EXHIBIT 99.1
The mortgage loans delivered to the trust (the "Mortgage Loans")
consist of conventional, one-to four- family, adjustable-rate and fixed-rate
mortgage loans. The Depositor purchased the Mortgage Loans from the Seller
pursuant to the Mortgage Loan Purchase Agreement, dated May 26, 2004 (the
"Mortgage Loan Purchase Agreement"), between the Seller and the Depositor.
Pursuant to the Pooling and Servicing Agreement, dated as of June 1, 2004 (the
"Pooling and Servicing Agreement"), among the Depositor, the Master Servicer and
the Trustee, the Depositor caused the Mortgage Loans to be assigned to the
Trustee for the benefit of the certificateholders.
The Mortgage Loans are secured by mortgages or deeds of trust or other
similar security instruments creating first liens on residential properties (the
"Mortgaged Properties") consisting of attached, detached or semi-detached one-to
four-family dwelling units, individual condominium units or individual units in
planned unit developments and manufactured housing. The Mortgage Loans will 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 adjustable-rate Mortgage Loan will accrue interest at the
adjustable-rate calculated as specified under the terms of the related mortgage
note and each fixed-rate Mortgage Loan will have a Mortgage Rate that is fixed
for the life of such Mortgage (each such rate, a "Mortgage Rate").
Approximately 93.24% of the Mortgage Loans were originated by
Ameriquest and approximately 6.76% of the Mortgage Loans were originated by the
Seller's affiliate Town & Country Credit Corporation (together with Ameriquest,
the "Originators"), in each case, by aggregate scheduled principal balance of
the Mortgage Loans as of the Cut-off Date.
Each adjustable-rate Mortgage Loan will accrue interest at a Mortgage
Rate that is adjustable. The adjustable-rate Mortgage Loans will 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"). The
first adjustment 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 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 2.000% per annum
on the first related Adjustment Date (the "Initial Periodic Rate Cap") and will
not increase or decrease by more than 1.000% 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 will 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.
None of the Mortgage Loans will be buydown mortgage loans.
For purposes of calculating interest and principal distributions on the
Class A Certificates, the Mortgage Loans will be divided into two loan groups,
designated as the "Group I Mortgage Loans" and the "Group II Mortgage Loans."
The Group I Mortgage Loans will consist of adjustable-rate and fixed-rate
mortgage loans with principal balances at origination that conform to Freddie
Mac and Xxxxxx Xxx loan limits and the Group II Mortgage Loans will consist of
adjustable-rate and fixed-rate mortgage loans with principal balances at
origination that may or may not conform to Freddie Mac or Xxxxxx Xxx loan
limits.
Approximately 71.20% of the Group I Mortgage Loans and approximately
70.91% of the Group II Mortgage Loans, in each case by aggregate scheduled
principal balances of the related Loan Group as of the Cut-off Date, 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 will provide 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 each loan group, 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.
- 8 -
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COLLATERAL TYPE
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PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES OLTV
COLLATERAL TYPE LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
2 Yr Fixed/Adjustable 4,995 $ 799,873,390.93 79.99% 356 39.36 7.463 594 78.17
Rate
Fixed Rate 1,286 200,127,181.12 20.01 337 37.09 6.998 657 77.01
===================================================================================================================================
TOTAL: 6,281 $1,000,000,572.05 100.00% 352 38.91 7.370 607 77.94
-----------------------------------------------------------------------------------------------------------------------------------
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PRINCIPAL BALANCES AT ORIGINATION
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PRINCIPAL REMAINING
RANGE OF NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- MORTGAGE
PRINCIPAL BALANCES MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES OLTV
AT ORIGINATION ($) LOANS ORIGINATION ORIGINATION (MONTHS) (%) (%) FICO* (%)
-----------------------------------------------------------------------------------------------------------------------------------
50,000.01 - 100,000.00 1,934 $ 151,145,327.00 15.10% 344 36.98 8.347 590 74.73
100,000.01 - 150,000.00 1,701 210,570,640.00 21.04 349 38.45 7.569 599 78.46
150,000.01 - 200,000.00 1,126 195,988,696.00 19.58 352 39.10 7.320 604 77.36
200,000.01 - 250,000.00 640 142,796,420.00 14.27 355 39.51 7.132 607 78.31
250,000.01 - 300,000.00 372 101,625,795.00 10.15 356 40.52 7.022 612 78.67
300,000.01 - 350,000.00 208 66,894,833.00 6.68 357 39.25 6.869 626 79.79
350,000.01 - 400,000.00 128 47,817,088.00 4.78 356 39.57 6.993 621 80.25
400,000.01 - 450,000.00 66 28,084,165.00 2.81 359 39.70 6.563 641 81.95
450,000.01 - 500,000.00 38 18,044,355.00 1.80 359 40.36 6.660 625 79.66
500,000.01 - 550,000.00 28 14,766,653.00 1.48 359 40.33 6.926 643 81.04
550,000.01 - 600,000.00 39 22,541,983.00 2.25 354 37.80 6.652 623 75.45
700,000.01 - 750,000.00 1 749,500.00 0.07 359 40.00 5.850 686 68.14
===================================================================================================================================
TOTAL: 6,281 $ 1,001,025,455.00 100.00% 352 38.91 7.370 607 77.94
-----------------------------------------------------------------------------------------------------------------------------------
* Based on the original balances of the Mortgage Loans.
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PRINCIPAL BALANCES AS OF THE CUT-OFF DATE
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PRINCIPAL REMAINING
RANGE OF NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- MORTGAGE
PRINCIPAL BALANCES MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES OLTV
AS OF THE CUT-OFF DATE ($) LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
50,000.01 - 100,000.00 1,936 $ 151,171,522.28 15.12% 344 36.97 8.346 590 74.74
100,000.01 - 150,000.00 1,700 210,292,263.37 21.03 349 38.46 7.569 600 78.47
150,000.01 - 200,000.00 1,125 195,646,846.64 19.56 352 39.10 7.321 604 77.34
200,000.01 - 250,000.00 641 142,918,464.26 14.29 355 39.53 7.132 607 78.31
250,000.01 - 300,000.00 371 101,271,357.26 10.13 356 40.50 7.021 612 78.68
300,000.01 - 350,000.00 208 66,828,984.35 6.68 357 39.25 6.869 626 79.79
350,000.01 - 400,000.00 128 47,768,261.60 4.78 356 39.57 6.993 621 80.25
400,000.01 - 450,000.00 66 28,055,706.85 2.81 359 39.70 6.563 641 81.95
450,000.01 - 500,000.00 38 18,023,389.30 1.80 359 40.36 6.660 625 79.66
500,000.01 - 550,000.00 28 14,754,190.76 1.48 359 40.33 6.926 643 81.04
550,000.01 - 600,000.00 39 22,520,853.18 2.25 354 37.80 6.652 623 75.45
700,000.01 - 750,000.00 1 748,732.20 0.07 359 40.00 5.850 686 68.14
===================================================================================================================================
TOTAL: 6,281 $ 1,000,000,572.05 100.00% 352 38.91 7.370 607 77.94
-----------------------------------------------------------------------------------------------------------------------------------
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REMAINING TERM TO MATURITY
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PRINCIPAL REMAINING
RANGE OF NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- MORTGAGE
MONTHS MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES OLTV
REMAINING LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
61 - 120 21 $ 2,104,373.19 0.21% 119 28.57 7.175 682 71.10
121 - 180 164 18,741,282.23 1.87 179 35.21 7.128 642 73.54
181 - 240 188 22,618,161.37 2.26 239 34.90 7.237 627 72.31
241 - 300 34 4,039,755.41 0.40 299 37.64 6.999 655 76.94
301 - 360 5,874 952,496,999.85 95.25 359 39.10 7.380 605 78.18
===================================================================================================================================
TOTAL: 6,281 $ 1,000,000,572.05 100.00% 352 38.91 7.370 607 77.94
-----------------------------------------------------------------------------------------------------------------------------------
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MORTGAGE RATE
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PRINCIPAL REMAINING
RANGE OF NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- MORTGAGE
CURRENT MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES OLTV
MORTGAGE RATES (%) LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
5.000 - 5.499 73 $ 17,251,620.39 1.73% 353 36.86 5.334 701 76.52
5.500 - 5.999 612 132,577,036.36 13.26 351 37.66 5.822 671 76.73
6.000 - 6.499 598 118,499,176.21 11.85 350 38.12 6.254 645 77.65
6.500 - 6.999 1,195 209,761,961.42 20.98 351 38.26 6.772 622 79.60
7.000 - 7.499 596 101,112,858.47 10.11 353 38.57 7.252 589 76.59
7.500 - 7.999 1,094 163,720,072.19 16.37 353 39.35 7.756 579 78.70
8.000 - 8.499 429 60,401,262.68 6.04 353 40.29 8.253 571 77.83
8.500 - 8.999 784 99,293,488.39 9.93 354 40.12 8.760 565 77.54
9.000 - 9.499 214 24,856,253.81 2.49 352 40.41 9.251 556 75.23
9.500 - 9.999 371 40,841,681.52 4.08 354 40.89 9.767 553 77.68
10.000 - 10.499 91 10,159,029.17 1.02 353 41.50 10.245 557 78.56
10.500 - 10.999 128 12,417,227.32 1.24 349 41.32 10.734 552 78.54
11.000 - 11.499 44 3,739,188.71 0.37 354 39.75 11.267 543 77.57
11.500 - 11.999 32 2,975,143.57 0.30 356 41.86 11.718 554 77.71
12.000 - 12.499 12 1,532,201.23 0.15 359 40.96 12.260 536 76.13
12.500 - 12.999 5 515,369.19 0.05 358 40.34 12.608 531 72.86
13.000 - 13.499 3 347,001.42 0.03 357 34.20 13.076 582 75.90
===================================================================================================================================
TOTAL: 6,281 $1,000,000,572.05 100.00% 352 38.91 7.370 607 77.94
-----------------------------------------------------------------------------------------------------------------------------------
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ORIGINAL LOAN-TO-VALUE RATIOS
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PRINCIPAL REMAINING
RANGE OF NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- MORTGAGE
ORIGINAL MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES OLTV
LOAN-TO-VALUE RATIOS (%) LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
Less than or equal 19 $ 1,865,849.33 0.19% 339 32.64 7.245 635 20.65
to 25.00
25.01 - 30.00 22 2,120,881.29 0.21 335 32.59 7.237 595 27.21
30.01 - 35.00 24 3,500,304.40 0.35 343 34.98 6.561 654 32.40
35.01 - 40.00 44 5,871,678.73 0.59 338 37.96 6.784 640 37.55
40.01 - 45.00 60 8,120,301.84 0.81 346 37.03 7.144 600 42.84
45.01 - 50.00 103 13,732,306.52 1.37 338 34.94 7.015 622 47.72
50.01 - 55.00 134 19,740,803.46 1.97 347 35.52 7.400 594 52.82
55.01 - 60.00 284 39,487,058.15 3.95 347 37.71 7.665 578 58.15
60.01 - 65.00 279 42,939,553.38 4.29 347 38.67 7.241 599 63.04
65.01 - 70.00 396 64,233,800.36 6.42 352 37.76 7.302 599 67.99
70.01 - 75.00 1,057 151,862,365.68 15.19 353 39.81 7.796 576 73.60
75.01 - 80.00 1,031 165,104,835.91 16.51 351 37.73 7.165 610 78.66
80.01 - 85.00 1,165 194,636,002.49 19.46 355 39.48 7.571 600 83.68
85.01 - 90.00 1,553 267,443,305.15 26.75 354 39.72 7.183 628 89.12
90.01 - 95.00 110 19,341,525.36 1.92 350 41.02 6.899 681 93.48
===================================================================================================================================
TOTAL: 6,281 $1,000,000,572.05 100.00% 352 38.91 7.370 607 77.94
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
FICO SCORE AT ORIGINATION
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PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- MORTGAGE
RANGE OF FICO MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES OLTV
SCORES LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
500 - 519 354 $ 46,402,824.14 4.64% 355 41.46 8.561 510 67.96
520 - 539 740 105,032,402.82 10.50 357 40.87 8.598 529 74.19
540 - 559 765 112,299,790.46 11.23 354 40.28 8.115 550 76.47
560 - 579 840 121,353,250.64 12.14 355 38.92 7.763 569 78.47
580 - 599 671 107,464,715.04 10.75 353 38.59 7.598 589 78.66
600 - 619 629 100,593,284.38 10.06 355 38.58 7.275 609 79.45
620 - 639 607 100,700,907.85 10.07 352 38.67 6.931 630 80.37
640 - 659 550 99,326,311.11 9.93 350 37.97 6.685 649 81.23
660 - 679 390 73,471,420.28 7.35 348 38.37 6.436 669 79.75
680 - 699 310 55,807,040.44 5.58 349 38.03 6.376 688 79.28
700 - 719 173 30,238,200.67 3.02 347 36.30 6.300 709 80.34
720 - 739 123 23,334,104.85 2.33 338 38.08 6.069 729 75.68
740 - 759 62 11,243,667.49 1.12 339 36.22 6.083 748 76.51
760 - 779 37 7,478,055.55 0.75 338 31.29 5.953 770 71.84
780 - 799 25 4,524,644.73 0.45 342 35.30 6.023 788 75.93
800 - 819 5 729,951.60 0.07 336 31.65 6.552 803 75.33
===================================================================================================================================
TOTAL: 6,281 $1,000,000,572.05 100.00% 352 38.91 7.370 607 77.94
-----------------------------------------------------------------------------------------------------------------------------------
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DEBT-TO-INCOME RATIO
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PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- MORTGAGE
RANGE OF DEBT-TO- MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES OLTV
INCOME RATIOS (%) LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
Less than 20.00 447 $ 64,651,805.93 6.47% 347 14.45 7.316 618 74.96
20.01 - 25.00 408 57,086,359.38 5.71 344 23.28 7.199 615 76.82
25.01 - 30.00 575 85,848,174.70 8.58 350 28.09 7.196 612 75.86
30.01 - 35.00 748 113,496,378.30 11.35 351 33.04 7.246 611 77.75
35.01 - 40.00 964 154,374,063.69 15.44 352 38.09 7.269 612 77.49
40.01 - 45.00 1,165 189,556,026.19 18.96 353 43.08 7.402 606 78.66
45.01 - 50.00 1,588 271,544,467.27 27.15 354 48.12 7.321 610 79.75
50.01 - 55.00 386 63,443,296.59 6.34 357 53.11 8.391 553 76.33
===================================================================================================================================
TOTAL: 6,281 $1,000,000,572.05 100.00% 352 38.91 7.370 607 77.94
-----------------------------------------------------------------------------------------------------------------------------------
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GEOGRAPHIC DISTRIBUTION
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PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES OLTV
STATE LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
California 1,019 $ 241,725,842.37 24.17% 356 38.95 6.739 618 75.25
Florida 867 109,581,816.64 10.96 352 39.23 7.617 594 78.68
New York 339 76,594,292.42 7.66 350 40.20 7.494 610 74.13
Massachusetts 294 59,846,539.61 5.98 357 38.37 7.185 606 74.94
Maryland 282 47,851,115.23 4.79 350 38.83 7.484 596 79.86
Illinois 276 42,969,813.21 4.30 350 39.05 7.696 608 79.89
Michigan 310 39,498,034.23 3.95 357 39.46 7.484 600 81.22
Texas 360 37,511,612.30 3.75 339 39.48 8.323 590 76.10
Pennsylvania 264 33,118,536.65 3.31 341 39.57 7.463 605 78.94
Minnesota 200 31,918,329.81 3.19 351 38.60 7.347 605 80.65
Connecticut 169 30,047,186.17 3.00 354 39.04 7.202 610 77.57
Georgia 175 22,668,881.65 2.27 352 38.05 8.533 595 82.37
Washington 117 22,500,794.21 2.25 356 39.71 7.210 618 80.54
Colorado 107 18,467,733.56 1.85 358 38.23 7.141 614 80.12
Rhode Island 100 16,955,832.67 1.70 355 38.59 7.166 603 76.08
Wisconsin 120 15,105,742.13 1.51 345 38.03 7.836 616 81.32
Missouri 123 14,100,762.98 1.41 351 37.87 7.645 601 80.46
Indiana 139 13,950,007.16 1.39 353 35.08 7.676 604 82.43
Tennessee 108 12,587,261.66 1.26 345 35.89 7.490 608 84.33
Nevada 53 9,839,641.16 0.98 353 39.96 7.235 621 80.36
Other 859 103,160,796.23 10.32 348 38.47 7.752 604 80.60
===================================================================================================================================
TOTAL: 6,281 $1,000,000,572.05 100.00% 352 38.91 7.370 607 77.94
-----------------------------------------------------------------------------------------------------------------------------------
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OCCUPANCY STATUS
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PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- MORTGAGE
OCCUPANCY MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES OLTV
STATUS* LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
Owner Occupied 6,046 $ 967,724,458.33 96.77% 352 39.05 7.355 606 78.00
Non-Owner Occupied 184 24,494,366.61 2.45 351 32.79 7.773 634 73.66
Second Home 51 7,781,747.11 0.78 357 40.82 7.914 635 83.63
===================================================================================================================================
TOTAL: 6,281 $ 1,000,000,572.05 100.00% 352 38.91 7.370 607 77.94
-----------------------------------------------------------------------------------------------------------------------------------
* Based on mortgagor representation at origination.
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DOCUMENTATION TYPE
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PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- MORTGAGE
INCOME MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES OLTV
DOCUMENTATION LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
Full Documentation 4,616 $ 735,767,970.81 73.58% 351 38.81 7.242 609 78.89
Stated Documentation 951 144,567,134.54 14.46 355 39.38 7.960 604 72.48
Limited Documentation 714 119,665,466.70 11.97 355 38.94 7.441 600 78.67
===================================================================================================================================
TOTAL: 6,281 $ 1,000,000,572.05 100.00% 352 38.91 7.370 607 77.94
-----------------------------------------------------------------------------------------------------------------------------------
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LOAN PURPOSE
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PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES OLTV
PURPOSE LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
Refinance - Cashout** 5,811 $ 929,470,191.36 92.95% 352 38.89 7.370 606 77.79
Refinance - Rate
Term*** 457 68,005,715.70 6.80 352 38.80 7.325 617 79.85
Purchase 13 2,524,664.99 0.25 359 48.84 8.327 591 81.67
===================================================================================================================================
TOTAL: 6,281 $ 1,000,000,572.05 100.00% 352 38.91 7.370 607 77.94
-----------------------------------------------------------------------------------------------------------------------------------
** Cash proceeds to the borrower inclusive of debt consolidation payments exceed
2% or $2,000 of the original principal balance of the related loan. Also
includes all home equity loans originated in Texas with any cash proceeds.
***Cash proceeds to the borrower inclusive of debt consolidation payments do not
exceed 2% or $2,000 of the original principal balance of the related loan.
Excludes home equity loans originated in Texas with any cash proceeds.
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CREDIT GRADE
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PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES OLTV
RISK CATEGORY LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
8A 307 $ 58,744,605.14 5.87% 341 36.23 6.051 740 76.15
7A 395 69,239,549.44 6.92 347 37.57 6.355 692 79.73
6A 354 68,036,671.38 6.80 348 38.52 6.378 669 80.32
5A 468 86,455,886.54 8.65 349 38.27 6.612 649 82.31
4A 473 80,945,492.51 8.09 352 39.03 6.762 632 81.40
3A 450 74,253,397.82 7.43 353 38.67 7.086 614 79.64
2A 1,435 215,367,087.86 21.54 353 38.59 7.376 585 79.95
A 516 84,293,651.28 8.43 355 38.36 7.901 577 78.71
B 1,077 155,381,361.91 15.54 356 41.04 8.545 546 75.51
C 674 90,186,295.10 9.02 355 40.42 8.479 539 69.78
D 132 17,096,573.07 1.71 356 38.04 8.656 527 57.48
===================================================================================================================================
TOTAL: 6,281 $ 1,000,000,572.05 100.00% 352 38.91 7.370 607 77.94
-----------------------------------------------------------------------------------------------------------------------------------
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PROPERTY TYPE
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PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- MORTGAGE
MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES OLTV
PROPERTY TYPE LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
Single Family Detached 5,418 $ 853,069,407.77 85.31% 352 38.79 7.386 606 78.16
Two - Four Family 263 57,507,101.72 5.75 356 40.18 7.246 622 72.61
Condominium 251 40,648,588.04 4.06 354 39.79 7.007 617 80.06
PUD Detached 183 31,607,736.75 3.16 352 39.02 7.416 602 79.80
Manufactured/Mobile
Home 94 8,828,376.69 0.88 348 36.93 7.735 607 72.73
Single Family Attached 54 5,835,732.00 0.58 346 39.54 7.921 595 79.75
PUD Attached 18 2,503,629.08 0.25 351 40.25 7.270 606 81.98
===================================================================================================================================
TOTAL: 6,281 $ 1,000,000,572.05 100.00% 352 38.91 7.370 607 77.94
-----------------------------------------------------------------------------------------------------------------------------------
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PREPAYMENT CHARGE TERM AT ORIGINATION
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PRINCIPAL REMAINING
PREPAYMENT CHARGE NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- MORTGAGE
TERM AT MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES OLTV
ORIGINATION (MONTHS) LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
0 1,872 $ 288,505,977.66 28.85% 351 39.57 7.855 602 77.72
12 197 39,294,900.80 3.93 345 38.30 6.971 635 74.64
24 13 3,098,745.63 0.31 358 39.44 7.857 607 81.42
30 13 2,673,511.86 0.27 359 39.48 8.109 580 85.60
36 4,186 666,427,436.10 66.64 353 38.65 7.178 608 78.18
===================================================================================================================================
TOTAL: 6,281 $ 1,000,000,572.05 100.00% 352 38.91 7.370 607 77.94
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
CONFORMING BALANCE
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- MORTGAGE
CONFORMING MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES OLTV
BALANCE LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
Conforming 5,970 $ 866,525,844.03 86.65% 351 38.85 7.463 604 77.59
Non-Conforming 311 133,474,728.02 13.35 357 39.30 6.766 628 80.23
===================================================================================================================================
TOTAL: 6,281 $ 1,000,000,572.05 100.00% 352 38.91 7.370 607 77.94
-----------------------------------------------------------------------------------------------------------------------------------
- 14 -
-----------------------------------------------------------------------------------------------------------------------------------
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- MORTGAGE
RANGE OF MAXIMUM MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES OLTV
MORTGAGE RATES (%) LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
11.000 - 11.499 72 $ 17,048,744.80 2.13% 353 37.06 5.333 699 76.84
11.500 - 11.999 476 101,821,536.22 12.73 355 38.38 5.815 656 78.95
12.000 - 12.499 395 78,922,445.97 9.87 355 38.64 6.260 626 79.31
12.500 - 12.999 827 150,253,652.74 18.78 357 38.58 6.780 607 79.16
13.000 - 13.499 469 83,053,556.27 10.38 356 38.96 7.252 579 75.86
13.500 - 13.999 921 141,326,311.93 17.67 356 39.86 7.761 571 78.41
14.000 - 14.499 375 53,287,028.89 6.66 356 40.30 8.254 566 77.65
14.500 - 14.999 676 86,944,414.30 10.87 356 40.29 8.767 563 77.70
15.000 - 15.499 186 22,196,548.29 2.78 354 40.40 9.251 554 75.53
15.500 - 15.999 315 36,005,628.69 4.50 357 41.25 9.767 552 77.99
16.000 - 16.499 84 9,626,907.55 1.20 353 41.51 10.249 557 78.71
16.500 - 16.999 111 10,966,273.42 1.37 353 41.71 10.729 551 78.49
17.000 - 17.499 40 3,425,046.21 0.43 356 40.17 11.262 545 77.93
17.500 - 17.999 28 2,600,723.81 0.33 358 41.90 11.705 555 77.02
18.000 - 18.499 12 1,532,201.23 0.19 359 40.96 12.260 536 76.13
18.500 - 18.999 5 515,369.19 0.06 358 40.34 12.608 531 72.86
19.000 - 19.499 3 347,001.42 0.04 357 34.20 13.076 582 75.90
===================================================================================================================================
TOTAL: 4,995 $ 799,873,390.93 100.00% 356 39.36 7.463 594 78.17
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- MORTGAGE
RANGE OF MINIMUM MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES OLTV
MORTGAGE RATES (%) LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
5.000 - 5.499 72 $ 17,048,744.80 2.13% 353 37.06 5.333 699 76.84
5.500 - 5.999 476 101,821,536.22 12.73 355 38.38 5.815 656 78.95
6.000 - 6.499 395 78,922,445.97 9.87 355 38.64 6.260 626 79.31
6.500 - 6.999 827 150,253,652.74 18.78 357 38.58 6.780 607 79.16
7.000 - 7.499 469 83,053,556.27 10.38 356 38.96 7.252 579 75.86
7.500 - 7.999 921 141,326,311.93 17.67 356 39.86 7.761 571 78.41
8.000 - 8.499 375 53,287,028.89 6.66 356 40.30 8.254 566 77.65
8.500 - 8.999 676 86,944,414.30 10.87 356 40.29 8.767 563 77.70
9.000 - 9.499 186 22,196,548.29 2.78 354 40.40 9.251 554 75.53
9.500 - 9.999 315 36,005,628.69 4.50 357 41.25 9.767 552 77.99
10.000 - 10.499 84 9,626,907.55 1.20 353 41.51 10.249 557 78.71
10.500 - 10.999 111 10,966,273.42 1.37 353 41.71 10.729 551 78.49
11.000 - 11.499 40 3,425,046.21 0.43 356 40.17 11.262 545 77.93
11.500 - 11.999 28 2,600,723.81 0.33 358 41.90 11.705 555 77.02
12.000 - 12.499 12 1,532,201.23 0.19 359 40.96 12.260 536 76.13
12.500 - 12.999 5 515,369.19 0.06 358 40.34 12.608 531 72.86
13.000 - 13.499 3 347,001.42 0.04 357 34.20 13.076 582 75.90
===================================================================================================================================
TOTAL: 4,995 $ 799,873,390.93 100.00% 356 39.36 7.463 594 78.17
-----------------------------------------------------------------------------------------------------------------------------------
- 15 -
-----------------------------------------------------------------------------------------------------------------------------------
MARGINS OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
RANGE OF NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- MORTGAGE
MORTGAGE MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES OLTV
MARGINS (%) LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
3.500 - 3.749 2 $ 271,248.00 0.03% 359 32.97 5.749 729 62.58
3.750 - 3.999 1 99,890.54 0.01 359 49.00 5.500 782 74.58
4.000 - 4.249 2 464,295.64 0.06 359 44.04 5.548 717 73.06
4.250 - 4.499 2 368,627.81 0.05 359 27.39 5.988 644 87.14
4.500 - 4.749 15 2,377,725.36 0.30 348 28.84 6.022 713 71.40
4.750 - 4.999 129 24,185,176.33 3.02 353 37.70 5.971 727 81.19
5.000 - 5.249 210 39,326,133.70 4.92 357 38.43 6.284 685 82.32
5.250 - 5.499 216 45,626,213.99 5.70 354 38.97 6.350 664 82.70
5.500 - 5.749 294 55,783,876.41 6.97 357 38.52 6.563 644 82.28
5.750 - 5.999 450 78,787,166.99 9.85 355 39.62 6.704 618 80.37
6.000 - 6.249 1,569 244,582,993.75 30.58 355 38.81 7.339 590 80.28
6.250 - 6.499 465 76,667,879.34 9.59 357 38.99 7.914 571 78.19
6.500 - 6.749 992 144,008,656.94 18.00 357 41.08 8.531 545 75.16
6.750 - 6.999 648 87,323,506.13 10.92 356 40.14 8.497 536 67.77
===================================================================================================================================
TOTAL: 4,995 $799,873,390.93 100.00% 356 39.36 7.463 594 78.17
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- MORTGAGE
NEXT RATE MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES OLTV
ADJUSTMENT DATE LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
November 2005 1 $ 119,567.92 0.01% 353 42.00 9.400 552 73.62
December 2005 162 20,905,415.31 2.61 346 40.87 8.784 588 78.79
January 2006 32 4,086,495.43 0.51 352 41.18 8.732 590 80.06
February 2006 5 484,511.75 0.06 356 41.24 8.270 597 80.85
March 2006 2 285,867.02 0.04 357 38.17 7.610 518 75.72
April 2006 74 11,192,009.42 1.40 354 38.08 8.040 570 80.89
May 2006 4,552 740,307,980.08 92.55 356 39.36 7.398 595 78.12
June 2006 167 22,491,544.00 2.81 354 38.43 7.828 595 77.56
===================================================================================================================================
TOTAL: 4,995 $ 799,873,390.93 100.00% 356 39.36 7.463 594 78.17
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
INITIAL PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- MORTGAGE
INITIAL PERIODIC MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES OLTV
RATE CAP (%) LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
2.000 4,995 $ 799,873,390.93 100.00% 356 39.36 7.463 594 78.17
===================================================================================================================================
TOTAL: 4,995 $ 799,873,390.93 100.00% 356 39.36 7.463 594 78.17
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
SUBSEQUENT PERIODIC RATE CAP OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
SUBSEQUENT NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- MORTGAGE
PERIODIC RATE CAP MORTGAGE AS OF BALANCE AS OF MATURITY INCOME RATES OLTV
(%) LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
1.000 4,995 $ 799,873,390.93 100.00% 356 39.36 7.463 594 78.17
===================================================================================================================================
TOTAL: 4,995 $ 799,873,390.93 100.00% 356 39.36 7.463 594 78.17
-----------------------------------------------------------------------------------------------------------------------------------
- 16 -
GROUP I MORTGAGE LOAN STATISTICS
The Group I Mortgage Loans consist of 5,658 adjustable-rate and
fixed-rate Mortgage Loans having an aggregate principal balance as of the
Cut-off Date of approximately $827,644,353.12, after application of scheduled
payments due on or before the Cut-off Date whether or not received and
application of all unscheduled payments of principal received prior to the
Cut-off Date, and subject to a permitted variance of plus or minus 5%. None of
the Group I Mortgage Loans had a first Due Date prior to December 2003 or after
July 2004, or will have a remaining term to stated maturity of less than 118
months or greater than 360 months as of the Cut-off Date. The latest maturity
date of any Group I Mortgage Loan is June 2034.
-----------------------------------------------------------------------------------------------------------------------------------
COLLATERAL TYPE
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
COLLATERAL TYPE LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
2-yr Fixed / Adjustable-Rate 4,487 $ 660,123,363.94 79.76% 355 39.31 7.515 592 77.88
Fixed Rate................. 1,171 167,520,989.18 20.24 335 36.86 7.042 655 76.49
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL...................... 5,658 $ 827,644,353.12 100.00% 351 38.81 7.419 605 77.60
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL BALANCES AT ORIGINATION
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
RANGE OF NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
PRINCIPAL BALANCES MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
AT ORIGINATION ($) LOANS ORIGINATION ORIGINATION (MONTHS)* (%)* (%)* FICO* (%)*
-----------------------------------------------------------------------------------------------------------------------------------
50,000.01 - 100,000.00.... 1,803 $ 141,176,234.00 17.04% 344 36.93 8.309 590 74.74
100,000.01 - 150,000.00.... 1,603 198,344,735.00 23.94 349 38.38 7.515 601 78.46
150,000.01 - 200,000.00.... 1,076 187,335,360.00 22.61 352 39.04 7.283 606 77.41
200,000.01 - 250,000.00.... 617 137,633,064.00 16.61 355 39.52 7.102 609 78.31
250,000.01 - 300,000.00.... 367 100,268,445.00 12.10 356 40.49 7.011 612 78.61
300,000.01 - 350,000.00.... 161 51,024,158.00 6.16 357 39.01 6.868 627 79.47
350,000.01 - 400,000.00.... 19 7,080,750.00 0.85 359 42.95 7.137 621 77.70
400,000.01 - 450,000.00.... 7 2,928,750.00 0.35 359 39.36 6.519 658 81.08
450,000.01 - 500,000.00.... 1 472,500.00 0.06 359 43.00 6.450 656 89.15
500,000.01 - 550,000.00.... 2 1,057,000.00 0.13 359 47.00 6.897 598 74.96
550,000.01 - 600,000.00.... 2 1,179,999.00 0.14 359 30.97 6.553 678 41.37
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL...................... 5,658 $ 828,500,995.00 100.00% 351 38.81 7.419 605 77.59
-----------------------------------------------------------------------------------------------------------------------------------
*Based on the original balances of the Mortgage Loans.
- 17 -
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL BALANCE AS OF THE CUT-OFF DATE
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
RANGE OF PRINCIPAL NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
BALANCES AS OF THE CUT- MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
OFF DATE ($) LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
50,000.01 - 100,000.00.. 1,805 $ 141,213,191.06 17.06% 344 36.92 8.308 590 74.75
100,000.01 - 150,000.00... 1,602 198,076,781.07 23.93 349 38.39 7.515 601 78.46
150,000.01 - 200,000.00... 1,075 186,999,765.48 22.59 352 39.04 7.283 606 77.39
200,000.01 - 250,000.00... 618 137,758,044.12 16.64 355 39.54 7.103 608 78.31
250,000.01 - 300,000.00... 366 99,915,934.10 12.07 356 40.46 7.010 612 78.62
300,000.01 - 350,000.00... 161 50,973,062.32 6.16 357 39.01 6.868 627 79.47
350,000.01 - 400,000.00... 19 7,073,809.33 0.85 359 42.95 7.137 621 77.69
400,000.01 - 450,000.00... 7 2,926,099.36 0.35 359 39.36 6.519 658 81.08
450,000.01 - 500,000.00... 1 472,068.68 0.06 359 43.00 6.450 656 89.15
500,000.01 - 550,000.00... 2 1,056,115.20 0.13 359 47.00 6.897 598 74.96
550,000.01 - 600,000.00... 2 1,179,482.40 0.14 359 30.97 6.553 678 41.37
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL...................... 5,658 $ 827,644,353.12 100.00% 351 38.81 7.419 605 77.60
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
STATED REMAINING TERM TO MATURITY
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
RANGE OF MONTHS MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
REMAINING LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
61 - 120.................. 19 $ 1,978,412.08 0.24% 119 28.61 7.031 686 71.20
121 - 180.................. 156 17,493,848.31 2.11 179 34.95 7.121 640 73.34
181 - 240.................. 175 20,558,012.51 2.48 239 35.75 7.268 625 71.89
241 - 300.................. 32 3,587,511.29 0.43 299 37.06 6.989 653 75.66
301 - 360.................. 5,276 784,026,568.93 94.73 359 39.01 7.432 603 77.86
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL...................... 5,658 $ 827,644,353.12 100.00% 351 38.81 7.419 605 77.60
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
MORTGAGE RATE
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
RANGE OF CURRENT MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
MORTGAGE RATES (%) LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
5.000- 5.499............ 61 $ 12,320,607.46 1.49% 350 35.23 5.333 707 74.62
5.500- 5.999............ 530 98,564,056.12 11.91 350 37.35 5.824 670 75.79
6.000- 6.499............ 546 96,492,109.84 11.66 349 37.83 6.255 644 76.61
6.500- 6.999............ 1,121 179,259,701.90 21.66 350 38.13 6.776 622 79.38
7.000- 7.499............ 510 77,916,560.56 9.41 352 38.56 7.255 588 76.49
7.500- 7.999............ 994 140,602,569.41 16.99 352 39.32 7.760 578 78.46
8.000- 8.499............ 386 51,443,878.95 6.22 352 40.30 8.254 571 77.66
8.500- 8.999............ 705 86,979,082.41 10.51 354 40.20 8.764 565 77.39
9.000- 9.499............ 199 22,165,478.80 2.68 351 40.71 9.242 554 74.78
9.500- 9.999............ 329 34,824,444.52 4.21 354 40.60 9.772 554 77.93
10.000- 10.499............ 86 8,947,438.62 1.08 352 40.68 10.245 562 78.46
10.500- 10.999............ 108 10,409,223.21 1.26 349 41.11 10.750 553 78.85
11.000- 11.499............ 38 3,228,191.85 0.39 356 39.53 11.265 544 77.49
11.500- 11.999............ 29 2,732,219.38 0.33 356 42.58 11.727 555 78.64
12.000- 12.499............ 9 1,004,342.76 0.12 359 38.17 12.209 540 77.03
12.500- 12.999............ 4 407,445.91 0.05 357 39.36 12.597 528 69.64
13.000- 13.99............ 3 347,001.42 0.04 357 34.20 13.076 582 75.90
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL ..................... 5,658 $ 827,644,353.12 100.00% 351 38.81 7.419 605 77.60
-----------------------------------------------------------------------------------------------------------------------------------
- 18 -
-----------------------------------------------------------------------------------------------------------------------------------
ORIGINAL LOAN-TO-VALUE RATIOS
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
RANGE OF ORIGINAL NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
LOAN-TO-VALUE RATIOS MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
(%) LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
25.00 or less............. 19 $ 1,865,849.33 0.23% 339 32.64 7.245 635 20.65
25.01 - 30.00............. 19 1,824,019.27 0.22 331 32.17 7.105 604 27.29
30.01 - 35.00............. 22 3,047,677.20 0.37 341 33.97 6.488 668 32.57
35.01 - 40.00............. 40 4,817,116.78 0.58 333 38.07 6.813 642 37.89
40.01 - 45.00............. 57 7,646,507.52 0.92 345 36.69 7.086 603 42.80
45.01 - 50.00............. 94 12,176,309.80 1.47 338 34.32 6.960 630 47.81
50.01 - 55.00............. 121 16,519,818.31 2.00 345 35.66 7.421 600 52.74
55.01 - 60.00............. 262 35,346,563.82 4.27 346 37.87 7.654 576 58.15
60.01 - 65.00............. 255 35,427,673.58 4.28 345 37.77 7.263 601 62.98
65.01 - 70.00............. 362 53,735,926.07 6.49 351 37.89 7.381 594 68.03
70.01 - 75.00............. 955 130,214,124.98 15.73 353 39.86 7.773 577 73.59
75.01 - 80.00............. 942 137,006,850.40 16.55 351 37.83 7.242 608 78.66
80.01 - 85.00............. 1,042 161,189,611.32 19.48 355 39.59 7.640 598 83.67
85.01 - 90.00............. 1,370 211,222,787.68 25.53 353 39.37 7.249 625 89.12
90.01 - 95.00............. 98 15,603,517.06 1.87 348 41.35 6.925 680 93.42
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 5,658 $ 827,644,353.12 100.00% 351 38.81 7.419 605 77.60
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
FICO SCORE AT ORIGINATION
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
RANGE OF FICO SCORES LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
500-519................... 316 $ 39,904,750.56 4.82% 354 41.13 8.533 510 67.73
520-539................... 652 88,402,601.89 10.68 356 41.20 8.624 529 74.34
540-559................... 684 95,532,294.51 11.54 353 39.93 8.145 550 76.90
560-579................... 782 106,690,666.24 12.89 355 38.73 7.774 569 78.52
580-599................... 603 87,116,068.06 10.53 353 38.87 7.642 589 78.77
600-619................... 576 86,136,413.98 10.41 354 38.73 7.317 609 78.93
620-639................... 545 80,729,826.07 9.75 350 38.18 6.975 630 79.61
640-659................... 496 80,886,492.61 9.77 348 38.16 6.704 649 80.60
660-679................... 346 57,320,860.50 6.93 345 38.00 6.432 669 78.92
680-699................... 283 46,003,390.35 5.56 347 37.95 6.400 689 78.28
700-719................... 153 23,192,113.11 2.80 345 35.27 6.358 708 79.43
720-739................... 107 17,139,781.29 2.07 339 36.88 6.099 729 74.84
740-759................... 54 8,470,043.40 1.02 334 34.31 6.200 748 74.64
760-779................... 32 5,267,068.14 0.64 338 31.40 5.940 770 71.02
780-799................... 24 4,122,030.81 0.50 341 35.72 6.005 788 74.08
800-819................... 5 729,951.60 0.09 336 31.65 6.552 803 75.33
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 5,658 $ 827,644,353.12 100.00% 351 38.81 7.419 605 77.60
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
DEBT-TO-INCOME RATIO
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
RANGE OF DEBT-TO- MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
INCOME RATIOS (%) LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
20.00 or less............. 400 $ 52,067,127.56 6.29% 347 15.17 7.385 618 74.28
20.01 - 25.00............. 377 48,188,259.45 5.82 341 23.32 7.259 612 76.19
25.01 - 30.00............. 536 75,455,113.82 9.12 349 28.11 7.227 611 75.76
30.01 - 35.00............. 678 96,667,319.59 11.68 351 33.05 7.258 610 77.32
35.01 - 40.00............. 872 129,444,398.51 15.64 351 38.08 7.314 609 77.37
40.01 - 45.00............. 1,042 155,447,951.57 18.78 353 43.07 7.437 605 78.55
45.01 - 50.00............. 1,410 218,273,411.97 26.37 353 48.11 7.382 608 79.29
50.01 - 55.00............. 343 52,100,770.65 6.30 357 53.13 8.540 546 75.97
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 5,658 $ 827,644,353.12 100.00% 351 38.81 7.419 605 77.60
-----------------------------------------------------------------------------------------------------------------------------------
- 19 -
-----------------------------------------------------------------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
STATE LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
California................ 840 $ 167,847,665.77 20.28% 355 38.82 6.804 612 73.22
Florida................... 797 97,849,728.76 11.82 352 38.99 7.589 594 78.52
New York.................. 298 62,629,996.25 7.57 349 40.18 7.559 607 72.78
Massachusetts............. 265 50,957,189.58 6.16 356 38.87 7.210 604 74.25
Maryland.................. 246 38,983,315.87 4.71 349 38.61 7.475 596 79.38
Michigan.................. 296 36,376,364.80 4.40 357 39.39 7.484 600 81.32
Illinois.................. 247 36,130,385.97 4.37 349 39.16 7.776 604 80.24
Texas..................... 329 33,359,390.16 4.03 339 39.06 8.301 594 76.57
Pennsylvania.............. 249 29,263,930.27 3.54 342 39.56 7.506 604 79.06
Minnesota................. 186 28,644,469.08 3.46 351 38.46 7.325 608 80.50
Connecticut............... 149 24,434,860.37 2.95 353 39.02 7.208 609 77.81
Georgia................... 156 18,998,649.00 2.30 350 37.90 8.580 596 82.22
Washington................ 105 18,044,818.99 2.18 355 39.09 7.219 618 80.53
Rhode Island.............. 90 15,180,044.47 1.83 355 38.45 7.044 610 76.71
Colorado.................. 96 15,127,333.89 1.83 358 38.72 7.079 616 81.23
Wisconsin................. 112 14,280,729.21 1.73 344 38.66 7.792 618 81.06
Missouri.................. 115 12,987,437.32 1.57 351 37.93 7.610 605 81.49
Indiana................... 130 12,728,797.22 1.54 353 34.84 7.645 602 82.44
Tennessee................. 101 11,065,454.45 1.34 344 35.96 7.554 604 83.91
Alabama................... 92 9,135,710.48 1.10 345 37.95 8.343 597 82.18
Other..................... 759 93,618,081.21 11.31 349 38.44 7.619 606 80.40
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 5,658 $ 827,644,353.12 100.00% 351 38.81 7.419 605 77.6
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
OCCUPANCY STATUS
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
OCCUPATION STATUS* LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
Owner Occupied............ 5,444 $ 797,775,275.23 96.39% 351 38.97 7.405 604 77.68
Non-Owner Occupied........ 166 23,033,274.25 2.78 351 32.77 7.725 635 73.34
Second Home............... 48 6,835,803.64 0.83 357 40.12 8.048 630 82.52
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 5,658 $ 827,644,353.12 100.00% 351 38.81 7.419 605 77.60
-----------------------------------------------------------------------------------------------------------------------------------
*Based on mortgagor representation at origination.
-----------------------------------------------------------------------------------------------------------------------------------
DOCUMENTATION TYPE
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
INCOME DOCUMENTATION LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
Full Documentation........ 4,185 $ 610,559,275.89 73.77% 350 38.74 7.291 606 78.55
Stated Documentation...... 847 120,422,696.72 14.55 356 39.02 7.989 605 72.27
Limited Documentation..... 626 96,662,380.51 11.68 354 39.03 7.517 597 78.16
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 5,658 $ 827,644,353.12 100.00% 351 38.81 7.419 605 77.60
-----------------------------------------------------------------------------------------------------------------------------------
- 20 -
-----------------------------------------------------------------------------------------------------------------------------------
LOAN PURPOSE
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
PURPOSE LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
Refinance-Debt 5,224 $ 766,606,730.70 92.63% 351 38.79 7.422 604 77.41
Consolidation Cash Out**..
Refinance-Debt
Consolidation No Cash Out*** 423 59,506,397.86 7.19 352 38.95 7.370 615 79.87
Purchase.................. 11 1,531,224.56 0.19 359 46.33 7.864 599 83.98
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 5,658 $ 827,644,353.12 100.00% 351 38.81 7.419 605 77.60
-----------------------------------------------------------------------------------------------------------------------------------
** Cash proceeds to the borrower inclusive of debt consolidation
payments exceed 2% or $2000 of the original principal balance of the
related loan. Also includes all home equity loans originated in Texas
with any cash proceeds.
*** Cash proceeds to the borrower inclusive of debt consolidation
payments do not exceed 2% or $2000 of the original principal balance of
the related loan. Excludes home equity loans originated in Texas with
any cash proceeds.
-----------------------------------------------------------------------------------------------------------------------------------
CREDIT GRADE
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
RISK CATEGORY LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
8A........................ 265 $ 42,264,690.67 5.11% 339 35.14 6.098 742 74.83
7A........................ 362 57,974,570.72 7.00 346 37.36 6.368 693 78.81
6A........................ 313 52,844,788.38 6.38 345 37.98 6.357 669 79.60
5A........................ 420 69,641,459.33 8.41 347 38.39 6.629 649 81.89
4A........................ 421 63,675,928.83 7.69 350 38.31 6.785 632 80.69
3A........................ 405 61,081,064.28 7.38 353 38.96 7.129 614 78.83
2A........................ 1,326 185,011,448.39 22.35 353 38.66 7.413 585 80.02
A......................... 465 69,254,542.50 8.37 354 37.78 7.938 578 78.92
B......................... 952 131,283,963.33 15.86 355 41.32 8.562 546 75.86
C......................... 606 78,728,567.10 9.51 355 40.36 8.452 540 69.66
D......................... 123 15,883,329.59 1.92 356 37.76 8.65 527 57.44
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 5,658 $ 827,644,353.12 100.00% 351 38.81 7.419 605 77.60
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
PROPERTY TYPE
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
PROPERTY TYPE LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
Single Family Detached.... 4,869 $ 699,991,283.36 84.58% 351 38.70 7.441 603 77.82
Two-to Four Family........ 248 53,388,531.85 6.45 356 40.05 7.266 624 72.87
Condominium............... 231 35,917,801.13 4.34 354 39.55 6.995 618 79.48
PUD Detached.............. 151 21,825,147.34 2.64 350 38.53 7.560 601 79.57
Manufactured Housing...... 90 8,534,876.77 1.03 349 36.77 7.740 606 72.63
Single Family Attached.... 52 5,612,985.16 0.68 346 39.71 7.877 597 79.97
PUD Attached.............. 17 2,373,727.51 0.29 351 39.88 7.263 606 82.23
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 5,658 $ 827,644,353.12 100.00% 351 38.81 7.419 605 77.60
-----------------------------------------------------------------------------------------------------------------------------------
- 21 -
-----------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT CHARGE TERM
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
PREPAYMENT CHARGE NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
TERM AT ORIGINATION MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
(MOS.) LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
0......................... 1,673 $ 238,366,583.88 28.80% 350 39.67 7.920 599 77.45
12........................ 173 31,956,177.12 3.86 344 38.03 6.949 637 73.69
24........................ 9 1,418,171.38 0.17 358 32.36 8.402 630 83.98
30........................ 12 2,516,084.57 0.30 359 39.01 8.003 584 86.26
36........................ 3,791 553,387,336.17 66.86 352 38.50 7.225 606 77.83
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 5,658 $ 827,644,353.12 100.00% 351 38.81 7.419 605 77.60
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
CONFORMING BALANCE
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
CONFORMING BALANCE LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
Conforming................ 5,658 $ 827,644,353.12 100.00% 351 38.81 7.419 605 77.60
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 5,658 $ 827,644,353.12 100.00% 351 38.81 7.419 605 77.60
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF REMAINING
NUMBER OF ADJUSTABLE RATE ADJUSTABLE RATE TERM TO DEBT-TO- GROSS
RANGE OF MAXIMUM MORTGAGE LOANS AS OF THE LOANS AS OF THE MATURITY INCOME COUPON OLTV
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
11.000-11.499............. 60 $ 12,117,731.87 1.84% 350 35.49 5.331 706 75.04
11.500-11.999............. 413 76,318,332.96 11.56 354 38.09 5.815 656 78.13
12.000-12.499............. 359 63,816,468.32 9.67 354 38.50 6.263 625 78.57
12.500-12.999............. 773 126,935,146.26 19.23 356 38.54 6.784 607 79.04
13.000-13.499............. 400 63,738,763.33 9.66 356 38.76 7.256 578 75.74
13.500-13.999............. 834 120,464,992.99 18.25 355 39.92 7.763 570 78.10
14.000-14.499............. 336 45,133,163.56 6.84 356 40.40 8.257 567 77.58
14.500-14.999............. 609 76,502,287.23 11.59 356 40.36 8.770 562 77.55
15.000-15.499............. 173 19,729,655.92 2.99 354 40.85 9.240 552 75.15
15.500-15.999............. 281 30,668,086.04 4.65 356 41.00 9.775 552 78.36
16.000-16.499............. 79 8,415,317.00 1.27 353 40.64 10.250 562 78.63
16.500-16.999............. 94 9,192,779.40 1.39 353 41.44 10.743 551 78.67
17.000-17.499............. 35 2,974,049.35 0.45 359 40.14 11.258 545 77.94
17.500-17.999............. 25 2,357,799.62 0.36 358 42.74 11.715 556 78.03
18.000-18.499............. 9 1,004,342.76 0.15 359 38.17 12.209 540 77.03
18.500-18.999............. 4 407,445.91 0.06 357 39.36 12.597 528 69.64
19.000-19.499............. 3 347,001.42 0.05 357 34.20 13.076 582 75.90
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 4,487 $ 660,123,363.94 100.00% 355 39.31 7.515 592 77.88
-----------------------------------------------------------------------------------------------------------------------------------
- 22 -
-----------------------------------------------------------------------------------------------------------------------------------
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF REMAINING
NUMBER OF ADJUSTABLE RATE ADJUSTABLE RATE TERM TO DEBT-TO- GROSS
RANGE OF MINIMUM MORTGAGE LOANS AS OF THE LOANS AS OF THE MATURITY INCOME COUPON OLTV
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
5.000-5.499............... 60 $ 12,117,731.87 1.84% 350 35.49 5.331 706 75.04
5.500-5.999............... 413 76,318,332.96 11.56 354 38.09 5.815 656 78.13
6.000-6.499............... 359 63,816,468.32 9.67 354 38.50 6.263 625 78.57
6.500-6.999............... 773 126,935,146.26 19.23 356 38.54 6.784 607 79.04
7.000-7.499............... 400 63,738,763.33 9.66 356 38.76 7.256 578 75.74
7.500-7.999............... 834 120,464,992.99 18.25 355 39.92 7.763 570 78.10
8.000-8.499............... 336 45,133,163.56 6.84 356 40.40 8.257 567 77.58
8.500-8.999............... 609 76,502,287.23 11.59 356 40.36 8.770 562 77.55
9.000-9.499............... 173 19,729,655.92 2.99 354 40.85 9.240 552 75.15
9.500-9.999............... 281 30,668,086.04 4.65 356 41.00 9.775 552 78.36
10.000-10.499............. 79 8,415,317.00 1.27 353 40.64 10.250 562 78.63
10.500-10.999............. 94 9,192,779.40 1.39 353 41.44 10.743 551 78.67
11.000-11.499............. 35 2,974,049.35 0.45 359 40.14 11.258 545 77.94
11.500-11.999............. 25 2,357,799.62 0.36 358 42.74 11.715 556 78.03
12.000-12.499............. 9 1,004,342.76 0.15 359 38.17 12.209 540 77.03
12.500-12.999............. 4 407,445.91 0.06 357 39.36 12.597 528 69.64
13.000 -13.499............ 3 347,001.42 0.05 357 34.20 13.076 582 75.90
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 4,487 $ 660,123,363.94 100.00% 355 39.31 7.515 592 77.88
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
GROSS MARGINS OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF REMAINING
NUMBER OF ADJUSTABLE RATE ADJUSTABLE RATE TERM TO DEBT-TO- GROSS
RANGE OF GROSS MORTGAGE LOANS AS OF THE LOANS AS OF THE MATURITY INCOME COUPON OLTV
MARGINS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
3.500-3.749............... 2 $ 271,248.00 0.04% 359 32.97 5.749 729 62.58
3.750 - 3.999 1 99,890.54 0.02 359 49.00 5.500 782 74.58
4.000-4.249............... 2 464,295.64 0.07 359 44.04 5.548 717 73.06
4.250 - 4.499 2 368,627.81 0.06 359 27.39 5.988 644 87.14
4.500-4.749............... 14 2,177,881.39 0.33 347 29.74 5.910 711 70.46
4.750-4.999............... 113 17,538,328.01 2.66 350 36.73 6.011 725 79.91
5.000-5.249............... 190 32,092,358.75 4.86 356 38.46 6.326 684 81.96
5.250-5.499............... 183 32,522,594.36 4.93 352 38.19 6.350 663 81.88
5.500-5.749............... 258 43,237,510.67 6.55 356 38.96 6.554 643 82.18
5.750-5.999............... 404 63,811,896.01 9.67 355 38.87 6.729 617 79.94
6.000-6.249............... 1,435 206,391,581.31 31.27 355 38.88 7.381 590 80.07
6.250-6.499............... 419 62,747,190.11 9.51 356 38.64 7.947 571 78.34
6.500-6.749............... 881 122,070,722.22 18.49 357 41.33 8.552 546 75.45
6.750-6.999............... 583 76,329,239.12 11.56 356 40.08 8.478 537 67.64
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 4,487 $ 660,123,363.94 100.00% 355 39.31 7.515 592 77.88
-----------------------------------------------------------------------------------------------------------------------------------
- 23 -
-----------------------------------------------------------------------------------------------------------------------------------
NEXT ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF REMAINING
NUMBER OF ADJUSTABLE RATE ADJUSTABLE RATE TERM TO DEBT-TO- GROSS
MORTGAGE LOANS AS OF THE LOANS AS OF THE MATURITY INCOME COUPON OLTV
NEXT ADJUSTMENT DATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
November 2005............. 1 $ 119,567.92 0.02% 353 42.00 9.400 552 73.62
December 2005............. 141 17,147,292.37 2.60 345 41.10 8.862 583 79.17
January 2006.............. 29 3,780,589.60 0.57 352 41.77 8.624 591 80.19
February 2006............. 4 424,644.63 0.06 356 42.54 8.168 601 83.62
March 2006................ 2 285,867.02 0.04 357 38.17 7.610 518 75.72
April 2006................ 71 9,944,433.41 1.51 353 39.64 8.118 562 80.25
May 2006.................. 4,096 609,266,360.99 92.30 356 39.24 7.446 593 77.78
June 2006................. 143 19,154,608.00 2.90 353 39.03 7.928 594 77.93
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 4,487 $ 660,123,363.94 100.00% 355 39.31 7.515 592 77.88
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
INITIAL PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF REMAINING
NUMBER OF ADJUSTABLE RATE ADJUSTABLE RATE TERM TO DEBT-TO- GROSS
INITIAL PERIODIC MORTGAGE LOANS AS OF THE LOANS AS OF THE MATURITY INCOME COUPON OLTV
CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
2.000..................... 4,487 $ 660,123,363.94 100.00% 355 39.31 7.515 592 77.88
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 4,487 $ 660,123,363.94 100.00% 355 39.31 7.515 592 77.88
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF REMAINING
NUMBER OF ADJUSTABLE RATE ADJUSTABLE RATE TERM TO DEBT-TO- GROSS
PERIODIC MORTGAGE LOANS AS OF THE LOANS AS OF THE MATURITY INCOME COUPON OLTV
CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
1.000..................... 4,487 $ 660,123,363.94 100.00% 355 39.31 7.515 592 77.88
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 4,487 $ 660,123,363.94 100.00% 355 39.31 7.515 592 77.88
-----------------------------------------------------------------------------------------------------------------------------------
- 24 -
GROUP II MORTGAGE LOAN STATISTICS
The Group II Mortgage Loans consist of 623 adjustable-rate and
fixed-rate Mortgage Loans having an aggregate principal balance as of the
Cut-off Date of approximately $172,356,218.93, after application of scheduled
payments due on or before the Cut-off Date whether or not received and
application of all unscheduled payments of principal received prior to the
Cut-off Date, and subject to a permitted variance of plus or minus 5%. None of
the Group II Mortgage Loans had a first Due Date prior to January 2004 or after
July 2004, or will have a remaining term to stated maturity of less than 119
months or greater than 360 months as of the Cut-off Date. The latest maturity
date of any Group II Mortgage Loan is June 2034.
-----------------------------------------------------------------------------------------------------------------------------------
COLLATERAL TYPE
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
COLLATERAL TYPE LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
2-yr Fixed / Adjustable-Rate 508 $ 139,750,026.99 81.08% 358 39.63 7.217 603 79.57
Fixed Rate................ 115 32,606,191.94 18.92 348 38.25 6.775 669 79.68
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 623 $ 172,356,218.93 100.00% 356 39.37 7.133 616 79.59
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL BALANCES AT ORIGINATION
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
RANGE OF NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
PRINCIPAL BALANCES MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
AT ORIGINATION ($) LOANS ORIGINATION ORIGINATION (MONTHS)* (%)* (%)* FICO* (%)*
-----------------------------------------------------------------------------------------------------------------------------------
50,000.01 - 100,000.00.. 131 $ 9,969,093.00 5.78% 342 37.75 8.896 577 74.51
100,000.01 - 150,000.00... 98 12,225,905.00 7.09 352 39.57 8.443 571 78.61
150,000.01 - 200,000.00... 50 8,653,336.00 5.02 356 40.26 8.137 568 76.30
200,000.01 - 250,000.00... 23 5,163,356.00 2.99 359 39.40 7.913 563 78.28
250,000.01 - 300,000.00... 5 1,357,350.00 0.79 358 43.06 7.791 603 83.28
300,000.01 - 350,000.00... 47 15,870,675.00 9.20 359 40.03 6.873 625 80.84
350,000.01 - 400,000.00... 109 40,736,338.00 23.61 355 38.99 6.968 621 80.69
400,000.01 - 450,000.00... 59 25,155,415.00 14.58 359 39.74 6.569 639 82.05
450,000.01 - 500,000.00... 37 17,571,855.00 10.19 359 40.28 6.665 625 79.40
500,000.01 - 550,000.00... 26 13,709,653.00 7.95 359 39.81 6.928 646 81.50
550,000.01 - 600,000.00... 37 21,361,984.00 12.38 354 38.18 6.657 620 77.33
700,000.01 - 750,000.00... 1 749,500.00 0.43 359 40.00 5.850 686 68.14
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 623 $ 172,524,460.00 100.00% 356 39.37 7.133 616 79.59
-----------------------------------------------------------------------------------------------------------------------------------
*Based on the original balances of the Mortgage Loans.
- 25 -
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL BALANCE AS OF THE CUT-OFF DATE
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
RANGE OF PRINCIPAL NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
BALANCES AS OF THE CUT- MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
OFF DATE ($) LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
50,000.01- 100,000.00..... 131 $ 9,958,331.22 5.78% 342 37.75 8.896 577 74.51
100,000.01-150,000.00..... 98 12,215,482.30 7.09 352 39.57 8.443 571 78.61
150,000.01-200,000.00..... 50 8,647,081.16 5.02 356 40.26 8.137 568 76.30
200,000.01-250,000.00..... 23 5,160,420.14 2.99 359 39.40 7.913 563 78.28
250,000.01-300,000.00..... 5 1,355,423.16 0.79 358 43.06 7.791 603 83.28
300,000.01-350,000.00..... 47 15,855,922.03 9.20 359 40.03 6.873 625 80.84
350,000.01-400,000.00..... 109 40,694,452.27 23.61 355 38.99 6.969 621 80.69
400,000.01-450,000.00..... 59 25,129,607.49 14.58 359 39.74 6.569 639 82.05
450,000.01-500,000.00..... 37 17,551,320.62 10.18 359 40.29 6.666 625 79.40
500,000.01-550,000.00..... 26 13,698,075.56 7.95 359 39.82 6.928 646 81.50
550,000.01-600,000.00..... 37 21,341,370.78 12.38 354 38.18 6.657 620 77.33
700,000.01 - 750,000.00 1 748,732.20 0.43 359 40.00 5.850 686 68.14
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 623 $ 172,356,218.93 100.00% 356 39.37 7.133 616 79.59
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
STATED REMAINING TERM TO MATURITY
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
RANGE OF MONTHS MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
REMAINING LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
61 - 120................. 2 $ 125,961.11 0.07% 119 27.89 9.426 626 69.47
121 - 180.................. 8 1,247,433.92 0.72 179 38.84 7.228 664 76.36
181 - 240.................. 13 2,060,148.86 1.20 238 26.44 6.919 640 76.47
241 - 300.................. 2 452,244.12 0.26 299 42.31 7.081 671 87.07
301 - 360.................. 598 168,470,430.92 97.75 359 39.54 7.133 615 79.64
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 623 $ 172,356,218.93 100.00% 356 39.37 7.133 616 79.59
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
MORTGAGE RATE
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
RANGE OF NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
CURRENT MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
MORTGAGE RATES (%) LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
5.000- 5.499............ 12 $ 4,931,012.93 2.86% 359 40.94 5.337 683 81.26
5.500- 5.999............ 82 34,012,980.24 19.73 356 38.53 5.815 674 79.44
6.000- 6.499............ 52 22,007,066.37 12.77 354 39.41 6.247 649 82.23
6.500- 6.999............ 74 30,502,259.52 17.70 356 39.02 6.748 620 80.92
7.000- 7.499............ 86 23,196,297.91 13.46 357 38.60 7.243 590 76.91
7.500- 7.999............ 100 23,117,502.78 13.41 357 39.55 7.731 586 80.19
8.000- 8.499............ 43 8,957,383.73 5.20 358 40.22 8.245 569 78.77
8.500- 8.999............ 79 12,314,405.98 7.14 354 39.55 8.732 569 78.54
9.000- 9.499............ 15 2,690,775.01 1.56 359 37.89 9.321 569 79.01
9.500- 9.999............ 42 6,017,237.00 3.49 353 42.56 9.738 551 76.23
10.000- 10.499............ 5 1,211,590.55 0.70 359 47.58 10.241 521 79.27
10.500- 10.999............ 20 2,008,004.11 1.17 349 42.41 10.651 551 76.95
11.00 - 11.499 6 510,996.86 0.30 341 41.18 11.280 540 78.08
11.500- 11.999............ 3 242,924.19 0.14 359 33.77 11.611 545 67.23
12.000- 12.499............ 3 527,858.47 0.31 359 46.27 12.358 528 74.41
12.500- 12.999............ 1 107,923.28 0.06 359 44.00 12.650 542 85.00
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 623 $ 172,356,218.93 100.00% 356 39.37 7.133 616 79.59
-----------------------------------------------------------------------------------------------------------------------------------
- 26 -
-----------------------------------------------------------------------------------------------------------------------------------
ORIGINAL LOAN-TO-VALUE RATIOS
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
RANGE OF NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
ORIGINAL MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
LOAN-TO-VALUE RATIOS (%) LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
25.01 - 30.00............. 3 $ 296,862.02 0.17% 359 35.20 8.043 540 26.74
30.01 - 35.00............. 2 452,627.20 0.26 359 41.75 7.049 562 31.29
35.01 - 40.00............. 4 1,054,561.95 0.61 359 37.45 6.647 632 36.01
40.01 - 45.00............. 3 473,794.32 0.27 359 42.65 8.070 554 43.51
45.01 - 50.00............. 9 1,555,996.72 0.90 343 39.84 7.448 562 47.00
50.01 - 55.00............. 13 3,220,985.15 1.87 359 34.84 7.291 565 53.21
55.01 - 60.00............. 22 4,140,494.33 2.40 357 36.29 7.757 592 58.13
60.01 - 65.00............. 24 7,511,879.80 4.36 356 42.92 7.137 590 63.33
65.01 - 70.00............. 34 10,497,874.29 6.09 358 37.08 6.893 623 67.80
70.01 - 75.00............. 102 21,648,240.70 12.56 351 39.54 7.939 569 73.65
75.01 - 80.00............. 89 28,097,985.51 16.30 353 37.26 6.790 619 78.62
80.01 - 85.00............. 123 33,446,391.17 19.41 357 38.97 7.237 611 83.77
85.01 - 90.00............. 183 56,220,517.47 32.62 358 41.03 6.933 639 89.09
90.01 - 95.00 12 3,738,008.30 2.17 359 39.66 6.788 685 93.77
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 623 $ 172,356,218.93 100.00% 356 39.37 7.133 616 79.59
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
FICO SCORE AT ORIGINATION
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
RANGE OF FICO MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
SCORES LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
500-519................... 38 $ 6,498,073.58 3.77% 358 43.54 8.734 509 69.36
520-539................... 88 16,629,800.93 9.65 358 39.14 8.460 529 73.43
540-559................... 81 16,767,495.95 9.73 356 42.24 7.942 550 74.02
560-579................... 58 14,662,584.40 8.51 357 40.25 7.683 569 78.17
580-599................... 68 20,348,646.98 11.81 354 37.38 7.411 588 78.17
600-619................... 53 14,456,870.40 8.39 355 37.67 7.025 610 82.58
620-639................... 62 19,971,081.78 11.59 359 40.66 6.753 629 83.44
640-659................... 54 18,439,818.50 10.70 358 37.15 6.599 649 83.99
660-679................... 44 16,150,559.78 9.37 358 39.70 6.449 669 82.70
680-699................... 27 9,803,650.09 5.69 357 38.38 6.264 686 83.98
700-719................... 20 7,046,087.56 4.09 356 39.72 6.107 711 83.35
720-739................... 16 6,194,323.56 3.59 334 41.41 5.984 729 78.01
740-759................... 8 2,773,624.09 1.61 355 42.07 5.725 750 82.21
760-779................... 5 2,210,987.41 1.28 338 31.04 5.986 770 73.80
780-799................... 1 402,613.92 0.23 359 31.00 6.200 786 94.82
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 623 $ 172,356,218.93 100.00% 356 39.37 7.133 616 79.59
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
DEBT-TO-INCOME RATIO
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
RANGE OF DEBT-TO- MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
INCOME RATIOS (%) LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
20.00 or less............. 47 $ 12,584,678.37 7.30% 347 11.47 7.035 617 77.77
20.01 - 25.00............. 31 8,898,099.93 5.16 356 23.07 6.874 630 80.28
25.01 - 30.00............. 39 10,393,060.88 6.03 358 27.96 6.972 616 76.60
30.01 - 35.00............. 70 16,829,058.71 9.76 355 32.94 7.178 617 80.21
35.01 - 40.00............. 92 24,929,665.18 14.46 357 38.15 7.035 623 78.10
40.01 - 45.00............. 123 34,108,074.62 19.79 353 43.16 7.240 612 79.12
45.01 - 50.00............. 178 53,271,055.30 30.91 359 48.18 7.072 618 81.64
50.01 - 55.00............. 43 11,342,525.94 6.58 358 53.04 7.707 587 77.94
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 623 $ 172,356,218.93 100.00% 356 39.37 7.133 616 79.59
-----------------------------------------------------------------------------------------------------------------------------------
- 27 -
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GEOGRAPHIC DISTRIBUTION
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
STATE LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
California................ 179 $ 73,878,176.60 42.86% 358 39.25 6.590 631 79.85
New York 41 13,964,296.17 8.10 354 40.29 7.200 624 80.18
Florida 70 11,732,087.88 6.81 357 41.24 7.853 587 80.04
Massachusetts 29 8,889,350.03 5.16 357 35.49 7.044 619 78.93
Maryland 36 8,867,799.36 5.15 355 39.78 7.524 596 81.95
Illinois 29 6,839,427.24 3.97 357 38.50 7.276 630 78.04
Connecticut 20 5,612,325.80 3.26 359 39.10 7.175 616 76.52
Washington 12 4,455,975.22 2.59 359 42.23 7.177 617 80.55
Texas 31 4,152,222.14 2.41 343 42.81 8.500 559 72.33
Pennsylvania 15 3,854,606.38 2.24 331 39.69 7.135 610 77.99
Georgia 19 3,670,232.65 2.13 359 38.82 8.289 585 83.14
Colorado 11 3,340,399.67 1.94 358 35.97 7.425 608 75.08
Minnesota 14 3,273,860.73 1.90 359 39.81 7.536 578 81.92
Michigan 14 3,121,669.43 1.81 359 40.32 7.477 603 80.09
Rhode Island 10 1,775,788.20 1.03 359 39.83 8.211 544 70.71
Tennessee 7 1,521,807.21 0.88 354 35.43 7.021 637 87.44
Indiana 9 1,221,209.94 0.71 359 37.60 7.997 628 82.28
Nevada 3 1,145,943.32 0.66 359 46.92 7.032 629 81.35
Missouri 8 1,113,325.66 0.65 358 37.14 8.044 550 68.46
Ohio 6 1,065,312.35 0.62 303 27.90 7.111 639 80.91
Other: 60 8,860,402.95 5.14 351 40.17 8.226 597 81.20
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 623 $ 172,356,218.93 100.00% 356 39.37 7.133 616 79.59
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
OCCUPANCY STATUS
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
OCCUPANCY MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
STATUS* LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
Owner Occupied............ 602 $ 169,949,183.10 98.60% 356 39.39 7.122 616 79.53
Non-Owner Occupied........ 18 1,461,092.36 0.85 351 33.20 8.519 619 78.80
Second Home............... 3 945,943.47 0.55 359 45.88 6.940 667 91.61
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 623 $ 172,356,218.93 100.00% 356 39.37 7.133 616 79.59
-----------------------------------------------------------------------------------------------------------------------------------
*Based on mortgagor representation at origination.
-----------------------------------------------------------------------------------------------------------------------------------
DOCUMENTATION TYPE
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
INCOME MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
DOCUMENTATION LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
Full Documentation........ 431 $ 125,208,694.92 72.65% 356 39.17 7.004 620 80.54
Stated Documentation...... 104 24,144,437.82 14.01 354 41.19 7.811 598 73.48
Limited Documentation..... 88 23,003,086.19 13.35 358 38.58 7.122 614 80.81
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 623 $ 172,356,218.93 100.00% 356 39.37 7.133 616 79.59
-----------------------------------------------------------------------------------------------------------------------------------
- 28 -
-----------------------------------------------------------------------------------------------------------------------------------
LOAN PURPOSE
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
PURPOSE LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
Refinance-Debt 587 $ 162,863,460.66 94.49% 356 39.38 7.128 615 79.59
Consolidation Cash Out**..
Refinance-Debt
Consolidation No Cash Out*** 34 8,499,317.84 4.93 352 37.71 7.011 635 79.78
Purchase.................. 2 993,440.43 0.58 359 52.70 9.040 578 78.10
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 623 $ 172,356,218.93 100.00% 356 39.37 7.133 616 79.59
-----------------------------------------------------------------------------------------------------------------------------------
** Cash proceeds to the borrower inclusive of debt consolidation
payments exceed 2% or $2000 of the original principal balance of the
related loan. Also includes all home equity loans originated in Texas
with any cash proceeds.
*** Cash proceeds to the borrower inclusive of debt consolidation
payments do not exceed 2% or $2000 of the original principal balance of
the related loan. Excludes home equity loans originated in Texas with
any cash proceeds.
-----------------------------------------------------------------------------------------------------------------------------------
CREDIT GRADE
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
RISK CATEGORY LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
8A........................ 42 $ 16,479,914.47 9.56% 346 39.01 5.931 735 79.52
7A........................ 33 11,264,978.72 6.54 356 38.65 6.288 689 84.44
6A........................ 41 15,191,883.00 8.81 358 40.41 6.451 669 82.81
5A........................ 48 16,814,427.21 9.76 358 37.80 6.540 649 84.05
4A........................ 52 17,269,563.68 10.02 359 41.69 6.680 631 84.02
3A........................ 45 13,172,333.54 7.64 357 37.35 6.886 613 83.37
2A........................ 109 30,355,639.47 17.61 356 38.18 7.149 587 79.51
A......................... 51 15,039,108.78 8.73 357 41.06 7.731 575 77.75
B......................... 125 24,097,398.58 13.98 356 39.52 8.450 542 73.62
C......................... 68 11,457,728.00 6.65 356 40.79 8.670 531 70.56
D......................... 9 1,213,243.48 0.70 353 41.73 8.739 515 58.01
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 623 $ 172,356,218.93 100.00% 356 39.37 7.133 616 79.59
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
PROPERTY TYPE
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
PROPERTY TYPE LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
Single Family Detached.... 549 $ 153,078,124.41 88.81% 356 39.19 7.137 617 79.69
PUD Detached.............. 32 9,782,589.41 5.68 355 40.11 7.094 605 80.31
Condominium .............. 20 4,730,786.91 2.74 355 41.62 7.095 615 84.43
Two-to Four Family........ 15 4,118,569.87 2.39 356 41.84 6.986 604 69.18
Manufactured Housing...... 4 293,499.92 0.17 334 41.51 7.588 657 75.60
Single Family Attached.... 2 222,746.84 0.13 357 35.12 9.041 548 75.23
PUD Attached.............. 1 129,901.57 0.08 359 47.00 7.400 612 77.38
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 623 $ 172,356,218.93 100.00% 356 39.37 7.133 616 79.59
-----------------------------------------------------------------------------------------------------------------------------------
- 29 -
-----------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT CHARGE TERM
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
PREPAYMENT CHARGE NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
TERM AT MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
ORIGINATION (MONTHS) LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
0 199 $ 50,139,393.78 29.09% 356 39.11 7.544 615 79.00
12........................ 24 7,338,723.68 4.26 350 39.49 7.068 626 78.79
24........................ 4 1,680,574.25 0.98 359 45.42 7.398 588 79.25
30........................ 1 157,427.29 0.09 359 47.00 9.800 523 75.00
36........................ 395 113,040,099.93 65.59 356 39.38 6.948 616 79.92
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 623 $ 172,356,218.93 100.00% 356 39.37 7.133 616 79.59
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
CONFORMING BALANCE
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL REMAINING
NUMBER OF BALANCE % OF PRINCIPAL TERM TO DEBT-TO- GROSS
CONFORMING MORTGAGE AS OF BALANCE AS OF MATURITY INCOME COUPON OLTV
BALANCE LOANS THE CUT-OFF DATE THE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
Conforming................ 312 $ 38,881,490.91 22.56% 352 39.63 8.393 573 77.39
Nonconforming............. 311 133,474,728.02 77.44 357 39.30 6.766 628 80.23
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 623 $ 172,356,218.93 100.00% 356 39.37 7.133 616 79.59
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF REMAINING
NUMBER OF ADJUSTABLE RATE ADJUSTABLE RATE TERM TO DEBT-TO- GROSS
RANGE OF MAXIMUM MORTGAGE LOANS AS OF THE LOANS AS OF THE MATURITY INCOME COUPON OLTV
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
11.000- 11.499............ 12 $ 4,931,012.93 3.53% 359 40.94 5.337 683 81.26
11.500- 11.999............ 63 25,503,203.26 18.25 358 39.26 5.816 658 81.42
12.000- 12.499............ 36 15,105,977.65 10.81 359 39.24 6.248 631 82.43
12.500- 12.999............ 54 23,318,506.48 16.69 357 38.78 6.759 606 79.82
13.000- 13.499............ 69 19,314,792.94 13.82 357 39.63 7.241 582 76.24
13.500- 13.999............ 87 20,861,318.94 14.93 358 39.55 7.744 580 80.17
14.000- 14.499............ 39 8,153,865.33 5.83 358 39.79 8.238 562 78.02
14.500- 14.999............ 67 10,442,127.07 7.47 357 39.76 8.744 568 78.77
15.000- 15.499............ 13 2,466,892.37 1.77 359 36.84 9.332 570 78.57
15.500- 15.999............ 34 5,337,542.65 3.82 358 42.68 9.725 549 75.91
16.000 - 16.499 5 1,211,590.55 0.87 359 47.58 10.241 521 79.27
16.500- 16.999............ 17 1,773,494.02 1.27 354 43.13 10.656 551 77.55
17.000 - 17.499 5 450,996.86 0.32 338 40.40 11.284 541 77.82
17.500- 17.999............ 3 242,924.19 0.17 359 33.77 11.611 545 67.23
18.000- 18.499............ 3 527,858.47 0.38 359 46.27 12.358 528 74.41
18.500- 18.999............ 1 107,923.28 0.08 359 44.00 12.650 542 85.00
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 508 $ 139,750,026.99 100.00% 358 39.63 7.217 603 79.57
-----------------------------------------------------------------------------------------------------------------------------------
- 30 -
-----------------------------------------------------------------------------------------------------------------------------------
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF REMAINING
NUMBER OF ADJUSTABLE RATE ADJUSTABLE RATE TERM TO DEBT-TO- GROSS
RANGE OF MINIMUM MORTGAGE LOANS AS OF THE LOANS AS OF THE MATURITY INCOME COUPON OLTV
MORTGAGE RATES (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
5.000-5.499............... 12 $ 4,931,012.93 3.53% 359 40.94 5.337 683 81.26
5.500-5.999............... 63 25,503,203.26 18.25 358 39.26 5.816 658 81.42
6.000-6.499............... 36 15,105,977.65 10.81 359 39.24 6.248 631 82.43
6.500-6.999............... 54 23,318,506.48 16.69 357 38.78 6.759 606 79.82
7.000-7.499............... 69 19,314,792.94 13.82 357 39.63 7.241 582 76.24
7.500-7.999............... 87 20,861,318.94 14.93 358 39.55 7.744 580 80.17
8.000-8.499............... 39 8,153,865.33 5.83 358 39.79 8.238 562 78.02
8.500-8.999............... 67 10,442,127.07 7.47 357 39.76 8.744 568 78.77
9.000-9.499............... 13 2,466,892.37 1.77 359 36.84 9.332 570 78.57
9.500-9.999............... 34 5,337,542.65 3.82 358 42.68 9.725 549 75.91
10.000-10.499............. 5 1,211,590.55 0.87 359 47.58 10.241 521 79.27
10.500-10.999............. 17 1,773,494.02 1.27 354 43.13 10.656 551 77.55
11.000-11.499............. 5 450,996.86 0.32 338 40.40 11.284 541 77.82
11.500-11.999............. 3 242,924.19 0.17 359 33.77 11.611 545 67.23
12.000-12.499............. 3 527,858.47 0.38 359 46.27 12.358 528 74.41
12.500-12.999............. 1 107,923.28 0.08 359 44.00 12.650 542 85.00
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 508 $ 139,750,026.99 100.00% 358 39.63 7.217 603 79.57
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
GROSS MARGINS OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF REMAINING
NUMBER OF ADJUSTABLE RATE ADJUSTABLE RATE TERM TO DEBT-TO- GROSS
RANGE OF GROSS MORTGAGE LOANS AS OF THE LOANS AS OF THE MATURITY INCOME COUPON OLTV
MARGINS (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
4.500-4.749.............. 1 $ 199,843.97 0.14% 359 19.00 7.250 737 81.63
4.750-4.999.............. 16 6,646,848.32 4.76 359 40.24 5.865 731 84.57
5.000-5.249.............. 20 7,233,774.95 5.18 359 38.26 6.098 689 83.89
5.250-5.499.............. 33 13,103,619.63 9.38 359 40.89 6.350 664 84.75
5.500-5.749.............. 36 12,546,365.74 8.98 358 37.01 6.594 646 82.65
5.750-5.999.............. 46 14,975,270.98 10.72 356 42.80 6.596 621 82.19
6.000-6.249.............. 134 38,191,412.44 27.33 357 38.46 7.114 593 81.39
6.250-6.499.............. 46 13,920,689.23 9.96 358 40.57 7.765 569 77.50
6.500-6.749.............. 111 21,937,934.72 15.70 357 39.69 8.412 541 73.60
6.750-6.999.............. 65 10,994,267.01 7.87 358 40.54 8.635 530 68.62
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 508 $ 139,750,026.99 100.00% 358 39.63 7.217 603 79.57
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
NEXT ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF REMAINING
NUMBER OF ADJUSTABLE RATE ADJUSTABLE RATE TERM TO DEBT-TO- GROSS
MORTGAGE LOANS AS OF THE LOANS AS OF THE MATURITY INCOME COUPON OLTV
NEXT ADJUSTMENT DATE LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
December 2005............. 21 $ 3,758,122.94 2.69% 352 39.85 8.428 611 77.09
January 2006.......... 3 305,905.83 0.22 355 33.89 10.066 575 78.42
February 2006............. 1 59,867.12 0.04 356 32.00 8.990 568 61.22
April 2006................ 3 1,247,576.01 0.89 358 25.68 7.415 633 85.98
May 2006.................. 456 131,041,619.09 93.77 358 39.90 7.172 603 79.70
June 2006................. 24 3,336,936.00 2.39 360 34.96 7.254 598 75.41
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL..................... 508 $ 139,750,026.99 100.00% 358 39.63 7.217 603 79.57
-----------------------------------------------------------------------------------------------------------------------------------
- 31 -
-----------------------------------------------------------------------------------------------------------------------------------
INITIAL PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF REMAINING
NUMBER OF ADJUSTABLE RATE ADJUSTABLE RATE TERM TO DEBT-TO- GROSS
INITIAL PERIODIC MORTGAGE LOANS AS OF THE LOANS AS OF THE MATURITY INCOME COUPON OLTV
CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
2.000..................... 508 $ 139,750,026.99 100.00% 358 39.63 7.217 603 79.57
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 508 $ 139,750,026.99 100.00% 358 39.63 7.217 603 79.57
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS
-----------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL % OF PRINCIPAL
BALANCE OF BALANCE OF REMAINING
NUMBER OF ADJUSTABLE RATE ADJUSTABLE RATE TERM TO DEBT-TO- GROSS
PERIODIC MORTGAGE LOANS AS OF THE LOANS AS OF THE MATURITY INCOME COUPON OLTV
CAP (%) LOANS CUT-OFF DATE CUT-OFF DATE (MONTHS) (%) (%) FICO (%)
-----------------------------------------------------------------------------------------------------------------------------------
1.000..................... 508 $ 139,750,026.99 100.00% 358 39.63 7.217 603 79.57
-----------------------------------------------------------------------------------------------------------------------------------
TOTAL: 508 $ 139,750,026.99 100.00% 358 39.63 7.217 603 79.57
-----------------------------------------------------------------------------------------------------------------------------------
