THE MORTGAGE POOL
GENERAL
References to percentages of the mortgage loans unless otherwise noted
are calculated based on the aggregate principal balance of the mortgage loans as
of the Subsequent Cut-off Date.
The mortgage pool consists of 1,476 conventional, one- to four-family,
fixed-rate, fully- amortizing and balloon payment mortgage loans secured by
first liens on mortgaged properties. The mortgage pool includes the initial
mortgage loans, that were conveyed to the trust on the Closing Date, and the
subsequent mortgage loans, that were 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.
PREPAYMENT CHARGES
Approximately 71.82% of the mortgage loans in the aggregate provide
for payment by the mortgagor of a prepayment charge in limited circumstances on
prepayments. Generally, these 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 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 0.13% of the 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
0.72%.
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.
MORTGAGE LOAN CHARACTERISTICS
The average principal balance of the mortgage loans at origination was
approximately $169,478. No 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 mortgage loans as of the Subsequent Cut-off
Date was approximately $169,345. No mortgage loan had a principal balance as of
the Subsequent Cut-off Date of greater than approximately $700,000 or less than
approximately $36,038.
As of the Subsequent Cut-off Date, the 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 8.570 per annum.
The weighted average remaining term to stated maturity of the mortgage loans
will be approximately 341 months as of the Subsequent Cut-off Date. None of the
mortgage loans will have a first Due Date prior to October 1, 1997, or will have
a remaining term to maturity of less than 174 months or greater than 360 months
as of the Subsequent Cut-off Date. The latest maturity date of any mortgage loan
is May 1, 2032.
The weighted average loan-to-value ratio at origination of the
mortgage loans was approximately 81.21%. 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 19.14% of the aggregate principal balance of the 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.
86 mortgage loans, representing approximately 5.09% of the mortgage
pool (by aggregate outstanding principal balance as of the Subsequent Cut-off
Date), are balloon loans. The amount of the balloon payment on each of these
mortgage loans is substantially in excess of the amount of the scheduled monthly
payment on such mortgage loan for the period prior to the Due Date of the
balloon payment. These mortgage loans have a weighted average remaining term to
maturity of approximately 178 months.
None of the mortgage loans are buydown mortgage loans.
None of the mortgage loans were 30 days or more delinquent as of the
Subsequent Cut-off Date.
Set forth below is a description of certain additional characteristics
of the mortgage loans as of the Subsequent Cut-off Date, except as otherwise
indicated. All percentages of the mortgage loans are approximate percentages by
aggregate principal balance as of the Subsequent 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
SUBSEQUENT CUT-OFF
ORIGINAL AGGREGATE DATE
MORTGAGE LOAN NUMBER OF ORIGINAL AGGREGATE
PRINCIPAL BALANCES($) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
--------------------- -------------- ----------------- ------------------
0.01 - 50,000.00...... 1 $ 36,038 0.01%
50,000.01 - 100,000.00...... 346 28,925,391 11.57
100,000.01 - 150,000.00...... 464 58,213,402 23.29
150,000.01 - 200,000.00...... 302 52,375,332 20.95
200,000.01 - 250,000.00...... 155 34,493,230 13.80
250,000.01 - 300,000.00...... 75 20,493,095 8.20
300,000.01 - 350,000.00...... 44 14,408,800 5.76
350,000.01 - 400,000.00...... 34 12,690,063 5.08
400,000.01 - 450,000.00...... 15 6,396,007 2.56
450,000.01 - 500,000.00...... 17 8,121,177 3.25
500,000.01 - 550,000.00...... 9 4,781,958 1.91
550,000.01 - 600,000.00...... 1 565,000 0.23
600,000.01 - 650,000.00...... 10 6,393,972 2.56
650,000.01 - 700,000.00...... 3 2,059,336 0.82
----- ------------ ------
Total................... 1,476 $249,952,801 100.00%
===== ============ ======
The average principal balance of the mortgage loans at origination was
approximately $169,478.
PRINCIPAL BALANCES AS OF THE SUBSEQUENT CUT-OFF DATE
PERCENTAGE OF
SUBSEQUENT CUT-OFF
DATE
CURRENT MORTGAGE LOAN NUMBER OF AGGREGATE UNPAID AGGREGATE
PRINCIPAL BALANCES($) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
--------------------- -------------- ----------------- ------------------
0.01 - 50,000.00...... 1 $ 36,038 0.01%
50,000.01 - 100,000.00....... 346 28,925,391 11.57
100,000.01 - 150,000.00....... 464 58,213,402 23.29
150,000.01 - 200,000.00....... 302 52,375,332 20.95
200,000.01 - 250,000.00....... 155 34,493,230 13.80
250,000.01 - 300,000.00....... 75 20,493,095 8.20
300,000.01 - 350,000.00....... 44 14,408,800 5.76
350,000.01 - 400,000.00....... 34 12,690,063 5.08
400,000.01 - 450,000.00....... 15 6,396,007 2.56
450,000.01 - 500,000.00....... 17 8,121,177 3.25
500,000.01 - 550,000.00....... 9 4,781,958 1.91
550,000.01 - 600,000.00....... 1 565,000 0.23
600,000.01 - 650,000.00....... 10 6,393,972 2.56
650,000.01 - 700,000.00....... 3 2,059,336 0.82
----- ------------ ------
Total.................... 1,476 $249,952,801 100.00%
===== ============ ======
As of the Subsequent Cut-off Date, the average current principal balance of
the mortgage loans will be approximately $169,345.
MORTGAGE RATES
PERCENTAGE OF
SUBSEQUENT CUT-OFF
NUMBER OF AGGREGATE UNPAID DATE AGGREGATE
MORTGAGE RATES(%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----------------- -------------- ----------------- -------------------
6.000 - 6.499....... 3 $ 1,011,224 0.40%
6.500 - 6.999....... 63 17,524,732 7.01
7.000 - 7.499....... 92 20,722,413 8.29
7.500 - 7.999....... 183 35,534,011 14.22
8.000 - 8.499....... 199 32,395,107 12.96
8.500 - 8.999....... 376 60,319,992 24.13
9.000 - 9.499....... 190 27,982,841 11.20
9.500 - 9.999....... 225 33,207,580 13.29
10.000 - 10.499....... 78 11,475,083 4.59
10.500 - 10.999....... 44 6,817,132 2.73
11.000 - 11.499....... 11 1,351,104 0.54
11.500 - 11.999....... 10 1,211,340 0.48
12.500 - 12.999....... 1 74,558 0.03
13.000 - 13.499....... 1 325,685 0.13
----- ------------ ------
Total............ 1,476 $249,952,801 100.00%
===== ============ ======
The weighted average mortgage rate of the mortgage loans was approximately
8.570% per annum.
ORIGINAL LOAN-TO-VALUE RATIOS
PERCENTAGE OF
SUBSEQUENT CUT-OFF
NUMBER OF AGGREGATE UNPAID DATE AGGREGATE
ORIGINAL LOAN-TO-VALUE RATIOS (%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------- -------------- ----------------- -----------------
5.01 - 10.00.................... 1 $ 99,939 0.04%
15.01 - 20.00.................... 1 99,951 0.04
20.01 - 25.00.................... 2 196,900 0.08
25.01 - 30.00.................... 7 697,418 0.28
30.01 - 35.00.................... 7 1,140,284 0.46
35.01 - 40.00.................... 8 946,199 0.38
40.01 - 45.00.................... 12 2,806,667 1.12
45.01 - 50.00.................... 14 2,583,706 1.03
50.01 - 55.00.................... 18 4,683,169 1.87
55.01 - 60.00.................... 32 6,454,057 2.58
60.01 - 65.00.................... 45 9,380,702 3.75
65.01 - 70.00.................... 146 30,879,207 12.35
70.01 - 75.00.................... 58 10,459,130 4.18
75.01 - 80.00.................... 320 55,928,106 22.38
80.01 - 85.00.................... 37 5,980,522 2.39
85.01 - 90.00.................... 367 56,280,864 22.52
90.01 - 95.00.................... 381 58,756,742 23.51
95.01 -100.00.................... 20 2,579,236 1.03
----- ------------ ------
Total........................ 1,476 $249,952,801 100.00%
===== ============ ======
The minimum and maximum loan-to-value ratios of the mortgage loans at
origination were approximately 7.69% and 100.00%, respectively, and the weighted
average of the loan-to-value ratios of the mortgage loans at origination was
approximately 81.21%.
OCCUPANCY TYPES
PERCENTAGE OF
SUBSEQUENT CUT-OFF
NUMBER OF AGGREGATE UNPAID DATE AGGREGATE
OCCUPANCY (AS INDICATED BY BORROWER) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------------------------ -------------- ------------------ ------------------
Second Home......................... 41 $ 5,667,711 2.27%
Non-Owner Occupied.................. 193 28,315,102 11.33
Primary Residence................... 1,242 215,969,988 86.40
----- ------------ ------
Total.......................... 1,476 $249,952,801 100.00%
===== ============ ======
MORTGAGE LOAN PROGRAM AND DOCUMENTATION TYPE
PERCENTAGE OF
SUBSEQUENT CUT-OFF
NUMBER OF AGGREGATE UNPAID DATE AGGREGATE
LOAN PROGRAM AND DOCUMENTATIONTYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------------------------------- -------------- ----------------- -----------------
Progressive Series Program (Full
Documentation)............................ 134 $ 27,654,545 11.06%
Progressive Series Program (Limited
(Stated) Documentation)................... 250 51,155,679 20.47
Progressive Series Program (Lite
Income/Stated Asset Documentation)........ 2 391,795 0.16
Progressive Express(TM)Program
(Verified Assets)......................... 258 43,264,694 17.31
Progressive Express(TM)No Doc Program
(No Documentation)........................ 161 24,959,442 9.99
Progressive Express(TM)Program (Non
Verified Assets).......................... 671 102,526,647 41.02
----- ------------ ------
Total................................ 1,476 $249,952,801 100.00%
===== ============ ======
SEE "--UNDERWRITING STANDARDS" BELOW FOR A DETAILED DESCRIPTION OF THE
SELLER'S LOAN PROGRAMS AND DOCUMENTATION REQUIREMENTS.
RISK CATEGORIES
PERCENTAGE OF
SUBSEQUENT CUT-OFF DATE
NUMBER OF AGGREGATE UNPAID AGGREGATE
CREDIT GRADE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------ -------------- ----------------- -----------------
A(1)............................ 141 $ 25,046,877 10.02%
A-(1)........................... 19 2,803,728 1.12
A+(1)........................... 217 50,449,433 20.18
B(1)............................ 4 359,533 0.14
C(1)............................ 5 542,448 0.22
Progressive Express(TM)I(2)..... 399 63,591,956 25.44
Progressive Express(TM)II(2).... 581 90,301,138 36.13
Progressive Express(TM)III(2)... 44 6,906,324 2.76
Progressive Express(TM)IV(2).... 47 7,203,613 2.88
Progressive Express(TM)V(2)..... 13 1,876,231 0.75
Progressive Express(TM)VI(2).... 6 871,521 0.35
----- ------------ ------
Total..................... 1,476 $249,952,801 100.00%
===== ============ ======
- -----------------
(1) All of these 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 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 mortgage loans were originated under the Seller's Progressive
Express(TM) Program. The underwriting for these mortgage loans is generally
based on the borrower's "FICO" score and therefore these 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
SUBSEQUENT CUT-OFF DATE
NUMBER OF AGGREGATE UNPAID AGGREGATE
PROPERTY TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------- -------------- ----------------- -----------------
Single-Family................. 1,014 $171,068,068 68.44%
De Minimis PUD................ 177 35,364,147 14.15
Two- to Four-Family........... 86 16,641,954 6.66
Condominium................... 106 12,820,475 5.13
Planned Unit Development...... 65 9,620,465 3.85
Hi-Rise....................... 26 4,176,829 1.67
Mobile Home................... 1 134,928 0.05
CondoHotel.................... 1 125,934 0.05
----- ------------ ------
Total...................... 1,476 $249,952,801 100.00%
===== ============ ======
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
PERCENTAGE OF
SUBSEQUENT CUT-OFF
AGGREGATE DATE
NUMBER OF UNPAID AGGREGATE
STATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- -------------- ----------------- -----------------
California.............................. 443 $ 92,781,633 37.12%
Florida................................. 357 48,703,322 19.49
Georgia ................................ 81 12,268,801 4.91
Illinois................................ 48 7,762,840 3.11
New York ............................... 51 11,509,244 4.60
Texas................................... 75 10,764,020 4.31
Other (less than 3 in any one state).... 421 66,162,941 26.47
----- ------------ ------
Total................................ 1,476 $249,952,801 100.00%
===== ============ ======
No more than approximately 0.56% of the 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
SUBSEQUENT CUT-OFF
NUMBER OF AGGREGATE UNPAID DATE AGGREGATE
LOAN PURPOSE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------ -------------- ----------------- ------------------
Purchase.................. 840 $135,947,337 54.39%
Cash-Out Refinance........ 469 82,652,164 33.07
Rate and Term Refinance... 164 30,792,468 12.32
Construction.............. 3 560,831 0.22
----- ------------ ------
Total.................. 1,476 $249,952,801 100.00%
===== ============ ======
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.