-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, F+iOmVZfsKQKXG2bEVrck4J9TBpfBNOLxuKuodqYVsOZENoKF8i000MQ4bW4Hh3A IWfIuCxcsC52Pe3JFJAYtw== 0001015402-04-004327.txt : 20041014 0001015402-04-004327.hdr.sgml : 20041014 20041014172433 ACCESSION NUMBER: 0001015402-04-004327 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20040929 ITEM INFORMATION: Completion of Acquisition or Disposition of Assets ITEM INFORMATION: Other Events ITEM INFORMATION: Financial Statements and Exhibits FILED AS OF DATE: 20041014 DATE AS OF CHANGE: 20041014 FILER: COMPANY DATA: COMPANY CONFORMED NAME: IMH ASSETS CORP CENTRAL INDEX KEY: 0001017447 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] IRS NUMBER: 330705301 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 333-103591 FILM NUMBER: 041079530 BUSINESS ADDRESS: STREET 1: 1401 DOVE STREET STREET 2: SUITE 200 CITY: NEWPORT BEACH STATE: CA ZIP: 92660 BUSINESS PHONE: 9494753600 MAIL ADDRESS: STREET 1: 1401 DOVE STREET STREET 2: SUITE 200 CITY: NEWPORT BEACH STATE: CA ZIP: 92660 8-K 1 doc1.txt - -------------------------------------------------------------------------------- UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 8-K CURRENT REPORT Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 Date of Report (Date of earliest event reported) September 29, 2004 IMH ASSETS CORP. (as depositor under an Indenture, dated as of September 29, 2004, providing for, inter alia, the issuance of Collateralized Asset-Backed Bonds, Series 2004-8) IMH Assets Corp. - -------------------------------------------------------------------------------- (Exact name of registrant as specified in its charter) CALIFORNIA 333-117817-01 33-0705301 - --------------------------------- --------------- -------------------------- (State or Other Jurisdiction (Commission (I.R.S. Employer of Incorporation) File Number) Identification No.) 1401 Dove Street Newport Beach, California 92660 - ------------------------- --------- (Address of Principal (Zip Code) Executive Offices) Registrant's telephone number, including area code, is (949) 475-3600 Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions (see General Instruction A.2. below): [ ] Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) [ ] Soliciting material pursuant to Rule 14a-12(b) under the Exchange Act (17 CFR 240.14a-12(b)) [ ] Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) [ ] Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)) Item 2.01. Acquisition or Disposition of Assets. ------------------------------------ On September 29, 2004, a single series of bonds, entitled IMH Assets Corp., Collateralized Asset-Backed Bonds, Series 2004-8 (the "Bonds"), were issued pursuant to an indenture, dated as of September 29, 2004 (the "Agreement"), between Impac CMB Trust Series 2004-8, a Delaware statutory trust, as Issuer (the "Issuer"), and Deutsche Bank National Trust Company, as Indenture Trustee (the "Indenture Trustee"). Item 8.01. Other Events. ------------ Description of the Mortgage Pool The Bonds, issued pursuant to the Agreement, evidence in the aggregate the entire beneficial ownership interest in a trust fund (the "Trust Fund"), consisting of mortgage loans (the "Mortgage Pool"). The Mortgage Pool is comprised of one- to four-family, adjustable-rate first lien and fixed-rate second lien mortgage loans (the "Mortgage Loans"). The Mortgage Loans have an aggregate principal balance of approximately $1,581,392,042 as of September 1, 2004. The tables attached as an exhibit hereto describe certain characteristics of the Mortgage Pool as of September 1, 2004, with respect to the Mortgage Loans. Item 9.01. Financial Statements and Exhibits. --------------------------------- (a) Not applicable (b) Not applicable (c) Exhibits:
EXHIBIT NO. DESCRIPTION - ----------- ----------- 99.1 Characteristics of the Mortgage Pool as of September 1, 2004, relating to IMH Assets Corp., Collateralized Asset-Backed Bonds, Series 2004-8.
SIGNATURE Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized. By: /s/ Richard J. Johnson ------------------------- Name: Richard J. Johnson Title: Chief Financial Officer Dated: October 14, 2004
EXHIBIT INDEX Exhibit Number Description - -------------- ----------- 99.1 Characteristics of the Mortgage Pool as of September 1, 2004, relating to IMH Assets Corp., Collateralized Asset-Backed Bonds, Series 2004-8.
EX-99.1 2 doc2.txt EXHIBIT 99.1 Exhibit 99.1 THE MORTGAGE POOL GENERAL The mortgage pool consists of three groups of mortgage loans, referred to in the prospectus supplement as "Loan Group 1", "Loan Group 2" and "Loan Group 3" (and each, a "Loan Group"), and also designated as the "Group 1 Loans", the "Group 2 Loans" and the "Group 3 Loans", respectively. The Group 1 Loans consist of one- to four-family, adjustable-rate, residential mortgage loans secured by first liens on mortgaged properties and one- to four-family, fixed-rate, residential mortgage loans secured by second liens on mortgaged properties that may or may not conform to Fannie Mae or Freddie Mac loan limits. The Group 2 Loans consist of one- to four-family, adjustable-rate, residential mortgage loans secured by first liens on mortgaged properties and one- to four-family, fixed-rate, residential mortgage loans secured by second liens on mortgaged properties that conform to Fannie Mae or Freddie Mac loan limits. The Group 3 Loans consist of adjustable-rate, multifamily mortgage loans secured by first liens on mortgaged properties. The mortgage loans will have original terms to maturity of not greater than 30 years. The Group 1 Loans consists of mortgage loans which had principal balances at origination which may or may not be greater than Fannie Mae or Freddie Mac conforming balances and the Group 2 Loans consists of mortgage loans which had principal balances at origination which are less than or equal to Fannie Mae or Freddie Mac conforming balances. The conforming balance for mortgage loans secured by a single family property is $333,700 for all mortgage loans other than those originated in Alaska, Hawaii, Guam and the U.S. Virgin Islands, for which it is $500,550. The conforming balance is higher for mortgage loans secured by two- to four-family properties. Notwithstanding these conforming balances, the Group 2 Loans have been originated according to underwriting standards that do not satisfy Fannie Mae or Freddie Mac underwriting criteria. The company conveyed the mortgage loans to the trust on the Closing Date pursuant to the Trust Agreement. The Seller made certain representations and warranties with respect to the mortgage loans in the Mortgage Loan Purchase Agreement. These representations and warranties were assigned to the indenture trustee for the benefit of the Bondholders and the Bond Insurer. As more particularly described in the prospectus, the Seller will have certain repurchase or substitution obligations in connection with a breach of any such representation or warranty, as well as in connection with an omission or defect in respect of certain constituent documents required to be delivered with respect to the mortgage loans, if such breach, omission or defect cannot be cured and it materially and adversely affects the interests of the Bondholders or the Bond Insurer. See "The Mortgage Pools - Representations by Sellers" in the prospectus. All of the mortgage loans were current as of the Cut-off Date. Substantially all of the mortgage loans have scheduled monthly payments due on the first of the month. Each adjustable-rate Group 1 Loan, Group 2 Loan and Group 3 Loan is generally assumable in accordance with the terms of the related mortgage note. Each mortgage loan is required to be covered by a standard hazard insurance policy. See "Primary Mortgage Insurance, Hazard Insurance; Claims Thereunder-Hazard Insurance Policies" in the prospectus. 99-1 PREPAYMENT CHARGES Approximately 49.50%, 60.00% and 100.00% of the mortgage loans in loan group 1, loan group 2 and loan group 3, respectively (by aggregate outstanding principal balance of the related mortgage loans as of the cut-off date), provide for payment by the mortgagor of a prepayment charge in limited circumstances on prepayments. Generally, mortgage loans with prepayment charges provide for payment of a prepayment charge on some partial or full prepayments made within one year, two years, three years or five years, or other period as provided in the related mortgage note from the date of origination of the mortgage loan. No mortgage loan provides for payment of a prepayment charge on partial or full prepayments made more than seven years from the date of origination of that mortgage loan. The amount of the prepayment charge is as provided in the related mortgage note. The prepayment charge will generally apply if, in any twelve-month period during the first year, five years or other period as provided in the related mortgage note from the date of origination of the mortgage loan, the mortgagor prepays an aggregate amount exceeding 20% of the original principal balance of the mortgage loan. The amount of the prepayment charge on the residential loans will generally be equal to 6 months' advance interest calculated on the basis of the mortgage rate in effect at the time of the prepayment on the amount prepaid in excess of 20% of the original principal balance of the mortgage loan. For the multifamily loans with no initial fixed rate period or a three year fixed rate period, the amount of the prepayment charge is 3% of the principal balance of the related mortgage loan for the first year after origination, declining by 1% each year until such charge terminates at the end of the third year. For the multifamily loans with a five year fixed rate period, the amount of the charge is 5% of the principal balance of the related mortgage loan for the first year after origination, declining by 1% each year until such charge terminates at the end of the fifth year. The prepayment charges may, in certain circumstances, be waived by the Master Servicer or the related subservicer. Some of these prepayment charges may not be enforceable in cases where the mortgagor sells the related mortgaged property. There can be no assurance that the prepayment charges will have any effect on the prepayment performance of the mortgage loans. The Master Servicer will deposit all prepayment charges received on the Group 1 Loans and Group 2 Loans into the Payment Account to be included in the related Available Funds. The Master Servicer or the related subservicer will be entitled to all prepayment charges received on the Group 3 Loans, and these amounts will not be available for payment on the Bonds. PRIMARY MORTGAGE INSURANCE AND THE RADIAN LENDER-PAID PMI POLICY Substantially all of the Group 1 Loans, Group 2 Loans and Group 3 Loans with a loan-to-value ratio at origination in excess of 80.00% will be insured by one of the following: (1) a Primary Insurance Policy issued by a private mortgage insurer (other than a Radian Lender-Paid PMI Policy) or (2) the Radian Lender-Paid PMI Policy. Each Primary Insurance Policy will insure against default under each insured mortgage note as follows: (A) for which the outstanding principal balance at origination of such mortgage loan is greater than or equal to 80.01% and up to and including 90.00% of the lesser of the Appraised Value and the sale price, such mortgage loan is covered by a Primary Insurance Policy in an amount equal to at least 12.00% of the Allowable Claim and (B) for which the outstanding principal balance at origination of such mortgage loan exceeded 90.00% of the lesser of the Appraised Value and the sales price, such mortgage loan is covered by a Primary Insurance Policy in an amount equal to at least 30.00% of the Allowable Claim. 99-2 The Radian Lender-Paid PMI Policy will insure against default under each insured mortgage note as follows: (A) for which the outstanding principal balance at origination of such mortgage loan is greater than or equal to 80.01% and up to and including 89.99% of the lesser of the Appraised Value and the sales price, such mortgage loan is covered in an amount equal to at least 22.00% of the Allowable Claim, (B) for which the outstanding principal balance at origination of such mortgage loan is at least 90.00% and up to and including 95.00% of the lesser of the Appraised Value and the sales price, such mortgage loan is covered in an amount equal to at least 22.00% of the Allowable Claim and (C) for which the outstanding principal balance at origination of such mortgage loan is at least 95.01% and up to and including 97.00% of the lesser of the Appraised Value and the sales price, such mortgage loan is covered in an amount equal to at least 35.00% of the Allowable Claim. With respect to the Radian Lender-Paid PMI Policy, the premium will be payable by the Master Servicer out of interest collections on the mortgage loans at a rate equal to the related Radian PMI Rate. The Radian PMI Rates for the mortgage loans will range from 0.28% per annum to 2.23% per annum of the Stated Principal Balance of the related Radian PMI Insured Loan. To the extent of a default by Radian under the Radian Lender-Paid PMI Policy, the Master Servicer will use its best efforts to find a replacement policy with substantially similar terms, with the approval of the Bond Insurer. See "Primary Mortgage Insurance, Hazard Insurance; Claims Thereunder - Hazard Insurance Policies" in the Prospectus. SAMPLE MORTGAGE LOAN CHARACTERISTICS The statistical information included in the prospectus supplement with respect to the mortgage loans is based on a pool of 5,807 mortgage loans, 39.63% of which are in Loan Group 1, 53.98% of which are in Loan Group 2 and 6.39% of which are in Loan Group 3. References to percentages of the mortgage loans unless otherwise noted are calculated based on the aggregate principal balance of the mortgage loans as of the Cut-off Date. The original mortgages for some of the mortgage loans have been, or in the future may be, at the sole discretion of the Master Servicer, recorded in the name of Mortgage Electronic Registration Systems, Inc., or MERS, solely as nominee for the Seller and its successors and assigns, and subsequent assignments of those mortgages have been, or in the future may be, at the sole discretion of the Master Servicer, registered electronically through the MERS(R) System. In some other cases, the original mortgage was recorded in the name of the originator of the mortgage loan, record ownership was later assigned to MERS, solely as nominee for the owner of the mortgage loan, and subsequent assignments of the mortgage were, or in the future may be, at the sole discretion of the Master Servicer, registered electronically through the MERS(R) System. For each of these mortgage loans, MERS serves as mortgagee of record on the mortgage solely as a nominee in an administrative capacity on behalf of the indenture trustee, and does not have any interest in the mortgage loan. Some of the Group 1 Loans, Group 2 Loans and Group 3 Loans were recorded in the name of MERS. For additional information regarding the recording of mortgages in the name of MERS see "Yield on the Bonds-Yield Sensitivity of the Bonds" in this prospectus supplement. Loan Group 1 99-3 The Group 1 Loans had an aggregate principal balance as of the Cut-off Date of approximately $626,691,402, after application of scheduled payments due on or before the Cut-off Date, whether or not received. Approximately 96.06% of the Group 1 Loans have adjustable rates and are secured by first liens on the related mortgaged property. Approximately 3.94% of the Group 1 Loans have fixed rates and are secured by second liens on the related mortgaged property. The average principal balance of the Group 1 Loans at origination was approximately $400,004. No Group 1 Loan had a principal balance at origination of greater than approximately $2,100,000 or less than approximately $33,000. The average principal balance of the Group 1 Loans as of the Cut-off Date was approximately $399,931. No Group 1 Loan had a principal balance as of the Cut-off Date of greater than approximately $2,100,000 or less than approximately $32,927. As of the Cut-off Date, the Group 1 Loans had mortgage rates ranging from approximately 3.990% per annum to approximately 12.625% per annum and the weighted average mortgage rate was approximately 5.877% per annum. The weighted average remaining term to stated maturity of the Group 1 Loans was approximately 359 months as of the Cut-off Date. None of the Group 1 Loans will have a first Due Date prior to November 2003, or after November 2004, or will have a remaining term to maturity of less than 170 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any Group 1 Loan is October 2034. Approximately 0.43%, 1.70%, 77.36%, 0.21% and 7.82% of the Group 1 Loans have initial interest only periods of two, three, five, seven and ten years, respectively. The loan-to-value ratio of a mortgage loan secured by a first lien is equal to the ratio, expressed as a percentage, of the principal amount of the loan at origination, to the lesser of the appraised value of the related mortgaged property at the time of origination and the sales price. The combined loan-to-value ratio of a mortgage loan secured by a second lien is equal to the ratio, expressed as a percentage, of the principal amount of the loan at origination, plus the outstanding principal balance of the related senior lien, to the appraised value of the related mortgaged property at the time of origination. The weighted average of the loan-to-value ratios and combined loan-to-value ratios, as applicable, at origination of the Group 1 Loans was approximately 77.98%. No loan-to-value ratio or combined loan-to-value ratio, as applicable, at origination of any Group 1 Loan was greater than approximately 100.00% or less than approximately 28.00%. Approximately 2.22% of the Group 1 Loans are balloon loans. The amount of the balloon payment on each of these mortgage loans is substantially in excess of the amount of the scheduled monthly payment on such mortgage loan for the period prior to the Due Date of the balloon payment. These mortgage loans have a weighted average remaining term to maturity of approximately 179 months. None of the Group 1 Loans are buydown mortgage loans. Approximately 95.39% of the adjustable-rate Group 1 Loans have not reached their first adjustment date as of the Closing Date. Approximately 49.50% of the Group 1 Loans provide for prepayment charges. Approximately 3.45% and 8.15% of the Group 1 Loans are covered by a Primary Insurance Policy and the Radian Lender-Paid PMI Policy, respectively. For the Group 1 Loans, the weighted average of 99-4 the Radian PMI Rates for the mortgage loans covered by the Radian Lender-Paid PMI Policy is approximately 0.977% per annum. Set forth below is a description of certain additional characteristics of the Group 1 Loans as of the Cut-off Date, except as otherwise indicated. All percentages of the Group 1 Loans are approximate percentages by aggregate principal balance as of the Cut-off Date, except as otherwise indicated. Dollar amounts and percentages may not add up to totals due to rounding. All references to loan-to-value ratio or LTV in the following tables refer to the combined-loan-to-value ratio in the case of mortgage loans secured by second liens. 99-5
MORTGAGE LOAN PROGRAMS(1) WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF AVERAGE GROSS TERM CREDIT ORIGINAL LOAN PROGRAMS CURRENT BALANCE LOANS % OF TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------- ---------------- ------ ----------- -------- --------- --------- -------- --------- 30Y LIB1M-IO. . . . $ 5,818,250 11 0.93% $528,932 5.060% 359 721 78.59% 30Y LIB6M . . . . . 7,087,796 17 1.13 416,929 6.250 359 690 78.47 30Y LIB6M-IO. . . . 87,771,334 206 14.01 426,074 5.470 359 698 77.62 30Y LIB12M-IO . . . 5,932,400 15 0.95 395,493 5.147 359 705 79.97 2/28 LIB6M. . . . . 27,824,939 71 4.44 391,901 6.272 359 663 80.00 2/28 LIB6M-IO . . . 300,454,119 686 47.94 437,980 5.778 359 688 79.55 3/27 LIB6M. . . . . 9,819,349 26 1.57 377,667 5.782 359 692 77.20 3/27 LIB6M-IO . . . 85,213,925 182 13.60 468,208 5.449 360 697 73.97 5/25 LIB6M. . . . . 4,738,066 14 0.76 338,433 5.603 359 691 65.55 5/25 LIB6M-IO . . . 49,846,361 124 7.95 401,987 5.722 359 716 70.03 7/23 LIB6M. . . . . 576,978 1 0.09 576,978 6.500 360 715 70.00 7/23 LIB6M-IO . . . 3,879,000 8 0.62 484,875 5.587 360 730 64.57 10/20 LIB12M-IO . . 391,910 1 0.06 391,910 6.125 357 755 80.00 3/1 LIB12M. . . . . 3,488,146 7 0.56 498,307 4.748 355 728 67.69 3/1 LIB12M-IO . . . 7,157,654 14 1.14 511,261 5.565 358 710 78.62 5/1 LIB12M-IO . . . 1,330,642 3 0.21 443,547 6.070 359 717 83.51 7/1 LIB12M-IO . . . 665,000 1 0.11 665,000 5.000 360 794 67.17 15Yr. Fixed . . . . 1,200,688 9 0.19 133,410 10.594 177 649 88.92 30/15 Fixed Balloon 13,906,999 98 2.22 141,908 10.844 359 692 97.02 30Yr. Fixed . . . . 9,587,846 73 1.53 131,340 10.024 357 693 88.10 ---------------- ------ ----------- -------- --------- --------- -------- --------- Total . . . . . $ 626,691,402 1,567 100.00% $399,931 5.877% 359 694 77.98% ================ ====== =========== _______________________________ (1) A mortgage loan with a loan program including the term "30Y LIB1M" has a term of 30 years and the mortgage rate adjusts monthly based on the value of One-Month LIBOR. A mortgage loan with a loan program including the term "30Y LIB6M" has a term of 30 years and the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term "30Y LIB12M" has a term of 30 years and the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term "2/28 LIB6M" has a term of 30 years, the first two of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term "3/27 LIB6M" has a term of 30 years, the first three of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term "5/25 LIB6M" has a term of 30 years, the first five of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term "7/23 LIB6M" has a term of 30 years, the first seven of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term "3/1 LIB12M" has a term of 30 years, the first three of which consist of a fixed rate period, and thereafter the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term "5/1 LIB12M" has a term of 30 years, the first five of which consist of a fixed rate period, and thereafter the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term "7/1 LIB12M" has a term of 30 years, the first seven of which consist of a fixed rate period, and thereafter the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term "10/20 LIB12M" has a term of 30 years, the first ten of which consist of a fixed rate period, and thereafter the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term "IO" has an interest only period. A mortgage loan with a loan program of "30/15 Fixed Balloon" has a term of 30 years, the mortgage rate is fixed for the entire term and requires a balloon payment in year 15. A mortgage loan with a loan program of, "15Yr Fixed" and "30Yr Fixed" is a fixed rate loan with a term of 15 and 30 years, respectively.
99-6
PRINCIPAL BALANCES AS OF ORIGINATION WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF MORTGAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL LOAN PRINCIPAL BALANCES BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ---------------------------- ------------ ------ ------- ---------- --------- --------- -------- --------- $0.01 - $50,000.00 . . . . . $ 666,047 15 0.11% $ 44,403 9.353% 345 680 85.55% 50,000.01 - 100,000.00 . . . 5,509,608 72 0.88 76,522 9.366 347 688 92.22 100,000.01 - 150,000.00. . . 7,993,290 62 1.28 128,924 8.272 351 688 83.54 150,000.01 - 200,000.00. . . 11,090,022 64 1.77 173,282 8.712 357 698 86.50 200,000.01 - 250,000.00. . . 9,533,663 42 1.52 226,992 7.870 359 699 79.99 250,000.01 - 300,000.00. . . 9,114,934 33 1.45 276,210 6.995 359 705 78.48 300,000.01 - 350,000.00. . . 59,623,425 176 9.51 338,769 5.637 359 695 78.46 350,000.01 - 400,000.00. . . 146,352,113 390 23.35 375,262 5.763 359 691 78.85 400,000.01 - 450,000.00. . . 91,311,557 215 14.57 424,705 5.684 359 696 78.94 450,000.01 - 500,000.00. . . 80,713,166 170 12.88 474,783 5.771 359 688 78.96 500,000.01 - 550,000.00. . . 52,832,317 100 8.43 528,323 5.763 359 690 77.67 550,000.01 - 600,000.00. . . 46,585,325 81 7.43 575,127 5.808 359 696 78.39 600,000.01 - 650,000.00. . . 46,870,868 74 7.48 633,390 5.672 360 698 76.03 650,000.01 - 700,000.00. . . 22,486,530 33 3.59 681,410 5.346 359 694 70.36 700,000.01 - 750,000.00. . . 11,033,479 15 1.76 735,565 6.018 360 684 75.79 750,000.01 - 800,000.00. . . 2,363,000 3 0.38 787,667 5.421 360 730 76.77 800,000.01 - 850,000.00. . . 3,286,250 4 0.52 821,563 5.089 359 696 71.91 850,000.01 - 900,000.00. . . 4,387,211 5 0.70 877,442 4.998 359 705 69.08 950,000.01 - 1,000,000.00. . 8,905,417 9 1.42 989,491 5.503 359 702 62.57 1,000,000.01 - 1,050,000.00. 1,026,000 1 0.16 1,026,000 4.875 357 697 59.97 1,400,000.01 - 1,450,000.00. 1,407,180 1 0.22 1,407,180 5.990 359 707 60.00 1,450,000.01 - 1,500,000.00. 1,500,000 1 0.24 1,500,000 4.750 360 753 75.00 1,800,000.00 and up. . . . . 2,100,000 1 0.34 2,100,000 5.125 359 695 60.00 ------------ ------ ------- ---------- --------- --------- -------- --------- Total. . . . . . . . . . $626,691,402 1,567 100.00% $ 399,931 5.877% 359 694 77.98% ============ ====== ======= _________ As of origination, the average principal balance of the Group 1 Loans will be approximately $400,004.
99-7
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF MORTGAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL LOAN PRINCIPAL BALANCES BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ---------------------------- ------------ ------ ------- ---------- --------- --------- -------- --------- $0.01 - $50,000.00 . . . . . $ 666,047 15 0.11% $ 44,403 9.353% 345 680 85.55% 50,000.01 - 100,000.00 . . . 5,509,608 72 0.88 76,522 9.366 347 688 92.22 100,000.01 - 150,000.00. . . 7,993,290 62 1.28 128,924 8.272 351 688 83.54 150,000.01 - 200,000.00. . . 11,090,022 64 1.77 173,282 8.712 357 698 86.50 200,000.01 - 250,000.00. . . 9,533,663 42 1.52 226,992 7.870 359 699 79.99 250,000.01 - 300,000.00. . . 9,114,934 33 1.45 276,210 6.995 359 705 78.48 300,000.01 - 350,000.00. . . 59,623,425 176 9.51 338,769 5.637 359 695 78.46 350,000.01 - 400,000.00. . . 146,352,113 390 23.35 375,262 5.763 359 691 78.85 400,000.01 - 450,000.00. . . 91,311,557 215 14.57 424,705 5.684 359 696 78.94 450,000.01 - 500,000.00. . . 80,713,166 170 12.88 474,783 5.771 359 688 78.96 500,000.01 - 550,000.00. . . 53,382,312 101 8.52 528,538 5.768 359 690 77.69 550,000.01 - 600,000.00. . . 46,035,330 80 7.35 575,442 5.803 359 697 78.38 600,000.01 - 650,000.00. . . 46,870,868 74 7.48 633,390 5.672 360 698 76.03 650,000.01 - 700,000.00. . . 22,486,530 33 3.59 681,410 5.346 359 694 70.36 700,000.01 - 750,000.00. . . 11,033,479 15 1.76 735,565 6.018 360 684 75.79 750,000.01 - 800,000.00. . . 2,363,000 3 0.38 787,667 5.421 360 730 76.77 800,000.01 - 850,000.00. . . 3,286,250 4 0.52 821,563 5.089 359 696 71.91 850,000.01 - 900,000.00. . . 4,387,211 5 0.70 877,442 4.998 359 705 69.08 950,000.01 - 1,000,000.00. . 8,905,417 9 1.42 989,491 5.503 359 702 62.57 1,000,000.01 - 1,050,000.00. 1,026,000 1 0.16 1,026,000 4.875 357 697 59.97 1,400,000.01 - 1,450,000.00. 1,407,180 1 0.22 1,407,180 5.990 359 707 60.00 1,450,000.01 - 1,500,000.00. 1,500,000 1 0.24 1,500,000 4.750 360 753 75.00 1,800,000.00 and up. . . . . 2,100,000 1 0.34 2,100,000 5.125 359 695 60.00 ------------ ------ ------- ---------- --------- --------- -------- --------- Total. . . . . . . . . . $626,691,402 1,567 100.00% $ 399,931 5.877% 359 694 77.98% ============ ====== ======= As of the Cut-off Date, the average current principal balance of the Group 1 Loans will be approximately $399,931.
99-8
MORTGAGE RATES WEIGHTED AVERAGE WEIGHTED WEIGHTED WEIGHTED REMG. AVERAGE AVERAGE RANGE OF NO. OF % OF AVERAGE AVERAGE TERM CREDIT ORIGINAL MORTGAGE RATES (%) CURRENT BALANCE LOANS TOTAL BALANCE GROSS WAC (MONTHS) SCORE LTV - ------------------ ---------------- ------ ------- -------- ---------- --------- -------- --------- 3.500 - 3.999. . . $ 532,400 1 0.08% $532,400 3.990% 358 704 79.97% 4.000 - 4.499. . . 4,419,617 12 0.71 368,301 4.264 357 727 69.47 4.500 - 4.999. . . 109,860,276 248 17.53 442,985 4.742 359 706 71.86 5.000 - 5.499. . . 133,105,900 304 21.24 437,848 5.198 360 704 74.48 5.500 - 5.999. . . 175,413,150 412 27.99 425,760 5.696 359 697 77.28 6.000 - 6.499. . . 79,678,159 188 12.71 423,820 6.199 359 675 80.48 6.500 - 6.999. . . 61,548,431 134 9.82 459,317 6.697 359 674 83.65 7.000 - 7.499. . . 22,461,825 53 3.58 423,808 7.196 359 677 86.20 7.500 - 7.999. . . 10,022,410 28 1.60 357,943 7.749 358 684 88.80 8.000 - 8.499. . . 2,707,926 9 0.43 300,881 8.229 359 667 91.07 8.500 - 8.999. . . 5,534,603 30 0.88 184,487 8.736 356 662 89.51 9.000 - 9.499. . . 1,029,001 7 0.16 147,000 9.075 358 677 91.69 9.500 - 9.999. . . 2,934,631 25 0.47 117,385 9.794 355 687 90.90 10.000 - 10.499. . 1,470,135 13 0.23 113,087 10.189 346 683 98.14 10.500 - 10.999. . 6,297,029 50 1.00 125,941 10.732 338 695 94.77 11.000 - 11.499. . 3,253,159 18 0.52 180,731 11.242 351 692 95.55 11.500 - 11.999. . 4,053,972 22 0.65 184,271 11.735 353 687 94.11 12.000 - 12.499. . 1,633,496 9 0.26 181,500 12.225 360 663 97.75 12.500 - 12.999. . 735,281 4 0.12 183,820 12.540 359 630 97.32 ---------------- ------ ------- -------- ---------- --------- -------- --------- Total. . . . . $ 626,691,402 1,567 100.00% $399,931 5.877% 359 694 77.98% ================ ====== ======= _________ The weighted average mortgage rate of the Group 1 Loans was approximately 5.877% per annum.
99-9
NEXT ADJUSTMENT DATE WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL NEXT ADJUSTMENT DATE BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - -------------------- ------------ ------ ------- -------- --------- --------- -------- --------- October 2004 . . . . $ 4,563,000 8 0.73% $570,375 4.978% 359 713 74.99% November 2004. . . . 391,500 1 0.06 391,500 4.500 359 730 90.00 December 2004. . . . 1,363,750 4 0.22 340,938 5.570 359 739 87.89 January 2005 . . . . 7,603,522 18 1.21 422,418 5.179 358 689 78.01 February 2005. . . . 41,941,773 94 6.69 446,189 5.528 359 697 76.70 March 2005 . . . . . 34,922,935 84 5.57 415,749 5.557 360 702 78.63 April 2005 . . . . . 9,890,900 25 1.58 395,636 5.709 360 692 78.14 July 2005. . . . . . 408,000 1 0.07 408,000 5.375 358 694 80.00 August 2005. . . . . 3,757,600 9 0.60 417,511 5.155 359 710 78.96 September 2005 . . . 1,393,300 4 0.22 348,325 5.166 360 708 80.00 October 2005 . . . . 373,500 1 0.06 373,500 4.750 360 664 90.00 May 2006 . . . . . . 406,854 1 0.06 406,854 6.080 356 617 94.61 June 2006. . . . . . 1,509,400 3 0.24 503,133 5.571 357 686 75.43 July 2006. . . . . . 9,858,911 24 1.57 410,788 5.549 358 676 80.73 August 2006. . . . . 144,494,477 332 23.06 435,224 6.091 359 683 81.81 September 2006 . . . 145,186,139 333 23.17 435,994 5.635 360 690 77.96 October 2006 . . . . 26,823,278 64 4.28 419,114 5.469 360 688 76.04 December 2006. . . . 757,718 2 0.12 378,859 4.929 351 707 55.24 January 2007 . . . . 590,474 1 0.09 590,474 4.375 352 816 69.46 March 2007 . . . . . 342,000 1 0.05 342,000 4.875 354 758 80.00 April 2007 . . . . . 960,350 2 0.15 480,175 5.265 355 635 77.41 May 2007 . . . . . . 2,851,919 6 0.46 475,320 4.508 356 722 71.57 June 2007. . . . . . 3,609,441 7 0.58 515,634 5.149 357 678 81.06 July 2007. . . . . . 7,117,795 17 1.14 418,694 5.839 358 680 81.26 August 2007. . . . . 27,762,788 64 4.43 433,794 5.732 359 689 75.15 September 2007 . . . 51,158,940 108 8.16 473,694 5.425 360 706 73.40 October 2007 . . . . 10,527,650 21 1.68 501,317 5.201 360 694 72.11 June 2009. . . . . . 1,551,000 2 0.25 775,500 5.425 357 689 63.37 July 2009. . . . . . 4,573,100 9 0.73 508,122 5.597 358 729 65.95 August 2009. . . . . 17,158,336 45 2.74 381,296 6.010 359 714 71.01 September 2009 . . . 26,848,433 68 4.28 394,830 5.642 360 715 70.79 October 2009 . . . . 5,784,200 17 0.92 340,247 5.405 360 704 67.99 August 2011. . . . . 935,000 2 0.15 467,500 5.674 359 773 77.96 September 2011 . . . 4,185,978 8 0.67 523,247 5.600 360 729 62.74 June 2014. . . . . . 391,910 1 0.06 391,910 6.125 357 755 80.00 N/A* . . . . . . . . 24,695,534 180 3.94 137,197 10.513 349 690 93.16 ------------ ------ ------- -------- --------- --------- -------- --------- Total. . . . . . $626,691,402 1,567 100.00% $399,931 5.877% 359 694 77.98% ============ ====== ======= _______________ As of the Cut-off Date, the weighted average remaining months to the next adjustment date of the Group 1 Loans will be approximately 26 months. * Fixed rate mortgage loans in Loan Group 1
99-10
GROSS MARGIN WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF GROSS CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL MARGINS (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------- ------------ ------ ------- -------- --------- --------- -------- --------- N/A*. . . . . . $ 24,695,534 180 3.94% $137,197 10.513% 349 690 93.16% 2.000 - 2.249 . 1,048,150 2 0.17 524,075 5.835 360 692 75.80 2.250 - 2.499 . 54,934,782 108 8.77 508,655 5.252 359 726 72.39 2.500 - 2.749 . 3,059,000 6 0.49 509,833 5.576 360 727 71.65 2.750 - 2.999 . 16,436,969 31 2.62 530,225 5.304 359 719 70.08 3.000 - 3.249 . 32,068,897 81 5.12 395,912 5.446 359 728 78.44 3.250 - 3.499 . 97,995,483 239 15.64 410,023 5.448 359 735 75.50 3.500 - 3.749 . 73,539,073 174 11.73 422,638 5.533 360 691 77.36 3.750 - 3.999 . 179,859,197 419 28.70 429,258 5.581 360 674 75.18 4.000 - 4.249 . 3,744,691 9 0.60 416,077 5.372 359 679 76.66 4.250 - 4.499 . 3,617,476 9 0.58 401,942 5.740 359 665 71.41 4.500 - 4.749 . 3,933,415 11 0.63 357,583 5.470 360 668 78.66 4.750 - 4.999 . 4,841,178 12 0.77 403,432 5.718 359 678 81.34 5.000 - 5.249 . 12,933,683 30 2.06 431,123 6.219 359 670 78.60 5.250 - 5.499 . 7,294,745 19 1.16 383,934 5.701 359 657 81.58 5.500 - 5.749 . 9,569,464 22 1.53 434,976 5.995 359 681 82.55 5.750 - 5.999 . 33,997,631 77 5.42 441,528 6.122 359 686 81.42 6.000 - 6.249 . 33,105,937 71 5.28 466,281 6.513 359 660 86.30 6.250 - 6.499 . 21,661,599 47 3.46 460,885 6.945 359 646 91.54 6.500 - 6.749 . 3,863,453 9 0.62 429,273 6.996 360 652 89.57 6.750 - 6.999 . 842,250 2 0.13 421,125 7.056 360 737 88.45 7.000 - 7.249 . 1,152,101 3 0.18 384,034 7.250 359 663 90.80 7.250 - 7.499 . 341,905 1 0.05 341,905 7.625 360 690 95.00 7.500 - 7.749 . 1,319,156 3 0.21 439,719 7.816 360 662 93.17 8.500 - 8.749 . 835,634 2 0.13 417,817 8.875 359 632 92.08 ------------ ------ ------- -------- --------- --------- -------- --------- Total . . . $626,691,402 1,567 100.00% $399,931 5.877% 359 694 77.98% ============ ====== ======= _______________ As of the Cut-off Date, the weighted average Gross Margin of the Group 1 Loans will be approximately 3.925% per annum. * Fixed rate mortgage loans in Loan Group 1
99-11
MAXIMUM MORTGAGE RATE WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF MAXIMUM CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL MORTGAGE RATES (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------ ------------ ------ ------- -------- --------- --------- -------- --------- N/A* . . . . . . . $ 24,695,534 180 3.94% $137,197 10.513% 349 690 93.16% 9.500 - 9.999. . . 6,172,650 11 0.98 561,150 4.928 359 713 75.34 10.000 - 10.499. . 8,752,854 18 1.40 486,270 4.706 358 731 68.42 10.500 - 10.999. . 107,452,576 247 17.15 435,031 4.760 359 708 71.98 11.000 - 11.499. . 130,724,220 301 20.86 434,300 5.209 360 703 74.77 11.500 - 11.999. . 171,053,142 402 27.29 425,505 5.700 359 696 77.19 12.000 - 12.499. . 76,274,525 180 12.17 423,747 6.196 359 674 80.42 12.500 - 12.999. . 62,033,825 135 9.90 459,510 6.672 359 674 83.62 13.000 - 13.499. . 23,691,837 54 3.78 438,738 7.146 359 676 86.38 13.500 - 13.999. . 8,049,338 18 1.28 447,185 7.730 359 684 90.99 14.000 - 14.499. . 3,280,770 9 0.52 364,530 8.043 360 649 89.41 14.500 - 14.999. . 3,168,535 8 0.51 396,067 8.676 359 656 91.22 15.000 - 15.499. . 399,782 1 0.06 399,782 9.000 359 598 85.82 15.500 - 15.999. . 871,500 2 0.14 435,750 9.439 359 604 82.01 16.500 - 16.999. . 70,314 1 0.01 70,314 9.750 359 547 69.00 ------------ ------ ------- -------- --------- --------- -------- --------- Total . . . . . . $626,691,402 1,567 100.00% $399,931 5.877% 359 694 77.98% ============ ====== ======= _______________ As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the Group 1 Loans will be approximately 11.668% per annum. * Fixed rate mortgage loans in Loan Group 1
99-12
INITIAL FIXED-RATE PERIOD WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL INITIAL FIXED PERIOD CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - -------------------- ---------------- ------ ------- -------- --------- --------- -------- --------- Two Years. . . . . . $ 328,279,058 757 52.38% $433,658 5.820% 359 686 79.59% Three Years. . . . . 105,679,074 229 16.86 461,481 5.464 359 698 74.38 Five Years . . . . . 55,915,069 141 8.92 396,561 5.721 359 714 69.97 Seven Years. . . . . 5,120,978 10 0.82 512,098 5.614 360 737 65.52 Ten Years. . . . . . 391,910 1 0.06 391,910 6.125 357 755 80.00 Six Months . . . . . 106,609,780 249 17.01 428,152 5.482 359 699 77.86 N/A* . . . . . . . . 24,695,534 180 3.94 137,197 10.513 349 690 93.16 ---------------- ------ ------- -------- --------- --------- -------- --------- Total . . . . . . . $ 626,691,402 1,567 100.00% $399,931 5.877% 359 694 77.98% ================ ====== ======= * Fixed rate mortgage loans in Loan Group 1
INITIAL RATE CAP WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL INITIAL CAP (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------- ---------------- ------ ------- -------- --------- --------- -------- --------- N/A*. . . . . . $ 24,695,534 180 3.94% $137,197 10.513% 349 690 93.16% 1.000 . . . . . 103,977,780 243 16.59 427,892 5.489 359 699 77.81 2.000 . . . . . 14,259,801 29 2.28 491,717 5.313 357 712 76.29 3.000 . . . . . 441,495,934 1,030 70.45 428,637 5.774 359 689 77.75 5.000 . . . . . 12,057,238 23 1.92 524,228 5.527 359 731 75.48 6.000 . . . . . 30,205,116 62 4.82 487,179 5.327 360 725 71.36 ---------------- ------ ------- -------- --------- --------- -------- --------- Total . . . $ 626,691,402 1,567 100.00% $399,931 5.877% 359 694 77.98% ================ ====== ======= * Fixed rate mortgage loans in Loan Group 1
PERIODIC RATE CAP WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL PERIODIC RATE CAP (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------------- ---------------- ------ ------- -------- --------- --------- -------- --------- N/A*. . . . . . . . . $ 24,695,534 180 3.94% $137,197 10.513% 349 690 93.16% 1.000 . . . . . . . . 555,191,780 1,289 88.59 430,715 5.710 359 692 77.67 1.500 . . . . . . . . 800,441 3 0.13 266,814 8.241 359 573 75.09 2.000 . . . . . . . . 46,003,648 95 7.34 484,249 5.367 359 721 73.62 ---------------- ------ ------- -------- --------- --------- -------- --------- Total . . . . . . $ 626,691,402 1,567 100.00% $399,931 5.877% 359 694 77.98% ================ ====== ======= * Fixed rate mortgage loans in Loan Group 1
99-13
ORIGINAL LOAN-TO-VALUE RATIOS(1) WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF LOAN-TO- CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL VALUE RATIOS (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------ ------------ ------ ------- -------- --------- --------- -------- --------- 25.01 - 30.00. . . $ 140,000 1 0.02% $140,000 4.875% 360 749 28.00% 30.01 - 35.00. . . 703,729 3 0.11 234,576 5.433 360 708 32.14 35.01 - 40.00. . . 360,000 1 0.06 360,000 4.750 360 750 40.00 40.01 - 45.00. . . 2,444,131 4 0.39 611,033 5.264 359 689 43.84 45.01 - 50.00. . . 4,474,722 9 0.71 497,191 5.328 360 699 48.14 50.01 - 55.00. . . 6,851,546 14 1.09 489,396 5.535 359 700 52.77 55.01 - 60.00. . . 14,220,605 24 2.27 592,525 5.112 359 712 58.98 60.01 - 65.00. . . 14,222,722 31 2.27 458,797 5.310 360 691 63.34 65.01 - 70.00. . . 126,397,571 295 20.17 428,466 5.100 360 697 69.68 70.01 - 75.00. . . 33,648,321 68 5.37 494,828 5.663 359 685 73.86 75.01 - 80.00. . . 306,631,675 730 48.93 420,043 5.722 359 698 79.84 80.01 - 85.00. . . 19,355,112 54 3.09 358,428 6.488 357 681 84.46 85.01 - 90.00. . . 52,869,758 157 8.44 336,750 7.012 357 676 89.53 90.01 - 95.00. . . 32,310,171 100 5.16 323,102 7.444 359 673 94.70 95.01 - 100.00 . . 12,061,338 76 1.92 158,702 10.572 354 697 99.71 ------------ ------ ------- -------- --------- --------- -------- --------- Total. . . . . $626,691,402 1,567 100.00% $399,931 5.877% 359 694 77.98% ============ ====== ======= _______________ The minimum and maximum loan-to-value ratios of the Group 1 Loans at origination were approximately 28.00% and 100.00%, respectively, and the weighted average of the loan-to-value ratios of the Group 1 Loans at origination was approximately 77.98%. (1) With respect to the fixed-rate second lien Group 1 Loans, the combined loan-to-value ratio.
OCCUPANCY TYPES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL OCCUPANCY CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - -------------- ---------------- ------ ------- -------- --------- --------- -------- --------- Owner Occupied $ 547,941,864 1,368 87.43% $400,542 5.902% 359 690 78.77% Investment . . 60,728,505 151 9.69 402,176 5.695 359 715 73.06 Second Home. . 18,021,033 48 2.88 375,438 5.720 359 720 70.51 ---------------- ------ ------- -------- --------- --------- -------- --------- Total . . . . $ 626,691,402 1,567 100.00% $399,931 5.877% 359 694 77.98% ================ ====== ======= _______________ Occupancy type is based on the representation of the borrower at the time of origination.
99-14
MORTGAGE LOAN PROGRAM AND DOCUMENTATION TYPE WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL DOCUMENT TYPE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ----------------------- ---------------- ------ ------- -------- --------- --------- -------- --------- Progressive Series Program (Full Documentation). . . . . $ 121,189,710 308 19.34% $393,473 5.669% 358 684 79.06% Progressive Express Program No Doc Program (No Documentation). . . . . 28,760,329 80 4.59 359,504 6.688 359 704 74.47 Progressive Express Program No Doc Program (Verified Assets) . . . . . . . . 4,138,037 9 0.66 459,782 6.163 359 692 80.71 Progressive Series Program (Full Income/Stated Assets Documentation). . . . . 1,236,000 3 0.20 412,000 5.367 358 667 79.47 Progressive Series Program (Limited (Stated) Documentation) 391,673,658 949 62.50 412,723 5.810 359 696 77.81 Progressive Series Program (Alternative Documentation). . . . . 355,500 1 0.06 355,500 5.990 359 642 90.92 Progressive Series Program (No Income/No Asset Documentation). . 2,288,843 11 0.37 208,077 7.394 345 699 77.38 Progressive Express Program (Non Verified Assets) . . . . . . . . 41,354,728 124 6.60 333,506 6.367 358 692 78.82 Progressive Express Program (Verified Assets) . . . . . . . . 35,694,597 82 5.70 435,300 5.984 360 696 77.55 ---------------- ------ ------- -------- --------- --------- -------- --------- Total . . . . . . . $ 626,691,402 1,567 100.00% $399,931 5.877% 359 694 77.98% ================ ====== ======= See "-Underwriting Standards" below for a detailed description of the Seller's loan programs and documentation requirements.
99-15
RISK CATEGORIES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL CREDIT GRADE CATEGORY CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ----------------------- ---------------- ------ ------- -------- --------- --------- -------- --------- A+(1) . . . . . . . . . $ 326,144,994 797 52.04% $409,216 5.688% 359 724 77.10% A (1) . . . . . . . . . 215,607,748 561 34.40 384,328 5.993 358 655 78.42 A- (1). . . . . . . . . 18,817,621 44 3.00 427,673 6.402 359 610 81.87 B(1). . . . . . . . . . 123,263 1 0.02 123,263 11.875 170 671 77.36 Progressive Express(TM) I(2). . . . . . . . . . 37,362,752 92 5.96 406,117 5.963 360 726 80.12 Progressive Express(TM) II(2) . . . . . . . . . 26,110,369 64 4.17 407,975 6.573 360 652 79.73 Progressive Express(TM)III(2) . . . 1,109,689 3 0.18 369,896 6.847 360 615 74.19 Progressive Express(TM) IV(2) . . . . . . . . . 964,651 3 0.15 321,550 7.862 360 592 77.77 Progressive Express(TM) V(2). . . . . . . . . . 380,000 1 0.06 380,000 8.875 359 555 71.70 Progressive Express(TM) VI(2) . . . . . . . . . 70,314 1 0.01 70,314 9.750 359 547 69.00 ---------------- ------ ------- -------- --------- --------- -------- --------- Total . . . . . . . $ 626,691,402 1,567 100.00% $399,931 5.877% 359 694 77.98% ================ ====== ======= _______________ (1) All of these Group 1 Loans were reviewed and placed into risk categories based on the credit standards of the Progressive Series Program. Credit grades of A+, A, A-, and B correspond to Progressive Series I+, I and II, III and III+, and IV, respectively. (2) These Group 1 Loans were originated under the Seller's Progressive Express(TM) Program. The underwriting for these Group 1 Loans is generally based on the borrower's "Credit Score" score and therefore these Group 1 Loans do not correspond to the alphabetical risk categories listed above. All of the mortgage loans originated pursuant to the Express Priority Refi(TM) Program have been placed in Progressive Express(TM) Programs II and III. See "-Underwriting Standards" below for a description of the Seller's risk categories.
99-16
PROPERTY TYPES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL PROPERTY TYPE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------------ ---------------- ------ ------- -------- --------- --------- -------- --------- Single Family Residence. $ 424,575,140 1,057 67.75% $401,679 5.904% 359 691 78.57% Planned Unit Development 122,071,715 304 19.48 401,552 5.844 359 694 77.80 Condominium. . . . . . . 53,043,125 142 8.46 373,543 5.787 359 710 76.32 Two Family . . . . . . . 11,720,634 30 1.87 390,688 5.949 360 717 77.49 Four Family. . . . . . . 9,311,677 19 1.49 490,088 5.479 359 688 68.08 Three Family . . . . . . 5,321,611 14 0.85 380,115 6.071 359 723 71.16 Townhouse. . . . . . . . 647,500 1 0.10 647,500 4.500 360 621 70.00 ---------------- ------ ------- -------- --------- --------- -------- --------- Total. . . . . . . . $ 626,691,402 1,567 100.00% $399,931 5.877% 359 694 77.98% ================ ====== =======
99-17
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES WEIGHTED AVERAGE WEIGHTED WEIGHTED WEIGHTED REMG. AVERAGE AVERAGE CURRENT NO. OF % OF AVERAGE AVERAGE TERM CREDIT ORIGINAL STATE BALANCE LOANS TOTAL BALANCE GROSS WAC (MONTHS) SCORE LTV - -------------------- ------------ ------ ------- -------- ---------- --------- -------- --------- Alabama. . . . . . . $ 1,770,297 4 0.28% $442,574 6.153% 359 750 72.55% Arizona. . . . . . . 7,043,298 20 1.12 352,165 5.990 359 678 78.45 California . . . . . 483,583,826 1,169 77.16 413,673 5.810 359 695 77.85 Colorado . . . . . . 4,704,914 12 0.75 392,076 6.075 359 679 78.37 Connecticut. . . . . 1,361,350 2 0.22 680,675 5.583 358 690 68.60 Delaware . . . . . . 443,000 1 0.07 443,000 6.625 360 697 100.00 District of Columbia 2,805,090 5 0.45 561,018 6.134 360 677 80.08 Florida. . . . . . . 33,184,221 108 5.30 307,261 6.181 357 691 77.99 Georgia. . . . . . . 3,186,867 7 0.51 455,267 5.966 358 674 72.17 Hawaii . . . . . . . 5,723,411 21 0.91 272,543 5.908 358 710 73.04 Illinois . . . . . . 4,725,600 15 0.75 315,040 6.816 359 685 82.79 Maryland . . . . . . 7,878,936 19 1.26 414,681 5.763 359 671 80.17 Massachusetts. . . . 4,166,693 10 0.66 416,669 5.980 359 711 77.15 Michigan . . . . . . 431,393 2 0.07 215,697 6.646 359 649 88.33 Minnesota. . . . . . 2,240,213 5 0.36 448,043 6.349 359 681 82.86 Mississippi. . . . . 72,517 1 0.01 72,517 5.250 360 664 60.00 Missouri . . . . . . 1,210,689 3 0.19 403,563 6.260 360 697 82.94 Nevada . . . . . . . 21,991,336 55 3.51 399,842 5.827 359 694 76.85 New Jersey . . . . . 5,399,674 16 0.86 337,480 6.907 359 675 84.11 New York . . . . . . 2,485,191 9 0.40 276,132 6.592 358 698 75.80 North Carolina . . . 1,751,600 4 0.28 437,900 6.963 359 643 87.66 Ohio . . . . . . . . 372,000 1 0.06 372,000 5.850 359 623 80.00 Oklahoma . . . . . . 351,200 1 0.06 351,200 5.700 359 639 80.00 Oregon . . . . . . . 3,249,389 7 0.52 464,198 5.785 359 699 76.24 Pennsylvania . . . . 701,684 2 0.11 350,842 6.500 359 644 81.27 South Carolina . . . 748,335 2 0.12 374,167 6.432 359 664 78.63 Tennessee. . . . . . 551,814 2 0.09 275,907 8.005 359 635 87.32 Texas. . . . . . . . 3,245,535 8 0.52 405,692 6.149 358 717 78.75 Utah . . . . . . . . 1,130,504 4 0.18 282,626 7.280 338 674 80.50 Virginia . . . . . . 13,986,917 35 2.23 399,626 5.938 359 677 81.18 Washington . . . . . 6,081,015 16 0.97 380,063 5.905 360 685 75.14 Wisconsin. . . . . . 112,895 1 0.02 112,895 6.375 359 608 51.37 ------------ ------ ------- -------- ---------- --------- -------- --------- Total. . . . . . $626,691,402 1,567 100.00% $399,931 5.877% 359 694 77.98% ============ ====== ======= _______________ No more than approximately 0.92% of the Group 1 Loans (by aggregate outstanding principal balance as of the Cut-off Date) are secured by mortgaged properties located in any one zip code.
99-18
DEBT TO INCOME RATIO WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF DEBT-TO- NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL INCOME RATIO (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------- ---------------- ------ ------- -------- --------- --------- -------- --------- 0.01 - 5.00 . . . . $ 23,616,397 62 3.77% $380,910 6.436% 358 688 80.39% 5.01 - 10.00. . . . 859,300 2 0.14 429,650 5.891 359 679 75.97 10.01 - 15.00 . . . 4,837,748 10 0.77 483,775 5.482 359 694 72.16 15.01 - 20.00 . . . 3,884,739 10 0.62 388,474 5.549 359 707 70.62 20.01 - 25.00 . . . 15,533,191 32 2.48 485,412 5.878 358 686 76.69 25.01 - 30.00 . . . 32,780,634 73 5.23 449,050 5.732 359 695 76.14 30.01 - 35.00 . . . 60,780,014 150 9.70 405,200 5.867 359 699 77.87 35.01 - 40.00 . . . 103,245,787 256 16.47 403,304 5.811 359 697 78.76 40.01 - 45.00 . . . 135,174,784 333 21.57 405,930 5.883 359 689 79.63 45.01 - 50.00 . . . 108,785,079 275 17.36 395,582 5.706 359 689 78.31 50.01 - 55.00 . . . 10,595,354 30 1.69 353,178 5.854 359 695 74.06 Greater than 55.00. 3,247,270 9 0.52 360,808 6.734 353 670 79.07 Not Required. . . . 123,351,106 325 19.68 379,542 6.018 359 699 76.25 ---------------- ------ ------- -------- --------- --------- -------- --------- Total . . . . . $ 626,691,402 1,567 100.00% $399,931 5.877% 359 694 77.98% ================ ====== ======= As of the Cut-off Date, the weighted average debt to income ratio of the Group 1 Loans will be approximately 30.39% per annum.
PREPAYMENT PENALTY WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL NUMBER OF MONTHS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ---------------- ---------------- ------ ------- -------- --------- --------- -------- --------- 0. . . . . . . . $ 316,480,541 831 50.50% $380,843 5.909% 359 701 76.11% 12 . . . . . . . 82,949,537 206 13.24 402,668 5.807 359 692 79.42 24 . . . . . . . 182,503,021 421 29.12 433,499 5.879 359 686 80.71 36 . . . . . . . 36,010,993 85 5.75 423,659 5.762 358 671 78.41 60 . . . . . . . 8,747,311 24 1.40 364,471 5.804 360 694 73.31 ---------------- ------ ------- -------- --------- --------- -------- --------- Total. . . . $ 626,691,402 1,567 100.00% $399,931 5.877% 359 694 77.98% ================ ====== =======
99-19
MONTHS REMAINING TO SCHEDULED MATURITY WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL RANGE OF MONTHS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------- ---------------- ------ ------- -------- --------- --------- -------- --------- 121 - 180 . . . $ 1,200,688 9 0.19% $133,410 10.594% 177 649 88.92% 181 - 240 . . . 84,789 1 0.01 84,789 10.500 238 669 100.00 241 - 360 . . . 625,405,925 1,557 99.79 401,674 5.867 359 694 77.96 ---------------- ------ ------- -------- --------- --------- -------- --------- Total . . . $ 626,691,402 1,567 100.00% $399,931 5.877% 359 694 77.98% ================ ====== ======= As of the Cut-off Date, the weighted average months remaining to scheduled maturity of the Group 1 Loans will be approximately 359 months.
CREDIT SCORES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF CREDIT NO. OF % OF GROSS TERM CREDIT ORIGINAL SCORES CURRENT BALANCE LOANS TOTAL AVERAGE BALANCE WAC (MONTHS) SCORE LTV - --------------- ---------------- ------ ------- ---------------- --------- --------- -------- --------- 0 - 500. . . $ 129,500 1 0.02% $ 129,500 4.875% 360 - 70.00% 541 - 560 . . . 450,314 2 0.07 225,157 9.012 359 554 71.28 581 - 600 . . . 1,314,778 4 0.21 328,694 7.699 359 593 78.37 601 - 620 . . . 22,548,445 55 3.60 409,972 6.480 355 611 81.25 621 - 640 . . . 58,523,869 143 9.34 409,258 6.190 359 632 79.34 641 - 660 . . . 90,797,012 230 14.49 394,770 6.169 359 651 79.29 661 - 680 . . . 93,690,087 246 14.95 380,854 5.918 359 670 78.54 681 - 700 . . . 99,929,955 245 15.95 407,877 5.764 359 690 77.11 701 - 720 . . . 77,843,682 192 12.42 405,436 5.805 359 710 76.80 721 - 740 . . . 61,949,645 159 9.89 389,620 5.631 359 730 77.70 741 - 760 . . . 52,536,156 127 8.38 413,671 5.587 359 750 77.18 761 - 780 . . . 44,968,953 107 7.18 420,271 5.713 359 770 77.77 781 - 800 . . . 18,614,613 48 2.97 387,804 5.304 359 790 74.23 801 - 820 . . . 3,394,394 8 0.54 424,299 5.708 358 806 76.90 ---------------- ------ ------- ---------------- --------- --------- -------- --------- Total . . . $ 626,691,402 1,567 100.00% $ 399,931 5.877% 359 694 77.98% ================ ====== ======= As of the Cut-off Date, the weighted average credit score of the Group 1 Loans will be approximately 694.
99-20
RANGE OF MONTHS TO FIRST ROLL WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL RANGE OF MONTHS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------- ---------------- ------ ------- -------- --------- --------- -------- --------- N/A*. . . . . . $ 24,695,534 180 3.94% $137,197 10.513% 349 690 93.16% 1 - 12. . . . . 106,236,280 248 16.95 428,372 5.484 359 700 77.82 13 - 18 . . . . 373,500 1 0.06 373,500 4.750 360 664 90.00 19 - 24 . . . . 301,455,780 693 48.10 435,001 5.851 359 686 79.91 25 - 31 . . . . 29,473,820 70 4.70 421,055 5.420 359 690 75.46 32 - 49 . . . . 103,028,532 223 16.44 462,011 5.478 359 698 74.50 56 - 73 . . . . 55,915,069 141 8.92 396,561 5.721 359 714 69.97 Greater than 80 5,512,888 11 0.88 501,172 5.650 360 738 66.55 ---------------- ------ ------- -------- --------- --------- -------- --------- Total . . . $ 626,691,402 1,567 100.00% $399,931 5.877% 359 694 77.98% ================ ====== ======= As of the Cut-off Date, the weighted average months to first roll of the Group 1 Loans will be approximately 26 months. * Fixed rate mortgage loans in Loan Group 1
LOAN PURPOSES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL LOAN PURPOSE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------------- ---------------- ------ ------- -------- --------- --------- -------- --------- Purchase. . . . . . . $ 418,831,544 1,061 66.83% $394,752 5.879% 359 702 79.25% Refinance - Cash Out. 164,696,194 402 26.28 409,692 5.969 359 674 76.20 Refinance - Rate/Term 43,163,664 104 6.89 415,035 5.510 358 689 72.48 ---------------- ------ ------- -------- --------- --------- -------- --------- Total. . . . . . . . $ 626,691,402 1,567 100.00% $399,931 5.877% 359 694 77.98% ================ ====== =======
In general, in the case of a mortgage loan made for "rate and term" refinance purposes, substantially all of the proceeds are used to pay in full the principal balance of a previous mortgage loan of the mortgagor with respect to a mortgaged property and to pay origination and closing costs associated with such refinancing. Mortgage loans made for "cash-out" refinance purposes may involve the use of the proceeds to pay in full the principal balance of a previous mortgage loan and related costs except that a portion of the proceeds are generally retained by the mortgagor for uses unrelated to the mortgaged property. The amount of these proceeds retained by the mortgagor may be substantial. Loan Group 2 The Group 2 Loans had an aggregate principal balance as of the Cut-off Date of approximately $853,701,242, after application of scheduled payments due on or before the Cut-off Date, whether or not received. Approximately 99.40% of the Group 2 Loans have adjustable rates and are secured by first liens on the related mortgaged property. Approximately 0.60% of the Group 2 Loans have fixed rates and are secured by second liens on the related mortgaged property. 99-21 The average principal balance of the Group 2 Loans at origination was approximately $206,464. No Group 2 Loan had a principal balance at origination of greater than approximately $629,300 or less than approximately $15,000. The average principal balance of the Group 2 Loans as of the Cut-off Date was approximately $206,407. No Group 2 Loan had a principal balance as of the Cut-off Date of greater than approximately $628,433 or less than approximately $14,963. As of the Cut-off Date, the Group 2 Loans had mortgage rates ranging from approximately 3.750% per annum to approximately 11.500% per annum and the weighted average mortgage rate was approximately 5.765% per annum. The weighted average remaining term to stated maturity of the Group 2 Loans was approximately 359 months as of the Cut-off Date. None of the Group 2 Loans will have a first Due Date prior to July 2001, or after November 2004, or will have a remaining term to maturity of less than 168 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any Group 2 Loan is October 2034. Approximately 1.17%, 0.75%, 77.09% and 4.61% of the Group 2 Loans have initial interest only periods of two, three, five and ten years, respectively. The loan-to-value ratio of a mortgage loan secured by a first lien is equal to the ratio, expressed as a percentage, of the principal amount of the loan at origination, to the lesser of the appraised value of the related mortgaged property at the time of origination and the sales price. The combined loan-to-value ratio of a mortgage loan secured by a second lien is equal to the ratio, expressed as a percentage, of the principal amount of the loan at origination, plus the outstanding principal balance of the related senior lien, to the appraised value of the related mortgaged property at the time of origination. The weighted average of the loan-to-value ratios and combined loan-to-value ratios, as applicable, at origination of the Group 2 Loans was approximately 77.81%. No loan-to-value ratio or combined loan-to-value ratio, as applicable, at origination of any Group 2 Loan was greater than approximately 100.00% or less than approximately 16.85%. Approximately 0.31% of the Group 2 Loans are balloon loans. The amount of the balloon payment on each of these mortgage loans is substantially in excess of the amount of the scheduled monthly payment on such mortgage loan for the period prior to the Due Date of the balloon payment. These Group 2 Loans have a weighted average remaining term to maturity of approximately 177 months. None of the Group 2 Loans are buydown mortgage loans. Approximately 99.18% of the adjustable-rate Group 2 Loans have not reached their first adjustment date as of the Closing Date. Approximately 60.00% of the Group 2 Loans provide for prepayment charges. Approximately 4.70% and 7.57% of the Group 2 Loans are covered by a Primary Insurance Policy and the Radian Lender-Paid PMI Policy, respectively. For the Group 2 Loans, the weighted average of the Radian PMI Rates for the mortgage loans covered by the Radian Lender-Paid PMI Policy is approximately 1.115% per annum. Set forth below is a description of certain additional characteristics of the Group 2 Loans as of the Cut-off Date, except as otherwise indicated. All percentages of the Group 2 Loans are approximate 99-22 percentages by aggregate principal balance as of the Cut-off Date, except as otherwise indicated. Dollar amounts and percentages may not add up to totals due to rounding. All references to loan-to-value ratio or LTV in the following tables refer to the combined-loan-to-value ratio in the case of mortgage loans secured by second liens. 99-23
MORTGAGE LOAN PROGRAMS(1) WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF AVERAGE GROSS TERM CREDIT ORIGINAL LOAN PROGRAMS CURRENT BALANCE LOANS % OF TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------- ---------------- ------ ----------- -------- --------- --------- -------- --------- 30Y LIB1M . . . . . $ 456,014 2 0.05% $228,007 7.326% 360 680 88.42% 30Y LIB1M-IO. . . . 3,270,650 11 0.38 297,332 4.971 359 711 78.95 30Y LIB3M-IO. . . . 1,124,750 4 0.13 281,188 5.991 359 695 80.74 30Y LIB6M . . . . . 9,666,862 46 1.13 210,149 6.154 359 682 80.89 30Y LIB6M-IO. . . . 103,083,354 469 12.07 219,794 5.325 359 700 78.32 30Y LIB12M. . . . . 424,693 3 0.05 141,564 6.587 359 671 85.40 30Y LIB12M-IO . . . 10,345,405 45 1.21 229,898 5.697 359 687 80.63 2/28 LIB6M. . . . . 86,144,634 471 10.09 182,897 6.350 359 674 80.94 2/28 LIB6M-IO . . . 385,860,463 1,710 45.20 225,649 5.678 359 694 77.66 3/27 LIB6M. . . . . 28,752,831 167 3.37 172,173 5.907 359 667 77.28 3/27 LIB6M-IO . . . 162,427,614 825 19.03 196,882 5.706 359 685 76.89 5/25 LIB6M. . . . . 6,638,686 34 0.78 195,255 6.217 359 693 75.32 5/25 LIB6M-IO . . . 42,415,214 196 4.97 216,404 5.889 359 699 71.52 7/23 LIB6M. . . . . 654,869 4 0.08 163,717 6.205 359 663 72.66 7/23 LIB6M-IO . . . 973,350 4 0.11 243,338 6.990 359 679 78.67 10/20 LIB6M . . . . 227,750 1 0.03 227,750 5.500 360 715 60.00 3/1 LIB12M. . . . . 1,256,667 6 0.15 209,445 5.299 359 719 81.62 3/1 LIB12M-IO . . . 2,616,625 11 0.31 237,875 6.077 359 689 84.37 5/1 LIB12M. . . . . 533,000 2 0.06 266,500 5.212 360 689 63.11 5/1 LIB12M-IO . . . 1,700,300 7 0.20 242,900 6.537 360 722 80.00 15Yr Fixed. . . . . 444,979 11 0.05 40,453 10.230 177 669 94.03 30/15 Fixed Balloon 2,629,011 61 0.31 43,099 9.922 357 672 97.92 30Yr Fixed. . . . . 2,053,522 46 0.24 44,642 10.104 359 700 94.32 ---------------- ------ ----------- -------- --------- --------- -------- --------- Total . . . . . $ 853,701,242 4,136 100.00% $206,407 5.765% 359 690 77.81% ================ ====== =========== _______________ (1) A mortgage loan with a loan program including the term "30Y LIB1M" has a term of 30 years and the mortgage rate adjusts monthly based on the value of One-Month LIBOR. A mortgage loan with a loan program including the term "30Y LIB3M" has a term of 30 years and the mortgage rate adjusts quarterly based on the value of Three-Month LIBOR. A mortgage loan with a loan program including the term "30Y LIB6M" has a term of 30 years and the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term "30Y LIB12M" has a term of 30 years and the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term "2/28 LIB6M" has a term of 30 years, the first two of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term "3/27 LIB6M" has a term of 30 years, the first three of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term "5/25 LIB6M" has a term of 30 years, the first five of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term "7/23 LIB6M" has a term of 30 years, the first seven of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term "10/20 LIB6M" has a term of 30 years, the first ten of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term "3/1 LIB12M" has a term of 30 years, the first three of which consist of a fixed rate period, and thereafter the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term "5/1 LIB12M" has a term of 30 years, the first five of which consist of a fixed rate period, and thereafter the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term "IO" has an interest only period. A mortgage loan with a loan program of "30/15 Fixed Balloon" has a term of 30 years, the mortgage rate is fixed for the entire term and requires a balloon payment in year 15. A mortgage loan with a loan program of, "15Yr Fixed" and "30Yr Fixed" is a fixed rate loan with a term of 15 and 30 years, respectively.
99-24
PRINCIPAL BALANCES AS OF ORIGINATION WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF MORTGAGE NO. OF AVERAGE GROSS TERM CREDIT ORIGINAL LOAN PRINCIPAL BALANCES CURRENT BALANCE LOANS % OF TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------------ ---------------- ------ ----------- -------- --------- --------- -------- --------- 0.01 - $50,000.00 $ 2,788,185 81 0.33% $ 34,422 9.843% 341 684 95.30% 50,000.01 - 100,000.00 . 25,546,830 313 2.99 81,619 6.546 358 684 79.21 100,000.01 - 150,000.00. 95,333,667 756 11.17 126,103 6.018 359 680 78.66 150,000.01 - 200,000.00. 146,515,704 831 17.16 176,313 5.782 359 687 77.76 200,000.01 - 250,000.00. 192,457,126 855 22.54 225,096 5.715 359 688 77.73 250,000.01 - 300,000.00. 211,298,653 768 24.75 275,128 5.657 359 693 77.94 300,000.01 - 350,000.00. 142,811,930 449 16.73 318,067 5.711 359 695 77.59 350,000.01 - 400,000.00. 11,809,669 31 1.38 380,957 5.685 360 689 77.19 400,000.01 - 450,000.00. 8,897,423 21 1.04 423,687 5.457 360 699 74.02 450,000.01 - 500,000.00. 5,631,063 12 0.66 469,255 4.959 359 705 72.04 500,000.01 - 550,000.00. 5,849,260 11 0.69 531,751 4.857 359 687 69.92 550,000.01 - 600,000.00. 2,882,800 5 0.34 576,560 5.047 359 739 73.54 600,000.01 - 650,000.00. 1,878,933 3 0.22 626,311 4.707 360 763 73.32 ---------------- ------ ----------- -------- --------- --------- -------- --------- Total. . . . . . . . $ 853,701,242 4,136 100.00% $206,407 5.765% 359 690 77.81% ================ ====== =========== _______________ As of origination, the average principal balance of the Group 2 Loans will be approximately $206,464.
99-25
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE WEIGHTED WEIGHTED AVERAGE WEIGHTED AVERAGE REMG. WEIGHTED AVERAGE RANGE OF MORTGAGE NO. OF % OF AVERAGE GROSS TERM AVERAGE CREDIT ORIGINAL LOAN PRINCIPAL BALANCES CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------------ ---------------- ------ ------- -------- --------- --------- -------------- --------- $0.01 - $50,000.00 . . . $ 2,788,185 81 0.33% $ 34,422 9.843% 341 684 95.30% 50,000.01 - 100,000.00 . 25,546,830 313 2.99 81,619 6.546 358 684 79.21 100,000.01 - 150,000.00. 95,333,667 756 11.17 126,103 6.018 359 680 78.66 150,000.01 - 200,000.00. 146,515,704 831 17.16 176,313 5.782 359 687 77.76 200,000.01 - 250,000.00. 192,457,126 855 22.54 225,096 5.715 359 688 77.73 250,000.01 - 300,000.00. 211,598,423 769 24.79 275,160 5.657 359 693 77.94 300,000.01 - 350,000.00. 142,512,160 448 16.69 318,108 5.712 359 695 77.58 350,000.01 - 400,000.00. 11,809,669 31 1.38 380,957 5.685 360 689 77.19 400,000.01 - 450,000.00. 8,897,423 21 1.04 423,687 5.457 360 699 74.02 450,000.01 - 500,000.00. 5,631,063 12 0.66 469,255 4.959 359 705 72.04 500,000.01 - 550,000.00. 5,849,260 11 0.69 531,751 4.857 359 687 69.92 550,000.01 - 600,000.00. 2,882,800 5 0.34 576,560 5.047 359 739 73.54 600,000.01 - 650,000.00. 1,878,933 3 0.22 626,311 4.707 360 763 73.32 ---------------- ------ ------- -------- --------- --------- -------------- --------- Total . . . . . . . . . $ 853,701,242 4,136 100.00% $206,407 5.765% 359 690 77.81% ================ ====== ======= As of the Cut-off Date, the average current principal balance of the Group 2 Loans will be approximately $206,407.
99-26
MORTGAGE RATES WEIGHTED AVERAGE WEIGHTED WEIGHTED WEIGHTED REMG. AVERAGE AVERAGE RANGE OF NO. OF % OF AVERAGE AVERAGE TERM CREDIT ORIGINAL MORTGAGE RATES (%) CURRENT BALANCE LOANS TOTAL BALANCE GROSS WAC (MONTHS) SCORE LTV - ------------------ ---------------- ------ ------- -------- ---------- --------- -------- --------- 3.500 - 3.999. . . $ 918,100 4 0.11% $229,525 3.844% 359 707 71.44% 4.000 - 4.499. . . 38,215,571 166 4.48 230,214 4.238 359 727 71.26 4.500 - 4.999. . . 132,023,941 585 15.46 225,682 4.731 359 713 72.00 5.000 - 5.499. . . 179,038,383 810 20.97 221,035 5.196 359 697 75.01 5.500 - 5.999. . . 219,782,666 1,030 25.74 213,381 5.697 359 686 78.11 6.000 - 6.499. . . 116,024,255 577 13.59 201,082 6.194 359 677 79.73 6.500 - 6.999. . . 76,875,802 387 9.01 198,645 6.705 359 672 82.48 7.000 - 7.499. . . 36,737,146 187 4.30 196,455 7.184 359 672 85.40 7.500 - 7.999. . . 27,472,462 151 3.22 181,937 7.688 359 667 86.43 8.000 - 8.499. . . 6,581,810 43 0.77 153,065 8.207 359 672 89.43 8.500 - 8.999. . . 10,553,202 64 1.24 164,894 8.719 359 648 90.20 9.000 - 9.499. . . 2,827,328 23 0.33 122,927 9.192 358 664 93.42 9.500 - 9.999. . . 2,974,774 49 0.35 60,710 9.731 349 653 93.10 10.000 - 10.499. . 1,351,449 20 0.16 67,572 10.205 358 661 94.32 10.500 - 10.999. . 1,916,388 33 0.22 58,072 10.724 342 679 95.07 11.000 - 11.499. . 160,619 3 0.02 53,540 11.169 358 648 100.00 11.500 - 11.999. . 247,346 4 0.03 61,836 11.500 310 680 93.64 ---------------- ------ ------- -------- ---------- --------- -------- --------- Total. . . . . $ 853,701,242 4,136 100.00% $206,407 5.765% 359 690 77.81% ================ ====== ======= _______________ The weighted average mortgage rate of the Group 2 Loans was approximately 5.765% per annum.
99-27
NEXT ADJUSTMENT DATE WEIGHTED AVERAGE WEIGHTED WEIGHTED WEIGHTED REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE AVERAGE TERM CREDIT ORIGINAL NEXT ADJUSTMENT DATE CURRENT BALANCE LOANS TOTAL BALANCE GROSS WAC (MONTHS) SCORE LTV - -------------------- ---------------- ------ -------- ------- ---------- --------- -------- --------- October 2004 . . . . $ 1,305,150 4 0.15% $326,288 4.928% 359 708 74.29% November 2004. . . . 2,778,350 10 0.33 277,835 5.148 358 706 81.78 December 2004. . . . 3,093,247 15 0.36 206,216 5.413 355 684 81.79 January 2005 . . . . 13,389,594 62 1.57 215,961 4.991 358 693 79.50 February 2005. . . . 47,515,090 210 5.57 226,262 5.531 359 701 78.85 March 2005 . . . . . 41,951,659 197 4.91 212,953 5.314 360 700 77.56 April 2005 . . . . . 8,168,323 37 0.96 220,765 5.850 360 690 79.69 June 2005. . . . . . 280,000 1 0.03 280,000 4.500 357 674 80.00 July 2005. . . . . . 85,600 1 0.01 85,600 4.200 358 739 80.00 August 2005. . . . . 6,451,938 28 0.76 230,426 5.554 359 678 79.79 September 2005 . . . 3,526,910 16 0.41 220,432 6.309 360 697 83.55 October 2005 . . . . 425,650 2 0.05 212,825 4.761 360 726 74.42 May 2006 . . . . . . 1,460,337 8 0.17 182,542 5.516 356 646 80.80 June 2006. . . . . . 3,714,446 22 0.44 168,838 5.759 357 676 83.78 July 2006. . . . . . 33,625,017 168 3.94 200,149 5.770 358 681 79.94 August 2006. . . . . 205,494,564 965 24.07 212,948 6.047 359 684 79.84 September 2006 . . . 196,371,835 879 23.00 223,404 5.606 360 698 76.34 October 2006 . . . . 30,739,113 136 3.60 226,023 5.455 360 693 77.35 November 2006. . . . 131,467 1 0.02 131,467 4.625 350 755 78.83 May 2007 . . . . . . 1,314,106 10 0.15 131,411 5.367 356 657 79.98 June 2007. . . . . . 4,450,823 30 0.52 148,361 5.330 357 665 81.19 July 2007. . . . . . 36,333,828 209 4.26 173,846 5.761 358 664 80.10 August 2007. . . . . 80,975,234 420 9.49 192,798 5.916 359 677 78.70 September 2007 . . . 62,484,795 292 7.32 213,989 5.555 360 700 73.52 October 2007 . . . . 9,363,484 47 1.10 199,223 5.593 360 688 72.83 June 2009. . . . . . 208,100 2 0.02 104,050 5.624 357 737 74.98 July 2009. . . . . . 2,134,300 10 0.25 213,430 6.279 358 707 68.49 August 2009. . . . . 20,927,563 100 2.45 209,276 6.034 359 704 74.68 September 2009 . . . 24,176,037 107 2.83 225,944 5.902 360 694 70.69 October 2009 . . . . 3,558,800 19 0.42 187,305 5.560 360 707 69.43 November 2009. . . . 282,400 1 0.03 282,400 5.750 360 664 80.00 July 2011. . . . . . 116,474 1 0.01 116,474 6.375 358 721 79.99 August 2011. . . . . 743,145 3 0.09 247,715 6.566 359 683 76.16 September 2011 . . . 143,500 1 0.02 143,500 6.250 360 677 70.00 October 2011 . . . . 625,100 3 0.07 208,367 6.958 360 649 77.11 September 2014 . . . 227,750 1 0.03 227,750 5.500 360 715 60.00 N/A* . . . . . . . . 5,127,512 118 0.60 43,453 10.021 342 683 96.14 Total. . . . . . $ 853,701,242 4,136 100.00% $206,407 5.765% 359 690 77.81% _______________ As of the Cut-off Date, the weighted average remaining months to the next adjustment date of the Group 2 Loans will be approximately 26 months. * Fixed rate mortgage loans in Loan Group 2
99-28
GROSS MARGIN WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF GROSS CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL MARGINS (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------ ------------ ------ ------- -------- --------- --------- -------- --------- N/A* . . . . . . . $ 5,127,512 118 0.60% $ 43,453 10.021% 342 683 96.14% 1.500 - 1.749. . . 615,150 3 0.07 205,050 5.479 359 777 74.81 1.750 - 1.999. . . 200,000 1 0.02 200,000 6.000 359 710 80.00 2.000 - 2.249. . . 1,497,483 9 0.18 166,387 5.248 359 718 75.47 2.250 - 2.499. . . 24,463,270 103 2.87 237,507 5.225 360 722 70.80 2.500 - 2.749. . . 2,844,300 15 0.33 189,620 4.598 359 707 75.05 2.750 - 2.999. . . 10,652,639 44 1.25 242,105 5.550 359 710 77.82 3.000 - 3.249. . . 41,229,684 184 4.83 224,074 5.134 359 728 76.04 3.250 - 3.499. . . 159,906,131 717 18.73 223,021 5.322 359 736 76.12 3.500 - 3.749. . . 107,390,018 497 12.58 216,076 5.519 359 691 76.64 3.750 - 3.999. . . 257,628,182 1,180 30.18 218,329 5.652 360 677 76.03 4.000 - 4.249. . . 4,607,334 22 0.54 209,424 6.000 358 675 75.96 4.250 - 4.499. . . 7,090,866 36 0.83 196,968 5.916 359 653 76.20 4.500 - 4.749. . . 8,847,493 48 1.04 184,323 6.173 359 680 84.74 4.750 - 4.999. . . 14,716,077 77 1.72 191,118 5.712 359 675 80.83 5.000 - 5.249. . . 43,984,899 218 5.15 201,766 6.418 359 677 82.33 5.250 - 5.499. . . 27,740,651 146 3.25 190,004 5.900 359 662 80.64 5.500 - 5.749. . . 33,137,776 179 3.88 185,127 6.031 359 654 80.76 5.750 - 5.999. . . 38,239,121 203 4.48 188,370 6.467 359 660 81.41 6.000 - 6.249. . . 33,888,563 172 3.97 197,027 6.623 359 651 82.39 6.250 - 6.499. . . 15,704,890 85 1.84 184,763 7.092 359 643 86.05 6.500 - 6.749. . . 4,916,734 30 0.58 163,891 7.112 359 647 88.58 6.750 - 6.999. . . 2,134,770 11 0.25 194,070 7.074 359 629 78.94 7.000 - 7.249. . . 724,598 5 0.08 144,920 7.264 360 681 86.37 7.250 - 7.499. . . 1,509,326 6 0.18 251,554 7.543 359 682 86.51 7.500 - 7.749. . . 1,466,364 8 0.17 183,296 8.006 360 636 81.95 7.750 - 7.999. . . 809,270 4 0.09 202,318 8.058 359 620 87.42 8.250 - 8.499. . . 541,247 3 0.06 180,416 8.580 359 651 95.00 8.500 - 8.749. . . 463,788 2 0.05 231,894 8.836 359 677 93.43 8.750 - 8.999. . . 342,250 2 0.04 171,125 9.037 360 661 89.72 9.000 and greater. 1,280,859 8 0.15 160,107 9.767 360 657 94.86 ------------ ------ ------- -------- --------- --------- -------- --------- Total. . . . . $853,701,242 4,136 100.00% $206,407 5.765% 359 690 77.81% ============ ====== ======= _______________ As of the Cut-off Date, the weighted average Gross Margin of the Group 2 Loans will be approximately 4.068% per annum. * Fixed rate mortgage loans in Loan Group 2
99-29
MAXIMUM MORTGAGE RATE WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF MAXIMUM CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL MORTGAGE RATES (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------ ------------ ------ ------- -------- --------- --------- -------- --------- N/A* . . . . . . . $ 5,127,512 118 0.60% $ 43,453 10.021% 342 683 96.14% 9.500 - 9.999. . . 5,643,177 21 0.66 268,723 5.059 359 707 78.45 10.000 - 10.499. . 38,211,852 167 4.48 228,813 4.253 360 727 71.09 10.500 - 10.999. . 128,670,911 574 15.07 224,165 4.730 359 713 71.84 11.000 - 11.499. . 177,878,159 805 20.84 220,967 5.197 359 698 75.01 11.500 - 11.999. . 217,769,616 1,020 25.51 213,500 5.696 359 686 78.09 12.000 - 12.499. . 114,106,359 569 13.37 200,538 6.189 359 677 79.73 12.500 - 12.999. . 76,972,600 385 9.02 199,929 6.687 359 672 82.35 13.000 - 13.499. . 36,842,591 186 4.32 198,078 7.090 359 673 85.03 13.500 - 13.999. . 27,276,127 147 3.20 185,552 7.624 359 671 86.49 14.000 - 14.499. . 8,294,959 48 0.97 172,812 8.002 359 667 88.95 14.500 - 14.999. . 10,601,492 59 1.24 179,686 8.553 359 644 90.08 15.000 - 15.499. . 2,587,412 14 0.30 184,815 9.108 360 654 92.25 15.500 - 15.999. . 2,639,948 18 0.31 146,664 9.064 357 611 83.57 16.000 - 16.499. . 436,007 2 0.05 218,003 10.250 360 652 92.01 16.500 - 16.999. . 530,651 2 0.06 265,325 10.698 359 662 94.68 17.000 - 17.499. . 111,870 1 0.01 111,870 10.000 359 559 80.00 ------------ ------ ------- -------- --------- --------- -------- --------- Total. . . . . $853,701,242 4,136 100.00% $206,407 5.765% 359 690 77.81% ============ ====== ======= _______________ As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the Group 2 Loans will be approximately 11.746% per annum. * Fixed rate mortgage loans in Loan Group 2
99-30
INITIAL FIXED-RATE PERIOD WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL INITIAL FIXED PERIOD CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - -------------------- ---------------- ------ ------- -------- --------- --------- -------- --------- Two Years. . . . . . $ 472,005,097 2,181 55.29% $216,417 5.800% 359 690 78.26% Three Years. . . . . 195,053,737 1,009 22.85 193,314 5.738 359 682 77.08 Five Years . . . . . 51,287,200 239 6.01 214,591 5.946 360 699 72.21 Seven Years. . . . . 1,628,219 8 0.19 203,527 6.675 359 672 76.26 Ten Years. . . . . . 227,750 1 0.03 227,750 5.500 360 715 60.00 Six Months . . . . . 128,371,727 580 15.04 221,331 5.426 359 698 78.79 N/A* . . . . . . . . 5,127,512 118 0.60 43,453 10.021 342 683 96.14 ---------------- ------ ------- -------- --------- --------- -------- --------- Total. . . . . . $ 853,701,242 4,136 100.00% $206,407 5.765% 359 690 77.81% ================ ====== ======= * Fixed rate mortgage loans in Loan Group 2
INITIAL RATE CAP WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL INITIAL CAP (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------- ---------------- ------ ------- -------- --------- --------- -------- --------- N/A*. . . . . . $ 5,127,512 118 0.60% $ 43,453 10.021% 342 683 96.14% 1.000 . . . . . 124,017,354 562 14.53 220,671 5.426 359 699 78.75 1.500 . . . . . 227,813 1 0.03 227,813 7.000 360 590 80.00 2.000 . . . . . 10,675,393 46 1.25 232,074 5.781 359 681 81.44 3.000 . . . . . 696,759,449 3,343 81.62 208,423 5.800 359 688 77.64 5.000 . . . . . 2,207,900 9 0.26 245,322 6.480 360 705 80.00 6.000 . . . . . 14,685,820 57 1.72 257,646 5.362 360 713 68.54 ---------------- ------ ------- -------- --------- --------- -------- --------- Total . . . $ 853,701,242 4,136 100.00% $206,407 5.765% 359 690 77.81% ================ ====== ======= * Fixed rate mortgage loans in Loan Group 2
PERIODIC RATE CAP WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL PERIODIC RATE CAP (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------------- ---------------- ------ ------- -------- --------- --------- -------- --------- N/A*. . . . . . . . . $ 5,127,512 118 0.60% $ 43,453 10.021% 342 683 96.14% 1.000 . . . . . . . . 817,784,724 3,886 95.79 210,444 5.735 359 690 77.79 1.500 . . . . . . . . 3,542,202 18 0.41 196,789 7.369 359 584 74.32 1.625 . . . . . . . . 204,000 1 0.02 204,000 5.125 359 711 80.00 2.000 . . . . . . . . 27,042,804 113 3.17 239,317 5.684 359 697 75.26 ---------------- ------ ------- -------- --------- --------- -------- --------- Total . . . . . . $ 853,701,242 4,136 100.00% $206,407 5.765% 359 690 77.81% ================ ====== ======= * Fixed rate mortgage loans in Loan Group 2
99-31
ORIGINAL LOAN-TO-VALUE RATIOS(1) WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF LOAN-TO- CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL VALUE RATIOS (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------ ------------ ------ ------- -------- --------- --------- -------- --------- 0.01 - 20.00 . . $ 775,700 4 0.09% $193,925 4.903% 360 747 18.45% 20.01 - 25.00. . . 101,000 1 0.01 101,000 7.150 360 682 23.77 25.01 - 30.00. . . 769,800 3 0.09 256,600 4.720 360 743 27.31 30.01 - 35.00. . . 524,432 4 0.06 131,108 5.583 359 669 31.07 35.01 - 40.00. . . 2,221,385 12 0.26 185,115 5.188 360 694 37.21 40.01 - 45.00. . . 2,696,293 13 0.32 207,407 5.059 360 708 42.24 45.01 - 50.00. . . 5,021,089 25 0.59 200,844 5.392 360 694 47.88 50.01 - 55.00. . . 4,002,146 19 0.47 210,639 5.239 360 698 52.63 55.01 - 60.00. . . 9,788,031 43 1.15 227,629 5.361 359 689 58.33 60.01 - 65.00. . . 14,908,433 70 1.75 212,978 5.120 360 688 63.62 65.01 - 70.00. . . 192,251,154 875 22.52 219,716 4.992 360 706 69.85 70.01 - 75.00. . . 29,261,077 127 3.43 230,402 5.764 360 688 74.16 75.01 - 80.00. . . 468,329,265 2,232 54.86 209,825 5.779 359 687 79.89 80.01 - 85.00. . . 13,756,445 67 1.61 205,320 6.469 359 665 84.04 85.01 - 90.00. . . 69,431,404 380 8.13 182,714 6.906 359 676 89.68 90.01 - 95.00. . . 34,746,561 193 4.07 180,034 7.564 359 671 94.84 95.01 - 100.00 . . 5,117,026 68 0.60 75,250 8.332 352 687 99.71 ------------ ------ ------- -------- --------- --------- -------- --------- Total. . . . . $853,701,242 4,136 100.00% $206,407 5.765% 359 690 77.81% ============ ====== ======= _______________ (1) With respect to the fixed-rate second lien Group 2 Loans, the combined loan-to-value ratio. The minimum and maximum loan-to-value ratios of the Group 2 Loans at origination were approximately 16.85% and 100.00%, respectively, and the weighted average of the loan-to-value ratios of the Group 2 Loans at origination was approximately 77.81%.
OCCUPANCY TYPES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL OCCUPANCY CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - -------------- ---------------- ------ ------- -------- --------- --------- -------- --------- Owner Occupied $ 685,499,210 3,290 80.30% $208,358 5.785% 359 686 78.57% Investment . . 146,287,494 730 17.14 200,394 5.640 359 707 74.10 Second Home. . 21,914,538 116 2.57 188,918 5.978 359 707 78.73 ---------------- ------ ------- -------- --------- --------- -------- --------- Total. . . $ 853,701,242 4,136 100.00% $206,407 5.765% 359 690 77.81% ================ ====== ======= _______________ Occupancy type is based on the representation of the borrower at the time of origination.
99-32
MORTGAGE LOAN PROGRAM AND DOCUMENTATION TYPE WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL DOCUMENT TYPE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------------- ---------------- ------ ------- -------- --------- --------- -------- --------- Progressive Series Program (Full Documentation). . . . . . $ 278,915,732 1,451 32.67% $192,223 5.599% 359 677 78.24% Progressive Express Program No Doc Program (No Documentation). . . . 28,254,887 146 3.31 193,527 6.971 358 684 79.52 Progressive Express Program No Doc Program (Verified Assets) . . . . 4,235,417 22 0.50 192,519 6.555 360 693 82.73 Progressive Series Program (Full Income/Stated Assets Documentation). . . . . . 129,600 1 0.02 129,600 6.500 360 762 80.00 Progressive Series Program (Limited (Stated) Documentation). . . . . . 446,656,412 2,037 52.32 219,272 5.643 359 699 76.75 Progressive Series Program (Alternative Documentation). . . . . . 773,824 3 0.09 257,941 6.831 359 639 88.69 Progressive Series Program (No Income/No Asset Documentation). . . 1,598,227 13 0.19 122,941 6.992 359 712 68.02 Progressive Express Program (Non Verified Assets) . . 60,861,364 307 7.13 198,245 6.523 359 684 80.06 Progressive Express Program (Verified Assets) 32,275,779 156 3.78 206,896 6.210 359 693 82.52 ---------------- ------ ------- -------- --------- --------- -------- --------- Total . . . . . . . . $ 853,701,242 4,136 100.00% $206,407 5.765% 359 690 77.81% ================ ====== ======= See "-Underwriting Standards" below for a detailed description of the Seller's loan programs and documentation requirements.
99-33
RISK CATEGORIES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL CREDIT GRADE CATEGORY CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ----------------------- ---------------- ------ ------- -------- --------- --------- -------- --------- A+(1) . . . . . . . . . $ 408,833,997 1,921 47.89% $212,824 5.402% 359 725 76.29% A(1). . . . . . . . . . 312,970,640 1,556 36.66 201,138 5.908 359 654 78.62 A- (1). . . . . . . . . 33,596,207 177 3.94 189,809 6.334 359 611 80.12 B(1). . . . . . . . . . 429,902 2 0.05 214,951 6.626 359 582 67.83 C (1) . . . . . . . . . 84,654 1 0.01 84,654 8.990 360 567 54.69 Progressive Express(TM) I(2). . . . . . . . . . 48,802,751 236 5.72 206,791 6.224 360 723 80.53 Progressive Express(TM) II(2) . . . . . . . . . 44,411,506 218 5.20 203,723 6.952 359 654 81.53 Progressive Express(TM)III(2) . . . 1,941,587 10 0.23 194,159 7.207 360 614 78.83 Progressive Express(TM) IV(2) . . . . . . . . . 651,212 4 0.08 162,803 7.510 360 601 81.83 Progressive Express(TM) V(2). . . . . . . . . . 866,514 5 0.10 173,303 7.870 359 581 78.96 Progressive Express(TM) VI(2) . . . . . . . . . 1,112,271 6 0.13 185,379 8.601 359 541 67.47 ---------------- ------ ------- -------- --------- --------- -------- --------- Total . . . . . . . $ 853,701,242 4,136 100.00% $206,407 5.765% 359 690 77.81% ================ ====== ======= _______________ (1) All of these Group 2 Loans were reviewed and placed into risk categories based on the credit standards of the Progressive Series Program. Credit grades of A+, A, A-, B, and C correspond to Progressive Series I+, I and II, III and III+, IV, and V respectively. (2) These Group 2 Loans were originated under the Seller's Progressive Express(TM) Program. The underwriting for these Group 2 Loans is generally based on the borrower's "Credit Score" score and therefore these Group 2 Loans do not correspond to the alphabetical risk categories listed above. All of the mortgage loans originated pursuant to the Express Priority Refi(TM) Program have been placed in Progressive Express(TM) Programs II and III. See "-Underwriting Standards" below for a description of the Seller's risk categories.
99-34
PROPERTY TYPES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL PROPERTY TYPE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------------ ---------------- ------ ------- -------- --------- --------- -------- --------- Two Family . . . . . . . $ 32,895,533 140 3.85% $234,968 5.887% 359 691 77.09% Three Family . . . . . . 16,211,359 59 1.90 274,769 5.896 359 694 74.81 Four Family. . . . . . . 29,954,528 82 3.51 365,299 5.067 359 711 71.00 Condominium. . . . . . . 116,151,554 568 13.61 204,492 5.607 359 699 76.24 Planned Unit Development 135,167,022 664 15.83 203,565 5.836 359 694 79.00 Single Family Residence. 521,328,224 2,609 61.07 199,819 5.809 359 685 78.37 Townhouse. . . . . . . . 1,993,023 14 0.23 142,359 6.285 359 676 80.17 ---------------- ------ ------- -------- --------- --------- -------- --------- Total. . . . . . . . $ 853,701,242 4,136 100.00% $206,407 5.765% 359 690 77.81% ================ ====== =======
99-35
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES WEIGHTED AVERAGE WEIGHTED WEIGHTED WEIGHTED REMG. AVERAGE AVERAGE CURRENT NO. OF % OF AVERAGE AVERAGE TERM CREDIT ORIGINAL STATE BALANCE LOANS TOTAL BALANCE GROSS WAC (MONTHS) SCORE LTV - -------------------- ------------ ------ ------- -------- ---------- --------- -------- --------- Alabama. . . . . . . $ 1,088,650 5 0.13% $217,730 5.214% 359 754 67.42% Arizona. . . . . . . 33,055,305 229 3.87 144,346 6.121 359 680 80.06 California . . . . . 492,706,282 2,011 57.71 245,006 5.559 359 695 76.10 Colorado . . . . . . 18,459,762 103 2.16 179,221 5.922 359 682 78.20 Connecticut. . . . . 2,407,624 14 0.28 171,973 6.298 356 652 82.54 Delaware . . . . . . 723,350 6 0.08 120,558 5.846 359 641 80.45 District of Columbia 1,241,904 6 0.15 206,984 5.846 360 695 79.20 Florida. . . . . . . 58,269,293 358 6.83 162,763 6.269 359 685 80.80 Georgia. . . . . . . 11,763,171 71 1.38 165,678 5.863 359 691 85.16 Hawaii . . . . . . . 6,826,217 28 0.80 243,793 5.942 359 697 77.45 Idaho. . . . . . . . 1,073,310 9 0.13 119,257 6.333 359 644 80.34 Illinois . . . . . . 12,126,684 71 1.42 170,798 6.129 359 679 80.56 Indiana. . . . . . . 1,455,660 14 0.17 103,976 6.113 358 673 80.07 Iowa . . . . . . . . 503,598 5 0.06 100,720 5.223 358 698 78.11 Kansas . . . . . . . 879,146 6 0.10 146,524 5.730 359 676 80.84 Kentucky . . . . . . 209,621 2 0.02 104,810 5.954 359 693 80.00 Louisiana. . . . . . 297,143 4 0.03 74,286 6.175 360 658 82.28 Maine. . . . . . . . 918,476 4 0.11 229,619 5.576 359 727 77.73 Maryland . . . . . . 21,489,856 111 2.52 193,602 6.110 358 677 79.84 Massachusetts. . . . 13,195,083 57 1.55 231,493 5.919 359 680 80.39 Michigan . . . . . . 4,552,479 31 0.53 146,854 6.649 359 669 83.32 Minnesota. . . . . . 10,089,617 61 1.18 165,404 6.071 359 660 80.85 Mississippi. . . . . 1,005,150 6 0.12 167,525 5.614 359 671 73.04 Missouri . . . . . . 1,463,476 15 0.17 97,565 6.745 359 653 84.88 Montana. . . . . . . 462,613 4 0.05 115,653 5.452 360 686 79.01 Nevada . . . . . . . 44,042,046 220 5.16 200,191 5.977 359 694 79.12 New Hampshire. . . . 1,053,668 5 0.12 210,734 5.868 359 702 72.90 New Jersey . . . . . 9,277,748 44 1.09 210,858 6.094 360 704 78.84 New Mexico . . . . . 753,403 7 0.09 107,629 6.465 359 682 81.78 New York . . . . . . 5,042,414 18 0.59 280,134 6.399 359 661 78.83 North Carolina . . . 3,968,411 28 0.46 141,729 5.945 359 680 81.38 Ohio . . . . . . . . 4,696,496 37 0.55 126,932 6.536 359 652 81.98 Oklahoma . . . . . . 297,804 3 0.03 99,268 7.333 359 691 86.63 Oregon . . . . . . . 8,446,313 61 0.99 138,464 5.632 359 673 79.01 Pennsylvania . . . . 3,961,320 28 0.46 141,476 5.861 359 685 80.53 Rhode Island . . . . 1,306,857 8 0.15 163,357 6.427 359 706 85.76 South Carolina . . . 2,944,904 20 0.34 147,245 5.964 359 679 79.34 South Dakota . . . . 378,038 4 0.04 94,509 5.611 358 664 79.89 Tennessee. . . . . . 2,652,448 21 0.31 126,307 5.934 358 666 82.21 Texas. . . . . . . . 7,167,406 52 0.84 137,835 6.266 358 695 80.49 Utah . . . . . . . . 9,293,375 68 1.09 136,667 6.061 359 694 80.73 Virginia . . . . . . 28,644,704 142 3.36 201,723 5.710 359 684 79.44 Washington . . . . . 21,333,641 124 2.50 172,045 5.943 359 667 80.40 Wisconsin. . . . . . 2,176,774 15 0.25 145,118 6.119 359 674 81.82 ------------ ------ ------- -------- ---------- --------- -------- --------- Total. . . . . . $853,701,242 4,136 100.00% $206,407 5.765% 359 690 77.81% ============ ====== ======= _______________ No more than approximately 0.77% of the Group 2 Loans (by aggregate outstanding principal balance as of the Cut-off Date) are secured by mortgaged properties located in any one zip code.
99-36
DEBT TO INCOME RATIO WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF DEBT-TO- NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL INCOME RATIO (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------- ---------------- ------ ------- -------- --------- --------- -------- --------- 0.01 - 5.00 . . . . $ 34,742,453 168 4.07% $206,800 6.524% 358 686 82.86% 5.01 - 10.00. . . . 1,422,982 9 0.17 158,109 5.202 360 713 67.69 10.01 - 15.00 . . . 4,196,968 25 0.49 167,879 5.741 359 719 70.22 15.01 - 20.00 . . . 11,540,239 56 1.35 206,076 5.491 359 705 75.34 20.01 - 25.00 . . . 20,433,164 103 2.39 198,380 5.474 359 696 74.14 25.01 - 30.00 . . . 44,394,824 231 5.20 192,185 5.605 359 697 76.29 30.01 - 35.00 . . . 81,711,365 404 9.57 202,256 5.687 359 693 77.22 35.01 - 40.00 . . . 131,731,332 647 15.43 203,603 5.644 359 691 77.65 40.01 - 45.00 . . . 195,886,426 923 22.95 212,228 5.730 359 690 77.75 45.01 - 50.00 . . . 188,423,141 888 22.07 212,188 5.681 359 684 78.72 50.01 - 55.00 . . . 18,282,480 76 2.14 240,559 5.464 359 691 73.66 Greater than 55.00. 2,452,145 14 0.29 175,153 6.019 359 690 75.02 Not Required. . . . 118,483,725 592 13.88 200,141 6.109 359 691 78.07 ---------------- ------ ------- -------- --------- --------- -------- --------- Total . . . . . $ 853,701,242 4,136 100.00% $206,407 5.765% 359 690 77.81% ================ ====== =======
As of the Cut-off Date, the weighted average debt to income ratio of the Group 2 Loans will be approximately 32.93% per annum.
PREPAYMENT PENALTY WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL NUMBER OF MONTHS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ---------------- ---------------- ------ ------- -------- --------- --------- -------- --------- 0. . . . . . . . $ 341,488,306 1,696 40.00% $201,349 5.825% 359 696 77.16% 12 . . . . . . . 129,218,457 565 15.14 228,705 5.408 359 694 76.21 24 . . . . . . . 255,969,254 1,184 29.98 216,190 5.836 359 688 78.93 36 . . . . . . . 124,583,713 679 14.59 183,481 5.805 359 671 78.95 60 . . . . . . . 2,441,512 12 0.29 203,459 6.980 360 680 78.21 ---------------- ------ ------- -------- --------- --------- -------- --------- Total. . . . $ 853,701,242 4,136 100.00% $206,407 5.765% 359 690 77.81% ================ ====== =======
99-37
MONTHS REMAINING TO SCHEDULED MATURITY WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL RANGE OF MONTHS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------- ---------------- ------ ------- -------- --------- --------- -------- --------- 121 - 180 . . . $ 444,979 11 0.05% $ 40,453 10.230% 177 669 94.03% 241 - 360 . . . 853,256,263 4,125 99.95 206,850 5.763 359 690 77.80 ---------------- ------ ------- -------- --------- --------- -------- --------- Total . . . $ 853,701,242 4,136 100.00% $206,407 5.765% 359 690 77.81% ================ ====== =======
As of the Cut-off Date, the weighted average months remaining to scheduled maturity of the Group 2 Loans will be approximately 359 months.
CREDIT SCORES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF CREDIT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL SCORES CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------- ---------------- ------ ------- -------- --------- --------- -------- --------- 0 - 500. . . $ 286,519 3 0.03% $ 95,506 8.302% 317 - 80.23% 501 - 520 . . . 341,119 2 0.04 170,559 9.017 359 515 65.38 521 - 540 . . . 576,945 3 0.07 192,315 8.390 359 535 66.18 541 - 560 . . . 370,896 3 0.04 123,632 8.591 360 557 80.00 561 - 580 . . . 603,960 3 0.07 201,320 8.205 359 573 70.28 581 - 600 . . . 2,722,348 13 0.32 209,411 6.715 359 596 76.52 601 - 620 . . . 36,376,110 196 4.26 185,592 6.326 359 611 80.49 621 - 640 . . . 90,287,273 457 10.58 197,565 6.154 359 631 78.80 641 - 660 . . . 130,293,116 652 15.26 199,836 6.046 359 651 78.97 661 - 680 . . . 129,154,292 624 15.13 206,978 5.991 359 670 79.37 681 - 700 . . . 123,479,473 600 14.46 205,799 5.624 359 691 77.66 701 - 720 . . . 108,626,789 517 12.72 210,110 5.592 359 710 77.15 721 - 740 . . . 87,837,699 416 10.29 211,148 5.429 359 730 77.02 741 - 760 . . . 74,618,312 337 8.74 221,419 5.384 359 751 76.92 761 - 780 . . . 44,490,416 213 5.21 208,875 5.294 359 770 74.14 781 - 800 . . . 20,662,502 83 2.42 248,946 5.149 359 788 71.58 801 - 820 . . . 2,973,473 14 0.35 212,391 5.161 360 806 76.26 ---------------- ------ ------- -------- --------- --------- -------- --------- Total . . . $ 853,701,242 4,136 100.00% $206,407 5.765% 359 690 77.81% ================ ====== =======
As of the Cut-off Date, the weighted average credit score of the Group 2 Loans will be approximately 690. 99-38
RANGE OF MONTHS TO FIRST ROLL WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL RANGE OF MONTHS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------- ---------------- ------ ------- -------- --------- --------- -------- --------- N/A*. . . . . . $ 5,127,512 118 0.60% $ 43,453 10.021% 342 683 96.14% 1 - 12 . . . . 128,545,861 581 15.06 221,249 5.426 359 697 78.82 13 - 18 . . . . 425,650 2 0.05 212,825 4.761 360 726 74.42 19 - 24 . . . . 440,666,200 2,042 51.62 215,801 5.825 359 690 78.32 25 - 31 . . . . 30,870,580 137 3.62 225,333 5.452 360 694 77.35 32 - 49 . . . . 194,922,270 1,008 22.83 193,375 5.739 359 682 77.08 56 - 73 . . . . 51,287,200 239 6.01 214,591 5.946 360 699 72.21 Greater than 80 1,855,969 9 0.22 206,219 6.531 359 678 74.26 ---------------- ------ ------- -------- --------- --------- -------- --------- Total . . . $ 853,701,242 4,136 100.00% $206,407 5.765% 359 690 77.81% ================ ====== =======
As of the Cut-off Date, the weighted average months to first roll of the Group 2 Loans will be approximately 26 months. * Fixed rate mortgage loans in Loan Group 2
LOAN PURPOSES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL LOAN PURPOSE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------------- ---------------- ------ ------- -------- --------- --------- -------- --------- Purchase. . . . . . . $ 595,875,806 2,896 69.80% $205,758 5.736% 359 698 78.61% Refinance - Cash Out. 201,484,927 939 23.60 214,574 5.863 359 672 75.75 Refinance - Rate/Term 56,340,509 301 6.60 187,178 5.722 359 666 76.69 ---------------- ------ ------- -------- --------- --------- -------- --------- Total . . . . . . $ 853,701,242 4,136 100.00% $206,407 5.765% 359 690 77.81% ================ ====== =======
In general, in the case of a mortgage loan made for "rate and term" refinance purposes, substantially all of the proceeds are used to pay in full the principal balance of a previous mortgage loan of the mortgagor with respect to a mortgaged property and to pay origination and closing costs associated with such refinancing. Mortgage loans made for "cash-out" refinance purposes may involve the use of the proceeds to pay in full the principal balance of a previous mortgage loan and related costs except that a portion of the proceeds are generally retained by the mortgagor for uses unrelated to the mortgaged property. The amount of these proceeds retained by the mortgagor may be substantial. Loan Group 3 The Group 3 Loans had an aggregate principal balance as of the Cut-off Date of approximately $100,999,398, after application of scheduled payments due on or before the Cut-off Date, whether or not received. All of the Group 3 Loans are multifamily loans and are secured by first liens on the related mortgaged property. The average principal balance of the Group 3 Loans at origination was approximately $973,740. No Group 3 Loan had a principal balance at origination of greater than approximately $3,000,000 or less than 99-39 approximately $250,000. The average principal balance of the Group 3 Loans as of the Cut-off Date was approximately $971,148. No Group 3 Loan had a principal balance as of the Cut-off Date of greater than approximately $2,994,849 or less than approximately $249,165. As of the Cut-off Date, the Group 3 Loans had mortgage rates ranging from approximately 4.625% per annum to approximately 6.375% per annum and the weighted average mortgage rate was approximately 5.237% per annum. The weighted average remaining term to stated maturity of the Group 3 Loans was approximately 357 months as of the Cut-off Date. None of the Group 3 Loans will have a first Due Date prior to June 2004, or after September 2004, or will have a remaining term to maturity of less than 356 months or greater than 359 months as of the Cut-off Date. The latest maturity date of any Group 3 Loan is August 2034. The loan-to-value ratio of a mortgage loan secured by a first lien is equal to the ratio, expressed as a percentage, of the principal amount of the loan at origination, to the lesser of the appraised value of the related mortgaged property at the time of origination and the sales price. The weighted average of the loan-to-value ratios at origination of the Group 3 Loans was approximately 64.23%. No loan-to-value ratio at origination of any Group 3 Loan was greater than approximately 80.00% or less than approximately 22.81%. None of the Group 3 Loans are buydown mortgage loans. None of the Group 3 Loans will be subject to the Homeownership Act or any comparable state law. None of the Group 3 Loans have reached their first adjustment date as of the Closing Date. All of the Group 3 Loans provide for prepayment charges. The Group 3 Loans had debt service coverage ratios as of the Cut-off Date of at least 1.14x but not more than 2.86x, with a weighted average debt service coverage ratio of approximately 1.29x. The Group 3 Loans had occupancy rates, determined as of the most recent date information was available, ranging from approximately 87.50% to approximately 100.00%, with a weighted average occupancy rate at origination of approximately 97.67%. All of the Group 3 Loans will accrue interest on an actual number of days in the prior calendar month and a year consisting of 360 days. As a result, the portion of the scheduled monthly payment in respect of interest received on the Group 3 Loans will be greater if the prior calendar month has 31 days, and will be reduced if the prior calendar month is February. However, all of the Group 3 Loans will be treated as if they paid interest on a 360-day year consisting of twelve 30-day months. None of the Group 3 Loans are cross-collateralized with other multifamily loans. None of the Group 3 Loans involve borrowers that are bankruptcy-remote special purpose entities. As a result, defaults and losses could occur for reasons unrelated to the financial condition or operation of the related mortgaged property. See "The Mortgage Pool - Multifamily Loans" in this prospectus supplement for additional information about the multifamily loans. See "Description of the Servicing Agreement - Servicing of Multifamily Loans" in this prospectus supplement for a discussion of the servicing of multifamily loans. Set forth below is a description of certain additional characteristics of the Group 3 Loans as of the Cut-off Date, except as otherwise indicated. All percentages of the Group 3 Loans are approximate percentages 99-40 by aggregate principal balance as of the Cut-off Date, except as otherwise indicated. Dollar amounts and percentages may not add up to totals due to rounding.
MORTGAGE LOAN PROGRAMS WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL LOAN PROGRAMS BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------- ------------ ------ ------- ---------- --------- --------- -------- --------- 3/27 LIB6M. . $ 5,586,690 8 5.53% $ 698,336 5.201% 358 751 65.77% 5/25 LIB6M. . 89,876,999 92 88.99 976,924 5.195 357 719 64.60 7/23 LIB6M. . 5,535,709 4 5.48 1,383,927 5.969 358 751 56.70 ------------ ------ ------- ---------- --------- --------- -------- --------- Total . . $100,999,398 104 100.00% $ 971,148 5.237% 357 722 64.23% ============ ====== ======= _______________ (1) A mortgage loan with a loan program including the term "3/27 LIB6M" has a term of 30 years, the first three of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term "5/25 LIB6M" has a term of 30 years, the first five of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term "7/23 LIB6M" has a term of 30 years, the first seven of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR.
99-41
PRINCIPAL BALANCES AS OF ORIGINATION WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF MORTGAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL LOAN PRINCIPAL BALANCES BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ---------------------------- ------------ ------ ------- ---------- --------- --------- -------- --------- $200,000.01 - $250,000.00. . $ 249,165 1 0.25% $ 249,165 5.000% 357 749 55.56% 250,000.01 - 300,000.00. . . 1,073,927 4 1.06 268,482 5.501 358 716 42.08 300,000.01 - 350,000.00. . . 1,971,197 6 1.95 328,533 5.788 357 740 62.94 350,000.01 - 400,000.00. . . 1,572,952 4 1.56 393,238 5.307 357 695 54.84 400,000.01 - 450,000.00. . . 3,481,988 8 3.45 435,249 5.322 358 730 58.42 450,000.01 - 500,000.00. . . 3,861,437 8 3.82 482,680 5.309 357 723 61.58 500,000.01 - 550,000.00. . . 4,760,117 9 4.71 528,902 5.182 357 710 58.62 550,000.01 - 600,000.00. . . 2,346,215 4 2.32 586,554 5.213 357 755 60.07 600,000.01 - 650,000.00. . . 1,283,759 2 1.27 641,880 5.375 358 682 68.32 650,000.01 - 700,000.00. . . 2,092,271 3 2.07 697,424 5.083 358 698 70.04 700,000.01 - 750,000.00. . . 1,458,242 2 1.44 729,121 5.501 358 692 63.45 750,000.01 - 1,000,000.00. . 13,242,811 15 13.11 882,854 5.204 357 705 62.08 1,000,000.01 - 1,500,000.00. 23,231,578 19 23.00 1,222,715 5.094 357 708 64.35 1,500,000.01 - 2,000,000.00. 13,383,242 8 13.25 1,672,905 5.134 357 730 66.54 2,000,000.01 - 2,500,000.00. 15,893,645 7 15.74 2,270,521 5.426 358 739 68.17 2,500,000.01 - 3,000,000.00. 11,096,853 4 10.99 2,774,213 5.261 358 746 66.57 ------------ ------ ------- ---------- --------- --------- -------- --------- Total. . . . . . . . . . $100,999,398 104 100.00% $ 971,148 5.237% 357 722 64.23% ============ ====== =======
As of origination, the average principal balance of the Group 3 Loans will be approximately $973,740. 99-42
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF MORTGAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL LOAN PRINCIPAL BALANCES BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ---------------------------- ------------ ------ ------- ---------- --------- --------- -------- --------- $200,000.01 - $250,000.00. . $ 249,165 1 0.25% $ 249,165 5.000% 357 749 55.56% 250,000.01 - 300,000.00. . . 1,073,927 4 1.06 268,482 5.501 358 716 42.08 300,000.01 - 350,000.00. . . 1,971,197 6 1.95 328,533 5.788 357 740 62.94 350,000.01 - 400,000.00. . . 1,572,952 4 1.56 393,238 5.307 357 695 54.84 400,000.01 - 450,000.00. . . 3,481,988 8 3.45 435,249 5.322 358 730 58.42 450,000.01 - 500,000.00. . . 3,861,437 8 3.82 482,680 5.309 357 723 61.58 500,000.01 - 550,000.00. . . 4,760,117 9 4.71 528,902 5.182 357 710 58.62 550,000.01 - 600,000.00. . . 2,346,215 4 2.32 586,554 5.213 357 755 60.07 600,000.01 - 650,000.00. . . 1,283,759 2 1.27 641,880 5.375 358 682 68.32 650,000.01 - 700,000.00. . . 2,092,271 3 2.07 697,424 5.083 358 698 70.04 700,000.01 - 750,000.00. . . 1,458,242 2 1.44 729,121 5.501 358 692 63.45 750,000.01 - 1,000,000.00. . 13,242,811 15 13.11 882,854 5.204 357 705 62.08 1,000,000.01 - 1,500,000.00. 23,231,578 19 23.00 1,222,715 5.094 357 708 64.35 1,500,000.01 - 2,000,000.00. 13,383,242 8 13.25 1,672,905 5.134 357 730 66.54 2,000,000.01 - 2,500,000.00. 15,893,645 7 15.74 2,270,521 5.426 358 739 68.17 2,500,000.01 - 3,000,000.00. 11,096,853 4 10.99 2,774,213 5.261 358 746 66.57 ------------ ------ ------- ---------- --------- --------- -------- --------- Total. . . . . . . . . . $100,999,398 104 100.00% $ 971,148 5.237% 357 722 64.23% ============ ====== =======
As of the Cut-off Date, the average current principal balance of the Group 3 Loans will be approximately $971,148. 99-43
MORTGAGE RATES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL MORTGAGE RATES (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------ ---------------- ------ ------- ---------- --------- --------- -------- --------- 4.625. . . . . . . $ 6,261,528 5 6.20% $1,252,306 4.625% 357 694 70.11% 4.875. . . . . . . 22,392,991 25 22.17 895,720 4.875 357 713 61.21 5.000. . . . . . . 4,192,897 5 4.15 838,579 5.000 358 744 64.29 5.125. . . . . . . 22,621,837 17 22.40 1,330,696 5.125 357 725 68.64 5.250. . . . . . . 7,374,904 9 7.30 819,434 5.250 358 716 54.06 5.375. . . . . . . 13,950,353 15 13.81 930,024 5.375 358 713 64.96 5.500. . . . . . . 6,729,922 8 6.66 841,240 5.500 358 746 66.39 5.625. . . . . . . 3,837,170 5 3.80 767,434 5.625 358 729 70.01 5.750. . . . . . . 1,158,441 3 1.15 386,147 5.750 358 743 55.86 5.875. . . . . . . 4,362,497 3 4.32 1,454,166 5.875 358 762 62.34 6.000. . . . . . . 4,556,821 3 4.51 1,518,940 6.000 358 744 56.84 6.125. . . . . . . 2,443,837 3 2.42 814,612 6.125 358 690 66.09 6.250. . . . . . . 474,262 1 0.47 474,262 6.250 358 705 69.35 6.375. . . . . . . 641,939 2 0.64 320,970 6.375 356 713 70.00 ---------------- ------ ------- ---------- --------- --------- -------- --------- Total. . . . . $ 100,999,398 104 100.00% $ 971,148 5.237% 357 722 64.23% ================ ====== ======= ____________
The weighted average mortgage rate of the Group 3 Loans was approximately 5.237% per annum.
NEXT ADJUSTMENT DATE WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL NEXT ADJUSTMENT DATE BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - -------------------- ------------ ------ ------- ---------- --------- --------- -------- --------- June 2007. . . . . . $ 508,342 2 0.50% $ 254,171 5.127% 357 740 38.86% July 2007. . . . . . 4,364,022 4 4.32 1,091,005 5.160 358 757 68.68 August 2007. . . . . 714,327 2 0.71 357,163 5.500 359 722 67.20 May 2009 . . . . . . 10,624,495 10 10.52 1,062,449 5.215 356 739 72.77 June 2009. . . . . . 37,304,439 45 36.94 828,988 4.981 357 701 61.52 July 2009. . . . . . 38,084,192 34 37.71 1,120,123 5.365 358 727 65.31 August 2009. . . . . 3,863,873 3 3.83 1,287,958 5.519 359 748 64.84 July 2011. . . . . . 5,535,709 4 5.48 1,383,927 5.969 358 751 56.70 ------------ ------ ------- ---------- --------- --------- -------- --------- Total. . . . . . $100,999,398 104 100.00% $ 971,148 5.237% 357 722 64.23% ============ ====== ======= ______________ As of the Cut-off Date, the weighted average remaining months to the next adjustment date of the Group 3 Loans will be approximately 57 months.
99-44
GROSS MARGIN WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF GROSS CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL MARGINS (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------- ------------ ------ ------- ---------- --------- --------- -------- --------- 2.001 - 3.000 . $ 97,180,912 95 96.22% $1,022,957 5.214% 357 722 64.42% 3.001 - 4.000 . 3,818,486 9 3.78 424,276 5.845 357 718 59.36 ------------ ------ ------- ---------- --------- --------- -------- --------- Total . . . $100,999,398 104 100.00% $ 971,148 5.237% 357 722 64.23% ============ ====== ======= ___________ As of the Cut-off Date, the weighted average Gross Margin of the Group 3 Loans will be approximately 2.871% per annum.
MAXIMUM MORTGAGE RATE WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF MAXIMUM CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL MORTGAGE RATES (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------ ------------ ------ ------- ---------- --------- --------- -------- --------- 9.001 -10.000. . . $ 32,847,416 35 32.52% $ 938,498 4.843% 357 713 63.30% 10.001 - 11.000. . 64,591,944 63 63.95 1,025,269 5.386 358 728 64.54 11.001 - 12.000. . 3,560,038 6 3.52 593,340 6.187 358 696 67.23 ------------ ------ ------- ---------- --------- --------- -------- --------- Total. . . . . $100,999,398 104 100.00% $ 971,148 5.237% 357 722 64.23% ============ ====== ======= _________________ As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the Group 3 Loans will be approximately 10.237% per annum.
INITIAL FIXED-RATE PERIOD WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL INITIAL FIXED PERIOD CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - -------------------- ---------------- ------ ------- ---------- --------- --------- -------- --------- Three Years. . . . . $ 5,586,690 8 5.53% $ 698,336 5.201% 358 751 65.77% Five Years . . . . . 89,876,999 92 88.99 976,924 5.195 357 719 64.60 Seven Years. . . . . 5,535,709 4 5.48 1,383,927 5.969 358 751 56.70 ---------------- ------ ------- ---------- --------- --------- -------- --------- Total. . . . . . $ 100,999,398 104 100.00% $ 971,148 5.237% 357 722 64.23% ================ ====== =======
99-45
INITIAL RATE CAP WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL INITIAL CAP (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------- ---------------- ------ ------- -------- --------- --------- -------- --------- 5.000 . . . . . $ 100,999,398 104 100.00% $971,148 5.237% 357 722 64.23% ---------------- ------ ------- -------- --------- --------- -------- --------- Total . . . $ 100,999,398 104 100.00% $971,148 5.237% 357 722 64.23% ================ ====== =======
PERIODIC RATE CAP WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL PERIODIC RATE CAP (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------------- ---------------- ------ ------- -------- --------- --------- -------- --------- 1.000 . . . . . . . . $ 100,999,398 104 100.00% $971,148 5.237% 357 722 64.23% ---------------- ------ ------- -------- --------- --------- -------- --------- Total . . . . . . $ 100,999,398 104 100.00% $971,148 5.237% 357 722 64.23% ================ ====== =======
ORIGINAL LOAN-TO-VALUE RATIOS WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF LOAN-TO-VALUE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL RATIOS (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ----------------------- ---------------- ------ ------- ---------- --------- --------- -------- --------- 0.01 - 50.00 . . . . . $ 8,545,169 13 8.46% $ 657,321 5.205% 358 711 46.23% 50.01 - 55.00 . . . . . 8,481,217 10 8.40 848,122 5.359 358 718 53.87 55.01 - 60.00 . . . . . 17,205,163 22 17.03 782,053 5.238 357 710 57.95 60.01 - 65.00 . . . . . 13,477,374 14 13.34 962,670 5.208 358 702 62.68 65.01 - 70.00 . . . . . 27,022,880 25 26.76 1,080,915 5.300 358 728 68.01 70.01 - 75.00 . . . . . 25,149,645 19 24.90 1,323,666 5.138 357 738 74.20 75.01 - 80.00 . . . . . 1,117,950 1 1.11 1,117,950 5.625 358 779 80.00 ---------------- ------ ------- ---------- --------- --------- -------- --------- Total . . . . . . . $ 100,999,398 104 100.00% $ 971,148 5.237% 357 722 64.23% ================ ====== ======= __________ The minimum and maximum loan-to-value ratios of the Group 3 Loans at origination were approximately 22.81% and 80.00%, respectively, and the weighted average of the loan-to-value ratios of the Group 3 Loans at origination was approximately 64.23%.
99-46
OCCUPANCY TYPES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL OCCUPANCY CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ---------- ---------------- ------ ------- -------- --------- --------- -------- --------- Investment $ 100,999,398 104 100.00% $971,148 5.237% 357 722 64.23% ---------------- ------ ------- -------- --------- --------- -------- --------- Total . $ 100,999,398 104 100.00% $971,148 5.237% 357 722 64.23% ================ ====== ======= _______________ Occupancy type is based on the representation of the borrower at the time of origination.
MORTGAGE LOAN PROGRAM AND DOCUMENTATION TYPE WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL DOCUMENT TYPE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------------------- ---------------- ------ ------- -------- --------- --------- -------- --------- Progressive Series Program (Full Documentation). . . . $ 100,999,398 104 100.00% $971,148 5.237% 357 722 64.23% ---------------- ------ ------- -------- --------- --------- -------- --------- Total . . . . . . . . . $ 100,999,398 104 100.00% $971,148 5.237% 357 722 64.23% ================ ====== =======
See "-Underwriting Standards" below for a detailed description of the Seller's loan programs and documentation requirements.
RISK CATEGORIES WEIGHTED AVERAGE WEIGHTED WEIGHTED WEIGHTED REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE AVERAGE TERM CREDIT ORIGINAL CREDIT GRADE CATEGORY CURRENT BALANCE LOANS TOTAL BALANCE GROSS WAC (MONTHS) SCORE LTV - --------------------- ---------------- ------ ------- -------- ---------- --------- -------- --------- A . . . . . . . . . . $ 100,999,398 104 100.00% $971,148 5.237% 357 722 64.23% ---------------- ------ ------- -------- ---------- --------- -------- --------- Total . . . . . . $ 100,999,398 104 100.00% $971,148 5.237% 357 722 64.23% ================ ====== ======= _______________ See "-Underwriting Standards" below.
99-47
PROPERTY TYPES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL PROPERTY TYPE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ---------------------- ---------------- ------ ------- -------- --------- --------- -------- --------- Multi-Family Residence $ 100,999,398 104 100.00% $971,148 5.237% 357 722 64.23% ---------------- ------ ------- -------- --------- --------- -------- --------- Total. . . . . . . $ 100,999,398 104 100.00% $971,148 5.237% 357 722 64.23% ================ ====== =======
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL STATE BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ---------- ------------ ------ ------- ---------- --------- --------- -------- --------- Arizona. . $ 4,236,784 4 4.19% $1,059,196 5.219% 358 751 68.22% California 89,306,244 92 88.42 970,720 5.244 357 719 63.63 Florida. . 1,008,149 1 1.00 1,008,149 5.125 356 735 75.00 Nevada . . 3,197,893 3 3.17 1,065,964 5.376 358 758 74.00 Oregon . . 2,658,591 3 2.63 886,197 4.962 357 713 61.70 Utah . . . 591,737 1 0.59 591,737 5.000 358 797 65.97 ------------ ------ ------- ---------- --------- --------- -------- --------- Total. $100,999,398 104 100.00% $ 971,148 5.237% 357 722 64.23% ============ ====== =======
No more than approximately 6.62% of the Group 3 Loans (by aggregate outstanding principal balance as of the Cut-off Date) are secured by mortgaged properties located in any one zip code.
PREPAYMENT PENALTY WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL NUMBER OF MONTHS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ---------------- ---------------- ------ ------- ---------- --------- --------- -------- --------- 36 . . . . . . . $ 5,586,690 8 5.53% $ 698,336 5.201% 358 751 65.77% 60 . . . . . . . 89,876,999 92 88.99 976,924 5.195 357 719 64.60 84 . . . . . . . 5,535,709 4 5.48 1,383,927 5.969 358 751 56.70 ---------------- ------ ------- ---------- --------- --------- -------- --------- Total. . . . $ 100,999,398 104 100.00% $ 971,148 5.237% 357 722 64.23% ================ ====== =======
99-48
PREPAYMENT PENALTY TYPE WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL NUMBER OF MONTHS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------------ ---------------- ------ ------- ---------- --------- --------- -------- --------- 3/27 LIB6M- 3/2/1. . . . $ 5,586,690 8 5.53% $ 698,336 5.201% 358 751 65.77% 5/25LIB6M- 5/4/3/2/1 . . 89,876,999 92 88.99 976,924 5.195 357 719 64.60 7/23LIB6M- 5/4/3/2/1/1/1 5,535,709 4 5.48 1,383,927 5.969 358 751 56.70 ---------------- ------ ------- ---------- --------- --------- -------- --------- Total. . . . . . . . $ 100,999,398 104 100.00% $ 971,148 5.237% 357 722 64.23% ================ ====== =======
A mortgage loan with a loan program including the term "3/27 LIB6M - 3/2/1" has a term of 30 years, the first three of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR, with a prepayment penalty of 3%of the unpaid principal balance of the loan in year one, prepayment penalty of 2%of the unpaid principal balance of the loan in year two and a prepayment penalty of 1%of the unpaid principal balance of the loan in year one. A mortgage loan with a loan program including the term "5/25 LIB6M - 5/4/3/2/1" has a term of 30 years, the first five of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR with a prepayment penalty of 5%of the unpaid principal balance of the loan in year one, a prepayment penalty of 4%of the unpaid principal balance of the loan in year two, a prepayment penalty of 3%of the unpaid principal balance of the loan in year three, prepayment penalty of 2%of the unpaid principal balance of the loan in year four and a prepayment penalty of 1%of the unpaid principal balance of the loan in year five. A mortgage loan with a loan program including the term "7/23 LIB6M - 5/4/3/2/1/1/1" has a term of 30 years, the first seven of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR, with a prepayment penalty of 5%of the unpaid principal balance of the loan in year one, 4%of the unpaid principal balance of the loan in year two, a prepayment penalty of 3%of the unpaid principal balance of the loan in year three, a prepayment penalty of 2%of the unpaid principal balance of the loan in year four, a prepayment penalty of 1%of the unpaid principal balance of the loan in year five, a prepayment penalty of 1%of the unpaid principal balance of the loan in year six and a prepayment penalty of 1%of the unpaid principal balance of the loan in year seven. 99-49
MONTHS REMAINING TO SCHEDULED MATURITY WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL RANGE OF MONTHS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------- ---------------- ------ ------- -------- --------- --------- -------- --------- 301-360 . . . . $ 100,999,398 104 100.00% $971,148 5.237% 357 722 64.23% ---------------- ------ ------- -------- --------- --------- -------- --------- Total . . . . . $ 100,999,398 104 100.00% $971,148 5.237% 357 722 64.23% ================ ====== =======
As of the Cut-off Date, the weighted average months remaining to scheduled maturity of the Group 3 Loans will be approximately 357 months.
RANGE OF MONTHS TO FIRST ROLL WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL RANGE OF MONTHS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------- ---------------- ------ ------- ---------- --------- --------- -------- --------- 32 - 55 . . . . $ 5,586,690 8 5.53% $ 698,336 5.201% 358 751 65.77% 56 - 79 . . . . 89,876,999 92 88.99 976,924 5.195 357 719 64.60 80 or greater . 5,535,709 4 5.48 1,383,927 5.969 358 751 56.70 ---------------- ------ ------- ---------- --------- --------- -------- --------- Total . . . . . $ 100,999,398 104 100.00% $ 971,148 5.237% 357 722 64.23% ================ ====== =======
As of the Cut-off Date, the weighted average months to first roll of the Group 3 Loans will be approximately 57 months.
FIRST PAYMENT DATE WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL DATE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - -------------- ---------------- ------ ------- ---------- --------- --------- -------- --------- June 2004. . . $ 10,624,495 10 10.52% $1,062,449 5.215% 356 739 72.77% July 2004. . . 37,812,781 47 37.44 804,527 4.983 357 702 61.21 August 2004. . 47,983,923 42 47.51 1,142,474 5.416 358 732 64.62 September 2004 4,578,199 5 4.53 915,640 5.516 359 744 65.21 ---------------- ------ ------- ---------- --------- --------- -------- --------- Total. . . . . $ 100,999,398 104 100.00% $ 971,148 5.237% 357 722 64.23% ================ ====== =======
99-50
CREDIT SCORES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL RANGE OF CREDIT SCORES CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ---------------------- ---------------- ------ ------- ---------- --------- --------- -------- --------- 641 - 660. . . . . . . $ 3,240,067 3 3.21% $1,080,022 5.046% 357 653 67.42% 661 - 680. . . . . . . 2,691,429 3 2.66 897,143 5.310 358 670 60.21 681 - 700. . . . . . . 28,973,144 32 28.69 905,411 5.069 357 690 62.30 701 - 720. . . . . . . 21,465,100 26 21.25 825,581 5.282 358 707 60.91 721 - 740. . . . . . . 7,369,546 11 7.30 669,959 5.277 357 730 62.62 741 - 760. . . . . . . 12,013,305 9 11.89 1,334,812 5.481 358 748 64.89 761 - 780. . . . . . . 23,039,472 16 22.81 1,439,967 5.287 358 769 70.59 781 - 800. . . . . . . 2,207,335 4 2.19 551,834 5.231 358 796 57.48 ---------------- ------ ------- ---------- --------- --------- -------- --------- Total. . . . . . . . . $ 100,999,398 104 100.00% $ 971,148 5.237% 357 722 64.23% ================ ====== =======
As of the Cut-off Date, the weighted average credit score of the Group 3 Loans will be approximately 722.
DEBT SERVICE COVERAGE RATIOS WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF DEBT SERVICE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL COVERAGE RATIOS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------------- ---------------- ------ ------- ---------- --------- --------- -------- --------- 1.14 - 1.19 . . . . . $ 16,072,675 14 15.91% $1,148,048 5.310% 358 736 67.73% 1.20 - 1.21 . . . . . 21,433,216 21 21.22 1,020,629 5.508 358 728 62.77 1.22 - 1.24 . . . . . 17,266,598 17 17.10 1,015,682 5.127 357 698 66.36 1.25 - 1.29 . . . . . 15,429,452 14 15.28 1,102,104 5.157 357 719 65.38 1.30 - 1.49 . . . . . 23,246,891 27 23.02 860,996 5.088 357 723 62.39 1.50 - 2.08 . . . . . 6,950,102 9 6.88 772,234 5.170 358 735 61.81 Greater than 2.09 . . 600,465 2 0.59 300,233 5.471 357 742 31.30 ---------------- ------ ------- ---------- --------- --------- -------- --------- Total . . . . . . $ 100,999,398 104 100.00% $ 971,148 5.237% 357 722 64.23% ================ ====== =======
As of the Cut-off Date, the weighted average debt service coverage ratio of the Group 3 Loans will be approximately 1.29x. 99-51
CURRENT OCCUPANCY RATES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL OCCUPANCY RATES (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------- ---------------- ------ ------- ---------- --------- --------- -------- --------- 80.00 - 89.99 . . . $ 3,559,462 6 3.52% $ 593,244 5.040% 357 695 60.66% 90.00 - 94.99 . . . 18,734,207 16 18.55 1,170,888 5.184 357 736 67.30 95.00 - 97.99 . . . 16,578,991 9 16.41 1,842,110 5.412 358 744 65.65 100.00. . . . . . . 62,126,737 73 61.51 851,051 5.218 357 714 63.13 ---------------- ------ ------- ---------- --------- --------- -------- --------- Total . . . . . . . $ 100,999,398 104 100.00% $ 971,148 5.237% 357 722 64.23% ================ ====== =======
As of the Cut-off Date, the weighted average current occupancy rate of the Group 3 Loans will be approximately 97.67%.
NUMBER OF UNITS WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF NUMBER OF NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL UNITS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------ ---------------- ------ ------- ---------- --------- --------- -------- --------- 5 - 9. . . . . . . $ 15,456,735 32 15.30% $ 483,023 5.165% 357 715 59.59% 10 - 14. . . . . . 21,265,440 25 21.06 850,618 5.302 357 714 63.46 15 - 24. . . . . . 26,846,931 27 26.58 994,331 5.114 357 712 65.43 25 - 49. . . . . . 31,919,831 18 31.60 1,773,324 5.376 358 732 64.59 50 - 99. . . . . . 5,510,460 2 5.46 2,755,230 4.991 358 766 72.32 ---------------- ------ ------- ---------- --------- --------- -------- --------- Total. . . . . . . $ 100,999,398 104 100.00% $ 971,148 5.237% 357 722 64.23% ================ ====== =======
YEAR BUILT WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL RANGE OF YEAR BUILT CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------- ---------------- ------ ------- ---------- --------- --------- -------- --------- < 1954. . . . . . . $ 17,413,664 24 17.24% $ 725,569 5.213% 358 726 61.37% 1954 - 1970 . . . . 49,252,627 52 48.77 947,166 5.258 357 720 64.85 1971 - 1975 . . . . 12,915,261 8 12.79 1,614,408 5.157 358 733 66.89 1976 - 1980 . . . . 5,936,007 6 5.88 989,334 5.008 357 700 67.45 1981 - 1985 . . . . 797,254 1 0.79 797,254 4.875 357 690 59.26 1986 - 1990 . . . . 12,005,635 11 11.89 1,091,421 5.434 358 722 61.25 1991 - 1995 . . . . 2,678,950 2 2.65 1,339,475 5.133 358 744 66.35 ---------------- ------ ------- ---------- --------- --------- -------- --------- Total . . . . . $ 100,999,398 104 100.00% $ 971,148 5.237% 357 722 64.23% ================ ====== =======
99-52
RENOVATED WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL RENOVATED CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------- ---------------- ------ ------- ---------- --------- --------- -------- --------- No. . . . $ 37,656,328 44 37.28% $ 855,826 5.143% 357 725 65.11% Yes . . . 63,343,070 60 62.72 1,055,718 5.293 357 720 63.71 ---------------- ------ ------- ---------- --------- --------- -------- --------- Total. $ 100,999,398 104 100.00% $ 971,148 5.237% 357 722 64.23% ================ ====== =======
LOAN PURPOSES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL LOAN PURPOSE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - -------------------- ---------------- ------ ------- ---------- --------- --------- -------- --------- Refinance - Cash Out $ 61,198,436 68 60.59% $ 899,977 5.257% 357 714 60.47% Purchase . . . . . . 39,800,962 36 39.41 1,105,582 5.208 358 734 70.02 ---------------- ------ ------- ---------- --------- --------- -------- --------- Total. . . . . . $ 100,999,398 104 100.00% $ 971,148 5.237% 357 722 64.23% ================ ====== =======
Mortgage loans made for "cash-out" refinance purposes may involve the use of the proceeds to pay in full the principal balance of a previous mortgage loan and related costs except that a portion of the proceeds are generally retained by the mortgagor for uses unrelated to the mortgaged property. The amount of these proceeds retained by the mortgagor may be substantial. 99-53 -----END PRIVACY-ENHANCED MESSAGE-----