-----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, UoYu9LEh7rgZiSAxQND0fZ0cV53CjmTyI49XOmEm9NuOiUGpPVn2iKZWJorfcG8P oFe3CoEScqQYI06GxRIVFg== 0000905148-04-004512.txt : 20041015 0000905148-04-004512.hdr.sgml : 20041015 20041015170836 ACCESSION NUMBER: 0000905148-04-004512 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-N CENTRAL INDEX KEY: 0001304796 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: 333-109272-26 FILM NUMBER: 041081647 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 efc4-1877_5608590form8k.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)) 1 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 29, 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-N. _____________________________ * 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, 2004 of CWABS, Inc., relating to its CWABS Revolving Home Equity Loan Trust 2004-N, Revolving Home Equity Loan Asset-Backed Notes, Series 2004-N. 2 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
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Range of Principal Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Balances ($) Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ 0.01 - 10,000.00..... $ 3,103,025 484 0.62% $ 6,411 6.207% 296.52 718 80.3% 10,000.01 - 20,000.00..... 53,875,504 3,388 10.84 15,902 6.969 296.40 703 87.5 20,000.01 - 30,000.00..... 111,746,783 4,363 22.48 25,612 6.996 296.93 705 90.4 30,000.01 - 40,000.00..... 101,373,261 2,903 20.39 34,920 7.026 297.12 704 90.5 40,000.01 - 50,000.00..... 82,994,646 1,829 16.69 45,377 6.916 296.96 706 90.1 50,000.01 - 60,000.00..... 52,623,099 957 10.58 54,988 6.923 297.46 701 90.9 60,000.01 - 70,000.00..... 33,644,459 522 6.77 64,453 6.800 297.16 703 90.0 70,000.01 - 80,000.00..... 18,664,022 247 3.75 75,563 6.640 297.51 685 82.8 80,000.01 - 90,000.00..... 11,571,887 136 2.33 85,087 6.748 296.64 691 84.0 90,000.01 - 100,000.00..... 13,081,370 135 2.63 96,899 6.565 297.52 688 80.0 100,000.01 - 125,000.00..... 6,154,562 54 1.24 113,973 5.858 296.07 707 82.7 125,000.01 - 150,000.00..... 7,856,948 56 1.58 140,303 5.722 296.34 704 79.2 150,000.01 - 175,000.00..... 484,942 3 0.10 161,647 4.835 295.29 760 79.4 --------------- ---------- ------------- Total $497,174,508 15,077 100.00% =============== ========== =============
As of the Statistical Calculation Date, the average principal balance of the statistical calculation mortgage loans in loan group 1 was approximately $32,976. Loan Programs for the Group 1 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Description of Loans Programs Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ 10 Year Draw, 20 Year Repay. $ 5,799,617 162 1.17% $ 35,800 5.402% 350.98 715 99.8% 10 Year Draw, 0 Year Repay. 340,210 10 0.07 34,021 5.412 109.00 738 100.0 5 Year Draw, 5 Year Repay. 446,059 19 0.09 23,477 7.224 115.13 730 96.6 10 Year Draw, 15 Year Repay. 490,532,560 14,884 98.66 32,957 6.911 296.66 703 88.9 15 Year Draw, 0 Year Repay. 33,000 1 0.01 33,000 9.000 178.00 720 97.1 15 Year Draw, 10 Year Repay. 23,064 1 (1) 23,064 6.000 295.00 736 86.4 --------------- ---------- ------------- Total $497,174,508 15,077 100.00% =============== ========== ============= _____________________ (1) Less than 0.01%.
3 Loan Rates for the Group 1 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Range of Loan Rates (%) Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ Less than or equal to 3.000. $ 12,445,458 348 2.50% $ 35,763 3.000% 297.79 703 93.5% 3.001 - 3.500............. 1,705,610 47 0.34 36,290 3.250 298.10 691 91.0 3.501 - 4.000............. 2,419,386 76 0.49 31,834 3.990 299.59 682 85.0 4.001 - 4.500............. 21,964,743 644 4.42 34,107 4.490 296.62 741 70.9 4.501 - 5.000............. 36,292,103 963 7.30 37,687 4.908 298.55 712 75.3 5.001 - 5.500............. 19,489,835 456 3.92 42,741 5.374 300.90 705 81.1 5.501 - 6.000............. 31,240,990 881 6.28 35,461 5.764 299.45 667 75.2 6.001 - 6.500............. 44,611,774 1,606 8.97 27,778 6.346 296.39 724 86.3 6.501 - 7.000............. 136,416,459 4,313 27.44 31,629 6.924 296.45 727 94.7 7.001 - 7.500............. 45,697,416 1,433 9.19 31,889 7.411 296.58 672 90.1 7.501 - 8.000............. 85,999,485 2,494 17.30 34,483 7.980 296.45 700 98.0 8.001 - 8.500............. 14,764,625 483 2.97 30,569 8.284 296.45 709 95.8 8.501 - 9.000............. 11,903,047 372 2.39 31,997 8.824 296.48 673 94.3 9.001 - 9.500............. 5,939,087 203 1.19 29,257 9.218 296.06 677 96.6 9.501 - 10.000............. 1,760,323 61 0.35 28,858 9.861 296.73 686 94.4 10.001 - 10.500............. 4,557,229 123 0.92 37,051 10.267 298.37 632 80.3 10.501 - 11.000............. 19,148,803 552 3.85 34,690 10.696 295.03 609 78.8 11.001 - 11.500............. 606,674 19 0.12 31,930 11.251 296.94 631 80.2 12.001 - 12.500............. 211,462 3 0.04 70,487 12.125 298.11 579 62.2 --------------- ---------- ------------- Total $497,174,508 15,077 100.00% =============== ========== ============= As of the Statistical Calculation Date, the weighted average loan rate of the statistical calculation mortgage loans in loan group 1 was approximately 6.893%.
Months Remaining to Scheduled Maturity for the Group 1 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Range of Months Remaining to Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Scheduled Maturity Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ 109 - 120................... $ 786,269 29 0.16% $ 27,113 6.440% 112.48 734 98.1% 169 - 180................... 33,000 1 0.01 33,000 9.000 178.00 720 97.1 217 - 228................... 45,866 2 0.01 22,933 7.500 219.30 653 90.0 277 - 288................... 1,193,500 45 0.24 26,522 9.700 286.51 622 82.8 289 - 300................... 489,316,258 14,838 98.42 32,977 6.905 296.69 703 88.9 337 - 348................... 8,895 1 (1) 8,895 6.000 348.00 690 89.8 349 - 360................... 5,790,722 161 1.16 35,967 5.401 350.98 715 99.8 --------------- ---------- ------------- Total $497,174,508 15,077 100.00% =============== ========== ============= _____________________ /(1)/ Less than 0.01%. 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 297. 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.
4 Combined Loan-to-Value Ratios for the Group 1 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Range of Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Loan-to-Value Ratio (%) Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ 0.01 - 10.00............. $ 36,644 2 0.01% $ 18,322 5.947% 297.93 660 10.0% 10.01 - 20.00............. 118,203 6 0.02 19,701 5.674 296.71 725 17.4 20.01 - 30.00............. 962,801 26 0.19 37,031 6.037 296.46 706 26.8 30.01 - 40.00............. 1,935,950 67 0.39 28,895 6.166 296.84 687 35.5 40.01 - 50.00............. 6,703,495 196 1.35 34,202 5.696 296.63 701 46.0 50.01 - 60.00............. 12,549,407 345 2.52 36,375 5.827 296.74 695 56.0 60.01 - 70.00............. 33,839,571 931 6.81 36,348 5.696 296.67 693 66.9 70.01 - 80.00............. 55,673,194 1,578 11.20 35,281 5.974 296.78 680 77.5 80.01 - 90.00............. 127,126,764 4,421 25.57 28,755 7.190 296.60 686 88.6 90.01 - 100.00............. 258,228,480 7,505 51.94 34,408 7.194 297.30 718 98.0 --------------- ---------- ------------- Total $497,174,508 15,077 100.00% =============== ========== ============= 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 89.03%.
5 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
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- State Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ Alaska...................... $ 1,257,365 37 0.25% $ 33,983 6.372% 296.72 713 90.7% Alabama..................... 7,821,124 289 1.57 27,063 7.137 297.20 715 95.2 Arizona..................... 18,109,370 598 3.64 30,283 6.825 296.92 705 92.2 California.................. 100,671,593 2,450 20.25 41,090 6.966 296.57 692 83.3 Colorado.................... 21,095,722 619 4.24 34,080 6.759 297.03 715 93.7 Connecticut................. 5,346,843 150 1.08 35,646 6.913 296.92 698 86.4 District of Columbia........ 746,476 19 0.15 39,288 6.221 296.88 713 88.6 Delaware.................... 1,953,266 57 0.39 34,268 6.479 300.91 702 90.0 Florida..................... 36,088,176 1,173 7.26 30,766 6.846 296.62 708 90.8 Georgia..................... 13,702,168 455 2.76 30,115 6.726 296.59 705 94.4 Hawaii...................... 2,786,441 73 0.56 38,170 6.608 296.88 695 80.4 Iowa........................ 2,291,788 95 0.46 24,124 7.248 299.17 713 95.4 Idaho....................... 4,445,643 173 0.89 25,697 7.151 297.24 710 92.4 Illinois.................... 19,919,934 621 4.01 32,077 6.846 297.49 711 91.5 Indiana..................... 7,062,879 278 1.42 25,406 7.076 297.11 704 93.8 Kansas...................... 3,345,345 140 0.67 23,895 6.814 297.21 710 95.0 Kentucky.................... 4,506,417 167 0.91 26,985 6.887 298.16 715 94.8 Louisiana................... 4,653,745 172 0.94 27,057 6.922 297.53 704 89.7 Massachusetts............... 12,034,187 316 2.42 38,083 6.511 297.25 695 83.6 Maryland.................... 12,123,737 319 2.44 38,005 7.101 297.82 693 87.9 Maine....................... 1,550,019 49 0.31 31,633 6.555 298.13 698 88.2 Michigan.................... 15,628,075 523 3.14 29,882 6.774 302.85 703 92.0 Minnesota................... 7,725,430 236 1.55 32,735 6.571 296.78 702 89.9 Missouri.................... 6,284,638 222 1.26 28,309 6.831 296.77 704 93.8 Mississippi................. 1,739,291 71 0.35 24,497 7.287 297.95 707 93.6 Montana..................... 2,003,569 62 0.40 32,316 6.652 297.41 716 89.1 North Carolina.............. 10,874,418 392 2.19 27,741 6.835 297.32 714 93.4 North Dakota................ 311,796 15 0.06 20,786 7.519 297.37 680 92.8 Nebraska.................... 839,880 36 0.17 23,330 7.500 297.62 699 94.1 New Hampshire............... 4,170,631 108 0.84 38,617 6.851 297.76 702 87.4 New Jersey.................. 21,065,994 592 4.24 35,584 6.710 296.43 696 83.5 New Mexico.................. 2,269,717 78 0.46 29,099 7.083 297.76 700 91.3 Nevada...................... 19,165,853 499 3.85 38,409 7.127 296.99 701 88.5 New York.................... 18,138,516 534 3.65 33,967 6.285 297.86 704 80.8 Ohio........................ 12,345,331 435 2.48 28,380 7.163 296.49 708 93.7 Oklahoma.................... 2,648,003 98 0.53 27,020 6.877 296.94 703 92.2 Oregon...................... 7,608,876 232 1.53 32,797 7.101 297.13 706 93.5 Pennsylvania................ 16,234,778 574 3.27 28,284 6.945 296.97 706 90.3 Rhode Island................ 1,728,882 46 0.35 37,584 6.407 297.26 708 85.6 South Carolina.............. 4,125,436 151 0.83 27,321 7.093 297.39 711 93.1 South Dakota................ 633,701 19 0.13 33,353 6.533 296.65 693 89.1 Tennessee................... 6,799,747 258 1.37 26,356 7.165 295.91 712 95.7 Texas....................... 2,493,956 85 0.50 29,341 7.249 296.67 722 95.3 Utah........................ 5,626,342 200 1.13 28,132 7.087 296.64 710 93.5 Virginia.................... 15,686,066 446 3.16 35,171 7.117 296.57 704 90.3 Vermont..................... 655,367 22 0.13 29,789 6.247 307.37 707 93.4 Washington.................. 20,201,324 581 4.06 34,770 7.041 297.23 708 92.1 Wisconsin................... 6,230,515 226 1.25 27,569 6.986 296.98 704 92.1 West Virginia............... 1,440,071 54 0.29 26,668 7.079 242.19 705 95.2 Wyoming..................... 986,064 32 0.20 30,815 7.260 296.47 695 88.8 --------------- ---------- ------------- Total $497,174,508 15,077 100.00% =============== ========== =============
6 Credit Scores for the Mortgage Loans for the Group 1 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Range of Credit Scores Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ 821 - 840................... $ 1,195,312 48 0.24% $ 24,902 6.100% 296.89 828 83.9% 801 - 820................... 5,499,751 203 1.11 27,092 6.337 296.6 807 86.4 781 - 800................... 21,093,019 680 4.24 31,019 6.354 296.87 789 88.1 761 - 780................... 38,151,592 1,221 7.67 31,246 6.453 297.08 770 90.7 741 - 760................... 55,155,093 1,724 11.09 31,993 6.627 296.85 750 92.0 721 - 740................... 67,428,351 2,049 13.56 32,908 6.686 296.79 730 91.7 701 - 720................... 76,115,829 2,231 15.31 34,117 6.624 297.27 710 91.9 681 - 700................... 63,430,489 1,891 12.76 33,543 6.858 297.08 690 90.2 661 - 680................... 63,338,051 1,855 12.74 34,145 6.966 297.60 670 90.0 641 - 660................... 49,379,485 1,521 9.93 32,465 6.972 296.78 651 84.1 621 - 640................... 35,779,487 1,073 7.20 33,345 7.283 296.74 631 82.1 601 - 620................... 11,593,951 331 2.33 35,027 9.388 295.99 612 79.2 581 - 600................... 6,503,916 182 1.31 35,736 10.503 295.57 591 76.7 561 - 580................... 1,637,010 40 0.33 40,925 10.576 295.30 573 77.0 560 or less................. 873,172 28 0.18 31,185 9.996 299.75 535 82.3 --------------- ---------- ------------- Total $497,174,508 15,077 100.00% =============== ========== ============= As of the Statistical Calculation Date, the weighted average credit score of the statistical calculation mortgage loans in loan group 1 was approximately 703.
Property Type for the Group 1 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Property Type Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ Single Family................. $358,526,942 11,022 72.11% $ 32,528 6.904% 297.08 699 88.3% Planned Unit Development (PUD) 79,039,103 2,253 15.90 35,082 6.933 296.52 707 91.6 Low-rise Condominium.......... 49,123,791 1,511 9.88 32,511 6.773 297.10 722 91.7 2 - 4 Units................... 7,431,608 191 1.49 38,909 6.703 296.94 700 81.5 High-rise Condominium......... 2,118,548 64 0.43 33,102 7.783 298.61 712 93.0 Manufactured Housing (1)...... 934,517 36 0.19 25,959 5.109 296.78 712 73.8 --------------- ---------- ------------- Total $497,174,508 15,077 100.00% =============== ========== ============= ______________________ /(1)/ Treated as real property
7 Gross Margins for the Group 1 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Range of Gross Margins (%) Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ Less than or equal to 0.000. $ 23,333,347 667 4.69% $ 34,983 4.556% 300.25 743 72.4% 0.001 - 0.250............... 7,390,914 197 1.49 37,517 4.659 297.34 691 66.0 0.251 - 0.500............... 29,082,403 773 5.85 37,623 4.921 297.62 717 77.0 0.501 - 0.750............... 5,690,195 140 1.14 40,644 5.053 299.54 703 78.7 0.751 - 1.000............... 14,012,970 319 2.82 43,928 5.364 299.02 705 81.6 1.001 - 1.250............... 23,526,827 648 4.73 36,307 5.662 297.38 656 73.1 1.251 - 1.500............... 8,797,048 255 1.77 34,498 5.533 301.47 709 81.9 1.501 - 1.750............... 11,852,301 311 2.38 38,110 5.981 297.27 698 78.6 1.751 - 2.000............... 34,769,959 1,359 6.99 25,585 6.259 296.36 732 89.2 2.001 - 2.250............... 29,512,405 972 5.94 30,363 6.629 296.87 700 89.1 2.251 - 2.500............... 108,886,523 3,407 21.90 31,960 6.932 296.44 735 96.2 2.501 - 2.750............... 14,630,615 416 2.94 35,170 7.046 296.82 699 91.0 2.751 - 3.000............... 33,085,898 1,076 6.65 30,749 7.332 296.62 661 90.0 3.001 - 3.250............... 6,771,658 224 1.36 30,231 6.822 295.43 687 93.8 3.251 - 3.500............... 82,223,516 2,354 16.54 34,929 7.913 296.60 701 98.3 3.501 - 3.750............... 9,589,398 340 1.93 28,204 7.995 296.27 707 95.5 3.751 - 4.000............... 6,034,419 166 1.21 36,352 8.026 296.94 708 96.1 4.001 - 4.250............... 7,917,722 265 1.59 29,878 7.927 296.91 672 93.3 4.251 - 4.500............... 5,682,120 159 1.14 35,737 8.345 296.26 673 96.1 4.501 - 4.750............... 4,938,442 170 0.99 29,050 8.987 295.96 681 97.0 4.751 - 5.000............... 1,645,765 50 0.33 32,915 7.529 297.04 655 94.7 5.001 - 5.250............... 686,307 26 0.14 26,396 9.694 296.99 726 94.5 5.251 - 5.500............... 1,631,820 55 0.33 29,669 7.429 296.97 662 96.2 5.501 - 5.750............... 1,046,677 28 0.21 37,381 10.161 296.57 684 84.1 5.751 - 6.000............... 222,289 5 0.04 44,458 8.975 295.84 630 80.9 6.001 - 6.250............... 17,016,120 492 3.42 34,586 10.379 295.97 618 79.9 6.251 - 6.500............... 6,244,113 179 1.26 34,883 10.467 295.17 589 75.8 6.501 - 6.750............... 738,345 20 0.15 36,917 10.895 297.31 630 81.6 6.751 - 7.000............... 2,931 1 (1) 2,931 11.500 299.00 649 90.0 7.501 - 7.750............... 211,462 3 0.04 70,487 12.125 298.11 579 62.2 --------------- ---------- ------------- Total $497,174,508 15,077 100.00% =============== ========== ============= ____________________ (1) Less than 0.01%. As of the Statistical Calculation Date, the weighted average gross margin of the statistical calculation mortgage loans in loan group 1 was approximately 2.540%.
8 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
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Range of Credit Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Limit Utilization Rates (%) Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ 0.01 - 10.00.............. $ 361,311 105 0.07% $ 3,441 5.887% 296.55 728 74.5% 10.01 - 20.00.............. 920,330 120 0.19 7,669 5.394 295.97 743 70.5 20.01 - 30.00.............. 2,058,609 153 0.41 13,455 6.140 295.38 716 76.0 30.01 - 40.00.............. 4,185,596 224 0.84 18,686 5.730 297.21 722 74.2 40.01 - 50.00.............. 7,231,157 324 1.45 22,318 6.079 297.76 710 77.6 50.01 - 60.00.............. 9,785,101 377 1.97 25,955 5.967 297.48 710 76.2 60.01 - 70.00.............. 13,548,669 469 2.73 28,888 6.213 296.33 704 79.7 70.01 - 80.00.............. 15,898,635 533 3.20 29,829 6.427 297.28 699 80.2 80.01 - 90.00.............. 23,126,153 700 4.65 33,037 6.255 298.05 700 82.0 90.01 - 100.00.............. 420,058,948 12,072 84.49 34,796 7.023 296.93 702 90.8 --------------- ---------- ------------- Total $497,174,508 15,077 100.00% =============== ========== ============= As of the Statistical Calculation Date, the average credit limit utilization rate of the statistical calculation mortgage loans in loan group 1 was approximately 91.36%.
Maximum Loan Rates for the Group 1 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Maximum Loan Rates (%) Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ 12.000...................... $ 29,385 1 0.01% $ 29,385 5.25% 352.00 732 100.0% 15.000...................... 24,980 1 0.01 24,980 5.500 352.00 689 100.0 16.000...................... 11,047,875 397 2.22 27,828 6.850 297.31 713 93.3 17.000...................... 38,049,838 1,244 7.65 30,587 6.886 296.67 708 91.1 18.000...................... 424,250,242 12,753 85.33 33,267 6.699 297.08 707 89.3 21.000...................... 23,772,189 681 4.78 34,908 10.400 295.73 610 78.5 --------------- ---------- ------------- Total $497,174,508 15,077 100.00% =============== ========== ============= As of the Statistical Calculation Date, the weighted average maximum loan rate of the statistical calculation mortgage loans in loan group 1 was approximately 18.022%.
9 Credit Limits for the Group 1 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Range of Credit Limits ($) Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ 0.01 - 10,000.00..... $ 457,964 61 0.09% $ 7,508 6.514% 296.73 695 83.4% 10,000.01 - 20,000.00..... 43,052,232 2,832 8.66 15,202 7.102 296.38 701 89.0 20,000.01 - 30,000.00..... 106,183,328 4,401 21.36 24,127 7.057 296.88 705 91.3 30,000.01 - 40,000.00..... 98,127,478 2,991 19.74 32,808 7.069 297.01 705 91.4 40,000.01 - 50,000.00..... 87,563,045 2,132 17.61 41,071 6.895 296.88 706 89.2 50,000.01 - 60,000.00..... 53,267,567 1,046 10.71 50,925 6.963 297.47 701 91.0 60,000.01 - 70,000.00..... 33,533,243 582 6.74 57,617 6.831 297.50 704 90.8 70,000.01 - 80,000.00..... 21,227,539 348 4.27 60,999 6.496 297.48 688 81.8 80,000.01 - 90,000.00..... 13,247,303 185 2.66 71,607 6.725 297.58 691 84.9 90,000.01 - 100,000.00..... 21,774,230 305 4.38 71,391 6.339 297.07 693 76.9 100,000.01 - 125,000.00..... 7,084,571 83 1.42 85,356 5.862 296.10 707 82.7 125,000.01 - 150,000.00..... 10,876,408 105 2.19 103,585 5.631 296.37 711 77.5 150,000.01 - 175,000.00..... 779,601 6 0.16 129,934 5.110 294.23 756 84.5 --------------- ---------- ------------- Total $497,174,508 15,077 100.00% =============== ========== ============= As of the Statistical Calculation Date, the average credit limit of the statistical calculation mortgage loans in loan group 1 was approximately $36,962.
10 Lien Priority for the Group 1 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Lien Priority Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ Second Liens................ $497,174,508 15,077 100.00% $ 32,976 6.893% 297.00 703 89.0% --------------- ---------- ------------- Total $497,174,508 15,077 100.00% =============== ========== =============
Delinquency Status for the Group 1 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Delinquency Status Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ Current..................... $492,504,861 14,932 99.06% $ 32,983 6.888% 297.01 703 89.1% 30 - 59 Days................ 4,599,764 144 0.93 31,943 7.453 296.08 684 86.3 90 + Days................... 69,884 1 0.01 69,884 7.625 289.00 659 90.0 --------------- ---------- ------------- Total $497,174,508 15,077 100.00% =============== ========== =============
Origination Year for the Group 1 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Origination Year Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ 1997........................ $ 26,042 1 0.01% $ 26,042 7.500% 218.00 655 90.0% 1998........................ 19,824 1 (1) 19,824 7.500 221.00 651 90.0 2002........................ 43,800 1 0.01 43,800 7.000 277.00 741 100.0 2003........................ 12,488,497 353 2.51 35,378 6.888 302.53 691 93.7 2004........................ 484,596,345 14,721 97.47 32,919 6.893 296.86 703 88.9 --------------- ---------- ------------- Total $497,174,508 15,077 100.00% =============== ========== ============= ______________ /(1)/ Less than 0.01%.
11 Loan Group 2 Principal Balances for the Group 2 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Range of Principal Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Balances ($) Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ 0.01 - 10,000.00... $ 509,804 92 0.10% $ 5,541 5.961% 296.17 718 82.2% 10,000.01 - 20,000.00... 4,547,771 284 0.90 16,013 6.615 297.69 707 83.4 20,000.01 - 30,000.00... 10,438,074 403 2.08 25,901 6.713 297.36 702 85.4 30,000.01 - 40,000.00... 16,648,909 458 3.31 36,351 6.587 296.93 708 86.8 40,000.01 - 50,000.00... 26,712,270 586 5.31 45,584 6.536 295.95 705 86.2 50,000.01 - 60,000.00... 34,728,931 623 6.91 55,745 6.742 296.50 714 89.7 60,000.01 - 70,000.00... 40,069,854 611 7.97 65,581 6.853 296.63 719 91.2 70,000.01 - 80,000.00... 47,216,014 630 9.39 74,946 6.969 297.27 711 92.6 80,000.01 - 90,000.00... 37,592,128 441 7.48 85,243 6.978 296.40 712 91.3 90,000.01 - 100,000.00... 48,860,821 504 9.72 96,946 6.860 296.43 706 89.5 100,000.01 - 125,000.00... 43,109,876 384 8.57 112,265 6.713 297.00 712 90.9 125,000.01 - 150,000.00... 47,340,991 334 9.41 141,739 6.367 296.55 707 84.8 150,000.01 - 175,000.00... 16,505,852 101 3.28 163,424 6.251 296.86 714 86.2 175,000.01 - 200,000.00... 16,109,689 85 3.20 189,526 6.083 296.68 711 83.3 200,000.01 - 225,000.00... 13,364,590 63 2.66 212,136 6.215 296.45 713 85.9 225,000.01 - 250,000.00... 16,857,007 70 3.35 240,814 5.841 296.77 711 80.3 250,000.01 - 275,000.00... 7,620,090 29 1.52 262,762 5.972 296.20 718 84.3 275,000.01 - 300,000.00... 11,067,993 38 2.20 291,263 6.144 297.09 705 79.0 300,000.01 - 325,000.00... 4,382,103 14 0.87 313,007 6.257 296.72 730 82.4 325,000.01 - 350,000.00... 7,179,142 21 1.43 341,864 5.679 297.58 718 83.0 350,000.01 - 375,000.00... 3,251,387 9 0.65 361,265 4.735 296.21 740 86.7 375,000.01 - 400,000.00... 3,513,029 9 0.70 390,337 6.104 297.12 688 84.7 400,000.01 - 425,000.00... 3,301,715 8 0.66 412,714 6.102 296.74 751 85.6 425,000.01 - 450,000.00... 3,502,445 8 0.70 437,806 5.291 297.36 723 79.5 450,000.01 - 475,000.00... 946,985 2 0.19 473,493 5.684 291.00 655 100.0 475,000.01 - 500,000.00... 7,936,073 16 1.58 496,005 5.796 297.31 740 82.5 500,000.01 - 525,000.00... 1,548,250 3 0.31 516,083 7.048 297.00 707 83.4 525,000.01 - 550,000.00... 2,175,298 4 0.43 543,824 6.623 296.75 723 74.9 550,000.01 - 575,000.00... 564,000 1 0.11 564,000 6.625 296.00 650 80.0 575,000.01 - 600,000.00... 2,971,284 5 0.59 594,257 6.154 297.00 712 85.9 600,000.01 - 625,000.00... 611,840 1 0.12 611,840 6.625 298.00 657 80.0 625,000.01 - 650,000.00... 650,000 1 0.13 650,000 6.750 298.00 664 87.8 675,000.01 - 700,000.00... 3,450,046 5 0.69 690,009 5.537 295.99 743 80.4 700,000.01 - 725,000.00... 710,001 1 0.14 710,001 7.375 298.00 723 95.0 725,000.01 - 750,000.00... 3,725,988 5 0.74 745,198 5.749 296.60 712 81.9 775,000.01 - 800,000.00... 1,595,707 2 0.32 797,853 5.881 297.00 691 82.5 850,000.01 - 875,000.00... 865,664 1 0.17 865,664 4.000 297.00 755 67.5 875,000.01 - 900,000.00... 1,798,751 2 0.36 899,375 5.312 296.50 707 89.6 900,000.01 - 925,000.00... 917,200 1 0.18 917,200 7.750 297.00 702 90.0 925,000.01 - 950,000.00... 950,000 1 0.19 950,000 5.500 298.00 625 55.7 950,000.01 - 975,000.00... 958,568 1 0.19 958,568 4.875 290.00 765 100.0 975,000.01 - 1,000,000.00... 3,000,000 3 0.60 1,000,000 6.625 298.00 717 84.7 Greater than 1,000,000.00... 3,019,121 2 0.60 1,509,560 4.500 295.48 678 80.7 --------------- ---------- ------------- Total $502,825,260 5,862 100.00% =============== ========== =============
12 As of the Statistical Calculation Date, the average principal balance of the statistical calculation mortgage loans in loan group 2 was approximately $85,777. Loan Programs for the Group 2 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Description of Loan Programs Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ 10 Year Draw, 20 Year Repay. $ 2,555,103 45 0.51% $56,780 4.996% 350.92 712 100.0% 10 Year Draw, 0 Year Repay. 903,300 13 0.18 69,485 5.603 106.13 735 100.0 5 Year Draw, 5 Year Repay. 57,750 1 0.01 57,750 7.000 117.00 815 95.0 10 Year Draw, 15 Year Repay. 499,248,486 5,802 99.29 86,048 6.531 296.79 711 87.4 15 Year Draw, 10 Year Repay. 60,622 1 0.01 60,622 7.250 297.00 656 89.5 --------------- ---------- ------------- Total $502,825,260 5,862 100.00% =============== ========== =============
Loan Rates for the Group 2 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Range of Loans Rates (%) Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ Less than or equal to 3.000. $ 8,287,586 120 1.65% $69,063 3.000% 297.78 710 91.1% 3.001 - 3.500............ 1,742,138 19 0.35 91,691 3.250 298.30 704 87.0 3.501 - 4.000............ 5,409,355 28 1.08 193,191 3.924 297.32 748 75.2 4.001 - 4.500............ 42,363,160 373 8.43 113,574 4.480 295.59 731 79.2 4.501 - 5.000............ 48,307,532 490 9.61 98,587 4.914 297.50 726 76.9 5.001 - 5.500............ 51,475,354 482 10.24 106,795 5.362 297.64 710 80.1 5.501 - 6.000............ 30,079,813 322 5.98 93,416 5.807 296.56 685 79.6 6.001 - 6.500............ 41,534,430 577 8.26 71,983 6.354 295.29 717 87.2 6.501 - 7.000............ 92,185,763 1,213 18.33 75,998 6.858 296.51 724 91.8 7.001 - 7.500............ 62,154,130 786 12.36 79,077 7.309 296.90 699 91.0 7.501 - 8.000............ 72,301,689 854 14.38 84,662 7.964 296.81 712 97.0 8.001 - 8.500............ 20,944,234 221 4.17 94,770 8.297 296.86 705 95.0 8.501 - 9.000............ 12,048,946 151 2.4 79,794 8.880 296.95 682 95.6 9.001 - 9.500............ 3,667,041 57 0.73 64,334 9.288 296.88 680 95.8 9.501 - 10.000............ 1,135,225 16 0.23 70,952 9.762 296.59 704 88.9 10.001 - 10.500............ 2,151,532 33 0.43 65,198 10.303 297.94 640 83.8 10.501 - 11.000............ 6,872,331 117 1.37 58,738 10.686 295.61 609 82.0 11.001 - 11.500............ 165,000 3 0.03 55,000 11.250 298.09 641 78.5 --------------- ---------- ------------- Total $502,825,260 5,862 100.00% =============== ========== ============= As of the Statistical Calculation Date, the weighted average loan rate of the statistical calculation mortgage loans in loan group 2 was approximately 6.522%.
13 Months Remaining to Scheduled Maturity for the Group 2 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Range of Months Remaining to Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Scheduled Maturity Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ 85 - 96................... $ 99,745 1 0.02% $99,745 4.500% 85.00 700 100.0% 97 - 108................... 194,890 3 0.04 64,963 6.355 108.00 720 100.0 109 - 120................... 666,415 10 0.13 66,641 5.669 109.69 752 99.6 277 - 288................... 594,141 15 0.12 39,609 8.996 286.69 650 85.0 289 - 300................... 498,714,966 5,788 99.18 86,164 6.528 296.80 712 87.4 337 - 348................... 35,775 2 0.01 17,888 6.500 347.45 672 100.0 349 - 360................... 2,519,328 43 0.50 58,589 4.975 350.97 713 100.0 --------------- ---------- ------------- Total $502,825,260 5,862 100.00% =============== ========== ============= 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 297. 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
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Range of Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Loan-to-Value Ratio (%) Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ 0.01 - 10.00.............. $ 61,466 1 0.01% $61,466 7.50% 296.00 730 8.7% 10.01 - 20.00.............. 44,000 1 0.01 44,000 4.500 296.00 789 16.3 20.01 - 30.00.............. 61,400 2 0.01 30,700 5.893 297.81 730 25.6 30.01 - 40.00.............. 2,480,857 21 0.49 118,136 5.049 296.61 736 35.3 40.01 - 50.00.............. 2,786,359 35 0.55 79,610 4.966 296.68 717 47.2 50.01 - 60.00.............. 11,201,691 113 2.23 99,130 5.288 296.96 699 55.5 60.01 - 70.00.............. 40,224,407 396 8.00 101,577 5.220 296.95 714 66.4 70.01 - 80.00.............. 84,962,451 815 16.90 104,248 5.522 296.96 705 77.7 80.01 - 90.00.............. 157,667,892 2,056 31.36 76,687 6.764 296.99 702 88.7 90.01 - 100.00.............. 203,334,738 2,422 40.44 83,953 7.116 296.30 721 97.9 --------------- ---------- ------------- Total $502,825,260 5,862 100.00% =============== ========== ============= 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 87.50%.
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
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- State Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ Alaska...................... $ 429,944 7 0.09% $ 61,421 7.208% 297.39 681 94.0% Alabama..................... 1,597,219 28 0.32 57,044 6.515 297.11 722 89.8 Arizona..................... 7,728,777 95 1.54 81,356 6.660 297.05 703 89.5 California.................. 282,500,862 3,024 56.18 93,420 6.552 296.73 711 86.7 Colorado.................... 12,017,682 149 2.39 80,656 6.204 297.10 719 90.1 Connecticut................. 5,127,641 44 1.02 116,537 5.807 297.30 731 78.6 District of Columbia........ 1,137,349 14 0.23 81,239 7.035 296.58 700 91.2 Delaware.................... 318,594 8 0.06 39,824 7.589 297.07 698 90.9 Florida..................... 27,708,416 299 5.51 92,670 6.581 295.14 707 90.4 Georgia..................... 4,470,688 64 0.89 69,855 6.464 297.52 709 89.8 Hawaii...................... 7,157,802 90 1.42 79,531 6.520 297.08 716 84.1 Iowa........................ 60,759 2 0.01 30,379 6.712 297.00 711 91.5 Idaho....................... 908,190 17 0.18 53,423 6.845 296.52 739 95.7 Illinois.................... 15,456,435 173 3.07 89,344 6.216 297.01 716 87.6 Indiana..................... 1,296,857 26 0.26 49,879 6.311 297.12 713 89.2 Kansas...................... 262,610 6 0.05 43,768 6.909 297.34 709 92.5 Kentucky.................... 747,844 16 0.15 46,740 6.954 287.70 681 93.7 Louisiana................... 926,353 17 0.18 54,491 7.130 296.54 706 92.0 Massachusetts............... 16,506,868 179 3.28 92,217 6.421 297.79 711 87.5 Maryland.................... 7,295,732 93 1.45 78,449 6.428 298.83 692 85.7 Maine....................... 590,093 6 0.12 98,349 6.976 294.61 710 95.2 Michigan.................... 3,347,084 55 0.67 60,856 6.345 303.20 703 90.0 Minnesota................... 2,468,616 42 0.49 58,777 6.723 296.87 709 89.1 Missouri.................... 772,005 13 0.15 59,385 6.137 297.66 732 85.5 Mississippi................. 139,428 2 0.03 69,714 7.287 296.29 718 98.6 Montana..................... 144,599 2 0.03 72,300 8.622 296.62 693 85.6 North Carolina.............. 2,228,395 44 0.44 50,645 6.820 297.20 707 90.9 North Dakota................ 81,246 1 0.02 81,246 6.875 296.00 701 89.5 Nebraska.................... 224,903 4 0.04 56,226 6.830 309.89 742 91.9 New Hampshire............... 1,094,319 13 0.22 84,178 5.961 302.05 716 77.6 New Jersey.................. 18,409,984 257 3.66 71,634 6.419 296.13 711 87.0 New Mexico.................. 342,858 4 0.07 85,715 5.176 292.61 767 93.4 Nevada...................... 13,129,868 182 2.61 72,142 7.079 296.95 713 90.2 New York.................... 22,856,737 274 4.55 83,419 6.315 297.05 710 87.3 Ohio........................ 2,967,683 57 0.59 52,065 6.631 296.11 722 92.3 Oklahoma.................... 332,380 9 0.07 36,931 7.642 297.00 701 90.6 Oregon...................... 2,581,407 35 0.51 73,754 7.139 297.46 712 92.7 Pennsylvania................ 5,101,109 65 1.01 78,479 6.186 294.14 719 90.6 Rhode Island................ 898,616 11 0.18 81,692 6.975 297.30 723 93.3 South Carolina.............. 1,089,759 14 0.22 77,840 6.701 296.29 725 93.4 South Dakota................ 25,579 1 0.01 25,579 7.000 297.00 715 100.0 Tennessee................... 884,190 22 0.18 40,190 7.381 296.68 721 95.9 Texas....................... 643,647 12 0.13 53,637 6.925 297.51 754 95.0 Utah........................ 1,286,509 21 0.26 61,262 7.100 296.75 736 88.2 Virginia.................... 12,808,317 165 2.55 77,626 6.496 296.07 716 89.0 Vermont..................... 16,112 1 0.00 16,112 4.875 297.00 728 66.6 Washington.................. 12,394,966 158 2.47 78,449 6.475 296.07 715 89.3 Wisconsin................... 1,580,847 30 0.31 52,695 6.027 291.50 706 88.6 West Virginia............... 127,436 3 0.03 42,479 7.000 215.43 765 95.0 Wyoming..................... 599,943 8 0.12 74,993 5.393 297.30 716 67.0 --------------- ---------- ------------- Total $502,825,260 5,862 100.00% =============== ========== =============
15 Credit Scores for the Mortgage Loans for the Group 2 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Range of Credit Scores Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ 841 - 850................... $ 70,600 1 0.01% $ 70,600 8.000% 300.00 842 100.0% 821 - 840................... 1,500,660 16 0.30 93,791 5.182 296.96 829 80.8 801 - 820................... 5,732,616 69 1.14 83,081 6.008 294.96 809 86.9 781 - 800................... 25,100,883 275 4.99 91,276 5.964 295.91 789 87.1 761 - 780................... 47,864,124 547 9.52 87,503 6.185 296.36 770 88.1 741 - 760................... 59,010,699 709 11.74 83,231 6.267 296.67 750 87.8 721 - 740................... 79,983,701 919 15.91 87,033 6.468 297.01 730 89.2 701 - 720................... 84,387,237 1,005 16.78 83,967 6.507 296.40 710 88.7 681 - 700................... 69,283,410 761 13.78 91,043 6.590 296.80 691 87.7 661 - 680................... 59,567,756 680 11.85 87,600 6.573 297.16 670 87.1 641 - 660................... 37,396,169 435 7.44 85,968 6.938 297.04 651 84.6 621 - 640................... 23,327,715 311 4.64 75,009 7.021 297.01 631 82.8 601 - 620................... 6,483,344 79 1.29 82,068 7.801 295.94 613 85.4 581 - 600................... 2,217,223 35 0.44 63,349 10.443 295.49 592 81.2 561 - 580................... 465,897 12 0.09 38,825 10.108 296.00 572 78.0 560 or less................. 433,225 8 0.09 54,153 10.652 297.14 543 81.9 --------------- ---------- ------------- Total $502,825,260 5,862 100.00% =============== ========== ============= As of the Statistical Calculation Date, the weighted average credit score of the statistical calculation mortgage loans in loan group 2 was approximately 712.
Property Type for the Group 2 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Property Type Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ Single Family................. $339,056,023 3,921 67.43% $ 86,472 6.469% 296.58 710 87.0% Planned Unit Development (PUD) 106,242,290 1,199 21.13 88,609 6.530 296.92 711 87.9 Low-rise Condominium.......... 33,381,069 479 6.64 69,689 6.755 297.05 724 90.5 2 - 4 Units .................. 19,986,179 220 3.97 90,846 6.983 296.78 715 89.5 High-rise Condominium......... 4,159,699 43 0.83 96,737 6.468 297.10 737 85.6 --------------- ---------- ------------- Total $502,825,260 5,862 100.00% =============== ========== =============
16 Gross Margins for the Group 2 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Range of Gross Margins (%) Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ Less than or equal to 0.000. $ 46,441,047 388 9.24% $ 119,693 4.424% 296.39 735 78.6% 0.001 - 0.250............... 6,378,437 77 1.27 82,837 4.710 296.74 709 71.5 0.251 - 0.500............... 42,133,517 411 8.38 102,515 4.917 296.84 728 77.3 0.501 - 0.750............... 18,319,552 175 3.64 104,683 5.047 297.81 715 79.2 0.751 - 1.000............... 34,565,452 324 6.87 106,683 5.421 297.44 708 80.7 1.001 - 1.250............... 18,428,199 220 3.66 83,765 5.618 297.38 673 76.9 1.251 - 1.500............... 12,548,143 118 2.50 106,340 5.792 295.39 705 84.6 1.501 - 1.750............... 13,357,675 142 2.66 94,068 5.971 292.97 705 84.0 1.751 - 2.000............... 30,251,733 462 6.02 65,480 6.345 296.59 722 88.8 2.001 - 2.250............... 31,671,438 411 6.30 77,059 6.622 296.98 709 88.1 2.251 - 2.500............... 62,635,272 825 12.46 75,922 6.862 296.38 732 93.7 2.501 - 2.750............... 40,381,939 506 8.03 79,806 7.132 296.87 711 91.6 2.751 - 3.000............... 22,422,652 304 4.46 73,759 7.327 296.91 674 90.1 3.001 - 3.250............... 9,407,928 90 1.87 104,533 7.382 297.37 704 91.8 3.251 - 3.500............... 65,120,780 783 12.95 83,168 7.950 296.80 714 97.6 3.501 - 3.750............... 12,244,072 140 2.44 87,458 8.079 296.90 706 94.7 3.751 - 4.000............... 9,038,511 87 1.80 103,891 8.427 296.85 702 95.3 4.001 - 4.250............... 4,893,745 68 0.97 71,967 8.486 296.97 687 93.4 4.251 - 4.500............... 7,815,913 93 1.55 84,042 8.636 296.98 678 96.8 4.501 - 4.750............... 1,945,691 33 0.39 58,960 9.162 297.15 689 96.2 4.751 - 5.000............... 1,930,117 26 0.38 74,235 8.735 296.72 668 95.2 5.001 - 5.250............... 993,897 14 0.20 70,993 9.588 296.37 716 91.6 5.251 - 5.500............... 191,130 4 0.04 47,783 8.903 297.80 633 77.9 5.501 - 5.750............... 509,257 8 0.10 63,657 10.195 295.59 680 83.3 5.751 - 6.000............... 397,411 5 0.08 79,482 10.375 297.63 654 87.0 6.001 - 6.250............... 6,559,795 107 1.30 61,306 10.123 296.48 618 83.3 6.251 - 6.500............... 2,076,956 38 0.41 54,657 10.689 295.72 586 77.5 6.501 - 6.750............... 165,000 3 0.03 55,000 11.250 298.09 641 78.5 --------------- ---------- ------------- Total $502,825,260 5,862 100.00% =============== ========== ============= As of the Statistical Calculation Date, the weighted average gross margin of the statistical calculation mortgage loans in loan group 2 was approximately 2.112%.
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
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Range of Credit Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Limit Utilization Rates (%) Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ 0.01 - 10.00.............. $ 908,023 76 0.18% $ 11,948 5.243% 296.56 729 72.9% 10.01 - 20.00.............. 2,842,852 106 0.57 26,819 5.562 297.07 728 75.4 20.01 - 30.00.............. 4,221,819 113 0.84 37,361 5.484 296.21 733 75.8 30.01 - 40.00.............. 5,158,594 122 1.03 42,284 5.587 297.23 723 79.9 40.01 - 50.00.............. 7,794,283 140 1.55 55,673 5.772 296.62 720 77.9 50.01 - 60.00.............. 10,277,766 162 2.04 63,443 5.768 296.87 712 78.1 60.01 - 70.00.............. 14,941,049 174 2.97 85,868 5.670 296.74 716 79.5 70.01 - 80.00.............. 21,880,621 200 4.35 109,403 5.582 295.78 715 82.8 80.01 - 90.00.............. 24,742,728 251 4.92 98,577 5.743 296.17 715 84.1 90.01 - 100.00.............. 410,057,524 4,518 81.55 90,761 6.715 296.77 710 89.0 --------------- ---------- ------------- Total $502,825,260 5,862 100.00% =============== ========== ============= As of the Statistical Calculation Date, the average credit limit utilization rate of the statistical calculation mortgage loans in loan group 2 was approximately 88.97%.
Maximum Loan Rates for the Group 2 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Maximum Loan Rates (%) Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ 11.949...................... $ 313,324 1 0.06% $ 313,324 4.500% 298.00 681 61.7% 16.000...................... 2,461,437 46 0.49 53,509 6.780 296.93 709 91.3 17.000...................... 28,020,594 307 5.57 91,272 6.598 296.51 708 90.4 18.000...................... 462,963,842 5,357 92.07 86,422 6.446 296.72 714 87.4 21.000...................... 9,066,064 151 1.80 60,040 10.130 296.15 613 81.2 --------------- ---------- ------------- Total $502,825,260 5,862 100.00% =============== ========== ============= As of the Statistical Calculation Date, the weighted average maximum loan rate of the statistical calculation mortgage loans in loan group 2 was approximately 17.850%.
18 Credit Limits for the Group 2 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Range of Credit Limits ($) Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ 0.01 - 10,000.00... $ 7,004 2 (1)% $ 3,502 6.048% 295.00 769 79.2% 10,000.01 - 20,000.00... 2,353,626 149 0.47 15,796 7.181 298.34 697 87.6 20,000.01 - 30,000.00... 6,493,016 266 1.29 24,410 7.231 297.31 692 88.7 30,000.01 - 40,000.00... 11,940,081 355 2.37 33,634 6.790 296.60 706 88.9 40,000.01 - 50,000.00... 23,706,281 585 4.71 40,524 6.620 296.41 704 87.0 50,000.01 - 60,000.00... 30,097,331 569 5.99 52,895 6.890 296.86 714 91.1 60,000.01 - 70,000.00... 36,160,302 582 7.19 62,131 6.962 296.08 718 92.2 70,000.01 - 80,000.00... 46,579,395 672 9.26 69,315 7.037 297.29 712 93.4 80,000.01 - 90,000.00... 35,633,541 449 7.09 79,362 7.052 296.27 713 92.1 90,000.01 - 100,000.00... 58,480,989 718 11.63 81,450 6.719 296.53 704 87.8 100,000.01 - 125,000.00... 40,000,149 391 7.96 102,302 6.792 297.14 711 91.8 125,000.01 - 150,000.00... 53,626,731 448 10.67 119,703 6.358 296.57 707 84.4 150,000.01 - 175,000.00... 14,788,854 101 2.94 146,424 6.328 296.93 716 87.4 175,000.01 - 200,000.00... 17,998,542 122 3.58 147,529 5.962 296.61 716 82.1 200,000.01 - 225,000.00... 13,282,685 75 2.64 177,102 6.261 296.56 713 85.8 225,000.01 - 250,000.00... 16,618,903 88 3.31 188,851 5.776 296.86 715 80.0 250,000.01 - 275,000.00... 5,645,210 25 1.12 225,808 6.654 296.89 707 87.0 275,000.01 - 300,000.00... 14,692,323 71 2.92 206,934 5.968 296.80 708 80.2 300,000.01 - 325,000.00... 3,837,483 14 0.76 274,106 6.109 296.70 722 84.6 325,000.01 - 350,000.00... 9,098,106 34 1.81 267,591 5.696 296.93 730 82.7 350,000.01 - 375,000.00... 3,501,973 11 0.70 318,361 5.051 295.95 724 83.3 375,000.01 - 400,000.00... 4,345,745 15 0.86 289,716 5.624 296.89 709 83.6 400,000.01 - 425,000.00... 3,928,660 11 0.78 357,151 6.154 296.70 750 85.9 425,000.01 - 450,000.00... 3,086,220 11 0.61 280,565 5.357 297.55 719 82.3 450,000.01 - 475,000.00... 1,944,225 5 0.39 388,845 6.061 293.98 683 92.7 475,000.01 - 500,000.00... 11,826,881 38 2.35 311,234 5.379 296.87 736 77.6 500,000.01 - 525,000.00... 1,757,422 4 0.35 439,356 6.744 297.00 713 82.5 525,000.01 - 550,000.00... 1,872,100 4 0.37 468,025 5.997 296.84 732 72.5 550,000.01 - 575,000.00... 564,000 1 0.11 564,000 6.625 296.00 650 80.0 575,000.01 - 600,000.00... 2,266,286 5 0.45 453,257 6.181 297.12 696 87.5 600,000.01 - 625,000.00... 691,840 2 0.14 345,920 6.697 298.00 664 81.5 625,000.01 - 650,000.00... 1,070,250 3 0.21 356,750 6.219 297.54 687 83.9 675,000.01 - 700,000.00... 2,088,039 4 0.42 522,010 7.122 295.92 719 92.3 700,000.01 - 725,000.00... 1,200,001 2 0.24 600,001 6.507 298.00 688 93.0 725,000.01 - 750,000.00... 3,460,115 5 0.69 692,023 5.822 297.14 712 78.7 775,000.01 - 800,000.00... 1,400,000 2 0.28 700,000 6.714 297.57 722 91.4 875,000.01 - 900,000.00... 2,182,210 4 0.43 545,553 5.094 296.82 747 76.9 900,000.01 - 925,000.00... 1,617,200 2 0.32 808,600 6.506 296.57 734 79.2 925,000.01 - 950,000.00... 950,000 1 0.19 950,000 5.500 298.00 625 55.7 950,000.01 - 975,000.00... 750,000 1 0.15 750,000 6.625 295.00 761 100.0 975,000.01 - 1,000,000.00... 7,339,095 10 1.46 733,910 5.633 296.23 718 82.0 Greater than 1,000,000.00... 3,942,446 5 0.78 788,489 4.378 295.64 689 80.2 --------------- ---------- ------------- Total $502,825,260 5,862 100.00% =============== ========== ============= _____________________ (1) Less than 0.01%.
19 As of the Statistical Calculation Date, the average credit limit of the statistical calculation mortgage loans in loan group 2 was approximately $101,307. Lien Priority for the Group 2 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Lien Priority Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ Second Liens................ $502,825,260 5,862 100.00% $ 85,777 6.522% 296.7 712 87.5% --------------- ---------- ------------- Total $502,825,260 5,862 100.00% =============== ========== =============
Delinquency Status for the Group 2 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Delinquency Status Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ Current..................... $497,322,374 5,801 98.91% $ 85,730 6.520% 296.69 712 87.5% 30 - 59 Days................ $ 5,502,887 61 1.09% $ 90,211 6.619% 296.92 702 87.6 --------------- ---------- ------------- Total $502,825,260 5,862 100.00% =============== ========== =============
Origination Year for the Group 2 Mortgage Loans
Weighted Percent of Weighted Weighted Average Weighted Aggregate Number Aggregate Average Average Average Credit Average Principal of Principal Current Gross Remaining Bureau Combined Balance Mortgage Balance Principal Mortgage Term Risk Loan-to- Origination Year Outstanding Loans Outstanding Balance Rate (months) Score Value Ratio - ----------------------------- --------------- ---------- ------------- ----------- ----------- ------------ ----------- ------------ 2001......................... $ 99,745 1 0.02% $ 99,745 4.500% 85.00 700 100.0% 2003......................... 9,052,676 115 1.80 78,719 5.751 283.75 721 96.4 2004......................... 493,672,840 5,746 98.18 85,916 6.536 296.98 711 87.3 --------------- ---------- ------------- Total $502,825,260 5,862 100.00% =============== ========== =============
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-----