EX-99.1 CHARTER 2 termsheet.htm EXHIBIT 99.1 Term Sheet

Preliminary Term Sheet                                                                                      Date Prepared: October 20, 2004


Sequoia Mortgage Trust 2004-10


Mortgage Pass-Through Certificates

$673,354,000 (Approximate, Subject to Final Collateral)

Publicly Offered Certificates

Adjustable Rate Residential Mortgage Loans



Class

Principal

   Balance (1)

WAL (Yrs)

(Call/Mat) (2)

Pymt Window

(Mths) (Call/Mat) (2)

Certificate Interest Rates


Tranche Type

Expected Ratings

S&P/Moody’s/Fitch

A-1(3)

$337,093,000

3.91 / 4.24

1-123 / 1-359

Floater

Senior

AAA/Aaa/AAA

A-2(4)

$315,370,000

3.91 / 4.25

1-123 / 1-359

Floater

Senior

AAA/Aaa/AAA

X-A(5)(6)

Notional

Not Marketed Hereby

N/A

Senior/ IO

AAA/Aaa/AAA

X-B(5)(7)

Notional

Information Not Provided Herein

N/A

Senior/ IO

AAA/Aaa/AAA

A-R

$100

N/A

Senior

AAA/Aaa/AAA

B-1(3)

$14,042,000

6.73 / 7.46

39-123 / 39-359

Floater

Subordinate

AA/Aa2/AA

B-2(3)

$6,849,000

6.73 / 7.46

39-123 / 39-359

Floater

Subordinate

A/A2/A

B-3

$3,767,000

Information Not Provided Herein

N/A

Subordinate

BBB/Baa2/BBB

B-4

$3,081,000

N/A

Subordinate

BB/Ba2/BB

B-5

$1,711,000

N/A

Subordinate

B/B2/B

B-6

$3,089,104

N/A

Subordinate

NR/NR/NR

      

Total

$685,002,204


    



















[termsheet003.jpg]




(1)   Distributions on the Class A-1 Certificates will be primarily derived from one-month and six-month LIBOR adjustable rate mortgage loans (Group 1 Mortgage Loans, as described herein).  Distributions on the Class A-2 Certificates will be primarily derived from six-month LIBOR adjustable rate mortgage loans (Group 2 Mortgage Loans, as described herein).  Distributions on the Subordinate Certificates (as described herein) will be derived from all Mortgage Loans (as described herein).  Class sizes are subject to final collateral and rating agency approval and are subject to a +/-10% variance.

(2)   The WAL and Payment Windows for the Class A-1, Class A-2,  Class B-1 and Class B-2 Certificates are shown to the Clean-Up Call Date and to maturity calculated as of the Cut-off Date (as described herein).

(3)   The Class A-1, Class B-1 and Class B-2 Certificates will have a coupon equal to the lesser of (i) One-Month LIBOR plus a margin (which margin is multiplied by [2.0] in the case of the Class A-1 Certificates and [1.5] in the case of the Class B-1 and Class B-2 Certificates after the Clean-Up Call Date), (ii) the related Net WAC Cap and (iii) 11.50%.

(4)   The Class A-2 Certificates will have a coupon equal to the lesser of (i) Six-Month LIBOR plus a related margin (which margin doubles after the Clean-Up Call Date), (ii) the related Net WAC Cap and (iii) 11.50%.  Six-Month LIBOR will reset every 6 months beginning with the first Distribution Date in November 2004.

(5)   Balances shown with respect to the Class X-A and Class X-B Certificates are notional balances.  Such classes are interest-only certificates and will not be entitled to distributions of principal.

(6)   The notional amount of the Class X-A Certificates for any Distribution Date is equal to the aggregate class principal amounts of the Class A-1 and Class A-2 Certificates, immediately prior to such distribution date.  The interest rate of the Class X-A Certificates will be the excess, if any, of (i) the weighted average of the Net WAC Caps for the Class A-1 and Class A-2 Certificates over (ii) the weighted average of the Certificate Interest Rates for the Class A-1 and Class A-2 Certificates.  Distributions on the Class X-A Certificates will be subject to certain limitations in connection with the related Net WAC Shortfalls of the Class A-1 and Class A-2 Certificates, and as otherwise described herein. No principal will be distributed on the X-A Certificates.  

(7)   The notional amount of the Class X-B for any distribution date is equal to the aggregate principal amounts of the Class B-1 and Class B-2 Certificates immediately prior to such distribution date.  The interest rate on the Class X-B Certificate will be equal to the weighted average of the net interest rates of the Mortgage Loans in the trust less the weighted average of the Certificate Interest Rates of the Class B-1 and Class B-2 Certificates. Distributions on the Class X-B Certificate will be subject to certain limitations in connection with aggregate Net WAC Shortfalls of the Class B-1 and Class B-2 Certificates, and as otherwise described herein.  No principal will be distributed on the X-B Certificates.



Depositor:                           Sequoia Residential Funding, Inc.


Co-Lead Managers:            Greenwich Capital Markets, Inc. and Morgan Stanley.


Co-Managers:                     Banc of America Securities LLC and Merrill Lynch, Pierce, Fenner & Smith Incorporated.


Master Servicer/

Custodian/

Securities Administrator:   Wells Fargo Bank, N.A.


Trustee:                               HSBC Bank USA.


Rating Agencies:                S&P, Moody’s and Fitch will rate the Offered Certificates.  It is expected that the Certificates will be assigned the credit ratings on page 1 of this Preliminary Term Sheet.


Statistical

Cut-off Date:                      September 1, 2004.  


Cut-off Date:                      October 1, 2004.


Pricing Date:                      On or about October [22], 2004.


Closing Date:                      On or about October 28, 2004.


Distribution Date:               The 20th day of each month (or if not a business day, the next succeeding business day), commencing in November 2004.


Certificates:                        The “Senior Certificates” will consist of the Class A-1, Class A-2, Class X-A, Class X-B, and Class A-R Certificates.  The “Class X Certificates” will consist of the Class X-A and Class X-B.  The “Subordinate Certificates” will consist of the Class B-1, Class B-2, Class B-3, Class B-4, Class B-5 and Class B-6 Certificates.  The Senior Certificates and the Subordinate Certificates are collectively referred to herein as the “Certificates”.  The Class A-1, Class A-2, Class B-1 and Class B-2 Certificates (collectively, the “Offered Certificates”) are being offered publicly.  


Accrued Interest:                The Class A-1, Class A-2, Class B-1 and Class B-2 Certificates will settle flat.


Accrual Period:                  The interest accrual period (the “Accrual Period”) with respect to the Class A-1, Class A-2,  Class B-1 and Class B-2 Certificates for a given Distribution Date will be the period beginning on the 20th day of the month (or, in the case of the first Distribution Date, the Closing Date) and ending on the 19th day of the month (on a 30/360 basis), and with respect to the Class X Certificates for a given Distribution Date will be the calendar month preceding the month in which such Distribution Date occurs (on a 30/360 basis).


Registration:                       The Offered Certificates will be made available in book-entry form through DTC, and upon request only, through Clearstream, Luxembourg and Euroclear system.


Federal Tax Treatment:      It is anticipated that the Offered Certificates will represent ownership of REMIC regular interests for tax purposes.




ERISA Eligibility:              The Offered Certificates are expected to be ERISA eligible.  Prospective investors should review with their legal advisors whether the purchase and holding of any of the Offered Certificates could give rise to a transaction prohibited or not otherwise permissible under ERISA or other similar laws.


SMMEA Treatment:          The Senior Certificates and the Class B-1 Certificates are expected to constitute “mortgage related securities” for purposes of SMMEA.


Clean-Up Call:                   The terms of the transaction allow for a purchase of the Mortgage Loans resulting in a termination of the trust and retirement of the Certificates once the aggregate principal balance of the Mortgage Loans is equal to 10% or less of aggregate principal balance of the Mortgage Loans as of the Cut-off Date (the “Clean-Up Call Date”).


Pricing Prepayment

Speed:                                 The Offered Certificates will be priced to a prepayment speed of 20% CPR.


Mortgage Loans:                The trust will consist of adjustable rate, prime quality mortgage loans secured by first liens on one- to four-family residential properties with an aggregate principal balance as of the Statistical Cut-off Date of approximately $685,002,204, (the “Mortgage Loans”).  As of the Statistical Cut-off Date, approximately 64.02% and 35.98% of the Mortgage Loans are six-month LIBOR and one-month LIBOR indexed mortgage loans, respectively.  All of the Mortgage Loans have original terms to maturity of approximately 25 or 30 years.  As of the Statistical Cut-off Date, approximately 8.37% and 91.63% of the Mortgage Loans are scheduled to pay interest only for the first 5 years and 10 years, respectively.  In each case, after such 5-year or 10-year interest-only term, the mortgage loans are scheduled to amortize on a 25-year, 20-year or 15-year fully amortizing basis, respectively.  


It is anticipated that on the Closing Date, the characteristics of the Mortgage Loans as of the Cut-Off Date will be substantially similar to the characteristics of the Mortgage Loans  as described and shown herein.  The aggregate principal balance is expected to be subject to an increase or decrease of up to 10%.

 Group 1

Mortgage Loans:                The Group 1 Mortgage Loans have an aggregate principal balance as of the Statistical Cut-off Date of approximately $353,904,046, which equals approximately 51.66% of the Mortgage Loans.  


As of the Statistical Cut-off Date, approximately 30.35% and 69.65% of the Group 1 Mortgage Loans are six-month LIBOR and one-month LIBOR indexed Mortgage Loans, respectively, and approximately 7.86% and 92.14% of the Group 1 Mortgage Loans are scheduled to pay interest only for the first 5 years and 10 years, respectively.  As of the Statistical Cut-off Date none of the Group 1 Mortgage Loans have an initial or subsequent periodic rate cap.

                                                              

Group 2

Mortgage Loans:                The Group 2 Mortgage Loans have an aggregate principal balance as of the Statistical Cut-off Date of approximately $331,098,158, which equals approximately 48.34% of the Mortgage Loans.  


All of the Group 2 Mortgage Loans are six-month LIBOR indexed Mortgage Loans and approximately 8.90% and 91.10% of the Group 2 Mortgage Loans are scheduled to pay interest only for the first 5 years and 10 years, respectively.  




Net WAC Cap:                   In the case of the Class A-1 and Class A-2 Certificates, the weighted average of the net mortgage rates for the Group 1 and Group 2 Mortgage Loans, respectively; in the case of the Class B-1 and Class B-2 Certificates, the weighted average of the net mortgage rates for the Mortgage Loans in both Groups, weighted on the basis of the relative related subordinate component.

Certificate

Interest Rate:                      The Class A-1, Class B-1 and Class B-2 Certificates will have a Certificate Interest Rate equal to the lesser of (i) one-month LIBOR plus the related margin (which margin is multiplied by [2.0] in the case of the Class A-1 Certificates and [1.5] in the case of the Class B-1 and Class B-2 Certificates after the Clean-Up Call Date), (ii) the related related Net WAC Cap and (iii) [11.50]%.


                                            The Class A-2 Certificates will have a Certificate Interest Rate equal to the lesser of (i) six-month LIBOR plus the related margin (which margin is multiplied by [2.0] after the Clean-Up Call Date), (ii) the related related Net WAC Cap and (iii) [11.50]%.



                                            If on any Distribution Date, the Certificate Interest Rate of the Class A-1 Certificates is subject to the related Net WAC Cap, such Certificates will, to the extent described below, be entitled to payment of an amount equal to the sum of (i) the excess of (a) interest accrued at the respective Certificate Interest Rate (without giving effect to the related Net WAC Cap) over (b) the amount of interest received on such Certificates based on the related Net WAC Cap, plus (ii) the unpaid portion of any such excess from previous Distribution Dates (and any interest thereon at the then applicable Certificate Interest Rate without giving effect to the related Net WAC Cap) (a “Class A-1 Net WAC Shortfall”) from related amounts on deposit in the Reserve Fund.

                                            

                                            If on any Distribution Date, the Certificate Interest Rate of the Class A-2 Certificates is subject to the related Net WAC Cap, such Certificates will, to the extent described below, be entitled to payment of an amount equal to the sum of (i) the excess of (a) interest accrued at the respective Certificate Interest Rate (without giving effect to the related Net WAC Cap) over (b) the amount of interest received on such Certificates based on the related Net WAC Cap, plus (ii) the unpaid portion of any such excess from previous Distribution Dates (and any interest thereon at the then applicable Certificate Interest Rate without giving effect to the related Net WAC Cap) (a “Class A-2 Net WAC Shortfall”) from related amounts on deposit in the Reserve Fund.


                                            If on any Distribution Date, the Certificate Interest Rate of the Class B-1 Certificates is subject to the related Net WAC Cap, such Certificates will, to the extent described below, be entitled to payment of an amount equal to the sum of (i) the excess of the (a) interest accrued at the respective Certificate Interest Rate (without giving effect to the related Net WAC Cap) over (b) the amount of interest received on such Certificates based on the related Net WAC Cap, plus (ii) the unpaid portion of any such excess from previous Distribution Dates (and any interest thereon at the then applicable Certificate Interest Rate without giving effect to the related Net WAC Cap) (a “Class B-1 Net WAC Shortfall”) from related amounts on deposit in the Reserve Fund.


If on any Distribution Date, the Certificate Interest Rate of the Class B-2 Certificates is subject to the related Net WAC Cap, such Certificates will, to the extent described below, be entitled to payment of an amount equal to the sum of (i) the excess of the (a) interest accrued at the respective Certificate Interest Rate (without giving effect to the related Net WAC Cap) over (b) the amount of interest received on such Certificates based on the related Net WAC Cap, plus (ii) the unpaid portion of any such excess from previous Distribution Dates (and any interest thereon at the then applicable Certificate Interest Rate without giving effect to the related Net WAC Cap) (a “Class B-2 Net WAC Shortfall”) from related amounts on deposit in the Reserve Fund.


                                            The “Net WAC Shortfall” means any of the Class A-1 Net WAC Shortfall, the Class A-2 Net WAC Shortfall, the Class B-1 Net WAC Shortfall and the Class B-2 Net WAC Shortfall amounts.



Reserve Fund:                    As of the Closing Date, the “Reserve Fund” will be established on behalf of the Offered Certificates.  The Reserve Fund will be funded by an initial deposit of funds on the Closing Date, and thereafter, by amounts otherwise distributable to any of the Class X Certificates to the extent of any of the related Net WAC Shortfall amounts for a related Distribution Date.  The Reserve Fund will not be an asset of the REMIC.  On any Distribution Date, Offered Certificates will be entitled to receive payments from the Reserve Fund in an amount equal to the related Net WAC Shortfall amount for such Distribution Date, to the extent available.  Any amounts remaining in the Reserve Fund after such distribution will be distributed to the related Class X Certificates.


Credit Enhancement:          Senior/subordinate, shifting interest structure.


Credit enhancement for the Senior Certificates will consist of the subordination of the Subordinate Certificates (total subordination initially [4.75]%).


Credit enhancement for the Class B-1 Certificates will consist of the subordination of the Class B-2, Class B-3, Class B-4, Class B-5 and Class B-6 Certificates (total subordination initially [2.70]%).


Credit enhancement for the Class B-2 Certificates will consist of the subordination of the Class B-3, Class B-4, Class B-5 and Class B-6 Certificates (total subordination initially [1.70]%).




                                            



Shifting Interest:                 Until the first Distribution Date occurring after October 2014, the Subordinate Certificates will be locked out from receipt of all principal (unless the Senior Certificates are paid down to zero or the credit enhancement provided by the Subordinate Certificates has doubled prior to such date as described below).  After such time and subject to standard collateral performance triggers (as described in the prospectus supplement), the Subordinate Certificates will receive their pro-rata share of scheduled principal and increasing portions of unscheduled principal prepayments.

                                                                                       

                                            The prepayment percentages on the Subordinate Certificates are as follows:


November 2004 – October 2014                       0% Pro Rata Share

November 2014 – October 2015                      30%  Pro Rata Share

November 2015 – October 2016                      40%  Pro Rata Share

November 2016 – October 2017                      60%  Pro Rata Share

November 2017 – October 2018                      80%  Pro Rata Share

November 2018 and after                               100%  Pro Rata Share


Notwithstanding the foregoing, if the credit enhancement provided by the Subordinate Certificates doubles, all principal (scheduled principal and prepayments) will be paid pro-rata between the Senior  Certificate (other than the Class X Certificates) and Subordinate Certificates (subject to performance triggers).  However, if the credit enhancement provided by the Subordinate Certificates has doubled prior to the Distribution Date in November 2007 (subject to performance triggers), then the Subordinate Certificates will be entitled to only 50% of their pro-rata share of principal (scheduled principal and prepayments).

                                            

Any principal not allocated to the Subordinate Certificates will be allocated to the Senior Certificates.  In the event the applicable current senior percentage (equal to the aggregate principal balance of the Senior Certificates, divided by the aggregate principal balance of the Mortgage Loans) exceeds the initial senior percentage (equal to the aggregate principal balance of the Senior Certificates as of the Closing Date, divided by the sum of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date, the Senior Certificates (other than the Class X Certificates) will receive all unscheduled prepayments from the Mortgage Loans, regardless of any prepayment percentages as described above.


Allocation of

Realized Losses:                 Any realized losses on the Mortgage Loans will be allocated as follows: first, to the Subordinate Certificates in reverse order of their alpha numerical Class designations, in each case until the respective class principal balance has been reduced to zero; thereafter, pro-rata to the Class A Certificates in reduction of their principal balance.



Certificates Priority of

Distributions:                      Available funds from the Mortgage Loans will be distributed in the following order of priority:

With respect to any Distribution Date, available funds from the Mortgage Loans will be distributed in the following order of priority:

1)   Senior Certificates, accrued and unpaid interest at the related Certificate Interest Rate, from the related Mortgage Loans; provided that, to the extent of any Net WAC Shortfall amount for such Distribution Date with respect to each of the Offered Certificates, the amount of interest otherwise distributable to the related Class X Certificates shall be deposited in the Reserve Fund.

2)   Class A-R Certificates, principal allocable to such class.

3)   Concurrently to the Class A Certificates:

4)   Class A-1 and Class A-2 Certificates, generally based on principal collected on the related Mortgage Loans, until their respective class principal amounts are reduced to zero.*

5)   Class B-1 Certificates, accrued and unpaid interest at the related Certificate Interest Rate.

6)   Class B-1 Certificates, principal allocable to such class.

7)   Class B-2 Certificates, accrued and unpaid interest at the related Certificate Interest Rate.

8)   Class B-2 Certificates, principal allocable to such class.

9)   Class A-1 and Class A-2 Certificates, the related Net WAC Shortfall amount, from the Reserve Fund on a pro-rata basis based on such classes Net WAC Shortfall amounts.

10) Class B-1 Certificates, the related Net WAC Shortfall Amount, from the Reserve Fund.

11) Class B-2 Certificates, the related Net WAC Shortfall Amount, from the Reserve Fund.

12) Class X Certificates, the excess amounts related to each Class X Certificate, from the Reserve Fund.

13) Class B-3, Class B-4, Class B-5 and Class B-6 Certificates, in sequential order, accrued and unpaid interest at the related Certificate Interest Rate and the respective shares of principal allocable to such classes.

14) Class A-R Certificate, any remaining amount.


* In certain limited circumstances described in the prospectus supplement, Senior Certificates may receive principal from the unrelated Mortgage Loan group, to the extent not received from the related Mortgage Loan group.







COMPUTATIONAL MATERIALS DISCLAIMER


The attached tables and other statistical analyses (the “Computational Materials”) are privileged and intended for use by the addressee only.  These Computational Materials are furnished to you solely by Greenwich Capital Markets, Inc. and not by the issuer of the securities.  They may not be provided to any third party other than the addressee’s legal, tax, financial and/or accounting advisors for the purposes of evaluating said material.


Numerous assumptions were used in preparing the Computational Materials, which may or may not be reflected therein.  As such, no assurance can be given as to the Computational Materials’ accuracy, appropriateness or completeness in any particular context; nor as to whether the Computational Materials and/or the assumptions upon which they are based reflect present market conditions or future market performance.  These Computational Materials should not be construed as either projections or predictions or as legal, tax, financial or accounting advice.


Any weighted average lives, yields and principal payment periods shown in the Computational Materials are based on prepayment assumptions, and changes in such prepayment assumptions may dramatically affect such weighted average lives, yields and principal payment periods.  In addition, it is possible that prepayments on the underlying assets will occur at rates slower or faster than the rates shown in the attached Computational Materials.  Furthermore, unless otherwise provided, the Computational Materials assume no losses on the underlying assets and no interest shortfall.  The specific characteristics of the securities may differ from those shown in the Computational Materials due to differences between the actual underlying assets and the hypothetical underlying assets used in preparing the Computational Materials.  The principal amount and designation of any security described in the Computational Materials are subject to change prior to issuance.  Neither Greenwich Capital Markets, Inc. nor any of its affiliates makes any representation or warranty as to the actual rate or timing of payments on any of the underlying assets or the payments or yield on the securities.


Although a registration statement (including the Prospectus) relating to the securities discussed in this communication has been filed with the Securities and Exchange Commission and is effective, the final prospectus supplement relating to the securities discussed in this communication has not been filed with Securities and Exchange Commission.  This communication shall not constitute an offer to sell or the solicitation of an offer to buy nor shall there be any sale of the securities discussed in this communication in any state in which such offer, solicitation or sale would be unlawful prior to registration or qualification of such securities under the securities laws of any such state.  Prospective purchasers are referred to the final prospectus supplement relating to the securities discussed in this communication which supersede these Computational Materials and any matter discussed in this communication.  Once available, a final prospectus and prospectus supplement may be obtained by contacting the Greenwich Capital Markets, Inc. Trading Desk at (203) 625-6160.


Please be advised that the securities described herein may not be appropriate for all investors.  Potential investors must be willing to assume, among other things, market price volatility, prepayment, yield curve and interest rate risks.  Investors should make every effort to consider the risks of these securities.


If you have received this communication in error, please notify the sending party immediately by telephone and return the original to such party by mail.






Sensitivity Tables



Class A-1 To Call

     

 

 

 

 

 

 

 

 

12% CPR

15% CPR

20% CPR

25% CPR

30% CPR

40% CPR

 WAL (yr)

6.44

5.24

3.91

3.04

2.44

1.70

 MDUR (yr)

5.70

4.72

3.60

2.84

2.31

1.63

 First Prin Pay

11/20/2004

11/20/2004

11/20/2004

11/20/2004

11/20/2004

11/20/2004

 Last Prin Pay

7/20/2020

1/20/2018

1/20/2015

11/20/2012

4/20/2011

5/20/2009


Class A-1 To Maturity

    

 

 

 

 

 

 

 

 

12% CPR

15% CPR

20% CPR

25% CPR

30% CPR

40% CPR

 WAL (yr)

6.82

5.62

4.24

3.33

2.69

1.87

 MDUR (yr)

5.95

4.99

3.85

3.07

2.51

1.78

 First Prin Pay

11/20/2004

11/20/2004

11/20/2004

11/20/2004

11/20/2004

11/20/2004

 Last Prin Pay

9/20/2034

9/20/2034

9/20/2034

9/20/2034

9/20/2034

9/20/2034


Class A-2 To Call

     

 

 

 

 

 

 

 

 

12% CPR

15% CPR

20% CPR

25% CPR

30% CPR

40% CPR

 WAL (yr)

6.44

5.24

3.91

3.04

2.44

1.70

 MDUR (yr)

5.61

4.65

3.56

2.82

2.29

1.62

 First Prin Pay

11/20/2004

11/20/2004

11/20/2004

11/20/2004

11/20/2004

11/20/2004

 Last Prin Pay

7/20/2020

1/20/2018

1/20/2015

11/20/2012

4/20/2011

5/20/2009


Class A-2 To Maturity

    

 

 

 

 

 

 

 

 

12% CPR

15% CPR

20% CPR

25% CPR

30% CPR

40% CPR

 WAL (yr)

6.85

5.63

4.25

3.33

2.69

1.87

 MDUR (yr)

5.86

4.91

3.80

3.04

2.49

1.77

 First Prin Pay

11/20/2004

11/20/2004

11/20/2004

11/20/2004

11/20/2004

11/20/2004

 Last Prin Pay

9/20/2034

9/20/2034

9/20/2034

9/20/2034

9/20/2034

9/20/2034








Sensitivity Tables

Class B-1 To Call

     

 

 

 

 

 

 

 

 

12% CPR

15% CPR

20% CPR

25% CPR

30% CPR

40% CPR

 WAL (yr)

10.94

8.97

6.73

5.44

4.60

3.46

 MDUR (yr)

9.40

7.89

6.08

5.01

4.28

3.27

 First Prin Pay

5/20/2010

3/20/2009

1/20/2008

4/20/2007

11/20/2006

4/20/2006

 Last Prin Pay

7/20/2020

1/20/2018

1/20/2015

11/20/2012

4/20/2011

5/20/2009


Class B-1 To Maturity

     

 

 

 

 

 

 

 

 

12% CPR

15% CPR

20% CPR

25% CPR

30% CPR

40% CPR

 WAL (yr)

11.78

9.80

7.46

6.12

5.26

4.05

 MDUR (yr)

9.93

8.44

6.61

5.53

4.81

3.77

 First Prin Pay

5/20/2010

3/20/2009

1/20/2008

4/20/2007

11/20/2006

4/20/2006

 Last Prin Pay

9/20/2034

9/20/2034

9/20/2034

9/20/2034

9/20/2034

9/20/2034



Class B-2 To Call

     

 

 

 

 

 

 

 

 

12% CPR

15% CPR

20% CPR

25% CPR

30% CPR

40% CPR

 WAL (yr)

10.94

8.97

6.73

5.44

4.60

3.46

 MDUR (yr)

9.19

7.74

5.99

4.94

4.24

3.24

 First Prin Pay

5/20/2010

3/20/2009

1/20/2008

4/20/2007

11/20/2006

4/20/2006

 Last Prin Pay

7/20/2020

1/20/2018

1/20/2015

11/20/2012

4/20/2011

5/20/2009


Class B-2 To Maturity

     
 

 

 

 

 

 

 

 

12% CPR

15% CPR

20% CPR

25% CPR

30% CPR

40% CPR

 WAL (yr)

11.78

9.80

7.46

6.12

5.26

4.05

 MDUR (yr)

9.69

8.26

6.49

5.45

4.75

3.73

 First Prin Pay

5/20/2010

3/20/2009

1/20/2008

4/20/2007

11/20/2006

4/20/2006

 Last Prin Pay

9/20/2034

9/20/2034

9/20/2034

9/20/2034

9/20/2034

9/20/2034









Class A-1, Class A-2, Class B-1 and Class B-2 Certificates

Effective Net WAC Cap Schedule




Assumptions :

   

    20% CPR

   

    To Cleanup Call

  

1MO & 6MO LIBOR spike to 20% in month 1

    Class A-1, Class A-2, Class B-1 & Class B-2

    Hard Cap of 11.50%


   

Distribution

Class A-1

Class A-2

Class B-1 and

Class B-2

Period

30/360

30/360

30/360

 

Net WAC
Cap %

Net WAC
Cap %

Net WAC
Cap %

1

2.992

3.198

3.092

2

9.086

3.198

6.240

3

9.187

3.428

6.403

4

9.277

4.002

6.727

5

9.298

4.090

6.781

6

11.437

10.715

11.088

7 and After

11.500

11.500

11.500


.












Mortgage Loan Statistics

As of the Statistical Cut-off Date


 

  

Minimum

Maximum

Scheduled Principal Balance

$685,002,204

$30,000

$3,000,000

Average Scheduled Principal Balance

$358,640

  

Number of Mortgage Loans

1,910

  
    

Weighted Average Gross Coupon

3.476%

2.000%

4.500%

Weighted Average FICO Score

732

624

817

Weighted Average Combined Original LTV

71.77%

9.44%

100.00%

    

Weighted Average Original Term

341 months

300 months

360 months

Weighted Average Stated Remaining Term

340 months

264 months

360 months

Weighted Average Seasoning

1   months

0   months

36  months

    

Weighted Average Gross Margin

1.709%

1.000%

3.500%

Weighted Average Minimum Interest Rate

1.709%

1.000%

3.500%

Weighted Average Maximum Interest Rate

12.028%

12.000%

15.000%

Weighted Average Months to Roll

4   months

1   months

6   months

    

Maturity Date

 

Oct  1, 2026

Oct  1, 2034

Maximum Zip Code Concentration

0.59%

  94010








Current Principal Balance ($)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

        0.01 -    50,000.00

7

330,000.00

0.05%

3.527

327

41.67

755

   50,000.01 -   100,000.00

94

7,792,344.28

1.14%

3.431

347

68.49

731

  100,000.01 -   150,000.00

263

33,424,545.78

4.88%

3.526

351

73.63

729

  150,000.01 -   200,000.00

293

51,358,864.05

7.50%

3.483

348

72.67

728

  200,000.01 -   250,000.00

193

43,365,719.08

6.33%

3.429

347

74.15

732

  250,000.01 -   300,000.00

186

51,137,955.78

7.47%

3.452

347

72.38

731

  300,000.01 -   350,000.00

136

44,349,610.12

6.47%

3.465

344

74.70

731

  350,000.01 -   400,000.00

150

56,567,980.00

8.26%

3.481

335

72.35

734

  400,000.01 -   450,000.00

99

42,517,124.79

6.21%

3.509

343

71.20

732

  450,000.01 -   500,000.00

103

49,180,610.98

7.18%

3.490

340

69.59

741

  500,000.01 -   550,000.00

75

39,408,538.36

5.75%

3.470

340

73.85

734

  550,000.01 -   600,000.00

66

38,507,894.00

5.62%

3.526

333

73.03

727

  600,000.01 -   650,000.00

51

32,167,329.99

4.70%

3.522

347

71.18

732

  650,000.01 -   700,000.00

30

20,305,775.01

2.96%

3.514

329

74.94

742

  700,000.01 -   750,000.00

24

17,467,552.00

2.55%

3.422

332

71.31

735

  750,000.01 -   800,000.00

23

18,131,700.00

2.65%

3.447

341

70.68

731

  800,000.01 -   850,000.00

9

7,463,455.00

1.09%

3.456

326

69.50

706

  850,000.01 -   900,000.00

18

15,833,144.06

2.31%

3.463

330

66.95

734

  900,000.01 -   950,000.00

12

11,177,083.71

1.63%

3.480

336

64.70

726

  950,000.01 - 1,000,000.00

26

25,813,599.98

3.77%

3.498

338

64.61

730

1,000,000.01+

52

78,701,377.21

11.49%

3.436

332

71.43

729

Total

1,910

685,002,204.18

100.00%

3.476

340

71.77

732

 

 

 

 

 

 

 

 

Current Gross Rate (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

 2.000 - 2.499

1

487,499.98

0.07%

2.000

345

78.63

693

 2.500 - 2.999

98

38,007,671.97

5.55%

2.826

352

69.95

735

 3.000 - 3.499

748

272,419,055.07

39.77%

3.201

337

73.05

732

 3.500 - 3.999

905

310,932,118.25

45.39%

3.673

340

71.70

732

 4.000 - 4.499

157

63,031,058.91

9.20%

4.089

348

67.74

726

 4.500 - 4.999

1

124,800.00

0.02%

4.500

359

45.41

812

Total

1,910

685,002,204.18

100.00%

3.476

340

71.77

732

 

 

 

 

 

 

 

 

Credit Score

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

600-624

2

490,700.00

0.07%

3.336

300

73.57

624

625-649

19

6,795,686.00

0.99%

3.404

313

79.81

641

650-674

167

50,612,399.46

7.39%

3.517

343

71.92

664

675-699

310

114,645,930.93

16.74%

3.470

342

73.09

688

700+

1,412

512,457,487.79

74.81%

3.474

340

71.36

749

Total

1,910

685,002,204.18

100.00%

3.476

340

71.77

732

 

 

 

 

 

 

 

 

Combined Original LTV (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

  0.01- 49.99

128

44,576,144.28

6.51%

3.533

334

40.72

736

 50.00- 54.99

59

20,345,276.48

2.97%

3.409

346

52.20

736

 55.00- 59.99

75

32,579,003.35

4.76%

3.502

348

57.45

732

 60.00- 64.99

133

56,057,368.44

8.18%

3.524

345

62.37

739

 65.00- 69.99

159

69,691,164.84

10.17%

3.495

347

67.81

728

 70.00- 74.99

288

111,328,436.29

16.25%

3.526

344

72.03

731

 75.00- 79.99

420

136,707,788.63

19.96%

3.441

344

77.43

728

 80.00

547

180,186,360.28

26.30%

3.454

334

80.00

732

 80.01- 84.99

10

1,824,900.00

0.27%

3.597

345

83.86

720

 85.00- 89.99

23

8,271,762.79

1.21%

3.344

332

88.76

730

 90.00- 94.99

23

4,713,500.00

0.69%

3.576

343

92.18

717

 95.00- 99.99

18

4,168,149.80

0.61%

3.718

339

95.46

732

100.00

27

14,552,349.00

2.12%

3.233

300

100.00

730

Total

1,910

685,002,204.18

100.00%

3.476

340

71.77

732

 

 

 

 

 

 

 

 

Original Term (months)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

300

484

213,222,761.95

31.13%

3.420

299

73.86

736

360

1,426

471,779,442.23

68.87%

3.501

359

70.83

730

Total

1,910

685,002,204.18

100.00%

3.476

340

71.77

732

 

 

 

 

 

 

 

 

Stated Remaining Term (months)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

241-300

484

213,222,761.95

31.13%

3.420

299

73.86

736

301-360

1,426

471,779,442.23

68.87%

3.501

359

70.83

730

Total

1,910

685,002,204.18

100.00%

3.476

340

71.77

732








 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Product

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

1 MO LIBOR

621

246,483,409.33

35.98%

3.273

335

72.88

733

6 MO LIBOR

1,289

438,518,794.85

64.02%

3.590

343

71.16

731

Total

1,910

685,002,204.18

100.00%

3.476

340

71.77

732

 

 

 

 

 

 

 

 

Interest Only

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

Interest Only

1,910

685,002,204.18

100.00%

3.476

340

71.77

732

Total

1,910

685,002,204.18

100.00%

3.476

340

71.77

732

 

 

 

 

 

 

 

 

Prepayment Penalty Original Term (months)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

Prepay Penalty:  0 months

1,234

486,037,806.86

70.95%

3.508

332

71.82

733

Prepay Penalty: 36 months

676

198,964,397.32

29.05%

3.396

359

71.67

729

Total

1,910

685,002,204.18

100.00%

3.476

340

71.77

732

 

 

 

 

 

 

 

 

Lien

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

First Lien

1,910

685,002,204.18

100.00%

3.476

340

71.77

732

Total

1,910

685,002,204.18

100.00%

3.476

340

71.77

732

 

 

 

 

 

 

 

 

Documentation Type

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

Alternative Documentation

219

97,429,075.18

14.22%

3.255

301

75.91

728

Asset, No Income

364

142,948,773.03

20.87%

3.649

359

65.85

728

Full Documentation

1,124

357,021,622.60

52.12%

3.463

353

73.28

731

Limited Documentation

77

41,321,878.58

6.03%

3.763

306

69.70

752

Lite Documentation

118

42,772,179.79

6.24%

3.251

300

72.27

738

No Ratio

8

3,508,675.00

0.51%

3.185

300

62.89

749

Total

1,910

685,002,204.18

100.00%

3.476

340

71.77

732

 

 

 

 

 

 

 

 

Loan Purpose

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

Cash Out Refinance

589

201,302,183.99

29.39%

3.454

343

67.63

730

Purchase

715

294,511,992.02

42.99%

3.489

333

76.30

737

Rate/Term Refinance

606

189,188,028.17

27.62%

3.478

349

69.15

725

Total

1,910

685,002,204.18

100.00%

3.476

340

71.77

732

 

 

 

 

 

 

 

 

Property Type

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

Condominium

200

68,350,554.34

9.98%

3.458

330

75.54

736

Cooperative

9

3,539,750.00

0.52%

3.596

314

64.23

732

Planned Unit Development

516

191,384,688.02

27.94%

3.477

344

71.99

732

Single Family

1,150

408,995,123.85

59.71%

3.477

341

71.21

731

Townhouse

2

669,555.16

0.10%

4.000

323

72.13

742

Two-Four Family

33

12,062,532.81

1.76%

3.467

334

68.17

742

Total

1,910

685,002,204.18

100.00%

3.476

340

71.77

732

 

 

 

 

 

 

 

 

Occupancy Status

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

Investor

51

13,766,502.99

2.01%

3.360

314

66.67

741

Primary

1,702

608,306,963.52

88.80%

3.486

342

71.70

732

Second Home

157

62,928,737.67

9.19%

3.402

324

73.59

730

Total

1,910

685,002,204.18

100.00%

3.476

340

71.77

732








 

 

 

 

 

 

 

 

State

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

Alabama

1

61,250.00

0.01%

2.875

299

70.00

753

Alaska

1

205,000.00

0.03%

3.500

298

100.00

781

Arizona

99

29,564,015.83

4.32%

3.541

347

72.34

727

Arkansas

2

263,982.42

0.04%

3.243

327

82.10

774

California

394

185,899,010.01

27.14%

3.592

343

68.82

735

Colorado

80

23,824,750.95

3.48%

3.497

350

71.39

737

Connecticut

10

6,336,100.00

0.92%

2.954

353

58.05

743

Delaware

3

790,600.00

0.12%

3.059

325

59.23

756

District of Columbia

7

4,018,515.16

0.59%

3.346

319

73.18

700

Florida

156

56,917,580.52

8.31%

3.464

335

73.54

733

Georgia

95

27,884,096.86

4.07%

3.499

342

74.60

729

Hawaii

9

7,178,950.00

1.05%

3.263

300

84.61

724

Idaho

1

122,200.00

0.02%

3.625

359

78.84

723

Illinois

65

20,256,221.00

2.96%

3.497

339

73.67

736

Indiana

2

500,000.00

0.07%

3.500

300

80.00

725

Kansas

7

1,374,250.00

0.20%

3.459

324

75.77

704

Kentucky

9

2,031,910.31

0.30%

3.350

348

63.78

743

Louisiana

1

150,000.00

0.02%

3.375

357

75.00

743

Maine

11

3,210,900.00

0.47%

3.484

320

72.52

701

Maryland

44

20,470,969.00

2.99%

3.485

337

73.48

731

Massachusetts

34

15,987,500.00

2.33%

3.336

318

70.11

745

Michigan

45

13,962,498.24

2.04%

3.375

344

75.51

717

Minnesota

46

16,199,006.98

2.36%

3.396

346

76.41

744

Mississippi

2

326,900.00

0.05%

3.613

332

82.73

795

Missouri

5

1,457,943.00

0.21%

3.362

305

79.92

730

Nebraska

2

530,000.00

0.08%

2.929

333

59.54

669

Nevada

45

15,873,176.00

2.32%

3.612

330

72.77

729

New Hampshire

3

665,000.00

0.10%

3.732

358

72.60

715

New Jersey

55

25,287,225.39

3.69%

3.484

324

67.50

735

New Mexico

5

1,172,720.00

0.17%

3.674

350

81.02

724

New York

56

32,691,546.31

4.77%

3.446

325

70.91

722

North Carolina

72

23,593,450.00

3.44%

3.295

345

72.49

725

Ohio

208

38,134,667.98

5.57%

3.397

357

76.12

726

Oklahoma

1

147,996.00

0.02%

3.625

300

80.00

713

Oregon

13

3,454,200.00

0.50%

3.481

335

72.91

748

Pennsylvania

28

8,199,400.00

1.20%

3.516

344

74.19

743

Rhode Island

4

1,091,420.00

0.16%

3.448

348

74.48

749

South Carolina

30

9,727,410.51

1.42%

3.381

333

72.24

730

Tennessee

29

7,525,351.20

1.10%

3.447

340

77.16

732

Texas

52

17,076,895.77

2.49%

3.351

352

69.73

733

Utah

28

6,011,294.14

0.88%

3.409

357

75.88

723

Vermont

2

202,000.00

0.03%

3.574

300

71.83

745

Virginia

82

34,566,602.32

5.05%

3.391

341

72.36

729

Washington

61

18,352,418.28

2.68%

3.408

351

72.58

731

West Virginia

1

253,750.00

0.04%

3.250

300

70.00

745

Wisconsin

4

1,451,530.00

0.21%

3.315

300

74.08

691

Total

1,910

685,002,204.18

100.00%

3.476

340

71.77

732

 

 

 

 

 

 

 

 

Gross Margin (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

 1.000 - 1.499

381

153,400,903.19

22.39%

3.069

325

73.11

732

 1.500 - 1.999

1,108

372,952,769.01

54.45%

3.507

341

72.46

733

 2.000 - 2.499

418

157,010,531.98

22.92%

3.796

352

68.87

728

 2.500 - 2.999

2

1,314,000.00

0.19%

3.768

356

65.85

774

 3.500 - 3.999

1

324,000.00

0.05%

3.500

356

80.00

695

Total

1,910

685,002,204.18

100.00%

3.476

340

71.77

732


 

 

 

 

 

 

 

 

Minimum Interest Rate (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

 1.000 - 1.499

381

153,400,903.19

22.39%

3.069

325

73.11

732

 1.500 - 1.999

1,108

372,952,769.01

54.45%

3.507

341

72.46

733

 2.000 - 2.499

418

157,010,531.98

22.92%

3.796

352

68.87

728

 2.500 - 2.999

2

1,314,000.00

0.19%

3.768

356

65.85

774

 3.500 - 3.999

1

324,000.00

0.05%

3.500

356

80.00

695

Total

1,910

685,002,204.18

100.00%

3.476

340

71.77

732

 

 

 

 

 

 

 

 

Maximum Interest Rate (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

12.000 -12.499

1,826

648,986,533.05

94.74%

3.487

339

71.95

731

12.500 -12.999

83

35,654,871.13

5.21%

3.276

357

68.45

744

15.000 -15.499

1

360,800.00

0.05%

3.000

359

80.00

732

Total

1,910

685,002,204.18

100.00%

3.476

340

71.77

732

 

 

 

 

 

 

 

 

Next Rate Change Date

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

11/01/04

637

254,860,455.38

37.21%

3.274

335

72.49

733

12/01/04

31

12,367,043.41

1.81%

3.321

354

72.16

711

01/01/05

57

23,442,250.62

3.42%

3.201

354

70.07

737

02/01/05

97

34,510,479.15

5.04%

3.504

351

72.18

732

03/01/05

567

195,956,993.00

28.61%

3.647

342

71.56

731

04/01/05

521

163,864,982.62

23.92%

3.630

340

71.04

731

Total

1,910

685,002,204.18

100.00%

3.476

340

71.77

732







Group I Mortgage Loan Statistics

As of the Statistical Cut-off Date


  

Minimum

Maximum

Scheduled Principal Balance

$353,904,046

$30,000

$3,000,000

Average Scheduled Principal Balance

$379,725

  

Number of Mortgage Loans

932

  
    

Weighted Average Gross Coupon

3.376%

2.000%

4.500%

Weighted Average FICO Score

732

624

817

Weighted Average Combined Original LTV

72.20%

9.44%

100.00%

    

Weighted Average Original Term

339 months

300 months

360 months

Weighted Average Stated Remaining Term

338 months

264 months

360 months

Weighted Average Seasoning

1   months

0   months

36  months

    

Weighted Average Gross Margin

1.668%

1.000%

2.375%

Weighted Average Minimum Interest Rate

1.668%

1.000%

2.375%

Weighted Average Maximum Interest Rate

12.021%

12.000%

15.000%

Weighted Average Months to Roll

2   months

1   months

6   months

    

Maturity Date

 

Oct  1, 2026

Oct  1, 2034

Maximum Zip Code Concentration

0.98%

  22066








Current Principal Balance ($)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

        0.01 -    50,000.00

3

130,000.00

0.04%

3.519

323

22.39

782

   50,000.01 -   100,000.00

40

3,129,650.00

0.88%

3.321

343

69.25

730

  100,000.01 -   150,000.00

123

15,466,555.57

4.37%

3.449

347

74.41

732

  150,000.01 -   200,000.00

139

24,231,799.97

6.85%

3.365

342

73.26

728

  200,000.01 -   250,000.00

88

19,821,159.99

5.60%

3.302

343

74.16

736

  250,000.01 -   300,000.00

92

25,387,881.26

7.17%

3.376

344

71.80

734

  300,000.01 -   350,000.00

64

20,900,845.68

5.91%

3.345

342

74.96

731

  350,000.01 -   400,000.00

73

27,623,050.00

7.81%

3.361

338

70.76

736

  400,000.01 -   450,000.00

49

21,037,919.98

5.94%

3.467

339

69.45

732

  450,000.01 -   500,000.00

46

22,091,099.98

6.24%

3.295

339

69.23

738

  500,000.01 -   550,000.00

40

21,109,200.00

5.96%

3.336

343

73.63

737

  550,000.01 -   600,000.00

35

20,419,224.00

5.77%

3.478

332

75.11

726

  600,000.01 -   650,000.00

34

21,390,754.99

6.04%

3.445

349

69.09

740

  650,000.01 -   700,000.00

13

8,766,952.45

2.48%

3.434

323

76.60

736

  700,000.01 -   750,000.00

15

10,859,602.00

3.07%

3.325

323

75.18

739

  750,000.01 -   800,000.00

15

11,882,500.00

3.36%

3.411

344

71.08

738

  800,000.01 -   850,000.00

3

2,490,000.00

0.70%

3.159

339

70.85

729

  850,000.01 -   900,000.00

9

7,859,294.06

2.22%

3.289

315

71.12

712

  900,000.01 -   950,000.00

6

5,626,755.83

1.59%

3.459

333

61.52

733

  950,000.01 - 1,000,000.00

11

10,960,949.98

3.10%

3.294

341

64.31

726

1,000,000.01+

34

52,718,850.00

14.90%

3.380

329

74.28

725

Total

932

353,904,045.74

100.00%

3.376

338

72.20

732

 

 

 

 

 

 

 

 

Current Gross Rate (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

 2.000 - 2.499

1

487,499.98

0.14%

2.000

345

78.63

693

 2.500 - 2.999

59

20,671,899.90

5.84%

2.844

346

69.58

737

 3.000 - 3.499

490

193,976,953.97

54.81%

3.178

330

74.08

732

 3.500 - 3.999

330

113,867,415.98

32.17%

3.658

347

70.95

733

 4.000 - 4.499

51

24,775,475.91

7.00%

4.093

349

65.43

725

 4.500 - 4.999

1

124,800.00

0.04%

4.500

359

45.41

812

Total

932

353,904,045.74

100.00%

3.376

338

72.20

732

 

 

 

 

 

 

 

 

Credit Score

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

600-624

1

226,700.00

0.06%

3.000

300

66.09

624

625-649

10

4,356,493.00

1.23%

3.330

312

79.19

640

650-674

75

25,615,073.48

7.24%

3.442

334

70.29

665

675-699

138

55,790,747.14

15.76%

3.368

338

74.26

688

700+

708

267,915,032.12

75.70%

3.372

339

71.84

749

Total

932

353,904,045.74

100.00%

3.376

338

72.20

732

 

 

 

 

 

 

 

 

Combined Original LTV (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

  0.01- 49.99

66

23,775,050.00

6.72%

3.434

331

40.23

735

 50.00- 54.99

27

9,908,699.98

2.80%

3.409

342

52.31

732

 55.00- 59.99

35

12,471,251.44

3.52%

3.421

337

57.99

735

 60.00- 64.99

64

29,010,683.14

8.20%

3.492

340

62.11

735

 65.00- 69.99

84

41,507,081.84

11.73%

3.410

347

67.85

727

 70.00- 74.99

144

57,958,791.36

16.38%

3.443

346

72.25

735

 75.00- 79.99

184

63,676,856.19

17.99%

3.299

341

77.29

731

 80.00

270

92,045,258.20

26.01%

3.332

333

80.00

731

 80.01- 84.99

2

308,900.00

0.09%

3.554

360

84.63

687

 85.00- 89.99

11

5,309,962.79

1.50%

3.219

321

88.89

739

 90.00- 94.99

12

2,365,750.00

0.67%

3.529

339

92.05

731

 95.00- 99.99

9

2,096,349.80

0.59%

3.665

342

95.00

723

100.00

24

13,469,411.00

3.81%

3.209

300

100.00

730

Total

932

353,904,045.74

100.00%

3.376

338

72.20

732

 

 

 

 

 

 

 

 

Original Term (months)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

300

281

123,717,174.88

34.96%

3.235

299

74.50

731

360

651

230,186,870.86

65.04%

3.451

359

70.96

732

Total

932

353,904,045.74

100.00%

3.376

338

72.20

732

 

 

 

 

 

 

 

 

Stated Remaining Term (months)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

241-300

281

123,717,174.88

34.96%

3.235

299

74.50

731

301-360

651

230,186,870.86

65.04%

3.451

359

70.96

732

Total

932

353,904,045.74

100.00%

3.376

338

72.20

732








 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Product

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

1 MO LIBOR

621

246,483,409.33

69.65%

3.273

335

72.88

733

6 MO LIBOR

311

107,420,636.41

30.35%

3.613

345

70.64

729

Total

932

353,904,045.74

100.00%

3.376

338

72.20

732

 

 

 

 

 

 

 

 

Interest Only

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

Interest Only

932

353,904,045.74

100.00%

3.376

338

72.20

732

Total

932

353,904,045.74

100.00%

3.376

338

72.20

732

 

 

 

 

 

 

 

 

Prepayment Penalty Original Term (months)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

Prepay Penalty:  0 months

619

252,044,577.39

71.22%

3.398

329

72.16

732

Prepay Penalty: 36 months

313

101,859,468.35

28.78%

3.321

359

72.30

733

Total

932

353,904,045.74

100.00%

3.376

338

72.20

732

 

 

 

 

 

 

 

 

Lien

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

First Lien

932

353,904,045.74

100.00%

3.376

338

72.20

732

Total

932

353,904,045.74

100.00%

3.376

338

72.20

732

 

 

 

 

 

 

 

 

Documentation Type

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

Alternative Documentation

144

69,426,005.50

19.62%

3.151

300

75.96

730

Asset, No Income

171

67,061,247.78

18.95%

3.593

359

66.04

729

Full Documentation

512

175,535,528.67

49.60%

3.417

354

73.23

733

Limited Documentation

10

6,176,125.00

1.75%

3.670

316

65.67

745

Lite Documentation

89

33,019,463.79

9.33%

3.158

300

73.29

732

No Ratio

6

2,685,675.00

0.76%

3.065

300

62.74

735

Total

932

353,904,045.74

100.00%

3.376

338

72.20

732

 

 

 

 

 

 

 

 

Loan Purpose

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

Cash Out Refinance

290

111,006,413.61

31.37%

3.394

338

67.52

729

Purchase

367

156,498,642.04

44.22%

3.358

333

76.49

737

Rate/Term Refinance

275

86,398,990.09

24.41%

3.384

346

70.43

726

Total

932

353,904,045.74

100.00%

3.376

338

72.20

732

 

 

 

 

 

 

 

 

Property Type

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

Condominium

100

38,459,006.53

10.87%

3.346

327

76.33

736

Cooperative

3

1,605,000.00

0.45%

3.532

331

55.77

739

Planned Unit Development

224

85,773,262.02

24.24%

3.359

341

72.66

733

Single Family

585

219,342,272.03

61.98%

3.386

339

71.50

731

Townhouse

1

299,555.16

0.08%

4.000

352

75.00

685

Two-Four Family

19

8,424,950.00

2.38%

3.365

328

69.65

739

Total

932

353,904,045.74

100.00%

3.376

338

72.20

732

 

 

 

 

 

 

 

 

Occupancy Status

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

Investor

32

8,954,022.99

2.53%

3.208

313

68.69

748

Primary

810

306,077,645.11

86.49%

3.391

341

71.91

731

Second Home

90

38,872,377.64

10.98%

3.296

317

75.26

732

Total

932

353,904,045.74

100.00%

3.376

338

72.20

732








 

 

 

 

 

 

 

 

State

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

Alabama

1

61,250.00

0.02%

2.875

299

70.00

753

Alaska

1

205,000.00

0.06%

3.500

298

100.00

781

Arizona

38

12,917,662.58

3.65%

3.460

339

72.93

720

Arkansas

1

139,000.00

0.04%

3.125

300

100.00

800

California

178

90,928,556.00

25.69%

3.496

344

68.66

735

Colorado

34

10,447,280.00

2.95%

3.402

350

72.79

747

Connecticut

6

2,137,000.00

0.60%

3.211

343

63.97

744

Delaware

2

432,400.00

0.12%

3.212

299

42.03

740

District of Columbia

5

2,968,515.16

0.84%

3.316

305

75.82

703

Florida

74

28,003,549.00

7.91%

3.259

328

73.29

744

Georgia

40

12,330,320.00

3.48%

3.454

338

76.59

731

Hawaii

6

5,807,700.00

1.64%

3.161

299

87.51

714

Idaho

1

122,200.00

0.03%

3.625

359

78.84

723

Illinois

38

11,610,025.00

3.28%

3.374

340

71.82

746

Kansas

6

1,222,250.00

0.35%

3.361

320

75.37

701

Kentucky

2

526,464.48

0.15%

3.166

319

65.01

754

Maine

6

1,541,400.00

0.44%

3.428

313

71.35

717

Maryland

20

9,112,649.00

2.57%

3.462

343

75.98

737

Massachusetts

19

9,362,500.00

2.65%

3.097

308

72.90

748

Michigan

27

8,832,081.99

2.50%

3.277

340

76.34

714

Minnesota

24

9,101,154.00

2.57%

3.307

346

79.68

745

Mississippi

1

178,500.00

0.05%

3.500

358

85.00

816

Missouri

3

923,920.00

0.26%

3.162

308

80.00

727

Nebraska

2

530,000.00

0.15%

2.929

333

59.54

669

Nevada

23

7,386,726.00

2.09%

3.403

317

71.86

722

New Hampshire

1

166,500.00

0.05%

3.500

359

79.98

691

New Jersey

36

17,727,724.39

5.01%

3.407

323

65.78

727

New Mexico

1

185,000.00

0.05%

3.000

300

100.00

773

New York

36

24,942,563.50

7.05%

3.409

327

70.17

722

North Carolina

28

10,396,000.00

2.94%

3.231

338

74.06

723

Ohio

102

20,322,819.99

5.74%

3.304

356

75.97

725

Oregon

7

1,779,800.00

0.50%

3.275

335

75.77

726

Pennsylvania

14

4,077,000.00

1.15%

3.326

339

74.18

736

Rhode Island

2

535,500.00

0.15%

3.235

360

72.00

732

South Carolina

13

4,045,500.00

1.14%

3.296

325

77.83

741

Tennessee

16

4,239,151.20

1.20%

3.412

337

78.58

737

Texas

23

6,889,793.49

1.95%

3.223

351

67.05

729

Utah

16

3,798,700.00

1.07%

3.401

358

76.30

729

Vermont

1

30,000.00

0.01%

4.000

300

25.00

775

Virginia

34

14,490,549.96

4.09%

3.266

346

71.99

727

Washington

40

12,724,060.00

3.60%

3.411

355

74.11

730

West Virginia

1

253,750.00

0.07%

3.250

300

70.00

745

Wisconsin

3

471,530.00

0.13%

3.191

300

70.66

711

Total

932

353,904,045.74

100.00%

3.376

338

72.20

732








 

 

 

 

 

 

 

 

Gross Margin (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

 1.000 - 1.499

284

116,713,408.79

32.98%

3.057

316

73.91

732

 1.500 - 1.999

468

161,699,315.22

45.69%

3.419

346

73.19

734

 2.000 - 2.499

180

75,491,321.73

21.33%

3.777

354

67.41

728

Total

932

353,904,045.74

100.00%

3.376

338

72.20

732

 

 

 

 

 

 

 

 

Minimum Interest Rate (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

 1.000 - 1.499

284

116,713,408.79

32.98%

3.057

316

73.91

732

 1.500 - 1.999

468

161,699,315.22

45.69%

3.419

346

73.19

734

 2.000 - 2.499

180

75,491,321.73

21.33%

3.777

354

67.41

728

Total

932

353,904,045.74

100.00%

3.376

338

72.20

732

 

 

 

 

 

 

 

 

Maximum Interest Rate (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

12.000 -12.499

900

340,676,525.80

96.26%

3.376

337

72.24

731

12.500 -12.999

31

12,866,719.94

3.64%

3.392

357

70.86

747

15.000 -15.499

1

360,800.00

0.10%

3.000

359

80.00

732

Total

932

353,904,045.74

100.00%

3.376

338

72.20

732

 

 

 

 

 

 

 

 

Next Rate Change Date

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

11/01/04

627

249,926,409.31

70.62%

3.274

335

72.64

733

12/01/04

8

3,927,049.98

1.11%

3.321

352

66.25

698

01/01/05

16

5,573,201.78

1.57%

3.145

355

76.53

728

02/01/05

25

7,599,943.19

2.15%

3.647

346

73.79

739

03/01/05

152

53,494,510.00

15.12%

3.641

344

71.93

726

04/01/05

104

33,382,931.48

9.43%

3.698

344

68.91

735

Total

932

353,904,045.74

100.00%

3.376

338

72.20

732







Group II Mortgage Loan Statistics

As of the Statistical Cut-off Date


  

Minimum

Maximum

Scheduled Principal Balance

$331,098,158

$50,000

$2,000,000

Average Scheduled Principal Balance

$338,546

  

Number of Mortgage Loans

978

  
    

Weighted Average Gross Coupon

3.583%

2.625%

4.375%

Weighted Average FICO Score

731

624

817

Weighted Average Combined Original LTV

71.32%

19.00%

100.00%

    

Weighted Average Original Term

344 months

300 months

360 months

Weighted Average Stated Remaining Term

343 months

274 months

360 months

Weighted Average Seasoning

1   months

0   months

26  months

    

Weighted Average Gross Margin

1.753%

1.000%

3.500%

Weighted Average Minimum Interest Rate

1.753%

1.000%

3.500%

Weighted Average Maximum Interest Rate

12.034%

12.000%

12.500%

Weighted Average Months to Roll

5   months

1   months

6   months

    

Maturity Date

 

Aug  1, 2027

Oct  1, 2034

Maximum Zip Code Concentration

0.88%

  22102








Current Principal Balance ($)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

        0.01 -    50,000.00

4

200,000.00

0.06%

3.531

330

54.19

738

   50,000.01 -   100,000.00

54

4,662,694.28

1.41%

3.506

349

67.99

731

  100,000.01 -   150,000.00

140

17,957,990.21

5.42%

3.591

355

72.96

726

  150,000.01 -   200,000.00

154

27,127,064.08

8.19%

3.589

354

72.14

729

  200,000.01 -   250,000.00

105

23,544,559.09

7.11%

3.535

350

74.15

728

  250,000.01 -   300,000.00

94

25,750,074.52

7.78%

3.526

349

72.95

728

  300,000.01 -   350,000.00

72

23,448,764.44

7.08%

3.572

345

74.46

732

  350,000.01 -   400,000.00

77

28,944,930.00

8.74%

3.595

333

73.86

732

  400,000.01 -   450,000.00

50

21,479,204.81

6.49%

3.551

346

72.92

732

  450,000.01 -   500,000.00

57

27,089,511.00

8.18%

3.649

341

69.89

743

  500,000.01 -   550,000.00

35

18,299,338.36

5.53%

3.625

337

74.10

731

  550,000.01 -   600,000.00

31

18,088,670.00

5.46%

3.580

334

70.70

729

  600,000.01 -   650,000.00

17

10,776,575.00

3.25%

3.676

345

75.33

716

  650,000.01 -   700,000.00

17

11,538,822.56

3.49%

3.574

334

73.68

747

  700,000.01 -   750,000.00

9

6,607,950.00

2.00%

3.582

345

64.96

729

  750,000.01 -   800,000.00

8

6,249,200.00

1.89%

3.516

336

69.92

718

  800,000.01 -   850,000.00

6

4,973,455.00

1.50%

3.604

320

68.83

694

  850,000.01 -   900,000.00

9

7,973,850.00

2.41%

3.635

345

62.85

756

  900,000.01 -   950,000.00

6

5,550,327.88

1.68%

3.501

339

67.93

719

  950,000.01 - 1,000,000.00

15

14,852,650.00

4.49%

3.649

336

64.83

734

1,000,000.01+

18

25,982,527.21

7.85%

3.550

338

65.64

736

Total

978

331,098,158.44

100.00%

3.583

343

71.32

731

 

 

 

 

 

 

 

 

Current Gross Rate (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

 2.500 - 2.999

39

17,335,772.07

5.24%

2.805

358

70.39

731

 3.000 - 3.499

258

78,442,101.10

23.69%

3.258

352

70.51

732

 3.500 - 3.999

575

197,064,702.27

59.52%

3.682

337

72.13

732

 4.000 - 4.499

106

38,255,583.00

11.55%

4.087

348

69.24

726

Total

978

331,098,158.44

100.00%

3.583

343

71.32

731

 

 

 

 

 

 

 

 

Credit Score

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

600-624

1

264,000.00

0.08%

3.625

300

80.00

624

625-649

9

2,439,193.00

0.74%

3.537

316

80.93

642

650-674

92

24,997,325.98

7.55%

3.593

353

73.59

662

675-699

172

58,855,183.79

17.78%

3.567

346

71.98

688

700+

704

244,542,455.67

73.86%

3.586

341

70.83

750

Total

978

331,098,158.44

100.00%

3.583

343

71.32

731

 

 

 

 

 

 

 

 

Combined Original LTV (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

  0.01- 49.99

62

20,801,094.28

6.28%

3.647

338

41.29

737

 50.00- 54.99

32

10,436,576.50

3.15%

3.409

350

52.11

740

 55.00- 59.99

40

20,107,751.91

6.07%

3.552

355

57.11

731

 60.00- 64.99

69

27,046,685.30

8.17%

3.559

350

62.64

744

 65.00- 69.99

75

28,184,083.00

8.51%

3.620

347

67.76

729

 70.00- 74.99

144

53,369,644.93

16.12%

3.616

342

71.78

727

 75.00- 79.99

236

73,030,932.44

22.06%

3.565

346

77.56

726

 80.00

277

88,141,102.08

26.62%

3.581

334

80.00

734

 80.01- 84.99

8

1,516,000.00

0.46%

3.606

342

83.70

726

 85.00- 89.99

12

2,961,800.00

0.89%

3.568

351

88.53

714

 90.00- 94.99

11

2,347,750.00

0.71%

3.624

347

92.31

703

 95.00- 99.99

9

2,071,800.00

0.63%

3.772

336

95.94

741

100.00

3

1,082,938.00

0.33%

3.538

300

100.00

730

Total

978

331,098,158.44

100.00%

3.583

343

71.32

731

 

 

 

 

 

 

 

 

Original Term (months)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

300

203

89,505,587.07

27.03%

3.676

299

72.97

743

360

775

241,592,571.37

72.97%

3.548

359

70.71

727

Total

978

331,098,158.44

100.00%

3.583

343

71.32

731

 

 

 

 

 

 

 

 

Stated Remaining Term (months)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

241-300

203

89,505,587.07

27.03%

3.676

299

72.97

743

301-360

775

241,592,571.37

72.97%

3.548

359

70.71

727

Total

978

331,098,158.44

100.00%

3.583

343

71.32

731








 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Product

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

6 MO LIBOR

978

331,098,158.44

100.00%

3.583

343

71.32

731

Total

978

331,098,158.44

100.00%

3.583

343

71.32

731

 

 

 

 

 

 

 

 

Interest Only

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

Interest Only

978

331,098,158.44

100.00%

3.583

343

71.32

731

Total

978

331,098,158.44

100.00%

3.583

343

71.32

731

 

 

 

 

 

 

 

 

Prepayment Penalty Original Term (months)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

Prepay Penalty:  0 months

615

233,993,229.47

70.67%

3.627

336

71.45

734

Prepay Penalty: 36 months

363

97,104,928.97

29.33%

3.475

359

71.01

726

Total

978

331,098,158.44

100.00%

3.583

343

71.32

731

 

 

 

 

 

 

 

 

Lien

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

First Lien

978

331,098,158.44

100.00%

3.583

343

71.32

731

Total

978

331,098,158.44

100.00%

3.583

343

71.32

731

 

 

 

 

 

 

 

 

Documentation Type

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

Alternative Documentation

75

28,003,069.68

8.46%

3.511

303

75.79

724

Asset, No Income

193

75,887,525.25

22.92%

3.698

359

65.69

726

Full Documentation

612

181,486,093.93

54.81%

3.508

352

73.34

729

Limited Documentation

67

35,145,753.58

10.61%

3.779

304

70.41

753

Lite Documentation

29

9,752,716.00

2.95%

3.564

300

68.81

758

No Ratio

2

823,000.00

0.25%

3.576

300

63.37

795

Total

978

331,098,158.44

100.00%

3.583

343

71.32

731

 

 

 

 

 

 

 

 

Loan Purpose

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

Cash Out Refinance

299

90,295,770.38

27.27%

3.526

348

67.77

730

Purchase

348

138,013,349.98

41.68%

3.639

333

76.07

738

Rate/Term Refinance

331

102,789,038.08

31.04%

3.557

352

68.07

724

Total

978

331,098,158.44

100.00%

3.583

343

71.32

731

 

 

 

 

 

 

 

 

Property Type

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

Condominium

100

29,891,547.81

9.03%

3.602

335

74.52

736

Cooperative

6

1,934,750.00

0.58%

3.650

300

71.24

727

Planned Unit Development

292

105,611,426.00

31.90%

3.574

345

71.45

731

Single Family

565

189,652,851.82

57.28%

3.581

343

70.88

731

Townhouse

1

370,000.00

0.11%

4.000

299

69.81

789

Two-Four Family

14

3,637,582.81

1.10%

3.703

347

64.74

749

Total

978

331,098,158.44

100.00%

3.583

343

71.32

731

 

 

 

 

 

 

 

 

Occupancy Status

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

Investor

19

4,812,480.00

1.45%

3.644

318

62.92

728

Primary

892

302,229,318.41

91.28%

3.582

344

71.49

732

Second Home

67

24,056,360.03

7.27%

3.573

335

70.88

728

Total

978

331,098,158.44

100.00%

3.583

343

71.32

731








 

 

 

 

 

 

 

 

State

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

Arizona

61

16,646,353.25

5.03%

3.604

354

71.88

732

Arkansas

1

124,982.42

0.04%

3.375

358

62.19

745

California

216

94,970,454.01

28.68%

3.685

342

68.96

735

Colorado

46

13,377,470.95

4.04%

3.572

350

70.31

729

Connecticut

4

4,199,100.00

1.27%

2.823

358

55.04

743

Delaware

1

358,200.00

0.11%

2.875

356

80.00

776

District of Columbia

2

1,050,000.00

0.32%

3.429

357

65.71

692

Florida

82

28,914,031.52

8.73%

3.662

341

73.78

723

Georgia

55

15,553,776.86

4.70%

3.534

346

73.02

727

Hawaii

3

1,371,250.00

0.41%

3.693

304

72.34

767

Illinois

27

8,646,196.00

2.61%

3.661

337

76.16

723

Indiana

2

500,000.00

0.15%

3.500

300

80.00

725

Kansas

1

152,000.00

0.05%

4.250

359

78.96

725

Kentucky

7

1,505,445.83

0.45%

3.415

358

63.35

739

Louisiana

1

150,000.00

0.05%

3.375

357

75.00

743

Maine

5

1,669,500.00

0.50%

3.535

327

73.60

686

Maryland

24

11,358,320.00

3.43%

3.503

333

71.48

726

Massachusetts

15

6,625,000.00

2.00%

3.674

331

66.15

742

Michigan

18

5,130,416.25

1.55%

3.543

350

74.08

721

Minnesota

22

7,097,852.98

2.14%

3.510

345

72.21

741

Mississippi

1

148,400.00

0.04%

3.750

300

80.00

769

Missouri

2

534,023.00

0.16%

3.709

300

79.78

734

Nevada

22

8,486,450.00

2.56%

3.794

340

73.55

735

New Hampshire

2

498,500.00

0.15%

3.810

358

70.14

724

New Jersey

19

7,559,501.00

2.28%

3.666

325

71.53

755

New Mexico

4

987,720.00

0.30%

3.800

359

77.47

715

New York

20

7,748,982.81

2.34%

3.567

319

73.29

722

North Carolina

44

13,197,450.00

3.99%

3.346

349

71.25

727

Ohio

106

17,811,847.99

5.38%

3.503

358

76.28

728

Oklahoma

1

147,996.00

0.04%

3.625

300

80.00

713

Oregon

6

1,674,400.00

0.51%

3.700

334

69.86

770

Pennsylvania

14

4,122,400.00

1.25%

3.703

349

74.19

750

Rhode Island

2

555,920.00

0.17%

3.653

336

76.87

765

South Carolina

17

5,681,910.51

1.72%

3.441

339

68.25

721

Tennessee

13

3,286,200.00

0.99%

3.492

343

75.32

726

Texas

29

10,187,102.28

3.08%

3.437

352

71.55

735

Utah

12

2,212,594.14

0.67%

3.424

354

75.17

713

Vermont

1

172,000.00

0.05%

3.500

300

80.00

740

Virginia

48

20,076,052.36

6.06%

3.481

338

72.63

730

Washington

21

5,628,358.28

1.70%

3.403

342

69.13

733

Wisconsin

1

980,000.00

0.30%

3.375

300

75.73

681

Total

978

331,098,158.44

100.00%

3.583

343

71.32

731








 

 

 

 

 

 

 

 

Gross Margin (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

 1.000 - 1.499

97

36,687,494.40

11.08%

3.106

353

70.57

730

 1.500 - 1.999

640

211,253,453.79

63.80%

3.575

338

71.90

733

 2.000 - 2.499

238

81,519,210.25

24.62%

3.814

350

70.22

728

 2.500 - 2.999

2

1,314,000.00

0.40%

3.768

356

65.85

774

 3.500 - 3.999

1

324,000.00

0.10%

3.500

356

80.00

695

Total

978

331,098,158.44

100.00%

3.583

343

71.32

731

 

 

 

 

 

 

 

 

Minimum Interest Rate (%)

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

 1.000 - 1.499

97

36,687,494.40

11.08%

3.106

353

70.57

730

 1.500 - 1.999

640

211,253,453.79

63.80%

3.575

338

71.90

733

 2.000 - 2.499

238

81,519,210.25

24.62%

3.814

350

70.22

728

 2.500 - 2.999

2

1,314,000.00

0.40%

3.768

356

65.85

774

 3.500 - 3.999

1

324,000.00

0.10%

3.500

356

80.00

695

Total

978

331,098,158.44

100.00%

3.583

343

71.32

731

 

 

 

 

 

 

 

 

Maximum Interest Rate

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

12.000 -12.499

926

308,310,007.25

93.12%

3.610

342

71.63

731

12.500 -12.999

52

22,788,151.19

6.88%

3.210

358

67.09

742

Total

978

331,098,158.44

100.00%

3.583

343

71.32

731

 

 

 

 

 

 

 

 

Next Rate Change Date

# of Loans

Current Principal Balance

Pct by Curr Prin Bal

 Weighted Average Gross Coupon

 Weighted Average Stated Remaining Term

Weighted Average Combined Orig LTV

 Weighted Average FICO

11/01/04

10

4,934,046.07

1.49%

3.305

352

64.92

728

12/01/04

23

8,439,993.43

2.55%

3.321

355

74.91

717

01/01/05

41

17,869,048.84

5.40%

3.218

354

68.05

740

02/01/05

72

26,910,535.96

8.13%

3.464

353

71.72

730

03/01/05

415

142,462,483.00

43.03%

3.649

341

71.42

733

04/01/05

417

130,482,051.14

39.41%

3.612

340

71.59

730

Total

978

331,098,158.44

100.00%

3.583

343

71.32

731