-----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, BI7XD9+3i49E9xZ8660c+j+ERYn/GZBpnm0GfMgsz0nsMo9k/IQk8BS2Z/PBDOx1 oxuQbZnqNHBkVZww4SL7CQ== 0000882377-04-001817.txt : 20040902 0000882377-04-001817.hdr.sgml : 20040902 20040902145223 ACCESSION NUMBER: 0000882377-04-001817 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20040901 ITEM INFORMATION: Completion of Acquisition or Disposition of Assets ITEM INFORMATION: Other Events ITEM INFORMATION: Financial Statements and Exhibits FILED AS OF DATE: 20040902 DATE AS OF CHANGE: 20040902 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIRST FRANKLIN MORTGAGE LOAN TRUST 2004-FFH2 CENTRAL INDEX KEY: 0001295855 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 333-111379-14 FILM NUMBER: 041013590 BUSINESS ADDRESS: STREET 1: 600 STEAMBOAT ROAD CITY: GREENWICH STATE: CT ZIP: 92618 BUSINESS PHONE: 2036252700 MAIL ADDRESS: STREET 1: 600 STEAMBOAT RD CITY: GREENWICH STATE: CT ZIP: 92618 8-K 1 d258996.txt FINANCIAL ASSET SECURITIES CORP UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 8-K CURRENT REPORT Pursuant to Section 13 OR 15(d) of The Securities Exchange Act of 1934 Date of Report (Date of earliest event reported): September 1, 2004 Financial Asset Securities Corp. (Exact name of registrant as specified in its charter) Delaware 333-111379 06-1442101 (State or other jurisdiction (Commission (IRS Employer of incorporation) File Number) Identification No.) 600 Steamboat Road, Greenwich, Connecticut 06830 (Address of principal executive offices) (Zip Code) Registrant's telephone number, including area code (203) 625-2700 (Former name or former address, if changed since last report.) 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 under the Exchange Act (17 CFR 240.14a-12) [ ] 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- SECTION 2 - COMPLETION OF ACQUISITION OR DISPOSITION OF ASSETS ITEM 2.01 COMPLETION OF ACQUISITION OR DISPOSITION OF ASSETS On June 29, 2004, a single series of certificates, entitled First Franklin Mortgage Loan Trust 2004- FFH2, Asset-Backed Certificates, Series 2004-FFH2 (the "Certificates"), were issued pursuant to a pooling and servicing agreement, dated as of June 1, 2004 (the "Agreement"), among Financial Asset Securities Corp. (the "Depositor"), Saxon Mortgage Services, Inc., as servicer ("Saxon") and Wells Fargo Bank, N.A. (the "Trustee"). On August 27, 2004, following the closing of the initial issuance of the Certificates, the Trustee purchased from the Depositor certain Subsequent Mortgage Loans, as defined in the Agreement, with an aggregate Stated Principal Balance equal to $250,000,000.08 with funds on deposit in the pre-funding accounts (the "Group I Pre-Funding Account" and the "Group II Pre-Funding Account"; together the "Pre- Funding Accounts") established pursuant to the Agreement at a purchase price equal to the Stated Principal Balance thereof, which Subsequent Mortgage Loans were conveyed to the Trustee pursuant to a Subsequent Transfer Instrument, dated August 27, 2004 (the "Instrument"), between the Depositor and the Trustee. Attached to the Instrument is the Mortgage Loan Schedule listing the Subsequent Mortgage Loans that are the subject of such Instrument. SECTION 8 - OTHER EVENTS ITEM 8.01. OTHER EVENTS Description of the Mortgage Pool The Certificates, issued pursuant to the Agreement, evidence in the aggregate the entire beneficial ownership interest in a trust fund (the "Trust Fund"), consisting primarily of a segregated pool (the "Mortgage Pool") of conventional, one- to four- family, first lien, adjustable-rate and fixed-rate mortgage loans having original terms to maturity of not greater than 30 years (the "Mortgage Loans"). After the Subsequent Transfer Date, the Trust Fund primarily consisted of the Mortgage Pool, which consisted of Group I Mortgage Loans having an aggregate Stated Principal Balance of approximately $977,835,723, and Group II Mortgage Loans having an aggregate Stated Principal Balance of approximately $222,164,277. The tables attached as an exhibit hereto describe certain characteristics of the Mortgage Pool as of the respective applicable Subsequent Cut-off Date. -3- SECTION 9 - FINANCIAL STATEMENTS AND EXHIBITS ITEM 9.01 FINANCIAL STATEMENTS AND EXHIBITS (a) Not applicable (b) Not applicable (c) Exhibits -4- Exhibit No. Description - ----------- ----------- 4.2 Subsequent Transfer Instrument, dated as August 27, 2004 between Financial Asset Securities Corp. as seller and Wells Fargo Bank, N.A., as trustee. 99.1 Characteristics of the Mortgage Pool as of the Subsequent Cut-off Date relating to First Franklin Mortgage Loan Trust 2004-FFH2, Asset-Backed Certificates, Series 2004-FFH2. -5- SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf the undersigned thereunto duly authorized. Dated: September 2, 2004 FINANCIAL ASSET SECURITIES CORP. By: /s/ Frank Skibo ----------------------------- Name: Frank Skibo Title: Senior Vice President -6- Index to Exhibits -----------------
Sequentially Exhibit No. Description Numbered Page - ----------- ----------- ------------- 4.2 Subsequent Transfer Instrument, dated as August 27, 2004, between Financial Asset Securities Corp. as seller and Wells Fargo Bank, N.A. as trustee. 99.1 Characteristics of the Mortgage Pool as of the Subsequent Cut-off Date, relating to First Franklin Mortgage Loan Trust 2004-FFH2, Asset-Backed Certificates, Series 2004-FFH2.
EX-4.2 2 d258996_ex4-2.txt SUBSEQUENT TRANSFER INSTRUMENT EXHIBIT 4.2 SUBSEQUENT TRANSFER INSTRUMENT Pursuant to this Subsequent Transfer Instrument, dated August 27, 2004 (the "Instrument"), between Financial Asset Securities Corp. as seller (the "Depositor"), and Wells Fargo Bank, N.A. as trustee (the "Trustee") of the First Franklin Mortgage Loan Trust 2004-FFH2, Asset-Backed Certificates, Series 2004-FFH2 and pursuant to the Pooling and Servicing Agreement, dated as of June 1, 2004 (the "Pooling and Servicing Agreement"), among the Depositor, Saxon Mortgage Services, Inc. as servicer and the Trustee, the Depositor and the Trustee agree to the sale by the Depositor and the purchase by the Trustee in trust, on behalf of the Trust, of the Mortgage Loans listed on the attached Schedule of Mortgage Loans (the "Subsequent Mortgage Loans"). Capitalized terms used but not otherwise defined herein shall have the meanings set forth in the Pooling and Servicing Agreement. Section 1. CONVEYANCE OF SUBSEQUENT MORTGAGE LOANS. (a) The Depositor does hereby sell, transfer, assign, set over and convey to the Trustee in trust, on behalf of the Trust, without recourse, all of its right, title and interest in and to the Subsequent Mortgage Loans, and including all amounts due on the Subsequent Mortgage Loans after the related Subsequent Cut-off Date, and all items with respect to the Subsequent Mortgage Loans to be delivered pursuant to Section 2.01 of the Pooling and Servicing Agreement; provided, however that the Depositor reserves and retains all right, title and interest in and to amounts due on the Subsequent Mortgage Loans on or prior to the related Subsequent Cut-off Date. The Depositor, contemporaneously with the delivery of this Agreement, has delivered or caused to be delivered to the Trustee each item set forth in Section 2.01 of the Pooling and Servicing Agreement. The transfer to the Trustee by the Depositor of the Subsequent Mortgage Loans identified on the Mortgage Loan Schedule shall be absolute and is intended by the Depositor, the Servicer, the Trustee and the Certificateholders to constitute and to be treated as a sale by the Depositor to the Trust Fund. (b) The Depositor, concurrently with the execution and delivery hereof, does hereby transfer, assign, set over and otherwise convey to the Trustee without recourse for the benefit of the Certificateholders all the right, title and interest of the Depositor, in, to and under the Subsequent Mortgage Loan Purchase Agreement, dated the date hereof, between the Depositor as purchaser and the Servicer as seller, to the extent of the Subsequent Mortgage Loans. (c) Additional terms of the sale are set forth on Attachment A hereto. Section 2. REPRESENTATIONS AND WARRANTIES; CONDITIONS PRECEDENT. (a) The Depositor hereby confirms that each of the conditions and the representations and warranties set forth in Section 2.08 of the Pooling and Servicing Agreement are satisfied as of the date hereof. (b) All terms and conditions of the Pooling and Servicing Agreement are hereby ratified and confirmed; provided, however, that in the event of any conflict, the provisions of this Instrument shall control over the conflicting provisions of the Pooling and Servicing Agreement. Section 3. RECORDATION OF INSTRUMENT. To the extent permitted by applicable law, this Instrument, or a memorandum thereof if permitted under applicable law, is subject to recordation in all appropriate public offices for real property records in all of the counties or other comparable jurisdictions in which any or all of the properties subject to the Mortgages are situated, and in any other appropriate public recording office or elsewhere, such recordation to be effected by the Servicer at the Certificateholders' expense on direction of the related Certificateholders, but only when accompanied by an Opinion of Counsel to the effect that such recordation materially and beneficially affects the interests of the Certificateholders or is necessary for the administration or servicing of the Mortgage Loans. Section 4. GOVERNING LAW. This Instrument shall be construed in accordance with the laws of the State of New York and the obligations, rights and remedies of the parties hereunder shall be determined in accordance with such laws, without giving effect to principles of conflicts of law. Section 5. COUNTERPARTS. This Instrument may be executed in one or more counterparts and by the different parties hereto on separate counterparts, each of which, when so executed, shall be deemed to be an original; such counterparts, together, shall constitute one and the same instrument. Section 6. SUCCESSORS AND ASSIGNS. This Instrument shall inure to the benefit of and be binding upon the Depositor and the Trustee and their respective successors and assigns. FINANCIAL ASSET SECURITIES CORP. By: /s/ Frank Skibo -------------------------------- Name: Frank Skibo Title: Senior Vice President WELLS FARGO BANK, N.A., as Trustee for First Franklin Mortgage Loan Trust 2004-FFH2, Asset-Backed Certificates, Series 2004-FFH2 By: /s/ Amy Doyle -------------------------------- Name: Amy Doyle Title: Vice President ATTACHMENTS A. Additional terms of sale. B. Schedule of Subsequent Mortgage Loans. ATTACHMENT A ------------ ADDITIONAL TERMS OF SALE A. General 1. Subsequent Cut-off Date: August 1, 2004 2. Subsequent Transfer Date: August 27, 2004 3. Aggregate Stated Principal Balance of the Subsequent Mortgage Loans as of the Subsequent Cut-off Date: $250,000,000.08 4. Purchase Price: 100.00% B. The obligation of the Trust Fund to purchase a Subsequent Mortgage Loan on any Subsequent Transfer Date is subject to the satisfaction of the conditions set forth in the immediately preceding paragraph and the accuracy of the following representations and warranties with respect to each such Subsequent Mortgage Loan determined as of the applicable Subsequent Cut-off Date: (i) the Subsequent Mortgage Loan may not be 30 or more days delinquent as of the last day of the calendar month preceding the Subsequent Cut-off Date; (ii) the original term to stated maturity of the Subsequent Mortgage Loan will not be less than 180 months and will not exceed 360 months; (iii) the Subsequent Mortgage Loan may not provide for negative amortization; (iv) the Subsequent Mortgage Loan will not have a loan-to-value ratio greater than 100.00%; (v) such Subsequent Mortgage Loans will have, as of the Subsequent Cut-off Date, a weighted average term since origination not in excess of 2 months; (vi) the Subsequent Mortgage Loan, if a fixed-rate Subsequent Mortgage Loan, will have a Mortgage Rate that is not less than approximately 6.000% per annum or greater than approximately 10.500% per annum; (vii) each of the Subsequent Mortgage Loans will have a first payment date occurring on or before September 1, 2004 and will include 30 days' interest thereon; (viii) if the Subsequent Mortgage Loan is an adjustable-rate Subsequent Mortgage Loan, the Subsequent Mortgage Loan will have a Gross Margin not less than approximately 3.000% per annum, will have a Maximum Mortgage Rate not less than approximately 9.5% per annum and will have a Minimum Mortgage Rate not less than approximately 4.75% per annum and (ix) the Subsequent Mortgage Loan will have been underwritten in accordance with the criteria set forth under "First Franklin Financial Corporation--Underwriting Standards" in the Prospectus Supplement. C. Following the purchase of any Subsequent Group I Mortgage Loan by the Trust, the Group I Mortgage Loans (including such Subsequent Group I Mortgage Loans) will: (i) will have a weighted average original term to stated maturity of not more than 360 months; (ii) will have a weighted average Mortgage Rate of not less than 7.000% per annum and not more than 7.500% per annum; (iii) will have a weighted average loan-to-value ratio of not more than 100.00%; (iv) will have no Mortgage Loan with a Principal Balance in excess of $1,000,000; (v) will consist of Mortgage Loans with prepayment charges representing no less than approximately 77.00% of the Group I Mortgage Loans and (vi) have no more than 8.25% of fixed-rate Group I Mortgage Loans. In addition, the adjustable-rate Group I Mortgage Loans will have a weighted average Gross Margin not less than 5.750% per annum. For purposes of the calculations described in this paragraph, percentages of the Group I Mortgage Loans will be based on the Principal Balance of the Closing Date Group I Mortgage Loans as of the Cut-off Date and the Principal Balance of the Subsequent Group I Mortgage Loans as of the related Subsequent Cut-off Date. D. Following the purchase of any Subsequent Group II Mortgage Loan by the Trust, the Group II Mortgage Loans (including such Subsequent Group II Mortgage Loans) will: (i) will have a weighted average original term to stated maturity of not more than 360 months; (ii) will have a weighted average Mortgage Rate of not less than 6.750% per annum and not more than 7.500% per annum; (iii) will have a weighted average loan-to-value ratio of not more than 100.00%; (iv) will have no Mortgage Loan with a Principal Balance in excess of $1,000,000; (v) will consist of Mortgage Loans with prepayment charges representing no less than approximately 75.00% of the Group II Mortgage Loans and (vi) have no more than 6.00% of fixed-rate Group II Mortgage Loans. In addition, the adjustable-rate Group II Mortgage Loans will have a weighted average Gross Margin not less than 5.250% per annum. For purposes of the calculations described in this paragraph, percentages of the Group II Mortgage Loans will be based on the Principal Balance of the Closing Date Group II Mortgage Loans as of the Cut-off Date and the Principal Balance of the Subsequent Group II Mortgage Loans as of the related Subsequent Cut-off Date. E. Notwithstanding the foregoing, any Subsequent Mortgage Loan may be rejected by any Rating Agency if the inclusion of any such Subsequent Mortgage Loan would adversely affect the ratings of any Class of Certificates. At least one Business Day prior to the Subsequent Transfer Date, each Rating Agency shall notify the Trustee as to which Subsequent Mortgage Loans, if any, shall not be included in the transfer on the Subsequent Transfer Date; provided, however, that the Seller shall have delivered to each Rating Agency at least three Business Days prior to such Subsequent Transfer Date a computer file acceptable to each Rating Agency describing the characteristics specified in paragraphs (c) and (d) above. ATTACHMENT B ------------ FILED BY PAPER ATTACHMENT C ------------ AVAILABLE UPON REQUEST EX-99.1 3 d258996_ex99-1.txt CHARACTERISTICS OF THE MORTGAGE POOL EXHIBIT 99.1 ------------ Unless otherwise noted, all statistical percentages or weighted averages set forth below are measured as a percentage of the aggregate Principal Balance of the Mortgage Loans in the related Loan Group or in the Mortgage Pool as of the Cut-off Date and the Subsequent Mortgage Loans in the related Loan Group or in the Mortgage Pool as of the Subsequent Cut-off Date. The Mortgage Loans consist of approximately 7,875 Mortgage Loans with a Cut-off Date Principal Balance of approximately $1,200,000,000.01. The Group I Mortgage Loans consist of approximately 6,891 Mortgage Loans with a Cut-off Date Principal Balance of approximately $977,835,723.31. The Group II Mortgage Loans consist of approximately 984 Mortgage Loans with a Cut-off Date Principal Balance of approximately $222,164,276.70. All of the Mortgage Loans will be secured by first mortgages or deeds of trust or other similar security instruments (each, a "Mortgage"). The Mortgages create first liens on one- to four-family residential properties consisting of attached or detached one- to four-family dwelling units and individual condominium units (each, a "Mortgaged Property"). Each Mortgage Loan will accrue interest at the adjustable-rate or fixed-rate calculated as specified under the terms of the related mortgage note (each such rate, a "Mortgage Rate"). Approximately 91.76% of the Group I Mortgage Loans are Adjustable-Rate Mortgage Loans (the "Adjustable-Rate Group I Mortgage Loans") and approximately 8.24% of the Group I Mortgage Loans are fixed-rate Mortgage Loans (the "Fixed-Rate Group I Mortgage Loans"). Approximately 95.88% of the Group II Mortgage Loans are Adjustable-Rate Mortgage Loans (the "Adjustable-Rate Group II Mortgage Loans") and approximately 4.12% of the Group II Mortgage Loans are fixed-rate Mortgage Loans (the "Fixed-Rate Group II Mortgage Loans"). Approximately 92.52% of the Mortgage Loans are Adjustable-Rate Mortgage Loans (the "Adjustable-Rate Mortgage Loans") and approximately 7.48% of the Mortgage Loans are fixed-rate Mortgage Loans (the "Fixed-Rate Mortgage Loans"). Each fixed-rate Mortgage Loan has a Mortgage Rate that is fixed for the life of such Mortgage Loan. Substantially all of the adjustable-rate Mortgage Loans accrue interest at a Mortgage Rate that is adjustable following an initial period of one year, two years, three years or five years following origination. Generally, the adjustable-rate Mortgage Loans provide for semi-annual adjustment to the Mortgage Rate thereon and for corresponding adjustments to the monthly payment amount due thereon, in each case on each adjustment date applicable thereto (each such date, an "Adjustment Date"); provided, that (i) the first adjustment of the rates for approximately 0.13% of the Adjustable-Rate Group I Mortgage Loans and approximately 0.44% of the Adjustable-Rate Group II Mortgage Loans (in each case, by aggregate Principal Balance of the Adjustable-Rate Mortgage Loans in the related Loan Group as of the Cut-off Date) and approximately 0.19% of the Adjustable-Rate Mortgage Loans (by aggregate Principal Balance of the Adjustable-Rate Mortgage Loans as of the Cut-off Date), will not occur until one year after the date of origination, (ii)the first adjustment of the rates for approximately 88.88% of the Adjustable-Rate Group I Mortgage Loans and approximately 87.28% of the Adjustable-Rate Group II Mortgage Loans (in each case, by aggregate Principal Balance of the Adjustable-Rate Mortgage Loans in the related Loan Group as of the Cut-off Date) and approximately 88.57% of the Adjustable-Rate Mortgage Loans (by aggregate Principal Balance of the Adjustable-Rate Mortgage Loans as of the Cut-off Date), will not occur until two years after the date of origination, (iii) the first adjustment of the rates for approximately 7.18% of the Adjustable-Rate Group I Mortgage Loans and approximately 7.62% of the Adjustable-Rate Group II Mortgage Loans (in each case, by aggregate Principal Balance of the Adjustable-Rate Mortgage Loans in the related Loan Group as of the Cut-off Date) and approximately 7.26% of the Adjustable-Rate Mortgage Loans (by aggregate Principal Balance of the Adjustable-Rate Mortgage Loans as of the Cut-off Date), will not occur until three years after the date of origination and (iv) the first adjustment of the rates for approximately 3.68% of the Adjustable- Rate Group I Mortgage Loans and approximately 4.66% of the Adjustable-Rate Group II Mortgage Loans (in each case, by aggregate Principal Balance of the Adjustable-Rate Mortgage Loans in the related Loan Group as of the Cut-off Date) and approximately 3.87% of the Adjustable-Rate Mortgage Loans (by aggregate Principal Balance of the Adjustable-Rate Mortgage Loans as of the Cut-off Date), will not occur until five years after the date of origination (each such Adjustable- Rate Mortgage Loan, a "Delayed First Adjustment Mortgage Loan"). On each Adjustment Date for each adjustable-rate Mortgage Loan, the Mortgage Rate thereon will be adjusted to equal the sum, rounded to the nearest or next highest multiple of 0.125%, of Six-Month LIBOR (as defined below) and a fixed percentage amount (the "Gross Margin"). The Mortgage Rate on any adjustable-rate Mortgage Loan will not decrease on the first related Adjustment Date, will not increase by more than a stated percentage (up to 3.000% per annum, as specified in the related mortgage note) on the first related Adjustment Date (the "Initial Periodic Rate Cap") and will not increase or decrease by more than a stated percentage (1.000% per annum, as specified in the related mortgage note) on any Adjustment Date thereafter (the "Periodic Rate Cap"). The Adjustable-Rate Group I Mortgage Loans have a weighted average Initial Periodic Rate Cap of approximately 2.996% per annum and a weighted average Periodic Rate Cap of approximately 1.000% per annum thereafter. The Adjustable-Rate Group II Mortgage Loans have a weighted average Initial Periodic Rate Cap of approximately 2.996% per annum and a weighted average Periodic Rate Cap of approximately 1.000% per annum thereafter. The Adjustable-Rate Mortgage Loans have a weighted average Initial Periodic Rate Cap of approximately 2.996% per annum and a weighted average Periodic Rate Cap of approximately 1.000% per annum thereafter. Each Mortgage Rate on each adjustable-rate Mortgage Loan will not exceed a specified maximum Mortgage Rate over the life of such Mortgage Loan (the "Maximum Mortgage Rate") or be less than a specified minimum Mortgage Rate over the life of such Mortgage Loan (the "Minimum Mortgage Rate"). Effective with the first monthly payment due on each adjustable-rate Mortgage Loan after each related Adjustment Date, the monthly payment amount will be adjusted to an amount that will amortize fully the outstanding Principal Balance of the related adjustable-rate Mortgage Loan over its remaining term, and pay interest at the Mortgage Rate as so adjusted. Due to the application of the Periodic Rate Caps and the Maximum Mortgage Rates, the Mortgage Rate on each adjustable-rate Mortgage Loan, as adjusted on any related Adjustment Date, may be less than the sum of the Index and the related Gross Margin, rounded as described in this prospectus supplement. None of the adjustable-rate Mortgage Loans will permit the related mortgagor to convert the adjustable Mortgage Rate thereon to a fixed Mortgage Rate. Approximately 31.65% of the Group I Mortgage Loans, approximately 50.75% of the Group II Mortgage Loans and approximately 35.19% of the Mortgage Loans (the "Interest Only Mortgage Loans") provide that for a period of 60 months after origination, the required monthly payments are limited to accrued interest (each, an "Interest Only Period"). At the end of the Interest Only Period, the monthly payments on each such Mortgage Loan will be recalculated to provide for amortization of the Principal Balance by the maturity date and payment of interest at the then-current Mortgage Rate. Approximately 79.29% of the Group I Mortgage Loans, approximately 77.39% of the Group II Mortgage Loans and approximately 78.94% of the Mortgage Loans provide for payment by the mortgagor of a prepayment charge in limited circumstances on certain prepayments. Generally, each such Mortgage Loan provides for payment of a prepayment charge on partial prepayments and prepayments in full made within a stated number of months that is between 12 and 48 months from the date of origination of such Mortgage Loan. The amount of the prepayment charge is provided in the related mortgage note and with respect to approximately 62.26% of the Mortgage Loans that have a prepayment charge, the prepayment charge is equal to six months' interest on any amounts prepaid in excess of 20% of the original Principal Balance of the related Mortgage Loan in any 12 month period. The holders of the Class P Certificates will be entitled to all prepayment charges received on the Mortgage Loans, and such amounts will not be available for distribution on the other classes of Certificates. Under certain circumstances, as described in the Pooling Agreement, the Servicer may waive the payment of any otherwise applicable prepayment charge. Investors should conduct their own analysis of the effect, if any, that the prepayment charges, and decisions by the Servicer with respect to the waiver thereof, may have on the prepayment performance of the Mortgage Loans. As of July 1, 2003, the Alternative Mortgage Parity Act of 1982 (the "Parity Act"), which regulates the ability of some originators to impose prepayment charges, was amended. The Depositor makes no representations as to the effect that the prepayment charges, decisions by the Servicer with respect to the waiver thereof and the recent amendment of the Parity Act, may have on the prepayment performance of the Mortgage Loans. However, the Office of Thrift Supervision's ruling does not retroactively affect loans originated before July 1, 2003. See "Material Legal Aspects of Mortgage Loans--Prepayment Charge; Late Fees" in the prospectus. MORTGAGE LOAN STATISTICS FOR ALL MORTGAGE LOANS The following statistical information, unless otherwise specified, is based upon percentages of the Principal Balances of the Mortgage Loans as of the Cut-off Date. Approximately 99.99% of the Mortgage Loans had loan-to-value ratios at origination in excess of 80.00%. No Mortgage Loan had a loan-to-value ratio at origination in excess of 100.00%. The weighted average loan-to-value ratio of the Mortgage Loans at origination was approximately 99.40%. There can be no assurance that the loan-to-value ratio of any Mortgage Loan determined at any time after origination is less than or equal to its original loan-to-value ratio. Additionally, the Originator's determination of the value of a Mortgaged Property used in the calculation of the original loan-to-value ratios of the Mortgage Loans may differ from the appraised value of such Mortgaged Property or the actual value of such Mortgaged Property at origination. See "Risk Factors--High Loan-to-Value Ratios Increase Risk of Loss." All of the Mortgage Loans have a scheduled payment due each month (the "Due Date") on the first day of the month. The weighted average remaining term to maturity of the Mortgage Loans was approximately 358 months as of the Cut-off Date. None of the Mortgage Loans had a first Due Date prior to June 2003 or after August 2004, or has a remaining term to maturity of less than 177 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any Mortgage Loan is July 2034. The average Principal Balance of the Mortgage Loans at origination was approximately $152,541. The average Cut-off Date Principal Balance of the Mortgage Loans was approximately $152,381. No Mortgage Loan had a Cut-off Date Principal Balance of greater than approximately $698,337 or less than approximately $27,461. As of the Cut-off Date, the Mortgage Loans had Mortgage Rates of not less than 5.125% per annum and not more than 10.125% per annum and the weighted average Mortgage Rate of the Mortgage Loans was approximately 7.268% per annum. As of the Cut-off Date, the Adjustable-Rate Mortgage Loans had Gross Margins ranging from 3.250% per annum to 8.375% per annum, Minimum Mortgage Rates ranging from 5.125% per annum to 9.875% per annum and Maximum Mortgage Rates ranging from 9.750% per annum to 15.875% per annum. As of the Cut-off Date, the weighted average Gross Margin of the Adjustable-Rate Mortgage Loans was approximately 5.979% per annum, the weighted average Minimum Mortgage Rate of the Adjustable-Rate Mortgage Loans was approximately 7.234% per annum and the weighted average Maximum Mortgage Rate of the Adjustable-Rate Mortgage Loans was approximately 13.233% per annum. The latest next Adjustment Date following the Cut-off Date on any Adjustable-Rate Mortgage Loan occurs in July 2009 and the weighted average time until the next Adjustment Date for all of the Adjustable-Rate Mortgage Loans is approximately 24 months. The Mortgage Loans are expected to have the following characteristics as of the Cut-off Date (the sum in any column may not equal the total indicated due to rounding):
CUT-OFF DATE PRINCIPAL BALANCES OF THE MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE PRINCIPAL BALANCE ($) MORTGAGE LOANS DATE CUT-OFF DATE --------------------- -------------- ---- ------------ 27,461 - 50,000......................... 198 $ 8,547,387.60 0.71% 50,001 -100,000......................... 2,077 164,426,556.74 13.70 100,001 -150,000......................... 2,446 306,659,311.59 25.55 150,001 -200,000......................... 1,592 274,698,925.74 22.89 200,001 -250,000......................... 676 151,319,632.93 12.61 250,001 -300,000......................... 400 109,809,387.94 9.15 300,001 -350,000......................... 216 70,157,974.41 5.85 350,001 -400,000......................... 124 46,387,322.95 3.87 400,001 -450,000......................... 72 30,559,618.75 2.55 450,001 -500,000......................... 47 22,286,441.34 1.86 500,001 -550,000......................... 17 8,964,941.95 0.75 550,001 -600,000......................... 5 2,919,487.40 0.24 600,001 -650,000......................... 4 2,564,673.90 0.21 650,001 -698,337......................... 1 698,336.77 0.06 ----- -------------------- ------ Total............... 7,875 $ 1,200,000,000.01 100.00% ===== ==================== ====== - ------------------ (1) The average Cut-off Date Principal Balance of the Mortgage Loans was approximately $152,380.95. CREDIT SCORES FOR THE MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE CREDIT SCORE MORTGAGE LOANS DATE CUT-OFF DATE ------------ -------------- ---- ------------ 558 -599................................. 5 $ 802,014.54 0.07% 600 -600................................. 129 18,824,508.69 1.57 601 -650................................. 4,593 647,557,804.16 53.96 651 -700................................. 2,252 368,274,556.25 30.69 701 -750................................. 708 129,792,985.20 10.82 751 -800................................. 180 33,211,333.45 2.77 801 -817................................. 8 1,536,797.72 0.13 ----- -------------------- ------ Total............... 7,875 $ 1,200,000,000.01 100.00% ===== ==================== ======
- -------------------- (1) The weighted average credit score of the Mortgage Loans that had credit scores was approximately 652.
ORIGINAL TERMS TO MATURITY OF THE MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE ORIGINAL TERM (MONTHS) MORTGAGE LOANS DATE CUT-OFF DATE ---------------------- -------------- ---- ------------ 180...................................... 28 $ 2,887,725.35 0.24% 240....................................... 1 97,811.64 0.01 360....................................... 7,846 1,197,014,463.02 99.75 ----- -------------------- ------ Total................................ 7,875 $ 1,200,000,000.01 100.00% ===== ==================== ====== - ------------------- (1) The weighted average original term to maturity of the Mortgage Loans was approximately 360 months. REMAINING TERMS TO MATURITY OF THE MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE REMAINING TERM (MONTHS) MORTGAGE LOANS DATE CUT-OFF DATE ----------------------- -------------- ---- ------------ 177 -178................................. 16 $ 1,478,969.96 0.12% 179 -180................................. 12 1,408,755.39 0.12 239 -240................................. 1 97,811.64 0.01 347 -348................................. 1 206,000.00 0.02 351 -352................................. 1 114,025.19 0.01 353 -354................................. 7 1,771,613.43 0.15 355 -356................................. 137 20,248,997.52 1.69 357 -358................................. 5,209 789,511,273.77 65.79 359 -360................................. 2,491 385,162,553.11 32.10 ----- -------------------- ------ Total............................... 7,875 $ 1,200,000,000.01 100.00% ===== ==================== ====== - ------------------- (1) The weighted average remaining term to maturity of the Mortgage Loans was approximately 358 months. PROPERTY TYPES OF THE MORTGAGE LOANS PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE PROPERTY TYPE MORTGAGE LOANS DATE CUT-OFF DATE ------------- -------------- ---- ------------ Single Family ............................ 5,942 $ 867,576,263.87 72.30% PUD(1).................................... 1,178 212,850,177.30 17.74 Condominium............................... 505 73,900,705.55 6.16 2 Units................................... 245 45,055,631.55 3.75 3 Units................................... 4 530,882.73 0.04 4 Units................................... 1 86,339.01 0.01 ----- -------------------- ------ Total............................... 7,875 $ 1,200,000,000.01 100.00% ===== ==================== ======
- ------------------ (1) PUD refers to a home or "unit" in a Planned Unit Development.
OCCUPANCY STATUS OF THE MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE OCCUPANCY STATUS MORTGAGE LOANS DATE CUT-OFF DATE ---------------- -------------- ---- ------------ Primary................................... 7,868 $ 1,199,007,412.56 99.92% Second Home............................... 5 665,130.93 0.06 Non-Owner................................. 2 327,456.52 0.03 ----- -------------------- ------ Total............... 7,875 $ 1,200,000,000.01 100.00% ===== ==================== ====== - ------------------ (1) Occupancy as represented by the mortgagor at the time of origination. PURPOSE OF THE MORTGAGE LOANS PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE PURPOSE MORTGAGE LOANS DATE CUT-OFF DATE ------- -------------- ---- ------------ Purchase.................................. 6,136 $ 910,121,994.30 75.84% Cash Out Refinance........................ 1,417 239,327,829.05 19.94 Rate/Term Refinance....................... 322 50,550,176.66 4.21 ----- -------------------- ------ Total............... 7,875 $ 1,200,000,000.01 100.00% ===== ==================== ====== COMBINED ORIGINAL LOAN-TO-VALUE RATIOS OF THE MORTGAGE LOANS(1)(2) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE COMBINED ORIGINAL LOAN-TO-VALUE RATIO (%) MORTGAGE LOANS DATE CUT-OFF DATE - ----------------------------------------- -------------- ---- ------------ 79.51- 80.00............................ 1 $ 73,048.99 0.01% 80.01- 85.00............................ 3 1,185,014.42 0.10 85.01- 90.00............................ 2 541,896.89 0.05 90.01- 95.00............................ 637 108,953,271.10 9.08 95.01- 100.00............................ 7,232 1,089,246,768.61 90.77 ----- -------------------- ------ Total............... 7,875 $ 1,200,000,000.01 100.00% ===== ==================== ======
- ------------------ (1) The weighted average combined original loan-to-value ratio of the Mortgage Loans as of the Cut-off Date was approximately 99.40%.
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES RELATED TO THE MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE LOCATION MORTGAGE LOANS DATE CUT-OFF DATE -------- -------------- ---- ------------ Alabama................................... 94 $ 10,067,732.69 0.84% Arizona................................... 130 19,102,941.78 1.59 Arkansas.................................. 36 4,953,425.79 0.41 California................................ 508 135,679,237.46 11.31 Colorado.................................. 115 24,276,845.93 2.02 Connecticut............................... 34 5,745,639.47 0.48 Delaware.................................. 15 2,029,203.76 0.17 District of Columbia...................... 7 1,421,081.44 0.12 Florida................................... 759 120,738,573.57 10.06 Georgia................................... 389 61,393,788.70 5.12 Idaho..................................... 17 1,898,751.72 0.16 Illinois.................................. 560 86,228,379.50 7.19 Indiana................................... 353 37,090,669.09 3.09 Iowa...................................... 57 4,761,593.40 0.40 Kansas.................................... 69 7,930,819.03 0.66 Kentucky.................................. 192 22,252,532.75 1.85 Louisiana................................. 69 7,763,573.32 0.65 Maine..................................... 31 4,408,267.77 0.37 Maryland.................................. 135 25,925,397.46 2.16 Massachusetts............................. 96 22,168,103.21 1.85 Michigan.................................. 550 79,035,989.32 6.59 Minnesota................................. 239 43,658,496.27 3.64 Missouri.................................. 181 20,926,779.75 1.74 Montana................................... 1 190,000.00 0.02 Nebraska.................................. 29 3,233,987.04 0.27 Nevada.................................... 118 22,801,070.33 1.90 New Hampshire............................. 28 5,504,923.84 0.46 New Jersey................................ 117 24,221,958.84 2.02 New Mexico................................ 34 4,053,268.85 0.34 New York.................................. 190 36,032,735.79 3.00 North Carolina ........................... 406 59,259,298.99 4.94 North Dakota.............................. 5 376,006.59 0.03 Ohio...................................... 782 92,011,019.72 7.67 Oklahoma.................................. 26 2,689,878.05 0.22 Oregon.................................... 94 16,207,994.77 1.35 Pennsylvania.............................. 224 24,984,268.30 2.08 Rhode Island.............................. 18 3,447,538.07 0.29 South Carolina............................ 198 24,091,778.42 2.01 South Dakota.............................. 8 1,023,307.30 0.09 Tennessee................................. 102 11,417,031.85 0.95 Texas..................................... 420 53,172,071.55 4.43 Utah...................................... 85 12,881,806.46 1.07 Vermont................................... 3 380,667.88 0.03 Virginia.................................. 104 17,200,973.85 1.43 Washington................................ 77 13,239,863.17 1.10 West Virginia............................. 8 791,251.71 0.07 Wisconsin................................. 161 21,248,562.01 1.77 Wyoming................................... 1 80,913.45 0.01 ----- -------------------- ------ Total............... 7,875 $ 1,200,000,000.01 100.00% ===== ==================== ======
- ------------------- (1) The greatest ZIP Code geographic concentration of Mortgage Loans was approximately 0.23% in the 92562 ZIP Code.
DOCUMENTATION LEVELS OF THE MORTGAGE LOANS PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE DOCUMENTATION LEVEL MORTGAGE LOANS DATE CUT-OFF DATE ------------------- -------------- ---- ------------ Full Documentation........................ 7,335 $ 1,094,142,097.13 91.18% No Income Verification.................... 353 66,919,485.60 5.58 Limited Income Verification............... 130 24,684,022.15 2.06 Stated Plus Documentation................. 57 14,254,395.13 1.19 ----- -------------------- ------ Total............... 7,875 $ 1,200,000,000.01 100.00% ===== ==================== ====== CURRENT MORTGAGE RATES OF THE MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE CURRENT MORTGAGE RATE (%) MORTGAGE LOANS DATE CUT-OFF DATE ------------------------- -------------- ---- ------------ 5.125 - 6.000.......................... 236 $ 48,276,708.24 4.02% 6.001 - 7.000.......................... 2,555 464,771,266.68 38.73 7.001 - 8.000.......................... 3,596 514,994,734.79 42.92 8.001 - 9.000.......................... 1,379 162,092,981.13 13.51 9.001 - 10.000.......................... 108 9,801,713.38 0.82 10.001 - 10.125.......................... 1 62,595.79 0.01 ----- -------------------- ------ Total............... 7,875 $ 1,200,000,000.01 100.00% ===== ==================== ====== - ------------------ (1) The weighted average current Mortgage Rate of the Mortgage Loans as of the Cut-off Date was approximately 7.268% per annum. GROSS MARGINS OF THE ADJUSTABLE-RATE MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE GROSS MARGIN (%) MORTGAGE LOANS DATE CUT-OFF DATE ---------------- -------------- ---- ------------ 3.250 - 4.000.......................... 2 $ 453,348.54 0.04% 4.001 - 5.000.......................... 181 36,662,602.16 3.30 5.001 - 6.000.......................... 3,611 613,590,006.87 55.26 6.001 - 7.000.......................... 3,075 426,185,191.02 38.38 7.001 - 8.000.......................... 291 33,184,861.06 2.99 8.001 - 8.375.......................... 1 219,881.06 0.02 ----- -------------------- ------ Total............... 7,161 $ 1,110,295,890.71 100.00% ===== ==================== ======
- ---------------- (1) The weighted average Gross Margin of the Adjustable-Rate Mortgage Loans as of the Cut-off Date was approximately 5.979% per annum.
NEXT RATE ADJUSTMENT DATE FOR THE ADJUSTABLE-RATE MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE NEXT RATE ADJUSTMENT DATE MORTGAGE LOANS DATE CUT-OFF DATE ------------------------- -------------- ---- ------------ 09/01/04 ................................ 1 $ 257,450.00 0.02% 11/01/04 ................................ 1 323,000.00 0.03 12/01/04 ................................ 3 552,946.68 0.05 03/01/05 ................................ 2 552,563.73 0.05 04/01/05 ................................ 4 933,477.67 0.08 05/01/05 ................................ 4 586,206.52 0.05 06/01/05 ................................ 2 269,946.08 0.02 10/01/05 ................................ 1 114,025.19 0.01 11/01/05 ................................ 1 422,266.45 0.04 12/01/05 ................................ 3 603,334.63 0.05 01/01/06 ................................ 6 1,333,984.55 0.12 02/01/06 ................................ 115 16,707,542.30 1.50 03/01/06 ................................ 1,250 192,202,407.66 17.31 04/01/06 ................................ 1,914 295,354,959.10 26.60 05/01/06 ................................ 1,605 243,574,894.45 21.94 06/01/06 ................................ 1,448 220,156,450.76 19.83 07/01/06 ................................ 65 12,764,364.63 1.15 01/01/07 ................................ 1 287,050.12 0.03 03/01/07 ................................ 37 5,360,406.31 0.48 04/01/07 ................................ 67 10,600,333.43 0.95 05/01/07 ................................ 158 26,540,934.24 2.39 06/01/07 ................................ 210 36,154,599.56 3.26 07/01/07 ................................ 11 1,691,010.64 0.15 11/01/08 ................................ 1 470,346.89 0.04 02/01/09 ................................ 5 592,549.43 0.05 03/01/09 ................................ 62 10,565,240.35 0.95 04/01/09 ................................ 66 10,731,764.32 0.97 05/01/09 ................................ 46 7,245,576.49 0.65 06/01/09 ................................ 71 13,186,369.47 1.19 07/01/09 ................................ 1 159,889.06 0.01 ----- -------------------- ------ Total............... 7,161 $ 1,110,295,890.71 100.00% ===== ==================== ======
- ------------------ (1) The weighted average time until the next rate Adjustment Date for the Adjustable-Rate Mortgage Loans as of the Cut-off Date was approximately 24 months.
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE MAXIMUM MORTGAGE RATE (%) MORTGAGE LOANS DATE CUT-OFF DATE ------------------------- -------------- ---- ------------ 9.750 - 10.000.......................... 1 $ 325,000.00 0.03% 11.001 - 12.000.......................... 234 48,040,953.19 4.33 12.001 - 13.000.......................... 2,460 448,937,669.78 40.43 13.001 - 14.000.......................... 3,203 463,661,429.81 41.76 14.001 - 15.000.......................... 1,182 141,666,304.81 12.76 15.001 - 15.875.......................... 81 7,664,533.12 0.69 ----- -------------------- ------ Total............... 7,161 $ 1,110,295,890.71 100.00% ===== ==================== ====== - ------------------- (1) The weighted average Maximum Mortgage Rate of the Adjustable-Rate Mortgage Loans as of the Cut-off Date was approximately 13.233% per annum. MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE MINIMUM MORTGAGE RATE (%) MORTGAGE LOANS DATE CUT-OFF DATE ------------------------- -------------- ---- ------------ 5.125 - 6.000.......................... 234 $ 48,040,953.19 4.33% 6.001 - 7.000.......................... 2,461 449,262,669.78 40.46 7.001 - 8.000.......................... 3,203 463,661,429.81 41.76 8.001 - 9.000.......................... 1,182 141,666,304.81 12.76 9.001 - 9.875.......................... 81 7,664,533.12 0.69 ----- -------------------- ------ Total............... 7,161 $ 1,110,295,890.71 100.00% ===== ==================== ====== - ------------------ (1) The weighted average Minimum Mortgage Rate of the Adjustable-Rate Mortgage Loans as of the Cut-off Date was approximately 7.234% per annum. INITIAL PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE INITIAL PERIODIC RATE CAP (%) MORTGAGE LOANS DATE CUT-OFF DATE ----------------------------- -------------- ---- ------------ 1.000..................................... 5 $ 1,133,396.68 0.10% 2.000..................................... 11 2,136,194.00 0.19 3.000..................................... 7,145 1,107,026,300.03 99.71 ----- -------------------- ------ Total............... 7,161 $ 1,110,295,890.71 100.00% ===== ==================== ======
- ------------------- (1) Relates solely to initial rate adjustments.
SUBSEQUENT PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE PERIODIC RATE CAP (%) MORTGAGE LOANS DATE CUT-OFF DATE --------------------- -------------- ---- ------------ 1.000..................................... 7,161 $1,110,295,890.71 100.00% ----- ----------------- ------ Total............... 7,161 $1,110,295,890.71 100.00% ===== ================= ======
- ------------------- (1) Relates to all rate adjustments subsequent to initial rate adjustments. GROUP I MORTGAGE LOAN STATISTICS The following statistical information, unless otherwise specified, is based upon percentages of the Principal Balances of the Group I Mortgage Loans as of the Cut-off Date. Approximately 99.99% of the Group I Mortgage Loans had loan-to-value ratios at origination in excess of 80.00%. No Group I Mortgage Loan had a loan-to-value ratio at origination in excess of 100.00%. The weighted average loan-to-value ratio of the Group I Mortgage Loans at origination was approximately 99.43%. There can be no assurance that the loan-to-value ratio of any Group I Mortgage Loan determined at any time after origination is less than or equal to its original loan-to-value ratio. Additionally, the Originator's determination of the value of a Mortgaged Property used in the calculation of the original loan-to-value ratios of the Mortgage Loans may differ from the appraised value of such Mortgaged Property or the actual value of such Mortgaged Property at origination. See "Risk Factors--High Loan-to-Value Ratios Increase Risk of Loss." All of the Group I Mortgage Loans have a Due Date on the first day of the month. The weighted average remaining term to maturity of the Group I Mortgage Loans was approximately 358 months as of the Cut-off Date. None of the Group I Mortgage Loans had a first Due Date prior to June 2003 or after August 2004, or has a remaining term to maturity of less than 177 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any Group I Mortgage Loan is July 2034. The average Principal Balance of the Group I Mortgage Loans at origination was approximately $142,056. The average Cut-off Date Principal Balance of the Group I Mortgage Loans was approximately $141,900. No Group I Mortgage Loan had a Cut-off Date Principal Balance of greater than approximately $424,351 or less than approximately $27,461. As of the Cut-off Date, the Group I Mortgage Loans had Mortgage Rates of not less than 5.125% per annum and not more than 10.125% per annum and the weighted average Mortgage Rate of the Group I Mortgage Loans was approximately 7.317% per annum. As of the Cut-off Date, the Adjustable-Rate Group I Mortgage Loans had Gross Margins ranging from 4.000% per annum to 8.000% per annum, Minimum Mortgage Rates ranging from 5.125% per annum to 9.875% per annum and Maximum Mortgage Rates ranging from 9.750% per annum to 15.875% per annum. As of the Cut-off Date, the weighted average Gross Margin of the Adjustable-Rate Group I Mortgage Loans was approximately 6.018% per annum, the weighted average Minimum Mortgage Rate of the Adjustable-Rate Group I Mortgage Loans was approximately 7.281% per annum and the weighted average Maximum Mortgage Rate of the Adjustable-Rate Group I Mortgage Loans was approximately 13.280% per annum. The latest next Adjustment Date following the Cut-off Date on any Adjustable-Rate Group I Mortgage Loan occurs in July 2009 and the weighted average time until the next Adjustment Date for all of the Adjustable-Rate Group I Mortgage Loans is approximately 24 months. The Group I Mortgage Loans are expected to have the following characteristics as of the Cut-off Date (the sum in any column may not equal the total indicated due to rounding):
CUT-OFF DATE PRINCIPAL BALANCES OF THE GROUP I MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE PRINCIPAL BALANCE ($) MORTGAGE LOANS DATE CUT-OFF DATE --------------------- -------------- ---- ------------ 27,461 - 50,000......................... 175 $ 7,597,207.15 0.78% 50,001 -100,000......................... 1,895 149,997,432.24 15.34 100,001 -150,000......................... 2,215 278,094,615.54 28.44 150,001 -200,000......................... 1,465 252,531,501.35 25.83 200,001 -250,000......................... 619 138,464,098.51 14.16 250,001 -300,000......................... 365 100,176,797.83 10.24 300,001 -350,000......................... 143 45,551,243.34 4.66 350,001 -400,000......................... 10 3,741,222.69 0.38 400,001 -424,351......................... 4 1,681,604.66 0.17 ----- ------------------ ------ Total............... 6,891 $ 977,835,723.31 100.00% ===== ================== ====== - ------------------ (1) The average Cut-off Date Principal Balance of the Group I Mortgage Loans was approximately $141,900.41. CREDIT SCORES FOR THE GROUP I MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE CREDIT SCORE MORTGAGE LOANS DATE CUT-OFF DATE ------------ -------------- ---- ------------ 558 -599................................. 4 $ 379,748.09 0.04% 600 -600................................. 120 16,600,770.79 1.70 601 -650................................. 4,083 550,317,222.51 56.28 651 -700................................. 1,949 294,916,199.51 30.16 701 -750................................. 581 91,229,561.59 9.33 751 -800................................. 147 23,047,869.18 2.36 801 -817................................. 7 1,344,351.64 0.14 ----- ------------------ ------ Total............... 6,891 $ 977,835,723.31 100.00% ===== ================== ======
- ------------------- (1) The weighted average credit score of the Group I Mortgage Loans that had credit scores was approximately 650.
ORIGINAL TERMS TO MATURITY OF THE GROUP I MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE ORIGINAL TERM (MONTHS) MORTGAGE LOANS DATE CUT-OFF DATE ---------------------- -------------- ---- ------------ 180....................................... 24 $ 2,525,752.92 0.26% 240....................................... 1 97,811.64 0.01 360....................................... 6,866 975,212,158.75 99.73 ----- ------------------ ------ Total................................ 6,891 $ 977,835,723.31 100.00% ===== ================== ====== - ------------------ (1) The weighted average original term to maturity of the Group I Mortgage Loans was approximately 360 months. REMAINING TERMS TO MATURITY OF THE GROUP I MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE REMAINING TERM (MONTHS) MORTGAGE LOANS DATE CUT-OFF DATE ----------------------- -------------- ---- ------------ 177 -178................................. 16 $ 1,478,969.96 0.15% 179 -180................................. 8 1,046,782.96 0.11 239 -240................................. 1 97,811.64 0.01 347 -348................................. 1 206,000.00 0.02 351 -352................................. 1 114,025.19 0.01 353 -354................................. 4 629,950.09 0.06 355 -356................................. 124 16,681,491.74 1.71 357 -358................................. 4,583 647,649,407.30 66.23 359 -360................................. 2,153 309,931,284.43 31.70 ----- ------------------ ------ Total............................... 6,891 $ 977,835,723.31 100.00% ===== ================== ====== - ------------------- (1) The weighted average remaining term to maturity of the Group I Mortgage Loans was approximately 358 months. PROPERTY TYPES OF THE GROUP I MORTGAGE LOANS PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE PROPERTY TYPE MORTGAGE LOANS DATE CUT-OFF DATE ------------- -------------- ---- ------------ Single Family ............................ 5,216 $ 710,949,422.12 72.71% PUD(1).................................... 1,009 169,008,280.87 17.28 Condominium............................... 448 60,753,987.17 6.21 2 Units................................... 213 36,506,811.41 3.73 3 Units................................... 4 530,882.73 0.05 4 Units................................... 1 86,339.01 0.01 ----- ------------------ ------ Total............................... 6,891 $ 977,835,723.31 100.00% ===== ================== ======
- ------------------- (1) PUD refers to a home or "unit" in a Planned Unit Development.
OCCUPANCY STATUS OF THE GROUP I MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE OCCUPANCY STATUS MORTGAGE LOANS DATE CUT-OFF DATE ---------------- -------------- ---- ------------ Primary................................... 6,884 $ 976,843,135.86 99.90% Second Home............................... 5 665,130.93 0.07 Non-Owner................................. 2 327,456.52 0.03 ----- ------------------ ------ Total............... 6,891 $ 977,835,723.31 100.00% ===== ================== ====== - ------------------- (1) Occupancy as represented by the mortgagor at the time of origination. PURPOSE OF THE GROUP I MORTGAGE LOANS PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE PURPOSE MORTGAGE LOANS DATE CUT-OFF DATE ------- -------------- ---- ------------ Purchase.................................. 5,364 $ 741,090,546.75 75.79% Cash Out Refinance........................ 1,246 194,945,863.81 19.94 Rate/Term Refinance....................... 281 41,799,312.75 4.27 ----- ------------------ ------ Total............... 6,891 $ 977,835,723.31 100.00% ===== ================== ====== COMBINED ORIGINAL LOAN-TO-VALUE RATIOS OF THE GROUP I MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE COMBINED ORIGINAL LOAN-TO-VALUE RATIO (%) MORTGAGE LOANS DATE CUT-OFF DATE - ----------------------------------------- -------------- ---- ------------ 79.51- 80.00............................ 1 $ 73,048.99 0.01% 85.01- 90.00............................ 1 71,550.00 0.01 90.01- 95.00............................ 553 88,831,108.53 9.08 95.01- 100.00............................ 6,336 888,860,015.79 90.90 ----- ------------------ ------ Total............... 6,891 $ 977,835,723.31 100.00% ===== ================== ======
- ------------------ (1) The weighted average combined original loan-to-value ratio of the Group I Mortgage Loans as of the Cut-off Date was approximately 99.43%.
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES RELATED TO THE GROUP I MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE LOCATION MORTGAGE LOANS DATE CUT-OFF DATE -------- -------------- ---- ------------ Alabama................................... 87 $ 9,194,842.50 0.94 Arizona................................... 118 17,466,708.23 1.79 Arkansas.................................. 29 3,879,581.15 0.40 California................................ 351 76,038,172.75 7.78 Colorado.................................. 99 19,145,101.19 1.96 Connecticut............................... 32 5,259,743.89 0.54 Delaware.................................. 13 1,736,194.71 0.18 District of Columbia...................... 3 400,129.15 0.04 Florida................................... 652 97,571,816.06 9.98 Georgia................................... 360 54,777,674.72 5.60 Idaho..................................... 17 1,898,751.72 0.19 Illinois.................................. 497 73,086,084.91 7.47 Indiana................................... 318 33,078,144.74 3.38 Iowa...................................... 50 4,248,739.31 0.43 Kansas.................................... 64 7,353,058.37 0.75 Kentucky.................................. 168 19,221,004.26 1.97 Louisiana................................. 61 7,000,732.02 0.72 Maine..................................... 26 3,693,501.52 0.38 Maryland.................................. 112 19,575,859.06 2.00 Massachusetts............................. 78 16,633,458.95 1.70 Michigan.................................. 490 67,630,832.89 6.92 Minnesota................................. 218 37,897,484.51 3.88 Missouri.................................. 164 18,731,211.83 1.92 Montana................................... 1 190,000.00 0.02 Nebraska.................................. 25 2,835,229.61 0.29 Nevada.................................... 101 18,445,907.04 1.89 New Hampshire............................. 26 5,071,523.84 0.52 New Jersey................................ 101 19,244,340.90 1.97 New Mexico................................ 30 3,615,100.38 0.37 New York.................................. 153 24,380,233.46 2.49 North Carolina............................ 363 50,550,126.20 5.17 North Dakota.............................. 5 376,006.59 0.04 Ohio...................................... 709 82,051,652.24 8.39 Oklahoma.................................. 25 2,490,037.99 0.25 Oregon.................................... 88 14,887,759.63 1.52 Pennsylvania.............................. 203 22,195,232.35 2.27 Rhode Island.............................. 14 2,666,417.70 0.27 South Carolina............................ 177 20,589,409.27 2.11 South Dakota.............................. 8 1,023,307.30 0.10 Tennessee................................. 86 9,118,076.12 0.93 Texas..................................... 382 48,083,504.50 4.92 Utah...................................... 73 10,630,016.30 1.09 Vermont................................... 3 380,667.88 0.04 Virginia.................................. 89 13,201,023.09 1.35 Washington................................ 68 10,863,285.16 1.11 West Virginia............................. 8 791,251.71 0.08 Wisconsin................................. 145 18,555,872.16 1.90 Wyoming................................... 1 80,913.45 0.01 ----- ------------------ ------ Total............... 6,891 $ 977,835,723.31 100.00% ===== ================== ======
- ------------------- (1) The greatest ZIP Code geographic concentration of Group I Mortgage Loans was approximately 0.21% in the 55106 ZIP Code.
DOCUMENTATION LEVELS OF THE GROUP I MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE DOCUMENTATION LEVEL MORTGAGE LOANS DATE CUT-OFF DATE ------------------- -------------- ---- ------------ Full Documentation........................ 6,440 $ 898,304,840.35 91.87% No Income Verification.................... 303 51,963,971.55 5.31 Limited Income Verification............... 111 19,667,594.54 2.01 Stated Plus Documentation................. 37 7,899,316.87 0.81 ----- ------------------ ------ Total............... 6,891 $ 977,835,723.31 100.00% ===== ================== ====== CURRENT MORTGAGE RATES OF THE GROUP I MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE CURRENT MORTGAGE RATE (%) MORTGAGE LOANS DATE CUT-OFF DATE ------------------------- -------------- ---- ------------ 5.125 - 6.000.......................... 191 $ 34,781,424.38 3.56% 6.001 - 7.000.......................... 2,153 353,028,365.57 36.10 7.001 - 8.000.......................... 3,209 439,494,848.00 44.95 8.001 - 9.000.......................... 1,239 141,445,323.61 14.47 9.001 - 10.000.......................... 98 9,023,165.96 0.92 10.001 - 10.125.......................... 1 62,595.79 0.01 ----- ------------------ ------ Total............... 6,891 $ 977,835,723.31 100.00% ===== ================== ====== - ------------------ (1) The weighted average current Mortgage Rate of the Group I Mortgage Loans as of the Cut-off Date was approximately 7.317% per annum. GROSS MARGINS OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE GROSS MARGIN (%) MORTGAGE LOANS DATE CUT-OFF DATE ---------------- -------------- ---- ------------ 4.000 - 4.000.......................... 1 $ 164,877.54 0.02% 4.001 - 5.000.......................... 143 23,720,188.67 2.64 5.001 - 6.000.......................... 3,076 477,071,095.81 53.17 6.001 - 7.000.......................... 2,750 366,127,635.80 40.80 7.001 - 8.000.......................... 265 30,208,702.96 3.37 ----- ------------------ ------ Total............... 6,235 $ 897,292,500.78 100.00% ===== ================== ======
- -------------------- (1) The weighted average Gross Margin of the Adjustable-Rate Group I Mortgage Loans as of the Cut-off Date was approximately 6.018% per annum.
NEXT RATE ADJUSTMENT DATE FOR THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE NEXT RATE ADJUSTMENT DATE MORTGAGE LOANS DATE CUT-OFF DATE ------------------------- -------------- ---- ------------ 09/01/04.................................. 1 $ 257,450.00 0.03% 11/01/04.................................. 1 323,000.00 0.04 12/01/04.................................. 3 552,946.68 0.06 03/01/05.................................. 2 552,563.73 0.06 04/01/05.................................. 2 194,557.50 0.02 05/01/05.................................. 4 586,206.52 0.07 06/01/05.................................. 1 77,500.00 0.01 10/01/05.................................. 1 114,025.19 0.01 12/01/05.................................. 2 354,284.63 0.04 01/01/06.................................. 5 957,466.80 0.11 02/01/06.................................. 103 13,516,554.27 1.51 03/01/06.................................. 1,093 155,647,354.79 17.35 04/01/06.................................. 1,703 244,934,700.76 27.30 05/01/06.................................. 1,364 192,875,403.12 21.50 06/01/06.................................. 1,276 179,763,425.93 20.03 07/01/06.................................. 53 9,162,736.55 1.02 01/01/07.................................. 1 287,050.12 0.03 03/01/07.................................. 33 4,532,334.11 0.51 04/01/07.................................. 58 8,703,158.73 0.97 05/01/07.................................. 132 20,821,752.29 2.32 06/01/07.................................. 173 28,710,786.80 3.20 07/01/07.................................. 8 1,338,955.31 0.15 02/01/09.................................. 5 592,549.43 0.07 03/01/09.................................. 49 7,311,519.56 0.81 04/01/09.................................. 57 8,365,149.23 0.93 05/01/09.................................. 43 6,626,778.15 0.74 06/01/09.................................. 61 9,972,401.52 1.11 07/01/09.................................. 1 159,889.06 0.02 ----- ------------------ ------ Total............... 6,235 $ 897,292,500.78 100.00% ===== ================== ====== - -------------------- (1) The weighted average time until the next rate Adjustment Date for the Adjustable-Rate Group I Mortgage Loans as of the Cut-off Date was approximately 24 months. MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE MAXIMUM MORTGAGE RATE (%) MORTGAGE LOANS DATE CUT-OFF DATE ------------------------- -------------- ---- ------------ 9.750 - 10.000.......................... 1 $ 325,000.00 0.04% 11.001 - 12.000.......................... 190 34,693,669.33 3.87 12.001 - 13.000.......................... 2,066 339,189,387.05 37.80 13.001 - 14.000.......................... 2,852 393,991,232.82 43.91 14.001 - 15.000.......................... 1,053 122,070,646.04 13.60 15.001 - 15.875.......................... 73 7,022,565.54 0.78 ----- ------------------ ------ Total............... 6,235 $ 897,292,500.78 100.00% ===== ================== ======
- --------------------- (1) The weighted average Maximum Mortgage Rate of the Adjustable-Rate Group I Mortgage Loans as of the Cut-off Date was approximately 13.280% per annum.
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE MINIMUM MORTGAGE RATE (%) MORTGAGE LOANS DATE CUT-OFF DATE ------------------------- -------------- ---- ------------ 5.125 - 6.000.......................... 190 $ 34,693,669.33 3.87% 6.001 - 7.000.......................... 2,067 339,514,387.05 37.84 7.001 - 8.000.......................... 2,852 393,991,232.82 43.91 8.001 - 9.000.......................... 1,053 122,070,646.04 13.60 9.001 - 9.875.......................... 73 7,022,565.54 0.78 ----- ------------------ ------ Total............... 6,235 $ 897,292,500.78 100.00% ===== ================== ====== - --------------------- (1) The weighted average Minimum Mortgage Rate of the Adjustable-Rate Group I Mortgage Loans as of the Cut-off Date was approximately 7.281% per annum. INITIAL PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE INITIAL PERIODIC RATE CAP (%) MORTGAGE LOANS DATE CUT-OFF DATE ----------------------------- -------------- ---- ------------ 1.000..................................... 5 $ 1,133,396.68 0.13% 2.000..................................... 8 1,204,827.75 0.13 3.000..................................... 6,222 894,954,276.35 99.74 ----- ------------------ ------ Total............... 6,235 $ 897,292,500.78 100.00% ===== ================== ====== - ---------------------- (1) Relates solely to initial rate adjustments. SUBSEQUENT PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE PERIODIC RATE CAP (%) MORTGAGE LOANS DATE CUT-OFF DATE --------------------- -------------- ---- ------------ 1.000..................................... 6,235 $ 897,292,500.78 100.00% ----- ---------------- ------ Total............... 6,235 $ 897,292,500.78 100.00% ===== ================ ======
- -------------------- (1) Relates to all rate adjustments subsequent to initial rate adjustments. GROUP II MORTGAGE LOAN STATISTICS The following statistical information, unless otherwise specified, is based upon percentages of the Principal Balances of the Group II Mortgage Loans as of the Cut-off Date. All of the Group II Mortgage Loans had loan-to-value ratios at origination in excess of 80.00%. No Group II Mortgage Loan had a loan-to-value ratio at origination in excess of 100.00%. The weighted average loan-to-value ratio of the Group II Mortgage Loans at origination was approximately 99.30%. There can be no assurance that the loan- to-value ratio of any Group II Mortgage Loan determined at any time after origination is less than or equal to its original loan-to-value ratio. Additionally, the Originator's determination of the value of a Mortgaged Property used in the calculation of the original loan-to-value ratios of the Mortgage Loans may differ from the appraised value of such Mortgaged Property or the actual value of such Mortgaged Property at origination. See "Risk Factors--High Loan-to- Value Ratios Increase Risk of Loss." All of the Group II Mortgage Loans have a Due Date on the first day of the month. The weighted average remaining term to maturity of the Group II Mortgage Loans was approximately 358 months as of the Cut-off Date. None of the Group II Mortgage Loans had a first Due Date prior to December 2003 or after August 2004, or has a remaining term to maturity of less than 179 months or greater than 360 months as of the Cut- off Date. The latest maturity date of any Group II Mortgage Loan is July 2034. The average Principal Balance of the Group II Mortgage Loans at origination was approximately $225,969. The average Cut-off Date Principal Balance of the Group II Mortgage Loans was approximately $225,777. No Group II Mortgage Loan had a Cut-off Date Principal Balance of greater than approximately $698,337 or less than approximately $29,944. As of the Cut-off Date, the Group II Mortgage Loans had Mortgage Rates of not less than 5.125% per annum and not more than 9.250% per annum and the weighted average Mortgage Rate of the Group II Mortgage Loans was approximately 7.054% per annum. As of the Cut-off Date, the Adjustable-Rate Group II Mortgage Loans had Gross Margins ranging from 3.250% per annum to 8.375% per annum, Minimum Mortgage Rates ranging from 5.125% per annum to 9.250% per annum and Maximum Mortgage Rates ranging from 11.125% per annum to 15.250% per annum. As of the Cut-off Date, the weighted average Gross Margin of the Adjustable-Rate Group II Mortgage Loans was approximately 5.817% per annum, the weighted average Minimum Mortgage Rate of the Adjustable-Rate Group II Mortgage Loans was approximately 7.034% per annum and the weighted average Maximum Mortgage Rate of the Adjustable-Rate Group II Mortgage Loans was approximately 13.034% per annum. The latest next Adjustment Date following the Cut-off Date on any Adjustable-Rate Group II Mortgage Loan occurs in June 2009 and the weighted average time until the next Adjustment Date for all of the Adjustable-Rate Group II Mortgage Loans is approximately 25 months. The Group II Mortgage Loans are expected to have the following characteristics as of the Cut-off Date (the sum in any column may not equal the total indicated due to rounding):
CUT-OFF DATE PRINCIPAL BALANCES OF THE GROUP II MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE PRINCIPAL BALANCE ($) MORTGAGE LOANS DATE CUT-OFF DATE --------------------- -------------- ---- ------------ 29,944 - 50,000......................... 23 $ 950,180.45 0.43% 50,001 -100,000......................... 182 14,429,124.50 6.49 100,001 -150,000......................... 231 28,564,696.05 12.86 150,001 -200,000......................... 127 22,167,424.39 9.98 200,001 -250,000......................... 57 12,855,534.42 5.79 250,001 -300,000......................... 35 9,632,590.11 4.34 300,001 -350,000......................... 73 24,606,731.07 11.08 350,001 -400,000......................... 114 42,646,100.26 19.20 400,001 -450,000......................... 68 28,878,014.09 13.00 450,001 -500,000......................... 47 22,286,441.34 10.03 500,001 -550,000......................... 17 8,964,941.95 4.04 550,001 -600,000......................... 5 2,919,487.40 1.31 600,001 -650,000......................... 4 2,564,673.90 1.15 650,001 -698,337......................... 1 698,336.77 0.31 --- ------------------ ------ Total.................................. 984 $ 222,164,276.70 100.00% === ================== ====== - -------------------- (1) The average Cut-off Date Principal Balance of the Group II Mortgage Loans was approximately $225,776.70. CREDIT SCORES FOR THE GROUP II MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE CREDIT SCORE MORTGAGE LOANS DATE CUT-OFF DATE ------------ -------------- ---- ------------ 574 -599................................ 1 $ 422,266.45 0.19% 600 -600................................ 9 2,223,737.90 1.00 601 -650................................ 510 97,240,581.65 43.77 651 -700................................ 303 73,358,356.74 33.02 701 -750................................ 127 38,563,423.61 17.36 751 -800................................ 33 10,163,464.27 4.57 801 -804................................ 1 192,446.08 0.09 --- ------------------ ------ Total............................... 984 $ 222,164,276.70 100.00% === ================== ====== - ------------------- (1) The weighted average credit score of the Group II Mortgage Loans that had credit scores was approximately 664. ORIGINAL TERMS TO MATURITY OF THE GROUP II MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE ORIGINAL TERM (MONTHS) MORTGAGE LOANS DATE CUT-OFF DATE ---------------------- -------------- ---- ------------ 180..................................... 4 $ 361,972.43 0.16% 360..................................... 980 221,802,304.27 99.84 --- ------------------ ------ Total............................... 984 $ 222,164,276.70 100.00% === ================== ======
- --------------------- (1) The weighted average original term to maturity of the Group II Mortgage Loans was approximately 360 months.
REMAINING TERMS TO MATURITY OF THE GROUP II MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE REMAINING TERM (MONTHS) MORTGAGE LOANS DATE CUT-OFF DATE ----------------------- -------------- ---- ------------ 179 -180................................ 4 $ 361,972.43 0.16% 353 -354................................ 3 1,141,663.34 0.51 355 -356................................ 13 3,567,505.78 1.61 357 -358................................ 626 141,861,866.47 63.85 359 -360................................ 338 75,231,268.68 33.86 --- ------------------ ------ Total............................... 984 $ 222,164,276.70 100.00% === ================== ====== - ------------------- (1) The weighted average remaining term to maturity of the Group II Mortgage Loans was approximately 358 months. PROPERTY TYPES OF THE GROUP II MORTGAGE LOANS PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE PROPERTY TYPE MORTGAGE LOANS DATE CUT-OFF DATE ------------- -------------- ---- ------------ Single Family ............................ 726 $ 156,626,841.75 70.50% PUD(1).................................... 169 43,841,896.43 19.73 Condominium............................... 57 13,146,718.38 5.92 2 Units................................... 32 8,548,820.14 3.85 --- ------------------ ------ Total............................... 984 $ 222,164,276.70 100.00% === ================== ====== - ------------------- (1) PUD refers to a home or "unit" in a Planned Unit Development. OCCUPANCY STATUS OF THE GROUP II MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE OCCUPANCY STATUS MORTGAGE LOANS DATE CUT-OFF DATE ---------------- -------------- ---- ------------ Primary................................... 984 $ 222,164,276.70 100.00% --- ---------------- ------ Total............... 984 $ 222,164,276.70 100.00% === ================ ======
- ------------------ (1) Occupancy as represented by the mortgagor at the time of origination.
PURPOSE OF THE GROUP II MORTGAGE LOANS PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE PURPOSE MORTGAGE LOANS DATE CUT-OFF DATE ------- -------------- ---- ------------ Purchase.................................. 772 $ 169,031,447.55 76.08% Cash Out Refinance........................ 171 44,381,965.24 19.98 Rate/Term Refinance....................... 41 8,750,863.91 3.94 --- ------------------ ------ Total............... 984 $ 222,164,276.70 100.00% === ================== ====== COMBINED ORIGINAL LOAN-TO-VALUE RATIOS OF THE GROUP II MORTGAGE LOANS(1)(2) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE COMBINED ORIGINAL LOAN-TO-VALUE RATIO (%) MORTGAGE LOANS DATE CUT-OFF DATE - ----------------------------------------- -------------- ---- ------------ 84.89- 85.00............................. 3 $ 1,185,014.42 0.53% 85.01- 90.00............................. 1 470,346.89 0.21 90.01- 95.00............................. 84 20,122,162.57 9.06 95.01-100.00............................. 896 200,386,752.82 90.20 --- ------------------ ------ Total............... 984 $ 222,164,276.70 100.00% === ================== ======
- ------------------ (1) The weighted average combined original loan-to-value ratio of the Group II Mortgage Loans as of the Cut-off Date was approximately 99.30%.
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES RELATED TO THE GROUP II MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE LOCATION MORTGAGE LOANS DATE CUT-OFF DATE -------- -------------- ---- ------------ Alabama................................... 7 $ 872,890.19 0.39% Arizona................................... 12 1,636,233.55 0.74 Arkansas.................................. 7 1,073,844.64 0.48 California................................ 157 59,641,064.71 26.85 Colorado.................................. 16 5,131,744.74 2.31 Connecticut............................... 2 485,895.58 0.22 Delaware.................................. 2 293,009.05 0.13 District of Columbia...................... 4 1,020,952.29 0.46 Florida................................... 107 23,166,757.51 10.43 Georgia................................... 29 6,616,113.98 2.98 Illinois.................................. 63 13,142,294.59 5.92 Indiana................................... 35 4,012,524.35 1.81 Iowa...................................... 7 512,854.09 0.23 Kansas.................................... 5 577,760.66 0.26 Kentucky.................................. 24 3,031,528.49 1.36 Louisiana................................. 8 762,841.30 0.34 Maine..................................... 5 714,766.25 0.32 Maryland.................................. 23 6,349,538.40 2.86 Massachusetts............................. 18 5,534,644.26 2.49 Michigan.................................. 60 11,405,156.43 5.13 Minnesota................................. 21 5,761,011.76 2.59 Missouri.................................. 17 2,195,567.92 0.99 Nebraska.................................. 4 398,757.43 0.18 Nevada.................................... 17 4,355,163.29 1.96 New Hampshire............................. 2 433,400.00 0.20 New Jersey................................ 16 4,977,617.94 2.24 New Mexico................................ 4 438,168.47 0.20 New York.................................. 37 11,652,502.33 5.24 North Carolina............................ 43 8,709,172.79 3.92 Ohio...................................... 73 9,959,367.48 4.48 Oklahoma.................................. 1 199,840.06 0.09 Oregon.................................... 6 1,320,235.14 0.59 Pennsylvania.............................. 21 2,789,035.95 1.26 Rhode Island.............................. 4 781,120.37 0.35 South Carolina............................ 21 3,502,369.15 1.58 Tennessee................................. 16 2,298,955.73 1.03 Texas..................................... 38 5,088,567.05 2.29 Utah...................................... 12 2,251,790.16 1.01 Virginia.................................. 15 3,999,950.76 1.80 Washington................................ 9 2,376,578.01 1.07 Wisconsin................................. 16 2,692,689.85 1.21 --- ------------------ ------ Total............... 984 $ 222,164,276.70 100.00% === ================== ======
- --------------------- (1) The greatest ZIP Code geographic concentration of Group II Mortgage Loans was approximately 1.08% in the 92562 ZIP Code.
DOCUMENTATION LEVELS OF THE GROUP II MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE DOCUMENTATION LEVEL MORTGAGE LOANS DATE CUT-OFF DATE ------------------- -------------- ---- ------------ Full Documentation........................ 895 $ 195,837,256.78 88.15% No Income Verification.................... 50 14,955,514.05 6.73 Stated Plus Documentation................. 20 6,355,078.26 2.86 Limited IncomeVerification................ 19 5,016,427.61 2.26 --- ------------------ ------ Total............... 984 $ 222,164,276.70 100.00% === ================== ====== CURRENT MORTGAGE RATES OF THE GROUP II MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE CURRENT MORTGAGE RATE (%) MORTGAGE LOANS DATE CUT-OFF DATE ------------------------- -------------- ---- ------------ 5.125- 6.000.......................... 45 $ 13,495,283.86 6.07% 6.001- 7.000.......................... 402 111,742,901.11 50.30 7.001- 8.000.......................... 387 75,499,886.79 33.98 8.001- 9.000.......................... 140 20,647,657.52 9.29 9.001- 9.250.......................... 10 778,547.42 0.35 --- ------------------ ------ Total............... 984 $ 222,164,276.70 100.00% === ================== ======
- ------------------ (1) The weighted average current Mortgage Rate of the Group II Mortgage Loans as of the Cut-off Date was approximately 7.054% per annum.
GROSS MARGINS OF THE ADJUSTABLE-RATEGROUP II MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE GROSS MARGIN (%) MORTGAGE LOANS DATE CUT-OFF DATE ---------------- -------------- ---- ------------ 3.250- 4.000............................ 1 $ 288,471.00 0.14% 4.001- 5.000............................ 38 12,942,413.49 6.08 5.001- 6.000............................ 535 136,518,911.06 64.09 6.001- 7.000............................ 325 60,057,555.22 28.20 7.001- 8.000............................ 26 2,976,158.10 1.40 8.001- 8.375............................ 1 219,881.06 0.10 --- ------------------ ------ Total............................... 926 $ 213,003,389.93 100.00% === ================== ====== - ------------------- (1) The weighted average Gross Margin of the Adjustable-Rate Group II Mortgage Loans as of the Cut-off Date was approximately 5.817% per annum. NEXT RATE ADJUSTMENT DATE FOR THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE NEXT RATE ADJUSTMENT DATE MORTGAGE LOANS DATE CUT-OFF DATE ------------------------- -------------- ---- ------------ 04/01/05 ................................ 2 $ 738,920.17 0.35% 06/01/05 ................................ 1 192,446.08 0.09 11/01/05 ................................ 1 422,266.45 0.20 12/01/05 ................................ 1 249,050.00 0.12 01/01/06 ................................ 1 376,517.75 0.18 02/01/06 ................................ 12 3,190,988.03 1.50 03/01/06 ................................ 157 36,555,052.87 17.16 04/01/06 ................................ 211 50,420,258.34 23.67 05/01/06 ................................ 241 50,699,491.33 23.80 06/01/06 ................................ 172 40,393,024.83 18.96 07/01/06 ................................ 12 3,601,628.08 1.69 03/01/07 ................................ 4 828,072.20 0.39 04/01/07 ................................. 9 1,897,174.70 0.89 05/01/07 ................................. 26 5,719,181.95 2.69 06/01/07 ................................. 37 7,443,812.76 3.49 07/01/07 ................................. 3 352,055.33 0.17 11/01/08 ................................. 1 470,346.89 0.22 03/01/09 ................................. 13 3,253,720.79 1.53 04/01/09 ................................. 9 2,366,615.09 1.11 05/01/09 ................................. 3 618,798.34 0.29 06/01/09 ................................. 10 3,213,967.95 1.51 --- ------------------ ------ Total............... 926 $ 213,003,389.93 100.00% === ================== ======
- ------------------- (1) The weighted average time until the next rate Adjustment Date for the Adjustable-Rate Group II Mortgage Loans as of the Cut-off Date was approximately 25 months.
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE MAXIMUM MORTGAGE RATE (%) MORTGAGE LOANS DATE CUT-OFF DATE ------------------------- -------------- ---- ------------ 11.125- 12.000............................ 44 $ 13,347,283.86 6.27% 12.001- 13.000............................ 394 109,748,282.73 51.52 13.001- 14.000............................ 351 69,670,196.99 32.71 14.001- 15.000............................ 129 19,595,658.77 9.20 15.001- 15.250............................ 8 641,967.58 0.30 --- ------------------ ------ Total............... 926 $ 213,003,389.93 100.00% === ================== ====== - --------------------- (1) The weighted average Maximum Mortgage Rate of the Adjustable-Rate Group II Mortgage Loans as of the Cut-off Date was approximately 13.034% per annum. MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE MINIMUM MORTGAGE RATE (%) MORTGAGE LOANS DATE CUT-OFF DATE ------------------------- -------------- ---- ------------ 5.125- 6.000............................ 44 $ 13,347,283.86 6.27% 6.001- 7.000............................ 394 109,748,282.73 51.52 7.001- 8.000............................ 351 69,670,196.99 32.71 8.001- 9.000............................ 129 19,595,658.77 9.20 9.001- 9.250............................ 8 641,967.58 0.30 --- ------------------ ------ Total............... 926 $ 213,003,389.93 100.00% === ================== ====== - -------------------- (1) The weighted average Minimum Mortgage Rate of the Adjustable-Rate Group II Mortgage Loans as of the Cut-off Date was approximately 7.034% per annum. INITIAL PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE INITIAL PERIODIC RATE CAP (%) MORTGAGE LOANS DATE CUT-OFF DATE ----------------------------- -------------- ---- ------------ 2.000..................................... 3 $ 931,366.25 0.44% 3.000..................................... 923 212,072,023.68 99.56 --- ------------------ ------ Total............... 926 $ 213,003,389.93 100.00% === ================== ====== - ------------------- (1) Relates solely to initial rate adjustments. SUBSEQUENT PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS(1) PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL NUMBER OF OUTSTANDING AS OF THE CUT-OFF BALANCE OUTSTANDING AS OF THE PERIODIC RATE CAP (%) MORTGAGE LOANS DATE CUT-OFF DATE --------------------- -------------- ---- ------------ 1.000..................................... 926 $ 213,003,389.93 100.00% --- ---------------- ------ Total............... 926 $ 213,003,389.93 100.00% === ================ ======
- ---------------------- (1) Relates to all rate adjustments subsequent to initial rate adjustments. -----END PRIVACY-ENHANCED MESSAGE-----