-----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, Ox8H+SKugdEhQlvyP9UDu/vgyPIp++h10ItvxN/zdThHz9byOGzo8yBaww22PZQF Y7RY9VXiYtjW2AWbgoBwxA== 0000893220-00-000706.txt : 20000519 0000893220-00-000706.hdr.sgml : 20000519 ACCESSION NUMBER: 0000893220-00-000706 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20000518 ITEM INFORMATION: ITEM INFORMATION: FILED AS OF DATE: 20000518 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ADVANTA CONDUIT RECEIVABLES INC CENTRAL INDEX KEY: 0001082751 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] IRS NUMBER: 880360305 STATE OF INCORPORATION: NV FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 8-K SEC ACT: SEC FILE NUMBER: 333-75295 FILM NUMBER: 639635 BUSINESS ADDRESS: STREET 1: ATTN: GENERAL COUNSEL STREET 2: 10790 RANCHO BERNARDO ROAD CITY: SAN DIEGO STATE: CA ZIP: 92127 BUSINESS PHONE: 6196741800 MAIL ADDRESS: STREET 1: ATTN: GENERAL COUNSEL STREET 2: 10790 RANCHO BERNARDO ROD CITY: SAN DIEGO STATE: CA ZIP: 92127 8-K 1 FORM 8-K ADVANTA CONDUIT RECEIVABLES, INC. 1 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) May 18, 2000 Advanta Conduit Receivables, Inc., as Sponsor on behalf of Advanta Mortgage Loan Trust 2000-1 (Exact name of registrant as specified in its charter)
Nevada 333-92669 88-0360305 (State or Other Jurisdiction of (Commission File Number) (I.R.S. Employer Identification Incorporation) No.)
Advanta Conduit Receivables, Inc. (Exact name of registrant as specified in its charter)
Nevada 333-92669 88-0360305 (State or other jurisdiction (Commission (IRS Employer of incorporation) File Number) ID Number) Attention: General Counsel 10790 Rancho Bernardo Road San Diego, California 92127 (Address of principal executive (Zip Code) offices)
Registrant's Telephone Number, including area code: (858) 676-3099 (Former name or former address, if changed since last report) 2 Item 5. Other Events In connection with the offering of the Advanta Mortgage Loan Trust, 2000-1, Advanta Mortgage Loan Asset Backed Certificates, Series 2000-1 described in a Prospectus Supplement related to the offered certificates, certain "Computational Materials" within the meanings of the May 20, 1994 Kidder, Peabody No-Action Letter and the February 17, 1995 Public Securities Association No-Action Letter were furnished to certain prospective investors (the "Related Computational Materials"). Item 7. Financial Statements, Pro Forma Financial Information and Exhibits. (a) Not applicable (b) Not applicable. (c) Exhibits
Exhibit No. Description ----------- ----------- 99.1. Revised Related Computational Materials (as defined in Item 5 above).
2 3 SIGNATURES 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 hereunto duly authorized. ADVANTA MORTGAGE LOAN TRUST 2000-1 By: Advanta Conduit Receivables, Inc. By: /s/ Michael Coco ---------------------------------------- Name: Michael Coco Title: Vice President By: Advanta Conduit Receivables, Inc By: /s/ Michael Coco ---------------------------------------- Name: Michael Coco Title: Vice President Dated: May 18, 2000 3 4 EXHIBIT INDEX Exhibit No. Description - ----------- ----------- 99.1. Revised Related Computational Materials (as defined in Item 5 above).
4 EX-99.1 2 REVISED RELATED COMPUTATIONAL MATERIALS 1 EXHIBIT 99.1 5 2 MORGAN STANLEY DEAN WITTER [MSDW LOGO] May 18, 2000 Asset Finance Group ABS/MBS Capital Markets Computational Materials $400,000,000 ADVANTA MORTGAGE LOAN TRUST 2000-1 Mortgage Loan Asset-Backed Certificates Series 2000-1 3 MORGAN STANLEY DEAN WITTER [MSDW LOGO] May 18, 2000 Asset Finance Group ABS/MBS Capital Markets $400,000,000 Advanta Mortgage Loan Trust 2000-1 Advanta Mortgage Corp. USA -- Master Servicer Transaction Highlights
Expected Modified Payment Ratings Avg Life Duration Window (S&P/ To Call / To Call / To Call / Class Description Moody's) Balance Mty(1)(2) Mty(1)(2) Mty(1)(2) Day Count Benchmark - ----- ----------- -------- ------- --------- --------- --------- --------- --------- A-1 FRM Floater SEQ AAA/Aaa $107,764,000 0.81 / 0.81 N/A 18 / 18 Actual/360 A-2 FRM Fixed SEQ AAA/Aaa 57,801,000 2.00 / 2.00 1.78 / 1.78 13 / 13 30/360 A-3 FRM Fixed SEQ AAA/Aaa 40,179,000 3.01 / 3.01 2.58 / 2.58 14 / 14 30/360 A-4 FRM Fixed SEQ AAA/Aaa 62,429,000 5.01 / 5.01 3.95 / 3.95 51 / 55 30/360 A-5 FRM Fixed SEQ AAA/Aaa 24,327,000 7.75 / 10.97 5.49 / 6.85 1 / 103 30/360 A-6 FRM NAS Class AAA/Aaa 32,500,000 6.23 / 6.44 4.69 / 4.80 57 / 161 30/360 A-7 ARM Floater AAA/Aaa 75,000,000 2.66 / 2.82 N/A 93 / 187 Actual/360
Notes: (1) Both the Fixed Rate Certificates and ARM certificates are priced to the 10% optional clean-up call. (2) Based on the pricing prepayment speed. See details below. Issuer: Advanta Mortgage Loan Trust 2000-1 Sponsor: Advanta Conduit Receivables, Inc. Master Servicer: Advanta Mortgage Corp. USA Trustee: Bankers Trust Company of California, N.A. Managers: MORGAN STANLEY DEAN WITTER (lead manager); Bear Stearns and Salomon Smith Barney (co-managers - Fixed Rate Certificates), Prudential Securities (co-manager - ARM Certificates) Expected Pricing Date: May [18], 2000 Expected Settlement Date: May [24], 2000 through DTC, Euroclear, and Clearstream Settles with accrued interest on the Fixed Rate Certificates and settles without accrued interest on the ARM Certificates
2 4 Transaction Highlights (cont'd) Distribution Dates: The 25(th) of each month, or if such day is not a business day, on the next business day, beginning June 26, 2000 Mortgage Loans: The Trust will consist of two groups of sub-prime residential mortgage loans: - The "Fixed Rate Group" loans are fixed-rate, one- to four-family home equity mortgage loans, which will support the Class A-1 through Class A-6 certificates - The "ARM Group" loans are adjustable-rate, one- to four-family home equity mortgage loans, which will support the Class A-7 certificates Pricing Prepayment Speed: - Fixed Rate Certificates: The fixed rate certificates assume 120% PPC which equates to a ramped CPR starting at 3.6% CPR in the first month increasing to 24% CPR over 12 months, and remaining at 24% CPR thereafter on a seasoning adjusted basis - ARM Certificates: 28% CPR Credit Enhancement: Each of the Fixed Rate Certificates and ARM Certificates are credit enhanced by excess spread from the mortgage loans, cross-collateralization of the cash flows of the two groups of mortgage loans, overcollateralization and a certificate insurance policy from Ambac Assurance Corporation. Class A-6 NAS Certificates: The Class A-6 NAS class pays according to the following schedule (of its pro-rata share): June 2000 - May 2003: 0% June 2006 - May 2007: 100% June 2003 - May 2005: 45% June 2007 and thereafter: 300% June 2005 - May 2006: 80% Optional Clean-up Call: When the principal balance of the mortgage loans (aggregate of Fixed Rate Group and ARM Group) is less than or equal to 10% of the aggregate original certificate principal balance of the Class A Certificates. Step-up Coupons: The coupon on the Class A-4, A-5, A-6 and A-7 will increase after the clean-up call date should the call not be exercised. Available Funds Caps: The Class A-1, A-5, A-6 and A-7 Certificates will be subject to an available funds cap. Supplemental interest will be payable on the Class A-7 Certificates. Supplemental interest is not covered by the certificate insurance policy. The ratings do not address the likelihood of the payment of supplemental interest. Trust Tax Status: REMIC ERISA Eligibility: The Certificates are expected to be ERISA eligible. SMMEA Eligibility: None of the Certificates are SMMEA eligible. Recent Developments On May 17, 2000, Advanta Corp., the parent of the Concerning Advanta: sponsor and the master servicer, issued a press release stating that it had retained Salomon Smith Barney, one of the underwriters of the series 2000-1 certificates, to assist it in studying possible strategic alternatives for Advanta's mortgage and leasing business units. Although there are no specific actions contemplated at this time, these strategic alternatives could include the sale of, or strategic alliances or partnerships in respect of, all or a portion of Advanta's mortgage loan origination or servicing businesses. The transaction documents do not prohibit the sale or merger of the master servicer into another corporate entity, although they do place restrictions on any such sale or merger. In the event that any strategic alternative involving the master servicer is implemented in the future, the servicing of the mortgage loans could be affected.
3 5 Average Life Sensitivity Tables (Priced to Call) Fixed Rate and ARM Groups
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 ---------- ---------- ---------- ---------- ---------- ---------- ---------- PPC % 0 50 100 120 150 200 250 CPR % 0 10 20 28 35 45 55 Class A-1 Average Life 6.91 1.57 0.93 0.81 0.69 0.55 0.47 First Prin 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000 Last Prin 4/25/2013 8/25/2003 2/25/2002 11/25/2001 8/25/2001 5/25/2001 3/25/2001 Payment Window 155 39 21 18 15 12 10 Class A-2 Average Life 14.85 4.42 2.37 2.00 1.62 1.24 1.01 Mod Duration 8.37 3.58 2.08 1.78 1.47 1.14 0.94 First Prin 4/25/2013 8/25/2003 2/25/2002 11/25/2001 8/25/2001 5/25/2001 3/25/2001 Last Prin 5/25/2017 2/25/2006 5/25/2003 11/25/2002 5/25/2002 11/25/2001 8/25/2001 Payment Window 50 31 16 13 10 7 6 Class A-3 Average Life 18.42 7.20 3.63 3.01 2.39 1.78 1.41 Mod Duration 9.28 5.26 3.03 2.58 2.10 1.60 1.29 First Prin 5/25/2017 2/25/2006 5/25/2003 11/25/2002 5/25/2002 11/25/2001 8/25/2001 Last Prin 3/25/2020 6/25/2009 9/25/2004 12/25/2003 3/25/2003 6/25/2002 12/25/2001 Payment Window 35 41 17 14 11 8 5 Class A-4 Average Life 24.27 12.39 6.35 5.01 3.82 2.68 2.02 Mod Duration 10.25 7.50 4.73 3.95 3.16 2.32 1.80 First Prin 3/25/2020 6/25/2009 9/25/2004 12/25/2003 3/25/2003 6/25/2002 12/25/2001 Last Prin 11/25/2027 6/25/2016 11/25/2009 2/25/2008 9/25/2005 12/25/2003 1/25/2003 Payment Window 93 85 63 51 31 19 14 Class A-5 Average Life 27.50 16.09 9.50 7.75 6.03 4.21 3.05 Mod Duration 10.37 8.52 6.31 5.49 4.56 3.42 2.59 First Prin 11/25/2027 6/25/2016 11/25/2009 2/25/2008 9/25/2005 12/25/2003 1/25/2003 Last Prin 11/25/2027 6/25/2016 11/25/2009 2/25/2008 7/25/2006 11/25/2004 10/25/2003 Payment Window 1 1 1 1 11 12 10
4 6 Average Life Sensitivity Tables (Priced to Call) Fixed Rate and ARM Groups (continued)
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 ---------- ---------- ---------- ---------- ---------- ---------- ---------- PPC % 0 50 100 120 150 200 250 CPR % 0 10 20 28 35 45 55 Class A-6 Average Life 11.74 7.99 6.69 6.23 5.42 4.28 3.40 Mod Duration 7.14 5.59 4.94 4.69 4.23 3.50 2.88 First Prin 6/25/2003 6/25/2003 6/25/2003 6/25/2003 6/25/2003 6/25/2003 6/25/2003 Last Prin 11/25/2027 6/25/2016 11/25/2009 2/25/2008 7/25/2006 11/25/2004 10/25/2003 Payment Window 294 157 78 57 38 18 5 Class A-7 Average Life 20.39 6.98 3.68 2.66 2.06 1.50 1.13 First Prin 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000 Last Prin 11/25/2027 6/25/2016 11/25/2009 2/25/2008 7/25/2006 11/25/2004 10/25/2003 Payment Window 330 193 114 93 74 54 41
5 7 Average Life Sensitivity Tables (Priced to Maturity) Fixed Rate and ARM Groups
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 ---------- ---------- ---------- ---------- ---------- ---------- ---------- PPC % 0 50 100 120 155 200 250 CPR % 0 10 20 28 35 45 55 Class A-1 Average Life 6.91 1.57 0.93 0.81 0.69 0.55 0.47 First Prin 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000 Last Prin 4/25/2013 8/25/2003 2/25/2002 11/25/2001 8/25/2001 5/25/2001 3/25/2001 Payment Window 155 39 21 18 15 12 10 Class A-2 Average Life 14.85 4.42 2.37 2.00 1.62 1.24 1.01 Mod Duration 8.37 3.58 2.08 1.78 1.47 1.14 0.94 First Prin 4/25/2013 8/25/2003 2/25/2002 11/25/2001 8/25/2001 5/25/2001 3/25/2001 Last Prin 5/25/2017 2/25/2006 5/25/2003 11/25/2002 5/25/2002 11/25/2001 8/25/2001 Payment Window 50 31 16 13 10 7 6 Class A-3 Average Life 18.42 7.20 3.63 3.01 2.39 1.78 1.41 Mod Duration 9.28 5.26 3.03 2.58 2.10 1.60 1.29 First Prin 5/25/2017 2/25/2006 5/25/2003 11/25/2002 5/25/2002 11/25/2001 8/25/2001 Last Prin 3/25/2020 6/25/2009 9/25/2004 12/25/2003 3/25/2003 6/25/2002 12/25/2001 Payment Window 35 41 17 14 11 8 5 Class A-4 Average Life 24.27 12.40 6.36 5.01 3.82 2.68 2.02 Mod Duration 10.25 7.50 4.74 3.95 3.16 2.32 1.80 First Prin 3/25/2020 6/25/2009 9/25/2004 12/25/2003 3/25/2003 6/25/2002 12/25/2001 Last Prin 2/25/2028 11/25/2016 6/25/2010 6/25/2008 9/25/2005 12/25/2003 1/25/2003 Payment Window 96 90 70 55 31 19 14 Class A-5 Average Life 28.66 20.15 12.95 10.97 8.06 4.53 3.08 Mod Duration 10.48 9.34 7.56 6.85 5.54 3.61 2.61 First Prin 2/25/2028 11/25/2016 6/25/2010 6/25/2008 9/25/2005 12/25/2003 1/25/2003 Last Prin 12/25/2029 11/25/2027 5/25/2019 12/25/2016 1/25/2014 6/25/2010 2/25/2004 Payment Window 23 133 108 103 101 79 14
6 8 Average Life Sensitivity Tables (Priced to Maturity) Fixed Rate and ARM Groups (continued)
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 ---------- ---------- ---------- ---------- ---------- ---------- ---------- PPC % 0 50 100 120 150 200 250 CPR % 0 10 20 28 35 45 55 Class A-6 Average Life 11.74 8.00 6.76 6.44 6.08 5.62 4.59 Mod Duration 7.14 5.59 4.97 4.80 4.59 4.32 3.68 First Prin 6/25/2003 6/25/2003 6/25/2003 6/25/2003 6/25/2003 6/25/2003 6/25/2003 Last Prin 10/25/2029 8/25/2027 2/25/2019 10/25/2016 11/25/2013 4/25/2010 1/25/2008 Payment Window 317 291 189 161 126 83 56 Class A-7 Average Life 20.49 7.66 4.06 2.82 2.18 1.58 1.19 First Prin 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000 Last Prin 7/25/2029 5/25/2028 11/25/2021 12/25/2015 6/25/2012 3/25/2009 1/25/2007 Payment Window 350 336 258 187 145 106 80
7 9 To 10% Call Percentage of Initial Class A-1 Certificate Principal Balance Outstanding
Dates Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 - ----- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 5/24/2000 100 100 100 100 100 100 100 5/25/2001 89 66 42 32 18 0 0 5/25/2002 84 33 0 0 0 0 0 5/25/2003 78 5 0 0 0 0 0 5/25/2004 72 0 0 0 0 0 0 5/25/2005 65 0 0 0 0 0 0 5/25/2006 58 0 0 0 0 0 0 5/25/2007 51 0 0 0 0 0 0 5/25/2008 44 0 0 0 0 0 0 5/25/2009 36 0 0 0 0 0 0 5/25/2010 29 0 0 0 0 0 0 5/25/2011 20 0 0 0 0 0 0 5/25/2012 10 0 0 0 0 0 0 5/25/2013 0 0 0 0 0 0 0 5/25/2014 0 0 0 0 0 0 0 5/25/2015 0 0 0 0 0 0 0 5/25/2016 0 0 0 0 0 0 0 5/25/2017 0 0 0 0 0 0 0 5/25/2018 0 0 0 0 0 0 0 5/25/2019 0 0 0 0 0 0 0 5/25/2020 0 0 0 0 0 0 0 5/25/2021 0 0 0 0 0 0 0 5/25/2022 0 0 0 0 0 0 0 5/25/2023 0 0 0 0 0 0 0 5/25/2024 0 0 0 0 0 0 0 5/25/2025 0 0 0 0 0 0 0 5/25/2026 0 0 0 0 0 0 0 5/25/2027 0 0 0 0 0 0 0 5/25/2028 0 0 0 0 0 0 0 5/25/2029 0 0 0 0 0 0 0 5/25/2030 0 0 0 0 0 0 0 5/25/2031 0 0 0 0 0 0 0 PPC % 0 50 100 120 150 200 250 CPR % 0 10 20 28 35 45 55
8 10 To 10% Call Percentage of Initial Class A-2 Certificate Principal Balance Outstanding
Dates Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 - ----- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 5/1/2000 100 100 100 100 100 100 100 5/25/2001 100 100 100 100 100 87 42 5/25/2002 100 100 76 45 0 0 0 5/25/2003 100 100 0 0 0 0 0 5/25/2004 100 64 0 0 0 0 0 5/25/2005 100 24 0 0 0 0 0 5/25/2006 100 0 0 0 0 0 0 5/25/2007 100 0 0 0 0 0 0 5/25/2008 100 0 0 0 0 0 0 5/25/2009 100 0 0 0 0 0 0 5/25/2010 100 0 0 0 0 0 0 5/25/2011 100 0 0 0 0 0 0 5/25/2012 100 0 0 0 0 0 0 5/25/2013 97 0 0 0 0 0 0 5/25/2014 73 0 0 0 0 0 0 5/25/2015 39 0 0 0 0 0 0 5/25/2016 20 0 0 0 0 0 0 5/25/2017 0 0 0 0 0 0 0 5/25/2018 0 0 0 0 0 0 0 5/25/2019 0 0 0 0 0 0 0 5/25/2020 0 0 0 0 0 0 0 5/25/2021 0 0 0 0 0 0 0 5/25/2022 0 0 0 0 0 0 0 5/25/2023 0 0 0 0 0 0 0 5/25/2024 0 0 0 0 0 0 0 5/25/2025 0 0 0 0 0 0 0 5/25/2026 0 0 0 0 0 0 0 5/25/2027 0 0 0 0 0 0 0 5/25/2028 0 0 0 0 0 0 0 5/25/2029 0 0 0 0 0 0 0 5/25/2030 0 0 0 0 0 0 0 5/25/2031 0 0 0 0 0 0 0 PPC % 0 50 100 120 150 200 250 CPR % 0 10 20 28 35 45 55
9 11 To 10% Call Percentage of Initial Class A-3 Certificate Principal Balance Outstanding
Dates Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 - ----- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 5/1/2000 100 100 100 100 100 100 100 5/25/2001 100 100 100 100 100 100 100 5/25/2002 100 100 100 100 99 1 0 5/25/2003 100 100 96 44 0 0 0 5/25/2004 100 100 19 0 0 0 0 5/25/2005 100 100 0 0 0 0 0 5/25/2006 100 88 0 0 0 0 0 5/25/2007 100 48 0 0 0 0 0 5/25/2008 100 25 0 0 0 0 0 5/25/2009 100 0 0 0 0 0 0 5/25/2010 100 0 0 0 0 0 0 5/25/2011 100 0 0 0 0 0 0 5/25/2012 100 0 0 0 0 0 0 5/25/2013 100 0 0 0 0 0 0 5/25/2014 100 0 0 0 0 0 0 5/25/2015 100 0 0 0 0 0 0 5/25/2016 100 0 0 0 0 0 0 5/25/2017 99 0 0 0 0 0 0 5/25/2018 65 0 0 0 0 0 0 5/25/2019 27 0 0 0 0 0 0 5/25/2020 0 0 0 0 0 0 0 5/25/2021 0 0 0 0 0 0 0 5/25/2022 0 0 0 0 0 0 0 5/25/2023 0 0 0 0 0 0 0 5/25/2024 0 0 0 0 0 0 0 5/25/2025 0 0 0 0 0 0 0 5/25/2026 0 0 0 0 0 0 0 5/25/2027 0 0 0 0 0 0 0 5/25/2028 0 0 0 0 0 0 0 5/25/2029 0 0 0 0 0 0 0 5/25/2030 0 0 0 0 0 0 0 5/25/2031 0 0 0 0 0 0 0 PPC % 0 50 100 120 150 200 250 CPR % 0 10 20 28 35 45 55
10 12 To 10% Call Percentage of Initial Class A-4 Certificate Principal Balance Outstanding
Dates Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 - ----- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 5/1/2000 100 100 100 100 100 100 100 5/25/2001 100 100 100 100 100 100 100 5/25/2002 100 100 100 100 100 100 45 5/25/2003 100 100 100 100 84 23 0 5/25/2004 100 100 100 78 37 0 0 5/25/2005 100 100 73 42 6 0 0 5/25/2006 100 100 47 19 0 0 0 5/25/2007 100 100 27 4 0 0 0 5/25/2008 100 100 21 0 0 0 0 5/25/2009 100 100 10 0 0 0 0 5/25/2010 100 84 0 0 0 0 0 5/25/2011 100 68 0 0 0 0 0 5/25/2012 100 53 0 0 0 0 0 5/25/2013 100 39 0 0 0 0 0 5/25/2014 100 26 0 0 0 0 0 5/25/2015 100 13 0 0 0 0 0 5/25/2016 100 4 0 0 0 0 0 5/25/2017 100 0 0 0 0 0 0 5/25/2018 100 0 0 0 0 0 0 5/25/2019 100 0 0 0 0 0 0 5/25/2020 98 0 0 0 0 0 0 5/25/2021 89 0 0 0 0 0 0 5/25/2022 79 0 0 0 0 0 0 5/25/2023 68 0 0 0 0 0 0 5/25/2024 56 0 0 0 0 0 0 5/25/2025 43 0 0 0 0 0 0 5/25/2026 28 0 0 0 0 0 0 5/25/2027 12 0 0 0 0 0 0 5/25/2028 0 0 0 0 0 0 0 5/25/2029 0 0 0 0 0 0 0 5/25/2030 0 0 0 0 0 0 0 5/25/2031 0 0 0 0 0 0 0 PPC % 0 50 100 120 150 200 250 CPR % 0 10 20 28 35 45 55
11 13 To 10% Call Percentage of Initial Class A-5 Certificate Principal Balance Outstanding
Dates Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 - ----- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 5/1/2000 100 100 100 100 100 100 100 5/25/2001 100 100 100 100 100 100 100 5/25/2002 100 100 100 100 100 100 100 5/25/2003 100 100 100 100 100 100 45 5/25/2004 100 100 100 100 100 67 0 5/25/2005 100 100 100 100 100 0 0 5/25/2006 100 100 100 100 72 0 0 5/25/2007 100 100 100 100 0 0 0 5/25/2008 100 100 100 0 0 0 0 5/25/2009 100 100 100 0 0 0 0 5/25/2010 100 100 0 0 0 0 0 5/25/2011 100 100 0 0 0 0 0 5/25/2012 100 100 0 0 0 0 0 5/25/2013 100 100 0 0 0 0 0 5/25/2014 100 100 0 0 0 0 0 5/25/2015 100 100 0 0 0 0 0 5/25/2016 100 100 0 0 0 0 0 5/25/2017 100 0 0 0 0 0 0 5/25/2018 100 0 0 0 0 0 0 5/25/2019 100 0 0 0 0 0 0 5/25/2020 100 0 0 0 0 0 0 5/25/2021 100 0 0 0 0 0 0 5/25/2022 100 0 0 0 0 0 0 5/25/2023 100 0 0 0 0 0 0 5/25/2024 100 0 0 0 0 0 0 5/25/2025 100 0 0 0 0 0 0 5/25/2026 100 0 0 0 0 0 0 5/25/2027 100 0 0 0 0 0 0 5/25/2028 0 0 0 0 0 0 0 5/25/2029 0 0 0 0 0 0 0 5/25/2030 0 0 0 0 0 0 0 5/25/2031 0 0 0 0 0 0 0 PPC % 0 50 100 120 150 200 250 CPR % 0 10 20 28 35 45 55
12 14 To 10% Call Percentage of Initial Class A-6 Certificate Principal Balance Outstanding
Dates Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 - ----- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 5/1/2000 100 100 100 100 100 100 100 5/25/2001 100 100 100 100 100 100 100 5/25/2002 100 100 100 100 100 100 100 5/25/2003 100 100 100 100 100 100 100 5/25/2004 99 94 90 88 84 79 0 5/25/2005 98 89 80 77 71 0 0 5/25/2006 96 79 66 60 52 0 0 5/25/2007 92 69 51 44 0 0 0 5/25/2008 82 45 23 0 0 0 0 5/25/2009 71 28 10 0 0 0 0 5/25/2010 62 18 0 0 0 0 0 5/25/2011 53 11 0 0 0 0 0 5/25/2012 43 7 0 0 0 0 0 5/25/2013 35 4 0 0 0 0 0 5/25/2014 26 2 0 0 0 0 0 5/25/2015 17 1 0 0 0 0 0 5/25/2016 14 1 0 0 0 0 0 5/25/2017 10 0 0 0 0 0 0 5/25/2018 7 0 0 0 0 0 0 5/25/2019 4 0 0 0 0 0 0 5/25/2020 3 0 0 0 0 0 0 5/25/2021 2 0 0 0 0 0 0 5/25/2022 2 0 0 0 0 0 0 5/25/2023 1 0 0 0 0 0 0 5/25/2024 1 0 0 0 0 0 0 5/25/2025 1 0 0 0 0 0 0 5/25/2026 0 0 0 0 0 0 0 5/25/2027 0 0 0 0 0 0 0 5/25/2028 0 0 0 0 0 0 0 5/25/2029 0 0 0 0 0 0 0 5/25/2030 0 0 0 0 0 0 0 5/25/2031 0 0 0 0 0 0 0 PPC % 0 50 100 120 150 200 250 CPR % 0 10 20 28 35 45 55
13 15 To 10% Call Percentage of Initial Class A-7 Certificate Principal Balance Outstanding
Dates Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7 - ----- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 5/24/2000 100 100 100 100 100 100 100 5/25/2001 97 87 77 69 62 52 42 5/25/2002 96 77 60 47 38 26 16 5/25/2003 95 68 46 34 25 15 8 5/25/2004 94 60 37 24 16 8 0 5/25/2005 94 53 29 17 10 0 0 5/25/2006 93 47 23 12 7 0 0 5/25/2007 92 42 18 9 0 0 0 5/25/2008 91 37 15 0 0 0 0 5/25/2009 90 33 12 0 0 0 0 5/25/2010 89 29 0 0 0 0 0 5/25/2011 87 26 0 0 0 0 0 5/25/2012 86 23 0 0 0 0 0 5/25/2013 84 20 0 0 0 0 0 5/25/2014 82 18 0 0 0 0 0 5/25/2015 80 16 0 0 0 0 0 5/25/2016 77 14 0 0 0 0 0 5/25/2017 75 0 0 0 0 0 0 5/25/2018 71 0 0 0 0 0 0 5/25/2019 68 0 0 0 0 0 0 5/25/2020 64 0 0 0 0 0 0 5/25/2021 59 0 0 0 0 0 0 5/25/2022 54 0 0 0 0 0 0 5/25/2023 48 0 0 0 0 0 0 5/25/2024 42 0 0 0 0 0 0 5/25/2025 35 0 0 0 0 0 0 5/25/2026 27 0 0 0 0 0 0 5/25/2027 18 0 0 0 0 0 0 5/25/2028 0 0 0 0 0 0 0 5/25/2029 0 0 0 0 0 0 0 5/25/2030 0 0 0 0 0 0 0 5/25/2031 0 0 0 0 0 0 0 PPC % 0 50 100 120 150 200 250 CPR % 0 10 20 28 35 45 55
14 16 TO MATURITY - ----------- PERCENTAGE OF INITIAL CLASS A-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7 - ----- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 5/24/2000 100 100 100 100 100 100 100 5/25/2001 89 66 42 32 18 0 0 5/25/2002 84 33 0 0 0 0 0 5/25/2003 78 5 0 0 0 0 0 5/25/2004 72 0 0 0 0 0 0 5/25/2005 65 0 0 0 0 0 0 5/25/2006 58 0 0 0 0 0 0 5/25/2007 51 0 0 0 0 0 0 5/25/2008 44 0 0 0 0 0 0 5/25/2009 36 0 0 0 0 0 0 5/25/2010 29 0 0 0 0 0 0 5/25/2011 20 0 0 0 0 0 0 5/25/2012 10 0 0 0 0 0 0 5/25/2013 0 0 0 0 0 0 0 5/25/2014 0 0 0 0 0 0 0 5/25/2015 0 0 0 0 0 0 0 5/25/2016 0 0 0 0 0 0 0 5/25/2017 0 0 0 0 0 0 0 5/25/2018 0 0 0 0 0 0 0 5/25/2019 0 0 0 0 0 0 0 5/25/2020 0 0 0 0 0 0 0 5/25/2021 0 0 0 0 0 0 0 5/25/2022 0 0 0 0 0 0 0 5/25/2023 0 0 0 0 0 0 0 5/25/2024 0 0 0 0 0 0 0 5/25/2025 0 0 0 0 0 0 0 5/25/2026 0 0 0 0 0 0 0 5/25/2027 0 0 0 0 0 0 0 5/25/2028 0 0 0 0 0 0 0 5/25/2029 0 0 0 0 0 0 0 5/25/2030 0 0 0 0 0 0 0 5/25/2031 0 0 0 0 0 0 0 PPC % 0 50 100 120 150 200 250 CPR % 0 10 20 28 35 45 55
15 17 TO MATURITY - ----------- PERCENTAGE OF INITIAL CLASS A-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7 - ----- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 5/1/2000 100 100 100 100 100 100 100 5/25/2001 100 100 100 100 100 87 42 5/25/2002 100 100 76 45 0 0 0 5/25/2003 100 100 0 0 0 0 0 5/25/2004 100 64 0 0 0 0 0 5/25/2005 100 24 0 0 0 0 0 5/25/2006 100 0 0 0 0 0 0 5/25/2007 100 0 0 0 0 0 0 5/25/2008 100 0 0 0 0 0 0 5/25/2009 100 0 0 0 0 0 0 5/25/2010 100 0 0 0 0 0 0 5/25/2011 100 0 0 0 0 0 0 5/25/2012 100 0 0 0 0 0 0 5/25/2013 97 0 0 0 0 0 0 5/25/2014 73 0 0 0 0 0 0 5/25/2015 39 0 0 0 0 0 0 5/25/2016 20 0 0 0 0 0 0 5/25/2017 0 0 0 0 0 0 0 5/25/2018 0 0 0 0 0 0 0 5/25/2019 0 0 0 0 0 0 0 5/25/2020 0 0 0 0 0 0 0 5/25/2021 0 0 0 0 0 0 0 5/25/2022 0 0 0 0 0 0 0 5/25/2023 0 0 0 0 0 0 0 5/25/2024 0 0 0 0 0 0 0 5/25/2025 0 0 0 0 0 0 0 5/25/2026 0 0 0 0 0 0 0 5/25/2027 0 0 0 0 0 0 0 5/25/2028 0 0 0 0 0 0 0 5/25/2029 0 0 0 0 0 0 0 5/25/2030 0 0 0 0 0 0 0 5/25/2031 0 0 0 0 0 0 0 PPC % 0 50 100 120 150 200 250 CPR % 0 10 20 28 35 45 55
16 18 TO MATURITY - ----------- PERCENTAGE OF INITIAL CLASS A-3 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7 - ----- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 5/1/2000 100 100 100 100 100 100 100 5/25/2001 100 100 100 100 100 100 100 5/25/2002 100 100 100 100 99 1 0 5/25/2003 100 100 96 44 0 0 0 5/25/2004 100 100 19 0 0 0 0 5/25/2005 100 100 0 0 0 0 0 5/25/2006 100 88 0 0 0 0 0 5/25/2007 100 48 0 0 0 0 0 5/25/2008 100 25 0 0 0 0 0 5/25/2009 100 0 0 0 0 0 0 5/25/2010 100 0 0 0 0 0 0 5/25/2011 100 0 0 0 0 0 0 5/25/2012 100 0 0 0 0 0 0 5/25/2013 100 0 0 0 0 0 0 5/25/2014 100 0 0 0 0 0 0 5/25/2015 100 0 0 0 0 0 0 5/25/2016 100 0 0 0 0 0 0 5/25/2017 99 0 0 0 0 0 0 5/25/2018 65 0 0 0 0 0 0 5/25/2019 27 0 0 0 0 0 0 5/25/2020 0 0 0 0 0 0 0 5/25/2021 0 0 0 0 0 0 0 5/25/2022 0 0 0 0 0 0 0 5/25/2023 0 0 0 0 0 0 0 5/25/2024 0 0 0 0 0 0 0 5/25/2025 0 0 0 0 0 0 0 5/25/2026 0 0 0 0 0 0 0 5/25/2027 0 0 0 0 0 0 0 5/25/2028 0 0 0 0 0 0 0 5/25/2029 0 0 0 0 0 0 0 5/25/2030 0 0 0 0 0 0 0 5/25/2031 0 0 0 0 0 0 0 PPC % 0 50 100 120 150 200 250 CPR % 0 10 20 28 35 45 55
17 19 TO MATURITY PERCENTAGE OF INITIAL CLASS A-4 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7 - ----- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 5/1/2000 100 100 100 100 100 100 100 5/25/2001 100 100 100 100 100 100 100 5/25/2002 100 100 100 100 100 100 45 5/25/2003 100 100 100 100 84 23 0 5/25/2004 100 100 100 78 37 0 0 5/25/2005 100 100 73 42 6 0 0 5/25/2006 100 100 47 19 0 0 0 5/25/2007 100 100 27 4 0 0 0 5/25/2008 100 100 21 0 0 0 0 5/25/2009 100 100 10 0 0 0 0 5/25/2010 100 84 0 0 0 0 0 5/25/2011 100 68 0 0 0 0 0 5/25/2012 100 53 0 0 0 0 0 5/25/2013 100 39 0 0 0 0 0 5/25/2014 100 26 0 0 0 0 0 5/25/2015 100 13 0 0 0 0 0 5/25/2016 100 4 0 0 0 0 0 5/25/2017 100 0 0 0 0 0 0 5/25/2018 100 0 0 0 0 0 0 5/25/2019 100 0 0 0 0 0 0 5/25/2020 98 0 0 0 0 0 0 5/25/2021 89 0 0 0 0 0 0 5/25/2022 79 0 0 0 0 0 0 5/25/2023 68 0 0 0 0 0 0 5/25/2024 56 0 0 0 0 0 0 5/25/2025 43 0 0 0 0 0 0 5/25/2026 28 0 0 0 0 0 0 5/25/2027 12 0 0 0 0 0 0 5/25/2028 0 0 0 0 0 0 0 5/25/2029 0 0 0 0 0 0 0 5/25/2030 0 0 0 0 0 0 0 5/25/2031 0 0 0 0 0 0 0 PPC % 0 50 100 120 150 200 250 CPR % 0 10 20 28 35 45 55
18 20 TO MATURITY PERCENTAGE OF INITIAL CLASS A-5 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7 - ----- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 5/1/2000 100 100 100 100 100 100 100 5/25/2001 100 100 100 100 100 100 100 5/25/2002 100 100 100 100 100 100 100 5/25/2003 100 100 100 100 100 100 45 5/25/2004 100 100 100 100 100 67 0 5/25/2005 100 100 100 100 100 17 0 5/25/2006 100 100 100 100 72 4 0 5/25/2007 100 100 100 100 48 2 0 5/25/2008 100 100 100 100 47 2 0 5/25/2009 100 100 100 80 36 2 0 5/25/2010 100 100 100 59 23 0 0 5/25/2011 100 100 77 42 14 0 0 5/25/2012 100 100 57 28 7 0 0 5/25/2013 100 100 41 18 2 0 0 5/25/2014 100 100 29 11 0 0 0 5/25/2015 100 100 18 5 0 0 0 5/25/2016 100 100 12 1 0 0 0 5/25/2017 100 89 7 0 0 0 0 5/25/2018 100 70 3 0 0 0 0 5/25/2019 100 53 0 0 0 0 0 5/25/2020 100 40 0 0 0 0 0 5/25/2021 100 32 0 0 0 0 0 5/25/2022 100 26 0 0 0 0 0 5/25/2023 100 20 0 0 0 0 0 5/25/2024 100 14 0 0 0 0 0 5/25/2025 100 10 0 0 0 0 0 5/25/2026 100 5 0 0 0 0 0 5/25/2027 100 2 0 0 0 0 0 5/25/2028 83 0 0 0 0 0 0 5/25/2029 29 0 0 0 0 0 0 5/25/2030 0 0 0 0 0 0 0 5/25/2031 0 0 0 0 0 0 0 PPC % 0 50 100 120 150 200 250 CPR % 0 10 20 28 35 45 55
19 21 TO MATURITY PERCENTAGE OF INITIAL CLASS A-6 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7 - ----- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 5/1/2000 100 100 100 100 100 100 100 5/25/2001 100 100 100 100 100 100 100 5/25/2002 100 100 100 100 100 100 100 5/25/2003 100 100 100 100 100 100 100 5/25/2004 99 94 90 88 84 79 64 5/25/2005 98 89 80 77 71 62 29 5/25/2006 96 79 66 60 52 39 11 5/25/2007 92 69 51 44 35 20 3 5/25/2008 82 45 23 17 11 9 0 5/25/2009 71 28 10 6 3 3 0 5/25/2010 62 18 4 2 1 0 0 5/25/2011 53 11 2 1 0 0 0 5/25/2012 43 7 1 0 0 0 0 5/25/2013 35 4 0 0 0 0 0 5/25/2014 26 2 0 0 0 0 0 5/25/2015 17 1 0 0 0 0 0 5/25/2016 14 1 0 0 0 0 0 5/25/2017 10 0 0 0 0 0 0 5/25/2018 7 0 0 0 0 0 0 5/25/2019 4 0 0 0 0 0 0 5/25/2020 3 0 0 0 0 0 0 5/25/2021 2 0 0 0 0 0 0 5/25/2022 2 0 0 0 0 0 0 5/25/2023 1 0 0 0 0 0 0 5/25/2024 1 0 0 0 0 0 0 5/25/2025 1 0 0 0 0 0 0 5/25/2026 0 0 0 0 0 0 0 5/25/2027 0 0 0 0 0 0 0 5/25/2028 0 0 0 0 0 0 0 5/25/2029 0 0 0 0 0 0 0 5/25/2030 0 0 0 0 0 0 0 5/25/2031 0 0 0 0 0 0 0 PPC % 0 50 100 120 150 200 250 CPR % 0 10 20 28 35 45 55
20 22 TO MATURITY PERCENTAGE OF INITIAL CLASS A-7 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATES SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7 - ----- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 5/24/2000 100 100 100 100 100 100 100 5/25/2001 97 87 77 69 62 52 42 5/25/2002 96 77 60 47 38 26 16 5/25/2003 95 68 46 34 25 15 8 5/25/2004 94 60 37 24 16 8 4 5/25/2005 94 53 29 17 10 4 1 5/25/2006 93 47 23 12 7 2 0 5/25/2007 92 42 18 9 4 1 0 5/25/2008 91 37 15 6 3 0 0 5/25/2009 90 33 12 4 1 0 0 5/25/2010 89 29 9 3 1 0 0 5/25/2011 87 26 7 2 0 0 0 5/25/2012 86 23 6 1 0 0 0 5/25/2013 84 20 4 1 0 0 0 5/25/2014 82 18 3 0 0 0 0 5/25/2015 80 16 2 0 0 0 0 5/25/2016 77 14 2 0 0 0 0 5/25/2017 75 12 1 0 0 0 0 5/25/2018 71 10 1 0 0 0 0 5/25/2019 68 9 1 0 0 0 0 5/25/2020 64 8 0 0 0 0 0 5/25/2021 59 6 0 0 0 0 0 5/25/2022 54 5 0 0 0 0 0 5/25/2023 48 4 0 0 0 0 0 5/25/2024 42 3 0 0 0 0 0 5/25/2025 35 2 0 0 0 0 0 5/25/2026 27 1 0 0 0 0 0 5/25/2027 18 1 0 0 0 0 0 5/25/2028 9 0 0 0 0 0 0 5/25/2029 0 0 0 0 0 0 0 5/25/2030 0 0 0 0 0 0 0 5/25/2031 0 0 0 0 0 0 0 PPC % 0 50 100 120 150 200 250 CPR % 0 10 20 28 35 45 55
21 23 SCHEDULE OF AVAILABLE FUNDS CAP RATES -------------------------------------
DATE CLASS A-1 CLASS A-7 - ---- --------- --------- ACTUAL/360 ACTUAL/360 5/25/2000 -- -- 6/25/2000 8.9780% 8.3434% 7/25/2000 9.5759 8.8997 8/25/2000 9.2663 8.6150 9/25/2000 9.2656 8.6164 10/25/2000 9.5738 8.9109 11/25/2000 9.2643 8.6263 12/25/2000 9.5724 8.1850 1/25/2001 9.2631 7.9278 2/25/2001 9.2630 7.9303 3/25/2001 10.2553 8.7817 4/25/2001 9.2627 7.9450 5/25/2001 9.5713 8.4064 6/25/2001 9.2624 8.1559 7/25/2001 9.5710 8.4745 8/25/2001 9.2621 8.2037 9/25/2001 9.2620 8.2053 10/25/2001 9.5706 8.4864 11/25/2001 9.2618 8.4030 12/25/2001 9.5704 8.7046 1/25/2002 9.2616 8.4680 2/25/2002 9.2615 8.4707 3/25/2002 10.2537 9.3802 4/25/2002 9.2613 8.4976 5/25/2002 9.5698 8.9789 6/25/2002 9.2608 8.7116 7/25/2002 9.5692 9.0529 8/25/2002 9.2602 8.7652 9/25/2002 9.2599 8.7677 10/25/2002 9.5683 9.0718 11/25/2002 9.2593 8.9702 12/25/2002 9.5676 9.2911 1/25/2003 9.2587 9.0338 2/25/2003 9.2582 9.0363 3/25/2003 10.2496 10.0062
22 24 SCHEDULE OF AVAILABLE FUNDS CAP RATES -------------------------------------
DATE CLASS A-1 CLASS A-7 - ---- --------- --------- ACTUAL/360 ACTUAL/360 4/25/2003 9.2572% 9.1043% 5/25/2003 9.5652 11.2198 6/25/2003 10.8786 7/25/2003 11.6193 8/25/2003 11.2468 9/25/2003 11.2481 10/25/2003 11.6344 11/25/2003 11.9953 12/25/2003 12.4111 1/25/2004 12.1627 2/25/2004 12.1629 3/25/2004 13.0018 4/25/2004 12.2029 5/25/2004 13.3677 6/25/2004 12.9366 7/25/2004 13.5264 8/25/2004 13.0902 9/25/2004 13.0903 10/25/2004 13.5268 11/25/2004 13.6358 12/25/2004 14.0905 1/25/2005 13.7442 2/25/2005 13.7443 3/25/2005 15.2668 4/25/2005 13.8224 5/25/2005 14.8466 6/25/2005 14.3677 7/25/2005 14.9744 8/25/2005 14.4914 9/25/2005 14.5091 10/25/2005 14.9928 11/25/2005 14.5827 12/25/2005 15.0688 1/25/2006 14.6009 2/25/2006 14.6009
23 25 SCHEDULE OF AVAILABLE FUNDS CAP RATES -------------------------------------
DATE CLASS A-1 CLASS A-7 - ---- --------- --------- ACTUAL/360 ACTUAL/360 3/25/2006 16.1848% 4/25/2006 14.6186 5/25/2006 15.1059 6/25/2006 14.6186 7/25/2006 15.1095 8/25/2006 14.6221 9/25/2006 14.6397 10/25/2006 15.1277 11/25/2006 14.6398 12/25/2006 15.1278 1/25/2007 14.6433 2/25/2007 14.6433 3/25/2007 16.2317 4/25/2007 14.6609 5/25/2007 15.1496
24 26 FIXED RATE GROUP - COLLATERAL SUMMARY ------------------------------------- FIXED RATE GROUP ---------------- NUMBER OF MORTGAGE LOANS 4,916 TOTAL OUTSTANDING PRINCIPAL BALANCE $298,292,270 AVERAGE PRINCIPAL BALANCE $ 60,678 $1,061 - $499,176 WEIGHTED AVERAGE MORTGAGE COUPON RATE 10.48% 5.63% - 20.45% WEIGHTED AVERAGE ORIGINAL TERM (MOS.) 275 60 - 360 WEIGHTED AVERAGE REMAINING TERM (MOS.) 271 8 - 360 WEIGHTED AVERAGE FICO 624 WEIGHTED AVERAGE CLTV 77.19% 9.77% - 100.93% WEIGHTED AVERAGE JUNIOR LIEN RATIO 29.27% (FOR SECOND LIENS ONLY) PREPAYMENT PENALTY YES 96.27% NO 3.73%
FIXED RATE GROUP ---------------- GEOGRAPHIC DISTRIBUTION -----------------------
AGGREGATE % OF AGGREGATE NUMBER OF PRINCIPAL PRINCIPAL STATE MORTGAGE LOANS BALANCE BALANCE - ----- -------------- ------- ------- California 295 $27,790,358.51 9.32% Pennsylvania 479 25,645,853.66 8.60 Michigan 340 19,996,656.76 6.70 Florida 284 18,188,182.11 6.10 New York 211 15,384,866.03 5.16 Ohio 229 13,012,603.99 4.36 Virginia 181 10,947,807.18 3.67 Illinois 167 10,003,620.15 3.35 Tennessee 151 9,628,386.00 3.23 Missouri 188 9,505,836.12 3.19 Other 2,391 138,188,099.29 46.32 - ----- ----- -------------- ----- TOTAL: 4,916 $298,292,269.80 100.00%
The mortgaged properties in the Fixed Rate Group are located in a total of 48 states and the District of Columbia 25 27 FIXED RATE GROUP ---------------- DISTRIBUTION OF CLTV RATIOS ---------------------------
AGGREGATE % OF AGGREGATE RANGE OF NUMBER OF PRINCIPAL PRINCIPAL CLTV RATIOS MORTGAGE LOANS BALANCE BALANCE - ----------- -------------- ------- ------- 0.01 - 60.00% 678 $27,625,417.45 9.26% 60.01 - 70.00 497 25,706,854.31 8.62 70.01 - 75.00 990 70,841,735.40 23.75 75.01 - 80.00 744 47,575,792.73 15.95 80.01 - 85.00 1,158 72,744,100.75 24.38 85.01 - 90.00 598 38,815,407.82 13.01 90.01 - 95.00 85 4,223,225.72 1.42 95.01 - 100.00 161 10,353,718.57 3.47 100.01 - 101.00 5 406,017.05 0.14 - --------------- ----- ------------- ------ TOTAL: 4,916 $298,292,269.80 100.00%
Minimum CLTV: 9.77% Maximum CLTV: 100.93% Weighted Average CLTV: 77.19% FIXED RATE GROUP ---------------- DISTRIBUTION BY AMORTIZATION TYPE ---------------------------------
AGGREGATE % OF AGGREGATE NUMBER OF PRINCIPAL PRINCIPAL AMORTIZATION TYPE MORTGAGE LOANS BALANCE BALANCE - ----------------- -------------- ------- ------- Balloon 122 $9,038,095.90 3.03% Fully Amortizing 4,794 289,254,173.90 96.97 - ---------------- ----- -------------- ----- TOTAL: 4,916 $298,292,269.80 100.00%
26 28 FIXED RATE GROUP ---------------- DISTRIBUTION OF REMAINING TERM TO MATURITY ------------------------------------------
AGGREGATE % OF AGGREGATE REMAINING TERM NUMBER OF PRINCIPAL PRINCIPAL TO MATURITY MORTGAGE LOANS BALANCE BALANCE - ----------- -------------- ------- ------- 1 - 60 31 $684,905.86 0.23% 61 - 120 316 10,524,014.57 3.53 121 - 180 1,306 55,542,210.77 18.62 181 - 240 1,736 104,112,170.73 34.90 241 - 300 21 1,925,545.87 0.65 301 - 360 1,506 125,503,422.00 42.07 - --------- ----- -------------- ----- TOTAL: 4,916 $298,292,269.80 100.00%
Minimum Remaining Term: 8 months Maximum Remaining Term: 360 months Weighted Average Remaining Term: 271 months FIXED RATE GROUP ---------------- DISTRIBUTION OF PRINCIPAL BALANCE ---------------------------------
AGGREGATE % OF AGGREGATE RANGE OF NUMBER OF PRINCIPAL PRINCIPAL PRINCIPAL BALANCES MORTGAGE LOANS BALANCE BALANCE - ------------------ -------------- ------- ------- $1 - $25,000 858 $16,260,314.70 5.45% 25,001 - 50,000 1,711 64,253,832.60 21.54 50,001 - 75,000 1,183 71,762,908.36 24.06 75,001 - 100,000 489 42,308,085.07 14.18 100,001 - 150,000 424 50,737,924.16 17.01 150,001 - 200,000 150 25,514,379.82 8.55 200,001 - 250,000 46 10,165,514.92 3.41 250,001 - 300,000 31 8,582,667.95 2.88 300,001 - 350,000 13 4,135,544.15 1.39 350,001 - 500,000 11 4,571,098.07 1.53 - ----------------- ----- ------------ ---- TOTAL: 4,916 $298,292,269.80 100.00%
Minimum Principal Balance: $1,061.02 Maximum Principal Balance: $499,175.70 Average Principal Balance: $60,677.84 27 29 FIXED RATE GROUP ---------------- DISTRIBUTION OF CURRENT MORTGAGE COUPON RATES ---------------------------------------------
AGGREGATE % OF AGGREGATE RANGE OF NUMBER OF PRINCIPAL PRINCIPAL MORTGAGE COUPON RATES MORTGAGE LOANS BALANCE BALANCE - --------------------- -------- ------------- ------- 5.001 - 6.000% 1 $86,719.64 0.03% 6.001 - 7.000 27 4,686,589.21 1.57 7.001 - 8.000 64 9,359,038.05 3.14 8.001 - 9.000 539 48,917,683.43 16.40 9.001 - 10.000 1,225 91,227,237.54 30.58 10.001 - 11.000 961 59,640,220.66 19.99 11.001 - 12.000 565 30,365,751.22 10.18 12.001 - 13.000 470 20,842,620.93 6.99 13.001 - 14.000 388 13,402,900.76 4.49 14.001 - 15.000 317 10,160,877.50 3.41 15.001 - 16.000 201 5,716,952.25 1.92 16.001 - 17.000 108 2,838,240.55 0.95 17.001 - 18.000 31 650,965.23 0.22 18.001 - 21.000 19 396,472.83 0.13 - --------------- ----- ------------- ------ TOTAL: 4,916 $298,292,269.80 100.00%
Minimum Mortgage Coupon Rate: 5.63% Maximum Mortgage Coupon Rate: 20.45% Weighted Average Mortgage Coupon Rate: 10.48% 28 30 FIXED RATE GROUP ---------------- DISTRIBUTION OF JUNIOR LIEN RATIOS (JUNIOR LIENS ONLY) ------------------------------------------------------
AGGREGATE % OF AGGREGATE RANGE OF NUMBER OF PRINCIPAL PRINCIPAL JUNIOR LIEN RATIOS MORTGAGE LOANS BALANCE BALANCE - ------------------ -------------- ------- ------- 0.01 - 10.00% 32 $601,838.53 2.77% 10.01 - 20.00 248 5,660,877.46 26.06 20.01 - 30.00 279 6,863,804.18 31.60 30.01 - 40.00 143 4,856,135.35 22.35 40.01 - 50.00 65 1,975,571.62 9.09 50.01 - 60.00 18 655,847.67 3.02 60.01 - 70.00 18 411,410.14 1.89 70.01 - 80.00 11 374,261.79 1.72 80.01 - 90.00 7 220,865.45 1.02 90.01 - 100.00 3 104,576.01 0.48 - -------------- ---- -------------- ---- Total: 824 $21,725,188.20 100.00%
Minimum Junior Lien Ratio: 6.58% Maximum Junior Lien Ratio: 100.00% Weighted Average Junior Lien Ratio: 29.27% FIXED RATE GROUP ---------------- DISTRIBUTION OF PROPERTY TYPES ------------------------------
AGGREGATE % OF AGGREGATE NUMBER OF PRINCIPAL PRINCIPAL PROPERTY TYPE MORTGAGE LOANS BALANCE BALANCE - ------------- -------------- ------- ------- SF Detached/Deminimus PUD 4,336 $267,384,679.28 89.64% SF Row House/Condos/Townhouses 228 10,907,895.16 3.66 Two to Four Family Home 132 8,658,246.56 2.90 Prefabricated Single Family 220 11,341,448.80 3.80 - --------------------------- --- ------------- ---- TOTAL: 4,916 $298,292,269.80 100.00%
29 31 FIXED RATE GROUP ---------------- DISTRIBUTION OF OCCUPANCY STATUS --------------------------------
AGGREGATE % OF AGGREGATE NUMBER OF PRINCIPAL PRINCIPAL OCCUPANCY STATUS MORTGAGE LOANS BALANCE BALANCE - ---------------- -------------- ------- ------- Owner Occupied 4,791 $292,648,283.94 98.11% Non-Owner Occupied 125 5,643,985.86 1.89 - ------------------ ----- ------------ ---- TOTAL: 4,916 $298,292,269.80 100.00%
Owner Occupied properties include vacation homes and second homes FIXED RATE GROUP ---------------- DISTRIBUTION OF SEASONING -------------------------
AGGREGATE % OF AGGREGATE MONTHS ELAPSED NUMBER OF PRINCIPAL PRINCIPAL SINCE ORIGINATION MORTGAGE LOANS BALANCE BALANCE - ----------------- -------------- ------- ------- 0 - 6 4,281 $260,476,661.74 87.32% 7 - 12 528 31,159,226.95 10.45 13 - 24 59 5,052,532.81 1.69 25 - 142 48 1,603,848.30 0.54 - -------- ----- ------------ ---- TOTAL: 4,916 $298,292,269.80 100.00%
Minimum Seasoning: 0 months Maximum Seasoning: 142 months Weighted Average Seasoning: 4 months 30 32 ARM GROUP - COLLATERAL SUMMARY ------------------------------ ARM GROUP --------- NUMBER OF MORTGAGE LOANS 771 TOTAL OUTSTANDING PRINCIPAL BALANCE $64,154,148 AVERAGE PRINCIPAL BALANCE $83,209 $9,986 - $384,413 WEIGHTED AVERAGE MORTGAGE COUPON RATE 9.82% 7.23% - 17.13% WEIGHTED AVERAGE MARGIN 5.50% 0.45% - 12.13% WEIGHTED AVERAGE ORIGINAL TERM (MOS.) 347 60 - 360 WEIGHTED AVERAGE REMAINING TERM (MOS.) 346 49 - 360 WEIGHTED AVERAGE FICO 613 WEIGHTED AVERAGE MAXIMUM COUPON RATE 16.82% 14.23% - 24.13% WEIGHTED AVERAGE MINIMUM COUPON RATE 9.28% 7.23% - 17.13% INDEX 6 MONTH LIBOR 97.61% 1 YR CMT 2.39% WEIGHTED AVERAGE LTV 78.50% 12.14% - 98.99% LIEN POSITION FIRST 100.00% PREPAYMENT PENALTY YES 96.72% NO 3.28%
ARM GROUP --------- GEOGRAPHIC DISTRIBUTION -----------------------
AGGREGATE % OF AGGREGATE NUMBER OF PRINCIPAL PRINCIPAL STATE MORTGAGE LOANS BALANCE BALANCE - ----- -------------- ------- ------- California 32 $4,579,709.97 7.14% Michigan 65 3,834,127.46 5.98 Florida 41 3,617,266.76 5.64 Washington 32 3,463,437.71 5.40 New York 36 3,297,851.58 5.14 Illinois 43 3,256,984.31 5.08 Georgia 30 3,253,505.48 5.07 Colorado 22 2,908,949.15 4.53 Oregon 24 2,814,211.76 4.39 Pennsylvania 41 2,537,487.33 3.96 Other 405 30,590,616.49 47.67 - ----- --- ------------- ----- TOTAL: 771 $64,154,148.00 100.00%
The mortgaged properties in the ARM Group are located in 45 states 31 33 ARM GROUP --------- DISTRIBUTION OF LTV RATIOS --------------------------
AGGREGATE % OF AGGREGATE RANGE OF NUMBER OF PRINCIPAL PRINCIPAL LTV RATIOS MORTGAGE LOANS BALANCE BALANCE - ---------- -------------- ------- ------- 0.01 - 60.00% 67 $3,261,072.71 5.08% 60.01 - 70.00 64 4,767,099.73 7.43 70.01 - 75.00 199 18,683,553.77 29.13 75.01 - 80.00 110 8,719,786.71 13.59 80.01 - 85.00 172 15,378,805.60 23.97 85.01 - 90.00 138 11,994,618.03 18.70 90.01 - 95.00 15 1,090,869.25 1.70 95.01 - 100.00 6 258,342.20 0.40 - -------------- -------------- ---------- ---- TOTAL: 771 $64,154,148.00 100.00%
Minimum LTV: 12.14% Maximum LTV: 98.99% Weighted Average LTV: 78.50% ARM GROUP --------- DISTRIBUTION OF REMAINING TERM TO MATURITY ------------------------------------------
AGGREGATE % OF AGGREGATE REMAINING TERM NUMBER OF PRINCIPAL PRINCIPAL TO MATURITY MORTGAGE LOANS BALANCE BALANCE - ----------- -------------- ------- ------- 1 - 60 2 $31,484.55 0.05% 61 - 120 13 465,022.10 0.72 121 - 180 27 1,182,074.33 1.84 181 - 240 52 3,762,622.25 5.86 241 - 300 4 257,542.79 0.40 301 - 360 673 58,455,401.98 91.13 - --------- --- ------------- ----- TOTAL: 771 $64,154,148.00 100.00%
Minimum Remaining Term: 49 months Maximum Remaining Term: 360 months Weighted Average Remaining Term: 346 months 32 34 ARM GROUP --------- DISTRIBUTION OF PRINCIPAL BALANCE ---------------------------------
AGGREGATE % OF AGGREGATE RANGE OF NUMBER OF PRINCIPAL PRINCIPAL PRINCIPAL BALANCES MORTGAGE LOANS BALANCE BALANCE - ------------------ -------------- ------- ------- $1 - $25,000 26 $523,985.36 0.82% 25,001 - 50,000 200 7,855,987.92 12.25 50,001 - 75,000 235 14,535,610.73 22.66 75,001 - 100,000 100 8,701,546.26 13.56 100,001 - 150,000 128 15,542,688.95 24.22 150,001 - 200,000 53 9,043,522.12 14.10 200,001 - 250,000 13 2,951,814.25 4.60 250,001 - 300,000 5 1,357,705.98 2.12 300,001 - 350,000 9 2,894,873.90 4.51 350,001 - 400,000 2 746,412.53 1.16 - ----------------- --- ---------- ---- TOTAL: 771 $64,154,148.00 100.00%
Minimum Principal Balance: $9,985.83 Maximum Principal Balance: $384,412.53 Average Principal Balance: $83,209.01 ARM GROUP --------- DISTRIBUTION OF PROPERTY TYPES ------------------------------
AGGREGATE % OF AGGREGATE NUMBER OF PRINCIPAL PRINCIPAL PROPERTY TYPE MORTGAGE LOANS BALANCE BALANCE - ------------- -------------- ------- ------- SF Detached/Deminimus PUD 689 $57,840,451.56 90.15% SF Row House/Condos/Townhouses 32 2,423,054.16 3.78 Two to Four Family Home 23 2,274,272.03 3.55 Prefabricated Single Family 27 1,616,370.25 2.52 - --------------------------- --- ------------ ---- TOTAL: 771 $64,154,148.00 100.00%
33 35 ARM GROUP --------- DISTRIBUTION OF OCCUPANCY STATUS --------------------------------
AGGREGATE % OF AGGREGATE NUMBER OF PRINCIPAL PRINCIPAL OCCUPANCY STATUS MORTGAGE LOANS BALANCE BALANCE - ---------------- -------------- ------- ------- Owner Occupied 752 $62,978,688.90 98.17% Non-Owner Occupied 19 1,175,459.10 1.83 - ------------------ --- ------------ ---- TOTAL: 771 $64,154,148.00 100.00%
Owner Occupied properties include vacation homes and second homes ARM GROUP --------- DISTRIBUTION OF SEASONING -------------------------
AGGREGATE % OF AGGREGATE MONTHS ELAPSED NUMBER OF PRINCIPAL PRINCIPAL SINCE ORIGINATION MORTGAGE LOANS BALANCE BALANCE - ----------------- -------------- ------- ------- 0 - 6 768 $64,002,147.24 99.76% 7 - 12 3 152,000.76 0.24 - ------ --- ---------- ---- TOTAL: 771 $64,154,148.00 100.00%
Minimum Seasoning: 0 months Maximum Seasoning: 11 months Weighted Average Seasoning: 2 months 34 36 ARM GROUP --------- DISTRIBUTION OF CURRENT MORTGAGE COUPON RATES ---------------------------------------------
AGGREGATE % OF AGGREGATE RANGE OF CURRENT NUMBER OF PRINCIPAL PRINCIPAL MORTGAGE COUPON RATES MORTGAGE LOANS BALANCE BALANCE - --------------------- -------------- ------- ------- 7.001 - 8.000% 51 $5,555,146.83 8.66% 8.001 - 9.000 182 19,481,910.51 30.37 9.001 - 10.000 200 17,202,039.88 26.81 10.001 - 11.000 132 9,418,755.72 14.68 11.001 - 12.000 86 5,991,690.71 9.34 12.001 - 13.000 58 3,798,938.73 5.92 13.001 - 14.000 35 1,769,555.64 2.76 14.001 - 15.000 21 794,889.25 1.24 15.001 - 16.000 2 62,911.97 0.10 16.001 - 17.000 3 56,937.53 0.09 17.001 - 18.000 1 21,371.23 0.03 - --------------- ----- -------------- ---- TOTAL: 771 $64,154,148.00 100.00%
Minimum Current Mortgage Coupon Rate: 7.23% Maximum Current Mortgage Coupon Rate: 17.13% Weighted Average Current Mortgage Coupon Rate: 9.82% 35 37 ARM GROUP DISTRIBUTION OF MAXIMUM MORTGAGE COUPON RATES AGGREGATE % OF AGGREGATE RANGE OF MAXIMUM NUMBER OF PRINCIPAL PRINCIPAL MORTGAGE COUPON RATES MORTGAGE LOANS BALANCE BALANCE - --------------------- -------------- --------------- -------------- 14.001 - 15.000% 51 $5,555,146.83 8.66% 15.001 - 16.000 182 19,481,910.51 30.37 16.001 - 17.000 200 17,202,039.88 26.81 17.001 - 18.000 132 9,418,755.72 14.68 18.001 - 19.000 86 5,991,690.71 9.34 19.001 - 20.000 59 3,849,653.73 6.00 20.001 - 21.000 34 1,718,840.64 2.68 21.001 - 22.000 21 794,889.25 1.24 22.001 - 23.000 2 62,911.97 0.10 23.001 - 24.000 3 56,937.53 0.09 24.001 - 25.000 1 21,371.23 0.03 - --------------- ------ -------------- ---- Total: 771 $64,154,148.00 100.00% Minimum Maximum Mortgage Coupon Rate: 14.23% Maximum Maximum Mortgage Coupon Rate: 24.13% Weighted Average Maximum Mortgage Coupon Rate: 16.82% 36 38 ARM GROUP --------- DISTRIBUTION OF MINIMUM MORTGAGE COUPON RATES ---------------------------------------------
AGGREGATE % OF AGGREGATE RANGE OF MINIMUM NUMBER OF PRINCIPAL PRINCIPAL MORTGAGE COUPON RATES MORTGAGE LOANS BALANCE BALANCE - --------------------- -------------- ------- ------- 7.001 - 8.000% 217 $22,321,817.33 34.80% 8.001 - 9.000 119 11,824,086.60 18.43 9.001 - 10.000 148 12,172,625.56 18.97 10.001 - 11.000 109 7,413,435.36 11.56 11.001 - 12.000 77 5,153,810.26 8.03 12.001 - 13.000 47 2,907,403.87 4.53 13.001 - 14.000 29 1,517,337.70 2.37 14.001 - 15.000 19 702,410.59 1.09 15.001 - 16.000 2 62,911.97 0.10 16.001 - 17.000 3 56,937.53 0.09 17.001 - 18.000 1 21,371.23 0.03 - --------------- ---- -------------- ---- TOTAL: 771 $64,154,148.00 100.00%
Minimum Minimum Mortgage Coupon Rate: 7.23% Maximum Minimum Mortgage Coupon Rate: 17.13% Weighted Average Minimum Mortgage Coupon Rate: 9.28% 37 39 ARM GROUP --------- DISTRIBUTION OF MARGINS -----------------------
AGGREGATE % OF AGGREGATE RANGE OF NUMBER OF PRINCIPAL PRINCIPAL MARGINS MORTGAGE LOANS BALANCE BALANCE - ------- -------------- ------- ------- 0.001 - 1.000% 1 $241,342.78 0.38% 1.001 - 2.000 48 5,268,736.26 8.21 2.001 - 3.000 51 5,370,281.16 8.37 3.001 - 4.000 53 4,644,870.97 7.24 4.001 - 5.000 53 5,542,219.68 8.64 5.001 - 6.000 162 14,565,255.02 22.70 6.001 - 7.000 174 14,883,188.90 23.20 7.001 - 8.000 115 7,993,057.29 12.46 8.001 - 9.000 63 3,651,435.86 5.69 9.001 - 10.000 35 1,390,908.90 2.17 10.001 - 11.000 6 263,806.49 0.41 11.001 - 12.000 9 309,047.78 0.48 12.001 - 13.000 1 29,996.91 0.05 - --------------- --- ------------- ---- TOTAL: 771 $64,154,148.00 100.00%
Minimum Margin: 0.45% Maximum Margin: 12.13% Weighted Average Margin: 5.50% ARM GROUP --------- DISTRIBUTION OF INITIAL INTEREST RATE ADJUSTMENT CAPS -----------------------------------------------------
AGGREGATE % OF AGGREGATE INITIAL INTEREST RATE NUMBER OF PRINCIPAL PRINCIPAL ADJUSTMENT CAP MORTGAGE LOANS BALANCE BALANCE - -------------- -------------- ------- ------- 1.00% 219 $20,682,604.16 32.24% 2.00 5 283,828.74 0.44 3.00 547 43,187,715.10 67.32 - ---- --- ------------- ----- TOTAL: 771 $64,154,148.00 100.00%
Minimum Initial Interest Rate Adjustment Cap: 1.00% Maximum Initial Interest Rate Adjustment Cap: 3.00% Weighted Average Initial Interest Rate Adjustment Cap: 2.35% 38 40 ARM GROUP --------- DISTRIBUTION OF ANNUAL INTEREST RATE ADJUSTMENT CAPS ----------------------------------------------------
AGGREGATE % OF AGGREGATE ANNUAL INTEREST RATE NUMBER OF PRINCIPAL PRINCIPAL ADJUSTMENT CAP MORTGAGE LOANS BALANCE BALANCE - -------------- -------------- ------- ------- 1.00% 749 $62,567,767.68 97.53% 2.00 22 1,586,380.32 2.47 - ---- --- ------------ ---- TOTAL: 771 $64,154,148.00 100.00%
Minimum Annual Interest Rate Adjustment Cap: 1.00% Maximum Annual Interest Rate Adjustment Cap: 2.00% Weighted Average Annual Interest Rate Adjustment Cap: 1.02% 39 41 ARM GROUP --------- DISTRIBUTION BY NEXT INTEREST ADJUSTMENT DATE ---------------------------------------------
AGGREGATE % OF AGGREGATE NEXT INTEREST NUMBER OF PRINCIPAL PRINCIPAL ADJUSTMENT DATE MORTGAGE LOANS BALANCE BALANCE - --------------- -------------- ------- ------- June, 2000 3 $173,133.79 0.27% July, 2000 1 105,649.30 0.16 August, 2000 4 546,639.55 0.85 September, 2000 3 209,053.13 0.33 October, 2000 23 1,560,895.29 2.43 November, 2000 7 403,844.28 0.63 December, 2000 11 715,474.26 1.12 January, 2001 21 2,155,410.47 3.36 February, 2001 38 3,770,098.59 5.88 March, 2001 42 4,306,674.95 6.71 April, 2001 27 3,165,852.27 4.93 May, 2001 5 599,430.00 0.93 December, 2001 1 93,684.05 0.15 February, 2002 1 156,021.64 0.24 March, 2002 1 20,902.51 0.03 May, 2002 1 39,911.57 0.06 September, 2002 2 142,845.32 0.22 November, 2002 29 2,084,657.64 3.25 December, 2002 38 2,946,135.83 4.59 January, 2003 33 2,671,694.55 4.16 February, 2003 161 13,302,859.62 20.75 March, 2003 145 11,073,304.78 17.27 April, 2003 125 10,304,905.13 16.06 May, 2003 29 2,179,256.00 3.40 May, 2004 1 17,917.86 0.03 November, 2004 3 355,224.28 0.55 December, 2004 1 89,943.66 0.14 January, 2005 2 95,075.86 0.15 February, 2005 7 444,638.73 0.69 March, 2005 2 74,785.69 0.12 April, 2005 4 348,227.40 0.54 - ----------- --- ---------- ---- TOTAL: 771 $64,154,148.00 100.00%
Weighted Average Next Interest Adjustment Date: August 13, 2002 Weighted Average Number of Months to Next Interest Rate Adjustment Date: 28 40 -----END PRIVACY-ENHANCED MESSAGE-----