.000%
=== ================= =======
----------
(1) The weighted average Maximum Mortgage Rate of the Group III Mortgage Loans
as of the Cut-off Date was approximately 14.17% per annum.
-29-
Minimum Mortgage Rates of the Group III Mortgage Loans(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Minimum Mortgage Rate (%) Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Less than 6.500 ..................... 34 $ 15,006,395.56 8.034%
6.500 - 6.999 ................... 63 26,834,251.58 14.366
7.000 - 7.499 ................... 27 11,060,439.36 5.921
7.500 - 7.999 ................... 128 53,539,986.19 28.664
8.000 - 8.499 ................... 19 8,349,285.59 4.470
8.500 - 8.999 ................... 88 35,207,273.43 18.849
9.000 - 9.499 ................... 21 8,769,335.14 4.695
9.500 - 9.999 ................... 30 13,173,356.86 7.053
10.000 - 10.499 .................. 5 2,171,986.13 1.163
10.500 - 10.999 .................. 17 7,484,437.49 4.007
11.000 - 11.499 .................. 1 449,851.36 0.241
11.500 - 11.999 .................. 8 3,550,816.29 1.901
12.000 - 12.499 .................. 1 352,401.36 0.189
12.500 - 12.999 .................. 2 835,827.40 0.447
--- ----------------- -------
Total ........................... 444 $ 186,785,643.74 100.000%
=== ================= =======
----------
(1) The weighted average Minimum Mortgage Rate of the Group III Mortgage Loans
as of the Cut-off Date was approximately 8.17% per annum.
Gross Margins of the Group III Mortgage Loans(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Gross Margins (%) Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Less than 3.749 ..................... 1 $ 471,555.09 0.252%
3.750 - 3.999 ...................... 1 519,057.27 0.278
4.000 - 4.249 ...................... 2 780,240.23 0.418
4.500 - 4.749 ...................... 1 555,387.09 0.297
4.750 - 4.999 ...................... 21 9,599,112.57 5.139
5.000 - 5.249 ...................... 32 14,697,533.37 7.869
5.250 - 5.499 ...................... 33 13,633,311.43 7.299
5.500 - 5.749 ...................... 39 15,838,247.10 8.479
5.750 - 5.999 ...................... 59 24,108,431.27 12.907
6.000 - 6.249 ...................... 161 68,278,879.93 36.555
6.250 - 6.499 ...................... 25 10,437,076.34 5.588
6.500 - 6.749 ...................... 42 17,025,360.62 9.115
6.750 - 6.999 ...................... 27 10,841,451.43 5.804
--- ----------------- -------
Total ........................ 444 $ 186,785,643.74 100.000%
=== ================= =======
----------
(1) The weighted average Gross Margin of the Group III Mortgage Loans as of
the Cut-off Date was approximately 5.81% per annum.
-30-
Next Adjustment Date for the Adjustable-Rate Group III Mortgage Loans(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Next Adjustment Date Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
March 2005 .......................... 7 $ 2,966,503.41 1.588%
April 2005 .......................... 9 4,091,287.46 2.190
May 2005 ............................ 66 29,276,286.60 15.674
June 2005 ........................... 140 59,761,294.81 31.995
July 2005 ........................... 114 46,790,913.70 25.051
August 2005 ......................... 89 36,230,706.76 19.397
September 2005 ...................... 19 7,668,651.00 4.106
--- ----------------- -------
Total ............................ 444 $ 186,785,643.74 100.000%
=== ================= =======
----------
(1) The weighted average next Adjustment Date for the adjustable-rate Group
III Mortgage Loans as of the Cut-off Date is June 2005.
Original Loan-to-Value Ratios of the Group III Mortgage Loans(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Original Loan-to-Value Ratio (%) Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Less than or equal to 30.000 ........ 2 $ 1,080,216.31 0.405%
30.01 - 35.00 ..................... 4 1,479,949.38 0.555
35.01 - 40.00 ..................... 1 352,696.07 0.132
40.01 - 45.00 ..................... 3 1,295,294.61 0.486
45.01 - 50.00 ..................... 9 4,176,369.43 1.566
50.01 - 55.00 ..................... 12 4,892,653.12 1.834
55.01 - 60.00 ..................... 13 5,760,582.82 2.159
60.01 - 65.00 ..................... 20 8,357,601.64 3.133
65.01 - 70.00 ..................... 37 16,759,350.90 6.282
70.01 - 75.00 ..................... 71 30,676,511.97 11.499
75.01 - 80.00 ..................... 87 37,262,300.93 13.968
80.01 - 85.00 ..................... 133 55,616,728.45 20.848
85.01 - 90.00 ..................... 229 95,022,953.95 35.620
90.01 - 95.00 ..................... 11 4,035,116.06 1.513
--- ----------------- -------
Total ....................... 632 $ 266,768,325.64 100.000%
=== ================= =======
----------
(1) The weighted average original loan-to-value ratio of the Group III
Mortgage Loans as of the Cut-off Date was approximately 79.63%.
Mortgaged Property Types of the Group III Mortgage Loans
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Property Type Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Single Family Detached .............. 557 $ 234,065,980.02 87.741%
Planned Unit Development Detached ... 46 19,668,141.69 7.373
Planned Unit Development Attached ... 1 403,529.00 0.151
Two- to Four-Family ................. 11 5,605,258.28 2.101
Condominium ......................... 15 6,151,240.36 2.306
Single Family Attached .............. 1 375,000.00 0.141
Manufactured Housing ................ 1 499,176.29 0.187
--- ----------------- -------
Total ............................ 632 $ 266,768,325.64 100.000%
=== ================= =======
-31-
Mortgaged Property Occupancy Status of the Group III Mortgage Loans(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Occupancy Status Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Owner Occupied ...................... 612 $ 258,450,681.85 96.882%
Non Owner Occupied .................. 16 6,424,016.57 2.408
Second Home ......................... 4 1,893,627.22 0.710
--- ----------------- -------
Total ............................ 632 $ 266,768,325.64 100.000%
=== ================= =======
----------
(1) Occupancy status as represented by the mortgagor at the time of
origination.
Purpose of the Group III Mortgage Loans
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Purpose Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Refinance-Debt Consolidation,
Cashout(1) ......................... 362 $ 153,375,950.23 57.494%
Refinance-Debt Consolidation,
No Cashout(2) ...................... 269 112,992,813.24 42.356
Purchase ............................ 1 399,562.17 0.150
--- ----------------- -------
Total ............................ 632 $ 266,768,325.64 100.000%
=== ================= =======
----------
(1) Cash proceeds to the borrower exclusive of Debt Consolidation payments
exceed 3% 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 exclusive of Debt Consolidation payments are
3% or less of the original Principal Balance of the related mortgage loan.
Excludes home equity loans originated in Texas with any cash proceeds.
-32-
Geographic Distribution of the Mortgaged Properties Relating to the Group
III Mortgage Loans(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Location Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Alabama ............................. 1 $ 471,341.95 0.177%
Arizona ............................. 9 4,410,261.49 1.653
California .......................... 281 118,882,040.63 44.564
Colorado ............................ 19 7,992,950.33 2.996
Connecticut ......................... 15 5,799,844.59 2.174
Florida ............................. 26 10,876,705.47 4.077
Georgia ............................. 1 455,558.91 0.171
Hawaii .............................. 2 1,084,340.79 0.406
Idaho ............................... 2 1,098,905.79 0.412
Illinois ............................ 31 13,239,401.86 4.963
Indiana ............................. 2 726,468.95 0.272
Kansas .............................. 2 750,978.38 0.282
Maine ............................... 1 359,677.70 0.135
Maryland ............................ 23 9,051,416.66 3.393
Massachusetts ....................... 34 13,943,065.11 5.227
Michigan ............................ 12 4,896,349.10 1.835
Minnesota ........................... 16 6,331,776.78 2.374
Mississippi ......................... 2 807,576.49 0.303
Missouri ............................ 2 782,807.87 0.293
Nebraska ............................ 3 1,095,649.50 0.411
Nevada .............................. 2 834,430.23 ▇.▇▇▇
▇▇▇ ▇▇▇▇▇▇▇▇▇ ....................... 3 1,384,310.28 0.519
New Jersey .......................... 36 15,447,084.78 5.790
New York ............................ 53 23,511,013.04 8.813
North Carolina ...................... 1 478,249.26 0.179
Ohio ................................ 1 412,924.62 0.155
Oregon .............................. 1 492,863.75 0.185
Pennsylvania ........................ 6 2,317,892.25 ▇.▇▇▇
▇▇▇▇▇ ▇▇▇▇▇▇ ........................ 5 2,013,753.09 0.755
South Carolina ...................... 2 790,000.50 0.296
South Dakota ........................ 1 356,804.59 0.134
Tennessee ........................... 2 727,227.96 0.273
Texas ............................... 9 3,734,350.56 1.400
Washington .......................... 20 8,622,897.77 3.232
Wisconsin ........................... 6 2,587,404.61 0.970
--- ----------------- -------
Total: ........................... 632 $ 266,768,325.64 100.000%
=== ================= =======
----------
(1) The greatest ZIP Code geographic concentration of the Group III Mortgage
Loans was approximately 1.02% in the 94112 ZIP Code.
-33-
Qualifying FICO Scores for the Group III Mortgage Loans at Origination(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Qualifying FICO Score Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
500 - 519 ........................... 11 $ 4,292,420.49 1.609%
520 - 539 ........................... 33 13,405,406.71 5.025
540 - 559 ........................... 40 16,804,528.56 6.299
560 - 579 ........................... 76 32,059,130.00 12.018
580 - 599 ........................... 41 17,802,251.31 6.673
600 - 619 ........................... 69 28,878,120.29 10.825
620 - 639 ........................... 95 40,181,275.37 15.062
640 - 659 ........................... 66 27,723,724.33 10.392
660 - 679 ........................... 65 27,759,068.43 10.406
680 - 699 ........................... 61 26,363,428.79 9.883
700 - 719 ........................... 29 11,791,779.87 4.420
720 - 739 ........................... 24 10,573,081.22 3.963
740 - 759 ........................... 13 5,262,828.01 1.973
760 - 779 ........................... 7 2,856,052.27 1.071
greater than 800 .................... 2 1,015,229.99 0.381
--- ----------------- -------
Total ......................... 632 $ 266,768,325.64 100.000%
=== ================= =======
----------
(1) The weighted average qualifying FICO score at origination of the Group III
Mortgage Loans that had FICO scores was approximately 629. See "--FICO
Scores" herein.
Income Documentation of the Group III Mortgage Loans(1)
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Income Documentation Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
Full Documentation Program .......... 336 $ 141,699,629.35 53.117%
Limited Documentation Program ....... 100 41,568,744.77 15.582
Stated Income Documentation Program . 196 83,499,951.52 31.301
--- ----------------- -------
Total ............................ 632 $ 266,768,325.64 100.000%
=== ================= =======
----------
(1) For a description of each documentation level, see "The Mortgage
Loans--Underwriting Standards" herein.
Risk Categories for the Group III Mortgage Loans
Aggregate Principal Balance % of Aggregate Principal
Number of Outstanding as of the Cut-off Balance Outstanding as of the
Risk Category Mortgage Loans Date Cut-off Date
------------------------------------- -------------- ----------------------------- -----------------------------
2A .................................. 121 $ 51,372,233.04 19.257%
3A .................................. 52 22,390,954.69 8.393
4A .................................. 85 36,182,782.47 13.563
5A .................................. 63 26,348,632.01 9.877
6A .................................. 63 26,914,065.97 10.089
7A .................................. 71 30,337,443.02 11.372
8A .................................. 60 25,218,967.02 9.454
A ................................... 40 16,952,588.06 6.355
B ................................... 43 17,226,646.62 6.458
C ................................... 33 13,491,676.30 5.057
D ................................... 1 332,336.44 0.125
--- ----------------- -------
Total ............................ 632 $ 266,768,325.64 100.000%
=== ================= =======
-34-
