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 Cut-off Date.
The mortgage pool will consist of conventional, one- to four-family,
fixed-rate, fully-amortizing and balloon payment mortgage loans secured by first
liens on mortgaged properties. The mortgage loans will have original terms to
maturity of not greater than 30 years. The mortgage pool will include the
initial mortgage loans and the subsequent mortgage loans. The initial mortgage
loans will be the mortgage loans deposited into the trust on the Closing Date.
The subsequent mortgage loans will be purchased with amounts on deposit in the
pre-funding account described in the prospectus supplement.
The Seller will convey the initial mortgage loans to the company on the
Closing Date pursuant to the Mortgage Loan Purchase Agreement, and the
subsequent mortgage loans pursuant to the subsequent mortgage loan purchase
agreement. The company will convey the initial mortgage loans to the trust on
the Closing Date pursuant to the Agreement. The company will convey the
subsequent mortgage loans to the trust during the Funding Period with amounts on
deposit in the Pre-Funding Account pursuant to the Subsequent Transfer
Instrument. The Seller will make certain representations and warranties with
respect to the mortgage loans in the Mortgage Loan Purchase Agreement and with
respect to the subsequent mortgage loans in the subsequent mortgage loan
purchase agreement. These representations and warranties will be 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 a mortgage loan,
Impac Holdings will be required to do so. 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 the prospectus
supplement. SEE "--UNDERWRITING" IN THE PROSPECTUS SUPPLEMENT.
Substantially all of the mortgage loans will initially be subserviced
by Countrywide Home Loans Servicing LP. The subservicing with respect to
substantially all of the mortgage loans will be transferred to GMAC Mortgage
Corporation or an affiliate thereof on or about July 28, 2004, as described
herein under "Pooling and Servicing Agreement--The Subservicers."
All of the mortgage loans have scheduled monthly payments due on the
Due Date. Each mortgage loan will contain a customary "due-on-sale" clause.
Certain of the mortgage loans will have their first scheduled monthly
payments due in July 2004. As to those mortgage loans, no principal amortization
payments will be distributed (unless prepayments are received thereon) until the
distribution date occurring in July 2004, the month in which the first scheduled
monthly payment is due. However, on the Closing Date, cash will be deposited in
the Certificate Account in an amount equal to one month's interest accrued from
May 1, 2004 (at the related mortgage rates) on such
1
mortgage loans, to be remitted to the Trustee for distribution on the
distribution date occurring in June 2004, the month prior to the month in which
the first scheduled monthly payment is due on such mortgage loans. In addition,
the Seller will be required to cover any interest shortfalls as a result of the
pre-funding feature as provided in the Agreement.
PREPAYMENT CHARGES
Approximately 60.69% of the mortgage loans 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 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. 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 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 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.
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
90.01% 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 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 22.00% of the Allowable Claim and (B) 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
2
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 for
the mortgage loans range from 0.210% to 1.490% of the Stated Principal Balance
of the related Radian PMI Insured Loan and the Radian PMI Rates for the mortgage
loans have a weighted average of approximately 0.907%.
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 statistical information included herein with respect to the
mortgage loans is based on a pool of 996 mortgage loans with an aggregate
principal balance as of the Cut-off Date of approximately $200,001,706, after
application of scheduled payments due on or before the Cut-off Date whether or
not received. 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 Cut-off Date.
The average principal balance of the mortgage loans at origination was
approximately $201,016. No mortgage loan had a principal balance at origination
of greater than approximately $1,404,000 or less than approximately $22,900. The
average principal balance of the mortgage loans as of the Cut-off Date was
approximately $200,805. No mortgage loan had a principal balance as of the
Cut-off Date of greater than approximately $1,402,569 or less than approximately
$22,872.
As of the Cut-off Date, the mortgage loans had mortgage rates ranging
from approximately 5.750% per annum to approximately 10.625% per annum and the
weighted average mortgage rate was approximately 6.647% per annum. The weighted
average remaining term to stated maturity of the mortgage loans will be
approximately 352 months as of the Cut-off Date. None of the mortgage loans will
have a first Due Date prior to August 1, 2003 or after August 1, 2004, or will
have a remaining term to stated maturity of less than 174 months or greater than
360 months as of the Cut-off Date. The latest maturity date of any mortgage loan
is July 1, 2034.
The weighted average loan-to-value ratio at origination of the mortgage
loans was approximately 75.01%. No loan-to-value ratio at origination was
greater than approximately 100.00% or less than approximately 5.01%.
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
3
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 51.95% 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 Mezzanine
Certificates" in this prospectus supplement.
Approximately 8.48% and 3.11% of the mortgage loans, by aggregate
outstanding principal balance of the mortgage loans as of the cut-off date, have
initial interest only periods of five years and ten years, respectively.
None of the mortgage loans are buydown mortgage loans.
None of the 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 mortgage loans as of the Cut-off Date, except as otherwise indicated. All
percentages of the 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.
4
MORTGAGE LOAN PROGRAMS(1)
WEIGHTED
PERCENTAGE OF AVERAGE
AGGREGATE CUT-OFF DATE WEIGHTED REMAINING WEIGHTED WEIGHTED
NUMBER OF UNPAID AGGREGATE AVERAGE TERM TO AVERAGE AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL AVERAGE GROSS MATURITY CREDIT ORIGINAL
LOAN PROGRAM LOANS BALANCE BALANCE BALANCE WAC IN MONTHS SCORE LTV
- ------------------- ----- ---------- ------ -------- ----- --------- ----- ------
15 Yr Fixed .. 49 $ 7,311,655 3.66% $ 149,217 6.526 178.30 666 69.3%
20 Yr Fixed .. 3 547,073 0.27 182,358 6.176 239.21 723 81.4
25 Yr Fixed .. 1 365,492 0.18 365,492 6.250 299.00 622 55.9
30 Yr Fixed .. 851 168,596,190 84.30 198,115 6.665 358.89 691 75.1
30 Yr Fixed IO 92 23,181,297 11.59 251,971 6.572 359.69 705 76.1
Total ........ 996 $200,001,706 100.00% $ 200,805 6.647 351.94 692 75.0%
______________________
(1) A mortgage loan with a loan program of "15 Yr Fixed", "20 Yr Fixed", "25 Yr
Fixed" and "30 Yr Fixed" is a fixed rate loan with a term of 15, 20, 25 and 30
years, respectively. A mortgage loan with a loan program including the term "IO"
has an interest only period.
5
PRINCIPAL BALANCES AT ORIGINATION
WEIGHTED
PERCENTAGE OF AVERAGE
AGGREGATE CUT-OFF DATE WEIGHTED REMAINING WEIGHTED WEIGHTED
ORIGINAL NUMBER OF UNPAID AGGREGATE AVERAGE TERM TO AVERAGE AVERAGE
MORTGAGE LOAN MORTGAGE PRINCIPAL PRINCIPAL AVERAGE GROSS MATURITY CREDIT ORIGINAL
PRINCIPAL BALANCES($) LOANS BALANCE BALANCE BALANCE WAC IN MONTHS SCORE LTV
- ------------------- ----- ---------- ------ ------- ----- --------- ----- ------
0.01 - 50,000.00 .... 8 $ 328,903 0.16 $ 41,113 7.52 336.64 685 71.7%
50,000.01 - 100,000.00 .... 183 14,296,229 7.15 78,121 7.08 340.74 686 75.7
100,000.01 - 150,000.00 .... 254 31,544,996 15.77 124,193 6.83 347.98 687 77.3
150,000.01 - 200,000.00 .... 167 28,840,583 14.42 172,698 6.68 352.29 681 75.0
200,000.01 - 250,000.00 .... 129 29,036,857 14.52 225,092 6.65 349.07 689 74.7
250,000.01 - 300,000.00 .... 87 23,812,493 11.91 273,707 6.53 352.84 689 75.9
300,000.01 - 350,000.00 .... 50 16,342,015 8.17 326,840 6.45 356.78 703 77.3
350,000.01 - 400,000.00 .... 40 14,989,690 7.49 374,742 6.52 357.45 705 74.0
400,000.01 - 450,000.00 .... 20 8,587,426 4.29 429,371 6.46 358.94 703 73.3
450,000.01 - 500,000.00 .... 22 10,464,605 5.23 475,664 6.60 359.09 698 72.2
500,000.01 - 550,000.00 .... 14 7,316,272 3.66 522,591 6.33 359.01 710 71.0
550,000.01 - 600,000.00 .... 12 6,906,514 3.45 575,543 6.66 359.42 681 76.6
600,000.01 - 650,000.00 .... 6 3,790,452 1.90 631,742 6.58 329.60 693 70.1
650,000.01 - 700,000.00 .... 1 693,000 0.35 693,000 7.25 360.00 748 79.9
700,000.01 - 750,000.00 .... 1 750,000 0.37 750,000 5.87 359.00 664 47.6
850,000.01 - 900,000.00 .... 1 899,104 0.45 899,104 6.00 359.00 657 75.0
1,400,000.01 - 1,450,000.00 .... 1 1,402,569 0.70 1,402,569 5.87 359.00 743 62.4
--- ------------ ------ ---------- ---- ------ --- ----
Total ...................... 996 $200,001,706 100.00% $ 200,805 6.64 351.94 692 75.0%
=== ============ ====== ========== ==== ====== === ====
The average principal balance of the mortgage loans at origination was
approximately $201,016.
67
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE
WEIGHTED
PERCENTAGE OF AVERAGE
AGGREGATE CUT-OFF DATE WEIGHTED REMAINING WEIGHTED WEIGHTED
NUMBER OF UNPAID AGGREGATE AVERAGE TERM TO AVERAGE AVERAGE
CURRENT MORTGAGE LOAN MORTGAGE PRINCIPAL PRINCIPAL AVERAGE GROSS MATURITY CREDIT ORIGINAL
PRINCIPAL BALANCES($) LOANS BALANCE BALANCE BALANCE WAC IN MONTHS SCORE LTV
- --------------------- ----- ---------- ------ ------- ----- --------- ----- ------
0.01 - 50,000.00 .... 8 $ 328,903 0.16% $ 41,113 7.526 336.64 685 71.7%
50,000.01 - 100,000.00 .... 183 14,296,229 7.15 78,121 7.081 340.74 686 75.7
100,000.01 - 150,000.00 .... 254 31,544,996 15.77 124,193 6.837 347.98 687 77.3
150,000.01 - 200,000.00 .... 167 28,840,583 14.42 172,698 6.683 352.29 681 75.0
200,000.01 - 250,000.00 .... 129 29,036,857 14.52 225,092 6.659 349.07 689 74.7
250,000.01 - 300,000.00 .... 87 23,812,493 11.91 273,707 6.531 352.84 689 75.9
300,000.01 - 350,000.00 .... 50 16,342,015 8.17 326,840 6.459 356.78 703 77.3
350,000.01 - 400,000.00 .... 40 14,989,690 7.49 374,742 6.529 357.45 705 74.0
400,000.01 - 450,000.00 .... 20 8,587,426 4.29 429,371 6.463 358.94 703 73.3
450,000.01 - 500,000.00 .... 22 10,464,605 5.23 475,664 6.604 359.09 698 72.2
500,000.01 - 550,000.00 .... 14 7,316,272 3.66 522,591 6.339 359.01 710 71.0
550,000.01 - 600,000.00 .... 12 6,906,514 3.45 575,543 6.669 359.42 681 76.6
600,000.01 - 650,000.00 .... 6 3,790,452 1.90 631,742 6.587 329.60 693 70.1
650,000.01 - 700,000.00 .... 1 693,000 0.35 693,000 7.250 360.00 748 79.9
700,000.01 - 750,000.00 .... 1 750,000 0.37 750,000 5.875 359.00 664 47.6
850,000.01 - 900,000.00 .... 1 899,104 0.45 899,104 6.000 359.00 657 75.0
1,400,000.01 - 1,450,000.00 .. 1 1,402,569 0.70 1,402,569 5.875 359.00 743 62.4
--- ------------ ------ ---------- ----- ------ --- ----
Total .................... 996 $200,001,706 100.00% $ 200,805 6.647 351.94 692 75.0%
=== ============ ====== ========== ===== ====== === ====
As of the Cut-off Date, the average current principal balance of the
mortgage loans will be approximately $200,805.
7
MORTGAGE RATES
WEIGHTED
PERCENTAGE OF AVERAGE
AGGREGATE CUT-OFF DATE WEIGHTED REMAINING WEIGHTED WEIGHTED
NUMBER OF UNPAID AGGREGATE AVERAGE TERM TO AVERAGE AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL AVERAGE GROSS MATURITY CREDIT ORIGINAL
MORTGAGE RATES(%) LOANS BALANCE BALANCE BALANCE WAC IN MONTHS SCORE LTV
- --------------------- ----- ---------- ------ ------- ----- --------- ----- ------
5.500 - 5.999 ......... 138 $ 38,938,455 19.47% $ 282,163 5.842% 352.65 721 66.2%
6.000 - 6.499 ......... 227 48,434,966 24.22 213,370 6.195 349.49 698 70.7
6.500 - 6.999 ......... 293 55,319,746 27.66 188,805 6.685 351.03 684 76.9
7.000 - 7.499 ......... 154 29,259,819 14.63 189,999 7.165 355.18 677 80.4
7.500 - 7.999 ......... 121 19,436,651 9.72 160,633 7.670 351.56 677 86.1
8.000 - 8.499 ......... 36 4,413,923 2.21 122,609 8.185 359.10 661 88.2
8.500 - 8.999 ......... 20 2,986,076 1.49 149,304 8.597 359.31 664 82.0
9.000 - 9.499 ......... 1 127,367 0.06 127,367 9.250 358.00 672 15.0
9.500 - 9.999 ......... 5 1,014,730 0.51 202,946 9.600 351.92 615 75.7
10.500 - 10.999......... 1 69,973 0.03 69,973 10.625 359.00 624 91.5
Total ......... 996 $200,001,706 100.00% $ 200,805 6.647% 351.94 692 75.0%
The weighted average mortgage rate of the mortgage loans was
approximately 6.647% per annum.
8
ORIGINAL LOAN-TO-VALUE RATIOS
WEIGHTED
PERCENTAGE OF AVERAGE
AGGREGATE CUT-OFF DATE WEIGHTED REMAINING WEIGHTED WEIGHTED
NUMBER OF UNPAID AGGREGATE AVERAGE TERM TO AVERAGE AVERAGE
ORIGINAL LOAN-TO- MORTGAGE PRINCIPAL PRINCIPAL AVERAGE GROSS MATURITY CREDIT ORIGINAL
VALUE RATIOS(%) LOANS BALANCE BALANCE BALANCE WAC IN MONTHS SCORE LTV
- --------------------- ----- ---------- ------ ------- ----- --------- ----- ------
0.01 - 20.00 ...... 5 $ 333,021 0.17% $ 66,604 8.395% 336.98 688 14.2%
20.01 - 25.00 ...... 3 293,546 0.15 97,849 6.967 303.99 655 23.9
25.01 - 30.00 ...... 3 377,711 0.19 125,904 5.917 359.24 725 28.3
30.01 - 35.00 ...... 9 1,350,147 0.68 150,016 6.090 359.37 704 32.8
35.01 - 40.00 ...... 11 1,688,343 0.84 153,486 6.475 348.46 678 37.5
40.01 - 45.00 ...... 17 2,942,307 1.47 173,077 6.233 348.36 705 42.8
45.01 - 50.00 ...... 28 5,398,339 2.70 192,798 6.341 347.49 679 48.0
50.01 - 55.00 ...... 30 6,752,385 3.38 225,080 6.221 357.56 696 52.8
55.01 - 60.00 ...... 38 8,693,353 4.35 228,772 6.220 341.94 683 58.4
60.01 - 65.00 ...... 61 16,394,129 8.20 268,756 6.139 342.58 703 63.5
65.01 - 70.00 ...... 122 28,556,317 14.28 234,068 6.393 352.58 699 69.1
70.01 - 75.00 ...... 60 14,446,936 7.22 240,782 6.587 355.50 675 74.1
75.01 - 80.00 ...... 339 66,178,382 33.09 195,216 6.644 352.25 693 79.6
80.01 - 85.00 ...... 27 5,071,808 2.54 187,845 6.919 358.80 709 84.2
85.01 - 90.00 ...... 120 20,780,942 10.39 173,175 7.139 351.12 689 89.8
90.01 - 95.00 ...... 103 17,907,616 8.95 173,860 7.480 358.79 680 94.8
95.01 - 100.00 ..... 20 2,836,425 1.42 141,821 6.768 358.75 697 99.3
--- ------------ ------ --------- ----- ------ --- ----
Total ...... 996 $200,001,706 100.00% $ 200,805 6.647% 351.94 692 75.0%
=== ============ ====== ========= ===== ====== === ====
The minimum and maximum loan-to-value ratios of the mortgage loans at
origination were approximately 5.01% and 100.00%, respectively, and the weighted
average of the loan-to-value ratios of the mortgage loans at origination was
approximately 75.01%.
OCCUPANCY TYPES
WEIGHTED
PERCENTAGE OF AVERAGE
AGGREGATE CUT-OFF DATE WEIGHTED REMAINING WEIGHTED WEIGHTED
OCCUPANCY NUMBER OF UNPAID AGGREGATE AVERAGE TERM TO AVERAGE AVERAGE
(AS INDICATED BY MORTGAGE PRINCIPAL PRINCIPAL AVERAGE GROSS MATURITY CREDIT ORIGINAL
BORROWER) LOANS BALANCE BALANCE BALANCE WAC IN MONTHS SCORE LTV
- --------------------- ----- ---------- ------ ------- ----- --------- ----- ------
Primary Residence .......... 669 $141,937,742 70.97% $212,164 6.635% 353.08 685 75.8%
Non-Owner Occupied ......... 294 50,795,181 25.40 172,773 6.656 349.53 708 71.8
Second Home ................ 33 7,268,783 3.63 220,266 6.823 346.48 705 81.3
--- ------------ ------ -------- ----- ------ --- ----
Total ................. 996 $200,001,706 100.00% $200,805 6.647% 351.94 692 75.0%
=== ============ ====== ======== ===== ====== === ====
9
MORTGAGE LOAN PROGRAM AND DOCUMENTATION TYPE
WEIGHTED
PERCENTAGE OF AVERAGE
AGGREGATE CUT-OFF DATE WEIGHTED REMAINING WEIGHTED WEIGHTED
OCCUPANCY NUMBER OF UNPAID AGGREGATE AVERAGE TERM TO AVERAGE AVERAGE
(AS INDICATED BY MORTGAGE PRINCIPAL PRINCIPAL AVERAGE GROSS MATURITY CREDIT ORIGINAL
BORROWER) LOANS BALANCE BALANCE BALANCE WAC IN MONTHS SCORE LTV
- --------------------- ----- ---------- ------ ------- ----- --------- ----- ------
Progressive Series
Program (Limited
(Stated) Documentation). 400 $ 87,451,801 43.73% $218,630 6.480 352.61 696 71.3%
Progressive Series
Program (Full
Documentation) ........ 147 32,884,518 16.44 223,704 6.295 352.57 704 74.7
Progressive Express(TM)
Program (Verified
Assets) ............... 135 25,960,775 12.98 192,302 6.736 345.55 680 78.4
Progressive Express(TM)
No Doc Program (No
Documentation) ........ 155 25,003,117 12.50 161,310 7.073 355.04 689 82.4
Progressive Express(TM)
Program (Non Verified
Assets) ............... 128 23,770,600 11.89 185,708 7.143 351.46 673 76.7
Progressive Series
Program (No Income/No
Asset Documentation) .. 15 3,140,896 1.57 209,393 6.855 358.76 695 79.3
Progressive Express(TM)
No Doc Program
(Verified Assets) .... 14 1,615,579 0.81 115,399 7.179 350.99 690 79.5
Progressive Series
Program (Full
Income/Stated Asset
Documentation) ........ 2 174,421 0.09 87,210 6.698 357.58 677 84.7
--- ------------ ------ --------- ----- ------ --- ----
Total ................. 996 $200,001,706 100.00% $ 200,805 6.647% 351.94 692 75.0%
=== ============ ====== ========= ===== ====== === ====
SEE "--UNDERWRITING STANDARDS" IN THE PROSPECTUS SUPPLEMENT FOR A
DETAILED DESCRIPTION OF THE SELLER'S LOAN PROGRAMS AND DOCUMENTATION
REQUIREMENTS.
10
RISK CATEGORIES
WEIGHTED
PERCENTAGE OF AVERAGE
AGGREGATE CUT-OFF DATE WEIGHTED REMAINING WEIGHTED WEIGHTED
NUMBER OF UNPAID AGGREGATE AVERAGE TERM TO AVERAGE AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL AVERAGE GROSS MATURITY CREDIT ORIGINAL
CREDIT GRADE LOANS BALANCE BALANCE BALANCE WAC IN MONTHS SCORE LTV
- --------------------- ----- ---------- ------ ------- ----- --------- ----- ------
A+(1) .......................... 445 $ 95,502,609 47.75% $ 214,613 6.388 353.92 728 73.5%
A(1) ........................... 318 63,250,905 31.63 198,902 6.638 351.13 654 75.9
A-(1) .......................... 33 5,547,156 2.77 168,096 6.937 333.75 609 64.9
B(1) ........................... 2 297,233 0.15 148,617 6.914 299.07 619 59.5
Progressive Express(TM)I(2) ... 78 14,093,865 7.05 180,691 7.070 353.28 725 80.5
Progressive Express(TM)II(2) ... 93 16,246,635 8.12 174,695 7.412 353.28 651 80.6
Progressive Express(TM)III(2) .. 10 1,957,439 0.98 195,744 7.297 336.63 615 78.5
Progressive Express(TM)IV(2) ... 6 1,384,824 0.69 230,804 7.308 329.14 599 64.5
Progressive Express(TM)V(2) ... 9 1,461,359 0.73 162,373 8.504 359.05 580 69.3
Progressive Express(TM)VI(2) ... 2 259,682 0.13 129,841 8.363 310.62 511 57.0
--- ------------ ------ --------- ----- ------ --- ----
Total .................... 996 $200,001,706 100.00% $ 200,805 6.647 351.94 692 75.0%
=== ============ ====== ========= ===== ====== === ====
_________________
(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- and B correspond to Progressive Series I+, I and II, III and III+,
and IV 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. All of the mortgage loans acquired in bulk purchases have
been placed into the appropriate credit grade. SEE "-UNDERWRITING STANDARDS" IN
THE PROSPECTUS SUPPLEMENT.
(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" IN THE PROSPECTUS SUPPLEMENT FOR A
DESCRIPTION OF THE SELLER'S RISK CATEGORIES.
11
PROPERTY TYPES
WEIGHTED
PERCENTAGE OF AVERAGE
AGGREGATE CUT-OFF DATE WEIGHTED REMAINING WEIGHTED WEIGHTED
NUMBER OF UNPAID AGGREGATE AVERAGE TERM TO AVERAGE AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL AVERAGE GROSS MATURITY CREDIT ORIGINAL
PROPERTY TYPE LOANS BALANCE BALANCE BALANCE WAC IN MONTHS SCORE LTV
- --------------------- ----- ---------- ------ ------- ----- --------- ----- ------
Single-Family....... 615 $121,924,259 60.96% $198,251 6.634% 353.25 688 74.7%
Two-Family.......... 92 19,368,096 9.68 210,523 6.686 353.66 694 75.5
De Minimis PUD...... 82 15,918,360 7.96 194,126 6.765 340.99 697 78.1
Condominium......... 83 13,101,897 6.55 157,854 6.731 353.47 705 76.6
Planned Unit 5 9 3
Development......... 60 13,053,952 6. 3 217,566 6.589 355. 1 686 79.
Four-Family......... 31 9,105,267 4.55 293,718 6.651 350.53 701 67.2
Three-Family........ 23 5,847,024 2.92 254,218 6.381 336.55 710 69.5
Highrise 6 3 7
Condominium......... 7 1,250,280 0. 3 178,611 6.640 359. 2 700 74.
Condotel............ 1 234,400 0.12 234,400 7.375 360.00 700 80.0
Townhouse........... 2 198,172 0.10 99,086 6.999 358.56 693 71.8
--- ------------ ------ -------- ----- ------ --- ----
Total............ 996 $200,001,706 100.00% $200,805 6.647% 351.94 692 75.0%
=== ============ ====== ======== ===== ====== === ====
12
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
WEIGHTED
PERCENTAGE OF AVERAGE
AGGREGATE CUT-OFF DATE WEIGHTED REMAINING WEIGHTED WEIGHTED
NUMBER OF UNPAID AGGREGATE AVERAGE TERM TO AVERAGE AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL AVERAGE GROSS MATURITY CREDIT ORIGINAL
STATE LOANS BALANCE BALANCE BALANCE WAC IN MONTHS SCORE LTV
- --------------------- ----- ---------- ------ ------- ----- --------- ----- ------
Alabama ................. 1 $ 119,920 0.06% $ 119,920 7.563 360.00 693 80.0%
Arkansas ................ 3 289,133 0.14 96,378 7.216 358.59 652 84.4
Arizona ................. 21 3,610,273 1.81 171,918 6.777 355.75 705 82.2
California .............. 306 79,574,973 39.79 260,049 6.311 355.64 704 68.2
Colorado ................ 11 2,580,556 1.29 234,596 6.446 356.09 701 78.3
Connecticut ............. 5 825,194 0.41 165,039 6.697 358.06 709 86.1
District of Columbia .... 1 114,883 0.06 114,883 5.875 359.00 738 43.4
Delaware ................ 3 444,990 0.22 148,330 6.887 358.41 676 75.1
Florida ................. 250 38,555,490 19.28 154,222 7.028 349.30 678 79.9
Georgia ................. 11 2,355,350 1.18 214,123 6.595 354.51 693 71.9
Hawaii .................. 10 3,205,373 1.60 320,537 6.170 359.32 700 64.8
Illinois ................ 33 6,281,787 3.14 190,357 6.999 341.85 671 82.8
Indiana ................. 9 989,495 0.49 109,944 6.861 358.66 664 85.4
Iowa .................... 1 59,911 0.03 59,911 7.500 358.00 692 80.0
Kansas .................. 3 259,832 0.13 86,611 7.777 358.62 690 92.0
Kentucky ................ 1 69,896 0.03 69,896 7.500 358.00 753 87.5
Louisiana ............... 2 267,375 0.13 133,687 8.318 226.11 606 60.5
Massachusetts ........... 4 1,291,602 0.65 322,901 6.386 358.44 699 73.5
Maryland ................ 23 3,996,210 2.00 173,748 6.607 324.08 701 77.2
Michigan ................ 4 854,628 0.43 213,657 7.280 307.29 665 81.6
Minnesota ............... 3 389,859 0.19 129,953 6.784 358.18 653 73.3
Missouri ................ 5 381,217 0.19 76,243 6.778 278.38 696 76.7
Mississippi ............. 1 99,920 0.05 99,920 6.750 360.00 704 80.0
North Carolina .......... 13 1,735,946 0.87 133,534 6.900 358.50 683 83.1
New Jersey .............. 54 12,272,101 6.14 227,261 6.737 356.03 681 74.3
Nevada .................. 21 4,088,097 2.04 194,671 6.984 343.41 682 84.3
New York ................ 39 12,511,147 6.26 320,799 6.689 348.57 690 78.6
Ohio .................... 22 2,294,136 1.15 104,279 7.077 358.47 687 87.0
Oklahoma ................ 1 343,100 0.17 343,100 6.625 360.00 684 80.0
Oregon .................. 13 1,367,422 0.68 105,186 6.411 358.32 703 75.5
Pennsylvania ............ 13 1,464,252 0.73 112,635 7.267 334.76 693 80.9
Rhode Island ............ 2 333,561 0.17 166,780 6.716 358.86 718 88.5
South Carolina .......... 6 652,436 0.33 108,739 6.840 338.21 667 86.4
Tennessee ............... 5 646,638 0.32 129,328 7.610 358.67 680 87.0
Texas ................... 34 5,111,457 2.56 150,337 7.160 348.26 683 84.5
Utah .................... 6 740,821 0.37 123,470 6.502 356.33 690 79.7
Virginia ................ 38 7,177,347 3.59 188,878 6.888 356.50 675 83.9
Vermont ................. 1 86,938 0.04 86,938 6.000 357.00 749 80.0
Washington .............. 14 2,347,126 1.17 167,652 6.651 348.68 685 81.7
West Virginia ........... 1 50,066 0.03 50,066 6.875 358.00 678 85.0
Wisconsin ............... 2 161,250 0.08 80,625 7.206 360.00 655 74.4
--- ------------ ------ --------- ----- ------ --- ----
Total .............. 996 $200,001,706 100.00% $ 200,805 6.647 351.94 692 75.0%
=== ============ ====== ========= ===== ====== === ====
13
No more than approximately 0.78% 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.
DEBT TO INCOME RATIO
WEIGHTED
PERCENTAGE OF AVERAGE
AGGREGATE CUT-OFF DATE WEIGHTED REMAINING WEIGHTED WEIGHTED
NUMBER OF UNPAID AGGREGATE AVERAGE TERM TO AVERAGE AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL AVERAGE GROSS MATURITY CREDIT ORIGINAL
DESCRIPTION (%) LOANS BALANCE BALANCE BALANCE WAC IN MONTHS SCORE LTV
- --------------------- ----- ---------- ------ ------- ----- --------- ----- ------
0.01 - 5.00............. 1 $ 270,000 0.13% $270,000 5.875% 360.00 776 60.0%
5.01 - 10.00............ 2 333,943 0.17 166,971 6.477 359.80 711 72.0
10.01 - 15.00........... 8 1,825,422 0.91 228,178 6.336 359.54 719 67.5
15.01 - 20.00........... 15 2,942,792 1.47 196,186 6.564 338.78 707 63.4
20.01 - 25.00........... 30 7,150,419 3.58 238,347 6.615 346.06 693 70.6
25.01 - 30.00........... 58 10,798,849 5.40 186,187 6.625 350.06 695 70.9
30.01 - 35.00........... 92 20,155,088 10.08 219,077 6.377 349.47 690 70.8
35.01 - 40.00........... 122 29,814,948 14.91 244,385 6.415 353.89 700 73.5
40.01 - 45.00........... 130 27,839,833 13.92 214,153 6.432 354.08 693 76.0
45.01 - 50.00........... 107 22,477,734 11.24 210,072 6.521 353.80 692 74.9
50.01 - 55.00........... 28 5,539,519 2.77 197,840 6.320 353.16 711 64.3
Greater than 55.00...... 1 82,498 0.04 82,498 6.500 356.00 719 90.0
Not Required............ 402 70,770,661 35.39 176,046 6.995 351.46 683 79.1
--- ------------ ------ -------- ----- ------ --- ----
Total.............. 996 $200,001,706 100.00% $200,805 6.647% 351.94 692 75.0%
=== ============ ====== ======== ===== ====== === ====
As of the Cut-off Date, the weighted average debt to income ratio of
the mortgage loans will be approximately 37.69% per annum.
PREPAYMENT PENALTY
WEIGHTED
PERCENTAGE OF AVERAGE
AGGREGATE CUT-OFF DATE WEIGHTED REMAINING WEIGHTED WEIGHTED
NUMBER OF UNPAID AGGREGATE AVERAGE TERM TO AVERAGE AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL AVERAGE GROSS MATURITY CREDIT ORIGINAL
NUMBER OF MONTHS LOANS BALANCE BALANCE BALANCE WAC IN MONTHS SCORE LTV
- --------------------- ----- ---------- ------ ------- ----- --------- ----- ------
0....................... 369 $ 78,617,071 39.31% $213,054 6.572% 351.87 693 76.4%
6....................... 4 546,362 0.27 136,590 7.171 345.32 662 48.5
7....................... 1 247,481 0.12 247,481 5.750 358.00 687 79.5
12...................... 60 13,229,556 6.61 220,493 6.737 346.98 706 74.6
24...................... 57 8,972,907 4.49 157,419 6.584 345.23 698 71.7
36...................... 160 31,477,757 15.74 196,736 6.715 353.83 681 72.4
60...................... 345 66,910,573 33.46 193,944 6.695 353.05 691 75.3
--- ------------ ------ -------- ----- ------ --- ----
Total.............. 996 $200,001,706 100.00% $200,805 6.647% 351.94 692 75.0%
=== ============ ====== ======== ===== ====== === ====
14
MONTHS REMAINING TO SCHEDULED MATURITY
WEIGHTED
PERCENTAGE OF AVERAGE
AGGREGATE CUT-OFF DATE WEIGHTED REMAINING WEIGHTED WEIGHTED
NUMBER OF UNPAID AGGREGATE AVERAGE TERM TO AVERAGE AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL AVERAGE GROSS MATURITY CREDIT ORIGINAL
RANGE OF MONTHS LOANS BALANCE BALANCE BALANCE WAC IN MONTHS SCORE LTV
- --------------------- ----- ---------- ------ ------- ----- --------- ----- ------
121-180.............. 49 $ 7,311,655 3.66% $149,217 6.526% 178.30 666 69.3%
181-240.............. 3 547,073 0.27 182,358 6.176 239.21 723 81.4
241-300.............. 1 365,492 0.18 365,492 6.250 299.00 622 55.9
301-360.............. 943 191,777,487 95.89 203,370 6.654 358.98 693 75.2
--- ------------ ------ -------- ----- ------ --- ----
Total........... 996 $200,001,706 100.00% $200,805 6.647% 351.94 692 75.0%
=== ============ ====== ======== ===== ====== === ====
As of the Cut-off Date, the weighted average months remaining to
scheduled maturity of the mortgage loans will be approximately 352 months.
CREDIT SCORES
WEIGHTED
PERCENTAGE OF AVERAGE
AGGREGATE CUT-OFF DATE WEIGHTED REMAINING WEIGHTED WEIGHTED
NUMBER OF UNPAID AGGREGATE AVERAGE TERM TO AVERAGE AVERAGE
RANGE OF MORTGAGE PRINCIPAL PRINCIPAL AVERAGE GROSS MATURITY CREDIT ORIGINAL
CREDIT SCORES LOANS BALANCE BALANCE BALANCE WAC IN MONTHS SCORE LTV
- --------------------- ----- ---------- ------ ------- ----- --------- ----- ------
Not Required....... 2 $ 626,702 0.31% $313,351 6.710% 359.00 N/A 71.9%
Greater than 820... 1 103,312 0.05 103,312 6.500 358.00 821 79.6
801 - 820.......... 5 916,126 0.46 183,225 6.375 359.55 810 76.2
781 - 800.......... 33 6,636,244 3.32 201,098 6.464 359.24 791 73.5
761 - 780.......... 52 11,614,437 5.81 223,355 6.317 348.62 771 73.5
741 - 760.......... 80 19,269,659 9.63 240,871 6.382 358.43 750 73.7
721 - 740.......... 100 20,006,360 10.00 200,064 6.423 354.74 731 76.3
701 - 720.......... 118 24,490,339 12.25 207,545 6.507 350.11 709 71.5
681 - 700.......... 138 27,417,681 13.71 198,679 6.611 353.66 690 76.2
661 - 680.......... 152 30,219,057 15.11 198,810 6.823 353.83 670 76.4
641 - 660.......... 146 27,276,415 13.64 186,825 6.703 352.01 651 75.8
621 - 640.......... 104 19,860,986 9.93 190,971 6.915 347.46 630 79.5
601 - 620.......... 43 8,116,223 4.06 188,749 7.058 345.74 613 72.3
581 - 600.......... 14 2,141,716 1.07 152,980 7.246 303.49 593 55.1
561 - 580.......... 4 439,601 0.22 109,900 8.169 318.66 570 78.3
541 - 560.......... 2 607,167 0.30 303,584 9.056 359.00 558 71.1
501 - 520.......... 1 189,885 0.09 189,885 8.500 359.00 515 58.5
500 or less........ 1 69,798 0.03 69,798 7.990 179.00 500 53.0
--- ------------ ------ -------- ----- ------ --- ----
Total......... 996 $200,001,706 100.00% $200,805 6.647% 351.94 692 75.0%
=== ============ ====== ======== ===== ====== === ====
As of the Cut-off Date, the weighted average credit score of the
mortgage loans will be approximately 692.
15
LOAN PURPOSES
WEIGHTED
PERCENTAGE OF AVERAGE
AGGREGATE CUT-OFF DATE WEIGHTED REMAINING WEIGHTED WEIGHTED
NUMBER OF UNPAID AGGREGATE AVERAGE TERM TO AVERAGE AVERAGE
MORTGAGE PRINCIPAL PRINCIPAL AVERAGE GROSS MATURITY CREDIT ORIGINAL
LOAN PURPOSE LOANS BALANCE BALANCE BALANCE WAC IN MONTHS SCORE LTV
- ------------------- ----- ------------- ------ -------- ----- --------- ----- ------
Cash-Out Refinance 427 $ 90,076,166 45.04% $210,951 6.503% 350.02 682 68.5%
Purchase.......... 464 85,759,040 42.88 184,826 6.883 356.41 701 83.2
Rate and Term 4
Refinance......... 105 24,166,500 12.08 230,157 6.348 343.21 695 70.
--- ------------ ------ -------- ----- ------ --- ----
Total.......... 996 $200,001,706 100.00% $200,805 6.647% 351.94 692 75.0%
=== ============ ====== ======== ===== ====== === ====
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.
16