EX-99.1 4 d205448ex99.txt ADDITIONAL EXHIBITS EXHIBIT 99.1 Unless otherwise noted, all statistical percentages or weighted averages set forth below are measured as a percentage of the aggregate Principal Balance of the Initial Mortgage Loans in the related Loan Group or in the Mortgage Pool as of the Cut-off Date and the Subsequent Mortgage Loans in the related Loan Group or in the Mortgage Pool as of the Subsequent Cut-off Date. The Group I Mortgage Loans consist of approximately 3,161 Mortgage Loans with a Principal Balance as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, of approximately $488,287,738. The Group II Mortgage Loans consist of approximately 2,180 Mortgage Loans with a Principal Balance as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, of approximately $661,712,261. All of the Mortgage Loans will be secured by first mortgages or deeds of trust or other similar security instruments (each, a "Mortgage"). The Mortgages create first liens on one- to four-family residential properties consisting of attached or detached one- to four-family dwelling units and individual condominium units (each, a "Mortgaged Property"). Each Mortgage Loan will accrue interest at the adjustable-rate or fixed-rate calculated as specified under the terms of the related mortgage note (each such rate, a "Mortgage Rate"). Approximately 93.48% of the Group I Mortgage Loans are adjustable-rate Mortgage Loans (the "Adjustable-Rate Group I Mortgage Loans") and approximately 6.52% of the Group I Mortgage Loans are fixed-rate Mortgage Loans (the "Fixed-Rate Group I Mortgage Loans"). Approximately 95.22% of the Group II Mortgage Loans are adjustable-rate Mortgage Loans (the "Adjustable-Rate Group II Mortgage Loans") and approximately 4.78% of the Group II Mortgage Loans are fixed-rate Mortgage Loans (the "Fixed-Rate Group II Mortgage Loans"). Approximately 94.48% of the Mortgage Loans are adjustable-rate Mortgage Loans (the "Adjustable-Rate Mortgage Loans") and approximately 5.52% of the Mortgage Loans are fixed-rate Mortgage Loans (the "Fixed-Rate Mortgage Loans"). Each fixed-rate Mortgage Loan has a Mortgage Rate that is fixed for the life of such Mortgage Loan. Substantially all of the adjustable-rate Mortgage Loans accrue interest at a Mortgage Rate that is adjustable following an initial period of one year, two years, three years or five years following origination. Generally, the adjustable-rate Mortgage Loans provide for semi-annual adjustment to the Mortgage Rate thereon and for corresponding adjustments to the monthly payment amount due thereon, in each case on each adjustment date applicable thereto (each such date, an "Adjustment Date"); provided, that (i) the first adjustment of the rates for approximately 0.03% of the Adjustable-Rate Group I Mortgage Loans (by aggregate Principal Balance of the Adjustable-Rate Group I Mortgage Loans in the related Loan Group as of the Cut-off Date or the Subsequent Cut-off Date, as applicable) and approximately 0.01% of the Adjustable-Rate Mortgage Loans (by aggregate Principal Balance of the Adjustable-Rate Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable), will not occur until one year after the date of origination, (ii) the first adjustment of the rates for approximately 74.94% of the Adjustable-Rate Group I Mortgage Loans and approximately 77.80% 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 or the Subsequent Cut-off Date, as applicable) and approximately 76.60% of the Adjustable-Rate Mortgage Loans (by aggregate Principal Balance of the Adjustable-Rate Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable), will not occur until two years after the date of origination, (iii) the first adjustment of the rates for approximately 2.74% of the Adjustable-Rate Group I Mortgage Loans and approximately 3.07% 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 or the Subsequent Cut-off Date, as applicable) and approximately 2.93% of the Adjustable-Rate Mortgage Loans (by aggregate Principal Balance of the Adjustable-Rate Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable) will not occur until three years after the date of origination and (iv) the first adjustment of the rates for approximately 22.17% of the Adjustable- Rate Group I Mortgage Loans and approximately 18.52% 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 or the Subsequent Cut-off Date, as applicable) and approximately 20.05% of the Adjustable-Rate Mortgage Loans (by aggregate Principal Balance of the Adjustable-Rate Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable) will not occur until five years after the date of origination (each such Adjustable-Rate Mortgage Loan, a "Delayed First Adjustment Mortgage Loan"). On each Adjustment Date for each adjustable-rate Mortgage Loan, the Mortgage Rate thereon will be adjusted to equal the sum, rounded to the nearest or next highest multiple of 0.125%, of Six-Month LIBOR (as defined below) and a fixed percentage amount (the "Gross Margin"). The Mortgage Rate on any adjustable-rate Mortgage Loan will not decrease on the first related Adjustment Date, will not increase by more than a stated percentage (up to 3.000% per annum, as specified in the related mortgage note) on the first related Adjustment Date (the "Initial Periodic Rate Cap") and will not increase or decrease by more than a stated percentage (1.000% per annum, as specified in the related mortgage note) on any Adjustment Date thereafter (the "Periodic Rate Cap"). The Adjustable-Rate Group I Mortgage Loans have a weighted average Initial Periodic Rate Cap of approximately 2.997% per annum and a weighted average Periodic Rate Cap of approximately 1.000% per annum thereafter. The Adjustable-Rate Group II Mortgage Loans have a weighted average Initial Periodic Rate Cap of approximately 2.988% per annum and a weighted average Periodic Rate Cap of approximately 1.000% per annum thereafter. The Adjustable-Rate Mortgage Loans have a weighted average Initial Periodic Rate Cap of approximately 2.992% per annum and a weighted average Periodic Rate Cap of approximately 1.000% per annum thereafter. Each Mortgage Rate on each adjustable-rate Mortgage Loan will not exceed a specified maximum Mortgage Rate over the life of such Mortgage Loan (the "Maximum Mortgage Rate") or be less than a specified minimum Mortgage Rate over the life of such Mortgage Loan (the "Minimum Mortgage Rate"). Effective with the first monthly payment due on each adjustable-rate Mortgage Loan after each related Adjustment Date, the monthly payment amount will be adjusted to an amount that will amortize fully the outstanding Principal Balance of the related adjustable-rate Mortgage Loan over its remaining term, and pay interest at the Mortgage Rate as so adjusted. Due to the application of the Periodic Rate Caps and the Maximum Mortgage Rates, the Mortgage Rate on each adjustable-rate Mortgage Loan, as adjusted on any related Adjustment Date, may be less than the sum of the Index and the related Gross Margin, rounded as described in this prospectus supplement. None of the adjustable-rate Mortgage Loans will permit the related mortgagor to convert the adjustable Mortgage Rate thereon to a fixed Mortgage Rate. Approximately 49.93% of the Group I Mortgage Loans, approximately 63.79% of the Group II Mortgage Loans and approximately 57.90% of the Mortgage Loans (the "Interest Only Mortgage Loans") provide that for a period of 60 months after origination, the required monthly payments are limited to accrued interest (each, an "Interest Only Period"). At the end of the Interest Only Period, the monthly payments on each such Mortgage Loan will be recalculated to provide for amortization of the Principal Balance by the maturity date and payment of interest at the then-current Mortgage Rate. Approximately 87.48% of the Group I Mortgage Loans, approximately 89.47% of the Group II Mortgage Loans and approximately 88.63% of the Mortgage Loans provide for payment by the mortgagor of a prepayment charge in limited circumstances on certain prepayments. Generally, each such Mortgage Loan provides for payment of a prepayment charge on partial prepayments and prepayments in full made within a stated number of months that is between 12 and 48 months from the date of origination of such Mortgage Loan. The amount of the prepayment charge is provided in the related mortgage note and with respect to approximately 83.04% of the Group I Mortgage Loans, 92.55% of the Group II Mortgage Loans and approximately 88.57% of the Mortgage Loans that have a prepayment charge, the prepayment charge is equal to six months' interest on any amounts prepaid in excess of 80% of the original Principal Balance of the related Mortgage Loan in any 12 month period. Approximately 0.24% of the Group I Mortgage Loans, approximately 0.18% of the Group II Mortgage Loans and approximately 0.21% of the Mortgage Loans (the "Dividend Mortgage Loans") contain a provision entitling the mortgagor thereunder to annual refunds, at the end of each of the first four years of the life of the related Mortgage Loan, of a portion of the interest paid by such mortgagor during the preceding twelve months, if the mortgagor is not currently delinquent and has not defaulted or prepaid. MORTGAGE LOAN STATISTICS FOR ALL MORTGAGE LOANS The following statistical information, unless otherwise specified, is based upon percentages of the Principal Balances of the Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable. Approximately 37.54% of the Mortgage Loans had loan-to-value ratios at origination in excess of 80.00%. Except with respect to 0.01% of the Mortgage Loans, no Mortgage Loan had a loan-to-value ratio at origination in excess of 100.00%. The weighted average loan-to-value ratio of the Mortgage Loans at origination was approximately 81.20%. There can be no assurance that the loan-to-value ratio of any Initial Mortgage Loan determined at any time after origination is less than or equal to its original loan-to-value ratio. Additionally, the Originator's determination of the value of a Mortgaged Property used in the calculation of the original loan-to-value ratios of the Mortgage Loans may differ from the appraised value of such Mortgaged Property or the actual value of such Mortgaged Property at origination. All of the Mortgage Loans have a scheduled payment due each month (the "Due Date") on the first day of the month. The weighted average remaining term to maturity of the Mortgage Loans was approximately 358 months as of the Cut-off Date or the Subsequent Cut-off Date, as applicable. None of the Mortgage Loans had a first Due Date prior to March 1, 2003 or after February 1, 2004, or has a remaining term to maturity of less than 176 months or greater than 360 months as of the Cut-off Date or the Subsequent Cut-off Date, as applicable. The latest maturity date of any Mortgage Loan is January 1, 2034. The average Principal Balance of the Mortgage Loans at origination was approximately $215,441. The average Principal Balance of the Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, was approximately $215,315. No Mortgage Loan had a Principal Balance as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, of greater than approximately $1,000,000 or less than approximately $24,932. As of the Cut-off Date or the Subsequent Cut-off Date, as applicable, the Mortgage Loans had Mortgage Rates of not less than 4.625% per annum and not more than 10.750% per annum and the weighted average Mortgage Rate of the Mortgage Loans was approximately 6.772% per annum. As of the Cut-off Date or the Subsequent Cut-off Date, as applicable, the Adjustable-Rate Mortgage Loans had Gross Margins ranging from 0.750% per annum to 8.250% per annum, Minimum Mortgage Rates ranging from 4.625% per annum to 9.990% per annum and Maximum Mortgage Rates ranging from 6.875% per annum to 15.990% per annum. As of the Cut-off Date or the Subsequent Cut-off Date, as applicable, the weighted average Gross Margin of the Adjustable-Rate Mortgage Loans was approximately 4.753% per annum, the weighted average Minimum Mortgage Rate of the Adjustable-Rate Mortgage Loans was approximately 6.718% per annum and the weighted average Maximum Mortgage Rate of the Adjustable-Rate Mortgage Loans was approximately 12.715% per annum. The latest next Adjustment Date following the Cut-off Date or the Subsequent Cut-off Date, as applicable, on any Adjustable-Rate Mortgage Loan occurs in December 2008 and the weighted average time until the next Adjustment Date for all of the Adjustable-Rate Mortgage Loans is approximately 30 months. The Mortgage Loans are expected to have the following characteristics as of the Cut-off Date or the Subsequent Cut-off Date, as applicable (the sum in any column may not equal the total indicated due to rounding):

___________________ (1) The average Principal Balance of the Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, was approximately $215,315.

___________________ (1) The weighted average credit score of the Mortgage Loans that had credit scores was approximately 647.

___________________ (1) The weighted average original term to maturity of the Mortgage Loans was approximately 359 months.

___________________ (1) The weighted average remaining term to maturity of the Mortgage Loans was approximately 358 months.

___________________ (1) PUD refers to a home or "unit" in a Planned Unit Development.

___________________ (1) Occupancy as represented by the mortgagor at the time of origination.

___________________ (1) The weighted average original loan-to-value ratio of the Mortgage Loans as of the Subsequent Cut-off Date was approximately 81.20%.

___________________ (1) The greatest ZIP Code geographic concentration of Mortgage Loans was approximately 0.57% in the 92592 ZIP Code.

___________________ (1) The weighted average current Mortgage Rate of the Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, was approximately 6.772% per annum.

___________________ (1) The weighted average Gross Margin of the Adjustable-Rate Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, was approximately 4.753% per annum.

___________________ (1) The weighted average time until the next Adjustment Date for the Adjustable-Rate Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, was approximately 30 months.

___________________ (1) The weighted average Maximum Mortgage Rate of the Adjustable-Rate Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, was approximately 12.715% per annum.

___________________ (1) The weighted average Minimum Mortgage Rate of the Adjustable-Rate Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, was approximately 6.718% per annum.

___________________ (1) Relates solely to initial rate adjustments.

___________________ (1) Relates to all rate adjustments subsequent to initial rate adjustments. GROUP I MORTGAGE LOAN STATISTICS The following statistical information, unless otherwise specified, is based upon percentages of the Principal Balances of the Group I Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable. Approximately 46.37% of the Group I Mortgage Loans had loan-to-value ratios at origination in excess of 80.00%. Except with respect to approximately 0.01% of the Group I Mortgage Loans, no Group I Mortgage Loan had a loan-to-value ratio at origination in excess of 100.00%. The weighted average loan- to-value ratio of the Group I Mortgage Loans at origination was approximately 81.74%. There can be no assurance that the loan-to-value ratio of any Group I Mortgage Loan determined at any time after origination is less than or equal to its original loan-to-value ratio. Additionally, the Originator's determination of the value of a Mortgaged Property used in the calculation of the original loan-to-value ratios of the Mortgage Loans may differ from the appraised value of such Mortgaged Property or the actual value of such Mortgaged Property at origination. All of the Group I Mortgage Loans have a Due Date on the first day of the month. The weighted average remaining term to maturity of the Group I Mortgage Loans was approximately 357 months as of the Cut-off Date or the Subsequent Cut-off Date, as applicable. None of the Group I Mortgage Loans had a first Due Date prior to March 1, 2003 or after January 1, 2004, or has a remaining term to maturity of less than 176 months or greater than 360 months as of the Cut-off Date or the Subsequent Cut-off Date, as applicable. The latest maturity date of any Group I Mortgage Loan is December 1, 2033. The average Principal Balance of the Group I Mortgage Loans at origination was approximately $154,582. The average Principal Balance of the Group I Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, was approximately $154,473. No Group I Mortgage Loan had a Principal Balance as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, of greater than approximately $595,332 or less than approximately $24,932. As of the Cut-off Date or the Subsequent Cut-off Date, as applicable, the Group I Mortgage Loans had Mortgage Rates of not less than 4.625% per annum and not more than 10.375% per annum and the weighted average Mortgage Rate of the Group I Mortgage Loans was approximately 7.076% per annum. As of the Cut-off Date or the Subsequent Cut-off Date, as applicable, the Adjustable-Rate Group I Mortgage Loans had Gross Margins ranging from 0.750% per annum to 8.250% per annum, Minimum Mortgage Rates ranging from 4.625% per annum to 9.990% per annum and Maximum Mortgage Rates ranging from 10.625% per annum to 15.990% per annum. As of the Cut-off Date or the Subsequent Cut-off Date, as applicable, the weighted average Gross Margin of the Adjustable-Rate Group I Mortgage Loans was approximately 5.103% per annum, the weighted average Minimum Mortgage Rate of the Adjustable-Rate Group I Mortgage Loans was approximately 7.010% per annum and the weighted average Maximum Mortgage Rate of the Adjustable- Rate Group I Mortgage Loans was approximately 13.010% per annum. The latest next Adjustment Date following the Cut-off Date or the Subsequent Cut-off Date, as applicable, on any Adjustable-Rate Group I Mortgage Loan occurs in November 2008 and the weighted average time until the next Adjustment Date for all of the Adjustable-Rate Group I Mortgage Loans is approximately 31 months. The Group I Mortgage Loans are expected to have the following characteristics as of the Cut-off Date or the Subsequent Cut-off Date, as applicable (the sum in any column may not equal the total indicated due to rounding):

___________________ (1) The average Principal Balance of the Group I Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, was approximately $154,473.

___________________ (1) The weighted average credit score of the Group I Mortgage Loans that had credit scores was approximately 630.

___________________ (1) The weighted average original term to maturity of the Group I Mortgage Loans was approximately 358 months.

___________________ (1) The weighted average remaining term to maturity of the Group I Mortgage Loans was approximately 357 months.

___________________ (1) PUD refers to a home or "unit" in a Planned Unit Development.

___________________ (1) Occupancy as represented by the mortgagor at the time of origination.

___________________ (1) The weighted average original loan-to-value ratio of the Group I Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, was approximately 81.74%.

___________________ (1) The greatest ZIP Code geographic concentration of Group I Mortgage Loans was approximately 0.60% in the 92592 ZIP Code.

___________________ (1) The weighted average current Mortgage Rate of the Group I Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, was approximately 7.076% per annum.

___________________ (1) The weighted average Gross Margin of the Adjustable-Rate Group I Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, was approximately 5.103% per annum.

___________________ (1) The weighted average time until the next Adjustment Date for the Adjustable-Rate Group I Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, was approximately 31 months.

___________________ (1) The weighted average Maximum Mortgage Rate of the Adjustable-Rate Group I Mortgage Loans as of the Cut-off Date or the Subsequent Cut- off Date, as applicable, was approximately 13.010% per annum.

___________________ (1) The weighted average Minimum Mortgage Rate of the Adjustable-Rate Group I Mortgage Loans as of the Cut-off Date or the Subsequent Cut- off Date, as applicable, was approximately 7.010% per annum.

___________________ (1) Relates solely to initial rate adjustments.

___________________ (1) Relates to all rate adjustments subsequent to initial rate adjustments. GROUP II MORTGAGE LOAN STATISTICS The following statistical information, unless otherwise specified, is based upon percentages of the Principal Balances of the Group I Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable. Approximately 31.03% of the Group II Mortgage Loans had loan-to-value ratios at origination in excess of 80.00%. No Group II Mortgage Loan had a loan-to-value ratio at origination in excess of 100.00%. The weighted average loan-to-value ratio of the Group II Mortgage Loans at origination was approximately 80.80%. There can be no assurance that the loan-to-value ratio of any Group II Mortgage Loan determined at any time after origination is less than or equal to its original loan-to-value ratio. Additionally, the Originator's determination of the value of a Mortgaged Property used in the calculation of the original loan- to-value ratios of the Mortgage Loans may differ from the appraised value of such Mortgaged Property or the actual value of such Mortgaged Property at origination. All of the Group II Mortgage Loans have a Due Date on the first day of the month. The weighted average remaining term to maturity of the Group II Mortgage Loans was approximately 358 months as of the Cut-off Date or the Subsequent Cut-off Date, as applicable. None of the Group II Mortgage Loans had a first Due Date prior to July 1, 2003or after February 1, 2004, or has a remaining term to maturity of less than 176 months or greater than 360 months as of the Cut-off Date or the Subsequent Cut- off Date, as applicable. The latest maturity date of any Group II Mortgage Loan is January 1, 2034. The average Principal Balance of the Group II Mortgage Loans at origination was approximately $303,686. The average Principal Balance of the Group II Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, was approximately $303,538. No Group II Mortgage Loan had a Principal Balance as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, of greater than approximately $1,000,000 or less than approximately $27,134. As of the Cut-off Date or the Subsequent Cut-off Date, as applicable, the Group II Mortgage Loans had Mortgage Rates of not less than 4.625% per annum and not more than 10.750% per annum and the weighted average Mortgage Rate of the Group II Mortgage Loans was approximately 6.547% per annum. As of the Cut-off Date or the Subsequent Cut-off Date, as applicable, the Adjustable-Rate Group II Mortgage Loans had Gross Margins ranging from 2.875% per annum to 7.625% per annum, Minimum Mortgage Rates ranging from 4.625% per annum to 9.500% per annum and Maximum Mortgage Rates ranging from 6.875% per annum to 15.500% per annum. As of the Cut-off Date or the Subsequent Cut-off Date, as applicable, the weighted average Gross Margin of the Adjustable-Rate Group II Mortgage Loans was approximately 4.500% per annum, the weighted average Minimum Mortgage Rate of the Adjustable-Rate Group II Mortgage Loans was approximately 6.506% per annum and the weighted average Maximum Mortgage Rate of the Adjustable- Rate Group II Mortgage Loans was approximately 12.501% per annum. The latest next Adjustment Date following the Cut-off Date or the Subsequent Cut-off Date, as applicable, on any Adjustable-Rate Group II Mortgage Loan occurs in December 2008 and the weighted average time until the next Adjustment Date for all of the Adjustable-Rate Group II Mortgage Loans is approximately 30 months. The Group II Mortgage Loans are expected to have the following characteristics as of the Cut-off Date or the Subsequent Cut-off Date, as applicable (the sum in any column may not equal the total indicated due to rounding):

___________________ (1) The average Principal Balance of the Group II Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, was approximately $303,538.

___________________ (1) The weighted average credit score of the Group II Mortgage Loans that had credit scores was approximately 660.

___________________ (1) The weighted average original term to maturity of the Group II Mortgage Loans was approximately 359 months.

___________________ (1) The weighted average remaining term to maturity of the Group II Mortgage Loans was approximately 358 months.

___________________ (1) PUD refers to a home or "unit" in a Planned Unit Development.

___________________ (1) Occupancy as represented by the mortgagor at the time of origination.

___________________ (1) The weighted average original loan-to-value ratio of the Group II Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, was approximately 80.80%.

___________________ (1) The greatest ZIP Code geographic concentration of Group II Mortgage Loans was approximately 0.79% in the 91913 ZIP Code.

___________________ (1) The weighted average current Mortgage Rate of the Group II Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, was approximately 6.547% per annum.

___________________ (1) The weighted average Gross Margin of the Adjustable-Rate Group II Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, was approximately 4.500% per annum.

___________________ (1) The weighted average time until the next Adjustment Date for the Adjustable-Rate Group II Mortgage Loans as of the Cut-off Date or the Subsequent Cut-off Date, as applicable, was approximately 30 months.

___________________ (1) The weighted average Maximum Mortgage Rate of the Adjustable-Rate Group II Mortgage Loans as of the Cut-off Date or the Subsequent Cut- off Date, as applicable, was approximately 12.501% per annum.

___________________ (1) The weighted average Minimum Mortgage Rate of the Adjustable-Rate Group II Mortgage Loans as of the Cut-off Date or the Subsequent Cut- off Date, as applicable, was approximately 6.506% per annum.

___________________ (1) Relates solely to initial rate adjustments.

___________________ (1) Relates to all rate adjustments subsequent to initial rate adjustments.

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