Exhibit 99.1
------------
THE MORTGAGE POOL
GENERAL
References to percentages of the initial mortgage loans unless
otherwise noted are calculated based on the aggregate principal balance of the
initial mortgage loans as of the Cut-off Date.
The mortgage pool will initially consist of 1,147 conventional, one-
to four-family, fixed- rate, fully-amortizing and balloon payment mortgage loans
secured by first liens on mortgaged properties. The mortgage pool will include
the initial mortgage loans, which were conveyed to the trust on the Closing
Date, and the subsequent mortgage loans, which will be acquired by the trust
during the Funding Period with amounts on deposit in the Pre-Funding Account.
The mortgage loans have original terms to maturity of not greater than 30 years.
The Seller conveyed the initial mortgage loans to the company on the
Closing Date pursuant to the Mortgage Loan Purchase Agreement. The company
conveyed the initial mortgage loans to the trust on the Closing Date pursuant to
the Agreement. The Seller made certain representations and warranties with
respect to the initial mortgage loans in the Mortgage Loan Purchase Agreement.
These representations and warranties were assigned by the company to the Trustee
for the benefit of the Certificateholders. As more particularly described in the
prospectus, the Seller will have certain repurchase or substitution obligations
in connection with a breach of any such representation or warranty, as well as
in connection with an omission or defect in respect of certain constituent
documents required to be delivered with respect to the mortgage loans, if such
breach, omission or defect cannot be cured and it materially and adversely
affects the interests of the Certificateholders. In the event the Seller fails
to repurchase an initial mortgage loan, Impac Holdings will be required to do
so. SEE "THE MORTGAGE POOLS--REPRESENTATIONS BY SELLERS" IN THE PROSPECTUS.
PREPAYMENT CHARGES
Approximately 72.14% of the initial mortgage loans in the aggregate
provide for payment by the mortgagor of a prepayment charge in limited
circumstances on prepayments. Generally, these initial mortgage loans provide
for payment of a prepayment charge on partial and/or full prepayments made
within one year, five years or some other period from the date of origination of
the initial mortgage loan as provided in the related mortgage note. The amount
of the prepayment charge is as provided in the related mortgage note, and the
prepayment charge will generally apply if, in any twelve-month period during the
first year, five years or some other period from the date of origination of the
mortgage loan as provided in the related mortgage note, the mortgagor prepays an
aggregate amount exceeding 20% of the original principal balance of the mortgage
loan. The amount of the prepayment charge will generally be equal to 6 months'
advance interest calculated on the basis of the mortgage rate in effect at the
time of the prepayment on the amount prepaid in excess of 20% of the original
principal balance of the mortgage loan. The holders of the Class P Certificates
will be entitled to all prepayment charges received on the mortgage loans, and
these amounts will not be available for distribution on the other classes of
certificates. The Master Servicer may waive the collection of any otherwise
applicable prepayment charge or reduce the amount thereof actually collected,
but only if the Master Servicer does so in compliance with the prepayment charge
waiver standards set forth in the Agreement. If the Master Servicer waives any
prepayment charge other than in accordance with the standards set forth in the
Agreement, the Master Servicer will be required to pay the amount of the waived
prepayment charge. There can be no assurance that the prepayment charges will
have any effect on the prepayment performance of the mortgage loans.
PRIMARY MORTGAGE INSURANCE AND THE RADIAN LENDER-PAID PMI POLICY
Each mortgage loan with a loan-to-value ratio at origination in excess
of 80.00% will be insured by one of the following: (1) a Primary Insurance
Policy issued by a private mortgage insurer (other than a Radian Lender-Paid PMI
Policy) or (2) a Radian Lender-Paid PMI Policy.
Except with respect to 0.16% of the initial mortgage loans, each
Primary Insurance Policy will insure against default under each insured mortgage
note as follows: (A) for which the outstanding principal balance at origination
of such mortgage loan is greater than or equal to 80.01% and up to and including
90.00% of the lesser of the Appraised Value and the sales price, such mortgage
loan is covered by a Primary Insurance Policy in an amount equal to at least
12.00% of the Allowable Claim and (B) for which the outstanding principal
balance at origination of such mortgage loan exceeded 90.00% of the lesser of
the Appraised Value and the sales price, such mortgage loan is covered by a
Primary Insurance Policy in an amount equal to at least 30.00% of the Allowable
Claim.
Each Radian Lender-Paid PMI Policy will insure against default under
each insured mortgage note as follows: (A) for which the outstanding principal
balance at origination of such mortgage loan is greater than or equal to 80.01%
and up to and including 89.99% of the lesser of the Appraised Value and the
sales price, such mortgage loan is covered by a Radian Lender-Paid PMI Policy in
an amount equal to at least 22.00% of the Allowable Claim, (B) for which the
outstanding principal balance at origination of such mortgage loan is at least
90.00% and up to and including 95.00% of the lesser of the Appraised Value and
the sales price, such mortgage loan is covered by a Radian Lender-Paid PMI
Policy in an amount equal to at least 25.00% of the Allowable Claim and (C) for
which the outstanding principal balance at origination of such mortgage loan is
at least 95.01% and up to and including 97.00% of the lesser of the Appraised
Value and the sales price, such mortgage loan is covered by such Radian
Lender-Paid PMI Policy in an amount equal to at least 35.00% of the Allowable
Claim.
With respect to the Radian Lender-Paid PMI Policies, the premium will
be payable by the Master Servicer out of interest collections on the mortgage
loans at a rate equal to the related Radian PMI Rate. The Radian PMI Rates range
from 0.55% to 1.26% of the Stated Principal Balance of the related Radian PMI
Insured Loan and the Radian PMI Rates have a weighted average of approximately
0.73%.
Each mortgage loan is required to be covered by a standard hazard
insurance policy.
SEE "PRIMARY MORTGAGE INSURANCE, HAZARD INSURANCE; CLAIMS
THEREUNDER--HAZARD INSURANCE POLICIES" IN THE PROSPECTUS.
INITIAL MORTGAGE LOAN CHARACTERISTICS
The average principal balance of the initial mortgage loans at
origination was approximately $168,742. No initial mortgage loan had a principal
balance at origination of greater than approximately $700,000 or less than
approximately $36,038. The average principal balance of the initial mortgage
loans as of the Cut-off Date was approximately $168,598. No initial mortgage
loan had a principal balance as of the Cut-off Date of greater than
approximately $700,000 or less than approximately $36,038.
As of the Cut-off Date, the initial mortgage loans had mortgage rates
ranging from approximately 6.250% per annum to approximately 13.250% per annum
and the weighted average mortgage rate was approximately 8.558% per annum. The
weighted average remaining term to stated maturity of the initial mortgage loans
will be approximately 340 months as of the Cut-off Date. None of
the initial mortgage loans will have a first Due Date prior to October 1, 1997,
or will have a remaining term to maturity of less than 180 months or greater
than 360 months as of the Cut-off Date. The latest maturity date of any initial
mortgage loan is April 1, 2032.
The weighted average loan-to-value ratio at origination of the initial
mortgage loans was approximately 81.12%. No loan-to-value ratio at origination
was greater than 100.00% or less than approximately 7.69%.
The original mortgages for some of the mortgage loans have been, or in
the future may be, at the sole discretion of the Master Servicer, recorded in
the name of Mortgage Electronic Registration Systems, Inc., or MERS, solely as
nominee for the seller and its successors and assigns, and subsequent
assignments of those mortgages have been, or in the future may be, at the sole
discretion of the Master Servicer, registered electronically through the MERS(R)
System. In some other cases, the original mortgage was recorded in the name of
the originator of the mortgage loan, record ownership was later assigned to
MERS, solely as nominee for the owner of the mortgage loan, and subsequent
assignments of the mortgage were, or in the future may be, at the sole
discretion of the Master Servicer, registered electronically through the MERS(R)
System. For each of these mortgage loans, MERS serves as mortgagee of record on
the mortgage solely as a nominee in an administrative capacity on behalf of the
trustee, and does not have any interest in the mortgage loan. As of the Cut-off
Date, approximately 19.19% of the aggregate principal balance of the initial
mortgage loans were recorded in the name of MERS. For additional information
regarding the recording of mortgages in the name of MERS see "Yield on the
Certificates--Yield Sensitivity of the Class M Certificates" in this prospectus
supplement.
76 initial mortgage loans, representing approximately 5.84% of the
mortgage pool (by aggregate outstanding principal balance as of the Cut-off
Date), are balloon loans. The amount of the balloon payment on each of these
initial mortgage loans is substantially in excess of the amount of the scheduled
monthly payment on such initial mortgage loan for the period prior to the Due
Date of the balloon payment. These initial mortgage loans have a weighted
average remaining term to maturity of approximately 178 months.
None of the initial mortgage loans are buydown mortgage loans.
None of the initial mortgage loans were 30 days or more delinquent as
of the Cut-off Date.
Set forth below is a description of certain additional characteristics
of the initial mortgage loans as of the Cut-off Date, except as otherwise
indicated. All percentages of the initial mortgage loans are approximate
percentages by aggregate principal balance as of the Cut-off Date, except as
otherwise indicated. Dollar amounts and percentages may not add up to totals due
to rounding.
PRINCIPAL BALANCES AT ORIGINATION
PERCENTAGE OF
ORIGINAL CUT-OFF DATE
INITIAL MORTGAGE LOAN NUMBER OF AGGREGATE ORIGINAL AGGREGATE
PRINCIPAL BALANCES ($) INITIAL MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------ ---------------------- ----------------- -----------------
0.01 - 50,000.01.... 1 $ 36,038 0.02%
50,000.01 - 100,000.00.... 274 22,875,420 11.83
100,000.01 - 150,000.00.... 369 46,314,940 23.95
150,000.01 - 200,000.00.... 224 38,703,658 20.01
200,000.01 - 250,000.00.... 116 25,723,024 13.30
250,000.01 - 300,000.00.... 56 15,301,670 7.91
300,000.01 - 350,000.00.... 37 12,125,463 6.27
350,000.01 - 400,000.00.... 28 10,392,265 5.37
400,000.01 - 450,000.00.... 11 4,673,466 2.42
450,000.01 - 500,000.00.... 12 5,773,691 2.99
500,000.01 - 550,000.00.... 7 3,751,226 1.94
550,000.01 - 600,000.00.... 1 565,000 0.29
600,000.01 - 650,000.00.... 9 5,746,472 2.97
650,000.01 - 700,000.00.... 2 1,399,336 0.72
----- ------------ ------
Total................. 1,147 $193,381,669 100.00%
===== ============ ======
The average principal balance of the initial mortgage loans at
origination was approximately $168,742.
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE
PERCENTAGE OF
CUT-OFF DATE
CURRENT INITIAL MORTGAGE LOAN NUMBER OF AGGREGATE UNPAID AGGREGATE
PRINCIPAL BALANCES ($) INITIAL MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------ ---------------------- ----------------- -----------------
0.01 - 50,000.01....... 1 $ 36,038 0.02%
50,000.01 - 100,000.00....... 274 22,875,420 11.83
100,000.01 - 150,000.00....... 369 46,314,940 23.95
150,000.01 - 200,000.00....... 224 38,703,658 20.01
200,000.01 - 250,000.00....... 116 25,723,024 13.30
250,000.01 - 300,000.00....... 56 15,301,670 7.91
300,000.01 - 350,000.00....... 37 12,125,463 6.27
350,000.01 - 400,000.00....... 28 10,392,265 5.37
400,000.01 - 450,000.00....... 11 4,673,466 2.42
450,000.01 - 500,000.00....... 12 5,773,691 2.99
500,000.01 - 550,000.00....... 7 3,751,226 1.94
550,000.01 - 600,000.00....... 1 565,000 0.29
600,000.01 - 650,000.00....... 9 5,746,472 2.97
650,000.01 - 700,000.00....... 2 1,399,336 0.72
----- ------------ ------
Total.................... 1,147 $193,381,669 100.00%
===== ============ ======
As of the Cut-off Date, the average current principal balance of the
initial mortgage loans will be approximately $168,598.
MORTGAGE RATES
PERCENTAGE OF
CUT-OFF DATE
NUMBER OF AGGREGATE UNPAID AGGREGATE
MORTGAGE RATES (%) INITIAL MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- -------------- ---------------------- ----------------- -----------------
6.000 - 6.499 ....... 3 $ 1,011,224 0.52%
6.500 - 6.999........ 57 15,959,908 8.25
7.000 - 7.499........ 70 15,294,403 7.91
7.500 - 7.999........ 147 29,552,979 15.28
8.000 - 8.499........ 148 22,446,332 11.61
8.500 - 8.999........ 270 42,356,149 21.90
9.000 - 9.499........ 150 22,520,500 11.65
9.500 - 9.999........ 182 27,282,016 14.11
10.000 - 10.499........ 65 9,177,649 4.75
10.500 - 10.999........ 35 5,193,233 2.69
11.000 - 11.499........ 8 975,693 0.50
11.500 - 11.999........ 10 1,211,340 0.63
12.500 - 12.999........ 1 74,558 0.04
13.000 - 13.499........ 1 325,685 0.17
----- ------------ ------
Total............. 1,147 $193,381,669 100.00%
===== ============ ======
The weighted average mortgage rate of the initial mortgage loans was
approximately 8.558% per annum.
ORIGINAL LOAN-TO-VALUE RATIOS
PERCENTAGE OF
CUT-OFF DATE
NUMBER OF AGGREGATE UNPAID AGGREGATE
ORIGINAL LOAN-TO-VALUE RATIOS (%) INITIAL MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------- ---------------------- ----------------- -----------------
5.01 - 10.00................... 1 $ 99,939 0.05%
15.01 - 20.00.................... 1 99,951 0.05
20.01 - 25.00.................... 1 120,000 0.06
25.01 - 30.00.................... 5 523,418 0.27
30.01 - 35.00.................... 7 1,140,284 0.59
35.01 - 40.00.................... 7 876,199 0.45
40.01 - 45.00.................... 10 2,440,667 1.26
45.01 - 50.00.................... 11 2,263,832 1.17
50.01 - 55.00.................... 14 3,563,591 1.84
55.01 - 60.00.................... 23 3,951,137 2.04
60.01 - 65.00.................... 34 7,748,213 4.01
65.01 - 70.00.................... 121 25,976,745 13.43
70.01 - 75.00.................... 46 8,243,098 4.26
75.01 - 80.00.................... 233 40,319,667 20.85
80.01 - 85.00.................... 27 4,315,990 2.23
85.01 - 90.00.................... 272 41,009,806 21.21
90.01 - 95.00.................... 314 48,109,895 24.88
95.01 -100.00.................... 20 2,579,236 1.33
----- ------------ ------
Total........................ 1,147 $193,381,669 100.00%
===== ============ ======
The minimum and maximum loan-to-value ratios of the initial mortgage
loans at origination were approximately 7.69% and 100.00%, respectively, and the
weighted average of the loan-to-value ratios of the initial mortgage loans at
origination was approximately 81.12%.
OCCUPANCY TYPES
PERCENTAGE OF
CUT-OFF DATE
NUMBER OF AGGREGATE UNPAID AGGREGATE
OCCUPANCY (AS INDICATED BY BORROWER) INITIAL MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------------------------ ---------------------- ----------------- -----------------
Primary Residence................... 968 $167,265,698 86.50%
Non-Owner Occupied.................. 147 21,783,164 11.26
Second Home......................... 32 4,332,807 2.24
----- ------------ ------
Total.......................... 1,147 $193,381,669 100.00%
===== ============ ======
MORTGAGE LOAN PROGRAM AND DOCUMENTATION TYPE
PERCENTAGE OF
CUT-OFF DATE
NUMBER OF AGGREGATE UNPAID AGGREGATE
LOAN PROGRAM AND DOCUMENTATION TYPE INITIAL MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ----------------------------------- ---------------------- ----------------- -----------------
Progressive Series Program (Full
Documentation)........................ 105 $ 21,927,046 11.34%
Progressive Series Program (Limited
(Stated) Documentation)............... 201 41,765,006 21.60
Progressive Series Program (Lite
Income/Stated Asset Documentation).... 2 391,795 0.20
Progressive Express(TM)Program
(Verified Assets)..................... 198 32,325,397 16.72
Progressive Express(TM)No Doc Program
(No Documentation).................... 130 19,691,090 10.18
Progressive Express(TM)Program (Non
Verified Assets)...................... 511 77,281,335 39.96
----- ------------ ------
Total............................ 1,147 $193,381,669 100.00%
===== ============ ======
SEE "--UNDERWRITING STANDARDS" BELOW FOR A DETAILED DESCRIPTION OF THE
SELLER'S LOAN PROGRAMS AND DOCUMENTATION REQUIREMENTS.
RISK CATEGORIES
PERCENTAGE OF
CUT-OFF DATE
NUMBER OF AGGREGATE UNPAID AGGREGATE
CREDIT GRADE INITIAL MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------ ---------------------- ----------------- -----------------
A+(1)............................ 177 $ 41,722,479 21.58%
A(1)............................. 109 19,399,611 10.03
A-(1)............................ 16 2,337,300 1.21
B(1)............................. 2 156,083 0.08
C(1)............................. 4 468,374 0.24
Progressive Express(TM)I(2)...... 303 47,011,680 24.31
Progressive Express(TM)II(2)..... 462 71,076,896 36.75
Progressive Express(TM)III(2).... 31 4,633,128 2.40
Progressive Express(TM)IV(2)..... 30 4,516,796 2.34
Progressive Express(TM)V(2)...... 9 1,404,052 0.73
Progressive Express(TM)VI(2)..... 4 655,271 0.34
----- ------------ ------
Total...................... 1,147 $193,381,669 100.00%
===== ============ ======
- -----------------
(1) All of these initial mortgage loans were reviewed and placed into risk
categories based on the credit standards of the Progressive Series Program.
Credit grades of A+, A, A-, B and C correspond to Progressive Series I+, I and
II, III and III+, IV, and V, respectively. All of the initial mortgage loans
originated pursuant to the Express Priority Refi(TM) Program have been placed in
Progressive Express(TM) Programs II and III. SEE "-UNDERWRITING STANDARDS."
(2) These initial mortgage loans were originated under the Seller's Progressive
Express(TM) Program. The underwriting for these initial mortgage loans is
generally based on the borrower's "FICO" score and therefore these initial
mortgage loans do not correspond to the alphabetical risk categories listed
above.
SEE "--UNDERWRITING STANDARDS" BELOW FOR A DESCRIPTION OF THE SELLER'S
RISK CATEGORIES.
PROPERTY TYPES
PERCENTAGE OF
CUT-OFF DATE
NUMBER OF AGGREGATE UNPAID AGGREGATE
PROPERTY TYPE INITIAL MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------- ---------------------- ----------------- -----------------
Single-Family............... 780 $131,849,605 68.18%
De Minimis PUD.............. 134 26,131,444 13.51
Two- to Four-Family......... 67 13,232,654 6.84
Condominium................. 90 10,727,049 5.55
Planned Unit Development.... 52 7,833,085 4.05
Hi-Rise..................... 23 3,481,897 1.80
CondoHotel.................. 1 125,934 0.07
----- ------------ ------
Total.................... 1,147 $193,381,669 100.00%
===== ============ ======
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
PERCENTAGE OF
CUT-OFF DATE
NUMBER OF AGGREGATE UNPAID AGGREGATE
STATE INITIAL MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- ---------------------- ----------------- -----------------
California............................. 351 $ 73,163,621 37.83%
Florida................................ 269 37,294,440 19.29
Georgia ............................... 63 9,259,245 4.79
Illinois .............................. 40 6,393,654 3.31
New York .............................. 36 8,206,481 4.24
Texas.................................. 59 8,494,271 4.39
Other (less than 3 in any one state)... 329 50,569,957 26.15
----- ------------ ------
Total............................... 1,147 $193,381,669 100.00%
===== ============ ======
No more than approximately 0.61% of the initial mortgage loans (by
aggregate outstanding principal balance as of the Cut-off Date) will be secured
by mortgaged properties located in any one zip code.
LOAN PURPOSES
PERCENTAGE OF
CUT-OFF DATE
NUMBER OF AGGREGATE UNPAID AGGREGATE
LOAN PURPOSE INITIAL MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------ ---------------------- ----------------- -----------------
Purchase................... 653 $104,584,775 54.08%
Cash-Out Refinance......... 359 63,450,458 32.81
Rate and Term Refinance.... 133 24,910,054 12.88
Construction............... 2 436,381 0.23
----- ------------ ------
Total................... 1,147 $193,381,669 100.00%
===== ============ ======
In general, in the case of a mortgage loan made for "rate and term"
refinance purposes, substantially all of the proceeds are used to pay in full
the principal balance of a previous mortgage loan of the mortgagor with respect
to a mortgaged property and to pay origination and closing costs associated with
such refinancing. Mortgage loans made for "cash-out" refinance purposes may
involve the use of the proceeds to pay in full the principal balance of a
previous mortgage loan and related costs except that a portion of the proceeds
are generally retained by the mortgagor for uses unrelated to the mortgaged
property. The amount of these proceeds retained by the mortgagor may be
substantial.