THE MORTGAGE POOL
General
The mortgage pool will consist of two groups of mortgage loans, referred
to in this prospectus supplement as "Loan Group 1" and "Loan Group 2" (and each,
a "Loan Group"), and also designated as the "Group 1 Loans" and the "Group 2
Loans", respectively. The Group 1 Loans are one- to four-family,
adjustable-rate, fully-amortizing residential mortgage loans secured by first
liens on mortgaged properties. The Group 2 Loans are one- to four-family,
fully-amortizing and balloon payment residential mortgage loans, all of which
have fixed rates that are secured by first liens on mortgaged properties. The
mortgage loans will have original terms to maturity of not greater than 30
years.
The company will convey the mortgage loans to the trust on the Closing
Date pursuant to the Trust Agreement. The Seller will make certain
representations and warranties with respect to the mortgage loans in the
Mortgage Loan Sale and Contribution Agreement. These representations and
warranties will be assigned to the indenture trustee for the benefit of the
Bondholders and the Bond Insurer. 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 Bondholders or the Bond Insurer. See "The Mortgage
Pools -- Representations by Sellers" in the prospectus.
The mortgage loans will have been originated or acquired by the Seller in
accordance with the underwriting criteria described in this prospectus
supplement. See "--Underwriting Standards" Below.
Substantially all of the mortgage loans will initially be subserviced by
Wendover Funding, Inc. The subservicing with respect to such Group 1 Loans will
be transferred to Countrywide Home Loans Servicing LP, or an affiliate thereof,
on or about December 1, 2003 and, with respect to such Group 2 Loans that are
secured by first liens on the related mortgaged property, will be transferred to
GMAC Mortgage Corporation on or about December 1, 2003. Wendover Funding, Inc.
will act as subservicer with respect to all mortgage loans in loan group 2 that
are secured by second liens on the related mortgaged property. See "Description
of the Servicing Agreement -- The Subservicers" in this prospectus supplement.
None of the mortgage loans were 30 days or more delinquent as of the
Cut-off Date.
Substantially all of the mortgage loans have scheduled monthly payments
due on the first of the month. Each Group 1 Loan is generally assumable in
accordance with the terms of the related mortgage note.
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.
Certain of the mortgage loans will have their first scheduled monthly
payments due on November 1, 2003. As to those mortgage loans, no principal
amortization payments will be distributed (unless prepayments are received
thereon) until the payment date occurring in November 2003, the month in which
the first scheduled monthly payment is due. However, on the Closing Date, cash
will be deposited in the Payment Account in an amount equal to one month's
interest accrued from September 1, 2003 (at the related mortgage rates) on such
mortgage loans, to be remitted to the Indenture Trustee for distribution on the
payment date occurring in October 2003, the month prior to the month in which
the first scheduled monthly payment is due on such mortgage loans.
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Mortgage Rate Adjustment
The mortgage rate on substantially all of the mortgage loans in Loan Group
1will generally adjust semi-annually commencing after an initial period after
origination of generally six months, two years, three years or five years, in
each case on each applicable adjustment date to a rate equal to the sum,
generally rounded to the nearest one-eighth of one percentage point (12.5 basis
points), of (i) the related index and (ii) the gross margin. In addition, the
mortgage rate on each adjustable-rate mortgage loan is subject on its first
adjustment date following its origination to an initial rate cap and on each
adjustment date thereafter to a periodic rate cap. All of the adjustable-rate
mortgage loans are also subject to maximum and minimum lifetime mortgage rates.
The adjustable-rate mortgage loans were generally originated with an initial
mortgage rate below the sum of the index at origination and the gross margin.
Due to the application of the initial rate caps, periodic rate caps, maximum
mortgage rates and minimum mortgage rates, the mortgage rate on any
adjustable-rate mortgage loan, as adjusted on any related adjustment date, may
not equal the sum of the index and the gross margin.
The mortgage rate on substantially all of the mortgage loans in Loan Group
1 adjusts based on an index equal to either Six-Month LIBOR. In the event that
the related index is no longer available, an index that is based on comparable
information will be selected by the Master Servicer, to the extent that it is
permissible under the terms of the related mortgage and mortgage note.
Substantially all of the adjustable-rate mortgage loans (other than the
Seasoned Mortgage Loans) will not have reached their first adjustment date as of
the Closing Date. The initial mortgage rate is generally lower than the rate
that would have been produced if the applicable gross margin had been added to
the index in effect at origination. Adjustable-rate mortgage loans that have not
reached their first adjustment date are subject to the initial rate cap on their
first adjustment date, and periodic rate caps thereafter.
Indices on the Mortgage Loans
The index applicable to the determination of the mortgage rate on
approximately 99.10% of the mortgage loans in Loan Group 1 is the average of the
interbank offered rates for six-month United States dollar deposits in the
London market as published by Fannie Mae or The Wall Street Journal and, in most
cases, as most recently available as of the first business day of the month
preceding such adjustment date, or Six-Month LIBOR.
The table below sets forth historical average rates of Six-Month LIBOR for
the months indicated as made available from Fannie Mae. The rates are determined
from information that is available as of 11:00 a.m. (London time) on the second
to last business day of each month. Such average rates may fluctuate
significantly from month to month as well as over longer periods and may not
increase or decrease in a constant pattern from period to period. There can be
no assurance that levels of Six-Month LIBOR published by Fannie Mae, or
published on a different reference date would have been at the same levels as
those set forth below. The following does not purport to be representative of
future levels of Six-Month LIBOR (as published by Fannie Mae). No assurance can
be given as to the level of Six-Month LIBOR on any adjustment date or during the
life of any adjustable-rate mortgage loan based on Six-Month LIBOR.
S-2
Six-Month LIBOR
Month 1996 1997 1998 1999 2000 2001 2002 2003
- ----- ---- ---- ---- ---- ---- ---- ---- ----
January 5.34% 5.71% 5.75% 5.04% 6.23% 5.36% 1.99% 1.35%
February 5.29 5.68 5.78 5.17 6.32 4.96 2.06 1.34
March 5.52 5.96 5.80 5.08 6.53 4.71 2.33 1.26
April 5.42 6.08 5.87 5.08 6.61 4.23 2.10 1.29
May 5.64 6.01 5.81 5.19 7.06 3.91 2.09 1.22
June 5.84 5.94 5.87 5.62 7.01 3.83 1.95 1.12
July 5.92 5.83 5.82 5.65 6.88 3.70 1.86 1.15
August 5.74 5.86 5.69 5.90 6.83 3.48 1.82 1.21
September 5.75 5.85 5.36 5.96 6.76 2.53 1.75
October 5.58 5.81 5.13 6.13 6.72 2.17 1.62
November 5.55 6.04 5.28 6.04 6.68 2.10 1.47
December 5.62 6.01 5.17 6.13 6.20 1.98 1.38
Prepayment Charges
Approximately 73.13% and 65.48% of the Group 1 Loans and Group 2 Loans,
respectively (by aggregate outstanding principal balance of the related mortgage
loans as of the cut-off date), provide for payment by the mortgagor of a
prepayment charge in limited circumstances on prepayments. Generally, mortgage
loans with prepayment charges provide for payment of a prepayment charge on some
partial or full prepayments made within one year, five years or other period as
provided in the related mortgage note from the date of origination of the
mortgage loan. No mortgage loan provides for payment of a prepayment charge on
partial or full prepayments made more than five years from the date of
origination of that mortgage loan. The amount of the prepayment charge is as
provided in the related mortgage note. The prepayment charge will generally
apply if, in any twelve-month period during the first year, five years or other
period as provided in the related mortgage note from the date of origination of
the mortgage loan, the mortgagor prepays an aggregate amount exceeding 20% of
the original principal balance of the mortgage loan. The amount of the
prepayment charge on these loans 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 prepayment charges may, in certain
circumstances, be waived by the Master Servicer or the related subservicer. Some
of these prepayment charges may not be enforceable in cases where the mortgagor
sells the related mortgaged property. There can be no assurance that the
prepayment charges will have any effect on the prepayment performance of the
mortgage loans. The Master Servicer or the related subservicer will be entitled
to all prepayment charges received on the mortgage loans, and these amounts will
not be available for payment on the Securities.
Primary Mortgage Insurance and the Radian Lender-Paid PMI Policy
Substantially all of the initial Group 1 Loans and Group 2 Loans (other
than the Seasoned Mortgage Loans) and approximately 94.76% of the Seasoned
Mortgage Loans 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) the Radian Lender-Paid PMI Policy.
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 sale
price,
S-3
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 20.00% of the
Allowable Claim.
The 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 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 in an amount equal to at least 22.00% 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 in an amount
equal to at least 35.00% of the Allowable Claim.
With respect to the Radian Lender-Paid PMI Policy, 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 for the
mortgage loans will range from 0.280% per annum to 2.100% per annum of the
Stated Principal Balance of the related Radian PMI Insured Loan.
To the extent of a default by Radian under the Radian Lender-Paid PMI
Policy, the Master Servicer will use its best efforts to find a replacement
policy with substantially similar terms, with the approval of the Bond Insurer.
See "Primary Mortgage Insurance, Hazard Insurance; Claims Thereunder --
Hazard Insurance Policies" in the Prospectus.
Mortgage Loan Characteristics
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
indenture trustee, and does not have any interest in the mortgage loan. Some of
the Group 1 Loans and Group 2 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 Securities--Yield Sensitivity of the Grantor Trust
Certificates" in this prospectus supplement.
Loan Group 1
The Group 1 Loans had an aggregate principal balance as of the Cut-off
Date of approximately $889,004,734, after application of scheduled payments due
on or before the Cut-off Date, whether or not received. All of the Group 1 Loans
are secured by first liens on the related mortgaged property.
The average principal balance of the Group 1 Loans at origination was
approximately $253,611. No
S-4
Group 1 Loan had a principal balance at origination of greater than
approximately $1,500,000 or less than approximately $16,000. The average
principal balance of the Group 1 Loans as of the Cut-off Date was approximately
$252,415. No Group 1 Loan had a principal balance as of the Cut-off Date of
greater than approximately $1,500,000 or less than approximately $36.
As of the Cut-off Date, the Group 1 Loans had mortgage rates ranging from
approximately 3.000% per annum to approximately 15.250% per annum and the
weighted average mortgage rate was approximately 5.472% per annum. The weighted
average remaining term to stated maturity of the Group 1 Loans was approximately
356 months as of the Cut-off Date. None of the Group 1 Loans will have a first
Due Date prior to January 1, 1994, or after November 1, 2003, or will have a
remaining term to maturity of less than 94 months or greater than 360 months as
of the Cut-off Date. The latest maturity date of any Group 1 Loan is October 1,
2033.
Approximately 44.74% and 4.70% of the Group 1 Loans have initial interest
only periods of five and ten years, respectively.
The loan-to-value ratio of a mortgage loan secured by a first lien is
equal to the ratio, expressed as a percentage, of the principal amount of the
loan at origination, to the lesser of the appraised value of the related
mortgaged property at the time of origination and the sales price. The weighted
average of the loan-to-value ratios at origination of the Group 1 Loans was
approximately 78.00%. No loan-to-value ratio at origination of any Group 1 Loan
was greater than approximately 100.00% or less than approximately 20.00%.
None of the Group 1 Loans are buydown mortgage loans.
None of the Group 1 Loans will be a "high-cost home loan" as defined in
the Georgia Fair Lending Act, in New York Predatory Lending Law, codified as
N.Y. Banking Law ss.6-I, N.Y. Gen. Bus. Law ss.771-a, and N.Y. Real Prop. Acts
Law ss.1302, in the Arkansas Home Loan Protection Act or in the Kentucky Revised
Statutes ss.360.100.
None of the Group 1 Loans will be subject to the Home Ownership and Equity
Protection Act of 1994 or any comparable state law.
Approximately 99.83% of the Group 1 Loans (other than the Seasoned
Mortgage Loans in Loan Group 1) have not reached their first adjustment date as
of the Closing Date.
Approximately 73.13% of the Group 1 Loans provide for prepayment charges.
Approximately 14.67% and 7.63% of the Group 1 Loans are covered by a
Primary Insurance Policy and the Radian Lender-Paid PMI Policy, respectively.
For the Group 1 Loans, the weighted average of the Radian PMI Rates for the
mortgage loans covered by the Radian Lender-Paid PMI Policy is approximately
0.874% per annum.
Set forth below is a description of certain additional characteristics of
the Group 1 Loans as of the Cut-off Date, except as otherwise indicated. All
percentages of the Group 1 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.
S-5
Principal Balances at Origination
Percentage of
Original Cut-off Date
Group 1 Loan Number of Aggregate Unpaid Aggregate
Principal Balances ($) Group 1 Loans Principal Balance Principal Balance
- ------------------------------------------ ------------- ----------------- -----------------
0.01- 50,000.00 .............. 67 $ 2,222,400 0.25%
50,000.01- 100,000.00 .............. 270 20,968,488 2.36
100,000.01- 150,000.00 .............. 557 69,555,239 7.82
150,000.01- 200,000.00 .............. 569 99,050,570 11.14
200,000.01- 250,000.00 .............. 549 123,651,908 13.91
250,000.01- 300,000.00 .............. 496 135,949,631 15.29
300,000.01- 350,000.00 .............. 309 100,092,468 11.26
350,000.01- 400,000.00 .............. 242 90,704,728 10.20
400,000.01- 450,000.00 .............. 143 60,830,460 6.84
450,000.01- 500,000.00 .............. 122 57,646,042 6.48
500,000.01- 550,000.00 .............. 51 27,170,789 3.06
550,000.01- 600,000.00 .............. 51 29,522,572 3.32
600,000.01- 650,000.00 .............. 46 28,997,088 3.26
650,000.01- 700,000.00 .............. 7 4,785,556 0.54
700,000.01- 750,000.00 .............. 13 9,576,329 1.08
750,000.01- 800,000.00 .............. 8 6,195,832 0.70
800,000.01- 850,000.00 .............. 5 4,153,126 0.47
850,000.01- 900,000.00 .............. 3 2,624,500 0.30
900,000.01- 950,000.00 .............. 1 904,000 0.10
950,000.01- 1,000,000.00 .............. 9 8,856,511 1.00
1,100,000.01- 1,150,000.00 .............. 1 1,116,500 0.13
1,400,000.01- 1,450,000.00 .............. 1 1,430,000 0.16
1,450,000.01- 1,500,000.00 .............. 2 3,000,000 0.34
----- ------------ ------
Total ........................... 3,522 $889,004,734 100.00%
===== ============ ======
The average principal balance of the Group 1 Loans at origination was
approximately $253,611.
S-6
Principal Balances as of the Cut-off Date
Percentage of
Cut-off Date
Current Group 1 Loan Number of Aggregate Unpaid Aggregate
Principal Balances ($) Group 1 Loans Principal Balance Principal Balance
- --------------------------------------- ------------- ----------------- -----------------
0.01- 50,000.00 ............ 77 $ 2,625,813 0.30%
50,000.01- 100,000.00 ............ 279 22,270,120 2.51
100,000.01- 150,000.00 ............ 555 70,236,318 7.90
150,000.01- 200,000.00 ............ 561 98,305,618 11.06
200,000.01- 250,000.00 ............ 547 123,577,119 13.90
250,000.01- 300,000.00 ............ 492 135,074,419 15.19
300,000.01- 350,000.00 ............ 312 101,219,945 11.39
350,000.01- 400,000.00 ............ 240 90,138,689 10.14
400,000.01- 450,000.00 ............ 142 60,486,376 6.80
450,000.01- 500,000.00 ............ 119 56,737,518 6.38
500,000.01- 550,000.00 ............ 52 27,720,251 3.12
550,000.01- 600,000.00 ............ 50 28,973,110 3.26
600,000.01- 650,000.00 ............ 46 28,997,088 3.26
650,000.01- 700,000.00 ............ 7 4,785,556 0.54
700,000.01- 750,000.00 ............ 13 9,576,329 1.08
750,000.01- 800,000.00 ............ 8 6,195,832 0.70
800,000.01- 850,000.00 ............ 5 4,153,126 0.47
850,000.01- 900,000.00 ............ 3 2,624,500 0.30
900,000.01- 950,000.00 ............ 1 904,000 0.10
950,000.01- 1,000,000.00 ............ 9 8,856,511 1.00
1,100,000.01- 1,150,000.00 ............ 1 1,116,500 0.13
1,400,000.01- 1,450,000.00 ............ 1 1,430,000 0.16
1,450,000.01- 1,500,000.00 ............ 2 3,000,000 0.34
----- ------------ ------
Total ....................... 3,522 $889,004,734 100.00%
===== ============ ======
As of the Cut-off Date, the average current principal balance of the Group
1 Loans will be approximately $252,415.
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Mortgage Rates
Percentage of
Cut-off Date
Number of Aggregate Unpaid Aggregate
Mortgage Rates (%) Group 1 Loans Principal Balance Principal Balance
- ----------------------------------- ------------- ----------------- -----------------
3.000- 3.499 ................... 12 $ 3,675,590 0.41%
3.500- 3.999 ................... 102 35,464,292 3.99
4.000- 4.499 ................... 269 76,244,715 8.58
4.500- 4.999 ................... 746 217,008,468 24.41
5.000- 5.499 ................... 616 169,028,067 19.01
5.500- 5.999 ................... 635 170,598,325 19.19
6.000- 6.499 ................... 314 72,946,529 8.21
6.500- 6.999 ................... 295 63,577,764 7.15
7.000- 7.499 ................... 129 24,959,064 2.81
7.500- 7.999 ................... 130 24,217,898 2.72
8.000- 8.499 ................... 66 10,297,782 1.16
8.500- 8.999 ................... 60 8,031,949 0.90
9.000- 9.499 ................... 30 3,956,743 0.45
9.500- 9.999 ................... 52 4,730,188 0.53
10.000- 10.499 ................... 13 1,202,860 0.14
10.500- 10.999 ................... 16 1,101,627 0.12
11.000- 11.499 ................... 12 721,601 0.08
11.500- 11.999 ................... 13 724,709 0.08
12.000- 12.499 ................... 1 27,120 0.00
12.500- 12.999 ................... 2 41,025 0.00
13.000- 13.499 ................... 3 133,706 0.02
13.500- 13.999 ................... 2 67,490 0.01
14.000- 14.499 ................... 2 150,712 0.02
15.000- 15.499 ................... 2 96,511 0.01
----- ------------ ------
Total ........................ 3,522 $889,004,734 100.00%
===== ============ ======
The weighted average mortgage rate of the Group 1 Loans was approximately
5.472% per annum.
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Next Adjustment Date
Percentage of
Cut-off Date
Number of Aggregate Unpaid Aggregate
Next Adjustment Date Group 1 Loans Principal Balance Principal Balance
- ------------------------------------ ------------- ----------------- -----------------
October 1, 2003 .................... 91 $ 13,947,127 1.57%
November 1, 2003 ................... 77 9,866,091 1.11
December 1, 2003 ................... 81 10,873,856 1.22
January 1, 2004 .................... 154 29,977,327 3.37
February 1, 2004 ................... 355 90,610,535 10.19
March 1, 2004 ...................... 433 109,161,258 12.28
April 1, 2004 ...................... 94 24,166,350 2.72
June 1, 2004 ....................... 1 113,657 0.01
August 1, 2004 ..................... 1 40,126 0.00
September 1, 2004 .................. 2 208,590 0.02
October 1, 2004 .................... 1 260,674 0.03
January 1, 2005 .................... 1 115,657 0.01
February 1, 2005 ................... 1 373,395 0.04
March 1, 2005 ...................... 2 278,351 0.03
May 1, 2005 ........................ 10 1,705,411 0.19
June 1, 2005 ....................... 33 9,544,994 1.07
July 1, 2005 ....................... 144 36,520,096 4.11
August 1, 2005 ..................... 597 147,194,196 16.56
September 1, 2005 .................. 500 126,584,849 14.24
October 1, 2005 .................... 140 31,483,481 3.54
June 1, 2006 ....................... 5 1,659,264 0.19
July 1, 2006 ....................... 28 8,041,231 0.90
August 1, 2006 ..................... 141 43,062,686 4.84
September 1, 2006 .................. 131 34,526,663 3.88
October 1, 2006 .................... 45 9,657,950 1.09
March 1, 2008 ...................... 2 410,321 0.05
April 1, 2008 ...................... 4 872,482 0.10
May 1, 2008 ........................ 3 599,242 0.07
June 1, 2008 ....................... 29 6,685,073 0.75
July 1, 2008 ....................... 95 30,205,610 3.40
August 1, 2008 ..................... 227 81,734,164 9.19
September 1, 2008 .................. 69 21,425,906 2.41
October 1, 2008 .................... 9 1,859,250 0.21
July 1, 2010 ....................... 1 358,293 0.04
August 1, 2010 ..................... 10 2,872,688 0.32
September 1, 2010 .................. 2 637,371 0.07
August 1, 2013 ..................... 1 325,000 0.04
September 1, 2013 .................. 2 1,045,520 0.12
----- ------------ ------
Total ......................... 3,522 $889,004,734 100.00%
===== ============ ======
S-9
As of the Cut-off Date, the weighted average remaining months to the next
adjustment date of the Group 1 Loans will be approximately 25 months.
Gross Margin
Percentage of
Cut-off Date
Number of Aggregate Unpaid Aggregate
Range of Gross Margins (%) Group 1 Loans Principal Balance Principal Balance
- --------------------------------------- ------------- ----------------- -----------------
2.000 - 2.249 ......................... 10 $ 2,688,049 0.30%
2.250 - 2.499 ......................... 397 142,348,116 16.01
2.500 - 2.749 ......................... 83 23,397,088 2.63
2.750 - 2.999 ......................... 293 81,789,950 9.20
3.000 - 3.249 ......................... 699 186,148,790 20.94
3.250 - 3.499 ......................... 1,088 268,970,575 30.26
3.500 - 3.749 ......................... 270 67,197,109 7.56
3.750 - 3.999 ......................... 187 39,528,900 4.45
4.000 - 4.249 ......................... 87 18,954,610 2.13
4.250 - 4.499 ......................... 61 12,321,651 1.39
4.500 - 4.749 ......................... 50 8,787,262 0.99
4.750 - 4.999 ......................... 46 7,675,123 0.86
5.000 - 5.249 ......................... 46 8,031,723 0.90
5.250 - 5.499 ......................... 38 6,299,211 0.71
5.500 - 5.749 ......................... 20 2,165,962 0.24
5.750 - 5.999 ......................... 34 3,421,894 0.38
6.000 - 6.249 ......................... 20 1,649,436 0.19
6.250 - 6.499 ......................... 20 1,903,569 0.21
6.500 - 6.749 ......................... 11 710,511 0.08
6.750 - 6.999 ......................... 16 1,038,649 0.12
7.000 - 7.249 ......................... 17 1,578,164 0.18
7.250 - 7.499 ......................... 7 479,261 0.05
7.500 - 7.749 ......................... 6 525,614 0.06
7.750 - 7.999 ......................... 5 526,316 0.06
8.000 - 8.249 ......................... 2 246,299 0.03
8.250 - 8.499 ......................... 3 214,817 0.02
8.500 - 8.749 ......................... 1 38,459 0.00
8.750 - 8.999 ......................... 2 105,038 0.01
9.000 - 9.249 ......................... 1 80,987 0.01
9.250 - 9.499 ......................... 1 15,524 0.00
9.500 - 9.749 ......................... 1 166,077 0.02
----- ------------ ------
Total .............................. 3,522 $889,004,734 100.00%
===== ============ ======
As of the Cut-off Date, the weighted average Gross Margin of the Group 1
Loans will be approximately 3.187% per annum.
S-10
Maximum Mortgage Rate
Percentage of
Cut-off Date
Number of Aggregate Unpaid Aggregate
Range of Maximum Mortgage Rate (%) Group 1 Loans Principal Balance Principal Balance
- ---------------------------------------------- ------------- ----------------- -----------------
8.000- 8.499 ............................ 1 $ 336,000 0.04%
8.500- 8.999 ............................ 24 9,648,526 1.09
9.000- 9.499 ............................ 28 10,252,984 1.15
9.500- 9.999 ............................ 115 40,045,726 4.50
10.000- 10.499 ............................ 274 80,940,134 9.10
10.500- 10.999 ............................ 672 198,095,504 22.28
11.000- 11.499 ............................ 532 145,622,985 16.38
11.500- 11.999 ............................ 556 154,553,244 17.38
12.000- 12.499 ............................ 245 61,649,195 6.93
12.500- 12.999 ............................ 286 63,503,886 7.14
13.000- 13.499 ............................ 128 24,470,112 2.75
13.500- 13.999 ............................ 133 25,574,705 2.88
14.000- 14.499 ............................ 86 15,588,668 1.75
14.500- 14.999 ............................ 129 22,855,504 2.57
15.000- 15.499 ............................ 93 14,800,663 1.66
15.500- 15.999 ............................ 97 11,434,602 1.29
16.000- 16.499 ............................ 32 3,016,668 0.34
16.500- 16.999 ............................ 34 3,419,781 0.38
17.000- 17.499 ............................ 18 1,003,196 0.11
17.500- 17.999 ............................ 16 1,103,134 0.12
18.000- 18.499 ............................ 7 262,974 0.03
18.500- 18.999 ............................ 5 299,538 0.03
19.000- 19.499 ............................ 1 64,096 0.01
19.500- 19.999 ............................ 4 142,846 0.02
20.000 or greater ............................ 6 320,062 0.04
----- ------------ ------
Total ..................................... 3,522 $889,004,734 100.00%
===== ============ ======
As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the
Group 1 Loans will be approximately 11.599% per annum.
S-11
Initial Fixed-Rate Period
Percentage of
Cut-off Date
Number of Aggregate Unpaid Aggregate
Initial Fixed-Rate Period Group 1 Loans Principal Balance Principal Balance
- --------------------------------------------- ------------- ----------------- -----------------
One Month ................................... 6 $ 549,429 0.06%
Six Months .................................. 948 240,046,568 27.00
One Year .................................... 4 267,706 0.03
Two Years ................................... 1,699 393,661,829 44.28
Three Years ................................. 404 104,144,353 11.71
Five Years .................................. 445 145,095,976 16.32
Seven Years ................................. 13 3,868,352 0.44
Ten Years ................................... 3 1,370,520 0.15
----- ------------ ------
Total .................................. 3,522 $889,004,734 100.00%
===== ============ ======
Initial Rate Cap
Percentage of
Cut-off Date
Number of Aggregate Unpaid Aggregate
Initial Rate Cap Group 1 Loans Principal Balance Principal Balance
- --------------------------------------------- ------------- ----------------- -----------------
0.00 ........................................ 6 $ 549,429 0.06%
1.00 ........................................ 904 235,031,382 26.44
1.50 ........................................ 66 6,435,785 0.72
2.00 ........................................ 15 2,699,461 0.30
3.00 ........................................ 2,202 530,531,981 59.68
5.00 ........................................ 196 65,913,223 7.41
6.00 ........................................ 133 47,843,474 5.38
----- ------------ ------
Total .................................. 3,522 $889,004,734 100.00%
===== ============ ======
Periodic Rate Cap
Percentage of
Cut-off Date
Number of Aggregate Unpaid Aggregate
Periodic Rate Cap Group 1 Loans Principal Balance Principal Balance
- --------------------------------------------- ------------- ----------------- -----------------
0.00 ........................................ 6 $ 549,429 0.06%
1.00 ........................................ 3,274 838,523,432 94.32
1.50 ........................................ 118 14,214,536 1.60
2.00 ........................................ 124 35,717,338 4.02
----- ------------ ------
Total .................................. 3,522 $889,004,734 100.00%
===== ============ ======
S-12
Original Loan-to-Value Ratios
Percentage of
Cut-off Date
Number of Aggregate Unpaid Aggregate
Original Loan-to-Value Ratios (%) Group 1 Loans Principal Balance Principal Balance
- --------------------------------------- ------------- ----------------- -----------------
0.01- 20.00 ......................... 1 $ 82,944 0.01%
20.01- 25.00 ......................... 3 314,828 0.04
25.01- 30.00 ......................... 8 1,760,888 0.20
30.01- 35.00 ......................... 13 3,423,689 0.39
35.01- 40.00 ......................... 19 4,282,434 0.48
40.01- 45.00 ......................... 25 4,722,465 0.53
45.01- 50.00 ......................... 41 10,512,842 1.18
50.01- 55.00 ......................... 46 12,207,888 1.37
55.01- 60.00 ......................... 75 18,134,257 2.04
60.01- 65.00 ......................... 133 38,771,414 4.36
65.01- 70.00 ......................... 388 111,503,685 12.54
70.01- 75.00 ......................... 186 46,845,479 5.27
75.01- 80.00 ......................... 1,607 436,651,067 49.12
80.01- 85.00 ......................... 85 21,408,495 2.41
85.01- 90.00 ......................... 569 115,926,819 13.04
90.01- 95.00 ......................... 304 59,285,943 6.67
95.01- 100.00 ......................... 19 3,169,598 0.36
----- ------------ ------
Total ................................. 3,522 $889,004,734 100.00%
===== ============ ======
The minimum and maximum loan-to-value ratios of the Group 1 Loans at
origination were approximately 20.00% and 100.00%, respectively, and the
weighted average of the loan-to-value ratios of the Group 1 Loans at origination
was approximately 78.00%.
Occupancy Types
Percentage of
Cut-off Date
Number of Aggregate Unpaid Aggregate
Occupancy Type Group 1 Loans Principal Balance Principal Balance
- --------------------------------------- ------------- ----------------- -----------------
Owner Occupied ........................ 2,929 $762,288,936 85.75%
Investor .............................. 520 109,153,212 12.28
Second Home ........................... 73 17,562,586 1.98
----- ------------ ------
Total ......................... 3,522 $889,004,734 100.00%
===== ============ ======
Occupancy type is based on the representation of the borrower at the time
of origination.
S-13
Mortgage Loan Program and Documentation Type
Percentage of
Cut-off Date
Number of Aggregate Unpaid Aggregate
Loan Program and Documentation Type Group 1 Loans Principal Balance Principal Balance
- ------------------------------------------------- ------------- ----------------- -----------------
Progressive Series Program (Limited
(Stated) Documentation) ......................... 1,456 $400,270,309 45.02%
Progressive Series Program
(Full Documentation) ............................ 734 186,936,195 21.03
Progressive Express(TM) Program
(Non Verified Assets) ........................... 604 129,489,428 14.57
Progressive Express(TM) Program
(Verified Assets) ............................... 428 105,327,101 11.85
Progressive Express(TM) No Doc
Program (No Documentation) ...................... 229 53,724,435 6.04
Progressive Express(TM) Program No Doc
Program (Verified Assets) ....................... 47 10,796,180 1.21
Progressive Series Program (Lite/Reduced
Documentation SE)) .............................. 11 742,875 0.08
Progressive Series Program (No Ratio) ........... 6 486,866 0.05
Progressive Series Program (Alternative
Documentation) .................................. 4 467,808 0.05
Progressive Express(TM) Program (Express
Self-Employed) .................................. 1 385,000 0.04
Progressive Series Program (Full
Income/Stated Assets Documentation) ............. 1 359,567 0.04
Progressive Series Program (No Income/No
Assets Documentation) ........................... 1 18,970 0.00
----- ------------ ------
Total ................................... 3,522 $889,004,734 100.00%
===== ============ ======
See "--Underwriting Standards" below for a detailed description of the
Seller's loan programs and documentation requirements.
S-14
Risk Categories
Percentage of
Cut-off Date
Number of Aggregate Unpaid Aggregate
Credit Grade Group 1 Loans Principal Balance Principal Balance
- --------------------------------------------- ------------- ----------------- -----------------
A+(1) ....................................... 1,484 $435,363,665 48.97%
A (1) ....................................... 656 178,612,558 20.09
A-(1) ....................................... 156 24,889,157 2.80
B ........................................... 52 3,921,765 0.44
C(1) ........................................ 24 1,441,309 0.16
CX(1) ....................................... 15 793,503 0.09
Progressive Express(TM)I(2) ................. 549 122,077,594 13.73
Progressive Express(TM)II(2) ................ 475 100,261,649 11.28
Progressive Express(TM)III(2) ............... 49 9,003,868 1.01
Progressive Express(TM)IV(2) ................ 36 8,090,213 0.91
Progressive Express(TM)V(2) ................. 17 3,154,599 0.35
Progressive Express(TM)VI(2) ................ 9 1,394,854 0.16
----- ------------ ------
Total .................................... 3,522 $889,004,734 100.00%
===== ============ ======
- ----------
(1) All of these Group 1 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, C and CX correspond to Progressive Series I+, I and II, III and
III+, IV, V, and VI, respectively. All of the Seasoned Mortgage Loans in Loan
Group 1 have been assigned credit grades by Impac Funding. 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.
(2) These Group 1 Loans were originated under the Seller's Progressive
Express(TM) Program. The underwriting for these Group 1 Loans is generally based
on the borrower's "FICO" score and therefore these Group 1 Loans do not
correspond to the alphabetical risk categories listed above.
See "--Underwriting Standards" below for a description of the Seller's
risk categories.
S-15
Property Types
Percentage of
Cut-off Date
Number of Aggregate Unpaid Aggregate
Property Type Group 1 Loans Principal Balance Principal Balance
- ------------------------------------------------ ------------- ----------------- -----------------
Single-Family .................................. 2,295 $577,122,162 64.92%
De Minimis PUD ................................. 416 120,477,044 13.55
Condominium .................................... 471 101,570,734 11.43
Planned Unit Development ....................... 162 42,157,068 4.74
Two-Family ..................................... 84 22,220,996 2.50
Four-Family .................................... 36 12,304,283 1.38
Three-Family ................................... 34 7,593,667 0.85
Hi-Rise Condo .................................. 22 5,024,830 0.57
Townhouse ...................................... 2 533,950 0.06
----- ------------ ------
Total ....................................... 3,522 $889,004,734 100.00%
===== ============ ======
Geographic Distribution of Mortgaged Properties
Percentage of
Cut-off Date
Number of Aggregate Unpaid Aggregate
State Group 1 Loans Principal Balance Principal Balance
- ------------------------------------------------ ------------- ----------------- -----------------
California ..................................... 2,111 $631,431,347 71.03%
Florida ........................................ 364 66,143,903 7.44
Other (less than 3% in any one state) .......... 1,047 191,429,485 21.53
----- ------------ ------
Total ....................................... 3,522 $889,004,734 100.00%
===== ============ ======
No more than approximately 0.57% of the Group 1 Loans (by aggregate
outstanding principal balance as of the Cut-off Date) are secured by mortgaged
properties located in any one zip code.
Loan Purposes
Percentage of
Cut-off Date
Number of Aggregate Unpaid Aggregate
Loan Purpose Group 1 Loans Principal Balance Principal Balance
- ------------------------------------------------ ------------- ----------------- -----------------
Purchase ...................................... 2,147 $531,631,815 59.80%
Cash-Out Refinance ............................ 954 236,711,602 26.63
Rate and Term Refinance ....................... 421 120,661,317 13.57
----- ------------ ------
Total ...................................... 3,522 $889,004,734 100.00%
===== ============ ======
S-16
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.
Loan Group 2
The Group 2 Loans had an aggregate principal balance as of the Cut-off
Date of approximately $110,995,333, after application of scheduled payments due
on or before the Cut-off Date, whether or not received. All of the Group 2 Loans
are secured by first liens on the related mortgaged property.
The average principal balance of the Group 2 Loans at origination was
approximately $198,611. No Group 2 Loan had a principal balance at origination
of greater than approximately $1,790,000 or less than approximately $10,000. The
average principal balance of the Group 2 Loans as of the Cut-off Date was
approximately $197,501. No Group 2 Loan had a principal balance as of the
Cut-off Date of greater than approximately $1,786,341 or less than approximately
$4,143.
As of the Cut-off Date, the Group 2 Loans had mortgage rates ranging from
approximately 5.125% per annum to approximately 16,990% per annum and the
weighted average mortgage rate was approximately 6.700% per annum. The weighted
average remaining term to stated maturity of the Group 2 Loans was approximately
346 months as of the Cut-off Date. None of the Group 2 Loans will have a first
Due Date prior to June 1, 1995, or after November 1, 2003, or will have a
remaining term to maturity of less than 8 months or greater than 360 months as
of the Cut-off Date. The latest maturity date of any Group 2 Loan is October 1,
2033.
Approximately 8.75% of the Group 2 Loans have initial interest only
periods of five years.
The loan-to-value ratio of a mortgage loan secured by a first lien is
equal to the ratio, expressed as a percentage, of the principal amount of the
loan at origination, to the lesser of the appraised value of the related
mortgaged property at the time of origination and the sales price. The weighted
average of the loan-to-value ratios at origination of the Group 2 Loans was
approximately 72.88%. No loan-to-value ratio at origination of any Group 2 Loan
was greater than approximately 132.30% or less than approximately 20.14%.
Approximately 1.49% of the Group 2 Loans (by aggregate outstanding
principal balance as of the Cut-off Date), are High CLTV Loans.
Some of the High CLTV Loans will include provisions allowing the related
borrower to substitute the related mortgaged property. The Servicing Agreement
provides that this substitution will only be permitted if the following
requirements are met:
o the combined loan-to-value ratio of the High CLTV Loan after such
substitution must be less than or equal to the combined loan-to-value ratio
prior to such substitution,
o the loan-to-value ratio of the obligation secured by a first lien on the
new mortgaged property must be less than or equal to the loan-to-value ratio of
the obligation secured by a first lien on the released mortgaged property at the
time such High CLTV Loan was originated, and
S-17
o both the released and the new mortgaged property must be a single-family
owner occupied property.
In addition, the Servicing Agreement will provide that with respect to any
High CLTV Loan the Master Servicer may allow the refinancing of a senior lien on
the related mortgaged property, provided that certain requirements are met,
including, except under certain limited circumstances, that the resulting
combined loan-to-value ratio of such High CLTV Loan is no higher than the
combined loan-to-value ratio prior to such refinancing and the interest rate on
the refinancing senior loan is no higher than the interest rate on the
refinanced senior loan.
Approximately 0.55% 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 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 137 months.
None of the Group 2 Loans are buydown mortgage loans.
None of the Group 2 Loans will be a "high-cost home loan" as defined in
the Georgia Fair Lending Act, in New York Predatory Lending Law, codified as
N.Y. Banking Law ss.6-I, N.Y. Gen. Bus. Law ss.771-a, and N.Y. Real Prop. Acts
Law ss.1302, in the Arkansas Home Loan Protection Act or in the Kentucky Revised
Statutes ss.360.100.
None of the Group 2 Loans will be subject to the Home Ownership and Equity
Protection Act of 1994 or any comparable state law.
Approximately 65.48% of the Group 2 Loans provide for prepayment charges.
Approximately 14.88% and 2.33% of the Group 2 Loans are covered by a
Primary Insurance Policy and the Radian Lender-Paid PMI Policy, respectively.
For the Group 2 Loans, the weighted average of the Radian PMI Rates for the
mortgage loans covered by the Radian Lender-Paid PMI Policy is approximately
0.879% per annum.
Set forth below is a description of certain additional characteristics of
the Group 2 Loans as of the Cut-off Date, except as otherwise indicated. All
percentages of the Group 2 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.
S-18
Principal Balances at Origination
Percentage of
Cut-off Date
Original Group 2 Loan Principal Number of Aggregate Unpaid Aggregate
Balances ($) Group 2 Loans Principal Balance Principal Balance
- ------------------------------------------- ------------- ----------------- -----------------
0.01 - 50,000.00 ............... 90 $ 2,353,792 2.12%
50,000.01 - 100,000.00 ............... 79 6,154,394 5.54
100,000.01 - 150,000.00 ............... 100 12,586,470 11.34
150,000.01 - 200,000.00 ............... 88 15,383,768 13.86
200,000.01 - 250,000.00 ............... 65 14,395,394 12.97
250,000.00 - 300,000.00 ............... 41 11,214,548 10.10
300,000.00 - 350,000.00 ............... 22 7,096,993 6.39
350,000.00 - 400,000.00 ............... 22 8,230,814 7.42
400,000.00 - 450,000.00 ............... 12 5,058,240 4.56
450,000.00 - 500,000.00 ............... 15 7,210,705 6.50
500,000.00 - 550,000.00 ............... 4 2,089,264 1.88
550,000.01 - 600,000.00 ............... 6 3,499,311 3.15
600,000.01 - 650,000.00 ............... 6 3,872,136 3.49
650,000.01 - 700,000.00 ............... 1 670,752 0.60
700,000.01 - 750,000.00 ............... 2 1,492,646 1.34
750,000.01 - 800,000.00 ............... 1 787,445 0.71
800,000.01 - 850,000.00 ............... 2 1,680,591 1.51
850,000.01 - 900,000.00 ............... 1 884,076 0.80
900,000.01 - 950,000.00 ............... 1 913,562 0.82
950,000.01 - 1,000,000.00 ............... 1 989,958 0.89
1,100,000.01 - 1,150,000.00 ............... 1 1,146,788 1.03
1,450,000.01 - 1,500,000.00 ............... 1 1,497,346 1.35
1,750,000.01 - 1,800,000.00 ............... 1 1,786,341 1.61
--- ------------ ------
Total ................................ 562 $110,995,333 100.00%
=== ============ ======
The average principal balance of the Group 2 Loans at origination was
approximately $198,611.
S-19
Principal Balances as of the Cut-off Date
Percentage of
Cut-off Date
Current Group 2 Loan Principal Number of Aggregate Unpaid Aggregate
Balances ($) Group 2 Loans Principal Balance Principal Balance
- ------------------------------------------------ ------------- ----------------- -----------------
0.01 - 50,000.00 .................... 91 $ 2,400,611 2.16%
50,000.01 - 100,000.00 .................... 78 6,107,575 5.50
100,000.01 - 150,000.00 .................... 101 12,733,244 11.47
150,000.01 - 200,000.00 .................... 87 15,236,994 13.73
200,000.01 - 250,000.00 .................... 65 14,395,394 12.97
250,000.01 - 300,000.00 .................... 41 11,214,548 10.10
300,000.01 - 350,000.00 .................... 22 7,096,993 6.39
350,000.01 - 400,000.00 .................... 22 8,230,814 7.42
400,000.01 - 450,000.00 .................... 12 5,058,240 4.56
450,000.01 - 500,000.00 .................... 15 7,210,705 6.50
500,000.01 - 550,000.00 .................... 4 2,089,264 1.88
550,000.01 - 600,000.00 .................... 6 3,499,311 3.15
600,000.01 - 650,000.00 .................... 6 3,872,136 3.49
650,000.01 - 700,000.00 .................... 1 670,752 0.60
700,000.01 - 750,000.00 .................... 2 1,492,646 1.34
750,000.01 - 800,000.00 .................... 1 787,445 0.71
800,000.01 - 850,000.00 .................... 2 1,680,591 1.51
850,000.01 - 900,000.00 .................... 1 884,076 0.80
900,000.01 - 950,000.00 .................... 1 913,562 0.82
950,000.01 - 1,000,000.00 .................... 1 989,958 0.89
1,100,000.01 - 1,150,000.00 .................... 1 1,146,788 1.03
1,450,000.01 - 1,500,000.00 .................... 1 1,497,346 1.35
1,750,000.01 - 1,800,000.00 .................... 1 1,786,341 1.61
--- ------------ ------
Total ..................................... 562 $110,995,333 100.00%
=== ============ ======
As of the Cut-off Date, the average current principal balance of the Group
2 Loans will be approximately $197,501.
S-20
Mortgage Rates
Percentage of
Cut-off Date
Number of Aggregate Unpaid Aggregate
Mortgage Rates (%) Group 2 Loans Principal Balance Principal Balance
- -------------------------------- ------------- ----------------- -----------------
5.000- 5.499 .................. 19 $ 5,841,654 5.26%
5.500- 5.999 .................. 86 28,362,285 25.55
6.000- 6.499 .................. 87 22,103,656 19.91
6.500- 6.999 .................. 133 28,016,352 25.24
7.000- 7.499 .................. 49 9,502,203 8.56
7.500- 7.999 .................. 44 6,743,895 6.08
8.000- 8.499 .................. 20 3,655,865 3.29
8.500- 8.999 .................. 18 2,843,561 2.56
9.000- 9.499 .................. 4 488,522 0.44
9.500- 9.999 .................. 3 526,691 0.47
11.500- 11.999 .................. 3 121,887 0.11
12.000- 12.499 .................. 2 61,647 0.06
12.500- 12.999 .................. 11 278,241 0.25
13.000- 13.499 .................. 4 138,818 0.13
13.500- 13.999 .................. 27 756,495 0.68
14.000- 14.499 .................. 17 421,122 0.38
14.500- 14.999 .................. 17 570,548 0.51
15.000- 15.499 .................. 9 279,464 0.25
15.500- 15.999 .................. 7 264,586 0.24
16.000- 16.499 .................. 1 13,699 0.01
16.500- 16.999 .................. 1 4,143 0.00
--- ------------ ------
Total ..................... 562 $110,995,333 100.00%
=== ============ ======
S-21
Original Loan-to-Value Ratios or Combined Loan-to-Value Ratios
Percentage of
Cut-off Date
Original Loan-to-Value Ratios or Number of Aggregate Unpaid Aggregate
Combined Loan-to-Value Ratios (%) Group 2 Loans Principal Balance Principal Balance
- ---------------------------------------------- ------------- ----------------- -----------------
20.01 - 25.00 .............................. 2 $ 1,141,995 1.03%
25.01 - 30.00 .............................. 6 729,803 0.66
30.01 - 35.00 .............................. 7 1,128,860 1.02
35.01 - 40.00 .............................. 8 1,167,950 1.05
40.01 - 45.00 .............................. 9 3,403,249 3.07
45.01 - 50.00 .............................. 11 1,516,428 1.37
50.01 - 55.00 .............................. 12 3,594,254 3.24
55.01 - 60.00 .............................. 27 9,270,628 8.35
60.01 - 65.00 .............................. 33 9,406,224 8.47
65.01 - 70.00 .............................. 75 19,731,529 17.78
70.01 - 75.00 .............................. 24 5,819,163 5.24
75.01 - 80.00 .............................. 138 32,161,870 28.98
80.01 - 85.00 .............................. 13 1,727,946 1.56
85.01 - 90.00 .............................. 57 9,427,311 8.49
90.01 - 95.00 .............................. 49 7,555,971 6.81
95.01 - 100.00 .............................. 36 1,555,177 1.40
100.01 - 105.00 .............................. 4 89,301 0.08
105.01 - 110.00 .............................. 2 73,853 0.07
110.01 - 115.00 .............................. 9 248,822 0.22
115.01 - 120.00 .............................. 9 328,908 0.30
120.01 - 125.00 .............................. 30 886,008 0.80
130.01 - 135.00 .............................. 1 30,082 0.03
--- ------------ ------
Total ................................... 562 $110,995,333 100.00%
=== ============ ======
The minimum and maximum loan-to-value ratios or combined loan-to-value
ratios of the Group 2 Loans at origination were approximately 20.14% and
132.30%, respectively, and the weighted average of the loan-to-value ratios or
combined loan-to-value ratios of the Group 2 Loans at origination was
approximately 72.88%.
S-22
Occupancy Types
Percentage of
Cut-off Date
Number of Aggregate Unpaid Aggregate
Occupancy Type Group 2 Loans Principal Balance Principal Balance
- --------------------------------------- ------------- ----------------- -----------------
Owner Occupied ........................ 453 $ 87,979,280 79.26%
Investor .............................. 99 20,308,923 18.30
Second Home ........................... 10 2,707,130 2.44
--- ------------ ------
Total ............................ 562 $110,995,333 100.00%
=== ============ ======
Occupancy type is based on the representation of the borrower at the time
of origination.
Mortgage Loan Program and Documentation Type
Percentage of
Cut-off Date
Number of Aggregate Unpaid Aggregate
Loan Program and Documentation Type Group 2 Loans Principal Balance Principal Balance
- -------------------------------------------------- ------------- ----------------- -----------------
Progressive Series Program (Limited
(Stated) Documentation) .......................... 176 $ 39,194,696 35.31%
Progressive Series Program
(Full Documentation) ............................. 156 25,389,451 22.87
Progressive Express(TM)Program
(Non Verified Assets) ............................ 86 20,713,619 18.66
Progressive Express(TM)No Doc
Program (No Documentation) ....................... 82 14,318,813 12.90
Progressive Express(TM)Program
(Verified Assets) ................................ 49 9,488,802 8.55
Progressive Express(TM)Program No Doc
Program (Verified Assets) ........................ 4 851,370 0.77
Progressive Series Program (Lite/Reduced
Documentation SE)) ............................... 2 802,673 0.72
Progressive Series Program (Alternative
Documentation) ................................... 7 235,910 0.21
--- ------------ ------
Total ....................................... 562 $110,995,333 100.00%
=== ============ ======
See "--Underwriting Standards" below for a detailed description of the
Seller's loan programs and documentation requirements.
S-23
Risk Categories
Percentage of
Cut-off Date
Number of Aggregate Unpaid Aggregate
Credit Grade Group 2 Loans Principal Balance Principal Balance
- -------------------------------------------- ------------- ----------------- -----------------
A+(1) ...................................... 243 $ 65,504,246 59.02%
A(1) ....................................... 191 27,948,014 25.18
A-(1) ...................................... 27 2,187,472 1.97
B(1) ....................................... 1 20,369 0.02
Progressive ExpressTM I(2) ................. 45 6,746,496 6.08
Progressive ExpressTM II(2) ................ 50 7,884,238 7.10
Progressive ExpressTM III(2) ............... 1 239,627 0.22
Progressive ExpressTM IV(2) ................ 2 177,113 0.16
Progressive ExpressTM V(2) ................. 2 287,759 0.26
--- ------------ ------
Total ................................. 562 $110,995,333 100.00%
=== ============ ======
(1) All of these Group 1 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 Seasoned Mortgage Loans in Loan Group
1 have been assigned credit grades by Impac Funding. 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.
(2) These Group 2 Loans were originated under the Seller's Progressive
Express(TM) Program. The underwriting for these Group 2 Loans is generally based
on the borrower's "FICO" score and therefore these Group 2 Loans do not
correspond to the alphabetical risk categories listed above.
See "--Underwriting Standards" below for a description of the Seller's
risk categories.
S-24
Property Types
Percentage of
Cut-off Date
Number of Aggregate Unpaid Aggregate
Property Type Group 2 Loans Principal Balance Principal Balance
- ------------------------------------------- ------------- ----------------- -----------------
Single Family ............................. 396 $ 74,790,774 67.38%
De Minimis PUD ............................ 44 9,398,272 8.47
Two-Family ................................ 32 8,389,798 7.56
Condominium ............................... 40 5,810,709 5.24
Planned Unit Development .................. 22 5,029,289 4.53
Four-Family ............................... 14 4,315,759 3.89
Three-Family .............................. 11 2,948,559 2.66
Hi-Rise Condo ............................. 3 312,172 0.28
--- ------------ ------
Total ................................ 562 $110,995,333 100.00%
=== ============ ======
Geographic Distribution of Mortgaged Properties
Percentage of
Cut-off Date
Number of Aggregate Unpaid Aggregate
State Group 2 Loans Principal Balance Principal Balance
- ------------------------------------------- ------------- ----------------- -----------------
California ................................ 250 $ 60,450,213 54.46%
New York .................................. 38 10,871,914 9.79
Florida ................................... 75 9,712,036 8.75
Hawaii .................................... 10 5,745,516 5.18
Other (less than 3% in any one state) ..... 189 24,215,654 21.82
--- ------------ ------
Total ................................ 562 $110,995,333 100.00%
=== ============ ======
No more than approximately 1.61% of the Group 2 Loans (by aggregate
outstanding principal balance as of the Cut-off Date) are secured by mortgaged
properties located in any one zip code.
Loan Purposes
Percentage of
Cut-off Date
Number of Aggregate Unpaid Aggregate
Loan Purpose Group 2 Loans Principal Balance Principal Balance
- ------------------------------------------- ------------- ----------------- -----------------
Cash-Out Refinance ........................ 216 $ 47,013,007 42.36%
Purchase .................................. 223 43,638,412 39.32
Rate and Term Refinance ................... 68 18,661,809 16.81
Debt Consolidation ........................ 55 1,682,104 1.52
--- ------------ ------
Total ................................ 562 $110,995,333 100.00%
=== ============ ======
S-25