-----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, I1bsNn7iAxGAQ4UQsN38so2vxffZhin6XJ+FtGK23QaNs2Eu0wfTzeXzcpfYC/RA CB+RZLvo9FPjkU3geGRwww== 0000882377-04-002328.txt : 20041112 0000882377-04-002328.hdr.sgml : 20041111 20041112160013 ACCESSION NUMBER: 0000882377-04-002328 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20041028 ITEM INFORMATION: Other Events ITEM INFORMATION: Financial Statements and Exhibits FILED AS OF DATE: 20041112 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CWABS Asset-Backed Certificates Trust 2004-BC4 CENTRAL INDEX KEY: 0001307161 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] STATE OF INCORPORATION: DE FISCAL YEAR END: 0228 FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 333-118926-01 FILM NUMBER: 041139307 BUSINESS ADDRESS: STREET 1: 4500 PARK GRANADA CITY: CALABASAS STATE: CA ZIP: 91302 BUSINESS PHONE: (818) 225-4898 MAIL ADDRESS: STREET 1: 4500 PARK GRANADA CITY: CALABASAS STATE: CA ZIP: 91302 8-K 1 d272318.txt CWABS INC - -------------------------------------------------------------------------------- UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 8-K CURRENT REPORT Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 Date of Report (Date of earliest event reported) October 28, 2004 CWABS, Inc. (as company under a Pooling and Servicing Agreement, dated as of October 1, 2004, providing for, inter alia, the issuance of Asset-Backed Certificates, Series 2004-BC4) CWABS, Inc. (Exact name of registrant as specified in its charter) DELAWARE 333-118926 95-4596514 (State or Other Jurisdiction (Commission (I.R.S. Employer of Incorporation) File Number) Identification No.) 4500 Park Granada Calabasas, California 91302 (Address of Principal (Zip Code) Executive Offices) Registrant's telephone number, including area code, is (818) 225-3237 - -------------------------------------------------------------------------------- -1- Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions (see General Instruction A.2. below): |_| Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) |_| Soliciting material pursuant to Rule 14a-12(b) under the Exchange Act (17 CFR 240.14a-12(b)) |_| Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) |_| Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)) -2- Item 8.01. Other Events. Description of the Mortgage Pool(1) CWABS, Inc. (the "Company") entered into a Pooling and Servicing Agreement, dated as of October 1, 2004 (the "Pooling and Servicing Agreement"), by and among the Company, as depositor, Countrywide Home Loans, Inc., as seller, Countrywide Home Loans Servicing LP, as master servicer and The Bank of New York, as trustee, providing for the issuance of the Company's Asset-Backed Certificates, Series 2004-BC4. Item 9.01. Financial Statements and Exhibits. (a) Not applicable. (b) Not applicable. (c) Exhibits: - ------------ (1) Capitalized terms used and not otherwise defined herein shall have the meanings assigned to them in the Prospectus dated June 24, 2004 and the Prospectus Supplement dated October 25, 2004 of CWABS, Inc., relating to its Asset-Backed Certificates, Series 2004-BC4. -3- Exhibit No. Description 99.1 Characteristics of the Final Mortgage Loans in the Mortgage Pool as of the Cut-off Date, relating to the Company's Asset-Backed Certificates, Series 2004-BC4. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on behalf of the Registrant by the undersigned thereunto duly authorized. CWABS, INC. By: /s/ Ruben Avilez ------------------------------ Name: Ruben Avilez Title: Vice President Dated: November 12, 2004 -5- EX-99.1 2 d272318_ex99-1.txt CWABS INC Mortgage Loan Statistics For purposes of this Form 8-K, "Tables" shall mean computer generated tables and/or charts describing the characteristics of the Mortgage Loans as of the Cut-off Date. All percentages in the Tables were calculated based on the principal balance of the Mortgage Loans as of the Cut-off Date. The sum of the columns may not equal the respective totals due to rounding. Mortgage Loan Programs for the Mortgage Loans in Loan Group 1
Weighted Percent of Average Weighted Aggregate Weighted Remaining Average Principal Average Average Term to Weighted Original Aggregate Principal Number Balance Principal Mortgage Maturity Average Loan-to-Value Loan Programs Balance Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 30 Yr. LIBOR 6MO ......... $ 5,261,126 23 0.71% $228,745 6.601 358.24 617 82.1% 1/29 LIBOR 6MO ........... 15,410,049 74 2.08 208,244 6.872 358.31 632 85.3 2/28 LIBOR 6MO ........... 402,486,069 2,406 54.39 167,284 7.267 356.94 600 79.4 2/28 LIBOR 6MO - IO ...... 25,910,431 119 3.50 217,735 6.288 356.63 660 80.2 3/27 LIBOR 6MO ........... 102,253,891 722 13.82 141,626 6.408 355.58 630 81.0 3/27 LIBOR 6MO - IO ...... 15,371,233 94 2.08 163,524 5.685 355.25 663 80.1 5/25 LIBOR 6MO ........... 5,804,918 30 0.78 193,497 6.697 357.85 628 75.5 5/25 LIBOR 6MO - IO ...... 1,499,219 7 0.20 214,174 6.221 356.44 650 75.5 10 Yr Fixed .............. 142,115 2 0.02 71,058 6.453 116.72 653 44.9 15 Yr Fixed .............. 10,086,667 76 1.36 132,719 6.252 175.17 646 67.9 15 Yr Fixed - 2nd ........ 159,100 2 0.02 79,550 10.672 177.63 660 98.9 20 Yr Fixed .............. 6,112,088 43 0.83 142,142 6.380 234.93 631 66.2 20 Yr Fixed - 2nd ........ 3,907,625 71 0.53 55,037 10.252 238.04 671 98.4 30 Yr Fixed .............. 140,964,650 741 19.05 190,236 6.371 355.56 645 74.5 30 Yr Fixed - IO ......... 4,379,347 19 0.59 230,492 6.286 356.02 665 75.6 30/15 Fixed Balloon - 2nd 250,907 3 0.03 83,636 10.824 179.00 682 100.0 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $739,999,434 4,432 100.00% $166,967 6.881 352.22 619 78.6% ============ ===== ====== ======== ====== ====== === ======
-6- Mortgage Loan Principal Balances for the Mortgage Loans in Loan Group 1*
Weighted Percent of Average Weighted Aggregate Weighted Remaining Average Principal Average Average Term to Weighted Original Range of Mortgage Aggregate Principal Number Balance Principal Mortgage Maturity Average Loan-to-Value Loan Principal Balances Balance Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ $0.01 - $25,000.00 ....... $ 124,559 5 0.02% $ 24,912 10.782 237.20 646 99.6% $25,000.01 - $50,000.00 .. 2,548,130 60 0.34 42,469 8.590 305.50 618 79.5 $50,000.01 - $75,000.00 .. 23,981,668 379 3.24 63,276 7.517 339.41 610 79.3 $75,000.01 - $100,000.00 . 45,579,769 515 6.16 88,504 7.238 343.53 613 78.4 $100,000.01 - $150,000.00 145,173,571 1,171 19.62 123,974 7.022 351.65 615 78.9 $150,000.01 - $200,000.00 162,347,517 931 21.94 174,380 6.963 353.15 613 77.6 $200,000.01 - $250,000.00 141,451,483 633 19.12 223,462 6.817 354.70 618 78.4 $250,000.01 - $300,000.00 128,464,079 467 17.36 275,084 6.669 354.04 622 79.1 $300,000.01 - $350,000.00 69,267,088 218 9.36 317,739 6.571 354.87 632 79.9 $350,000.01 - $400,000.00 11,914,890 32 1.61 372,340 6.445 350.19 653 80.3 $400,000.01 - $450,000.00 7,218,374 17 0.98 424,610 6.228 355.05 678 78.9 $450,001.00 - $500,000.00 1,928,305 4 0.26 482,076 5.794 355.53 682 74.0 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $739,999,434 4,432 100.00% $166,967 6.881 352.22 619 78.6% ============ ===== ====== ======== ====== ====== === ======
- ------------ * The average Principal Balance of the Mortgage Loans in Loan Group 1 as of the Cut-off Date was approximately $166,967. -7- Mortgage Rates for the Mortgage Loans in Loan Group 1*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Range of Mortgage Rates (%) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 4.001 - 4.500 ............ $ 869,277 4 0.12% $217,319 4.500 309.74 682 60.1% 4.501 - 5.000 ............ 9,950,185 51 1.34 195,102 4.864 349.77 663 78.0 5.001 - 5.500 ............ 50,374,800 232 6.81 217,133 5.296 345.58 670 73.7 5.501 - 6.000 ............ 121,890,749 679 16.47 179,515 5.830 350.31 646 76.6 6.001 - 6.500 ............ 143,047,987 832 19.33 171,933 6.285 351.52 640 77.5 6.501 - 7.000 ............ 124,652,722 714 16.84 174,584 6.839 354.53 622 79.2 7.001 - 7.500 ............ 92,211,714 576 12.46 160,090 7.285 355.04 607 80.3 7.501 - 8.000 ............ 100,672,395 638 13.60 157,794 7.795 355.80 585 81.9 8.001 - 8.500 ............ 41,916,251 281 5.66 149,168 8.263 355.20 573 80.2 8.501 - 9.000 ............ 27,311,736 197 3.69 138,638 8.759 353.06 569 82.6 9.001 - 9.500 ............ 10,008,799 77 1.35 129,984 9.250 351.33 554 79.1 9.501 - 10.000 ........... 8,499,330 62 1.15 137,086 9.820 346.87 535 73.8 10.001 - 10.500 .......... 2,941,254 27 0.40 108,935 10.290 339.58 546 73.3 10.501 - 11.000 .......... 3,465,135 34 0.47 101,916 10.773 315.40 573 79.5 11.001 - 11.500 .......... 1,283,064 14 0.17 91,647 11.268 308.71 572 79.1 11.501 - 12.000 .......... 792,326 10 0.11 79,233 11.752 305.39 562 82.1 12.001 - 12.500 .......... 82,537 3 0.01 27,512 12.259 238.00 619 100.0 12.501 - 13.000 .......... 29,172 1 0.00 29,172 12.850 238.00 596 100.0 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $739,999,434 4,432 100.00% $166,967 6.881 352.22 619 78.6% ============ ===== ====== ======== ====== ====== === ======
- ------------ * The weighted average Mortgage Rate of the Mortgage Loans in Loan Group 1 as of the Cut-off Date was approximately 6.881% per annum. -8- Remaining Terms to Stated Maturity for the Mortgage Loans in Loan Group 1*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Range of Remaining Terms Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value (months) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 1 - 120 ................ $ 142,115 2 0.02% $ 71,058 6.453 116.72 653 44.9% 121 - 180 ................ 10,496,674 81 1.42 129,589 6.428 175.30 647 69.1 181 - 300 ................ 10,019,713 114 1.35 87,892 7.890 236.14 646 78.8 301 - 360 ................ 719,340,933 4,235 97.21 169,856 6.874 356.47 618 78.8 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $739,999,434 4,432 100.00% $166,967 6.881 352.22 619 78.6% ============ ===== ====== ======== ====== ====== === ======
- ------------ * The weighted average remaining term to maturity of the Mortgage Loans in Loan Group 1 as of the Cut-off Date was approximately 352 months. Original Loan-to-Value Ratios for the Mortgage Loans in Loan Group 1*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Range of Original Loan-to- Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Value Ratios (%) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ Up to 50.00 .............. $ 22,947,181 163 3.10% $140,780 6.673 335.50 619 42.10% 50.01 - 55.00 ............ 13,381,742 76 1.81 176,076 6.491 346.96 624 53.00 55.01 - 60.00 ............ 30,219,269 171 4.08 176,721 6.807 346.89 605 58.10 60.01 - 65.00 ............ 36,481,001 207 4.93 176,237 6.850 351.90 590 63.20 65.01 - 70.00 ............ 57,323,512 316 7.75 181,404 6.932 351.49 597 68.70 70.01 - 75.00 ............ 69,849,615 403 9.44 173,324 6.949 350.48 597 73.80 75.01 - 80.00 ............ 216,289,542 1,352 29.23 159,977 6.584 354.09 626 79.60 80.01 - 85.00 ............ 98,299,986 563 13.28 174,600 7.038 355.01 611 84.40 85.01 - 90.00 ............ 136,744,747 799 18.48 171,145 7.031 355.66 628 89.60 90.01 - 95.00 ............ 43,574,790 243 5.89 179,320 7.134 355.01 657 94.70 95.01 - 100.00 ........... 14,888,049 139 2.01 107,108 8.431 320.19 663 99.90 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $739,999,434 4,432 100.00% $166,967 6.881 352.22 619 78.60% ============ ===== ====== ======== ====== ====== === ======
- --------- * The weighted average original Loan-to-Value Ratio at origination of the Mortgage Loans in Loan Group 1 as of the Cut-off Date was approximately 78.65%. -9- State Distribution for the Mortgage Loans in Loan Group 1
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value State Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ Alabama .................. $ 3,354,803 31 0.45% $108,219 7.275 356.49 620 86.7% Alaska ................... 513,339 2 0.07 256,670 6.480 354.54 628 80.0 Arizona .................. 14,128,293 120 1.91 117,736 6.407 347.94 635 81.5 Arkansas ................. 1,260,180 12 0.17 105,015 7.561 348.89 648 88.3 California ............... 312,934,800 1,495 42.29 209,321 6.735 351.97 620 75.6 Colorado ................. 4,663,200 30 0.63 155,440 6.185 355.04 638 79.5 Connecticut .............. 9,221,551 52 1.25 177,338 7.251 355.99 616 80.4 Delaware ................. 1,755,467 14 0.24 125,390 7.310 342.38 597 85.3 Florida .................. 48,411,885 349 6.54 138,716 7.038 350.57 611 80.9 Georgia .................. 13,444,492 105 1.82 128,043 7.327 355.66 612 82.8 Hawaii ................... 13,203,551 42 1.78 314,370 5.407 341.12 688 74.2 Idaho .................... 1,478,790 14 0.20 105,628 6.858 354.34 624 82.0 Illinois ................. 56,480,648 342 7.63 165,148 7.335 355.63 618 82.1 Indiana .................. 8,392,070 71 1.13 118,198 7.058 341.96 626 81.5 Iowa ..................... 1,552,861 14 0.21 110,919 6.827 350.90 611 79.5 Kansas ................... 3,751,591 31 0.51 121,019 7.061 356.08 632 84.4 Kentucky ................. 3,306,761 34 0.45 97,258 6.527 346.85 619 80.6 Louisiana ................ 4,186,626 38 0.57 110,174 7.027 351.12 625 82.3 Maine .................... 815,464 6 0.11 135,911 6.482 340.88 619 75.7 Maryland ................. 24,198,823 135 3.27 179,251 7.024 355.47 612 80.9 Massachusetts ............ 7,973,899 38 1.08 209,839 6.737 347.28 608 73.1 Michigan ................. 17,026,250 135 2.30 126,120 7.173 352.84 621 82.3 Minnesota ................ 13,461,224 92 1.82 146,318 6.590 356.15 635 81.4 Mississippi .............. 2,080,843 20 0.28 104,042 6.955 356.56 622 80.3 Missouri ................. 11,319,685 106 1.53 106,789 7.216 354.28 614 83.6 Montana .................. 517,400 4 0.07 129,350 7.685 357.31 597 87.0 Nebraska ................. 1,290,784 14 0.17 92,199 6.995 355.61 610 83.8 Nevada ................... 19,639,771 106 2.65 185,281 7.366 356.39 604 79.3 New Hampshire ............ 1,026,788 6 0.14 171,131 7.011 356.85 582 80.9 New Jersey ............... 7,319,783 41 0.99 178,531 7.138 357.25 618 78.1 New Mexico ............... 2,229,421 16 0.30 139,339 7.996 351.11 585 84.2 New York ................. 30,874,605 139 4.17 222,119 6.837 349.41 616 77.8 North Carolina ........... 6,733,548 57 0.91 118,132 7.218 353.58 613 82.4 Ohio ..................... 16,347,675 151 2.21 108,263 7.002 353.73 612 83.8 Oklahoma ................. 948,642 11 0.13 86,240 7.482 326.62 592 83.9 Oregon ................... 5,614,686 35 0.76 160,420 6.390 355.54 629 81.1 Pennsylvania ............. 11,157,719 94 1.51 118,699 7.171 352.03 604 82.1 Rhode Island ............. 3,772,301 24 0.51 157,179 6.842 350.78 607 75.2 South Carolina ........... 4,270,398 36 0.58 118,622 6.962 351.19 631 84.3 South Dakota ............. 265,312 2 0.04 132,656 7.506 353.68 585 76.7 Tennessee ................ 6,639,032 64 0.90 103,735 6.853 344.49 621 80.9 Texas .................... 5,638,628 50 0.76 112,773 6.683 341.44 624 79.0 Utah ..................... 1,045,681 7 0.14 149,383 6.268 356.65 660 78.2 Virginia ................. 18,531,797 122 2.50 151,900 6.988 356.14 608 80.6 Washington ............... 6,252,509 35 0.84 178,643 6.716 351.83 611 84.0 West Virginia ............ 1,287,763 12 0.17 107,314 7.446 353.46 593 84.8 Wisconsin ................ 9,363,745 76 1.27 123,207 7.203 355.47 619 81.8 Wyoming .................. 314,352 2 0.04 157,176 6.065 356.66 652 90.0 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $739,999,434 4,432 100.00% $166,967 6.881 352.22 619 78.6% ============ ===== ====== ======== ====== ====== === ======
-10- Credit Bureau Risk Scores(1) for the Mortgage Loans in Loan Group 1*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Range of Credit Bureau Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Risk Scores Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 801 - 820 ................ $ 349,495 3 0.05% $116,498 5.766 356.07 812 59.1% 781 - 800 ................ 5,063,710 25 0.68 202,548 5.808 344.76 791 76.2 761 - 780 ................ 7,951,277 46 1.07 172,854 6.116 342.48 772 78.1 741 - 760 ................ 13,891,215 75 1.88 185,216 6.060 350.12 751 76.7 721 - 740 ................ 16,236,363 88 2.19 184,504 6.304 350.58 730 80.7 701 - 720 ................ 24,135,325 138 3.26 174,894 6.407 347.45 710 80.9 681 - 700 ................ 42,132,541 229 5.69 183,985 6.245 348.54 690 79.8 661 - 680 ................ 55,619,247 316 7.52 176,010 6.493 352.39 670 80.9 641 - 660 ................ 90,965,675 532 12.29 170,988 6.463 351.08 650 81.4 621 - 640 ................ 110,914,952 664 14.99 167,041 6.544 351.95 630 80.3 601 - 620 ................ 94,719,576 599 12.80 158,130 6.798 351.96 610 79.9 581 - 600 ................ 76,836,265 459 10.38 167,399 6.941 353.04 590 78.6 561 - 580 ................ 67,010,370 428 9.06 156,566 7.300 352.97 571 79.2 541 - 560 ................ 50,629,608 310 6.84 163,321 7.534 354.92 551 74.2 521 - 540 ................ 41,801,329 263 5.65 158,940 8.052 356.38 531 72.7 501 - 520 ................ 40,164,314 245 5.43 163,936 8.320 356.23 511 70.8 500 or less .............. 1,578,171 12 0.21 131,514 9.061 356.58 497 70.3 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $739,999,434 4,432 100.00% $166,967 6.881 352.22 619 78.6% ============ ===== ====== ======== ====== ====== === ======
- -------- (1) The Credit Bureau Risk Scores referenced in this table with respect to substantially all of the Mortgage Loans in Loan Group 1 were obtained by the respective originators from one or more credit reporting agencies, and were determined at the time of origination. * The weighted average Credit Bureau Risk Score of the Mortgage Loans in Loan Group 1 as of the Cut-off Date was approximately 619. -11- Gross Margins for the Adjustable Rate Mortgage Loans in Loan Group 1*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Range of Gross Margins (%) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 3.001 - 4.000 ............ $ 266,339 1 0.05% $266,339 4.875 355.00 751 80.0% 4.001 - 5.000 ............ 21,847,890 113 3.81 193,344 5.769 354.57 633 77.0 5.001 - 6.000 ............ 302,067,725 1,686 52.63 179,162 6.635 357.04 630 80.9 6.001 - 7.000 ............ 199,575,672 1,256 34.77 158,898 7.544 356.85 585 78.1 7.001 - 8.000 ............ 50,239,310 419 8.75 119,903 7.598 354.93 596 82.0 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $573,996,936 3,475 100.00% $165,179 7.002 356.70 611 79.9% ============ ===== ====== ======== ====== ====== === ======
- ------ * The weighted average Gross Margin for the Adjustable Rate Mortgage Loans in Loan Group 1 as of the Cut-off Date was approximately 6.248%. -12- Next Adjustment Date for the Adjustable Rate Mortgage Loans in Loan Group 1*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Next Adjustment Date Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 5-Feb .................... $ 4,022,162 18 0.70% $223,453 6.710 358.00 619 82.1% 5-Mar .................... 1,238,964 5 0.22 247,793 6.249 359.00 611 82.0 5-Aug .................... 10,640,956 53 1.85 200,773 6.885 358.00 631 86.1 5-Sep .................... 4,991,592 22 0.87 226,891 6.911 358.47 633 83.7 5-Oct .................... 64,412 1 0.01 64,412 7.600 348.00 543 72.2 5-Nov .................... 463,738 4 0.08 115,935 7.196 349.85 598 83.6 5-Dec .................... 3,223,392 24 0.56 134,308 7.089 350.70 589 81.4 6-Jan .................... 3,934,507 25 0.69 157,380 6.549 351.16 616 81.5 6-Feb .................... 8,361,757 51 1.46 163,956 6.879 352.32 605 81.4 6-Mar .................... 10,979,697 79 1.91 138,984 7.328 353.69 587 80.1 6-Apr .................... 35,744,102 229 6.23 156,088 6.866 354.42 597 79.9 6-May .................... 49,098,830 326 8.55 150,610 7.036 355.34 589 78.6 6-Jun .................... 37,505,167 235 6.53 159,596 6.963 356.03 614 79.5 6-Jul .................... 32,911,729 186 5.73 176,945 7.184 357.00 610 80.8 6-Aug .................... 188,953,819 1,038 32.92 182,036 7.375 358.00 604 78.8 6-Sep .................... 56,932,850 326 9.92 174,641 7.261 359.00 612 80.3 6-Oct .................... 407,633 5 0.07 81,527 7.259 349.00 606 84.4 6-Dec .................... 587,789 6 0.10 97,965 7.716 350.32 588 83.9 7-Jan .................... 404,709 4 0.07 101,177 6.405 352.00 701 82.6 7-Feb .................... 1,751,786 14 0.31 125,128 6.116 352.65 617 79.8 7-Mar .................... 5,769,900 42 1.01 137,379 6.330 353.59 635 83.5 7-Apr .................... 25,300,329 191 4.41 132,462 6.222 354.58 636 80.9 7-May .................... 47,133,999 338 8.21 139,450 6.217 355.51 639 81.3 7-Jun .................... 21,769,354 144 3.79 151,176 6.269 356.03 628 80.1 7-Jul .................... 1,267,423 7 0.22 181,060 6.892 357.00 638 75.5 7-Aug .................... 9,961,848 49 1.74 203,303 6.723 358.00 636 78.3 7-Sep .................... 3,270,353 16 0.57 204,397 6.941 359.00 616 85.1 9-Jan .................... 354,601 2 0.06 177,300 5.908 351.00 657 71.2 9-Apr .................... 387,311 2 0.07 193,655 6.685 354.00 605 79.0 9-May .................... 206,952 1 0.04 206,952 5.990 355.00 598 78.5 9-Aug .................... 4,927,028 25 0.86 197,081 6.711 358.00 633 73.5 9-Sep .................... 1,428,245 7 0.25 204,035 6.453 359.00 636 82.0 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $573,996,936 3,475 100.00% $165,179 7.002 356.70 611 79.9% ============ ===== ====== ======== ====== ====== === ======
- --------- * The weighted average number of months to next adjustment date for the Adjustable Rate Mortgage Loans in Loan Group 1 as of the Cut-off Date is 23 months. -13- Maximum Mortgage Rates for the Adjustable Rate Mortgage Loans in Loan Group 1*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Range of Maximum Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Mortgage Rates (%) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 10.001 - 10.500 .......... $ 600,348 3 0.10% $200,116 4.500 355.31 655 72.4% 10.501 - 11.000 .......... 7,920,308 42 1.38 188,579 4.888 353.91 655 81.3 11.001 - 11.500 .......... 15,354,638 79 2.68 194,363 5.325 354.41 664 79.5 11.501 - 12.000 .......... 47,113,098 296 8.21 159,166 5.797 355.17 644 80.0 12.001 - 12.500 .......... 62,318,558 405 10.86 153,873 6.081 355.54 642 79.5 12.501 - 13.000 .......... 60,690,449 356 10.57 170,479 6.315 356.49 628 78.3 13.001 - 13.500 .......... 78,520,299 474 13.68 165,655 6.699 356.78 621 77.7 13.501 - 14.000 .......... 101,090,743 601 17.61 168,204 7.047 357.08 612 80.7 14.001 - 14.500 .......... 56,391,468 336 9.82 167,832 7.375 357.38 606 81.6 14.501 - 15.000 .......... 67,094,913 382 11.69 175,641 7.815 357.65 584 82.6 15.001 - 15.500 .......... 32,021,802 195 5.58 164,214 8.281 357.71 566 80.2 15.501 - 16.000 .......... 23,272,940 159 4.05 146,371 8.758 357.72 563 82.4 16.001 - 16.500 .......... 8,096,786 58 1.41 139,600 9.253 357.14 537 77.6 16.501 - 17.000 .......... 7,424,722 46 1.29 161,407 9.817 357.20 522 71.0 17.001 - 17.500 .......... 2,499,783 18 0.44 138,877 10.279 357.14 526 68.9 17.501 - 18.000 .......... 2,293,163 15 0.40 152,878 10.757 357.01 519 69.2 18.001 - 18.500 .......... 800,157 6 0.14 133,359 11.227 357.29 533 66.4 18.501 - 19.000 .......... 492,760 4 0.09 123,190 11.781 358.40 523 71.6 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $573,996,936 3,475 100.00% $165,179 7.002 356.70 611 79.9% ============ ===== ====== ======== ====== ====== === ======
- ---------- * The weighted average Maximum Mortgage Rate for the Adjustable Rate Mortgage Loans in Loan Group 1 as of the Cut-off Date was approximately 13.636% per annum. -14- Initial Periodic Rate Cap for the Adjustable Rate Mortgage Loans in Loan Group 1*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Initial Periodic Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Rate Cap (%) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 1.000 .................... $ 91,688 1 0.02% $ 91,688 8.500 358.00 660 90.0% 1.500 .................... 16,834,381 93 2.93 181,015 7.965 354.31 528 73.6 2.000 .................... 46,251,086 234 8.06 197,654 6.905 356.57 607 81.2 3.000 .................... 510,519,458 3,145 88.94 162,327 6.979 356.79 614 79.9 4.000 .................... 232,721 1 0.04 232,721 6.350 354.00 632 95.0 5.000 .................... 67,601 1 0.01 67,601 8.275 351.00 537 80.0 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $573,996,936 3,475 100.00% $165,179 7.002 356.70 611 79.9% ============ ===== ====== ======== ====== ====== === ======
- --------- * The weighted average Initial Periodic Rate Cap for the Adjustable Rate Mortgage Loans in Loan Group 1 as of the Cut-off Date was approximately 2.876%. Subsequent Periodic Rate Cap for the Adjustable Rate Mortgage Loans in Loan Group 1*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Subsequent Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Periodic Rate Cap (%) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 1.000 .................... $221,940,742 1,549 38.67% $143,280 6.530 354.95 624 81.1% 1.500 .................... 57,924,671 302 10.09 191,804 7.392 356.36 583 78.7 2.000 .................... 294,131,523 1,624 51.24 181,115 7.281 358.08 608 79.2 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $573,996,936 3,475 100.00% $165,179 7.002 356.70 611 79.9% ============ ===== ====== ======== ====== ====== === ======
- --------- * The weighted average Subsequent Periodic Rate Cap for the Adjustable Rate Mortgage Loans in Loan Group 1 as of the Cut-off Date was approximately 1.563%. -15- Minimum Mortgage Rates for the Adjustable Rate Mortgage Loans in Loan Group 1*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Range of Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Minimum Mortgage Rates (%) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 4.001 - 5.000 ............ $ 10,939,311 57 1.91% $191,918 4.920 354.39 656 77.9% 5.001 - 6.000 ............ 105,775,705 586 18.43 180,505 5.718 356.10 649 77.8 6.001 - 7.000 ............ 201,595,406 1,180 35.12 170,844 6.568 356.82 627 79.9 7.001 - 8.000 ............ 172,508,079 1,093 30.05 157,830 7.552 356.75 594 81.8 8.001 - 9.000 ............ 61,449,907 411 10.71 149,513 8.456 357.39 565 80.8 9.001 - 10.000 ........... 15,642,663 105 2.73 148,978 9.520 357.15 530 74.5 10.001 or more ........... 6,085,863 43 1.06 141,532 10.705 357.21 524 68.9 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $573,996,936 3,475 100.00% $165,179 7.002 356.70 611 79.9% ============ ===== ====== ======== ====== ====== === ======
- --------- * The weighted average Minimum Mortgage Rate for the Adjustable Rate Mortgage Loans in Loan Group 1 as of the Cut-off Date was approximately 6.997% per annum. Types of Mortgaged Properties for the Mortgage Loans in Loan Group 1
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Property Type Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ Single-Family Residence .. $562,823,035 3,466 76.06% $162,384 6.871 351.86 616 78.6% Planned Unit Development . 58,191,021 323 7.86 180,158 6.849 351.29 618 79.4 Two Family ............... 47,037,900 234 6.36 201,017 7.071 355.17 625 78.6 Condominium .............. 40,212,959 265 5.43 151,747 6.941 353.36 630 80.5 Three Family ............. 14,017,543 56 1.89 250,313 6.817 354.66 640 76.5 Four Family .............. 11,515,729 39 1.56 295,275 6.658 354.64 666 74.8 SFRA ..................... 2,086,107 16 0.28 130,382 6.518 354.39 631 81.3 MNF ...................... 2,050,873 18 0.28 113,937 7.364 351.72 579 78.4 CNDP ..................... 1,731,135 11 0.23 157,376 6.830 357.61 631 83.1 APUD ..................... 234,971 3 0.03 78,324 6.530 354.45 581 80.3 TWN ...................... 98,161 1 0.01 98,161 6.800 356.00 634 78.8 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $739,999,434 4,432 100.00% $166,967 6.881 352.22 619 78.6% ============ ===== ====== ======== ====== ====== === ======
-16- Occupancy Types for the Mortgage Loans in Loan Group 1(1)
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Occupancy Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ Owner Occupied ........... $702,502,122 4,167 94.93% $168,587 6.863 352.15 618 78.7% Investment ............... 33,790,541 242 4.57 139,630 7.281 353.52 644 77.9 Second Home .............. 3,706,771 23 0.50 161,164 6.626 355.25 648 81.4 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $739,999,434 4,432 100.00% $166,967 6.881 352.22 619 78.6% ============ ===== ====== ======== ====== ====== === ======
- ------- (1) Based on representations by the Mortgagors at the time of origination of the Mortgage Loans in Loan Group 1. Loan Purposes for the Mortgage Loans in Loan Group 1
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Loan Purpose Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ Refinance - Cash Out ..... $504,573,427 2,868 68.19% $175,932 6.909 352.78 610 77.0% Purchase ................. 150,500,388 1,019 20.34 147,694 6.850 352.63 649 84.0 Refinance - No Cash Out .. 84,925,619 545 11.48 155,827 6.774 348.18 619 78.8 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $739,999,434 4,432 100.00% $166,967 6.881 352.22 619 78.6% ============ ===== ====== ======== ====== ====== === ======
-17- Credit Grade Categories for the Mortgage Loans in Loan Group 1(1)
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Credit Grade Category Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ A ........................ $613,769,942 3,630 82.94% $169,083 6.720 351.91 630 79.7% A- ....................... 24,399,520 147 3.30 165,983 7.479 355.37 571 77.1 B ........................ 56,913,210 364 7.69 156,355 7.357 352.42 577 75.6 C ........................ 32,581,153 216 4.40 150,839 7.924 354.49 554 69.1 C- ....................... 2,931,354 18 0.40 162,853 9.010 355.94 549 68.6 D ........................ 9,404,257 57 1.27 164,987 8.669 354.35 551 67.1 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $739,999,434 4,432 100.00% $166,967 6.881 352.22 619 78.6% ============ ===== ====== ======== ====== ====== === ======
- ------ (1) Although the Mortgage Loans in Group 1 were originated by various originators under differing underwriting guidelines, the Mortgage Loans in Group 1 loosely correspond to the Countrywide Home Loans credit grades shown in this table. See "--Underwriting Guidelines" in this prospectus supplement. Original Term for the Mortgage Loans in Loan Group 1
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Original Term Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ ARM 360 .................. $573,996,936 3,475 77.57% $165,179 7.002 356.70 611 79.9% Fixed 120 ................ 142,115 2 0.02 71,058 6.453 116.72 653 44.9 Fixed 180 ................ 10,496,674 81 1.42 129,589 6.428 175.30 647 69.1 Fixed 240 ................ 10,019,713 114 1.35 87,892 7.890 236.14 646 78.8 Fixed 360 ................ 145,343,997 760 19.64 191,242 6.368 355.57 645 74.5 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $739,999,434 4,432 100.00% $166,967 6.881 352.22 619 78.6% ============ ===== ====== ======== ====== ====== === ======
-18- Loan Documentation Type for the Mortgage Loans in Loan Group 1
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Loan Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Documentation Type Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ Full ..................... $437,526,324 2,820 59.13% $155,151 6.750 351.33 612 78.8% Stated Income ............ 302,473,110 1,612 40.87 187,638 7.071 353.52 629 78.4 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $739,999,434 4,432 100.00% $166,967 6.881 352.22 619 78.6% ============ ===== ====== ======== ====== ====== === ======
Original Prepayment Penalty Term for the Mortgage Loans in Loan Group 1
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Original Prepayment Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Penalty Term Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 0 ........................ $135,690,307 849 18.34% $159,824 7.328 354.59 618 81.5% 6 ........................ 1,944,423 9 0.26 216,047 6.384 354.00 626 82.7 12 ....................... 48,471,476 238 6.55 203,662 6.849 352.67 615 76.2 23 ....................... 316,350 1 0.04 316,350 6.300 355.00 689 95.0 24 ....................... 311,422,239 1,823 42.08 170,830 7.115 356.34 603 78.9 35 ....................... 258,920 1 0.03 258,920 6.990 355.00 553 80.0 36 ....................... 241,895,719 1,511 32.69 160,090 6.340 345.49 641 77.1 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $739,999,434 4,432 100.00% $166,967 6.881 352.22 619 78.6% ============ ===== ====== ======== ====== ====== === ======
-19- Range of Months to Roll for the Adjustable Rate Mortgage Loans in Loan Group 1
Weighted Weighted Percent of Average Average Aggregate Aggregate Weighted Remaining Weighted Original Weighted Principal Principal Average Average Term to Average Loan-to- Average Range of Balance Number Balance Principal Mortgage Maturity Credit Value Months Months to Roll Outstanding of Loans Outstanding Balance Rate (months) Score Ratio to Roll - ------------------------------------------------------------------------------------------------------------------------------------ 0 - 6 .................... $ 5,261,126 23 0.92% $228,745 6.601 358.24 617 82.1% 4 7-12 ..................... 15,696,960 76 2.73 206,539 6.896 358.11 631 85.3 10 13 - 18 .................. 47,681,541 295 8.31 161,632 6.916 353.14 597 79.8 17 19 - 24 .................. 380,428,048 2,228 66.28 170,749 7.243 357.41 605 79.4 21 25 - 31 .................. 57,294,754 403 9.98 142,171 6.166 354.49 639 81.1 30 32 - 37 .................. 60,330,370 413 10.51 146,078 6.454 356.52 631 80.7 33 >= 38 .................... 7,304,137 37 1.27 197,409 6.599 357.56 632 75.5 58 ------------ ----- ------ -------- ------ ------ --- ---- Total/Weighted Average ... $573,996,936 3,475 100.00% $165,179 7.002 356.70 611 79.9% ============ ===== ====== ======== ====== ====== === ====
-20- Mortgage Loan Programs for the Mortgage Loans in Loan Group 2
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Loan Programs Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 30Y LIB6M ................ $ 3,452,137 8 1.33% $431,517 6.603 358.28 622 82.9% 1/29 LIB6M ............... 9,721,741 24 3.74 405,073 6.616 358.29 606 81.5 2/28 LIB6M ............... 104,617,534 340 40.24 307,699 7.169 356.72 602 81.5 2/28 LIB6M - IO .......... 51,056,410 160 19.64 319,103 6.401 356.69 629 79.6 3/27 LIB6M ............... 14,488,241 49 5.57 295,678 6.386 355.50 628 79.7 3/27 LIB6M - IO .......... 10,172,774 43 3.91 236,576 5.997 355.21 613 80.4 5/25 LIB6M ............... 2,362,195 7 0.91 337,456 6.399 357.61 646 75.9 5/25 LIB6M - IO .......... 927,497 3 0.36 309,166 6.428 355.20 614 83.5 15Yr Fixed ............... 1,211,055 3 0.47 403,685 5.840 176.07 636 68.6 20Yr Fixed ............... 403,439 1 0.16 403,439 6.990 238.00 664 90.0 30Yr Fixed ............... 56,838,500 135 21.86 421,026 5.893 354.86 671 74.2 30Yr Fixed - IO .......... 4,748,531 14 1.83 339,181 6.172 355.91 654 73.2 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $260,000,054 787 100.00% $330,369 6.587 355.22 626 79.2% ============ ===== ====== ======== ====== ====== === ======
-21- Mortgage Loan Principal Balances for the Mortgage Loans in Loan Group 2*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Range of Mortgage Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Loan Principal Balances Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 25,000.01 - 50,000.00 .. $ 332,448 7 0.13% $ 47,493 8.810 354.47 560 65.7% 50,000.01 - 75,000.00 .. 2,174,066 35 0.84 62,116 8.673 354.64 562 78.1 75,000.01 - 100,000.00 .. 3,753,447 42 1.44 89,368 8.184 355.09 592 80.0 100,000.01 - 150,000.00 .. 5,768,577 46 2.22 125,404 7.691 355.75 600 81.1 150,000.01 - 200,000.00 .. 8,213,060 47 3.16 174,746 6.965 355.55 585 77.2 200,000.01 - 250,000.00 .. 6,932,660 31 2.67 223,634 7.087 356.23 595 77.6 250,000.01 - 300,000.00 .. 8,806,889 32 3.39 275,215 6.649 356.22 597 78.1 300,000.01 - 350,000.00 .. 33,149,096 98 12.75 338,256 6.529 356.73 616 79.5 350,000.01 - 400,000.00 .. 73,888,749 197 28.42 375,070 6.719 355.71 622 80.6 400,000.01 - 450,000.00 .. 53,608,862 126 20.62 425,467 6.429 352.52 632 80.5 450,000.01 - 500,000.00 .. 46,252,815 96 17.79 481,800 6.207 355.87 647 77.5 500,000.01 - 550,000.00 .. 10,545,250 20 4.06 527,262 6.511 356.15 664 78.5 550,000.01 - 600,000.00 .. 3,526,755 6 1.36 587,792 6.029 355.99 663 72.4 600,000.01 - 650,000.00 .. 1,238,240 2 0.48 619,120 5.278 354.00 684 58.3 650,000.01 - 700,000.00 .. 695,924 1 0.27 695,924 6.200 354.00 606 63.6 > $900,000.00 ............ 1,113,215 1 0.43 1,113,215 5.000 355.00 694 67.9 ------------ ----- ------ --------- ------ ------ --- ------ Total/Weighted Average ... $260,000,054 787 100.00% $ 330,369 6.587 355.22 626 79.2% ============ ===== ====== ========= ====== ====== === ======
- ------- * The average Principal Balance of the Mortgage Loans in Loan Group 2 as of the Cut-off Date was approximately $330,369. -22- Mortgage Rates for the Mortgage Loans in Loan Group 2*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Range of Mortgage Rates (%) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 4.501 - 5.000 ............ $ 5,813,320 12 2.24% $484,443 4.948 353.62 653 82.8% 5.001 - 5.500 ............ 28,101,851 73 10.81 384,957 5.273 351.68 677 73.7 5.501 - 6.000 ............ 57,980,311 153 22.30 378,956 5.812 354.72 642 76.1 6.001 - 6.500 ............ 54,818,617 153 21.08 358,292 6.269 356.32 634 79.1 6.501 - 7.000 ............ 40,939,437 109 15.75 375,591 6.826 354.37 625 82.3 7.001 - 7.500 ............ 23,583,384 65 9.07 362,821 7.278 357.19 607 84.3 7.501 - 8.000 ............ 22,324,999 69 8.59 323,551 7.810 357.21 593 82.4 8.001 - 8.500 ............ 11,889,259 61 4.57 194,906 8.324 356.40 578 81.0 8.501 - 9.000 ............ 10,319,258 63 3.97 163,798 8.791 355.89 552 77.6 9.001 - 9.500 ............ 2,896,611 21 1.11 137,934 9.275 356.04 554 77.5 9.501 - 10.000 ........... 1,333,006 8 0.51 166,626 9.814 354.52 521 75.1 ------------ ----- ------ -------- ------ ------ --- ------ Total .................... $260,000,054 787 100.00% $330,369 6.587 355.22 626 79.2% ============ ===== ====== ======== ====== ====== === ======
- -------- * The weighted average Mortgage Rate for the Mortgage Loans in Group 2 as of the Cut-off Date was approximately 6.587%. Remaining Terms to Stated Maturity for the Mortgage Loans in Loan Group 2*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Range of Remaining Terms Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value (months) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 121 - 180 ................ $ 1,211,055 3 0.47% $403,685 5.840 176.07 636 68.6% 181 - 300 ................ 403,439 1 0.16 403,439 6.990 238.00 664 90.0 301 - 360 ................ 258,385,560 783 99.38 329,994 6.590 356.25 626 79.2 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $260,000,054 787 100.00% $330,369 6.587 355.22 626 79.2% ============ ===== ====== ======== ====== ====== === ======
- -------- * The weighted average remaining term to maturity of the Mortgage Loans in Loan Group 2 as of the Cut-off Date was approximately 355 months. -23- Original Loan-to-Value Ratios for the Mortgage Loans in Loan Group 2*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Range of Original Loan-to- Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Value Ratios (%) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ Up to 50.00 .............. $ 3,801,075 13 1.46% $292,390 6.158 355.20 666 42.7% 50.01 - 55.00 ............ 3,130,361 8 1.20 391,295 6.221 335.11 617 52.7 55.01 - 60.00 ............ 6,054,092 18 2.33 336,338 6.385 355.81 619 57.9 60.01 - 65.00 ............ 14,843,881 42 5.71 353,426 6.283 355.81 629 62.8 65.01 - 70.00 ............ 16,787,812 48 6.46 349,746 6.508 355.90 608 68.6 70.01 - 75.00 ............ 35,261,508 111 13.56 317,671 6.680 354.12 607 74.0 75.01 - 80.00 ............ 83,851,363 260 32.25 322,505 6.356 355.22 634 79.4 80.01 - 85.00 ............ 30,721,695 98 11.82 313,487 6.863 356.65 612 84.4 85.01 - 90.00 ............ 49,343,815 144 18.98 342,665 6.797 355.38 633 89.6 90.01 - 95.00 ............ 14,508,996 38 5.58 381,816 6.900 356.89 645 94.4 95.01 - 100.00 ........... 1,695,455 7 0.65 242,208 8.108 357.13 648 100.0 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $260,000,054 787 100.00% $330,369 6.587 355.22 626 79.2% ============ ===== ====== ======== ====== ====== === ======
- ------- * The weighted average original Loan-to-Value Ratio at origination of the Mortgage Loans in Loan Group 2 as of the Cut-off Date was approximately 79.16%. -24- State Distribution of the Mortgaged Properties for the Mortgage Loans in Loan Group 2
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value State Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ Alabama .................. $ 610,024 5 0.23% $122,005 8.359 356.00 642 87.0% Arizona .................. 2,699,913 13 1.04 207,686 7.049 354.86 629 86.7 Arkansas ................. 60,906 1 0.02 60,906 8.350 355.00 546 71.9 California ............... 186,185,829 489 71.61 380,748 6.407 355.92 631 78.9 Colorado ................. 696,935 3 0.27 232,312 7.562 354.57 600 80.6 Connecticut .............. 1,429,404 4 0.55 357,351 5.841 356.02 623 78.6 Delaware ................. 102,899 1 0.04 102,899 8.750 356.00 524 80.0 Florida .................. 8,322,540 31 3.20 268,469 6.746 356.05 621 78.3 Georgia .................. 1,361,870 7 0.52 194,553 7.046 354.75 630 81.7 Hawaii ................... 1,745,070 3 0.67 581,690 5.487 353.30 698 72.3 Illinois ................. 6,056,234 19 2.33 318,749 7.408 345.17 611 85.3 Indiana .................. 1,261,342 9 0.49 140,149 6.992 354.30 584 79.3 Iowa ..................... 58,327 1 0.02 58,327 8.700 355.00 657 90.0 Kansas ................... 319,919 4 0.12 79,980 8.502 355.81 652 86.2 Kentucky ................. 431,489 4 0.17 107,872 7.538 355.11 610 82.9 Louisiana ................ 160,992 3 0.06 53,664 8.819 355.10 561 83.8 Maryland ................. 4,909,635 14 1.89 350,688 6.932 355.34 624 79.8 Massachusetts ............ 2,322,103 6 0.89 387,017 6.148 355.14 623 79.7 Michigan ................. 3,546,866 25 1.36 141,875 7.852 355.86 590 78.7 Minnesota ................ 788,074 2 0.30 394,037 7.528 354.55 649 89.6 Mississippi .............. 590,080 3 0.23 196,693 6.680 357.82 597 89.4 Missouri ................. 983,156 4 0.38 245,789 7.146 356.49 599 76.1 Montana .................. 472,263 1 0.18 472,263 7.140 359.00 619 80.0 Nebraska ................. 49,407 1 0.02 49,407 8.400 355.00 630 80.0 Nevada ................... 5,121,763 15 1.97 341,451 6.702 344.87 593 75.6 New Jersey ............... 3,915,956 11 1.51 355,996 7.869 356.62 601 80.6 New Mexico ............... 499,208 1 0.19 499,208 7.190 358.00 666 78.9 New York ................. 9,015,024 25 3.47 360,601 6.831 351.34 630 79.1 North Carolina ........... 707,643 5 0.27 141,529 7.765 354.15 597 83.5 North Dakota ............. 105,673 1 0.04 105,673 8.940 351.00 586 85.0 Ohio ..................... 1,042,743 8 0.40 130,343 7.223 354.63 664 85.0 Oklahoma ................. 123,364 2 0.05 61,682 8.923 354.95 556 60.5 Oregon ................... 2,359,561 8 0.91 294,945 6.481 353.55 603 74.5 Pennsylvania ............. 2,104,421 11 0.81 191,311 7.519 355.88 575 72.4 Rhode Island ............. 399,257 2 0.15 199,628 8.725 356.80 543 75.0 South Carolina ........... 500,107 3 0.19 166,702 8.094 356.02 561 77.1 Tennessee ................ 396,194 5 0.15 79,239 8.850 353.26 617 87.0 Texas .................... 978,877 7 0.38 139,840 7.286 355.53 591 80.0 Utah ..................... 557,686 2 0.21 278,843 6.083 354.00 641 69.0 Virginia ................. 4,682,556 18 1.80 260,142 6.998 356.53 604 80.7 Washington ............... 1,863,734 5 0.72 372,747 6.669 356.31 605 84.0 West Virginia ............ 65,662 1 0.03 65,662 8.350 353.00 637 88.0 Wisconsin ................ 249,345 3 0.10 83,115 8.944 355.46 533 80.0 Wyoming .................. 146,000 1 0.06 146,000 5.230 356.00 619 80.0 ------------ ----- ------ -------- ------ ------ --- ------ Total .................... $260,000,054 787 100.00% $330,369 6.587 355.22 626 79.2% ============ ===== ====== ======== ====== ====== === ======
-25- Credit Bureau Risk Scores(1) for the Mortgage Loans in Loan Group 2*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Range of Credit Bureau Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Risk Scores Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 781 - 800 ................ $ 1,260,913 3 0.48% $420,304 5.868 355.82 789 76.7% 761 - 780 ................ 4,582,411 10 1.76 458,241 5.726 354.17 772 71.0 741 - 760 ................ 6,399,626 17 2.46 376,449 5.683 354.82 753 74.6 721 - 740 ................ 5,667,196 14 2.18 404,800 5.741 355.58 728 74.7 701 - 720 ................ 8,061,029 21 3.10 383,859 6.274 346.49 708 78.2 681 - 700 ................ 15,979,092 41 6.15 389,734 6.134 355.64 690 78.8 661 - 680 ................ 25,818,392 63 9.93 409,816 6.184 354.32 670 80.4 641 - 660 ................ 27,363,224 71 10.52 385,398 6.390 356.44 651 82.9 621 - 640 ................ 35,509,471 93 13.66 381,822 6.364 354.02 630 83.4 601 - 620 ................ 48,358,368 160 18.60 302,240 6.449 356.72 610 79.5 581 - 600 ................ 27,737,387 86 10.67 322,528 6.606 356.52 590 77.6 561 - 580 ................ 18,820,727 64 7.24 294,074 7.086 356.11 572 78.0 541 - 560 ................ 16,778,056 67 6.45 250,419 7.567 352.83 551 75.8 521 - 540 ................ 10,734,478 57 4.13 188,324 8.211 356.15 530 77.0 501 - 520 ................ 6,803,278 19 2.62 358,067 8.296 356.14 513 71.8 <= 500 ................... 126,408 1 0.05 126,408 8.050 356.00 500 75.0 ------------ ----- ------ -------- ------ ------ --- ------ Weighted Average ......... $260,000,054 787 100.00% $330,369 6.587 355.22 626 79.2% ============ ===== ====== ======== ====== ====== === ======
- ---------- (1) The Credit Bureau Risk Scores referenced in this table with respect to substantially all of the Mortgage Loans in Loan Group 2 were obtained by the respective originators from one or more credit reporting agencies, and were determined at the time of origination. * The weighted average Credit Bureau Risk Score of the Mortgage Loans in Group 2 as of the Cut-off Date was approximately 626. -26- Gross Margins for the Adjustable Rate Mortgage Loans in Loan Group 2*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Range of Gross Margins (%) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 4.001 - 5.000 ............ $ 11,233,626 32 5.71% $351,051 5.692 354.34 622 79.7% 5.001 - 6.000 ............ 114,978,027 312 58.42 368,519 6.513 357.13 625 81.8 6.001 - 7.000 ............ 52,014,478 148 26.43 351,449 7.104 356.81 597 79.0 7.001 - 8.000 ............ 3,919,239 11 1.99 356,294 7.664 354.90 564 81.1 8.001 - 9.000 ............ 13,079,262 113 6.65 115,746 8.520 354.61 577 80.3 9.001 - 10.000 ........... 1,573,896 18 0.80 87,439 9.412 354.55 564 77.5 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $196,798,528 634 100.00% $310,408 6.802 356.65 613 80.8% ============ ===== ====== ======== ====== ====== === ======
- ---------- * The weighted average Gross Margin of the Adjustable Rate Mortgage Loans in Loan Group 2 as of the Cut-off Date was approximately 6.238%. -27- Next Adjustment Date for the Adjustable Rate Mortgage Loans| in Loan Group 2*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Next Adjustment Date Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 5-Feb .................... $ 2,480,372 6 1.26% $413,395 6.625 358.00 606 82.4% 5-Mar .................... 971,764 2 0.49 485,882 6.549 359.00 662 84.4 5-Aug .................... 6,945,620 17 3.53 408,566 6.687 358.00 618 83.4 5-Sep .................... 3,012,332 8 1.53 376,541 6.698 358.06 570 76.1 5-Nov .................... 87,337 1 0.04 87,337 8.340 350.00 577 80.0 5-Dec .................... 1,362,590 8 0.69 170,324 7.941 350.42 588 82.8 6-Jan .................... 3,773,279 13 1.92 290,252 6.432 351.22 603 80.1 6-Feb .................... 5,043,300 19 2.56 265,437 6.715 352.16 624 81.4 6-Mar .................... 5,217,156 21 2.65 248,436 6.608 353.28 608 80.5 6-Apr .................... 15,757,915 53 8.01 297,319 6.825 354.16 610 79.7 6-May .................... 12,238,578 53 6.22 230,917 7.368 355.17 569 79.1 6-Jun .................... 10,353,166 50 5.26 207,063 7.225 356.01 618 80.6 6-Jul .................... 11,722,830 36 5.96 325,634 6.689 357.00 625 82.0 6-Aug .................... 69,537,318 193 35.33 360,297 6.907 358.00 615 81.1 6-Sep .................... 20,344,265 52 10.34 391,236 6.839 359.00 614 81.4 7-Jan .................... 281,789 1 0.14 281,789 6.875 351.00 625 80.0 7-Feb .................... 897,686 2 0.46 448,843 6.068 352.52 652 92.4 7-Mar .................... 936,413 3 0.48 312,138 5.459 353.09 635 70.4 7-Apr .................... 4,377,023 20 2.22 218,851 6.321 354.20 603 78.8 7-May .................... 10,733,890 42 5.45 255,569 6.202 355.29 619 80.0 7-Jun .................... 3,512,624 13 1.78 270,202 6.133 356.00 623 80.0 7-Jul .................... 691,996 2 0.35 345,998 7.062 357.00 642 89.3 7-Aug .................... 2,849,132 8 1.45 356,142 6.267 358.00 638 78.9 7-Sep .................... 380,462 1 0.19 380,462 6.590 359.00 656 80.0 9-Apr .................... 839,193 3 0.43 279,731 6.003 354.00 634 85.1 9-Jul .................... 373,754 1 0.19 373,754 5.750 357.00 664 75.0 9-Aug .................... 1,853,245 5 0.94 370,649 6.550 358.00 642 75.8 9-Sep .................... 223,500 1 0.11 223,500 7.840 359.00 557 75.0 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $196,798,528 634 100.00% $310,408 6.802 356.65 613 80.8% ============ ===== ====== ======== ====== ====== === ======
- -------- * The weighted average number of months to next adjustment date for the Adjustable Rate Mortgage Loans in Loan Group 2 as of the Cut-off Date is 22 months. -28- Maximum Mortgage Rates for the Adjustable Rate Mortgage Loans in Loan Group 2*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Range of Maximum Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Mortgage Rates (%) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 10.501 - 11.000 .......... $ 4,197,189 10 2.13% $419,719 4.928 353.09 634 87.4% 11.001 - 11.500 .......... 6,284,176 19 3.19 330,746 5.231 354.24 636 79.6 11.501 - 12.000 .......... 12,495,878 35 6.35 357,025 5.879 354.09 626 79.2 12.001 - 12.500 .......... 21,624,131 63 10.99 343,240 6.089 354.97 629 79.4 12.501 - 13.000 .......... 30,865,517 87 15.68 354,776 6.046 357.23 628 77.4 13.001 - 13.500 .......... 27,627,738 79 14.04 349,718 6.428 357.66 623 79.7 13.501 - 14.000 .......... 33,017,853 86 16.78 383,929 6.916 357.67 620 83.8 14.001 - 14.500 .......... 22,154,549 82 11.26 270,177 7.499 356.99 597 84.0 14.501 - 15.000 .......... 21,863,684 100 11.11 218,637 8.021 356.94 587 81.8 15.001 - 15.500 .......... 8,565,998 41 4.35 208,927 8.467 357.11 581 81.4 15.501 - 16.000 .......... 6,062,964 24 3.08 252,623 8.912 356.56 548 76.4 16.001 - 16.500 .......... 1,343,644 6 0.68 223,941 9.222 357.91 548 77.0 16.501 - 17.000 .......... 695,207 2 0.35 347,604 9.869 357.50 507 75.0 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $196,798,528 634 100.00% $310,408 6.802 356.65 613 80.8% ============ ===== ====== ======== ====== ====== === ======
- ------- * The weighted average Maximum Mortgage Rate for the Adjustable Rate Mortgage Loans in Loan Group 2 as of the Cut-off Date was approximately 13.460% per annum. Initial Periodic Rate Cap for the Adjustable Rate Mortgage Loans in Loan Group 2*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Initial Periodic Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Rate Cap (%) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 1.500 .................... $ 4,886,400 13 2.48% $375,877 7.930 354.96 529 76.2% 2.000 .................... 20,650,303 52 10.49 397,121 6.181 356.64 618 82.8 3.000 .................... 171,261,825 569 87.02 300,987 6.844 356.71 614 80.7 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $196,798,528 634 100.00% $310,408 6.802 356.65 613 80.8% ============ ===== ====== ======== ====== ====== === ======
- -------- * The weighted average Initial Periodic Rate Cap for the Adjustable Rate Mortgage Loans in Loan Group 2 as of the Cut-off Date was approximately 2.858%. -29- Subsequent Periodic Rate Cap for the Adjustable Rate Mortgage Loans in Loan Group 2*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Subsequent Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Periodic Rate Cap (%) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 1.000 .................... $ 69,891,386 289 35.51% $241,839 6.720 354.31 612 80.3% 1.500 .................... 22,999,735 60 11.69 383,329 6.853 357.23 596 80.6 2.000 .................... 103,907,407 285 52.80 364,587 6.845 358.10 617 81.1 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $196,798,528 634 100.00% $310,408 6.802 356.65 613 80.8% ============ ===== ====== ======== ====== ====== === ======
- -------- * The weighted average Subsequent Periodic Rate Cap for the Adjustable Rate Mortgage Loans in Loan Group 2 as of the Cut-off Date was approximately 1.586%. Minimum Mortgage Rates for the Adjustable Rate Mortgage Loans in Loan Group 2*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Range of Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Minimum Mortgage Rates (%) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 4.001 - 5.000 ............ $ 4,566,714 11 2.32% $415,156 4.974 353.16 632 86.8% 5.001 - 6.000 ............ 46,860,901 133 23.81 352,338 5.721 356.50 630 77.8 6.001 - 7.000 ............ 77,302,045 214 39.28 361,225 6.531 356.89 626 81.4 7.001 - 8.000 ............ 42,382,166 125 21.54 339,057 7.543 357.14 598 83.3 8.001 - 9.000 ............ 21,693,296 123 11.02 176,368 8.551 356.05 566 79.6 9.001 - 10.000 ........... 3,993,406 28 2.03 142,622 9.427 356.07 545 77.1 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $196,798,528 634 100.00% $310,408 6.802 356.65 613 80.8% ============ ===== ====== ======== ====== ====== === ======
- -------- * The weighted average Minimum Mortgage Rate for the Adjustable Rate Mortgage Loans in Loan Group 2 as of the Cut-off Date was approximately 6.790% per annum. -30- Types of Mortgaged Properties for the Mortgage Loans in Loan Group 2
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Property Type Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ SFR ...................... $209,404,531 652 80.54% $321,173 6.578 355.00 626 79.3% PUD ...................... 33,148,141 86 12.75 385,443 6.598 356.17 620 78.9 CND ...................... 13,637,055 37 5.25 368,569 6.581 355.82 639 80.0 2 FAM .................... 2,195,764 6 0.84 365,961 7.032 358.18 616 67.4 CNDP ..................... 1,021,539 3 0.39 340,513 7.567 356.62 620 77.0 4 FAM .................... 455,836 1 0.18 455,836 5.300 354.00 750 73.4 TWN ...................... 73,741 1 0.03 73,741 7.800 356.00 690 85.0 MNF ...................... 63,446 1 0.02 63,446 9.350 351.00 586 85.0 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $260,000,054 787 100.00% $330,369 6.587 355.22 626 79.2% ============ ===== ====== ======== ====== ====== === ======
Occupancy Types for the Mortgage Loans in Loan Group 2(1)
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Occupancy Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ Owner Occupied ........... $254,139,078 760 97.75% $334,394 6.568 355.20 626 79.2% Investment ............... 5,860,976 27 2.25 217,073 7.412 356.23 643 79.5 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $260,000,054 787 100.00% $330,369 6.587 355.22 626 79.2% ============ ===== ====== ======== ====== ====== === ======
- ---------- (1) Based on representations by the Mortgagors at the time of origination of the Mortgage Loans in Loan Group 2. Loan Purposes for the Mortgage Loans in Loan Group 2
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Loan Purpose Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ Refinance - Cash Out ..... $170,130,541 511 65.43% $332,936 6.608 354.77 617 77.9% Purchase ................. 63,449,138 200 24.40 317,246 6.576 356.25 645 83.0 Refinance - No Cash Out .. 26,420,374 76 10.16 347,636 6.479 355.71 643 78.0 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $260,000,054 787 100.00% $330,369 6.587 355.22 626 79.2% ============ ===== ====== ======== ====== ====== === ======
-31- Credit Grade Categories for the Mortgage Loans in Loan Group 2(1)
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Credit Grade Category Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ A ........................ $225,825,227 650 86.86% $347,423 6.436 355.44 634 79.8% A- ....................... 7,654,229 25 2.94 306,169 7.274 346.66 586 79.6 B ........................ 15,006,941 58 5.77 258,740 7.208 355.83 581 74.6 C ........................ 8,815,641 39 3.39 226,042 8.260 356.45 555 72.6 C- ....................... 950,485 4 0.37 237,621 8.640 351.76 543 68.7 D ........................ 1,747,531 11 0.67 158,866 8.279 355.85 548 67.3 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $260,000,054 787 100.00% $330,369 6.587 355.22 626 79.2% ============ ===== ====== ======== ====== ====== === ======
- ---------- (1) Although the Mortgage Loans in Loan Group 2 were originated by various originators under differing underwriting guidelines, the Mortgage Loans in Loan Group 2 loosely correspond to the Countrywide Home Loans credit grades shown in this table. See "--Underwriting Guidelines" in this prospectus supplement. Original Term for the Mortgage Loans in Loan Group 2
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Original Term Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ ARM 360 .................. $196,798,528 634 75.69% $310,408 6.802 356.65 613 80.8% Fixed 180 ................ 1,211,055 3 0.47 403,685 5.840 176.07 636 68.6 Fixed 240 ................ 403,439 1 0.16 403,439 6.990 238.00 664 90.0 Fixed 360 ................ 61,587,032 149 23.69 413,336 5.914 354.94 670 74.1 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $260,000,054 787 100.00% $330,369 6.587 355.22 626 79.2% ============ ===== ====== ======== ====== ====== === ======
-32- Loan Documentation Type for the Mortgage Loans in Loan Group 2
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Loan Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Documentation Type Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ Full ..................... $135,003,857 435 51.92% $310,354 6.380 355.54 623 78.8% Stated Income ............ 124,714,408 351 47.97 355,312 6.811 354.89 630 79.5 NINA ..................... 281,789 1 0.11 281,789 6.875 351.00 625 80.0 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $260,000,054 787 100.00% $330,369 6.587 355.22 626 79.2% ============ ===== ====== ======== ====== ====== === ======
Original Prepayment Penalty Term for the Mortgage Loans in Loan Group 2
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Original Prepayment Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Penalty Term Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 0 ........................ $ 31,105,674 95 11.96% $327,428 7.136 354.69 631 80.5% 6 ........................ 1,707,393 5 0.66 341,479 6.054 354.00 657 81.7 12 ....................... 29,487,649 78 11.34 378,047 6.654 355.41 615 80.7 24 ....................... 118,752,077 372 45.67 319,226 6.820 356.67 611 80.5 35 ....................... 169,600 1 0.07 169,600 6.875 355.00 599 80.0 36 ....................... 76,063,402 225 29.26 338,060 6.006 353.16 651 75.9 60 ....................... 2,714,258 11 1.04 246,751 6.012 354.68 668 75.2 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $260,000,054 787 100.00% $330,369 6.587 355.22 626 79.2% ============ ===== ====== ======== ====== ====== === ======
Range of Months to Roll for the Adjustable Rate Mortgage Loans in Loan Group 2
Weighted Weighted Percent of Average Average Aggregate Aggregate Weighted Remaining Weighted Original Weighted Principal Principal Average Average Term to Average Loan-to- Average Range of Balance Number Balance Principal Mortgage Maturity Credit Value Months Months to Roll Outstanding of Loans Outstanding Balance Rate (months) Score Ratio to Roll - ------------------------------------------------------------------------------------------------------------------------------------ 0 - 6 .................... $ 3,452,137 8 1.75% $431,517 6.603 358.28 622 82.9% 4 7 - 12 ................... 9,957,952 25 5.06 398,318 6.690 358.02 604 81.2 10 13 - 18 .................. 28,727,349 103 14.60 278,906 6.735 353.00 612 80.3 17 19 - 24 .................. 126,710,384 396 64.39 319,976 6.953 357.57 611 81.0 22 25 - 31 .................. 14,132,420 53 7.18 266,649 6.045 354.39 621 80.7 30 32 - 37 .................. 10,528,595 39 5.35 269,964 6.468 356.72 623 79.0 33 >= 38 .................... 3,289,692 10 1.67 328,969 6.407 356.93 637 78.0 57 ------------ ----- ------ -------- ------ ------ --- ---- Total/Weighted Average ... $196,798,528 634 100.00% $310,408 6.802 356.65 613 80.8% ============ ===== ====== ======== ====== ====== === ====
-33- Mortgage Loan Programs for the Mortgage Loans
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Loan Programs Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 30Y LIB6M ................ $ 8,713,262 31 0.87% $281,073 6.602 358.25 619 82.4% 1/29 LIB6M ............... 25,131,789 98 2.51 256,447 6.773 358.30 622 83.9 2/28 LIB6M ............... 507,103,603 2,746 50.71 184,670 7.246 356.90 601 79.8 2/28 LIB6M - IO .......... 76,966,841 279 7.70 275,867 6.363 356.67 639 79.8 3/27 LIB6M ............... 116,742,132 771 11.67 151,417 6.405 355.57 630 80.9 3/27 LIB6M - IO .......... 25,544,007 137 2.55 186,453 5.809 355.23 643 80.2 5/25 LIB6M ............... 8,167,113 37 0.82 220,733 6.611 357.78 633 75.6 5/25 LIB6M - IO .......... 2,426,716 10 0.24 242,672 6.300 355.97 636 78.6 10Yr Fixed ............... 142,115 2 0.01 71,058 6.453 116.72 653 44.9 15Yr Fixed ............... 11,297,722 79 1.13 143,009 6.207 175.26 645 67.9 15Yr Fixed - 2nd ......... 159,100 2 0.02 79,550 10.672 177.63 660 98.9 20Yr Fixed ............... 6,515,526 44 0.65 148,080 6.418 235.12 633 67.7 20Yr Fixed - 2nd ......... 3,907,625 71 0.39 55,037 10.252 238.04 671 98.4 30Yr Fixed ............... 197,803,151 876 19.78 225,803 6.233 355.36 652 74.4 30Yr Fixed - IO .......... 9,127,878 33 0.91 276,602 6.227 355.96 660 74.3 30/15 Fixed Balloon - 2nd 250,907 3 0.03 83,636 10.824 179.00 682 100.0 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $999,999,488 5,219 100.00% $191,607 6.805 353.00 621 78.8% ============ ===== ====== ======== ====== ====== === ======
Mortgage Loan Principal Balances for the Mortgage Loans*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Range of Mortgage Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Loan Principal Balances Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 0.01 - 25,000.00 ... $ 124,559 5 0.01% $ 24,912 10.782 237.20 646 99.6% 25,000.01 - 50,000.00 ... 2,880,578 67 0.29 42,994 8.615 311.15 611 77.9 50,000.01 - 75,000.00 ... 26,155,734 414 2.62 63,178 7.613 340.68 606 79.2 75,000.01 - 100,000.00 .. 49,333,216 557 4.93 88,570 7.310 344.41 611 78.5 100,000.01 - 150,000.00 .. 150,942,148 1,217 15.09 124,028 7.047 351.81 614 79.0 150,000.01 - 200,000.00 .. 170,560,577 978 17.06 174,397 6.963 353.27 612 77.5 200,000.01 - 250,000.00 .. 148,384,144 664 14.84 223,470 6.829 354.77 617 78.4 250,000.01 - 300,000.00 .. 137,270,969 499 13.73 275,092 6.667 354.18 621 79.1 300,000.01 - 350,000.00 .. 102,416,184 316 10.24 324,102 6.557 355.47 627 79.8 350,000.01 - 400,000.00 .. 85,803,639 229 8.58 374,688 6.681 354.94 626 80.5 400,000.01 - 450,000.00 .. 60,827,236 143 6.08 425,365 6.405 352.82 637 80.3 450,000.01 - 500,000.00 .. 48,181,120 100 4.82 481,811 6.190 355.85 649 77.4 500,000.01 - 550,000.00 .. 10,545,250 20 1.05 527,262 6.511 356.15 664 78.5 550,000.01 - 600,000.00 .. 3,526,755 6 0.35 587,792 6.029 355.99 663 72.4 600,000.01 - 650,000.00 .. 1,238,240 2 0.12 619,120 5.278 354.00 684 58.3 650,000.01 - 700,000.00 .. 695,924 1 0.07 695,924 6.200 354.00 606 63.6 > 900,000.00 ............. 1,113,215 1 0.11 1,113,215 5.000 355.00 694 67.9 ------------ ----- ------ ---------- ------ ------ --- ------ Total/Weighted Average ... $999,999,488 5,219 100.00% $ 191,607 6.805 353.00 621 78.8% ============ ===== ====== ========== ====== ====== === ======
- -------- * The average Principal Balance of the Mortgage Loans as of the Cut-off Date was approximately $191,607. -34- Mortgage Rates for the Mortgage Loans*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Range of Mortgage Rates (%) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 4.001 - 4.500 ........... $ 869,277 4 0.09% $217,319 4.500 309.74 682 60.1% 4.501 - 5.000 ........... 15,763,505 63 1.58 250,214 4.895 351.19 659 79.8 5.001 - 5.500 ........... 78,476,652 305 7.85 257,300 5.288 347.76 673 73.7 5.501 - 6.000 ........... 179,871,060 832 17.99 216,191 5.824 351.73 645 76.4 6.001 - 6.500 ........... 197,866,604 985 19.79 200,880 6.281 352.85 638 77.9 6.501 - 7.000 ........... 165,592,159 823 16.56 201,206 6.836 354.49 623 80.0 7.001 - 7.500 ........... 115,795,098 641 11.58 180,648 7.283 355.48 607 81.1 7.501 - 8.000 ........... 122,997,395 707 12.30 173,971 7.798 356.06 587 82.0 8.001 - 8.500 ........... 53,805,511 342 5.38 157,326 8.277 355.47 574 80.4 8.501 - 9.000 ........... 37,630,994 260 3.76 144,735 8.768 353.84 564 81.2 9.001 - 9.500 ........... 12,905,410 98 1.29 131,688 9.256 352.39 554 78.7 9.501 - 10.000 .......... 9,832,336 70 0.98 140,462 9.819 347.91 533 74.0 10.001 - 10.500 .......... 2,941,254 27 0.29 108,935 10.290 339.58 546 73.3 10.501 - 11.000 .......... 3,465,135 34 0.35 101,916 10.773 315.40 573 79.5 11.001 - 11.500 .......... 1,283,064 14 0.13 91,647 11.268 308.71 572 79.1 11.501 - 12.000 .......... 792,326 10 0.08 79,233 11.752 305.39 562 82.1 12.001 - 12.500 .......... 82,537 3 0.01 27,512 12.259 238.00 619 100.0 12.501 - 13.000 .......... 29,172 1 0.00 29,172 12.850 238.00 596 100.0 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $999,999,488 5,219 100.00% $191,607 6.805 353.00 621 78.8% ============ ===== ====== ======== ====== ====== === ======
- ---------- * The weighted average Mortgage Rate for the Mortgage Loans as of the Cut-off Date was approximately 6.805%. Remaining Terms to Stated Maturity for the Mortgage Loans*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Range of Remaining Terms Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value (months) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 1 - 120 .................. $ 142,115 2 0.01% $ 71,058 6.453 116.72 653 44.9% 121 - 180 ................ 11,707,729 84 1.17 139,378 6.367 175.38 646 69.1 181 - 300 ................ 10,423,151 115 1.04 90,636 7.855 236.21 647 79.2 301 - 360 ................ 977,726,493 5,018 97.77 194,844 6.799 356.41 620 78.9 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $999,999,488 5,219 100.00% $191,607 6.805 353.00 621 78.8% ============ ===== ====== ======== ====== ====== === ======
- -------- * The weighted average remaining term to maturity of the Mortgage Loans as of the Cut-off Date was approximately 353 months. -35- Original Loan-to-Value Ratios for the Mortgage Loans*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Range of Original Loan-to- Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Value Ratios (%) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ Up to 50.00 .............. $ 26,748,256 176 2.67% $151,979 6.600 338.30 626 42.2% 50.01 - 55.00 ............ 16,512,103 84 1.65 196,573 6.440 344.71 622 52.9 55.01 - 60.00 ............ 36,273,362 189 3.63 191,923 6.737 348.38 607 58.1 60.01 - 65.00 ............ 51,324,882 249 5.13 206,124 6.686 353.03 601 63.1 65.01 - 70.00 ............ 74,111,324 364 7.41 203,603 6.836 352.49 599 68.6 70.01 - 75.00 ............ 105,111,124 514 10.51 204,496 6.859 351.70 600 73.9 75.01 - 80.00 ............ 300,140,905 1,612 30.01 186,192 6.521 354.41 628 79.5 80.01 - 85.00 ............ 129,021,681 661 12.90 195,192 6.996 355.40 611 84.4 85.01 - 90.00 ............ 186,088,562 943 18.61 197,337 6.969 355.59 629 89.6 90.01 - 95.00 ............ 58,083,786 281 5.81 206,704 7.076 355.48 654 94.6 95.01 - 100.00 ........... 16,583,504 146 1.66 113,586 8.398 323.97 662 99.9 ------------ ----- ------ -------- ------ ------ --- ------ Total .................... $999,999,488 5,219 100.00% $191,607 6.805 353.00 621 78.8% ============ ===== ====== ======== ====== ====== === ======
- -------- * The weighted average original Loan-to-Value Ratio at origination of the Mortgage Loans as of the Cut-off Date was approximately 78.78%. -36- State Distribution of the Mortgaged Properties for the Mortgage Loans
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value State Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ Alabama .................. $ 3,964,827 36 0.40% $110,134 7.441 356.42 623 86.7% Alaska ................... 513,339 2 0.05 256,670 6.480 354.54 628 80.0 Arizona .................. 16,828,206 133 1.68 126,528 6.510 349.05 634 82.3 Arkansas ................. 1,321,086 13 0.13 101,622 7.597 349.17 643 87.6 California ............... 499,120,628 1,984 49.91 251,573 6.613 353.44 624 76.8 Colorado ................. 5,360,134 33 0.54 162,428 6.364 354.98 633 79.7 Connecticut .............. 10,650,955 56 1.07 190,196 7.062 356.00 617 80.2 Delaware ................. 1,858,366 15 0.19 123,891 7.390 343.13 593 85.0 Florida .................. 56,734,426 380 5.67 149,301 6.995 351.37 613 80.5 Georgia .................. 14,806,362 112 1.48 132,200 7.301 355.58 614 82.7 Hawaii ................... 14,948,621 45 1.49 332,192 5.416 342.54 689 74.0 Idaho .................... 1,478,790 14 0.15 105,628 6.858 354.34 624 82.0 Illinois ................. 62,536,882 361 6.25 173,232 7.342 354.62 618 82.4 Indiana .................. 9,653,412 80 0.97 120,668 7.049 343.57 621 81.2 Iowa ..................... 1,611,188 15 0.16 107,413 6.895 351.05 612 79.9 Kansas ................... 4,071,510 35 0.41 116,329 7.174 356.05 634 84.5 Kentucky ................. 3,738,250 38 0.37 98,375 6.644 347.81 618 80.9 Louisiana ................ 4,347,618 41 0.43 106,039 7.093 351.27 623 82.4 Maine .................... 815,464 6 0.08 135,911 6.482 340.88 619 75.7 Maryland ................. 29,108,458 149 2.91 195,359 7.008 355.45 614 80.7 Massachusetts ............ 10,296,003 44 1.03 234,000 6.604 349.06 611 74.6 Michigan ................. 20,573,116 160 2.06 128,582 7.290 353.36 616 81.7 Minnesota ................ 14,249,298 94 1.42 151,588 6.642 356.06 636 81.8 Mississippi .............. 2,670,923 23 0.27 116,127 6.894 356.84 616 82.4 Missouri ................. 12,302,842 110 1.23 111,844 7.210 354.46 612 83.0 Montana .................. 989,663 5 0.10 197,933 7.425 358.12 608 83.6 Nebraska ................. 1,340,190 15 0.13 89,346 7.047 355.59 610 83.7 Nevada ................... 24,761,534 121 2.48 204,641 7.229 354.01 602 78.5 New Hampshire ............ 1,026,788 6 0.10 171,131 7.011 356.85 582 80.9 New Jersey ............... 11,235,738 52 1.12 216,072 7.393 357.03 612 79.0 New Mexico ............... 2,728,629 17 0.27 160,508 7.849 352.37 600 83.2 New York ................. 39,889,629 164 3.99 243,229 6.836 349.85 619 78.1 North Carolina ........... 7,441,190 62 0.74 120,019 7.270 353.63 612 82.5 North Dakota ............. 105,673 1 0.01 105,673 8.940 351.00 586 85.0 Ohio ..................... 17,390,418 159 1.74 109,374 7.015 353.79 615 83.9 Oklahoma ................. 1,072,006 13 0.11 82,462 7.648 329.88 588 81.2 Oregon ................... 7,974,247 43 0.80 185,448 6.417 354.95 621 79.1 Pennsylvania ............. 13,262,141 105 1.33 126,306 7.226 352.64 599 80.6 Rhode Island ............. 4,171,558 26 0.42 160,445 7.022 351.35 601 75.2 South Carolina ........... 4,770,505 39 0.48 122,321 7.081 351.70 623 83.5 South Dakota ............. 265,312 2 0.03 132,656 7.506 353.68 585 76.7 Tennessee ................ 7,035,226 69 0.70 101,960 6.965 344.99 621 81.3 Texas .................... 6,617,506 57 0.66 116,097 6.772 343.52 619 79.2 Utah ..................... 1,603,367 9 0.16 178,152 6.204 355.73 653 75.0 Virginia ................. 23,214,354 140 2.32 165,817 6.990 356.22 607 80.6 Washington ............... 8,116,242 40 0.81 202,906 6.706 352.86 610 84.0 West Virginia ............ 1,353,425 13 0.14 104,110 7.490 353.44 595 85.0 Wisconsin ................ 9,613,090 79 0.96 121,685 7.248 355.47 617 81.8 Wyoming .................. 460,352 3 0.05 153,451 5.800 356.45 641 86.8 ------------ ----- ------ -------- ------ ------ --- ------ Total .................... $999,999,488 5,219 100.00% $191,607 6.805 353.00 621 78.8% ============ ===== ====== ======== ====== ====== === ======
-37- Credit Bureau Risk Scores(1) for the Mortgage Loans*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Range of Credit Bureau Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Risk Scores Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 801 - 820 ................ $ 349,495 3 0.03% $116,498 5.766 356.07 812 59.1% 781 - 800 ................ 6,324,623 28 0.63 225,879 5.820 346.96 791 76.3 761 - 780 ................ 12,533,688 56 1.25 223,816 5.974 346.76 772 75.5 741 - 760 ................ 20,290,841 92 2.03 220,553 5.941 351.61 752 76.1 721 - 740 ................ 21,903,559 102 2.19 214,741 6.158 351.88 729 79.1 701 - 720 ................ 32,196,354 159 3.22 202,493 6.373 347.21 710 80.2 681 - 700 ................ 58,111,633 270 5.81 215,228 6.214 350.49 690 79.5 661 - 680 ................ 81,437,639 379 8.14 214,875 6.395 353.00 670 80.8 641 - 660 ................ 118,328,899 603 11.83 196,234 6.446 352.32 650 81.7 621 - 640 ................ 146,424,423 757 14.64 193,427 6.500 352.45 630 81.1 601 - 620 ................ 143,077,944 759 14.31 188,508 6.680 353.57 610 79.8 581 - 600 ................ 104,573,651 545 10.46 191,878 6.852 353.96 590 78.3 561 - 580 ................ 85,831,097 492 8.58 174,453 7.253 353.66 571 78.9 541 - 560 ................ 67,407,664 377 6.74 178,800 7.542 354.40 551 74.6 521 - 540 ................ 52,535,807 320 5.25 164,174 8.084 356.33 531 73.6 501 - 520 ................ 46,967,591 264 4.70 177,908 8.317 356.22 511 71.0 <= 500 ................... 1,704,580 13 0.17 131,122 8.986 356.54 497 70.7 ------------ ----- ------ -------- ------ ------ --- ------ Total .................... $999,999,488 5,219 100.00% $191,607 6.805 353.00 621 78.8% ============ ===== ====== ======== ====== ====== === ======
- ----------- (1) The Credit Bureau Risk Scores referenced in this table with respect to substantially all of the Mortgage Loans were obtained by the respective originators from one or more credit reporting agencies, and were determined at the time of origination. * The weighted average Credit Bureau Risk Score of the Mortgage Loans as of the Cut-off Date was approximately 621. Gross Margins for the Adjustable Rate Mortgage Loans*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Range of Gross Margins (%) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 3.001 - 4.000 ............ $ 266,339 1 0.03% $266,339 4.875 355.00 751 80.0% 4.001 - 5.000 ............ 33,081,516 145 4.29 228,148 5.743 354.49 629 77.9 5.001 - 6.000 ............ 417,045,753 1,998 54.11 208,732 6.602 357.07 629 81.1 6.001 - 7.000 ............ 251,590,150 1,404 32.64 179,195 7.453 356.84 587 78.3 7.001 - 8.000 ............ 54,158,549 430 7.03 125,950 7.603 354.92 594 81.9 8.001 - 9.000 ............ 13,079,262 113 1.70 115,746 8.520 354.61 577 80.3 9.001 - 10.000 ........... 1,573,896 18 0.20 87,439 9.412 354.55 564 77.5 ------------ ----- ------ -------- ------ ------ --- ------ Total .................... $770,795,464 4,109 100.00% $187,587 6.951 356.69 612 80.1% ============ ===== ====== ======== ====== ====== === ======
- -------- * The weighted average Gross Margin of the Adjustable Rate Mortgage Loans as of the Cut-off Date was approximately 6.246%. -38- Next Adjustment Date for the Adjustable Rate Mortgage Loans*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Next Adjustment Date Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 5-Feb .................... $ 6,502,534 24 0.84% $270,939 6.677 358.00 614 82.2% 5-Mar .................... 2,210,728 7 0.29 315,818 6.381 359.00 634 83.0 5-Aug .................... 17,586,576 70 2.28 251,237 6.807 358.00 626 85.0 5-Sep .................... 8,003,923 30 1.04 266,797 6.831 358.31 609 80.8 5-Oct .................... 64,412 1 0.01 64,412 7.600 348.00 543 72.2 5-Nov .................... 551,075 5 0.07 110,215 7.377 349.87 595 83.0 5-Dec .................... 4,585,982 32 0.59 143,312 7.342 350.61 589 81.8 6-Jan .................... 7,707,786 38 1.00 202,836 6.492 351.19 609 80.8 6-Feb .................... 13,405,057 70 1.74 191,501 6.818 352.26 612 81.4 6-Mar .................... 16,196,854 100 2.10 161,969 7.096 353.56 594 80.3 6-Apr .................... 51,502,017 282 6.68 182,631 6.854 354.34 601 79.9 6-May .................... 61,337,407 379 7.96 161,840 7.102 355.30 585 78.7 6-Jun .................... 47,858,333 285 6.21 167,924 7.020 356.02 615 79.8 6-Jul .................... 44,634,559 222 5.79 201,057 7.054 357.00 614 81.1 6-Aug .................... 258,491,137 1,231 33.54 209,985 7.249 358.00 607 79.5 6-Sep .................... 77,277,115 378 10.03 204,437 7.150 359.00 612 80.6 6-Oct .................... 407,633 5 0.05 81,527 7.259 349.00 606 84.4 6-Dec .................... 587,789 6 0.08 97,965 7.716 350.32 588 83.9 7-Jan .................... 686,497 5 0.09 137,299 6.598 351.59 670 81.5 7-Feb .................... 2,649,471 16 0.34 165,592 6.100 352.61 629 84.1 7-Mar .................... 6,706,313 45 0.87 149,029 6.208 353.52 635 81.7 7-Apr .................... 29,677,352 211 3.85 140,651 6.236 354.52 632 80.6 7-May .................... 57,867,890 380 7.51 152,284 6.214 355.47 635 81.0 7-Jun .................... 25,281,978 157 3.28 161,032 6.250 356.03 627 80.1 7-Jul .................... 1,959,420 9 0.25 217,713 6.952 357.00 639 80.4 7-Aug .................... 12,810,980 57 1.66 224,754 6.622 358.00 636 78.5 7-Sep .................... 3,650,815 17 0.47 214,754 6.904 359.00 621 84.6 9-Jan .................... 354,601 2 0.05 177,300 5.908 351.00 657 71.2 9-Apr .................... 1,226,504 5 0.16 245,301 6.218 354.00 625 83.2 9-May .................... 206,952 1 0.03 206,952 5.990 355.00 598 78.5 9-Jul .................... 373,754 1 0.05 373,754 5.750 357.00 664 75.0 9-Aug .................... 6,780,272 30 0.88 226,009 6.667 358.00 635 74.1 9-Sep .................... 1,651,745 8 0.21 206,468 6.641 359.00 625 81.1 ------------ ----- ------ -------- ------ ------ --- ------ Total .................... $770,795,464 4,109 100.00% $187,587 6.951 356.69 612 80.1% ============ ===== ====== ======== ====== ====== === ======
- --------- * The weighted average number of months to next adjustment date for the Adjustable Rate Mortgage Loans as of the Cut-off Date is 23 months. -39- Maximum Mortgage Rates for the Adjustable Rate Mortgage Loans*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Range of Maximum Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Mortgage Rates (%) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 10.001 - 10.500 .......... $ 600,348 3 0.08% $200,116 4.500 355.31 655 72.4% 10.501 - 11.000 .......... 12,117,497 52 1.57 233,029 4.902 353.63 648 83.4 11.001 - 11.500 .......... 21,638,814 98 2.81 220,804 5.298 354.36 656 79.6 11.501 - 12.000 .......... 59,608,976 331 7.73 180,088 5.814 354.94 640 79.8 12.001 - 12.500 .......... 83,942,690 468 10.89 179,365 6.083 355.40 639 79.5 12.501 - 13.000 .......... 91,555,966 443 11.88 206,673 6.224 356.74 628 78.0 13.001 - 13.500 .......... 106,148,036 553 13.77 191,949 6.628 357.01 622 78.2 13.501 - 14.000 .......... 134,108,596 687 17.40 195,209 7.015 357.22 614 81.5 14.001 - 14.500 .......... 78,546,017 418 10.19 187,909 7.410 357.27 604 82.3 14.501 - 15.000 .......... 88,958,597 482 11.54 184,561 7.865 357.48 585 82.4 15.001 - 15.500 .......... 40,587,800 236 5.27 171,982 8.320 357.58 569 80.4 15.501 - 16.000 .......... 29,335,904 183 3.81 160,305 8.790 357.48 560 81.2 16.001 - 16.500 .......... 9,440,430 64 1.22 147,507 9.248 357.25 539 77.5 16.501 - 17.000 .......... 8,119,929 48 1.05 169,165 9.821 357.23 521 71.3 17.001 - 17.500 .......... 2,499,783 18 0.32 138,877 10.279 357.14 526 68.9 17.501 - 18.000 .......... 2,293,163 15 0.30 152,878 10.757 357.01 519 69.2 18.001 - 18.500 .......... 800,157 6 0.10 133,359 11.227 357.29 533 66.4 18.501 - 19.000 .......... 492,760 4 0.06 123,190 11.781 358.40 523 71.6 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $770,795,464 4,109 100.00% $187,587 6.951 356.69 612 80.1% ============ ===== ====== ======== ====== ====== === ======
- ----------- * The weighted average Maximum Mortgage Rate for the Adjustable Rate Mortgage Loans as of the Cut-off Date was approximately 13.591% per annum. -40- Initial Periodic Rate Cap for the Adjustable Rate Mortgage Loans*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Initial Periodic Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Rate Cap (%) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 1.000 .................... $ 91,688 1 0.01% $ 91,688 8.500 358.00 660 90.0% 1.500 .................... 21,720,781 106 2.82 204,913 7.957 354.46 528 74.2 2.000 .................... 66,901,389 286 8.68 233,921 6.681 356.59 610 81.7 3.000 .................... 681,781,284 3,714 88.45 183,571 6.945 356.77 614 80.1 4.000 .................... 232,721 1 0.03 232,721 6.350 354.00 632 95.0 5.000 .................... 67,601 1 0.01 67,601 8.275 351.00 537 80.0 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $770,795,464 4,109 100.00% $187,587 6.951 356.69 612 80.1% ============ ===== ====== ======== ====== ====== === ======
- ---------- * The weighted average Initial Periodic Rate Cap for the Adjustable Rate Mortgage Loans as of the Cut-off Date was approximately 2.871%. Subsequent Periodic Rate Cap for the Adjustable Rate Mortgage Loans*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Subsequent Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Periodic Rate Cap (%) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 1.000 .................... $291,832,128 1,838 37.86% $158,777 6.576 354.79 621 80.9% 1.500 .................... 80,924,406 362 10.50 223,548 7.239 356.61 587 79.2 2.000 .................... 398,038,930 1,909 51.64 208,507 7.167 358.09 610 79.7 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $770,795,464 4,109 100.00% $187,587 6.951 356.69 612 80.1% ============ ===== ====== ======== ====== ====== === ======
- -------- * The weighted average Subsequent Periodic Rate Cap for the Adjustable Rate Mortgage Loans as of the Cut-off Date was approximately 1.569%. -41- Minimum Mortgage Rates for the Adjustable Rate Mortgage Loans*
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Range of Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Minimum Mortgage Rates (%) Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 4.001 - 5.000 ............ $ 15,506,026 68 2.01% $228,030 4.936 354.03 649 80.5% 5.001 - 6.000 ............ 152,636,606 719 19.80 212,290 5.719 356.22 643 77.8 6.001 - 7.000 ............ 278,897,451 1,394 36.18 200,070 6.558 356.84 627 80.3 7.001 - 8.000 ............ 214,890,245 1,218 27.88 176,429 7.550 356.83 594 82.1 8.001 - 9.000 ............ 83,143,203 534 10.79 155,699 8.481 357.04 566 80.5 9.001 - 10.000 ........... 19,636,069 133 2.55 147,640 9.501 356.93 533 75.0 More than 10.000 ......... 6,085,863 43 0.79 141,532 10.705 357.21 524 68.9 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $770,795,464 4,109 100.00% $187,587 6.951 356.69 612 80.1% ============ ===== ====== ======== ====== ====== === ======
- -------- * The weighted average Minimum Mortgage Rate for the Adjustable Rate Mortgage Loans as of the Cut-off Date was approximately 6.944% per annum. Types of Mortgaged Properties for the Mortgage Loans
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Property Type Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ SFR ...................... $772,227,566 4,118 77.22% $187,525 6.791 352.71 619 78.8% PUD ...................... 91,339,162 409 9.13 223,323 6.757 353.06 619 79.2 CND ...................... 53,850,015 302 5.39 178,311 6.850 353.98 632 80.3 2 FAM .................... 49,233,664 240 4.92 205,140 7.069 355.31 625 78.1 3 FAM .................... 14,017,543 56 1.40 250,313 6.817 354.66 640 76.5 4 FAM .................... 11,971,565 40 1.20 299,289 6.606 354.62 669 74.8 CNDP ..................... 2,752,674 14 0.28 196,620 7.104 357.24 627 80.9 MNF ...................... 2,114,318 19 0.21 111,280 7.424 351.69 579 78.6 SFRA ..................... 2,086,107 16 0.21 130,382 6.518 354.39 631 81.3 APUD ..................... 234,971 3 0.02 78,324 6.530 354.45 581 80.3 TWN ...................... 171,902 2 0.02 85,951 7.229 356.00 658 81.5 ------------ ----- ------ -------- ------ ------ --- ------ Total .................... $999,999,488 5,219 100.00% $191,607 6.805 353.00 621 78.8% ============ ===== ====== ======== ====== ====== === ======
-42- Occupancy Types for the Mortgage Loans (1)
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Occupancy Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ Owner Occupied ........... $956,641,200 4,927 95.66% $194,163 6.785 352.96 620 78.8% Investment ............... 39,651,516 269 3.97 147,403 7.300 353.92 644 78.2 Second Home .............. 3,706,771 23 0.37 161,164 6.626 355.25 648 81.4 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $999,999,488 5,219 100.00% $191,607 6.805 353.00 621 78.8% ============ ===== ====== ======== ====== ====== === ======
- --------- (1) Based on representations by the Mortgagors at the time of origination of the Mortgage Loans. Loan Purposes for the Mortgage Loans
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Loan Purpose Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ Refinance - Cash Out ..... $674,703,969 3,379 67.47% $199,676 6.833 353.28 612 77.3% Purchase ................. 213,949,526 1,219 21.39 175,512 6.769 353.70 648 83.7 Refinance - No Cash Out .. 111,345,993 621 11.13 179,301 6.704 349.97 625 78.6 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $999,999,488 5,219 100.00% $191,607 6.805 353.00 621 78.8% ============ ===== ====== ======== ====== ====== === ======
Credit Grade Categories for the Mortgage Loans
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Credit Grade Category Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ A ........................ $839,595,168 4,280 83.96% $196,167 6.644 352.86 631 79.8% A- ....................... 32,053,748 172 3.21 186,359 7.430 353.29 575 77.7 B ........................ 71,920,151 422 7.19 170,427 7.326 353.13 578 75.4 C ........................ 41,396,794 255 4.14 162,340 7.996 354.91 554 69.9 C- ....................... 3,881,838 22 0.39 176,447 8.919 354.92 547 68.6 D ........................ 11,151,788 68 1.12 163,997 8.608 354.59 551 67.1 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $999,999,488 5,219 100.00% $191,607 6.805 353.00 621 78.8% ============ ===== ====== ======== ====== ====== === ======
- --------- (1) Although the Mortgage Loans were originated by various originators under differing underwriting guidelines, the Mortgage Loans loosely correspond to the Countrywide Home Loans credit grades shown in this table. See "--Underwriting Guidelines" in this prospectus supplement. -43- Original Term for the Mortgage Loans
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Original Term Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ ARM 360 .................. $770,795,464 4,109 77.08% $187,587 6.951 356.69 612 80.1% Fixed 120 ................ 142,115 2 0.01 71,058 6.453 116.72 653 44.9 Fixed 180 ................ 11,707,729 84 1.17 139,378 6.367 175.38 646 69.1 Fixed 240 ................ 10,423,151 115 1.04 90,636 7.855 236.21 647 79.2 Fixed 360 ................ 206,931,029 909 20.69 227,647 6.233 355.39 652 74.4 ------------ ----- ------ -------- ------ ------ --- ------ Total .................... $999,999,488 5,219 100.00% $191,607 6.805 353.00 621 78.8% ============ ===== ====== ======== ====== ====== === ======
Loan Documentation Type for the Mortgage Loans
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Loan Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Documentation Type Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ FULL ..................... $572,530,182 3,255 57.25% $175,893 6.663 352.32 615 78.8% STATED INCOME ............ 427,187,518 1,963 42.72 217,620 6.995 353.92 629 78.7 NINA ..................... 281,789 1 0.03 281,789 6.875 351.00 625 80.0 ------------ ----- ------ -------- ------ ------ --- ------ Total/Weighted Average ... $999,999,488 5,219 100.00% $191,607 6.805 353.00 621 78.8% ============ ===== ====== ======== ====== ====== === ======
Original Prepayment Penalty Term for the Mortgage Loans
Weighted Percent of Average Weighted Aggregate Aggregate Weighted Remaining Average Principal Principal Average Average Term to Weighted Original Original Prepayment Balance Number Balance Principal Mortgage Maturity Average Loan-to-Value Penalty Term Outstanding of Loans Outstanding Balance Rate (months) Credit Score Ratio - ------------------------------------------------------------------------------------------------------------------------------------ 0 ........................ $166,795,982 944 16.68% $176,691 7.292 354.61 620 81.3% 6 ........................ 3,651,816 14 0.37 260,844 6.230 354.00 640 82.2 12 ....................... 77,959,125 316 7.80 246,706 6.775 353.71 615 77.9 23 ....................... 316,350 1 0.03 316,350 6.300 355.00 689 95.0 24 ....................... 430,174,316 2,195 43.02 195,979 7.034 356.43 605 79.4 35 ....................... 428,520 2 0.04 214,260 6.944 355.00 571 80.0 36 ....................... 317,959,121 1,736 31.80 183,156 6.260 347.33 643 76.8 60 ....................... 2,714,258 11 0.27 246,751 6.012 354.68 668 75.2 ------------ ----- ------ -------- ------ ------ --- ------ Total .................... $999,999,488 5,219 100.00% $191,607 6.805 353.00 621 78.8% ============ ===== ====== ======== ====== ====== === ======
-44- Range of Months to Roll for the Adjustable Rate Mortgage Loans
Weighted Weighted Percent of Average Average Aggregate Aggregate Weighted Remaining Weighted Original Weighted Principal Principal Average Average Term to Average Loan-to- Average Range of Balance Number Balance Principal Mortgage Maturity Credit Value Months Months to Roll Outstanding of Loans Outstanding Balance Rate (months) Score Ratio to Roll - ------------------------------------------------------------------------------------------------------------------------------------ 0 - 6 .................... $ 8,713,262 31 1.13% $281,073 6.602 358.25 619 82.4% 4 7 - 12 ................... 25,654,912 101 3.33 254,009 6.816 358.07 620 83.7 10 13 - 18 .................. 76,408,890 398 9.91 191,982 6.848 353.08 602 80.0 17 19 - 24 .................. 507,138,432 2,624 65.79 193,269 7.171 357.45 606 79.8 21 25 - 31 .................. 71,427,174 456 9.27 156,639 6.142 354.47 635 81.0 30 32 - 37 .................. 70,858,965 452 9.19 156,768 6.456 356.55 630 80.5 33 >= 38 .................... 10,593,829 47 1.37 225,401 6.540 357.36 634 76.3 57 ------------ ----- ------ -------- ------ ------ --- ---- Total .................... $770,795,464 4,109 100.00% $187,587 6.951 356.69 612 80.1% ============ ===== ====== ======== ====== ====== === ====
-45- -----END PRIVACY-ENHANCED MESSAGE-----