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SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of report (Date of earliest event
reported) March 31, 2000
--------------
Asset Backed Securities Corporation
-------------------------------------------------------------
(Exact Name of Registrant as Specified in Charter)
Delaware 333-64351 13-3320910
- ---------------------------- ------------- -------------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
Eleven Madison Avenue
New York, New York 10010
(Address of Principal Executive
Offices and Zip Code)
Registrant's telephone number, including area code (212) 325-2000
--------------
Item 5. Other Events
Filing of Collateral Term Sheets.
- --------------------------------
In connection with the proposed offering of Asset Backed Securities
Corporation (the "Company") Bank One Mortgage-Backed Pass-Through
Certificates, Series 2000-2, Credit Suisse First Boston Corporation (the
"Underwriter"), has prepared certain materials (the "Collateral Term Sheets")
for distribution to its potential investors. Although the Company provided the
Underwriter with certain information regarding the characteristics of the
mortgage loans in the related portfolio, it did not participate in the
preparation of the Collateral Term Sheets.
The Collateral Term Sheets are attached hereto as Exhibit 99. These
Collateral Term Sheets supersede any prior collateral information which may
have been previously filed with the Securities and Exchange Commission.
Item 7. Financial Statements, Pro Forma Financial
Information and Exhibits.
- ------------------------
(a) Not applicable.
(b) Not applicable.
(c) Exhibits.
The following is filed herewith. The exhibit number corresponds with
Item 601(b) of Regulation S-K.
Exhibit No. Description
----------- -----------
99 Collateral Term Sheets
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
ASSET BACKED SECURITIES CORPORATION
By: /s/ Kari Skilbred
-------------------------------
Name: Kari Skilbred
Title: Vice President
Dated: March 31, 2000
Exhibit Index
-------------
Exhibit Page
- ------- ----
99. Collateral Term Sheets 6
IN ACCORDANCE WITH RULE 202 OF REGULATION S-T, THESE
COLLATERAL TERM SHEETS ARE BEING FILED IN PAPER PURSUANT TO A
CONTINUING HARDSHIP EXEMPTION.
EXHIBIT 99
COLLATERAL TERM SHEETS
for
ASSET BACKED SECURITIES CORPORATION
Mortgage-Backed Pass-Through Certificates, Series 2000-2
March 2000 Confidential
Materials Prepared for Discussion
Bank One Fixed / Arm Collateral
Confidential
- ------------------------------------------------------------------------------
Bank One Fixed / Arm Collateral
Adjustable Rate and 1 - 12 Conforming Loan Balance
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
MORTGAGE RATES (%) LOANS CUT-OFF DATE LOANS
6.001-6.250 6 660,747 0.55
6.251-6.500 7 849,201 0.71
6.501-6.750 47 6,168,277 5.13
6.751-7.000 78 9,742,552 8.11
7.001-7,250 161 16,074,186 13.38
7.251-7.500 251 19,639,146 16.35
7,501-7.750 211 15,901,252 13.24
7.751-8.000 263 16,604,565 13.82
8.001-8.250 299 20,397,692 16.98
8.251-8.500 136 8,994,875 7.49
8.501-8.750 74 4,329,523 3.60
8.751-9.000 18 779,095 0.65
Total: 1,551 120,141,111 100.00
Weighted Average: 7.6736
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
OCCUPANCY STATUS LOANS CUT-OFF DATE LOANS
Primary 1,261 103,843,022 86.43
Investment 212 9,989,106 8.31
Second Home 78 6,308,984 5.25
Total: 1,551 120,141,111 100.00
Note: Based on representations of the Mortgagor at the time of origination
of the related Mortgage Loan.
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
CURRENT MORTGAGE LOAN MORTGAGE OUTSTANDING AS OF MORTGAGE
PRINCIPAL BALANCE ($) LOANS CUT-OFF DATE LOan
0.01-50,000.00 686 17,648,500 14.69
50,000.01-100,000.00 445 32,854,567 27.35
100,000.01-150,000.00 202 24,704,026 20.56
150,000.01-200,000.00 69 11,736,100 9.77
200,000.01-250,000.00 146 32,358,816 26.93
250,000.01-300,000.00 3 839,104 0.70
Total: 1,551 120,141,111 100.00
Average: 77,460
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
CURRENT MORTGAGE OUTSTANDING AS OF MORTGAGE
LOAN-TO-VALUE RATIO (%) LOANS CUT-OFF DATE LOANS
=< 0.00 24 943,545 0.79
0.01-50.00 495 20,242,549 16.85
50.01-55.00 78 4,949,862 4.12
55.01-60.00 114 8,982,532 7.48
60.01-65.00 127 9,882,960 8.23
65.01-70.00 191 16,657,987 13.87
70.01-75.00 186 19,643,747 16.35
75.01-80.00 176 21,077,580 17.54
80.01-85.00 57 6,202,190 5.16
85.01-90.00 74 8,613,440 7.17
90.01-95.00 28 2,857,968 2.38
95.01-100.00 1 87,242 0.07
Total: 1,551 120,141,111 100.00
Weighted Average by Current Balance: 65.84
<PAGE>
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
PROPERTY TYPE LOANS CUT-OFF DATE LOANS
Single Family Residence 1,157 88,324,396 73.52
Condo 207 13,888,702 11.56
2 - 4 Family 88 7,080,831 5.89
PUD 48 6,319,572 5.26
Condo - High Rise >8 floors 32 3,071,240 2.56
Townhouse 7 683,996 0.57
Unknown 7 533,383 0.44
Co-op 5 238,991 0.20
Total: 1,551 120,141,111 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OU5TSTANDING AS OF MORTGAGE
LOAN PURPOSE LOANS CUT-OFF DATE LOANS
Purchase 763 57,051,484 47.49
Refinance - Rate Term 323 27,411,284 22.82
Refinance - Cashout 350 25,060,339 20.86
Construction 95 9,844,467 8.19
Unknown 20 773,537 0.64
Total: 1,551 120,141,111 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
SEASONING LOANS CUT-OFF DATE LOANS
0-11 33 4,656,655 3.88
12-23 41 5,375,452 4.47
24-35 130 17,449,746 14.52
36-47 56 7,472,017 6.22
48-59 261 27,754,015 23.10
60-71 135 10,914,641 9.08
72-83 126 11,165,509 9.29
84-95 150 9,609,212 8.00
96 >= 619 25,743,864 21.43
Total: 1,551 120,141,111 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
REMAINING TERM MORTGAGE OUTSTANDING AS OF MORTGAGE
TO STATED MATURITY LOANS CUT-OFF DATE LOANS
1-60 89 1,048,694 0.87
61-120 190 4,394,050 3.66
121-180 104 4,489,872 3.74
181-240 286 15,210,822 12.66
241-300 420 37,195,129 30.96
301-360 462 57,802,544 48.11
Total: 1,551 120,141,111 100.00
Weighted Average: 277
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
MARGIN (%) LOANS CUT-OFF DATE LOANS
1.501-2.000 20 1,006,398 0.84
2.001-2.500 138 7,389,178 6.15
2.501-3.000 1,346 110,067,695 91.62
3.001-3.500 44 1,637,409 1.36
3.501-4.000 3 40,431 0.03
Total: 1,551 120,141,111 100.00
Minimum: 1.6000
Maximum: 4.000
Weighted Average: 2.8266
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
DOCUMENTATION LEVEL LOANS CUT-OFF DATE LOANS
Alternative 527 61,229,452 50.96
Full Doc - Asset and Income 1,024 58,911,659 49.04
Total: 1,551 120,141,111 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
REMAINING TERM MORTGAGE OUTSTANDING AS OF MORTGAGE
TO STATED MATURITY LOANS CUT-OFF DATE LOANS
=< 0.000 60 1,554,774 1.29
10.001-10.500 3 171,512 0.14
10.501-11.000 31 2,855,412 2.38
11.001-11.500 58 5,138,819 4.28
11.501-12.000 137 16,577,668 13.80
12.001-12.500 238 26,776,056 22.29
12.501-13.000 245 23,803,816 19.81
13.001-13.500 238 18,769,336 15.62
13.501-14.000 192 10,342,598 8.61
14.001-14.500 102 5,088,077 4.24
14.501-15.000 92 4,455,859 3.71
15.001 155 4,607,184 3.83
Total: 1,551 120,141,111 100.00
Minimum: 0.0000
Maximum: 19.7500
Weighted Average: 12.8618
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
GEOGRAPHIC DISTRIBUTION MORTGAGE OUTSTANDING AS OF MORTGAGE
BY BALANCE LOANS CUT-OFF DATE LOANS
Illinois 461 46,250,185 38.50
Michigan 514 34,296,280 28.55
Indiana 317 21,355,435 17.78
Florida 111 6,198,833 5.16
Ohio 44 3,447,182 2.87
Texas 26 1,733,316 1.44
Wisconsin 20 1,720,168 1.43
Colorado 15 1,446,745 1.20
Kentucky 12 922,596 0.77
Arizona 3 544,300 0.45
Louisiana 5 413,532 0.34
Utah 2 372,002 0.31
Georgia 2 262,680 0.22
Minnesota 8 257,517 0.21
South Carolina 3 234,494 0.20
California 1 226,093 0.19
Oklahoma 2 128,355 0.11
Virginia 2 114,942 0.10
Montana 1 98,492 0.08
Massachusetts 1 79,284 0.07
North Carolina 1 38,681 0.03
Total: 1,551 120,141,111 100.00
Number of States
Represented: 21
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
NEXT RATE ADJUSTMENT DATE LOANS CUT-OFF DATE LOANS
2000-03 1 32,052 0.03
2000-04 2 38,165 0.03
2000-05 109 7,835,292 6.52
2000-06 111 7,645,109 6.36
2000-07 111 7,512,480 6.25
2000-08 130 10,213,008 8.50
2000-09 147 9,977,841 8.31
2000-10 139 11,192,810 9.32
2000-11 139 11,566,432 9.63
2000-12 192 14,829,974 12.34
2001-01 205 15,586,690 12.97
2001-02 152 13,417,526 11.17
2001-03 113 10,293,733 8.57
Total: 1,551 120,141,111 100.00
Minimum: 2000-03-30
Maximum: 2001-03-27
Weighted Average Months-to-Roll: 8
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
MORTGAGE RATES(%) LOANS CUT-OFF DATE LOANS
6.001-6.250 5 1,966,472 1.29
6.251-6.500 8 3,567,110 2.34
6.501-6.750 34 14,798,690 9.69
6.751-7.000 87 38,767,786 25.40
7.001-7.250 52 21,427,179 14.04
7.251-7.500 41 15,306,055 10.03
7.501-7.750 54 19,985,131 13.09
7.751-8.000 30 10,857,744 7.11
8.001-8.250 39 11,282,626 7.39
8.251-8.500 27 9,128,831 5.98
8.501-8.750 12 4,443,976 2.91
8.751-9.000 1 1,121,620 0.73
Total: 390 152,653,220 100.00
Weighted Average: 7.3766
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
LOAN PURPOSE LOANS CUT-OFF DATE LOANS
Purchase 156 56,121,457 36.76
Refinance - Rate Term 136 52,052,631 34.10
Refinance - Cashout 83 39,586,060 25.93
Construction 15 4,893,072 3.21
Total: 390 152,653,220 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
LOAN OCCUPANCY STATUS LOANS CUT-OFF DATE LOANS
Primary 350 135,278,302 88.62
Second Home 35 15,211,590 9.96
Investment 5 2,163,329 1.42
Total: 390 152,653,220 100.00
Note: Based on representations of the Mortgagor at the time of origination of
the related Mortgage Loan.
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
CURRENT MORTGAGE LOAN MORTGAGE OUTSTANDING AS OF MORTGAGE
PRINCIPAL BALANCE($) LOANS CUT-OFF DATE LOANS
0.01-50,000.00 2 38,384 0.03
50,000.01-100,000.00 5 348,125 0.23
100,000.01-150,000.00 4 538,027 0.35
150,000.01-200,000,00 7 1,310,354 0.86
200,000.01-250,000.00 37 8,718,699 5.71
250,000.01-300,000.00 97 26,504,103 17.36
300,000.01-350,000.00 69 22,238,712 14.57
350,000.01-400,000.00 54 20,283,597 13.29
400,000.01-500,000.00 50 22,554,424 14.77
500,000.01-600,000.00 21 11,519,770 7.55
600,000.01-700,000.00 19 12,279,727 8.04
700,000.01-800,000.00 8 6,005,650 3.93
800,000.01-900,000.00 5 4,305,917 2.82
900,000.01-1,000,000.00 4 3,905,494 2.56
1,000,000.0 1 >= 8 12,102,238 7.93
Total: 390 152,653,220 100.00
Weighted Average: 391,419
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
CURRENT MORTGAGE OUTSTANDING AS OF MORTGAGE
LOAN-TO-VALUE RATIO (%) LOANS CUT-OFF DATE LOANS
=< 0.00 2 999,367 0.65
0.01-50.00 51 15,026,129 9.84
50.01-55.00 16 6,108,527 4.00
55.01-60.00 20 7,483,001 4.90
60.01-65.00 40 16,370,547 10.72
65.01-70.00 51 22,706,338 14.87
70.01-75.00 83 34,325,721 22.49
75.01-80.00 101 41,196,714 26.99
80.01-85.00 13 4,398,725 2.88
85.01-90.00 10 2,884,578 1.89
90.01-95.00 3 1,153,573 0.76
Total: 390 152,653,220 100.00
Weighted Average: 67.74
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
PROPERTY TYPE LOANS CUT-OFF DATE LOANS
Single Family Residence 319 125,935,011 82.50
PUD 35 12,072,705 7.91
Condo 21 10,122,909 6.63
Condo - High Rise >8 floors 9 2,730,792 1.79
Townhouse 4 1,169,140 0.77
24 Family 1 424,077 0.28
Co-op 1 198,586 0.13
Total: 390 152,653,220 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
SEASONING LOANS CUT-OFF DATE LOANS
0-11 74 36,169,539 23.69
12-23 24 14,483,490 9.49
24-35 95 35,200,777 23.06
36-47 23 7,330,605 4.80
48-59 90 34,464,825 22.58
60-71 18 5,794,314 3.80
72-83 37 10,954,257 7.18
84-95 12 3,724,843 2.44
96 >= 17 4,530,572 2.97
Total: 390 152,653,220 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
REMAINING TERM MORTGAGE OUTSTANDING AS OF MORTGAGE
TO STATED MATURITY LOANS CUT-OFF DATE LOANS
1-60 1 133,890 0.09
61-120 7 2,016,549 1.32
121-180 5 2,040,259 1.34
181-240 11 2,799,329 1.83
241-300 73 22,582,203 14.79
301-360 293 123,080,990 80.63
Total: 390 152,653,220 100.00
Weighted Average: 317
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
DOCUMENTATION LEVEL LOANS CUT-OFF DATE LOANS
Alternative 240 93,828,121 61.46
Full Doc - Asset and Income 150 58,825,099 38.54
Total: 390 152,653,220 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
MARGIN (%) LOANS CUT-OFF DATE LOANS
2.001-2.500 9 2,291,186 1.50
2.501-3,000 379 149,024,342 97.62
3.001-3.500 2 1,337,692 0.88
Total: 390 152,653,220 100.00
Minimum: 2.5000
Maximum: 3.1250
Weighted Average: 2.8461
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
MAXIMUM MORTGAGE RATES($) LOANS CUT-OFF DATE LOANS
9.501-10.000 1 434,960 0.28
10.001-10.500 4 898,926 0.59
10.501-11.000 8 3,209,372 2.10
11.001-11.500 24 7,712,655 5.05
11.501-12.000 96 36,261,035 23.75
12.001-12.500 93 37,446,454 24.53
12.501-13.000 96 39,777,885 26.06
13.001-13.500 47 20,526,037 13.45
13.501-14.000 11 3,725,243 2.44
14.001-14.500 3 776,994 0.51
14.501-15.000 2 632,403 0.41
15.001 >= 5 1,251,256 0.82
Total: 390 152,653,220 100.00
Minimum: 9.6500
Maximum: 17.0000
Weighted Average: 12.4311
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
GEOGRAPHIC DISTRIBUTION MORTGAGE OUTSTANDING AS OF MORTGAGE
BY BALANCE LOANS CUT-OFF DATE LOANS
Illinois 156 58,733,626 38.48
Michigan 135 55,051,364 36.06
Indiana 41 13,244,408 8.68
Florida 21 9,106,125 5.97
Ohio 8 3,420,623 2.24
Colorado 5 2,305,971 1.51
Wisconsin 6 2,128,437 1.39
Hawaii 1 1,991,460 1.30
Texas 3 1,391,748 0.91
Arizona 4 1,331,450 0.87
Kentucky 4 1,242,798 0.81
Nevada 1 1,121,620 0.73
Montana 1 527,790 0.35
Utah 1 275,465 0.18
North Carolina 1 271,947 0.18
South Carolina 1 261,109 0.17
Louisiana 1 247,278 0.16
Total: 390 152,653,220 100.00
Number of States Represented: 17
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
NET RATE ADJUSTMENT DATE LOANS CUT-OFF DATE LOANS
2000-05 25 9,971,146 6.53
2000-06 21 7,008,503 4.59
2000-07 20 8,497,399 5.57
2000-08 23 8,299,580 5.44
2000-09 33 11,937,495 7.82
2000-10 38 15,966,114 10.46
2000-11 48 20,562,658 13.47
2000-12 54 20,249,637 13.27
2001-01 44 17,286,085 11.32
2001-02 38 14,543,443 9.53
2001-03 46 18,331,159 12.01
Total: 390 152,653,220 100.00
Minimum: 2000-05-01
Maximum: 2001-03-01
Weighted Average Months-to-Roll: 8
Adjustable Rate and 13 - 38 Conforming Loan Balance
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
MORTGAGE RATES LOANS CUT-OFF DATE LOANS
6.001-6.250 15 2,354,834 2.59
6.251-6.500 22 3,665,414 4.03
6.501-6.750 81 13,359,378 14.69
6.751-7.000 132 17,269,897 19.00
7.001-7.250 105 12,932,409 14.22
7.251-7.500 156 17,513,881 19.26
7.501-7.750 123 13,374,990 14.71
7.751-8.000 67 6,492,996 7.14
8.001-8.250 22 2,580,090 2.84
8.251-8.500 7 629,510 0.69
8.501-8.750 6 425,723 0.47
8.751-9.000 4 316,016 0.35
Total: 740 90,915,137 100.00
Weighted Average: 7.2041
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
LOAN PURPOSE LOANS CUT-OFF DATE LOANS
Purchase 366 44,756,822 49.23
Refinance - Rate Term 168 22,461,707 24.71
Refinance - Cashout 160 18,414,358 20.25
Construction 43 5,071,425 5.58
Refinance - Home Improvement 1 148,394 0.16
Unknown 2 62,430 0.07
Total: 740 90,915,137 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
OCCUPANCY STATUS LOANS CUT-OFF DATE LOANS
Primary 561 74,923,234 82.41
Investment 122 9,955,738 10.95
Second Home 57 6,036,164 6.64
Total: 740 90,915,137 100.00
Note: Based on representations of the Mortgagor at the time of origination of
the related Mortgage Loan.
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
CURRENT MORTGAGE LOAN MORTGAGE OUTSTANDING AS OF MORTGAGE
PRINCIPAL BALANCE ($) LOANS CUT-OFF DATE LOANS
0.01-50,000.00 112 3,259,406 3.59
50,000.01-100,000.00 228 16,840,750 18.52
100,000.01-150,000.00 148 18,386,564 20.22
150,000.01-200,000.00 84 14,477,205 15.92
200,000.01-250,000.00 162 36,213,873 39.83
250,000.01-300,000.00 4 1,059,129 1.16
300,000.01-350,000.00 1 307,324 0.34
350,000.01-400,000.00 1 370,885 0.41
Total: 740 90,915,137 100.00
Average: 122,858
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
PROPERTY TYPE LOANS CUT-OFF DATE LOANS
Single Family Residence 504 60,970,885 67.06
Condo 101 10,844,769 11.93
2 - 4 Family 45 6,687,731 7.36
PUD 39 5,774,192 6.35
Condo - High Rise >8 floors 35 4,706,112 5.18
Townhouse 7 1,064,305 1.17
Unknown 7 650,395 0.72
Co-op 2 216,748 0.24
Total: 740 90,915,137 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
CURRENT LOAN-TO-VALUE RATIO(%) LOANS CUT-OFF DATE LOANS
=< 0.00 11 831,306 0.91
0.01-50.00 110 9,122,828 10.03
50.01-55.00 23 2,508,164 2.76
55.01-60.00 31 3,474,001 3.82
60.01-65.00 40 4,028,264 4.43
65.01-70.00 64 7,611,095 8.37
70.01-75.00 116 15,459,360 17.00
75.01-80.00 193 27,320,607 30.05
80.01-85.00 36 5,099,528 5.61
85.01-90.00 73 10,783,825 11.86
90.01-95.00 39 4,250,142 4.67
95.01-100.00 4 426,017 0.47
Total: 740 90,915,137 100.00
Weighted Average by Current Balance: 71.87
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
SEASONING LOANS CUT-OFF DATE LOANS
0-11 59 7,886,582 8.67
12-23 184 25,408,486 27.95
24-35 208 27,475,919 30.22
36-47 140 18,695,374 20.56
48-59 45 4,263,620 4.69
60-71 48 5,055,782 5.56
72-83 6 489,795 0.54
84-95 7 299,005 0.33
96 >= 43 1,340,571 1.47
Total: 740 90,915,137 100.00
AGGREGATE PRINCIPAL
REMAINING TERM NUMBER OF BALANCE % OF
TO STATED MATURITY MORTGAGE OUTSTANDING AS OF MORTGAGE
LOANS CUT-OFF DATE LOANS
1-60 7 92,612 0.10
61-120 21 590,524 0.65
121-180 30 2,066,631 2.27
181-240 32 1,666,956 1.83
241-300 59 6,022,560 6.62
301-360 591 80,475,854 88.52
Total: 740 90,915,137 100.00
Weighted Average: 320
AGGREGATE PRINCIPAL
GEOGRAPHIC NUMBER OF BALANCE % OF
DISTRIBUTION BY MORTGAGE OUTSTANDING AS OF MORTGAGE
BALANCE LOANS CUT-OFF DATE LOANS
Illinois 281 40,226,169 44.25
Michigan 201 24,137,271 26.55
Indiana 124 11,877,845 13.06
Wisconsin 30 3,512,551 3.86
Florida 31 3,210,924 3.53
Kentucky 24 2,511,067 2.76
Ohio 19 1,635,436 1.80
Texas 11 1,256,715 1.38
Arizona 6 983,439 1.08
Utah 2 395,237 0.43
Connecticut 2 366,132 0.40
North Carolina 2 206,805 0.23
South Carolina 1 138,528 0.15
Minnesota 1 130,413 0.14
Oklahoma 2 127,753 0.14
Missouri 1 99,218 0.11
Colorado 1 70,117 0.08
Vermont 1 29,519 0.03
Total: 740 90,915,137 100.00
Number of States Represented: 18
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
DOCUMENTATION LEVEL LOANS CUT-OFF DATE LOANS
Alternative 598 78,506,092 86.35
Full Doc - Asset and Income 142 12,409,045 13.65
Total: 740 90,915,137 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
MARGIN (%) LOANS CUT-OFF DATE LOANS
1.001-1.500 1 59,984 0.07
2.001-2.500 10 305,607 0.34
2.501-3.000 720 90,189,986 99.20
3.001-3.500 8 330,140 0.36
3.501-4.000 1 29,419 0.03
Total: 740 90,915,137 100.00
Minimum: 1.5000
Maximum: 3.7500
Weighted Average: 2.9320
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MAXIMUM MORTGAGE MORTGAGE OUTSTANDING AS OF MORTGAGE
RATES (%) LOANS CUT-OFF DATE LOANS
=< 0.000 2 74,278 0.08
10.001-10.500 2 218,692 0.24
10.501-11.000 10 899,724 0.99
11.001-11.500 49 7,215,963 7.94
11.501-12.000 206 29,840,614 32.82
12.001-12.500 170 22,326,960 24.56
12.501-13.000 133 14,571,500 16.03
13.001-13.500 85 9,781,741 10.76
13.501-14.000 47 4,303,034 4.73
14.001-14.500 12 917,537 1.01
14.501-15.000 10 281,800 0.31
15.001 >= 14 483,294 0.53
Total: 740 90,915,137 100.00
Minimum: 0.0000
Maximum: 17.7500
Weighted Average: 12.3324
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
NEXT RATE MORTGAGE OUTSTANDING AS OF MORTGAGE
ADJUSTMENT DATE LOANS CUT-OFF DATE LOANS
2001-04 163 14,567,620 16.02
2001-05 43 6,409,943 7.05
2001-06 33 3,709,389 4.08
2001-07 25 3,763,785 4.14
2001-08 24 3,206,814 3.53
2001-09 17 1,693,315 1.86
2001-10 14 2,266,369 2.49
2001-11 17 2,087,757 2.30
2001-12 12 1,505,502 1.66
2002-01 12 1,454,172 1.60
2002-02 7 1,148,599 1.26
2002-03 7 533,166 0.61
2002-04 11 1,455,229 1.60
2002-05 13 1,903,823 2.09
2002-06 16 1,902,051 2.09
2002-07 18 2,014,593 2.22
2002-08 26 2,635,767 2.90
2002-09 26 3,619,803 3.98
2002-10 31 4,052,026 4.46
2002-11 25 3,832,180 4.22
2002-12 20 3,054,170 3.36
2003-01 40 5,554,032 6.11
2003-02 32 4,020,538 4.42
2003-03 26 2,995,112 3.29
2003-04 48 6,497,746 7.15
2003-05 34 5,011,636 5.51
Total: 740 90,915,137 100.00
Minimum: 2001-04-01
Maximum: 2003-05-01
Weighted Average Months-to-Roll: 25
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
MORTGAGE RATES (%) LOANS CUT-OFF DATE LOANS
6.001-6.250 5 1,898,044 1.07
6.251-6.500 27 11,171,399 6.32
6.501-6.750 108 41,128,971 23.27
6.751-7.000 148 61,587,671 34.84
7.001-7.250 54 20,771,499 11.75
7.251-7.500 42 17,122,033 9.69
7.501-7.750 52 18,089,934 10.23
7.751-8.000 14 4,717,781 2.67
8.001-8.250 1 279,090 0.16
Total: 451 176,766,423 100.00
Weighted Average: 6.9872
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
LOAN PURPOSE LOANS CUT-OFF DATE LOANS
Purchase 181 68,691,756 38.86
Refinance - Rate Term 149 59,222,285 33.50
Refinance - Cashout 100 42,228,404 23.89
Construction 20 6,349,642 3.59
Refinance - Home Improvement 1 274,336 0.16
Total: 451 176,766,423 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
OCCUPANCY STATUS LOANS CUT-OFF DATE LOANS
Primary 413 160,176,852 90.61
Second Home 34 15,197,096 8.60
Investment 4 1,392,474 0.79
Total: 451 176,766,423 100.00
Note: Based on representations of the Mortgagor at the time of origination of
the related Mortgage Loan.
AGGREGATE PRINCIPAL
CURRENT MORTGAGE NUMBER OF BALANCE % OF
LOAN PRINCIPAL MORTGAGE OUTSTANDING AS OF MORTGAGE
BALANCE ($) LOANS CUT-OFF DATE LOANS
50,000.01-100,000.00 3 235,300 0.13
100,000.01-150,000.00 5 707,137 0.40
150,000.01-200,000.00 3 503,320 0.28
200,000.01-250,000.00 18 4,272,400 2.42
250,000.01-300,000.00 157 42,782,495 24.20
300,000.01-350,000.00 83 26,933,325 15.24
350,000.01-400,000.00 47 17,585,558 9.95
400,000.01-500,000.00 58 26,426,613 14.95
500,000.01-600,000.00 31 17,029,875 9.63
600,000.01-700,000.00 11 7,026,031 3.97
700,000.01-800,000.00 8 5,912,692 3.34
800,000.01-900,000.00 8 6,774,978 3.83
900,000.01-1,000,000.00 15 14,482,677 8.19
1,000,000.01 >= 4 6,094,020 3.45
Total: 451 176,766,423 100.00
Average: 391,943
Note: Based on representations of the Mortgagor at the time of origination of
the related Mortgage Loan.
AGGREGATE PRINCIPAL
CURRENT NUMBER OF BALANCE % OF
LOAN-TO-VALUE MORTGAGE OUTSTANDING AS OF MORTGAGE
RATIO (%) LOANS CUT-OFF DATE LOANS
=< 0.00 3 1,034,076 0.58
0.01-50.00 42 15,518,54 8.78
50.01-55.00 26 10,274,799 5.81
55.01-60.00 11 3,772,267 2.13
60.01-65.00 29 11,431,336 6.47
65,01-70.00 50 21,294,975 12.05
70.01-75.00 87 37,398,647 21.16
75.01-80.00 136 53,411,480 30.22
80,01-85.00 21 7,510,343 4.25
85.01-90.00 38 12,054,942 6.82
90.01-95.00 6 1,813,906 1.03
95.01-100.00 2 1,251,103 0.71
Total: 451 176,766,423 100.00
Weighted Average by Current Balance: 70.01
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
PROPERTY TYPE LOANS CUT-OFF DATE LOANS
Single Family Residence 353 138,994,454 78.63
PUD 46 17,492,329 9.90
Condo 30 11,264,987 6.37
Condo - High Rise >8 floors 12 5,386,588 3.05
2 - 4 Family 3 1,271,103 0.72
Co-op 3 1,199,018 0.68
Unknown 2 624,831 0.35
Townhouse 2 533,112 0.30
Total: 451 176,766,423 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
SEASONING LOANS CUT-OFF DATE LOANS
0-11 48 19,322,222 10.93
12-23 167 71,337,883 40.36
24-35 138 52,531,279 29.72
36-47 61 20,570,103 11.64
48-59 20 7,153,844 4.05
60-71 9 3,724,715 2.11
72-83 3 785,581 0.44
84-95 2 628,714 0.36
96 >= 3 712,081 0.40
Total: 451 176,766,423 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
REMAINING TERM TO MORTGAGE OUTSTANDING AS OF MORTGAGE
STATED MATURITY LOANS CUT-OFF DATE LOANS
1-60 1 119,477 0.07
61-120 4 922,157 0.52
121-180 9 3,091,609 1.75
181-240 2 697,473 0.39
241-300 15 5,602,679 3.17
301-360 420 166,333,028 94.10
Total: 451 176,766,423 100.00
Weighted Average: 327
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
DOCUMENTATION LEVEL LOANS CUT-OFF DATE LOANS
Alternative 395 155,976,319 88.24
Full Doc - Asset and Income 56 20,790,104 11.76
Total: 451 176,766,423 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MAXIMUM MORTGAGE MORTGAGE OUTSTANDING AS OF MORTGAGE
RATES (%) LOANS CUT-OFF DATE LOANS
10.501-11.000 1 275,137 0.16
11.001-11.500 31 12,768,358 7.22
11.501-12.000 238 94,664,693 53.55
12.001-12.500 77 30,030,755 16.99
12.501-13.000 47 16,449,660 9.31
13.001-13.500 28 12,238,912 6.92
13.501-14.000 26 9,524,795 5.39
14.001-14.500 1 338,723 0.19
15.001 >= 2 475,389 0.27
Total: 451 176,766,423 100.00
Minimum: 10.9000
Maximum: 15.5000
Weighted Average: 12.1540
AGGREGATE PRINCIPAL
GEOGRAPHIC NUMBER OF BALANCE % OF
DISTRIBUTION BY MORTGAGE OUTSTANDING AS OF MORTGAGE
BALANCE LOANS CUT-OFF DATE LOANS
Illinois 213 83,376,418 47.17
Michigan 131 47,577,468 26.92
Indiana 39 15,097,511 8.54
Florida 20 10,766,166 6.09
Colorado 10 4,706,376 2.66
Ohio 9 4,238,589 2.40
Wisconsin 10 3,647,679 2.06
Arizona 8 2,598,305 1.47
Texas 4 2,146,951 1.21
Pennsylvania 3 1,461,460 0.83
California 2 581,315 0.33
Kentucky 1 313,741 0.18
Utah 1 254,442 0.14
Total: 451 176,766,423 100.00
Number of States Represented: 13
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
MARGIN (%) LOANS CUT-OFF DATE LOANS
2.001-2.500 1 267,530 0.15
2.501-3.000 450 176,498,892 99.85
Total: 451 176,766,423 100.00
Minimum: 2.5000
Maximum: 3.0000
Weighted Average: 2.9377
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
NEXT RATE MORTGAGE OUTSTANDING AS OF MORTGAGE
ADJUSTMENT DATE LOANS CUT-OFF DATE LOANS
2001-04 65 23,656,270 13.38
2001-05 37 17,789,427 10.06
2001-06 19 9,351,398 5.29
2001-07 5 2,255,670 1.28
2001-08 9 4,200,932 2.38
2001-09 5 1,511,101 0.85
2001-10 6 1,673,701 0.95
2001-11 6 1,775,040 1.00
2001-12 4 2,140,308 1.21
2002-01 6 1,767,524 1.00
2002-02 5 1,469,273 0.83
2002-03 4 1,364,091 0.77
2002-04 2 612,496 0.35
2002-05 4 1,399,110 0.79
2002-06 8 3,274,029 1.85
2002-07 4 1,218,145 0.69
2002-08 6 2,431,775 1.38
2002-09 8 3,076,908 1.74
2002-10 27 10,974,032 6.21
2002-11 18 6,899,683 3.90
2002-12 33 14,653,918 8.29
2003-01 34 11,395,472 6.45
2003-02 23 8,934,863 5.05
2003-03 30 9,804,002 5.55
2003-04 51 19,782,269 11.19
2003-05 32 13,354,985 7.56
Total: 451 176,766,423 100.00
Minimum: 2001-04-01
Maximum: 2003-05-01
Weighted Average Months-to-Roll: 27
Adjustable Rate and 39 - 62 Conforming Loan Balance
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
MORTGAGE RATES (%) LOANS CUT-OFF DATE LOANS
6.251-6.500 5 832,642 1.20
6.501-6.750 56 7,594,679 10.99
6.751-7.000 151 21,038,215 30.45
7.001-7.250 79 11,250,095 16.28
7.251-7.500 65 7,596,588 10.99
7.501-7.750 88 12,324,563 17.84
7.751-8.000 39 4,506,505 6.52
8.001-8.250 20 1,650,678 2.39
8.251-8.500 21 1,467,651 2.12
8.501-8.750 7 508,245 0.74
8.751-9.000 7 330,426 0.48
Total: 538 69,100,285 100.00
Weighted Average: 7.2607
AGGREGATE PRINCIPAL
CURRENT MORTGAGE NUMBER OF BALANCE % OF
LOAN PRINCIPAL MORTGAGE OUTSTANDING AS OF MORTGAGE
BALANCE ($) LOANS CUT-OFF DATE LOANS
0.01-50,000.00 49 1,755,900 2.54
50,000.01-100,000.00 166 12,717,553 18.40
100,000.01-150,000.00 144 17,778,699 25.73
150,000.01-200,000.00 76 13,284,782 19.23
200,000.01-250,000.00 99 22,454,499 32.50
250,000.01-300,000.00 3 777,003 1.12
300,000.01-350,000.00 1 331,850 0.48
Total: 538 69,100,285 100.00
Average: 128,439
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
PROPERTY TYPE LOANS CUT-OFF DATE LOANS
Single Family Residence 393 49,950,550 72.29
Condo 70 8,630,170 12.49
2-4 Family 34 5,064,003 7.33
PUD 22 3,187,690 4.61
Condo - High Rise >8 floors 9 1,314,525 1.90
Co-op 4 426,818 0.62
Townhouse 4 347,736 0.50
Unknown 2 178,794 0.26
Total: 538 69,100,285 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
LOAN PURPOSE LOANS CUT-OFF DATE LOANS
Purchase 295 38,011,939 55.01
Refinance - Rate Term 120 16,523,082 23.91
Refinance - Cashout 103 12,203,116 17.66
Construction 19 2,214,683 3.21
Refinance - Home Improvement 1 147,466 0.21
Total: 538 69,100,285 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
OCCUPANCY STATUS LOANS CUT-OFF DATE LOANS
Primary 430 59,409,529 85.98
Second Home 42 5,072,679 7.34
Investment 66 4,618,078 6.68
Total: 538 69,100,285 100.00
Based on representations of the Mortgagor at the time of origination of the
related Mortgage Loan.
AGGREGATE PRINCIPAL
CURRENT NUMBER OF BALANCE % OF
LOAN-TO-VALUE MORTGAGE OUTSTANDING AS OF MORTGAGE
RATIO (%) LOANS CUT-OFF DATE LOANS
=< 0.00 1 195,667 0.28
0.01-50.00 37 3,435,865 4.97
50.01-55.00 9 940,465 1.36
55.01-60.00 21 2,970,158 4.30
60.01-65.00 33 3,928,880 5.69
65.01-70.00 47 5,425,122 7.85
70.01-75.00 65 9,479,365 13.72
75.01-80.00 137 19,399,711 28.07
80.01-85.00 12 1,218,528 1.76
85.01-90.00 52 6,440,796 9.32
90.01-95.00 117 14,701,120 21.28
95.01-100.00 7 964,607 1.40
Total: 538 69,100,285 100.00
Weighted Average by Current Balance: 77.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
SEASONING LOANS CUT-OFF DATE LOANS
0-11 170 23,137,502 33.48
12-23 209 27,916,589 40.40
24-35 76 10,328,336 14.95
36-47 26 3,065,794 4.44
48-59 22 1,795,826 2.60
60-71 32 2,394,544 3.47
72-83 3 461,695 0.67
Total: 538 69,100,285 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
REMAINING TERM TO MORTGAGE OUTSTANDING AS OF MORTGAGE
STATED MATURITY LOANS CUT-OFF DATE LOANS
61-120 6 233,945 0.34
121-180 10 760,195 1.10
181-240 9 894,647 1.29
241-300 36 3,464,726 5.01
301-360 477 63,746,773 92.25
Total: 538 69,100,285 100.00
Weighted Average: 336
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
DOCUMENTATION LEVEL LOANS CUT-OFF DATE LOANS
Alternative 376 47,794,531 69.17
Full Doc - Asset and
Income 162 21,305,754 30.83
Total: 538 69,100,285 100.00
AGGREGATE PRINCIPAL
GEOGRAPHIC NUMBER OF BALANCE % OF
DISTRIBUTION BY MORTGAGE OUTSTANDING AS OF MORTGAGE
BALANCE LOANS CUT-OFF DATE LOANS
Illinois 166 24,677,119 35.71
Michigan 160 19,937,017 28.85
Indiana 104 11,593,670 16.78
Kentucky 25 2,601,296 3.76
Ohio 20 2,110,534 3.05
Wisconsin 16 2,081,996 3.01
Florida 16 2,022,024 2.93
Colorado 7 1,078,274 1.56
Louisiana 7 911,491 1.32
Arizona 5 764,241 1.11
Utah 6 694,876 1.01
Texas 3 448,936 0.65
Nevada 1 105,091 0.15
Missouri 1 49,510 0.07
New York 1 24,210 0.04
Total: 538 69,100,285 100.00
Number of States Represented: 15
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
MARGIN (%) LOANS CUT-OFF DATE LOANS
2.501-3.000 530 68,600,874 99.28
3.001-3.500 8 499,412 0.72
Total: 538 69,100,285 100.00
Minimum: 2.7400
Maximum: 3.5000
Weighted Average: 2.8700
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
MORTGAGE RATES (%) LOANS CUT-OFF DATE LOANS
11.001-11.500 6 1,036,524 1.50
11.501-12.000 193 26,516,837 38.37
12.001-12.500 141 18,400,805 26.63
12.501-13.000 135 17,923,849 25.94
13.001-13.500 47 4,075,085 5.90
13.501-14.000 12 541,545 0.78
14.001-14.500 1 116,041 0.17
14.501-15.000 2 297,126 0.43
15.001 >= 1 192,474 0.28
Total: 538 69,100,285 100.00
Minimum: 11.3000
Maximum: 15.9000
Weighted Average: 12.3092
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
NEXT RATE MORTGAGE OUTSTANDING AS OF MORTGAGE
ADJUSTMENT DATE LOANS CUT-OFF DATE LOANS
2003-06 30 3,674,496 5.32
2003-07 25 3,144,629 4.55
2003-08 36 3,913,100 5.66
2003-09 21 3,008,014 4.35
2003-10 14 1,660,807 2.40
2003-11 14 1,848,688 2.68
2003-12 8 708,944 1.03
2004-01 9 1,382,845 2.00
2004-02 11 1,229,234 1.78
2004-03 12 1,500,717 2.17
2004-04 10 911,794 1.32
2004-05 17 1,788,426 2.59
2004-06 19 1,907,244 2.76
2004-07 9 887,418 1.28
2004-08 2 151,854 0.22
2004-09 7 938,075 1.36
2004-10 22 2,816,380 4.08
2004-11 14 1,711,529 2.48
2004-12 21 3,452,226 5.00
2005-01 70 8,946,039 12.95
2005-02 37 4,828,711 6.99
2005-03 45 6,645,554 9.62
2005-04 47 6,886,005 9.97
2005-05 38 5,157,557 7.46
Total: 538 69,100,285 100.00
Minimum: 2003-06-01
Maximum: 2005-05-01
Weighted Average Months-to-Roll: 53
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
MORTGAGE RATES (%) LOANS CUT-OFF DATE LOANS
6.001-6.250 2 1,646,531 0.83
6.251-6.500 8 4,965,644 2.49
6.501-6.750 60 33,785,255 16.96
6.751-7.000 158 65,747,403 33.01
7.001-7.250 72 26,260,425 13.18
7.251-7.500 28 10,963,685 5.50
7.501-7.750 110 44,000,006 22.09
7.751-8.000 28 10,415,112 5.23
8.001-8.250 3 1,404,558 0.71
Total: 469 199,188,620 100.00
Weighted Average: 7.1361
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
CURRENT MORTGAGE LOAN MORTGAGE OUTSTANDING AS OF MORTGAGE
PRINCIPAL BALANCE ($) LOANS CUT-OFF DATE LOANS
150,000.01-200,000.00 1 181,235 0.09
200,000,01-250,000.00 12 2,881,978 1.45
250,000.01-300,000.00 135 37,089,000 18.62
300,000.01-350,000.00 90 29,269,880 14.69
350,000.01-400,000.00 70 26,300,954 13.20
400,000.01-500,000.00 66 29,458,792 14.79
500,000.01-600,000.00 32 17,520,972 8.80
600,000.01-700,000.00 26 16,552,491 8.31
700,000.01-800,000.00 12 9,157,719 4.60
800,000.01-900,000.00 5 4,386,522 2.20
900,000.01-1,000,000.00 8 7,666,357 3.85
1,000,000.01 >= 12 18,722,721 9.40
Total: 469 199,188,620 100.00
Average: 424,709
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
PROPERTY TYPE LOANS CUT-OFF DATE LOANS
Single Family Residence 357 156,378,591 78.51
PUD 50 20,268,114 10.18
Condo 48 16,863,649 8.47
2-4 Family 6 2,792,945 1.40
Condo - High Rise >8 floors 6 2,342,794 1.18
Townhouse 2 542,526 0.27
Total: 469 199,188,620 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
LOAN PURPOSE LOANS CUT-OFF DATE LOANS
Purchase 217 84,986,120 42.67
Refinance - Rate Term 126 57,052,293 28.64
Refinance - Cashout 104 48,539,615 24.37
Construction 20 7,898,207 3.97
Refinance - Home Improvement 2 712,384 0.36
Total: 469 199,188,620 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
OCCUPANCY STATUS LOANS CUT-OFF DATE LOANS
Primary 439 185,574,182 93.17
Second Home 29 13,024,547 6.54
Investment 1 589,891 0.30
Total: 469 199,188,620 100.00
Based on representations of the Mortgagor at the time of origination of the
related Mortgage Loan.
AGGREGATE PRINCIPAL
CURRENT NUMBER OF BALANCE % OF
LOAN-TO-VALUE MORTGAGE OUTSTANDING AS OF MORTGAGE
RATIO (%) LOANS CUT-OFF DATE LOANS
=< 0.00 1 385,846 0.19
0.01-50.00 29 14,275,985 7.17
50.01-55.00 19 7,802,077 3.92
55.01-60.00 13 4,246,822 2.13
60.01-65.00 28 14,354,664 7.21
65.01-70.00 42 19,988,658 10.04
70.01-75.00 83 36,328,886 18.24
75.01-80.00 194 78,886,432 39.60
80.01-85.00 14 4,800,332 2.41
85.01-90.00 32 12,857,755 6.46
90.01-95.00 12 4,311,316 2.16
95.01-100.00 2 949,847 0.48
Total: 469 199,188,620 100.00
Weighted Average by Current Balance: 72.07
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
SEASONING LOANS CUT-OFF DATE LOANS
0-11 183 74,977,615 37.64
12-23 200 89,670,718 45.02
24-35 66 25,662,772 12.88
36-47 8 2,359,866 1.18
48-59 6 4,186,045 2.10
60-71 4 1,637,946 0.82
72-83 2 693,658 0.35
Total: 469 199,188,620 100.00
AGGREGATE PRINCIPAL
REMAINING TERM NUMBER OF BALANCE % OF
TO STATED MATURITY MORTGAGE OUTSTANDING AS OF MORTGAGE
LOANS CUT-OFF DATE LOANS
121-180 1 313,814 0.16
181-240 4 1,334,522 0.67
241-300 11 3,848,513 1.93
301-360 453 193,691,771 97.24
Total: 469 199,188,620 100.00
Weighted Average: 342
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
DOCUMENTATION LEVEL LOANS CUT-OFF DATE LOANS
Alternative 287 124,873,569 62.69
Full Doc - Asset and
Income 182 74,315,050 37.31
Total: 469 199,188,620 100.00
AGGREGATE PRINCIPAL
GEOGRAPHIC NUMBER OF BALANCE % OF
DISTRIBUTION BY MORTGAGE OUTSTANDING AS OF MORTGAGE
BALANCE LOANS CUT-OFF DATE LOANS
Michigan 165 67,263,095 33.77
Illinois 155 64,905,837 32.59
Indiana 53 22,532,111 11.31
Florida 18 7,720,020 3.88
Colorado 17 7,607,008 3.82
Ohio 16 6,025,665 3.03
Wisconsin 10 4,940,652 2.48
Texas 2 3,311,094 1.66
Kentucky 8 2,956,809 1.48
Louisiana 5 1,978,017 0.99
Connecticut 1 1,714,156 0.86
Arizona 4 1,648,328 0.83
California 2 1,068,240 0.54
Utah 2 945,684 0.47
Maryland 1 683,977 0.34
Maine 1 523,670 0.26
Missouri 1 500,994 0.25
New Jersey 1 467,402 0.23
Montana 1 458,306 0.23
Wyoming 1 399,011 0.20
Washington 1 339,108 0.17
Pennsylvania 1 338,618 0.17
Georgia 1 324,990 0.16
New Hampshire 1 271,704 0.14
Kansas 1 264,125 0.13
Total: 469 199,188,620 100.00
Number of States Represented: 25
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
MARGIN (%) LOANS CUT-OFF DATE LOANS
2.501-3.000 469 199,188,620 100.00
Total: 469 199,188,620 100.00
Minimum: 2.7450
Maximum: 3.0000
Weighted Average: 2.8422
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MAXIMUM MORTGAGE OUTSTANDING AS OF MORTGAGE
MORTGAGE RATES (%) LOANS CUT-OFF DATE LOANS
=< 0.000 1 474,360 0.24
10.001-10.500 1 383,723 0.19
10.501-11.000 2 1,212,791 0.61
11.001-11.500 9 6,697,987 3.36
11.501-12.000 200 89,770,678 45.07
12.001-12.500 103 39,684,426 19.92
12.501-13.000 145 57,711,577 28.97
13.001-13.500 7 2,886,265 1.45
14.001-14.500 1 366,812 0.18
Total: 469 199,188,620 100.00
Minimum: 0.0000
Maximum: 14.5000
Weighted Average: 12.1680
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
NEXT RATE MORTGAGE OUTSTANDING AS OF MORTGAGE
ADJUSTMENT DATE LOANS CUT-OFF DATE LOANS
2003-06 13 4,749,063 2.38
2003-07 19 8,237,509 4.14
2003-08 38 16,358,370 8.21
2003-09 16 8,147,832 4.09
2003-10 12 5,065,602 2.54
2003-11 12 7,045,029 3.54
2003-12 10 5,550,926 2.79
2004-01 10 7,403,262 3.72
2004-02 7 3,670,872 1.84
2004-03 7 4,511,230 2.26
2004-04 6 2,418,057 1.21
2004-05 3 1,312,917 0.66
2004-06 5 1,972,477 0.99
2004-07 5 2,006,137 1.01
2004-08 3 969,059 0.49
2004-09 12 4,443,231 2.23
2004-10 35 13,862,478 6.96
2004-11 47 18,842,817 9.46
2004-12 33 15,509,722 7.79
2005-01 41 15,734,217 7.90
2005-02 23 8,507,939 4.27
2005-03 32 11,599,850 5.82
2005-04 53 19,138,257 9.61
2005-05 27 12,131,768 6.09
Total: 469 199,188,620 100.00
Minimum: 2003-06-01
Maximum: 2005-05-01
Weighted Average Months-to-Roll: 52
Adjustable Rate and 63 - 106 Conforming Loan Balance
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
MORTGAGE RATES (%) LOANS CUT-OFF DATE LOANS
6.501-6.750 11 1,890,560 3.47
6.751-7.000 60 9,260,447 16.98
7.001-7.250 141 23,013,762 42.19
7.251-7.500 51 7,241,164 13.28
7.501-7.750 58 6,216,144 11.40
7.751-8.000 42 5,399,934 9.90
8.001-8.250 15 1,286,125 2.36
8.251-8.500 4 234,800 0.43
Total: 382 54,542,936 100.00
Weighted Average: 7.2777
AGGREGATE PRINCIPAL
CURRENT MORTGAGE NUMBER OF BALANCE % OF
LOAN PRINCIPAL MORTGAGE OUTSTANDING AS OF MORTGAGE
BALANCE ($) LOANS CUT-OFF DATE LOANS
0.01-50,000.00 36 1,360,383 2.49
50,000.01-100,000.00 104 8,177,400 14.99
100,000.01-150,000.00 80 9,834,025 18.03
150,000.01-200,000.00 46 8,121,815 14.89
200,000.01-250,000.00 112 25,976,509 47.63
250,000.01-300,000.00 4 1,072,803 1.97
Total: 382 54,542,936 100.00
Average: 142,783
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
PROPERTY TYPE LOANS CUT-OFF DATE LOANS
Single Family Residence 248 36,286,955 66.53
Condo 61 7,789,374 14.28
2 - 4 Family 39 5,227,688 9.58
PUD 12 2,242,850 4.11
Condo - High Rise >8 floors 17 2,224,749 4.08
Co-op 4 532,369 0.98
Townhouse 1 238,952 0.44
Total: 382 54,542,936 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
LOAN PURPOSE LOANS CUT-OFF DATE LOANS
Purchase 203 28,616,455 52.47
Refinance - Rate Term 79 11,515,542 21.11
Refinance - Cashout 79 11,410,723 20.92
Construction 21 3,000,216 5.50
Total: 382 54,542,936 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
OCCUPANCY STATUS LOANS CUT-OFF DATE LOANS
Primary 303 46,437,746 85.14
Investment 49 4,560,233 8.36
Second Home 30 3,544,958 6.50
Total: 382 54,542,936 100.00
Based on representations of the Mortgagor at the time of origination of the
related Mortgage Loan.
AGGREGATE PRINCIPAL
CURRENT NUMBER OF BALANCE % OF
LOAN-TO-VALUE MORTGAGE OUTSTANDING AS OF MORTGAGE
RATIO (%) LOANS CUT-OFF DATE LOANS
=< 0.00 2 260,591 0.48
0.01-50.00 26 3,043,727 5.58
50.01-55.00 10 1,719,865 3.15
55.01-60.00 13 1,908,534 3.50
60.01-65.00 20 2,891,989 5.30
65.01-70.00 40 5,012,843 9.19
70.01-75.00 61 9,895,883 18.14
75.01-80.00 105 16,189,956 29.68
80.01-85.00 7 701,807 1.29
85.01-90.00 34 4,552,758 8.35
90.01-95.00 63 8,302,258 15.22
95.01-100.00 1 62,725 0.12
Total: 382 54,542,936 100.00
Weighted Average by Current Balance: 74.96
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
SEASONING LOANS CUT-OFF DATE LOANS
0-11 71 9,541,914 17.49
12-23 215 33,899,851 62.15
24-35 44 5,671,670 10.40
36-47 9 1,153,263 2.11
48-59 37 3,205,215 5.88
60-71 4 664,994 1.22
72-83 2 406,030 0.74
Total: 382 54,542,936 100.00
AGGREGATE PRINCIPAL
REMAINING TERM NUMBER OF BALANCE % OF
TO STATED MATURITY MORTGAGE OUTSTANDING AS OF MORTGAGE
LOANS CUT-OFF DATE LOANS
61-120 2 151,710 0.28
121-180 7 453,585 0.83
181-240 6 420,865 0.77
241-300 8 1,517,950 2.78
301-360 359 51,998,826 95.34
Total: 382 54,542,936 100.00
Weighted Average: 334
Adjustable Rate and 63 - 106 Conforming Loan Balance
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
DOCUMENTATION LEVEL LOANS CUT-OFF DATE LOANS
Alternative 330 47,175,080 86.49
Full Doc - Asset and Income 52 7,367,857 13.51
Total: 382 54,542,936 100.00
AGGREGATE PRINCIPAL
GEOGRAPHIC NUMBER OF BALANCE % OF
DISTRIBUTION BY MORTGAGE OUTSTANDING AS OF MORTGAGE
BALANCE LOANS CUT-OFF DATE LOANS
Illinois 123 19,672,333 36.07
Michigan 141 19,391,176 35.55
Indiana 54 7,032,931 12.89
Ohio 18 2,326,512 4.27
Florida 9 1,692,528 3.10
Colorado 9 1,069,764 1.96
Arizona 7 1,063,960 1.95
Wisconsin 6 692,667 1.27
Kentucky 5 669,067 1.23
Texas 6 380,972 0.70
Louisiana 1 239,329 0.44
Virginia 1 131,807 0.24
Wyoming 1 120,510 0.22
Nevada 1 59,380 0.11
Total: 382 54,542,936 100.00
Number of States Represented: 15
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
MARGIN (%) LOANS CUT-OFF DATE LOANS
2.001-2.500 1 206,030 0.38
2.501-3.000 381 54,336,906 99.62
Total: 382 54,542,936 100.00
Minimum: 2.5000
Maximum: 3.0000
Weighted Average: 2.8749
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MAXIMUM MORTGAGE OUTSTANDING AS OF MORTGAGE
MORTGAGE RATES (%) LOANS CUT-OFF DATE LOANS
10.501-11.000 1 193,867 0.36
11.501-12.000 67 10,524,431 19.30
12.001-12.500 187 29,309,862 53.74
12.501-13.000 102 11,989,380 21.98
13.001-13.500 24 2,349,494 4.31
13.501-14.000 1 175,902 0.32
Total: 382 54,542,936 100.00
Minimum: 11.0000
Maximum: 13.7500
Weighted Average: 12.3034
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
NEXT RATE MORTGAGE OUTSTANDING AS OF MORTGAGE
ADJUSTMENT DATE LOANS CUT-OFF DATE LOANS
2005-06 24 3,098,656 5.68
2005-07 26 3,260,740 5.98
2005-08 24 3,160,678 5.79
2005-09 11 1,949,516 3.57
2005-10 6 855,657 1.57
2005-11 7 735,100 1.35
2005-12 6 702,681 1.29
2006-01 12 1,519,766 2.79
2006-02 7 556,450 1.02
2006-03 17 2,240,109 4.11
2006-04 11 1,369,641 2.51
2006-05 10 1,364,326 2.50
2006-06 5 569,952 1.04
2006-07 2 380,012 0.70
2006-08 1 178,628 0.33
2006-09 7 841,631 1.54
2006-10 7 918,610 1.68
2006-11 13 1,756,905 3.22
2006-12 11 1,553,600 2.85
2007-01 9 1,250,493 2.29
2007-02 5 547,583 1.00
2007-04 3 243,248 0.45
2007-05 1 86,288 0.16
2007-07 1 102,566 0.19
2007-08 1 139,273 0.26
2007-10 2 168,927 0.31
2007-11 1 61,289 0.11
2007-12 4 560,303 1.03
2008-01 6 572,770 1.05
2008-02 7 1,207,984 2.21
2008-03 13 1,946,941 3.57
2008-04 34 7,041,711 12.91
2008-05 18 3,081,120 5.65
2008-06 13 1,885,859 3.46
2008-07 19 3,366,718 6.17
2008-08 18 2,754,987 5.05
2008-09 13 1,676,232 3.07
2008-10 7 835,986 1.53
Total: 382 54,542,936 100.00
Minimum: 2005-06-01
Maximum: 2008-05-01
Weighted Average Months-to-Roll: 84
Adjustable Rate and 63 - 106 Non-conforming Loan Balance
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
MORTGAGE RATES (%) LOANS CUT-OFF DATE LOANS
6.501-6.750 21 8,865,790 3.82
6.751-7.000 86 38,937,475 16.78
7.001-7.250 268 103,520,323 44.60
7.251-7.500 101 38,414,796 16.55
7.501-7.750 43 17,022,887 7.33
7.751-8.000 55 24,369,427 10.50
8.001-8.250 1 967,633 0.42
Total: 575 232,098,330 100.00
Weight Average: 7.2411
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
LOAN PURPOSE LOANS CUT-OFF DATE LOANS
Purchase 264 104,982,838 45.23
Refinance - Rate Term 161 69,165,262 29.80
Refinance - Cashout 124 48,132,853 20.74
Construction 20 7,379,212 3.18
Refinance - Home Improvement 5 2,140,150 0.92
Unknown 1 298,015 0.13
Total: 575 232,098,330 100.00
AGGREGATE PRINCIPAL
CURRENT MORTGAGE NUMBER OF BALANCE % OF
LOAN PRINCIPAL MORTGAGE OUTSTANDING AS OF MORTGAGE
BALANCE ($) LOANS CUT-OFF DATE LOANS
100,000.01-150,000.00 2 269,456 0.12
150,000.01-200,000.00 1 185,347 0.08
200,000.01-250,000.00 17 4,174,634 1.80
250,000.01-300,000.00 203 55,643,654 23.97
300,000.01-350,000.00 104 33,640,916 14.49
350,000.01-400,000.00 83 31,211,097 13.45
400,000.01-500,000.00 70 31,436,281 13.54
500,000.01-600,000.00 25 13,955,975 6.01
600,000.01-700,000.00 27 17,642,783 7.60
700,000.01-800,000.00 10 7,525,686 3.24
800,000.01-900,000.00 5 4,193,161 1.81
900,000.01-1,000,000.00 15 14,488,024 6.24
1,000,000.01 >= 13 17,731,315 7.64
Total: 575 232,098,330 100.00
Average: 403,649
Adjustable Rate and 63 - 106 Non-conforming Loan Balance
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
OCCUPANCY STATUS LOANS CUT-OFF DATE LOANS
Primary 530 213,285,532 91.89
Second Home 43 18,174,145 7.83
Investment 2 638,653 0.281
Total: 575 232,098,330 100.00
Based on representations of the Mortgagor at the time of origination of the
related Mortgage Loan.
AGGREGATE PRINCIPAL
CURRENT NUMBER OF BALANCE % OF
LOAN-TO-VALUE MORTGAGE OUTSTANDING AS OF MORTGAGE
RATIO (%) LOANS CUT-OFF DATE LOANS
=< 0.00 1 348,782 0.15
0.01-50.00 32 11,602,572 5.00
50.01-55.00 23 10,650,303 4.59
55.01-60.00 27 10,671,413 4.60
60.01-65.00 34 15,040,238 6.48
65.01-70.00 63 28,423,238 12.25
70,01-75.00 99 40,922,569 17.63
75.01-80.00 227 91,159,339 39.28
80.01-85.00 5 2,463,347 1.06
85.01-90.00 40 13,144,164 5.66
90.01-95.00 22 7,110,372 3.06
95.01-100.00 2 561,992 0.24
Total: 575 232,098,330 100.00
Weighted Average by Current Balance: 72.24
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
PROPERTY TYPE LOANS CUT-OFF DATE LOANS
Single Family Residence 455 188,897,045 81.39
PUD 51 17,444,115 7.52
Condo 46 15,587,823 6.72
Condo - High Rise >8 floors 12 6,540,895 2.82
2-4 Family 4 1,784,777 0.77
Townhouse 6 1,604,535 0.69
Co-op 1 239,139 0.10
Total: 575 232,098,330 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
SEASONING LOANS CUT-OFF DATE LOANS
0-11 126 55,896,784 24.08
12-23 364 140,645,257 60.60
24-35 68 28,308,253 12.20
36-47 8 2,630,999 1.13
48-59 6 3,380,876 1.46
60-71 1 352,036 0.15
72-83 2 884,125 0.38
Total: 575 232,098,330 100.00
Adjustable Rate and 63 - 106 Non-conforming Loan Balance
AGGREGATE PRINCIPAL
REMAINING TERM NUMBER OF BALANCE % OF
TO STATED MATURITY MORTGAGE OUTSTANDING AS OF MORTGAGE
LOANS CUT-OFF DATE LOANS
121-180 2 923,687 0.40
181-240 6 1,646,673 0.71
241-300 6 2,137,648 0.92
301-360 561 227,390,322 97.97
Total: 575 232,098,330 100.00
Weighted Average: 339
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
DOCUMENTATION LEVEL LOANS CUT-OFF DATE LOANS
Alternative 457 182,750,443 78.74
Full Doc - Asset and Income 118 49,347,888 21.26
Total: 575 232,098,330 100.00
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MORTGAGE OUTSTANDING AS OF MORTGAGE
MARGIN (%) LOANS CUT-OFF DATE LOANS
2.501-3.000 575 232,098,330 100.00
Total: 575 232,098,330 100.00
Minimum: 2.7500
Maximum: 3.0000
Weighted Average: 2.8867
AGGREGATE PRINCIPAL
NUMBER OF BALANCE % OF
MAXIMUM MORTGAGE MORTGAGE OUTSTANDING AS OF MORTGAGE
RATES (%) LOANS CUT-OFF DATE LOANS
11.501-12.000 104 45,521,651 19.61
12.001-12.500 354 136,822,379 58.95
12.501-13.000 110 46,748,723 20.14
13.001-13.500 6 2,654,168 1.14
14.501-15.000 1 351,409 0.15
Total: 575 232,098,330 100.00
Minimum: 11.6500
Maximum: 14.7500
Weighted Average: 12.2724
Adjustable Rate and 63 - 106 Non-conforming Loan Balance
- ------------------------------------------------------------------------------
GEOGRAPHIC NUMBER OF AGGREGATE PRINCIPAL % OF
DISTRIBUTION BY MORTGAGE BALANCE OUTSTANDING MORTGAGE
BALANCE LOANS AS OF CUT-OFF DATE LOANS
Michigan 209 83,902,828 36.15
Illinois 187 70,910,151 30.55
Indiana 77 29,078,314 12.53
Florida 29 13,862,433 5.97
Ohio 20 9,708,533 4.18
Colorado 11 6,122,865 2.64
Kentucky 10 4,164,916 1.79
Wisconsin 10 4,096,602 1.77
California 3 2,538,680 1.09
New York 2 1,454,038 0.63
Washington 1 995,786 0.43
Louisiana 3 962,673 0.41
Georgia 2 758,641 0.33
Texas 2 615,925 0.27
Arizona 2 564,150 0.24
Utah 1 416,726 0.18
South Carolina 1 393,196 0.17
Massachusetts 1 382,838 0.16
North Carolina 1 303,505 0.13
Montana 1 302,756 0.13
Maine 1 289,341 0.12
Minnesota 1 273,433 0.12
Total: 575 232,098,330 100.00
Number of States Represented: 22
NEXT RATE NUMBER OF AGGREGATE PRINCIPAL % OF
ADJUSTMENT MORTGAGE BALANCE OUTSTANDING MORTGAGE
DATE LOANS AS OF CUT-OFF DATE LOANS
2005-06 17 5,824,293 2.51
2005-07 36 12,552,518 5.41
2005-08 17 7,286,905 3.14
2005-09 10 3,403,010 1.47
2005-10 6 3,344,907 1.44
2005-11 4 1,647,036 0.71
2005-12 8 4,002,316 1.72
2006-01 6 1,985,013 0.86
2006-02 8 3,368,450 1.45
2006-03 9 6,448,245 2.78
2006-04 8 2,976,892 1.28
2006-05 1 416,567 0.18
2006-06 8 6,238,060 2.69
2006-07 2 1,294,761 0.56
2006-08 2 1,242,219 0.54
2006-09 12 5,359,365 2.31
2006-10 17 6,044,738 2.60
2006-11 28 10,866,964 4.68
2006-12 31 11,939,005 5.14
2007-01 15 7,593,569 3.27
2007-02 4 2,471,435 1.06
2007-05 2 744,824 0.32
2007-06 1 370,308 0.16
2007-10 1 297,259 0.13
2007-12 1 278,858 0.12
2008-01 12 5,946,226 2.56
2008-02 12 4,190,938 1.81
2008-03 37 13,981,457 6.02
2008-04 84 32,602,556 14.05
2008-05 53 19,196,001 8.27
2008-06 27 10,540,563 4.54
2008-07 48 16,171,350 6.97
2008-08 29 14,311,583 6.17
2008-09 5 1,722,369 0.74
2008-10 10 3,769,546 1.62
2008-12 1 789,653 0.34
2009-01 3 878,568 0.38
Total: 575 232,098,330 100.00
Minimum: 2005-06-01
Maximum: 2009-01-01
Weighted Average Months-to-Roll: 87
<TABLE>
<CAPTION>
Adjustable Rate
- -----------------------------------------------------------------------------------------------
NUMBER OF AGGREGATE WEIGHTED WEIGHTED
MORTGAGE PRINCIPAL AVERAGE AVERAGE STATED % OWNER % SECOND % INVESTOR % PURCHASE MONEY
GROUP LOANS BALANCE COUPON REMAINING TERM OCCUPIED HOME PROPERTIES RATE-TERM REFI'S
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 1,551 120,141,111 7.6736 277.5 86.4 5.3 8.3 70.3
2 390 152,653,220 7.3766 317.3 88.6 10.0 1.4 70.9
3 740 90,915,137 7.2041 319.5 82.4 6.6 11.0 73.9
4 451 176,766,423 6.9872 326.8 90.6 8.6 0.8 72.4
5 538 69,100,285 7.2607 335.6 86.0 7.3 6.7 78.9
6 469 199,188,620 7.1361 341.8 93.2 6.5 0.3 71.3
7 382 54,542,936 7.2777 334.3 85.1 6.5 8.4 73.6
8 575 232,098,330 7.2411 339.1 91.9 7.8 0.3 75.0
Total: 5,096 1,095,406,062 7.2473 325.7 89.4 7.5 3.1 72.9
% % %
GROUP CASHOUT FULL DOC ALT DOC TOP STATE CONCENTRATIONS
<S> <C> <C> <C> <C>
1 20.9 49.0 51.0 IL(38.5%),MI(28.5%),IN(17.8%)60010(3.1%),60657(l.5%),60614(l.2-/
2 25.9 38.5 61.5 IL(38.5%),MI(36.l%),IN(8.7%) 60010(4.3%),60093(4.1%),48304(3.10/
3 20.3 13.6 86.4 IL(44.2%),MI(26.5%),IN(13.1%)60614(3.2%),60611(2.0%),47401(l.40/
4 23.9 11.8 88.2 IL(47.2%),MI(26.9%),IN(8.5%) 60521(3.9%),60614(3.8%),60045(3.40/
5 17.7 30.8 69.2 IL(35.7%),MI(28.9%),IN(16.8%)46220(l.6%),60025(l.5%),60613(i.40/
6 24.4 37.3 62.7 MI(33.8%),IL(32.6%),IN(I 1.3%)60093(4.0%),60614(2.4%),48009(2.0
7 20.9 13.5 86.5 IL(36.1%),MI(35.6%),IN(12.9%)47401(2.5%),60010(l.8%),60302(l.3
8 20.7 21.3 78.7 MI(36.1%),IL(30.6%),IN(12.5%)60010(2.3%),60614(2.2%),49686(i.9
Total: 22.4 27.7 72.3 IL(37.3%),MI(32.1%),IN(12.0%)60614(2.3%),60010(2.2%),60093(2.0
</TABLE>
- -------------------------------------------------------------------------------
NUMBER CURRENT % BY CURRENT
CURRENT BALANCE OF LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
0.01-25000.00 200 2,674,647.20 1.28
25000.01-50000.00 281 10,682,534.82 5.12
50000.01-75000.00 437 27,369,414.08 13.12
75000.01-100000.00 352 30,636,346.14 14.69
100000.01-125000.00 269 30,359,099.24 14.56
125000.01-150000.00 181 24,682,731.84 11.83
150000.01-175000.00 81 13,085,624.32 6.27
175000.01-200000.00 86 16,005,459.09 7.67
200000.01-225000.00 59 12,574,252.05 6.03
225000.01-250000.00 26 6,161,317.02 2.95
250000.01-275000.00 20 5,230,483.85 2.51
275000.01-300000.00 12 3,418,208.50 1.64
300000.01-325000.00 12 3,699,973.09 1.77
325000.01-350000.00 14 4,733,177.70 2.27
350000.01-375000.00 6 2,163,700.31 1.04
375000.01-400000.00 3 1,171,354.78 0.56
400000.01-425000.00 1 403,458.55 0.19
425000.01-450000,00 2 880,381.13 0.42
450000.01-475000.00 7 3,247,836.14 1.56
475000.01-500000.00 3 1,465,008.11 0.70
500000.01-525000.00 4 2,066,146.20 0.99
525000.01-550000.00 1 537,161.56 0.26
550000.01-575000.00 1 558,949.36 0.27
575000.01-600000.00 2 1,185,780.06 0.57
625000.01-650000.00 2 1,292,798.49 0.62
700000.01-725000.00 1 718,772.16 0.34
775000.01-800000.00 2 1,576,798.38 0.76
Total: 2,065 208,581,414.17 100.00
<TABLE>
<CAPTION>
WEIGHTED
NUMBER CURRENT % BY CURRENT AVERAGE
CURRENT SUBJECT LTV OF LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE CURRENT LTV
<S> <C> <C> <C> <C>
=< 0.000 26 1,963,201.99 0.94 0
0.001-40.000 248 10,392,934.58 4.98 29
40.001-45.000 42 3,754,077.23 1.80 42
45.001-50.000 69 6,527,877.83 3.13 48
50.001-55.000 72 7,800,565.75 3.74 53
55,001-60.000 63 8,092,104.64 3.88 58
60.001-65.000 95 10,538,359.50 5.05 63
65.001-70.000 168 19,687,776.84 9.44 68
70.001-75.000 201 24,497,076.72 11.74 73
75.001-80.000 284 34,357,110.85 16.47 78
80.001-85.000 109 14,285,114.24 6.85 83
85.001-90.000 224 23,847,773.91 11.43 88
90.001-95.000 406 38,137,825.91 18.28 93
95,001-100.000 58 4,699,614.18 2.25 96
Total: 2,065 208,581,414.17 100.00 74
</TABLE>
- -------------------------------------------------------------------------------
NUMBER CURRENT % BY CURRENT
CURRENT COUPON OF LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
6.12501-6.25000 1 130,690.66 0.06
6.25001-6.37500 8 644,372.03 0.31
6.37501-6.50000 45 4,283,040.27 2.05
6.50001-6.62500 30 2,808,656.59 1.35
6.62501-6.75000 57 5,255,666.88 2.52
6.75001-6.87500 116 13,452,457.62 6.45
6.87501-7.00000 292 34,097,357.19 16.35
7.00001-7.12500 271 27,349,332.81 13.11
7.12501-7.25000 283 34,379,628.80 16.48
7.25001-7.37500 202 23,998,806.74 11.51
7.37501-7.50000 178 19,471,994.47 9.34
7,50001-7.62500 76 9,898,694.94 4.75
7.62501-7.75000 88 8,954,720.66 4.29
7,75001-7.87500 41 4,266,470.66 2.05
7.87501-8.00000 80 6,587,101.45 3.16
8.00001-8.12500 21 1,783,290.21 0.85
8.12501-8.25000 42 2,953,121.46 1.42
8.25001-8,37500 22 1,286,325.92 0.62
8.37501-8.50000 66 2,414,470.04 1.16
8.50001-8.62500 14 665,628.13 0.32
8.62501-8.75000 63 1,033,217.97 0.50
8.75001-8.87500 11 1,436,854.71 0.69
8.87501-9.00000 41 1,204,537.40 0.58
9.00001-9.12500 2 28,926.31 0.01
9.12501-9.25000 15 196,050.25 0.09
Total: 2,065 208,581,414.17 100.00
NUMBER CURRENT % BY CURRENT
CURRENT COUPON OF LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
1984 42 1,258,143.56 1.05
1985 64 2,419,971.84 2.01
1986 63 2,091,581.01 1.74
1987 65 3,083,056.24 2.57
1988 97 4,004,308.74 3.33
1989 101 4,298,780.65 3.58
1990 89 3,175,433.00 2.64
1991 57 3,135,497.29 2.61
1992 119 7,525,785.54 6.26
1993 139 10,174,261.37 8.47
1994 143 12,428,238.03 10.34
1995 156 14,849,586.45 12.36
1996 206 23,531,440.83 19.59
1997 73 9,939,727.31 8.27
1998 98 12,869,678.59 10.71
1999 17 2,415,325.81 2.01
2000 22 2,940,295.10 2.45
Total: 1,551 120,141,111.36 100.00
- ------------------------------------------------------------------------------
AGGREGATE PRINCIPAL % OF
MORTGAGE NUMBER OF BALANCE OUTSTANDING MORTGAGE
RATES (%) MORTGAGE LOANS AS OF CUT-OFF DATE LOANS
6.001-6.250 1 130,691 0.06
6.251-6.500 53 4,927,412 2.36
6.501-6.750 87 8,064,323 3.87
6.751-7.000 408 47,549,815 22.80
7.001-7.250 554 61,728,962 29.59
7.251-7.500 380 43,470,801 20.84
7.501-7.750 164 18,853,416 9.04
7.751-8.000 121 10,853,572 5.20
8.001-8.250 63 4,736,412 2.27
8.251-8.500 88 3,700,796 1.77
8.501-8.750 77 1,698,846 0.81
8.751-9.000 52 2,641,392 1.27
9.001-9.250 17 224,977 0.11
Total: 2,065 208,581,414 100.00
Weighted Average: 7.2815
- ------------------------------------------------------------------------------
AGGREGATE PRINCIPAL % OF
NUMBER OF BALANCE OUTSTANDING MORTGAGE
LOAN PURPOSE MORTGAGE LOANS AS OF CUT-OFF DATE LOANS
Purchase 1,031 93,952,128 45.04
Refinance - Rate Term 616 68,364,982 32.78
Refinance - Cashout 293 33,945,560 16.27
Construction 93 9,874,014 4.73
Unknown 29 2,025,717 0.97
Refinance - Home
Improvement 3 419,013 0.20
Total: 2,065 208,581,414 100.00
- ------------------------------------------------------------------------------
AGGREGATE PRINCIPAL % OF
NUMBER OF BALANCE OUTSTANDING MORTGAGE
OCCUPANCY STATUS MORTGAGE LOANS AS OF CUT-OFF DATE LOANS
Primary 1,899 191,603,964 91.86
Second Home 70 8,660,99 24.15
Investment 96 8,316,459 3.99
Total: 2,065 208,581,414 100.00
Based on representations of the Mortgagor at the time of origination of the
related Mortgage Loan.
- ------------------------------------------------------------------------------
AGGREGATE PRINCIPAL % OF
CURRENT MORTGAGE LOAN NUMBER OF BALANCE OUTSTANDING MORTGAGE
PRINCIPAL BALANCE($) MORTGAGE LOANS AS OF CUT-OFF DATE LOANS
0.01-50,000.00 481 13,357,182 6.40
50,000.01-100,000.00 789 58,005,760 27.81
100,000.01-150,000.00 450 55,041,831 26.39
150,000.01-200,000.00 167 29,091,083 13.95
200,000.01-250,000.00 85 18,735,569 8.98
250,000.01-300,000.00 32 8,648,692 4.15
300,000.01-350,000.00 26 8,433,151 4.04
350,000.01-400,000.00 9 3,335,055 1.60
400,000.01-500,000.00 13 5,996,684 2.87
500,000.01-600,000.00 8 4,348,037 2.08
600,000.01-700,000.00 2 1,292,798 0.62
700,000.01-800,000.00 3 2,295,571 1.10
Total: 2,065 208,581,414 100.00
Average: 101,008
- ------------------------------------------------------------------------------
AGGREGATE PRINCIPAL % OF
CURRENT NUMBER OF BALANCE OUTSTANDING MORTGAGE
LOAN-TO-VALUE RATIO(%) MORTGAGE LOANS AS OF CUT-OFF DATE LOANS
=< 0.00 26 1,963,202 0.94
0.01-50.00 359 20,674,890 9.91
50.01-55.00 72 7,800,566 3.74
55.01-60.00 63 8,092,105 3.88
60.01-65.00 95 10,538,360 5.05
65.01-70.00 168 19,687,777 9.44
70.01-75.00 201 24,497,077 11.74
75.01-80.00 284 34,357,111 16.47
80.01-85.00 109 14,285,114 6.85
85.01-90.00 224 23,847,774 11.43
90.01-95.00 406 38,137,826 18.28
95.01-100.00 58 4,699,614 2.25
Total: 2,065 208,581,414 100.00
Weighted Average by Current Balance: 74.39
- ------------------------------------------------------------------------------
AGGREGATE PRINCIPAL % OF
NUMBER OF BALANCE OUTSTANDING MORTGAGE
PROPERTY TYPE MORTGAGE LOANS AS OF CUT-OFF DATE LOANS
Single Family Residence 1,579 154,806,856 74.22
Condo 209 18,127,607 8.69
2-4 Family 136 15,594,350 7.48
PUD 56 9,529,052 4.57
Condo - High Rise >8
floors 58 6,688,460 3.21
Townhouse 19 2,788,061 1.34
Unknown 8 1,047,029 0.50
Total: 2,065 208,581,414 100.00
- ------------------------------------------------------------------------------
AGGREGATE PRINCIPAL % OF
NUMBER OF BALANCE OUTSTANDING MORTGAGE
SEASONING MORTGAGE LOANS AS OF CUT-OFF DATE LOANS
0-11 151 21,787,887 10.45
12-23 688 82,306,236 39.46
24-35 358 34,528,656 16.55
36-47 54 5,656,647 2.71
48-59 47 3,722,055 1.78
60-71 96 9,081,182 4.35
72-83 433 45,311,861 21.72
84-95 42 2,189,590 1.05
96 >= 196 3,997,301 1.92
Total: 2,065 208,581,414 100.00
- ------------------------------------------------------------------------------
AGGREGATE PRINCIPAL % OF
REMAINING TERM TO NUMBER OF BALANCE OUTSTANDING MORTGAGE
STATED MATURITY MORTGAGE LOANS AS OF CUT-OFF DATE LOANS
1-60 97 985,468 0.47
61-120 83 1,773,162 0.85
121-180 59 4,470,282 2.14
181-240 78 6,279,095 3.01
241-300 571 58,915,174 28.25
301-360 1,177 136,158,233 65.28
Total: 2,065 208,581,414 100.00
Weighted Average: 311
- ------------------------------------------------------------------------------
NUMBER OF AGGREGATE PRINCIPAL % OF
GEOGRAPHIC DISTRIBUTION MORTGAGE BALANCE OUTSTANDING MORTGAGE
BY BALANCE LOANS AS OF CUT-OFF DATE LOANS
Illinois 1,036 117,955,883 56.55
Michigan 309 34,888,865 16.73
Indiana 295 26,673,130 12.79
Ohio 127 7,244,094 3.47
Florida 49 4,320,511 2.07
Kentucky 57 3,357,607 1.61
Louisiana 62 3,188,154 1.53
Texas 58 2,718,729 1.30
Arizona 32 2,614,452 1.25
Wisconsin 14 1,243,449 0.60
Colorado 5 944,549 0.45
California 3 773,101 0.37
New York 2 752,057 0.36
Oklahoma 7 539,441 0.26
South Carolina 2 341,963 0.16
Iowa 1 256,922 0.12
North Carolina 1 232,780 0.11
Delaware 1 183,607 0.09
Rhode Island 1 156,883 0.08
New Jersey 1 99,214 0.05
Nevada 1 87,567 0.04
Georgia 1 8,455 0.00
Total: 2,065 208,5812 100.00
Number of States Represented: 22
- ------------------------------------------------------------------------------
NUMBER OF AGGREGATE PRINCIPAL % OF
MORTGAGE BALANCE OUTSTANDING MORTGAGE
DOCUMENTATION LEVEL LOANS AS OF CUT-OFF DATE LOANS
Alternative 1,225 139,420,632 66.84
Full Doc - Asset and
Income 840 69,160,782 33.16
Total: 2,065 208,581,414 100.00
- ------------------------------------------------------------------------------
FIRST
PAYMENT NUMBER OF % BY CURRENT
DATE LOANS CURRENT BALANCE ($) PRINCIPAL BALANCE
1985 1 133,548.92 0.09
1986 1 14,066.26 0.01
1987 1 235,998.57 0.15
1988 2 476,546.70 0.31
1989 4 1,397,977.90 0.92
1990 4 970,913.71 0.64
1991 2 693,494.22 0.45
1992 8 2,483,226.60 1.63
1993 23 7,100,607.56 4.65
1994 31 9,530,755.36 6.24
1995 45 14,959,712.98 9.80
1996 70 27,385,871.55 17.94
1997 61 22,766,225.71 14.91
1998 59 26,692,537.54 17.49
1999 39 17,922,659.31 11.74
2000 39 19,889,077.49 13.03
Total: 390 152,653,220.38 100.00
<TABLE>
<CAPTION>
Group 2
- ----------------------------------------------------------------------------------------------------------------------
MONTHS OF THE NUMBER AGGREGATE WEIGHTED WTD AVE
NEXT RATE MORTGAGE PRINCIPAL AVERAGE GROSS GROSS PERIOD RATE LIFE RATE
ADJUSTMENT LOANS BALANCE COUPON MARGIN ADJ CAP ADJ CAP
<S> <C> <C> <C> <C> <C> <C>
2 25 9,971,146 7.161 2.91385 2.00000 5.74556
3 21 7,008,503 7.578 2.97653 2.00000 5.46195
4 20 8,497,399 7.593 2.92046 2.00000 5.41979
5 23 8,299,580 7.722 2.84701 2.00000 5.29304
6 33 11,937,495 7.250 2.88671 2.00000 5.29984
7 38 15,966,114 7.255 2.83400 2.00000 5.52615
8 48 20,562,658 7.235 2.81701 2.00000 5.64434
9 54 20,249,637 7.510 2.81607 2.00082 5.64326
10 44 17,286,085 7.388 2.79967 2.00000 5.78053
11 38 14,543,443 7.526 2.81543 2.15724 5.60444
12 46 18,331,159 7.231 2.84278 2.07609 5.37331
Total: 390 152,653,220 7.377 2.84613 2.02423 5.55061
</TABLE>
<TABLE>
<CAPTION>
NUMBER CURRENT % BY CURRENT WEIGHTED
GROSS MARGIN OF LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE AVERAGE MARGIN
<S> <C> <C> <C> <C>
2.50000 9 2,291,185.65 1.50 2.5000
2.65000 1 235,998.57 0.15 2.6500
2.75000 225 89,709,631.55 58.77 2.7500
3.00000 153 59,078,712.25 38.70 3.0000
3.12500 2 1,337,692.36 0.88 3.1250
Total: 390 152,653,220.38 100.00 2.8461
</TABLE>
NUMBER CURRENT % BY CURRENT
ORIGINAL BALANCE OF LOANS PRINCIPAL BALANCE PRINCIPAL
BALANCE
250,000.01 - 275,000.00 62 14,750,288.78 9.66
275,000.01 - 300,000.00 69 17,607,112.27 11.53
300,000.01 - 325,000.00 28 8,424,232.76 5.52
325,000.01 - 350,000.00 44 13,494,338.34 8.84
350,000.01 - 375,000.00 25 8,787,597.80 5.76
375,000.01 - 400,000.00 32 11,945,899.18 7.83
400,000.01 - 425,000.00 14 5,545,445.70 3.63
425,000.01 - 450,000.00 11 4,655,544.94 3.05
450,000.01 - 475,000.00 10 4,340,889.02 2.84
475,000.01 - 500,000.00 22 10,276,994.65 6.73
500,000.01 - 525,000.00 6 2,926,769.10 1.92
525,000.01 - 550,000.00 8 3,895,470.46 2.55
550,000.01 - 575,000.00 1 550,166.95 0.36
575,000.01 - 600,000.00 10 5,284,154.53 3.46
600,000.01 - 625,000.00 4 2,405,851.29 1.58
625,000.01 - 650,000.00 6 3,703,281.07 2.43
650,000.01 - 675,000.00 3 1,916,636.58 1.26
675,000.01 - 700,000.00 6 3,395,693.27 2.22
700,000.01 - 725,000.00 1 699,678.06 0.46
725,000.01 - 750,000.00 4 2,911,681.51 1.91
750,000.01 - 775,000.00 3 2,066,357.96 1.35
825,000.01 - 850,000.00 3 2,423,992.29 1.59
875,000.01 - 900,000.00 3 2,591,260.76 1.70
900,000.01 - 925,000.00 1 876,634.08 0.57
950,000.01 - 975,000.00 1 956,947.18 0.63
975,000.01 - 1,000,000.00 4 3,338,885.42 2.19
1,000,000.01>= 9 12,881,416.43 8.44
Total 390 152,653,220.38 100.00
<PAGE>
<TABLE>
<CAPTION>
Group 6
- ---------------------------------------------------------------------------------------------------------------------------------
MONTHS TO THE NEXT NUMBER OF AGGREGATE WEIGHTED AVERAGE WEIGHTED AVG PERIOD RATE LIFE RATE
RATE ADJUSTMENT MORTGAGE LOANS PRINCIPAL BALANCE GROSS COUPON GROSS MARGIN ADJ CAP ADJ CAP
<S> <C> <C> <C> <C> <C> <C>
39 13 4,749,063 7.005 2.96349 2.00000 5.00000
40 19 8,237,509 6.913 2.89659 2.00000 5.04868
41 38 16,358,370 6.858 2.84834 2.00000 5.02030
42 16 8,147,832 6.888 2.82147 2.00000 5.00000
43 12 5,065,602 6.975 2.80753 2.00000 5.01684
44 12 7,045,029 6.725 2.78431 2.00000 5.13724
45 10 5,550,926 6.716 2.78407 2.00000 5.00000
46 10 7,403,262 6.794 2.78228 2.00000 5.00000
47 7 3,670,872 6.745 2.78725 2.00000 5.00000
48 7 4,511,230 6.832 2.76392 2.00000 5.09211
49 6 2,418,057 6.955 2.80893 2.00000 5.00000
50 3 1,312,917 6.843 2.93812 2.00000 5.00000
51 5 1,972,477 7.411 2.88111 2.00000 5.00000
52 5 2,006,137 6.968 2.82649 2.00000 5.00000
53 3 969,059 7.782 2.82927 2.00000 5.00000
54 12 4,443,231 7.555 2.77790 2.00000 5.00000
55 35 13,862,478 7.599 2.75678 2.00000 5.00000
56 47 18,842,817 7.540 2.75000 2.00000 5.00000
57 33 15,509,722 7.349 2.75000 2.00000 5.00000
58 41 15,734,217 7.589 2.76748 2.00000 5.00000
59 23 8,507,939 7.299 2.87126 2.00000 5.00000
60 32 11,599,850 6.925 2.99269 2.00000 5.00000
61 53 19,138,257 6.975 2.98706 2.00459 5.01917
62 27 12,131,768 6.992 3.00000 2.00000 5.03880
Total: 469 199,188,620 7.136 2.84218 2.00044 5.01528
</TABLE>
CREDIT | FIRST
SUISSE | BOSTON
|
|