EXHIBIT 99.2
The depositor purchased mortgage loans from IndyMac Bank, F.S.B.
pursuant to a pooling and servicing agreement, dated as of December 1, 2004,
among IndyMac Bank, as seller and master servicer, the depositor and the
trustee, and assigned to the trustee for the benefit of holders of the
certificates the statistical calculation mortgage loans (other than those
removed prior to the closing date) and other similar mortgage loans (together,
the "Closing Date Mortgage Loans"). The Closing Date Mortgage Loans and
subsequent mortgage loans included in the trust are referred to as the "MORTGAGE
LOANS". The Closing Date Mortgage Loans have an aggregate principal balance as
of the cut-off date of approximately $749,950,354. The Closing Date Mortgage
Loans to be included in loan group I have an aggregate principal balance equal
to approximately $368,105,965, and the Closing Date Mortgage Loans to be
included in loan group II have an aggregate principal balance equal to
approximately $381,844,390.
As of the cut-off date, the aggregate Stated Principal Balance of the
Statistical Calculation Mortgage Loans is approximately $749,950,354. The
mortgage loans to be included in the mortgage pool were acquired or originated
by the seller in the normal course of its business.
At origination, 99.93% of the Statistical Calculation Mortgage Loans in
loan group I and approximately 97.88% of the Statistical Calculation Mortgage
Loans in loan group II had stated terms to maturity of 30 years. Approximately
99.99% of the Statistical Calculation Mortgage Loans provide for payments due on
the first day of each month (a "DUE DATE"). Scheduled monthly payments made by
the mortgagors on the mortgage loans ("SCHEDULED PAYMENTS") either earlier or
later than the scheduled due dates thereof is not expected to affect the
amortization schedule or the relative application of those payments to principal
and interest.
With the exception of 376 of the Statistical Calculation Mortgage Loans
in loan group I and 175 of the Statistical Calculation Mortgage Loans in loan
group II, representing approximately 19.93% and 19.51%, respectively, of the
Statistical Calculation Mortgage Loans in that loan group, all of the
Statistical Calculation Mortgage Loans in each loan group will provide for the
amortization of the amount financed over a series of substantially equal monthly
payments. The terms of the interest-only mortgage loans only require the related
mortgagor to pay interest on the principal balance of the mortgage loan for
either the first two, three, five, seven or ten years after its origination, but
require that the entire principal balance of the mortgage loan be fully
amortized over the related remaining term of the mortgage loan following such
interest only period.
Approximately 80.07% of the Statistical Calculation Mortgage Loans in
loan group I and approximately 80.42% of the Statistical Calculation Mortgage
Loans in loan group II provide for the amortization of the amount financed over
a series of substantially equal monthly payments, and none of the Statistical
Calculation Mortgage Loans in loan group I and approximately .07% of the
Statistical Calculation Mortgage Loans in loan group II are balloon loans and
provide for equal monthly payments, consisting of principal and interest, based
on a stated amortization schedule, and a single payment of the remaining
principal balance of the loan at maturity.
Approximately 1,579 Statistical Calculation Mortgage Loans in loan
group I and approximately 1,165 Statistical Calculation Mortgage Loans in group
II, representing approximately 70.32% and 64.72% of the cut-off date principal
balance of the mortgage loans in the respective loan groups contain prepayment
charges. Prepayment charges provide that if the borrower were to prepay the
mortgage loan in full at any time from the origination of the mortgage loan to a
date set forth in the related mortgage note (the "PREPAYMENT CHARGE PERIOD"),
the borrower would also have to pay a fee in addition to the amount necessary to
repay the mortgage loan. The Prepayment Charge Period for the mortgage loans
vary from one year to five years, depending on the terms set forth in the
related mortgage note. The amount of the prepayment charge varies.
The mortgage rate (the "MORTGAGE RATE") of each of the fixed-rate
mortgage loans will be fixed for the life of the loan. The Mortgage Rates for a
substantial majority of the adjustable-rate mortgage loans will be fixed for a
period after the origination of each such mortgage loan, after which it will
adjust semi-annually or annually based on the applicable Loan Index. The
adjustable-rate mortgage loans include 1-year CMT, 2/28 Adjustable Mortgage
Loans, 3/27 Adjustable Mortgage Loans, 5/25 Adjustable Mortgage Loans, 7/23
12
Adjustable Mortgage Loans, 10/20 Adjustable Mortgage Loans, 6-month LIBOR
Adjustable Mortgage Loans and 1-year LIBOR Adjustable Mortgage Loans. The rates
on these loans adjust periodically on a date (the "ADJUSTMENT DATE"), in most
cases, after an initial period during which their rate is fixed that ends on
their initial Adjustment Date. The change in the interest rate of any adjustable
rate loan on any single Adjustment Date may not exceed a maximum known as its
"PERIODIC RATE CAP". The interest rate for each of these mortgage loans is
computed as a margin specified in the related mortgage note over the applicable
Loan Index. "6-MONTH LIBOR" and "1-YEAR LIBOR" are equal to the average of
interbank offered rates for six month or one year U.S. dollar deposits,
respectively, in the London market based on quotations of major banks, as
published either (x) by ▇▇▇▇▇▇ ▇▇▇ either 30 or 45 days before the Adjustment
Date or (y) in the "Money Rates" section of THE WALL STREET JOURNAL as of the
first business day of the month before the Adjustment Date. The "1-YEAR CMT" is
the weekly average yield on U.S. Treasury Securities adjusted to a constant
maturity of one year as made available by the Federal Reserve. The following
tables summarize these characteristics of the different loan programs for the
adjustable-rate Statistical Calculation Mortgage Loans.
--------------------------------------------------------------------------------
INITIAL PERIODIC RATE
FIXED BASE ADJUSTMENT
PERIOD INDEX PERIOD
------------- ------------- -------------
1/1 CMT Adjustable
Mortgage Loans 1 year 1-year CMT 1 year
2/28 LIBOR Adjustable
Mortgage Loans 2 years 6-month LIBOR 6 mos.
3/27 LIBOR
Adjustable
Mortgage Loans 3 years 6-month LIBOR 6 mos.
3/27 LIBOR
Adjustable
Mortgage Loans 3 years 1-year LIBOR 1 year
3/27 CMT Adjustable
Mortgage Loans 3 years 1-year CMT 1 year
5/25 CMT Adjustable
Mortgage Loans 5 years 1-year CMT 1 year
5/25 LIBOR Adjustable
Mortgage Loans 5 years 6-month LIBOR 6 mos.
5/25 LIBOR Adjustable
Mortgage Loans 5 years 1-year LIBOR 1 year
7/23 LIBOR Adjustable
Mortgage Loans 7 years 6-month LIBOR 6 mos.
10/20 LIBOR
Adjustable
Mortgage Loans 10 years 6-month LIBOR 6 mos.
--------------------------------------------------------------------------------
The 2/28 Adjustable Mortgage Loans will include performance loans
("PERFORMANCE LOANS") that provide borrowers the potential of a margin reduction
for good payment history. The payment history for the Performance Loan is
evaluated in the second month preceding the month in which the initial
Adjustment Date occurs. If the related borrower has made scheduled payments in
full since the origination of that loan with a maximum of one late payment
(which cannot be in the month of evaluation) the loan is eligible for a
reduction (ranging from 0.50% to 1.00%) in the margin used to calculate the
mortgage rate. Approximately 6.93% of the Statistical Calculation Mortgage Loans
are Performance Loans.
13
ALL STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS
CURRENT PRINCIPAL BALANCE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
CURRENT MORTGAGE LOAN BALANCE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------------------------------ -------------- ----------------- -----------------
11,997 - 50,000 ........ 188 $ 7,377,405.65 0.98
50,001 - 100,000 ........ 697 54,136,073.24 7.22
100,001 - 150,000 ........ 890 111,422,150.37 14.86
150,001 - 200,000 ........ 684 119,448,753.58 15.93
200,001 - 250,000 ........ 494 110,981,935.19 14.80
250,001 - 300,000 ........ 367 100,688,395.75 13.43
300,001 - 350,000 ........ 207 66,969,963.62 8.93
350,001 - 400,000 ........ 171 64,144,165.96 8.55
400,001 - 450,000 ........ 69 29,335,652.73 3.91
450,001 - 500,000 ........ 68 32,832,900.24 4.38
500,001 - 550,000 ........ 23 12,092,765.61 1.61
550,001 - 600,000 ........ 21 12,112,236.13 1.62
600,001 - 650,000 ........ 19 12,011,452.94 1.60
650,001 - 700,000 ........ 7 4,747,358.57 0.63
700,001 - 750,000 ........ 5 3,628,770.05 0.48
750,001 - 800,000 ........ 1 775,000.00 0.10
800,001 - 850,000 ........ 2 1,628,819.84 0.22
850,001 - 900,000 ........ 2 1,768,460.59 0.24
900,001 - 950,000 ........ 2 1,855,200.00 0.25
950,001 - 1,000,000 ........ 2 1,992,894.40 0.27
--------- ---------------- ---------
Total 3,919 $ 749,950,354.46 100.00
========= ================ =========
As of December 1, 2004, the average current principal balance of the
Mortgage Loans is approximately $191,363.
14
MORTGAGE RATE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
CURRENT GROSS MORTGAGE RATE MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------------------------------- -------------- ----------------- -----------------
4.250 - 4.499 .............. 1 $ 357,000.00 0.05
4.500 - 4.999 .............. 26 7,496,619.97 1.00
5.000 - 5.499 .............. 38 12,653,826.10 1.69
5.500 - 5.999 .............. 142 41,786,547.44 5.57
6.000 - 6.499 .............. 372 96,880,687.46 12.92
6.500 - 6.999 .............. 770 167,282,566.68 22.31
7.000 - 7.499 .............. 558 113,081,827.74 15.08
7.500 - 7.999 .............. 704 130,051,633.68 17.34
8.000 - 8.499 .............. 359 55,442,276.76 7.39
8.500 - 8.999 .............. 385 56,298,906.64 7.51
9.000 - 9.499 .............. 167 20,166,997.09 2.69
9.500 - 9.999 .............. 144 18,608,127.59 2.48
10.000 - 10.499 .............. 70 9,058,718.47 1.21
10.500 - 10.999 .............. 69 8,798,012.18 1.17
11.000 - 11.499 .............. 51 5,928,115.01 0.79
11.500 - 11.999 .............. 33 3,168,546.58 0.42
12.000 - 12.499 .............. 20 1,744,439.18 0.23
12.500 - 12.999 .............. 8 882,605.89 0.12
>= 13.000 .............. 2 262,900.00 0.04
------- ---------------- ---------
Total 3,919 $ 749,950,354.46 100.00
======= ================ =========
As of December 1, 2004, the weighted average mortgage rate of the
Mortgage Loans is approximately 7.356%.
15
FICO SCORE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
FICO SCORE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
-------------------------------- -------------- ----------------- -----------------
0 - 19..................... 8 $ 2,139,482.83 0.29
500 - 519..................... 270 41,422,578.59 5.52
520 - 539..................... 347 55,846,520.32 7.45
540 - 559..................... 364 63,328,721.50 8.44
560 - 579..................... 325 58,980,044.31 7.86
580 - 599..................... 535 94,422,768.98 12.59
600 - 619..................... 467 87,219,293.50 11.63
620 - 639..................... 508 113,586,882.58 15.15
640 - 659..................... 362 77,451,099.56 10.33
660 - 679..................... 269 52,863,231.64 7.05
680 - 699..................... 188 38,341,142.36 5.11
700 - 719..................... 107 24,739,636.25 3.30
720 - 739..................... 59 12,902,313.48 1.72
740 - 759..................... 52 11,860,158.47 1.58
760 - 779..................... 32 8,096,444.26 1.08
780 - 799..................... 23 5,715,639.22 0.76
>= 800..................... 3 1,034,396.61 0.14
------- ---------------- ---------
Total 3,919 $ 749,950,354.46 100.00
======= ================ =========
As of December 1, 2004, the weighted average FICO score of the Mortgage
Loans is approximately 613.
CREDIT LEVEL
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
CREDIT LEVEL: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
----------------------------- -------------- ----------------- -----------------
0............................ 402 $ 107,128,898.67 14.28
1+.......................... 2,393 447,747,896.67 59.70
1........................... 385 75,931,723.23 10.12
2........................... 240 40,807,823.59 5.44
3........................... 236 40,461,903.98 5.40
4........................... 263 37,872,108.32 5.05
--------- ---------------- ---------
Total 3,919 $ 749,950,354.46 100.00
========= ================ =========
(1) Credit Levels are assigned as described under the heading
"--Underwriting Standards."
LIEN
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
LIEN: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
----------------------------- -------------- ----------------- -----------------
First Lien................... 3,919 $ 749,950,354.46 100.00
--------- ---------------- ---------
Total 3,919 $ 749,950,354.46 100.00
========= ================ =========
16
ORIGINAL LOAN-TO-VALUE RATIOS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
ORIGINAL LOAN-TO-VALUE RATIO: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
----------------------------- -------------- ----------------- -----------------
12.15-15.00.................. 4 $ 313,767.74 0.04
15.01-20.00.................. 5 369,853.87 0.05
20.01-25.00.................. 4 603,282.51 0.08
25.01-30.00.................. 13 1,674,078.70 0.22
30.01-35.00.................. 24 3,390,079.46 0.45
35.01-40.00.................. 26 3,134,407.87 0.42
40.01-45.00.................. 25 4,142,520.98 0.55
45.01-50.00.................. 88 14,432,026.34 1.92
50.01-55.00.................. 82 14,736,171.52 1.96
55.01-60.00.................. 122 22,487,583.81 3.00
60.01-65.00.................. 166 31,643,783.86 4.22
65.01-70.00.................. 358 69,545,275.87 9.27
70.01-75.00.................. 311 63,395,508.86 8.45
75.01-80.00.................. 1,365 278,660,803.00 37.16
80.01-85.00.................. 423 81,859,044.55 10.92
85.01-90.00.................. 591 107,198,868.55 14.29
90.01-95.00.................. 224 39,275,638.39 5.24
95.01-100.00................. 88 13,087,658.58 1.75
--------- ---------------- ----------
Total 3,919 $ 749,950,354.46 100.00
========= ================ ==========
As of December 1, 2004, the weighted average original loan-to-value
ratio of the Mortgage Loans is approximately 77.88%.
17
TYPE OF DOCUMENTATION PROGRAM
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
TYPE OF DOCUMENTATION PROGRAM: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
-------------------------------- -------------- ----------------- -----------------
Full Documentation............. 2,193 $ 384,402,952.65 51.26
Stated Documentation........... 1,522 320,690,293.81 42.76
No Documentation............... 78 16,269,714.61 2.17
Limited Documentation.......... 64 12,827,097.49 1.71
No Ratio....................... 31 6,540,279.59 0.87
No Income No Asset ............ 17 5,947,375.56 0.79
Alt Documentation ............. 14 3,272,640.75 0.44
------ ---------------- ---------
Total 3,919 $ 749,950,354.46 100.00
====== ================ =========
LOAN PURPOSE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
LOAN PURPOSE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
-------------------------------- -------------- ----------------- -----------------
Refinance - Cashout............ 2,381 $ 455,009,572.01 60.67
Purchase....................... 1,371 262,414,364.60 34.99
Refinance - Rate/Term ......... 167 32,526,417.85 4.34
--------- ---------------- ---------
Total 3,919 $ 749,950,354.46 100.00
========= ================ =========
18
OCCUPANCY TYPE(1)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
OCCUPANCY TYPE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
-------------------------------- -------------- ----------------- -----------------
Owner Occupied.................. 3,477 $ 683,828,371.73 91.18
Non-Owner Occupied.............. 381 54,654,041.91 7.29
Second Home..................... 61 11,467,940.82 1.53
---------- ---------------- ---------
Total 3,919 $ 749,950,354.46 100.00
========== ================ =========
(1) Based on representations of the related mortgagors at the time of
origination.
PROPERTY TYPE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PROPERTY TYPE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
-------------------------------- -------------- ----------------- -----------------
Single Family Residence........ 2,874 $ 534,024,727.86 71.21
PUD ........................... 435 93,660,217.55 12.49
Condominium.................... 247 43,412,007.42 5.79
2 Family....................... 182 41,878,631.76 5.58
3 Family....................... 53 14,146,477.87 1.89
Townhouse...................... 86 11,999,828.11 1.60
4 Family....................... 26 6,740,887.16 0.90
Condo - High Rise>8 Floors..... 15 4,015,734.51 0.54
Co-Op.......................... 1 71,842.22 0.01
--------- ---------------- ---------
Total 3,919 $ 749,950,354.46 100.00
========= ================ =========
19
STATE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
STATE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------ -------------- ----------------- -----------------
California .................. 695 $ 199,802,438.29 26.64
New York..................... 399 99,200,178.59 13.23
Florida...................... 400 63,179,438.03 8.42
New Jersey .................. 224 52,241,083.83 6.97
Maryland..................... 157 31,503,925.89 4.20
Virginia..................... 147 28,301,455.16 3.77
Massachusetts................ 112 25,908,817.05 3.45
Texas........................ 168 19,964,309.52 2.66
Illinois..................... 100 18,933,232.65 2.52
Michigan..................... 154 17,807,819.10 2.37
Nevada....................... 82 17,747,809.29 2.37
Georgia...................... 113 16,090,662.16 2.15
Washington................... 79 14,716,400.02 1.96
Connecticut.................. 64 10,664,142.10 1.42
Pennsylvania................. 91 10,299,179.24 1.37
Other......................... 934 123,589,463.54 16.48
------ ---------------- ---------
Total 3,919 $ 749,950,354.46 100.00
====== ================ =========
20
ZIP CODE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
ZIP CODE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
--------- -------------- ----------------- -----------------
11550....................... 12 $ 2,883,081.13 0.38
11717....................... 11 2,592,634.95 0.35
95206....................... 9 2,392,152.74 0.32
11787....................... 6 2,368,909.86 0.32
20002....................... 11 2,309,240.97 0.31
22193....................... 9 2,012,902.78 0.27
91709....................... 5 1,967,729.26 0.26
11590....................... 6 1,830,762.65 0.24
20011....................... 9 1,820,951.65 0.24
20744....................... 8 1,670,453.79 0.22
Other....................... 3,833 728,101,534.68 97.09
------ ---------------- ------
Total 3,919 $ 749,950,354.46 100.00
====== ================ ======
21
REMAINING TERM TO MATURITY
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
REMAINING TERM TO MATURITY: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
--------------------------- -------------- ----------------- -----------------
<= 180.................. 59 $ 7,105,800.94 0.95
181 - 240.................. 6 1,048,402.82 0.14
301 - 360.................. 3,852 741,609,787.68 98.89
421 - 473.................. 2 186,363.02 0.02
------ ---------------- ---------
Total 3,919 $ 749,950,354.46 100.00
====== ================ =========
As of December 1, 2004, the weighted average remaining term to maturity of the
Mortgage Loans is approximately 357 months.
PRODUCT TYPE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PRODUCT: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
-------- -------------- ----------------- -----------------
1 MO LIBOR ARM................. 1 $ 130,710.60 0.02
1 YR CMT....................... 3 745,159.70 0.10
10 YR Fixed.................... 1 127,310.05 0.02
10/6 MONTH LIBOR............... 1 442,698.76 0.06
15 YR Balloon.................. 4 276,316.06 0.04
15 YR Fixed.................... 54 6,702,174.83 0.89
2/6 MONTH LIBOR................ 2,369 417,489,576.06 55.67
2/6 MONTH LIBOR - 24M IO....... 320 76,134,099.19 10.15
20 YR Fixed.................... 6 1,048,402.82 0.14
3/1 YR CMT..................... 69 13,604,550.81 1.81
3/1 YR CMT - 36M IO............ 81 26,060,827.16 3.48
3/1 YR LIBOR................... 1 216,909.67 0.03
3/6 MONTH LIBOR................ 154 29,202,255.34 3.89
3/6 MONTH LIBOR - 36M IO....... 68 18,313,881.76 2.44
30 YR Fixed ................... 695 129,987,456.43 17.33
30 YR Fixed - 120M IO.......... 29 10,095,008.82 1.35
40 YR Fixed.................... 2 186,363.02 0.02
5/1 YR CMT..................... 6 1,699,368.06 0.23
5/1 YR CMT - 60MO IO .......... 30 9,783,796.84 1.30
5/1 YR LIBOR................... 1 122,482.64 0.02
5/6 MONTH LIBOR................ 1 130,669.79 0.02
5/6 MONTH LIBOR - 60M IO....... 22 7,037,836.05 0.94
7/6 MONTH LIBOR - 84M IO....... 1 412,500.00 0.06
--------- ---------------- ---------
Total 3,919 $ 749,950,354.46 100.00
========= ================ =========
22
PREPAYMENT CHARGE TERM
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PREPAYMENT CHARGE TERM (MONTHS): MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
-------------------------------- -------------- ----------------- -----------------
0......................... 1,175 $ 243,960,395.84 32.53
12......................... 181 44,157,289.84 5.89
24......................... 1,891 338,762,104.09 45.17
36......................... 666 120,834,707.79 16.11
60......................... 6 2,235,856.90 0.30
--------- ---------------- -------
Total 3,919 $ 749,950,354.46 100.00
========= ================ =======
INITIAL PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
INITIAL PERIODIC RATE CAP: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
-------------------------- -------------- ----------------- -----------------
1.000..................... 2 $ 370,315.99 0.06
1.500..................... 44 8,849,830.26 1.47
2.000..................... 198 36,962,564.27 6.14
3.000..................... 2,815 533,807,598.47 88.74
5.000..................... 66 20,659,049.06 3.43
6.000..................... 3 877,964.38 0.15
------ ---------------- ---------
Total 3,128 $ 601,527,322.43 100.00
====== ================ =========
SUBSEQUENT PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PERIODIC RATE CAP: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------------------ -------------- ----------------- -----------------
1.000........................ 2,866 $ 536,655,805.63 89.22
1.500........................ 63 10,625,823.84 1.77
2.000........................ 199 54,245,692.96 9.02
--------- ------------------ ---------
Total 3,128 $ 601,527,322.43 100.00
========= ================== =========
23
GROSS MARGIN OF THE ADJUSTABLE-RATE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
GROSS MARGIN: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------------- -------------- ----------------- -----------------
2.250 - 3.000............. 190 $ 60,641,937.02 10.08
3.001 - 4.000............. 16 4,090,152.78 0.68
4.001 - 5.000............. 1,250 244,235,943.85 40.60
5.001 - 6.000............. 899 167,082,145.60 27.78
6.001 - 7.000............. 638 106,479,524.86 17.70
7.001 - 8.000............. 112 15,238,939.47 2.53
8.001 - 9.000............. 18 2,822,685.63 0.47
9.001 - 10.000............. 4 784,064.13 0.13
10.001 - 10.125............. 1 151,929.09 0.03
------ --------------- ---------
Total 3,128 $601,527,322.43 100.00
====== =============== =========
As of December 1, 2004, the weighted average gross margin of the Mortgage Loans
is approximately 5.130%.
24
MAXIMUM MORTGAGE RATE OF THE ADJUSTABLE-RATE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
MAXIMUM LOAN RATE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------------------ -------------- ----------------- -----------------
10.125 - 11.000............. 18 $ 4,421,537.83 0.74
11.001 - 12.000............. 174 54,812,876.84 9.11
12.001 - 13.000............. 779 176,208,853.60 29.29
13.001 - 14.000............. 1,019 197,242,599.34 32.79
14.001 - 15.000............. 647 105,068,909.72 17.47
15.001 - 16.000............. 289 37,558,388.35 6.24
16.001 - 17.000............. 122 17,320,972.61 2.88
17.001 - 18.000............. 61 6,854,890.15 1.14
18.001 - 19.000............. 19 2,038,293.99 0.34
------ ------------------ ---------
Total 3,128 $ 601,527,322.43 100.00
====== ================== =========
As of December 1, 2004, the weighted average maximum mortgage rate of
the Mortgage Loans is approximately 13.544%.
25
MINIMUM MORTGAGE RATE OF THE ADJUSTABLE-RATE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
MINIMUM LOAN RATE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------------------ -------------- --------------- ---------------
2.250 - 3.000............. 189 $ 60,553,673.02 10.07
3.001 - 4.000............. 14 3,710,089.48 0.62
4.001 - 5.000............. 1,221 240,014,176.11 39.90
5.001 - 6.000............. 836 152,054,902.55 25.28
6.001 - 7.000............. 619 102,971,969.39 17.12
7.001 - 8.000............. 181 30,791,408.07 5.12
8.001 - 9.000............. 48 7,447,169.29 1.24
9.001 - 10.000............. 9 1,661,747.35 0.28
10.001 - 11.000............. 3 481,430.04 0.08
12.001 - 13.000............. 2 543,286.46 0.09
13.001 - 14.000............. 1 260,558.45 0.04
14.001 - 15.000............. 3 793,008.65 0.13
15.001 - 16.000............. 1 171,903.57 0.03
17.001 - 17.125............. 1 72,000.00 0.01
------ ---------------- ---------
Total 3,128 $ 601,527,322.43 100.00
====== ================ =========
As of December 1, 2004, the weighted average minimum mortgage rate of the
Mortgage Loans is approximately 5.246%.
26
NEXT RATE ADJUSTMENT DAT6E OF THE ADJUSTABLE-RATE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
NEXT ADJUSTMENT DATE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
--------------------- -------------- --------------- ---------------
04/01/05....................... 2 $ 495,650.76 0.08
10/01/05....................... 1 167,631.38 0.03
11/01/05....................... 1 212,588.16 0.04
12/01/05....................... 1 122,709.74 0.02
01/01/06....................... 1 193,751.98 0.03
02/01/06....................... 3 486,156.17 0.08
03/01/06....................... 7 1,149,662.17 0.19
04/01/06....................... 6 1,108,306.22 0.18
05/01/06....................... 15 2,719,601.18 0.45
06/01/06....................... 21 4,000,329.82 0.67
07/01/06....................... 36 8,357,546.33 1.39
08/01/06....................... 93 20,105,066.40 3.34
09/01/06....................... 219 44,656,764.69 7.42
10/01/06....................... 411 80,537,896.97 13.39
11/01/06....................... 943 173,159,933.58 28.79
12/01/06....................... 710 118,828,723.00 19.75
01/01/07....................... 223 38,197,227.00 6.35
03/01/07....................... 1 89,420.63 0.01
04/01/07....................... 4 455,242.41 0.08
05/01/07....................... 4 604,845.89 0.10
06/01/07....................... 4 1,269,732.00 0.21
07/01/07....................... 12 2,416,372.65 0.40
08/01/07....................... 22 5,597,932.96 0.93
09/01/07....................... 51 11,905,841.27 1.98
10/01/07....................... 120 35,184,409.96 5.85
11/01/07....................... 72 15,291,060.97 2.54
12/01/07....................... 63 11,311,616.00 1.88
01/01/08....................... 20 3,271,950.00 0.54
05/01/09....................... 1 260,518.67 0.04
07/01/09....................... 3 992,099.99 0.16
08/01/09....................... 2 250,402.63 0.04
09/01/09....................... 16 5,788,694.99 0.96
10/01/09....................... 30 9,250,391.30 1.54
11/01/09....................... 8 2,232,045.80 0.37
09/01/11....................... 1 412,500.00 0.07
09/01/14....................... 1 442,698.76 0.07
--------- ---------------- ---------
Total 3,128 $ 601,527,322.43 100.00
========= ================ =========
As of December 1, 2004, the weighted average number of months to the next
adjustment date for the Mortgage Loans is approximately 25 months.
27
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP I
The Mortgage Loans to be included in loan group I consist of 2193
adjustable-rate and fixed-rate Mortgage Loans having an aggregate principal
balance as of December 1, 2004 of $368,105,965, after application of scheduled
payments due on or before December 1, 2004 whether or not received and
application of all unscheduled payments of principal received prior to December
1, 2004, and subject to a permitted variance of plus or minus 10%. The Mortgage
Loans included in loan group I have the characteristics set forth below (the sum
in any column may not equal the total indicated due to rounding).
CURRENT PRINCIPAL BALANCE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
CURRENT MORTGAGE LOAN BALANCE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------------------------------ -------------- --------------- ---------------
11,997 - 50,000......... 88 $ 3,349,922.54 0.91
50,001 - 100,000......... 376 29,557,731.50 8.03
100,001 - 150,000......... 568 71,210,775.85 19.35
150,001 - 200,000......... 454 79,440,937.81 21.58
200,001 - 250,000......... 340 76,621,445.38 20.82
250,001 - 300,000......... 241 65,953,915.20 17.92
300,001 - 350,000......... 107 34,081,168.31 9.26
350,001 - 400,000......... 9 3,382,111.54 0.92
400,001 - 450,000......... 6 2,528,380.17 0.69
450,001 - 500,000......... 4 1,979,576.51 0.54
------ ---------------- ---------
Total........................ 2,193 $ 368,105,964.81 100.00
====== ================ =========
As of December 1, 2004, the average current principal balance of the Mortgage
Loans in loan group I is approximately $167,855.
28
MORTGAGE RATE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
CURRENT GROSS MORTGAGE RATE MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
--------------------------- -------------- --------------- ---------------
4.500 - 4.999 .............. 15 $ 3,707,552.18 1.01
5.000 - 5.499 .............. 20 4,878,199.77 1.33
5.500 - 5.999 .............. 66 13,646,430.75 3.71
6.000 - 6.499 .............. 173 35,958,366.87 9.77
6.500 - 6.999 .............. 449 84,863,243.71 23.05
7.000 - 7.499 .............. 318 55,812,333.44 15.16
7.500 - 7.999 .............. 415 70,096,676.31 19.04
8.000 - 8.499 .............. 206 29,248,014.32 7.95
8.500 - 8.999 .............. 217 30,660,242.60 8.33
9.000 - 9.499 .............. 86 10,093,089.37 2.74
9.500 - 9.999 .............. 83 11,171,905.53 3.03
10.000 - 10.499 .............. 36 4,681,058.74 1.27
10.500 - 10.999............... 41 5,639,271.87 1.53
11.000 - 11.499 .............. 28 3,505,371.84 0.95
11.500 - 11.999............... 23 2,269,876.26 0.62
12.000 - 12.499............... 11 1,086,638.60 0.30
12.500 - 12.999............... 4 524,792.65 0.14
>= 13.000 .............. 2 262,900.00 0.07
--------- ---------------- ------------
Total........................ 2,193 $ 368,105,964.81 100.00
========= ================ ============
As of December 1, 2004, the weighted average mortgage rate of the Mortgage Loans
in loan group I is approximately 7.497%.
29
FICO SCORE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
FICO SCORE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
-------------------------------- -------------- --------------- ---------------
0 - 19..................... 2 $ 294,639.49 0.08
500 - 519..................... 158 23,875,925.30 6.49
520 - 539..................... 205 31,949,246.98 8.68
540 - 559..................... 207 34,383,748.86 9.34
560 - 579..................... 166 26,733,465.55 7.26
580 - 599..................... 317 50,107,277.01 13.61
600 - 619..................... 280 47,706,325.96 12.96
620 - 639..................... 263 45,493,927.84 12.36
640 - 659..................... 198 34,522,119.81 9.38
660 - 679..................... 131 22,825,912.51 6.20
680 - 699..................... 102 19,511,439.34 5.30
700 - 719..................... 62 11,725,522.97 3.19
720 - 739..................... 35 5,769,565.47 1.57
740 - 759..................... 31 5,864,260.33 1.59
760 - 779..................... 21 4,459,201.81 1.21
780 - 797..................... 15 2,883,385.58 0.78
--------- ---------------- ------------
Total........................ 2,193 $ 368,105,964.81 100.00
========= ================ ============
As of December 1, 2004, the weighted average FICO score of the Mortgage Loans in
loan group I is approximately 609.
CREDIT LEVELS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
CREDIT LEVEL: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------------- -------------- --------------- ---------------
0 ............................. 161 $ 34,411,472.56 9.35
1+............................. 1,391 229,214,009.67 62.27
1 ............................. 199 33,904,787.99 9.21
2 ............................. 140 22,241,656.07 6.04
3 ............................. 145 25,203,355.30 6.85
4 ............................. 157 23,130,683.22 6.28
----------- ---------------- ------------
Total........................ 2,193 $ 368,105,964.81 100.00
=========== ================ ============
(1) Credit Levels are assigned as described under the heading
"--Underwriting Standards."
LIEN STATUS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
LIEN: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
-------------------------------- -------------- --------------- ---------------
First Lien ..................... 2,193 $ 368,105,964.81 100.00
----------- ---------------- ---------
Total........................ 2,193 $ 368,105,964.81 100.00
=========== ================ =========
30
ORIGINAL LOAN-TO-VALUE RATIOS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
ORIGINAL LOAN-TO-VALUE RATIO: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
----------------------------- -------------- --------------- ---------------
12.15 - 15.00 .............. 3 $ 234,382.91 0.06
15.01 - 20.00 .............. 1 88,000.00 0.02
20.01 - 25.00 .............. 1 24,992.65 0.01
25.01 - 30.00 .............. 7 1,153,683.92 0.31
30.01 - 35.00 .............. 12 1,690,246.23 0.46
35.01 - 40.00 .............. 13 1,527,275.12 0.41
40.01 - 45.00 .............. 12 1,662,940.76 0.45
45.01 - 50.00 .............. 50 9,006,834.72 2.45
50.01 - 55.00 .............. 54 8,168,973.00 2.22
55.01 - 60.00 .............. 64 11,448,394.06 3.11
60.01 - 65.00 .............. 90 16,590,761.03 4.51
65.01 - 70.00 .............. 189 31,856,211.79 8.65
70.01 - 75.00 .............. 176 31,095,999.28 8.45
75.01 - 80.00 .............. 793 132,608,991.70 36.02
80.01 - 85.00 .............. 244 41,795,137.87 11.35
85.01 - 90.00 .............. 300 49,221,045.67 13.37
90.01 - 95.00 .............. 130 21,910,655.15 5.95
95.01 - 100.00 .............. 54 8,021,438.95 2.18
-------- ---------------- ---------
Total........................ 2,193 $ 368,105,964.81 100.00
======== ================ =========
As of December 1, 2004, the weighted average original loan-to-value ratio of the
Mortgage Loans in loan group I is approximately 77.86%.
31
TYPE OF DOCUMENTATION PROGRAM
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
TYPE OF DOCUMENTATION PROGRAM: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------------------------------ -------------- --------------- ---------------
Full Documentation ............. 1,254 $ 198,400,602.13 53.90
Stated Documentation ........... 867 155,208,071.52 42.16
Limited Documentation .......... 36 6,128,059.13 1.66
No Documentation................ 16 3,422,764.60 0.93
No Ratio........................ 10 2,290,129.16 0.62
No Income No Asset.............. 4 1,520,000.00 0.41
Alt Documentation............... 6 1,136,338.27 0.31
----------- ---------------- ------------
Total........................ 2,193 $ 368,105,964.81 100.00
=========== ================ ============
LOAN PURPOSE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
LOAN PURPOSE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------------- -------------- --------------- ---------------
Refinance - Cashout............ 1,296 $ 220,665,927.45 59.95
Purchase ...................... 801 132,151,284.15 35.90
Refinance - Rate/Term ......... 96 15,288,753.21 4.15
--------- ---------------- ------------
Total........................ 2,193 $ 368,105,964.81 100.00
========= ================ ============
32
OCCUPANCY TYPE(1)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
OCCUPANCY TYPE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
--------------- -------------- --------------- ---------------
Owner Occupied 1,964 $ 334,908,546.97 90.98
Non-Owner Occupied 194 28,322,717.95 7.69
Second Home 35 4,874,699.89 1.32
--------- ---------------- ------------
Total 2,193 $ 368,105,964.81 100.00
========= ================ ============
(1) Based on representations of the related mortgagors at the time
of origination.
PROPERTY TYPE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PROPERTY TYPE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
-------------- -------------- --------------- ---------------
Single Family Residence ....... 1,598 $ 259,044,173.99 70.37
PUD ........................... 248 45,236,022.24 12.29
Condominium ................... 141 22,264,482.81 6.05
2 Family ...................... 93 19,862,717.07 5.40
3 Family ...................... 34 9,298,829.57 2.53
Townhouse ..................... 54 6,857,725.75 1.86
4 Family ...................... 16 3,434,038.86 0.93
Condo - High Rise>8 Floors .... 9 2,107,974.52 0.57
----------- ----------------- ------------
Total........................ 2,193 $ 368,105,964.81 100.00
=========== ================= ============
33
STATE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
STATE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------ -------------- --------------- ---------------
California ................ 343 $ 77,094,898.21 20.94
New York................... 203 44,512,018.73 12.09
Florida.................... 255 38,153,039.53 10.36
New Jersey................. 125 26,138,782.42 7.10
Maryland .................. 89 16,179,743.50 4.40
Virginia................... 91 15,766,139.93 4.28
Massachusetts.............. 56 11,506,940.16 3.13
Michigan .................. 94 10,687,125.75 2.90
Texas...................... 89 10,675,119.56 2.90
Georgia.................... 72 9,962,784.77 2.71
Washington................. 49 9,106,869.82 2.47
Illinois .................. 55 8,706,115.00 2.37
Connecticut................ 42 7,435,745.09 2.02
Nevada..................... 39 7,133,494.78 1.94
Pennsylvania............... 61 6,997,745.02 1.90
Other....................... 530 68,049,402.54 18.49
------ ---------------- ---------
Total 2,193 $ 368,105,964.81 100.00
====== ================ =========
34
ZIP CODE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
ZIP CODE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
--------- -------------- --------------- ---------------
22193.......................... 7 $ 1,545,995.01 0.42
11412.......................... 6 1,520,687.39 0.41
11550.......................... 7 1,518,002.27 0.41
11590.......................... 5 1,416,762.65 0.38
11429.......................... 5 1,257,618.07 0.34
20002.......................... 6 1,211,454.81 0.33
11717.......................... 5 1,152,105.08 0.31
95206.......................... 5 1,133,033.02 0.31
92530.......................... 4 1,126,237.37 0.31
90650.......................... 4 1,115,231.28 0.30
Other........................... 2,139 355,108,837.86 96.47
----- ---------------- -------
Total........................ 2,193 $ 368,105,964.81 100.00
===== ================ =======
35
REMAINING TERM TO MATURITY
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
REMAINING TERM TO MATURITY: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
--------------------------- -------------- --------------- ---------------
<= 180..................... 1 $ 22,500.00 0.01
181 - 240..................... 1 220,340.65 0.06
301 - 360..................... 2,191 367,863,124.16 99.93
----------- ---------------- ------------
Total........................ 2,193 $ 368,105,964.81 100.00
=========== ================ ============
As of December 1, 2004, the weighted average remaining term to maturity of the
Mortgage Loans in loan group I is approximately 358 months.
PRODUCT TYPE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PRODUCT: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
-------- -------------- --------------- ---------------
1 MO LIBOR ARM................. 1 $ 130,710.60 0.04
15 YR Fixed.................... 1 22,500.00 0.01
2/6 MONTH LIBOR................ 1,338 214,248,218.36 58.20
2/6 MONTH LIBOR - 24M IO....... 242 44,960,442.70 12.21
20 YR Fixed.................... 1 220,340.65 0.06
3/1 YR CMT..................... 47 7,143,143.29 1.94
3/1 YR CMT - 36M IO............ 48 10,891,694.37 2.96
3/1 YR LIBOR................... 1 216,909.67 0.06
3/6 MONTH LIBOR................ 82 14,079,699.77 3.82
3/6 MONTH LIBOR - 36M IO....... 44 8,077,561.59 2.19
30 YR Fixed.................... 346 58,690,293.60 15.94
30 YR Fixed - 120M IO.......... 18 3,690,658.82 1.00
5/1 YR CMT - 60MO IO........... 20 5,021,891.39 1.36
5/6 MONTH LIBOR - 60M IO....... 4 711,900.00 0.19
----------- ---------------- ------------
Total........................ 2,193 $ 368,105,964.81 100.00
=========== ================ ============
36
PREPAYMENT CHARGE TERM
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PREPAYMENT CHARGE TERM (MONTHS): MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
-------------------------------- -------------- --------------- ---------------
0............................ 614 $ 109,259,435.02 29.68
12............................ 90 18,409,051.89 5.00
24............................ 1,106 177,885,849.56 48.32
36............................ 383 62,551,628.34 16.99
--------- ------------------- ------------
Total........................ 2,193 $ 368,105,964.81 100.00
========= =================== ============
INITIAL PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
INITIAL PERIODIC RATE CAP: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
-------------------------- -------------- --------------- ---------------
1.000........................ 1 $ 130,710.60 0.04
1.500........................ 26 4,515,909.53 1.48
2.000........................ 115 17,271,448.25 5.65
3.000........................ 1,657 276,905,470.40 90.65
5.000........................ 26 6,005,991.39 1.97
6.000........................ 2 652,641.57 0.21
--------- ------------------- ------------
Total........................ 1,827 $ 305,482,171.74 100.00
========= =================== ============
SUBSEQUENT PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PERIODIC RATE CAP: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------------------ -------------- --------------- ---------------
1.000........................ 1,671 $ 275,878,572.49 90.31
1.500........................ 36 5,360,135.37 1.75
2.000........................ 120 24,243,463.88 7.94
----------- ------------------ ------------
Total........................ 1,827 $ 305,482,171.74 100.00
=========== ================== ============
37
GROSS MARGIN OF THE ADJUSTABLE-RATE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
GROSS MARGIN: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------------- -------------- --------------- ---------------
2.250 - 3.000............. 90 $ 19,977,390.59 6.54
3.001 - 4.000............. 11 2,401,298.75 0.79
4.001 - 5.000............. 754 130,545,619.79 42.73
5.001 - 6.000............. 507 81,413,238.93 26.65
6.001 - 7.000............. 391 60,338,111.87 19.75
7.001 - 8.000............. 74 10,806,511.81 3.54
--------- ------------------- ----------
Total........................ 1,827 $ 305,482,171.74 100.00
========= =================== ==========
As of December 1, 2004, the weighted average gross margin of the Mortgage Loans
in loan group I is approximately 5.237%.
38
MAXIMUM MORTGAGE RATE OF THE ADJUSTABLE-RATE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
MAXIMUM LOAN RATE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------------------ -------------- --------------- ---------------
10.500 - 11.000............. 11 $ 2,562,237.78 0.84
11.001 - 12.000............. 82 17,280,999.45 5.66
12.001 - 13.000............. 468 89,528,989.93 29.31
13.001 - 14.000............. 608 103,158,374.11 33.77
14.001 - 15.000............. 369 55,596,560.77 18.20
15.001 - 16.000............. 162 20,339,891.58 6.66
16.001 - 17.000............. 77 11,228,736.12 3.68
17.001 - 18.000............. 39 4,476,588.00 1.47
18.001 - 19.00.............. 11 1,309,794.00 0.43
--------- ------------------ ------------
Total........................ 1,827 $ 305,482,171.74 100.00
========= ================== ============
As of December 1, 2004, the weighted average maximum mortgage rate of the
Mortgage Loans in loan group I is approximately 13.670%.
39
MINIMUM MORTGAGE RATE OF THE ADJUSTABLE-RATE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
MINIMUM LOAN RATE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------------------ -------------- --------------- ---------------
2.250 - 3.000............. 89 $ 19,889,126.59 6.51
3.001 - 4.000............. 9 2,021,235.45 0.66
4.001 - 5.000............. 740 128,740,705.50 42.14
5.001 - 6.000............. 461 72,623,113.18 23.77
6.001 - 7.000............. 374 56,363,447.72 18.45
7.001 - 8.000............. 127 21,257,420.13 6.96
8.001 - 9.000............. 23 3,838,215.20 1.26
9.001 - 10.000............. 1 155,841.82 0.05
10.001 - 11.000............. 1 49,779.69 0.02
12.001 - 12.990............. 2 543,286.46 0.18
--------- ------------------ ------------
Total........................ 1,827 $ 305,482,171.74 100.00
========= ================== ============
As of December 1, 2004, the weighted average minimum mortgage rate of the
Mortgage Loans in loan group I is approximately 5.358%.
40
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
NEXT ADJUSTMENT DATE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
--------------------- -------------- --------------- ---------------
04/01/05....................... 1 $ 130,710.60 0.04
02/01/06....................... 2 217,684.81 0.07
03/01/06....................... 2 277,610.89 0.09
04/01/06....................... 1 241,412.69 0.08
05/01/06....................... 9 1,406,880.64 0.46
06/01/06....................... 11 1,881,051.48 0.62
07/01/06....................... 17 2,730,287.72 0.89
08/01/06....................... 63 12,090,963.60 3.96
09/01/06....................... 134 24,268,171.98 7.94
10/01/06....................... 249 43,321,139.24 14.18
11/01/06....................... 507 82,479,353.01 27.00
12/01/06....................... 442 68,190,392.00 22.32
01/01/07....................... 143 22,103,713.00 7.24
04/01/07....................... 2 322,723.70 0.11
05/01/07....................... 2 319,548.92 0.10
06/01/07....................... 2 338,882.00 0.11
07/01/07....................... 10 1,608,920.40 0.53
08/01/07....................... 11 1,953,893.55 0.64
09/01/07....................... 33 7,029,441.48 2.30
10/01/07....................... 58 12,804,922.54 4.19
11/01/07....................... 43 6,776,010.10 2.22
12/01/07....................... 44 6,521,766.00 2.13
01/01/08....................... 17 2,732,900.00 0.89
05/01/09....................... 1 260,518.67 0.09
07/01/09....................... 1 136,000.00 0.04
08/01/09....................... 1 127,919.99 0.04
09/01/09....................... 8 2,494,467.98 0.82
10/01/09....................... 9 1,700,119.59 0.56
11/01/09....................... 4 1,014,765.16 0.33
--------- ------------------- ------------
Total........................ 1,827 $ 305,482,171.74 100.00
========= =================== ============
As of December 1, 2004, the weighted average number of months to the next
adjustment date for the Mortgage Loans in loan group I is approximately 25
months.
41
STATISTICAL CALCULATION MORTGAGE LOANS AND SUBSEQUENT MORTGAGE LOANS IN LOAN
GROUP II
The Mortgage Loans to be included in loan group II consist of 1726
adjustable-rate and fixed-rate Mortgage Loans having an aggregate principal
balance as of December 1, 2004 of $381,844,390, after application of scheduled
payments due on or before December 1, 2004 whether or not received and
application of all unscheduled payments of principal received prior to December
1, 2004, and subject to a permitted variance of plus or minus 10%. The Mortgage
Loans included in loan group II have the characteristics set forth below (the
sum in any column may not equal the total indicated due to rounding).
CURRENT PRINCIPAL BALANCE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
CURRENT MORTGAGE LOAN BALANCE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------------------------------ -------------- --------------- ---------------
20,984 - 50,000......... 100 $ 4,027,483.11 1.05
50,001 - 100,000......... 321 24,578,341.74 6.44
100,001 - 150,000......... 322 40,211,374.52 10.53
150,001 - 200,000......... 230 40,007,815.77 10.48
200,001 - 250,000......... 154 34,360,489.81 9.00
250,001 - 300,000......... 126 34,734,480.55 9.10
300,001 - 350,000......... 100 32,888,795.31 8.61
350,001 - 400,000......... 162 60,762,054.42 15.91
400,001 - 450,000......... 63 26,807,272.56 7.02
450,001 - 500,000......... 64 30,853,323.73 8.08
500,001 - 550,000......... 23 12,092,765.61 3.17
550,001 - 600,000......... 21 12,112,236.13 3.17
600,001 - 650,000......... 19 12,011,452.94 3.15
650,001 - 700,000......... 7 4,747,358.57 1.24
700,001 - 750,000......... 5 3,628,770.05 0.95
750,001 - 800,000......... 1 775,000.00 0.20
800,001 - 850,000......... 2 1,628,819.84 0.43
850,001 - 900,000......... 2 1,768,460.59 0.46
900,001 - 950,000......... 2 1,855,200.00 0.49
950,001 - 1,000,000......... 2 1,992,894.40 0.52
--------- ------------------- ------------
Total........................ 1,726 $ 381,844,389.65 100.00
========= =================== ============
As of December 1, 2004, the average current principal balance of the Mortgage
Loans in loan group II is approximately $221,231.
42
MORTGAGE RATE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
CURRENT GROSS MORTGAGE RATE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
---------------------------- -------------- --------------- ---------------
4.250 - 4.499............... 1 $ 357,000.00 0.09
4.500 - 4.999............... 11 3,789,067.79 0.99
5.000 - 5.499............... 18 7,775,626.33 2.04
5.500 - 5.999............... 76 28,140,116.69 7.37
6.000 - 6.499............... 199 60,922,320.59 15.95
6.500 - 6.999............... 321 82,419,322.97 21.58
7.000 - 7.499............... 240 57,269,494.30 15.00
7.500 - 7.999............... 289 59,954,957.37 15.70
8.000 - 8.499............... 153 26,194,262.44 6.86
8.500 - 8.999............... 168 25,638,664.04 6.71
9.000 - 9.499............... 81 10,073,907.72 2.64
9.500 - 9.999............... 61 7,436,222.06 1.95
10.000 - 10.499............... 34 4,377,659.73 1.15
10.500 - 10.999............... 28 3,158,740.31 0.83
11.000 - 11.499............... 23 2,422,743.17 0.63
11.500 - 11.999............... 10 898,670.32 0.24
12.000 - 12.499............... 9 657,800.58 0.17
12.500 - 12.875............... 4 357,813.24 0.09
--------- ------------------- ----------
Total........................ 1,726 $ 381,844,389.65 100.00
========= =================== ==========
As of December 1, 2004, the weighted average mortgage rate of the Mortgage Loans
in loan group II is approximately 7.220%.
43
FICO SCORE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
FICO SCORE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
----------- -------------- --------------- ---------------
0 - 19..................... 6 $ 1,844,843.34 0.48
500 - 519..................... 112 17,546,653.29 4.60
520 - 539..................... 142 23,897,273.34 6.26
540 - 559..................... 157 28,944,972.64 7.58
560 - 579..................... 159 32,246,578.76 8.44
580 - 599..................... 218 44,315,491.97 11.61
600 - 619..................... 187 39,512,967.54 10.35
620 - 639..................... 245 68,092,954.74 17.83
640 - 659..................... 164 42,928,979.75 11.24
660 - 679..................... 138 30,037,319.13 7.87
680 - 699..................... 86 18,829,703.02 4.93
700 - 719..................... 45 13,014,113.28 3.41
720 - 739..................... 24 7,132,748.01 1.87
740 - 759..................... 21 5,995,898.14 1.57
760 - 779..................... 11 3,637,242.45 0.95
780 - 799..................... 8 2,832,253.64 0.74
>= 800..................... 3 1,034,396.61 0.27
--------- ------------------- ------------
Total........................ 1,726 $ 381,844,389.65 100.00
========= =================== ============
As of December 1, 2004, the weighted average FICO score of the Mortgage Loans in
loan group II is approximately 617.
CREDIT LEVELS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
CREDIT LEVEL: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------------- -------------- --------------- ---------------
0............................... 241 $ 72,717,426.11 19.04
1+............................. 1,002 218,533,887.00 57.23
1.............................. 186 42,026,935.24 11.01
2.............................. 100 18,566,167.52 4.86
3.............................. 91 15,258,548.68 4.00
4.............................. 106 14,741,425.10 3.86
--------- ------------------- ------------
Total........................ 1,726 $ 381,844,389.65 100.00
========= =================== ============
(1) Credit Levels are assigned as described under the heading "--Underwriting
Standards."
LIEN STATUS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
LIEN: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
----- -------------- --------------- ---------------
First Lien..................... 1,726 $ 381,844,389.65 100.00
======= =================== =========
Total........................ 1,726 $ 381,844,389.65 100.00
======= =================== =========
44
ORIGINAL LOAN-TO-VALUE RATIOS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
ORIGINAL LOAN-TO-VALUE RATIO: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
----------------------------- -------------- --------------- ---------------
15.00 - 15.00............... 1 $ 79,384.83 0.02
15.01 - 20.00............... 4 281,853.87 0.07
20.01 - 25.00............... 3 578,289.86 0.15
25.01 - 30.00............... 6 520,394.78 0.14
30.01 - 35.00............... 12 1,699,833.23 0.45
35.01 - 40.00............... 13 1,607,132.75 0.42
40.01 - 45.00............... 13 2,479,580.22 0.65
45.01 - 50.00............... 38 5,425,191.62 1.42
50.01 - 55.00............... 28 6,567,198.52 1.72
55.01 - 60.00............... 58 11,039,189.75 2.89
60.01 - 65.00............... 76 15,053,022.83 3.94
65.01 - 70.00............... 169 37,689,064.08 9.87
70.01 - 75.00............... 135 32,299,509.58 8.46
75.01 - 80.00............... 572 146,051,811.30 38.25
80.01 - 85.00............... 179 40,063,906.68 10.49
85.01 - 90.00............... 291 57,977,822.88 15.18
90.01 - 95.00............... 94 17,364,983.24 4.55
95.01 - 100.00 .............. 34 5,066,219.63 1.33
------- -------------- --------
Total........................ 1,726 $381,844,389.65 100.00
======= ============== ========
As of December 1, 2004, the weighted average original loan-to-value ratio of the
Mortgage Loans in loan group II is approximately 77.91%.
45
TYPE OF DOCUMENTATION PROGRAM
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
TYPE OF DOCUMENTATION PROGRAM: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------------------------------ -------------- --------------- ---------------
Full Documentation............. 939 $ 186,002,350.52 48.71
Stated Documentation........... 655 165,482,222.29 43.34
No Documentation............... 62 12,846,950.01 3.36
Limited Documentation ......... 28 6,699,038.36 1.75
No Income No Asset............. 13 4,427,375.56 1.16
No Ratio....................... 21 4,250,150.43 1.11
Alt Documentation.............. 8 2,136,302.48 0.56
--------- ------------------- ------------
Total........................ 1,726 $ 381,844,389.65 100.00
========= =================== ============
LOAN PURPOSE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
LOAN PURPOSE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------------- -------------- --------------- ---------------
Refinance - Cashout............ 1,085 $ 234,343,644.56 61.37
Purchase....................... 570 130,263,080.45 34.11
Refinance - Rate/Term.......... 71 17,237,664.64 4.51
--------- ------------------ ------------
Total........................ 1,726 $ 381,844,389.65 100.00
========= ================== ============
46
OCCUPANCY TYPE(1)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
OCCUPANCY TYPE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
--------------- -------------- --------------- ---------------
Owner Occupied................. 1,513 $ 348,919,824.76 91.38
Non-Owner Occupied............. 187 26,331,323.96 6.90
Second Home.................... 26 6,593,240.93 1.73
--------- ------------------- ------------
Total........................ 1,726 $ 381,844,389.65 100.00
========= =================== ============
(1) Based on representations of the related mortgagors at the time of
origination.
PROPERTY TYPE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PROPERTY TYPE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
-------------- -------------- --------------- ---------------
Single Family Residence........ 1,276 $ 274,980,553.87 72.01
PUD............................ 187 48,424,195.31 12.68
2 Family....................... 89 22,015,914.69 5.77
Condominium.................... 106 21,147,524.61 5.54
Townhouse...................... 32 5,142,102.36 1.35
3 Family....................... 19 4,847,648.30 1.27
4 Family....................... 10 3,306,848.30 0.87
Condo - High Rise>8 Floors..... 6 1,907,759.99 0.50
Co-Op.......................... 1 71,842.22 0.02
--------- ------------------- ----------
Total........................ 1,726 $ 381,844,389.65 100.00
========= =================== ==========
47
STATE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
STATE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------ -------------- --------------- ---------------
California................... 352 $ 122,707,540.08 32.14
New York..................... 196 54,688,159.86 14.32
New Jersey................... 99 26,102,301.41 6.84
Florida...................... 145 25,026,398.50 6.55
Maryland .................... 68 15,324,182.39 4.01
Massachusetts................ 56 14,401,876.89 3.77
Virginia..................... 56 12,535,315.23 3.28
Nevada....................... 43 10,614,314.51 2.78
Illinois..................... 45 10,227,117.65 2.68
Texas........................ 79 9,289,189.96 2.43
Michigan..................... 60 7,120,693.35 1.86
Georgia...................... 41 6,127,877.39 1.60
Washington................... 30 5,609,530.20 1.47
Colorado..................... 19 5,057,708.12 1.32
Arizona...................... 21 4,521,394.69 1.18
Other......................... 416 52,490,789.42 13.75
------ ------------------ ---------
Total 1,726 $ 381,844,389.65 100.00
====== ================== =========
48
ZIP CODE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
ZIP CODE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
--------- -------------- --------------- ---------------
91709.......................... 4 $ 1,642,129.26 0.43
20136.......................... 4 1,546,250.00 0.40
92024.......................... 2 1,495,760.65 0.39
11787.......................... 3 1,481,909.86 0.39
10583.......................... 2 1,463,460.59 0.38
11717.......................... 6 1,440,529.87 0.38
33028.......................... 4 1,432,321.88 0.38
85262.......................... 3 1,369,250.00 0.36
11550.......................... 5 1,365,078.86 0.36
20817.......................... 2 1,354,293.53 0.35
Other........................... 1,691 367,253,405.15 96.18
----- ------------------ ------
Total........................ 1,726 $ 381,844,389.65 100.00
===== ================== ======
49
REMAINING TERM TO MATURITY
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
REMAINING TERM TO MATURITY: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
--------------------------- -------------- --------------- ---------------
<= 180..................... 58 $ 7,083,300.94 1.86
181 - 240..................... 5 828,062.17 0.22
301 - 360..................... 1,661 373,746,663.52 97.88
421 - 473..................... 2 186,363.02 0.05
--------- ------------------- ------------
Total........................ 1,726 $ 381,844,389.65 100.00
========= =================== ============
As of December 1, 2004, the weighted average remaining term to maturity of the
Mortgage Loans in loan group II is approximately 355 months.
PRODUCT TYPE
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PRODUCT: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
-------- -------------- --------------- ---------------
1 YR CMT....................... 3 $ 745,159.70 0.20
10 YR Fixed.................... 1 127,310.05 0.03
10/6 MONTH LIBOR............... 1 442,698.76 0.12
15 YR Balloon.................. 4 276,316.06 0.07
15 YR Fixed.................... 53 6,679,674.83 1.75
2/6 MONTH LIBOR................ 1,031 203,241,357.70 53.23
2/6 MONTH LIBOR - 24M IO....... 78 31,173,656.49 8.16
20 YR Fixed.................... 5 828,062.17 0.22
3/1 YR CMT..................... 22 6,461,407.52 1.69
3/1 YR CMT - 36M IO............ 33 15,169,132.79 3.97
3/6 MONTH LIBOR................ 72 15,122,555.57 3.96
3/6 MONTH LIBOR - 36M IO....... 24 10,236,320.17 2.68
30 YR Fixed.................... 349 71,297,162.83 18.67
30 YR Fixed - 120M IO.......... 11 6,404,350.00 1.68
40 YR Fixed.................... 2 186,363.02 0.05
5/1 YR CMT..................... 6 1,699,368.06 0.45
5/1 YR CMT - 60MO IO........... 10 4,761,905.45 1.25
5/1 YR LIBOR................... 1 122,482.64 0.03
5/6 MONTH LIBOR................ 1 130,669.79 0.03
5/6 MONTH LIBOR - 60M IO....... 18 6,325,936.05 1.66
7/6 MONTH LIBOR - 84M IO....... 1 412,500.00 0.11
----------- ------------------- ------------
Total......................... 1,726 $ 381,844,389.65 100.00
=========== =================== ============
50
PREPAYMENT CHARGE TERM
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PREPAYMENT CHARGE TERM (MONTHS): MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
-------------------------------- -------------- --------------- ---------------
0............................ 561 $ 134,700,960.82 35.28
12............................ 91 25,748,237.95 6.74
24............................ 785 160,876,254.53 42.13
36............................ 283 58,283,079.45 15.26
60............................ 6 2,235,856.90 0.59
--------- ------------------ ----------
Total........................ 1,726 $ 381,844,389.65 100.00
========= ================== ==========
INITIAL PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
INITIAL PERIODIC RATE CAP: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
-------------------------- -------------- --------------- ---------------
1.000........................ 1 $ 239,605.39 0.08
1.500........................ 18 4,333,920.73 1.46
2.000........................ 83 19,691,116.02 6.65
3.000........................ 1,158 256,902,128.07 86.78
5.000........................ 40 14,653,057.67 4.95
6.000........................ 1 225,322.81 0.08
--------- ------------------- ------------
Total........................ 1,301 $ 296,045,150.69 100.00
========= =================== ============
SUBSEQUENT PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PERIODIC RATE CAP: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------------------ -------------- --------------- ---------------
1.000........................ 1,195 $ 260,777,233.14 88.09
1.500........................ 27 5,265,688.47 1.78
2.000........................ 79 30,002,229.08 10.13
----------- ------------------- --------------
Total........................ 1,301 $ 296,045,150.69 100.00
=========== =================== ==============
51
GROSS MARGIN OF THE ADJUSTABLE-RATE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
GROSS MARGIN: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------------- -------------- --------------- ---------------
2.250 - 3.000............. 100 $ 40,664,546.43 13.74
3.001 - 4.000............. 5 1,688,854.03 0.57
4.001 - 5.000............. 496 113,690,324.06 38.40
5.001 - 6.000............. 392 85,668,906.67 28.94
6.001 - 7.000............. 247 46,141,412.99 15.59
7.001 - 8.000............. 38 4,432,427.66 1.50
8.001 - 9.000............. 18 2,822,685.63 0.95
9.001 - 10.000............. 4 784,064.13 0.26
10.001 - 10.125............. 1 151,929.09 0.05
--------- ------------------- ------------
Total........................ 1,301 $ 296,045,150.69 100.00
========= =================== ============
As of December 1, 2004, the weighted average gross margin of the Mortgage Loans
in loan group II is approximately 5.020%.
52
MAXIMUM MORTGAGE RATE OF THE ADJUSTABLE-RATE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
MAXIMUM LOAN RATE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------------------ -------------- --------------- ---------------
10.125 - 11.000............. 7 $ 1,859,300.05 0.63
11.001 - 12.000............. 92 37,531,877.39 12.68
12.001 - 13.000............. 311 86,679,863.67 29.28
13.001 - 14.000............. 411 94,084,225.23 31.78
14.001 - 15.000............. 278 49,472,348.95 16.71
15.001 - 16.000............. 127 17,218,496.77 5.82
16.001 - 17.000............. 45 6,092,236.49 2.06
17.001 - 18.000............. 22 2,378,302.15 0.80
18.001 - 18.875............. 8 728,499.99 0.25
--------- ------------------- ------------
Total........................ 1,301 $ 296,045,150.69 100.00
========= =================== ============
As of December 1, 2004, the weighted average maximum mortgage rate of
the Mortgage Loans in loan group II is approximately 13.414%.
53
MINIMUM MORTGAGE RATE OF THE ADJUSTABLE-RATE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
MINIMUM LOAN RATE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
------------------ -------------- --------------- ---------------
2.250 - 3.000............. 100 $ 40,664,546.43 13.74
3.001 - 4.000............. 5 1,688,854.03 0.57
4.001 - 5.000............. 481 111,273,470.61 37.59
5.001 - 6.000............. 375 79,431,789.37 26.83
6.001 - 7.000............. 245 46,608,521.67 15.74
7.001 - 8.000............. 54 9,533,987.94 3.22
8.001 - 9.000............. 25 3,608,954.09 1.22
9.001 - 10.000............. 8 1,505,905.53 0.51
10.001 - 11.000............. 2 431,650.35 0.15
13.001 - 14.000............. 1 260,558.45 0.09
14.001 - 15.000............. 3 793,008.65 0.27
15.001 - 16.000............. 1 171,903.57 0.06
17.001 - 17.125............. 1 72,000.00 0.02
--------- ------------------- ------------
Total........................ 1,301 $ 296,045,150.69 100.00
========= =================== ============
As of December 1, 2004, the weighted average minimum mortgage rate of the
Mortgage Loans in loan group II is approximately 5.131%.
54
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
NEXT ADJUSTMENT DATE: MORTGAGE LOANS THE CUTOFF DATE THE CUTOFF DATE
--------------------- -------------- --------------- ---------------
04/01/05....................... 1 $ 364,940.16 0.12
10/01/05....................... 1 167,631.38 0.06
11/01/05....................... 1 212,588.16 0.07
12/01/05....................... 1 122,709.74 0.04
01/01/06....................... 1 193,751.98 0.07
02/01/06....................... 1 268,471.36 0.09
03/01/06....................... 5 872,051.28 0.29
04/01/06....................... 5 866,893.53 0.29
05/01/06....................... 6 1,312,720.54 0.44
06/01/06....................... 10 2,119,278.34 0.72
07/01/06....................... 19 5,627,258.61 1.90
08/01/06....................... 30 8,014,102.80 2.71
09/01/06....................... 85 20,388,592.71 6.89
10/01/06....................... 162 37,216,757.73 12.57
11/01/06....................... 436 90,680,580.57 30.63
12/01/06....................... 268 50,638,331.00 17.10
01/01/07....................... 80 16,093,514.00 5.44
03/01/07....................... 1 89,420.63 0.03
04/01/07....................... 2 132,518.71 0.04
05/01/07....................... 2 285,296.97 0.10
06/01/07....................... 2 930,850.00 0.31
07/01/07....................... 2 807,452.25 0.27
08/01/07....................... 11 3,644,039.41 1.23
09/01/07....................... 18 4,876,399.79 1.65
10/01/07....................... 62 22,379,487.42 7.56
11/01/07....................... 29 8,515,050.87 2.88
12/01/07....................... 19 4,789,850.00 1.62
01/01/08....................... 3 539,050.00 0.18
07/01/09 ...................... 2 856,099.99 0.29
08/01/09 ...................... 1 122,482.64 0.04
09/01/09 ...................... 8 3,294,227.01 1.11
10/01/09....................... 21 7,550,271.71 2.55
11/01/09....................... 4 1,217,280.64 0.41
09/01/11....................... 1 412,500.00 0.14
09/01/14....................... 1 442,698.76 0.15
--------- ------------------- ------------
Total........................ 1,301 $ 296,045,150.69 100.00
========= =================== ============
As of December 1, 2004, the weighted average number of months to the next
adjustment date for the Mortgage Loans in loan group II is approximately 26
months.
55
