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Citigroup Mortgage Loan Trust Inc – ‘424B5’ on 9/13/05 re: Citigroup Mortgage Loan Trust Inc., Series 2005-HE3

On:  Tuesday, 9/13/05, at 7:27am ET   ·   Accession #:  1125282-5-4784   ·   File #s:  333-124036, -09

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  As Of                Filer                Filing    For·On·As Docs:Size              Issuer               Agent

 9/13/05  Citigroup Mortgage Loan Trust Inc 424B5                  1:1.1M Citigroup Mtge Loan Tr...2005-HE3 Bowne & C..Smartedgar/FA

Prospectus   —   Rule 424(b)(5)
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: 424B5       Prospectus Supplement and Base                       315   1.66M 


Document Table of Contents

Page (sequential) | (alphabetic) Top
 
11st Page   -   Filing Submission
2Table of Contents
3Summary of Prospectus Supplement
4The Mortgage Loans
6The Certificates
8Credit Enhancement
"Subordination
"Overcollateralization
9Allocation of Losses
"Cap Contracts
"P&I Advances
10Federal Income Tax Consequences
"Ratings
"Legal Investment
"Considerations for Benefit Plan Investors
11Risk Factors
14High Cost Loans
21Use of Proceeds
"The Mortgage Pool
26The Index
27The Originators
"Underwriting Standards
34Yield on the Certificates
40Percent of Initial Certificate Principal Balance Outstanding
48Description of the Certificates
50Registration of the Book-Entry Certificates
53Pass-Through Rates
55Glossary
68Interest Distributions
69Principal Distributions
72Excess Interest and Overcollateralization
76Reports to Certificateholders
"The Servicers
"General
77Countrywide Home Loans
79CHF Subprime Securitized Servicing Portfolio
80Pooling and Servicing Agreement
81The Trustee
82The Trust Administrator
"Indemnification of the Trustee, the Trust Administrator and any Custodian
83Termination
86Method of Distribution
87Secondary Market
"Legal Opinions
91Annex I
95Annex Ii
147Annex Iii
"Assumed Mortgage Loan Characteristics
169The Trust Funds
174Assignment of the Mortgage Loans
175Revolving Credit Loans
178The Contracts
179Agency Securities
185Private Mortgage-Backed Securities
188Funding Agreements
189Yield Considerations
191Maturity and Prepayment Considerations
193The Depositor
"Mortgage Loan Program
196Qualifications of Originators and Mortgage Loan Sellers
"Representations by or on Behalf of Mortgage Loan Sellers; Repurchases
199Description of the Securities
202Assignment of Trust Fund Assets
208Deposits to Certificate Account
"Payments on Mortgage Loans and Contracts
210Payments on Agency Securities and Private Mortgage-Backed Securities
"Distributions
212Interest on the Securities
"Principal of the Securities
213Pre-Funding Account
"Advances in Respect of Delinquencies
214Reports to Securityholders
216Collection and Other Servicing Procedures
217Sub-Servicing
218Realization upon Defaulted Mortgage Loans
219Realization upon Defaulted Contracts
"Retained Interest; Servicing or Administration Compensation and Payment of Expenses
220Evidence as to Compliance
221Certain Matters Regarding the Master Servicer and the Depositor
222Events of Default and Rights upon Events of Default
225Amendment
228Duties of the Trustee
"Description of the Trustee
"Description of Credit Support
230Letter of Credit
231Mortgage Pool Insurance Policy
233Special Hazard Insurance Policy
235Bankruptcy Bond
"Financial Guarantee Insurance
236Reserve Fund
"Cross-Support Features
"Cash Flow Agreements
237Description of Primary Insurance Policies
"Primary Mortgage Insurance Policies
"Primary Hazard Insurance Policies on Mortgage Loans
239Standard Hazard Insurance Policies on Manufactured Homes
"FHA Insurance
240VA Guarantees
"Legal Aspects of Mortgage Loans
241Single-Family Loans and Multifamily Loans
"Leases and Rents
242Cooperative Loans
245Foreclosure on Mortgages
247Foreclosure on Mortgaged Properties Located in the Commonwealth of Puerto Rico
"Foreclosure on Cooperative Shares
248Repossession with Respect to Contracts
249Notice of Sale; Redemption Rights with Respect to Manufactured Homes
"Rights of Redemption with Respect to Single-Family Properties and Multifamily Properties
250Anti-Deficiency Legislation and Other Limitations on Lenders
251For Cooperative Loans
252Junior Mortgages
"Consumer Protection Laws with Respect to Contracts
253Other Limitations
"Enforceability of Provisions
255Transfer of Manufactured Homes
"Prepayment Charges and Prepayments
"Subordinate Financing
256Applicability of Usury Laws
257Alternative Mortgage Instruments
"Formaldehyde Litigation with Respect to Contracts
258Servicemembers' Civil Relief Act
"Environmental Legislation
259Forfeitures in Drug and Rico Proceedings
260Negative Amortization Loans
261REMICs
"Classification of REMICs
"Characterization of Investments in REMIC Certificates
262Taxation of Owners of REMIC Regular Certificates
"Original Issue Discount
265Market Discount
267Premium
"Taxation of Owners of REMIC Residual Certificates
269Taxable Income of the REMIC
270Basis Rules, Net Losses and Distributions
271Excess Inclusions
272Noneconomic REMIC Residual Certificates
273Possible Pass-Through of Miscellaneous Itemized Deductions
274Sales of REMIC Certificates
277Reporting and Other Administrative Matters
278Backup Withholding with Respect to REMIC Certificates
"Foreign Investors in REMIC Certificates
279Notes
280Grantor Trust Funds
"Characterization of Investments in Grantor Trust Certificates
"Taxation of Owners of Grantor Trust Fractional Interest Certificates
281If Stripped Bond Rules Apply
283If Stripped Bond Rules Do Not Apply
286Taxation of Owners of Grantor Trust Strip Certificates
288Sales of Grantor Trust Certificates
289Grantor Trust Reporting
"Partnership Trust Funds
290Taxation of Owners of Partnership Certificates
295Tax Return Disclosure and Investor List Requirements
"State and Other Tax Consequences
"Investors Affected
296Fiduciary Standards for ERISA Plans and Related Investment Vehicles
"Prohibited Transaction Issues for ERISA Plans, Keogh Plans, IRAs and Related Investment Vehicles
297Possible Exemptive Relief
303Consultation with Counsel
"Government Plans
"Representation from Plans Investing in Notes with Substantial Equity Features or Certain Securities
304Tax Exempt Investors
307Methods of Distribution
308Legal Matters
"Financial Information
"Rating
"Available Information
309Incorporation of Certain Information by Reference
310Applicable Federal rate
"Closing Date
311Due Period
313Ptce
"Saif
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Prospectus Supplement dated September 9, 2005 (to Prospectus dated May 3, 2005) $1,425,911,000 (APPROXIMATE) ASSET-BACKED PASS-THROUGH CERTIFICATES, SERIES 2005-HE3 CITIGROUP MORTGAGE LOAN TRUST INC. DEPOSITOR COUNTRYWIDE HOME LOANS SERVICING LP JPMORGAN CHASE BANK, NATIONAL ASSOCIATION HOMEQ SERVICING CORPORATION SERVICERS CITIBANK, N.A. TRUST ADMINISTRATOR -------------------------------------------------------------------------------- YOU SHOULD CONSIDER CAREFULLY THE RISK FACTORS BEGINNING ON PAGE S-11 IN THIS PROSPECTUS SUPPLEMENT AND PAGE 5 IN THE PROSPECTUS. This prospectus supplement may be used to offer and sell the offered certificates only if accompanied by the prospectus. -------------------------------------------------------------------------------- OFFERED CERTIFICATES The trust created for the Series 2005-HE3 certificates will hold a pool of one- to four-family residential first lien and second lien fixed-rate and adjustable-rate mortgage loans. The mortgage loans will be segregated into two groups, one consisting of mortgage loans with principal balances that conform to Freddie Mac loan limits and one consisting of mortgage loans with principal balances that may or may not conform to Freddie Mac loan limits. The trust will issue fifteen classes of offered certificates. You can find a list of these classes, together with their initial certificate principal balances and pass-through rates, on page S-4 of this prospectus supplement. Credit enhancement for the offered certificates will be provided in the form of excess interest, subordination and overcollateralization. UNDERWRITING Citigroup Global Markets Inc., as underwriter, will offer to the public the offered certificates at varying prices to be determined at the time of sale. The proceeds to the depositor from the sale of the offered certificates, before deducting expenses, will be approximately 99.75% of the aggregate initial certificate principal balance of the offered certificates. See "Method of Distribution." NEITHER THE SECURITIES AND EXCHANGE COMMISSION NOR ANY STATE SECURITIES COMMISSION HAS APPROVED OR DISAPPROVED OF THE OFFERED CERTIFICATES OR DETERMINED THAT THIS PROSPECTUS SUPPLEMENT OR THE PROSPECTUS IS TRUTHFUL OR COMPLETE. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE. THE ATTORNEY GENERAL OF THE STATE OF NEW YORK HAS NOT PASSED ON OR ENDORSED THE MERITS OF THIS OFFERING. ANY REPRESENTATION TO THE CONTRARY IS UNLAWFUL. CITIGROUP
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IMPORTANT NOTICE ABOUT INFORMATION PRESENTED IN THIS PROSPECTUS SUPPLEMENT AND THE ACCOMPANYING PROSPECTUS YOU SHOULD RELY ONLY ON THE INFORMATION CONTAINED IN THIS DOCUMENT. WE HAVE NOT AUTHORIZED ANYONE TO PROVIDE YOU WITH DIFFERENT INFORMATION. We provide information to you about the offered certificates in two separate documents that progressively provide more detail: o the accompanying prospectus, which provides general information, some of which may not apply to this series of certificates; and o this prospectus supplement, which describes the specific terms of this series of certificates. Citigroup Mortgage Loan Trust Inc.'s principal offices are located at 390 Greenwich Street, 4th Floor, New York, New York 10013 and its phone number is (212) 816-6000, Attention: Mortgage Finance. TABLE OF CONTENTS PROSPECTUS SUPPLEMENT SUMMARY OF PROSPECTUS SUPPLEMENT.............................................S-3 RISK FACTORS................................................................S-11 USE OF PROCEEDS.............................................................S-21 THE MORTGAGE POOL...........................................................S-21 THE ORIGINATORS.............................................................S-27 YIELD ON THE CERTIFICATES...................................................S-34 DESCRIPTION OF THE CERTIFICATES.............................................S-48 THE SERVICERS...............................................................S-76 POOLING AND SERVICING AGREEMENT.............................................S-80 FEDERAL INCOME TAX CONSEQUENCES.............................................S-84 METHOD OF DISTRIBUTION......................................................S-86 SECONDARY MARKET............................................................S-87 LEGAL OPINIONS..............................................................S-87 RATINGS.....................................................................S-87 LEGAL INVESTMENT............................................................S-88 CONSIDERATIONS FOR BENEFIT PLAN INVESTORS...................................S-88 ANNEX I......................................................................I-1 ANNEX II....................................................................II-1 ANNEX III..................................................................III-1 S-2
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SUMMARY OF PROSPECTUS SUPPLEMENT THE FOLLOWING SUMMARY IS A VERY BROAD OVERVIEW OF THE CERTIFICATES OFFERED BY THIS PROSPECTUS SUPPLEMENT AND DOES NOT CONTAIN ALL OF THE INFORMATION THAT YOU SHOULD CONSIDER IN MAKING YOUR INVESTMENT DECISION. TO UNDERSTAND ALL OF THE TERMS OF THE OFFERED CERTIFICATES, CAREFULLY READ THIS ENTIRE PROSPECTUS SUPPLEMENT AND THE ENTIRE ACCOMPANYING PROSPECTUS. [Enlarge/Download Table] Title of Series................................ Citigroup Mortgage Loan Trust Inc., Asset-Backed Pass-Through Certificates, Series 2005-HE3. Cut-off Date................................... September 1, 2005. Closing Date................................... On or about September 13, 2005. Depositor...................................... Citigroup Mortgage Loan Trust Inc., a Delaware corporation and an affiliate of Citigroup Global Markets Inc. The depositor will deposit the mortgage loans into the trust. See "The Depositor" in the prospectus. Originators.................................... WMC Mortgage Corp., a California corporation (referred to in this prospectus supplement as WMC), MortgageIT, Inc., a New York corporation (referred to in this prospectus supplement as MortgageIT), First Horizon Home Loan Corporation Inc., a Kansas corporation (referred to in this prospectus supplement as First Horizon), Accredited Home Lenders, Inc., a California corporation (referred to in this prospectus supplement as Accredited) and Impac Funding Corporation, a California corporation (referred to in this prospectus supplement as Impac). See "The Originators" in this prospectus supplement. Servicers...................................... Countrywide Home Loans Servicing LP, a Texas limited partnership (referred to in this prospectus supplement as Countrywide Servicing), JPMorgan Chase Bank, National Association, a national banking association (referred to in this prospectus supplement as JPMorgan) and HomEq Servicing Corporation, a New Jersey corporation (referred to in this prospectus supplement as HomEq). Each of the servicers will service certain of the mortgage loans in the mortgage pool. Countrywide Servicing will service mortgage loans that were originated by WMC, MortgageIT and Impac (such mortgage loans referred to in this prospectus supplement as the Countrywide Mortgage Loans). JPMorgan will service mortgage loans that were originated by MortgageIT, First Horizon and Accredited (such mortgage loans referred to in this prospectus supplement as the JPMorgan Mortgage Loans). HomEq will service mortgage loans that were originated by MortgageIT (such mortgage loans referred to in this prospectus supplement as the HomEq Mortgage Loans). Any obligation specified to be performed by the master servicer in the prospectus will be, with respect to the servicing of the mortgage loans, an obligation to be performed by the related servicer pursuant to S-3
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[Enlarge/Download Table] the pooling and servicing agreement, as described herein. See "The Servicers" in this prospectus supplement. Seller......................................... Citigroup Global Markets Realty Corp., a New York corporation and an affiliate of Citigroup Global Markets Inc. The seller will sell the mortgage loans to the depositor. Trust Administrator............................ Citibank N.A., a national banking association and an affiliate of Citigroup Global Markets Inc. See "Pooling and Servicing Agreement--The Trust Administrator" in this prospectus supplement. Trustee........................................ U.S. Bank National Association, a national banking association. See "Pooling and Servicing Agreement--The Trustee" in this prospectus supplement. Credit Risk Manager............................ The Murrayhill Company, a Colorado corporation. See "Pooling and Servicing Agreement--The Credit Risk Oversight Advisor" in this prospectus supplement. Distribution Dates............................. Distributions on the certificates will be made on the 25th day of each month, or, if that day is not a business day, on the next succeeding business day, beginning in October 2005. Offered Certificates........................... Only the certificates listed in the immediately following table are being offered by this prospectus supplement. Each class of offered certificates will have the initial certificate principal balance and pass-through rate set forth or described in the immediately following table. [Enlarge/Download Table] ==================================================================================================================== INITIAL CERTIFICATE INITIAL CERTIFICATE CLASS PRINCIPAL BALANCE(1) PASS-THROUGH RATE CLASS PRINCIPAL BALANCE(1) PASS-THROUGH RATE ----- -------------------- ----------------- ----- -------------------- ----------------- A-1............ $ 380,972,000 Variable(2) M-4........... $ 25,237,000 Variable(2) A-2A........... $ 334,426,000 Variable(2) M-5........... $ 24,495,000 Variable(2) A-2B........... $ 211,964,000 Variable(2) M-6........... $ 22,269,000 Variable(2) A-2C........... $ 127,624,000 Variable(2) M-7........... $ 22,268,000 Variable(2) A-2D........... $ 88,118,000 Variable(2) M-8........... $ 17,815,000 Variable(2) M-1............ $ 55,671,000 Variable(2) M-9........... $ 14,103,000 Variable(2) M-2............ $ 51,959,000 Variable(2) M-10.......... $ 14,103,000 Variable(2) M-3............ $ 34,887,000 ==================================================================================================================== --------------- (1) Approximate. Subject to a variance of + 5% (2) The pass-through rate on this class is based on one-month LIBOR plus an applicable certificate margin, subject to a rate cap as described in this prospectus supplement under "Description of the Certificates--Pass-Through Rates." THE TRUST The depositor will establish a trust with respect to the certificates pursuant to a pooling and servicing agreement, dated as of the cut-off date, among the depositor, the servicers, the trust administrator and the trustee. There will be twenty-three classes of certificates representing beneficial interests in the trust. See "Description of the Certificates" in this prospectus supplement. The certificates will represent in the aggregate the entire beneficial ownership interest in the trust. Distributions of interest and principal on the certificates will be made only from payments received in connection with the mortgage loans. THE MORTGAGE LOANS References to percentages of the mortgage loans or weighted averages with respect to the mortgage loans under this section are calculated based on the S-4
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aggregate principal balance of the mortgage loans, or of the indicated subset thereof, as of the cut-off date. Prior to the issuance of the certificates, mortgage loans may be removed from the mortgage pool as a result of incomplete documentation or otherwise if the depositor deems such removal necessary or desirable. A limited number of other mortgage loans may be included in the mortgage pool prior to the issuance of the certificates unless including such mortgage loans would materially alter the characteristics of the mortgage loans in the mortgage pool as described in this prospectus supplement. The trust will contain 7,972 conventional, one- to four-family, fixed-rate and adjustable-rate mortgage loans secured by first or second liens on residential real properties. The mortgage loans have an aggregate principal balance of approximately $1,484,551,799 as of the cut-off date, after application of scheduled payments due on or before the cut-off date whether or not received and subject to a permitted variance of plus or minus 5%. The mortgage loans will be divided into two loan groups, loan group I and loan group II. Loan group I will consist of fixed-rate and adjustable-rate mortgage loans with principal balances that conform to Freddie Mac loan limits. Loan group II will consist of fixed-rate and adjustable-rate mortgage loans with principal balances that may or may not conform to Freddie Mac loan limits. IN ADDITION, CERTAIN OF THE CONFORMING BALANCE MORTGAGE LOANS INCLUDED IN LOAN GROUP II MIGHT OTHERWISE HAVE BEEN INCLUDED IN LOAN GROUP I, BUT WERE EXCLUDED FROM LOAN GROUP I BECAUSE THEY DID NOT MEET FREDDIE MAC CRITERIA (INCLUDING PUBLISHED GUIDELINES) FOR FACTORS OTHER THAN PRINCIPAL BALANCE. The mortgage loans in loan group I are referred to in this prospectus supplement as the Group I Mortgage Loans. The mortgage loans in loan group II are referred to in this prospectus supplement as the Group II Mortgage Loans. The Group I Mortgage Loans will consist of 2,942 mortgage loans having an aggregate principal balance as of the cut-off date of approximately $494,768,852, after application of scheduled payments due on or before the cut-off date whether or not received and subject to a permitted variance of plus or minus 5%. The Group II Mortgage Loans will consist of 5,030 mortgage loans having an aggregate principal balance as of the cut-off date of approximately $989,782,946, after application of scheduled payments due on or before the cut-off date whether or not received and subject to a permitted variance of plus or minus 5%. The mortgage loans have the following approximate characteristics as of the cut-off date: Adjustable-rate mortgage loans: 81.53% Fixed-rate mortgage loans: 18.47% Interest only mortgage loans: 26.52% Second lien mortgage loans: 8.97% Range of mortgage rates: 4.250% - 13.599% Weighted average mortgage rate: 7.191% Range of gross margins of the adjustable-rate mortgage loans: 1.000% - 12.099% Weighted average gross margin of the adjustable-rate mortgage loans: 6.219% Range of minimum mortgage rates of the adjustable-rate mortgage loans: 2.000% - 13.599% Weighted average minimum mortgage rate of the adjustable-rate mortgage loans: 6.857% Range of maximum mortgage rates of the adjustable-rate mortgage loans: 10.250% - 20.599% Weighed average maximum mortgage rate of the adjustable-rate mortgage loans: 13.394% Weighted average next adjustment date of the adjustable-rate mortgage loans: August 2007 Weighed average remaining term to stated maturity: 339 months Range of principal balances: $12,497 - $1,300,000 Average principal balance: $186,221 Range of combined loan- to-value ratios: 9.00% - 100.00% Weighted average combined loan-to-value ratio: 91.10% Balloon loans: 28.54% Geographic concentrations in excess of 5%: California: 46.12% Florida: 6.04% New York: 5.83% S-5
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The Group I Mortgage Loans have the following approximate characteristics as of the cut-off date: Adjustable-rate Group I Mortgage Loans: 83.82% Fixed-rate Group I Mortgage Loans: 16.18% Interest only Group I Mortgage Loans: 26.96% Second lien Group I Mortgage Loans: 9.85% Range of mortgage rates: 4.375% - 12.875% Weighted average mortgage rate: 7.215% Range of gross margins of the adjustable-rate Group I Mortgage Loans: 2.000% - 9.500% Weighted average gross margin of the adjustable-rate Group I Mortgage Loans: 6.204% Range of minimum mortgage rates of the adjustable-rate Group I Mortgage Loans: 2.000% - 11.450% Weighted average minimum mortgage rate of the adjustable-rate Group I Mortgage Loans: 6.799% Range of maximum mortgage rates of the adjustable-rate Group I Mortgage Loans: 10.250% - 18.450% Weighed average maximum mortgage rate of the adjustable-rate Group I Mortgage Loans: 13.346% Weighted average next adjustment date of the adjustable-rate Group I Mortgage Loans: July 2007 Weighed average remaining term to stated maturity: 338 months Range of principal balances: $13,476 - $645,625 Average principal balance: $168,174 Range of combined loan- to-value ratios: 14.80% - 100.00% Weighted average combined loan-to-value ratio: 94.06% Balloon loans: 29.02% Geographic concentrations in excess of 5%: California: 39.30% Florida: 7.91% New York: 6.21% The Group II Mortgage Loans have the following approximate characteristics as of the cut-off date: Adjustable-rate Group II Mortgage Loans: 80.38% Fixed-rate Group II Mortgage Loans: 19.62% Interest only Group II Mortgage Loans: 26.31% Second lien Group II Mortgage Loans: 8.53% Range of mortgage rates: 4.250% - 13.599% Weighted average mortgage rate: 7.179% Range of gross margins of the adjustable-rate Group II Mortgage Loans: 1.000% - 12.099% Weighted average gross margin of the adjustable-rate Group II Mortgage Loans: 6.226% Range of minimum mortgage rates of the adjustable-rate Group II Mortgage Loans: 2.000% - 13.599% Weighted average minimum mortgage rate of the adjustable-rate Group II Mortgage Loans: 6.888% Range of maximum mortgage rates of the adjustable-rate Group II Mortgage Loans: 10.750% - 20.599% Weighed average maximum mortgage rate of the adjustable-rate Group II Mortgage Loans: 13.418% Weighted average next adjustment date of the adjustable-rate Group II Mortgage Loans: September 2007 Weighed average remaining term to stated maturity: 340 months Range of principal balances: $12,497 - $1,300,000 Average principal balance: $196,776 Range of combined loan- to-value ratios: 9.00% - 100.00% Weighted average combined loan-to-value ratio: 89.61% Balloon loans: 28.30% Geographic concentrations in excess of 5%: California: 49.53% New York: 5.64% Florida: 5.10% For additional information regarding the mortgage loans, see "The Mortgage Pool" in this prospectus supplement. THE CERTIFICATES Each class of certificates will have different characteristics, some of which are reflected in the following general designations. S-6
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Class A Certificates Class A-1 Certificates, Class A-2A Certificates, Class A-2B Certificates, Class A-2C Certificates and Class A-2D Certificates. Group I Certificates Class A-1 Certificates. Group II Certificates Class A-2A Certificates, Class A-2B Certificates, Class A-2C Certificates and Class A-2D Certificates. Mezzanine Certificates Class M-1 Certificates, Class M-2 Certificates, Class M-3 Certificates, Class M-4 Certificates, Class M-5 Certificates, Class M-6 Certificates, Class M-7 Certificates, Class M-8 Certificates, Class M-9 Certificates, Class M-10 Certificates, Class M-11 Certificates, Class M-12 Certificates and Class M-13 Certificates. Floating Rate Certificates Class A Certificates and Mezzanine Certificates. Subordinate Certificates Mezzanine Certificates and Class CE Certificates. Residual Certificates Class R and Class R-X Certificates. The pass-through rate for the Floating Rate Certificates will be a per annum rate based on one-month LIBOR plus an applicable margin set forth below, in each case, subject to the Net WAC Pass-Through Rate as described under "Description of the Certificates--Pass-Through Rates" in this prospectus supplement. MARGIN --------------------------- CLASS (1) (2) ----- --- --- A-1 0.240% 0.480% A-2A 0.110% 0.220% A-2B 0.150% 0.300% A-2C 0.260% 0.520% A-2D 0.360% 0.720% M-1 0.460% 0.690% M-2 0.480% 0.720% M-3 0.490% 0.735% M-4 0.600% 0.900% M-5 0.620% 0.930% M-6 0.660% 0.990% M-7 1.150% 1.725% M-8 1.300% 1.950% M-9 1.750% 2.625% M-10 2.500% 3.750% M-11 2.500% 3.750% M-12 2.000% 3.000% M-13 2.000% 3.000% ---------- (1) For the interest accrual period for each distribution date through and including the first distribution date on which the aggregate principal balance of the mortgage loans remaining in the mortgage pool is reduced to less than 10% of the aggregate principal balance of the mortgage loans as of the cut-off date. (2) For each interest accrual period thereafter. The offered certificates will be sold by the depositor to Citigroup Global Markets Inc., the underwriter, on the closing date. The Class A Certificates and the Mezzanine Certificates will initially be represented by one or more global certificates registered in the name of Cede & Co., as a nominee of The Depository Trust Company in minimum denominations of $100,000 and integral multiples of $1.00 in excess of those minimum denominations. See "Description of the Certificates--Registration of the Book-Entry Certificates" in this prospectus supplement. The Class M-11 Certificates, the Class M-12 Certificates, the Class M-13 Certificates, the Class CE Certificates, the Class P Certificates, the Class X Certificates and the Residual Certificates are not offered by this prospectus supplement. Information about these classes of certificates is included in this prospectus supplement solely to facilitate an understanding of the offered certificates. CLASS M-11 CERTIFICATES. The Class M-11 Certificates will have an initial certificate principal balance of $12,619,000. The Class M-11 S-7
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Certificates will be sold by the depositor to Citigroup Global Markets Inc. on the closing date. CLASS M-12 CERTIFICATES. The Class M-12 Certificates will have an initial certificate principal balance of $20,041,000. The Class M-12 Certificates will be sold by the depositor to Citigroup Global Markets Inc. on the closing date. CLASS M-13 CERTIFICATES. The Class M-13 Certificates will have an initial certificate principal balance of $5,197,000. The Class M-13 Certificates will be sold by the depositor to Citigroup Global Markets Inc. on the closing date. CLASS CE CERTIFICATES. The Class CE Certificates will have an initial certificate principal balance of approximately $20,783,599, which is approximately equal to the initial overcollateralization required by the pooling and servicing agreement. The Class CE Certificates initially evidence an interest of approximately 1.40% in the trust. On any distribution date, the Class CE Certificates will be entitled to distributions only after all required distributions on the Floating Rate Certificates for such distribution date have been made. The Class CE Certificates will be sold by the depositor to Citigroup Global Markets Inc. on the closing date. CLASS P CERTIFICATES. The Class P Certificates will have an initial certificate principal balance of $100 and will not be entitled to distributions in respect of interest. The Class P Certificates will be entitled to all prepayment charges received in respect of the mortgage loans. The Class P Certificates will be sold by the depositor to Citigroup Global Markets Inc. on the closing date. CLASS X CERTIFICATES. The Class X Certificates will have an initial certificate principal balance of $100 and will represent the right to exercise the early termination of the certificates subject to the conditions specified in the pooling and servicing agreement. See "Pooling and Servicing Agreement--Termination" in this prospectus supplement. RESIDUAL CERTIFICATES. The Residual Certificates will represent the residual interests in the trust. The Residual Certificates will be sold by the depositor to Citigroup Global Markets Inc. on the closing date CREDIT ENHANCEMENT The credit enhancement provided for the benefit of the holders of the Floating Rate Certificates will consist of excess interest, subordination and overcollateralization, each as described in this section and under "Description of the Certificates--Credit Enhancement" in this prospectus supplement. EXCESS INTEREST. The mortgage loans bear interest each month which, in the aggregate, is expected to exceed the amount needed to distribute monthly interest on the Class A Certificates and Mezzanine Certificates and to pay certain fees and expenses of the trust. The excess interest, if any, from the mortgage loans each month will be available to absorb realized losses on the mortgage loans and to maintain or restore overcollateralization at the required level. SUBORDINATION. The rights of the holders of the Mezzanine Certificates and the Class CE Certificates to receive distributions will be subordinated, to the extent described in this prospectus supplement, to the rights of the holders of the Class A Certificates. In addition, the rights of the holders of Mezzanine Certificates with higher numerical class designations to receive distributions will be subordinated to the rights of the holders of the Mezzanine Certificates with lower numerical class designations, and the rights of the holders of the Class CE Certificates to receive distributions will be subordinated to the rights of the holders of the Mezzanine Certificates, in each case to the extent described in this prospectus supplement. Subordination is intended to enhance the likelihood of regular distributions on the more senior classes of certificates in respect of interest and principal and to afford the more senior classes of certificates protection against realized losses on the mortgage loans. OVERCOLLATERALIZATION. The aggregate principal balance of the mortgage loans as of the cut-off date will exceed the aggregate certificate principal balance of the Floating Rate Certificates, the Class X Certificates and Class P Certificates as of the closing date by approximately $20,783,599. The required level of overcollateralization will initially be equal to approximately 1.40% of the aggregate S-8
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principal balance of the mortgage loans as of the cut-off date. We cannot assure you that sufficient interest will be generated by the mortgage loans to maintain or restore overcollateralization at the required level. ALLOCATION OF LOSSES. If, on any distribution date, there is not sufficient excess interest or overcollateralization to absorb realized losses on the mortgage loans as described under "Description of the Certificates--Credit Enhancement--Overcollateralization Provisions" in this prospectus supplement, then realized losses on the mortgage loans will be allocated to the Mezzanine Certificates in reverse order of seniority. The pooling and servicing agreement will not permit the allocation of realized losses on the mortgage loans to the Class A Certificates, the Class P Certificates or the Class X Certificates; however, investors in the Class A Certificates should realize that under certain scenarios there may not be enough interest and principal on the mortgage loans to distribute to the Class A Certificates all interest and principal amounts to which these certificates are then entitled. See "Description of the Certificates-- Allocation of Losses" in this prospectus supplement. Once realized losses are allocated to the Mezzanine Certificates, such realized losses will not be reinstated thereafter, except in the case of certain subsequent recoveries that occur while such certificates are still outstanding. However, the amount of any realized losses allocated to any of the Mezzanine Certificates may be paid, without interest, on future distribution dates to the holders of such Mezzanine Certificates, if such certificates are then still outstanding, on a subordinated basis to the extent funds are available for such purpose according to the priorities described under "Description of the Certificates--Credit Enhancement--Overcollateralization Provisions" in this prospectus supplement. CAP CONTRACTS The following certificates will each have the benefit of a related interest rate cap contract: (i) the Group I Certificates; (ii) the Group II Certificates; and (iii) the Mezzanine Certificates. Each of the cap contracts will require the counterparty to pay amounts to the trust to the extent one-month LIBOR (as defined in the related cap contract) for any related interest accrual period exceeds the rate set forth in the related cap contract, but not more than the maximum rate set forth in the related cap contract, in an amount equal to such excess multiplied by the lesser of (i) the notional amount for such interest accrual period set forth in the related cap contract and (ii) the aggregate certificate principal balance of the certificates benefited by such cap contract. Cap payments, if any, made by the counterparty under the cap contract will be deposited in the Net WAC Rate Carryover Reserve Account (as described herein) and will be available for distribution on the Floating Rate Certificates in respect of basis risk shortfall amounts, to the limited extent described in this prospectus supplement. See "Description of the Certificates--The Cap Contracts" in this prospectus supplement. P&I ADVANCES Each servicer is required to advance delinquent payments of principal and interest on the mortgage loans serviced by it, subject to the limitations described under "Description of the Certificates--P&I Advances." The servicers are entitled to be reimbursed for these advances, and therefore these advances are not a form of credit enhancement. None of the servicers will advance the balloon payment with respect to any balloon mortgage loan. In addition, with respect to the Countrywide Mortgage Loans, Countrywide Servicing will not make any advances with respect to REO Properties. See "Description of the Certificates--P&I Advances" in this prospectus supplement and "Description of the Securities--Advances in Respect of Delinquencies" in the prospectus. OPTIONAL TERMINATION At its option, the majority holder of the Class X Certificates or, if such majority holder fails to exercise such option, any servicer, may purchase all of the mortgage loans in the trust, together with any properties in respect of the mortgage loans acquired on behalf of the trust, and thereby effect termination and early retirement of the certificates, after the aggregate principal balance of the mortgage loans and properties acquired in respect of the mortgage loans has been reduced to less than 10% of the aggregate principal balance of the mortgage loans as of the cut-off date. See S-9
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"Pooling and Servicing Agreement--Termination" in this prospectus supplement and "Description of the Securities-- Termination" in the prospectus. FEDERAL INCOME TAX CONSEQUENCES One or more elections will be made to treat the trust (exclusive of the Net WAC Rate Carryover Reserve Account and the cap contracts) as one or more real estate mortgage investment conduits, or REMICs, for federal income tax purposes. See "Federal Income Tax Consequences" in this prospectus supplement and in the prospectus. RATINGS It is a condition to the issuance of the offered certificates that the offered certificates receive not lower than the following ratings from Fitch Ratings, or Fitch, Moody's Investors Service, Inc., or Moody's, and Standard & Poor's, a division of the McGraw-Hill Companies, Inc., or S&P: OFFERED CERTIFICATES FITCH MOODY'S S&P -------------------- ----- ------- --- Class A-1 AAA Aaa AAA Class A-2A AAA Aaa AAA Class A-2B AAA Aaa AAA Class A-2C AAA Aaa AAA Class A-2D AAA Aaa AAA Class M-1 AA+ Aa1 AA+ Class M-2 AA Aa2 AA Class M-3 AA Aa3 AA Class M-4 AA- A1 AA- Class M-5 A+ A2 A+ Class M-6 A A3 A Class M-7 A- Baa1 A- Class M-8 BBB+ Baa2 BBB+ Class M-9 BBB Baa3 BBB Class M-10 BBB- Ba1 BBB- A security rating does not address the frequency of prepayments on the mortgage loans or the corresponding effect on yield to investors. The ratings on the offered certificates do not address the likelihood of any recovery of basis risk shortfalls by holders of such certificates. See "Yield on the Certificates" and "Ratings" in this prospectus supplement and "Yield Considerations" in the prospectus. LEGAL INVESTMENT The offered certificates will not constitute "mortgage related securities" for purposes of the Secondary Mortgage Market Enhancement Act of 1984, or SMMEA. See "Legal Investment" herein and in the prospectus. CONSIDERATIONS FOR BENEFIT PLAN INVESTORS The U.S. Department of Labor has issued an individual exemption, Prohibited Transaction Exemption 91-23, as amended, to Citigroup Global Markets Inc. This exemption generally exempts from the application of certain of the prohibited transaction provisions of Section 406 of the Employee Retirement Income Security Act of 1974, as amended, or ERISA, and the excise taxes imposed on such prohibited transactions by Section 4975(a) and (b) of the Internal Revenue Code of 1986, or the Code, and Section 502(i) of ERISA, transactions relating to the purchase, sale and holding of pass-through certificates underwritten by Citigroup Global Markets Inc. This exemption generally applies to certificates such as the offered certificates, and the servicing and operation of asset pools such as the mortgage pool, provided that certain conditions are satisfied. See "Considerations For Benefit Plan Investors" in this prospectus supplement and in the prospectus. S-10
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RISK FACTORS In addition to the matters described elsewhere in this prospectus supplement and the prospectus, prospective investors should carefully consider the following factors before deciding to invest in the offered certificates. THE MORTGAGE LOANS WERE UNDERWRITTEN TO STANDARDS WHICH DO NOT CONFORM TO THE CREDIT STANDARDS OF FANNIE MAE OR FREDDIE MAC WHICH MAY RESULT IN LOSSES ON THE MORTGAGE LOANS. Each originator's underwriting standards are intended to assess the value of the mortgaged property and to evaluate the adequacy of the property as collateral for the mortgage loan and consider, among other things, a mortgagor's credit history, repayment ability and debt service-to-income ratio, as well as the type and use of the mortgaged property. Each originator provides loans primarily to borrowers who do not qualify for loans conforming to Fannie Mae and Freddie Mac credit guidelines. None of the originator's underwriting standards prohibit a mortgagor from obtaining, at the time of origination of such originator's first lien, additional financing which is subordinate to that first lien, which subordinate financing would reduce the equity the mortgagor would otherwise have in the related mortgaged property as indicated in such originator's loan-to-value ratio determination for such originator's first lien. As a result of the originators' underwriting standards, the mortgage loans in the mortgage pool are likely to experience rates of delinquency, foreclosure and bankruptcy that are higher, and that may be substantially higher, than those experienced by mortgage loans underwritten in a more traditional manner. Furthermore, changes in the values of mortgaged properties may have a greater effect on the delinquency, foreclosure, bankruptcy and loss experience of the mortgage loans in the mortgage pool than on mortgage loans originated in a more traditional manner. No assurance can be given that the values of the related mortgaged properties have remained or will remain at the levels in effect on the dates of origination of the related mortgage loans. See "The Originators" in this prospectus supplement. MORTGAGE LOANS WITH HIGH LOAN-TO-VALUE RATIOS LEAVE THE RELATED BORROWER WITH LITTLE OR NO EQUITY IN THE RELATED MORTGAGED PROPERTY, WHICH MAY RESULT IN LOSSES WITH RESPECT TO THESE MORTGAGE LOANS. The original loan-to-value ratio of a mortgage loan as described in this prospectus supplement is the ratio, expressed as a percentage, of the principal balance of the mortgage loan at origination over the value of the related mortgaged property determined at origination. There can be no assurance that the value of a mortgaged property used in the calculation of the loan-to-value ratio accurately reflected the actual value of the related mortgaged property at origination. Approximately 17.57% of the Group I Mortgage Loans and approximately 27.93% of the Group II Mortgage Loans (in each case, by aggregate principal balance of the related loan group as of the cut-off date) and approximately 24.48% of the mortgage loans (by aggregate principal balance of the mortgage loans as of the cut-off date) have an original loan-to-value ratio in excess of 80%. None of the mortgage loans has an original loan-to-value ratio in excess of approximately 100.00%. Mortgage loans with higher loan-to-value ratios may present a greater risk of loss. In addition, an overall decline in the residential real estate market, a rise in interest rates over a period of time and the general condition of a mortgaged property, as well as other factors, may have the effect of reducing the value of the related mortgaged property from the value at the time the mortgage loan was originated. If the value of a mortgaged property decreases, the loan-to-value ratio may increase over what it was at the time the mortgage loan was originated which may reduce the likelihood of liquidation or other proceeds being sufficient to satisfy the mortgage loan. There can be no assurance that the loan-to-value ratio of any mortgage loan determined at any time after origination will be less than or equal to its original loan-to-value ratio. See "The Mortgage Pool--General" in this prospectus supplement. Furthermore, a mortgagor may have obtained at or around the time of origination of the related originator's first lien or second lien, or may obtain at any time thereafter, additional financing which is S-11
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subordinate to that lien, which subordinate financing would reduce the equity the mortgagor would otherwise have in the related mortgaged property as indicated in the originator's loan-to-value ratio determination for such originator's first or second lien. THERE ARE RISKS ASSOCIATED WITH SECOND LIEN MORTGAGE LOANS. Approximately 9.85% of the Group I Mortgage Loans and approximately 8.53% of the Group II Mortgage Loans (in each case, by aggregate principal balance of the related loan group as of the cut-off date) and approximately 8.97% of the mortgage loans (by aggregate principal balance of the mortgage loans as of the cut-off date) are secured by second liens on the related mortgaged properties. The proceeds from any liquidation, insurance or condemnation proceedings will be available to satisfy the outstanding balance of such mortgage loans only to the extent that the claims of the related senior mortgages have been satisfied in full, including any related foreclosure costs. In circumstances when it has been determined to be uneconomical to foreclose on the mortgaged property, each servicer may write off the entire balance of such mortgage loan as a bad debt. The foregoing considerations will be particularly applicable to mortgage loans secured by second liens that have high original loan-to-value ratios because it is comparatively more likely that the related servicer would determine foreclosure to be uneconomical in the case of such mortgage loans. The rate of default of second lien mortgage loans may be greater than that of mortgage loans secured by first liens on comparable properties. DELINQUENCIES ON THE MORTGAGE LOANS MAY ADVERSELY AFFECT THE CLASS A CERTIFICATES AND THE MEZZANINE CERTIFICATES. Approximately 0.54% of the Group I Mortgage Loans and approximately 0.90% of the Group II Mortgage Loans (in each case, by aggregate principal balance of the related loan group as of the cut-off date) and approximately 0.78% of the mortgage loans (by aggregate principal balance of the mortgage loans as of the cut-off date) of the mortgage loans as of August 31, 2005 are delinquent. Each servicer will be required to make advances of delinquent payments of principal and interest on any delinquent mortgage loans, to the extent such advances are deemed to be recoverable, until such mortgage loans become current. Furthermore, with respect to any delinquent mortgage loan, each servicer may either foreclose on any such mortgage loan or work out an agreement with the mortgagor, which may involve waiving or modifying certain terms of the related mortgage loan. If a servicer extends the payment period or accepts a lesser amount than the amount due pursuant to the mortgage note in satisfaction of the mortgage note, your yield may be reduced. INTEREST ONLY MORTGAGE LOANS RISK. Approximately 26.96% of the Group I Mortgage Loans and approximately 26.31% of the Group II Mortgage Loans (in each case, by aggregate principal balance of the related loan group as of the cut-off date) and approximately 26.52% of the mortgage loans (by aggregate principal balance of the mortgage loans as of the cut-off date) require the borrowers to make monthly payments only of accrued interest for the first 60 or 120 months following origination. After such interest-only period, the borrower's monthly payment will be recalculated to cover both interest and principal so that the mortgage loan will amortize fully prior to its final payment date. The interest-only feature may reduce the likelihood of prepayment during the interest-only period due to the smaller monthly payments relative to a fully-amortizing mortgage loan. If the monthly payment increases, the related borrower may not be able to pay the increased amount and may default or may refinance the related mortgage loan to avoid the higher payment. Because no principal payments may be made on such mortgage loans for an extended period following origination, certificateholders will receive smaller principal distributions during such period than they would have received if the related borrowers were required to make monthly payments of interest and principal for the entire lives of such mortgage loans. This slower rate of principal distributions may reduce the return on an investment in the Floating Rate Certificates that are purchased at a discount. S-12
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BALLOON LOAN RISK Balloon loans pose a risk because a mortgagor must make a large lump sum payment of principal at the end of the loan term. If the mortgagor is unable to pay the lump sum or refinance such amount, you may suffer a loss. Approximately 29.02% of the Group I Mortgage Loans and approximately 28.30% of the Group II Mortgage Loans (in each case, by aggregate principal balance of the related loan group as of the cut-off date) and approximately 28.54% of the mortgage loans (by aggregate principal balance of the mortgage loans as of the cut-off date) are balloon loans. THE MORTGAGE LOANS ARE CONCENTRATED IN PARTICULAR STATES, WHICH MAY PRESENT A GREATER RISK OF LOSS RELATING TO THESE MORTGAGE LOANS. The chart presented under "Summary of Prospectus Supplement--The Mortgage Loans" lists the states with the highest concentrations of mortgage loans. Mortgaged properties in certain regions may be particularly susceptible to certain types of hazards, such as hurricanes, earthquakes, floods, mudslides and other disasters for which there may or may not be insurance. In addition, the conditions below will have a disproportionate impact on the mortgage loans based on their location: o Economic conditions in states with high concentrations of mortgage loans which may or may not affect real property values may affect the ability of mortgagors to repay their mortgage loans on time. o Declines in the residential real estate markets in the states with high concentrations of mortgage loans may reduce the values of properties located in those states, which would result in an increase in the loan-to-value ratios. o Any increase in the market value of properties located in the states with high concentrations of mortgage loans would reduce the loan-to-value ratios and could, therefore, make alternative sources of financing available to the mortgagors at lower interest rates, which could result in an increased rate of prepayment of the mortgage loans. HURRICANE KATRINA MAY ADVERSELY AFFECT THE MORTGAGE LOANS Hurricane Katrina struck Louisiana, Mississippi, Alabama and surrounding areas on August 29, 2005. Approximately 0.88% of the mortgage loans are in disaster areas designated by the Federal Emergency Management Agency. The seller will make a representation and warranty that, except to the extent insurance is in place which will cover such damage, the physical property subject to any mortgage loan is free of material damage and is in good repair. In the event that a mortgaged property is materially damaged as of the closing date and such damage materially and adversely affects the value or the interests of the certificateholders in the related mortgage loan, the seller will be required to repurchase the related mortgage loan from the trust. Damages to mortgaged properties as a result of Hurricane Katrina may or may not be covered by the related hazard insurance policies. No assurance can be given as to the effect of this event on the rate of delinquencies and losses on the mortgage loans secured by mortgaged properties that were or may be affected by Hurricane Katrina. Any adverse impact as a result of this event may be borne by the certificateholders, particularly if the seller fails to repurchase any mortgage loan that breaches this representation and warranty. In addition, property values in these states may be adversely affected by Hurricane Katrina. Mortgagors in areas affected by the hurricane may also be affected by any decline in the economic environment. VIOLATION OF CONSUMER PROTECTION LAWS MAY RESULT IN LOSSES ON THE MORTGAGE LOANS AND YOUR CERTIFICATES. Applicable state laws generally regulate interest rates and other charges, require certain disclosure, and require licensing of the originator. In addition, other state laws, public policy and general principles of S-13
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equity relating to the protection of consumers, unfair and deceptive practices and debt collection practices may apply to the origination, servicing and collection of the mortgage loans. The mortgage loans are also subject to federal laws, including: o the Federal Truth-in-Lending Act and Regulation Z promulgated thereunder, which require certain disclosures to the mortgagors regarding the terms of the mortgage loans; o the Equal Credit Opportunity Act and Regulation B promulgated thereunder, which prohibit discrimination on the basis of age, race, color, sex, religion, marital status, national origin, receipt of public assistance or the exercise of any right under the Consumer Credit Protection Act, in the extension of credit; and o the Fair Credit Reporting Act, which regulates the use and reporting of information related to the borrower's credit experience. Violations of certain provisions of these federal laws may limit the ability of the servicer to collect all or part of the principal of or interest on the mortgage loans and in addition could subject the trust to damages and administrative enforcement and could result in the borrowers rescinding such mortgage loans against either the trust or subsequent holders of the mortgage loans. Each originator will represent that as of the closing date, each mortgage loan was in compliance with applicable federal and state laws and regulations that were in effect at the time the related mortgage loan was originated. In the event of a breach of such representation, the responsible party will be obligated to cure such breach or repurchase or replace the affected mortgage loan in the manner set forth in the pooling and servicing agreement. High Cost Loans None of the mortgage loans are "High Cost Loans" within the meaning of the Homeownership Act or any state law, ordinance or regulation similar to the Homeownership Act. See "Certain Legal Aspects of Residential Loans--Anti-Deficiency Legislation, Bankruptcy Laws and Other Limitations on Lenders" in the prospectus. In addition to the Homeownership Act, however, a number of legislative proposals have been introduced at both the federal and state level that are designed to discourage predatory lending practices. Some states have enacted, or may enact, laws or regulations that prohibit inclusion of some provisions in mortgage loans that have mortgage rates or origination costs in excess of prescribed levels, and require that borrowers be given certain disclosures prior to the consummation of such mortgage loans. In some cases, state law may impose requirements and restrictions greater than those in the Homeownership Act. The failure of the originator to comply with these laws could subject the trust, and other assignees of the mortgage loans, to monetary penalties and could result in the borrowers rescinding such mortgage loans against either the trust or subsequent holders of the mortgage loans. Lawsuits have been brought in various states making claims against assignees of high cost loans for violations of state law. Named defendants in these cases include numerous participants within the secondary mortgage market, including some securitization trusts. Under the anti-predatory lending laws of some states, the borrower is required to meet a net tangible benefits test in connection with the origination of the related mortgage loan. This test may be highly subjective and open to interpretation. As a result, a court may determine that a mortgage loan does not meet the test even if an originator reasonably believed that the test was satisfied. Any determination by a court that a mortgage loan does not meet the test will result in a violation of the state anti-predatory lending law, in which case the related originator will be required to purchase such mortgage loan from the trust. S-14
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YOUR CERTIFICATES WILL BE LIMITED OBLIGATIONS SOLELY OF THE TRUST AND NOT OF ANY OTHER PARTY. The certificates will not represent an interest in or obligation of the seller, the depositor, the servicers, the credit risk manager, the trust administrator, the trustee or any of their respective affiliates. Neither the certificates nor the underlying mortgage loans will be guaranteed or insured by any governmental agency or instrumentality, or by the seller, the depositor, the servicers, the credit risk manager, the trust administrator, the trustee or any of their respective affiliates. Proceeds of the assets included in the trust will be the sole source of distributions on the offered certificates, and there will be no recourse to the seller, the depositor, the servicers, the credit risk manager, the trust administrator, the trustee or any other entity in the event that such proceeds are insufficient or otherwise unavailable to make all distributions provided for under the offered certificates. THE CAP CONTRACTS ARE SUBJECT TO COUNTERPARTY RISK. The assets of the trust will include the cap contracts which will require the counterparty thereunder to make certain payments to the trust for the benefit of the holders of the Floating Rate Certificates. To the extent that distributions on the Floating Rate Certificates depend in part on payments to be received by the trustee under the cap contracts, the ability of the trustee to make such distributions on the Floating Rate Certificates will be subject to the credit risk of the counterparty to the cap contracts. Although there will be a mechanism in place to facilitate replacement of the cap contracts upon the default or credit impairment of the counterparty thereunder, there can be no assurance that any such mechanism will result in the ability of the trustee to obtain suitable replacement cap contracts. POTENTIAL INADEQUACY OF CREDIT ENHANCEMENT FOR THE OFFERED CERTIFICATES. The credit enhancement features described in the summary of this prospectus supplement are intended to increase the likelihood that holders of the offered certificates will receive regular distributions of interest and/or principal. If delinquencies or defaults occur on the mortgage loans, none of the servicers or any other entity will advance scheduled monthly payments of interest and principal on delinquent or defaulted mortgage loans if such advances are deemed unrecoverable. If substantial losses occur as a result of defaults and delinquent payments on the mortgage loans, the holders of the offered certificates may suffer losses. NO ADVANCES OF PRINCIPAL OR INTEREST WILL BE MADE WITH RESPECT TO CERTAIN REO PROPERTIES. Countrywide Servicing will not make any advances with respect to any Countrywide Mortgage Loan that has become an REO property. The failure to make such advances could result in less funds being available to make payments on the offered certificates than would be available if such advances were made and may negatively affect the yields on the offered certificates. INTEREST GENERATED BY THE MORTGAGE LOANS MAY BE INSUFFICIENT TO MAINTAIN OR RESTORE OVERCOLLATERALIZATION. The mortgage loans are expected to generate more interest than is needed to distribute interest owed on the Floating Rate Certificates and to pay certain fees and expenses of the trust. Any remaining interest generated by the mortgage loans will then be used to absorb losses that occur on the mortgage loans. After these financial obligations of the trust are covered, available excess interest generated by the mortgage loans will be used to maintain or restore overcollateralization, at the then-required level. We cannot assure you that sufficient interest will be generated by the mortgage loans to create overcollateralization or thereafter to maintain or restore overcollateralization at the required level. The factors described below will affect the amount of excess interest that the mortgage loans will generate: o Every time a mortgage loan is prepaid in full, liquidated or written off, excess interest may be reduced because such mortgage loan will no longer be outstanding and generating interest or, in the case of a partial prepayment, will be generating less interest. Prepayments and liquidations of mortgage loans S-15
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with relatively higher mortgage rates will cause excess interest to be reduced to a greater degree than will prepayments and liquidations of mortgage loans with relatively lower mortgage rates. o If the rates of delinquencies, defaults or losses on the mortgage loans are higher than expected, excess interest will be reduced by the amount necessary to compensate for any shortfalls in cash available to make required distributions on the Floating Rate Certificates. o The adjustable-rate mortgage loans have mortgage rates that adjust less frequently than, and on the basis of an index that is different from the index used to determine, the pass-through rates on the Floating Rate Certificates, and the fixed-rate mortgage loans have mortgage rates that do not adjust. As a result, the pass-through rates on the Floating Rate Certificates may increase relative to mortgage rates on the mortgage loans, requiring that a greater portion of the interest generated by the mortgage loans be applied to cover interest on the Floating Rate Certificates. o The distribution priorities for the certificates will at times cause certain classes of Class A Certificates and the Mezzanine Certificates with lower pass-through rates to amortize more rapidly than the classes of Class A and Mezzanine Certificates with higher pass-through rates, with resulting increases in the weighted average pass-through rate of the offered certificates and corresponding decreases in the amount of excess interest. THE PASS-THROUGH RATES ON THE FLOATING RATE CERTIFICATES ARE SUBJECT TO LIMITATION. The Floating Rate Certificates will accrue interest at a pass-through rate based on a one-month LIBOR index plus a specified margin, but the pass-through rate on every class of Floating Rate Certificates will be subject to a limit. The limit on the pass-through rates for the Floating Rate Certificates is generally based on the weighted average of the mortgage rates on the related mortgage loans, net of certain fees and expenses of the trust. As a result of the limit on the pass-through rates on the Floating Rate Certificates, such certificates may accrue less interest than they would accrue if their pass-through rates were calculated without regard to such limit. A variety of factors could limit the pass-through rates and adversely affect the yields to maturity on the Floating Rate Certificates. Some of these factors are described below. o The pass-through rates for the Floating Rate Certificates may adjust monthly while the mortgage rates on the fixed-rate mortgage loans do not adjust and the mortgage rates on the adjustable-rate mortgage loans adjust less frequently. Furthermore, substantially all of the adjustable-rate mortgage loans will have the first adjustment to their mortgage rates six months, two, three or five years after their origination. Consequently, the limits on the pass-through rates on the Floating Certificates may prevent any increases in the pass-through rate on one or more classes of such certificates for extended periods in a rising interest rate environment. o If prepayments, defaults and liquidations occur more rapidly on the mortgage loans with relatively higher mortgage rates than on the mortgage loans with relatively lower mortgage rates, the pass-through rate on one or more classes of the Floating Rate Certificates is more likely to be limited. o The mortgage rates on the adjustable-rate mortgage loans may respond to different economic and market factors than does one-month LIBOR. It is possible that the mortgage rates on the adjustable-rate mortgage loans may decline while the pass-through rates on the Floating Rate Certificates are stable or rising. It is also possible that the mortgage rates on the adjustable-rate mortgage loans and the pass-through rates on the Floating Rate Certificates may both decline or increase during the same period, but that the pass-through rates on the Floating Rate Certificates may decline more slowly or increase more rapidly. S-16
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If the pass-through rate on any class of Floating Rate Certificates is limited for any distribution date, the resulting basis risk shortfalls may be recovered by the holders of those certificates on the same distribution date or on future distribution dates, to the extent that on such distribution date or future distribution dates there are any available funds remaining after certain other distributions on the certificates and the payment of certain fees and expenses of the trust. There can be no assurance that any basis risk shortfalls will be recovered, and the ratings on the offered certificates will not address the likelihood of any such recovery of basis risk shortfalls by holders of such certificates. The limit on the pass-through rate on any class of Floating Rate Certificates may apply for extended periods, or indefinitely. If the pass-through rate on any class of offered certificates is limited for any distribution date, the value of such class of certificates may be temporarily or permanently reduced. THE RATE AND TIMING OF PRINCIPAL DISTRIBUTIONS ON THE FLOATING RATE CERTIFICATES WILL BE AFFECTED BY PREPAYMENT SPEEDS. The rate and timing of distributions allocable to principal on the Floating Rate Certificates will depend on the rate and timing of principal payments (including prepayments and collections upon defaults, liquidations and repurchases) on the mortgage loans and the allocation thereof to distribute principal on such certificates. As is the case with mortgage pass-through certificates generally, the Floating Rate Certificates will be subject to substantial inherent cash-flow uncertainties because the mortgage loans may be prepaid at any time. However, with respect to approximately 69.47% of the Group I Mortgage Loans and approximately 69.49% of the Group II Mortgage Loans (in each case, by aggregate principal balance of the related loan group as of the cut-off date) and approximately 69.49% of the mortgage loans (by aggregate principal balance of the mortgage loans as of the cut-off date), a prepayment may subject the related mortgagor to a prepayment charge. A prepayment charge may or may not act as a deterrent to prepayment of the related mortgage loan. See "The Mortgage Pool" in this prospectus supplement. The rate of prepayments on the mortgage loans will be sensitive to prevailing interest rates. Generally, when prevailing interest rates are increasing, prepayment rates on mortgage loans tend to decrease. A decrease in the prepayment rates on the mortgage loans will result in a reduced rate of return of principal to investors in the Floating Rate Certificates at a time when reinvestment at the higher prevailing rates would be desirable. Conversely, when prevailing interest rates are declining, prepayment rates on mortgage loans tend to increase. An increase in the prepayment rates on the mortgage loans will result in a greater rate of return of principal to investors in the Floating Rate Certificates at a time when reinvestment at comparable yields may not be possible. Furthermore, the adjustable-rate mortgage loans may prepay at different rates and in response to different factors than the fixed-rate mortgage loans. The inclusion of different types of mortgage loans in the mortgage pool may increase the difficulty in analyzing possible prepayment rates. Each originator may be required to repurchase mortgage loans from the trust in the event certain breaches of representations and warranties have not been cured. In addition, the majority holder of the Class X Certificates or if such majority holder fails to exercise such right, any servicer, may purchase all of the mortgage loans when the aggregate principal balance of the mortgage loans is less than 10% of the aggregate principal balance of the mortgage loans as of the cut-off date. These purchases will have the same effect on the holders of the offered certificates as a prepayment of those mortgage loans. The multiple class structure of the Floating Rate Certificates causes the yields of such classes to be particularly sensitive to changes in the rates of prepayment of the mortgage loans. Because distributions of principal will be made to the holders of such certificates according to the priorities described in this prospectus supplement, the yields to maturity on the classes of Floating Rate Certificates will be sensitive to the rates of prepayment on the mortgage loans experienced both before and after the commencement of principal distributions on such classes. The yields to maturity on each class of Floating Rate Certificates will also be extremely sensitive to losses due to defaults on the mortgage loans (and the timing thereof), to the extent such losses are not covered by excess interest, the Class CE Certificates or, in the case of a class of Class A Certificates, by the Mezzanine Certificates or, in the case of a class of Mezzanine Certificates, by Mezzanine S-17
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Certificates with higher numerical class designations. Furthermore, as described in this prospectus supplement, the timing of receipt of principal and interest by the Floating Rate Certificates may be adversely affected by losses even if such classes of certificates do not ultimately bear such loss. For further information regarding the effect of principal prepayments on the weighted average lives of the offered certificates, see "Yield on the Certificates" in this prospectus supplement, including the tables entitled "Percent of Initial Certificate Principal Balance Outstanding." THE YIELD TO MATURITY ON THE OFFERED CERTIFICATES WILL DEPEND ON A VARIETY OF FACTORS. The yield to maturity on the offered certificates will depend on: (i) the applicable pass-through rate thereon from time to time; (ii) the applicable purchase price; (iii) the rate and timing of principal payments (including prepayments and collections upon defaults, liquidations and repurchases) on the related mortgage loans, and the allocation thereof to reduce the certificate principal balance of such certificates; (iv) the rate, timing and severity of realized losses on the related mortgage loans; (v) adjustments to the mortgage rates on the adjustable-rate mortgage loans; (vi) the amount of excess interest generated by the related mortgage loans; (vii) changes in six-month LIBOR and one-month LIBOR and (viii) the allocation to the offered certificates of some types of interest shortfalls. If the offered certificates are purchased at a premium and principal distributions on these certificates occur at a rate faster than that assumed at the time of purchase, the investor's actual yield to maturity will be lower than that assumed at the time of purchase. Conversely, if the offered certificates are purchased at a discount and principal distributions on these certificates occur at a rate slower than that anticipated at the time of purchase, the investor's actual yield to maturity will be lower than that originally assumed. As a result of the absorption of realized losses on the mortgage loans by excess interest and overcollateralization as described in this prospectus supplement, liquidations of defaulted mortgage loans, whether or not realized losses are allocated to the certificates upon such liquidations, will result in an earlier return of principal to the Floating Rate Certificates and will influence the yield on such certificates in a manner similar to the manner in which principal prepayments on the mortgage loans will influence the yield on such certificates. ADDITIONAL RISKS ASSOCIATED WITH THE MEZZANINE CERTIFICATES. The weighted average lives of, and the yields to maturity on, the Mezzanine Certificates will be progressively more sensitive, in increasing order of their numerical class designations, to the rate and timing of mortgagor defaults and the severity of ensuing losses on the mortgage loans. If the actual rate and severity of losses on the mortgage loans is higher than those assumed by an investor in the Mezzanine Certificates, the actual yield to maturity of these certificates may be lower than the yield anticipated by the holder. The timing of losses on the mortgage loans will also affect an investor's yield to maturity, even if the rate of defaults and severity of losses over the life of the mortgage pool are consistent with an investor's expectations. In most cases, the earlier a loss occurs, the greater the effect on an investor's yield to maturity. Realized losses on the mortgage loans, to the extent they exceed the amount of excess interest and overcollateralization, will reduce the certificate principal balance of the class of Mezzanine Certificate then outstanding with the highest numerical class designation. As a result of these reductions, less interest will accrue on these classes of certificates than would be the case if those losses were not so allocated. Once a realized loss is allocated to a Mezzanine Certificate, such written down amount will not be reinstated (except in the case of Subsequent Recoveries received while such certificate remains outstanding) and will not accrue interest. However, the amount of any realized losses allocated to the Mezzanine Certificates may be distributed to the holders of such certificates on a subordinated basis, without interest, according to the priorities set forth under "Description of the Certificates--Credit Enhancement-- Overcollateralization Provisions" in this prospectus supplement. Unless the aggregate certificate principal balance of the Class A Certificates has been reduced to zero, the Mezzanine Certificates will not be entitled to any principal distributions until at least October 2008 or a S-18
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later date as described under "Description of the Certificates--Principal Distributions" in this prospectus supplement or during any period in which delinquencies or realized losses on the mortgage loans exceed the levels set forth under "Description of the Certificates--Principal Distributions" in this prospectus supplement. As a result, the weighted average lives of the Mezzanine Certificates will be longer than would be the case if distributions of principal were allocated among all of the certificates at the same time. As a result of the longer weighted average lives of the Mezzanine Certificates, the holders of these certificates have a greater risk of suffering a loss on their investments. Further, because the Mezzanine Certificates might not receive any principal if the delinquency levels or realized losses set forth under "Description of the Certificates--Principal Distributions" in this prospectus supplement are exceeded, it is possible for these certificates to receive no principal distributions on a particular distribution date even if no losses have occurred on the mortgage loans. INTEREST SHORTFALLS AND RELIEF ACT SHORTFALLS. When a mortgage loan is prepaid, the mortgagor is charged interest only up to the date on which payment is made, rather than for an entire month. This may result in a shortfall in interest collections available for distribution on the next distribution date. Countrywide Servicing is required to cover any shortfall in interest collections that is attributable to prepayments in full or in part on the Countrywide Mortgage Loans, but only in an aggregate amount each month up to the lesser of (a) one-twelfth of the product of (i) 0.25% and (ii) the stated principal balance of such mortgage loans and (b) the aggregate servicing fee actually received for the applicable month for such mortgage loans. HomEq is required to cover any shortfall in interest collections that is attributable to prepayments in full on the HomEq Mortgage Loans occurring during the portion of the related prepayment period ending on the last day of the calendar month preceding the related distribution date, but only in an amount equal to the product of (a) the mortgage rate for such mortgage loan (net of the servicing fee rate), (b) the amount of the principal prepayment for such mortgage loan, (c) 1/360 and (d) the number of days commencing on the date on which such principal prepayment was applied and ending on the last day of the calendar month preceding such distribution date. JPMorgan is required to cover any shortfall in interest collections that is attributable to prepayments in full or in part on the JPMorgan Mortgage Loans, but only in an aggregate amount each month up to the aggregate servicing fee actually received for the applicable month for such mortgage loans. None of the servicers will cover shortfalls in interest collections due to the application of the Servicemembers Civil Relief Act, or Relief Act, or due to the application of any state law providing for similar relief. Any prepayment interest shortfalls to the extent not covered by compensating interest paid by the related servicer and any interest shortfalls resulting from the application of the Relief Act for any distribution date will be allocated, first, to the Net Monthly Excess Cashflow and thereafter, to the interest distribution amounts with respect to the Floating Rate Certificates on a pro rata basis based on the respective amounts of interest accrued on such certificates for such distribution date. The holders of the Floating Rate Certificates will not be entitled to reimbursement for any such interest shortfalls. TERRORIST ATTACKS AND MILITARY ACTION COULD ADVERSELY AFFECT THE YIELD ON YOUR CERTIFICATES. The terrorist attacks in the United States on September 11, 2001 suggest that there is an increased likelihood of future terrorist activity in the United States. In addition, current political tensions and military operations in the Middle East have resulted in a significant deployment of United States military personnel in the region. Investors should consider the possible effects of past and possible future terrorist attacks at home and abroad and any resulting military response by the United States on the delinquency, default and prepayment experience of the mortgage loans. In accordance with the applicable servicing standard set forth in the pooling and servicing agreement, the servicers may defer, reduce or forgive payments and delay foreclosure proceedings in respect of mortgage loans to borrowers affected in some way by past and possible future events. S-19
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In addition, the current deployment of United States military personnel in the Middle East and the activation of a substantial number of United States military reservists and members of the National Guard may significantly increase the proportion of mortgage loans whose mortgage rates are reduced by the application of the Relief Act. See "Legal Aspects of Mortgage Loans--Servicemembers Civil Relief" in the prospectus. Certain shortfalls in interest collection arising from the application of the Relief Act or any state law providing for similar relief will not be covered by the servicers. AN OPTIONAL TERMINATION MAY ADVERSELY AFFECT YIELDS ON THE OFFERED CERTIFICATES. When the aggregate stated principal balance of the mortgage loans has been reduced to less than 10% of their aggregate stated principal balance as of the cut-off date, the majority holder of the Class X Certificates or, if such majority holder fails to exercise such option, any servicer, may purchase all of the mortgage loans in the trust and cause an early retirement of the certificates. If this happens, the purchase price paid in connection with such termination, net of amounts payable or reimbursable to the servicers, the trust administrator or others, will be passed through to the related certificateholders. Any class of offered certificates purchased at a premium could be adversely affected by an optional purchase of the related mortgage loans. In addition, if the trust contains any REO properties at the time of any optional termination, it is possible that the purchase price paid in connection with such termination will be insufficient to result in the payment of the principal of and accrued interest on all classes of offered certificates, and this could result in losses or shortfalls being incurred by the most subordinate then-outstanding classes of offered certificates. See "Pooling and Servicing Agreement--Termination" in this prospectus supplement. THE LIQUIDITY OF YOUR CERTIFICATES MAY BE LIMITED. The underwriter has no obligation to make a secondary market in the classes of offered certificates. There is therefore no assurance that a secondary market will develop or, if it develops, that it will continue. Consequently, you may not be able to sell your certificates readily or at prices that will enable you to realize your desired yield. The market values of the certificates are likely to fluctuate and these fluctuations may be significant and could result in significant losses to you. The secondary markets for mortgage-backed securities have experienced periods of illiquidity and can be expected to do so in the future. Illiquidity can have a severely adverse effect on the prices of securities that are especially sensitive to prepayment, credit or interest rate risk, or that have been structured to meet the investment requirements of limited categories of investors. POSSIBLE REDUCTION OR WITHDRAWAL OF RATINGS ON THE OFFERED CERTIFICATES. Each rating agency rating the offered certificates may change or withdraw its initial ratings at any time in the future if, in its judgment, circumstances warrant a change. No person is obligated to maintain the ratings at their initial levels. If a rating agency reduces or withdraws its rating on one or more classes of the offered certificates, the liquidity and market value of the affected certificates is likely to be reduced. SUITABILITY OF THE OFFERED CERTIFICATES AS INVESTMENTS. The offered certificates are not suitable investments for any investor that requires a regular or predictable schedule of monthly payments or payment on any specific date. The offered certificates are complex investments that should be considered only by investors who, either alone or with their financial, tax and legal advisors, have the expertise to analyze the prepayment, reinvestment, default and market risk, the tax consequences of an investment and the interaction of these factors. ALL CAPITALIZED TERMS USED IN THIS PROSPECTUS SUPPLEMENT WILL HAVE THE MEANINGS ASSIGNED TO THEM UNDER "DESCRIPTION OF THE CERTIFICATES--GLOSSARY" OR IN THE PROSPECTUS UNDER "GLOSSARY." S-20
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USE OF PROCEEDS The seller will sell the mortgage loans to the depositor, and the depositor will convey the mortgage loans to the trust in exchange for and concurrently with the delivery of the certificates. Net proceeds from the sale of the certificates will be applied by the depositor to the purchase of the mortgage loans from the seller. These net proceeds will represent the purchase price to be paid by the depositor to the seller for the mortgage loans. The seller will have acquired the mortgage loans prior to the sale of the mortgage loans to the depositor. THE MORTGAGE POOL The statistical information presented in this prospectus supplement relates to the mortgage loans and related mortgaged properties in the aggregate and in each loan group as of the cut-off date, as adjusted for scheduled principal payments due on or before the cut-off date whether or not received. Prior to the issuance of the certificates, mortgage loans may be removed from the mortgage pool as a result of incomplete documentation or otherwise if the depositor deems such removal necessary or desirable. In addition, mortgage loans may be prepaid at any time. A limited number of other mortgage loans may be included in the mortgage pool prior to the issuance of the certificates unless including such mortgage loans would materially alter the characteristics of the mortgage loans in the mortgage pool as described in this prospectus supplement. The depositor believes that the information set forth in this prospectus supplement with respect to the mortgage loans in the aggregate and in each loan group will be representative of the characteristics of the mortgage pool and each such loan group as it will be constituted at the time the certificates are issued, although the range of mortgage rates and maturities and certain other characteristics of the mortgage loans may vary. Unless otherwise noted, all statistical percentages or weighted averages set forth in this prospectus supplement are measured as a percentage of the aggregate principal balance of the mortgage loans in the related loan group or in the aggregate as of the cut-off date. GENERAL DESCRIPTION OF THE MORTGAGE LOANS The trust will consist of a pool of one- to four- family, fixed-rate and adjustable-rate, first lien and second lien residential mortgage loans which will be divided into two loan groups consisting of loan group I containing mortgage loans that conform to Freddie Mac loan limits and loan group II containing mortgage loans that may or may not conform to Freddie Mac loan limits. IN ADDITION, CERTAIN OF THE CONFORMING BALANCE MORTGAGE LOANS INCLUDED IN LOAN GROUP II MIGHT OTHERWISE HAVE BEEN INCLUDED IN LOAN GROUP I, BUT WERE EXCLUDED FROM LOAN GROUP I BECAUSE THEY DID NOT MEET FREDDIE MAC CRITERIA (INCLUDING PUBLISHED GUIDELINES) FOR FACTORS OTHER THAN PRINCIPAL BALANCE. The mortgage pool will consist of 7,972 conventional, one- to four-family, adjustable-rate and fixed-rate mortgage loans secured by first liens and second liens on residential real properties and having an aggregate principal balance as of the cut-off date of approximately $1,484,551,799 after application of scheduled payments due on or before the cut-off date whether or not received and subject to a permitted variance of plus or minus 5%. The Group I Mortgage Loans will consist of 2,942 conventional, one- to four-family, adjustable-rate and fixed-rate mortgage loans secured by first liens and second liens on residential real properties and having an aggregate principal balance as of the cut-off date of approximately $494,768,852 after application of scheduled payments due on or before the cut-off date whether or not received and subject to a permitted variance of plus or minus 5%. The Group II Mortgage Loans will consist of 5,030 conventional, one- to four-family, adjustable-rate and fixed-rate mortgage loans secured by first liens and second liens on residential real properties and having an aggregate principal balance as of the cut-off date of approximately $989,782,946 after application of scheduled payments due on or before the cut-off date whether or not received and subject to a permitted variance of plus or minus 5%. The mortgage loans have original terms to maturity of not greater than 30 years. S-21
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The mortgage loans are secured by first or second mortgages or deeds of trust or other similar security instruments creating first or second liens on one- to four-family residential properties consisting of one- to four-family dwelling units, individual condominium units, planned unit developments and townhouse units. The mortgage loans will be acquired by the depositor from the seller in the manner described in this prospectus supplement. Approximately 82.97% of the Group I Mortgage Loans and approximately 77.24% of the Group II Mortgage Loans were originated by WMC. Approximately 4.70% of the Group I Mortgage Loans and approximately 8.62% of the Group II Mortgage Loans were originated by MortgageIT. Approximately 6.09% of the Group I Mortgage Loans and approximately 5.21% of the Group II Mortgage Loans were originated by First Horizon. Approximately 3.89% of the Group I Mortgage Loans and approximately 5.19% of the Group II Mortgage Loans were originated by Accredited. Approximately 2.35% of the Group I Mortgage Loans and approximately 3.74% of the Group II Mortgage Loans were originated by Impac. Countrywide Servicing will service the Countrywide Mortgage Loans, JPMorgan will service the JPMorgan Mortgage Loans and HomEq will service the HomEq Mortgage Loans. Each mortgage loan will accrue interest at the fixed-rate or the adjustable-rate calculated as specified under the terms of the related mortgage note. Approximately 83.82% of the Group I Mortgage Loans are adjustable-rate mortgage loans and approximately 16.18% of the Group I Mortgage Loans are fixed-rate mortgage loans. Approximately 80.38% of the Group II Mortgage Loans are adjustable -rate mortgage loans and approximately 19.62% of the Group II Mortgage Loans are fixed-rate mortgage loans. Each fixed-rate mortgage loan has a mortgage rate that is fixed for the life of such mortgage loan. Each adjustable-rate mortgage loan accrues interest at a mortgage rate that is adjustable. Generally, the adjustable-rate mortgage loans provide for semi-annual adjustment to their mortgage rates; provided, however, that (i) the first adjustment of the rates for approximately 93.61% of the adjustable-rate Group I Mortgage Loans and approximately 88.38% of the adjustable-rate Group II Mortgage Loans (in each case, by aggregate principal balance of the adjustable-rate mortgage loans in the related loan group as of the cut-off date) and approximately 90.17% of the adjustable-rate mortgage loans (by aggregate principal balance of the adjustable-rate mortgage loans as of the cut-off date), will not occur until after an initial period of approximately two years from the date of origination, (ii) the first adjustment of the rates for approximately 3.95% of the adjustable-rate Group I Mortgage Loans and approximately 4.53% of the adjustable-rate Group II Mortgage Loans (in each case, by aggregate principal balance of the adjustable-rate mortgage loans in the related loan group as of the cut-off date) and approximately 4.33% of the adjustable-rate mortgage loans (by aggregate principal balance of the adjustable-rate mortgage loans as of the cut-off date), will not occur until after an initial period of approximately three years from the date of origination and (iii) the first adjustment of the rates for approximately 2.30% of the adjustable-rate Group I Mortgage Loans and approximately 6.82% of the adjustable-rate Group II Mortgage Loans (in each case, by aggregate principal balance of the adjustable-rate mortgage loans in the related loan group as of the cut-off date) and approximately 5.27% of the adjustable-rate mortgage loans (by aggregate principal balance of the adjustable-rate mortgage loans as of the cut-off date), will not occur until after an initial period of approximately five years from the date of origination. Such adjustable-rate mortgage loans are referred to in this prospectus supplement as "delayed first adjustment mortgage loans." In connection with each mortgage rate adjustment, the adjustable-rate mortgage loans have corresponding adjustments to their monthly payment amount, in each case on each applicable adjustment date. On each adjustment date, the mortgage rate on each adjustable-rate mortgage loan will be adjusted to equal the sum, rounded to the nearest multiple of 0.125%, of the index and a fixed percentage amount, or gross margin, for that mortgage loan specified in the related mortgage note. However, the mortgage rate on each adjustable-rate mortgage loan will generally not increase or decrease by more than 1.000% to 2.000% per annum, on any related adjustment date after the first adjustment date and will not exceed a specified maximum mortgage rate over the life of the mortgage loan or be less than a specified minimum mortgage rate over the life of the mortgage loan. Effective with the first monthly payment due on each adjustable-rate mortgage loan after each related adjustment date, the monthly payment amount will be adjusted to an amount that will amortize fully the S-22
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outstanding principal balance of that mortgage loan over its remaining term and pay interest at the mortgage rate as so adjusted. Due to the application of the periodic rate caps and the maximum mortgage rates, the mortgage rate on each adjustable-rate mortgage loan, as adjusted on any related adjustment date, may be less than the sum of the index, calculated as described in this prospectus supplement, and the related gross margin. See "--The Index" in this prospectus supplement. None of the adjustable-rate mortgage loans permits the related mortgagor to convert the adjustable mortgage rate thereon to a fixed mortgage rate. Approximately 26.96% of the Group I Mortgage Loans, approximately 26.31% of the Group II Mortgage Loans and approximately 26.52% of the initial mortgage loans provide that for a period of 60 or 120 months after origination, the required monthly payments are limited to accrued interest. At the end of such period, the monthly payments on each such mortgage loan will be recalculated to provide for amortization of the principal balance by the maturity date and payment of interest at the then-current mortgage rate. Approximately 69.47% of the Group I Mortgage Loans, approximately 69.49% of the Group II Mortgage Loans and approximately 69.49% of the initial mortgage loans provide for payment by the mortgagor of a prepayment charge in limited circumstances on prepayments as provided in the related mortgage note. These mortgage loans provide for payment of a prepayment charge on some partial prepayments and all prepayments in full made within a specified period not in excess of five years from the date of origination of the mortgage loan, as provided in the related mortgage note. The amount of the prepayment charge is as provided in the related mortgage note, but, in most cases, is equal to six month's interest on any amounts prepaid in excess of 20% of the original principal balance of the related mortgage loan in any 12 month period, as permitted by law. The holders of the Class P Certificates will be entitled to all prepayment charges received on the mortgage loans, and these amounts will not be available for distribution on the offered certificates. Under the limited instances described under the terms of the pooling and servicing agreement, the servicer may waive the payment of any otherwise applicable prepayment charge. Investors should conduct their own analysis of the effect, if any, that the prepayment charges, and decisions by the servicer with respect to the waiver of the prepayment charges, may have on the prepayment performance of the mortgage loans. As of July 1, 2003, the Alternative Mortgage Parity Act of 1982, or Parity Act, which regulates the ability of the originator to impose prepayment charges, was amended, and as a result, the originator will be required to comply with state and local laws in originating mortgage loans with prepayment charge provisions with respect to loans originated on or after July 1, 2003. The depositor makes no representations as to the effect that the prepayment charges, decisions by the servicer with respect to the waiver thereof and the recent amendment of the Parity Act, may have on the prepayment performance of the mortgage loans. However, the Office of Thrift Supervision's ruling does not retroactively affect loans originated before July 1, 2003. See "Legal Aspects of Mortgage Loans--Enforceability of Provisions--Prepayment Charges and Prepayments" in the prospectus. All of the mortgage loans have scheduled monthly payments due on the first day of the month and that day is referred to as the "due date" with respect to each mortgage loan. Each mortgage loan will contain a customary "due-on-sale" clause. None of the mortgage loans are buydown mortgage loans. S-23
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MORTGAGE LOAN STATISTICS FOR ALL MORTGAGE LOANS The average principal balance of the mortgage loans as of the cut-off date was approximately $186,221. No mortgage loan had a principal balance as of the cut-off date of greater than approximately $1,300,000 or less than approximately $12,497. The mortgage loans had mortgage rates as of the cut-off date ranging from approximately 4.250% per annum to approximately 13.599% per annum, and the weighted average mortgage rate for the mortgage loans was approximately 7.191% per annum. As of the cut-off date, the adjustable-rate mortgage loans had gross margins ranging from approximately 1.000% per annum to approximately 12.099% per annum, minimum mortgage rates ranging from approximately 2.000% per annum to approximately 13.599% per annum and maximum mortgage rates ranging from approximately 10.250% per annum to approximately 20.599% per annum. As of the cut-off date, with respect to the adjustable-rate mortgage loans, the weighted average gross margin was approximately 6.219% per annum, the weighted average minimum mortgage rate was approximately 6.857% per annum and the weighted average maximum mortgage rate was approximately 13.394% per annum. The latest first adjustment date following the cut-off date on any adjustable-rate mortgage loan occurs in July 2010 and the weighted average next adjustment date for all of the adjustable-rate mortgage loans following the cut-off date is August 2007. The weighted average loan-to-value ratio of the mortgage loans as of the cut-off date was approximately 75.06%. As of the cut-off date, no mortgage loan had a loan-to-value ratio greater than 100.00% or less than approximately 7.14%. The original loan-to-value ratio of a mortgage loan as described in this prospectus supplement is the ratio, expressed as a percentage, of the principal balance of the mortgage loan at origination over the value of the related mortgaged property determined at origination. The original loan-to-value ratio of any second lien mortgage loan as described in this prospectus supplement is the combined loan-to-value ratio. The weighted average remaining term to stated maturity of the mortgage loans was approximately 339 months as of the cut-off date. None of the mortgage loans will have a first due date prior to October 1, 2004 or after September 1, 2005, or will have a remaining term to stated maturity of less than 115 months or greater than 359 months as of the cut-off date. The latest maturity date of any mortgage loan is August 1, 2035. The weighted average credit score of the mortgage loans for which credit scores were available is approximately 644. The "Weighted Average FICO" column heading in the tables below relating to the mortgage loans refers to the weighted average credit score of only the mortgage loans in the applicable subset for which credit scores were available. The mortgage loans are expected to have the characteristics as set forth in Annex II to this prospectus supplement as of the cut-off date, but investors should note that the sum in any column may not equal the total indicated due to rounding. GROUP I MORTGAGE LOAN STATISTICS The average principal balance of the Group I Mortgage Loans as of the cut-off date was approximately $168.174. No Group I Mortgage Loan had a principal balance as of the cut-off date of greater than approximately $645,625 or less than approximately $13,476. The Group I Mortgage Loans had mortgage rates as of the cut-off date ranging from approximately 4.375% per annum to approximately 12.875% per annum, and the weighted average mortgage rate for the Group I Mortgage Loans was approximately 7.215% per annum. S-24
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As of the cut-off date, the adjustable-rate Group I Mortgage Loans had gross margins ranging from approximately 2.000% per annum to approximately 9.500% per annum, minimum mortgage rates ranging from approximately 2.000% per annum to approximately 11.450% per annum and maximum mortgage rates ranging from approximately 10.250% per annum to approximately 18.450% per annum. As of the cut-off date, with respect to the adjustable-rate Group I Mortgage Loans, the weighted average gross margin was approximately 6.204% per annum, the weighted average minimum mortgage rate was approximately 6.799% per annum and the weighted average maximum mortgage rate was approximately 13.346% per annum. The latest first adjustment date following the cut-off date on any adjustable-rate Group I Mortgage Loan occurs in July 2010 and the weighted average next adjustment date for all of the adjustable-rate Group I Mortgage Loans following the cut-off date is July 2007. The weighted average loan-to-value ratio of the Group I Mortgage Loans as of the cut-off date was approximately 74.65%. As of the cut-off date, no Group I Mortgage Loan had a loan-to-value ratio greater than 100.00% or less than approximately 9.97%. The original loan-to-value ratio of a Group I Mortgage Loan as described in this prospectus supplement is the ratio, expressed as a percentage, of the principal balance of the Group I Mortgage Loan at origination over the value of the related mortgaged property determined at origination. The original loan-to-value ratio of any second lien Group I Mortgage Loan as described in this prospectus supplement is the combined loan-to-value ratio. The weighted average remaining term to stated maturity of the Group I Mortgage Loans was approximately 338 months as of the cut-off date. None of the Group I Mortgage Loans will have a first due date prior to October 1, 2004 or after September 1, 2005, or will have a remaining term to stated maturity of less than 116 months or greater than 359 months as of the cut-off date. The latest maturity date of any Group I Mortgage Loan is August 1, 2035. The weighted average credit score of the Group I Mortgage Loans for which credit scores were available is approximately 648. The "Weighted Average FICO" column heading in the tables below relating to the Group I Mortgage Loans refers to the weighted average credit score of only the Group I Mortgage Loans in the applicable subset for which credit scores were available. The Group I Mortgage Loans are expected to have the characteristics as set forth in Annex II to this prospectus supplement as of the cut-off date, but investors should note that the sum in any column may not equal the total indicated due to rounding. GROUP II MORTGAGE LOAN STATISTICS The average principal balance of the Group II Mortgage Loans as of the cut-off date was approximately $196,776. No Group II Mortgage Loan had a principal balance as of the cut-off date of greater than approximately $1,300,000 or less than approximately $12,497. The Group II Mortgage Loans had mortgage rates as of the cut-off date ranging from approximately 4.250% per annum to approximately 13.599% per annum, and the weighted average mortgage rate for the Group II Mortgage Loans was approximately 7.179% per annum. As of the cut-off date, the adjustable-rate Group II Mortgage Loans had gross margins ranging from approximately 1.000% per annum to approximately 12.099% per annum, minimum mortgage rates ranging from approximately 2.000% per annum to approximately 13.599% per annum and maximum mortgage rates ranging from approximately 10.750% per annum to approximately 20.599% per annum. As of the cut-off date, with respect to the adjustable-rate Group II Mortgage Loans, the weighted average gross margin was approximately 6.226% per annum, the weighted average minimum mortgage rate was approximately 6.888% per annum and the weighted average maximum mortgage rate was approximately 13.418% per annum. The latest first adjustment date following the cut-off date on any adjustable-rate Group II Mortgage Loan occurs in July 2010 and the weighted average next adjustment date for all of the adjustable-rate Group II Mortgage Loans following the cut-off date is September 2007. S-25
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The weighted average loan-to-value ratio of the Group II Mortgage Loans as of the cut-off date was approximately 75.26%. As of the cut-off date, no Group II Mortgage Loan had a loan-to-value ratio greater than 100.00% or less than approximately 7.14%. The original loan-to-value ratio of a Group II Mortgage Loan as described in this prospectus supplement is the ratio, expressed as a percentage, of the principal balance of the Group II Mortgage Loan at origination over the value of the related mortgaged property determined at origination. The original loan-to-value ratio of any second lien Group II Mortgage Loan as described in this prospectus supplement is the combined loan-to-value ratio. The weighted average remaining term to stated maturity of the Group II Mortgage Loans was approximately 340 months as of the cut-off date. None of the Group II Mortgage Loans will have a first due date prior to October 20, 2004 or after September 1, 2005, or will have a remaining term to stated maturity of less than 115 months or greater than 359 months as of the cut-off date. The latest maturity date of any Group II Mortgage Loan is August 1, 2035. The weighted average credit score of the Group II Mortgage Loans for which credit scores were available is approximately 641. The "Weighted Average FICO" column heading in the tables below relating to the Group II Mortgage Loans refers to the weighted average credit score of only the Group II Mortgage Loans in the applicable subset for which credit scores were available. The Group II Mortgage Loans are expected to have the characteristics as set forth in Annex II to this prospectus supplement as of the cut-off date, but investors should note that the sum in any column may not equal the total indicated due to rounding. CREDIT SCORES Credit scores are statistical credit scores obtained by many mortgage lenders in connection with the loan application to help assess a borrower's creditworthiness. Credit scores are generated by models developed by third parties and are made available to lenders through three national credit bureaus. The models were derived by analyzing data on consumers in order to establish patterns which are believed to be indicative of the borrower's probability of default. The credit score of a borrower is based on that borrower's historical credit data, including, among other things, payment history, delinquencies on accounts, levels of outstanding indebtedness, length of credit history, types of credit, and bankruptcy experience. Credit scores range from approximately 250 to approximately 900, with higher scores indicating an individual with a more favorable credit history compared to an individual with a lower score. However, a credit score purports only to be a measurement of the relative degree of risk a borrower represents to a lender, i.e., that a borrower with a higher score is statistically expected to be less likely to default in payment than a borrower with a lower score. In addition, it should be noted that credit scores were developed to indicate a level of default probability over a two-year period which does not correspond to the life of a mortgage loan. Furthermore, credit scores were not developed specifically for use in connection with mortgage loans, but for consumer loans in general. Therefore, a credit score does not take into consideration the effect of mortgage loan characteristics on the probability of repayment by the borrower. None of the depositor, the seller, any servicer, the trustee, the trust administrator, the underwriter or any of their respective affiliates has made or will make any representation as to the actual performance of any mortgage loan or that a particular credit score should be relied upon as a basis for an expectation that the borrower will repay the mortgage loan according to its terms. THE INDEX As of any adjustment date, the index applicable to the determination of the mortgage rate on each adjustable-rate mortgage loan will be the average of the interbank offered rates for six-month United States dollar deposits in the London market as published in The Wall Street Journal and as most recently available as specified in the related mortgage note either as of the first business day 45 days prior to that adjustment date or as of the first business day of the month preceding the month of the adjustment date. S-26
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In the event that the index becomes unavailable or otherwise unpublished, the servicer will select a comparable alternative index over which it has no direct control and which is readily verifiable. THE ORIGINATORS The information set forth in the following paragraphs has been provided by each originator whose mortgage loans exceed 10% of the mortgage loans as of the cut-off date, and none of the depositor, the servicers, the seller, the trust administrator, the trustee, the underwriter, any of their respective affiliates or any other party has made or will make any representation as to the accuracy or completeness of such information. WMC MORTGAGE CORP. WMC Mortgage Corp. (referred to herein as WMC) is a mortgage banking company incorporated in the State of California. Established in 1955, WMC has developed a national mortgage origination franchise, with special emphasis on originating single-family, alternative non-prime mortgage loans in each of the regions in which it competes. WMC historically originated both prime-quality mortgage loans and non-prime-quality mortgage loans. WMC sold its prime mortgage loan origination business in 1998 and originates prime mortgage loans only on a very limited basis. WMC was owned by a subsidiary of Weyerhaeuser Company until May 1997 when it was sold to WMC Finance Co., a company owned principally by affiliates of a private investment firm. On June 14, 2004, GE Consumer Finance acquired WMC Finance Co. Until March 2000, WMC originated mortgage loans through both wholesale and retail channels, with wholesale originations accounting for approximately 85% of total origination volume prior to March 2000. As of March 2000, WMC changed its business model to underwrite and process 100% of its loans on the Internet via "WMC Direct" resulting in a substantial reduction in employees, underwriting centers and closing centers, and the elimination of all retail branches. In April 2005, WMC's headquarters relocated to Burbank, California from Woodland Hills, California. A majority of its business operations are presently conducted at Burbank. WMC also has nine (9) regional offices in Dallas, Texas, Orangeburg, New York, Orange County, California, San Ramon, California, Woodland Hills, California, Jacksonville, Florida, Woburn Massachusetts, Schaumburg, Illinois, and Bellevue, Washington. WMC's originations come primarily through its broker relationships. As of August 15, 2005, WMC had approximately 2432 employees, including approximately 608 business development representatives and associates who are responsible for recruiting and managing the independent broker network. Underwriting Standards. The mortgage loans originated by WMC (referred to herein as the WMC Mortgage Loans) have been originated generally in accordance with the underwriting guidelines established by it (collectively, the "WMC Guidelines"). WMC also originates certain other mortgage loans that are underwritten to the guidelines of specific investors, which mortgage loans are not included among those sold to the trust as described herein. The WMC Guidelines are primarily intended to (a) determine that the borrower has the ability to repay the mortgage loan in accordance with its terms and (b) determine that the related mortgaged property will provide sufficient value to recover the investment if the borrower defaults. On a case-by-case basis WMC may determine that, based upon compensating factors, a prospective mortgagor not strictly qualifying under the underwriting risk category or other guidelines described below warrants an underwriting exception. Compensating factors may include, but are not limited to, low debt-to-income ratio ("Debt Ratio"), good mortgage payment history, an abundance of cash reserves, excess disposable income, stable employment and time in residence at the applicant's current address. It is expected that a substantial number of the mortgage loans to be included in the trust will represent such underwriting exceptions. The WMC Mortgage Loans in the trust will fall within the following documentation categories established by WMC: Full Documentation, Full-Alternative Documentation, Limited Documentation, Lite Documentation, Stated Income Documentation and Stated Income/Verified Assets (Streamlined) Documentation. In addition to single-family residences, certain of the WMC Mortgage Loans will have been underwritten (in many cases, as described above, subject to exceptions for compensating factors) in accordance with programs established by WMC for the origination of mortgage loans secured by mortgages on S-27
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condominiums, vacation and second homes, manufactured housing, two- to four-family properties and other property types. In addition, WMC has established specific parameters for jumbo loans, which are designated in the WMC Guidelines as mortgage loans with original principal balances in excess of $650,000. However, WMC sometimes increases the original principal balance limits if borrowers meet other compensating credit factors. Under the WMC Guidelines, WMC verifies the loan applicant's eligible sources of income for all products, calculates the amount of income from eligible sources indicated on the loan application, reviews the credit and mortgage payment history of the applicant and calculates the Debt Ratio to determine the applicant's ability to repay the loan, and reviews the mortgaged property for compliance with the WMC Guidelines. The WMC Guidelines are applied in accordance with a procedure which complies with applicable federal and state laws and regulations and require, among other things, (1) an appraisal of the mortgaged property which conforms to Uniform Standards of Professional Appraisal Practice and (2) an audit of such appraisal by a WMC-approved appraiser or by WMC's in-house collateral auditors (who may be licensed appraisers), which audit may in certain circumstances consist of a second appraisal, a field review, a desk review or an automated valuation model. The WMC Guidelines permit mortgage loans with LTVs and CLTVs (in the case of mortgaged properties which secure more than one mortgage loan) of up to 100% (which is subject to reduction depending upon credit-grade, loan amount and property type). In general, loans with greater documentation standards are eligible for higher LTV and CLTV limits across all risk categories. Under the WMC Guidelines, cash out on refinance mortgage loans is generally available, but the amount is restricted for C grade loans. All mortgage loans originated or purchased under the WMC Guidelines are based on loan application packages submitted through mortgage brokerage companies or on loan files (which include loan application documentation) submitted by correspondents. Loan application packages submitted through mortgage brokerage companies, containing in each case relevant credit, property and underwriting information on the loan request, are compiled by the applicable mortgage brokerage company and submitted to WMC for approval and funding. The mortgage brokerage companies receive a portion of the loan origination fee charged to the mortgagor at the time the loan is made and/or a yield-spread premium for services provided to the borrower. No single mortgage brokerage company accounts for more than 3%, measured by outstanding principal balance, of the mortgage loans originated by WMC. The WMC Guidelines require that the documentation accompanying each mortgage loan application include, among other things, a tri-merge credit report on the related applicant from a credit reporting company aggregator. The report typically contains information relating to such matters as credit history with local and national merchants and lenders, installment debt payments and any record of defaults, bankruptcy, repossession, suits or judgments. In most instances, WMC obtains a tri-merge credit score independent from the mortgage loan application from a credit reporting company aggregator. In the case of purchase money mortgage loans, WMC generally validates the source of funds for the down payment. In the case of mortgage loans originated under the Full Documentation category, the WMC Guidelines require documentation of income (which may consist of (1) a verification of employment form covering a specified time period which varies with LTV, (2) two most recent pay stubs and one or two years of tax returns or W-2s, (3) verification of deposits and/or (4) bank statements) and telephonic verification. Under the Full-Alternative Documentation category, only one or two years of bank statements are required (depending upon the LTV) and telephonic verification of employment, under the Limited Documentation category only 12 months of bank statements (or a W-2 for the most current year and a current pay stub) are required, and under the Lite Documentation category only six months of bank statements (or a current pay stub covering the six month period) are required. For mortgage loans originated under the Stated Income/Verified Assets (Streamlined) Documentation category, WMC requires verification of funds equal to two months of principal, interest, taxes and insurance, sourced and seasoned for at least sixty days. In the case of mortgage loans originated under the Stated Income Documentation and Stated Income/Verified Assets (Streamlined) Documentation categories, the WMC Guidelines require (1) that income be stated on the application, accompanied by proof of self employment in the case of self-employed individuals, (2) that a WMC pre-funding auditor conduct telephonic verification of S-28
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employment, or in the case of self-employed individuals, telephonic verification of business line and (3) that stated income be consistent with type of work listed on the application. The general collateral requirements in the WMC Guidelines specify that a mortgaged property not have a condition rating of lower than "average." Deferred maintenance costs may generally not exceed $1,500. Each appraisal includes a market data analysis based on recent sales of comparable homes in the area. The general collateral requirements in the WMC Guidelines specify conditions and parameters relating to zoning, land-to-improvement ratio, special hazard zones, neighborhood property value trends, whether the property site is too isolated, whether the property site is too close to commercial businesses, whether the property site is rural, city or suburban, whether the property site is typical for the neighborhood in which it is located and whether the property site is sufficient in size and shape to support all improvements. The WMC Guidelines are less stringent than the standards generally acceptable to Fannie Mae and Freddie Mac with regard to the mortgagor's credit standing, Debt Ratios, documentation programs, and in certain other respects. Mortgagors who qualify under the WMC Guidelines may have payment histories and Debt Ratios that would not satisfy Fannie Mae and Freddie Mac underwriting guidelines and may have a record of major derogatory credit items such as outstanding judgments or prior bankruptcies. The WMC Guidelines establish the maximum permitted LTV for each loan type based upon these and other risk factors. WMC requires that mortgage loans have title insurance (which can be a short form title insurance policy for some piggyback second lien mortgage loans acquired from correspondent lenders) and be secured by liens on real property. Some second lien mortgage loans purchased from correspondent lenders and which have an original principal balance of $50,000 or less do not have title insurance. WMC also requires that fire and extended coverage casualty insurance be maintained on the mortgaged property in an amount equal to the greater of full replacement or the amount of all mortgage liens on such mortgaged property. In addition, flood insurance is obtained where applicable and a tax service is used to monitor the payment of property taxes on all loans. Risk Categories. Under the WMC Guidelines, various risk categories are used to grade the likelihood that the mortgagor will satisfy the repayment conditions of the mortgage loan. These risk categories establish the maximum permitted LTV, maximum loan amount and the allowed use of loan proceeds given the borrower's mortgage payment history, the borrower's consumer credit history, the borrower's liens/charge-offs/bankruptcy history, the borrower's Debt Ratio, the borrower's use of proceeds (purchase or refinance), the documentation type and other factors. In general, higher credit risk mortgage loans are graded in categories that require lower Debt Ratios and permit more (or more recent) major derogatory credit items such as outstanding judgments or prior bankruptcies. Tax liens are not considered in determining risk category (but must be paid off or subordinated by the taxing authority in all circumstances); and derogatory medical collections are not considered in determining risk category and are not required to be paid off. The WMC Guidelines specify the following risk categories and associated criteria for grading the potential likelihood that an applicant will satisfy the repayment obligations of a mortgage loan. However, as described above, the following are guidelines only, and exceptions are made on a case-specific basis. In addition, variations of the following criteria are applicable under the programs established by WMC for the origination of jumbo loans in excess of $650,000 and for the origination of mortgage loans secured by mortgages on condominiums, vacation and second homes, manufactured housing and two- to four-family properties. Jumbo loans are originated under all documentation programs to borrowers with minimum Credit Scores of 620, a maximum Debt Ratio of 50% and who satisfy other requirements as set forth in the WMC Guidelines. WMC sometimes has special loan programs which increase the maximum principal balance limit for jumbo loans provided the borrowers meet other credit criteria. Risk Category "AA". Maximum loan amount: $650,000 for Full Documentation, Full-Alternative Documentation, and Limited Documentation (owner-occupied mortgaged property); $550,000 for Lite Documentation (owner-occupied mortgaged property); $500,000 for Stated Income Documentation (Self-Employed) and Stated S-29
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Income Documentation (Wage Earner) (owner-occupied mortgaged property); $550,000 for Full Documentation and Full-Alternative Documentation (non-owner-occupied mortgaged property); $500,000 for Limited Documentation (non-owner-occupied mortgaged property); $450,000 for Lite Documentation (non-owner-occupied mortgaged property); and $400,000 for Stated Income Documentation (Self-Employed) and Stated Income (Wage Earner) Documentation (non-owner-occupied mortgaged property). Mortgage payment history: No delinquency during the preceding 12 months. Consumer credit history: Minimum Credit Score of 640, minimum 2 year credit history with activity on at least one trade account in the last 12 months. Liens/charge-offs: If any derogatory credit item, judgment, or state and federal lien is over $5,000, including collections and charge-offs, and is dated within the 24 months prior to the date that the credit report is pulled, such item, judgment or lien must be paid (or $10,000 with a Credit Score of 660 or above). All adverse items on title must be paid at or prior to closing. Bankruptcy: Permitted if discharged two years or more prior to loan application (for borrowers with a Credit Score above 660, a shorter bankruptcy seasoning period is allowed). Notice of default ("NOD")/foreclosures: Permitted if discharged or cured two years or more prior to loan application. Maximum LTV: 100% for Full Documentation and Full-Alternative Documentation with a maximum loan amount of $500,000 and a Credit Score of 620 and above (owner-occupied mortgaged property); 100% or Limited Documentation, Lite Documentation and Express Documentation with a maximum loan amount of $333,700 and a Credit Score of 640 and above (owner-occupied mortgaged property); 100% for Stated Income Documentation (Self-Employed) and Stated Income Documentation (Wage Earner) with a maximum loan amount of $333,700 and a Credit Score of 660 and above (owner-occupied mortgaged property); 95% for Full Documentation, Full-Alternative Documentation, Limited Documentation and Lite Documentation with a maximum loan amount of $650,000 and a minimum Credit Score of 640 (owner-occupied mortgaged property); 95% for Stated Income Documentation (Self-Employed) and 80% for Stated Income Documentation (Wage Earner) with a maximum loan amount of $500,000 and a minimum Credit Score of 640 (owner-occupied mortgaged property); 90% for Full Documentation and Full-Alternative Documentation (non-owner-occupied mortgaged property); 85% for Limited Documentation (non-owner-occupied mortgaged property); and 80% for Lite Documentation and Stated Income Documentation (Self-Employed). Stated Income Documentation (Wage Earner) is not available on non-owner-occupied mortgaged property. Maximum debt ratio: Limited to 55% for all documentation types except Stated Income Documentation, which is limited to 50%. Risk Category "A". Maximum loan amount: $650,000 for Full Documentation and Full-Alternative Documentation (owner-occupied mortgaged property); $550,000 for Limited Documentation (owner-occupied mortgaged property); $500,000 for Lite Documentation (owner-occupied mortgaged property); $450,000 for Stated Income Documentation (Self-Employed) and Stated Income Documentation (Wage Earner) (owner-occupied mortgaged property); $375,000 for Full Documentation and Full-Alternative Documentation (non-owner-occupied mortgaged property); $325,000 for Limited Documentation (non-owner-occupied mortgaged property); $300,000 for Lite Documentation, non-owner-occupied mortgaged property (non-owner-occupied mortgaged property); and $200,000 for Stated Income Documentation (Self-Employed) (non-owner-occupied mortgaged property). Stated Income (Wage Earner) Documentation is not permitted for non-owner-occupied mortgaged property. S-30
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Mortgage payment history: Not more than one 30-day delinquency during the preceding 12 months, and no 60-day delinquencies during the preceding 12 months (no 30-day delinquencies during preceding 12 months permitted for LTV of 95% or greater). Consumer credit history: Minimum Credit Score of 600, minimum 2 year credit history with activity on at least one trade account in the last 12 months. For loans with a LTV over 90%, at least three reported tradelines with one open account must be active in the last 12 months. Liens/charge-offs: If any derogatory credit item, judgment, or state and federal lien is over $5,000, including collections and charge-offs, and is dated within the 24 months prior to the date that the credit report is pulled, such item, judgment or lien must be paid (or $10,000 with a Credit Score of 660 or above). All adverse items on title must be paid at or prior to closing. Bankruptcy: Permitted if discharged two years or more prior to loan application (for borrowers with a Credit Score above 660, a shorter bankruptcy seasoning period is permitted). NODs/foreclosures: Permitted if discharged or cured two years or more prior to loan application. Maximum LTV: 95% for Full Documentation, Full-Alternative Documentation and Limited Documentation, (owner-occupied mortgaged property); 90% for Lite Documentation, Stated Income Documentation (Self-Employed) (owner-occupied mortgaged property); 80% Stated Income Documentation (Wage Earner) (owner-occupied mortgaged property); 85% for Full Documentation, Express Documentation, Full-Alternative Documentation and Limited Documentation (non-owner-occupied mortgaged property); 80% for Lite Documentation (non-owner-occupied mortgaged property); and 75% for Stated Income Documentation (Self-Employed) (non-owner-occupied mortgaged property). Stated Income Documentation (Wage Earner) is not permitted on non-owner-occupied mortgaged property. Maximum debt ratio: Limited to 55% (50% for Stated Income Documentation). Risk Category "A-". Maximum loan amount: $650,000 for Full Documentation, Full-Alternative Documentation (owner-occupied mortgaged property); $475,000 for Limited Documentation (owner-occupied mortgaged property); $450,000 for Lite Documentation (owner-occupied mortgaged property); $400,000 for Stated Income Documentation (Self-Employed) and Stated Income Documentation (Wage Earner) (owner-occupied mortgaged property); $350,000 for Full Documentation and Full-Alternative Documentation (non-owner-occupied mortgaged property); $300,000 for Lite Documentation (non-owner-occupied mortgaged property); $325,000 for Limited Documentation (non-owner-occupied mortgaged property); and $200,000 for Stated Income Documentation (Self-Employed) (non-owner-occupied mortgaged property). Mortgage payment history: Not more than two 30-day delinquencies during the preceding 12 months (a rolling 30-day delinquency counts as only one such delinquency). No 30-day delinquencies permitted for LTVs of 90% or higher. Consumer credit history: Minimum Credit Score of 580; minimum 2 year credit history with activity on at least one trade account in the last 12 months. Liens/charge-offs: If any derogatory credit item, judgment, or state and federal lien is over $5,000, including collections and charge-offs, and is dated within the 12 months prior to the date that the credit report is pulled, such item, judgment or lien must be paid (or $10,000 with a Credit Score of 660 or above). All adverse items on title must be paid at or prior to closing. Bankruptcy: Permitted if discharged two years or more prior to loan application (for borrowers with a Credit Score above 660, a shorter bankruptcy seasoning period is allowed). S-31
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NODs/foreclosures: Permitted if discharged or cured two years or more prior to application. Maximum LTV: 95% for Full Documentation and Full-Alternative Documentation (owner-occupied mortgaged property); 95% for Limited Documentation (owner-occupied mortgaged property); 90% for Lite Documentation (owner-occupied mortgaged property); 80% for Stated Income Documentation (Self-Employed) (owner-occupied mortgaged property); 70% for Stated Income Documentation (Wage Earner) (owner-occupied mortgaged property); 80% for Full Documentation, Full-Alternative Documentation and Limited Documentation (non-owner-occupied mortgaged property); 80% for Lite Documentation (non-owner-occupied mortgaged property); and 75% for Stated Income Documentation (Self-Employed) (non-owner-occupied mortgaged property). Stated Income Documentation (Wage Earner) is not permitted for non-owner-occupied mortgaged property. Maximum debt ratio: Limited to 50%. Risk Category "B+". Maximum loan amount: $650,000 for Full Documentation, Express Documentation, and Full-Alternative Documentation (owner-occupied mortgaged property); $425,000 for Limited Documentation (owner-occupied mortgaged property); $375,000 for Lite Documentation (owner-occupied mortgaged property); $350,000 for Stated Income Documentation (Self Employed) and Stated Income Documentation (Wage Earner) (owner-occupied mortgaged property); $300,000 for Full Documentation and Full-Alternative Documentation (non-owner-occupied mortgaged property); $250,000 for Limited Documentation (non-owner-occupied mortgaged property); $225,000 for Lite Documentation (non-owner-occupied mortgaged property); and $200,000 for Stated Income Documentation (Self-Employed) (non-owner-occupied mortgaged property). Stated Income Documentation (Wage Earner) is not permitted for non-owner-occupied mortgaged property. Mortgage payment history: Not more than three 30-day delinquencies during the preceding 12 months (a rolling 30-day delinquency counts as only one such delinquency). For any loan with an LTV of 85% or greater, no 30-day delinquencies during the preceding 12 months is permitted. Consumer credit history: Minimum Credit Score of 550, minimum 2 year credit history with activity on at least one trade account in the last 12 months. Liens/charge-offs: If any derogatory credit item, judgment, or state and federal lien is over $5,000, including collections and charge-offs, and is dated within the 12 months prior to the date that the credit report is pulled, such item, judgment or lien must be paid (or $10,000 with a Credit Score of 660 or above). All adverse items on title must be paid at or prior to closing. Bankruptcy: Permitted if discharged 18 months or more prior to loan application. NODs/foreclosures: Permitted if cured or discharged 18 months or more prior to application. Maximum LTV: 90% for Full Documentation, Full-Alternative Documentation, and Limited Documentation (owner-occupied mortgaged property); 80% for Lite Documentation (owner-occupied mortgaged property); 75% for Stated Income Documentation (Self-Employed) (owner-occupied mortgaged property); 70% Stated Income Documentation (Wage Earner) (owner-occupied mortgaged property); 75% for Full Documentation, Full-Alternative Documentation and Limited Documentation (non-owner-occupied mortgaged property); 70% for Lite Documentation (non-owner-occupied mortgaged property); and 65% for Stated Income Documentation and Stated Income/Verified Assets (Streamlined) Documentation (non-owner-occupied mortgaged property). Maximum debt ratio: Limited to 50%. S-32
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Risk Category "B". Maximum loan amount: $500,000 for Full Documentation and Full-Alternative Documentation (owner-occupied mortgaged property); $375,000 for Limited Documentation (owner-occupied mortgaged property); $350,000 for Lite Documentation (owner-occupied mortgaged property); $335,000 for Stated Income Documentation (Self-Employed) (owner-occupied mortgaged property); $275,000 for Full Documentation and Full-Alternative Documentation (non-owner-occupied mortgaged property); $225,000 for Limited Documentation (non-owner-occupied mortgaged property); and $200,000 for Lite Documentation and Stated Income Documentation (Self-Employed) (non-owner-occupied mortgaged property). Stated Income Documentation (Wage Earner) is not permitted for owner or non-owner-occupied mortgaged property. Mortgage payment history: One 60-day delinquency during the preceding 12 months. Consumer credit history: Minimum Credit Score of 500 with a minimum credit history of 2 years and minimum of one reported trade account with activity in last 12 months (minimum score of 520 required for LTVs of 85%). Liens/charge-offs: If any derogatory credit item, judgment, or state and federal lien is over $5,000, including collections and charge-offs, and is dated within the 12 months prior to the date that the credit report is pulled, such item, judgment or lien must be paid (or $10,000 with a Credit Score of 660 or above). All adverse items on title must be paid at or prior to closing. Bankruptcy: Permitted if discharged 12 months or more prior to loan application. NODs/foreclosures: Permitted if cured or discharged 12 months or more prior to loan application. Maximum LTV: 80% for Full Documentation, Full-Alternative Documentation and Limited Documentation (85% maximum LTV if the borrower has no 60-day late payments on a mortgage loan in the preceding 12 months and a minimum Credit Score of 520) (owner-occupied mortgaged property); 80% for Lite Documentation (owner-occupied mortgaged property); 75% for Stated Income Documentation (Self-Employed) only (owner-occupied mortgaged property) (Stated Income Documentation (Wage Earner) is not permitted on owner-occupied mortgaged property); 70% for Full Documentation, Full-Alternative Documentation and Limited Documentation (non-owner-occupied mortgaged property); and 65% for Lite Documentation (non-owner-occupied mortgaged property). Stated Income Documentation (Self-Employed) and Stated Income Documentation (Wage Earner) are not available on non-owner-occupied mortgaged property. Maximum debt ratio: Limited to 50%. Risk Category "C". Maximum Loan Amount: $500,000 for Full Documentation and Full-Alternative Documentation (owner-occupied mortgaged property); $335,000 for Limited Documentation, Lite Documentation and Stated Income Documentation (Self-Employed) (owner-occupied mortgaged property); $250,000 for Full Documentation and Full-Alternative Documentation (non-owner-occupied mortgaged property); and $200,000 for Limited Documentation and Lite Documentation (non-owner-occupied mortgaged property). No Stated Income Documentation (Wage Earner) or Stated Income/Verified Assets (Streamlined) Documentation program is available for non-owner-occupied mortgaged property. Mortgage payment history: No more than two 60-day and one 90-day delinquencies are allowed in the preceding 12 months (rolling 30-day lates are accepted). Consumer credit history: Minimum Credit Score of 500 with 2 year credit history and one reported trade account with activity in the last 12 months. S-33
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Liens/charge-offs: If any derogatory credit item, judgment, or state and federal lien is over $5,000, including collections and charge-offs, and is dated within the 12 months prior to the date that the credit report is pulled, such item, judgment or lien must be paid (or $10,000 with a Credit Score of 660 or above). All adverse items on title must be paid at or prior to closing. Bankruptcy: Permitted if discharged 12 months or more prior to loan application. NODs/foreclosures: Permitted if discharged or cured 12 months or more prior to loan application. Maximum LTV: 85% for Full Documentation, Full-Alternative Documentation and Limited Documentation (80% maximum LTV if the borrower has no 90-day late payments and no more than two 60-day late payments on a mortgage loan in the preceding 12 months) (owner-occupied mortgaged property); 80% for Lite Documentation (owner-occupied mortgaged property); 75% for Stated Income Documentation (Self-Employed) (owner-occupied mortgaged property); 70% for Full Documentation, Full-Alternative Documentation and Limited Documentation (non-owner-occupied mortgaged property); and 60% for Lite Documentation (non-owner-occupied mortgaged property). No Stated Income Documentation (Wage Earner) or Stated Income/Verified Assets (Streamlined) Documentation program is available for non-owner-occupied mortgaged property. Maximum debt ratio: Limited to 50%. The WMC Guidelines described above are a general summary of WMC's underwriting guidelines and do not purport to be a complete description of the underwriting standards of WMC. YIELD ON THE CERTIFICATES CERTAIN SHORTFALLS IN COLLECTIONS OF INTEREST When a principal prepayment in full is made on a mortgage loan, the mortgagor is charged interest only for the period from the due date of the preceding monthly payment up to the date of the prepayment, instead of for a full month. When a partial principal prepayment is made on a mortgage loan, the mortgagor is not charged interest on the amount of the prepayment for the month in which the prepayment is made. In addition, the application of the Relief Act or any state law providing for similar relief to any mortgage loan will adversely affect, for an indeterminate period of time, the ability of the servicer to collect full amounts of interest on these mortgage loans. See "Legal Aspects of Mortgage Loans--Servicemembers Civil Relief Act" in the prospectus. Countrywide Servicing is required to cover any shortfall in interest collections that is attributable to prepayments in full or in part on the Countrywide Mortgage Loans, but only in an aggregate amount each month up to the lesser of (a) one-twelfth of the product of (i) 0.25% and (ii) the stated principal balance of such mortgage loans and (b) the aggregate servicing fee actually received for the applicable month for such mortgage loans. HomEq is required to cover any shortfall in interest collections that is attributable to prepayments in full on the HomEq Mortgage Loans occurring during the portion of the related Prepayment Period ending on the last day of the calendar month preceding the related distribution date, but only in an amount equal to the product of (a) the mortgage rate for such mortgage loan (net of the servicing fee rate), (b) the amount of the principal prepayment for such mortgage loan, (c) 1/360 and (d) the number of days commencing on the date on which such principal prepayment was applied and ending on the last day of the calendar month preceding such distribution date. JPMorgan is required to cover any shortfall in interest collections that is attributable to prepayments in full or in part on the JPMorgan Mortgage Loans, but only in an aggregate amount each month up to the aggregate servicing fee actually received for the applicable month for such mortgage loans. The effect of any principal prepayments on the mortgage loans, to the extent that any Prepayment Interest Shortfalls exceed Compensating Interest, and the effect of any shortfalls resulting from the application of the Relief Act or any state law providing for similar relief, will be to reduce the aggregate amount of interest collected that is available for distribution to holders of the certificates. Any such shortfalls will be allocated among the certificates as provided under "Description of the Certificates--Interest Distributions" in this prospectus supplement S-34
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GENERAL PREPAYMENT CONSIDERATIONS The yields to maturity of the offered certificates will be sensitive to defaults on the related mortgage loans. If a purchaser of an offered certificate calculates its anticipated yield based on an assumed rate of default and amount of losses that is lower than the default rate and amount of losses actually incurred, its actual yield to maturity may be lower than that so calculated. In general, the earlier a loss occurs, the greater the effect on an investor's yield to maturity. There can be no assurance as to the delinquency, foreclosure or loss experience with respect to the mortgage loans. Because the mortgage loans were underwritten in accordance with standards less stringent than those generally acceptable to Fannie Mae and Freddie Mac with regard to a borrower's credit standing and repayment ability, the risk of delinquencies with respect to, and losses on, the mortgage loans will be greater than that of mortgage loans underwritten in accordance with Fannie Mae and Freddie Mac standards. The rate of principal payments, the aggregate amount of payments and the yields to maturity of the offered certificates will be related to the rate and timing of payments of principal on the related mortgage loans. The rate of principal payments on the adjustable-rate mortgage loans will in turn be affected by the amortization schedules of such mortgage loans as they change from time to time to accommodate changes in the mortgage rates and by the rate of principal prepayments on the mortgage loans. The rate of principal prepayments on the mortgage loans will be affected by payments resulting from refinancings, liquidations of the mortgage loans due to defaults, casualties, condemnations and repurchases (whether optional or required), by an originator or the seller, as the case may be. All of the mortgage loans contain due-on-sale clauses. The mortgage loans may be prepaid by the mortgagors at any time; however, as described under "The Mortgage Pool" in this prospectus supplement, with respect to approximately 69.47% of the Group I Mortgage Loans and approximately 69.49% of the Group II Mortgage Loans (in each case, by aggregate principal balance of the related loan group as of the cut-off date) and approximately 69.49% of the mortgage loans (by aggregate principal balance of the mortgage loans as of the cut-off date), a prepayment may subject the related mortgagor to a prepayment charge. Prepayments, liquidations and repurchases of the mortgage loans will result in distributions in respect of principal to the holders of the class or classes of Floating Rate Certificates then entitled to receive distributions that otherwise would be distributed over the remaining terms of the mortgage loans. Since the rates of payment of principal on the mortgage loans will depend on future events and a variety of factors, no assurance can be given as to that rate or the rate of principal prepayments. The extent to which the yield to maturity of any class of offered certificates may vary from the anticipated yield will depend upon the degree to which the offered certificates are purchased at a discount or premium and the degree to which the timing of distributions on the offered certificates is sensitive to prepayments on the mortgage loans. Further, an investor should consider, in the case of any Floating Rate Certificates purchased at a discount, the risk that a slower than assumed rate of principal payments on the mortgage loans could result in an actual yield to the investor that is lower than the anticipated yield. In the case of any Floating Rate Certificates purchased at a premium, investors should consider the risk that a faster than assumed rate of principal payments could result in an actual yield to the investor that is lower than the anticipated yield. It is highly unlikely that the mortgage loans will prepay at any constant rate until maturity or that all of the mortgage loans will prepay at the same rate. Moreover, the timing of prepayments on the mortgage loans may significantly affect the yield to maturity on the offered certificates, even if the average rate of principal payments experienced over time is consistent with an investor's expectation. In most cases, the earlier a prepayment of principal is made on the mortgage loans, the greater the effect on the yield to maturity of the offered certificates. As a result, the effect on an investor's yield of principal distributions occurring at a rate higher or lower than the rate assumed by the investor during the period immediately following the issuance of the offered certificates would not be fully offset by a subsequent like reduction or increase in the rate of principal distributions. The rate of payments (including prepayments), on pools of mortgage loans is influenced by a variety of economic, geographic, social and other factors, including changes in mortgagors' housing needs, job S-35
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transfers, unemployment, mortgagors' net equity in the mortgaged properties and servicing decisions. If prevailing mortgage rates fall significantly below the mortgage rates on the mortgage loans, the rate of prepayment and refinancing would be expected to increase. Conversely, if prevailing mortgage rates rise significantly above the mortgage rates on the mortgage loans, the rate of prepayment on the mortgage loans would be expected to decrease. The prepayment experience of the delayed first adjustment mortgage loans may differ from that of the other mortgage loans. The delayed first adjustment mortgage loans may be subject to greater rates of prepayments as they approach their initial adjustment dates even if market interest rates are only slightly higher or lower than the mortgage rates on the delayed first adjustment mortgage loans as borrowers seek to avoid changes in their monthly payments. In addition, the existence of the applicable periodic rate caps, maximum mortgage rates and minimum mortgage rates with respect to the adjustable-rate mortgage loans may affect the likelihood of prepayments resulting from refinancings. There can be no certainty as to the rate of prepayments on the mortgage loans in the mortgage pool during any period or over the life of the offered certificates. Furthermore, the interest-only feature of the interest only mortgage loans may reduce the perceived benefits of refinancing to take advantage of lower market interest rates or to avoid adjustments in the mortgage rates. However, as a mortgage loan with such a feature nears the end of its interest-only period, the borrower may be more likely to refinance the mortgage loan, even if market interest rates are only slightly less than the mortgage rate in order to avoid the increase in the monthly payments to amortize the mortgage loan over its remaining life. See "Yield Considerations" and "Maturity and Prepayment Considerations" in the prospectus. Because principal distributions prior to the Stepdown Date or when a Trigger Event is in effect are distributed to more senior classes of Floating Rate Certificates before other classes, and because distributions of principal to the Class A Certificates will be allocated among the classes of Class A Certificates in accordance with the priorities described under "Description of the Certificates--Principal Distributions," holders of classes of Floating Rate Certificates having a later distribution priority bear a greater risk of losses than holders of classes having earlier distribution priorities. As a result, the Floating Rate Certificates having later distribution priority will represent an increasing percentage of the obligations of the trust during the period prior to the commencement of distributions of principal on these certificates. Defaults on mortgage loans may occur with greater frequency in their early years. In addition, default rates may be higher for mortgage loans used to refinance an existing mortgage loan. In the event of a mortgagor's default on a mortgage loan, there can be no assurance that recourse will be available beyond the specific mortgaged property pledged as security for repayment or that the value of the mortgaged property will be sufficient to cover the amount due on the mortgage loan. Any recovery made on a defaulted mortgage loan in the absence of realized losses will have a similar effect on the holders of the Floating Rate Certificates as a prepayment of those mortgage loans. SPECIAL YIELD CONSIDERATIONS The mortgage rates on the fixed-rate mortgage loans are fixed and will not vary with any index, and the mortgage rates on the adjustable-rate mortgage loans, adjust semi-annually based upon six-month LIBOR, subject to periodic and lifetime limitations and after an initial period of six months, two, three or five years after origination. The pass-through rates on the Floating Rate Certificates will adjust monthly based upon one-month LIBOR determined as described in this prospectus supplement, subject to the related Net WAC Pass-Through Rate, with the result that increases in the pass-through rate on the Floating Rate Certificates may be limited by the related Net WAC Pass-Through Rate for extended periods in a rising interest rate environment. With respect to the adjustable-rate mortgage loans, six-month LIBOR and one-month LIBOR may respond differently to economic and market factors. Thus, it is possible, for example, that if both one-month LIBOR and six-month LIBOR rise during the same period, one-month LIBOR may rise more rapidly than six-month LIBOR, potentially resulting in the application of the related Net WAC Pass-Through Rate on the related class of Floating Rate Certificates. In addition, if the mortgage loans with relatively higher mortgage rates prepay more rapidly than the mortgage loans with relatively lower mortgage rates, then the related Net WAC Pass-Through Rate will decrease, and the Floating Rate Certificates will be more likely to have their pass-through S-36
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rates limited by the related Net WAC Pass-Through Rate. Application of the related Net WAC Pass-Through Rate would adversely affect the yield to maturity on the Floating Rate Certificates. If the pass-through rate on any class of Floating Rate Certificates is limited by the related Net WAC Pass-Through Rate for any distribution date, the resulting basis risk shortfalls may be recovered by the holders of such certificates on such distribution date or on future distribution dates, from the proceeds of the applicable cap contracts and from Net Monthly Excess Cashflow, to the extent that on such distribution date or future distribution dates there are any available funds remaining after certain other distributions on the Floating Rate Certificates and the payment of certain fees and expenses of the trust. The ratings on the offered certificates will not address the likelihood of any such recovery of basis risk shortfalls by holders of those certificates. As described under "Description of the Certificates--Allocation of Losses," amounts otherwise distributable to holders of the Mezzanine Certificates and the Class CE Certificates may be made available to protect the holders of the Class A Certificates against interruptions in distributions due to certain mortgagor delinquencies, to the extent not covered by advances made by the servicers. Such delinquencies may affect the yield to investors in these certificates and, even if subsequently cured, will affect the timing of the receipt of distributions by the holders of these certificates. WEIGHTED AVERAGE LIFE Weighted average life refers to the amount of time that will elapse from the date of issuance of a security until each dollar of principal of that security will be distributed to the investor. The weighted average life of each class of the offered certificates will be influenced by the rate at which principal on the mortgage loans is paid. Principal payments on the mortgage loans may be in the form of scheduled payments or prepayments (including repurchases and prepayments of principal by the mortgagor), as well as amounts received by virtue of condemnation, insurance or foreclosure with respect to the mortgage loans, and the timing of these payments. Prepayments on mortgage loans are commonly measured relative to a prepayment standard or model. The model used in this prospectus supplement (referred to as the Prepayment Assumption in this prospectus supplement) assumes: (i) in the case of the fixed-rate mortgage loans, 100% of the Fixed-Rate Prepayment Vector. The Fixed-Rate Prepayment Vector assumes a constant prepayment rate, or CPR, of 4% per annum in the first month of the life of such mortgage loans and an additional approximately 1.727% per annum (precisely 19%/11) in each month thereafter until the 12th month. Beginning in the 12th month and in each month thereafter during the life of such mortgage loans, the Fixed-Rate Prepayment Vector assumes a CPR of 23%; and (ii) in the case of the adjustable-rate mortgage loans, 100% of the Adjustable-Rate Prepayment Vector. The "Adjustable-Rate Prepayment Vector" means (a) a CPR of 5% per annum in the first month of the life of such Mortgage Loans and an additional 2% per annum in each month thereafter until the 12th month, and then beginning in the 12th month and in each month thereafter until the 23rd month, a CPR of 27% per annum, (b) beginning in the 24th month and in each month thereafter until the 27th month, a CPR of 60% per annum and (c) beginning in the 28th month and in each month thereafter, a CPR of 30% per annum. However, the assumed prepayment rate for the adjustable-rate mortgage loans will not exceed 85% CPR per annum in any period for any percentage of the Adjustable-Rate Prepayment Vector. CPR is a prepayment assumption that represents a constant assumed rate of prepayment each month relative to the then outstanding principal balance of a pool of mortgage loans for the life of such mortgage loans. The model does not purport to be either an historical description of the prepayment experience of any pool of mortgage loans or a prediction of the anticipated rate of prepayment of any mortgage loans, including the mortgage loans to be included in the trust. S-37
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Each of the Prepayment Scenarios in the table below assumes the respective percentages of the Prepayment Assumption. The tables entitled "Percent of Initial Certificate Principal Balance Outstanding" indicate the percentage of the initial Certificate Principal Balance of the each class of the offered certificates that would be outstanding after each of the dates shown at the various percentages of the Prepayment Scenarios indicated and the corresponding weighted average lives of the offered certificates. The tables are based on the following modeling assumptions: o the mortgage loans have the characteristics set forth in the table entitled "Assumed Mortgage Loan Characteristics" which is attached as Annex III to this prospectus supplement; o distributions on the offered certificates are received, in cash, on the 25th day of each month, commencing in October 2005; o the mortgage loans prepay at the percentages of the Prepayment Assumption indicated in the applicable Prepayment Scenario; o no defaults or delinquencies occur in the payment by mortgagors of principal and interest on the mortgage loans and no shortfalls due to the application of the Relief Act are incurred; o none of the originators, the seller, the majority holder of the Class CE Certificates or any other person purchases from the trust any mortgage loan under any obligation or option under the pooling and servicing agreement, except as indicated in the second footnote to the tables; o scheduled monthly payments on the mortgage loans are received on the first day of each month commencing in October 2005, and are computed prior to giving effect to any prepayments received in the prior month; o prepayments representing payment in full of individual mortgage loans are received on the last day of each month commencing in September 2005, and include 30 days' interest on the mortgage loan; o except with respect to the interest only mortgage loans, the scheduled monthly payment for each mortgage loan is calculated based on its principal balance, mortgage rate and remaining amortization term so that the mortgage loan will amortize in amounts sufficient to repay the remaining principal balance of the mortgage loan by its remaining amortization term; o the certificates are purchased on September 13, 2005; o the sum of the Servicing Fee Rate and the Credit Risk Manager Fee Rate is 0.515% per annum; o six-month LIBOR remains constant at 4.030% per annum and one-month LIBOR remains constant at 3.59 % per annum and the mortgage rate on each adjustable-rate mortgage loan is adjusted on the next adjustment date and on subsequent adjustment dates, if necessary, to equal the applicable index plus the applicable gross margin, subject to the applicable periodic rate cap and lifetime limitations; o the certificate principal balances of the Class P Certificates and the Class X Certificates are $0.00; and o the monthly payment on each adjustable-rate mortgage loan is adjusted on the due date immediately following the next adjustment date and on subsequent adjustment dates, if necessary, to equal a fully amortizing monthly payment. S-38
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PREPAYMENT SCENARIOS(1) [Enlarge/Download Table] I II III IV V ------------- --------- -------------- ----------- ------------ Fixed-Rate Mortgage Loans: 0% 50% 100% 150% 200% Adjustable-Rate Mortgage Loans: 0% 50% 100% 150% 200% --------------- (1) Percentages of the Fixed-Rate Prepayment Vector in the case of the fixed-rate mortgage loans and the Adjustable-Rate Prepayment Vector in the case of the adjustable-rate mortgage loans. There will be discrepancies between the characteristics of the actual mortgage loans in the mortgage pool and the characteristics assumed in preparing the tables below. Any such discrepancy may have an effect upon the percentages of the initial Certificate Principal Balances outstanding, and the weighted average lives of the offered certificates. In addition, to the extent that the actual mortgage loans included in the mortgage pool will have characteristics that differ from those assumed in preparing the tables and since it is not likely the level of six-month LIBOR or one-month LIBOR will remain constant as assumed, the offered certificates may mature earlier or later than indicated by the tables. Based on the foregoing assumptions, the tables below indicate the weighted average lives of the offered certificates, and set forth the percentage of the initial Certificate Principal Balances of the offered certificates that would be outstanding after each of the dates shown, at the various Prepayment Scenarios indicated. Neither the prepayment model used in this prospectus supplement nor any other prepayment model or assumption purports to be an historical description of prepayment experience or a prediction of the anticipated rate of prepayment of any pool of mortgage loans, including the mortgage loans included in the mortgage pool. Variations in the prepayment experience and the balance of the mortgage loans that prepay may increase or decrease the percentages of initial Certificate Principal Balance and weighted average lives shown in the tables. These variations may occur even if the average prepayment experience of all of the mortgage loans equals any of the specified percentages of the Prepayment Assumption. S-39
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PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING [Enlarge/Download Table] CLASS A-1 CLASS A-2A ------------------------------------- ----------------------------------- DISTRIBUTION DATE I II III IV V I II III IV V ----------------- - -- --- -- - - -- --- -- - Initial Percentage.......... 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% September 25, 2006.......... 99 86 73 59 45 98 68 37 5 0 September 25, 2007.......... 98 64 34 8 0 96 19 0 0 0 September 25, 2008.......... 98 50 15 0 0 95 0 0 0 0 September 25, 2009.......... 97 39 15 0 0 93 0 0 0 0 September 25, 2010.......... 96 31 12 0 0 91 0 0 0 0 September 25, 2011.......... 95 27 9 0 0 89 0 0 0 0 September 25, 2012.......... 94 23 6 0 0 86 0 0 0 0 September 25, 2013.......... 93 19 4 0 0 83 0 0 0 0 September 25, 2014.......... 91 16 3 0 0 79 0 0 0 0 September 25, 2015.......... 90 14 2 0 0 76 0 0 0 0 September 25, 2016.......... 88 12 2 0 0 71 0 0 0 0 September 25, 2017.......... 86 10 1 0 0 67 0 0 0 0 September 25, 2018.......... 84 8 1 0 0 62 0 0 0 0 September 25, 2019.......... 81 7 * 0 0 56 0 0 0 0 September 25, 2020.......... 69 5 0 0 0 30 0 0 0 0 September 25, 2021.......... 66 4 0 0 0 24 0 0 0 0 September 25, 2022.......... 63 3 0 0 0 17 0 0 0 0 September 25, 2023.......... 60 3 0 0 0 9 0 0 0 0 September 25, 2024.......... 56 2 0 0 0 1 0 0 0 0 September 25, 2025.......... 52 2 0 0 0 0 0 0 0 0 September 25, 2026.......... 48 1 0 0 0 0 0 0 0 0 September 25, 2027.......... 43 1 0 0 0 0 0 0 0 0 September 25, 2028.......... 38 1 0 0 0 0 0 0 0 0 September 25, 2029.......... 34 1 0 0 0 0 0 0 0 0 September 25, 2030.......... 30 * 0 0 0 0 0 0 0 0 September 25, 2031.......... 26 * 0 0 0 0 0 0 0 0 September 25, 2032.......... 22 0 0 0 0 0 0 0 0 0 September 25, 2033.......... 18 0 0 0 0 0 0 0 0 0 September 25, 2034.......... 13 0 0 0 0 0 0 0 0 0 September 25, 2035.......... 0 0 0 0 0 0 0 0 0 0 Weighted Average Life to Maturity in Years(1)........ 19.91 4.89 2.40 1.27 1.04 12.86 1.46 0.90 0.66 0.53 Weighted Average Life to Optional Termination in Years(1)(2)................. 19.91 4.61 2.22 1.27 1.04 12.86 1.46 0.90 0.66 0.53 -------------------- * If applicable, represents less than one-half of one percent, but greater than zero. (1) The weighted average life of a certificate is determined by (a) multiplying the amount of each distribution of principal by the number of years from the date of issuance of the certificate to the related distribution date, (b) adding the results and (c) dividing the sum by the initial Certificate Principal Balance of the certificate. (2) Assumes an optional purchase of the mortgage loans on the earliest possible distribution date on which it is permitted. S-40
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PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING [Enlarge/Download Table] CLASS A-2B CLASS A-2C ------------------------------------- ----------------------------------- DISTRIBUTION DATE I II III IV V I II III IV V ----------------- - -- --- -- - - -- --- -- - Initial Percentage.......... 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% September 25, 2006.......... 100 100 100 100 58 100 100 100 100 100 September 25, 2007.......... 100 100 21 0 0 100 100 100 0 0 September 25, 2008.......... 100 80 0 0 0 100 100 26 0 0 September 25, 2009.......... 100 38 0 0 0 100 100 26 0 0 September 25, 2010.......... 100 12 0 0 0 100 100 6 0 0 September 25, 2011.......... 100 0 0 0 0 100 91 0 0 0 September 25, 2012.......... 100 0 0 0 0 100 67 0 0 0 September 25, 2013.......... 100 0 0 0 0 100 47 0 0 0 September 25, 2014.......... 100 0 0 0 0 100 29 0 0 0 September 25, 2015.......... 100 0 0 0 0 100 14 0 0 0 September 25, 2016.......... 100 0 0 0 0 100 1 0 0 0 September 25, 2017.......... 100 0 0 0 0 100 0 0 0 0 September 25, 2018.......... 100 0 0 0 0 100 0 0 0 0 September 25, 2019.......... 100 0 0 0 0 100 0 0 0 0 September 25, 2020.......... 100 0 0 0 0 100 0 0 0 0 September 25, 2021.......... 100 0 0 0 0 100 0 0 0 0 September 25, 2022.......... 100 0 0 0 0 100 0 0 0 0 September 25, 2023.......... 100 0 0 0 0 100 0 0 0 0 September 25, 2024.......... 100 0 0 0 0 100 0 0 0 0 September 25, 2025.......... 88 0 0 0 0 100 0 0 0 0 September 25, 2026.......... 72 0 0 0 0 100 0 0 0 0 September 25, 2027.......... 55 0 0 0 0 100 0 0 0 0 September 25, 2028.......... 35 0 0 0 0 100 0 0 0 0 September 25, 2029.......... 19 0 0 0 0 100 0 0 0 0 September 25, 2030.......... 6 0 0 0 0 100 0 0 0 0 September 25, 2031.......... 0 0 0 0 0 88 0 0 0 0 September 25, 2032.......... 0 0 0 0 0 63 0 0 0 0 September 25, 2033.......... 0 0 0 0 0 35 0 0 0 0 September 25, 2034.......... 0 0 0 0 0 6 0 0 0 0 September 25, 2035.......... 0 0 0 0 0 0 0 0 0 0 Weighted Average Life to Maturity in Years(1)........ 22.31 3.88 1.94 1.48 1.12 27.50 8.08 3.25 1.88 1.61 Weighted Average Life to Optional Termination in Years(1)(2)................. 22.31 3.88 1.94 1.48 1.12 27.50 8.08 3.25 1.88 1.61 -------------------- * If applicable, represents less than one-half of one percent, but greater than zero. (1) The weighted average life of a certificate is determined by (a) multiplying the amount of each distribution of principal by the number of years from the date of issuance of the certificate to the related distribution date, (b) adding the results and (c) dividing the sum by the initial Certificate Principal Balance of the certificate. (2) Assumes an optional purchase of the mortgage loans on the earliest possible distribution date on which it is permitted. S-41
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PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING [Enlarge/Download Table] CLASS A-2D CLASS M-1 ------------------------------------ ------------------------------------- DISTRIBUTION DATE I II III IV V I II III IV V ----------------- - -- --- -- - - -- --- -- - Initial Percentage.......... 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% September 25, 2006.......... 100 100 100 100 100 100 100 100 100 100 September 25, 2007.......... 100 100 100 71 0 100 100 100 100 36 September 25, 2008.......... 100 100 100 0 0 100 100 100 76 36 September 25, 2009.......... 100 100 100 0 0 100 100 88 76 36 September 25, 2010.......... 100 100 100 0 0 100 90 36 76 30 September 25, 2011.......... 100 100 78 0 0 100 76 25 55 10 September 25, 2012.......... 100 100 56 0 0 100 65 18 32 0 September 25, 2013.......... 100 100 40 0 0 100 55 13 18 0 September 25, 2014.......... 100 100 28 0 0 100 47 9 5 0 September 25, 2015.......... 100 100 20 0 0 100 40 7 0 0 September 25, 2016.......... 100 100 15 0 0 100 33 5 0 0 September 25, 2017.......... 100 86 10 0 0 100 28 3 0 0 September 25, 2018.......... 100 72 7 0 0 100 24 1 0 0 September 25, 2019.......... 100 61 4 0 0 100 20 0 0 0 September 25, 2020.......... 100 44 0 0 0 100 14 0 0 0 September 25, 2021.......... 100 37 0 0 0 100 12 0 0 0 September 25, 2022.......... 100 30 0 0 0 100 10 0 0 0 September 25, 2023.......... 100 25 0 0 0 100 8 0 0 0 September 25, 2024.......... 100 21 0 0 0 100 7 0 0 0 September 25, 2025.......... 100 17 0 0 0 100 5 0 0 0 September 25, 2026.......... 100 14 0 0 0 100 4 0 0 0 September 25, 2027.......... 100 11 0 0 0 100 4 0 0 0 September 25, 2028.......... 100 9 0 0 0 100 3 0 0 0 September 25, 2029.......... 100 7 0 0 0 96 * 0 0 0 September 25, 2030.......... 100 4 0 0 0 86 0 0 0 0 September 25, 2031.......... 100 1 0 0 0 75 0 0 0 0 September 25, 2032.......... 100 0 0 0 0 63 0 0 0 0 September 25, 2033.......... 100 0 0 0 0 50 0 0 0 0 September 25, 2034.......... 100 0 0 0 0 36 0 0 0 0 September 25, 2035.......... 0 0 0 0 0 0 0 0 0 0 Weighted Average Life to Maturity in Years(1)........ 29.73 15.95 8.17 2.21 1.88 27.69 10.04 5.54 5.98 3.37 Weighted Average Life to Optional Termination in Years(1)(2)................. 29.73 13.44 6.48 2.21 1.88 27.69 9.25 5.02 3.68 2.37 -------------------- * If applicable, represents less than one-half of one percent, but greater than zero. (1) The weighted average life of a certificate is determined by (a) multiplying the amount of each distribution of principal by the number of years from the date of issuance of the certificate to the related distribution date, (b) adding the results and (c) dividing the sum by the initial Certificate Principal Balance of the certificate. (2) Assumes an optional purchase of the mortgage loans on the earliest possible distribution date on which it is permitted. S-42
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PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING [Enlarge/Download Table] CLASS M-2 CLASS M-3 ------------------------------------ ----------------------------------- DISTRIBUTION DATE I II III IV V I II III IV V ----------------- - -- --- -- - - -- --- -- - Initial Percentage.......... 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% September 25, 2006.......... 100 100 100 100 100 100 100 100 100 100 September 25, 2007.......... 100 100 100 100 100 100 100 100 100 100 September 25, 2008.......... 100 100 100 100 100 100 100 100 100 75 September 25, 2009.......... 100 100 50 100 40 100 100 50 34 8 September 25, 2010.......... 100 90 36 30 4 100 90 36 11 4 September 25, 2011.......... 100 76 25 7 0 100 76 25 7 0 September 25, 2012.......... 100 65 18 4 0 100 65 18 4 0 September 25, 2013.......... 100 55 13 0 0 100 55 13 0 0 September 25, 2014.......... 100 47 9 0 0 100 47 9 0 0 September 25, 2015.......... 100 40 7 0 0 100 40 7 0 0 September 25, 2016.......... 100 33 5 0 0 100 33 5 0 0 September 25, 2017.......... 100 28 3 0 0 100 28 1 0 0 September 25, 2018.......... 100 24 0 0 0 100 24 0 0 0 September 25, 2019.......... 100 20 0 0 0 100 20 0 0 0 September 25, 2020.......... 100 14 0 0 0 100 14 0 0 0 September 25, 2021.......... 100 12 0 0 0 100 12 0 0 0 September 25, 2022.......... 100 10 0 0 0 100 10 0 0 0 September 25, 2023.......... 100 8 0 0 0 100 8 0 0 0 September 25, 2024.......... 100 7 0 0 0 100 7 0 0 0 September 25, 2025.......... 100 5 0 0 0 100 5 0 0 0 September 25, 2026.......... 100 4 0 0 0 100 4 0 0 0 September 25, 2027.......... 100 4 0 0 0 100 2 0 0 0 September 25, 2028.......... 100 1 0 0 0 100 0 0 0 0 September 25, 2029.......... 96 0 0 0 0 96 0 0 0 0 September 25, 2030.......... 86 0 0 0 0 86 0 0 0 0 September 25, 2031.......... 75 0 0 0 0 75 0 0 0 0 September 25, 2032.......... 63 0 0 0 0 63 0 0 0 0 September 25, 2033.......... 50 0 0 0 0 50 0 0 0 0 September 25, 2034.......... 36 0 0 0 0 36 0 0 0 0 September 25, 2035.......... 0 0 0 0 0 0 0 0 0 0 Weighted Average Life to Maturity in Years(1)........ 27.69 10.02 5.36 4.93 4.02 27.69 9.99 5.26 4.26 3.33 Weighted Average Life to Optional Termination in Years(1)(2)................. 27.69 9.25 4.85 4.03 2.95 27.69 9.25 4.77 3.93 2.95 -------------------- * If applicable, represents less than one-half of one percent, but greater than zero. (1) The weighted average life of a certificate is determined by (a) multiplying the amount of each distribution of principal by the number of years from the date of issuance of the certificate to the related distribution date, (b) adding the results and (c) dividing the sum by the initial Certificate Principal Balance of the certificate. (2) Assumes an optional purchase of the mortgage loans on the earliest possible distribution date on which it is permitted. S-43
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PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING [Enlarge/Download Table] CLASS M-4 CLASS M-5 ------------------------------------- ----------------------------------- DISTRIBUTION DATE I II III IV V I II III IV V ----------------- - -- --- -- - - -- --- -- - Initial Percentage.......... 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% September 25, 2006.......... 100 100 100 100 100 100 100 100 100 100 September 25, 2007.......... 100 100 100 100 100 100 100 100 100 100 September 25, 2008.......... 100 100 100 100 18 100 100 100 100 18 September 25, 2009.......... 100 100 50 20 8 100 100 50 20 8 September 25, 2010.......... 100 90 36 11 0 100 90 36 11 0 September 25, 2011.......... 100 76 25 7 0 100 76 25 7 0 September 25, 2012.......... 100 65 18 2 0 100 65 18 0 0 September 25, 2013.......... 100 55 13 0 0 100 55 13 0 0 September 25, 2014.......... 100 47 9 0 0 100 47 9 0 0 September 25, 2015.......... 100 40 7 0 0 100 40 7 0 0 September 25, 2016.......... 100 33 5 0 0 100 33 3 0 0 September 25, 2017.......... 100 28 0 0 0 100 28 0 0 0 September 25, 2018.......... 100 24 0 0 0 100 24 0 0 0 September 25, 2019.......... 100 20 0 0 0 100 20 0 0 0 September 25, 2020.......... 100 14 0 0 0 100 14 0 0 0 September 25, 2021.......... 100 12 0 0 0 100 12 0 0 0 September 25, 2022.......... 100 10 0 0 0 100 10 0 0 0 September 25, 2023.......... 100 8 0 0 0 100 8 0 0 0 September 25, 2024.......... 100 7 0 0 0 100 7 0 0 0 September 25, 2025.......... 100 5 0 0 0 100 5 0 0 0 September 25, 2026.......... 100 4 0 0 0 100 1 0 0 0 September 25, 2027.......... 100 0 0 0 0 100 0 0 0 0 September 25, 2028.......... 100 0 0 0 0 100 0 0 0 0 September 25, 2029.......... 96 0 0 0 0 96 0 0 0 0 September 25, 2030.......... 86 0 0 0 0 86 0 0 0 0 September 25, 2031.......... 75 0 0 0 0 75 0 0 0 0 September 25, 2032.......... 63 0 0 0 0 63 0 0 0 0 September 25, 2033.......... 50 0 0 0 0 50 0 0 0 0 September 25, 2034.......... 36 0 0 0 0 36 0 0 0 0 September 25, 2035.......... 0 0 0 0 0 0 0 0 0 0 Weighted Average Life to Maturity in Years(1)........ 27.69 9.97 5.19 3.99 3.08 27.69 9.94 5.15 3.81 2.94 Weighted Average Life to Optional Termination in Years(1)(2)................. 27.69 9.25 4.72 3.69 2.88 27.69 9.25 4.69 3.53 2.74 -------------------- * If applicable, represents less than one-half of one percent, but greater than zero. (1) The weighted average life of a certificate is determined by (a) multiplying the amount of each distribution of principal by the number of years from the date of issuance of the certificate to the related distribution date, (b) adding the results and (c) dividing the sum by the initial Certificate Principal Balance of the certificate. (2) Assumes an optional purchase of the mortgage loans on the earliest possible distribution date on which it is permitted. S-44
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PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING [Enlarge/Download Table] CLASS M-6 CLASS M-7 ------------------------------------- ----------------------------------- DISTRIBUTION DATE I II III IV V I II III IV V ----------------- - -- --- -- - - -- --- -- - Initial Percentage.......... 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% September 25, 2006.......... 100 100 100 100 100 100 100 100 100 100 September 25, 2007.......... 100 100 100 100 100 100 100 100 100 100 September 25, 2008.......... 100 100 100 100 18 100 100 100 59 18 September 25, 2009.......... 100 100 50 20 8 100 100 50 20 8 September 25, 2010.......... 100 90 36 11 0 100 90 36 11 0 September 25, 2011.......... 100 76 25 7 0 100 76 25 5 0 September 25, 2012.......... 100 65 18 0 0 100 65 18 0 0 September 25, 2013.......... 100 55 13 0 0 100 55 13 0 0 September 25, 2014.......... 100 47 9 0 0 100 47 9 0 0 September 25, 2015.......... 100 40 7 0 0 100 40 4 0 0 September 25, 2016.......... 100 33 0 0 0 100 33 0 0 0 September 25, 2017.......... 100 28 0 0 0 100 28 0 0 0 September 25, 2018.......... 100 24 0 0 0 100 24 0 0 0 September 25, 2019.......... 100 20 0 0 0 100 20 0 0 0 September 25, 2020.......... 100 14 0 0 0 100 14 0 0 0 September 25, 2021.......... 100 12 0 0 0 100 12 0 0 0 September 25, 2022.......... 100 10 0 0 0 100 10 0 0 0 September 25, 2023.......... 100 8 0 0 0 100 8 0 0 0 September 25, 2024.......... 100 7 0 0 0 100 5 0 0 0 September 25, 2025.......... 100 3 0 0 0 100 0 0 0 0 September 25, 2026.......... 100 0 0 0 0 100 0 0 0 0 September 25, 2027.......... 100 0 0 0 0 100 0 0 0 0 September 25, 2028.......... 100 0 0 0 0 100 0 0 0 0 September 25, 2029.......... 96 0 0 0 0 96 0 0 0 0 September 25, 2030.......... 86 0 0 0 0 86 0 0 0 0 September 25, 2031.......... 75 0 0 0 0 75 0 0 0 0 September 25, 2032.......... 63 0 0 0 0 63 0 0 0 0 September 25, 2033.......... 50 0 0 0 0 50 0 0 0 0 September 25, 2034.......... 36 0 0 0 0 36 0 0 0 0 September 25, 2035.......... 0 0 0 0 0 0 0 0 0 0 Weighted Average Life to Maturity in Years(1)........ 27.69 9.90 5.09 3.68 2.83 27.69 9.85 5.04 3.57 2.74 Weighted Average Life to Optional Termination in Years(1)(2)................. 27.69 9.25 4.66 3.41 2.65 27.69 9.25 4.64 3.32 2.57 -------------------- * If applicable, represents less than one-half of one percent, but greater than zero. (1) The weighted average life of a certificate is determined by (a) multiplying the amount of each distribution of principal by the number of years from the date of issuance of the certificate to the related distribution date, (b) adding the results and (c) dividing the sum by the initial Certificate Principal Balance of the certificate. (2) Assumes an optional purchase of the mortgage loans on the earliest possible distribution date on which it is permitted. S-45
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PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING [Enlarge/Download Table] CLASS M-8 CLASS M-9 ------------------------------------- ----------------------------------- DISTRIBUTION DATE I II III IV V I II III IV V ----------------- - -- --- -- - - -- --- -- - Initial Percentage.......... 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% September 25, 2006.......... 100 100 100 100 100 100 100 100 100 100 September 25, 2007.......... 100 100 100 100 100 100 100 100 100 100 September 25, 2008.......... 100 100 100 34 18 100 100 100 34 18 September 25, 2009.......... 100 100 50 20 6 100 100 50 20 0 September 25, 2010.......... 100 90 36 11 0 100 90 36 11 0 September 25, 2011.......... 100 76 25 0 0 100 76 25 0 0 September 25, 2012.......... 100 65 18 0 0 100 65 18 0 0 September 25, 2013.......... 100 55 13 0 0 100 55 13 0 0 September 25, 2014.......... 100 47 9 0 0 100 47 4 0 0 September 25, 2015.......... 100 40 0 0 0 100 40 0 0 0 September 25, 2016.......... 100 33 0 0 0 100 33 0 0 0 September 25, 2017.......... 100 28 0 0 0 100 28 0 0 0 September 25, 2018.......... 100 24 0 0 0 100 24 0 0 0 September 25, 2019.......... 100 20 0 0 0 100 20 0 0 0 September 25, 2020.......... 100 14 0 0 0 100 14 0 0 0 September 25, 2021.......... 100 12 0 0 0 100 12 0 0 0 September 25, 2022.......... 100 10 0 0 0 100 8 0 0 0 September 25, 2023.......... 100 6 0 0 0 100 0 0 0 0 September 25, 2024.......... 100 0 0 0 0 100 0 0 0 0 September 25, 2025.......... 100 0 0 0 0 100 0 0 0 0 September 25, 2026.......... 100 0 0 0 0 100 0 0 0 0 September 25, 2027.......... 100 0 0 0 0 100 0 0 0 0 September 25, 2028.......... 100 0 0 0 0 100 0 0 0 0 September 25, 2029.......... 96 0 0 0 0 96 0 0 0 0 September 25, 2030.......... 86 0 0 0 0 86 0 0 0 0 September 25, 2031.......... 75 0 0 0 0 75 0 0 0 0 September 25, 2032.......... 63 0 0 0 0 63 0 0 0 0 September 25, 2033.......... 50 0 0 0 0 50 0 0 0 0 September 25, 2034.......... 36 0 0 0 0 36 0 0 0 0 September 25, 2035.......... 0 0 0 0 0 0 0 0 0 0 Weighted Average Life to Maturity in Years(1)........ 27.69 9.78 4.99 3.48 2.67 27.69 9.70 4.92 3.39 2.60 Weighted Average Life to Optional Termination in Years(1)(2)................. 27.69 9.25 4.63 3.25 2.52 27.69 9.25 4.60 3.19 2.46 -------------------- * If applicable, represents less than one-half of one percent, but greater than zero. (1) The weighted average life of a certificate is determined by (a) multiplying the amount of each distribution of principal by the number of years from the date of issuance of the certificate to the related distribution date, (b) adding the results and (c) dividing the sum by the initial Certificate Principal Balance of the certificate. (2) Assumes an optional purchase of the mortgage loans on the earliest possible distribution date on which it is permitted. S-46
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PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING [Download Table] CLASS M-10 ------------------------------------- DISTRIBUTION DATE I II III IV V ----------------- - -- --- -- - Initial Percentage.......... 100% 100% 100% 100% 100% September 25, 2006.......... 100 100 100 100 100 September 25, 2007.......... 100 100 100 100 100 September 25, 2008.......... 100 100 100 34 18 September 25, 2009.......... 100 100 50 20 0 September 25, 2010.......... 100 90 36 6 0 September 25, 2011.......... 100 76 25 0 0 September 25, 2012.......... 100 65 18 0 0 September 25, 2013.......... 100 55 13 0 0 September 25, 2014.......... 100 47 0 0 0 September 25, 2015.......... 100 40 0 0 0 September 25, 2016.......... 100 33 0 0 0 September 25, 2017.......... 100 28 0 0 0 September 25, 2018.......... 100 24 0 0 0 September 25, 2019.......... 100 20 0 0 0 September 25, 2020.......... 100 14 0 0 0 September 25, 2021.......... 100 9 0 0 0 September 25, 2022.......... 100 0 0 0 0 September 25, 2023.......... 100 0 0 0 0 September 25, 2024.......... 100 0 0 0 0 September 25, 2025.......... 100 0 0 0 0 September 25, 2026.......... 100 0 0 0 0 September 25, 2027.......... 100 0 0 0 0 September 25, 2028.......... 100 0 0 0 0 September 25, 2029.......... 96 0 0 0 0 September 25, 2030.......... 86 0 0 0 0 September 25, 2031.......... 75 0 0 0 0 September 25, 2032.......... 63 0 0 0 0 September 25, 2033.......... 50 0 0 0 0 September 25, 2034.......... 36 0 0 0 0 September 25, 2035.......... 0 0 0 0 0 Weighted Average Life to Maturity in Years(1)........ 27.69 9.60 4.86 3.32 2.56 Weighted Average Life to Optional Termination in Years(1)(2)................. 27.69 9.25 4.60 3.16 2.45 -------------------- * If applicable, represents less than one-half of one percent, but greater than zero. (1) The weighted average life of a certificate is determined by (a) multiplying the amount of each distribution of principal by the number of years from the date of issuance of the certificate to the related distribution date, (b) adding the results and (c) dividing the sum by the initial Certificate Principal Balance of the certificate. (2) Assumes an optional purchase of the mortgage loans on the earliest possible distribution date on which it is permitted. S-47
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There is no assurance that prepayments of the mortgage loans in the mortgage pool will conform to any of the Prepayment Scenarios indicated in the immediately preceding tables, or to any other level, or that the actual weighted average lives of the offered certificates will conform to any of the weighted average lives set forth in the immediately preceding tables. Furthermore, the information contained in the tables with respect to the weighted average lives of the offered certificates is not necessarily indicative of the weighted average lives that might be calculated or projected under different or varying prepayment assumptions. The characteristics of the mortgage loans included in the mortgage pool will differ from those assumed in preparing the immediately preceding tables. In addition, it is unlikely that any mortgage loan will prepay at any percentage of the Prepayment Assumption until maturity or that all of the mortgage loans included in the mortgage pool will prepay at the same rate. The timing of changes in the rate of prepayments may significantly affect the actual yield to maturity to investors, even if the average rate of principal prepayments is consistent with the expectations of investors. YIELD SENSITIVITY OF THE MEZZANINE CERTIFICATES If the Certificate Principal Balances of the Class CE Certificates and each class of Mezzanine Certificates with a lower distribution priority have been reduced to zero, the yield to maturity on the class of Mezzanine Certificates with the lowest distribution priority will become extremely sensitive to losses on the mortgage loans (and the timing thereof) that are covered by subordination, because the entire amount of any Realized Losses (to the extent not covered by Net Monthly Excess Cashflow), will be allocated to those certificates. Investors in the Mezzanine Certificates should fully consider the risk that Realized Losses on the mortgage loans could result in the failure of investors to fully recover their investments. Once a Realized Loss is allocated to a Mezzanine Certificate, such written down amount will not bear interest and will not be reinstated (except in the case of subsequent recoveries). However, the amount of any Realized Losses allocated to the Mezzanine Certificates may be distributed to the holders of such Certificates on a subordinated basis without interest according to the priorities set forth under "Description of the Certificates--Credit Enhancement-- Overcollateralization Provisions" in this prospectus supplement. The Mezzanine Certificates will not be entitled to any principal distributions until the Stepdown Date or during any period in which a Trigger Event is in effect (unless the aggregate Certificate Principal Balance of the Class A Certificates has been reduced to zero). As a result, the weighted average lives of the Mezzanine Certificates will be longer than would otherwise be the case if distributions of principal were allocated on a pro rata basis among all of the Class A Certificates and Mezzanine Certificates. As a result of the longer weighted average lives of the Mezzanine Certificates, the holders of these certificates have a greater risk of suffering a loss on their investments. Further, because a Trigger Event may be based on delinquencies, it is possible for the Mezzanine Certificates to receive no principal distributions (unless the aggregate Certificate Principal Balance of the Class A Certificates has been reduced to zero) on and after the Stepdown Date, even if no losses have occurred on the mortgage pool. For additional considerations relating to the yield on the Mezzanine Certificates, see "Yield Considerations" and "Maturity and Prepayment Considerations" in the prospectus. DESCRIPTION OF THE CERTIFICATES GENERAL DESCRIPTION OF THE CERTIFICATES The certificates will consist of twenty-three classes of certificates designated as the Class A-1 Certificates, the Class A-2A Certificates, the Class A-2B Certificates, the Class A-2C Certificates, the Class A-2D Certificates, the Class M-1 Certificates, the Class M-2 Certificates, the Class M-3 Certificates, the Class M-4 Certificates, the Class M-5 Certificates, the Class M-6 Certificates, the Class M-7 Certificates, the Class M-8 Certificates, the Class M-9 Certificates, the Class M-10 Certificates, the Class M-11 Certificates, the Class M-12 Certificates, the Class M-13 Certificates, the Class CE Certificates, the Class P Certificates, the Class X Certificates, the Class R Certificates and the Class R-X Certificates. Only the Class A Certificates and the Mezzanine Certificates (other than the Class M-11, Class M-12 and Class M-13 Certificates) are offered by this prospectus supplement. S-48
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For the designations given to certain classes of certificates based on their characterization, see "Summary of Prospectus Supplement--The Certificates" in this prospectus supplement. The certificates represent in the aggregate the entire beneficial ownership interest in a trust fund consisting primarily of the mortgage pool of conventional, one- to four-family, fixed-rate and adjustable-rate, first lien and second lien mortgage loans. Distributions on the certificates will be made on the 25th day of each month, or, if such day is not a business day, on the next succeeding business day, beginning in October 2005. Each class of offered certificates will have the initial Certificate Principal Balance (subject to the indicated permitted variance) and pass-through rate as set forth or described in the table appearing in the summary of this prospectus supplement and as described under "-- Pass-Through Rates" below. The Class M-11 Certificates will have an initial Certificate Principal Balance of $12,619,000, the Class M-12 Certificates will have an initial Certificate Principal Balance of $20,041,000 and the Class M-13 Certificates will have an initial Certificate Principal Balance of $5,197,000. The Class A Certificates in the aggregate evidence an initial approximate 77.00% undivided interest in the trust. The Mezzanine Certificates and the Class CE Certificates evidence the following approximate initial undivided interests in the trust: CLASS PERCENTAGE INTEREST ----- ------------------- M-1 3.75% M-2 3.50% M-3 2.35% M-4 1.70% M-5 1.65% M-6 1.50% M-7 1.50% M-8 1.20% M-9 0.95% M-10 0.95% M-11 0.85% M-12 1.35% M-13 0.35% CE 1.40% The offered certificates will be issued, maintained and transferred on the book-entry records of The Depository Trust Company, or DTC, and its participants in minimum denominations of $100,000 and integral multiples of $1.00 in excess of those minimum denominations. All distributions to holders of the certificates, other than the final distribution on any class of certificates, will be made on each distribution date by or on behalf of the trust administrator to the persons in whose names the certificates are registered at the close of business on each record date. With respect to the Floating Rate Offered Certificates, the record date for each distribution date will be the close of business on the business day immediately preceding such distribution, for so long as such certificates are book-entry certificates as described under "--Registration of the Book-Entry Certificates" below. With respect to each class of the Fixed Rate Offered Certificates and any definitive certificates, the record date for each distribution date will be the close of business on the last business day of the calendar month immediately preceding the calendar month in which such distribution date occurs (or, in the case of the first distribution date, the close of business on the closing date). Distributions will be made either by check mailed to the address of each certificateholder as it appears in the certificate register or upon written request to the trust administrator at least five business days prior to the relevant record date by any holder of certificates by wire transfer in immediately available funds to the account of the certificateholder specified in the request. The final distribution on any class of certificates will be made in like manner, but only upon presentment and surrender of the related S-49
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certificates at the corporate trust office of the trust administrator or other location specified in the notice to certificateholders of the final distribution. REGISTRATION OF THE BOOK-ENTRY CERTIFICATES The offered certificates will be book-entry certificates. Persons acquiring beneficial ownership interests in the book-entry certificates are referred to as certificate owners and will hold their certificates through DTC in the United States, or, upon request, through Clearstream Banking Luxembourg, or Clearstream, formerly known as Cedelbank SA, or the Euroclear System, or Euroclear, in Europe if they are participants of these systems, or indirectly through organizations which are participants in these systems. The book-entry certificates will be issued in one or more certificates which equal the aggregate Certificate Principal Balance of such certificates and will initially be registered in the name of Cede & Co., the nominee of DTC. Clearstream and Euroclear will hold omnibus positions on behalf of their participants through customers' securities accounts in Clearstream's and Euroclear's names on the books of their respective depositaries which in turn will hold such positions in customers' securities accounts in the depositaries' names on the books of DTC. Citibank will act as depositary for Clearstream and JPMorgan Chase Bank will act as depositary for Euroclear. Citibank and JPMorgan Chase Bank are referred to individually as the Relevant Depositary and together as the European Depositaries. Investors may hold such beneficial interests in the book-entry certificates in minimum denominations of $100,000. Except as described below, no certificate owner acquiring a book-entry certificate will be entitled to receive a physical, or definitive, certificate representing such certificate. Unless and until definitive certificates are issued, it is anticipated that the only certificateholder of the offered certificates will be Cede & Co., as nominee of DTC. Certificate owners will not be certificateholders as that term is used in the pooling and servicing agreement. Certificate owners are only permitted to exercise their rights indirectly through DTC and DTC participants. The certificate owner's ownership of a book-entry certificate will be recorded on the records of the brokerage firm, bank, thrift institution or other financial intermediary that maintains the certificate owner's account for such purpose. In turn, the financial intermediary's ownership of such book-entry certificate will be recorded on the records of DTC, or of a participating firm that acts as agent for the financial intermediary, whose interest will in turn be recorded on the records of DTC, if the beneficial owner's financial intermediary is not a DTC participant and on the records of Clearstream or Euroclear, as appropriate. Certificate owners will receive all distributions of principal of and interest on the book-entry certificates from the trust administrator through DTC and DTC participants. While the book-entry certificates are outstanding and except under the circumstances described below, under the rules, regulations and procedures creating and affecting DTC and its operations, DTC is required to make book-entry transfers among DTC participants on whose behalf it acts with respect to the book-entry certificates and is required to receive and transmit distributions of principal of, and interest on, the book-entry certificates. DTC participants and indirect participants with whom certificate owners have accounts with respect to book-entry certificates are similarly required to make book-entry transfers and receive and transmit such distributions on behalf of their respective certificate owners. Accordingly, although certificate owners will not possess certificates representing their respective interests in the book-entry certificates, the rules of DTC provide a mechanism by which certificate owners will receive distributions and will be able to transfer their interest. Certificate owners will not receive or be entitled to receive certificates representing their respective interests in the book-entry certificates, except under the limited circumstances described below. Unless and until definitive certificates are issued, certificate owners who are not DTC participants may transfer ownership of book-entry certificates only through DTC participants and indirect participants by instructing such DTC participants and indirect participants to transfer book-entry certificates, by book-entry transfer, through DTC for the account of the purchasers of such book-entry certificates, which account is maintained with their respective DTC participants. Under the rules of DTC and in accordance with DTC's normal procedures, transfers of ownership of book-entry certificates will be executed through DTC and the accounts of the respective DTC participants at DTC will be debited and credited. Similarly, the DTC participants and indirect S-50
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participants will make debits or credits, as the case may be, on their records on behalf of the selling and purchasing certificate owners. Because of time zone differences, credits of securities received in Clearstream or Euroclear as a result of a transaction with a DTC participant will be made during subsequent securities settlement processing and dated the business day following the DTC settlement date. Such credits or any transactions in such securities settled during such processing will be reported to the relevant Euroclear participants or Clearstream participants on such business day. Cash received in Clearstream or Euroclear as a result of sales of securities by or through a Clearstream participant or Euroclear participant to a DTC participant will be received with value on the DTC settlement date but will be available in the relevant Clearstream or Euroclear cash account only as of the business day following settlement in DTC. Transfers between DTC participants will occur in accordance with the rules of DTC. Transfers between Clearstream participants and Euroclear participants will occur in accordance with their respective rules and operating procedures. Cross-market transfers between persons holding directly or indirectly through DTC, on the one hand, and directly or indirectly through Clearstream participants or Euroclear participants, on the other, will be effected in DTC in accordance with DTC rules on behalf of the relevant European international clearing system by the Relevant Depositary; however, such cross market transactions will require delivery of instructions to the relevant European international clearing system by the counterparty in such system in accordance with its rules and procedures and within its established deadlines according to European time. The relevant European international clearing system will, if the transaction meets its settlement requirements, deliver instructions to the Relevant Depositary to take action to effect final settlement on its behalf by delivering or receiving securities in DTC, and making or receiving payment in accordance with normal procedures for same day funds settlement applicable to DTC. Clearstream participants and Euroclear participants may not deliver instructions directly to the European Depositaries. DTC, which is a New York-chartered limited purpose trust company, performs services for its DTC participants, some of which and/or their representatives own DTC. In accordance with its normal procedures, DTC is expected to record the positions held by each DTC participant in the book-entry certificates, whether held for its own account or as a nominee for another person. In general, beneficial ownership of book-entry certificates will be subject to the rules of DTC, as in effect from time to time. Clearstream, 67 Bd Grande-Duchesse Charlotte, L-1331 Luxembourg, was incorporated in 1970 as a limited company under Luxembourg law. Clearstream is owned by banks, securities dealers and financial institutions, and currently has about 100 shareholders, including U.S. financial institutions or their subsidiaries. No single entity may own more than five percent of Clearstream's stock. Clearstream is registered as a bank in Luxembourg, and as such is subject to regulation by the Institute Monetaire Luxembourgeois, the Luxembourg Monetary Authority, which supervises Luxembourg banks. Clearstream holds securities for its participants and facilitates the clearance and settlement of securities transactions by electronic book-entry transfers between their accounts. Clearstream provides various services, including safekeeping, administration, clearance and settlement of internationally traded securities and securities lending and borrowing. Clearstream also deals with domestic securities markets in several countries through established depository and custodial relationships. Clearstream has established an electronic bridge with the Euroclear Operator in Brussels to facilitate settlement of trades between systems. Clearstream currently accepts over 150,000 securities issues on its books. Clearstream's customers are world-wide financial institutions including underwriters, securities brokers and dealers, banks, trust companies and clearing corporations. Clearstream's United States customers are limited to securities brokers and dealers and banks. Currently, Clearstream has approximately 2,500 customers located in over 60 countries, including all major European countries, Canada, and the United States. S-51
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Indirect access to Clearstream is available to other institutions which clear through or maintain a custodial relationship with an account holder of Clearstream. Euroclear was created in 1968 to hold securities for its participants and to clear and settle transactions between Euroclear participants through simultaneous electronic book-entry delivery against payment, thereby eliminating the need for physical movement of certificates and any risk from lack of simultaneous transfers of securities and cash. Transactions may be settled in any of 29 currencies, including United States dollars. Euroclear includes various other services, including securities lending and borrowing and interfaces with domestic markets in several countries generally similar to the arrangements for cross-market transfers with DTC described above. Euroclear is operated by the Euroclear Bank S.A./N.V., or the Euroclear Operator, under contract with Euroclear Clearance Systems S.C., or the Cooperative, a Belgian cooperative corporation. All operations are conducted by the Euroclear Operator, and all Euroclear securities clearance accounts and Euroclear cash accounts are accounts with the Euroclear Operator, not the Cooperative. The Cooperative establishes policy for Euroclear on behalf of Euroclear participants. Euroclear participants include banks, central banks, securities brokers and dealers and other professional financial intermediaries. Indirect access to Euroclear is also available to other firms that clear through or maintain a custodial relationship with a Euroclear participant, either directly or indirectly. Securities clearance accounts and cash accounts with the Euroclear Operator are governed by the "Terms and Conditions Governing Use of Euroclear and the related Operating Procedures of the Euroclear System," or the Terms and Conditions, and applicable Belgian law. These Terms and Conditions govern transfers of securities and cash within Euroclear, withdrawals of securities and cash from Euroclear, and receipts of payments with respect to securities in Euroclear. All securities in Euroclear are held on a fungible basis without attribution of specific certificates to specific securities clearance accounts. The Euroclear Operator acts under the Terms and Conditions only on behalf of Euroclear participants, and has no record of or relationship with persons holding through Euroclear participants. Distributions on the book-entry certificates will be made on each distribution date by the trust administrator to Cede & Co. DTC will be responsible for crediting the amount of such payments to the accounts of the applicable DTC participants in accordance with DTC's normal procedures. Each DTC participant will be responsible for disbursing such payments to the certificate owners of the book-entry certificates that it represents and to each financial intermediary for which it acts as agent. Each financial intermediary will be responsible for disbursing funds to the certificate owners of the book-entry certificates that it represents. Under a book-entry format, certificate owners of the book-entry certificates may experience some delay in their receipt of payments, since such payments will be forwarded by the trust administrator to Cede & Co. Distributions with respect to certificates held through Clearstream or Euroclear will be credited to the cash accounts of Clearstream participants or Euroclear participants in accordance with the relevant system's rules and procedures, to the extent received by the Relevant Depositary. Such distributions will be subject to tax reporting in accordance with relevant United States tax laws and regulations. Because DTC can only act on behalf of financial intermediaries, the ability of a certificate owner to pledge book-entry certificates to persons or entities that do not participate in the depository system, or otherwise take actions in respect of such book-entry certificates, may be limited due to the lack of physical certificates for the book-entry certificates. In addition, issuance of the book-entry certificates in book-entry form may reduce the liquidity of such certificates in the secondary market since certain potential investors may be unwilling to purchase certificates for which they cannot obtain physical certificates. Monthly and annual reports on the trust will be provided to Cede & Co., as nominee of DTC, and may be made available by Cede & Co. to certificate owners upon request, in accordance with the rules, regulations and procedures creating and affecting the depository, and to the financial intermediaries to whose DTC accounts the book-entry certificates of such certificate owners are credited. S-52
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DTC has advised the trust administrator that, unless and until definitive certificates are issued, DTC will take any action permitted to be taken by the holders of the book-entry certificates under the pooling and servicing agreement only at the direction of one or more financial intermediaries to whose DTC accounts the book-entry certificates are credited, to the extent that such actions are taken on behalf of financial intermediaries whose holdings include such book-entry certificates. Clearstream or the Euroclear Operator, as the case may be, will take any other action permitted to be taken by a certificateholder under the pooling and servicing agreement on behalf of a Clearstream participant or Euroclear participant only in accordance with its relevant rules and procedures and subject to the ability of the Relevant Depositary to effect such actions on its behalf through DTC. DTC may take actions, at the direction of the related DTC participants, with respect to some book-entry certificates which conflict with actions taken with respect to other book-entry certificates. Definitive certificates will be issued to certificate owners of the book-entry certificates, or their nominees, rather than to DTC or its nominee, only if: (a) DTC or the depositor advises the trust administrator in writing that DTC is no longer willing, qualified or able to discharge properly its responsibilities as nominee and depository with respect to the book-entry certificates and the depositor or the trust administrator is unable to locate a qualified successor or (b) after the occurrence of a servicer event of termination as set forth in the pooling and servicing agreement, certificate owners having percentage interests aggregating not less than 51% of the book-entry certificates advise the trust administrator and DTC through the financial intermediaries and the DTC participants in writing that the continuation of a book-entry system through DTC, or a successor to DTC, is no longer in the best interests of certificate owners. Upon the occurrence of any of the events described in the immediately preceding paragraph, the trust administrator will be required to notify all certificate owners of the occurrence of such event and the availability through DTC of definitive certificates. Upon surrender by DTC of the global certificate or certificates representing the book-entry certificates and instructions for re-registration, the trust administrator on behalf of the trustee will issue definitive certificates, and thereafter the trust administrator will recognize the holders of the definitive certificates as certificateholders under the pooling and servicing agreement. Although DTC, Clearstream and Euroclear have agreed to the foregoing procedures in order to facilitate transfers of book-entry certificates among DTC, Clearstream and Euroclear, they are under no obligation to perform or continue to perform such procedures and such procedures may be discontinued at any time. None of the depositor, the servicers, the trustee or (except in connection with its role as depositary for Clearstream) the trust administrator will have any responsibility for any aspect of the records relating to or payments made on account of beneficial ownership interests of the book-entry certificates held by Cede & Co., as nominee for DTC, or for maintaining, supervising or reviewing any records relating to such beneficial ownership interests. PASS-THROUGH RATES The pass-through rate for any class of Floating Rate Certificates and any distribution date will be the lesser of (i) the related Formula Rate for such distribution date and (ii) the related Net WAC Pass-Through Rate for such distribution date. See "--Glossary" below. Each class of certificates will accrue interest during each Interest Accrual Period on the related Certificate Principal Balance at the related pass-through rate calculated as described above. Interest will accrue on the Floating Rate Certificates on the basis of a 360 day year and the actual number of days elapsed in such Interest Accrual Period. The interest entitlement of each class of Floating Rate Certificates on each distribution date will also include any interest distributable on such class on the prior distribution date (exclusive of any Net WAC Rate Carryover Amount for such class) that was undistributed on such prior distribution date together with interest on such undistributed amount for the most recently-ended Interest Accrual Period at the applicable pass-through rate therefor. The interest entitlement of each class of certificates will be reduced, to not less than zero, in the case of each class, by the allocable share for such class S-53
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of Prepayment Interest Shortfalls to the extent not covered by Compensating Interest paid by the servicers and by the allocable share for such class of shortfalls resulting from the application of the Relief Act. See "--Interest Distributions" below. The pass-through rate for each class of Floating Certificates for the Interest Accrual Period beginning on a distribution date, to the extent it has been determined, and for the immediately preceding Interest Accrual Period will be made available via the trust administrator's internet website, together with the monthly statements required by the pooling and servicing agreement. See "--Reports to Certificateholders" below. CALCULATION OF ONE-MONTH LIBOR With respect to each Interest Accrual Period and the Floating Rate Certificates, on the second business day preceding such Interest Accrual Period, (each such date, an "Interest Determination Date"), the trust administrator will determine one-month LIBOR for such Interest Accrual Period. "One-month LIBOR" means, as of any Interest Determination Date, the London interbank offered rate for one-month U.S. dollar deposits which appears on Telerate Page 3750 (as defined herein), Bloomberg Page BBAM or another page of these or any other financial reporting service in general use in the financial services industry, as of 11:00 a.m. (London time) on such date. If such rate does not appear on Telerate Page 3750, the rate for that day will be determined on the basis of the offered rates of the Reference Banks (as defined herein) for one-month U.S. dollar deposits, as of 11:00 a.m. (London time) on such Interest Determination Date. The trust administrator will request the principal London office of each of the Reference Banks to provide a quotation of its rate. If on such Interest Determination Date two or more Reference Banks provide such offered quotations, one-month LIBOR for the related Interest Accrual Period shall be the arithmetic mean of such offered quotations (rounded upwards if necessary to the nearest whole multiple of 0.0625%). If on such Interest Determination Date fewer than two Reference Banks provide such offered quotations, one-month LIBOR for the related Interest Accrual Period shall be the higher of (x) one-month LIBOR as determined on the previous Interest Determination Date and (y) the Reserve Interest Rate (as defined herein). As used in this section, "business day" means a day on which banks are open for dealing in foreign currency and exchange in London and New York City; "Telerate Page 3750" means the display page currently so designated on the Dow Jones Telerate Capital Markets Report (or such other page as may replace that page on that service for the purpose of displaying comparable rates or prices); "Reference Banks" means leading banks selected by the trust administrator and engaged in transactions in Eurodollar deposits in the international Eurocurrency market (i) with an established place of business in London, (ii) which have been designated as such by the trust administrator and (iii) not controlling, controlled by, or under common control with, the depositor or the seller; and "Reserve Interest Rate" shall be the rate per annum that the trust administrator determines to be either (i) the arithmetic mean (rounded upwards if necessary to the nearest whole multiple of 0.0625%) of the one-month U.S. dollar lending rates which two or more New York City banks selected by the trust administrator are quoting on the relevant Interest Determination Date to the principal London offices of leading banks in the London interbank market or, (ii) in the event that the trust administrator can determine no such arithmetic mean because fewer than two New York City banks have provided such quotes, the lowest one-month U.S. dollar lending rate which two or more New York City banks selected by the trust administrator are quoting on such Interest Determination Date to leading European banks. The establishment of one-month LIBOR on each Interest Determination Date by the trust administrator and the trust administrator's calculation of the rate of interest applicable to the Floating Rate Certificates for the related Interest Accrual Period shall (in the absence of manifest error) be final and binding. S-54
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GLOSSARY The following terms are given the meanings shown below to help describe the cash flows on the certificates: "ALLOCATED REALIZED LOSS AMOUNT": An Allocated Realized Loss Amount with respect to (x) any class of Mezzanine Certificates and any distribution date will be an amount equal to the sum of any Realized Losses allocated to that class of certificates on the distribution date as described above in "--Allocation of Losses; Subordination" and any Allocated Realized Loss Amount for that class remaining undistributed from the previous distribution date minus (y) the amount of the increase in the related Certificate Principal Balance due to the receipt of Subsequent Recoveries. "AVAILABLE DISTRIBUTION AMOUNT": The Available Distribution Amount for any distribution date will be equal to the sum, net of amounts (other than the servicing fee, the administration fee and the credit risk manager fee) reimbursable therefrom to the servicers, the trust administrator or the trustee, of (i) the aggregate amount of scheduled monthly payments on the mortgage loans due on the related due date and received on or prior to the related Determination Date, after deduction of the servicing fees, the administration fee and the credit risk manager fee for such distribution date, (ii) certain unscheduled payments in respect of the mortgage loans (including prepayments, insurance proceeds, liquidation proceeds, Subsequent Recoveries and proceeds from repurchases of and substitutions for the mortgage loans) occurring during the related Prepayment Period and (iii) all P&I Advances and Compensating Interest with respect to the mortgage Loans received for the related distribution date. Prepayment Charges collected with respect to the mortgage loans will not be included among the "Available Distribution Amount" available for general distributions on the certificates. Prepayment Charges will be distributed to the holders of the Class P Certificates which are not offered hereby. "BANKRUPTCY LOSS": A Bankruptcy Loss is a Deficient Valuation or a Debt Service Reduction. "CERTIFICATE MARGIN": With respect to the Floating Rate Certificates and any distribution date, the applicable Certificate Margin for such distribution date as set forth below: MARGIN ---------------------------- CLASS (1) (2) ----- --- --- A-1 0.240% 0.480% A-2A 0.110% 0.220% A-2B 0.150% 0.300% A-2C 0.260% 0.520% A-2D 0.360% 0.720% M-1 0.460% 0.690% M-2 0.480% 0.720% M-3 0.490% 0.735% M-4 0.600% 0.900% M-5 0.620% 0.930% M-6 0.660% 0.990% M-7 1.150% 1.725% M-8 1.300% 1.950% M-9 1.750% 2.625% M-10 2.500% 3.750% M-11 2.500% 3.750% M-12 2.000% 3.000% M-13 2.000% 3.000% ---------- (1) For the interest accrual period for each distribution date through and including the first distribution date on which the aggregate principal balance of the mortgage loans remaining in the mortgage pool is reduced to less than 10% of the aggregate principal balance of the mortgage loans as of the cut-off date. (2) For each interest accrual period thereafter. S-55
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"CERTIFICATE PRINCIPAL BALANCE": The Certificate Principal Balance of any Class A Certificate or Mezzanine Certificate as of any date of determination will be equal to the initial Certificate Principal Balance of such certificate reduced by the aggregate of all amounts allocable to principal previously distributed with respect to that certificate and with respect to any Mezzanine Certificate, any reductions in the Certificate Principal Balance of such certificate deemed to have occurred in connection with allocations of Realized Losses in the manner described in this prospectus supplement (taking into account any increases in the Certificate Principal Balance thereof due to the receipt of Subsequent Recoveries as described below). The Certificate Principal Balance of the Class CE Certificates as of any date of determination will be equal to the excess, if any, of the then aggregate principal balance of the mortgage loans over the then aggregate Certificate Principal Balance of the Class A Certificates, the Mezzanine Certificates, the Class P Certificates and the Class X Certificates. In the event that Realized Losses on a mortgage loan are subsequently recovered from the proceeds of a mortgage loan, the Certificate Principal Balance of the most senior class of Mezzanine Certificates then outstanding to which realized losses have been allocated will be increased by the amount of such subsequently recovered loss amount, to the extent of aggregate Realized Losses previously allocated to such class. "CLASS M-1 PRINCIPAL DISTRIBUTION AMOUNT": The Class M-1 Principal Distribution Amount is an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the distributions of the Group I Senior Principal Distribution Amount and the Group II Senior Principal Distribution Amount on the related distribution date) and (ii) the Certificate Principal Balance of the Class M-1 Certificates immediately prior to the related distribution date over o the lesser of (A) the product of (i) approximately 61.50% and (ii) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus approximately $7,422,759. "CLASS M-2 PRINCIPAL DISTRIBUTION AMOUNT": The Class M-2 Principal Distribution Amount is an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the distributions of the Group I Senior Principal Distribution Amount and the Group II Senior Principal Distribution Amount on the related distribution date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related distribution date) and (iii) the Certificate Principal Balance of the Class M-2 Certificates immediately prior to the related distribution date over o the lesser of (A) the product of (i) approximately 68.50% and (ii) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus approximately $7,422,759. S-56
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"CLASS M-3 PRINCIPAL DISTRIBUTION AMOUNT": The Class M-3 Principal Distribution Amount is an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the distributions of the Group I Senior Principal Distribution Amount and the Group II Senior Principal Distribution Amount on the related distribution date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related distribution date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related distribution date) and (iv) the Certificate Principal Balance of the Class M-3 Certificates immediately prior to the related distribution date over o the lesser of (A) the product of (i) approximately 73.20% and (ii) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus approximately $7,422,759. "CLASS M-4 PRINCIPAL DISTRIBUTION AMOUNT": The Class M-4 Principal Distribution Amount is an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the distributions of the Group I Senior Principal Distribution Amount and the Group II Senior Principal Distribution Amount on the related distribution date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related distribution date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related distribution date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related distribution date) and (v) the Certificate Principal Balance of the Class M-4 Certificates immediately prior to the related distribution date over o the lesser of (A) the product of (i) approximately 76.60% and (ii) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus approximately $7,422,759. "CLASS M-5 PRINCIPAL DISTRIBUTION AMOUNT": The Class M-5 Principal Distribution Amount is an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the distributions of the Group I Senior Principal Distribution Amount and the Group II Senior Principal Distribution Amount on the related distribution date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related distribution date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the distribution of the Class M-2 Principal Distribution S-57
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Amount on the related distribution date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related distribution date), (v) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related distribution date) and (vi) the Certificate Principal Balance of the Class M-5 Certificates immediately prior to the related distribution date over o the lesser of (A) the product of (i) approximately 79.90% and (ii) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus approximately $7,422,759. "CLASS M-6 PRINCIPAL DISTRIBUTION AMOUNT": The Class M-6 Principal Distribution Amount is an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the distributions of the Group I Senior Principal Distribution Amount and the Group II Senior Principal Distribution Amount on the related distribution date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related distribution date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related distribution date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related distribution date), (v) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related distribution date), (vi) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related distribution date) and (vii) the Certificate Principal Balance of the Class M-6 Certificates immediately prior to the related distribution date over o the lesser of (A) the product of (i) approximately 82.90% and (ii) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus approximately $7,422,759. "CLASS M-7 PRINCIPAL DISTRIBUTION AMOUNT": The Class M-7 Principal Distribution Amount is an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the distributions of the Group I Senior Principal Distribution Amount and the Group II Senior Principal Distribution Amount on the related distribution date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related distribution date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related distribution date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount on S-58
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the related distribution date), (v) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related distribution date), (vi) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related distribution date), (vii) the Certificate Principal Balance of the Class M-6 Certificates (after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related distribution date) and (viii) the Certificate Principal Balance of the Class M-7 Certificates immediately prior to the related distribution date over o the lesser of (A) the product of (i) approximately 85.90% and (ii) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus approximately $7,422,759. "CLASS M-8 PRINCIPAL DISTRIBUTION AMOUNT": The Class M-8 Principal Distribution Amount is an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the distributions of the Group I Senior Principal Distribution Amount and the Group II Senior Principal Distribution Amount on the related distribution date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related distribution date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related distribution date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related distribution date), (v) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related distribution date), (vi) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related distribution date), (vii) the Certificate Principal Balance of the Class M-6 Certificates (after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related distribution date), (viii) the Certificate Principal Balance of the Class M-7 Certificates (after taking into account the distribution of the Class M-7 Principal Distribution Amount on the related distribution date) and (ix) the Certificate Principal Balance of the Class M-8 Certificates immediately prior to the related distribution date over o the lesser of (A) the product of (i) approximately 88.30% and (ii) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus approximately $7,422,759. "CLASS M-9 PRINCIPAL DISTRIBUTION AMOUNT": The Class M-9 Principal Distribution Amount is an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the distributions of the Group I Senior Principal Distribution Amount and the Group II Senior Principal Distribution Amount on the related distribution date), (ii) the Certificate Principal Balance of S-59
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the Class M-1 Certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related distribution date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related distribution date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related distribution date), (v) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related distribution date), (vi) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related distribution date), (vii) the Certificate Principal Balance of the Class M-6 Certificates (after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related distribution date), (viii) the Certificate Principal Balance of the Class M-7 Certificates (after taking into account the distribution of the Class M-7 Principal Distribution Amount on the related distribution date), (ix) the Certificate Principal Balance of the Class M-8 Certificates (after taking into account the distribution of the Class M-8 Principal Distribution Amount on the related distribution date) and (x) the Certificate Principal Balance of the Class M-9 Certificates immediately prior to the related distribution date over o the lesser of (A) the product of (i) approximately 90.20% and (ii) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus approximately $7,422,759. "CLASS M-10 PRINCIPAL DISTRIBUTION AMOUNT": The Class M-10 Principal Distribution Amount is an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the distributions of the Group I Senior Principal Distribution Amount and the Group II Senior Principal Distribution Amount on the related distribution date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related distribution date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related distribution date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related distribution date), (v) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related distribution date), (vi) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related distribution date), (vii) the Certificate Principal Balance of the Class M-6 Certificates (after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related distribution date), (viii) the Certificate Principal Balance of the Class M-7 Certificates (after taking into account the distribution of the Class M-7 Principal Distribution Amount on the related distribution date), (ix) the Certificate Principal Balance of the Class M-8 Certificates (after taking into account the distribution of the Class M-8 Principal Distribution Amount on the related distribution date), (x) the Certificate Principal Balance of the Class M-9 Certificates (after taking into account the distribution of the Class M-9 Principal Distribution Amount on the related distribution date) and (xi) the Certificate Principal Balance of the Class M-10 Certificates immediately prior to the related distribution date over o the lesser of (A) the product of (i) approximately 92.10% and (ii) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled S-60
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collections of principal received during the related Prepayment Period) and (B) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus approximately $7,422,759. "CLASS M-11 PRINCIPAL DISTRIBUTION AMOUNT": The Class M-11 Principal Distribution Amount is an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the distributions of the Group I Senior Principal Distribution Amount and the Group II Senior Principal Distribution Amount on the related distribution date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related distribution date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related distribution date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related distribution date), (v) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related distribution date), (vi) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related distribution date), (vii) the Certificate Principal Balance of the Class M-6 Certificates (after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related distribution date), (viii) the Certificate Principal Balance of the Class M-7 Certificates (after taking into account the distribution of the Class M-7 Principal Distribution Amount on the related distribution date), (ix) the Certificate Principal Balance of the Class M-8 Certificates (after taking into account the distribution of the Class M-8 Principal Distribution Amount on the related distribution date), (x) the Certificate Principal Balance of the Class M-9 Certificates (after taking into account the distribution of the Class M-9 Principal Distribution Amount on the related distribution date), (xi) the Certificate Principal Balance of the Class M-10 Certificates (after taking into account the distribution of the Class M-10 Principal Distribution Amount on the related distribution date) and (xii) the Certificate Principal Balance of the Class M-11 Certificates immediately prior to the related distribution date over o the lesser of (A) the product of (i) approximately 93.80% and (ii) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus approximately $7,422,759. "CLASS M-12 PRINCIPAL DISTRIBUTION AMOUNT": The Class M-12 Principal Distribution Amount is an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the distributions of the Group I Senior Principal Distribution Amount and the Group II Senior Principal Distribution Amount on the related distribution date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related distribution date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related distribution date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related distribution date), (v) the Certificate Principal Balance of the Class M-4 Certificates (after S-61
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taking into account the distribution of the Class M-4 Principal Distribution Amount on the related distribution date), (vi) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related distribution date), (vii) the Certificate Principal Balance of the Class M-6 Certificates (after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related distribution date), (viii) the Certificate Principal Balance of the Class M-7 Certificates (after taking into account the distribution of the Class M-7 Principal Distribution Amount on the related distribution date), (ix) the Certificate Principal Balance of the Class M-8 Certificates (after taking into account the distribution of the Class M-8 Principal Distribution Amount on the related distribution date), (x) the Certificate Principal Balance of the Class M-9 Certificates (after taking into account the distribution of the Class M-9 Principal Distribution Amount on the related distribution date), (xi) the Certificate Principal Balance of the Class M-10 Certificates (after taking into account the distribution of the Class M-10 Principal Distribution Amount on the related distribution date), (xii) the Certificate Principal Balance of the Class M-11 Certificates (after taking into account the distribution of the Class M-11 Principal Distribution Amount on the related distribution date) and (xiii) the Certificate Principal Balance of the Class M-12 Certificates immediately prior to the related distribution date over o the lesser of (A) the product of (i) approximately 96.50% and (ii) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus approximately $7,422,759. "CLASS M-13 PRINCIPAL DISTRIBUTION AMOUNT": The Class M-13 Principal Distribution Amount is an amount equal to the excess of: o the sum of (i) the aggregate Certificate Principal Balance of the Class A Certificates (after taking into account the distributions of the Group I Senior Principal Distribution Amount and the Group II Senior Principal Distribution Amount on the related distribution date), (ii) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account the distribution of the Class M-1 Principal Distribution Amount on the related distribution date), (iii) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account the distribution of the Class M-2 Principal Distribution Amount on the related distribution date), (iv) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account the distribution of the Class M-3 Principal Distribution Amount on the related distribution date), (v) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account the distribution of the Class M-4 Principal Distribution Amount on the related distribution date), (vi) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account the distribution of the Class M-5 Principal Distribution Amount on the related distribution date), (vii) the Certificate Principal Balance of the Class M-6 Certificates (after taking into account the distribution of the Class M-6 Principal Distribution Amount on the related distribution date), (viii) the Certificate Principal Balance of the Class M-7 Certificates (after taking into account the distribution of the Class M-7 Principal Distribution Amount on the related distribution date), (ix) the Certificate Principal Balance of the Class M-8 Certificates (after taking into account the distribution of the Class M-8 Principal Distribution Amount on the related distribution date), (x) the Certificate Principal Balance of the Class M-9 Certificates (after taking into account the distribution of the Class M-9 Principal Distribution Amount on the related distribution date), (xi) the Certificate Principal Balance of the Class M-10 Certificates (after taking into account the distribution of the Class M-10 Principal Distribution Amount on the related distribution date), (xii) the Certificate Principal Balance of the Class M-11 Certificates (after taking into account the distribution of the Class M-11 Principal Distribution Amount on the related distribution date), (xiii) the Certificate Principal Balance of the Class M-12 Certificates (after taking into account the distribution of the Class M-12 Principal Distribution Amount on the related S-62
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distribution date) and (xiv) the Certificate Principal Balance of the Class M-13 Certificates immediately prior to the related distribution date over o the lesser of (A) the product of (i) approximately 97.20% and (ii) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus approximately $7,422,759. "COMPENSATING INTEREST": With respect to any principal prepayments in full or in part, any payments made by the servicers from their own funds to cover Prepayment Interest Shortfalls as described herein. "CREDIT RISK MANAGER FEE RATE": 0.015% per annum. "DEBT SERVICE REDUCTION": A Debt Service Reduction is any reduction in the amount which a mortgagor is obligated to pay on a monthly basis with respect to a mortgage loan as a result of any proceeding initiated under the United States Bankruptcy Code, other than a reduction attributable to a Deficient Valuation. "DEFICIENT VALUATION": With respect to any mortgage loan, a Deficient Valuation is a valuation by a court of competent jurisdiction of the mortgaged property in an amount less than the then outstanding indebtedness under the mortgage loan, which valuation results from a proceeding initiated under the United States Bankruptcy Code. "DETERMINATION DATE": The Determination Date with respect to any distribution date will be the 15th day of the calendar month in which such distribution date occurs or, if such 15th day is not a business day, the business day immediately preceding such 15th day. "DUE PERIOD": The Due Period with respect to any distribution date will be the period commencing on the second day of the month immediately preceding the month in which the distribution date occurs and ending on the first day of the month in which the distribution date occurs. "EXPENSE ADJUSTED MORTGAGE RATE": The Expense Adjusted Mortgage Rate on any mortgage loan is equal to the then applicable mortgage rate on the mortgage loan minus the sum of (i) the applicable Servicing Fee Rate and (ii) the Credit Risk Manager Fee Rate. "EXPENSE ADJUSTED MAXIMUM MORTGAGE RATE": The Expense Adjusted Maximum Mortgage Rate on any mortgage loan is equal to the then applicable maximum mortgage rate (or the mortgage rate in the case of any fixed-rate mortgage loan) minus the sum of (i) the applicable Servicing Fee Rate and (ii) the Credit Risk Manager Fee Rate. "FORMULA RATE": With respect to the Floating Rate Certificates is the lesser of (a) one-month LIBOR plus the applicable Certificate Margin and (b) the Maximum Cap Rate. "GROUP I ALLOCATION PERCENTAGE": The Group I Allocation Percentage for any distribution date is the percentage equivalent of a fraction, the numerator of which (i) the Group I Principal Remittance Amount for such distribution date and the denominator of which is (ii) the Principal Remittance Amount for such distribution date. "GROUP I INTEREST REMITTANCE AMOUNT": The Group I Interest Remittance Amount for any distribution date will be that portion of the Available Distribution Amount for such distribution date attributable to (i) interest received or advanced on the Group I Mortgage Loans and (ii) amounts in respect of Prepayment Interest S-63
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Shortfalls paid by the servicers on the Group I Mortgage Loans (in each case, to the extent remaining after payment of an allocable portion of (A) the trust administration fee for such distribution date, (B) the servicing fees for such distribution date and any unpaid servicing fees in respect of prior periods collected by the servicer and (C) the credit risk manager fee for such distribution date). "GROUP I PRINCIPAL DISTRIBUTION AMOUNT": The Group I Principal Distribution Amount for any distribution date will be the sum of (i) the principal portion of all scheduled monthly payments due on the Group I Mortgage Loans during the related Due Period, to the extent received on or prior to the related Determination Date or advanced prior to such distribution date; (ii) the principal portion of all proceeds received in respect of the repurchase of a Group I Mortgage Loan (or, in the case of a substitution, certain amounts representing a principal adjustment) during the related Prepayment Period; (iii) the principal portion of all other unscheduled collections, including insurance proceeds, liquidation proceeds, Subsequent Recoveries and all full and partial principal prepayments, received on the Group I Mortgage Loans during the related Prepayment Period, to the extent applied as recoveries of principal on the mortgage loans and (iv) the Group I Allocation Percentage of the amount of any Overcollateralization Increase Amount for such distribution date minus (v) the Group I Allocation Percentage of the amount of any Overcollateralization Reduction Amount for such distribution date. In no event will the Group I Principal Distribution Amount with respect to any distribution date be (x) less than zero or (y) greater than the then outstanding aggregate Certificate Principal Balance of the Floating Rate Certificates. "GROUP I PRINCIPAL REMITTANCE AMOUNT": The Group I Principal Remittance Amount for any distribution date will be that portion of the Available Distribution Amount equal to the sum of the amounts described in clauses (i) through (iii) of the definition of Group I Principal Distribution Amount. "GROUP I SENIOR PRINCIPAL DISTRIBUTION AMOUNT": The Group I Senior Principal Distribution Amount is an amount equal to the excess of (i) the aggregate Certificate Principal Balance of the Group I Certificates immediately prior to the related distribution date over (ii) the lesser of (A) the product of (i) approximately 54.00% and (ii) the aggregate principal balance of the Group I Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the aggregate principal balance of the Group I Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus approximately $2,473,844. "GROUP II ALLOCATION PERCENTAGE": The Group II Allocation Percentage for any distribution date is the percentage equivalent of a fraction, the numerator of which (i) the Group II Principal Remittance Amount for such distribution date and the denominator of which is (ii) the Principal Remittance Amount for such distribution date. "GROUP II INTEREST REMITTANCE AMOUNT": The Group II Interest Remittance Amount for any distribution date will be that portion of the Available Distribution Amount for such distribution date attributable to (i) interest received or advanced on the Group II Mortgage Loans and (ii) amounts in respect of Prepayment Interest Shortfalls paid by the servicers on the Group II Mortgage Loans (in each case, to the extent remaining after payment of an allocable portion of (A) the trust administration fee for such distribution date, (B) the servicing fees for such distribution date and any unpaid servicing fees in respect of prior periods collected by the servicer and (C) the credit risk manager fee for such distribution date). "GROUP II PRINCIPAL DISTRIBUTION AMOUNT": The Group II Principal Distribution Amount for any distribution date will be the sum of (i) the principal portion of all scheduled monthly payments due on the Group II Mortgage Loans during the related Due Period, to the extent received on or prior to the related Determination Date or advanced prior to such distribution date; (ii) the principal portion of all proceeds received in respect of the repurchase of a Group II Mortgage Loan (or, in the case of a substitution, certain amounts representing a principal adjustment) during the related Prepayment Period; (iii) the principal portion S-64
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of all other unscheduled collections, including insurance proceeds, liquidation proceeds, Subsequent Recoveries and all full and partial principal prepayments, received on the Group II Mortgage Loans during the related Prepayment Period, to the extent applied as recoveries of principal on the mortgage loans and (iv) the Group II Allocation Percentage of the amount of any Overcollateralization Increase Amount for such distribution date minus (v) the Group II Allocation Percentage of the amount of any Overcollateralization Reduction Amount for such distribution date. In no event will the Group II Principal Distribution Amount with respect to any distribution date be (x) less than zero or (y) greater than the then outstanding aggregate Certificate Principal Balance of the Floating Rate Certificates. "GROUP II PRINCIPAL REMITTANCE AMOUNT": The Group II Principal Remittance Amount for any distribution date will be that portion of the Available Distribution Amount equal to the sum of the amounts described in clauses (i) through (iii) of the definition of Group II Principal Distribution Amount. "GROUP II SENIOR PRINCIPAL DISTRIBUTION AMOUNT": The Group II Senior Principal Distribution Amount is an amount equal to the excess of (i) the aggregate Certificate Principal Balance of the Group II Certificates immediately prior to the related distribution date over (ii) the lesser of (A) the product of (i) approximately 54.00% and (ii) the aggregate principal balance of the Group II Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (B) the aggregate principal balance of the Group II Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) minus approximately $4,948,915. "INTEREST ACCRUAL PERIOD": The Interest Accrual Period for any distribution date and the Floating Rate Certificates will be the period commencing on the distribution date of the month immediately preceding the month in which the distribution date occurs or, in the case of the first distribution date, commencing on the closing date, and ending on the day preceding the distribution date. All distributions of interest on the Floating Rate Certificates will be based on a 360-day year and the actual number of days in the applicable Interest Accrual Period. "INTEREST CARRY FORWARD AMOUNT": The Interest Carry Forward Amount with respect to any class of Floating Rate Certificates and any distribution date will be equal to the amount, if any, by which the Interest Distribution Amount for that class of certificates for the immediately preceding distribution date exceeded the actual amount distributed on the certificates in respect of interest on the immediately preceding distribution date, together with any Interest Carry Forward Amount with respect to that class of certificates remaining unpaid from the previous distribution date, plus interest accrued thereon at the related pass-through rate on such class of certificates for the most recently ended Interest Accrual Period. "INTEREST DISTRIBUTION AMOUNT": The Interest Distribution Amount for each class of certificates on any distribution date will be equal to interest accrued during the related Interest Accrual Period on the Certificate Principal Balance of such class of certificates immediately prior to the distribution date at the then applicable pass-through rate for such class, reduced, to not less than zero, in the case of each class, by the allocable share for such class of Prepayment Interest Shortfalls to the extent not covered by Compensating Interest paid by the servicers and shortfalls resulting from the application of the Relief Act or any state law providing for similar relief. "MAXIMUM CAP RATE": The Maximum Cap Rate for any distribution date and (a) the Group I Certificates is a per annum rate (adjusted for the actual number of days in the related Interest Accrual Period) equal to the weighted average of the Expense Adjusted Maximum Mortgage Rates on the then outstanding Group I Mortgage Loans, weighted based on their principal balances as of the first day of the related Due Period; S-65
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(b) the Group II Certificates is a per annum rate (adjusted for the actual number of days in the related Interest Accrual Period) equal to the weighted average of the Expense Adjusted Maximum Mortgage Rates on the then outstanding Group II Mortgage Loans, weighted based on their principal balances as of the first day of the related Due Period; and (c) the Mezzanine Certificates is a per annum rate (adjusted for the actual number of days in the related Interest Accrual Period) equal to the weighted average (weighted in proportion to the results of subtracting from the aggregate principal balance of each loan group the current aggregate Certificate Principal Balance of the related Class A Certificates) of (i) the Maximum Cap Rate for the Group I Certificates and (ii) the Maximum Cap Rate for the Group II Certificates. "NET MONTHLY EXCESS CASHFLOW": The Net Monthly Excess Cashflow for any distribution date will be equal to the sum of (a) any Overcollateralization Reduction Amount and (b) the excess of: o the Available Distribution Amount for such distribution date over o the sum for such distribution date of the aggregate of (a) the Senior Interest Distribution Amounts distributable to the holders of the Class A Certificates, (b) the Interest Distribution Amounts distributable to the holders of the Mezzanine Certificates and (c) the Principal Remittance Amount. "NET WAC PASS-THROUGH RATE": The Net WAC Pass-Through Rate for any distribution date and (a) the Group I Certificates is a per annum rate (adjusted for the actual number of days in the related Interest Accrual Period) equal to the weighted average of the Expense Adjusted Mortgage Rates on the then outstanding Group I Mortgage Loans, weighted based on their principal balances as of the first day of the related Due Period; (b) the Group II Certificates is a per annum rate (adjusted for the actual number of days in the related Interest Accrual Period) equal to the weighted average of the Expense Adjusted Mortgage Rates on the then outstanding Group II Mortgage Loans, weighted based on their principal balances as of the first day of the related Due Period; and (c) the Mezzanine Certificates is a per annum rate (adjusted for the actual number of days in the related Interest Accrual Period) equal to the weighted average (weighted in proportion to the results of subtracting from the aggregate principal balance of each loan group the current aggregate Certificate Principal Balance of the related Class A Certificates) of (i) the Net WAC Pass-Through Rate for the Group I Certificates and (ii) the Net WAC Pass-Through Rate for the Group II Certificates. "NET WAC RATE CARRYOVER RESERVE ACCOUNT": The reserve account established by the trust administrator from which payments in respect of Net WAC Rate Carryover Amounts on the Floating Rate Certificates will be made. "NET WAC RATE CARRYOVER AMOUNT": For any class of Floating Rate Certificates and any distribution date, an amount equal to the sum of (i) the excess, if any, of (x) the amount of interest such class of certificates would have accrued for such distribution date had the related pass-through rate been the related Formula Rate, over (y) the amount of interest such class of certificates accrued for such distribution date at the related Net WAC Pass-Through Rate and (ii) the unpaid portion of any Net WAC Rate Carryover Amount for such class from the prior distribution date together with interest accrued on such unpaid portion for the most recently ended Interest Accrual Period at the Formula Rate applicable for such class for such Interest Accrual Period. "OVERCOLLATERALIZATION INCREASE AMOUNT": The Overcollateralization Increase Amount with respect to any distribution date will equal the lesser of (a) the Net Monthly Excess Cashflow for such distribution date and (b) the amount, if any, by which the Overcollateralization Target Amount exceeds the Overcollateralized Amount S-66
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on such distribution date (calculated for this purpose only after assuming that 100% of the Principal Remittance Amount on such distribution date has been distributed). "OVERCOLLATERALIZATION REDUCTION AMOUNT": The Overcollateralization Reduction Amount with respect to any distribution date will equal the lesser of (a) the Principal Remittance Amount on such distribution date and (b) the excess, if any, of (i) the Overcollateralized Amount for such distribution date (calculated for this purpose only after assuming that 100% of the Principal Remittance Amount on such distribution date has been distributed) over (ii) the Overcollateralization Target Amount for such distribution date. "OVERCOLLATERALIZATION TARGET AMOUNT": The Overcollateralization Target Amount with respect to any distribution date, (i) prior to the Stepdown Date, an amount equal to approximately 1.40% of the aggregate principal balance of the Mortgage Loans as of the Cut-off Date, (ii) on or after the Stepdown Date, provided a Trigger Event is not in effect, the greater of (x) approximately 2.80% of the then current aggregate outstanding principal balance of the Mortgage Loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) and (y) approximately 0.50% of the aggregate principal balance of the mortgage loans as of the cut-off date or (iii) on or after the Stepdown Date and if a Trigger Event is in effect, the Overcollateralization Target Amount for the immediately preceding distribution date. "OVERCOLLATERALIZED AMOUNT": The Overcollateralized Amount with respect to any distribution date will equal the excess, if any, of (a) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period) over (b) the aggregate Certificate Principal Balance of the Class A Certificates, the Mezzanine Certificates, the Class P Certificates and the Class X Certificates (after taking into account the distributions of the Group I Principal Remittance Amount and Group II Principal Remittance Amount on the related distribution date). "PREPAYMENT INTEREST SHORTFALL": With respect to any principal prepayments on the mortgage loans, any resulting interest shortfall. "PREPAYMENT PERIOD": The Prepayment Period with respect to the Countrywide Mortgage Loans and the JPMorgan Mortgage Loans and any distribution date is the calendar month immediately preceding the month in which the distribution date occurs. The Prepayment Period with respect to the HomEq Mortgage Loans and any distribution date is, with respect to (i) voluntary principal payments in full, the period commencing on the 16th day in the month preceding the month in which such distribution date falls (or, in the case of the first distribution date, commencing September 1, 2005) and ending on the 15th day of the calendar month in which such distribution date occurs and (ii) principal payments in part, liquidations and other unscheduled collections on the mortgage loans, the calendar month preceding the month in which such distribution date occurs. "PRINCIPAL REMITTANCE AMOUNT": The Principal Remittance Amount for any distribution date will be the sum of (a) the Group I Principal Remittance Amount and (b) the Group II Principal Remittance Amount. "REALIZED LOSS": A Realized Loss is (a) a Bankruptcy Loss or (b) with respect to any defaulted mortgage loan that is finally liquidated through foreclosure sale, disposition of the related mortgaged property (if acquired on behalf of the certificateholders by foreclosure or deed in lieu of foreclosure) or otherwise, is the amount of loss realized, if any, equal to the portion of the unpaid principal balance remaining, if any, plus interest thereon through the last day of the month in which such mortgage loan was finally liquidated, after application of all amounts recovered (net of amounts reimbursable to the related servicer for P&I Advances, servicing advances and other related expenses, including attorney's fees) towards interest and principal owing on the mortgage loan. S-67
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"SENIOR ENHANCEMENT PERCENTAGE": The Senior Enhancement Percentage for any distribution date is the percentage obtained by dividing (x) the aggregate Certificate Principal Balance of the Mezzanine Certificates and the Class CE Certificates, calculated after taking into account distribution of the Group I Principal Distribution Amount and the Group II Principal Distribution Amount to the holders of the certificates then entitled to distributions thereof on the related distribution date, by (y) the aggregate principal balance of the mortgage loans as of the last day of the related Due Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period). "SENIOR INTEREST DISTRIBUTION AMOUNT": The Senior Interest Distribution Amount for each class of Class A Certificates on any distribution date is equal to the sum of the Interest Distribution Amount for that class for that distribution date and the Interest Carry Forward Amount, if any, for that class for that distribution date. "SERVICING FEE RATE": The Servicing Fee Rate on each mortgage loan is 0.50% per annum. "STEPDOWN DATE": The Stepdown Date will be the earlier to occur of (i) the distribution date on which the aggregate Certificate Principal Balance of the Class A Certificates has been reduced to zero and (ii) the later to occur of (x) the distribution date occurring in October 2008 and (y) the first distribution date on which the Senior Enhancement Percentage (calculated for this purpose only prior to any distribution of the Group I Principal Distribution Amount and the Group II Principal Distribution Amount to the holders of the certificates then entitled to distributions of principal on the related distribution date) is greater than or equal to approximately 46.00%. "SUBSEQUENT RECOVERIES": Subsequent recoveries, net of expenses reimbursable to the servicers, with respect to mortgage loans that have been previously liquidated and that resulted in a Realized Loss in a month prior to the month of receipt of such recoveries. "TRIGGER EVENT": With respect to any distribution date, a Trigger Event is in effect if: (i) (A) the percentage obtained by dividing the aggregate principal balance of mortgage loans delinquent 60 days or more (including mortgage loans delinquent 60 days or more and in foreclosure or bankruptcy and REO properties) by the aggregate principal balance of all of the mortgage loans, in each case, as of the last day of the previous calendar month, exceeds (B) 35.00% of the Senior Enhancement Percentage for the prior distribution date; or (ii) the aggregate amount of Realized Losses incurred since the cut-off date through the last day of the related Prepayment Period (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period), reduced by the aggregate amount of Subsequent Recoveries received since the cut-off date through the last day of the related Prepayment Period, divided by the aggregate principal balance of the mortgage loans as of the cut-off date exceeds the applicable percentages set forth below with respect to such distribution date: DISTRIBUTION DATE OCCURRING IN PERCENTAGE ------------------------------ ---------- October 2007 through September 2008 1.30% October 2008 through September 2009 3.00% October 2009 through September 2010 4.70% October 2010 through September 2011 6.10% October 2011 and thereafter 6.85% INTEREST DISTRIBUTIONS On each distribution date, the trust administrator will withdraw from the Certificate Account that portion of Available Distribution Amount for such distribution date consisting of the Interest Remittance Amount for such distribution date and make the following disbursements and transfers in the order of priority S-68
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described below, in each case to the extent of the Interest Remittance Amount remaining for such distribution date. I. On each distribution date, the Group I Interest Remittance Amount will be distributed in the following order of priority: (i) to the holders of each class of Group I Certificates, the Senior Interest Distribution Amounts allocable to the Group I Certificates; and (ii) concurrently, to the holders of each class of Group II Certificates, on a pro rata basis based on the entitlement of each such class, the Senior Interest Distribution Amounts related to such certificates, to the extent remaining undistributed after the distribution of the Group II Interest Remittance Amount, as set forth in clause II below. II. On each distribution date, the Group II Interest Remittance Amount will be distributed in the following order of priority: (i) concurrently, to the holders of each class of Group II Certificates, on a pro rata basis based on the entitlement of each such class, the Senior Interest Distribution Amounts allocable to the Group II Certificates; and (ii) to the holders of the Group I Certificates, the Senior Interest Distribution Amount related to such certificates, to the extent remaining undistributed after the distribution of the Group I Interest Remittance Amount, as set forth in clause I above. III. On each distribution date, following the distributions made pursuant to clauses I and II above, the sum of the Group I Interest Remittance Amount and the Group II Interest Remittance Amount remaining will be distributed sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10, Class M-11, Class M-12 and Class M-13 Certificates, in that order, in an amount equal to the Interest Distribution Amount for each such class. On any distribution date, any Prepayment Interest Shortfalls to the extent not covered by the related servicer and any shortfalls resulting from the application of the Relief Act or similar state laws will be allocated, first, in reduction of the Interest Distribution Amount with respect to the Class CE Certificates determined as provided in the pooling and servicing agreement, and thereafter, in reduction of the Interest Distribution Amounts with respect to the Floating Rate Certificates on a pro rata basis based on their respective entitlements to such interest for such distribution date. The holders of the Floating Rate Certificates will not be entitled to reimbursement for any such interest shortfalls. PRINCIPAL DISTRIBUTIONS I. On each distribution date (a) prior to the Stepdown Date or (b) on which a Trigger Event is in effect, distributions in respect of principal to the extent of the Group I Principal Distribution Amount will be made in the following amounts and order of priority: (i) to the holders of the Group I Certificates, until the Certificate Principal Balance thereof has been reduced to zero; and (ii) to the holders of the Group II Certificates (allocated among the classes of Group II Certificates in the priority described below), after taking into account the distribution of the Group II Principal Distribution Amount already distributed, as described herein, until the Certificate Principal Balances thereof have been reduced to zero. S-69
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II. On each distribution date (a) prior to the Stepdown Date or (b) on which a Trigger Event is in effect, distributions in respect of principal to the extent of the Group II Principal Distribution Amount will be made in the following amounts and order of priority: (i) to the holders of the Group II Certificates (allocated among the classes of Group II Certificates in the priority described below), until the Certificate Principal Balances thereof have been reduced to zero; and (ii) to the holders of the Group I Certificates, after taking into account the distribution of the Group I Principal Distribution Amount already distributed, as described herein, until the Certificate Principal Balance thereof has been reduced to zero. III. On each distribution date (a) prior to the Stepdown Date or (b) on which a Trigger Event is in effect, distributions in respect of principal to the extent of the sum of the Group I Principal Distribution Amount and the Group II Principal Distribution Amount remaining undistributed for such distribution date will be made sequentially to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8, Class M-9, Class M-10, Class M-11, Class M-12 and Class M-13 Certificates, in that order, in each case, until the Certificate Principal Balance of each such class has been reduced to zero. IV. On each distribution date (a) on or after the Stepdown Date and (b) on which a Trigger Event is not in effect, distributions in respect of principal to the extent of the Group I Principal Distribution Amount will be made in the following amounts and order of priority: (i) to the holders of the Group I Certificates, the Group I Senior Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; and (ii) to the holders of the Group II Certificates (allocated among the classes of Group II Certificates in the priority described below), after taking into account the distribution of the Group II Principal Distribution Amount as described herein, up to an amount equal to the Group II Senior Principal Distribution Amount remaining undistributed, until the Certificate Principal Balances thereof have been reduced to zero. V. On each distribution date (a) on or after the Stepdown Date and (b) on which a Trigger Event is not in effect, distributions in respect of principal to the extent of the Group II Principal Distribution Amount will be made in the following amounts and order of priority: (i) to the holders of the Group II Certificates (allocated among the classes of Group II Certificates in the priority described below), the Group II Senior Principal Distribution Amount, until the Certificate Principal Balances thereof have been reduced to zero; and (ii) to the holders of the Group I Certificates, after taking into account the distribution of the Group I Principal Distribution Amount as described herein, up to an amount equal to the Group I Senior Principal Distribution Amount remaining undistributed, until the Certificate Principal Balance thereof has been reduced to zero. VI. On each distribution date (a) on or after the Stepdown Date and (b) on which a Trigger Event is not in effect, distributions in respect of principal to the extent of the sum of the Group I Principal Distribution Amount and the Group II Principal Distribution Amount remaining undistributed for such distribution date will be made in the following amounts and order of priority: (i) to the holders of the Class M-1 Certificates, the Class M-1 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (ii) to the holders of the Class M-2 Certificates, the Class M-2 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; S-70
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(iii) to the holders of the Class M-3 Certificates, the Class M-3 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (iv) to the holders of the Class M-4 Certificates, the Class M-4 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (v) to the holders of the Class M-5 Certificates, the Class M-5 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (vi) to the holders of the Class M-6 Certificates, the Class M-6 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (vii) to the holders of the Class M-7 Certificates, the Class M-7 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (viii) to the holders of the Class M-8 Certificates, the Class M-8 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (ix) to the holders of the Class M-9 Certificates, the Class M-9 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (x) to the holders of the Class M-10 Certificates, the Class M-10 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (xi) to the holders of the Class M-11 Certificates, the Class M-11 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (xii) to the holders of the Class M-12 Certificates, the Class M-12 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; and (xiii) to the holders of the Class M-13 Certificates, the Class M-13 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero. The allocation of distributions in respect of principal to the Class A Certificates on each distribution date (a) prior to the Stepdown Date or (b) on which a Trigger Event is in effect, will have the effect of accelerating the amortization of the Class A Certificates while, in the absence of Realized Losses, increasing the respective percentage interest in the aggregate principal balance of the mortgage loans evidenced by the Subordinate Certificates. Increasing the respective percentage interest in the Trust Fund of the Subordinate Certificates relative to that of the Class A Certificates is intended to preserve the availability of the subordination provided by the Subordinate Certificates. With respect to the Group II Certificates, all principal distributions will be distributed sequentially, to the Class A-2A, Class A-2B, Class A-2C and Class A-2D Certificates, in that order, until their respective Certificate Principal Balances have been reduced to zero, with the exception that on any distribution date on which the aggregate Certificate Principal Balance of the Subordinate Certificates has been reduced to zero, principal distributions will be allocated concurrently, to the Class A-2A, Class A-2B, Class A-2C and Class A-2D Certificates, a pro rata basis based on the Certificate Principal Balance of each such class, until their respective Certificate Principal Balances have been reduced to zero. CREDIT ENHANCEMENT The holders of each class of Class A Certificates and each class of Mezzanine Certificates (subject to the priorities described under "--Excess Interest and Overcollateralization" and "--Allocation of Losses" S-71
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below) are entitled to the benefits of the credit enhancement consisting of excess interest, overcollateralization and subordination. Subordination. The rights of the holders of the Subordinate Certificates and the Residual Certificates to receive distributions will be subordinated, to the extent described herein, to the rights of the holders of the Class A Certificates. The protection afforded to the holders of the Class A Certificates by means of the subordination of the Subordinate Certificates and Residual Certificates will be accomplished by (i) the preferential right of the holders of the Class A Certificates to receive on any distribution date, prior to distributions on the Subordinate Certificates and Residual Certificates, distributions in respect of interest and principal, subject to funds available for such distributions, and (ii) if necessary, the right of the holders of the Class A Certificates to receive future distributions of amounts that would otherwise be payable to the holders of the Subordinate Certificates and Residual Certificates. In addition, the rights of the holders of Mezzanine Certificates with higher distribution priorities to receive distributions in respect of interest and principal will be senior to the rights of holders of Mezzanine Certificates with lower distribution priorities, and the rights of the holders of the Mezzanine Certificates to receive distributions in respect of interest and principal will be senior to the rights of the holders of the Class CE Certificates and Residual Certificates, in each case to the extent described herein. The subordination feature is intended to enhance the likelihood of regular receipt by the holders of the more senior classes of certificates of distributions in respect of interest and principal and to afford such holders limited protection against Realized Losses. Excess Interest and Overcollateralization. The mortgage loans, if they perform, are expected to generate more interest than is needed to distribute interest on the Floating Rate Certificates and to pay certain fees and expenses of the trust. The weighted average of the mortgage rates of the mortgage loans (net of certain fees and expenses of the trust) is generally expected to be higher than the weighted average of the pass-through rates on the Floating Rate Certificates. The aggregate principal balance of the mortgage loans as of the cut-off date will exceed the aggregate Certificate Principal Balance of the Floating Rate Certificates, the Class X and the Class P Certificates as of the closing date by approximately $20,783,599 which is approximately equal to the initial Overcollateralization Target Amount. The pooling and servicing agreement requires that, on each distribution date, the Net Monthly Excess Cashflow, if any, be applied on such distribution date as an accelerated distribution of principal on the Floating Rate Certificates, whenever the Overcollateralization Amount is less than the required amount, subject to the priorities described below and under "--Principal Distributions" above. The payment of portions of the Net Monthly Excess Cashflow (to the extent described above and subject to the priorities described below) as principal distributions to the holders of the Floating Rate Certificates is intended to maintain or restore overcollateralization (the excess of the aggregate principal balance of the mortgage loans over the aggregate Certificate Principal Balance of the Floating Rate Certificates and the Class P Certificates). The pooling and servicing agreement requires that the above described principal distributions to the holders of the Floating Rate Certificates entitled to principal continue, whenever funds are available for such purpose, until the amount of overcollateralization is equal to the Overcollateralization Target Amount. There can be no assurance that Net Monthly Excess Cashflow will be generated in amounts sufficient to maintain the required level of overcollateralization. There can be no assurance as to the rate at which the Certificate Principal Balances of the certificates entitled to principal will be reduced, and there can be no assurance that Realized Losses will not be allocated to the Mezzanine Certificates. However, excess interest and overcollateralization are intended to absorb Realized Losses prior to the allocation of any such Realized Losses to the Mezzanine Certificates. See "--Allocation of Losses" below. S-72
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With respect to any Distribution Date, any Net Monthly Excess Cashflow will be paid in the following amounts and order of priority: (i) to the holders of the class or classes of Floating Rate Certificates then entitled to receive distributions in respect of principal, in an amount equal to the Overcollateralization Increase Amount, distributable as part of the Group I Principal Distribution Amount and Group II Principal Distribution Amount; (ii) sequentially, to the holders of the Class M-1 Certificates, the Class M-2 Certificates, the Class M-3 Certificates, the Class M-4 Certificates, the Class M-5 Certificates, the Class M-6 Certificates, the Class M-7 Certificates, the Class M-8 Certificates, the Class M-9 Certificates, the Class M-10 Certificates, the Class M-11 Certificates, the Class M-12 Certificates and the Class M-13 Certificates, in that order, in each case up to the related Interest Carry Forward Amount related to such class for such distribution date; (iii) sequentially, to the holders of the Class M-1 Certificates, the Class M-2 Certificates, the Class M-3 Certificates, the Class M-4 Certificates, the Class M-5 Certificates, the Class M-6 Certificates, the Class M-7 Certificates, the Class M-8 Certificates, the Class M-9 Certificates, the Class M-10 Certificates, the Class M-11 Certificates, the Class M-12 Certificates and the Class M-13 Certificates, in that order, in each case up to the related Allocated Realized Loss Amount for such class for such distribution date; (iv) to the Net WAC Rate Carryover Reserve Account, the aggregate of any Net WAC Rate Carryover Amounts for the Floating Rate Certificates (net of any portion of any Net WAC Rate Carryover Amount covered by the cap contracts); (v) to the holders of the Class CE Certificates as provided in the pooling and servicing agreement; and (vi) to the holders of the Residual Certificates, any remaining amounts; provided that if such distribution date is the distribution date immediately following the expiration of the latest prepayment charge term or any distribution date thereafter, then any such remaining amounts will be distributed first, to the holders of the Class P Certificates, until the Certificate Principal Balance thereof has been reduced to zero; and second, to the holders of the Residual Certificates. In the event that Realized Losses are incurred on the mortgage loans, such Realized Losses could result in an overcollateralization deficiency since such Realized Losses would reduce the principal balance of the mortgage loans without a corresponding reduction to the aggregate Certificate Principal Balance of the Floating Rate Certificates. In such event, the pooling and servicing agreement will require the distribution from Net Monthly Excess Cashflow, if any, of an amount equal to the Overcollateralization Increase Amount, which will constitute a principal distribution on the Floating Rate Certificates in reduction of the Certificate Principal Balances thereof in order to eliminate such overcollateralization deficiency. This will have the effect of accelerating the amortization of the Floating Rate Certificates relative to the amortization of the mortgage loans, and of increasing the Overcollateralized Amount. In the event that the Overcollateralized Amount exceeds the Overcollateralization Target Amount on any distribution date, the pooling and servicing agreement will provide that a portion of the Principal Remittance Amount on such distribution date be distributed to the holders of the Class CE Certificates pursuant to the priorities set forth above. This will have the effect of decelerating the amortization of the Floating Rate Certificates relative to the amortization of the mortgage loans, and of reducing the Overcollateralized Amount. On the Closing Date, the trust administrator will establish the Net WAC Rate Carryover Reserve Account from which distributions in respect of Net WAC Rate Carryover Amounts on the Floating Rate Certificates will be made. The Net WAC Rate Carryover Reserve Account will be an asset of the trust but not of any REMIC. On each distribution date, after making the distributions and allocations of the last of the Available Distribution Amount for such distribution date as described above, the trust administrator will S-73
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withdraw from the Net WAC Rate Carryover Reserve Account, to the extent of the amount then on deposit therein (including amounts received by the trust administrator under the cap contracts and amounts deposited therein from Net Monthly Excess Cashflow), the aggregate of any Net WAC Rate Carryover Amounts for the Floating Rate Certificates for such distribution date and will distribute such amounts to the holders of such classes of certificates in the following amounts and order of priority: (A) to the Group I Certificates any remaining Net WAC Rate Carryover Amount for such class, but only to the extent of amounts paid under the Group 1 Cap Contract; (B) concurrently, to the Group II Certificates, on a pro rata basis based on the Certificate Principal Balance for each such class prior to any distributions of principal on such distribution date and then on a pro rata basis based on any remaining related Net WAC Rate Carryover Amount for each such class, but only to the extent of amounts paid under Group II Cap Contract; (C) concurrently, to the Mezzanine Certificates on a pro rata basis based on the Certificate Principal Balance for each such class prior to any distributions of principal on such distribution date and then on a pro rata basis based on any remaining Net WAC Rate Carryover Amount for each such class, but only to the extent of amounts paid under the Mezzanine Cap Contract; and (D) to the Class A Certificates and Mezzanine Certificates, any related unpaid Net WAC Rate Carryover Amount (after taking into account distributions pursuant to (A), (B) and (C) above), distributed in the following order of priority: (i) concurrently, to the Class A Certificates, on a pro rata basis based on the Certificate Principal Balance for each such class prior to any distributions of principal on such distribution date and then on a pro rata basis based on any remaining Net WAC Rate Carryover Amount for each such class; and (ii) sequentially, to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5, Class M-6, Class M-7, Class M-8 , Class M-9, Class M-10, Class M-11, Class M-12 and Class M-13 Certificates. On each distribution date, the trust administrator will withdraw from the certificate account all amounts representing prepayment charges in respect of the mortgage loans received during the related Prepayment Period and will distribute these amounts to the holders of the Class P Certificates. CAP CONTRACTS The following certificates will each have the benefit of a related interest rate cap contract: (i) the Group I Certificates (referred to as the Group I Cap Contract); (ii) the Group II Certificates (referred to as the Group II Cap Contract); and (iii) the Mezzanine Certificates (referred to as the Mezzanine Cap Contract). Pursuant to each cap contract, Bear Stearns Financial Products Inc. ("BSFP" and together with any successor, the "Counterparty" or "Cap Provider") will agree to pay to the trust a monthly payment in an amount equal to the product of: (1) for the distribution date in October 2005 through the distribution date in June 2008 (in the case of the Group I Cap Contract and the Mezzanine Cap Contract), June 2008 (in the case of the Group II Cap Contract) and June 2008 (in the case of the Mezzanine Cap Contract), the excess, if any, of one-month LIBOR (as defined in the related cap contract) over the rate set forth in the related cap contract, up to a maximum rate set forth in the related cap contract; (2) the lesser of (i) the notional amount for the related Interest Accrual Period set forth in the related cap contract and (ii) the aggregate Certificate Principal Balance of the certificates benefited by such cap contract; and (3) a fraction, the numerator of which is the actual number of days in the related Interest Accrual Period, and the denominator of which is 360. The notional amount declines in accordance with a schedule set forth in the related cap contract. BSFP is a bankruptcy remote derivatives product company based in New York, New York that has been established as a wholly owned subsidiary of The Bear Stearns Companies, Inc. BSFP has a ratings classification of "AAA" from S&P and "Aaa" from Moody's. BSFP will provide upon request, without S-74
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charge, to each person to whom this prospectus supplement is delivered, a copy of (i) the ratings analysis from each of S&P and Moody's evidencing those respective ratings or (ii) the most recent audited annual financial statements of BSFP. Request for information should be directed to the DPC Manager of Bear Stearns Financial Products Inc. at (212) 272-4009 or in writing at 383 Madison Avenue, Suite 2700, New York, New York 10179. BSFP is an affiliate of Bear, Stearns & Co. Inc. The Counterparty has not been involved in the preparation of, and does not accept responsibility for, this prospectus supplement or the accompanying prospectus. ALLOCATION OF LOSSES Any Realized Losses on the mortgage loans will be allocated on any distribution date first, to Net Monthly Excess Cashflow, second, to the Class CE Certificates, until the Certificate Principal Balance of the Class CE Certificates has been reduced to zero and third, to each class of Mezzanine Certificates in reverse numerical order until the certificate principal balance of each such class has been reduced to zero. The pooling and servicing agreement will not permit the allocation of Realized Losses to the Class A Certificates, the Class P Certificates or the Class X Certificates. Investors in the Class A Certificates should note, however, that although Realized Losses cannot be allocated to these certificates, under certain loss scenarios there may not be enough interest and principal received or advanced on the mortgage loans to distribute to the Class A Certificates all interest and principal amounts to which they are then entitled. Once Realized Losses have been allocated to the Mezzanine Certificates, such amounts with respect to such certificates will no longer accrue interest and such amounts will not be reinstated thereafter (except in the case of Subsequent Recoveries). However, Allocated Realized Loss Amounts may be distributed to the holders of the Mezzanine Certificates from Net Monthly Excess Cashflow, according to the priorities set forth under "-- Overcollateralization Provisions" above. Any allocation of a Realized Loss to a certificate will be made by reducing the Certificate Principal Balance of that certificate by the amount so allocated as of the distribution date in the month following the calendar month in which the Realized Loss was incurred. P&I ADVANCES If the scheduled payment on a mortgage loan which was due during the related Due Period is delinquent, the servicer will remit to the trust administrator on the related servicer remittance date an amount equal to such delinquency, except to the extent such servicer determines any such advance to be nonrecoverable from future payments on the mortgage loan for which such advance was made. These advances are referred to in this prospectus supplement as "P&I Advances." Subject to the foregoing, P&I Advances will be made by each servicer until the time set forth in the pooling and servicing agreement. Failure by a servicer to remit any required P&I Advance, which failure goes unremedied beyond any applicable cure period under the related servicing agreement, will constitute an event of default under the pooling and servicing agreement. Shortfalls in interest collection arising from the application of the Relief Act or any state law providing for similar relief will generally not be covered by any P&I Advances. If any servicer fails to make any required P&I Advance, the trust administrator will be obligated to make such P&I Advance to the extent provided in the pooling and servicing agreement. None of the servicers will advance the balloon payment with respect to any balloon mortgage loan. In addition, with respect to the Countrywide Mortgage Loans, Countrywide Servicing will not make any advances with respect to REO Properties. The purpose of making such P&I Advances is to maintain a regular cash flow to the certificateholders, rather than to guarantee or insure against losses. Each servicer is entitled to be reimbursed for these advances to the extent set forth in the pooling and servicing agreement. See "Description of the Securities--Advances in Respect of Delinquencies" in the prospectus. S-75
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REPORTS TO CERTIFICATEHOLDERS The trust administrator will generate, based on information received from the servicer, the monthly statements discussed in the prospectus under "Description of the Securities--Reports to Securityholders," which will include information as to the outstanding Certificate Principal Balance of each class of the offered certificates and the status of the applicable form of credit enhancement. The trust administrator will make each monthly statement and, at its option, any additional files containing the same information in an alternative format, available each month via the trust administrator's internet website. Assistance in using the website can be obtained by calling Citibank's Agency & Trust department at (212) 816-5680. Parties that are unable to use the above distribution options are entitled to have a paper copy mailed to them via first class mail by calling Citibank's Agency & Trust department and indicating such. The trust administrator will have the right to change the way statements are distributed in order to make such distribution more convenient and/or more accessible the recipients thereof, and the trust administrator will provide timely and adequate notification regarding any such changes. In addition, within a reasonable period of time after the end of each calendar year, the trust administrator will, upon request, prepare and deliver to each holder of a certificate of record during the previous calendar year a statement containing information necessary to enable holders of the certificates to prepare their tax returns. Such obligation of the trust administrator will be deemed to have been satisfied to the extent that substantially comparable information is provided by the trust administrator pursuant to Code. These statements will not have been examined and reported upon by an independent public accountant. THE SERVICERS GENERAL Countrywide Servicing will service mortgage loans that were originated by WMC, MortgageIT and Impac. JPMorgan will service mortgage loans that were originated by MortgageIT, First Horizon and Accredited. HomEq will service mortgage loans that were originated by MortgageIT. THE SERVICERS COUNTRYWIDE HOME LOANS SERVICING LP The information set forth below with regard to Countrywide Home Loans Servicing LP has been provided to the depositor by Countrywide Servicing. None of the depositor, the servicers, the seller, the trust administrator, the trustee, the underwriter, any of their respective affiliates or any other party has made or will make any representation as to the accuracy or completeness of such information. The principal executive offices of Countrywide Home Loans Servicing LP ("Countrywide Servicing") are located at 7105 Corporate Drive, Plano, Texas 75024. Countrywide Servicing is a Texas limited partnership directly owned by Countrywide GP, Inc. and Countrywide LP, Inc., each a Nevada corporation and a direct, wholly owned subsidiary of Countrywide Home Loans, Inc., a New York corporation ("Countrywide Home Loans"). Countrywide Home Loans is a direct, wholly owned subsidiary of Countrywide Financial Corporation, a Delaware corporation ("Countrywide Financial"). Countrywide GP, Inc. owns a 0.1% interest in Countrywide Servicing and is the general partner. Countrywide LP, Inc. owns a 99.9% interest in Countrywide Servicing and is a limited partner. Countrywide Home Loans established Countrywide Servicing in February 2000 to service mortgage loans originated by Countrywide Home Loans that would otherwise have been serviced by Countrywide Home Loans. In January and February, 2001, Countrywide Home Loans transferred to Countrywide Servicing all of its rights and obligations relating to mortgage loans serviced on behalf of Freddie Mac and Fannie Mae, respectively. In October 2001, Countrywide Home Loans transferred to Countrywide Servicing all of its rights and obligations to the bulk of its non agency loan servicing portfolio, including with respect to those mortgage S-76
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loans formerly serviced by Countrywide Home Loans and securitized by certain of its affiliates. While Countrywide Home Loans expects to continue to directly service a portion of its loan portfolio, it is expected that the servicing rights for most newly originated Countrywide Home Loans product will be transferred to Countrywide Servicing upon sale or securitization of the related mortgage loans. Countrywide Servicing is engaged in the business of servicing mortgage loans and will not originate or acquire loans, an activity that will continue to be performed by Countrywide Home Loans. In addition to acquiring mortgage servicing rights from Countrywide Home Loans, it is expected that Countrywide Servicing will service mortgage loans for non Countrywide Home Loans affiliated parties as well as subservice mortgage loans on behalf of other master servicers. In connection with the establishment of Countrywide Servicing, certain employees of Countrywide Home Loans became employees of Countrywide Servicing. Countrywide Servicing has engaged Countrywide Home Loans as a subservicer to perform certain loan servicing activities on its behalf. Countrywide Servicing is an approved mortgage loan servicer for Fannie Mae, Freddie Mac, Ginnie Mae, HUD and VA and is licensed to service mortgage loans in each state where a license is required. Its loan servicing activities are guaranteed by Countrywide Financial and/or Countrywide Home Loans when required by the owner of the mortgage loans. As of June 30, 2005, Countrywide Servicing had a net worth of approximately $14.16 billion. Countrywide Home Loans Countrywide Home Loans is engaged primarily in the mortgage banking business, and as such, originates, purchases, sells and services (either directly or through subsidiaries) mortgage loans. Countrywide Home Loans originates mortgage loans through a retail branch system and through mortgage loan brokers and correspondents nationwide. Loans originated, purchased, sold or serviced by Countrywide Home Loans are principally first lien, fixed or adjustable rate mortgage loans secured by single family residences. References in the remainder of this section to Countrywide Home Loans should be read to include Countrywide Home Loans and its consolidated subsidiaries, including Countrywide Servicing. The principal executive offices of Countrywide Home Loans are located at 4500 Park Granada, Calabasas, California 91302. Countrywide Home Loans services substantially all of the mortgage loans it originates or acquires. In addition, Countrywide Home Loans has purchased in bulk the rights to service mortgage loans originated by other lenders. Countrywide Home Loans has in the past and may in the future sell to other mortgage bankers a portion of its portfolio of loan servicing rights. As of June 30, 2005, Countrywide Home Loans provided servicing for approximately $964.444 billion aggregate principal amount of mortgage loans, substantially all of which are being serviced for unaffiliated persons. Foreclosure, Delinquency and Loss Experience Historically, a variety of factors, including the appreciation of real estate values, have limited Countrywide Home Loans' loss and delinquency experience on its portfolio of serviced mortgage loans. There can be no assurance that factors beyond the control of Countrywide Home Loans, such as national or local economic conditions or downturns in the real estate markets of its lending areas, will not result in increased rates of delinquencies and foreclosure losses in the future. A general deterioration of the real estate market in regions where the mortgaged properties are located may result in increases in delinquencies of loans secured by real estate, slower absorption rates of real estate into the market and lower sales prices for real estate. A general weakening of the economy may result in decreases in the financial strength of borrowers and decreases in the value of collateral serving as security for loans. If the real estate market and economy were to decline, Countrywide Home Loans may experience an increase in delinquencies on the loans it services and higher net losses on liquidated loans. S-77
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The following table summarizes the delinquency, foreclosure and loss experience, respectively, on the dates indicated, of the mortgage loans originated or acquired by Countrywide Home Loans and serviced or master serviced by Countrywide Home Loans and securitized by certain affiliates of Countrywide Home Loans in transactions that were registered with the Securities and Exchange Commission. The delinquency, foreclosure and loss percentages may be affected by the size and relative lack of seasoning in the servicing portfolio. The information should not be considered as a basis for assessing the likelihood, amount or severity of delinquency or losses on the mortgage loans and no assurances can be given that the foreclosure, delinquency and loss experience presented in the following table will be indicative of the actual experience on the mortgage loans. The columns in the following table may not total due to rounding. [Enlarge/Download Table] AT AT FEBRUARY 28, DECEMBER 31, AT ------------ ------------------------------------------------ JUNE 30, 2001 2001 2002 2003 2004 2005 ---- ---- ---- ---- ---- ---- (DOLLAR AMOUNTS IN THOUSANDS, EXCEPT LOSSES ON LIQUIDATED MORTGAGE LOANS) Volume of Loans (1).......... $21,250,550 $25,658,250 $33,455,108 $47,663,628 $76,170,541 $108,044,780 Delinquent Mortgage Loans and Pending Foreclosures at Period End: 30 - 59 days.............. 1.61% 1.89% 2.11% 1.80% 1.51% 1.30% 60 - 89 days.............. 0.28% 0.39% 0.53% 0.43% 0.28% 0.24% 90 days or more (excluding pending foreclosures)............. 0.14% 0.23% 0.35% 0.31% 0.26% 0.19% Total of delinquencies....... 2.03% 2.50% 2.99% 2.53% 2.05% 1.73% Foreclosure pending.......... 0.27% 0.31% 0.31% 0.31% 0.20% 0.16% Total delinquencies and Foreclosures pending...... 2.30% 2.82% 3.31% 2.84% 2.25% 1.90% Losses on liquidated loans(2)..................... $(2,988,604) $(5,677,141) $(10,788,657) $(16,159,208) $(24,758,566) $(4,810,599) ---------- (1) "Volume of loans" reflects both performing and delinquent mortgage loans in the servicing portfolio on the dates indicated. (2) "Losses on liquidated loans" reflect the losses accumulated during (i) the year ended on February 28, 2001, (ii) the 10-month period ended on December 31, 2001, (iii) the years ended on December 31, 2002, December 31, 2003 and December 31, 2004 and (iv) the 6-month period ended on June 30, 2005, respectively. JPMORGAN CHASE BANK, NATIONAL ASSOCIATION The information set forth in the following paragraphs has been provided by JPMorgan Chase Bank, National Association. None of the depositor, the other servicers, the seller, the trust administrator, the trustee, the underwriter, any of their respective affiliates or any other party has made or will make any representation as to the accuracy or completeness of such information. JPMorgan Chase Bank, National Association ("JPMorgan") is a wholly-owned bank subsidiary of JPMorgan Chase & Co., a Delaware corporation whose principal office is located in New York, New York. JPMorgan is a commercial bank offering a wide range of banking services to its customers both domestically and internationally. It is chartered, and its business is subject to examination and regulation, by the Office of the Comptroller of the Currency. JPMorgan's main office is located in Columbus, Ohio. It is a member of the Federal Reserve System and its deposits are insured by the Federal Deposit Insurance Corporation. Prior to January 1, 2005, JPMorgan formed Chase Home Finance LLC ("CHF"), a wholly-owned, limited liability company. Prior to January 1, 2005, Chase Manhattan Mortgage Corporation ("CMMC") was engaged in the mortgage origination and servicing businesses. On January 1, 2005, CMMC merged with and into CHF with CHF as the surviving entity. JPMorgan will be the servicer of all originations and servicing rights purchases occurring on or after January 1, 2005 and will engage CHF as its subservicer. CHF is engaged in the business of servicing mortgage loans and will continue to directly service its servicing portfolio existing prior to January 1, 2005. In its capacity as a servicer, JPMorgan will be responsible for servicing the Mortgage Loans in accordance with the terms set forth in the pooling and servicing agreement. JPMorgan may perform any or all of its obligations under the pooling and servicing agreement through one or more subservicers. JPMorgan has engaged CHF as its subservicer to perform loan servicing activities for the Mortgage Loans on its behalf. S-78
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JPMorgan will remain liable for its servicing duties and obligations under the pooling and servicing agreement as if JPMorgan alone were servicing the Mortgage Loans. Chase Home Finance LLC Due to the recent restructuring of its mortgage operations JPMorgan does not have meaningful historical servicing data. As a result and due to JPMorgan's engagement of CHF as its subservicer, CHF is providing below historical delinquency, foreclosure and loan loss data for its portfolio of fixed rate and adjustable rate subprime mortgage loans which were originated or purchased by CHF and subsequently securitized in asset-backed transactions (the "CHF Subprime Securitized Servicing Portfolio"). The CHF Subprime Securitized Servicing Portfolio represents only a portion of the total servicing portfolio of CHF and many of the mortgage loans in the CHF Subprime Securitized Servicing Portfolio have not been outstanding long enough to experience the level of delinquencies, foreclosures and loan losses which might be expected to occur on a larger, more seasoned portfolio of mortgage loans which were underwritten, originated and serviced in a manner similar to the mortgage loans in the CHF Subprime Securitized Servicing Portfolio. Because of the relatively small size and relative lack of seasoning of the CHF Subprime Securitized Servicing Portfoio, there can be no assurance that the delinquency, foreclosure and loan loss experience on the Mortgage Loans subserviced by CHF for JPMorgan in this transaction will correspond to the delinquency, foreclosure and loan loss experience shown in the tables below, and the actual delinquency, foreclosure and loan loss experience on the Mortgage Loans subserviced by CHF for JPMorgan in this transaction could be significantly worse. Moreover, the Mortgage Loans subserviced by CHF for JPMorgan in this transaction were acquired by the seller from various originators and were not originated by CHF and as a result, the actual delinquency, loss and foreclosure experience on such mortgage loans could be significantly worse than the delinquency, foreclosure and loan loss experience shown in the tables below. CHF Subprime Securitized Servicing Portfolio The following tables contain information relating to the delinquency, loan loss and foreclosure experience with respect to the CHF Subprime Securitized Servicing Portfolio. DELINQUENCY AND FORECLOSURE EXPERIENCE OF THE CHF SUBPRIME SECURITIZED SERVICING PORTFOLIO (DOLLARS IN THOUSANDS) [Enlarge/Download Table] -------------------------------------------------------------------------------------------------- AS OF JUNE 30, 2005 AS OF DECEMBER 31, 2004 AS OF DECEMBER 31, 2003 AS OF DECEMBER 31, 2002 ------------------- ----------------------- ----------------------- ----------------------- Number Dollar Number Dollar Number Dollar Number Dollar of Loans Amount of Loans Amount of Loans Amount of Loans Amount -------- ------ -------- ------ -------- ------ -------- ------ Portfolio............. 60,264 $7,268,961 75,898 $9,388,238 90,370 $11,146,244 73,597 $8,326,818 Delinquency 30-59 Days......... 2.43% 1.98% 2.41% 1.83% 2.40% 1.83% 2.69% 2.28% 60-89 Days......... 0.67% 0.48% 0.70% 0.54% 0.84% 0.66% 0.86% 0.72% 90 Days or more.... 1.80% 1.26% 1.75% 1.31% 1.43% 1.15% 1.41% 1.21% ---- ---- ---- ---- ---- ---- ----- ---- Total................. 4.90% 3.72% 4.86% 3.68% 4.67% 3.64% 4.96% 4.21% ==== ==== ==== ==== ==== ==== ==== ==== Foreclosure rate...... 2.64% 2.21% 2.72% 2.20% 2.47% 2.06% 2.65% 2.48% REO Properties........ 441 N/A 504 N/A 532 N/A 480 N/A The period of delinquency is based on the number of days payments are contractually past due. The delinquency statistics for the period exclude loans in foreclosure. The portfolio statistics set forth above exclude REO Properties. The foreclosure rate reflects the number of mortgage loans in foreclosure as a percentage of the total number of mortgage loans or the dollar amount of mortgage loans in foreclosure as a percentage of the total S-79
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dollar amount of mortgage loans, as the case may be, as of the date indicated. REO properties are real estate owned properties which relate to foreclosed mortgages or properties for which deeds in lieu of foreclosure have been accepted, and held by CHF pending disposition. LOAN LOSS EXPERIENCE OF THE CHF SUBPRIME SECURITIZED SERVICING PORTFOLIO (DOLLARS IN THOUSANDS) [Enlarge/Download Table] Six Months Year Ending Year Ending Year Ending Ending June 30, 2005 December 31, 2004 December 31, 2003 December 31, 2002 -------------------- ----------------- ----------------- ----------------- Average amount outstanding.................. $ 8,178,647 $ 10,443,888 $ 9,642,035 $ 7,902,732 Net losses.................................. $ 31,834 $ 73,858 $ 73,504 $ 43,458 Net losses as a percentage of average amount outstanding.................. 0.39% 0.71% 0.76% 0.55% The average amount outstanding during the period is the arithmetic average of the principal balances of the mortgage loans outstanding on the last business day of each month during the period. Net losses are amounts relating to mortgage loans which have been determined by CHF to be uncollectible, less amounts received by CHF as recoveries from liquidation proceeds and deficiency judgments. In general, during periods in which the residential real estate market is experiencing an overall decline in property values such that the principal balance of mortgage loans and any secondary financing on the related mortgaged properties become equal to or greater than the value of the related mortgaged properties, rates of delinquencies, foreclosure and losses could be significantly higher than might otherwise be the case. In addition, adverse economic conditions (which may affect real property values) may affect the timely payment by mortgagors of scheduled payments, and accordingly, the actual rates of delinquencies, foreclosures and losses with respect to the mortgage pool. Collection Procedures CHF employs a variety of collection techniques during the various stages of delinquency. The primary purpose of all collection efforts performed by CHF is to bring a delinquent mortgage loan current in as short a time as possible. Phone calls are used as the principal form of contacting a mortgagor. CHF utilizes a combination of predictive and preview dialer strategies to maximize the results of collection calling activity. Prior to initiating foreclosure proceedings, CHF makes every reasonable effort to determine the reason for the default; whether the delinquency is a temporary or permanent condition; and the mortgagors' attitude toward the obligation. CHF will take action to foreclose a mortgage only once every reasonable effort to cure the default has been made and a projection of the ultimate gain or loss on REO sale is determined. In accordance with accepted servicing practices, foreclosures are processed within individual state guidelines and in accordance with the provisions of the mortgage and applicable state law. POOLING AND SERVICING AGREEMENT GENERAL The certificates will be issued pursuant to the pooling and servicing agreement, dated as of September 1, 2005, among the depositor, the servicers, the trust administrator and the trustee, a form of which is filed as an exhibit to the registration statement. A current report on Form 8-K relating to the certificates containing a copy of the pooling and servicing agreement as executed will be filed by the depositor with the Securities and Exchange Commission following the initial issuance of the certificates. The trust created under the pooling and servicing agreement will consist of (i) all of the depositor's right, title and interest in and to the mortgage loans, the related mortgage notes, mortgages and other related documents; (ii) all payments on or collections in respect of the mortgage loans due after the cut-off date, together with any proceeds thereof; (iii) any mortgaged properties acquired on behalf of certificateholders by foreclosure or by deed-in-lieu of foreclosure, and any revenues received thereon; (iv) the rights of the trustee under all insurance policies required to be maintained pursuant to the pooling and servicing agreement; (v) the cap contracts; and (vi) the rights of the depositor S-80
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under the mortgage loan purchase agreement pursuant to which the depositor acquired the mortgage loans from the seller. Reference is made to the prospectus for important information in addition to that set forth in this prospectus supplement regarding the trust fund, the terms and conditions of the pooling and servicing agreement and the offered certificates. The depositor will provide to a prospective or actual certificateholder without charge, on written request, a copy, without exhibits, of the pooling and servicing agreement. Requests should be addressed to the Secretary, Citigroup Mortgage Loan Trust Inc., 390 Greenwich Street, 6th Floor, New York, New York 10013. ASSIGNMENT OF THE MORTGAGE LOANS Pursuant to one or more sale agreements, each originator sold the mortgage loans originated by it, directly or indirectly, without recourse, to the seller. Pursuant to an assignment and recognition agreement, the seller will sell, transfer, assign, set over and otherwise convey the mortgage loans, without recourse, to the depositor on the closing date. Pursuant to the pooling and servicing agreement, the depositor will sell, transfer, assign, set over and otherwise convey all of the mortgage loans, without recourse, to the trustee, for the benefit of the certificateholders, on the closing date. The depositor will deliver or cause to be delivered to the trustee, or to a custodian on behalf of the trustee, with respect to each mortgage loan, among other things: the mortgage note endorsed in blank, the original mortgage with evidence of recording indicated thereon and an assignment of the mortgage in blank. The assignments of mortgage will not be recorded in the offices for real property records, except as set forth in the pooling and servicing agreement. Pursuant to a related assignment and recognition agreement, the originator and/or the seller made and/or will make certain representations and warranties relating to, among other things, certain characteristics of the mortgage loans. Subject to certain limitations contained in the related assignment and recognition agreement, the originator or the seller will be obligated to repurchase or substitute a similar mortgage loan for any mortgage loan as to which there exists uncured deficient documentation or an uncured breach of any such representation or warranty, if such document deficiency or breach of any such representation or warranty materially and adversely affects the value of such mortgage loan or the interests of the certificateholders in such mortgage loan. The seller will sell, and each originator sold, the mortgage loans without recourse and neither the seller nor any originator will have any obligation with respect to the certificates, other than the cure, repurchase or substitution obligations described above and certain limited indemnification obligations. The depositor will not make any loan level representations and warranties and will not therefore have any cure, repurchase or substitution obligations with respect to any loan level representation or warranty. The assignments of mortgage will not be recorded in the offices for real property records, except as set forth in the pooling and servicing agreement. THE TRUSTEE U.S. Bank National Association, a national banking association, will be named trustee under the pooling and servicing agreement. The Trustee's offices for notices under the pooling and servicing agreement are located at 60 Livingston Avenue, EP-MN-WS3D, St. Paul, MN 55107, and its telephone number is (800) 934-6802. As compensation to the trustee in respect of its obligations under the pooling and servicing agreement, the trustee's fees will be paid by the trust administrator pursuant to a separate agreement between the trustee and the trust administrator, and such compensation will not be an expense of the trust. S-81
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The trust will provide certain indemnifications to the trustee which may reduce amounts otherwise distributable to certificateholders. See "--Indemnification of the Trustee, the Trust Administrator and any Custodian" below. THE TRUST ADMINISTRATOR Citibank, N.A., a national banking association, referred to in this prospectus supplement as Citibank or the Trust Administrator, will act as trust administrator for the certificates pursuant to the pooling and servicing agreement. The trust administrator will perform certain administrative functions on behalf of the trustee. The trust administrator's offices for notices under the pooling and servicing agreement are located 388 Greenwich Street, 14th Floor, New York, New York 10013, Attention: Citibank Agency & Trust, and its telephone number is (212) 816-5680. In the event any servicer defaults in the performance of its obligations pursuant to the terms of the pooling and servicing agreement prior to the appointment of a successor, the trust administrator will be obligated to perform such obligations until a successor servicer is appointed. The principal compensation to be paid to the trust administrator in respect of its obligations under the pooling and servicing agreement will be equal to certain investment earnings on the amounts on deposit in the certificate account. The trust will provide certain indemnifications to the trust administrator which may reduce amounts otherwise distributable to certificateholders. See "--Indemnification of the Trustee, the Trust Administrator and any Custodian" below. INDEMNIFICATION OF THE TRUSTEE, THE TRUST ADMINISTRATOR AND ANY CUSTODIAN The pooling and servicing agreement will provide that the trustee, the trust administrator and any director, officer, employee or agent of the trustee or the trust administrator will be indemnified by the trust and will be held harmless against any loss, liability or expense (not including expenses, disbursements and advances incurred or made by the trustee or the trust administrator, as applicable, including the compensation and the expenses and disbursements of such party's agents and counsel, in the ordinary course of such party's performance in accordance with the provisions of the pooling and servicing agreement) incurred by the trustee or the trust administrator, as applicable, arising out of or in connection with the acceptance or administration of its obligations and duties under the pooling and servicing agreement, other than any loss, liability or expense (i) resulting from a breach of a servicers' obligations and duties under the pooling and servicing agreement, for which the trustee or the trust administrator, as applicable, is indemnified by the related servicer under the pooling and servicing agreement or (ii) incurred by reason of willful misfeasance, bad faith or negligence of the trustee or the trust administrator, as applicable, in the performance of its duties under the pooling and servicing agreement or by reason of the reckless disregard by the trustee or the trust administrator, as applicable, of its obligations and duties under the pooling and servicing agreement or as a result of a breach by the trustee or the trust administrator, as applicable, of certain of its obligations or covenants under the pooling and servicing agreement with respect to REMIC administration or REMIC protection. The pooling and servicing agreement will provide that amounts owing from the trust to the trustee or the trust administrator in respect of the foregoing indemnification may be withdrawn and paid to the trustee or the trust administrator, as applicable, prior to the making of distributions to certificateholders. In addition, any custodian of the mortgage files will be indemnified by the trust to the same degree as the trustee or the trust administrator would be indemnified as described above were it performing custodian functions itself pursuant to the pooling and servicing agreement. Furthermore, to the extent set forth in the pooling and servicing agreement, each servicer will be entitled to be indemnified by the trust against losses, liabilities or expenses incurred in connection with legal actions relating to the pooling and servicing agreement. S-82
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THE CREDIT RISK MANAGER The Murrayhill Company, a Colorado corporation, as credit risk manager for the trust will monitor the performance of the servicers, and make recommendations to the servicers regarding certain delinquent and defaulted mortgage loans and will report on the performance of such mortgage loans, pursuant to a credit risk management agreement to be entered into by the credit risk manager and each servicer on or prior to the closing date. The credit risk manager will rely upon mortgage loan data that is provided to it by the servicers in performing its advisory and monitoring functions. The credit risk manager will be entitled to receive the credit risk manager fee until the termination of the trust or until its removal by a vote of at least 66 2/3% of the certificateholders. Such fee will be paid by the trust and will be equal to a per annum percentage of the then current aggregate principal balance of the mortgage loans. SERVICING AND OTHER COMPENSATION AND PAYMENT OF EXPENSES Each servicer will be entitled to receive a fee as compensation for its servicing activities under the pooling and servicing agreement equal to the servicing fee rate multiplied by the scheduled principal balance of each mortgage loan serviced by such servicer as of the due date in the month preceding the month in which such distribution date occurs. The Servicing Fee Rate for each mortgage loan will be determined as described in the definition of Servicing Fee Rate under "Description of the Certificates--Glossary" in this prospectus supplement. As additional servicing compensation, each servicer may be entitled to retain all assumption fees, tax service fees and late payment charges, all to the extent collected from mortgagors and as provided in the pooling and servicing agreement. In addition, HomEq will be entitled to prepayment interest excess as provided in the pooling and servicing agreement. Each servicer will pay all related expenses incurred in connection with its servicing responsibilities, subject to limited reimbursement as described in the pooling and servicing agreement. Each servicer is obligated to offset any Prepayment Interest Shortfall in respect of certain prepayments of mortgage loans serviced by such servicer, to the extent set forth in the pooling and servicing agreement. The related servicer is obligated to pay certain insurance premiums and certain ongoing expenses associated with the related mortgage loans incurred by such servicer in connection with its responsibilities under the pooling and servicing agreement, and is entitled to reimbursement therefor as provided in the pooling and servicing agreement. See "Description of the Securities--Retained Interest; Servicing or Administration Compensation and Payment of Expenses" in the prospectus for information regarding expenses payable by the servicers and "Federal Income Tax Consequences" in this prospectus regarding certain taxes payable by the trust administrator. VOTING RIGHTS At all times, 98% of all voting rights will be allocated among the holders of the Floating Rate Certificates and the Class CE Certificates in proportion to the then outstanding Certificate Principal Balances of their respective certificates, 1% of all voting rights will be allocated to the holders of the Class P Certificates in proportion to the then outstanding Certificate Principal Balances of their respective certificates and 1% of all voting rights will be allocated among the holders of the Residual Certificates, in each case in proportion to the percentage interests in such classes evidenced by their respective certificates. TERMINATION The majority holder of the Class X Certificates or if such majority holder fails to exercise such right, any servicer, will have the right to purchase all of the mortgage loans and any REO properties on any distribution date once the aggregate principal balance of the mortgage loans and REO properties at the time of S-83
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purchase is reduced to less than 10% of the aggregate principal balance of the mortgage loans as of the cut-off date. If such option is exercised, such election will effect both the termination of the trust and the early retirement of the certificates. In the event such option is exercised, the purchase price payable in connection therewith generally will be equal to the greater of (i) the aggregate stated principal balance of the mortgage loans and the fair market value of any REO properties, plus accrued interest for each mortgage loan at the related mortgage rate to but not including the first day of the month in which the purchase price is distributed, together with any amounts due to the servicer for any unreimbursed servicing advances and (ii) the aggregate fair market value of all of the assets in the trust. However, this option may only be exercised if the termination price is sufficient to pay all interest accrued on, as well as amounts necessary to retire the principal balance of, any net interest margin securities to be issued by a separate trust and secured by all or a portion of the Class CE Certificates and Class P Certificates. In the event such option is exercised, the portion of the purchase price allocable to the certificates of each class will be, to the extent of available funds: o in the case of each class of certificates, 100% of the then outstanding Certificate Principal Balance thereof, plus o in the case of each class of certificates, one month's interest on the then outstanding Certificate Principal Balance thereof at the then applicable pass-through rate for that class and any previously accrued but unpaid interest thereon. In no event will the trust created by the pooling and servicing agreement continue beyond the expiration of 21 years from the death of the survivor of the persons named in the pooling and servicing agreement. See "Description of the Securities--Termination" in the prospectus. FEDERAL INCOME TAX CONSEQUENCES One or more elections will be made to treat designated portions of the trust (exclusive of the Net WAC Rate Carryover Reserve Account and the cap contracts) as a real estate mortgage investment conduit, or REMIC, for federal income tax purposes. Upon the issuance of the offered certificates, Thacher Proffitt & Wood LLP, counsel to the depositor, will deliver its opinion generally to the effect that, assuming compliance with all provisions of the pooling and servicing agreement, for federal income tax purposes, each REMIC created under the pooling and servicing agreement will qualify as a REMIC under Sections 860A through 860G of the Code. For federal income tax purposes, (i) the Residual Certificates will consist of components, each of which will represent the sole class of "residual interests" in related REMICs elected by the trust and (ii) the Certificates other than the Residual Certificates (exclusive of any right to receive payments from the Net WAC Rate Carryover Reserve Account) will represent ownership of "regular interests" in, and generally will be treated as debt instruments of a REMIC. See "Federal Income Tax Consequences--REMIC--Classification of REMICs" in the prospectus. For federal income tax reporting purposes, the Class A-2A, Class M-8 and Class M-9 Certificates may, the Class M-10 Certificates will, and the remaining classes of offered certificates will not, be treated as having been issued with original issue discount. The prepayment assumption that will be used in determining the rate of accrual of original issue discount, premium and market discount, if any, for federal income tax purposes will be based on the assumption that, subsequent to the date of any determination, the mortgage loans will prepay at a rate equal to the Prepayment Assumption. No representation is made that the mortgage loans will prepay at that rate or at any other rate. See "Federal Income Tax Consequences--REMICs--Taxation of Owners of REMIC Regular Certificates--Original Issue Discount" in the prospectus. The Internal Revenue Service, or IRS, has issued OID regulations under Sections 1271 to 1275 of the Code generally addressing the treatment of debt instruments issued with original issue discount. Each holder of a Floating Rate Certificate is deemed to own an undivided beneficial ownership interest in a REMIC regular interest and the right to receive payments from the Net WAC Rate Carryover S-84
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Reserve Account in respect of the Net WAC Rate Carryover Amount. The Net WAC Rate Carryover Reserve Account is not an asset of any REMIC. The treatment of amounts received by a holder of a Floating Rate Certificate under such holder's right to receive the Net WAC Rate Carryover Amount, will depend on the portion, if any, of such holder's purchase price allocable thereto. Under the REMIC Regulations, each holder of a Floating Rate Certificate must allocate its purchase price for the Floating Rate Certificate among its undivided interest in the regular interest of the related REMIC and its undivided interest in the right to receive payments from the Net WAC Rate Carryover Reserve Account in respect of the Net WAC Rate Carryover Amount in accordance with the relative fair market values of each property right. The trust administrator will, as required, treat payments made to the holders of the Floating Rate Certificates with respect to the Net WAC Rate Carryover Amount, as includible in income based on the regulations relating to notional principal contracts (the "Notional Principal Contract Regulations"). The OID Regulations provide that the Trust's allocation of the issue price is binding on all holders unless the holder explicitly discloses on its tax return that its allocation is different from the Trust's allocation. For tax reporting purposes, the trust administrator may, as required, treat the right to receive payments from the Net WAC Rate Carryover Reserve Account in respect of Net WAC Rate Carryover Amounts as having more than a de minimis value. Upon request, the trust administrator will make available information regarding such amounts as has been provided to it. Under the REMIC Regulations, the trust administrator is required to account for the REMIC regular interest, the right to receive payments from the Net WAC Rate Carryover Reserve Account in respect of the Net WAC Rate Carryover Amount as discrete property rights. Holders of the Floating Rate Certificates are advised to consult their own tax advisors regarding the allocation of issue price, timing, character and source of income and deductions resulting from the ownership of such Certificates. Treasury regulations have been promulgated under Section 1275 of the Code generally providing for the integration of a "qualifying debt instrument" with a hedge if the combined cash flows of the components are substantially equivalent to the cash flows on a variable rate debt instrument. However, such regulations specifically disallow integration of debt instruments subject to Section 1272(a)(6) of the Code. Therefore, holders of the Floating Rate Certificates will be unable to use the integration method provided for under such regulations with respect to those Certificates. If the trust administrator's treatment of payments of the Net WAC Rate Carryover Amount is respected, ownership of the right to the Net WAC Rate Carryover Amount will entitle the owner to amortize the price paid for the right to the Net WAC Rate Carryover Amount under the Notional Principal Contract Regulations. Upon the sale of a Floating Rate Certificate the amount of the sale allocated to the selling certificateholder's right to receive payments from the Net WAC Rate Carryover Reserve Account in respect of the Net WAC Rate Carryover Amount would be considered a "termination payment" under the Notional Principal Contract Regulations allocable to the related Floating Rate Certificate, as the case may be. A holder of a Floating Rate Certificate will have gain or loss from such a termination of the right to receive payments from the Net WAC Rate Carryover Reserve Account in respect of the Net WAC Rate Carryover Amount equal to (i) any termination payment it received or is deemed to have received minus (ii) the unamortized portion of any amount paid (or deemed paid) by the certificateholder upon entering into or acquiring its interest in the right to receive payments from the Net WAC Rate Carryover Reserve Account in respect of the Net WAC Rate Carryover Amount. Gain or loss realized upon the termination of the right to receive payments from the Net WAC Rate Carryover Reserve Account in respect of the Net WAC Rate Carryover Amount will generally be treated as capital gain or loss. Moreover, in the case of a bank or thrift institution, Code Section 582(c) would likely not apply to treat such gain or loss as ordinary. It is possible that the right to receive payments in respect of the Net WAC Rate Carryover Amounts could be treated as a partnership among the holders of the Floating Rate Certificates, in which case holders of such Certificates potentially would be subject to different timing of income and foreign holders of such Certificates could be subject to withholding in respect of any related Net WAC Rate Carryover Amount. Holders of the Floating Rate Certificates are advised to consult their own tax advisors regarding the allocation S-85
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of issue price, timing, character and source of income and deductions resulting from the ownership of their Certificates. With respect to the Floating Rate Certificates, this paragraph is relevant to such Certificates exclusive of the rights of the holders of such Certificates to receive certain payments in respect of the Net WAC Rate Carryover Amount. The offered certificates may be treated for federal income tax purposes as having been issued with a premium. Certificateholders may elect to amortize such premium under a constant yield method in which case such amortizable premium will generally be allocated among the interest distributions on such certificates and will be applied as an offset against the interest distributions. See "Federal Income Tax Consequences--REMICs--Taxation of Owners of REMIC Regular Certificates--Premium" in the prospectus. The offered certificates will be treated as assets described in Section 7701(a)(19)(C) of the Code and "real estate assets" under Section 856(c)(4)(A) of the Code, generally in the same proportion that the assets in the related trust fund would be so treated. In addition, interest on the offered certificates will be treated as "interest on obligations secured by mortgages on real property" under Section 856(c)(3)(B) of the Code, generally to the extent that the offered certificates are treated as "real estate assets" under Section 856(c)(4)(A) of the Code. The offered certificates (other than the Residual Certificates) also will be treated as "qualified mortgages" under Section 860G(a)(3) of the Code. See "Federal Income Tax Consequences--REMICs-- Characterization of Investments in REMIC Certificates" in the prospectus. It is not anticipated that the REMIC will engage in any transactions that would subject it to the prohibited transactions tax as defined in Section 860F(a)(2) of the Code, the contributions tax as defined in Section 860G(d) of the Code or the tax on net income from foreclosure property as defined in Section 860G(c) of the Code. However, in the event that any such tax is imposed on the REMIC, the tax will be borne (i) by the trustee, if the trustee has breached its obligations with respect to REMIC compliance under the pooling and servicing agreement, (ii) by the trust administrator, if the trust administrator has breached its obligations with respect to REMIC compliance under the pooling and servicing agreement, (iii) by the servicers, if the servicers have breached their obligations with respect to REMIC compliance under the pooling and servicing agreement, or (iv) otherwise by the trust fund, with a resulting reduction in amounts otherwise distributable to holders of the certificates. See "Description of the Securities--General" and "Federal Income Tax Consequences --REMICs--Prohibited Transactions Tax and Other Taxes" in the prospectus. The responsibility for filing annual federal information returns and other reports will be generally borne by the trust administrator. See "Federal Income Tax Consequences--REMICs--Reporting and Other Administrative Matters" in the prospectus. For further information regarding the federal income tax consequences of investing in the offered certificates, see "Federal Income Tax Consequences--REMICs" in the prospectus. METHOD OF DISTRIBUTION Subject to the terms and conditions set forth in the underwriting agreement, dated September 9, 2005, the depositor has agreed to sell, and the underwriter has agreed to purchase the offered certificates. The underwriter is obligated to purchase all offered certificates offered hereby if it purchases any. The underwriter is an affiliate of the depositor. Distribution of the offered certificates will be made from time to time in negotiated transactions or otherwise at varying prices to be determined at the time of sale. Proceeds to the depositor from the sale of the offered certificates, before deducting expenses payable by the depositor, will be approximately 99.75% of the aggregate initial Certificate Principal Balance of the offered certificates. In connection with the purchase and sale of the offered certificates, the underwriter may be deemed to have received compensation from the depositor in the form of underwriting discounts. S-86
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The offered certificates are offered subject to receipt and acceptance by the underwriter, to prior sale and to the underwriter's right to reject any order in whole or in part and to withdraw, cancel or modify the offer without notice. It is expected that delivery of the offered certificates will be made through the facilities of DTC, Clearstream and Euroclear on or about the closing date. The offered certificates will be offered in Europe and the United States of America. The underwriting agreement provides that the depositor will indemnify the underwriter against certain civil liabilities, including liabilities under the Securities Act of 1933, as amended, or will contribute to payments the underwriter may be required to make in respect thereof. SECONDARY MARKET There is currently no secondary market for the offered certificates and there can be no assurance that a secondary market for the offered certificates will develop or, if it does develop, that it will continue. The underwriter intends to establish a market in the offered certificates, but is not obligated to do so. The primary source of information available to investors concerning the offered certificates will be the monthly statements discussed in this prospectus supplement under "Description of the Certificates--Reports to Certificateholders," which will include information as to the outstanding Certificate Principal Balance or Notional Amount of the offered certificates and the status of the credit enhancement. There can be no assurance that any additional information regarding the offered certificates will be available through any other source. In addition, the depositor is not aware of any source through which price information about the offered certificates will be generally available on an ongoing basis. The limited nature of such information regarding the offered certificates may adversely affect the liquidity of the offered certificates, even if a secondary market for the offered certificates becomes available. LEGAL OPINIONS Legal matters relating to the offered certificates will be passed upon for the depositor and the underwriter by Thacher Proffitt & Wood LLP, New York, New York. RATINGS It is a condition to the issuance of the certificates that each class of the offered certificates be rated not lower than the initial rating indicated for such class in the table under "Summary of Prospectus Supplement--Ratings." The ratings assigned to mortgage pass-through certificates address the likelihood of the receipt by certificateholders of all distributions to which the certificateholders are entitled. The rating process addresses structural and legal aspects associated with the certificates, including the nature of the underlying mortgage loans. The ratings assigned to mortgage pass-through certificates do not represent any assessment of the likelihood that principal prepayments will be made by the mortgagors or the degree to which these prepayments will differ from that originally anticipated or the corresponding effect on yield to investors. The ratings on the offered certificates do not address the likelihood of any recovery of Net WAC Rate Carryover Amounts by holders of such certificates. A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time by the assigning rating organization. Each security rating should be evaluated independently of any other security rating. In the event that the ratings initially assigned to the offered certificates are subsequently lowered for any reason, no person or entity is obligated to provide any additional credit support or credit enhancement with respect to the offered certificates. The depositor has not requested that any rating agency rate the offered certificates other than as stated above. However, there can be no assurance as to whether any other rating agency will rate the offered certificates, or, if it does, what rating would be assigned by any other rating agency. A rating on the offered S-87
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certificates by another rating agency, if assigned at all, may be lower than the ratings assigned to the offered certificates as described in this section. LEGAL INVESTMENT The offered certificates will not constitute "mortgage related securities" for purposes of SMMEA. The depositor makes no representations as to the proper characterization of any class of offered certificates for legal investment or other purposes, or as to the ability of particular investors to purchase any class of offered certificates under applicable legal investment restrictions. These uncertainties may adversely affect the liquidity of any class of offered certificates. Accordingly, all institutions whose investment activities are subject to legal investment laws and regulations, regulatory capital requirements or review by regulatory authorities should consult with their legal advisors in determining whether and to what extent any class of offered certificates constitutes a legal investment or is subject to investment, capital or other restrictions. See "Legal Investment" in the prospectus. CONSIDERATIONS FOR BENEFIT PLAN INVESTORS A fiduciary of any ERISA plan, IRA, Keogh plan or government plan, collectively referred to here as "benefit plans," or any insurance company, whether through its general or separate accounts, or any other person investing benefit plan assets of any benefit plan, should carefully review with its legal advisors whether the purchase or holding of offered certificates could give rise to a transaction prohibited or not otherwise permissible under ERISA or Section 4975 of the Code. The purchase or holding of the offered certificates by or on behalf of, or with benefit plan assets of, a benefit plan may qualify for exemptive relief under the Underwriter's Exemption, as described under "Considerations for Benefit Plan Investors--Possible Exemptive Relief" in the prospectus. The Underwriter's Exemption relevant to the offered certificates was granted by the Department of Labor on April 18, 1991 as PTE 91-23 at 56 F. R. 15,936 and amended on July 21, 1997 as PTE 97-34 at 62 F. R. 39021 and further amended on November 13, 2000 by PTE 2000-58 at 65 F.R. 67765. The Underwriter's Exemption was amended further on August 22, 2002 by PTE 2001-41, 67 Fed. Reg. 54487 to permit a trustee to be affiliated with an underwriter despite the restriction in PTE 2000-58 to the contrary. However, the Underwriter's Exemption contains a number of conditions which must be met for the exemption to apply, including the requirements that the investing benefit plan must be an "accredited investor" as defined in Rule 501(a)(1) of Regulation D of the Securities and Exchange Commission under the Securities Act and that the offered certificates be rated at least "BBB-" (or its equivalent) by S&P, Moody's or Fitch, at the time of the benefit plan's purchase. Each beneficial owner of a Mezzanine Certificate or any interest therein will be deemed to have represented, by virtue of its acquisition or holding of such certificate or interest therein, that either (i) it is not a benefit plan investor, (ii) it has acquired and is holding the related Mezzanine Certificate or interest therein in reliance on the Underwriter's Exemption, and that it understands that there are certain conditions to the availability of the Underwriter's Exemption, including that the applicable Mezzanine Certificate must be rated, at the time of purchase, not lower than "BBB-" (or its equivalent) by Fitch, Moody's or S&P and that such certificate is so rated or (iii) (1) it is an insurance company, (2) the source of funds used to acquire or hold the certificate or interest therein is an "insurance company general account," as such term is defined in PTCE 95-60, and (3) the conditions in Sections I and III of PTCE 95-60 have been satisfied. If any certificate or any interest therein is acquired or held in violation of the conditions described in the preceding paragraph, the next preceding permitted beneficial owner will be treated as the beneficial owner of that certificate, retroactive to the date of transfer to the purported beneficial owner. Any purported beneficial owner whose acquisition or holding of any such certificate or interest therein was effected in violation of the conditions described in the preceding paragraph will indemnify and hold harmless the S-88
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depositor, the trustee, the trust administrator, the servicers, any subservicer and the trust from and against any and all liabilities, claims, costs or expenses incurred by those parties as a result of that acquisition or holding. Before purchasing an offered certificate, a fiduciary of a benefit plan should itself confirm that the offered certificate constitutes a "security" for purposes of the Underwriter's Exemption and that the specific and general conditions of the Underwriter's Exemption and the other requirements set forth in the Underwriter's Exemption would be satisfied. Any benefit plan fiduciary that proposes to cause a benefit plan to purchase a certificate should consult with its counsel with respect to the potential applicability to such investment of the fiduciary responsibility and prohibited transaction provisions of ERISA and the Code to the proposed investment. For further information regarding the ERISA considerations of investing in the certificates, see "Considerations for Benefit Plan Investors" in the prospectus. S-89
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ANNEX I GLOBAL CLEARANCE, SETTLEMENT AND TAX DOCUMENTATION PROCEDURES Except in certain limited circumstances, the globally offered Citigroup Mortgage Loan Trust, Asset- Backed Pass-Through Certificates, Series 2005-HE3 will be available only in book-entry form. The offered certificates are referred to in this Annex I as Global Securities. Investors in the Global Securities may hold such Global Securities through any of DTC, Clearstream or Euroclear. The Global Securities will be traceable as home market instruments in both the European and U.S. domestic markets. Initial settlement and all secondary trades will settle in same-day funds. Secondary market trading between investors through Clearstream and Euroclear will be conducted in the ordinary way in accordance with the normal rules and operating procedures of Clearstream and Euroclear and in accordance with conventional eurobond practice (i.e., seven calendar day settlement). Secondary market trading between investors through DTC will be conducted according to DTC's rules and procedures applicable to U.S. corporate debt obligations. Secondary cross-market trading between Clearstream or Euroclear and DTC Participants holding certificates will be effected on a delivery-against-payment basis through the respective Depositaries of Clearstream and Euroclear (in such capacity) and as DTC Participants. Non-U.S. holders (as described below) of Global Securities will be subject to U.S. withholding taxes unless such holders meet certain requirements and deliver appropriate U.S. tax documents to the securities clearing organizations or their participants. INITIAL SETTLEMENT All Global Securities will be held in book-entry form by DTC in the name of Cede & Co. as nominee of DTC. Investors' interests in the Global Securities will be represented through financial institutions acting on their behalf as direct and indirect Participants in DTC. As a result, Clearstream and Euroclear will hold positions on behalf of their participants through their Relevant Depositary which in turn will hold such positions in their accounts as DTC Participants. Investors electing to hold their Global Securities through DTC will follow DTC settlement practices. Investor securities custody accounts will be credited with their holdings against payment in same-day funds on the settlement date. Investors electing to hold their Global Securities through Clearstream or Euroclear accounts will follow the settlement procedures applicable to conventional eurobonds, except that there will be no temporary global security and no "lock-up" or restricted period. Global Securities will be credited to the securities custody accounts on the settlement date against payment in same-day funds. SECONDARY MARKET TRADING Since the purchaser determines the place of delivery, it is important to establish at the time of the trade where both the purchaser's and seller's accounts are located to ensure that settlement can be made on the desired value date. Trading between DTC Participants. Secondary market trading between DTC Participants will be settled using the procedures applicable to prior mortgage loan asset-backed certificates issues in same-day funds. I-1
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Trading between Clearstream and/or Euroclear Participants. Secondary market trading between Clearstream Participants or Euroclear Participants will be settled using the procedures applicable to conventional eurobonds in same-day funds. Trading between DTC, Seller and Clearstream or Euroclear Participants. When Global Securities are to be transferred from the account of a DTC Participant to the account of a Clearstream Participant or a Euroclear Participant, the purchaser will send instructions to Clearstream or Euroclear through a Clearstream Participant or Euroclear Participant at least one business day prior to settlement. Clearstream or Euroclear will instruct the Relevant Depositary, as the case may be, to receive the Global Securities against payment. Payment will include interest accrued on the Global Securities from and including the last coupon payment date to and excluding the settlement date, on the basis of the actual number of days in such accrual period and a year assumed to consist of 360 days. For transactions settling on the 31st of the month, payment will include interest accrued to and excluding the first day of the following month. Payment will then be made by the Relevant Depositary to the DTC Participant's account against delivery of the Global Securities. After settlement has been completed, the Global Securities will be credited to the respective clearing system and by the clearing system, in accordance with its usual procedures, to the Clearstream Participant's or Euroclear Participant's account. The securities credit will appear the next day (European time) and the cash debt will be back-valued to, and the interest on the Global Securities will accrue from, the value date (which would be the preceding day when settlement occurred in New York). If settlement is not completed on the intended value date (i.e., the trade fails), the Clearstream or Euroclear cash debt will be valued instead as of the actual settlement date. Clearstream Participants and Euroclear Participants will need to make available to the respective clearing systems the funds necessary to process same-day funds settlement. The most direct means of doing so is to preposition funds for settlement, either from cash on hand or existing lines of credit, as they would for any settlement occurring within Clearstream or Euroclear. Under this approach, they may take on credit exposure to Clearstream or Euroclear until the Global Securities are credited to their account one day later. As an alternative, if Clearstream or Euroclear has extended a line of credit to them, Clearstream Participants or Euroclear Participants can elect not to preposition funds and allow that credit line to be drawn upon to finance settlement. Under this procedure, Clearstream Participants or Euroclear Participants purchasing Global Securities would incur overdraft charges for one day, assuming they cleared the overdraft when the Global Securities were credited to their accounts. However, interest on the Global Securities would accrue from the value date. Therefore, in many cases, the investment income on the Global Securities earned during that one-day period may substantially reduce or offset the amount of such overdraft charges, although the result will depend on each Clearstream Participant's or Euroclear Participant's particular cost of funds. Since the settlement is taking place during New York business hours, DTC Participants can employ their usual procedures for crediting Global Securities to the respective European Depositary for the benefit of Clearstream Participants or Euroclear Participants. The sale proceeds will be available to the DTC seller on the settlement date. Thus, to the DTC Participants a cross-market transaction will settle no differently than a trade between two DTC Participants. Trading between Clearstream or Euroclear Seller and DTC Purchaser. Due to time zone differences in their favor, Clearstream Participants and Euroclear Participants may employ their customary procedures for transactions in which Global Securities are to be transferred by the respective clearing system, through the respective Depositary, to a DTC Participant. The seller will send instructions to Clearstream or Euroclear through a Clearstream Participant or Euroclear Participant at least one business day prior to settlement. In these cases Clearstream or Euroclear will instruct the respective Depositary, as appropriate, to credit the Global Securities to the DTC Participant's account against payment. Payment will include interest accrued on the Global Securities from and including the last coupon payment to and excluding the settlement date on the basis of the actual number of days in such accrual period and a year assumed to consist to 360 days. For transactions I-2
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settling on the 31st of the month, payment will include interest accrued to and excluding the first day of the following month. The payment will then be reflected in the account of Clearstream Participant or Euroclear Participant the following day, and receipt of the cash proceeds in the Clearstream Participant's or Euroclear Participant's account would be back-valued to the value date (which would be the preceding day, when settlement occurred in New York). Should the Clearstream Participant or Euroclear Participant have a line of credit with its respective clearing system and elect to be in debt in anticipation of receipt of the sale proceeds in its account, the back-valuation will extinguish any overdraft incurred over that one-day period. If settlement is not completed on the intended value date (i.e., the trade fails), receipt of the cash proceeds in the Clearstream Participant's or Euroclear Participant's account would instead be valued as of the actual settlement date. Finally, day traders that use Clearstream or Euroclear and that purchase Global Securities from DTC Participants for delivery to Clearstream Participants or Euroclear Participants should note that these trades would automatically fail on the sale side unless affirmative action is taken. At least three techniques should be readily available to eliminate this potential problem: o borrowing through Clearstream or Euroclear for one day (until the purchase side of the trade is reflected in their Clearstream or Euroclear accounts) in accordance with the clearing system's customary procedures; o borrowing the Global Securities in the U.S. from a DTC Participant no later than one day prior to settlement, which would give the Global Securities sufficient time to be reflected in their Clearstream or Euroclear account in order to settle the sale side of the trade; or o staggering the value dates for the buy and sell sides of the trade so that the value date for the purchase from the DTC Participant is at least one day prior to the value date for the sale to the Clearstream Participant or Euroclear Participant. CERTAIN U.S. FEDERAL INCOME TAX DOCUMENTATION REQUIREMENTS A beneficial owner of Global Securities holding securities through Clearstream or Euroclear (or through DTC if the holder has an address outside the U.S.) will be subject to the 30% U.S. withholding tax that generally applies to payments of interest (including original issue discount) on registered debt issued by U.S. Persons, unless (i) each clearing system, bank or other financial institution that holds customers' securities in the ordinary course of its trade or business in the chain of intermediaries between such beneficial owner and the U.S. entity required to withhold tax complies with applicable certification requirements and (ii) such beneficial owner takes one of the following steps to obtain an exemption or reduced tax rate: Exemption for non-U.S. Persons (Form W-8BEN). Beneficial owners of Global Securities that are non-U.S. Persons can obtain a complete exemption from the withholding tax by filing a signed Form W-8BEN (Certificate of Foreign Status of Beneficial Owner for United States Tax Withholding). If the information shown on Form W-8BEN changes, a new Form W-8BEN must be filed within 30 days of such change. Exemption for non-U.S. Persons with effectively connected income (Form W-8ECI). A non-U.S. Person, including a non-U.S. corporation or bank with a U.S. branch, for which the interest income is effectively connected with its conduct of a trade or business in the United States, can obtain an exemption from the withholding tax by filing Form W-8ECI (Certificate of Foreign Person's Claim for Exemption from Withholding on Income Effectively Connected with the Conduct of a Trade or Business in the United States). I-3
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Exemption or reduced rate for non-U.S. Persons resident in treaty countries (Form W-8BEN). Non-U.S. Persons that are Certificate Owners residing in a country that has a tax treaty with the United States can obtain an exemption or reduced tax rate (depending on the treaty terms) by filing Form W-8BEN (Certificate of Foreign Status of Beneficial Owner for United States Tax Withholding). Form W-8BEN may be filed by the Certificate Owners or their agents. Exemption for U.S. Persons (Form W-9). U.S. Persons can obtain a complete exemption from the withholding tax by filing Form W-9 (Payer's Request for Taxpayer Identification Number and Certification). U.S. FEDERAL INCOME TAX REPORTING PROCEDURE. The Certificate Owner of a Global Security files by submitting the appropriate form to the person through whom it holds (the clearing agency, in the case of persons holding directly on the books of the clearing agency) the Global Security. Form W-8BEN and Form W-8ECI are effective until the third succeeding calendar year from the date such form is signed. The term "U.S. Person" means (i) a citizen or resident of the United States, (ii) a corporation, partnership or other entity treated as a corporation or partnership for United States federal income tax purposes organized in or under the laws of the United States or any state thereof or the District of Columbia (unless, in the case of a partnership, Treasury regulations provide otherwise) or (iii) an estate the income of which is includible in gross income for United States tax purposes, regardless of its source, or (iv) a trust if a court within the United States is able to exercise primary supervision over the administration of the trust and one or more United States persons have authority to control all substantial decisions of the trust. Notwithstanding the preceding sentence, to the extent provided in Treasury regulations, certain trusts in existence on August 20, 1996, and treated as United States Persons prior to such date, that elect to continue to be treated as United States persons will also be U.S. Persons. This summary does not deal with all aspects of U.S. Federal income tax withholding that may be relevant to foreign holders of the Global Securities. Investors are advised to consult their own tax advisors for specific tax advice concerning their holding and disposing of the Global Securities. I-4
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ANNEX II COLLATERAL CHARACTERISTICS OF THE MORTGAGE LOANS
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DESCRIPTION OF THE TOTAL COLLATERAL PRINCIPAL BALANCES OF THE MORTGAGE LOANS AT ORIGINATION [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT RANGE ($) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------ -------- ------------------ --------- ------------ -------- ----------- ----------- -------- 12,508.00 - 25,000.00.. 291 $ 5,784,598.63 0.39% $ 19,878.35 10.243% 20.21% 98.90% 637 25,000.01 - 50,000.00.. 854 32,518,080.10 2.19 38,077.38 10.040 28.27 95.70 643 50,000.01 - 75,000.00.. 930 58,248,281.69 3.92 62,632.56 9.314 44.49 92.57 643 75,000.01 - 100,000.00.. 781 68,470,326.79 4.61 87,670.07 8.636 54.70 88.42 641 100,000.01 - 125,000.00.. 650 72,645,174.39 4.89 111,761.81 7.976 65.42 84.98 636 125,000.01 - 150,000.00.. 589 80,942,291.17 5.45 137,423.24 7.547 72.59 81.95 633 150,000.01 - 175,000.00.. 482 78,397,730.76 5.28 162,650.89 7.183 76.62 80.23 631 175,000.01 - 200,000.00.. 466 87,541,316.13 5.90 187,856.90 7.251 77.14 81.01 632 200,000.01 - 225,000.00.. 372 79,265,427.35 5.34 213,079.11 7.035 79.91 80.3 633 225,000.01 - 250,000.00.. 361 86,032,074.30 5.80 238,316.00 6.843 79.39 79.39 636 250,000.01 - 275,000.00.. 319 83,684,475.07 5.64 262,333.78 6.823 80.46 80.68 637 275,000.01 - 300,000.00.. 336 96,483,408.44 6.50 287,153.00 6.882 80.43 80.43 643 300,000.01 - 359,650.00.. 500 163,471,411.83 11.01 326,942.82 6.788 80.71 80.71 646 359,650.01 - 500,000.00.. 740 308,219,449.75 20.76 416,512.77 6.680 81.19 81.19 653 500,000.01 - 1,000,000.00.. 299 180,429,883.06 12.15 603,444.42 6.668 80.96 80.96 656 1,000,000.01 - 1,300,000.00.. 2 2,417,869.07 0.16 1,208,934.54 5.820 76.59 76.59 752 ----- ------------------ ------ Total.................... 7,972 $ 1,484,551,798.53 100.00% $ 186,220.75 7.191% 75.06% 82.20% 644 ===== ================== ====== ---------- (1) Based on Original Principal Balance. PRINCIPAL BALANCES OF THE MORTGAGE LOANS AS OF THE CUT-OFF DATE [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT RANGE ($) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------ -------- ------------------ --------- ------------ -------- ----------- ----------- -------- 12,496.88 - 25,000.00.. 292 $ 5,801,243.09 0.39% $ 19,867.27 10.237% 20.19% 98.89% 637 25,000.01 - 50,000.00.. 858 32,700,257.17 2.20 38,112.19 10.039 28.31 95.70 643 50,000.01 - 75,000.00.. 927 58,141,077.06 3.92 62,719.61 9.308 44.56 92.54 643 75,000.01 - 100,000.00.. 783 68,650,686.61 4.62 87,676.48 8.636 54.71 88.42 641 100,000.01 - 125,000.00.. 648 72,574,642.10 4.89 111,997.90 7.979 65.44 85.00 636 125,000.01 - 150,000.00.. 589 80,967,193.71 5.45 137,465.52 7.548 72.60 81.97 633 150,000.01 - 175,000.00.. 484 78,772,377.73 5.31 162,752.85 7.173 76.62 80.21 631 175,000.01 - 200,000.00.. 464 87,339,433.28 5.88 188,231.54 7.253 77.19 81.01 632 200,000.01 - 225,000.00.. 372 79,315,841.64 5.34 213,214.63 7.045 79.90 80.29 632 225,000.01 - 250,000.00.. 360 85,832,407.69 5.78 238,423.35 6.834 79.39 79.39 636 250,000.01 - 275,000.00.. 326 85,631,894.31 5.77 262,674.52 6.829 80.56 80.78 637 275,000.01 - 300,000.00.. 328 94,286,130.43 6.35 287,457.71 6.878 80.32 80.32 643 300,000.01 - 359,650.00.. 523 171,728,819.86 11.57 328,353.38 6.787 80.67 80.67 647 359,650.01 - 500,000.00.. 718 300,461,687.82 20.24 418,470.32 6.677 81.23 81.23 653 500,000.01 - 1,000,000.00.. 298 179,930,236.96 12.12 603,792.74 6.668 80.94 80.94 656 1,000,000.01 - 1,300,000.00.. 2 2,417,869.07 0.16 1,208,934.54 5.820 76.59 76.59 752 ----- ------------------ ------ Total.................... 7,972 $ 1,484,551,798.53 100.00% $ 186,220.75 7.191% 75.06% 82.20% 644 ===== ================== ====== II-1
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DESCRIPTION OF THE TOTAL COLLATERAL MORTGAGE RATES OF THE MORTGAGE LOANS AS OF THE CUT-OFF DATE [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT MORTGAGE RATE (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------ -------- ------------------ --------- ------------ -------- ----------- ----------- -------- 4.250 - 4.499.............. 2 $ 601,786.34 0.04% $ 300,893.17 4.292% 64.97% 64.97% 742 4.500 - 4.999.............. 3 818,428.64 0.06 272,809.55 4.990 80.00 80.00 670 5.000 - 5.499.............. 84 28,495,556.96 1.92 339,232.82 5.335 77.56 77.56 690 5.500 - 5.999.............. 663 200,466,140.95 13.50 302,362.20 5.814 78.62 78.62 671 6.000 - 6.499.............. 847 226,717,783.26 15.27 267,671.53 6.251 79.35 79.35 656 6.500 - 6.999.............. 1,541 388,855,753.85 26.19 252,339.88 6.751 80.39 80.39 649 7.000 - 7.499.............. 800 176,388,277.42 11.88 220,485.35 7.249 80.95 81.03 630 7.500 - 7.999.............. 932 190,886,285.03 12.86 204,813.61 7.736 81.41 81.95 618 8.000 - 8.499.............. 374 59,637,261.06 4.02 159,457.92 8.239 77.17 83.81 621 8.500 - 8.999.............. 515 63,296,218.63 4.26 122,905.28 8.741 71.35 86.96 611 9.000 - 9.499.............. 215 24,436,329.32 1.65 113,657.35 9.201 68.72 88.56 611 9.500 - 9.999.............. 845 55,572,724.04 3.74 65,766.54 9.775 32.75 96.97 652 10.000 - 10.499.............. 236 15,113,683.39 1.02 64,041.03 10.227 32.75 96.55 633 10.500 - 10.999.............. 629 39,442,197.02 2.66 62,706.20 10.761 21.80 99.06 639 11.000 - 11.499.............. 129 5,485,083.45 0.37 42,520.03 11.212 23.07 98.77 621 11.500 - 11.999.............. 111 5,767,376.73 0.39 51,958.35 11.703 20.97 96.87 630 12.000 - 12.499.............. 14 711,162.58 0.05 50,797.33 12.271 19.18 99.09 636 12.500 - 12.999.............. 30 1,728,032.45 0.12 57,601.08 12.585 24.09 97.03 615 13.000 - 13.499.............. 1 89,760.95 0.01 89,760.95 13.000 20.00 100.00 647 13.500 - 13.599.............. 1 41,956.46 0.00 41,956.46 13.599 70.00 70.00 519 ----- ------------------ ------ Total.................... 7,972 $ 1,484,551,798.53 100.00% $ 186,220.75 7.191% 75.06% 82.20% 644 ===== ================== ====== ORIGINAL TERMS TO STATED MATURITY OF THE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT ORIGINAL TERM (MONTHS) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------ -------- ------------------ --------- ------------ -------- ----------- ----------- -------- 120............................ 9 $ 394,419.03 0.03% $ 43,824.34 7.265% 70.09% 73.63% 649 180............................ 2,256 140,871,022.26 9.49 62,442.83 9.906 22.86 97.60 660 240............................ 32 3,245,923.27 0.22 101,435.10 7.507 52.25 72.19 675 300............................ 1 80,188.13 0.01 80,188.13 6.750 89.83 89.83 659 360............................ 5,674 1,339,960,245.84 90.26 236,157.96 6.904 80.60 80.61 642 ----- ------------------ ------ Total..................... 7,972 $ 1,484,551,798.53 100.00% $ 186,220.75 7.191% 75.06% 82.20% 644 ===== ================== ====== II-2
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DESCRIPTION OF THE TOTAL COLLATERAL REMAINING TERMS TO STATED MATURITY OF THE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT REMAINING TERM (MONTHS) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------ -------- ------------------ --------- ------------ -------- ----------- ----------- -------- 115 - 120................... 9 $ 394,419.03 0.03% $ 43,824.34 7.265% 70.09% 73.63% 649 121 - 180................... 2,256 140,871,022.26 9.49 62,442.83 9.906 22.86 97.60 660 181 - 240................... 32 3,245,923.27 0.22 101,435.10 7.507 52.25 72.19 675 241 - 300................... 1 80,188.13 0.01 80,188.13 6.750 89.83 89.83 659 301 - 359................... 5,674 1,339,960,245.84 90.26 236,157.96 6.904 80.60 80.61 642 ----- ------------------ ------ Total..................... 7,972 $ 1,484,551,798.53 100.00% $ 186,220.75 7.191% 75.06% 82.20% 644 ===== ================== ====== ORIGINAL LOAN-TO-VALUE RATIOS OF THE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED ORIGINAL OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE LOAN-TO- MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT VALUE RATIO (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------ -------- ------------------ --------- ------------ -------- ----------- ----------- -------- 7.14 - 25.00............... 2,191 $ 132,171,826.36 8.90% $ 60,324.89 10.082% 19.73% 99.20% 661 25.01 - 30.00............... 21 1,906,741.13 0.13 90,797.20 9.966 28.13 71.47 618 30.01 - 35.00............... 19 1,553,138.93 0.10 81,744.15 7.559 33.01 46.85 616 35.01 - 40.00............... 23 3,618,815.81 0.24 157,339.82 6.289 38.39 38.39 651 40.01 - 45.00............... 26 4,596,610.00 0.31 176,792.69 7.166 42.33 42.33 595 45.01 - 50.00............... 41 8,095,603.77 0.55 197,453.75 6.837 48.36 48.36 601 50.01 - 55.00............... 47 8,533,692.35 0.57 181,567.92 6.95 52.67 52.67 629 55.01 - 60.00............... 76 15,971,435.44 1.08 210,150.47 6.802 58.06 58.06 605 60.01 - 65.00............... 106 25,038,161.15 1.69 236,209.07 6.740 63.21 63.21 608 65.01 - 70.00............... 193 42,804,337.00 2.88 221,784.13 6.895 68.50 68.50 610 70.01 - 75.00............... 306 76,759,265.72 5.17 250,847.27 7.008 73.71 73.71 607 75.01 - 80.00............... 3,328 800,106,242.38 53.90 240,416.54 6.700 79.84 79.84 655 80.01 - 85.00............... 430 99,006,710.98 6.67 230,248.17 7.176 84.38 84.38 615 85.01 - 90.00............... 717 172,815,818.03 11.64 241,026.25 7.317 89.66 89.66 632 90.01 - 95.00............... 365 81,132,012.47 5.47 222,279.49 7.492 94.60 94.6 641 95.01 - 100.00............... 83 10,441,387.01 0.70 125,799.84 8.317 99.39 99.39 648 ----- ------------------ ------ Total..................... 7,972 $ 1,484,551,798.53 100.00% $ 186,220.75 7.191% 75.06% 82.20% 644 ====== ================== ====== II-3
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DESCRIPTION OF THE TOTAL COLLATERAL ORIGINAL ADJUSTED LOAN-TO-VALUE RATIOS OF THE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED ORIGINAL ADJUSTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE LOAN-TO- MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT VALUE RATIO (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------ -------- ------------------ --------- ------------ -------- ----------- ----------- -------- 9.04 - 25.00............... 9 $ 477,370.68 0.03% $ 53,041.19 8.289% 18.81% 18.81% 590 25.01 - 30.00............... 8 735,615.25 0.05 91,951.91 8.310 28.09 28.09 581 30.01 - 35.00............... 12 1,233,685.09 0.08 102,807.09 6.794 33.09 33.09 613 35.01 - 40.00............... 23 3,618,815.81 0.24 157,339.82 6.289 38.39 38.39 651 40.01 - 45.00............... 26 4,596,610.00 0.31 176,792.69 7.166 42.33 42.33 595 45.01 - 50.00............... 41 8,095,603.77 0.55 197,453.75 6.837 48.36 48.36 601 50.01 - 55.00............... 47 8,533,692.35 0.57 181,567.92 6.950 52.67 52.67 629 55.01 - 60.00............... 76 15,971,435.44 1.08 210,150.47 6.802 58.06 58.06 605 60.01 - 65.00............... 106 25,038,161.15 1.69 236,209.07 6.740 63.21 63.21 608 65.01 - 70.00............... 194 42,869,286.56 2.89 220,975.70 6.904 68.42 68.50 610 70.01 - 75.00............... 306 76,759,265.72 5.17 250,847.27 7.008 73.71 73.71 607 75.01 - 80.00............... 3,329 800,255,927.73 53.91 240,389.28 6.701 79.82 79.84 655 80.01 - 85.00............... 431 99,053,560.23 6.67 229,822.65 7.178 84.34 84.37 615 85.01 - 90.00............... 751 174,585,162.04 11.76 232,470.26 7.345 88.87 89.65 632 90.01 - 95.00............... 494 88,540,616.85 5.96 179,232.02 7.739 88.02 94.61 641 95.01 - 100.00............... 2,102 132,869,605.75 8.95 63,211.04 9.937 26.38 99.93 661 100.01 - 104.00............... 17 1,317,384.11 0.09 77,493.18 10.141 24.53 100.00 655 ----- ------------------ ------ Total..................... 7,972 $ 1,484,551,798.53 100.00% $ 186,220.75 7.191% 75.06% 82.20% 644 ===== ================== ====== ORIGINAL COMBINED LOAN-TO-VALUE RATIOS OF THE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED ORIGINAL COMBINED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE LOAN-TO- MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT VALUE RATIO (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------ -------- ------------------ --------- ------------ -------- ----------- ----------- -------- 9.00 - 25.00............... 8 $ 446,881.27 0.03% $ 55,860.16 8.121% 18.73% 18.73% 587 25.01 - 30.00............... 8 735,615.25 0.05 91,951.91 8.310 28.09 28.09 581 30.01 - 35.00............... 12 1,233,685.09 0.08 102,807.09 6.794 33.09 33.09 613 35.01 - 40.00............... 21 2,726,714.93 0.18 129,843.57 6.497 37.94 37.94 624 40.01 - 45.00............... 26 5,228,561.56 0.35 201,098.52 6.944 41.90 41.90 615 45.01 - 50.00............... 40 7,806,104.53 0.53 195,152.61 6.840 48.34 48.34 603 50.01 - 55.00............... 45 8,177,474.90 0.55 181,721.66 6.954 52.63 52.63 630 55.01 - 60.00............... 76 15,541,358.20 1.05 204,491.56 6.851 58.03 58.03 600 60.01 - 65.00............... 105 24,882,729.86 1.68 236,978.38 6.742 63.20 63.20 608 65.01 - 70.00............... 179 39,605,880.18 2.67 221,261.90 6.913 68.37 68.45 607 70.01 - 75.00............... 265 63,704,235.93 4.29 240,393.34 7.019 73.54 73.54 596 75.01 - 80.00............... 616 149,156,350.56 10.05 242,136.93 6.915 79.16 79.23 621 80.01 - 85.00............... 404 96,218,999.23 6.48 238,165.84 7.146 83.99 84.18 617 85.01 - 90.00............... 780 188,627,115.12 12.71 241,829.63 7.273 87.88 88.54 634 90.01 - 95.00............... 669 136,753,657.30 9.21 204,415.03 7.388 84.98 89.31 646 95.01 - 100.00............... 4,718 743,706,434.62 50.10 157,631.72 7.255 70.29 83.54 663 ----- ------------------ ------ Total..................... 7,972 $ 1,484,551,798.53 100.00% $ 186,220.75 7.191% 75.06% 82.20% 644 ===== ================== ====== II-4
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DESCRIPTION OF THE TOTAL COLLATERAL OCCUPANCY STATUS OF THE MORTGAGE LOANS(1) [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT OCCUPANCY STATUS LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------ -------- ------------------ --------- ------------ -------- ----------- ----------- -------- Investor....................... 319 $ 59,855,108.52 4.03% $ 187,633.57 7.556% 82.91% 83.06% 669 Owner Occupied................. 7,453 1,390,848,015.29 93.69 186,615.86 7.176 74.65 82.11 641 Second Home.................... 200 33,848,674.72 2.28 169,243.37 7.143 77.89 84.35 693 ----- ------------------ ------ Total..................... 7,972 $ 1,484,551,798.53 100.00% $ 186,220.75 7.191% 75.06% 82.20% 644 ===== ================== ====== ---------- (1) The occupancy status of a Mortgaged Property is as represented by the mortgagor in its loan application. PROPERTY TYPES OF THE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT PROPERTY TYPE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------ -------- ------------------ --------- ------------ -------- ----------- ----------- -------- 1 Family....................... 5,821 $ 1,056,899,931.42 71.19% $ 181,566.73 7.197% 75.19% 82.05% 641 PUD............................ 994 196,212,575.42 13.22 197,396.96 7.219 74.77 83.27 647 Condominium.................... 728 124,509,945.71 8.39 171,030.15 7.027 73.93 82.94 657 2-4 Family..................... 424 106,379,176.18 7.17 250,894.28 7.263 75.54 80.95 652 Townhouse...................... 5 550,169.80 0.04 110,033.96 7.520 82.35 82.35 649 ----- ------------------ ------ Total..................... 7,972 $ 1,484,551,798.53 100.00% $ 186,220.75 7.191% 75.06% 82.20% 644 ===== ================== ====== PURPOSES OF THE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT LOAN PURPOSE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------ -------- ------------------ --------- ------------ -------- ----------- ----------- -------- Cash Out....................... 2,896 $ 627,223,347.78 42.25% $ 216,582.65 7.074% 77.11% 80.27% 623 Construction................... 2 909,453.17 0.06 454,726.59 6.359 91.05 91.05 660 Purchase....................... 4,833 810,440,360.30 54.59 167,688.88 7.287 73.21 83.67 661 Refinance...................... 241 45,978,637.28 3.10 190,782.73 7.089 79.37 82.49 619 ----- ------------------ ------ Total..................... 7,972 $ 1,484,551,798.53 100.00% $ 186,220.75 7.191% 75.06% 82.20% 644 ===== ================== ====== II-5
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DESCRIPTION OF THE TOTAL COLLATERAL DOCUMENTATION TYPES OF THE MORTGAGE LOANS(1) [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT DOCUMENTATION TYPE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------ -------- ------------------ --------- ------------ -------- ----------- ----------- -------- Full-Full-Verified............. 3,319 $ 551,223,372.32 37.13% $ 166,081.16 7.062% 76.52% 82.78% 628 Full-Limited-Verified.......... 324 47,313,512.81 3.19 146,029.36 7.101 74.68 82.29 627 Limited-Full-Verified.......... 147 31,532,007.22 2.12 214,503.45 6.941 75.90 82.03 636 Limited-Limited-Verified....... 68 13,866,800.03 0.93 203,923.53 7.291 74.92 84.31 655 None-Full-None................. 5 715,549.26 0.05 143,109.85 8.394 93.23 93.23 633 None-Full-Verified............. 1,968 345,581,910.07 23.28 175,600.56 7.522 69.51 83.78 673 None-None-None................. 20 3,862,760.76 0.26 193,138.04 8.066 83.05 83.05 702 None-None-Verified............. 2 171,718.22 0.01 85,859.11 8.645 88.92 88.92 650 None-Stated-Verified........... 6 1,783,000.44 0.12 297,166.74 7.836 90.66 90.66 699 Reduced-Full-Verified.......... 693 159,233,403.72 10.73 229,774.03 6.837 77.03 83.32 645 Stated-Full-Verified........... 769 200,829,722.99 13.53 261,156.99 6.994 76.23 77.25 630 Stated-Limited-Verified........ 267 47,361,337.40 3.19 177,383.29 7.706 76.61 83.7 648 Stated-None-Verified........... 374 79,367,584.83 5.35 212,212.79 7.595 80.24 80.24 658 Stated-Stated-Verified......... 10 1,709,118.46 0.12 170,911.85 7.523 72.53 75.15 614 ----- ------------------ ------ Total..................... 7,972 $ 1,484,551,798.53 100.00% $ 186,220.75 7.191% 75.06% 82.20% 644 ===== ================== ====== ---------- (1) For a description of the loan programs, see "The Originator--Underwriting Standards" in this prospectus supplement. II-6
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DESCRIPTION OF THE TOTAL COLLATERAL GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES OF THE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT LOCATION LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------ -------- ------------------ --------- ------------ -------- ----------- ----------- -------- California..................... 2,688 $ 684,734,175.54 46.12% $ 254,737.42 6.950% 73.63% 81.41% 650 Florida........................ 637 89,637,888.48 6.04 140,718.82 7.437 75.74 82.78 647 New York....................... 360 86,530,490.08 5.83 240,362.47 7.128 74.55 81.04 654 Maryland....................... 373 70,513,317.11 4.75 189,043.75 7.260 76.37 82.93 642 Virginia....................... 281 54,929,359.10 3.70 195,478.15 7.429 74.05 82.67 642 Texas.......................... 514 48,605,336.15 3.27 94,562.91 7.724 75.18 83.45 628 New Jersey..................... 207 46,133,889.11 3.11 222,869.03 7.279 75.59 80.47 629 Washington..................... 292 44,900,178.29 3.02 153,767.73 7.172 76.51 83.84 636 Illinois....................... 281 40,541,231.99 2.73 144,274.85 7.323 76.81 83.55 640 Massachusetts.................. 163 35,467,819.58 2.39 217,593.99 7.087 74.92 82.14 650 Arizona........................ 212 34,143,185.77 2.30 161,052.76 7.493 76.09 82.53 630 Nevada......................... 175 33,241,066.56 2.24 189,948.95 7.188 75.35 83.01 653 Pennsylvania................... 158 19,196,620.35 1.29 121,497.60 7.659 80.19 84.32 623 Connecticut.................... 105 17,699,711.60 1.19 168,568.68 7.223 76.00 82.20 632 Georgia........................ 122 16,100,285.71 1.08 131,969.56 7.898 77.50 83.19 636 Colorado....................... 98 15,538,337.47 1.05 158,554.46 7.188 79.58 84.60 640 Michigan....................... 91 9,947,401.01 0.67 109,312.10 7.788 80.66 85.98 618 Rhode Island................... 52 9,724,894.35 0.66 187,017.20 7.192 76.84 79.81 622 Oregon......................... 64 9,602,377.58 0.65 150,037.15 7.107 79.05 84.03 643 North Carolina................. 86 9,587,453.87 0.65 111,482.02 7.583 76.23 83.94 636 Missouri....................... 109 9,425,332.34 0.63 86,470.94 8.068 78.25 85.12 626 Tennessee...................... 89 8,731,122.95 0.59 98,102.51 8.058 83.24 86.12 618 District of Columbia........... 37 7,593,446.47 0.51 205,228.28 7.417 71.03 79.17 632 Louisiana...................... 94 7,559,270.13 0.51 80,417.77 7.824 75.74 83.79 607 Idaho.......................... 62 7,243,815.49 0.49 116,835.73 7.769 81.01 85.49 631 Ohio........................... 74 7,078,165.10 0.48 95,650.88 7.784 77.73 84.12 630 New Hampshire.................. 47 6,651,669.45 0.45 141,524.88 7.158 77.74 84.10 626 Mississippi.................... 69 5,975,928.53 0.40 86,607.66 7.923 80.11 84.91 607 Wisconsin...................... 53 5,514,812.01 0.37 104,053.06 7.768 73.55 84.40 637 Minnesota...................... 26 4,606,655.49 0.31 177,179.06 7.336 80.37 87.05 647 Kansas......................... 40 4,605,365.43 0.31 115,134.14 7.533 81.53 85.04 646 New Mexico..................... 36 3,998,829.64 0.27 111,078.60 7.541 81.19 85.18 637 Utah........................... 26 3,440,495.71 0.23 132,326.76 7.444 80.07 85.01 633 Alabama........................ 31 3,065,229.44 0.21 98,878.37 8.255 80.80 83.60 627 Oklahoma....................... 40 2,949,985.93 0.20 73,749.65 8.001 79.55 85.62 620 South Carolina................. 23 2,631,827.65 0.18 114,427.29 7.425 77.72 82.10 651 Indiana........................ 19 2,206,425.49 0.15 116,127.66 7.802 81.48 83.57 595 Maine.......................... 21 2,153,927.68 0.15 102,567.98 7.385 70.53 80.07 619 Delaware....................... 18 2,119,598.66 0.14 117,755.48 7.993 74.08 84.89 628 Arkansas....................... 15 1,908,348.93 0.13 127,223.26 7.861 90.56 90.56 649 Montana........................ 18 1,755,996.49 0.12 97,555.36 7.274 75.86 83.67 632 West Virginia.................. 13 1,630,549.10 0.11 125,426.85 8.147 78.07 85.62 610 Kentucky....................... 14 1,283,848.03 0.09 91,703.43 8.365 81.34 82.96 578 Vermont........................ 4 1,061,949.87 0.07 265,487.47 6.608 77.63 77.63 692 Nebraska....................... 18 1,052,652.61 0.07 58,480.70 8.399 74.99 85.81 619 Iowa........................... 9 905,710.67 0.06 100,634.52 8.449 81.99 83.69 600 Wyoming........................ 5 287,080.86 0.02 57,416.17 8.017 66.01 75.67 600 Alaska......................... 1 186,683.41 0.01 186,683.41 6.750 75.00 75.00 640 North Dakota................... 1 92,406.33 0.01 92,406.33 8.350 90.00 90.00 737 South Dakota................... 1 59,648.94 0.00 59,648.94 6.990 93.75 93.75 648 ----- ------------------ ------ Total..................... 7,972 $ 1,484,551,798.53 100.00% $ 186,220.75 7.191% 75.06% 82.20% 644 ===== ================== ====== II-7
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DESCRIPTION OF THE TOTAL COLLATERAL GROSS MARGINS OF THE ADJUSTABLE-RATE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT GROSS MARGIN (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------ -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 1.000 - 1.500............... 1 $ 224,791.25 0.02% $ 224,791.25 6.300% 69.23% 69.23% 602 1.501 - 2.000............... 17 2,496,777.04 0.21 146,869.24 7.547 82.60 82.60 608 2.001 - 2.500............... 1 209,649.99 0.02 209,649.99 7.725 79.99 79.99 670 2.501 - 3.000............... 3 1,294,868.13 0.11 431,622.71 6.673 84.89 84.89 661 3.001 - 3.500............... 1 111,591.69 0.01 111,591.69 6.500 80.00 80.00 728 3.501 - 4.000............... 6 1,000,899.03 0.08 166,816.51 7.187 90.58 90.58 672 4.001 - 4.500............... 167 33,306,902.35 2.75 199,442.53 6.816 81.40 81.40 647 4.501 - 5.000............... 109 31,215,314.63 2.58 286,379.03 5.969 79.76 79.76 663 5.001 - 5.500............... 506 141,863,964.86 11.72 280,363.57 6.193 78.83 78.83 664 5.501 - 6.000............... 1,325 323,845,265.05 26.76 244,411.52 6.718 79.88 79.88 647 6.001 - 6.500............... 1,150 291,167,397.53 24.06 253,189.04 6.821 80.33 80.33 643 6.501 - 7.000............... 934 217,244,640.72 17.95 232,595.98 7.195 82.26 82.26 633 7.001 - 7.500............... 407 93,168,295.26 7.70 228,914.73 7.525 83.29 83.29 618 7.501 - 8.000............... 321 60,744,354.62 5.02 189,234.75 7.970 84.46 84.46 621 8.001 - 8.500............... 42 7,642,689.09 0.63 181,968.79 8.361 85.26 85.26 605 8.501 - 9.000............... 20 3,462,681.18 0.29 173,134.06 8.502 89.04 89.04 595 9.001 - 9.500............... 9 1,239,350.05 0.10 137,705.56 9.625 87.65 87.65 553 12.001 - 12.099............... 1 41,956.46 0.00 41,956.46 13.599 70.00 70.00 519 ----- ------------------ ------ Total..................... 5,020 $ 1,210,281,388.93 100.00% $ 241,091.91 6.896% 80.91% 80.91% 642 ===== ================== ====== NEXT ADJUSTMENT DATES FOR THE ADJUSTABLE-RATE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT NEXT ADJUSTMENT DATE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- July 2005 - December 2005...... 7 $ 1,858,059.29 0.15% $ 265,437.04 6.925% 84.16% 84.16% 660 January 2006 - June 2006....... 5 1,169,720.46 0.10 233,944.09 7.412 86.40 86.40 634 July 2006 - December 2006...... 14 2,609,409.01 0.22 186,386.36 7.265 84.24 84.24 594 January 2007 - June 2007....... 3,533 828,799,367.92 68.48 234,587.99 6.974 81.09 81.09 639 July 2007 - December 2007...... 972 248,443,794.04 20.53 255,600.61 6.827 80.34 80.34 641 January 2008 - June 2008....... 174 36,186,379.20 2.99 207,967.70 6.839 81.21 81.21 644 July 2008 - December 2008...... 50 15,090,852.20 1.25 301,817.04 6.494 81.80 81.80 670 January 2010 - June 2010....... 164 48,094,261.86 3.97 293,257.69 6.298 80.05 80.05 669 July 2010 - December 2010...... 101 28,029,544.95 2.32 277,520.25 6.453 80.46 80.46 659 ----- ------------------ ------ Total..................... 5,020 $ 1,210,281,388.93 100.00% $ 241,091.91 6.896% 80.91% 80.91% 642 ===== ================== ====== II-8
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DESCRIPTION OF THE TOTAL COLLATERAL MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AGGREGATE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT MAXIMUM MORTGAGE RATE (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ------------------ --------- ------------ -------- ----------- ----------- -------- 10.250 - 10.500............... 1 $ 264,551.44 0.02% $ 264,551.44 7.250% 80.00% 80.00% 616 10.501 - 11.000............... 2 601,786.34 0.05 300,893.17 4.292 64.97 64.97 742 11.001 - 11.500............... 22 4,959,907.14 0.41 225,450.32 5.563 78.49 78.49 671 11.501 - 12.000............... 157 49,861,048.14 4.12 317,586.29 5.593 78.29 78.29 675 12.001 - 12.500............... 648 193,290,132.47 15.97 298,287.24 5.908 79.36 79.36 666 12.501 - 13.000............... 903 241,053,577.67 19.92 266,947.48 6.372 79.90 79.90 654 13.001 - 13.500............... 1,114 278,347,139.21 23.00 249,862.78 6.822 80.96 80.96 645 13.501 - 14.000............... 712 167,919,222.75 13.87 235,841.60 7.284 81.95 81.95 631 14.001 - 14.500............... 613 134,499,286.84 11.11 219,411.56 7.706 81.86 81.86 618 14.501 - 15.000............... 319 61,296,967.44 5.06 192,153.50 8.126 82.67 82.67 620 15.001 - 15.500............... 244 40,526,783.82 3.35 166,093.38 8.614 84.02 84.02 598 15.501 - 16.000............... 133 20,288,146.62 1.68 152,542.46 9.025 84.15 84.15 584 16.001 - 16.500............... 88 11,289,942.10 0.93 128,294.80 9.473 85.96 85.96 586 16.501 - 17.000............... 37 3,947,387.51 0.33 106,686.15 9.795 84.14 84.14 576 17.001 - 17.500............... 13 1,119,439.63 0.09 86,110.74 10.241 82.15 82.15 561 17.501 - 18.000............... 9 647,211.19 0.05 71,912.35 10.757 89.87 89.87 575 18.001 - 18.500............... 2 177,024.10 0.01 88,512.05 11.266 87.63 87.63 576 18.501 - 19.000............... 1 54,949.34 0.00 54,949.34 11.725 44.72 44.72 509 19.501 - 20.000............... 1 94,928.72 0.01 94,928.72 12.650 100.00 100.00 619 20.501 - 20.599............... 1 41,956.46 0.00 41,956.46 13.599 70.00 70.00 519 ----- ----------------- ------ Total..................... 5,020 $1,210,281,388.93 100.00% $ 241,091.91 6.896% 80.91% 80.91% 642 ===== ================= ====== II-9
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DESCRIPTION OF THE TOTAL COLLATERAL MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT MINIMUM MORTGAGE RATE (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ------------------ --------- ------------ -------- ----------- ----------- -------- 2.000 - 2.500............... 5 $ 794,549.64 0.07% $ 158,909.93 8.337% 86.81% 86.81% 593 2.501 - 3.000............... 1 432,000.00 0.04 432,000.00 6.500 80.00 80.00 635 4.001 - 4.500............... 2 601,786.34 0.05 300,893.17 4.292 64.97 64.97 742 4.501 - 5.000............... 15 5,013,117.38 0.41 334,207.83 5.694 79.58 79.58 668 5.001 - 5.500............... 135 43,361,373.58 3.58 321,195.36 5.474 77.97 77.97 678 5.501 - 6.000............... 673 196,605,484.20 16.24 292,132.96 5.981 79.57 79.57 666 6.001 - 6.500............... 884 235,702,064.72 19.47 266,631.29 6.332 79.67 79.67 654 6.501 - 7.000............... 1,192 299,653,231.90 24.76 251,386.94 6.811 81.03 81.03 647 7.001 - 7.500............... 749 173,250,049.30 14.31 231,308.48 7.305 81.66 81.66 629 7.501 - 8.000............... 654 139,467,648.40 11.52 213,253.29 7.782 82.03 82.03 615 8.001 - 8.500............... 267 50,422,877.70 4.17 188,849.73 8.282 83.15 83.15 612 8.501 - 9.000............... 235 39,504,855.11 3.26 168,105.77 8.777 84.50 84.50 593 9.001 - 9.500............... 102 14,248,517.12 1.18 139,691.34 9.260 85.69 85.69 578 9.501 - 10.000............... 76 8,562,125.44 0.71 112,659.55 9.773 85.86 85.86 568 10.001 - 10.500............... 16 1,674,917.36 0.14 104,682.34 10.172 81.37 81.37 568 10.501 - 11.000............... 9 617,932.12 0.05 68,659.12 10.740 88.23 88.23 568 11.001 - 11.500............... 2 177,024.10 0.01 88,512.05 11.266 87.63 87.63 576 11.501 - 12.000............... 1 54,949.34 0.00 54,949.34 11.725 44.72 44.72 509 12.501 - 13.000............... 1 94,928.72 0.01 94,928.72 12.650 100.00 100.00 619 13.501 - 13.599............... 1 41,956.46 0.00 41,956.46 13.599 70.00 70.00 519 ----- ----------------- ------ Total..................... 5,020 $1,210,281,388.93 100.00% $ 241,091.91 6.896% 80.91% 80.91% 642 ===== ================= ====== INITIAL PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT INITIAL PERIODIC RATE CAPS (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ------------------ --------- ------------ -------- ----------- ----------- -------- 1.000 - 1.000.................. 35 $ 7,332,620.80 0.61% $ 209,503.45 6.953% 81.27% 81.27% 646 1.001 - 1.500.................. 441 95,367,625.77 7.88 216,253.12 7.289 81.28 81.28 635 1.501 - 2.000.................. 26 5,832,535.91 0.48 224,328.30 6.694 82.03 82.03 628 2.501 - 3.000.................. 4,423 1,069,986,963.53 88.41 241,914.30 6.886 80.86 80.86 641 3.001 - 3.500.................. 1 159,664.14 0.01 159,664.14 7.825 80.00 80.00 648 4.501 - 5.000.................. 93 31,492,378.78 2.60 338,627.73 6.057 81.01 81.01 684 6.001 - 6.500.................. 1 109,600.00 0.01 109,600.00 7.400 80.00 80.00 688 ----- ----------------- ------ Total..................... 5,020 $1,210,281,388.93 100.00% $ 241,091.91 6.896% 80.91% 80.91% 642 ===== ================= ====== II-10
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DESCRIPTION OF THE TOTAL COLLATERAL SUBSEQUENT PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE SUBSEQUENT PERIODIC MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT RATE CAPS (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ------------------ --------- ------------ -------- ----------- ----------- -------- 1.000.......................... 4,741 $1,152,327,838.55 95.21% $ 243,055.86 6.865% 80.87% 80.87% 642 1.500.......................... 259 55,254,775.45 4.57 213,338.90 7.492 81.96 81.96 644 2.000.......................... 20 2,698,774.93 0.22 134,938.75 8.090 75.47 75.47 592 ----- ----------------- ------ Total..................... 5,020 $1,210,281,388.93 100.00% $ 241,091.91 6.896% 80.91% 80.91% 642 ===== ================= ====== CREDIT SCORES OF THE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT CREDIT SCORES LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ------------------ --------- ------------ -------- ----------- ----------- -------- 0 - 499................... 6 $ 436,663.74 0.03% $ 72,777.29 8.301% 70.62% 70.62% 491 500 - 524................... 214 38,981,754.61 2.63 182,157.73 8.263 76.31 76.41 512 525 - 549................... 245 42,019,618.10 2.83 171,508.65 7.969 77.17 77.49 536 550 - 574................... 406 82,602,185.25 5.56 203,453.66 7.662 79.09 79.24 562 575 - 599................... 883 144,184,752.11 9.71 163,289.64 7.352 76.76 81.83 588 600 - 624................... 1,427 245,703,847.95 16.55 172,182.09 7.287 74.69 82.21 613 625 - 649................... 1,458 265,536,412.12 17.89 182,123.74 7.164 75.08 82.87 637 650 - 674................... 1,258 242,010,526.41 16.30 192,377.21 7.085 74.28 82.82 661 675 - 699................... 904 179,458,784.41 12.09 198,516.35 6.956 73.99 83.46 686 700 - 724................... 533 109,629,631.20 7.38 205,684.11 6.839 74.03 83.02 711 725 - 749................... 344 69,222,106.97 4.66 201,227.06 6.793 72.85 82.47 737 750 - 774................... 203 46,288,779.92 3.12 228,023.55 6.858 74.86 83.15 762 775 - 799................... 66 14,530,974.98 0.98 220,166.29 6.929 76.41 83.58 785 800 - 824................... 25 3,945,760.76 0.27 157,830.43 6.937 76.09 82.41 806 ----- ----------------- ------ Total..................... 7,972 $1,484,551,798.53 100.00% $ 186,220.75 7.191% 75.06% 82.20% 644 ===== ================= ====== II-11
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DESCRIPTION OF THE TOTAL COLLATERAL PRODUCT TYPE OF THE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT PRODUCT TYPE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ------------------ --------- ------------ -------- ----------- ----------- -------- 2/28 40/30 BALLOON............. 899 $ 259,459,859.06 17.48% $ 288,609.41 6.827% 80.51% 80.51% 630 2/28 ARM....................... 2,514 492,974,462.74 33.21 196,091.67 7.251 80.87 80.87 626 2/28 ARM (IO).................. 1,151 338,850,046.26 22.83 294,396.22 6.569 81.35 81.35 666 3/27 40/30 BALLOON............. 23 7,083,087.30 0.48 307,960.32 6.363 80.89 80.89 666 3/27 ARM....................... 146 28,432,318.59 1.92 194,741.91 7.036 81.23 81.23 635 3/27 ARM (IO).................. 60 16,917,164.82 1.14 281,952.75 6.400 81.83 81.83 673 5/25 40/30 BALLOON............. 42 11,473,948.97 0.77 273,189.26 6.494 78.87 78.87 674 5/25 ARM....................... 68 16,793,043.66 1.13 246,956.52 6.545 78.97 78.97 650 5/25 ARM (IO).................. 107 35,539,652.95 2.39 332,146.29 6.107 80.67 80.67 681 ARM (6 month).................. 8 2,051,876.93 0.14 256,484.62 7.060 83.40 83.40 663 ARM (IO) (6 month)............. 1 413,600.00 0.03 413,600.00 6.375 88.00 88.00 639 ARM 40/30 BALLOON.............. 1 292,327.65 0.02 292,327.65 7.900 90.00 90.00 619 FIXED.......................... 751 126,965,080.65 8.55 169,061.36 7.077 75.28 77.23 643 FIXED (IO)..................... 7 2,027,063.71 0.14 289,580.53 6.543 77.36 77.36 679 FIXED 30/15 BALLOON............ 2,141 130,150,231.11 8.77 60,789.46 10.098 19.88 99.48 661 FIXED 40/30 BALLOON............ 53 15,128,034.13 1.02 285,434.61 6.773 79.55 79.55 645 ----- ----------------- ------ Total..................... 7,972 $1,484,551,798.53 100.00% $ 186,220.75 7.191% 75.06% 82.20% 644 ===== ================= ====== INTEREST-ONLY TERMS OF THE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT IO TERMS (MONTHS) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ------------------ --------- ------------ -------- ----------- ----------- -------- 0.............................. 6,646 $1,090,804,270.79 73.48% $ 164,129.44 7.433% 72.81% 82.53% 635 60............................. 1,267 377,305,912.80 25.42 297,794.72 6.524 81.32 81.32 668 120............................ 59 16,441,614.94 1.11 278,671.44 6.424 80.78 80.78 663 ----- ----------------- ------ Total..................... 7,972 $1,484,551,798.53 100.00% $ 186,220.75 7.191% 75.06% 82.20% 644 ===== ================= ====== LIEN TYPE ON THE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT LIEN TYPE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ------------------ --------- ------------ -------- ----------- ----------- -------- First Lien..................... 5,770 $1,351,366,763.13 91.03% $ 234,205.68 6.904% 80.50% 80.50% 642 Second Lien.................... 2,202 133,185,035.40 8.97 60,483.67 10.097 19.83 99.49 661 ----- ----------------- ------ Total..................... 7,972 $1,484,551,798.53 100.00% $ 186,220.75 7.191% 75.06% 82.20% 644 ===== ================= ====== II-12
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DESCRIPTION OF THE TOTAL COLLATERAL SEASONING OF THE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT SEASONING (MONTHS) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 1 - 6.......................... 7,894 $1,466,924,350.23 98.81% $ 185,827.76 7.191% 75.00% 82.20% 644 7 - 12......................... 78 17,627,448.30 1.19 225,992.93 7.172 80.08 82.23 628 ----- ----------------- ------ Total..................... 7,972 $1,484,551,798.53 100.00% $ 186,220.75 7.191% 75.06% 82.20% 644 ===== ================= ====== PREPAYMENT FLAG ON THE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT PREPAYMENT FLAG LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- No............................. 2,709 $ 452,991,604.90 30.51% $ 167,217.28 7.532% 73.06% 82.99% 645 Yes............................ 5,263 1,031,560,193.63 69.49 196,002.32 7.040 75.94 81.86 643 ----- ----------------- ------ Total..................... 7,972 $1,484,551,798.53 100.00% $ 186,220.75 7.191% 75.06% 82.20% 644 ===== ================= ====== PREPAYMENT TERMS OF THE INTEREST-ONLY MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT PREPAYMENT TERM (MONTHS) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 0 - 0 ......................... 2,709 $ 452,991,604.90 30.51% $ 167,217.28 7.532% 73.06% 82.99% 645 1 - 12......................... 301 73,958,481.26 4.98 245,709.24 6.944 76.54 79.89 652 13 - 24........................ 4,196 812,204,794.87 54.71 193,566.44 7.073 75.66 82.42 641 25 - 36........................ 700 135,402,807.90 9.12 193,432.58 6.871 77.01 79.73 650 37 - 60........................ 66 9,994,109.60 0.67 151,425.90 7.398 79.34 79.34 627 ----- ----------------- ------ Total..................... 7,972 $1,484,551,798.53 100.00% $ 186,220.75 7.191% 75.06% 82.20% 644 ===== ================= ====== DEBT-TO INCOME RATIO OF THE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT DEBT-TO-INCOME (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ------------------ --------- ------------ -------- ----------- ----------- -------- 0.00 - 25.00.................. 525 $ 91,067,211.50 6.13% $ 173,461.36 7.207% 75.89% 81.40% 651 25.01 - 30.00.................. 461 78,443,331.36 5.28 170,159.07 7.113 75.95 81.75 644 30.01 - 35.00.................. 907 157,119,252.24 10.58 173,229.61 7.130 75.18 81.25 647 35.01 - 40.00.................. 1,411 260,929,212.23 17.58 184,925.03 7.112 74.81 81.86 649 40.01 - 45.00.................. 1,942 376,840,099.76 25.38 194,047.43 7.194 75.07 82.35 645 45.01 - 50.00.................. 2,167 414,653,151.67 27.93 191,348.94 7.282 74.47 82.64 640 50.01 - 55.00.................. 486 91,418,332.52 6.16 188,103.56 7.186 76.46 83.32 629 55.01 - 60.00.................. 72 13,947,607.25 0.94 193,716.77 6.910 75.63 82.94 636 60.01 - 62.03.................. 1 133,600.00 0.01 133,600.00 5.750 80.00 80.00 688 ----- ----------------- ------ Total..................... 7,972 $1,484,551,798.53 100.00% $ 186,220.75 7.191% 75.06% 82.20% 644 ===== ================= ====== II-13
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DESCRIPTION OF THE TOTAL COLLATERAL ORIGINATORS OF THE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT ORIGINATOR LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- Accredited..................... 357 $ 70,569,104.35 4.75% $ 197,672.56 7.443% 80.82% 80.82% 644 First Horizon.................. 477 81,715,789.98 5.50 171,311.93 7.701 81.34 81.34 637 IMPAC.......................... 240 48,690,085.11 3.28 202,875.35 7.333 76.14 80.88 627 Mortgage IT.................... 659 108,541,650.24 7.31 164,706.60 7.389 75.55 83.16 640 WMC............................ 6,239 1,175,035,168.85 79.15 188,337.10 7.116 74.18 82.31 645 ----- ----------------- ------ Total..................... 7,972 $1,484,551,798.53 100.00% $ 186,220.75 7.191% 75.06% 82.20% 644 ===== ================= ====== SERVICERS OF THE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT SERVICER LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- Chase.......................... 1,123 $ 194,627,080.39 13.11% $ 173,309.96 7.598% 79.69% 81.71% 640 Countrywide.................... 6,766 1,267,611,869.89 85.39 187,350.26 7.135 74.27 82.29 644 HomeEQ......................... 83 22,312,848.25 1.50 268,829.50 6.804 79.46 81.41 641 ----- ----------------- ------ Total..................... 7,972 $1,484,551,798.53 100.00% $ 186,220.75 7.191% 75.06% 82.20% 644 ===== ================= ====== II-14
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DESCRIPTION OF THE GROUP I COLLATERAL PRINCIPAL BALANCES OF THE GROUP I MORTGAGE LOANS AT ORIGINATION [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT RANGE ($) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 13,500.00 - 25,000.00....... 73 $ 1,441,369.91 0.29% $ 19,744.79 10.293% 19.48% 97.00% 646 25,000.01 - 50,000.00....... 263 10,148,309.24 2.05 38,586.73 10.402 26.21 96.92 653 50,000.01 - 75,000.00....... 337 21,293,217.25 4.30 63,184.62 9.771 36.34 94.71 649 75,000.01 - 100,000.00....... 298 26,072,156.59 5.27 87,490.46 8.884 50.27 89.42 653 100,000.01 - 125,000.00....... 206 23,008,374.64 4.65 111,691.14 7.94 64.44 85.21 651 125,000.01 - 150,000.00....... 199 27,299,687.74 5.52 137,184.36 7.615 72.22 82.44 637 150,000.01 - 175,000.00....... 226 36,715,102.10 7.42 162,456.20 7.01 79.05 79.74 635 175,000.01 - 200,000.00....... 230 42,978,297.19 8.69 186,862.16 7.004 80.10 80.56 641 200,000.01 - 225,000.00....... 210 44,813,779.70 9.06 213,398.95 6.932 81.51 81.51 640 225,000.01 - 250,000.00....... 192 45,728,049.88 9.24 238,166.93 6.711 80.18 80.18 647 250,000.01 - 275,000.00....... 192 50,422,936.89 10.19 262,619.46 6.691 80.55 80.55 650 275,000.01 - 300,000.00....... 187 53,670,523.27 10.85 287,008.15 6.721 81.26 81.26 654 300,000.01 - 359,650.00....... 294 96,165,831.83 19.44 327,094.67 6.685 81.09 81.09 656 359,650.01 - 500,000.00....... 31 12,710,197.82 2.57 410,006.38 6.722 80.37 80.37 663 500,000.01 - 648,000.00....... 4 2,301,018.21 0.47 575,254.55 7.222 85.94 85.94 653 ----- ----------------- ------ Total..................... 2,942 $ 494,768,852.26 100.00% $ 168,174.32 7.215% 74.65% 82.53% 648 ===== ================= ====== ---------- (1) Based on Original Principal Balance. PRINCIPAL BALANCES OF THE GROUP I MORTGAGE LOANS AS OF THE CUT-OFF DATE [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT RANGE ($) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 13,475.89 - 25,000.00... 73 $ 1,441,369.91 0.29% $ 19,744.79 10.293% 19.48% 97.00% 646 25,000.01 - 50,000.00... 263 10,148,309.24 2.05 38,586.73 10.402 26.21 96.92 653 50,000.01 - 75,000.00... 337 21,293,217.25 4.30 63,184.62 9.771 36.34 94.71 649 75,000.01 - 100,000.00... 301 26,327,488.85 5.32 87,466.74 8.876 50.40 89.38 653 100,000.01 - 125,000.00... 205 22,954,486.81 4.64 111,973.11 7.949 64.45 85.28 651 125,000.01 - 150,000.00... 199 27,324,590.28 5.52 137,309.50 7.618 72.26 82.47 637 150,000.01 - 175,000.00... 225 36,565,256.41 7.39 162,512.25 7.002 78.99 79.68 635 175,000.01 - 200,000.00... 230 43,101,290.69 8.71 187,396.92 6.997 80.20 80.52 641 200,000.01 - 225,000.00... 210 44,838,964.77 9.06 213,518.88 6.933 81.51 81.51 640 225,000.01 - 250,000.00... 192 45,753,228.80 9.25 238,298.07 6.710 80.20 80.20 647 250,000.01 - 275,000.00... 197 51,821,131.16 10.47 263,051.43 6.699 80.57 80.57 650 275,000.01 - 300,000.00... 181 52,022,470.23 10.51 287,416.96 6.713 81.25 81.25 654 300,000.01 - 359,650.00... 294 96,165,831.83 19.44 327,094.67 6.685 81.09 81.09 656 359,650.01 - 500,000.00... 31 12,710,197.82 2.57 410,006.38 6.722 80.37 80.37 663 500,000.01 - 645,625.01... 4 2,301,018.21 0.47 575,254.55 7.222 85.94 85.94 653 ----- ----------------- ------ Total..................... 2,942 $ 494,768,852.26 100.00% $ 168,174.32 7.215% 74.65% 82.53% 648 ===== ================= ====== II-15
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DESCRIPTION OF THE GROUP I COLLATERAL MORTGAGE RATES OF THE GROUP I MORTGAGE LOANS AS OF THE CUT-OFF DATE [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT MORTGAGE RATE (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 4.375 - 4.499................ 1 $ 203,889.41 0.04% $ 203,889.41 4.375% 35.65% 35.65% 746 4.500 - 4.999................ 3 818,428.64 0.17 272,809.55 4.990 80.00 80.00 670 5.000 - 5.499................ 25 6,424,542.96 1.30 256,981.72 5.287 79.34 79.34 680 5.500 - 5.999................ 247 57,513,090.39 11.62 232,846.52 5.831 79.89 79.89 669 6.000 - 6.499................ 340 78,558,208.27 15.88 231,053.55 6.255 80.02 80.02 656 6.500 - 6.999................ 703 153,139,850.76 30.95 217,837.63 6.759 80.34 80.34 654 7.000 - 7.499................ 298 61,053,693.52 12.34 204,878.17 7.206 81.31 81.44 639 7.500 - 7.999................ 268 49,990,330.94 10.10 186,531.09 7.750 81.08 81.46 620 8.000 - 8.499................ 77 11,939,419.89 2.41 155,057.40 8.238 79.26 80.10 625 8.500 - 8.999................ 138 18,530,413.30 3.75 134,278.36 8.776 74.78 85.52 609 9.000 - 9.499................ 63 7,090,821.06 1.43 112,552.72 9.194 76.10 89.16 610 9.500 - 9.999................ 324 21,721,951.73 4.39 67,043.06 9.778 29.77 97.46 670 10.000 - 10.499................ 69 4,597,062.06 0.93 66,624.09 10.247 29.28 95.89 646 10.500 - 10.999................ 254 16,339,958.46 3.30 64,330.55 10.756 21.03 99.07 649 11.000 - 11.499................ 39 2,032,126.11 0.41 52,105.80 11.229 28.38 98.35 640 11.500 - 11.999................ 67 3,487,138.16 0.70 52,046.84 11.664 20.98 97.58 635 12.000 - 12.499................ 9 431,296.85 0.09 47,921.87 12.298 18.64 98.50 628 12.500 - 12.875................ 17 896,629.75 0.18 52,742.93 12.564 19.44 99.44 616 ----- ----------------- ------ Total...................... 2,942 $ 494,768,852.26 100.00% $ 168,174.32 7.215% 74.65% 82.53% 648 ===== ================= ====== ORIGINAL TERMS TO STATED MATURITY OF THE GROUP I MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT ORIGINAL TERM (MONTHS) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 120............................. 4 $ 132,605.18 0.03% $ 33,151.30 8.478% 57.42% 67.96% 623 180............................. 799 50,600,312.01 10.23 63,329.55 10.177 22.37 98.37 664 240............................. 13 676,601.22 0.14 52,046.25 10.340 30.27 82.45 619 360............................. 2,126 443,359,333.85 89.61 208,541.55 6.871 80.69 80.72 647 ----- ----------------- ------ Total...................... 2,942 $ 494,768,852.26 100.00% $ 168,174.32 7.215% 74.65% 82.53% 648 ===== ================= ====== REMAINING TERMS TO STATED MATURITY OF THE GROUP I MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT REMAINING TERM (MONTHS) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 116 - 120.................... 4 $ 132,605.18 0.03% $ 33,151.30 8.478% 57.42% 67.96% 623 121 - 180.................... 799 50,600,312.01 10.23 63,329.55 10.177 22.37 98.37 664 181 - 240.................... 13 676,601.22 0.14 52,046.25 10.340 30.27 82.45 619 301 - 359.................... 2,126 443,359,333.85 89.61 208,541.55 6.871 80.69 80.72 647 ----- ----------------- ------ Total...................... 2,942 $ 494,768,852.26 100.00% $ 168,174.32 7.215% 74.65% 82.53% 648 ===== ================= ====== II-16
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DESCRIPTION OF THE GROUP I COLLATERAL ORIGINAL LOAN-TO-VALUE RATIOS OF THE GROUP I MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE ORIGINAL MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT LOAN-TO-VALUE RATIO (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 9.97 - 25.00................ 791 $ 48,982,621.59 9.90% $ 61,924.93 10.304% 19.62% 99.14% 667 25.01 - 30.00................ 4 351,111.86 0.07 87,777.97 10.088 27.31 27.31 536 30.01 - 35.00................ 4 349,817.43 0.07 87,454.36 7.110 33.70 33.70 633 35.01 - 40.00................ 6 895,894.15 0.18 149,315.69 6.139 37.42 37.42 641 40.01 - 45.00................ 8 1,128,840.03 0.23 141,105.00 7.958 43.03 43.03 568 45.01 - 50.00................ 10 1,558,612.39 0.32 155,861.24 7.023 49.09 49.09 579 50.01 - 55.00................ 13 2,316,870.75 0.47 178,220.83 7.697 52.26 52.26 575 55.01 - 60.00................ 20 3,686,887.51 0.75 184,344.38 7.112 57.66 57.66 567 60.01 - 65.00................ 21 3,719,190.26 0.75 177,104.30 6.904 63.14 63.14 578 65.01 - 70.00................ 46 8,108,455.38 1.64 176,270.77 7.021 68.55 68.55 595 70.01 - 75.00................ 63 12,162,376.77 2.46 193,053.60 7.273 74.20 74.20 584 75.01 - 80.00................ 1,503 324,597,884.74 65.61 215,966.66 6.680 79.92 79.92 657 80.01 - 85.00................ 96 19,430,739.35 3.93 202,403.53 7.406 84.36 84.36 608 85.01 - 90.00................ 220 43,175,118.57 8.73 196,250.54 7.401 89.77 89.77 633 90.01 - 95.00................ 121 22,429,067.29 4.53 185,364.19 7.575 94.79 94.79 644 95.01 - 100.00................ 16 1,875,364.19 0.38 117,210.26 8.805 99.90 99.90 634 ----- ------------------ ------ Total...................... 2,942 $ 494,768,852.26 100.00% $ 168,174.32 7.215% 74.65% 82.53% 648 ===== ================== ====== ORIGINAL ADJUSTED LOAN-TO-VALUE RATIOS OF THE GROUP I MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE ORIGINAL ADJUSTED MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT LOAN-TO-VALUE RATIO (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 14.74 - 25.00............... 4 $ 260,409.75 0.05% $ 65,102.44 7.869% 18.52% 18.52% 602 25.01 - 30.00............... 4 351,111.86 0.07 87,777.97 10.088 27.31 27.31 536 30.01 - 35.00............... 4 349,817.43 0.07 87,454.36 7.110 33.70 33.70 633 35.01 - 40.00............... 6 895,894.15 0.18 149,315.69 6.139 37.42 37.42 641 40.01 - 45.00............... 8 1,128,840.03 0.23 141,105.00 7.958 43.03 43.03 568 45.01 - 50.00............... 10 1,558,612.39 0.32 155,861.24 7.023 49.09 49.09 579 50.01 - 55.00............... 13 2,316,870.75 0.47 178,220.83 7.697 52.26 52.26 575 55.01 - 60.00............... 20 3,686,887.51 0.75 184,344.38 7.112 57.66 57.66 567 60.01 - 65.00............... 21 3,719,190.26 0.75 177,104.30 6.904 63.14 63.14 578 65.01 - 70.00............... 46 8,108,455.38 1.64 176,270.77 7.021 68.55 68.55 595 70.01 - 75.00............... 63 12,162,376.77 2.46 193,053.60 7.273 74.20 74.20 584 75.01 - 80.00............... 1,503 324,597,884.74 65.61 215,966.66 6.680 79.92 79.92 657 80.01 - 85.00............... 96 19,430,739.35 3.93 202,403.53 7.406 84.36 84.36 608 85.01 - 90.00............... 225 43,418,634.82 8.78 192,971.71 7.414 89.32 89.77 633 90.01 - 95.00............... 183 25,724,801.35 5.20 140,572.68 7.947 84.55 94.79 644 95.01 - 100.00............... 735 46,930,449.49 9.49 63,850.95 10.250 23.21 99.97 668 100.01 - 100.04............... 1 127,876.23 0.03 127,876.23 9.600 24.24 100.00 607 ----- ------------------ ------ Total...................... 2,942 $ 494,768,852.26 100.00% $ 168,174.32 7.215% 74.65% 82.53% 648 ===== ================== ====== II-17
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DESCRIPTION OF THE GROUP I COLLATERAL ORIGINAL COMBINED LOAN-TO-VALUE RATIOS OF THE GROUP I MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE ORIGINAL COMBINED MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT LOAN-TO-VALUE RATIO (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 14.80 - 25.00................ 4 $ 260,409.75 0.05% $ 65,102.44 7.869% 18.52% 18.52% 602 25.01 - 30.00................ 4 351,111.86 0.07 87,777.97 10.088 27.31 27.31 536 30.01 - 35.00................ 4 349,817.43 0.07 87,454.36 7.110 33.70 33.70 633 35.01 - 40.00................ 6 895,894.15 0.18 149,315.69 6.139 37.42 37.42 641 40.01 - 45.00................ 8 1,128,840.03 0.23 141,105.00 7.958 43.03 43.03 568 45.01 - 50.00................ 9 1,269,113.15 0.26 141,012.57 7.085 49.08 49.08 586 50.01 - 55.00................ 12 2,067,529.67 0.42 172,294.14 7.821 52.07 52.07 571 55.01 - 60.00................ 20 3,686,887.51 0.75 184,344.38 7.112 57.66 57.66 567 60.01 - 65.00................ 20 3,563,758.97 0.72 178,187.95 6.922 63.06 63.06 579 65.01 - 70.00................ 47 8,459,841.55 1.71 179,996.63 7.008 68.05 68.05 595 70.01 - 75.00................ 57 11,438,416.58 2.31 200,673.98 7.267 74.17 74.17 581 75.01 - 80.00................ 182 35,912,540.28 7.26 197,321.65 6.963 79.34 79.34 610 80.01 - 85.00................ 91 18,296,134.87 3.70 201,056.43 7.408 84.39 84.39 604 85.01 - 90.00................ 234 46,364,938.64 9.37 198,140.76 7.338 88.34 88.80 637 90.01 - 95.00................ 258 43,463,903.89 8.78 168,464.74 7.479 82.8 88.81 649 95.01 - 100.00................ 1,986 317,259,713.93 64.12 159,748.09 7.179 71.58 82.97 664 ----- ------------------ ------ Total...................... 2,942 $ 494,768,852.26 100.00% $ 168,174.32 7.215% 74.65% 82.53% 648 ===== ================== ====== OCCUPANCY STATUS OF THE GROUP I MORTGAGE LOANS(1) [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT OCCUPANCY STATUS LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- Investor....................... 120 $ 19,847,848.79 4.01% $ 165,398.74 7.423% 83.85% 84.00% 672 Owner Occupied................. 2,709 456,826,117.10 92.33 168,632.75 7.210 74.08 82.38 645 Second Home.................... 113 18,094,886.37 3.66 160,131.74 7.101 79.20 84.67 699 ----- ------------------ ------ Total..................... 2,942 $ 494,768,852.26 100.00% $ 168,174.32 7.215% 74.65% 82.53% 648 ===== ================== ====== ------------------- (1) The occupancy status of a Mortgaged Property is as represented by the mortgagor in its loan application. PROPERTY TYPES OF THE GROUP I MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT PROPERTY TYPE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 1 Family........................ 2,047 $ 335,073,513.64 67.72% $ 163,690.04 7.237% 74.59% 82.36% 646 PUD............................. 396 65,109,171.34 13.16 164,417.10 7.223 74.53 83.81 650 Condominium..................... 319 53,686,981.39 10.85 168,297.75 7.010 74.95 83.13 658 2-4 Family...................... 179 40,731,821.44 8.23 227,552.08 7.284 74.95 81.07 656 Townhouse....................... 1 167,364.45 0.03 167,364.45 6.999 80.00 80.00 673 ----- ------------------ ------ Total...................... 2,942 $ 494,768,852.26 100.00% $ 168,174.32 7.215% 74.65% 82.53% 648 ===== ================== ====== II-18
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DESCRIPTION OF THE GROUP I COLLATERAL PURPOSES OF THE GROUP I MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT LOAN PURPOSE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- Cash Out........................ 758 $ 129,926,295.69 26.26% $ 171,406.72 7.257% 75.31% 80.47% 613 Construction.................... 1 292,164.76 0.06 292,164.76 7.750 84.93 84.93 693 Purchase........................ 2,118 353,992,164.62 71.55 167,135.11 7.197 74.19 83.23 663 Refinance....................... 65 10,558,227.19 2.13 162,434.26 7.270 82.01 84.14 606 ----- ------------------ ------ Total...................... 2,942 $ 494,768,852.26 100.00% $ 168,174.32 7.215% 74.65% 82.53% 648 ===== ================== ====== DOCUMENTATION TYPES OF THE GROUP I MORTGAGE LOANS(1) [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT DOCUMENTATION TYPE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- Full-Full-Verified............. 948 $ 164,360,446.70 33.22% $ 173,376.00 6.859% 79.31% 81.66% 627 Full-Limited-Verified.......... 59 8,846,696.23 1.79 149,944.00 6.996 79.82 80.99 622 Limited-Full-Verified.......... 47 9,490,414.26 1.92 201,923.71 6.936 78.37 81.20 634 Limited-Limited-Verified....... 13 2,908,235.63 0.59 223,710.43 6.776 78.36 80.36 645 None-Full-None................. 2 425,350.43 0.09 212,675.22 8.262 95.00 95.00 631 None-Full-Verified............. 1,299 189,055,448.24 38.21 145,539.22 7.594 67.06 84.59 671 None-None-None................. 15 3,119,561.75 0.63 207,970.78 8.024 81.74 81.74 703 None-Stated-Verified........... 3 547,180.58 0.11 182,393.53 7.850 92.16 92.16 693 Reduced-Full-Verified.......... 195 39,088,826.01 7.90 200,455.52 6.733 80.01 83.18 645 Stated-Full-Verified........... 190 40,800,107.43 8.25 214,737.41 7.091 77.02 77.17 624 Stated-Limited-Verified........ 58 11,510,923.57 2.33 198,464.20 7.561 81.96 83.83 650 Stated-None-Verified........... 109 24,028,411.41 4.86 220,444.14 7.567 81.21 81.21 673 Stated-Stated-Verified......... 4 587,250.02 0.12 146,812.51 8.416 58.53 58.53 540 ----- ------------------ ------ Total..................... 2,942 $ 494,768,852.26 100.00% $ 168,174.32 7.215% 74.65% 82.53% 648 ===== ================== ====== ------------------- (1) For a description of the loan programs, see "The Originator--Underwriting Standards" in this prospectus supplement. II-19
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DESCRIPTION OF THE GROUP I COLLATERAL GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES OF THE GROUP I MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT LOCATION LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- California...................... 967 $ 194,466,800.13 39.30% $ 201,103.21 7.016% 72.59% 81.92% 652 Florida......................... 272 39,118,161.62 7.91 143,816.77 7.345 77.64 83.58 655 New York........................ 146 30,711,646.19 6.21 210,353.74 7.200 72.34 80.98 659 Maryland........................ 137 23,562,364.91 4.76 171,988.07 7.305 75.14 83.10 645 Washington...................... 131 22,669,608.24 4.58 173,050.44 6.949 78.97 82.72 646 Virginia........................ 118 20,774,028.51 4.20 176,051.09 7.524 70.91 82.90 651 Massachusetts................... 93 18,187,506.58 3.68 195,564.59 7.200 73.57 82.11 654 Illinois........................ 119 17,790,501.22 3.60 149,500.01 7.263 76.49 83.08 650 Texas........................... 178 17,169,641.53 3.47 96,458.66 7.763 74.27 84.31 633 Arizona......................... 93 15,449,298.10 3.12 166,121.48 7.379 78.23 82.53 641 New Jersey...................... 81 14,354,808.62 2.90 177,219.86 7.288 74.99 81.61 641 Nevada.......................... 72 12,556,181.54 2.54 174,391.41 7.101 77.07 83.16 655 Connecticut..................... 44 6,799,087.55 1.37 154,524.72 7.326 74.06 82.89 640 Pennsylvania.................... 54 6,598,739.47 1.33 122,198.88 7.568 79.44 85.19 647 Georgia......................... 44 5,259,959.14 1.06 119,544.53 8.018 75.13 85.18 644 Colorado........................ 31 4,920,786.24 0.99 158,735.04 7.110 80.14 83.34 628 Oregon.......................... 22 4,002,171.31 0.81 181,916.88 6.731 79.66 81.93 646 North Carolina.................. 29 3,925,052.01 0.79 135,346.62 7.463 79.46 84.65 635 Rhode Island.................... 22 3,808,593.75 0.77 173,117.90 6.997 79.43 82.01 629 New Hampshire................... 19 3,068,733.63 0.62 161,512.30 7.183 77.63 82.96 640 Mississippi..................... 25 2,693,332.49 0.54 107,733.30 7.565 80.48 84.15 613 Missouri........................ 24 2,440,677.36 0.49 101,694.89 8.027 79.98 83.86 638 Michigan........................ 23 2,407,474.38 0.49 104,672.80 7.883 79.77 86.43 624 Wisconsin....................... 17 2,355,646.73 0.48 138,567.45 7.543 75.95 84.16 646 District of Columbia............ 13 2,338,688.76 0.47 179,899.14 6.957 72.57 81.79 656 Idaho........................... 18 2,141,658.73 0.43 118,981.04 7.579 79.93 84.81 642 Ohio............................ 21 1,899,249.59 0.38 90,440.46 8.282 75.99 84.35 626 Tennessee....................... 21 1,793,585.96 0.36 85,408.86 8.081 81.93 85.29 635 Louisiana....................... 19 1,665,588.52 0.34 87,662.55 7.927 78.52 83.23 615 Minnesota....................... 10 1,456,715.07 0.29 145,671.51 7.138 73.29 78.95 655 New Mexico...................... 11 1,199,750.85 0.24 109,068.26 7.431 78.42 80.72 635 Utah............................ 10 1,191,189.88 0.24 119,118.99 7.427 73.97 84.81 635 South Carolina.................. 6 798,916.72 0.16 133,152.79 7.208 74.78 77.80 622 Oklahoma........................ 9 676,733.40 0.14 75,192.60 8.064 85.14 85.14 609 Indiana......................... 5 629,396.64 0.13 125,879.33 7.642 89.74 89.74 630 Maine........................... 7 615,758.21 0.12 87,965.46 7.639 73.39 77.13 603 Alabama......................... 5 597,434.89 0.12 119,486.98 8.188 84.53 84.53 610 Montana......................... 5 588,817.81 0.12 117,763.56 6.878 79.42 82.11 631 West Virginia................... 5 569,035.62 0.12 113,807.12 8.375 72.51 84.22 622 Kansas.......................... 5 293,364.32 0.06 58,672.86 8.731 87.72 87.72 654 Delaware........................ 3 292,323.86 0.06 97,441.29 7.706 68.85 81.09 601 Wyoming......................... 2 200,479.88 0.04 100,239.94 7.780 70.95 70.95 604 Arkansas........................ 1 197,765.37 0.04 197,765.37 8.625 90.00 90.00 596 Kentucky........................ 1 173,403.62 0.04 173,403.62 8.850 80.00 80.00 511 Vermont......................... 1 119,717.47 0.02 119,717.47 7.250 69.77 69.77 590 North Dakota.................... 1 92,406.33 0.02 92,406.33 8.350 90.00 90.00 737 Nebraska........................ 1 78,153.89 0.02 78,153.89 6.900 79.70 79.70 607 Iowa............................ 1 67,915.62 0.01 67,915.62 11.700 85.00 85.00 566 ----- ------------------ ------ Total...................... 2,942 $ 494,768,852.26 100.00% $ 168,174.32 7.215% 74.65% 82.53% 648 ===== ================== ====== II-20
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DESCRIPTION OF THE GROUP I COLLATERAL GROSS MARGINS OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT GROSS MARGIN (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 2.000 - 2.000................. 5 $ 569,785.81 0.14% $ 113,957.16 7.899% 76.42% 76.42% 616 2.001 - 2.500................. 1 209,649.99 0.05 209,649.99 7.725 79.99 79.99 670 3.501 - 4.000................. 2 301,711.50 0.07 150,855.75 7.403 88.88 88.88 693 4.001 - 4.500................. 75 14,580,845.27 3.52 194,411.27 6.805 81.60 81.60 655 4.501 - 5.000................. 40 9,414,337.46 2.27 235,358.44 6.069 81.13 81.13 665 5.001 - 5.500................. 204 48,049,500.84 11.59 235,536.77 6.200 79.97 79.97 662 5.501 - 6.000................. 503 107,508,466.17 25.92 213,734.53 6.708 80.18 80.18 653 6.001 - 6.500................. 477 104,658,945.61 25.24 219,410.79 6.737 80.38 80.38 652 6.501 - 7.000................. 380 81,083,446.20 19.55 213,377.49 7.059 81.91 81.91 647 7.001 - 7.500................. 128 25,207,072.36 6.08 196,930.25 7.421 83.59 83.59 627 7.501 - 8.000................. 101 17,464,174.00 4.21 172,912.61 7.875 83.63 83.63 624 8.001 - 8.500................. 25 3,903,047.75 0.94 156,121.91 8.316 84.23 84.23 618 8.501 - 9.000................. 8 1,189,156.56 0.29 148,644.57 8.096 88.99 88.99 610 9.001 - 9.500................. 3 588,433.60 0.14 196,144.53 9.413 92.27 92.27 557 ----- ------------------ ------ Total...................... 1,952 $ 414,728,573.12 100.00% $ 212,463.41 6.832% 81.05% 81.05% 650 ===== ================== ====== NEXT ADJUSTMENT DATES FOR THE ADJUSTABLE-RATE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT NEXT ADJUSTMENT DATE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- July 2005 - December 2005....... 2 $ 306,758.20 0.07% $ 153,379.10 6.646% 79.11% 79.11% 777 January 2006 - June 2006........ 2 422,526.42 0.10 211,263.21 7.731 90.00 90.00 618 July 2006 - December 2006....... 3 571,917.88 0.14 190,639.29 6.459 80.00 80.00 631 January 2007 - June 2007........ 1,375 289,944,289.69 69.91 210,868.57 6.894 81.31 81.31 648 July 2007 - December 2007....... 430 93,629,707.71 22.58 217,743.51 6.719 80.29 80.29 652 January 2008 - June 2008........ 57 11,772,585.71 2.84 206,536.59 6.717 81.29 81.29 652 July 2008 - December 2008....... 18 4,268,451.88 1.03 237,136.22 6.374 81.39 81.39 670 January 2010 - June 2010........ 24 5,211,457.70 1.26 217,144.07 6.369 75.80 75.80 670 July 2010 - December 2010....... 41 8,600,877.93 2.07 209,777.51 6.629 82.93 82.93 660 ----- ------------------ ------ Total...................... 1,952 $ 414,728,573.12 100.00% $ 212,463.41 6.832% 81.05% 81.05% 650 ===== ================== ====== II-21
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DESCRIPTION OF THE GROUP I COLLATERAL MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT MAXIMUM MORTGAGE RATE (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 10.250 - 10.500................ 1 $ 264,551.44 0.06% $ 264,551.44 7.250% 80.00% 80.00% 616 10.501 - 11.000................ 1 203,889.41 0.05 203,889.41 4.375 35.65 35.65 746 11.001 - 11.500................ 9 2,182,563.98 0.53 242,507.11 5.157 81.85 81.85 681 11.501 - 12.000................ 38 9,498,706.13 2.29 249,965.95 5.501 79.04 79.04 670 12.001 - 12.500................ 262 61,333,012.80 14.79 234,095.47 5.902 79.89 79.89 666 12.501 - 13.000................ 401 91,359,439.98 22.03 227,829.03 6.354 80.21 80.21 657 13.001 - 13.500................ 545 118,149,721.44 28.49 216,788.48 6.813 80.77 80.77 653 13.501 - 14.000................ 279 57,928,156.14 13.97 207,627.80 7.217 82.62 82.62 647 14.001 - 14.500................ 176 34,509,354.87 8.32 196,075.88 7.644 81.36 81.36 625 14.501 - 15.000................ 94 17,965,923.18 4.33 191,126.84 8.123 82.32 82.32 629 15.001 - 15.500................ 67 11,157,207.83 2.69 166,525.49 8.705 84.91 84.91 607 15.501 - 16.000................ 41 5,759,861.73 1.39 140,484.43 9.011 84.72 84.72 617 16.001 - 16.500................ 23 2,934,822.77 0.71 127,600.99 9.533 86.83 86.83 574 16.501 - 17.000................ 11 1,188,491.52 0.29 108,044.68 9.855 80.11 80.11 602 17.001 - 17.500................ 2 115,845.80 0.03 57,922.90 10.063 100.00 100.00 620 18.001 - 18.450................ 2 177,024.10 0.04 88,512.05 11.266 87.63 87.63 576 ----- ------------------ ------ Total...................... 1,952 $ 414,728,573.12 100.00% $ 212,463.41 6.832% 81.05% 81.05% 650 ===== ================== ====== MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT MINIMUM MORTGAGE RATE (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 2.000 - 2.500................ 2 $ 307,882.23 0.07% $ 153,941.12 8.021% 85.16% 85.16% 589 4.001 - 4.500................ 1 203,889.41 0.05 203,889.41 4.375 35.65 35.65 746 4.501 - 5.000................ 6 1,482,715.98 0.36 247,119.33 5.157 82.41 82.41 677 5.001 - 5.500................ 36 8,928,845.62 2.15 248,023.49 5.419 79.12 79.12 672 5.501 - 6.000................ 274 63,850,059.30 15.40 233,029.41 6.007 80.28 80.28 666 6.001 - 6.500................ 402 92,058,148.40 22.20 229,000.37 6.322 80.13 80.13 658 6.501 - 7.000................ 583 127,032,686.53 30.63 217,894.83 6.815 80.85 80.85 654 7.001 - 7.500................ 269 54,833,203.02 13.22 203,840.90 7.258 81.98 81.98 643 7.501 - 8.000................ 184 36,415,904.28 8.78 197,912.52 7.798 82.28 82.28 623 8.001 - 8.500................ 60 9,924,158.35 2.39 165,402.64 8.281 81.73 81.73 630 8.501 - 9.000................ 79 12,931,791.91 3.12 163,693.57 8.813 84.93 84.93 604 9.001 - 9.500................ 29 3,695,474.66 0.89 127,430.16 9.244 86.99 86.99 589 9.501 - 10.000................ 21 2,559,263.26 0.62 121,869.68 9.782 86.20 86.20 580 10.001 - 10.500................ 3 250,673.63 0.06 83,557.88 10.151 59.78 59.78 563 10.501 - 11.000................ 1 76,852.44 0.02 76,852.44 10.750 70.00 70.00 505 11.001 - 11.450................ 2 177,024.10 0.04 88,512.05 11.266 87.63 87.63 576 ----- ------------------ ------ Total...................... 1,952 $ 414,728,573.12 100.00% $ 212,463.41 6.832% 81.05% 81.05% 650 ===== ================== ====== II-22
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DESCRIPTION OF THE GROUP I COLLATERAL INITIAL PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT INITIAL PERIODIC RATE CAPS (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 1.000 - 1.000.................. 11 $ 1,968,638.49 0.47% $ 178,967.14 7.017% 80.51% 80.51% 659 1.001 - 1.500.................. 123 26,148,065.73 6.30 212,585.90 7.109 80.65 80.65 648 1.501 - 2.000.................. 3 544,055.57 0.13 181,351.86 6.993 79.99 79.99 647 2.501 - 3.000.................. 1,798 382,210,922.22 92.16 212,575.60 6.817 81.06 81.06 649 3.001 - 3.500.................. 1 159,664.14 0.04 159,664.14 7.825 80.00 80.00 648 4.501 - 5.000.................. 16 3,697,226.97 0.89 231,076.69 6.291 83.75 83.75 674 ----- ------------------ ------ Total..................... 1,952 $ 414,728,573.12 100.00% $ 212,463.41 6.832% 81.05% 81.05% 650 ===== ================== ====== SUBSEQUENT PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE GROUP I MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE SUBSEQUENT PERIODIC MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT RATE CAPS (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 1.000........................... 1,877 $ 397,285,062.33 95.79% $ 211,659.60 6.815% 81.05% 81.05% 649 1.500........................... 72 17,196,902.40 4.15 238,845.87 7.205 81.28 81.28 659 2.000........................... 3 246,608.39 0.06 82,202.80 7.974 60.37 60.37 618 ----- ------------------ ------ Total...................... 1,952 $ 414,728,573.12 100.00% $ 212,463.41 6.832% 81.05% 81.05% 650 ===== ================== ====== CREDIT SCORES OF THE GROUP I MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT CREDIT SCORES LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 500 - 524.................... 63 $ 10,399,101.40 2.10% $ 165,065.10 8.520% 73.19% 73.19% 511 525 - 549.................... 61 9,529,745.22 1.93 156,225.33 7.957 75.37 75.37 536 550 - 574.................... 123 22,672,131.60 4.58 184,326.27 7.560 79.73 79.73 563 575 - 599.................... 254 41,557,238.21 8.40 163,611.17 7.124 78.18 80.85 588 600 - 624.................... 523 85,169,021.11 17.21 162,847.08 7.252 74.98 82.21 612 625 - 649.................... 524 88,321,071.79 17.85 168,551.66 7.202 75.06 83.37 637 650 - 674.................... 508 83,877,222.12 16.95 165,112.64 7.228 72.94 83.29 661 675 - 699.................... 377 66,364,006.54 13.41 176,031.85 7.058 73.66 84.07 686 700 - 724.................... 223 38,614,764.15 7.80 173,160.38 7.007 72.78 83.50 712 725 - 749.................... 158 26,130,198.99 5.28 165,381.01 6.952 73.63 83.28 736 750 - 774.................... 87 16,019,572.00 3.24 184,133.01 7.113 74.33 83.89 761 775 - 799.................... 30 4,825,910.67 0.98 160,863.69 7.040 74.63 82.94 786 800 - 805.................... 11 1,288,868.46 0.26 117,169.86 7.021 73.81 85.37 802 ----- ------------------ ------ Total...................... 2,942 494,768,852.26 100.00% $ 168,174.32 7.215% 74.65% 82.53% 648 ===== ================== ====== II-23
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DESCRIPTION OF THE GROUP I COLLATERAL PRODUCT TYPE OF THE GROUP I MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT PRODUCT TYPE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 2/28 40/30 BALLOON............. 378 $ 90,902,998.22 18.37% $ 240,484.12 6.722% 80.38% 80.38% 638 2/28 ARM....................... 915 173,421,084.82 35.05 189,531.24 7.073 81.29 81.29 641 2/28 ARM (IO).................. 536 123,883,829.74 25.04 231,126.55 6.631 81.28 81.28 668 3/27 40/30 BALLOON............. 10 2,269,699.95 0.46 226,970.00 6.513 82.06 82.06 644 3/27 ARM....................... 43 8,315,302.84 1.68 193,379.14 6.848 81.86 81.86 647 3/27 ARM (IO).................. 23 5,787,626.62 1.17 251,635.94 6.383 80.79 80.79 684 5/25 40/30 BALLOON............. 9 1,509,752.85 0.31 167,750.32 6.758 76.42 76.42 630 5/25 ARM....................... 19 4,341,965.26 0.88 228,524.49 6.379 76.36 76.36 681 5/25 ARM (IO).................. 16 3,697,226.97 0.75 231,076.69 6.291 83.75 83.75 674 6 Month ARM.................... 2 306,758.20 0.06 153,379.10 6.646 79.11 79.11 777 ARM 40/30 BALLOON.............. 1 292,327.65 0.06 292,327.65 7.900 90.00 90.00 619 FIXED.......................... 236 31,499,689.96 6.37 133,473.26 7.645 71.88 77.25 607 FIXED 30/15 BALLOON............ 745 46,606,709.79 9.42 62,559.34 10.322 19.66 99.61 668 FIXED 40/30 BALLOON............ 9 1,933,879.39 0.39 214,875.49 7.391 73.49 73.49 585 ----- ------------------ ------ Total..................... 2,942 $ 494,768,852.26 100.00% $ 168,174.32 7.215% 74.65% 82.53% 648 ===== ================== ====== INTEREST-ONLY TERMS OF THE GROUP I MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT IO TERMS (MONTHS) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 0.............................. 2,367 $ 361,400,168.93 73.04% $ 152,682.79 7.437% 72.19% 82.97% 641 60............................. 554 129,173,110.26 26.11 233,164.46 6.616 81.37 81.37 669 120............................ 21 4,195,573.07 0.85 199,789.19 6.437 79.77 79.77 653 ----- ------------------ ------ Total..................... 2,942 $ 494,768,852.26 100.00% $ 168,174.32 7.215% 74.65% 82.53% 648 ===== ================== ====== LIEN TYPE ON THE GROUP I MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT LIEN TYPE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- First Lien...................... 2,155 $ 446,046,640.42 90.15% $ 206,982.20 6.876% 80.67% 80.67% 646 Second Lien..................... 787 48,722,211.84 9.85 61,908.78 10.317 19.63 99.57 668 ----- ------------------ ------ Total...................... 2,942 $ 494,768,852.26 100.00% $ 168,174.32 7.215% 74.65% 82.53% 648 ===== ================== ====== SEASONING OF THE GROUP I MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT SEASONING (MONTHS) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 1 - 6 2,934 $ 493,237,655.82 99.69% $ 168,110.99 7.214% 74.65% 82.53% 648 7- 12 8 1,531,196.44 0.31 191,399.56 7.350 76.43 81.19 661 ----- ----------------- ------ Total..................... 2,942 $ 494,768,852.26 100.00% $ 168,174.32 7.215% 74.65% 82.53% 648 ===== ================= ====== II-24
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DESCRIPTION OF THE GROUP I COLLATERAL PREPAYMENT FLAG ON THE GROUP I MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT PREPAYMENT FLAG LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- No............................. 1,008 $ 151,049,521.43 30.53% $ 149,850.72 7.592% 71.66% 83.56% 653 Yes............................ 1,934 343,719,330.83 69.47 177,724.58 7.049 75.97 82.07 647 ----- ----------------- ------ Total..................... 2,942 $ 494,768,852.26 100.00% $ 168,174.32 7.215% 74.65% 82.53% 648 ===== ================= ====== PREPAYMENT TERMS OF THE GROUP I MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT PREPAYMENT PENALTY LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 0 - 0.......................... 1,008 $ 151,049,521.43 30.53% $ 149,850.72 7.592% 71.66% 83.56% 653 1 - 12......................... 128 28,077,289.50 5.67 219,353.82 6.965 76.91 79.59 649 13 - 24........................ 1,600 284,432,008.61 57.49 177,770.01 7.042 76.04 82.62 648 25 - 36........................ 206 31,210,032.72 6.31 151,505.01 7.181 74.47 79.33 632 ----- ----------------- ------ Total..................... 2,942 $ 494,768,852.26 100.00% $ 168,174.32 7.215% 74.65% 82.53% 648 ===== ================= ====== DEBT-TO INCOME RATIO OF THE GROUP I MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT DEBT-TO-INCOME (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 0.00 - 25.00................. 199 $ 32,776,921.04 6.62% $ 164,708.15 7.217% 79.98% 82.79% 654 25.01 - 30.00................. 181 26,592,079.17 5.37 146,917.56 7.247 76.53 82.70 647 30.01 - 35.00................. 290 45,548,139.15 9.21 157,062.55 7.128 75.48 81.41 647 35.01 - 40.00................. 516 86,333,657.33 17.45 167,313.29 7.143 74.72 82.14 654 40.01 - 45.00................. 731 128,611,045.94 25.99 175,938.50 7.246 73.92 82.68 651 45.01 - 50.00................. 853 143,995,839.46 29.10 168,811.07 7.293 73.45 83.04 644 50.01 - 55.00................. 158 28,031,784.99 5.67 177,416.36 7.046 74.59 81.97 635 55.01 - 58.60................. 14 2,879,385.18 0.58 205,670.37 6.729 75.58 79.98 640 ----- ------------------ ------ Total..................... 2,942 $ 494,768,852.26 100.00% $ 168,174.32 7.215% 74.65% 82.53% 648 ===== ================== ====== ORIGINATORS OF THE GROUP I MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT ORIGINATOR LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- Accredited...................... 86 $ 19,247,339.32 3.89% $ 223,806.27 7.266% 79.84% 79.84% 652 First Horizon................... 171 30,115,393.54 6.09 176,113.41 7.673 81.92 81.92 646 IMPAC........................... 59 11,650,402.20 2.35 197,464.44 7.266 79.90 80.15 626 Mortgage IT..................... 130 23,265,855.43 4.70 178,968.12 7.248 80.70 82.31 639 WMC............................. 2,496 410,489,861.77 82.97 164,459.08 7.175 73.39 82.78 650 ----- ----------------- ------ Total...................... 2,942 $ 494,768,852.26 100.00% $ 168,174.32 7.215% 74.65% 82.53% 648 ===== ================= ====== II-25
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DESCRIPTION OF THE GROUP I COLLATERAL SERVICERS OF THE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT SERVICER LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- Chase........................... 347 $ 65,370,478.66 13.21% $ 188,387.55 7.478% 81.26% 81.51% 647 Countrywide..................... 2,592 428,749,800.05 86.66 165,412.73 7.176 73.64 82.69 649 HomeEQ.......................... 3 648,573.55 0.13 216,191.18 6.386 78.79 78.79 617 ----- ----------------- ------ Total...................... 2,942 $ 494,768,852.26 100.00% $ 168,174.32 7.215% 74.65% 82.53% 648 ===== ================= ====== II-26
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DESCRIPTION OF THE GROUP II COLLATERAL PRINCIPAL BALANCES OF THE GROUP II MORTGAGE LOANS AT ORIGINATION [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT RANGE ($) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 12,508.00 - 25,000.00... 218 $ 4,343,228.72 0.44% $ 19,923.07 0.227% 20.45% 99.54% 634 25,000.01 - 50,000.00... 591 22,369,770.86 2.26 37,850.71 9.876 29.20 95.15 638 50,000.01 - 75,000.00... 593 36,955,064.44 3.73 62,318.83 9.051 49.18 91.33 639 75,000.01 - 100,000.00... 483 42,398,170.20 4.28 87,780.89 8.483 57.43 87.81 633 100,000.01 - 125,000.00... 444 49,636,799.75 5.01 111,794.59 7.993 65.88 84.88 630 125,000.01 - 150,000.00... 390 53,642,603.43 5.42 137,545.14 7.513 72.77 81.71 631 150,000.01 - 175,000.00... 256 41,682,628.66 4.21 162,822.77 7.335 74.48 80.65 628 175,000.01 - 200,000.00... 236 44,563,018.94 4.50 188,826.35 7.490 74.28 81.45 623 200,000.01 - 225,000.00... 162 34,451,647.65 3.48 212,664.49 7.170 77.82 78.73 623 225,000.01 - 250,000.00... 169 40,304,024.42 4.07 238,485.35 6.992 78.49 78.49 624 250,000.01 - 275,000.00... 127 33,261,538.18 3.36 261,901.88 7.023 80.31 80.87 617 275,000.01 - 300,000.00... 149 42,812,885.17 4.33 287,334.80 7.083 79.38 79.38 630 300,000.01 - 359,650.00... 206 67,305,580.00 6.80 326,726.12 6.935 80.16 80.16 633 359,650.01 - 500,000.00... 709 295,509,251.93 29.86 416,797.25 6.678 81.22 81.22 653 500,000.01 - 1,000,000.00... 295 178,128,864.85 18.00 603,826.66 6.661 80.89 80.89 656 1,000,000.01 - 1,300,000.00... 2 2,417,869.07 0.24 1,208,934.54 5.820 76.59 76.59 752 ----- ------------------ ------ Total..................... 5,030 $ 989,782,946.27 100.00% $ 196,775.93 7.179% 75.26% 82.04% 641 ===== ================== ====== -------------------- (1) Based on Original Principal Balance. PRINCIPAL BALANCES OF THE GROUP II MORTGAGE LOANS AS OF THE CUT-OFF DATE [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT RANGE ($) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 12,496.88 - 25,000.00... 219 $ 4,359,873.18 0.44% $ 19,908.10 10.219% 20.43% 99.52% 634 25,000.01 - 50,000.00... 595 22,551,947.93 2.28 37,902.43 9.876 29.26 95.15 638 50,000.01 - 75,000.00... 590 36,847,859.81 3.72 62,454.00 9.040 49.31 91.29 639 75,000.01 - 100,000.00... 482 42,323,197.76 4.28 87,807.46 8.487 57.39 87.83 633 100,000.01 - 125,000.00... 443 49,620,155.29 5.01 112,009.38 7.993 65.90 84.88 630 125,000.01 - 150,000.00... 390 53,642,603.43 5.42 137,545.14 7.513 72.77 81.71 631 150,000.01 - 175,000.00... 259 42,207,121.32 4.26 162,961.86 7.322 74.57 80.66 628 175,000.01 - 200,000.00... 234 44,238,142.59 4.47 189,051.89 7.502 74.27 81.49 623 200,000.01 - 225,000.00... 162 34,476,876.87 3.48 212,820.23 7.189 77.80 78.71 622 225,000.01 - 250,000.00... 168 40,079,178.89 4.05 238,566.54 6.976 78.46 78.46 624 250,000.01 - 275,000.00... 129 33,810,763.15 3.42 262,098.94 7.027 80.55 81.10 618 275,000.01 - 300,000.00... 147 42,263,660.20 4.27 287,507.89 7.081 79.18 79.18 630 300,000.01 - 359,650.00... 229 75,562,988.03 7.63 329,969.38 6.918 80.13 80.13 635 359,650.01 - 500,000.00... 687 287,751,490.00 29.07 418,852.24 6.675 81.27 81.27 653 500,000.01 - 1,000,000.00... 294 177,629,218.75 17.95 604,181.02 6.661 80.87 80.87 656 1,000,000.01 - 1,300,000.00... 2 2,417,869.07 0.24 1,208,934.54 5.820 76.59 76.59 752 ----- ------------------ ------ Total..................... 5,030 $ 989,782,946.27 100.00% $ 196,775.93 7.179% 75.26% 82.04% 641 ===== ================== ====== II-27
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DESCRIPTION OF THE GROUP II COLLATERAL MORTGAGE RATES OF THE GROUP II MORTGAGE LOANS AS OF THE CUT-OFF DATE [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT MORTGAGE RATE (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 4.250 - 4.499................ 1 $ 397,896.93 0.04% $ 397,896.93 4.250% 80.00% 80.00% 740 5.000 - 5.499................ 59 22,071,014.00 2.23 374,084.98 5.349 77.04 77.04 693 5.500 - 5.999................ 416 142,953,050.56 14.44 343,637.14 5.808 78.12 78.12 671 6.000 - 6.499................ 507 148,159,574.99 14.97 292,227.96 6.249 78.99 78.99 656 6.500 - 6.999................ 838 235,715,903.09 23.81 281,283.89 6.745 80.43 80.43 646 7.000 - 7.499................ 502 115,334,583.90 11.65 229,750.17 7.272 80.76 80.81 625 7.500 - 7.999................ 664 140,895,954.09 14.24 212,192.70 7.731 81.53 82.12 618 8.000 - 8.499................ 297 47,697,841.17 4.82 160,598.79 8.239 76.64 84.74 621 8.500 - 8.999................ 377 44,765,805.33 4.52 118,742.19 8.726 69.93 87.56 611 9.000 - 9.499................ 152 17,345,508.26 1.75 114,115.19 9.204 65.70 88.32 611 9.500 - 9.999................ 521 33,850,772.31 3.42 64,972.69 9.772 34.66 96.65 640 10.000 - 10.499................ 167 10,516,621.33 1.06 62,973.78 10.218 34.26 96.84 628 10.500 - 10.999................ 375 23,102,238.56 2.33 61,605.97 10.765 22.34 99.06 632 11.000 - 11.499................ 90 3,452,957.34 0.35 38,366.19 11.202 19.95 99.01 609 11.500 - 11.999................ 44 2,280,238.57 0.23 51,823.60 11.763 20.95 95.78 623 12.000 - 12.499................ 5 279,865.73 0.03 55,973.15 12.229 20.00 100.00 648 12.500 - 12.999................ 13 831,402.70 0.08 63,954.05 12.607 29.1 94.44 614 13.000 - 13.499................ 1 89,760.95 0.01 89,760.95 13.000 20.00 100.00 647 13.500 - 13.599................ 1 41,956.46 0.00 41,956.46 13.599 70.00 70.00 519 ----- ------------------ ------ Total...................... 5,030 $ 989,782,946.27 100.00% $ 196,775.93 7.179% 75.26% 82.04% 641 ===== ================== ====== ORIGINAL TERMS TO STATED MATURITY OF THE GROUP II MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT ORIGINAL TERM (MONTHS) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 120............................ 5 $ 261,813.85 0.03% $ 52,362.77 6.650% 76.51% 76.51% 662 180............................ 1,457 90,270,710.25 9.12 61,956.56 9.753 23.13 97.17 658 240............................ 19 2,569,322.05 0.26 135,227.48 6.761 58.04 69.49 690 300............................ 1 80,188.13 0.01 80,188.13 6.750 89.83 89.83 659 360............................ 3,548 896,600,911.99 90.59 252,706.01 6.921 80.55 80.55 640 ----- ------------------ ------ Total..................... 5,030 $ 989,782,946.27 100.00% $ 196,775.93 7.179% 75.26% 82.04% 641 ===== ================== ====== REMAINING TERMS TO STATED MATURITY OF THE GROUP II MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT REMAINING TERM (MONTHS) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 115 - 120................... 5 $ 261,813.85 0.03% $ 52,362.77 6.650% 76.51% 76.51% 662 121 - 180................... 1,457 90,270,710.25 9.12 61,956.56 9.753 23.13 97.17 658 181 - 240................... 19 2,569,322.05 0.26 135,227.48 6.761 58.04 69.49 690 241 - 300................... 1 80,188.13 0.01 80,188.13 6.750 89.83 89.83 659 301 - 359................... 3,548 896,600,911.99 90.59 252,706.01 6.921 80.55 80.55 640 ----- ------------------ ------ Total..................... 5,030 $ 989,782,946.27 100.00% $ 196,775.93 7.179% 75.26% 82.04% 641 ===== ================== ====== II-28
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DESCRIPTION OF THE GROUP II COLLATERAL COMBINED LOAN-TO-VALUE RATIOS OF THE GROUP II MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE COMBINED MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT LOAN-TO-VALUE RATIO (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 9.00 - 25.00................. 4 $ 186,471.52 0.02% $ 46,617.88 8.473% 19.01% 19.01% 566 25.01 - 30.00................. 4 384,503.39 0.04 96,125.85 6.687 28.79 28.79 623 30.01 - 35.00................. 8 883,867.66 0.09 110,483.46 6.669 32.85 32.85 605 35.01 - 40.00................. 15 1,830,820.78 0.18 122,054.72 6.672 38.20 38.20 616 40.01 - 45.00................. 18 4,099,721.53 0.41 227,762.31 6.665 41.59 41.59 628 45.01 - 50.00................. 31 6,536,991.38 0.66 210,870.69 6.792 48.19 48.19 606 50.01 - 55.00................. 33 6,109,945.23 0.62 185,149.86 6.661 52.81 52.81 650 55.01 - 60.00................. 56 11,854,470.69 1.20 211,686.98 6.77 58.14 58.14 610 60.01 - 65.00................. 85 21,318,970.89 2.15 250,811.42 6.712 63.23 63.23 613 65.01 - 70.00................. 132 31,146,038.63 3.15 235,954.84 6.887 68.45 68.56 610 70.01 - 75.00................. 208 52,265,819.35 5.28 251,277.98 6.965 73.41 73.41 599 75.01 - 80.00................. 434 113,243,810.28 11.44 260,930.44 6.900 79.11 79.19 625 80.01 - 85.00................. 313 77,922,864.36 7.87 248,954.84 7.085 83.9 84.13 620 85.01 - 90.00................. 546 142,262,176.48 14.37 260,553.44 7.252 87.72 88.46 633 90.01 - 95.00................. 411 93,289,753.41 9.43 226,982.37 7.346 86.00 89.54 645 95.01 - 100.00................. 2,732 426,446,720.69 43.08 156,093.24 7.312 69.32 83.97 662 ----- ------------------ ------ Total..................... 5,030 $ 989,782,946.27 100.00% $ 196,775.93 7.179% 75.26% 82.04% 641 ===== ================== ====== ORIGINAL ADJUSTED LOAN-TO-VALUE RATIOS OF THE GROUP II MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE ORIGINAL ADJUSTED MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT LOAN-TO-VALUE RATIO (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 9.04 - 25.00................ 5 $ 216,960.93 0.02% $ 43,392.19 8.793% 19.14% 19.14% 574 25.01 - 30.00................ 4 384,503.39 0.04 96,125.85 6.687 28.79 28.79 623 30.01 - 35.00................ 8 883,867.66 0.09 110,483.46 6.669 32.85 32.85 605 35.01 - 40.00................ 17 2,722,921.66 0.28 160,171.86 6.338 38.70 38.70 655 40.01 - 45.00................ 18 3,467,769.97 0.35 192,653.89 6.908 42.11 42.11 604 45.01 - 50.00................ 31 6,536,991.38 0.66 210,870.69 6.792 48.19 48.19 606 50.01 - 55.00................ 34 6,216,821.60 0.63 182,847.69 6.671 52.83 52.83 649 55.01 - 60.00................ 56 12,284,547.93 1.24 219,366.93 6.709 58.18 58.18 616 60.01 - 65.00................ 85 21,318,970.89 2.15 250,811.42 6.712 63.23 63.23 613 65.01 - 70.00................ 148 34,760,831.18 3.51 234,870.48 6.877 68.39 68.49 614 70.01 - 75.00................ 243 64,596,888.95 6.53 265,830.82 6.958 73.62 73.62 611 75.01 - 80.00................ 1,826 475,658,042.99 48.06 260,491.81 6.715 79.76 79.78 654 80.01 - 85.00................ 335 79,622,820.88 8.04 237,680.06 7.122 84.34 84.38 617 85.01 - 90.00................ 526 131,166,527.22 13.25 249,366.02 7.322 88.72 89.62 632 90.01 - 95.00................ 311 62,815,815.50 6.35 201,980.11 7.654 89.44 94.54 640 95.01 - 100.00................ 1,367 85,939,156.26 8.68 62,866.98 9.766 28.12 99.90 657 100.01 - 100.04................ 16 1,189,507.88 0.12 74,344.24 10.199 24.56 100.00 660 ----- ------------------ ------ Total..................... 5,030 $ 989,782,946.27 100.00% $ 196,775.93 7.179% 75.26% 82.04% 641 ===== ================== ====== II-29
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DESCRIPTION OF THE GROUP II COLLATERAL ORIGINAL LOAN-TO-VALUE RATIOS OF THE GROUP II MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE ORIGINAL MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT LOAN-TO-VALUE RATIO (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 7.14 - 25.00............... 1,400 $ 83,189,204.77 8.40% $ 59,420.86 9.951% 19.79% 99.23% 658 25.01 - 30.00............... 17 1,555,629.27 0.16 91,507.60 9.938 28.32 81.44 636 30.01 - 35.00............... 15 1,203,321.50 0.12 80,221.43 7.689 32.81 50.67 610 35.01 - 40.00............... 17 2,722,921.66 0.28 160,171.86 6.338 38.70 38.70 655 40.01 - 45.00............... 18 3,467,769.97 0.35 192,653.89 6.908 42.11 42.11 604 45.01 - 50.00............... 31 6,536,991.38 0.66 210,870.69 6.792 48.19 48.19 606 50.01 - 55.00............... 34 6,216,821.60 0.63 182,847.69 6.671 52.83 52.83 649 55.01 - 60.00............... 56 12,284,547.93 1.24 219,366.93 6.709 58.18 58.18 616 60.01 - 65.00............... 85 21,318,970.89 2.15 250,811.42 6.712 63.23 63.23 613 65.01 - 70.00............... 147 34,695,881.62 3.51 236,026.41 6.866 68.49 68.49 614 70.01 - 75.00............... 243 64,596,888.95 6.53 265,830.82 6.958 73.62 73.62 611 75.01 - 80.00............... 1,825 475,508,357.64 48.04 260,552.52 6.714 79.78 79.78 654 80.01 - 85.00............... 334 79,575,971.63 8.04 238,251.41 7.119 84.38 84.38 617 85.01 - 90.00............... 497 129,640,699.46 13.10 260,846.48 7.288 89.62 89.62 631 90.01 - 95.00............... 244 58,702,945.18 5.93 240,585.84 7.460 94.53 94.53 640 95.01 - 100.00............... 67 8,566,022.82 0.87 127,851.09 8.210 99.28 99.28 651 ----- ------------------ ------ Total..................... 5,030 $ 989,782,946.27 100.00% $ 196,775.93 7.179% 75.26% 82.04% 641 ===== ================== ====== OCCUPANCY STATUS OF THE GROUP II MORTGAGE LOANS(1) [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT OCCUPANCY STATUS LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- Investor....................... 199 $ 40,007,259.73 4.04% $ 201,041.51 7.623% 82.44% 82.60% 668 Owner Occupied................. 4,744 934,021,898.19 94.37 196,884.89 7.159 74.93 81.98 639 Second Home.................... 87 15,753,788.35 1.59 181,078.03 7.190 76.38 83.97 687 ----- ------------------ ------ Total..................... 5,030 $ 989,782,946.27 100.00% $ 196,775.93 7.179% 75.26% 82.04% 641 ===== ================== ====== ------------------- (1) The occupancy status of a Mortgaged Property is as represented by the mortgagor in its loan application. PROPERTY TYPES OF THE GROUP II MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT PROPERTY TYPE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- Single Family.................. 3,774 $ 721,826,417.78 72.93% $ 191,262.96 7.178% 75.47% 81.90% 639 PUD............................ 598 131,103,404.08 13.25 219,236.46 7.217 74.88 83.00 645 Condominium.................... 409 70,822,964.32 7.16 173,161.28 7.040 73.16 82.79 656 2-4 Family..................... 245 65,647,354.74 6.63 267,948.39 7.250 75.90 80.88 649 Townhouse...................... 4 382,805.35 0.04 95,701.34 7.748 83.38 83.38 639 ----- ------------------ ------ Total..................... 5,030 $ 989,782,946.27 100.00% $ 196,775.93 7.179% 75.26% 82.04% 641 ===== ================== ====== II-30
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DESCRIPTION OF THE GROUP II COLLATERAL PURPOSES OF THE GROUP II MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT LOAN PURPOSE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- Cash Out....................... 2,138 $ 497,297,052.09 50.24% $ 232,599.18 7.027% 77.58% 80.22% 625 Construction................... 1 617,288.41 0.06 617,288.41 5.700 93.95 93.95 644 Purchase....................... 2,715 456,448,195.68 46.12 168,120.88 7.357 72.45 84.02 661 Refinance...................... 176 35,420,410.09 3.58 201,252.33 7.034 78.58 82.00 622 ----- ------------------ ------ Total..................... 5,030 $ 989,782,946.27 100.00% $ 196,775.93 7.179% 75.26% 82.04% 641 ===== ================== ====== DOCUMENTATION TYPES OF THE GROUP II MORTGAGE LOANS(1) [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT DOCUMENTATION TYPE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- Full-Full-Verified.............. 2,371 $ 386,862,925.62 39.09% $ 163,164.46 7.149% 75.34% 83.25% 629 Full-Limited-Verified........... 265 38,466,816.58 3.89 145,157.80 7.126 73.50 82.59 628 Limited-Full-Verified........... 100 22,041,592.96 2.23 220,415.93 6.943 74.83 82.39 637 Limited-Limited-Verified........ 55 10,958,564.40 1.11 199,246.63 7.428 74.01 85.36 658 None-Full-None.................. 3 290,198.83 0.03 96,732.94 8.589 90.63 90.63 635 None-Full-Verified.............. 669 156,526,461.83 15.81 233,970.79 7.435 72.46 82.79 675 None-None-None.................. 5 743,199.01 0.08 148,639.80 8.243 88.55 88.55 696 None-None-Verified.............. 2 171,718.22 0.02 85,859.11 8.645 88.92 88.92 650 None-Stated-Verified............ 3 1,235,819.86 0.12 411,939.95 7.830 90.00 90.00 702 Reduced-Full-Verified........... 498 120,144,577.71 12.14 241,254.17 6.871 76.07 83.37 646 Stated-Full-Verified............ 579 160,029,615.56 16.17 276,389.66 6.969 76.03 77.27 632 Stated-Limited-Verified......... 209 35,850,413.83 3.62 171,533.08 7.753 74.89 83.66 648 Stated-None-Verified............ 265 55,339,173.42 5.59 208,827.07 7.607 79.81 79.81 651 Stated-Stated-Verified.......... 6 1,121,868.44 0.11 186,978.07 7.055 79.86 83.84 653 ----- ------------------ ------ Total...................... 5,030 $ 989,782,946.27 100.00% $ 196,775.93 7.179% 75.26% 82.04% 641 ===== ================== ====== ------------------- (1) For a description of the loan programs, see "The Originator--Underwriting Standards" in this prospectus supplement. II-31
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DESCRIPTION OF THE GROUP II COLLATERAL GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES OF THE GROUP II MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT LOCATION LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- California..................... 1,721 $ 490,267,375.41 49.53% $ 284,873.55 6.924% 74.05% 81.21% 649 New York....................... 214 55,818,843.89 5.64 260,835.72 7.088 75.76 81.08 651 Florida........................ 365 50,519,726.86 5.10 138,410.21 7.509 74.27 82.16 641 Maryland....................... 236 46,950,952.20 4.74 198,944.71 7.237 77.00 82.85 640 Virginia....................... 163 34,155,330.59 3.45 209,541.91 7.372 75.96 82.54 636 New Jersey..................... 126 31,779,080.49 3.21 252,214.92 7.274 75.86 79.95 624 Texas.......................... 336 31,435,694.62 3.18 93,558.61 7.703 75.68 82.99 625 Illinois....................... 162 22,750,730.77 2.3 140,436.61 7.370 77.06 83.91 633 Washington..................... 161 22,230,570.05 2.25 138,078.07 7.399 74.00 84.98 626 Nevada......................... 103 20,684,885.02 2.09 200,824.13 7.241 74.3 82.92 651 Arizona........................ 119 18,693,887.67 1.89 157,091.49 7.587 74.31 82.52 620 Massachusetts.................. 70 17,280,313.00 1.75 246,861.61 6.969 76.34 82.17 646 Pennsylvania................... 104 12,597,880.88 1.27 121,133.47 7.707 80.58 83.87 611 Connecticut.................... 61 10,900,624.05 1.10 178,698.75 7.158 77.22 81.77 626 Georgia........................ 78 10,840,326.57 1.10 138,978.55 7.839 78.65 82.22 632 Colorado....................... 67 10,617,551.23 1.07 158,470.91 7.224 79.33 85.18 646 Michigan....................... 68 7,539,926.63 0.76 110,881.27 7.758 80.95 85.84 616 Missouri....................... 85 6,984,654.98 0.71 82,172.41 8.083 77.65 85.56 622 Tennessee...................... 68 6,937,536.99 0.70 102,022.60 8.052 83.58 86.34 613 Rhode Island................... 30 5,916,300.60 0.60 197,210.02 7.317 75.17 78.39 617 Louisiana...................... 75 5,893,681.61 0.60 78,582.42 7.795 74.95 83.95 604 North Carolina................. 57 5,662,401.86 0.57 99,340.38 7.666 74.00 83.44 636 Oregon......................... 42 5,600,206.27 0.57 133,338.24 7.376 78.62 85.53 641 District of Columbia........... 24 5,254,757.71 0.53 218,948.24 7.622 70.35 78.00 622 Ohio........................... 53 5,178,915.51 0.52 97,715.39 7.601 78.36 84.04 632 Idaho.......................... 44 5,102,156.76 0.52 115,958.11 7.849 81.46 85.78 627 Kansas......................... 35 4,312,001.11 0.44 123,200.03 7.452 81.10 84.85 645 New Hampshire.................. 28 3,582,935.82 0.36 127,961.99 7.137 77.84 85.07 615 Mississippi.................... 44 3,282,596.04 0.33 74,604.46 8.217 79.80 85.53 603 Wisconsin...................... 36 3,159,165.28 0.32 87,754.59 7.935 71.75 84.57 630 Minnesota...................... 16 3,149,940.42 0.32 196,871.28 7.427 83.64 90.79 644 New Mexico..................... 25 2,799,078.79 0.28 111,963.15 7.589 82.38 87.09 638 Alabama........................ 26 2,467,794.55 0.25 94,915.18 8.272 79.90 83.38 631 Oklahoma....................... 31 2,273,252.53 0.23 73,330.73 7.982 77.89 85.77 623 Utah........................... 16 2,249,305.83 0.23 140,581.61 7.453 83.30 85.11 632 South Carolina................. 17 1,832,910.93 0.19 107,818.29 7.519 79.00 83.97 664 Delaware....................... 15 1,827,274.80 0.18 121,818.32 8.039 74.92 85.50 632 Arkansas....................... 14 1,710,583.56 0.17 122,184.54 7.772 90.62 90.62 655 Indiana........................ 14 1,577,028.85 0.16 112,644.92 7.866 78.18 81.10 582 Maine.......................... 14 1,538,169.47 0.16 109,869.25 7.283 69.39 81.25 626 Montana........................ 13 1,167,178.68 0.12 89,782.98 7.473 74.07 84.46 632 Kentucky....................... 13 1,110,444.41 0.11 85,418.80 8.289 81.55 83.43 588 West Virginia.................. 8 1,061,513.48 0.11 132,689.19 8.024 81.04 86.38 604 Nebraska....................... 17 974,498.72 0.10 57,323.45 8.519 74.62 86.30 620 Vermont........................ 3 942,232.40 0.10 314,077.47 6.526 78.63 78.63 706 Iowa........................... 8 837,795.05 0.08 104,724.38 8.186 81.75 83.59 602 Alaska......................... 1 186,683.41 0.02 186,683.41 6.750 75.00. 75.00 640 Wyoming........................ 3 86,600.98 0.01 28,866.99 8.564 54.56 86.6 590 South Dakota................... 1 59,648.94 0.01 59,648.94 6.990 93.75 93.75 648 ----- ------------------ ------ Total..................... 5,030 $ 989,782,946.27 100.00% $ 196,775.93 7.179% 75.26% 82.04% 641 ===== ================== ====== II-32
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DESCRIPTION OF THE GROUP II COLLATERAL GROSS MARGINS OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT GROSS MARGIN (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 1.000 - 1.500............... 1 $ 224,791.25 0.03% $ 224,791.25 6.300% 69.23% 69.23% 602 1.501 - 2.000............... 12 1,926,991.23 0.24 160,582.60 7.443 84.42 84.42 606 2.501 - 3.000............... 3 1,294,868.13 0.16 431,622.71 6.673 84.89 84.89 661 3.001 - 3.500............... 1 111,591.69 0.01 111,591.69 6.500 80.00 80.00 728 3.501 - 4.000............... 4 699,187.53 0.09 174,796.88 7.094 91.32 91.32 663 4.001 - 4.500............... 92 18,726,057.08 2.35 203,544.10 6.825 81.25 81.25 641 4.501 - 5.000............... 69 21,800,977.17 2.74 315,956.19 5.926 79.16 79.16 662 5.001 - 5.500............... 302 93,814,464.02 11.79 310,643.92 6.189 78.24 78.24 665 5.501 - 6.000............... 822 216,336,798.88 27.19 263,183.45 6.724 79.73 79.73 644 6.001 - 6.500............... 673 186,508,451.92 23.44 277,129.94 6.868 80.30 80.30 638 6.501 - 7.000............... 554 136,161,194.52 17.12 245,778.33 7.275 82.47 82.47 624 7.001 - 7.500............... 279 67,961,222.90 8.54 243,588.61 7.564 83.17 83.17 615 7.501 - 8.000............... 220 43,280,180.62 5.44 196,728.09 8.008 84.79 84.79 620 8.001 - 8.500............... 17 3,739,641.34 0.47 219,978.90 8.408 86.33 86.33 592 8.501 - 9.000............... 12 2,273,524.62 0.29 189,460.39 8.714 89.07 89.07 587 9.001 - 9.500............... 6 650,916.45 0.08 108,486.08 9.818 83.47 83.47 549 12.001 - 12.099............... 1 41,956.46 0.01 41,956.46 13.599 70.00 70.00 519 ----- ------------------ ------ Total..................... 3,068 $ 795,552,815.81 100.00% $ 259,306.65 6.930% 80.83% 80.83% 638 ===== ================== ====== NEXT ADJUSTMENT DATES FOR THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT NEXT ADJUSTMENT DATE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- July 2005 - December 2005...... 5 $ 1,551,301.09 0.19% $ 310,260.22 6.980% 85.16% 85.16% 637 January 2006 - June 2006....... 3 747,194.04 0.09 249,064.68 7.231 84.36 84.36 643 July 2006 - December 2006...... 11 2,037,491.13 0.26 185,226.47 7.491 85.43 85.43 584 January 2007 - June 2007....... 2,158 538,855,078.23 67.73 249,701.15 7.018 80.97 80.97 635 July 2007 - December 2007...... 542 154,814,086.33 19.46 285,634.85 6.892 80.36 80.36 635 January 2008 - June 2008....... 117 24,413,793.49 3.07 208,664.90 6.898 81.18 81.18 640 July 2008 - December 2008...... 32 10,822,400.32 1.36 338,200.01 6.541 81.96 81.96 670 January 2010 - June 2010....... 140 42,882,804.16 5.39 306,305.74 6.289 80.57 80.57 668 July 2010 - December 2010...... 60 19,428,667.02 2.44 323,811.12 6.375 79.37 79.37 659 ----- ------------------ ------ Total..................... 3,068 $ 795,552,815.81 100.00% $ 259,306.65 6.930% 80.83% 80.83% 638 ===== ================== ====== II-33
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DESCRIPTION OF THE GROUP II COLLATERAL MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT MAXIMUM MORTGAGE RATE (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 10.750 - 11.000............... 1 $ 397,896.93 0.05% $ 397,896.93 4.250% 80.00% 80.00% 740 11.001 - 11.500............... 13 2,777,343.16 0.35 213,641.78 5.882 75.85 75.85 664 11.501 - 12.000............... 119 40,362,342.01 5.07 339,179.34 5.615 78.11 78.11 676 12.001 - 12.500............... 386 131,957,119.67 16.59 341,857.82 5.910 79.12 79.12 666 12.501 - 13.000............... 502 149,694,137.69 18.82 298,195.49 6.384 79.70 79.70 653 13.001 - 13.500............... 569 160,197,417.77 20.14 281,542.03 6.829 81.10 81.10 639 13.501 - 14.000............... 433 109,991,066.61 13.83 254,020.94 7.320 81.59 81.59 622 14.001 - 14.500............... 437 99,989,931.97 12.57 228,809.91 7.727 82.03 82.03 616 14.501 - 15.000............... 225 43,331,044.26 5.45 192,582.42 8.128 82.81 82.81 616 15.001 - 15.500............... 177 29,369,575.99 3.69 165,929.81 8.580 83.69 83.69 595 15.501 - 16.000............... 92 14,528,284.89 1.83 157,916.14 9.030 83.92 83.92 571 16.001 - 16.500............... 65 8,355,119.33 1.05 128,540.30 9.452 85.66 85.66 591 16.501 - 17.000............... 26 2,758,895.99 0.35 106,111.38 9.769 85.87 85.87 565 17.001 - 17.500............... 11 1,003,593.83 0.13 91,235.80 10.262 80.09 80.09 555 17.501 - 18.000............... 9 647,211.19 0.08 71,912.35 10.757 89.87 89.87 575 18.501 - 19.000............... 1 54,949.34 0.01 54,949.34 11.725 44.72 44.72 509 19.501 - 20.000............... 1 94,928.72 0.01 94,928.72 12.650 100.00 100.00 619 20.501 - 20.599............... 1 41,956.46 0.01 41,956.46 13.599 70.00 70.00 519 ----- ------------------ ------ Total..................... 3,068 $ 795,552,815.81 100.00% $ 259,306.65 6.930% 80.83% 80.83% 638 ===== ================== ====== MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT MINIMUM MORTGAGE RATE (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 2.000 - 2.500................ 3 $ 486,667.41 0.06% $ 162,222.47 8.537% 87.86% 87.86% 595 2.501 - 3.000................ 1 432,000.00 0.05 432,000.00 6.500 80.00 80.00 635 4.001 - 4.500................ 1 397,896.93 0.05 397,896.93 4.250 80.00 80.00 740 4.501 - 5.000................ 9 3,530,401.40 0.44 392,266.82 5.919 78.39 78.39 665 5.001 - 5.500................ 99 34,432,527.96 4.33 347,803.31 5.488 77.67 77.67 680 5.501 - 6.000................ 399 132,755,424.90 16.69 332,720.36 5.969 79.23 79.23 666 6.001 - 6.500................ 482 143,643,916.32 18.06 298,016.42 6.339 79.37 79.37 652 6.501 - 7.000................ 609 172,620,545.37 21.70 283,449.17 6.807 81.16 81.16 642 7.001 - 7.500................ 480 118,416,846.28 14.88 246,701.76 7.326 81.52 81.52 623 7.501 - 8.000................ 470 103,051,744.12 12.95 219,259.03 7.776 81.94 81.94 612 8.001 - 8.500................ 207 40,498,719.35 5.09 195,645.99 8.283 83.50 83.50 608 8.501 - 9.000................ 156 26,573,063.20 3.34 170,340.15 8.759 84.29 84.29 587 9.001 - 9.500................ 73 10,553,042.46 1.33 144,562.23 9.265 85.24 85.24 574 9.501 - 10.000................ 55 6,002,862.18 0.75 109,142.95 9.769 85.71 85.71 563 10.001 - 10.500................ 13 1,424,243.73 0.18 109,557.21 10.175 85.17 85.17 569 10.501 - 11.000................ 8 541,079.68 0.07 67,634.96 10.739 90.82 90.82 577 11.501 - 12.000................ 1 54,949.34 0.01 54,949.34 11.725 44.72 44.72 509 12.501 - 13.000................ 1 94,928.72 0.01 94,928.72 12.650 100.00 100.00 619 13.501 - 13.599................ 1 41,956.46 0.01 41,956.46 13.599 70.00 70.00 519 ----- ------------------ ------ Total...................... 3,068 $ 795,552,815.81 100.00% $ 259,306.65 6.930% 80.83% 80.83% 638 ===== =================== ====== II-34
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DESCRIPTION OF THE GROUP II COLLATERAL INITIAL PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT INITIAL PERIODIC RATE CAPS (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 1.000 - 1.000.................. 24 $ 5,363,982.31 0.67% $ 223,499.26 6.929% 81.55% 81.55% 641 1.001 - 1.500.................. 318 69,219,560.04 8.70 217,671.57 7.358 81.51 81.51 630 1.501 - 2.000.................. 23 5,288,480.34 0.66 229,933.93 6.663 82.24 82.24 626 2.501 - 3.000.................. 2,625 687,776,041.31 86.45 262,009.92 6.925 80.76 80.76 637 4.501 - 5.000.................. 77 27,795,151.81 3.49 360,976.00 6.025 80.64 80.64 685 6.001 - 6.500.................. 1 109,600.00 0.01 109,600.00 7.400 80.00 80.00 688 ----- ----------------- ------ Total..................... 3,068 $ 795,552,815.81 100.00% $ 259,306.65 6.930% 80.83% 80.83% 638 ===== ================= ====== SUBSEQUENT PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE GROUP II MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE SUBSEQUENT PERIODIC MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT RATE CAPS (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 1.000.......................... 2,864 $ 755,042,776.22 94.91% $ 263,632.25 6.891% 80.77% 80.77% 638 1.500.......................... 187 38,057,873.05 4.78 203,518.04 7.622 82.26 82.26 638 2.000.......................... 17 2,452,166.54 0.31 144,245.09 8.102 76.99 76.99 590 ----- ----------------- ------ Total..................... 3,068 $ 795,552,815.81 100.00% $ 259,306.65 6.93% 80.83% 80.83% 638 ===== ================= ====== CREDIT SCORES OF THE GROUP II MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT CREDIT SCORES LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 0 - 499...................... 6 $ 436,663.74 0.04% $ 72,777.29 8.301% 70.62% 70.62% 491 500 - 524...................... 151 28,582,653.21 2.89 189,289.09 8.170 77.45 77.59 512 525 - 549...................... 184 32,489,872.88 3.28 176,575.40 7.972 77.70 78.11 537 550 - 574...................... 283 59,930,053.65 6.05 211,766.97 7.701 78.85 79.06 562 575 - 599...................... 629 102,627,513.90 10.37 163,159.80 7.445 76.18 82.23 588 600 - 624...................... 904 160,534,826.84 16.22 177,582.77 7.306 74.53 82.22 613 625 - 649...................... 934 177,215,340.33 17.90 189,738.05 7.144 75.09 82.62 637 650 - 674...................... 750 158,133,304.29 15.98 210,844.41 7.009 75.00 82.56 661 675 - 699...................... 527 113,094,777.87 11.43 214,601.10 6.896 74.18 83.11 686 700 - 724...................... 310 71,014,867.05 7.17 229,080.22 6.748 74.72 82.77 711 725 - 749...................... 186 43,091,907.98 4.35 231,676.92 6.697 72.37 81.98 737 750 - 774...................... 116 30,269,207.92 3.06 260,941.45 6.723 75.14 82.76 762 775 - 799...................... 36 9,705,064.31 0.98 269,585.12 6.874 77.29 83.91 784 800 - 824...................... 14 2,656,892.30 0.27 189,778.02 6.896 77.20 80.97 808 ----- ------------------ ------ Total..................... 5,030 $ 989,782,946.27 100.00% $ 196,775.93 7.179% 75.26% 82.04% 641 ===== ================== ====== II-35
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DESCRIPTION OF THE GROUP II COLLATERAL PRODUCT TYPE OF THE GROUP II MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT PRODUCT TYPE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 2/28 40/30 BALLOON .............. 521 $168,556,860.84 17.03% $323,525.64 6.883% 80.58% 80.58% 626 2/28 ARM ........................ 1,599 319,553,377.92 32.29 199,845.76 7.348 80.65 80.65 618 2/28 ARM (IO) ................... 615 214,966,216.52 21.72 349,538.56 6.534 81.39 81.39 666 3/27 40/30 BALLOON .............. 13 4,813,387.35 0.49 370,260.57 6.293 80.34 80.34 677 3/27 ARM ........................ 103 20,117,015.75 2.03 195,310.83 7.113 80.97 80.97 630 3/27 ARM (IO) ................... 37 11,129,538.20 1.12 300,798.33 6.409 82.37 82.37 667 5/25 40/30 BALLOON .............. 33 9,964,196.12 1.01 301,945.34 6.454 79.24 79.24 681 5/25 ARM ........................ 49 12,451,078.40 1.26 254,103.64 6.602 79.88 79.88 639 5/25 ARM (IO) ................... 91 31,842,425.98 3.22 349,916.77 6.086 80.31 80.31 682 6 Month ARM ..................... 6 1,745,118.73 0.18 290,853.12 7.133 84.16 84.16 643 6 Month ARM (IO) ................ 1 413,600.00 0.04 413,600.00 6.375 88.00 88.00 639 FIXED ........................... 515 95,465,390.69 9.65 185,369.69 6.889 76.40 77.22 655 FIXED (IO) ...................... 7 2,027,063.71 0.2 289,580.53 6.543 77.36 77.36 679 FIXED 30/15 BALLOON ............. 1,396 83,543,521.32 8.44 59,844.93 9.974 20.00 99.42 658 FIXED 40/30 BALLOON ............. 44 13,194,154.74 1.33 299,867.15 6.683 80.44 80.44 654 ----- --------------- ------ Total ...................... 5,030 $989,782,946.27 100.00% $196,775.93 7.179% 75.26% 82.04% 641 ===== =============== ====== INTEREST-ONLY TERMS OF THE GROUP II MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT IO TERMS (MONTHS) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 0.............................. 4,279 $ 729,404,101.86 73.69% $ 170,461.35 7.430% 73.11% 82.31% 632 60............................. 713 248,132,802.54 25.07 348,012.35 6.476 81.29 81.29 668 120............................ 38 12,246,041.87 1.24 322,264.26 6.419 81.13 81.13 666 ----- ----------------- ------ Total..................... 5,030 $ 989,782,946.27 100.00% $ 196,775.93 7.179% 75.26% 82.04% 641 ===== ================= ====== LIEN TYPE ON THE GROUP II MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT LIEN TYPE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- First Lien..................... 3,615 $ 905,320,122.71 91.47% $ 250,434.34 6.918% 80.42% 80.42% 640 Second Lien.................... 1,415 84,462,823.56 8.53 59,691.04 9.971 19.95 99.44 658 ----- ----------------- ------ Total..................... 5,030 $ 989,782,946.27 100.00% $ 196,775.93 7.179% 75.26% 82.04% 641 ===== ================= ====== SEASONING OF THE GROUP II MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT SEASONING (MONTHS) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 1 - 6.......................... 4,960 $ 973,686,694.41 98.37% $ 196,307.80 7.179% 75.17% 82.04% 642 7 - 12......................... 70 16,096,251.86 1.63 229,946.46 7.155 80.42 82.33 625 ----- ------------------ ------ Total..................... 5,030 $ 989,782,946.27 100.00% $ 196,775.93 7.179% 75.26% 82.04% 641 ===== ================== ====== II-36
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DESCRIPTION OF THE GROUP II COLLATERAL PREPAYMENT FLAG ON THE GROUP II MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT PREPAYMENT FLAG LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- No............................. 1,701 $ 301,942,083.47 30.51% $ 177,508.57 7.502% 73.75% 82.71% 642 Yes............................ 3,329 687,840,862.80 69.49 206,620.87 7.036 75.92 81.75 641 ----- ----------------- ------ Total..................... 5,030 $ 989,782,946.27 100.00% $ 196,775.93 7.179% 75.26% 82.04% 641 ===== ================= ====== PREPAYMENT TERMS OF THE GROUP II MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT PREPAYMENT TERM (MONTHS) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 0 - 0.......................... 1,701 $ 301,942,083.47 30.51% $ 177,508.57 7.502% 73.75% 82.71% 642 1 - 12......................... 173 45,881,191.76 4.64 265,209.20 6.932 76.32 80.08 654 13 - 24........................ 2,596 527,772,786.26 53.32 203,302.31 7.089 75.45 82.31 638 25 - 36........................ 494 104,192,775.18 10.53 210,916.55 6.779 77.78 79.85 656 37 - 60........................ 66 9,994,109.60 1.01 151,425.90 7.398 79.34 79.34 627 ----- ------------------ ------ Total..................... 5,030 $ 989,782,946.27 100.00% $ 196,775.93 7.179% 75.26% 82.04% 641 ===== ================== ====== DEBT-TO INCOME RATIO OF THE GROUP II MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT DEBT-TO-INCOME (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 0.00 - 25.00................. 326 $ 58,290,290.46 5.89% $ 178,804.57 7.201% 73.59% 80.61% 650 25.01 - 30.00................. 280 51,851,252.19 5.24 185,183.04 7.044 75.65 81.27 642 30.01 - 35.00................. 617 111,571,113.09 11.27 180,828.38 7.131 75.06 81.19 647 35.01 - 40.00................. 895 174,595,554.90 17.64 195,078.83 7.097 74.86 81.72 646 40.01 - 45.00................. 1,211 248,229,053.82 25.08 204,978.57 7.167 75.66 82.17 642 45.01 - 50.00................. 1,314 270,657,312.21 27.35 205,979.69 7.276 75.02 82.43 637 50.01 - 55.00................. 328 63,386,547.53 6.40 193,251.67 7.247 77.29 83.91 627 55.01 - 60.00................. 58 11,068,222.07 1.12 190,831.42 6.957 75.64 83.71 635 60.01 - 62.03................. 1 133,600.00 0.01 133,600.00 5.750 80.00 80.00 688 ----- ------------------ ------ Total..................... 5,030 $ 989,782,946.27 100.00% $ 196,775.93 7.179% 75.26% 82.04% 641 ===== ================== ====== II-37
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DESCRIPTION OF THE GROUP II COLLATERAL ORIGINATORS OF THE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT ORIGINATOR LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- Accredited...................... 271 $ 51,321,765.03 5.19% $ 189,379.21 7.509% 81.19% 81.19% 641 First Horizon................... 306 51,600,396.44 5.21 168,628.75 7.718 81.00 81.00 631 IMPAC........................... 181 37,039,682.91 3.74 204,639.13 7.354 74.96 81.11 628 Mortgage IT..................... 529 85,275,794.81 8.62 161,201.88 7.428 74.15 83.39 640 WMC............................. 3,743 764,545,307.08 77.24 204,260.03 7.084 74.61 82.06 643 ----- ------------------ ------ Total...................... 5,030 $ 989,782,946.27 100.00% $ 196,775.93 7.179% 75.26% 82.04% 641 ===== ================== ====== SERVICERS OF THE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT SERVICER LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- Chase.......................... 776 $ 129,256,601.73 13.06% $ 166,567.79 7.659% 78.90% 81.81% 636 Countrywide.................... 4,174 838,862,069.84 84.75 200,973.18 7.114 74.59 82.09 642 HomeEQ......................... 80 21,664,274.70 2.19 270,803.43 6.817 79.48 81.49 641 ----- ------------------ ------ Total..................... 5,030 $ 989,782,946.27 100.00% $ 196,775.93 7.179% 75.26% 82.04% 641 ===== ================== ====== II-38
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DESCRIPTION OF THE INTEREST-ONLY COLLATERAL PRINCIPAL BALANCES OF THE INTEREST-ONLY MORTGAGE LOANS AT ORIGINATION [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT RANGE ($) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 42,000.00 - 50,000.00... 1 $ 41,800.97 0.01% $ 41,800.97 6.525% 67.74% 67.74% 583 50,000.01 - 75,000.00... 11 703,996.42 0.18 63,999.67 7.352 76.78 76.78 664 75,000.01 - 100,000.00... 41 3,712,860.93 0.94 90,557.58 7.129 80.69 80.69 658 100,000.01 - 125,000.00... 49 5,651,682.42 1.44 115,340.46 6.890 80.32 80.32 661 125,000.01 - 150,000.00... 85 11,808,111.09 3.00 138,918.95 6.868 80.94 80.94 659 150,000.01 - 175,000.00... 89 14,407,588.97 3.66 161,883.02 6.705 80.20 80.20 653 175,000.01 - 200,000.00... 109 20,568,003.33 5.22 188,697.28 6.687 80.92 80.92 661 200,000.01 - 225,000.00... 78 16,540,960.70 4.20 212,063.60 6.713 82.14 82.14 661 225,000.01 - 250,000.00... 94 22,388,153.35 5.69 238,171.84 6.596 80.31 80.31 662 250,000.01 - 275,000.00... 108 28,325,992.55 7.19 262,277.71 6.548 81.09 81.09 664 275,000.01 - 300,000.00... 89 25,686,543.41 6.52 288,612.85 6.579 81.77 81.77 681 300,000.01 - 359,650.00... 180 59,150,592.89 15.02 328,614.40 6.548 81.16 81.16 671 359,650.01 - 500,000.00... 280 116,665,985.42 29.63 416,664.23 6.382 81.54 81.54 671 500,000.01 - 1,000,000.00... 111 66,795,255.29 16.96 601,759.06 6.423 81.74 81.74 667 1,000,000.01 - 1,300,000.00... 1 1,300,000.00 0.33 1,300,000.00 5.450 73.65 73.65 724 ----- ----------------- ------ Total..................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ===== ================= ====== -------------------- (1) Based on Original Principal Balance. PRINCIPAL BALANCES OF THE INTEREST-ONLY MORTGAGE LOANS AS OF THE CUT-OFF DATE [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT RANGE ($) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 41,800.97 - 50,000.00... 1 $ 41,800.97 0.01% $ 41,800.97 6.525% 67.74% 67.74% 583 50,000.01 - 75,000.00... 11 703,996.42 0.18 63,999.67 7.352 76.78 76.78 664 75,000.01 - 100,000.00... 41 3,712,860.93 0.94 90,557.58 7.129 80.69 80.69 658 100,000.01 - 125,000.00... 49 5,651,682.42 1.44 115,340.46 6.890 80.32 80.32 661 125,000.01 - 150,000.00... 85 11,808,111.09 3.00 138,918.95 6.868 80.94 80.94 659 150,000.01 - 175,000.00... 89 14,407,588.97 3.66 161,883.02 6.705 80.20 80.20 653 175,000.01 - 200,000.00... 109 20,568,003.33 5.22 188,697.28 6.687 80.92 80.92 661 200,000.01 - 225,000.00... 78 16,540,960.70 4.20 212,063.60 6.713 82.14 82.14 661 225,000.01 - 250,000.00... 94 22,388,153.35 5.69 238,171.84 6.596 80.31 80.31 662 250,000.01 - 275,000.00... 108 28,325,992.55 7.19 262,277.71 6.548 81.09 81.09 664 275,000.01 - 300,000.00... 89 25,686,543.41 6.52 288,612.85 6.579 81.77 81.77 681 300,000.01 - 359,650.00... 181 59,508,800.01 15.11 328,777.90 6.545 81.12 81.12 671 359,650.01 - 500,000.00... 279 116,307,778.30 29.54 416,873.76 6.384 81.56 81.56 672 500,000.01 - 1,000,000.00... 111 66,795,255.29 16.96 601,759.06 6.423 81.74 81.74 667 1,000,000.01 - 1,300,000.00... 1 1,300,000.00 0.33 1,300,000.00 5.450 73.65 73.65 724 ----- ----------------- ------ Total..................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ===== ================= ====== II-39
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DESCRIPTION OF THE INTEREST-ONLY COLLATERAL MORTGAGE RATES OF THE INTEREST-ONLY MORTGAGE LOANS AS OF THE CUT-OFF DATE [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT MORTGAGE RATE (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 4.990 - 4.999............... 2 $ 660,000.00 0.17% $ 330,000.00 4.990% 80.00% 80.00% 680 5.000 - 5.499............... 48 17,457,512.56 4.43 363,698.18 5.345 78.40 78.40 699 5.500 - 5.999............... 289 97,510,807.15 24.76 337,407.64 5.812 79.80 79.80 677 6.000 - 6.499............... 270 81,567,964.24 20.72 302,103.57 6.229 80.58 80.58 667 6.500 - 6.999............... 405 114,293,314.18 29.03 282,205.71 6.723 81.86 81.86 668 7.000 - 7.499............... 153 43,041,232.43 10.93 281,315.24 7.237 82.82 82.82 653 7.500 - 7.999............... 92 24,980,510.63 6.34 271,527.29 7.704 84.49 84.49 648 8.000 - 8.499............... 34 6,822,853.86 1.73 200,672.17 8.274 82.66 82.66 654 8.500 - 8.999............... 20 4,157,804.06 1.06 207,890.20 8.741 85.20 85.20 649 9.000 - 9.499............... 7 1,888,578.40 0.48 269,796.91 9.187 85.45 85.45 663 9.500 - 9.999............... 3 687,440.23 0.17 229,146.74 9.610 91.50 91.50 633 10.000 - 10.025............... 3 679,510.00 0.17 226,503.33 10.015 89.64 89.64 572 ----- ----------------- ------ Total..................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ===== ================= ====== ORIGINAL TERMS TO STATED MATURITY OF THE INTEREST-ONLY MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT ORIGINAL TERM (MONTHS) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 360............................. 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ----- ----------------- ------ Total...................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ===== ================= ====== REMAINING TERMS TO STATED MATURITY OF THE INTEREST-ONLY MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT REMAINING TERM (MONTHS) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 348 - 359................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ----- ----------------- ------ Total..................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ===== ================= ====== II-40
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DESCRIPTION OF THE INTEREST-ONLY COLLATERAL COMBINED LOAN-TO-VALUE RATIOS OF THE INTEREST-ONLY MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE COMBINED MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT LOAN-TO-VALUE RATIO (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 36.88 - 40.00............... 2 $ 184,000.00 0.05% $ 92,000.00 5.776% 37.33% 37.33% 636 45.01 - 50.00............... 2 435,000.00 0.11 217,500.00 5.478 47.28 47.28 741 50.01 - 55.00............... 5 949,499.00 0.24 189,899.80 6.895 52.59 52.59 639 55.01 - 60.00............... 6 1,522,690.03 0.39 253,781.67 5.990 57.90 57.90 677 60.01 - 65.00............... 12 3,732,610.67 0.95 311,050.89 6.058 63.43 63.43 669 65.01 - 70.00............... 13 3,115,346.23 0.79 239,642.02 6.401 68.61 68.61 642 70.01 - 75.00............... 33 10,578,815.96 2.69 320,570.18 6.151 73.37 73.37 631 75.01 - 80.00............... 95 30,569,525.26 7.76 321,784.48 6.469 79.38 79.38 651 80.01 - 85.00............... 58 19,452,677.78 4.94 335,391.00 6.301 83.39 83.39 661 85.01 - 90.00............... 154 50,293,432.44 12.77 326,580.73 6.835 88.40 88.40 652 90.01 - 95.00............... 111 34,569,167.80 8.78 311,433.94 6.816 88.00 88.00 661 95.01 - 100.00............... 835 238,344,762.57 60.53 285,442.83 6.465 80.06 80.06 677 ----- ----------------- ------ Total..................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ===== ================= ====== ORIGINAL LOAN-TO-VALUE RATIOS OF THE INTEREST-ONLY MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE ORIGINAL MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT LOAN-TO-VALUE RATIO (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 36.88 - 40.00............... 2 $ 184,000.00 0.05% $ 92,000.00 5.776% 37.33% 37.33% 636 40.01 - 45.00............... 1 161,417.00 0.04 161,417.00 6.175 44.63 44.63 684 45.01 - 50.00............... 2 435,000.00 0.11 217,500.00 5.478 47.28 47.28 741 50.01 - 55.00............... 5 949,499.00 0.24 189,899.80 6.895 52.59 52.59 639 55.01 - 60.00............... 6 1,522,690.03 0.39 253,781.67 5.990 57.90 57.90 677 60.01 - 65.00............... 12 3,732,610.67 0.95 311,050.89 6.058 63.43 63.43 669 65.01 - 70.00............... 16 3,935,094.22 1.00 245,943.39 6.424 68.54 68.54 645 70.01 - 75.00............... 38 13,540,065.96 3.44 356,317.53 6.174 73.60 73.60 646 75.01 - 80.00............... 971 283,962,864.13 72.12 292,443.73 6.447 79.88 79.88 674 80.01 - 85.00............... 63 19,847,021.96 5.04 315,032.09 6.397 84.20 84.20 657 85.01 - 90.00............... 139 44,481,972.11 11.30 320,014.19 6.926 89.71 89.71 650 90.01 - 95.00............... 68 19,932,292.67 5.06 293,121.95 7.132 94.56 94.56 653 95.01 - 100.00............... 3 1,062,999.99 0.27 354,333.33 7.439 100.00 100.00 689 ----- ----------------- ------ Total..................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ===== ================= ====== OCCUPANCY STATUS OF THE INTEREST-ONLY MORTGAGE LOANS(1) [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT OCCUPANCY STATUS LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- Investor....................... 13 $ 2,821,989.01 0.72% $ 217,076.08 7.991% 87.77% 87.77% 688 Owner Occupied................. 1,270 380,992,172.71 96.76 299,993.84 6.512 81.17 81.17 667 Second Home.................... 43 9,933,366.02 2.52 231,008.51 6.406 84.09 84.09 694 ----- ----------------- ------ Total..................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ===== ================= ====== ------------------- (1) The occupancy status of a Mortgaged Property is as represented by the mortgagor in its loan application. II-41
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DESCRIPTION OF THE INTEREST-ONLY COLLATERAL PROPERTY TYPES OF THE INTEREST-ONLY MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT PROPERTY TYPE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 1 Family....................... 918 $ 276,026,330.10 70.10% $ 300,682.28 6.532% 81.10% 81.10% 668 PUD............................ 190 59,820,841.14 15.19 314,846.53 6.579 82.15 82.15 666 Condominium.................... 184 46,569,749.95 11.83 253,096.47 6.291 81.35 81.35 672 2-4 Family..................... 34 11,330,606.55 2.88 333,253.13 6.875 81.45 81.45 663 ----- ----------------- ------ Total..................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ===== ================= ====== PURPOSES OF THE INTEREST-ONLY MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT LOAN PURPOSE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- Cash out........................ 462 $ 141,541,018.25 35.95% $ 306,365.84 6.510% 82.02% 82.02% 651 Purchase........................ 838 244,349,139.45 62.06 291,586.09 6.530 80.78 80.78 678 Refinance....................... 26 7,857,370.04 2.00 302,206.54 6.408 84.41 84.41 660 ----- ----------------- ------ Total...................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ===== ================= ====== DOCUMENTATION TYPES OF THE INTEREST-ONLY MORTGAGE LOANS(1) [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT DOCUMENTATION TYPE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- Full-Full-Verified............. 548 $ 152,889,262.22 38.83% $ 278,995.00 6.291% 81.53% 81.53% 659 Full-Limited-Verified.......... 72 20,640,740.27 5.24 286,676.95 6.440 81.12 81.12 640 Limited-Full-Verified.......... 32 9,277,989.28 2.36 289,937.17 6.402 82.56 82.56 655 Limited-Limited-Verified....... 25 7,951,446.20 2.02 318,057.85 6.768 81.47 81.47 656 None-Full-None................. 1 206,097.00 0.05 206,097.00 7.875 95.00 95.00 624 None-Full-Verified............. 214 67,258,897.28 17.08 314,293.91 6.655 80.29 80.29 702 None-None-None................. 9 1,997,499.70 0.51 221,944.41 8.446 83.25 83.25 702 None-Stated-Verified........... 1 234,000.00 0.06 234,000.00 7.375 90.00 90.00 714 Reduced-Full-Verified.......... 164 56,153,681.62 14.26 342,400.50 6.206 81.58 81.58 664 Stated-Full-Verified........... 76 26,493,542.02 6.73 348,599.24 6.509 80.82 80.82 674 Stated-Limited-Verified........ 74 20,882,824.27 5.30 282,200.33 7.193 82.39 82.39 654 Stated-None-Verified........... 109 29,392,547.88 7.46 269,656.40 7.410 80.78 80.78 675 Stated-Stated-Verified......... 1 369,000.00 0.09 369,000.00 6.990 90.00 90.00 662 ----- ----------------- ------ Total..................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ===== ================= ====== ------------------- (1) For a description of the loan programs, see "The Originator--Underwriting Standards" in this prospectus supplement. II-42
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DESCRIPTION OF THE INTEREST-ONLY COLLATERAL GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES OF THE INTEREST-ONLY MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT LOCATION LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- California..................... 686 $ 242,806,088.16 61.67% $ 353,944.73 6.343% 80.84% 80.84% 671 Florida........................ 101 22,217,166.01 5.64 219,971.94 6.684 81.61 81.61 676 Maryland....................... 71 17,867,646.39 4.54 251,656.99 6.643 81.12 81.12 672 Virginia....................... 41 13,202,006.42 3.35 322,000.16 6.911 80.98 80.98 666 Washington..................... 56 11,873,667.69 3.02 212,029.78 6.733 81.65 81.65 652 New York....................... 31 11,376,812.08 2.89 366,993.94 6.651 81.27 81.27 678 Nevada......................... 40 10,998,258.00 2.79 274,956.45 6.646 82.16 82.16 662 Arizona........................ 43 9,514,415.73 2.42 221,265.48 6.946 82.37 82.37 656 Massachusetts.................. 22 6,645,643.54 1.69 302,074.71 6.541 81.34 81.34 686 New Jersey..................... 25 6,352,530.16 1.61 254,101.21 7.144 82.90 82.90 656 Georgia........................ 21 4,514,051.06 1.15 214,954.81 7.626 83.32 83.32 652 Colorado....................... 21 3,873,909.17 0.98 184,471.87 6.901 81.61 81.61 643 Illinois....................... 20 3,712,977.85 0.94 185,648.89 6.536 83.72 83.72 661 Texas.......................... 16 2,870,088.30 0.73 179,380.52 7.287 82.60 82.60 654 Oregon......................... 14 2,630,004.00 0.67 187,857.43 6.373 82.90 82.90 663 Pennsylvania................... 11 2,461,103.96 0.63 223,736.72 7.291 86.45 86.45 644 Connecticut.................... 10 2,456,600.00 0.62 245,660.00 6.582 79.08 79.08 655 North Carolina................. 16 2,290,333.19 0.58 143,145.82 7.173 84.42 84.42 654 Kansas......................... 6 1,610,719.13 0.41 268,453.19 6.702 81.87 81.87 657 Michigan....................... 9 1,538,939.17 0.39 170,993.24 6.750 80.88 80.88 645 Idaho.......................... 8 1,503,649.25 0.38 187,956.16 7.245 85.98 85.98 638 Minnesota...................... 4 1,405,031.68 0.36 351,257.92 6.583 91.90 91.90 683 Ohio........................... 6 1,288,310.23 0.33 214,718.37 7.300 81.44 81.44 652 Rhode Island................... 6 1,129,596.61 0.29 188,266.10 6.709 82.71 82.71 699 Wisconsin...................... 6 1,111,552.94 0.28 185,258.82 7.085 81.34 81.34 633 District of Columbia........... 3 997,819.99 0.25 332,606.66 7.130 82.84 82.84 644 Mississippi.................... 5 911,201.04 0.23 182,240.21 6.867 84.15 84.15 616 Utah........................... 4 796,425.00 0.20 199,106.25 6.974 82.94 82.94 663 Tennessee...................... 4 669,839.99 0.17 167,460.00 7.136 87.46 87.46 647 New Mexico..................... 3 659,703.00 0.17 219,901.00 6.600 81.89 81.89 652 South Carolina................. 3 494,650.00 0.13 164,883.33 6.462 75.23 75.23 634 Iowa........................... 2 392,520.00 0.10 196,260.00 7.822 80.00 80.00 628 New Hampshire.................. 2 359,370.00 0.09 179,685.00 6.811 82.33 82.33 654 Missouri....................... 3 281,400.00 0.07 93,800.00 6.827 82.49 82.49 710 Oklahoma....................... 2 255,350.00 0.06 127,675.00 7.939 91.10 91.10 647 Indiana........................ 1 180,500.00 0.05 180,500.00 6.500 95.00 95.00 650 Montana........................ 1 156,800.00 0.04 156,800.00 6.451 80.00 80.00 757 Louisiana...................... 1 137,600.00 0.03 137,600.00 6.850 80.00 80.00 627 Maine.......................... 1 113,998.00 0.03 113,998.00 6.750 75.00 75.00 585 Delaware....................... 1 89,250.00 0.02 89,250.00 7.500 85.00 85.00 594 ----- ----------------- ------ Total..................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ===== ================= ====== II-43
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DESCRIPTION OF THE INTEREST-ONLY COLLATERAL GROSS MARGINS OF THE ADJUSTABLE-RATE INTEREST-ONLY MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT GROSS MARGIN (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 2.000 - 2.500................ 1 $ 212,900.00 0.05% $ 212,900.00 7.250% 85.23% 85.23% 614 2.501 - 3.000................ 2 864,500.00 0.22 432,250.00 6.635 79.86 79.86 638 3.501 - 4.000................ 3 748,980.00 0.19 249,660.00 7.110 90.00 90.00 675 4.001 - 4.500................ 24 6,539,483.18 1.67 272,478.47 6.066 81.08 81.08 686 4.501 - 5.000................ 43 14,283,000.83 3.65 332,162.81 5.750 79.14 79.14 667 5.001 - 5.500................ 220 67,965,861.03 17.35 308,935.73 6.036 79.90 79.90 674 5.501 - 6.000................ 498 148,792,512.38 37.98 298,780.15 6.559 80.60 80.60 665 6.001 - 6.500................ 278 81,900,083.87 20.91 294,604.62 6.602 81.57 81.57 671 6.501 - 7.000................ 164 45,837,786.83 11.70 279,498.70 6.893 83.70 83.70 664 7.001 - 7.500................ 49 15,224,335.49 3.89 310,700.72 7.061 84.47 84.47 659 7.501 - 8.000................ 30 7,687,165.75 1.96 256,238.86 7.286 86.50 86.50 669 8.001 - 8.500................ 5 1,153,904.67 0.29 230,780.93 8.212 89.25 89.25 651 8.501 - 8.875................ 2 509,950.00 0.13 254,975.00 7.484 86.18 86.18 622 ----- ----------------- ------ Total..................... 1,319 $ 391,720,464.03 100.00% $ 296,982.91 6.520% 81.32% 81.32% 668 ===== ================= ====== NEXT ADJUSTMENT DATES FOR THE INTEREST-ONLY ADJUSTABLE-RATE MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT NEXT ADJUSTMENT DATE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- July 2005 - December 2005...... 1 $ 413,600.00 0.11% $ 413,600.00 6.375% 88.00% 88.00% 639 July 2006 - December 2006...... 4 766,610.00 0.20 191,652.50 7.079 81.68 81.68 620 January 2007 - June 2007....... 929 274,621,504.23 70.11 295,609.80 6.632 81.50 81.50 666 July 2007 - December 2007...... 202 59,117,932.24 15.09 292,663.03 6.294 80.60 80.60 669 January 2008 - June 2008....... 40 10,028,726.64 2.56 250,718.17 6.466 81.63 81.63 663 July 2008 - December 2008...... 18 6,009,265.81 1.53 333,848.10 6.255 82.04 82.04 688 January 2010 - June 2010....... 80 27,271,574.17 6.96 340,894.68 6.156 80.77 80.77 679 July 2010 - December 2010...... 45 13,491,250.94 3.44 299,805.58 6.103 80.97 80.97 679 ----- ----------------- ------ Total..................... 1,319 $ 391,720,464.03 100.00% $ 296,982.91 6.520% 81.32% 81.32% 668 ===== ================= ====== II-44
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DESCRIPTION OF THE INTEREST-ONLY COLLATERAL MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE INTEREST-ONLY MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT MAXIMUM MORTGAGE RATE (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 11.250 - 11.500............... 9 $ 2,602,267.97 0.66% $ 289,140.89 5.292% 80.62% 80.62% 695 11.501 - 12.000............... 81 28,979,482.78 7.40 357,771.39 5.560 78.42 78.42 684 12.001 - 12.500............... 318 104,868,665.28 26.77 329,775.68 5.914 80.01 80.01 674 12.501 - 13.000............... 322 96,141,525.48 24.54 298,576.17 6.385 81.04 81.04 668 13.001 - 13.500............... 277 76,322,625.02 19.48 275,532.94 6.805 82.46 82.46 665 13.501 - 14.000............... 134 39,502,383.56 10.08 294,793.91 7.179 83.59 83.59 664 14.001 - 14.500............... 86 23,404,512.02 5.97 272,145.49 7.506 82.57 82.57 648 14.501 - 15.000............... 44 9,861,789.14 2.52 224,131.57 7.911 82.93 82.93 650 15.001 - 15.500............... 26 4,823,123.68 1.23 185,504.76 8.452 83.61 83.61 656 15.501 - 16.000............... 13 2,928,695.73 0.75 225,284.29 8.889 81.57 81.57 651 16.001 - 16.500............... 6 1,837,943.14 0.47 306,323.86 9.365 88.06 88.06 638 16.501 - 17.000............... 3 447,450.23 0.11 149,150.08 9.813 88.18 88.18 641 ----- ----------------- ------ Total..................... 1,319 $ 391,720,464.03 100.00% $ 296,982.91 6.520% 81.32% 81.32% 668 ===== ================= ====== MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE INTEREST-ONLY MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT MINIMUM MORTGAGE RATE (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 2.000 - 2.500............... 1 $ 212,900.00 0.05% $ 212,900.00 7.250% 85.23% 85.23% 614 2.501 - 3.000............... 1 432,000.00 0.11 432,000.00 6.500 80.00 80.00 635 4.501 - 5.000............... 7 2,384,013.12 0.61 340,573.30 5.464 80.76 80.76 683 5.001 - 5.500............... 75 26,190,173.12 6.69 349,202.31 5.501 78.47 78.47 687 5.501 - 6.000............... 309 103,902,493.35 26.52 336,254.02 5.928 80.03 80.03 676 6.001 - 6.500............... 321 93,882,989.18 23.97 292,470.37 6.319 80.77 80.77 668 6.501 - 7.000............... 322 90,042,012.62 22.99 279,633.58 6.797 82.27 82.27 667 7.001 - 7.500............... 145 40,071,244.80 10.23 276,353.41 7.268 82.91 82.91 656 7.501 - 8.000............... 76 21,211,859.05 5.42 279,103.41 7.713 84.62 84.62 647 8.001 - 8.500............... 33 6,582,871.86 1.68 199,480.97 8.294 82.47 82.47 657 8.501 - 9.000............... 16 3,552,378.30 0.91 222,023.64 8.757 84.75 84.75 649 9.001 - 9.500............... 8 2,257,178.40 0.58 282,147.30 9.238 87.01 87.01 654 9.501 - 10.000............... 4 597,450.23 0.15 149,362.56 9.860 84.87 84.87 610 10.001 - 10.025............... 1 400,900.00 0.10 400,900.00 10.025 95.00 95.00 587 ----- ----------------- ------ Total..................... 1,319 $ 391,720,464.03 100.00% $ 296,982.91 6.520% 81.32% 81.32% 668 ===== ================= ====== II-45
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DESCRIPTION OF THE INTEREST-ONLY COLLATERAL INITIAL PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE INTEREST-ONLY MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT INITIAL PERIODIC RATE CAPS (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 1.000 - 1.000................ 10 $ 1,937,855.62 0.49% $ 193,785.56 6.665% 78.33% 78.33% 651 1.001 - 1.500................ 66 19,348,763.91 4.94 293,163.09 6.785 81.29 81.29 673 1.501 - 2.000................ 11 3,213,075.21 0.82 292,097.75 6.288 80.04 80.04 647 2.501 - 3.000................ 1,138 335,618,790.51 85.68 294,919.85 6.549 81.38 81.38 667 4.501 - 5.000................ 93 31,492,378.78 8.04 338,627.73 6.057 81.01 81.01 684 6.001 - 6.500................ 1 109,600.00 0.03 109,600.00 7.400 80.00 80.00 688 ----- ----------------- ------ Total..................... 1,319 $ 391,720,464.03 100.00% $ 296,982.91 6.520% 81.32% 81.32% 668 ===== ================= ====== SUBSEQUENT PERIODIC RATE CAPS OF THE ADJUSTABLE-RATE INTEREST-ONLY MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE SUBSEQUENT PERIODIC MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT RATE CAPS (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 1.000.......................... 1,267 $ 376,195,306.68 96.04% $ 296,918.16 6.505% 81.35% 81.35% 668 1.500.......................... 51 15,451,207.44 3.94 302,964.85 6.882 80.49 80.49 678 2.000.......................... 1 73,949.91 0.02 73,949.91 6.500 85.00 85.00 653 ----- ----------------- ------ Total..................... 1,319 $ 391,720,464.03 100.00% $ 296,982.91 6.520% 81.32% 81.32% 668 ===== ================= ====== CREDIT SCORES OF THE INTEREST-ONLY MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT CREDIT SCORES LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 508 - 524................... 4 $ 1,239,100.00 0.31% $ 309,775.00 7.548% 79.74% 79.74% 514 550 - 574................... 5 1,496,798.86 0.38 299,359.77 7.087 85.80 85.80 563 575 - 599................... 75 18,730,680.46 4.76 249,742.41 6.877 82.59 82.59 590 600 - 624................... 197 54,296,132.29 13.79 275,614.88 6.783 82.01 82.01 613 625 - 649................... 255 72,083,487.26 18.31 282,680.34 6.534 81.53 81.53 637 650 - 674................... 254 79,610,376.56 20.22 313,426.68 6.521 81.26 81.26 662 675 - 699................... 227 70,364,736.53 17.87 309,976.81 6.424 80.90 80.90 687 700 - 724................... 140 44,946,384.37 11.42 321,045.60 6.361 80.51 80.51 711 725 - 749................... 88 27,254,528.67 6.92 309,710.55 6.248 81.07 81.07 737 750 - 774................... 52 15,943,394.57 4.05 306,603.74 6.401 80.37 80.37 761 775 - 799................... 22 6,188,308.17 1.57 281,286.74 6.444 82.61 82.61 784 800 - 806................... 7 1,593,600.00 0.40 227,657.14 6.238 77.59 77.59 803 ----- ----------------- ------ Total..................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ===== ================= ====== II-46
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DESCRIPTION OF THE INTEREST-ONLY COLLATERAL PRODUCT TYPE OF THE INTEREST-ONLY MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT PRODUCT TYPE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 2/28 ARM (IO).................. 1,151 $ 338,850,046.26 86.06% $ 294,396.22 6.569% 81.35% 81.35% 666 3/27 ARM (IO).................. 60 16,917,164.82 4.30 281,952.75 6.400 81.83 81.83 673 5/25 ARM (IO).................. 107 35,539,652.95 9.03 332,146.29 6.107 80.67 80.67 681 6 Month ARM (IO)............... 1 413,600.00 0.11 413,600.00 6.375 88.00 88.00 639 Fixed (IO)..................... 7 2,027,063.71 0.51 289,580.53 6.543 77.36 77.36 679 ----- ----------------- ------ Total..................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ===== ================= ====== LIEN TYPE ON THE INTEREST-ONLY MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT LIEN TYPE LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- First Lien..................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ----- ----------------- ------ Total..................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ===== ================= ====== INTEREST-ONLY TERMS OF THE INTEREST-ONLY MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT IO TERMS (MONTHS) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 60............................. 1,267 $ 377,305,912.80 95.82% $ 297,794.72 6.524% 81.32% 81.32% 668 120............................ 59 16,441,614.94 4.18 278,671.44 6.424 80.78 80.78 663 ----- ----------------- ------ Total..................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ===== ================= ====== SEASONING OF THE INTEREST-ONLY MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT SEASONING (MONTHS) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 1 - 6.......................... 1,293 $ 383,884,448.18 97.50% $ 296,894.39 6.513% 81.28% 81.28% 669 7 - 12......................... 33 9,863,079.56 2.50 298,881.20 6.816 82.09 82.09 640 ----- -------------------- ------ Total..................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ===== ==================== ====== II-47
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DESCRIPTION OF THE INTEREST-ONLY COLLATERAL INTEREST-ONLY MORTGAGE LOANS WITH PREPAYMENT PENALTIES [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT PREPAYMENT PENALTY LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- No............................. 313 $ 86,295,834.56 21.92% $ 275,705.54 6.927% 81.72% 81.72% 667 Yes............................ 1,013 307,451,693.18 78.08 303,506.11 6.406 81.18 81.18 668 ----- ----------------- ------ Total..................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ===== ================= ====== PREPAYMENT TERMS OF THE INTEREST-ONLY MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT PREPAYMENT TERM (MONTHS) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 0 - 0................... 313 $ 86,295,834.56 21.92% $ 275,705.54 6.927% 81.72% 81.72% 667 1 - 12................... 68 23,133,174.36 5.88 340,193.74 6.525 80.15 80.15 679 13 - 24................... 832 249,013,903.19 63.24 299,295.56 6.415 81.26 81.26 666 25 - 36................... 108 33,391,216.40 8.48 309,177.93 6.244 81.35 81.35 681 37 - 60................... 5 1,913,399.23 0.49 382,679.85 6.551 79.26 79.26 661 ----- ----------------- ------ Total..................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ===== ================= ====== DEBT-TO INCOME RATIO OF THE INTEREST-ONLY MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT DEBT-TO-INCOME (%) LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- 0.00 - 25.00................ 88 $ 27,084,911.30 6.88% $ 307,783.08 6.451% 80.56% 80.56% 676 25.01 - 30.00................ 71 20,407,059.22 5.18 287,423.37 6.406 81.05 81.05 674 30.01 - 35.00................ 172 47,895,771.05 12.16 278,463.79 6.456 80.10 80.10 672 35.01 - 40.00................ 288 82,842,204.02 21.04 287,646.54 6.471 81.40 81.40 672 40.01 - 45.00................ 387 117,563,576.65 29.86 303,781.85 6.540 81.55 81.55 665 45.01 - 50.00................ 280 87,715,472.71 22.28 313,269.55 6.628 81.63 81.63 662 50.01 - 55.00................ 36 9,372,332.79 2.38 260,342.58 6.569 83.34 83.34 663 55.01 - 60.00................ 3 732,600.00 0.19 244,200.00 5.417 76.53 76.53 749 60.01 - 62.03................ 1 133,600.00 0.03 133,600.00 5.750 80.00 80.00 688 ----- ----------------- ------ Total..................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ===== ================= ====== II-48
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DESCRIPTION OF THE INTEREST-ONLY COLLATERAL ORIGINATORS OF THE INTEREST-ONLY MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT ORIGINATOR LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- Accredited..................... 52 $ 15,862,976.04 4.03% $ 305,057.23 6.829% 80.68% 80.68% 681 First Horizon.................. 151 36,345,588.68 9.23 240,699.26 7.445 81.69 81.69 655 Impac.......................... 46 14,013,410.55 3.56 304,639.36 6.598 81.85 81.85 667 Mortgage It.................... 171 49,475,010.74 12.57 289,327.55 6.811 81.71 81.71 649 WMC............................ 906 278,050,541.73 70.62 306,899.05 6.326 81.18 81.18 672 ----- ----------------- ------ Total..................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ===== ================= ====== SERVICERS OF THE INTEREST-ONLY MORTGAGE LOANS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE NUMBER % OF WEIGHTED AVERAGE ADJUSTED WEIGHTED OF AGGREGATE AGGREGATE AVERAGE AVERAGE ORIGINAL ORIGINAL AVERAGE MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL MORTGAGE LOAN-TO- LOAN-TO- CREDIT SERVICER LOANS BALANCE BALANCE BALANCE RATE VALUE RATIO VALUE RATIO SCORE ------------------------------- -------- ----------------- --------- ------------ -------- ----------- ----------- -------- Chase.......................... 257 $ 69,109,211.08 17.55% $ 268,907.44 7.202% 81.45% 81.45% 659 Countrywide.................... 1,017 307,782,903.68 78.17 302,638.06 6.360 81.27 81.27 671 Home Eq........................ 52 16,855,412.98 4.28 324,142.56 6.647 81.05 81.05 644 ----- ----------------- ------ Total..................... 1,326 $ 393,747,527.74 100.00% $ 296,943.84 6.520% 81.30% 81.30% 668 ===== ================= ====== II-49
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ANNEX III ASSUMED MORTGAGE LOAN CHARACTERISTICS
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ANNEX III ASSUMED MORTGAGE LOAN CHARACTERISTICS [Enlarge/Download Table] Remaining Stated Remaining Amortization Remaining Minimum Maximum Months Initial Interest Aggregate Gross Term to Term to Gross Mortgage Mortgage to Next Periodic Periodic Only Principal Mortgage Maturity Maturity Age Margin Rate Rate Adjustment Rate Rate Term Group Balance ($) Rate (%) (months) (months) (months) (%) (%) (%) Date Cap (%) Cap (%) (months) ------------------------------------------------------------------------------------------------------------------------------------ 1 557,465.20 8.04737 477 357 3 7.64004 8.04737 14.54737 21 3.00000 1.00000 N/A 1 294,896.71 5.92500 478 358 2 4.37000 5.92500 12.42500 22 3.00000 1.00000 N/A 1 279,611.96 6.32500 477 357 3 6.32500 6.32500 12.82500 21 3.00000 1.00000 N/A 1 388,413.81 6.02303 477 357 3 7.40734 6.02303 12.52303 21 3.00000 1.00000 N/A 1 3,974,656.62 6.88179 77 357 3 6.51591 6.88179 13.38179 21 3.00000 1.00000 N/A 1 271,780.18 6.80000 478 358 2 6.80000 6.80000 13.30000 21 3.00000 1.00000 N/A 1 159,740.90 5.75000 477 357 3 6.25000 5.75000 12.25000 21 3.00000 1.00000 N/A 1 3,695,536.12 7.00627 477 357 3 6.90606 7.00627 13.50627 23 3.00000 1.00000 N/A 1 62,022,594.82 6.64058 477 357 3 6.32886 6.64058 13.14058 21 2.95957 1.00000 N/A 1 1,244,604.92 6.71478 477 357 3 6.17562 6.71478 13.21478 21 3.00000 1.00000 N/A 1 18,013,696.98 6.91200 477 357 3 6.25728 6.90482 13.41200 21 3.00000 1.00000 N/A 1 137,240.00 6.50000 357 357 3 6.02500 6.50000 13.00000 21 3.00000 1.00000 117 1 2,377,848.70 6.45965 357 357 3 6.47652 6.47697 12.95965 28 2.86147 1.00000 117 1 1,251,569.76 6.54112 357 357 3 6.35288 6.54112 13.04112 21 3.00000 1.00000 117 1 163,200.00 6.99000 356 356 4 5.75000 6.99000 13.49000 20 1.50000 1.00000 56 1 412,000.00 7.08845 357 357 3 6.37136 7.08845 13.77777 21 2.43204 1.18932 57 1 563,044.96 6.22878 357 357 3 5.94035 6.22878 12.72878 21 3.00000 1.00000 57 1 13,841,705.83 7.14034 357 357 3 5.82737 6.88828 13.98718 21 3.00000 1.00000 57 1 137,600.00 6.85000 358 358 2 6.00000 6.85000 13.35000 22 3.00000 1.00000 58 1 5,125,959.58 6.92465 357 357 3 6.10373 6.92465 13.39870 22 2.79738 1.06754 57 1 70,277,732.36 6.36956 357 357 3 6.06435 6.36997 12.82682 21 2.94011 1.01581 57 1 577,639.99 6.70919 355 355 5 5.44636 6.70919 13.51945 19 2.06921 1.31026 55 1 605,600.00 6.45106 356 356 4 4.95106 6.45106 13.45106 20 1.50000 1.50000 56 1 28,412,688.56 6.99591 357 357 3 6.11238 6.96559 13.58929 22 2.93131 1.01104 57 1 1,411,084.63 7.63871 357 357 3 6.32863 7.63871 13.99164 21 2.84050 1.02432 N/A 1 80,132.20 9.75000 355 355 5 8.25000 9.75000 16.75000 19 1.50000 1.50000 N/A 1 451,273.95 6.65214 356 356 4 5.61329 6.65214 13.21570 20 2.20271 1.16832 N/A 1 107,651.43 7.12500 356 356 4 5.62500 7.12500 14.12500 20 1.50000 1.50000 N/A 1 1,483,860.74 6.60797 357 357 3 5.89377 6.46044 13.16942 21 2.47202 1.06145 N/A 1 180,484.61 7.25000 355 355 5 5.75000 7.25000 14.25000 19 1.50000 1.50000 N/A 1 1,841,441.79 6.73076 357 357 3 6.27043 6.73076 13.23076 21 3.00000 1.00000 N/A 1 13,824,366.73 7.39427 357 357 3 6.04879 7.14903 14.02983 21 2.98992 1.00000 N/A 1 362,053.11 7.03532 356 356 4 5.80115 6.60767 14.03532 20 2.19348 1.26884 N/A 1 2,949,717.20 6.88144 355 355 5 5.38144 6.88144 13.88144 19 1.50000 1.50000 N/A 1 173,403.62 8.85000 358 358 2 6.25000 8.85000 15.35000 22 3.00000 1.00000 N/A 1 40,393.38 7.52500 357 357 3 6.52500 7.52500 13.52500 21 3.00000 1.00000 N/A 1 1,554,282.12 7.14580 357 357 3 6.96086 7.14580 13.64580 24 3.00000 1.00000 N/A 1 4,262,517.69 6.82976 357 357 3 6.33524 6.82976 13.28699 20 2.82545 1.03076 N/A 1 82,561,598.10 6.96821 357 357 3 6.40359 6.96150 13.41368 21 2.82270 1.03203 N/A 1 676,490.51 7.78297 356 356 4 7.22369 7.78297 14.44619 20 2.51036 1.16321 N/A 1 169,377.22 6.87500 355 355 5 4.70000 6.87500 13.87500 19 1.50000 1.50000 N/A 1 61,290,955.79 7.16169 357 357 3 6.11271 7.08930 13.69122 21 2.90757 1.01532 N/A 1 1,486,196.27 6.24097 477 357 3 6.09648 6.24097 12.74097 33 3.00000 1.00000 N/A 1 783,503.68 7.02771 478 358 2 5.84078 7.02771 13.52771 33 3.00000 1.00000 N/A 1 189,000.00 6.50000 358 358 2 6.25000 6.50000 13.00000 34 3.00000 1.00000 118 1 239,914.61 5.57500 356 356 4 5.87500 5.57500 12.07500 32 3.00000 1.00000 116 1 274,000.00 5.67500 357 357 3 5.50000 5.67500 12.17500 33 3.00000 1.00000 57 1 613,972.37 6.49382 357 357 3 6.29152 6.49382 12.99382 26 3.00000 1.00000 57 1 523,088.26 5.93152 358 358 2 5.83058 5.93152 12.43152 34 3.00000 1.00000 58 1 2,939,103.88 6.60998 357 357 3 6.25992 6.60998 13.19718 33 2.59145 1.13618 57 1 1,008,547.50 6.24956 357 357 3 5.25540 6.24956 12.62545 33 3.00000 1.00000 57 1 191,452.64 7.75000 356 356 4 6.25000 7.75000 14.75000 32 1.50000 1.50000 N/A 1 156,966.07 6.87500 356 356 4 5.55000 6.87500 13.87500 32 3.00000 1.00000 N/A 1 155,675.81 7.87500 357 357 3 7.62500 7.87500 14.37500 33 3.00000 1.00000 N/A 1 887,066.62 6.10812 357 357 3 6.00674 6.10812 12.60812 33 3.00000 1.00000 N/A 1 2,618,209.93 7.00037 357 357 3 6.34598 6.87317 13.47401 32 2.82739 1.05754 N/A 1 4,305,931.77 6.82972 357 357 3 5.99381 6.86852 13.31608 33 2.94554 1.00000 N/A 1 446,839.42 6.81970 478 358 2 7.40341 6.81970 13.31970 58 3.00000 1.00000 N/A 1 615,869.65 6.20387 477 357 3 6.17244 6.20387 12.70387 57 3.00000 1.00000 N/A 1 447,043.78 7.46092 478 358 2 7.01141 7.46092 13.96092 58 3.00000 1.00000 N/A 1 302,000.00 6.20000 358 358 2 6.00000 6.20000 12.70000 58 5.00000 1.00000 58 1 2,336,290.00 6.25513 358 358 2 6.09776 6.25513 12.75513 58 5.00000 1.00000 58 1 1,058,936.97 6.39536 358 358 2 5.96663 6.39536 12.89536 58 5.00000 1.00000 58 1 346,340.03 6.86923 356 356 4 6.17656 6.18444 13.36923 56 3.00000 1.00000 N/A 1 137,803.99 5.62500 356 356 4 4.62500 4.62500 12.12500 32 3.00000 1.00000 N/A 1 234,546.15 6.40000 357 357 3 6.62500 6.40000 12.90000 57 3.00000 1.00000 N/A 1 775,877.33 5.67106 356 356 4 5.81642 5.67106 11.98748 56 3.00000 1.00000 N/A 1 1,151,669.37 6.26110 357 357 3 6.50595 6.26110 12.76110 57 3.00000 1.00000 N/A 1 1,695,728.39 6.74123 357 357 3 5.87871 6.74123 13.24123 57 3.00000 1.00000 N/A 1 292,327.65 7.90000 473 358 2 4.38000 7.90000 14.41400 4 1.00000 1.00000 N/A 1 306,758.20 6.64628 357 357 3 7.53635 6.64628 13.14628 3 1.00000 1.00000 N/A 1 185,608.97 10.06521 358 178 2 N/A N/A N/A N/A N/A N/A N/A 1 36,932.82 11.00000 355 175 5 N/A N/A N/A N/A N/A N/A N/A 1 97,868.27 10.50000 357 177 3 N/A N/A N/A N/A N/A N/A N/A 1 70,946.99 10.39676 358 178 2 N/A N/A N/A N/A N/A N/A N/A 1 2,009,042.47 10.73752 357 178 2 N/A N/A N/A N/A N/A N/A N/A 1 223,150.49 10.34982 357 177 3 N/A N/A N/A N/A N/A N/A N/A 1 57,732.46 11.25000 357 178 2 N/A N/A N/A N/A N/A N/A N/A 1 19,785.03 10.76000 358 178 2 N/A N/A N/A N/A N/A N/A N/A 1 118,660.55 11.45455 358 178 2 N/A N/A N/A N/A N/A N/A N/A 1 467,790.47 10.65132 358 178 2 N/A N/A N/A N/A N/A N/A N/A 1 92,671.98 11.99000 356 176 4 N/A N/A N/A N/A N/A N/A N/A 1 167,002.00 9.83636 357 177 3 N/A N/A N/A N/A N/A N/A N/A 1 95,687.20 10.50868 358 178 2 N/A N/A N/A N/A N/A N/A N/A 1 761,089.14 10.06334 357 177 3 N/A N/A N/A N/A N/A N/A N/A III-1
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ANNEX III ASSUMED MORTGAGE LOAN CHARACTERISTICS [Enlarge/Download Table] Remaining Stated Remaining Amortization Remaining Minimum Maximum Months Initial Interest Aggregate Gross Term to Term to Gross Mortgage Mortgage to Next Periodic Periodic Only Principal Mortgage Maturity Maturity Age Margin Rate Rate Adjustment Rate Rate Term Group Balance ($) Rate (%) (months) (months) (months) (%) (%) (%) Date Cap (%) Cap (%) (months) ------------------------------------------------------------------------------------------------------------------------------------ 1 19,619,500.51 10.15203 357 177 3 N/A N/A N/A N/A N/A N/A N/A 1 1,458,711.69 10.13379 357 177 3 N/A N/A N/A N/A N/A N/A N/A 1 21,124,528.75 10.44162 357 177 3 N/A N/A N/A N/A N/A N/A N/A 1 605,843.80 7.51092 478 358 2 N/A N/A N/A N/A N/A N/A N/A 1 884,052.43 7.28578 477 358 2 N/A N/A N/A N/A N/A N/A N/A 1 443,983.16 7.43901 438 358 2 N/A N/A N/A N/A N/A N/A N/A 1 36,081.23 11.54836 237 237 3 N/A N/A N/A N/A N/A N/A N/A 1 147,072.34 8.27882 357 357 3 N/A N/A N/A N/A N/A N/A N/A 1 366,714.56 7.38347 356 356 4 N/A N/A N/A N/A N/A N/A N/A 1 472,820.46 6.50000 237 237 3 N/A N/A N/A N/A N/A N/A N/A 1 300,224.44 10.14584 177 177 3 N/A N/A N/A N/A N/A N/A N/A 1 1,499,344.65 8.28889 352 352 3 N/A N/A N/A N/A N/A N/A N/A 1 1,045,100.98 6.97095 356 356 4 N/A N/A N/A N/A N/A N/A N/A 1 134,075.87 9.31610 258 258 3 N/A N/A N/A N/A N/A N/A N/A 1 720,515.97 9.15213 299 299 3 N/A N/A N/A N/A N/A N/A N/A 1 4,298,444.57 7.25099 352 352 3 N/A N/A N/A N/A N/A N/A N/A 1 2,149,140.37 7.68016 330 330 3 N/A N/A N/A N/A N/A N/A N/A 1 9,410,075.83 7.19069 340 340 3 N/A N/A N/A N/A N/A N/A N/A 1 10,920,078.69 8.00842 319 319 3 N/A N/A N/A N/A N/A N/A N/A 2 1,497,479.92 7.34142 477 357 3 6.23674 7.34142 13.84142 21 2.75450 1.00000 N/A 2 278,314.91 6.80000 478 358 2 4.37000 6.80000 13.30000 22 3.00000 1.00000 N/A 2 359,481.91 7.88786 478 358 2 7.27120 7.88786 14.38786 21 2.04912 1.00000 N/A 2 231,866.26 7.99000 478 358 2 5.87500 7.99000 14.49000 58 3.00000 1.00000 N/A 2 1,044,374.18 7.09746 477 357 3 6.38058 7.09746 13.59746 21 3.00000 1.00000 N/A 2 10,373,151.34 7.09663 477 357 3 6.47171 7.09663 13.59663 22 3.00000 1.00000 N/A 2 104,311.42 6.62500 478 358 2 6.00000 6.62500 13.12500 22 3.00000 1.00000 N/A 2 176,650.69 7.88022 477 357 3 6.45447 7.88022 14.38022 21 3.00000 1.00000 N/A 2 4,368,724.20 7.33256 477 357 3 6.75893 7.33256 13.83256 21 3.00000 1.00000 N/A 2 112,384,105.01 6.73894 477 357 3 6.40969 6.73894 13.23894 22 2.92925 1.00000 N/A 2 1,638,957.00 7.12780 477 357 3 6.51685 7.12780 13.62780 21 2.63459 1.00000 N/A 2 36,099,444.00 7.15731 474 357 3 6.48640 7.15731 13.65731 21 3.00000 1.00000 N/A 2 179,200.00 6.92500 357 357 3 6.75000 6.92500 13.42500 21 3.00000 1.00000 117 2 866,788.99 6.31229 357 357 3 6.18543 6.31229 12.81229 21 3.00000 1.00000 117 2 5,973,998.31 6.38429 357 357 3 6.06229 6.32207 12.83457 21 2.85913 1.00000 117 2 2,103,142.21 6.55836 357 357 3 6.04860 6.55836 13.05836 21 3.00000 1.00000 117 2 706,700.00 6.18024 357 357 3 5.60616 6.18024 12.57645 21 3.00000 1.00000 57 2 178,400.00 7.75000 356 356 4 6.25000 7.75000 14.75000 20 1.50000 1.50000 56 2 1,001,000.00 6.71204 355 355 5 5.97498 6.71204 13.52423 19 2.06344 1.31219 55 2 458,320.00 5.99000 356 356 4 5.89000 5.99000 12.49000 20 3.00000 1.00000 56 2 617,751.65 6.62270 357 357 3 5.89443 6.62270 13.26502 21 2.57305 1.14232 57 2 13,293,750.55 7.22759 356 356 4 5.64934 6.87796 13.98014 20 2.93880 1.01504 56 2 532,000.00 6.75000 356 356 4 5.25000 6.75000 13.75000 20 1.50000 1.50000 56 2 10,448,028.16 6.62641 357 357 3 6.01414 6.62641 13.03458 23 2.88285 1.03905 57 2 132,574,468.21 6.29829 356 356 4 5.88394 6.26169 12.69427 21 2.92002 1.01440 56 2 2,506,073.00 6.56475 356 356 4 5.58710 6.56475 13.36379 20 2.10289 1.29904 56 2 343,000.00 6.50000 356 356 4 5.00000 6.50000 13.50000 20 1.50000 1.50000 56 2 43,183,595.44 7.04128 357 357 3 6.15837 6.98627 13.55677 21 2.90965 1.00846 57 2 4,609,652.85 7.63847 357 357 3 6.72215 7.60713 13.96318 22 2.71988 1.00000 N/A 2 319,928.96 8.85808 355 355 5 7.35808 8.85808 15.67246 19 2.05686 1.31438 N/A 2 324,332.07 8.08061 355 355 5 6.58061 8.08061 15.08061 19 1.50000 1.50000 N/A 2 571,300.87 8.29481 357 357 3 6.93812 8.29481 14.91490 21 2.14175 1.12009 N/A 2 2,854,709.85 7.53441 356 356 4 6.36252 7.53441 14.33220 20 2.10663 1.29779 N/A 2 1,604,861.74 7.00254 357 357 3 6.31297 7.00254 13.53335 21 2.90756 1.03081 N/A 2 25,102,887.59 7.86324 357 357 3 5.82539 7.56407 14.65567 21 2.92004 1.01212 N/A 2 234,487.01 7.34000 355 355 5 6.34000 7.34000 14.34000 19 1.50000 1.50000 N/A 2 218,130.32 8.01961 355 355 5 6.51961 8.01961 15.01961 19 1.50000 1.50000 N/A 2 190,604.73 8.66985 357 357 3 7.54719 8.66985 15.16985 21 3.00000 1.00000 N/A 2 2,411,899.38 7.16559 355 355 5 5.66559 7.16559 14.16559 19 1.50000 1.50000 N/A 2 827,602.87 7.31930 356 356 4 5.88293 7.31930 14.25567 20 1.50000 1.43637 N/A 2 76,528.76 8.75000 354 354 6 7.25000 8.75000 15.75000 18 1.50000 1.50000 N/A 2 435,185.79 8.59900 355 355 5 7.09900 8.59900 15.59900 19 1.50000 1.50000 N/A 2 197,167.79 8.38721 356 356 4 6.65732 8.38721 14.38721 20 3.00000 1.00000 N/A 2 4,495,894.42 7.48621 357 357 3 6.78283 7.48621 13.98621 21 2.91864 1.00000 N/A 2 6,388,452.68 7.58301 356 356 4 6.05663 7.54914 14.05992 20 2.65138 1.10767 N/A 2 141,304,901.76 7.16911 357 357 3 6.42417 7.15471 13.59400 21 2.75801 1.03745 N/A 2 377,883.57 7.96815 356 356 4 6.46815 7.96815 14.96815 20 1.50000 1.50000 N/A 2 2,364,288.23 7.32878 356 356 4 6.23371 7.32878 14.11461 20 2.14253 1.28582 N/A 2 99,699.76 7.49000 356 356 4 4.50000 7.49000 14.49000 20 1.50000 1.50000 N/A 2 1,158,358.17 8.00245 355 355 5 6.50245 8.00245 15.00245 19 1.50000 1.50000 N/A 2 123,384,618.75 7.39490 357 357 3 6.31876 7.32797 13.91448 21 2.82255 1.03159 N/A 2 290,207.32 7.50000 478 358 2 5.37500 7.50000 14.00000 34 3.00000 1.00000 N/A 2 425,231.79 5.20000 477 357 3 6.00000 5.20000 11.70000 33 3.00000 1.00000 N/A 2 1,241,918.21 5.85167 475 356 4 5.70210 5.85167 12.35167 32 3.00000 1.00000 N/A 2 1,373,665.71 6.75650 478 358 2 6.31480 6.75650 13.25650 34 3.00000 1.00000 N/A 2 1,482,364.32 6.31109 478 358 2 6.36836 6.31109 12.81109 34 3.00000 1.00000 N/A 2 658,400.00 5.72696 357 357 3 5.92861 5.72696 12.22696 33 3.00000 1.00000 117 2 442,000.00 6.05000 357 357 3 6.25000 6.05000 12.55000 33 3.00000 1.00000 57 2 404,031.68 6.26166 357 357 3 5.66194 6.26166 12.76166 33 3.00000 1.00000 57 2 140,800.00 7.25000 357 357 3 5.80000 7.25000 14.25000 33 3.00000 1.00000 57 2 1,095,200.00 6.65997 355 355 5 5.89993 6.65997 13.39335 26 2.53324 1.00000 55 2 5,635,397.57 6.28763 357 357 3 5.84930 6.25853 12.67611 32 2.90450 1.03183 57 2 2,753,708.95 6.75765 357 357 3 5.67627 6.73158 12.94087 33 3.00000 1.00000 57 2 56,571.03 5.97500 356 356 4 4.97500 5.97500 12.47500 32 1.50000 1.00000 N/A 2 443,100.65 8.18965 355 355 5 6.82008 8.18965 15.09969 31 1.76987 1.41004 N/A 2 426,227.82 7.54608 356 356 4 6.79014 7.54608 14.04608 32 3.00000 1.00000 N/A III-2
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ANNEX III ASSUMED MORTGAGE LOAN CHARACTERISTICS [Enlarge/Download Table] Remaining Stated Remaining Amortization Remaining Minimum Maximum Months Initial Interest Aggregate Gross Term to Term to Gross Mortgage Mortgage to Next Periodic Periodic Only Principal Mortgage Maturity Maturity Age Margin Rate Rate Adjustment Rate Rate Term Group Balance ($) Rate (%) (months) (months) (months) (%) (%) (%) Date Cap (%) Cap (%) (months) ------------------------------------------------------------------------------------------------------------------------------------ 2 343,991.90 7.89270 357 357 3 5.54258 7.89270 14.59590 29 3.00000 1.00000 N/A 2 173,625.70 7.75000 357 357 3 7.00000 7.75000 14.25000 33 3.00000 1.00000 N/A 2 57,672.22 8.99900 356 356 4 7.49900 8.99900 15.99900 32 1.50000 1.50000 N/A 2 67,908.13 8.99900 354 354 6 7.49900 8.99900 15.99900 30 1.50000 1.50000 N/A 2 92,367.48 7.87500 356 356 4 6.87500 7.87500 14.37500 32 3.00000 1.00000 N/A 2 1,709,891.00 6.39433 357 357 3 6.28168 6.39433 12.89433 33 3.00000 1.00000 N/A 2 6,795,886.29 7.19160 356 356 4 6.63281 7.13521 13.76038 32 2.68425 1.13452 N/A 2 100,154.91 10.99900 356 356 4 9.49900 10.99900 17.99900 32 1.50000 1.50000 N/A 2 9,849,618.62 7.01416 356 356 4 6.09078 6.94106 13.33872 32 2.91793 1.00409 N/A 2 385,785.60 7.39971 478 358 2 7.07517 7.39971 13.89971 58 3.00000 1.00000 N/A 2 1,029,745.58 5.16782 477 357 3 5.62599 5.16782 11.66782 57 3.00000 1.00000 N/A 2 5,075,658.46 6.43551 477 357 3 6.28428 6.43551 12.93551 57 3.00000 1.00000 N/A 2 3,473,006.48 6.75648 477 357 3 6.60173 6.75648 13.25648 53 3.00000 1.00000 N/A 2 516,000.00 5.75000 357 357 3 6.87500 5.75000 12.25000 57 5.00000 1.00000 117 2 188,100.00 6.17012 356 356 4 6.30257 6.17012 12.67012 56 5.00000 1.00000 116 2 1,357,064.43 6.53522 357 357 3 6.16510 6.31444 13.03522 57 3.98605 1.00000 117 2 153,000.00 6.50000 357 357 3 6.12500 6.50000 13.00000 57 5.00000 1.00000 57 2 451,004.00 7.18896 356 356 4 5.53120 7.18896 14.18896 56 3.00000 1.00000 56 2 3,784,577.64 5.82434 357 357 3 6.56362 5.82434 12.35869 57 4.75955 1.03435 57 2 3,569,201.98 5.90230 357 357 3 6.05837 5.90230 12.33903 57 4.74689 1.00000 57 2 15,303,180.69 6.04722 357 357 3 5.94556 6.04722 12.52268 57 4.85363 1.00000 57 2 400,000.00 6.99000 356 356 4 5.99000 6.99000 13.99000 56 1.50000 1.50000 56 2 6,120,297.24 6.22538 357 357 3 6.24089 6.22538 12.72538 57 4.77889 1.00000 57 2 94,544.11 7.20000 354 354 6 5.70000 7.20000 14.20000 54 1.50000 1.50000 N/A 2 357,389.35 8.08394 357 357 3 7.15399 7.64140 14.65099 57 3.00000 1.00000 N/A 2 116,602.09 7.99900 355 355 5 6.49900 7.99900 14.99900 55 1.50000 1.50000 N/A 2 103,717.46 7.99000 356 356 4 6.99000 7.99000 14.99000 56 1.50000 1.50000 N/A 2 1,143,713.80 6.45534 357 357 3 5.82654 6.45534 12.95534 52 3.00000 1.00000 N/A 2 7,093,104.72 6.64084 357 357 3 6.12322 6.50605 13.07122 57 2.92966 1.00000 N/A 2 102,232.81 6.62500 356 356 4 5.62500 6.62500 13.62500 56 1.50000 1.50000 N/A 2 3,439,774.06 6.31207 357 357 3 6.31509 6.31207 12.82970 57 3.00000 1.00000 N/A 2 413,600.00 6.37500 356 356 4 5.37500 6.37500 12.87500 2 1.50000 1.00000 56 2 307,032.76 6.13500 357 357 3 5.38500 6.13500 12.63500 3 1.00000 1.00000 N/A 2 143,707.61 7.99000 357 357 3 7.00000 7.99000 14.49000 3 1.00000 1.00000 N/A 2 256,037.46 7.50000 353 353 7 5.62500 7.50000 14.00000 5 1.50000 1.00000 N/A 2 1,038,340.90 7.21927 357 357 3 6.28850 7.21927 13.71927 3 1.00000 1.00000 N/A 2 403,347.93 7.92545 356 356 4 N/A N/A N/A N/A N/A N/A 116 2 349,000.00 5.87500 355 355 5 N/A N/A N/A N/A N/A N/A 55 2 480,000.00 5.75000 355 355 5 N/A N/A N/A N/A N/A N/A 55 2 282,716.55 6.68722 356 356 4 N/A N/A N/A N/A N/A N/A 56 2 511,999.23 6.57500 356 356 4 N/A N/A N/A N/A N/A N/A 56 2 423,380.48 10.55684 357 177 3 N/A N/A N/A N/A N/A N/A N/A 2 27,163.52 9.99000 357 177 3 N/A N/A N/A N/A N/A N/A N/A 2 83,910.12 8.50000 357 177 3 N/A N/A N/A N/A N/A N/A N/A 2 149,576.17 9.78876 358 178 2 N/A N/A N/A N/A N/A N/A N/A 2 59,888.49 10.25000 356 176 4 N/A N/A N/A N/A N/A N/A N/A 2 288,851.15 9.04317 357 177 3 N/A N/A N/A N/A N/A N/A N/A 2 2,764,918.22 10.11537 356 177 3 N/A N/A N/A N/A N/A N/A N/A 2 278,361.46 9.94570 357 177 3 N/A N/A N/A N/A N/A N/A N/A 2 48,908.57 10.87500 355 175 5 N/A N/A N/A N/A N/A N/A N/A 2 151,636.11 9.99409 357 177 3 N/A N/A N/A N/A N/A N/A N/A 2 151,008.90 9.82140 357 177 3 N/A N/A N/A N/A N/A N/A N/A 2 15,978.10 11.25000 356 176 4 N/A N/A N/A N/A N/A N/A N/A 2 77,905.36 10.50000 357 177 3 N/A N/A N/A N/A N/A N/A N/A 2 453,371.63 10.17541 357 177 3 N/A N/A N/A N/A N/A N/A N/A 2 34,945.84 11.50000 355 177 3 N/A N/A N/A N/A N/A N/A N/A 2 713,250.34 10.40815 357 177 3 N/A N/A N/A N/A N/A N/A N/A 2 59,730.22 11.31774 357 177 3 N/A N/A N/A N/A N/A N/A N/A 2 166,922.67 10.29627 357 177 3 N/A N/A N/A N/A N/A N/A N/A 2 1,646,850.71 9.54572 357 177 3 N/A N/A N/A N/A N/A N/A N/A 2 40,287,469.39 9.80458 356 177 3 N/A N/A N/A N/A N/A N/A N/A 2 2,311,968.85 10.16506 356 176 4 N/A N/A N/A N/A N/A N/A N/A 2 33,347,525.02 10.15851 356 177 3 N/A N/A N/A N/A N/A N/A N/A 2 239,500.69 5.90000 476 356 4 N/A N/A N/A N/A N/A N/A N/A 2 267,620.91 6.25000 477 357 3 N/A N/A N/A N/A N/A N/A N/A 2 809,889.50 7.08566 477 357 3 N/A N/A N/A N/A N/A N/A N/A 2 3,143,822.00 6.61585 477 357 3 N/A N/A N/A N/A N/A N/A N/A 2 6,279,616.73 6.51911 477 357 3 N/A N/A N/A N/A N/A N/A N/A 2 2,453,704.91 7.17801 477 357 3 N/A N/A N/A N/A N/A N/A N/A 2 113,317.54 7.02500 355 355 5 N/A N/A N/A N/A N/A N/A N/A 2 841,766.55 7.40211 357 357 3 N/A N/A N/A N/A N/A N/A N/A 2 231,440.38 7.67579 354 354 6 N/A N/A N/A N/A N/A N/A N/A 2 817,785.17 7.65882 336 336 4 N/A N/A N/A N/A N/A N/A N/A 2 139,750.92 6.62500 356 356 4 N/A N/A N/A N/A N/A N/A N/A 2 703,776.11 6.37607 357 357 3 N/A N/A N/A N/A N/A N/A N/A 2 84,745.31 7.50000 356 356 4 N/A N/A N/A N/A N/A N/A N/A 2 5,451,682.21 6.89811 343 343 4 N/A N/A N/A N/A N/A N/A N/A 2 95,705.09 7.37500 356 356 4 N/A N/A N/A N/A N/A N/A N/A 2 1,727,940.18 6.54861 342 342 4 N/A N/A N/A N/A N/A N/A N/A 2 51,735.60 6.25000 355 355 5 N/A N/A N/A N/A N/A N/A N/A 2 27,305.94 9.75000 176 176 4 N/A N/A N/A N/A N/A N/A N/A 2 963,569.69 7.59472 338 338 3 N/A N/A N/A N/A N/A N/A N/A 2 166,143.11 8.74698 302 302 5 N/A N/A N/A N/A N/A N/A N/A 2 8,106,802.55 6.54382 348 348 3 N/A N/A N/A N/A N/A N/A N/A 2 32,594.84 9.99000 175 175 5 N/A N/A N/A N/A N/A N/A N/A III-3
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ANNEX III ASSUMED MORTGAGE LOAN CHARACTERISTICS [Enlarge/Download Table] Remaining Stated Remaining Amortization Remaining Minimum Maximum Months Initial Interest Aggregate Gross Term to Term to Gross Mortgage Mortgage to Next Periodic Periodic Only Principal Mortgage Maturity Maturity Age Margin Rate Rate Adjustment Rate Rate Term Group Balance ($) Rate (%) (months) (months) (months) (%) (%) (%) Date Cap (%) Cap (%) (months) ------------------------------------------------------------------------------------------------------------------------------------ 2 5,274,530.36 6.82021 333 333 3 N/A N/A N/A N/A N/A N/A N/A 2 32,094,654.75 6.75561 345 345 3 N/A N/A N/A N/A N/A N/A N/A 2 149,988.17 7.32522 355 355 5 N/A N/A N/A N/A N/A N/A N/A 2 5,580,561.58 7.36261 354 354 4 N/A N/A N/A N/A N/A N/A N/A 2 32,809,594.64 6.98702 331 331 4 N/A N/A N/A N/A N/A N/A N/A III-4
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MORTGAGE PASS-THROUGH CERTIFICATES MORTGAGE-BACKED NOTES (ISSUABLE IN SERIES) CITIGROUP MORTGAGE LOAN TRUST INC. DEPOSITOR -------------------------------------------------------------------------------- YOU SHOULD CONSIDER CAREFULLY THE RISK FACTORS BEGINNING ON PAGE 5 OF THIS PROSPECTUS. THIS PROSPECTUS MAY BE USED TO OFFER AND SELL THE SECURITIES ONLY IF ACCOMPANIED BY A PROSPECTUS SUPPLEMENT. -------------------------------------------------------------------------------- THE SECURITIES: Citigroup Mortgage Loan Trust Inc., as depositor, will sell the securities, which may be in the form of mortgage pass-through certificates or mortgage-backed notes. Each issue of securities will have its own series designation and will evidence either: o the ownership of trust fund assets, or o debt obligations secured by trust fund assets. THE TRUST FUND AND ITS ASSETS The assets of a trust fund will primarily include any combination of: o one- to four-family residential first and junior lien mortgage loans, multifamily residential mortgage loans, cooperative apartment loans, installment loan agreements, home equity revolving lines of credit, including partial balances of those lines of credit, or beneficial interests, o installment or conditional sales contracts and installment loan agreements secured by senior or junior liens on manufactured homes, o pass-through or participation certificates issued or guaranteed by the Government National Mortgage Association, the Federal National Mortgage Association or the Federal Home Loan Mortgage Corporation, or pass-through or participation certificates or other mortgage-backed securities issued or guaranteed by private entities, or o funding agreements secured by any of the above described assets. CREDIT ENHANCEMENT The assets of the trust fund for a series of securities may also include pool insurance policies, letters of credit, reserve funds, credit derivatives, or other types of credit support, or any combination thereof, and currency or interest rate exchange agreements and other financial assets, or any combination thereof. NEITHER THE SECURITIES AND EXCHANGE COMMISSION NOR ANY STATE SECURITIES COMMISSION HAS APPROVED THESE SECURITIES OR DETERMINED THAT THIS PROSPECTUS IS ACCURATE OR COMPLETE. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE. Offers of the securities may be made through one or more different methods, including through underwriters as described in "Methods of Distribution" in the related prospectus supplement. All certificates will be distributed by, or sold through underwriters managed by: CITIGROUP The date of this Prospectus is May 3, 2005
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TABLE OF CONTENTS [Enlarge/Download Table] RISK FACTORS.......