Exhibit 99.1
The Depositor purchased the Initial Group I Mortgage Loans (the
"Initial Group I Mortgage Loans"), the Initial Group II Mortgage Loans (the
"Initial Group II Mortgage Loans") and the Initial Group III Mortgage Loans (the
"Initial Group III Mortgage Loans" and collectively with the Initial Group I
Mortgage Loans and the Initial Group II Mortgage Loans, the "Initial Mortgage
Loans") from the Seller pursuant to the Mortgage Loan Purchase Agreement, dated
as of December 9, 2003 (the "Mortgage Loan Purchase Agreement"), between the
Seller and the Depositor. Subsequent Group I Mortgage Loans (the "Subsequent
Group I Mortgage Loans"), Subsequent Group II Mortgage Loans (the "Subsequent
Group II Mortgage Loans") and Subsequent Group III Mortgage Loans (the
"Subsequent Group III Mortgage Loans"; collectively with the Subsequent Group I
Mortgage Loans, the Subsequent Group II Mortgage Loans and the Subsequent Group
III Mortgage Loans, the "Subsequent Mortgage Loans") were purchased by the Trust
from the Depositor on December 23, 2003 from funds on deposit in the Pre-Funding
Accounts and sold by the Depositor to the Trust for deposit in the Mortgage
Pool. Pursuant to the Pooling and Servicing Agreement, dated as of December 1,
2003 (the "Pooling and Servicing Agreement"), among the Depositor, the Master
Servicer and the Trustee, the Depositor will cause the Initial Mortgage Loans
and the Subsequent Mortgage Loans (together, the "Mortgage Loans") to be
assigned to the Trustee for the benefit of the certificateholders. The Pooling
and Servicing Agreement provides that each Mortgage Loan in the Mortgage Pool
must conform to certain specified characteristics and, following the conveyance
of the Subsequent Mortgage Loans, the Mortgage Pool must conform to certain
specified characteristics, as described in the Prospectus Supplement, dated
December 9, 2003 (the "Prospectus Supplement") under "--Conveyance of Subsequent
Mortgage Loans and the Pre-Funding Accounts."
The Initial Group I Mortgage Loans and the Subsequent Group I Mortgage
Loans (the "Group I Mortgage Loans") consist of approximately 5,874
adjustable-rate and fixed-rate Mortgage Loans having an aggregate principal
balance as of the Cut-off Date of approximately $811,361,421.35, after
application of scheduled payments due on or before the Cut-off Date whether or
not received, and subject to a permitted variance of plus or minus 5%. The
Initial Group II Mortgage Loans and the Subsequent Group II Mortgage Loans (the
"Group II Mortgage Loans") consist of approximately 596 adjustable-rate and
fixed-rate Mortgage Loans having an aggregate principal balance as of the
Cut-off Date of approximately $171,253,448.63, after application of scheduled
payments due on or before the Cut-off Date whether or not received, and subject
to a permitted variance of plus or minus 5%. The Initial Group III Mortgage
Loans and the Subsequent Group III Mortgage Loans (the "Group III Mortgage
Loans") consist of approximately 889 fixed-rate Mortgage Loans having an
aggregate principal balance as of the Cut-off Date of approximately
$167,382,892.93, after application of scheduled payments due on or before the
Cut-off Date whether or not received, and subject to a permitted variance of
plus or minus 5%. The Mortgage Loans have original terms to maturity of not
greater than 30 years from the date on which the first payment was due on each
Mortgage Loan.
Each Mortgage Loan will accrue interest at the fixed-rate (in the case
of the fixed-rate Group I Mortgage Loans, the fixed-rate Group II Mortgage Loans
and the Group III Mortgage Loans) or the adjustable-rate (in the case of the
adjustable-rate Group I Mortgage Loans and the adjustable-rate Group II Mortgage
Loans) calculated as specified under the terms of the related mortgage note
(each such rate, a "Mortgage Rate").
Each adjustable-rate Mortgage Loan accrues interest at a Mortgage Rate
that is adjustable. The adjustable-rate Mortgage Loans provide for semi-annual
adjustment to the Mortgage Rate thereon and for corresponding adjustments to the
monthly payment amount due thereon, in each case on each adjustment date
applicable thereto (each such date, an "Adjustment Date"); provided, that the
first adjustment for such Mortgage Loans will occur after an initial period of
two years after origination. On each Adjustment Date for each adjustable-rate
Mortgage Loan, the Mortgage Rate thereon will be adjusted (subject to rounding)
to equal the sum of the applicable Index (as defined below) and a fixed
percentage amount (the "Gross Margin"). The Mortgage Rate on each
adjustable-rate Mortgage Loan will not decrease on the first related Adjustment
Date, will not increase by more than 2.00% per annum on the first related
Adjustment Date (the "Initial Periodic Rate Cap") and will not increase or
decrease by more than 1.00% per annum on any Adjustment Date thereafter (the
"Periodic Rate Cap"). Each Mortgage Rate on each adjustable-rate Mortgage Loan
will not exceed a specified maximum Mortgage Rate over the life of such Mortgage
Loan (the "Maximum Mortgage Rate") or be less than a specified minimum Mortgage
Rate over the life of such Mortgage Loan (the "Minimum Mortgage Rate").
Effective with the first monthly payment due on each adjustable-rate Mortgage
Loan after each related Adjustment Date, the monthly payment amount will be
adjusted to an amount that will amortize fully the outstanding principal balance
of the related Mortgage Loan over its remaining term, and pay interest at the
Mortgage Rate as so
-13-
adjusted. Due to the application of the Periodic Rate Caps and the Maximum
Mortgage Rates, the Mortgage Rate on each such adjustable-rate Mortgage Loan, as
adjusted on any related Adjustment Date, may be less than the sum of the Index
and the related Gross Margin, rounded as described herein. None of the
adjustable-rate Mortgage Loans permits the related mortgagor to convert the
adjustable Mortgage Rate thereon to a fixed Mortgage Rate.
The Mortgage Loans have scheduled monthly payments due on the first day
of the month (with respect to each Mortgage Loan, a "Due Date"). Each Mortgage
Loan will contain a customary "due-on-sale" clause which provides that (subject
to state and federal restrictions) the Mortgage Loan must be repaid at the time
of sale of the related Mortgaged Property or with the consent of the holder of
the mortgage note assumed by a creditworthy purchaser of the related Mortgaged
Property.
Approximately 70.91% of the Group I Mortgage Loans, approximately
61.93% of the Group II Mortgage Loans and approximately 79.24% of the Group III
Mortgage Loans provide for payment by the mortgagor of a prepayment charge on
certain principal prepayments, subject to certain limitations in the related
mortgage note and limitations upon collection in the Pooling and Servicing
Agreement. Generally, each such Mortgage Loan provides for payment of a
prepayment charge on certain prepayments made within a defined period set forth
in the related Mortgage Note (generally within the first three years but
possibly as short as one year from the date of origination of such Mortgage
Loan). The amount of the prepayment charge is as provided in the related
Mortgage Note. The holders of the Class P Certificates will be entitled to all
prepayment charges received on the Mortgage Loans in all of the loan groups, and
such amounts will not be available for distribution on the other classes of
Certificates. Under certain instances, as described under the terms of the
Pooling and Servicing Agreement, the Master Servicer may waive the payment of
any otherwise applicable prepayment charge. Investors should conduct their own
analysis of the effect, if any, that the prepayment charges, and decisions by
the Master Servicer with respect to the waiver thereof, may have on the
prepayment performance of the Mortgage Loans. The Depositor makes no
representation as to the effect that the prepayment charges, and decisions by
the Master Servicer with respect to the waiver thereof, may have on the
prepayment performance of the Mortgage Loans. As of July 1, 2003, the
Alternative Mortgage Parity Act of 1982 (the "Parity Act"), which regulates the
ability of the Originators to impose prepayment charges, was amended, and as a
result, the Originators will be required to comply with state and local laws in
originating mortgage loans with prepayment charge provisions with respect to
loans originated on or after July 1, 2003. The Depositor makes no
representations as to the effect that the prepayment charges, decisions by the
Master Servicer with respect to the waiver thereof and the recent amendment of
the Parity Act, may have on the prepayment performance of the Mortgage Loans.
However, the OTS's ruling does not retroactively affect loans originated before
July 1, 2003. See "Certain Legal Aspects of Mortgage Loans-Enforceability of
Certain Provisions-Prepayment Charges" in the prospectus.
None of the Mortgage Loans are Buydown Mortgage Loans.
-14-
GROUP I MORTGAGE LOAN STATISTICS
The Group I Mortgage Loans have an aggregate principal balance as of
the Cut-off Date of approximately $811,361,421.35, after application of
scheduled payments due on or before the Cut-off Date whether or not received,
and subject to a permitted variance of plus or minus 5%. None of the Group I
Mortgage Loans had a first Due Date prior to June 2003 or after February 2004,
or will have a remaining term to stated maturity of less than 117 months or
greater than 360 months as of the Cut-off Date. The latest maturity date of any
Group I Mortgage Loan is January 2034. The Group I Mortgage Loans are expected
to have the following characteristics as of the Cut-off Date (the sum in any
column may not equal the total indicated due to rounding):
PRINCIPAL BALANCES OF THE GROUP I MORTGAGE LOANS AS OF THE CUT-OFF DATE(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
RANGE OF PRINCIPAL BALANCES AS NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
OF THE CUT-OFF DATE ($) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
50,000.01 - 75,000.00 ............. 979 $ 64,366,727.32 7.93%
75,000.01 - 100,000.00 ............. 1,184 104,010,772.75 12.82
100,000.01 - 125,000.00 ............. 919 103,119,981.92 12.71
125,000.01 - 150,000.00 ............. 733 100,522,847.75 12.39
150,000.01 - 175,000.00 ............. 585 94,797,626.94 11.68
175,000.01 - 200,000.00 ............. 438 82,383,406.62 10.15
200,000.01 - 225,000.00 ............. 317 67,500,085.98 8.32
225,000.01 - 250,000.00 ............. 252 59,822,779.63 7.37
250,000.01 - 275,000.00 ............. 180 47,013,217.76 5.79
275,000.01 - 300,000.00 ............. 154 44,390,027.88 5.47
300,000.01 - 325,000.00 ............. 104 32,352,608.68 3.99
325,000.01 - 350,000.00 ............. 6 2,040,702.87 0.25
350,000.01 - 375,000.00 ............. 9 3,268,788.11 0.40
375,000.01 - 400,000.00 ............. 5 1,948,736.43 0.24
400,000.01 - 425,000.00 ............. 6 2,476,594.06 0.31
425,000.01 - 450,000.00 ............. 2 875,774.46 0.11
450,000.01 - 475,000.00 ............. 1 470,742.19 0.06
----- ------------------ ------
Total .......................... 5,874 $ 811,361,421.35 100.00%
===== ================== ======
______________
(1) The average principal balance of the Group I Mortgage Loans as of the
Cut-off Date was approximately $138,128.
CURRENT MORTGAGE RATES OF THE GROUP I MORTGAGE LOANS AS OF THE CUT-OFF DATE(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
CURRENT MORTGAGE RATE (%) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
5.000 - 5.999 .............. 308 $ 51,070,668.58 6.29%
6.000 - 6.999 .............. 958 152,723,298.10 18.82
7.000 - 7.999 .............. 1,741 250,434,777.29 30.87
8.000 - 8.999 .............. 1,274 172,524,960.01 21.26
9.000 - 9.999 .............. 950 117,092,590.22 14.43
10.000 -10.999 .............. 416 45,797,983.33 5.64
11.000 -11.999 .............. 182 16,846,798.94 2.08
12.000 -12.999 .............. 45 4,870,344.88 0.60
----- ------------------ ------
Total ...................... 5,874 $ 811,361,421.35 100.00%
===== ================== ======
______________
(1) The weighted average current Mortgage Rate of the Group I Mortgage Loans as
of the Cut-off Date was approximately 8.10% per annum.
-15-
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
MAXIMUM MORTGAGE RATE (%) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
11.001 -11.500 .............. 3 $ 696,073.13 0.13%
11.501 -12.000 .............. 95 17,063,232.72 3.24
12.001 -12.500 .............. 134 24,460,001.42 4.64
12.501 -13.000 .............. 268 46,362,106.07 8.79
13.001 -13.500 .............. 400 61,981,362.24 11.76
13.501 -14.000 .............. 523 77,645,678.25 14.73
14.001 -14.500 .............. 407 59,680,060.58 11.32
14.501 -15.000 .............. 592 81,789,995.53 15.51
15.001 -15.500 .............. 365 49,538,050.67 9.40
15.501 -16.000 .............. 423 51,570,615.00 9.78
16.001 -16.500 .............. 185 21,337,940.66 4.05
16.501 -17.000 .............. 153 17,238,413.52 3.27
17.001 -17.500 .............. 84 8,708,969.53 1.65
17.501 -18.000 .............. 54 5,086,505.52 0.96
18.001 -18.500 .............. 21 2,520,345.71 0.48
18.501 -19.000 .............. 13 1,566,517.58 0.30
----- ------------------ ------
Total ...................... 3,720 $ 527,245,868.13 100.00%
===== ================== ======
______________
(1) The weighted average Maximum Mortgage Rate of the adjustable-rate Group I
Mortgage Loans as of the Cut-off Date was approximately 14.45% per annum.
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
MINIMUM MORTGAGE RATE (%) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
5.001 - 5.500 .............. 3 $ 696,073.13 0.13%
5.501 - 6.000 .............. 95 17,063,232.72 3.24
6.001 - 6.500 .............. 134 24,460,001.42 4.64
6.501 - 7.000 .............. 268 46,362,106.07 8.79
7.001 - 7.500 .............. 400 61,981,362.24 11.76
7.501 - 8.000 .............. 523 77,645,678.25 14.73
8.001 - 8.500 .............. 407 59,680,060.58 11.32
8.501 - 9.000 .............. 592 81,789,995.53 15.51
9.001 - 9.500 .............. 365 49,538,050.67 9.40
9.501 -10.000 .............. 423 51,570,615.00 9.78
10.001 -10.500 .............. 185 21,337,940.66 4.05
10.501 -11.000 .............. 153 17,238,413.52 3.27
11.001 -11.500 .............. 84 8,708,969.53 1.65
11.501 -12.000 .............. 54 5,086,505.52 0.96
12.001 -12.500 .............. 21 2,520,345.71 0.48
12.501 -13.000 .............. 13 1,566,517.58 0.30
----- ---------------- ------
Total ...................... 3,720 $ 527,245,868.13 100.00%
===== ================ ======
______________
(1) The weighted average Minimum Mortgage Rate of the adjustable-rate Group I
Mortgage Loans as of the Cut-off Date was approximately 8.45% per annum.
-16-
GROSS MARGINS OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
GROSS MARGINS (%) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
3.501 - 4.000 ............... 1 $ 84,915.21 0.02%
4.001 - 4.500 ............... 7 1,281,659.48 0.24
4.501 - 5.000 ............... 341 55,523,736.70 10.53
5.001 - 5.500 ............... 449 70,323,560.07 13.34
5.501 - 6.000 ............... 1,511 212,117,327.54 40.23
6.001 - 6.500 ............... 888 119,164,136.99 22.60
6.501 - 7.000 ............... 523 68,750,532.14 13.04
----- --------------- ------
Total ....................... 3,720 $527,245,868.13 100.00%
===== =============== ======
______________
(1) The weighted average Gross Margin of the adjustable-rate Group I Mortgage
Loans as of the Cut-off Date was approximately 5.97% per annum.
NEXT ADJUSTMENT DATE FOR THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
NEXT ADJUSTMENT DATE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
May 2005 .................... 4 $ 785,296.79 0.15%
June 2005 ................... 131 18,578,506.72 3.52
July 2005 ................... 110 16,479,323.08 3.13
August 2005 ................. 95 12,472,267.61 2.37
September 2005 .............. 48 7,305,735.56 1.39
October 2005 ................ 76 10,218,798.80 1.94
November 2005 ............... 1,575 233,750,439.57 44.33
December 2005 ............... 1,490 205,121,803.00 38.90
January 2006 ................ 191 22,533,697.00 4.27
----- --------------- ------
Total ..................... 3,720 $527,245,868.13 100.00%
===== =============== ======
______________
(1) The weighted average next Adjustment Date for the adjustable-rate Group I
Mortgage Loans as of the Cut-off Date is November 2005.
ORIGINAL LOAN-TO-VALUE RATIOS OF THE GROUP I MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
ORIGINAL LOAN-TO-VALUE RATIO (%) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
--------------------------------- -------------- ----------------- -----------------
20.000 or less .............. 16 $ 1,374,018.03 0.17%
20.001 -25.000 .............. 23 1,822,675.40 0.22
25.001 -30.000 .............. 23 2,027,908.87 0.25
30.001 -35.000 .............. 39 3,860,383.15 0.48
35.001 -40.000 .............. 65 7,335,942.14 0.90
40.001 -45.000 .............. 73 7,952,539.29 0.98
45.001 -50.000 .............. 110 12,298,884.84 1.52
50.001 -55.000 .............. 154 19,723,054.36 2.43
55.001 -60.000 .............. 263 32,974,417.70 4.06
60.001 -65.000 .............. 270 35,100,904.75 4.33
65.001 -70.000 .............. 374 50,425,095.52 6.21
70.001 -75.000 .............. 820 111,488,412.35 13.74
75.001 -80.000 .............. 884 119,679,476.92 14.75
80.001 -85.000 .............. 979 140,496,595.39 17.32
85.001 -90.000 .............. 1,608 237,339,018.30 29.25
90.001 -95.000 .............. 173 27,462,094.34 3.38
----- ---------------- ------
Total ...................... 5,874 $ 811,361,421.35 100.00%
===== ================ ======
______________
(1) The weighted average original loan-to-value ratio of the Group I Mortgage
Loans as of the Cut-off Date was approximately 77.93%.
-17-
MORTGAGED PROPERTY TYPES OF THE GROUP I MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PROPERTY TYPE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
--------------------------------- -------------- ----------------- -----------------
Single Family Detached .................. 4,804 $657,198,726.73 81.00%
Two- to Four-Family ..................... 355 63,858,602.08 7.87
Planned Unit Development Detached ....... 219 31,300,465.84 3.86
Condominium ............................. 239 33,400,372.23 4.12
Manufactured Housing .................... 168 14,729,812.10 1.82
Single Family Attached .................. 59 6,090,478.19 0.75
Planned Unit Development Attached ....... 30 4,782,964.18 0.59
----- --------------- ------
Total ................................. 5,874 $811,361,421.35 100.00%
===== =============== ======
MORTGAGED PROPERTY OCCUPANCY STATUS OF THE GROUP I MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
OCCUPANCY STATUS MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
--------------------------------- -------------- ----------------- -----------------
Owner Occupied ................. 5,486 $ 764,308,632.65 94.20%
Non Owner Occupied ............. 333 40,046,099.72 4.94
Second Home .................... 55 7,006,688.98 0.86
----- ---------------- ------
Total ........................ 5,874 $ 811,361,421.35 100.00%
===== ================ ======
______________
(1) Occupancy status as represented by the mortgagor at the time of origination.
PURPOSE OF THE GROUP I MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PURPOSE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
--------------------------------- -------------- ----------------- -----------------
Refinance-Debt Consolidation, Cashout(1) ... 5,239 $725,055,094.78 89.36%
Refinance-Debt Consolidation, No Cashout(2) 601 81,855,521.71 10.09
Purchase ................................... 34 4,450,804.86 0.55
----- --------------- ------
Total .................................... 5,874 $811,361,421.35 100.00%
===== =============== ======
______________
(1) Xxxx proceeds to the borrower inclusive of Debt Consolidation payments
exceed $2,000 or 2% of the original Principal Balance of the related
mortgage loan. Also includes all home equity loans originated in Texas
with any cash proceeds.
(2) Cash proceeds to the borrower inclusive of Debt Consolidation payments
are $2,000 or 2% or less of the original Principal Balance of the related
mortgage loan. Excludes home equity loans originated in Texas with any
cash proceeds.
-18-
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES RELATING TO THE GROUP I MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
LOCATION MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
--------------------------------- -------------- ----------------- -----------------
Alabama ..................... 100 $ 10,966,664.18 1.35%
Alaska ...................... 2 344,415.00 0.04
Arizona ..................... 104 11,733,574.71 1.45
Arkansas .................... 14 1,125,387.78 0.14
California .................. 756 140,075,767.16 17.26
Colorado .................... 107 17,451,904.28 2.15
Connecticut ................. 152 21,779,682.51 2.68
Delaware .................... 28 3,994,369.65 0.49
Florida ..................... 640 74,539,931.41 9.19
Georgia ..................... 34 3,878,414.78 0.48
Hawaii ...................... 23 4,247,797.96 0.52
Idaho ....................... 8 988,954.02 0.12
Illinois .................... 228 29,892,377.52 3.68
Indiana ..................... 117 10,565,978.11 1.30
Iowa ........................ 41 3,801,330.78 0.47
Kansas ...................... 37 3,910,451.83 0.48
Kentucky .................... 17 1,522,481.49 0.19
Louisiana ................... 77 8,058,393.45 0.99
Maine ....................... 53 6,178,640.02 0.76
Maryland .................... 187 29,859,608.67 3.68
Massachusetts ............... 259 48,268,715.21 5.95
Michigan .................... 429 50,772,699.21 6.26
Minnesota ................... 226 32,806,309.08 4.04
Mississippi ................. 89 8,263,498.19 1.02
Missouri .................... 94 10,036,972.89 1.24
Montana ..................... 2 242,764.48 0.03
Nebraska .................... 39 5,049,841.18 0.62
Nevada ...................... 30 4,548,960.66 0.56
New Hampshire ............... 42 6,103,627.17 0.75
New Jersey .................. 312 52,614,742.28 6.48
New Mexico .................. 9 1,048,132.24 0.13
New York .................... 287 54,582,762.04 6.73
North Carolina .............. 40 4,475,063.61 0.55
North Dakota ................ 7 728,508.71 0.09
Ohio ........................ 112 10,928,235.14 1.35
Oklahoma .................... 52 4,776,778.44 0.59
Oregon ...................... 29 3,548,665.97 0.44
Pennsylvania ................ 228 25,222,393.68 3.11
Rhode Island ................ 56 8,078,379.90 1.00
South Carolina .............. 19 1,727,749.94 0.21
South Dakota ................ 8 1,049,183.95 0.13
Tennessee ................... 70 7,665,796.52 0.94
Texas ....................... 402 40,896,012.20 5.04
Utah ........................ 11 1,082,401.09 0.13
Vermont ..................... 11 1,263,236.17 0.16
Washington .................. 136 21,362,261.99 2.63
Wisconsin ................... 143 18,683,343.66 2.30
Wyoming ..................... 7 618,260.44 0.08
----- ---------------- ------
Total ..................... 5,874 $ 811,361,421.35 100.00%
===== ================ ======
______________
(1) The greatest ZIP Code geographic concentration of the Group I Mortgage
Loans was approximately 0.31% in the 11717 ZIP Code.
-19-
QUALIFYING FICO SCORES FOR THE GROUP I MORTGAGE LOANS AT ORIGINATION(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
QUALIFYING FICO SCORE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------- -------------- ----------------- -----------------
500-524 .................. 444 $ 53,919,989.13 6.65%
525-549 .................. 547 70,093,577.04 8.64
550-574 .................. 859 114,936,087.82 14.17
575-599 .................. 630 82,952,484.92 10.22
600-624 .................. 654 91,255,860.92 11.25
625-649 .................. 775 110,833,739.52 13.66
650-674 .................. 667 98,537,781.43 12.14
675-699 .................. 535 79,709,589.60 9.82
700-724 .................. 322 47,489,422.84 5.85
725-749 .................. 232 33,041,880.54 4.07
750-774 .................. 122 17,322,576.29 2.14
775-799 .................. 75 9,872,800.29 1.22
800-824 .................. 12 1,395,631.01 0.17
----- ---------------- ------
Total .................. 5,874 $ 811,361,421.35 100.00%
===== ================ ======
______________
(1) The weighted average qualifying FICO score at origination of the Group I
Mortgage Loans that had FICO scores was approximately 622. See "--FICO
Scores" herein.
INCOME DOCUMENTATION OF THE GROUP I MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
INCOME DOCUMENTATION MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------- -------------- ----------------- -----------------
Full Documentation Program .............. 4,130 $558,144,923.16 68.79%
Stated Income Documentation Program ..... 1,296 188,069,999.79 23.18
Limited Documentation Program ........... 448 65,146,498.40 8.03
Total ................................. 5,874 $811,361,421.35 100.00%
______________
(1) For a description of each documentation level, see "The Mortgage
Loans--Underwriting Standards" herein.
RISK CATEGORIES FOR THE GROUP I MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
RISK CATEGORY MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------- -------------- ----------------- -----------------
8A ....................... 597 $ 84,722,459.56 10.44%
7A ....................... 555 84,610,771.75 10.43
6A ....................... 466 68,299,463.37 8.42
5A ....................... 508 74,776,742.55 9.22
4A ....................... 522 73,191,688.71 9.02
3A ....................... 399 55,954,280.56 6.90
2A ....................... 1,108 147,484,873.00 18.18
A ........................ 367 49,511,720.82 6.10
B ........................ 649 84,388,393.00 10.40
C ........................ 608 77,065,073.89 9.50
D ........................ 95 11,355,954.14 1.40
----- ---------------- ------
Total .................. 5,874 $ 811,361,421.35 100.00%
===== ================ ======
-20-
GROUP II MORTGAGE LOAN STATISTICS
The Group II Mortgage Loans have an aggregate principal balance as of
the Cut-off Date of approximately $171,253,448.63, after application of
scheduled payments due on or before the Cut-off Date whether or not received,
and subject to a permitted variance of plus or minus 5%. None of the Group II
Mortgage Loans had a first Due Date prior to July 2003 or after February 2004,
or will have a remaining term to stated maturity of less than 176 months or
greater than 360 months as of the Cut-off Date. The latest maturity date of any
Group II Mortgage Loan is January 2034. The Group II Mortgage Loans are expected
to have the following characteristics as of the Cut-off Date (the sum in any
column may not equal the total indicated due to rounding):
PRINCIPAL BALANCES OF THE GROUP II MORTGAGE LOANS AS OF THE CUT-OFF DATE(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
RANGE OF PRINCIPAL BALANCES AS NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
OF THE CUT-OFF DATE ($) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
50,000.01 - 75,000.00 .......... 55 $ 3,606,112.55 2.11%
75,000.01 - 100,000.00 .......... 64 5,586,598.53 3.26
100,000.01 - 125,000.00 .......... 50 5,666,786.89 3.31
125,000.01 - 150,000.00 .......... 36 4,936,015.72 2.88
150,000.01 - 175,000.00 .......... 24 3,936,095.98 2.30
175,000.01 - 200,000.00 .......... 15 2,800,885.87 1.64
200,000.01 - 225,000.00 .......... 15 3,167,692.91 1.85
225,000.01 - 250,000.00 .......... 12 2,857,280.31 1.67
250,000.01 - 275,000.00 .......... 7 1,810,760.52 1.06
275,000.01 - 300,000.00 .......... 10 2,886,972.64 1.69
300,000.01 - 325,000.00 .......... 10 3,209,955.93 1.87
325,000.01 - 350,000.00 .......... 52 17,596,549.59 10.28
350,000.01 - 375,000.00 .......... 44 15,928,308.26 9.30
375,000.01 - 400,000.00 .......... 35 13,529,152.86 7.90
400,000.01 - 425,000.00 .......... 31 12,810,254.75 7.48
425,000.01 - 450,000.00 .......... 27 11,816,834.86 6.90
450,000.01 - 475,000.00 .......... 16 7,455,120.93 4.35
475,000.01 - 500,000.00 .......... 17 8,271,933.48 4.83
500,000.01 - 525,000.00 .......... 16 8,269,173.82 4.83
525,000.01 - 550,000.00 .......... 11 5,925,651.48 3.46
550,000.01 - 575,000.00 .......... 18 10,163,932.28 5.94
575,000.01 - 600,000.00 .......... 28 16,694,675.56 9.75
625,000.01 - 650,000.00 .......... 1 630,000.00 0.37
725,000.01 - 750,000.00 .......... 1 727,000.00 0.42
950,000.01 - 975,000.00 .......... 1 969,702.91 0.57
--- --------------- ------
Total ............... 596 $171,253,448.63 100.00%
=== =============== ======
______________
(1) The average principal balance of the Group II Mortgage Loans as of the
Cut-off Date was approximately $287,338.
-21-
CURRENT MORTGAGE RATES OF THE GROUP II MORTGAGE LOANS AS OF THE CUT-OFF DATE(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
CURRENT MORTGAGE RATE (%) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
5.000 - 5.999 ................ 51 $ 14,817,487.50 8.65%
6.000 - 6.999 ................ 154 47,954,721.88 28.00
7.000 - 7.999 ................ 226 62,590,334.33 36.55
8.000 - 8.999 ................ 84 24,068,044.96 14.05
9.000 - 9.999 ................ 40 12,131,075.09 7.08
10.000 - 10.999 ............... 23 5,738,523.83 3.35
11.000 - 11.999 ............... 9 2,021,858.03 1.18
12.000 - 12.999 ............... 3 1,119,369.22 0.65
13.000 - 13.999 ............... 5 682,146.92 0.40
14.000 - 14.999 ............... 1 129,886.87 0.08
--- --------------- ------
Total ........................ 596 $171,253,448.63 100.00%
=== =============== ======
______________
(1) The weighted average current Mortgage Rate of the Group II Mortgage Loans
as of the Cut-off Date was approximately 7.69% per annum.
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
MAXIMUM MORTGAGE RATE (%) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
11.001 - 11.500 ............... 3 $ 1,300,154.52 1.17%
11.501 - 12.000 ............... 16 6,757,833.89 6.08
12.001 - 12.500 ............... 29 12,583,552.54 11.32
12.501 - 13.000 ............... 34 15,018,758.76 13.51
13.001 - 13.500 ............... 32 14,340,966.96 12.90
13.501 - 14.000 ............... 54 23,525,108.45 21.16
14.001 - 14.500 ............... 20 8,318,287.03 7.48
14.501 - 15.000 ............... 24 10,338,506.76 9.30
15.001 - 15.500 ............... 10 4,517,096.45 4.06
15.501 - 16.000 ............... 14 6,210,618.60 5.59
16.001 - 16.500 ............... 3 1,227,240.44 1.10
16.501 - 17.000 ............... 8 3,224,770.52 2.90
17.001 - 17.500 ............... 1 480,000.00 0.43
17.501 - 18.000 ............... 7 1,477,858.03 1.33
18.001 - 18.500 ............... 2 1,048,837.89 0.94
19.001 - 19.500 ............... 4 619,185.49 0.56
19.501 - 20.000 ............... 1 62,961.43 0.06
20.001 - 20.500 ............... 1 129,886.87 0.12
--- --------------- ------
Total ........................ 263 $111,181,624.63 100.00%
=== =============== ======
______________
(1) The weighted average Maximum Mortgage Rate of the adjustable-rate Group II
Mortgage Loans as of the Cut-off Date was approximately 13.93% per annum.
-22-
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
MINIMUM MORTGAGE RATE (%) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
5.001 - 5.500 ............. 3 $ 1,300,154.52 1.17%
5.501 - 6.000 ............. 16 6,757,833.89 6.08
6.001 - 6.500 ............. 29 12,583,552.54 11.32
6.501 - 7.000 ............. 34 15,018,758.76 13.51
7.001 - 7.500 ............. 32 14,340,966.96 12.90
7.501 - 8.000 ............. 54 23,525,108.45 21.16
8.001 - 8.500 ............. 20 8,318,287.03 7.48
8.501 - 9.000 ............. 24 10,338,506.76 9.30
9.001 - 9.500 ............. 10 4,517,096.45 4.06
9.501 - 10.000 ............. 14 6,210,618.60 5.59
10.001 - 10.500 ............. 3 1,227,240.44 1.10
10.501 - 11.000 ............. 8 3,224,770.52 2.90
11.001 - 11.500 ............. 1 480,000.00 0.43
11.501 - 12.000 ............. 7 1,477,858.03 1.33
12.001 - 12.500 ............. 2 1,048,837.89 0.94
13.001 - 13.500 ............. 4 619,185.49 0.56
13.501 - 14.000 ............. 1 62,961.43 0.06
14.001 - 14.500 ............. 1 129,886.87 0.12
--- --------------- ------
Total ...................... 263 $111,181,624.63 100.00%
=== =============== ======
______________
(1) The weighted average Minimum Mortgage Rate of the adjustable-rate Group II
Mortgage Loans as of the Cut-off Date was approximately 7.93% per annum.
GROSS MARGINS OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
GROSS MARGINS (%) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
--------------------------- -------------- ----------------- -----------------
4.501- 5.000 .............. 40 $ 17,394,696.65 15.65%
5.001- 5.500 .............. 34 14,821,696.53 13.33
5.501- 6.000 .............. 122 53,496,773.80 48.12
6.001- 6.500 .............. 49 18,915,136.20 17.01
6.501- 7.000 .............. 18 6,553,321.45 5.89
--- --------------- ------
Total ................. 263 $111,181,624.63 100.00%
=== =============== ======
______________
(1) The weighted average Gross Margin of the adjustable-rate Group II Mortgage
Loans as of the Cut-off Date was approximately 5.83% per annum.
NEXT ADJUSTMENT DATE FOR THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
NEXT ADJUSTMENT DATE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
June 2005 ..................... 2 $ 770,526.52 0.69%
July 2005 ..................... 6 2,139,864.51 1.92
August 2005 ................... 3 1,185,813.72 1.07
September 2005 ................ 4 1,235,862.96 1.11
October 2005 .................. 4 1,528,627.18 1.37
November 2005 ................. 154 66,867,080.74 60.14
December 2005 ................. 85 36,706,749.00 33.02
January 2006 .................. 5 747,100.00 0.67
--- ------------------ ------
Total ............ 263 $ 111,181,624.63 100.00%
=== ================== ======
______________
(1) The weighted average next Adjustment Date for the adjustable-rate Group II
Mortgage Loans as of the Cut-off Date is November 2005.
-23-
ORIGINAL LOAN-TO-VALUE RATIOS OF THE GROUP II MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
ORIGINAL LOAN-TO-VALUE RATIO (%) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
-------------------------------- -------------- ----------------- -----------------
20.001 - 25.000 ........ 3 $ 306,000.00 0.18%
25.001 - 30.000 ........ 2 312,000.00 0.18
30.001 - 35.000 ........ 2 160,000.00 0.09
35.001 - 40.000 ........ 3 320,913.53 0.19
40.001 - 45.000 ........ 10 1,033,327.00 0.60
45.001 - 50.000 ........ 7 1,244,300.85 0.73
50.001 - 55.000 ........ 19 4,107,919.19 2.40
55.001 - 60.000 ........ 20 4,381,909.36 2.56
60.001 - 65.000 ........ 23 5,467,692.18 3.19
65.001 - 70.000 ........ 33 10,962,964.39 6.40
70.001 - 75.000 ........ 64 21,010,864.04 12.27
75.001 - 80.000 ........ 103 31,265,272.51 18.26
80.001 - 85.000 ........ 112 32,596,033.04 19.03
85.001 - 90.000 ........ 188 56,596,908.91 33.05
90.001 - 95.000 ........ 7 1,487,343.63 0.87
--- --------------- ------
Total ......... 596 $171,253,448.63 100.00%
=== =============== ======
______________
(1) The weighted average original loan-to-value ratio of the Group II Mortgage
Loans as of the Cut-off Date was approximately 79.50%.
MORTGAGED PROPERTY TYPES OF THE GROUP II MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PROPERTY TYPE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
-------------------------------- -------------- ----------------- -----------------
Single Family Detached ................. 510 $148,695,046.15 86.83%
Two- to Four-Family .................... 31 8,629,472.02 5.04
Planned Unit Development Detached ...... 24 7,446,842.25 4.35
Condominium ............................ 20 5,549,656.78 3.24
Manufactured Housing ................... 6 533,118.01 0.31
Single Family Attached ................. 4 317,890.79 0.19
Planned Unit Development Attached ...... 1 81,422.63 0.05
--- --------------- ------
Total ............................. 596 $171,253,448.63 100.00%
=== =============== ======
MORTGAGED PROPERTY OCCUPANCY STATUS OF THE GROUP II MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
OCCUPANCY STATUS MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
-------------------------------- -------------- ----------------- -----------------
Owner Occupied ................ 552 $162,277,683.83 94.76%
Non Owner Occupied ............ 36 6,752,690.21 3.94
Second Home ................... 8 2,223,074.59 1.30
--- --------------- ------
Total .................... 596 $171,253,448.63 100.00%
=== =============== ======
______________
(1) Occupancy status as represented by the mortgagor at the time of
origination.
-24-
PURPOSE OF THE GROUP II MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PURPOSE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
-------------------------------- -------------- ----------------- -----------------
Refinance-Debt Consolidation, Cashout(1) ..... 539 $157,896,011.15 92.20%
Refinance-Debt Consolidation, No Cashout(2) .. 54 12,368,457.78 7.22
Purchase ..................................... 3 988,979.70 0.58
--- --------------- ------
Total ................................... 596 $171,253,448.63 100.00%
=== =============== ======
______________
(1) Xxxx proceeds to the borrower inclusive of Debt Consolidation payments
exceed $2,000 or 2% of the original Principal Balance of the related
mortgage loan. Also includes all home equity loans originated in Texas
with any cash proceeds.
(2) Cash proceeds to the borrower inclusive of Debt Consolidation payments
are $2,000 or 2% or less of the original Principal Balance of the
related mortgage loan. Excludes home equity loans originated in Texas
with any cash proceeds.
-25-
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES RELATING TO THE GROUP II MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
LOCATION MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------------------------- -------------- ----------------- -----------------
Alabama .......................... 2 $ 158,100.00 0.09%
Arizona .......................... 7 1,547,166.60 0.90
Arkansas ......................... 1 59,806.55 0.03
California ....................... 172 64,396,139.77 37.60
Colorado ......................... 11 3,282,164.20 1.92
Connecticut ...................... 17 5,215,273.55 3.05
Delaware ......................... 4 665,327.35 0.39
Florida .......................... 42 7,862,986.15 4.59
Georgia .......................... 4 545,683.04 0.32
Hawaii ........................... 2 813,500.00 0.48
Idaho ............................ 2 1,110,747.65 0.65
Illinois ......................... 16 5,243,566.85 3.06
Indiana .......................... 4 518,551.06 0.30
Iowa ............................. 4 315,781.33 0.18
Kansas ........................... 2 823,455.39 0.48
Kentucky ......................... 1 61,599.08 0.04
Louisiana ........................ 4 763,845.88 0.45
Maine ............................ 2 226,402.84 0.13
Maryland ......................... 22 6,629,800.23 3.87
Massachusetts .................... 27 8,975,073.02 5.24
Michigan ......................... 22 4,394,861.22 2.57
Minnesota ........................ 15 2,934,042.95 1.71
Mississippi ...................... 7 676,444.10 0.40
Missouri ......................... 1 85,600.00 0.05
Nebraska ......................... 2 701,618.10 0.41
Nevada ........................... 3 1,082,124.07 0.63
New Hampshire .................... 4 1,444,489.13 0.84
New Jersey ....................... 40 12,075,060.69 7.05
New Mexico ....................... 2 597,576.69 0.35
New York ......................... 54 19,821,593.33 11.57
North Carolina ................... 3 733,141.92 0.43
Ohio ............................. 5 869,824.72 0.51
Oklahoma ......................... 4 488,432.13 0.29
Oregon ........................... 2 237,500.00 0.14
Pennsylvania ..................... 20 2,336,017.37 1.36
Rhode Island ..................... 3 693,886.87 0.41
South Carolina ................... 1 59,950.72 0.04
South Dakota ..................... 1 110,797.12 0.06
Tennessee ........................ 5 602,448.97 0.35
Texas ............................ 33 6,170,988.27 3.60
Utah ............................. 2 474,625.98 0.28
Washington ....................... 14 3,465,289.40 2.02
Wisconsin ........................ 7 1,982,164.34 1.16
--- --------------- ------
Total: .............. 596 $171,253,448.63 100.00%
=== =============== ======
_____________
(1) The greatest ZIP Code geographic concentration of the Group II Mortgage
Loans was approximately 0.93% in the 94560 ZIP Code.
-26-
QUALIFYING FICO SCORES FOR THE GROUP II MORTGAGE LOANS AT ORIGINATION(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
QUALIFYING FICO SCORE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------------------------- -------------- ----------------- -----------------
500-524 ....................... 18 $ 5,401,049.16 3.15%
525-549 ....................... 24 7,411,982.09 4.33
550-574 ....................... 70 23,512,678.05 13.73
575-599 ....................... 55 19,039,664.20 11.12
600-624 ....................... 66 21,913,627.59 12.80
625-649 ....................... 93 25,984,378.89 15.17
650-674 ....................... 92 24,861,822.51 14.52
675-699 ....................... 65 16,737,059.36 9.77
700-724 ....................... 51 13,013,268.60 7.60
725-749 ....................... 36 7,837,821.73 4.58
750-774 ....................... 14 3,773,088.54 2.20
775-799 ....................... 10 1,606,585.28 0.94
800-824 ....................... 2 160,422.63 0.09
--- ---------------- ------
Total ............ 596 $ 171,253,448.63 100.00%
=== ================ ======
______________
(1) The weighted average qualifying FICO score at origination of the Group II
Mortgage Loans that had FICO scores was approximately 633. See "--FICO
Scores" herein.
INCOME DOCUMENTATION OF THE GROUP II MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
INCOME DOCUMENTATION MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------------------------- -------------- ----------------- -----------------
Full Documentation Program ................ 416 $118,481,516.69 69.18%
Stated Income Documentation Program ....... 141 39,098,984.25 22.83
Limited Documentation Program ............. 39 13,672,947.69 7.98
--- --------------- ------
Total ................................ 596 $171,253,448.63 100.00%
=== =============== ======
______________
(1) For a description of each documentation level, see "The Mortgage
Loans--Underwriting Standards" herein.
RISK CATEGORIES FOR THE GROUP II MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
RISK CATEGORY MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------------------------- -------------- ----------------- -----------------
8A ......................... 93 $ 22,037,984.15 12.87%
7A ......................... 68 17,309,318.83 10.11
6A ......................... 73 19,061,609.55 11.13
5A ......................... 56 13,125,211.28 7.66
4A ......................... 67 19,444,985.96 11.35
3A ......................... 44 14,016,465.17 8.18
2A ......................... 103 35,835,444.44 20.93
A .......................... 28 10,425,825.90 6.09
B .......................... 39 12,221,826.61 7.14
C .......................... 23 7,061,877.09 4.12
D .......................... 2 712,899.65 0.42
--- ---------------- ------
Total ................. 596 $ 171,253,448.63 100.00%
=== ================ ======
-27-
GROUP III MORTGAGE LOAN STATISTICS
The Group III Mortgage Loans have an aggregate principal balance as of
the Cut-off Date of approximately $167,382,892.93, after application of
scheduled payments due on or before the Cut-off Date whether or not received,
and subject to a permitted variance of plus or minus 5%. None of the Group III
Mortgage Loans had a first Due Date prior to June 2003 or after February 2004,
or will have a remaining term to stated maturity of less than 119 months or
greater than 360 months as of the Cut-off Date. The latest maturity date of any
Group III Mortgage Loan is January 2034. The Group III Mortgage Loans are
expected to have the following characteristics as of the Cut-off Date (the sum
in any column may not equal the total indicated due to rounding):
PRINCIPAL BALANCES OF THE GROUP III MORTGAGE LOANS AS OF THE CUT-OFF DATE(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
RANGE OF PRINCIPAL BALANCES AS NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
OF THE CUT-OFF DATE ($) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
50,000.01 - 75,000.00 ........... 109 $ 7,190,222.18 4.30%
75,000.01 - 100,000.00 ........... 160 14,130,731.01 8.44
100,000.01 - 125,000.00 ........... 118 13,261,122.06 7.92
125,000.01 - 150,000.00 ........... 103 14,140,381.47 8.45
150,000.01 - 175,000.00 ........... 75 12,090,747.22 7.22
175,000.01 - 200,000.00 ........... 47 8,882,484.50 5.31
200,000.01 - 225,000.00 ........... 40 8,490,088.56 5.07
225,000.01 - 250,000.00 ........... 33 7,834,258.54 4.68
250,000.01 - 275,000.00 ........... 24 6,341,547.98 3.79
275,000.01 - 300,000.00 ........... 21 6,054,341.79 3.62
300,000.01 - 325,000.00 ........... 8 2,509,953.59 1.50
325,000.01 - 350,000.00 ........... 28 9,458,993.71 5.65
350,000.01 - 375,000.00 ........... 23 8,293,065.65 4.95
375,000.01 - 400,000.00 ........... 15 5,835,592.93 3.49
400,000.01 - 425,000.00 ........... 15 6,261,846.88 3.74
425,000.01 - 450,000.00 ........... 15 6,550,505.59 3.91
450,000.01 - 475,000.00 ........... 7 3,218,507.50 1.92
475,000.01 - 500,000.00 ........... 12 5,920,606.83 3.54
500,000.01 - 525,000.00 ........... 4 2,034,446.49 1.22
525,000.01 - 550,000.00 ........... 5 2,695,256.91 1.61
550,000.01 - 575,000.00 ........... 8 4,490,350.99 2.68
575,000.01 - 600,000.00 ........... 16 9,524,491.77 5.69
675,000.01 - 700,000.00 ........... 1 695,000.00 0.42
725,000.01 - 750,000.00 ........... 2 1,478,348.78 0.88
--- --------------- ------
Total ........................ 889 $167,382,892.93 100.00%
=== =============== ======
______________
(1) The average principal balance of the Group III Mortgage Loans as of the
Cut-off Date was approximately $188,282.
-28-
MORTGAGE RATES OF THE GROUP III MORTGAGE LOANS AS OF THE CUT-OFF DATE(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
MORTGAGE RATE ($) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------- -------------- ----------------- -----------------
5.000 - 5.999 ......... 114 $ 32,194,931.50 19.23%
6.000 - 6.999 ......... 277 62,006,915.69 37.05
7.000 - 7.999 ......... 323 53,204,057.63 31.79
8.000 - 8.999 ......... 105 12,460,802.33 7.44
9.000 - 9.999 ......... 38 4,162,172.01 2.49
10.000 - 10.999 ........ 21 2,147,219.15 1.28
11.000 - 11.999 ........ 5 321,038.15 0.19
12.000 - 12.999 ........ 5 815,768.93 0.49
14.000 - 14.999 ........ 1 69,987.54 0.04
--- --------------- ------
Total ......... 889 $167,382,892.93 100.00%
=== =============== ======
______________
(1) The weighted average current Mortgage Rate of the Group III Mortgage Loans
as of the Cut-off Date was approximately 7.04% per annum.
ORIGINAL LOAN-TO-VALUE RATIOS OF THE GROUP III MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
ORIGINAL LOAN-TO-VALUE RATIO ($) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
-------------------------------- -------------- ----------------- -----------------
20.000 or less .......... 5 $ 405,317.67 0.24%
20.001 - 25.000 ......... 6 875,396.33 0.52
25.001 - 30.000 ......... 1 243,982.10 0.15
30.001 - 35.000 ......... 7 989,133.05 0.59
35.001 - 40.000 ......... 14 2,231,743.91 1.33
40.001 - 45.000 ......... 10 1,582,183.50 0.95
45.001 - 50.000 ......... 24 3,711,811.45 2.22
50.001 - 55.000 ......... 15 2,477,898.19 1.48
55.001 - 60.000 ......... 35 6,104,775.22 3.65
60.001 - 65.000 ......... 47 9,422,917.36 5.63
65.001 - 70.000 ......... 49 7,813,606.96 4.67
70.001 - 75.000 ......... 71 13,464,475.79 8.04
75.001 - 80.000 ......... 174 31,795,129.80 19.00
80.001 - 85.000 ......... 113 21,773,218.56 13.01
85.001 - 90.000 ......... 273 54,729,243.03 32.70
90.001 - 95.000 ......... 45 9,762,060.01 5.83
--- --------------- ------
Total ........... 889 $167,382,892.93 100.00%
=== =============== ======
______________
(1) The weighted average original loan-to-value ratio of the Group III Mortgage
Loans as of the Cut-off Date was approximately 78.25%.
MORTGAGED PROPERTY TYPES OF THE GROUP III MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PROPERTY TYPE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------------------------- -------------- ----------------- -----------------
Single Family Detached ................. 725 $140,563,972.35 83.98%
Two- to Four-Family .................... 55 12,679,592.33 7.58
Planned Unit Development Detached ...... 39 5,806,793.36 3.47
Condominium ............................ 30 4,551,596.35 2.72
Manufactured Housing ................... 35 3,061,628.95 1.83
Single Family Attached ................. 4 579,903.38 0.35
Planned Unit Development Attached ...... 1 139,406.21 0.08
--- --------------- ------
Total ................................ 889 $167,382,892.93 100.00%
=== =============== ======
-29-
MORTGAGED PROPERTY OCCUPANCY STATUS OF THE GROUP III MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
OCCUPANCY STATUS MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------------------------- -------------- ----------------- -----------------
Owner Occupied ................ 816 $ 153,895,673.91 91.94%
Non Owner Occupied ............ 63 11,005,670.54 6.58
Second Home ................... 10 2,481,548.48 1.48
--- ------------------ ------
Total ....................... 889 $ 167,382,892.93 100.00%
=== ================== ======
______________
(1) Occupancy status as represented by the mortgagor at the time of origination.
PURPOSE OF THE GROUP III MORTGAGE LOANS
PURPOSE OF THE GROUP III MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PURPOSE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------------------------- -------------- ----------------- -----------------
Refinance-Debt Consolidation, Cashout(1) ..... 778 $146,579,350.61 87.57%
Refinance-Debt Consolidation, No Cashout(2) .. 106 19,816,820.47 11.84
Purchase ..................................... 5 986,721.85 0.59
--- --------------- ------
Total ...................................... 889 $167,382,892.93 100.00%
=== =============== ======
______________
(1) Xxxx proceeds to the borrower inclusive of Debt Consolidation payments
exceed $2,000 or 2% of the original Principal Balance of the related
mortgage loan. Also includes all home equity loans originated in Texas
with any cash proceeds.
(2) Cash proceeds to the borrower inclusive of Debt Consolidation payments
are $2,000 or 2% or less of the original Principal Balance of the related
mortgage loan. Excludes home equity loans originated in Texas with any
cash proceeds.
-30-
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES RELATING TO THE GROUP III MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
LOCATION MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------------------------- -------------- ----------------- -----------------
Alabama ................. 21 $ 2,835,229.10 1.69%
Arizona ................. 10 1,137,585.32 0.68
Arkansas ................ 2 163,794.44 0.10
California .............. 195 54,089,043.18 32.31
Colorado ................ 8 1,725,240.21 1.03
Connecticut ............. 24 4,684,518.85 2.80
Delaware ................ 4 486,417.29 0.29
Florida ................. 97 14,853,530.60 8.87
Georgia ................. 5 567,153.53 0.34
Hawaii .................. 3 676,372.08 0.40
Idaho ................... 2 271,613.91 0.16
Illinois ................ 16 3,103,234.32 1.85
Indiana ................. 19 2,957,453.43 1.77
Iowa .................... 3 300,645.26 0.18
Kansas .................. 3 517,000.00 0.31
Kentucky ................ 3 319,360.45 0.19
Louisiana ............... 18 1,632,054.92 0.98
Maine ................... 6 652,164.87 0.39
Maryland ................ 36 6,553,749.29 3.92
Massachusetts ........... 34 10,079,875.47 6.02
Michigan ................ 43 5,661,583.97 3.38
Minnesota ............... 29 6,053,534.30 3.62
Mississippi ............. 10 1,106,086.42 0.66
Missouri ................ 10 1,343,312.81 0.80
Nebraska ................ 4 419,753.06 0.25
Nevada .................. 5 1,067,304.76 0.64
New Hampshire ........... 5 574,913.76 0.34
New Jersey .............. 30 6,350,668.44 3.79
New Mexico .............. 3 361,439.41 0.22
New York ................ 37 9,092,697.14 5.43
North Carolina .......... 2 367,362.38 0.22
Ohio .................... 15 1,520,911.47 0.91
Oklahoma ................ 14 1,246,890.36 0.74
Oregon .................. 6 1,096,047.10 0.65
Pennsylvania ............ 39 5,831,000.77 3.48
Rhode Island ............ 7 1,429,206.11 0.85
South Carolina .......... 4 557,227.10 0.33
Tennessee ............... 12 1,701,377.90 1.02
Texas ................... 63 6,979,192.34 4.17
Utah .................... 1 80,955.66 0.05
Vermont ................. 2 135,777.00 0.08
Washington .............. 28 5,566,539.98 3.33
Wisconsin ............... 10 1,119,907.17 0.67
Wyoming ................. 1 113,167.00 0.07
--- ---------------- ------
Total: ......... 889 $ 167,382,892.93 100.00%
=== ================ ======
______________
(1) The greatest ZIP Code geographic concentration of the Group III Mortgage
Loans was approximately 0.59% in the 94303 ZIP Code.
-31-
QUALIFYING FICO SCORES FOR THE GROUP III MORTGAGE LOANS AT ORIGINATION(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
QUALIFYING FICO SCORE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------------------------- -------------- ----------------- -----------------
500 - 524 .................... 5 $ 407,274.89 0.24%
525 - 549 .................... 15 1,869,036.75 1.12
550 - 574 .................... 43 5,456,130.99 3.26
575 - 599 .................... 35 4,652,578.34 2.78
600 - 624 .................... 73 12,336,271.27 7.37
625 - 649 .................... 139 22,106,474.83 13.21
650 - 674 .................... 139 27,373,887.24 16.35
675 - 699 .................... 169 35,990,624.72 21.50
700 - 724 .................... 121 26,032,626.27 15.55
725 - 749 .................... 86 17,451,463.45 10.43
750 - 774 .................... 38 8,090,066.92 4.83
775 - 799 .................... 21 4,763,763.93 2.85
800 - 824 .................... 5 852,693.33 0.51
--- ------------------ ------
Total ............. 889 $ 167,382,892.93 100.00%
=== ================== ======
______________
(1) The weighted average qualifying FICO score at origination of the Group III
Mortgage Loans that had FICO scores was approximately 678. See "--FICO
Scores" herein.
INCOME DOCUMENTATION OF THE GROUP III MORTGAGE LOANS(1)
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
INCOME DOCUMENTATION MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------------------------- -------------- ----------------- -----------------
Full Documentation Program ................ 677 $128,836,338.13 76.97%
Stated Income Documentation Program ....... 164 29,639,675.82 17.71
Limited Documentation Program ............. 48 8,906,878.98 5.32
--- --------------- ------
Total ................................... 889 $167,382,892.93 100.00%
=== =============== ======
______________
(1) For a description of each documentation level, see "The Mortgage
Loans--Underwriting Standards" herein.
RISK CATEGORIES FOR THE GROUP III MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
RISK CATEGORY MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------------------------- -------------- ----------------- -----------------
8A ......................... 223 $ 48,184,501.25 28.79%
7A ......................... 180 38,824,720.54 23.20
6A ......................... 122 22,145,357.56 13.23
5A ......................... 103 18,730,810.91 11.19
4A ......................... 98 17,759,827.43 10.61
3A ......................... 44 6,670,730.08 3.99
2A ......................... 73 9,838,266.63 5.88
A .......................... 17 1,543,795.43 0.92
B .......................... 15 1,656,243.27 0.99
C .......................... 14 2,028,639.83 1.21
--- --------------- ------
Total .................... 889 $167,382,892.93 100.00%
=== =============== ======
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