-----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, PVTJiFDWL1nz1VHP0mf6ZHwEVfr4NZQKwfvNR4nKKAlVEY8Ay6AepyUmjGeKfAiG w75E9EBuvvBsUVUIUsAMTg== 0000905148-04-004511.txt : 20041015 0000905148-04-004511.hdr.sgml : 20041015 20041015170602 ACCESSION NUMBER: 0000905148-04-004511 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20041015 ITEM INFORMATION: Other Events ITEM INFORMATION: Financial Statements and Exhibits FILED AS OF DATE: 20041015 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CWABS Revolving Home Equity Loan Trust, Series 2004-O CENTRAL INDEX KEY: 0001304795 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: 333-109272-25 FILM NUMBER: 041081608 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 efc4-1876_5608591form8k.txt - ------------------------------------------------------------------------------ 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 15, 2004 CWABS, INC. ----------------------------------------- (Exact name of registrant as specified in its charter) Delaware 333-109272 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 (818) 225-3237 ----- -------- - ------------------------------------------------------------------------------ Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any 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)) Section 8. - ---------- Item 8.01. Other Events. - ---- ------------ Description of the Mortgage Pool* - -------------------------------- CWABS, Inc. (the "Company") entered into a Sale and Servicing Agreement dated as of September 30, 2004 (the "Sale and Servicing Agreement"), by and among the Company, as depositor, Countrywide Home Loans, Inc., as seller, and JPMorgan Chase Bank, as indenture trustee, providing for the issuance of the Company's Revolving Home Equity Loan Asset Backed Notes, Series 2004-O. - ---------------------------- * Capitalized terms used and not otherwise defined herein shall have the meanings assigned to them in the Prospectus dated September 14, 2004 and the Prospectus Supplement dated September 29, 2 2004 of CWABS, Inc., relating to its CWABS Revolving Home Equity Loan Trust 2004-O, Revolving Home Equity Loan Asset-Backed Notes, Series 2004-O. 3 The sum of the columns below may not equal the total indicated due to rounding. The following tables describe the statistical calculation mortgage loans and the related mortgage properties as of the close of business on the Statistical Calculation Date.
Loan Group 1 Principal Balances for the Group 1 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Range of Principal Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Balances ($) Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio - ------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- 0.01 - 10,000.00 $ 1,685,489 265 0.27% $ 6,360 4.816% 298.04 709 67.3% 10,000.01 - 20,000.00 6,820,898 417 1.09 16,357 5.100 298.83 698 73.2 20,000.01 - 30,000.00 147,651,278 5,654 23.70 26,114 5.305 299.08 705 89.9 30,000.01 - 40,000.00 130,846,889 3,743 21.00 34,958 5.504 299.18 707 90.3 40,000.01 - 50,000.00 112,385,250 2,467 18.04 45,555 5.547 299.08 707 89.1 50,000.01 - 60,000.00 80,790,419 1,463 12.97 55,222 5.713 299.01 709 90.4 60,000.01 - 70,000.00 49,325,261 761 7.92 64,816 5.663 298.92 702 88.2 70,000.01 - 80,000.00 28,711,737 380 4.61 75,557 5.145 299.22 695 81.1 80,000.01 - 90,000.00 21,434,288 251 3.44 85,396 5.211 299.04 693 83.0 90,000.01 - 100,000.00 23,950,349 247 3.84 96,965 5.272 298.97 711 83.3 100,000.01 - 125,000.00 9,547,874 84 1.53 113,665 5.173 299.32 709 82.8 125,000.01 - 150,000.00 8,680,592 61 1.39 142,305 5.494 299.25 712 81.0 150,000.01 - 175,000.00 1,269,607 8 0.20 158,701 4.452 299.51 769 71.8 ------------ ------- -------- Total $623,099,932 15,801 100.00% ============ ======= ========
As of the Statistical Calculation Date, the average principal balance of the statistical calculation mortgage loans in loan group 1 was approximately $39,434.
Loan Programs for the Group 1 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Description of Loans Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Programs Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio - ------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- 10 Year Draw, 20 Year Repay.... $ 185,470 3 0.03% $ 61,823 5.669% 351.22 673 90.1% 10 Year Draw, 15 Year Repay.... 621,923,949 15,779 99.81 39,415 5.455 299.15 706 88.4 15 Year Draw, 0 Year Repay..... 439,782 8 0.07 54,973 5.974 178.79 709 99.5 15 Year Draw, 10 Year Repay.... 550,731 11 0.09 50,066 4.599 299.28 729 90.0 ------------ ------- -------- Total $623,099,932 15,801 100.00% ============ ======= ========
4
Loan Rates for the Group 1 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Range of Loan Rates (%) Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio ------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- Less than or equal to 3.000.... $ 4,952,017 114 0.79% $ 43,439 3.000% 295.11 697 92.1% 3.001 - 3.500................. 35,451,357 892 5.69 39,744 3.274 299.58 706 93.6 3.501 - 4.000................. 178,580,411 4,501 28.66 39,676 3.990 299.51 693 84.0 4.001 - 4.500................. 113,306,538 3,156 18.18 35,902 4.410 299.45 717 91.1 4.501 - 5.000................. 22,747,068 511 3.65 44,515 4.913 298.55 713 71.2 5.001 - 5.500................. 23,549,857 475 3.78 49,579 5.365 299.43 703 77.3 5.501 - 6.000................. 15,011,647 350 2.41 42,890 5.792 298.41 678 77.2 6.001 - 6.500................. 26,189,118 650 4.20 40,291 6.307 298.75 712 83.5 6.501 - 7.000................. 65,340,238 1,761 10.49 37,104 6.891 298.48 727 93.1 7.001 - 7.500................. 32,001,866 780 5.14 41,028 7.346 298.44 683 89.9 7.501 - 8.000................. 69,776,087 1,701 11.20 41,021 7.961 298.87 718 98.1 8.001 - 8.500................. 12,426,008 313 1.99 39,700 8.290 298.17 718 95.2 8.501 - 9.000................. 13,403,522 333 2.15 40,251 8.866 298.62 691 95.3 9.001 - 9.500................. 3,923,901 101 0.63 38,851 9.233 298.81 693 95.9 9.501 - 10.000................ 1,980,267 49 0.32 40,414 9.769 299.07 703 94.7 10.001 - 10.500................ 816,523 20 0.13 40,826 10.341 299.27 649 86.0 10.501 - 11.000................ 3,493,956 91 0.56 38,395 10.696 299.30 609 78.6 11.001 - 11.500................ 149,550 3 0.02 49,850 11.222 300.00 673 82.8 -------------- --------- ----------- Total $623,099,932 15,801 100.00% ============== ========= ===========
As of the Statistical Calculation Date, the weighted average loan rate of the statistical calculation mortgage loans in loan group 1 was approximately 5.455%.
Months Remaining to Scheduled Maturity for the Group 1 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Range of Months Remaining Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- to Scheduled Maturity Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio ------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- 169 - 180.................... $ 439,782 8 0.07% $ 54,973 5.974% 178.79 709 99.5% 217 - 228.................... 105,277 4 0.02 26,319 6.773 222.15 677 78.0 265 - 276.................... 90,000 1 0.01 90,000 6.375 273.00 751 91.6 277 - 288.................... 873,374 37 0.14 23,605 6.569 286.77 714 85.4 289 - 300.................... 621,406,030 15,748 99.73 39,459 5.453 299.19 706 88.4 349 - 360.................... 185,470 3 0.03 61,823 5.669 351.22 673 90.1 -------------- --------- ----------- Total $623,099,932 15,801 100.00% ============== ========= ===========
As of the Statistical Calculation Date, the weighted average remaining months to scheduled maturity of the statistical calculation mortgage loans in loan group 1 was approximately 299. The above table assumes that the draw period for the statistical calculation mortgage loans with (a) five year draw periods and fifteen year repayment periods will be extended for an additional five years and (b) five year draw periods and ten year repayment periods will not be extended. 5
Combined Loan-to-Value Ratios for the Group 1 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Range of Combined Loan-to- Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Value Ratio (%) Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio ------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- 0.01 - 10.00................ $ 9,000 1 0.00% $ 9,000 5.625% 298.00 766 5.6% 10.01 - 20.00................ 420,124 13 0.07 32,317 4.821 298.89 712 16.0 20.01 - 30.00................ 1,776,511 43 0.29 41,314 4.648 298.95 696 25.7 30.01 - 40.00................ 3,730,890 102 0.60 36,577 4.461 299.23 713 35.5 40.01 - 50.00................ 8,400,409 221 1.35 38,011 4.629 299.26 716 45.7 50.01 - 60.00................ 17,323,486 428 2.78 40,475 4.701 299.11 703 55.3 60.01 - 70.00................ 46,296,977 1,110 7.43 41,709 4.805 299.13 696 67.0 70.01 - 80.00................ 79,692,415 1,840 12.79 43,311 4.770 299.15 694 77.6 80.01 - 90.00................ 153,971,349 4,080 24.71 37,738 5.590 299.18 694 88.6 90.01 - 100.00............... 311,478,711 7,963 49.99 39,116 5.742 299.18 715 98.3 -------------- --------- ----------- Total $623,099,932 15,801 100.00% ============== ========= ===========
As of the Statistical Calculation Date, the weighted average combined loan-to-value ratio of the statistical calculation mortgage loans in loan group 1 was approximately 88.37%. 6 The geographic location used for the following table is determined by the address of the mortgaged property securing the related mortgage loan.
Geographic Distribution for the Group 1 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- State Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio ------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- Alaska....................... $ 1,771,649 44 0.28% $ 40,265 5.020% 299.14 713 92.5% Alabama...................... 7,392,681 227 1.19 32,567 5.434 298.71 712 94.4 Arizona...................... 25,961,764 657 4.17 39,516 5.439 299.23 710 92.4 California................... 131,522,286 3,381 21.11 38,900 5.589 298.83 701 82.2 Colorado..................... 27,362,883 693 4.39 39,485 5.443 299.30 715 92.7 Connecticut.................. 7,642,156 176 1.23 43,421 5.746 299.11 704 88.2 District of Columbia......... 956,955 21 0.15 45,569 5.366 299.26 695 87.1 Delaware..................... 2,217,482 54 0.36 41,064 5.077 299.26 693 85.7 Florida...................... 48,515,555 1,216 7.79 39,898 5.796 299.07 707 89.8 Georgia...................... 15,213,594 425 2.44 35,797 5.101 298.98 705 95.1 Hawaii....................... 3,775,390 80 0.61 47,192 4.913 299.24 703 81.6 Iowa......................... 1,985,161 55 0.32 36,094 5.132 299.16 707 94.3 Idaho........................ 4,171,320 112 0.67 37,244 5.399 299.22 706 94.2 Illinois..................... 24,511,651 622 3.93 39,408 5.353 299.26 707 90.8 Indiana...................... 7,402,596 221 1.19 33,496 5.410 299.23 703 93.0 Kansas....................... 5,009,917 143 0.80 35,034 4.962 299.66 702 93.1 Kentucky..................... 5,687,325 155 0.91 36,692 5.038 299.20 707 93.9 Louisiana.................... 4,575,757 126 0.73 36,316 5.398 299.01 703 92.9 Massachusetts................ 14,945,087 338 2.40 44,216 5.534 299.14 699 83.6 Maryland..................... 14,036,306 337 2.25 41,651 5.532 299.07 703 87.7 Maine........................ 1,878,945 46 0.30 40,847 5.155 299.37 694 84.3 Michigan..................... 15,002,124 405 2.41 37,042 5.311 299.59 701 91.1 Minnesota.................... 12,233,277 294 1.96 41,610 5.450 299.18 713 90.0 Missouri..................... 7,828,853 231 1.26 33,891 5.207 299.20 707 93.0 Mississippi.................. 2,043,555 64 0.33 31,931 4.743 299.22 701 95.7 Montana...................... 1,722,012 48 0.28 35,875 5.087 299.36 723 89.4 North Carolina............... 12,236,166 356 1.96 34,371 5.241 299.11 709 93.9 North Dakota................. 238,935 7 0.04 34,134 4.493 299.90 706 85.0 Nebraska..................... 1,218,772 37 0.20 32,940 4.728 299.38 701 95.1 New Hampshire................ 3,427,188 79 0.55 43,382 5.430 299.27 701 87.6 New Jersey................... 25,224,610 576 4.05 43,793 5.327 299.21 700 84.2 New Mexico................... 3,383,300 94 0.54 35,993 5.136 299.05 707 90.2 Nevada....................... 31,460,612 673 5.05 46,747 5.957 299.17 708 86.7 New York..................... 23,261,704 508 3.73 45,791 5.008 299.26 705 80.0 Ohio......................... 13,728,852 378 2.20 36,320 5.478 299.11 704 94.4 Oklahoma..................... 2,824,495 81 0.45 34,870 4.837 299.33 695 94.1 Oregon....................... 10,266,493 265 1.65 38,741 5.383 299.28 712 92.2 Pennsylvania................. 17,953,912 484 2.88 37,095 5.180 299.13 707 89.0 Rhode Island................. 2,706,994 58 0.43 46,672 5.823 299.19 705 83.5 South Carolina............... 5,268,386 151 0.85 34,890 5.260 299.14 708 93.6 South Dakota................. 474,493 16 0.08 29,656 4.820 299.28 715 95.2 Tennessee.................... 9,561,296 277 1.53 34,517 5.128 299.09 715 94.4 Texas........................ 3,774,257 110 0.61 34,311 5.975 299.01 720 94.3 Utah......................... 5,897,280 163 0.95 36,180 5.399 299.31 715 93.5 Virginia..................... 20,247,801 463 3.25 43,732 5.309 299.14 705 89.9 Vermont...................... 544,977 14 0.09 38,927 5.475 279.02 707 88.5 Washington................... 23,876,918 565 3.83 42,260 5.673 299.02 713 92.6 Wisconsin.................... 7,943,281 209 1.27 38,006 5.120 298.94 703 91.1 West Virginia................ 1,141,820 34 0.18 33,583 5.433 299.04 707 94.0 Wyoming...................... 1,071,109 32 0.17 33,472 4.636 299.44 715 89.5 -------------- --------- ----------- Total $623,099,932 15,801 100.00% ============== ========= ===========
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Credit Scores for the Mortgage Loans for the Group 1 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Range of Credit Scores Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio ------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- 821 - 840.................... $ 1,243,121 31 0.20% $ 40,101 5.409% 299.20 830 79.5% 801 - 820.................... 7,169,916 176 1.15 40,738 5.248 299.22 806 85.4 781 - 800.................... 24,751,865 628 3.97 39,414 5.514 299.16 789 88.5 761 - 780.................... 49,952,383 1,262 8.02 39,582 5.469 299.17 770 88.4 741 - 760.................... 67,117,955 1,770 10.77 37,920 5.669 299.15 750 90.2 721 - 740.................... 86,747,385 2,166 13.92 40,050 5.647 299.02 730 90.1 701 - 720.................... 96,957,444 2,471 15.56 39,238 5.509 298.94 710 90.5 681 - 700.................... 89,450,642 2,239 14.36 39,951 5.446 299.08 690 89.2 661 - 680.................... 93,714,745 2,367 15.04 39,592 5.306 299.11 670 88.7 641 - 660.................... 55,851,266 1,429 8.96 39,084 5.116 299.12 651 85.0 621 - 640.................... 42,400,656 1,059 6.80 40,038 5.090 299.07 631 80.6 601 - 620.................... 5,580,621 149 0.90 37,454 6.225 300.09 615 80.2 581 - 600.................... 1,527,233 39 0.25 39,160 8.698 297.30 591 78.5 561 - 580.................... 327,800 8 0.05 40,975 10.098 299.83 574 80.3 560 or less.................. 306,900 7 0.05 43,843 10.674 300.00 538 78.5 -------------- --------- ----------- Total $623,099,932 15,801 100.00% ============== ========= ===========
As of the Statistical Calculation Date, the weighted average credit score of the statistical calculation mortgage loans in loan group 1 was approximately 706.
Property Type for the Group 1 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Property Type Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio ------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- Single Family................ $452,584,697 11,536 72.63% $ 39,232 5.338% 299.09 703 87.5% Planned Unit Development (PUD) 99,353,640 2,452 15.95 40,519 5.686 299.18 710 91.2 Low-Rise Condominium......... 53,906,402 1,395 8.65 38,643 5.854 298.79 717 91.5 2-4 Family................... 10,280,329 240 1.65 42,835 6.023 299.27 708 84.9 High-Rise Condominium........ 5,550,340 137 0.89 40,513 6.209 299.27 720 87.8 Manufactured Housing (1)..... 1,424,524 41 0.23 34,744 4.411 298.95 705 75.1 -------------- --------- ----------- Total $623,099,932 15,801 100.00% ============== ========= ===========
- ----------------- (1) Treated as real property. 8
Gross Margins for the Group 1 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Range of Gross Margins Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- (%) Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio ------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- Less than or equal to 0.000.. $ 34,496,551 798 5.54% $ 43,229 4.144% 299.07 743 67.9% 0.001 - 0.250................ 14,501,755 354 2.33 40,965 4.195 299.17 689 64.6 0.251 - 0.500................ 47,861,718 1,071 7.68 44,689 4.363 299.15 713 76.5 0.501 - 0.750................ 8,755,278 182 1.41 48,106 4.942 299.17 702 73.1 0.751 - 1.000................ 20,202,538 415 3.24 48,681 5.099 299.56 711 82.1 1.001 - 1.250................ 31,093,475 776 4.99 40,069 4.504 299.13 654 71.4 1.251 - 1.500................ 12,663,469 318 2.03 39,822 4.492 299.06 718 85.7 1.501 - 1.750................ 16,467,361 375 2.64 43,913 5.415 299.36 694 78.9 1.751 - 2.000................ 40,385,826 1,129 6.48 35,771 4.916 299.13 731 88.8 2.001 - 2.250................ 33,385,403 904 5.36 36,931 5.160 298.98 698 88.3 2.251 - 2.500................ 117,360,208 3,194 18.83 36,744 5.363 299.13 733 96.2 2.501 - 2.750................ 21,813,537 520 3.50 41,949 6.528 298.74 699 90.7 2.751 - 3.000................ 40,716,687 1,058 6.53 38,485 5.326 298.65 664 89.9 3.001 - 3.250................ 7,442,428 191 1.19 38,966 5.274 299.38 690 94.8 3.251 - 3.500................ 114,533,667 2,905 18.38 39,426 6.355 299.14 700 98.2 3.501 - 3.750................ 12,524,521 349 2.01 35,887 6.269 298.86 713 95.7 3.751 - 4.000................ 7,656,620 184 1.23 41,612 7.448 298.32 713 96.3 4.001 - 4.250................ 9,788,885 264 1.57 37,079 6.358 299.24 681 93.2 4.251 - 4.500................ 11,681,875 283 1.87 41,279 7.705 298.74 679 96.8 4.501 - 4.750................ 7,924,840 221 1.27 35,859 5.975 299.08 682 97.4 4.751 - 5.000................ 2,132,014 54 0.34 39,482 5.445 299.26 665 96.2 5.001 - 5.250................ 2,026,172 51 0.33 39,729 9.089 299.21 703 94.2 5.251 - 5.500................ 2,225,043 66 0.36 33,713 4.494 299.43 662 96.9 5.501 - 5.750................ 407,935 10 0.07 40,794 8.136 299.43 680 92.9 5.751 - 6.000................ 111,033 3 0.02 37,011 9.268 296.85 688 99.8 6.001 - 6.250................ 3,454,005 88 0.55 39,250 9.789 299.34 619 78.8 6.251 - 6.500................ 1,094,662 30 0.18 36,489 9.710 299.78 584 75.0 6.501 - 6.750................ 214,275 4 0.03 53,569 10.155 300.00 655 82.9 6.751 - 7.000................ 96,548 2 0.02 48,274 8.609 300.00 685 96.2 7.501 - 7.750................ 45,000 1 0.01 45,000 4.250 300.00 594 65.9 8.001 - 8.250................ 36,600 1 0.01 36,600 10.000 300.00 681 90.0 -------------- --------- ----------- Total $623,099,932 15,801 100.00% ============== ========= ===========
As of the Statistical Calculation Date, the weighted average gross margin of the statistical calculation mortgage loans in loan group 1 was approximately 2.335%. 9 The credit limit utilization rates in the following table are determined by dividing the principal balance as of the Statistical Calculation Date for the particular grouping by the aggregate of the credit limits of the related credit line agreements.
Credit Limit Utilization Rates for the Group 1 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Range of Credit Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Limit Utilization Rates (%) Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio --------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- 0.01 - 10.00............... $ 276,463 76 0.04% $ 3,638 4.929% 297.98 715 64.1% 10.01 - 20.00............... 960,108 94 0.15 10,214 4.550 297.72 719 66.0 20.01 - 30.00............... 2,155,563 128 0.35 16,840 4.899 298.84 722 71.5 30.01 - 40.00............... 4,399,126 180 0.71 24,440 4.736 298.24 708 70.4 40.01 - 50.00............... 7,275,308 252 1.17 28,870 4.906 298.93 703 70.7 50.01 - 60.00............... 9,207,253 276 1.48 33,360 4.846 299.09 705 73.7 60.01 - 70.00............... 13,280,947 370 2.13 35,894 4.823 298.97 704 78.1 70.01 - 80.00............... 17,526,326 464 2.81 37,772 4.913 299.03 697 78.9 80.01 - 90.00............... 22,511,797 553 3.61 40,708 4.938 299.00 698 81.9 90.01 - 100.00.............. 545,507,040 13,408 87.55 40,685 5.537 299.10 706 89.9 --------------- --------- ----------- Total $623,099,932 15,801 100.00% =============== ========= ===========
As of the Statistical Calculation Date, the average credit limit utilization rate of the statistical calculation mortgage loans in loan group 1 was approximately 93.77%.
Maximum Loan Rates for the Group 1 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Maximum Loan Rate (%) Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio --------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- 11.949....................... $ 377,658 4 0.06% $ 94,415 4.752% 298.47 695 100.0% 16.000....................... 12,857,633 366 2.06 35,130 5.341 299.11 709 93.1 17.000....................... 51,937,280 1,320 8.34 39,346 5.805 299.06 708 90.1 18.000....................... 553,771,786 14,005 88.87 39,541 5.396 299.09 706 88.2 21.000....................... 4,092,575 105 0.66 38,977 9.534 299.49 604 76.0 24.000....................... 63,000 1 0.01 63,000 3.000 178.00 724 100.0 --------------- --------- ----------- Total $623,099,932 15,801 100.00% =============== ========= ===========
As of the Statistical Calculation Date, the weighted average maximum loan rate of the statistical calculation mortgage loans in loan group 1 was approximately 17.82%. 10
Credit Limits for the Group 1 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Range of Credit Limits (%) Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio --------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- 0.01 - 10,000.00....... $ 94,893 12 0.02% $ 7,908 5.107% 297.67 678 68.6% 10,000.01 - 20,000.00....... 3,609,217 263 0.58 13,723 5.450 298.86 692 74.8 20,000.01 - 30,000.00....... 132,311,518 5,150 21.23 25,692 5.348 299.10 705 91.4 30,000.01 - 40,000.00....... 125,473,343 3,731 20.14 33,630 5.534 299.19 707 90.8 40,000.01 - 50,000.00....... 114,407,420 2,701 18.36 42,357 5.545 299.06 707 88.8 50,000.01 - 60,000.00....... 80,426,884 1,540 12.91 52,225 5.692 299.04 709 90.6 60,000.01 - 70,000.00....... 51,579,309 865 8.28 59,629 5.663 298.94 701 88.2 70,000.01 - 80,000.00....... 31,829,986 489 5.11 65,092 5.180 299.08 693 81.5 80,000.01 - 90,000.00....... 23,493,564 317 3.77 74,112 5.077 299.18 696 82.9 90,000.01 - 100,000.00...... 34,334,177 465 5.51 73,837 5.098 298.92 709 79.5 100,000.01 - 125,000.00...... 11,480,925 126 1.84 91,118 5.186 299.23 709 80.8 125,000.01 - 150,000.00...... 12,282,779 128 1.97 95,959 5.391 299.03 712 79.4 150,000.01 - 175,000.00...... 1,775,917 14 0.29 126,851 4.384 299.36 751 72.7 --------------- --------- ----------- Total $623,099,932 15,801 100.00% =============== ========= ===========
As of the Statistical Calculation Date, the average credit limit of the statistical calculation mortgage loans in loan group 1 was approximately $43,128.
Lien Priority for the Group 1 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Lien Priority Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio --------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- Second Liens................. $623,099,932 15,801 100.00% $ 39,434 5.455% 299.08 706 88.4% --------------- --------- ----------- Total $623,099,932 15,801 100.00% =============== ========= ===========
Delinquency Status for the Group 1 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Delinquency Status Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio --------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- Current...................... $620,930,420 15,749 99.65% $ 39,427 5.449% 299.10 706 88.4% 30 - 59 Days................. 2,169,513 52 0.35 41,721 7.241 293.83 694 91.4 --------------- --------- ----------- Total $623,099,932 15,801 100.00% =============== ========= ===========
Origination Year for the Group 1 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Origination Year Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio --------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- 1997......................... $ 55,355 2 0.01 $ 27,677 6.200 219.00 720 78.3 1998......................... 49,922 2 0.01 24,961 7.408 225.65 629 77.7 2002......................... 90,000 1 0.01 90,000 6.375 273.00 751 91.6 2003......................... 1,563,707 64 0.25 24,433 6.812 290.05 696 85.0 2004......................... 621,340,949 15,732 99.72 39,495 5.451 299.12 706 88.4 --------------- --------- ----------- Total $623,099,932 15,801 100.00% =============== ========= ===========
11
Loan Group 2 Principal Balances for the Group 2 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Range of Principal Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Balances ($) Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio --------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- 0.01 - 10,000.00......... $ 10,885,790 1,667 1.72% $ 6,530 4.915% 298.36 713 81.5% 10,000.01 - 20,000.00......... 69,402,779 4,364 10.95 15,903 5.334 299.04 707 87.8 20,000.01 - 30,000.00......... 14,713,914 625 2.32 23,542 5.336 299.02 704 84.9 30,000.01 - 40,000.00......... 20,734,172 557 3.27 37,225 5.503 299.19 705 85.8 40,000.01 - 50,000.00......... 40,664,537 883 6.42 46,053 5.650 299.16 709 85.6 50,000.01 - 60,000.00......... 46,511,700 831 7.34 55,971 5.656 299.29 714 88.7 60,000.01 - 70,000.00......... 55,530,205 844 8.76 65,794 5.870 299.28 713 90.7 70,000.01 - 80,000.00......... 68,360,540 907 10.79 75,370 6.078 298.87 716 92.1 80,000.01 - 90,000.00......... 55,628,333 652 8.78 85,320 6.100 298.68 714 92.0 90,000.01 - 100,000.00........ 56,814,831 592 8.97 95,971 6.151 298.80 714 90.7 100,000.01 - 125,000.00........ 28,615,175 253 4.52 113,103 5.648 298.89 713 89.3 125,000.01 - 150,000.00........ 37,870,528 266 5.98 142,370 5.627 299.24 702 83.8 150,000.01 - 175,000.00........ 14,589,934 89 2.30 163,932 5.349 299.44 715 84.2 175,000.01 - 200,000.00........ 17,640,020 92 2.78 191,739 5.154 298.95 716 83.3 200,000.01 - 225,000.00........ 7,917,349 37 1.25 213,982 5.246 299.10 728 81.6 225,000.01 - 250,000.00........ 13,953,293 58 2.20 240,574 5.175 299.26 726 81.3 250,000.01 - 275,000.00........ 5,838,426 22 0.92 265,383 5.736 299.22 718 87.1 275,000.01 - 300,000.00........ 10,572,460 36 1.67 293,679 5.250 299.31 707 76.8 300,000.01 - 325,000.00........ 3,695,249 12 0.58 307,937 4.371 299.59 758 81.7 325,000.01 - 350,000.00........ 5,437,750 16 0.86 339,859 5.958 298.99 726 88.1 350,000.01 - 375,000.00........ 2,903,932 8 0.46 362,991 5.296 298.75 741 84.3 375,000.01 - 400,000.00........ 3,525,530 9 0.56 391,726 5.064 299.56 718 76.0 400,000.01 - 425,000.00........ 4,182,750 10 0.66 418,275 5.555 299.10 719 86.5 425,000.01 - 450,000.00........ 3,092,202 7 0.49 441,743 4.684 298.87 743 78.5 450,000.01 - 475,000.00........ 2,771,700 6 0.44 461,950 4.467 299.33 726 85.7 475,000.01 - 500,000.00........ 7,455,964 15 1.18 497,064 4.880 298.80 733 85.5 500,000.01 - 525,000.00........ 520,000 1 0.08 520,000 4.875 299.00 734 100.0 525,000.01 - 550,000.00........ 1,075,500 2 0.17 537,750 4.376 300.00 761 95.0 550,000.01 - 575,000.00........ 1,131,000 2 0.18 565,500 4.861 299.50 708 71.7 575,000.01 - 600,000.00........ 591,120 1 0.09 591,120 5.750 300.00 770 80.0 600,000.01 - 625,000.00........ 1,825,500 3 0.29 608,500 5.544 299.00 723 73.9 625,000.01 - 650,000.00........ 647,000 1 0.10 647,000 6.875 299.00 724 89.9 650,000.01 - 675,000.00........ 660,000 1 0.10 660,000 4.250 300.00 797 78.2 675,000.01 - 700,000.00........ 677,461 1 0.11 677,461 3.990 299.00 693 77.2 700,000.01 - 725,000.00........ 1,443,536 2 0.23 721,768 6.940 299.50 740 84.9 725,000.01 - 750,000.00........ 748,278 1 0.12 748,278 3.990 299.00 762 80.0 750,000.01 - 775,000.00........ 1,513,356 2 0.24 756,678 4.878 300.00 730 82.7 800,000.01 - 825,000.00........ 814,000 1 0.13 814,000 5.875 300.00 674 80.0 825,000.01 - 850,000.00........ 850,000 1 0.13 850,000 4.875 298.00 720 64.5 850,000.01 - 875,000.00........ 1,709,000 2 0.27 854,500 5.374 299.00 736 77.0 900,000.01 - 925,000.00........ 910,000 1 0.14 910,000 4.250 300.00 756 100.0 925,000.01 - 950,000.00........ 941,800 1 0.15 941,800 3.990 299.00 710 90.0 975,000.01 - 1,000,000.00...... 1,980,000 2 0.31 990,000 4.374 299.49 719 59.1 Greater than 1,000,000.00...... 6,244,000 5 0.99 1,248,800 5.457 298.57 754 83.8 --------------- --------- ----------- Total $633,590,615 12,888 100.00% =============== ========= ===========
As of the Statistical Calculation Date, the average principal balance of the statistical calculation mortgage loans in loan group 2 was approximately $49,161. 12
Loan Programs for the Group 2 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Description of Loan Programs Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio --------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- 10 Year Draw, 20 Year Repay.... $ 34,098 2 0.01% $ 17,049 5.889% 350.02 701 76.4% 5 Year Draw, 5 Year Repay...... 11,000 1 0.00 11,000 7.000 115.00 709 100.0 5 Year Draw, 10 Year Repay..... 186,373 2 0.03 93,187 5.009 179.00 754 80.6 10 Year Draw, 15 Year Repay.... 631,799,695 12,859 99.72 49,133 5.652 299.19 714 87.5 15 Year Draw, 0 Year Repay..... 597,666 8 0.09 74,708 5.407 179.22 713 90.2 15 Year Draw, 10 Year Repay.... 961,782 16 0.15 60,111 4.053 299.73 704 93.6 --------------- --------- ----------- Total $633,590,615 12,888 100.00% =============== ========= ===========
Loan Rates for the Group 2 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Range of Loans Rates (%) Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio --------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- Less than or equal to 3.000.... $ 5,951,294 80 0.94% $ 74,391 2.987% 298.99 723 85.1% 3.001 - 3.500................. 24,949,268 423 3.94 58,982 3.281 298.20 720 88.9 3.501 - 4.000................. 110,024,708 3,069 17.37 35,850 3.988 299.55 699 84.2 4.001 - 4.500................. 139,156,327 2,998 21.96 46,416 4.423 299.48 724 88.5 4.501 - 5.000................. 32,180,344 498 5.08 64,619 4.915 298.34 730 75.6 5.001 - 5.500................. 45,004,960 547 7.10 82,276 5.365 299.06 715 78.7 5.501 - 6.000................. 23,736,928 337 3.75 70,436 5.812 298.37 706 81.5 6.001 - 6.500................. 31,133,709 748 4.91 41,623 6.339 298.17 720 85.7 6.501 - 7.000................. 70,286,887 1,467 11.09 47,912 6.848 298.78 726 90.6 7.001 - 7.500................. 47,834,767 914 7.55 52,336 7.293 298.51 691 89.7 7.501 - 8.000................. 62,170,119 1,049 9.81 59,266 7.950 299.09 721 97.2 8.001 - 8.500................. 13,836,706 268 2.18 51,629 8.303 299.22 716 94.1 8.501 - 9.000................. 18,483,367 298 2.92 62,025 8.869 299.27 693 95.0 9.001 - 9.500................. 3,056,584 75 0.48 40,754 9.241 298.74 697 95.0 9.501 - 10.000................ 2,983,060 52 0.47 57,367 9.755 299.26 686 95.2 10.001 - 10.500................ 682,776 15 0.11 45,518 10.344 299.61 650 90.7 10.501 - 11.000................ 2,118,811 50 0.33 42,376 10.713 299.23 633 86.9 --------------- --------- ----------- Total $633,590,615 12,888 100.00% =============== ========= ===========
As of the Statistical Calculation Date, the weighted average loan rate of the statistical calculation mortgage loans in loan group 2 was approximately 5.649%. 13
Months Remaining to Scheduled Maturity for the Group 2 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Range of Months Remaining to Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Scheduled Maturity Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio --------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- 97 - 108..................... $ 5,000 1 0.00% $ 5,000 4.750% 101.00 780 78.8% 109 - 120.................... 11,000 1 0.00 11,000 7.000 115.00 709 100.0 169 - 180.................... 779,040 9 0.12 86,560 5.316 179.67 722 88.0 217 - 228.................... 39,513 4 0.01 9,878 7.426 223.52 693 88.7 253 - 264.................... 42,500 1 0.01 42,500 6.875 263.00 701 90.0 265 - 276.................... 23,958 2 0.00 11,979 4.734 270.25 746 74.1 277 - 288.................... 1,181,254 107 0.19 11,040 5.840 286.13 734 78.2 289 - 300.................... 631,474,251 12,761 99.67 49,485 5.649 299.22 714 87.6 349 - 360.................... 34,098 2 0.01 17,049 5.889 350.02 701 76.4 --------------- --------- ----------- Total $633,590,615 12,888 100.00% =============== ========= ===========
As of the Statistical Calculation Date, the weighted average remaining months to scheduled maturity of the statistical calculation mortgage loans in loan group 2 was approximately 299. The above table assumes that the draw period for the mortgage loans with (a) five year draw periods and fifteen year repayment periods will be extended for an additional five years and (b) five year draw periods and ten year repayment periods will not be extended.
Combined Loan-to-Value Ratios for the Group 2 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Range of Combined Loan-to- Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Value Ratio (%) Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio --------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- 10.01 - 20.00............... $ 37,345 3 0.01% $ 12,448 3.990% 300.00 779 14.4% 20.01 - 30.00............... 270,777 21 0.04 12,894 4.498 298.98 756 26.4 30.01 - 40.00............... 2,644,999 56 0.42 47,232 4.701 298.81 722 36.4 40.01 - 50.00............... 5,081,801 125 0.80 40,654 4.688 298.98 718 45.5 50.01 - 60.00............... 10,897,716 264 1.72 41,279 4.880 299.14 715 55.6 60.01 - 70.00............... 44,264,861 921 6.99 48,062 4.768 298.47 707 66.9 70.01 - 80.00............... 104,368,721 1,759 16.47 59,334 4.911 299.06 715 78.0 80.01 - 90.00............... 238,990,598 5,453 37.72 43,827 5.763 299.17 708 88.8 90.01 - 100.00.............. 227,033,796 4,286 35.83 52,971 6.111 299.00 721 97.8 -------------- --------- ----------- Total $633,590,615 12,888 100.00% ============== ========= ===========
As of the Statistical Calculation Date, the weighted combined average loan-to-value ratio of the statistical calculation mortgage loans in loan group 2 was approximately 87.56%. 14 The geographic location used for the following table is determined by the address of the mortgaged property securing the related mortgage loan.
Geographic Distribution for the Group 2 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- State Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio --------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- Alaska...................... $ 1,799,856 21 0.28% $ 85,707 5.019% 298.80 736 78.8% Alabama..................... 2,953,515 140 0.47 21,097 5.340 299.19 712 94.2 Arizona..................... 18,321,146 417 2.89 43,936 5.564 299.07 715 87.8 California.................. 180,764,113 3,056 28.53 59,151 6.110 298.87 712 89.2 Colorado.................... 21,267,954 418 3.36 50,880 5.351 299.28 717 89.7 Connecticut................. 10,511,231 170 1.66 61,831 5.362 299.23 704 83.9 District of Columbia........ 1,657,703 24 0.26 69,071 6.889 299.50 709 88.1 Delaware.................... 1,629,209 36 0.26 45,256 5.375 299.18 713 87.1 Florida..................... 53,146,613 901 8.39 58,986 5.896 299.12 713 86.6 Georgia..................... 10,368,180 255 1.64 40,660 4.955 298.13 715 89.7 Hawaii...................... 14,536,450 188 2.29 77,322 5.544 299.30 722 83.1 Iowa........................ 1,182,632 68 0.19 17,392 5.236 299.31 712 89.6 Idaho....................... 2,815,874 105 0.44 26,818 5.338 298.97 719 86.7 Illinois.................... 29,650,595 573 4.68 51,746 5.170 299.26 718 85.8 Indiana..................... 3,223,362 175 0.51 18,419 5.234 299.35 704 92.4 Kansas...................... 2,450,300 99 0.39 24,751 5.078 299.15 714 91.8 Kentucky.................... 2,874,873 115 0.45 24,999 5.024 299.02 717 91.6 Louisiana................... 2,492,650 128 0.39 19,474 5.229 298.99 696 89.0 Massachusetts............... 26,288,767 342 4.15 76,868 5.746 299.19 714 84.9 Maryland.................... 11,928,947 253 1.88 47,150 5.415 299.08 708 88.6 Maine....................... 705,797 35 0.11 20,166 5.158 299.58 688 86.4 Michigan.................... 8,601,748 336 1.36 25,600 4.985 299.15 706 87.0 Minnesota................... 6,212,423 166 0.98 37,424 5.455 299.16 706 88.3 Missouri.................... 3,849,307 223 0.61 17,261 5.313 299.16 712 90.1 Mississippi................. 1,103,462 50 0.17 22,069 5.293 299.01 723 91.3 Montana..................... 1,447,829 42 0.23 34,472 5.079 299.62 721 81.6 North Carolina.............. 7,977,706 248 1.26 32,168 5.136 299.19 709 88.0 North Dakota................ 54,110 4 0.01 13,528 5.397 299.56 771 84.1 Nebraska.................... 250,171 15 0.04 16,678 4.685 299.49 699 92.7 New Hampshire............... 2,020,649 59 0.32 34,248 5.071 299.28 726 84.8 New Jersey.................. 41,082,954 622 6.48 66,050 5.346 298.76 719 84.3 New Mexico.................. 2,382,799 74 0.38 32,200 5.590 299.29 723 90.6 Nevada...................... 33,576,857 516 5.30 65,071 5.906 299.18 713 86.7 New York.................... 37,702,417 610 5.95 61,807 5.288 299.30 717 83.5 Ohio........................ 5,415,525 279 0.85 19,410 5.408 299.07 715 92.6 Oklahoma.................... 1,836,536 86 0.29 21,355 5.779 299.18 711 89.7 Oregon...................... 6,367,808 157 1.01 40,559 5.392 299.30 720 91.3 Pennsylvania................ 8,363,397 359 1.32 23,296 5.233 299.12 709 90.2 Rhode Island................ 1,857,180 35 0.29 53,062 5.094 299.11 721 78.8 South Carolina.............. 2,797,713 120 0.44 23,314 5.297 299.20 715 88.6 South Dakota................ 95,884 7 0.02 13,698 6.049 298.81 683 93.9 Tennessee................... 5,640,452 196 0.89 28,778 5.149 298.98 724 91.9 Texas....................... 3,368,051 66 0.53 51,031 5.589 299.31 721 87.6 Utah........................ 4,285,355 145 0.68 29,554 5.310 299.22 713 91.5 Virginia.................... 22,226,496 365 3.51 60,895 5.459 298.77 716 88.7 Vermont..................... 363,274 9 0.06 40,364 4.217 299.55 687 73.4 Washington.................. 19,194,192 373 3.03 51,459 5.638 299.27 714 88.8 Wisconsin................... 4,129,493 159 0.65 25,972 4.687 299.02 719 86.7 West Virginia............... 431,120 26 0.07 16,582 5.199 294.59 696 93.1 Wyoming..................... 385,939 22 0.06 17,543 4.942 298.84 708 85.4 ------------- --------- ----------- Total $633,590,615 12,888 100.00% ============= ========= ===========
15
Credit Scores for the Mortgage Loans for the Group 2 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Range of Credit Scores Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio --------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- 841 - 850.................... $ 267,983 3 0.04% $ 89,328 4.395% 298.96 842 81.1% 821 - 840.................... 520,676 33 0.08 15,778 5.523 299.16 826 80.3 801 - 820.................... 11,827,392 247 1.87 47,884 5.183 299.21 809 85.5 781 - 800.................... 33,133,587 659 5.23 50,279 5.291 298.93 789 86.2 761 - 780.................... 64,709,705 1,198 10.21 54,015 5.462 298.80 770 88.1 741 - 760.................... 77,527,392 1,509 12.24 51,377 5.664 298.85 750 87.8 721 - 740.................... 93,364,312 1,752 14.74 53,290 5.742 299.16 730 89.4 701 - 720.................... 107,982,877 2,031 17.04 53,167 5.743 299.13 710 88.8 681 - 700.................... 87,411,919 1,778 13.80 49,163 5.841 299.05 690 87.7 661 - 680.................... 77,770,209 1,645 12.27 47,277 5.729 299.18 671 86.8 641 - 660.................... 43,597,941 1,120 6.88 38,927 5.433 298.97 652 85.7 621 - 640.................... 30,461,803 778 4.81 39,154 5.384 299.08 631 83.0 601 - 620.................... 4,219,053 110 0.67 38,355 6.019 299.18 615 84.1 581 - 600.................... 573,969 19 0.09 30,209 8.575 298.49 592 82.1 561 - 580.................... 183,986 4 0.03 45,997 10.728 300.00 579 81.0 560 or less.................. 37,812 2 0.01 18,906 10.496 299.52 541 85.2 ------------- --------- ----------- Total $633,590,615 12,888 100.00% ============= ========= ===========
As of the Statistical Calculation Date, the weighted average credit score of the statistical calculation mortgage loans in loan group 2 was approximately 714.
Property Type for the Group 2 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Property Type Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio --------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- Single Family.................. $428,953,893 9,140 67.70% $ 46,932 5.564% 298.99 713 86.6% Planned Unit Development (PUD). 119,606,391 2,113 18.88 56,605 5.609 299.14 714 88.8 Low-Rise Condominium........... 51,026,033 1,103 8.05 46,261 5.918 299.09 723 91.2 2 to 4 Family.................. 25,379,547 380 4.01 66,788 6.434 299.15 712 90.9 High-Rise Condominium.......... 7,949,609 126 1.25 63,092 6.728 299.30 720 88.1 Manufactured Housing (1)....... 675,142 26 0.11 25,967 4.260 299.61 686 76.6 ------------- --------- ----------- Total $633,590,615 12,888 100.00% ============= ========= ===========
- ----------------- (1) Treated as real property. 16
Gross Margins for the Group 2 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Range of Gross Margins (%) Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio --------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- Less than or equal to 0.000... $51,237,574 742 8.09% $ 69,053 4.294% 298.94 739 77.4% 0.001 - 0.250................. 11,820,346 233 1.87 50,731 4.145 298.83 711 70.5 0.251 - 0.500................. 53,378,386 932 8.42 57,273 4.496 298.96 726 78.3 0.501 - 0.750................. 22,447,995 241 3.54 93,145 4.740 298.60 720 77.1 0.751 - 1.000................. 35,246,134 454 5.56 77,635 5.187 299.17 714 80.4 1.001 - 1.250................. 23,676,188 532 3.74 44,504 4.816 298.92 678 77.6 1.251 - 1.500................. 15,197,208 299 2.40 50,827 5.115 298.66 715 84.7 1.501 - 1.750................. 14,008,142 294 2.21 47,647 5.390 299.23 705 82.1 1.751 - 2.000................. 48,735,153 1,420 7.69 34,321 5.085 298.78 734 88.9 2.001 - 2.250................. 45,959,557 1,010 7.25 45,505 5.154 299.20 714 88.5 2.251 - 2.500................. 87,674,232 2,023 13.84 43,339 5.771 299.15 733 93.5 2.501 - 2.750................. 49,855,824 875 7.87 56,978 6.472 299.03 704 90.9 2.751 - 3.000................. 32,144,285 811 5.07 39,635 5.629 298.94 668 89.7 3.001 - 3.250................. 8,828,998 182 1.39 48,511 5.796 299.30 689 91.4 3.251 - 3.500................. 77,934,426 1,562 12.30 49,894 6.895 299.09 710 97.6 3.501 - 3.750................. 12,419,972 349 1.96 35,587 6.828 299.30 705 94.1 3.751 - 4.000................. 7,026,378 127 1.11 55,326 7.706 299.41 716 95.1 4.001 - 4.250................. 10,530,661 275 1.66 38,293 7.476 299.33 691 93.2 4.251 - 4.500................. 13,001,127 198 2.05 65,662 8.417 299.34 685 96.0 4.501 - 4.750................. 4,349,198 139 0.69 31,289 7.035 299.11 682 95.2 4.751 - 5.000................. 1,748,113 50 0.28 34,962 6.645 299.23 680 96.6 5.001 - 5.250................. 3,005,489 50 0.47 60,110 9.436 299.36 687 93.2 5.251 - 5.500................. 415,371 18 0.07 23,076 6.911 298.71 661 95.2 5.501 - 5.750................. 239,255 4 0.04 59,814 10.241 299.44 668 95.0 5.751 - 6.000................. 58,200 1 0.01 58,200 10.375 298.00 656 95.0 6.001 - 6.250................. 2,101,170 53 0.33 39,645 10.316 299.57 640 86.8 6.251 - 6.500................. 551,234 14 0.09 39,374 10.303 298.67 606 86.4 ------------ --------- ------------ Total $633,590,615 12,888 100.00% ============ ========= ============
As of the Statistical Calculation Date, the weighted average gross margin of the statistical calculation mortgage loans in loan group 2 was approximately 2.099%. 17 The credit limit utilization rates in the following table are determined by dividing the principal balance as of the Statistical Calculation Date for the particular grouping by the aggregate of the credit limits of the related credit line agreements.
Credit Limit Utilization Rates for the Group 2 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Range of Credit Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Limit Utilization Rates (%) Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio --------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- 0.01 - 10.00............... $ 1,951,463 405 0.31% $ 4,818 5.286% 297.81 724 76.3% 10.01 - 20.00............... 4,986,991 422 0.79 11,818 5.139 298.09 729 74.6 20.01 - 30.00............... 8,332,838 441 1.32 18,895 4.985 298.47 718 77.6 30.01 - 40.00............... 10,906,392 497 1.72 21,944 4.932 298.69 712 78.0 40.01 - 50.00............... 13,470,990 540 2.13 24,946 4.903 299.00 712 80.1 50.01 - 60.00............... 15,236,562 474 2.40 32,145 4.960 299.14 710 81.1 60.01 - 70.00............... 15,590,650 498 2.46 31,307 5.018 298.98 708 81.8 70.01 - 80.00............... 15,483,413 401 2.44 38,612 5.006 299.11 702 83.1 80.01 - 90.00............... 14,410,017 285 2.27 50,561 5.141 298.96 701 83.7 90.01 - 100.00.............. 533,221,298 8,925 84.16 59,745 5.770 299.07 715 88.8 ------------- --------- ----------- Total $633,590,615 12,888 100.00% ============= ========= ===========
As of the Statistical Calculation Date, the average credit limit utilization rate of the statistical calculation mortgage loans in loan group 2 was approximately 82.71%.
Maximum Loan Rates for the Group 2 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Maximum Loan Rates (%) Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio --------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- 11.949....................... $ 1,478,312 7 0.23% $211,187 4.597% 298.88 738 91.8% 12.500....................... 10,000 1 0.00 10,000 6.375 224.00 785 90.0 16.000....................... 8,667,956 261 1.37 33,211 5.321 299.20 710 87.7 17.000....................... 56,126,228 963 8.86 58,283 5.883 299.13 713 86.6 18.000....................... 565,412,101 11,601 89.24 48,738 5.618 299.03 714 87.6 21.000....................... 1,896,019 55 0.30 34,473 10.152 299.43 615 84.0 ------------- --------- ----------- Total $633,590,615 12,888 100.00% ============= ========= ===========
As of the Statistical Calculation Date, the weighted average maximum loan rate of the statistical calculation mortgage loans in loan group 2 was approximately 17.879%. 18
Credit Limits for the Group 2 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Range of Credit Limits ($) Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio --------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- 0.01 - 10,000.00....... $ 2,376,245 301 0.38% $ 7,895 5.204% 298.96 708 86.7% 10,000.01 - 20,000.00....... 55,087,031 3,792 8.69 14,527 5.417 299.02 708 89.0 20,000.01 - 30,000.00....... 20,122,556 1,277 3.18 15,758 5.073 299.07 703 86.6 30,000.01 - 40,000.00....... 19,866,957 787 3.14 25,244 5.546 299.13 705 86.3 40,000.01 - 50,000.00....... 36,921,454 1,035 5.83 35,673 5.696 299.22 706 86.4 50,000.01 - 60,000.00....... 41,548,942 828 6.56 50,180 5.729 299.28 715 89.9 60,000.01 - 70,000.00....... 52,613,069 878 8.30 59,924 5.926 299.29 714 91.7 70,000.01 - 80,000.00....... 66,479,385 971 10.49 68,465 6.104 298.99 716 92.6 80,000.01 - 90,000.00....... 54,339,292 705 8.58 77,077 6.146 298.51 714 92.4 90,000.01 - 100,000.00...... 64,860,110 865 10.24 74,983 5.979 298.83 713 88.6 100,000.01 - 125,000.00...... 30,978,929 324 4.89 95,614 5.639 298.86 712 88.8 125,000.01 - 150,000.00...... 46,293,069 439 7.31 105,451 5.618 299.17 702 82.7 150,000.01 - 175,000.00...... 15,490,065 123 2.44 125,935 5.303 299.43 710 83.9 175,000.01 - 200,000.00...... 21,643,663 172 3.42 125,835 5.100 298.92 718 82.8 200,000.01 - 225,000.00...... 9,343,244 62 1.47 150,697 5.198 299.00 728 81.3 225,000.01 - 250,000.00...... 14,253,763 72 2.25 197,969 5.144 299.24 729 81.6 250,000.01 - 275,000.00...... 6,182,781 29 0.98 213,199 5.690 299.23 715 84.9 275,000.01 - 300,000.00...... 12,550,362 62 1.98 202,425 5.265 299.17 710 78.0 300,000.01 - 325,000.00...... 3,362,796 15 0.53 224,186 4.344 299.58 755 82.7 325,000.01 - 350,000.00...... 6,212,223 25 0.98 248,489 5.745 299.09 729 86.0 350,000.01 - 375,000.00...... 2,293,244 9 0.36 254,805 5.581 299.27 719 87.4 375,000.01 - 400,000.00...... 4,168,592 15 0.66 277,906 4.635 299.34 722 76.0 400,000.01 - 425,000.00...... 4,752,774 12 0.75 396,065 5.358 299.10 729 88.2 425,000.01 - 450,000.00...... 3,436,581 12 0.54 286,382 4.942 298.69 749 79.3 450,000.01 - 475,000.00...... 2,827,700 7 0.45 403,957 4.475 299.30 727 85.6 475,000.01 - 500,000.00...... 8,796,146 30 1.39 293,205 4.800 298.77 735 80.1 500,000.01 - 525,000.00...... 521,568 2 0.08 260,784 4.874 299.00 734 100.0 525,000.01 - 550,000.00...... 1,552,392 3 0.25 517,464 4.721 299.39 743 94.5 550,000.01 - 575,000.00...... 1,131,000 2 0.18 565,500 4.861 299.50 708 71.7 575,000.01 - 600,000.00...... 891,120 2 0.14 445,560 5.245 300.00 756 83.3 600,000.01 - 625,000.00...... 1,825,500 3 0.29 608,500 5.544 299.00 723 73.9 625,000.01 - 650,000.00...... 754,057 3 0.12 251,352 6.577 298.90 723 89.3 650,000.01 - 675,000.00...... 1,029,500 2 0.16 514,750 3.801 299.28 792 73.5 675,000.01 - 700,000.00...... 1,066,941 2 0.17 533,470 5.591 299.00 715 83.1 700,000.01 - 725,000.00...... 1,130,665 2 0.18 565,333 5.659 299.27 772 76.2 725,000.01 - 750,000.00...... 748,278 1 0.12 748,278 3.990 299.00 762 80.0 750,000.01 - 775,000.00...... 1,513,356 2 0.24 756,678 4.878 300.00 730 82.7 775,000.01 - 800,000.00...... 250,000 1 0.04 250,000 3.990 300.00 726 87.2 800,000.01 - 825,000.00...... 1,014,000 2 0.16 507,000 5.850 299.80 688 80.0 825,000.01 - 850,000.00...... 850,000 1 0.13 850,000 4.875 298.00 720 64.5 850,000.01 - 875,000.00...... 2,432,536 3 0.38 810,845 6.193 299.00 715 80.8 900,000.01 - 925,000.00...... 910,000 1 0.14 910,000 4.250 300.00 756 100.0 925,000.01 - 950,000.00...... 941,800 1 0.15 941,800 3.990 299.00 710 90.0 975,000.01 - 1,000,000.00.... 1,980,000 2 0.31 990,000 4.374 299.49 719 59.1 Greater than 1,000,000.00.... 6,246,931 6 0.99 1,041,155 5.457 298.57 754 83.8 ------------- --------- ----------- Total $633,590,615 12,888 100.00% ============= ========= ===========
As of the Statistical Calculation Date, the average credit limit of the statistical calculation mortgage loans in loan group 2 was approximately $61,109. 19
Lien Priority for the Group 2 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Lien Priority Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio --------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- Second Liens................. $633,590,615 12,888 100.00% $ 49,161 5.649% 299.04 714 87.6% ------------- --------- ----------- Total $633,590,615 12,888 100.00% ============= ========= ===========
Delinquency Status for the Group 2 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Delinquency Status Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio --------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- Current...................... $630,863,903 12,843 99.57% $ 49,121 5.644% 299.05 714 87.5% 30 - 59 Days................. 2,726,712 45 0.43 60,594 6.853 296.12 698 89.6 ------------- --------- ----------- Total $633,590,615 12,888 100.00% ============= ========= ===========
Origination Year for the Group 2 Mortgage Loans Percent of Weighted Weighted Weighted Weighted Aggregate Number Aggregate Average Average Average Average Average Principal of Principal Current Gross Remaining Credit Combined Balance Mortgage Balance Principal Mortgage Term Bureau Loan-to- Origination Year Outstanding Loans Outstanding Balance Rate (months) Risk Score Value Ratio --------------------------- ----------- -------- ----------- ------- -------- -------- ---------- ----------- 1998......................... $ 44,513 5 0.01% $ 8,903 7.126% 209.75 703 87.6% 2001......................... 42,500 1 0.01 42,500 6.875 263.00 701 90.0 2002......................... 27,091 3 0.00 9,030 4.707 271.26 752 70.5 2003......................... 2,339,836 174 0.37 13,447 5.894 288.82 727 80.9 2004......................... 631,136,675 12,705 99.61 49,676 5.648 299.09 714 87.6 ------------- --------- ----------- Total $633,590,615 12,888 100.00% ============= ========= ===========
20 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 applicable Cut-off Date. All percentages in the Tables were calculated based on the principal balance of the Initial Mortgage Loans as of theInitial Cut-off Date. The sum of the columns may not equal the respective totals due to rounding. 21 Section 9. - ---------- Item 9.01. Financial Statements, Pro Forma Financial Information and Exhibits. - ---- ------------------------------------------------------------------ (a) Not applicable. (b) Not applicable. 22 SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized. CWABS, INC. By: /s/ Celia Coulter ----------------------- Name: Celia Coulter Title: Vice President Dated: October 15, 2004 23 -----END PRIVACY-ENHANCED MESSAGE-----