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, as applicable.
The mortgage pool consists 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 with non-conforming
loan balances secured by first liens on mortgaged properties. The Group 2 Loans
are one- to four-family, adjustable-rate, fully-amortizing residential mortgage
loans with conforming loan balances secured by first liens on mortgaged
properties. The mortgage loans will have original terms to maturity of not
greater than 30 years.
The Group 1 Loans consist of mortgage loans which had principal balances
at origination which may or may not be greater than Fannie Mae or Freddie Mac
conforming balances and the Group 2 Loans consist of mortgage loans which had
principal balances at origination which are less than or equal to Fannie Mae or
Freddie Mac conforming balances. The conforming balance for mortgage loans
secured by a single family property is $333,700 for all mortgage loans other
than those originated in Alaska, Hawaii, Guam and the U.S. Virgin Islands, for
which it is $500,550. The conforming balance is higher for mortgage loans
secured by two- to four-family properties. Notwithstanding these conforming
balances, the Group 2 Loans have been originated according to underwriting
standards that do not satisfy Fannie Mae or Freddie Mac underwriting criteria.
The Seller conveyed the initial mortgage loans to the company on the
Closing Date pursuant to the Mortgage Loan Purchase Agreement and the company
conveyed the initial mortgage loans to the trust on the Closing Date pursuant to
the Agreement. The company conveyed the Group 1 subsequent mortgage loans and
Group 2 subsequent mortgage loans to the trust during the Funding Period. The
Group 1 subsequent mortgage loans were acquired with amounts on deposit in the
Group 1 Pre-Funding Account pursuant to the Group 1 Subsequent Transfer
Instrument. The Group 2 subsequent mortgage loans were acquired with amounts on
deposit in the Group 2 Pre-Funding Account pursuant to the Group 2 Subsequent
Transfer Instrument. The Seller made certain representations and warranties with
respect to the initial mortgage loans in the Mortgage Loan Purchase Agreement
and with respect to the Group 1 subsequent mortgage loans and Group 2 subsequent
mortgage loans in the Group 1 subsequent mortgage loan purchase agreement and
Group 2 subsequent mortgage loan purchase agreement, respectively. These
representations and warranties were assigned by the company to the Trustee for
the benefit of the Certificateholders and the Certificate Insurer. As more
particularly described in the prospectus, the Seller has 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 or the
Certificate Insurer. 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.
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.
99-1
Prepayment Charges
Approximately 72.27% of the mortgage loans in Loan Group 1 and 73.51% of
the sample mortgage loans in Loan Group 2, 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 six months, 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
Substantially all of the 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) 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
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
sample mortgage loans range from 19.21% to 11.10% of the Stated Principal
99-2
Balance of the related Radian PMI Insured Loan and the Radian PMI Rates for the
sample mortgage loans have a weighted average of approximately 1.186%.
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 Certificate
Insurer.
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 mortgage pool is comprised of 9,070 mortgage loans, 70.96% of which
are in Loan Group 1 and 29.04% of which are in Loan Group 2. 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 original mortgages for some of the mortgage loans have been, or in the
future may be, at the sole discretion of the Master Servicer, recorded in the
name of Mortgage Electronic Registration Systems, Inc., or MERS, solely as
nominee for the Seller and its successors and assigns, and subsequent
assignments of those mortgages have been, or in the future may be, at the sole
discretion of the Master Servicer, registered electronically through the MERS(R)
System. In some other cases, the original mortgage was recorded in the name of
the originator of the mortgage loan, record ownership was later assigned to
MERS, solely as nominee for the owner of the mortgage loan, and subsequent
assignments of the mortgage were, or in the future may be, at the sole
discretion of the Master Servicer, registered electronically through the MERS(R)
System. For each of these mortgage loans, MERS serves as mortgagee of record on
the mortgage solely as a nominee in an administrative capacity on behalf of the
trustee, and does not have any interest in the mortgage loan. 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 Certificates--Yield Sensitivity of the Mezzanine Certificates" in the
prospectus supplement.
Loan Group 1
The Group 1 Loans had an aggregate principal balance as of the Cut-off
Date of approximately $1,632,079,834, 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 $274,137. No Group 1 Loan had a principal balance at origination
of greater than approximately $1,260,000 or less than approximately $22,050. The
average principal balance of the Group 1 Loans as of the Cut-off Date was
approximately $273,839. No Group 1 Loan had a principal balance as of the
Cut-off Date of greater than approximately $1,260,000 or less than approximately
$21,984.
As of the Cut-off Date, the Group 1 Loans had mortgage rates ranging from
approximately 2.750% per annum to approximately 10.000% per annum and the
weighted average mortgage rate was approximately 5.586% per annum. The weighted
average remaining term to stated maturity of the Group 1 Loans was approximately
359 months as of the Cut-off Date. None of the Group 1 Loans will have a first
Due Date prior
99-3
to September 1, 2003, or after November 1, 2004, or will have a remaining term
to maturity of less than 348 months or greater than 360 months as of the Cut-off
Date. The latest maturity date of any Group 1 Loan is October 1, 2034.
Approximately0.03%, 3.31%, 0.60%, 48.41%, 0.12% and 5.34% of the Group 1
Loans have initial interest only periods of six months, two, three, five, seven
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 79.71%. No loan-to-value ratio at origination of any Group 1 Loan
was greater than approximately 100.00% or less than approximately 12.90%.
None of the Group 1 Loans are buydown mortgage loans.
None of the Group 1 Loans will be subject to the Home Ownership and Equity
Protection Act of 1994 or any comparable state law.
Substantially all of the Group 1 Loans will not have reached their first
adjustment date as of the Closing Date.
Approximately 72.27% of the Group 1 Loans provide for prepayment charges.
Approximately 18.20% and 11.69% 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
1.206% per annum.
With respect to substantially all of the Group 1 Loans, the Minimum
Mortgage Rate is equal to the Gross Margin.
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.
99-4
Mortgage Loan Programs(1)
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Loan Programs Current Balance Loans Total Balance WAC (Months) Score LTV
- --------------------- --------------- ------ ------ --------- -------- -------- -------- --------
30Y LIB 1M .......... $ 2,177,743 4 0.13% $ 544,436 4.428% 360.00 751 75.50%
30Y LIB 1M-IO ....... 15,520,250 31 0.95 500,653 4.369 359.70 710 71.89
30Y LIB 3M-IO ....... 2,981,950 7 0.18 425,993 4.607 359.66 673 79.44
30Y LIB 6M .......... 29,968,934 112 1.84 267,580 5.992 359.48 681 79.89
30Y LIB 6M-IO ....... 182,339,835 516 11.17 353,372 5.184 359.59 702 76.92
1/29 LIB 6M ......... 951,393 3 0.06 317,131 4.685 359.61 736 81.72
30Y LIB 12M ......... 1,596,215 6 0.10 266,036 5.555 359.93 684 79.44
30Y LIB 12M-IO ...... 6,575,050 19 0.40 346,055 5.554 359.96 722 77.88
2/28 LIB 6M ......... 383,255,118 1,689 23.48 226,912 5.565 357.98 682 84.85
2/28 LIB 6M-IO ...... 484,485,748 1,413 29.69 342,877 5.845 359.43 690 80.06
3/27 LIB 6M ......... 243,669,458 1,237 14.93 196,984 5.377 358.24 682 80.69
3/27 LIB 6M-IO ...... 157,593,903 559 9.66 281,921 5.549 359.41 698 75.34
3/1 LIB 12M ......... 744,687 3 0.05 248,229 5.689 359.23 695 69.02
3/1 LIB 12M-IO ...... 4,672,325 7 0.29 667,475 5.321 357.84 712 72.63
5/25 LIB 6M ......... 19,981,260 81 1.22 246,682 6.070 359.57 691 71.73
5/25 LIB 6M-IO ...... 70,949,268 228 4.35 311,181 5.777 359.47 715 71.11
5/1 LIB 12M ......... 1,142,627 2 0.07 571,314 5.881 359.39 737 73.87
5/1 LIB 12M-IO ...... 7,892,300 11 0.48 717,482 6.215 358.51 730 73.62
7/23 LIB 6M ......... 495,212 2 0.03 247,606 5.649 360.00 755 72.44
7/23 LIB 6M-IO ...... 5,521,400 10 0.34 552,140 5.765 357.06 713 67.28
7/1 LIB 12M ......... 739,351 2 0.05 369,676 5.433 358.00 716 70.27
7/1 LIB 12M-IO ...... 1,774,550 5 0.11 354,910 5.319 358.00 685 67.86
10/20 LIB 6M ........ 2,889,835 5 0.18 577,967 5.323 358.04 780 71.29
10/20 LIB 6M-IO ..... 1,340,000 2 0.08 670,000 5.545 358.00 707 66.57
10/1 LIB 12M ........ 1,058,822 2 0.06 529,411 5.508 358.00 726 60.40
10/1 LIB 12M-IO ..... 1,762,600 4 0.11 440,650 5.529 358.00 684 74.72
--------------- ----- ------ --------- ----- ------ --- -----
Total ............ $ 1,632,079,834 5,960 100.00% $ 273,839 5.586% 358.91 691 79.71%
=============== ===== ======
- ----------
(1) A mortgage loan with a loan program including the term "30Y LIBOR 1MO" has
a term of 30 years and the mortgage rate adjusts monthly based on the
value of One-Month LIBOR. A mortgage loan with a loan program including
the term "30Y LIBOR 3MO" has a term of 30 years and the mortgage rate
adjusts quarterly based on the value of Three-Month LIBOR. A mortgage loan
with a loan program including the term "30Y LIBOR 6MO" has a term of 30
years and the mortgage rate adjusts semi-annually based on the value of
Six-Month LIBOR. A mortgage loan with a loan program including the term
"30Y LIBOR 12MO" has a term of 30 years and the mortgage rate adjusts
annually based on the value of One-Year LIBOR. A mortgage loan with a loan
program including the term "2/28 LIBOR 6MO" has a term of 30 years, the
first two of which consist of a fixed rate period, and thereafter the
mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR.
A mortgage loan with a loan program including the term "3/27 LIBOR 6MO"
has a term of 30 years, the first three of which consist of a fixed rate
period, and thereafter the mortgage rate adjusts semi-annually based on
the value of Six-Month LIBOR. A mortgage loan with a loan program
including the term "3/1 LIBOR 12MO" has a term of 30 years, the first
three of which consist of a fixed rate period, and thereafter the mortgage
rate adjusts annually based on the value of One-Year LIBOR. A mortgage
loan with a loan program including the term "5/25 LIBOR 6MO" has a term of
30 years, the first five of which consist of a fixed rate period, and
thereafter the mortgage rate adjusts semi-annually based on the value of
Six-Month LIBOR. A mortgage loan with a loan program including the term
"5/1 LIBOR 12MO" has a term of 30 years, the first five of which consist
of a fixed rate period, and thereafter the mortgage rate adjusts annually
based on the value of One-Year LIBOR. A mortgage loan with a loan program
including the term "7/23 LIBOR 6MO" has a term of 30 years, the first
seven of which consist of a fixed rate period, and thereafter the mortgage
rate adjusts semi-annually based on the value of Six-Month LIBOR . A
mortgage loan with a loan program including the term "7/1 LIBOR 12MO" has
a term of 30 years, the first seven of which consist of a fixed rate
period, and thereafter the mortgage rate adjusts annually based on the
value of One-Year LIBOR. A mortgage loan with a loan program including the
term "10/20 LIBOR 6MO" has a term of 30 years, the first ten of which
consist of a fixed rate period, and thereafter the mortgage rate adjusts
semi-annually based on the value of Six-Month LIBOR. Any mortgage loan
with a loan program including the term "IO" has an interest only period. A
mortgage loan with a loan program including the term "10/1 LIBOR 12MO" has
a term of 30 years, the first ten of which consist of a fixed rate period,
and thereafter the mortgage rate adjusts annually based on the value of
One-Year LIBOR.
99-5
Principal Balances as of Origination
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
Range of Mortgage No. of % of Average Gross Term Credit Original
Loan Principal Balances Current Balance Loans Total Balance WAC (Months) Score LTV
- ------------------------------- --------------- ------ ------ ----------- -------- -------- -------- --------
0.01 - 50,000.00 ... $ 1,820,328 46 0.11% $ 39,572 5.875% 357.31 709 84.79%
50,000.01 - 100,000.00 ... 61,864,198 741 3.79 83,487 5.846 358.55 683 80.27
100,000.01 - 150,000.00 ... 135,808,211 1,118 8.32 121,474 5.749 358.70 686 81.48
150,000.01 - 200,000.00 ... 116,671,294 669 7.15 174,397 5.729 358.80 686 81.51
200,000.01 - 250,000.00 ... 124,010,110 554 7.60 223,845 5.624 358.77 689 81.03
250,000.01 - 300,000.00 ... 119,955,081 439 7.35 273,246 5.644 358.94 694 80.52
300,000.01 - 350,000.00 ... 166,592,864 507 10.21 328,586 5.575 359.01 693 80.51
350,000.01 - 400,000.00 ... 236,830,805 632 14.51 374,732 5.548 358.98 693 80.73
400,000.01 - 450,000.00 ... 154,534,868 364 9.47 424,546 5.539 358.96 698 80.76
450,000.01 - 500,000.00 ... 147,263,568 309 9.02 476,581 5.640 358.99 691 79.84
500,000.01 - 550,000.00 ... 91,389,951 174 5.60 525,230 5.553 359.01 685 80.03
550,000.01 - 600,000.00 ... 75,095,131 130 4.60 577,655 5.526 359.01 686 79.37
600,000.01 - 650,000.00 ... 84,270,076 133 5.16 633,610 5.374 358.86 686 76.78
650,000.01 - 700,000.00 ... 19,043,153 28 1.17 680,113 5.387 359.54 693 73.26
700,000.01 - 750,000.00 ... 42,008,343 57 2.57 736,988 5.327 359.17 686 73.05
750,000.01 - 800,000.00 ... 14,053,617 18 0.86 780,757 5.302 359.29 686 71.52
800,000.01 - 850,000.00 ... 2,490,972 3 0.15 830,324 4.792 357.68 679 73.36
850,000.01 - 900,000.00 ... 4,336,165 5 0.27 867,233 5.277 358.20 702 72.47
900,000.01 - 950,000.00 ... 1,858,629 2 0.11 929,315 4.133 358.49 733 71.57
950,000.01 - 1,000,000.00 ... 20,755,369 21 1.27 988,351 5.668 358.71 717 64.95
1,000,000.01 - 1,050,000.00 ... 2,000,000 2 0.12 1,000,000 4.620 360.00 659 61.37
1,100,000.01 - 1,150,000.00 ... 4,521,250 4 0.28 1,130,313 4.777 358.99 705 62.91
1,150,000.01 - 1,200,000.00 ... 1,200,000 1 0.07 1,200,000 6.500 360.00 711 57.15
1,200,000.01 - 1,250,000.00 ... 2,445,850 2 0.15 1,222,925 4.184 359.49 752 70.06
1,250,000.01 - 1,300,000.00 ... 1,260,000 1 0.08 1,260,000 5.625 359.00 715 70.00
--------------- ----- ------ ----------- ----- ------ --- -----
Total ...................... $ 1,632,079,834 5,960 100.00% $ 273,839 5.586% 358.91 691 79.71%
=============== ===== ======
As of origination, the average principal balance of the Group 1 Loans will
be approximately $274,137.
99-6
Principal Balances as of the Cut-off Date
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
Range of Mortgage No. of % of Average Gross Term Credit Original
Loan Principal Balances Current Balance Loans Total Balance WAC (Months) Score LTV
- ------------------------------- --------------- ------ ------ ----------- -------- -------- -------- --------
0.01 - 50,000.00 ... $ 1,820,328 46 0.11% $ 39,572 5.875% 357.31 709 84.79%
50,000.01 - 100,000.00 ... 62,059,129 743 3.80 83,525 5.841 358.54 684 80.25
100,000.01 - 150,000.00 ... 136,211,614 1,120 8.35 121,618 5.748 358.70 686 81.53
150,000.01 - 200,000.00 ... 116,272,463 666 7.12 174,583 5.732 358.80 686 81.48
200,000.01 - 250,000.00 ... 125,059,722 558 7.66 224,121 5.626 358.77 690 81.07
250,000.01 - 300,000.00 ... 118,705,967 434 7.27 273,516 5.643 358.95 694 80.45
300,000.01 - 350,000.00 ... 167,990,896 511 10.29 328,749 5.570 358.99 693 80.58
350,000.01 - 400,000.00 ... 236,231,571 630 14.47 374,971 5.550 358.98 692 80.69
400,000.01 - 450,000.00 ... 154,634,033 364 9.47 424,819 5.536 358.96 698 80.74
450,000.01 - 500,000.00 ... 146,365,604 307 8.97 476,761 5.646 359.00 690 79.84
500,000.01 - 550,000.00 ... 91,938,198 175 5.63 525,361 5.552 358.98 685 80.03
550,000.01 - 600,000.00 ... 74,546,884 129 4.57 577,883 5.527 359.05 686 79.36
600,000.01 - 650,000.00 ... 84,270,076 133 5.16 633,610 5.374 358.86 686 76.78
650,000.01 - 700,000.00 ... 19,043,153 28 1.17 680,113 5.387 359.54 693 73.26
700,000.01 - 750,000.00 ... 42,758,031 58 2.62 737,207 5.343 359.16 686 73.17
750,000.01 - 800,000.00 ... 13,303,929 17 0.82 782,584 5.248 359.30 686 71.04
800,000.01 - 850,000.00 ... 2,490,972 3 0.15 830,324 4.792 357.68 679 73.36
850,000.01 - 900,000.00 ... 4,336,165 5 0.27 867,233 5.277 358.20 702 72.47
900,000.01 - 950,000.00 ... 1,858,629 2 0.11 929,315 4.133 358.49 733 71.57
950,000.01 - 1,000,000.00 ... 22,755,369 23 1.39 989,364 5.576 358.82 712 64.64
1,100,000.01 - 1,150,000.00 ... 4,521,250 4 0.28 1,130,313 4.777 358.99 705 62.91
1,150,000.01 - 1,200,000.00 ... 1,200,000 1 0.07 1,200,000 6.500 360.00 711 57.15
1,200,000.01 - 1,250,000.00 ... 2,445,850 2 0.15 1,222,925 4.184 359.49 752 70.06
1,250,000.01 - 1,300,000.00 ... 1,260,000 1 0.08 1,260,000 5.625 359.00 715 70.00
--------------- ----- ------ ----------- ----- ------ --- -----
Total ...................... $ 1,632,079,834 5,960 100.00% $ 273,839 5.586% 358.91 691 79.71%
=============== ===== ======
As of the Cut-off Date, the average current principal balance of the Group
1 Loans will be approximately $273,839.
99-7
Mortgage Rates
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
Range of No. of % of Average Gross Term Credit Original
Mortgage Rates (%) Current Balance Loans Total Balance WAC (Months) Score LTV
- -------------------- --------------- ------ ------ --------- -------- -------- -------- --------
2.500 - 2.999 .... $ 2,215,228 5 0.14% $ 443,046 2.854% 359.18 739 71.53%
3.000 - 3.499 .... 8,427,251 19 0.52 443,540 3.260 358.78 726 67.70
3.500 - 3.999 .... 44,082,467 140 2.70 314,875 3.780 358.31 719 72.75
4.000 - 4.499 .... 110,406,206 351 6.76 314,548 4.233 358.52 706 74.42
4.500 - 4.999 .... 287,978,716 948 17.64 303,775 4.725 358.53 699 77.23
5.000 - 5.499 .... 284,953,665 1,053 17.46 270,611 5.215 358.80 699 78.31
5.500 - 5.999 .... 415,140,854 1,630 25.44 254,688 5.717 359.08 686 80.08
6.000 - 6.499 .... 208,065,184 754 12.75 275,949 6.214 359.12 682 81.57
6.500 - 6.999 .... 150,362,351 525 9.21 286,404 6.702 359.28 678 84.24
7.000 - 7.499 .... 51,796,758 212 3.17 244,324 7.201 359.19 677 86.05
7.500 - 7.999 .... 39,568,244 188 2.42 210,469 7.696 359.40 669 87.74
8.000 - 8.499 .... 13,220,063 64 0.81 206,563 8.187 359.16 663 87.35
8.500 - 8.999 .... 9,096,822 46 0.56 197,757 8.694 359.26 660 89.00
9.000 - 9.499 .... 4,058,894 15 0.25 270,593 9.186 359.51 665 90.49
9.500 - 9.999 .... 2,061,155 8 0.13 257,644 9.626 359.50 667 91.14
10.000 - 10.499 .... 645,975 2 0.04 322,988 10.000 360.00 623 95.00
--------------- ----- ------ --------- ------ ------ --- -----
Total............ $ 1,632,079,834 5,960 100.00% $ 273,839 5.586% 358.91 691 79.71%
=============== ===== ======
- ----------
As of the Cut-off Date, the weighted average mortgage rate of the Group 1
Loans will be approximately 5.586% per annum.
99-8
Next Adjustment Date
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
Current No. of % of Average Gross Term Credit Original
Next Adjustment Date Balance Loans Total Balance WAC (Months) Score LTV
- --------------------- --------------- ------ ------ --------- -------- -------- -------- --------
September 1, 2004 ... $ 2,935,050 7 0.18% $ 419,293 4.496% 358.43 717 78.27%
October 1, 2004 ..... 10,274,143 17 0.63 604,361 4.317 359.64 711 72.63
November 1, 2004 .... 3,705,761 13 0.23 285,059 4.839 359.51 699 77.26
December 1, 2004 .... 11,520,377 34 0.71 338,835 4.903 358.85 690 77.52
January 1, 2005 ..... 71,952,870 213 4.41 337,807 5.247 359.00 702 79.45
February 1, 2005 .... 98,586,844 282 6.04 349,599 5.267 360.00 702 75.73
March 1, 2005 ....... 33,913,537 103 2.08 329,258 5.501 360.00 690 76.34
July 1, 2005 ........ 739,136 4 0.05 184,784 5.890 359.00 670 75.11
August 1, 2005 ...... 4,343,673 12 0.27 361,973 5.390 360.00 713 79.87
September 1, 2005 ... 4,039,850 12 0.25 336,654 5.465 360.00 729 77.77
December 1, 2005 .... 276,843 1 0.02 276,843 6.250 352.00 702 90.00
January 1, 2006 ..... 386,437 1 0.02 386,437 6.375 353.00 668 94.88
February 1, 2006 .... 748,013 5 0.05 149,603 5.817 354.00 666 88.23
March 1, 2006 ....... 924,840 4 0.06 231,210 5.759 355.00 633 74.92
April 1, 2006 ....... 44,224,480 167 2.71 264,817 4.841 356.00 678 85.91
May 1, 2006 ......... 121,734,116 510 7.46 238,694 5.046 357.01 684 86.68
June 1, 2006 ........ 130,551,867 527 8.00 247,727 5.726 358.01 677 86.84
July 1, 2006 ........ 238,235,411 816 14.60 291,955 6.121 359.01 683 81.77
August 1, 2006 ...... 256,978,690 843 15.75 304,838 5.859 360.00 694 78.89
September 1, 2006 ... 73,034,378 227 4.47 321,737 5.569 360.00 692 76.90
October 1, 2006 ..... 966,140 3 0.06 322,047 6.330 357.72 686 87.20
February 1, 2007 .... 1,170,553 4 0.07 292,638 5.452 354.00 667 85.32
March 1, 2007 ....... 574,732 2 0.04 287,366 5.348 355.00 641 71.98
April 1, 2007 ....... 18,061,375 76 1.11 237,650 4.742 356.02 685 78.84
May 1, 2007 ......... 68,044,880 297 4.17 229,107 4.899 357.08 688 82.34
June 1, 2007 ........ 87,809,077 450 5.38 195,131 5.413 358.24 681 81.19
July 1, 2007 ........ 104,592,755 551 6.41 189,824 5.659 359.09 679 78.25
August 1, 2007 ...... 96,656,640 334 5.92 289,391 5.706 360.00 703 75.01
September 1, 2007 ... 29,550,142 91 1.81 324,727 5.581 360.00 702 73.49
April 1, 2009 ....... 136,277 1 0.01 136,277 5.500 356.00 743 80.00
May 1, 2009 ......... 2,354,500 5 0.14 470,900 5.503 357.00 733 72.01
June 1, 2009 ........ 7,419,880 20 0.45 370,994 6.110 358.00 724 76.94
July 1, 2009 ........ 35,800,142 113 2.19 316,815 5.866 359.00 720 71.27
August 1, 2009 ...... 40,310,376 133 2.47 303,086 5.882 360.00 703 70.94
September 1, 2009 ... 13,944,280 50 0.85 278,886 5.793 360.00 706 70.42
August 1, 2010 ...... 920,000 2 0.06 460,000 4.864 348.00 721 68.42
March 1, 2011 ....... 857,000 1 0.05 857,000 5.250 355.00 691 72.94
June 1, 2011 ........ 2,513,901 7 0.15 359,129 5.353 358.00 694 68.57
July 1, 2011 ........ 896,000 2 0.05 448,000 6.426 359.00 722 72.81
August 1, 2011 ...... 1,695,212 3 0.10 565,071 6.251 360.00 724 61.62
September 1, 2011 ... 1,648,400 4 0.10 412,100 5.642 360.00 716 68.08
June 1, 2014 ........ 6,939,371 12 0.43 578,281 5.437 358.00 734 69.81
July 1, 2014 ........ 111,886 1 0.01 111,886 5.875 359.00 745 57.43
--------------- ----- ------ --------- ----- ------ --- -----
Total ........... $ 1,632,079,834 5,960 100.00% $ 273,839 5.586% 358.91 691 79.71%
=============== ===== ======
- ----------
As of the Cut-off Date, the weighted average remaining months to the next
adjustment date of the Group 1 Loans will be approximately 26 months.
99-9
Gross Margin
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
Current No. of % of Average Gross Term Credit Original
Range of Gross Margins (%) Balance Loans Total Balance WAC (Months) Score LTV
- -------------------------- --------------- ------ ------ --------- -------- -------- -------- --------
1.500-1.749 .............. $ 4,802,153 10 0.29% $ 480,215 3.792% 359.73 771 69.93%
1.750-1.999 .............. 8,919,787 39 0.55 228,712 3.785 357.48 734 72.15
2.000-2.249 .............. 17,653,420 72 1.08 245,186 4.239 357.71 702 73.28
2.250-2.499 .............. 113,198,125 273 6.94 414,645 5.126 358.46 712 72.68
2.500-2.749 .............. 52,259,342 175 3.20 298,625 4.696 357.49 696 78.11
2.750-2.999 .............. 96,132,189 342 5.89 281,088 4.941 357.75 694 81.23
3.000-3.249 .............. 158,711,003 596 9.72 266,294 5.073 358.25 700 83.71
3.250-3.499 .............. 257,097,283 907 15.75 283,459 5.353 359.10 727 78.46
3.500-3.749 .............. 171,985,481 583 10.54 295,001 5.419 359.25 690 78.67
3.750-3.999 .............. 271,725,727 985 16.65 275,864 5.761 359.57 676 76.82
4.000-4.249 .............. 17,098,514 82 1.05 208,518 6.350 358.57 685 83.74
4.250-4.499 .............. 30,789,078 110 1.89 279,901 6.040 359.02 670 79.22
4.500-4.749 .............. 17,006,677 73 1.04 232,968 5.853 358.84 685 80.75
4.750-4.999 .............. 21,918,587 114 1.34 192,268 5.930 359.06 675 82.18
5.000-5.249 .............. 63,720,872 287 3.90 222,024 6.325 359.10 680 81.88
5.250-5.499 .............. 41,373,085 237 2.53 174,570 5.865 359.02 663 81.04
5.500-5.749 .............. 56,373,921 332 3.45 169,801 6.105 359.15 655 81.37
5.750-5.999 .............. 112,736,235 403 6.91 279,743 6.271 359.27 682 81.34
6.000-6.249 .............. 62,398,964 160 3.82 389,994 6.516 359.15 655 86.16
6.250-6.499 .............. 36,465,600 105 2.23 347,291 6.670 358.90 646 92.10
6.500-6.749 .............. 10,417,064 30 0.64 347,235 6.787 358.88 643 90.30
6.750-6.999 .............. 3,995,151 20 0.24 199,758 6.583 359.67 662 81.57
7.000-7.249 .............. 624,438 2 0.04 312,219 7.250 358.25 639 90.66
7.250-7.499 .............. 1,093,991 6 0.07 182,332 8.080 359.42 645 85.23
7.500-7.749 .............. 1,571,618 8 0.10 196,452 7.977 359.03 658 86.07
7.750-7.999 .............. 1,238,490 4 0.08 309,623 8.406 359.72 700 93.21
8.500-8.749 .............. 347,590 2 0.02 173,795 8.875 360.00 647 95.00
8.750-8.999 .............. 147,250 1 0.01 147,250 9.125 360.00 667 95.00
9.500-9.749 .............. 126,672 1 0.01 126,672 9.875 359.00 627 94.58
9.750-9.999 .............. 151,525 1 0.01 151,525 10.000 360.00 634 95.00
--------------- ----- ------ --------- ------ ------ --- -----
Total ................. $ 1,632,079,834 5,960 100.00% $ 273,839 5.586% 358.91 691 79.71%
=============== ===== ======
- ----------
As of the Cut-off Date, the weighted average Gross Margin of the Group 1
Loans will be approximately 3.882% per annum.
99-10
Maximum Mortgage Rate
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
Range of Maximum Current No. of % of Average Gross Term Credit Original
Mortgage Rates (%) Balance Loans Total Balance WAC (Months) Score LTV
- ------------------ --------------- ------ ------ --------- -------- -------- -------- --------
8.000 - 8.499 ... $ 399,102 1 0.02% $ 399,102 5.375% 359.00 714 76.93%
8.500 - 8.999 ... 1,728,149 4 0.11 432,037 3.010 359.00 734 64.17
9.000 - 9.499 ... 6,000,251 15 0.37 400,017 3.350 358.68 732 67.47
9.500 - 9.999 ... 60,393,230 174 3.70 347,088 4.002 358.68 715 73.39
10.000 - 10.499 ... 115,254,052 359 7.06 321,042 4.306 358.47 708 74.60
10.500 - 10.999 ... 287,598,777 953 17.62 301,783 4.754 358.50 699 77.11
11.000 - 11.499 ... 270,661,220 1,017 16.58 266,137 5.226 358.81 699 78.40
11.500 - 11.999 ... 384,737,938 1,543 23.57 249,344 5.718 359.08 684 80.28
12.000 - 12.499 ... 191,193,477 694 11.71 275,495 6.163 359.09 682 81.47
12.500 - 12.999 ... 158,843,610 543 9.73 292,530 6.548 359.25 680 83.64
13.000 - 13.499 ... 67,569,934 259 4.14 260,888 6.919 359.28 679 85.15
13.500 - 13.999 ... 48,662,247 219 2.98 222,202 7.411 359.39 676 86.93
14.000 - 14.499 ... 16,339,237 76 1.00 214,990 7.948 359.33 677 88.17
14.500 - 14.999 ... 12,383,388 63 0.76 196,562 8.414 359.33 658 87.60
15.000 - 15.499 ... 5,670,457 23 0.35 246,542 8.710 359.40 638 84.04
15.500 - 15.999 ... 2,844,437 13 0.17 218,803 9.410 359.58 663 89.57
16.000 - 16.499 ... 645,975 2 0.04 322,988 10.000 360.00 623 95.00
19.000 - 19.499 ... 254,352 1 0.02 254,352 6.500 359.00 786 80.00
20.000 or more ..... 900,000 1 0.06 900,000 5.750 358.00 688 60.00
--------------- ----- ------ --------- ------ ------ --- -----
Total ........... $ 1,632,079,834 5,960 100.00% $ 273,839 5.586% 358.91 691 79.71%
=============== ===== ======
- -----------------
As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the
Group 1 Loans will be approximately 11.621% per annum.
Initial Fixed-Rate Period
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Initial Fixed Period Current Balance Loans Total Balance WAC (Months) Score LTV
- -------------------- --------------- ------ ------ --------- --------- -------- -------- --------
One Month .......... $ 9,716,693 16 0.60% $ 607,293 4.466% 359.68 717 72.47%
Three Months ....... 10,963,250 26 0.67 421,663 4.360 359.76 703 74.15
Six Months ......... 212,308,769 628 13.01 338,071 5.298 359.58 699 77.34
One Year ........... 9,122,659 28 0.56 325,809 5.463 359.92 717 78.55
Two Years .......... 867,740,866 3,102 53.17 279,736 5.721 358.79 686 82.17
Three Years ........ 406,680,373 1,806 24.92 225,183 5.444 358.69 688 78.50
Five Years ......... 99,965,455 322 6.13 310,452 5.871 359.42 712 71.47
Seven Years ........ 8,530,513 19 0.52 448,974 5.637 357.51 710 67.96
Ten Years .......... 7,051,257 13 0.43 542,404 5.444 358.02 734 69.61
--------------- ----- ------ --------- ----- ------ --- -----
Total ........... $ 1,632,079,834 5,960 100.00% $ 273,839 5.586% 358.91 691 79.71%
=============== ===== ======
99-11
Initial Rate Cap
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Initial Cap (%) Current Balance Loans Total Balance WAC (Months) Score LTV
- ------------------ --------------- ------ ------ --------- -------- -------- -------- --------
1.000 ............ $ 236,821,427 682 14.51% $ 347,245 5.209% 359.61 701 77.03%
1.500 ............ 3,052,779 11 0.19 277,525 7.080 358.18 622 80.07
2.000 ............ 18,727,462 50 1.15 374,549 5.718 358.84 694 78.42
3.000 ............ 948,828,211 3,561 58.14 266,450 5.885 359.41 688 78.91
5.000 ............ 23,744,773 53 1.45 448,015 5.734 358.42 724 71.22
6.000 ............ 400,905,183 1,603 24.56 250,097 5.076 357.38 690 83.75
--------------- ----- ------ --------- ----- ------ --- -----
$ 1,632,079,834 5,960 100.00% $ 273,839 5.586% 358.91 691 79.71%
=============== ===== ======
Periodic Rate Cap
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Subsequent Cap (%) Current Balance Loans Total Balance WAC (Months) Score LTV
- ------------------ --------------- ------ ------ ----------- -------- -------- -------- --------
1.000 ............ $ 1,603,163,454 5,885 98.23% $ 272,415 5.578% 358.91 691 79.88%
1.500 ............ 4,305,591 24 0.26 179,400 7.689 359.28 580 69.99
2.000 ............ 23,381,648 49 1.43 477,176 5.857 359.29 697 71.31
3.000 ............ 79,141 1 0.00 79,141 7.500 360.00 697 90.00
6.000 ............ 1,150,000 1 0.07 1,150,000 3.125 358.00 722 59.74
--------------- ----- ------ ----------- ----- ------ --- -----
Total ......... $ 1,632,079,834 5,960 100.00% $ 273,839 5.586% 358.91 691 79.71%
=============== ===== ======
99-12
Original Loan-to-Value Ratios
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
Range of Loan-to-Value Current No. of % of Average Gross Term Credit Original
Ratios (%) Balance Loans Total Balance WAC (Months) Score LTV
- ---------------------- --------------- ------ ------ --------- -------- -------- -------- --------
0.01 - 20.00 ....... $ 1,236,170 4 0.08% $ 309,042 5.261% 358.80 765 18.08%
20.01 - 25.00 ....... 294,265 4 0.02 73,566 5.087 359.35 745 23.10
25.01 - 30.00 ....... 708,271 7 0.04 101,182 5.107 358.34 677 28.27
30.01 - 35.00 ....... 1,538,577 9 0.09 170,953 5.250 359.45 689 32.73
35.01 - 40.00 ....... 3,899,763 19 0.24 205,251 5.122 359.32 667 37.67
40.01 - 45.00 ....... 7,278,842 22 0.45 330,856 5.092 359.10 704 42.59
45.01 - 50.00 ....... 11,127,794 36 0.68 309,105 5.270 358.78 684 47.48
50.01 - 55.00 ....... 8,994,967 37 0.55 243,107 4.914 359.04 706 53.24
55.01 - 60.00 ....... 28,781,431 83 1.76 346,764 4.899 358.99 704 58.44
60.01 - 65.00 ....... 54,000,008 149 3.31 362,416 5.035 359.24 689 63.32
65.01 - 70.00 ....... 229,489,479 704 14.06 325,979 4.890 359.53 707 69.46
70.01 - 75.00 ....... 69,163,594 227 4.24 304,685 5.480 358.79 689 74.03
75.01 - 80.00 ....... 723,678,963 2,654 44.34 272,675 5.627 359.22 693 79.76
80.01 - 85.00 ....... 55,238,906 194 3.38 284,737 5.854 358.28 672 84.06
85.01 - 90.00 ....... 269,061,500 1,126 16.49 238,953 6.007 358.22 680 89.65
90.01 - 95.00 ....... 164,103,817 665 10.05 246,773 6.006 358.01 677 94.71
95.01 - 100.00 ....... 3,483,489 20 0.21 174,174 7.508 358.68 718 99.59
--------------- ----- ------ --------- ----- ------ --- -----
Total ............. $ 1,632,079,834 5,960 100.00% $ 273,839 5.586% 358.91 691 79.71%
=============== ===== ======
- ----------
The minimum and maximum loan-to-value ratios of the Group 1 Loans at
origination were approximately 12.90% and 100.00%, respectively, and the
weighted average of the loan-to-value ratios of the Group 1 Loans at origination
was approximately 79.71%.
Occupancy Types
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Occupancy Current Balance Loans Total Balance WAC (Months) Score LTV
- ------------------ --------------- ------ ------ --------- -------- -------- -------- --------
Owner Occupied ... $ 1,362,482,307 4,730 83.48% $ 288,051 5.549% 358.92 687 80.04%
Investment ....... 222,260,367 1,060 13.62 209,680 5.815 358.87 709 78.04
Second Home ...... 47,337,159 170 2.90 278,454 5.578 358.83 702 78.29
--------------- ----- ------ --------- ----- ------ --- -----
Total ......... $ 1,632,079,834 5,960 100.00% $ 273,839 5.586% 358.91 691 79.71%
=============== ===== ======
- ----------
Occupancy type is based on the representation of the borrower at the time
of origination.
99-13
Mortgage Loan Program and Documentation Type
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Document Type Current Balance Loans Total Balance WAC (Months) Score LTV
- ------------------------------------ --------------- ------ ------ --------- -------- -------- -------- --------
Progressive Series Program
(Limited (Stated)
Documentation) .................. $ 719,803,045 2,214 44.10% $ 325,114 5.623% 359.40 697 77.95%
Progressive Series Program
(Full Documentation) ............ 353,909,357 1,523 21.68 232,376 5.520 359.18 684 78.71
Progressive Express(TM)
Program (Non Verified Assets) ... 300,043,997 1,196 18.38 250,873 5.495 357.91 684 83.45
Progressive Express(TM) No Doc
Program (No Documentation) ...... 137,905,912 603 8.45 228,700 5.489 357.83 693 83.08
Progressive Express(TM)
Program (Verified Assets) ....... 98,801,505 347 6.05 284,731 5.924 358.89 690 80.35
Progressive Express(TM) No Doc
Program (Verified Assets) ....... 6,475,546 25 0.40 259,022 5.944 359.58 686 75.80
Progressive Series Program
(Full Income/Stated Assets
Documentation) .................. 6,262,887 21 0.38 298,233 5.146 358.74 694 78.84
Progressive Series Program
(Alternative Documentation) ..... 6,121,697 22 0.38 278,259 6.275 359.32 665 84.67
Progressive Series Program
(No Income/No Asset
Documentation) .................. 1,867,269 5 0.11 373,454 5.708 359.95 745 64.90
Progressive Express Program
(Express Priority Refinance) .... 348,300 1 0.02 348,300 6.250 359.00 627 90.00
Progressive Series Program
(No Ratio) ...................... 270,318 2 0.02 135,159 6.750 356.00 678 89.99
Progressive Series Program
(Lite/Reduced Documentation
(SE)) ........................... 270,000 1 0.02 270,000 4.375 359.00 691 61.37
--------------- ----- ------ --------- ----- ------ --- -----
Total ........................... $ 1,632,079,834 5,960 100.00% $ 273,839 5.586% 358.91 691 79.71%
=============== ===== ======
See "--Underwriting Standards" below for a detailed description of the
Seller's loan programs and documentation requirements.
99-14
Risk Categories
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Credit Grade Category Current Balance Loans Total Balance WAC (Months) Score LTV
- -------------------------------- --------------- ------ ------ --------- -------- -------- -------- --------
A+(1) .......................... $ 800,715,558 2,835 49.06% $ 282,439 5.331% 358.96 726 78.41%
A(1) ........................... 629,611,336 2,276 38.58 276,631 5.648 358.71 653 81.11
A-(1) .......................... 53,126,124 241 3.26 220,440 6.180 359.07 612 79.68
B(1) ........................... 349,585 2 0.02 174,793 8.686 359.00 582 75.49
C(1) ........................... 315,542 3 0.02 105,181 8.763 359.11 608 63.09
CX(1) .......................... 201,492 1 0.01 201,492 8.250 359.00 508 75.00
Progressive Express(TM) I(2) ... 79,399,236 309 4.86 256,955 6.156 359.51 728 80.78
Progressive Express(TM) II(2) .. 56,239,639 242 3.45 232,395 6.812 359.32 651 81.88
Progressive Express(TM)III(2) .. 5,990,478 22 0.37 272,294 6.949 359.59 634 80.30
Progressive Express(TM) IV(2) .. 3,824,912 16 0.23 239,057 6.645 359.63 595 77.08
Progressive Express(TM) V(2) .. 1,582,438 8 0.10 197,805 7.879 359.59 570 68.32
Progressive Express(TM) VI(2) .. 723,493 5 0.04 144,699 7.979 359.41 541 66.70
--------------- ----- ------ --------- ----- ------ --- -----
Total ....................... $ 1,632,079,834 5,960 100.00% $ 273,839 5.586% 358.91 691 79.71%
=============== ===== ======
- ----------
(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.
(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 "Credit Score" score and therefore these Group 1 Loans do not
correspond to the alphabetical risk categories listed above. Each mortgage loan
originated pursuant to the Express Priority Refi(TM) Program has been placed in
either Progressive Express(TM) Program II or III.
See "--Underwriting Standards" below for a description of the Seller's
risk categories.
99-15
Property Types
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Property Type Current Balance Loans Total Balance WAC (Months) Score LTV
- -------------------------------- --------------- ------ ------ --------- -------- -------- -------- --------
Single-Family Residence ........ $ 1,163,228,350 4,299 71.27% $ 270,581 5.540% 358.81 688 80.30%
De minimis PUD ................. 150,214,831 442 9.20 339,853 5.632 359.60 695 76.54
Condominium .................... 135,277,940 608 8.29 222,497 5.610 358.84 699 80.87
Planned Unit Development ....... 70,066,110 243 4.29 288,338 5.915 359.19 693 78.58
Two Family ..................... 60,289,869 202 3.69 298,465 5.837 358.93 695 78.73
Four Family .................... 23,973,723 64 1.47 374,589 5.659 359.25 724 74.87
Three Family ................... 15,480,168 48 0.95 322,503 5.687 358.59 702 77.33
Highrise/Condominium ........... 9,810,024 31 0.60 316,452 5.780 359.33 726 75.30
Townhouse ...................... 3,593,220 22 0.22 163,328 5.719 359.25 681 73.11
Site Condominium ............... 145,600 1 0.01 145,600 5.000 360.00 642 80.00
--------------- ----- ------ --------- ----- ------ --- -----
Total ....................... $ 1,632,079,834 5,960 100.00% $ 273,839 5.586% 358.91 691 79.71%
=============== ===== ======
99-16
Geographic Distribution of Mortgaged Properties
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
Current No. of % of Average Gross Term Credit Original
State Balance Loans Total Balance WAC (Months) Score LTV
- -------------------------------- --------------- ------ ------ --------- -------- -------- -------- --------
Alaska ......................... $ 513,151 4 0.03% $ 128,288 5.419% 357.08 689 84.65%
Alabama ........................ 2,572,518 16 0.16 160,782 5.371 358.17 695 78.91
Arkansas ....................... 508,329 5 0.03 101,666 6.520 357.77 660 92.52
Arizona ........................ 39,607,698 226 2.43 175,255 5.505 358.30 677 81.84
California ..................... 922,970,757 2,484 56.55 371,566 5.534 359.22 695 78.14
Colorado ....................... 34,571,668 150 2.12 230,478 5.143 358.24 689 81.01
Connecticut .................... 9,731,220 34 0.60 286,212 5.672 358.16 677 81.76
District of Columbia ........... 2,213,261 7 0.14 316,180 5.264 357.95 678 79.97
Delaware ....................... 3,399,711 18 0.21 188,873 5.908 357.98 662 85.86
Florida ........................ 117,228,942 574 7.18 204,232 5.873 358.99 691 80.67
Georgia ........................ 19,306,907 107 1.18 180,438 5.485 358.25 684 84.36
Hawaii ......................... 14,189,926 26 0.87 545,766 5.831 359.23 704 72.18
Iowa ........................... 3,793,745 34 0.23 111,581 5.151 357.72 683 86.27
Idaho .......................... 1,417,047 14 0.09 101,218 5.828 358.42 656 79.46
Illinois ....................... 36,896,623 166 2.26 222,269 5.976 358.48 677 82.07
Indiana ........................ 5,175,783 47 0.32 110,123 5.747 358.72 678 83.49
Kansas ......................... 2,794,056 20 0.17 139,703 5.512 357.37 689 85.66
Kentucky ....................... 3,565,011 27 0.22 132,037 5.410 358.29 666 83.44
Louisiana ...................... 2,873,135 17 0.18 169,008 5.827 357.64 673 83.32
Massachusetts .................. 33,334,232 106 2.04 314,474 5.400 358.25 696 83.65
Maryland ....................... 33,785,841 123 2.07 274,682 5.797 358.54 680 81.79
Maine .......................... 3,318,950 16 0.20 207,434 5.259 357.43 687 79.60
Michigan ....................... 13,258,210 81 0.81 163,682 5.795 358.18 684 79.83
Minnesota ...................... 32,347,511 157 1.98 206,035 5.343 357.98 684 81.85
Missouri ....................... 8,618,423 73 0.53 118,061 5.664 358.11 679 84.84
Mississippi .................... 1,879,266 13 0.12 144,559 5.156 358.19 656 81.46
Montana ........................ 1,253,295 10 0.08 125,329 5.385 358.66 695 83.62
North Carolina ................. 10,914,986 81 0.67 134,753 5.768 358.37 678 85.63
North Dakota ................... 994,294 9 0.06 110,477 6.467 359.09 673 80.56
Nebraska ....................... 2,414,536 21 0.15 114,978 5.811 358.53 682 86.27
New Hampshire .................. 2,774,974 12 0.17 231,248 5.468 358.36 679 79.38
New Jersey ..................... 27,397,278 102 1.68 268,601 5.977 358.34 683 84.30
New Mexico ..................... 3,530,185 21 0.22 168,104 5.664 358.22 691 82.58
Nevada ......................... 47,482,629 188 2.91 252,567 5.780 358.83 696 80.99
New York ....................... 27,975,240 78 1.71 358,657 5.556 358.20 689 82.64
Ohio ........................... 11,765,467 110 0.72 106,959 5.723 358.43 666 83.01
Oklahoma ....................... 1,313,649 12 0.08 109,471 5.769 358.36 671 86.88
Oregon ......................... 14,743,696 90 0.90 163,819 5.478 359.01 685 80.18
Pennsylvania ................... 8,627,054 51 0.53 169,158 5.616 358.55 666 80.11
Rhode Island ................... 3,965,230 15 0.24 264,349 5.334 357.85 683 78.56
South Carolina ................. 5,658,585 31 0.35 182,535 5.394 358.15 684 85.60
South Dakota ................... 1,012,264 6 0.06 168,711 4.819 357.44 709 85.58
Tennessee ...................... 8,134,393 55 0.50 147,898 5.445 358.21 681 83.86
Texas .......................... 15,891,201 108 0.97 147,141 6.198 358.70 685 84.25
Utah ........................... 11,038,451 66 0.68 167,249 5.400 358.36 698 83.98
Virginia ....................... 39,847,813 162 2.44 245,974 5.677 358.59 681 80.25
Washington ..................... 27,870,790 132 1.71 211,142 5.370 358.99 681 80.32
Wisconsin ...................... 5,523,358 45 0.34 122,741 5.559 358.38 673 84.79
West Virginia .................. 1,230,680 4 0.08 307,670 4.437 357.08 717 85.08
Wyoming ........................ 847,864 6 0.05 141,311 5.224 358.23 656 88.00
--------------- ----- ------ --------- ----- ------ --- -----
Total ....................... $ 1,632,079,834 5,960 100.00% $ 273,839 5.586% 358.91 691 79.71%
=============== ===== ======
No more than approximately 0.59% 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.
99-17
Debt-to-Income Ratio
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Description (%) Current Balance Loans Total Balance WAC (Months) Score LTV
- -------------------------------- --------------- ------ ------ --------- -------- -------- -------- --------
0.01 - 5.00 ................ $ 348,825 2 0.02% $ 174,412 5.637% 360.00 672 68.82%
5.01 - 10.00 ................ 1,486,199 6 0.09 247,700 5.873 358.54 663 83.51
10.01 - 15.00 ................ 6,045,029 28 0.37 215,894 5.579 359.27 721 72.64
15.01 - 20.00 ................ 17,977,723 67 1.10 268,324 5.489 359.33 701 74.78
20.01 - 25.00 ................ 40,790,425 147 2.50 277,486 5.562 359.34 698 75.13
25.01 - 30.00 ................ 62,092,751 225 3.80 275,968 5.621 359.31 692 76.66
30.01 - 35.00 ................ 149,755,344 477 9.18 313,953 5.642 359.31 694 77.80
35.01 - 40.00 ................ 223,495,328 745 13.69 299,994 5.811 359.37 689 78.92
40.01 - 45.00 ................ 264,083,408 902 16.18 292,775 5.726 359.40 692 78.78
45.01 - 50.00 ................ 224,589,043 874 13.76 256,967 5.616 359.36 689 79.14
50.01 - 55.00 ................ 21,789,942 72 1.34 302,638 5.582 359.64 682 73.10
Greater than 55.00 ............. 2,253,476 9 0.14 250,386 6.224 359.64 677 75.55
Not Required ................... 617,372,340 2,406 37.83 256,597 5.419 358.17 690 82.14
--------------- ----- ------ --------- ----- ------ --- -----
$ 1,632,079,834 5,960 100.00% $ 273,839 5.586% 358.91 691 79.71%
=============== ===== ======
As of the Cut-off Date, the weighted average debt-to-income ratio of the
Group 1 Loans will be approximately 39.16% per annum.
Prepayment Penalty
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Number of Months Current Balance Loans Total Balance WAC (Months) Score LTV
- -------------------------------- --------------- ------ ------ --------- -------- -------- -------- --------
0 .............................. $ 452,520,173 1,607 27.73% $ 281,593 5.537% 358.48 696 80.12%
3 .............................. 436,000 1 0.03 436,000 7.875 360.00 739 80.00
6 .............................. 18,070,564 54 1.11 334,640 5.662 359.19 703 75.33
7 .............................. 750,000 1 0.05 750,000 3.375 360.00 777 65.21
12 ............................. 237,243,811 727 14.54 326,333 5.389 359.32 696 77.53
24 ............................. 567,243,592 2,004 34.76 283,056 5.679 358.94 685 81.75
36 ............................. 252,350,130 1,191 15.46 211,881 5.528 358.98 685 78.27
48 ............................. 476,000 1 0.03 476,000 4.625 359.00 737 70.00
60 ............................. 102,989,564 374 6.31 275,373 5.889 359.53 701 76.15
--------------- ----- ------ --------- ----- ------ --- -----
Total $ 1,632,079,834 5,960 100.00% $ 273,839 5.586% 358.91 691 79.71%
=============== ===== ====== ========= ===== ====== === =====
99-18
Months Remaining to Scheduled Maturity
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Range of Months Current Balance Loans Total Balance WAC (Months) Score LTV
- -------------------------------- --------------- ------ ------ --------- -------- -------- -------- --------
301-360......................... $ 1,632,079,834 5,960 100.00% $ 273,839 5.586% 358.91 691 79.71%
--------------- ----- ------ --------- ----- ------ --- -----
Total........................ $ 1,632,079,834 5,960 100.00% $ 273,839 5.586% 358.91 691 79.71%
=============== ===== ======
As of the Cut-off Date, the weighted average months remaining to scheduled
maturity of the Group 1 Loans will be approximately 359 months.
Credit Scores
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Range of Credit Scores Current Balance Loans Total Balance WAC (Months) Score LTV
- -------------------------------- --------------- ------ ------ --------- -------- -------- -------- --------
Not Required ................... $ 2,406,580 10 0.15% $ 240,658 6.124% 359.52 N/A 78.03%
801-820 ........................ 7,167,721 31 0.44 231,217 5.338 359.06 806 78.02
781-800 ........................ 49,981,218 174 3.06 287,248 5.212 359.20 789 74.15
761-780 ........................ 100,450,184 348 6.15 288,650 5.292 359.06 770 78.35
741-760 ........................ 137,980,022 505 8.45 273,228 5.348 359.07 750 78.21
721-740 ........................ 158,933,703 549 9.74 289,497 5.339 359.08 730 78.92
701-720 ........................ 205,812,018 734 12.61 280,398 5.460 359.02 710 78.97
681-700 ........................ 232,566,101 839 14.25 277,194 5.557 358.88 690 79.38
661-680 ........................ 231,382,095 840 14.18 275,455 5.543 358.81 670 80.00
641-660 ........................ 241,333,386 893 14.79 270,250 5.836 358.82 650 81.24
621-640 ........................ 195,478,253 735 11.98 265,957 5.863 358.61 631 82.62
601-620 ........................ 57,760,929 251 3.54 230,123 6.216 359.12 612 80.40
581-600 ........................ 7,647,868 36 0.47 212,441 6.379 358.88 595 76.91
561-580 ........................ 1,299,531 6 0.08 216,588 7.933 359.44 570 67.21
541-560 ........................ 817,185 5 0.05 163,437 8.105 359.34 559 72.47
521-540 ........................ 539,049 2 0.03 269,524 5.961 358.00 526 77.20
501-520 ........................ 523,992 2 0.03 261,996 8.173 359.62 506 75.00
--------------- ----- ------ --------- ----- ------ --- -----
Total ....................... $ 1,632,079,834 5,960 100.00% $ 273,839 5.586% 358.91 691 79.71%
=============== ===== ======
As of the Cut-off Date, the weighted average credit score of the Group 1
Loans for which credit scores are available will be approximately 691.
99-19
Range of Months to Roll
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Number of Months Current Balance Loans Total Balance WAC (Months) Score LTV
- -------------------------------- --------------- ------ ------ --------- -------- -------- -------- --------
1-6 ............................ $ 232,988,712 670 14.28% $ 347,744 5.219% 359.59 700 76.98%
7-12 ........................... 9,122,659 28 0.56 325,809 5.463 359.92 717 78.55
13-18 .......................... 1,411,293 7 0.09 201,613 6.055 353.33 673 90.40
19-24 .......................... 866,329,573 3,095 53.08 279,913 5.720 358.80 686 82.16
25-31 .......................... 1,965,506 7 0.12 280,787 5.623 353.84 656 83.06
32-37 .......................... 404,714,867 1,799 24.80 224,967 5.443 358.72 689 78.48
56-61 .......................... 99,965,455 322 6.13 310,452 5.871 359.42 712 71.47
68-73 .......................... 920,000 2 0.06 460,000 4.864 348.00 721 68.42
74-79 .......................... 857,000 1 0.05 857,000 5.250 355.00 691 72.94
80-85 .......................... 6,753,513 16 0.41 422,095 5.791 359.12 711 67.27
Greater than 85 ................ 7,051,257 13 0.43 542,404 5.444 358.02 734 69.61
--------------- ----- ------ --------- ----- ------ --- -----
Total ....................... $ 1,632,079,834 5,960 100.00% $ 273,839 5.586% 358.91 691 79.71%
=============== ===== ======
As of the Cut-off Date, the weighted average months to roll of the Group 1
Loans will be approximately 26 months.
Loan Purposes
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Loan Purpose Current Balance Loans Total Balance WAC (Months) Score LTV
- -------------------------------- --------------- ------ ------ --------- -------- -------- -------- --------
Purchase ....................... $ 1,039,674,978 3,912 63.70% $ 265,766 5.619% 359.01 700 80.99%
Refinance - Cash Out ........... 452,990,182 1,495 27.76 303,003 5.551 358.75 675 77.58
Refinance - Rate/Term .......... 139,414,674 553 8.54 252,106 5.454 358.73 672 77.14
--------------- ----- ------ --------- ----- ------ --- -----
Total ....................... $ 1,632,079,834 5,960 100.00% $ 273,839 5.586% 358.91 691 79.71%
=============== ===== ======
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 $667,920,389, 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 $215,038. No Group 2 Loan had a principal balance at origination
of greater than approximately $648,000 or less than approximately $30,150. The
average principal balance of the Group 2 Loans as of the Cut-off Date was
99-20
approximately $214,765. No Group 2 Loan had a principal balance as of the
Cut-off Date of greater than approximately $647,442 or less than approximately
$30,026.
As of the Cut-off Date, the Group 2 Loans had mortgage rates ranging from
approximately 3.000% per annum to approximately 9.990% per annum and the
weighted average mortgage rate was approximately 5.592% per annum. The weighted
average remaining term to stated maturity of the Group 2 Loans was approximately
359 months as of the Cut-off Date. None of the Group 2 Loans will have a first
Due Date prior to March 1, 2004, or after October 1, 2004, or will have a
remaining term to maturity of less than 354 months or greater than 360 months as
of the Cut-off Date. The latest maturity date of any Group 2 Loan is September
1, 2034.
Approximately 2.75%, 0.48%, 42.56%, 0.08% and 2.28 of the Group 2 Loans
have initial interest only periods of two, three, five, seven 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 2 Loans was
approximately 80.44%. No loan-to-value ratio at origination of any Group 2 Loan
was greater than approximately 100.00% or less than approximately 20.22%.
None of the Group 2 Loans are buydown mortgage loans.
None of the Group 2 Loans will be subject to the Home Ownership and Equity
Protection Act of 1994 or any comparable state law.
Substantially all of the Group 2 Loans will not have reached their first
adjustment date as of the Closing Date.
Approximately 73.51% of the Group 2 Loans provide for prepayment charges.
Approximately 21.66% and 9.66% 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
1.127% per annum.
With respect to substantially all of the Group 2 Loans, the Minimum
Mortgage Rate is equal to the Gross Margin.
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.
99-21
Mortgage Loan Programs(1)
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Loan Program Current Balance Loans Total Balance WAC (Months) Score LTV
- -------------------------------- --------------- ------ ------ --------- -------- -------- -------- --------
30Y LIB 1M ..................... $ 146,451 1 0.02% $ 146,451 5.875% 360.00 688 79.98%
30Y LIB 1M-IO .................. 531,500 2 0.08 265,750 4.500 359.56 716 75.57
30Y LIB 3M-IO .................. 461,600 2 0.07 230,800 5.428 360.00 689 84.21
30Y LIB 6M ..................... 9,731,645 47 1.46 207,056 5.960 359.50 690 81.66
30Y LIB 6M-IO .................. 51,149,235 220 7.66 232,497 5.245 359.53 703 78.76
1/29 LIB 6M .................... 1,042,864 5 0.16 208,573 6.588 359.88 702 83.29
30Y LIB 12M .................... 641,182 3 0.10 213,727 6.727 359.04 702 85.35
30Y LIB 12M-IO ................. 1,133,480 5 0.17 226,696 5.406 359.77 698 78.92
2/28 LIB 6M .................... 200,972,457 986 30.09 203,826 5.663 358.18 683 84.70
2/28 LIB 6M-IO ................. 184,541,154 771 27.63 239,353 5.706 359.58 696 78.41
3/27 LIB 6M .................... 125,069,708 653 18.73 191,531 5.373 358.39 680 81.07
3/27 LIB 6M-IO ................. 65,444,756 296 9.80 221,097 5.565 359.26 690 76.43
3/1 LIB 12M .................... 727,981 2 0.11 363,990 5.749 357.85 674 79.42
5/25 LIB 6M .................... 6,532,134 30 0.98 217,738 5.881 359.65 709 66.37
5/25 LIB 6M-IO ................. 15,617,083 70 2.34 223,101 5.862 359.49 717 73.53
5/1 LIB 12M .................... 289,185 2 0.04 144,593 5.799 358.43 673 84.35
5/1 LIB 12M-IO ................. 1,309,000 5 0.20 261,800 6.845 359.54 644 86.07
7/23 LIB 6M .................... 440,557 2 0.07 220,279 5.953 360.00 653 69.46
7/23 LIB 6M-IO ................. 553,000 2 0.08 276,500 5.443 360.00 769 54.83
7/1 LIB 12M .................... 236,168 1 0.04 236,168 5.375 359.00 751 64.98
7/1 LIB 12M-IO ................. 240,000 1 0.04 240,000 5.000 358.00 640 80.00
10/20 LIB 6M ................... 313,526 1 0.05 313,526 4.875 358.00 734 70.00
10/20 LIB 6M-IO ................ 598,200 2 0.09 299,100 5.445 358.51 749 79.87
10/1 LIB 12M ................... 197,523 1 0.03 197,523 5.000 358.00 788 39.00
------------- ----- ------ --------- ----- ------ --- -----
Total ....................... $ 667,920,389 3,110 100.00% $ 214,765 5.592% 358.89 690 80.44%
============= ===== ======
- ----------
(1) A mortgage loan with a loan program including the term "30Y LIBOR 1MO" has
a term of 30 years and the mortgage rate adjusts monthly based on the
value of One-Month LIBOR. A mortgage loan with a loan program including
the term "30Y LIBOR 3MO" has a term of 30 years and the mortgage rate
adjusts quarterly based on the value of Three-Month LIBOR. A mortgage loan
with a loan program including the term "30Y LIBOR 6MO" has a term of 30
years and the mortgage rate adjusts semi-annually based on the value of
Six-Month LIBOR. A mortgage loan with a loan program including the term
"30Y LIBOR 12MO" has a term of 30 years and the mortgage rate adjusts
annually based on the value of One-Year LIBOR. A mortgage loan with a loan
program including the term "2/28 LIBOR 6MO" has a term of 30 years, the
first two of which consist of a fixed rate period, and thereafter the
mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR.
A mortgage loan with a loan program including the term "3/27 LIBOR 6MO"
has a term of 30 years, the first three of which consist of a fixed rate
period, and thereafter the mortgage rate adjusts semi-annually based on
the value of Six-Month LIBOR. A mortgage loan with a loan program
including the term "3/1 LIBOR 12MO" has a term of 30 years, the first
three of which consist of a fixed rate period, and thereafter the mortgage
rate adjusts annually based on the value of One-Year LIBOR. A mortgage
loan with a loan program including the term "5/25 LIBOR 6MO" has a term of
30 years, the first five of which consist of a fixed rate period, and
thereafter the mortgage rate adjusts semi-annually based on the value of
Six-Month LIBOR. A mortgage loan with a loan program including the term
"5/1 LIBOR 12MO" has a term of 30 years, the first five of which consist
of a fixed rate period, and thereafter the mortgage rate adjusts annually
based on the value of One-Year LIBOR. A mortgage loan with a loan program
including the term "7/23 LIBOR 6MO" has a term of 30 years, the first
seven of which consist of a fixed rate period, and thereafter the mortgage
rate adjusts semi-annually based on the value of Six-Month LIBOR. A
mortgage loan with a loan program including the term "7/1 LIBOR 12MO" has
a term of 30 years, the first seven of which consist of a fixed rate
period, and thereafter the mortgage rate adjusts annually based on the
value of One-Year LIBOR. A mortgage loan with a loan program including the
term "10/20 LIBOR 6MO" has a term of 30 years, the first ten of which
consist of a fixed rate period, and thereafter the mortgage rate adjusts
semi-annually based on the value of Six-Month LIBOR. Any mortgage loan
with a loan program including the term "IO" has an interest only period. A
mortgage loan with a loan program including the term "10/1 LIBOR 12MO" has
a term of 30 years, the first ten of which consist of a fixed rate period,
and thereafter the mortgage rate adjusts annually based on the value of
One-Year LIBOR.
99-22
Principal Balances as of Origination
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
Range of Mortgage No. of % of Average Gross Term Credit Original
Loan Principal Balances Current Balance Loans Total Balance WAC (Months) Score LTV
- -------------------------------- --------------- ------ ------ --------- -------- -------- -------- --------
0.01 - 50,000.00 ........ $ 191,236 5 0.03% $ 38,247 5.613% 357.70 675 89.37%
50,000.01 - 100,000.00 ........ 5,581,319 68 0.84 82,078 5.928 359.22 673 81.20
100,000.01 - 150,000.00 ........ 77,420,213 583 11.59 132,796 5.740 358.74 686 81.79
150,000.01 - 200,000.00 ........ 142,993,451 818 21.41 174,809 5.648 358.76 686 80.83
200,000.01 - 250,000.00 ........ 156,958,097 699 23.50 224,547 5.575 358.83 686 81.10
250,000.01 - 300,000.00 ........ 136,255,382 496 20.40 274,708 5.538 358.96 692 80.27
300,000.01 - 350,000.00 ........ 115,129,089 362 17.24 318,036 5.498 359.06 695 79.81
350,000.01 - 400,000.00 ........ 12,792,401 34 1.92 376,247 5.838 359.00 714 79.70
400,000.01 - 450,000.00 ........ 11,766,599 28 1.76 420,236 5.582 359.18 701 72.74
450,000.01 - 500,000.00 ........ 4,295,759 9 0.64 477,307 4.885 358.77 674 73.11
500,000.01 - 550,000.00 ........ 2,106,500 4 0.32 526,625 5.515 359.50 693 75.21
550,000.01 - 600,000.00 ........ 1,153,600 2 0.17 576,800 4.930 360.00 727 70.00
600,000.01 - 650,000.00 ........ 1,276,742 2 0.19 638,371 6.072 360.00 671 64.93
------------- ----- ------ --------- ----- ------ --- -----
Total ....................... $ 667,920,389 3,110 100.00% $ 214,765 5.592% 358.89 690 80.44%
============= ===== ======
As of origination, the average principal balance of the Group 2 Loans will
be approximately $215,038.
Principal Balances as of the Cut-off Date
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
Range of Mortgage No. of % of Average Gross Term Credit Original
Loan Principal Balances Current Balance Loans Total Balance WAC (Months) Score LTV
- -------------------------------- --------------- ------ ------ --------- -------- -------- -------- --------
0.01 - 50,000.00 ........ $ 191,236 5 0.03% $ 38,247 5.613% 357.70 675 89.37%
50,000.01 - 100,000.00 ........ 5,581,319 68 0.84 82,078 5.928 359.22 673 81.20
100,000.01 - 150,000.00 ........ 77,719,806 585 11.64 132,854 5.740 358.74 686 81.82
150,000.01 - 200,000.00 ........ 142,893,698 817 21.39 174,900 5.646 358.76 686 80.82
200,000.01 - 250,000.00 ........ 156,758,257 698 23.47 224,582 5.576 358.84 686 81.09
250,000.01 - 300,000.00 ........ 136,553,796 497 20.44 274,756 5.534 358.95 692 80.25
300,000.01 - 350,000.00 ........ 114,830,676 361 17.19 318,091 5.502 359.07 695 79.84
350,000.01 - 400,000.00 ........ 12,792,401 34 1.92 376,247 5.838 359.00 714 79.70
400,000.01 - 450,000.00 ........ 11,766,599 28 1.76 420,236 5.582 359.18 701 72.74
450,000.01 - 500,000.00 ........ 4,295,759 9 0.64 477,307 4.885 358.77 674 73.11
500,000.01 - 550,000.00 ........ 2,106,500 4 0.32 526,625 5.515 359.50 693 75.21
550,000.01 - 600,000.00 ........ 1,153,600 2 0.17 576,800 4.930 360.00 727 70.00
600,000.01 - 650,000.00 ........ 1,276,742 2 0.19 638,371 6.072 360.00 671 64.93
------------- ----- ------ --------- ----- ------ --- -----
Total ....................... $ 667,920,389 3,110 100.00% $ 214,765 5.592% 358.89 690 80.44%
============= ===== ======
As of the Cut-off Date, the average current principal balance of the Group
2 Loans will be approximately $214,765.
99-23
Mortgage Rates
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
Range of No. of % of Average Gross Term Credit Original
Mortgage Rates (%) Current Balance Loans Total Balance WAC (Months) Score LTV
- -------------------------------- --------------- ------ ------ --------- -------- -------- -------- --------
3.000 - 3.499 .................. $ 1,148,386 6 0.17% $ 191,398 3.267% 357.56 716 80.00%
3.500 - 3.999 .................. 19,528,638 82 2.92 238,154 3.770 358.24 718 73.55
4.000 - 4.499 .................. 44,000,982 193 6.59 227,984 4.248 358.30 712 75.33
4.500 - 4.999 .................. 108,574,026 489 16.26 222,033 4.728 358.57 702 78.31
5.000 - 5.499 .................. 135,836,646 616 20.34 220,514 5.208 358.82 693 79.77
5.500 - 5.999 .................. 173,271,821 854 25.94 202,894 5.714 358.99 684 80.50
6.000 - 6.499 .................. 72,430,050 337 10.84 214,926 6.186 359.19 682 82.14
6.500 - 6.999 .................. 58,347,507 269 8.74 216,905 6.697 359.22 675 83.24
7.000 - 7.499 .................. 25,173,659 114 3.77 220,822 7.234 359.46 676 86.28
7.500 - 7.999 .................. 17,498,318 88 2.62 198,845 7.693 359.25 674 88.86
8.000 - 8.499 .................. 4,398,237 22 0.66 199,920 8.154 359.13 649 86.12
8.500 - 8.999 .................. 4,873,633 26 0.73 187,447 8.701 359.25 662 90.95
9.000 - 9.499 .................. 2,313,549 11 0.35 210,323 9.139 359.52 642 88.29
9.500 - 9.999 .................. 524,936 3 0.08 174,979 9.792 359.72 557 74.68
------------- ----- ------ --------- ----- ------ --- -----
Total ....................... $ 667,920,389 3,110 100.00% $ 214,765 5.592% 358.89 690 80.44%
============= ===== ======
As of the Cut-off Date, the weighted average mortgage rate of the Group 2
Loans will be approximately 5.592% per annum.
99-24
Next Adjustment Date
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
Current No. of % of Average Gross Term Credit Original
Next Adjustment Date Balance Loans Total Balance WAC (Months) Score LTV
- ---------------------- ------------- ------ ------ --------- -------- -------- -------- --------
September 1, 2004 .... $ 235,200 1 0.04% $ 235,200 4.500% 359.00 762 70.00%
November 1, 2004 ..... 947,551 4 0.14 236,888 4.395 359.25 699 80.00
December 1, 2004 ..... 1,354,950 6 0.20 225,825 5.921 358.29 680 87.57
January 1, 2005 ...... 26,103,856 110 3.91 237,308 5.365 359.00 699 81.01
February 1, 2005 ..... 26,444,874 121 3.96 218,553 5.296 360.00 701 76.86
March 1, 2005 ........ 6,934,000 30 1.04 231,133 5.579 360.00 705 80.15
May 1, 2005 .......... 128,682 1 0.02 128,682 6.000 357.00 682 80.00
July 1, 2005 ......... 622,592 3 0.09 207,531 7.169 359.00 652 80.62
August 1, 2005 ....... 908,372 3 0.14 302,791 6.197 360.00 738 85.17
September 1, 2005 .... 1,157,880 6 0.17 192,980 5.568 360.00 699 80.48
February 1, 2006 ..... 546,994 2 0.08 273,497 7.507 354.00 596 84.03
March 1, 2006 ........ 291,657 2 0.04 145,829 6.392 355.00 668 92.28
April 1, 2006 ........ 17,028,633 78 2.55 218,316 4.881 356.00 681 86.80
May 1, 2006 .......... 55,054,482 266 8.24 206,972 5.052 357.00 683 88.45
June 1, 2006 ......... 57,472,255 279 8.60 205,994 5.678 358.04 681 86.68
July 1, 2006 ......... 94,687,257 424 14.18 223,319 6.065 359.01 688 80.40
August 1, 2006 ....... 127,208,504 550 19.05 231,288 5.785 360.00 696 77.85
September 1, 2006 .... 33,078,948 155 4.95 213,413 5.631 360.00 695 77.65
March 1, 2007 ........ 312,381 1 0.05 312,381 4.250 355.00 689 78.75
April 1, 2007 ........ 8,021,141 42 1.20 190,980 4.656 356.02 682 81.89
May 1, 2007 .......... 30,878,910 154 4.62 200,512 4.935 357.10 686 84.18
June 1, 2007 ......... 43,257,679 221 6.48 195,736 5.473 358.25 679 81.43
July 1, 2007 ......... 60,880,994 312 9.12 195,131 5.590 359.12 678 78.52
August 1, 2007 ....... 39,442,919 181 5.91 217,917 5.735 360.00 692 75.75
September 1, 2007 .... 8,593,302 41 1.29 209,593 5.467 360.00 696 73.69
May 1, 2009 .......... 432,000 2 0.06 216,000 5.625 357.00 724 74.74
June 1, 2009 ......... 944,873 5 0.14 188,975 5.212 358.00 707 73.96
July 1, 2009 ......... 8,103,598 39 1.21 207,785 6.038 359.00 712 75.08
August 1, 2009 ....... 10,971,760 48 1.64 228,578 5.964 360.00 711 71.80
September 1, 2009 .... 3,295,172 13 0.49 253,475 5.731 360.00 707 66.98
June 1, 2011 ......... 240,000 1 0.04 240,000 5.000 358.00 640 80.00
July 1, 2011 ......... 236,168 1 0.04 236,168 5.375 359.00 751 64.98
August 1, 2011 ....... 740,557 3 0.11 246,852 5.770 360.00 708 60.92
September 1, 2011 .... 253,000 1 0.04 253,000 5.375 360.00 746 62.47
June 4, 2014 ......... 805,249 3 0.12 268,416 4.951 358.00 743 65.95
July 4, 2014 ......... 304,000 1 0.05 304,000 5.875 359.00 774 80.00
------------- ----- ------ --------- ----- ------ --- -----
Total ............. $ 667,920,389 3,110 100.00% $ 214,765 5.592% 358.89 690 80.44%
============= ===== ======
- ----------
As of the Cut-off Date, the weighted average remaining months to the next
adjustment date of the Group 2 Loans will be approximately 26 months.
99-25
Gross Margin
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
Current No. of % of Average Gross Term Credit Original
Range of Gross Margins (%) Balance Loans Total Balance WAC (Months) Score LTV
- -------------------------- ------------- ------ ------ --------- -------- -------- -------- --------
1.250 - 1.499 ............ $ 83,591 1 0.01% $ 83,591 4.990% 358.00 709 79.90%
1.750 - 1.999 ............ 5,528,678 26 0.83 212,641 3.850 357.36 731 78.96
2.000 - 2.249 ............ 6,371,549 32 0.95 199,111 4.344 357.80 713 75.69
2.250 - 2.499 ............ 21,334,656 93 3.19 229,405 4.719 358.03 708 73.39
2.500 - 2.749 ............ 17,356,456 85 2.60 204,194 4.676 357.37 693 77.68
2.750 - 2.999 ............ 39,471,320 181 5.91 218,074 5.019 357.47 695 82.94
3.000 - 3.249 ............ 59,272,749 280 8.87 211,688 5.117 358.10 702 84.87
3.250 - 3.499 ............ 118,247,024 530 17.70 223,108 5.297 359.03 726 79.20
3.500 - 3.749 ............ 70,586,541 318 10.57 221,970 5.518 359.05 688 81.82
3.750 - 3.999 ............ 132,897,535 596 19.90 222,982 5.743 359.49 677 77.95
4.000 - 4.249 ............ 7,786,374 42 1.17 185,390 6.266 358.53 689 87.28
4.250 - 4.499 ............ 9,373,184 44 1.40 213,027 5.993 359.13 648 81.35
4.500 - 4.749 ............ 11,191,400 54 1.68 207,248 5.871 359.13 673 81.71
4.750 - 4.999 ............ 13,265,159 63 1.99 210,558 5.696 359.20 672 80.90
5.000 - 5.249 ............ 33,286,796 164 4.98 202,968 6.261 359.17 675 81.32
5.250 - 5.499 ............ 24,040,568 132 3.60 182,126 5.816 359.09 662 80.17
5.500 - 5.749 ............ 30,513,659 164 4.57 186,059 6.007 359.18 659 81.07
5.750 - 5.999 ............ 35,287,140 159 5.28 221,932 6.341 359.38 680 80.27
6.000 - 6.249 ............ 12,352,613 56 1.85 220,582 6.642 359.22 650 82.96
6.250 - 6.499 ............ 11,025,388 50 1.65 220,508 6.909 359.02 655 89.32
6.500 - 6.749 ............ 3,205,857 15 0.48 213,724 7.109 359.50 650 84.57
6.750 - 6.999 ............ 2,621,597 12 0.39 218,466 6.685 359.21 669 76.30
7.000 - 7.249 ............ 684,352 2 0.10 342,176 6.938 360.00 686 71.41
7.250 - 7.499 ............ 352,792 2 0.05 176,396 7.672 357.49 642 91.89
7.500 - 7.749 ............ 422,100 2 0.06 211,050 7.885 358.56 632 90.00
7.750 - 7.999 ............ 131,791 1 0.02 131,791 9.190 358.00 636 67.34
8.250 - 8.499 ............ 188,912 1 0.03 188,912 9.750 360.00 526 54.00
8.500 - 8.749 ............ 328,898 2 0.05 164,449 8.598 359.39 664 82.30
8.750 - 8.999 ............ 209,000 1 0.03 209,000 9.000 360.00 686 95.00
9.000 - 9.249 ............ 312,794 1 0.05 312,794 9.250 359.00 643 95.00
9.500 - 9.749 ............ 189,916 1 0.03 189,916 9.990 360.00 627 95.00
------------- ----- ------ --------- ----- ------ --- -----
Total ................. $ 667,920,389 3,110 100.00% $ 214,765 5.592% 358.89 690 80.44%
============= ===== ======
- ----------
As of the Cut-off Date, the weighted average Gross Margin of the Group 2
Loans will be approximately 3.925% per annum.
99-26
Maximum Mortgage Rate
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
Range of Maximum Current No. of % of Average Gross Term Credit Original
Mortgage Rates (%) Balance Loans Total Balance WAC (Months) Score LTV
- -------------------- ------------- ------ ------ --------- -------- -------- -------- --------
9.000 - 9.499 .... $ 1,148,386 6 0.17% $ 191,398 3.267% 357.56 716 80.00%
9.500 - 9.999 .... 21,384,889 90 3.20 237,610 3.893 358.33 717 73.93
10.000 - 10.499 .... 45,676,006 201 6.84 227,244 4.285 358.31 713 75.17
10.500 - 10.999 .... 108,136,624 488 16.19 221,591 4.740 358.58 702 78.41
11.000 - 11.499 .... 130,001,627 593 19.46 219,227 5.206 358.80 693 79.99
11.500 - 11.999 .... 164,559,270 813 24.64 202,410 5.714 358.95 683 80.69
12.000 - 12.499 .... 68,419,444 320 10.24 213,811 6.129 359.19 681 81.68
12.500 - 12.999 .... 58,447,194 270 8.75 216,471 6.543 359.23 676 82.91
13.000 - 13.499 .... 31,639,274 138 4.74 229,270 6.965 359.44 681 84.83
13.500 - 13.999 .... 21,336,255 105 3.19 203,202 7.379 359.34 678 86.67
14.000 - 14.499 .... 7,269,278 35 1.09 207,694 7.875 359.42 665 85.92
14.500 - 14.999 .... 5,736,782 31 0.86 185,057 8.407 359.45 679 91.05
15.000 - 15.499 .... 2,628,676 12 0.39 219,056 8.996 359.56 630 87.25
15.500 - 15.999 .... 870,236 4 0.13 217,559 9.024 358.28 621 89.06
16.000 - 16.499 .... 131,791 1 0.02 131,791 9.190 358.00 636 67.34
16.500 - 16.999 .... 534,656 3 0.08 178,219 9.240 359.35 570 67.23
------------- ----- ------ --------- ----- ------ --- -----
Total ........... $ 667,920,389 3,110 100.00% $ 214,765 5.592% 358.89 690 80.44%
============= ===== ======
- ----------
As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the
Group 2 Loans will be approximately 11.635% per annum.
99-27
Initial Fixed-Rate Period
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Initial Fixed Period Current Balance Loans Total Balance WAC (Months) Score LTV
- -------------------- --------------- ------ ------ --------- -------- -------- -------- --------
One Month .......... $ 235,200 1 0.04% $ 235,200 4.500% 359.00 762 70.00%
Three Months ....... 904,351 4 0.14 226,088 5.196 360.00 686 82.15
Six Months ......... 60,880,880 267 9.11 228,018 5.359 359.52 701 79.22
One Year ........... 2,817,526 13 0.42 216,733 6.144 359.64 700 82.00
Two Years .......... 385,513,611 1,757 57.72 219,416 5.683 358.85 689 81.69
Three Years ........ 191,242,445 951 28.63 201,096 5.440 358.68 684 79.48
Five Years ......... 23,747,403 107 3.56 221,938 5.921 359.52 711 72.39
Seven Years ........ 1,469,725 6 0.22 244,954 5.513 359.51 710 64.96
Ten Years .......... 1,109,249 4 0.17 277,312 5.204 358.27 752 69.80
------------- ----- ------ --------- ----- ------ --- -----
Total ........... $ 667,920,389 3,110 100.00% $ 214,765 5.592% 358.89 690 80.44%
============= ===== ======
Initial Rate Cap
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Initial Cap (%) Current Balance Loans Total Balance WAC (Months) Score LTV
- --------------- --------------- ------ ------ --------- -------- -------- -------- --------
1.000 ......... $ 63,255,541 277 9.47% $ 228,359 5.342% 359.53 701 79.30%
1.500 ......... 889,465 4 0.13 222,366 7.427 358.03 608 77.33
2.000 ......... 7,585,474 32 1.14 237,046 6.048 359.14 693 82.03
3.000 ......... 420,869,648 1,952 63.01 215,609 5.822 359.45 689 78.42
3.375 ......... 163,649 1 0.02 163,649 5.625 359.00 630 80.00
5.000 ......... 3,247,434 13 0.49 249,803 5.931 358.94 696 76.43
6.000 ......... 171,909,177 831 25.74 206,870 5.086 357.27 688 85.84
------------- ----- ------ --------- ----- ------ --- -----
Total ...... $ 667,920,389 3,110 100.00% $ 214,765 5.592% 358.89 690 80.44%
============= ===== ======
Periodic Rate Cap
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Subsequent Cap (%) Current Balance Loans Total Balance WAC (Months) Score LTV
- ------------------ --------------- ------ ------ --------- -------- -------- -------- --------
1.000 ............ $ 660,789,853 3,082 98.93% $ 214,403 5.581% 358.89 690 80.55%
1.500 ............ 2,113,137 9 0.32 234,793 8.002 359.34 569 70.60
2.000 ............ 5,017,399 19 0.75 264,074 6.059 359.24 679 70.01
------------- ----- ------ --------- ----- ------ --- -----
Total ......... $ 667,920,389 3,110 100.00% $ 214,765 5.592% 358.89 690 80.44%
============= ===== ======
99-28
Original Loan-to-Value Ratios
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
Range of Loan-to-Value Current No. of % of Average Gross Term Credit Original
Ratios (%) Balance Loans Total Balance WAC (Months) Score LTV
- ---------------------- ------------- ------ ------ --------- -------- -------- -------- --------
20.01 - 25.00 ....... $ 272,728 1 0.04% $ 272,728 5.990% 360.00 708 20.22%
25.01 - 30.00 ....... 335,000 2 0.05 167,500 4.718 359.58 712 27.15
30.01 - 35.00 ....... 889,047 4 0.13 222,262 4.756 358.43 711 32.99
35.01 - 40.00 ....... 1,337,023 8 0.20 167,128 5.502 358.96 672 37.44
40.01 - 45.00 ....... 1,603,718 10 0.24 160,372 4.916 359.38 697 43.27
45.01 - 50.00 ....... 2,983,066 13 0.45 229,467 5.086 358.68 675 48.13
50.01 - 55.00 ....... 4,034,301 23 0.60 175,404 5.504 359.20 686 53.01
55.01 - 60.00 ....... 8,532,572 37 1.28 230,610 5.452 359.17 679 58.50
60.01 - 65.00 ....... 12,460,447 54 1.87 230,749 5.158 359.10 703 63.16
65.01 - 70.00 ....... 102,858,438 420 15.40 244,901 4.970 359.57 710 69.58
70.01 - 75.00 ....... 23,799,367 108 3.56 220,365 5.348 358.72 686 73.82
75.01 - 80.00 ....... 298,675,967 1,406 44.72 212,430 5.582 359.19 689 79.83
80.01 - 85.00 ....... 19,508,595 95 2.92 205,354 5.762 358.43 673 83.90
85.01 - 90.00 ....... 109,530,815 524 16.40 209,028 6.091 358.24 682 89.73
90.01 - 95.00 ....... 78,509,394 391 11.75 200,791 5.872 357.82 679 94.79
95.01 - 100.00 ....... 2,589,910 14 0.39 184,994 6.901 359.12 729 99.51
------------- ----- ------ --------- ----- ------ --- -----
Total ............. $ 667,920,389 3,110 100.00% $ 214,765 5.592% 358.89 690 80.44%
============= ===== ======
- ----------
The minimum and maximum loan-to-value ratios of the Group 2 Loans at
origination were approximately 20.22% and 100.00%, respectively, and the
weighted average of the loan-to-value ratios of the Group 2 Loans at origination
was approximately 80.44%.
Occupancy Types
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Occupancy Current Balance Loans Total Balance WAC (Months) Score LTV
- ------------------ --------------- ------ ------ --------- -------- -------- -------- --------
Owner Occupied ... $ 533,468,296 2,493 79.87% $ 213,986 5.550% 358.90 686 80.81%
Investment ....... 116,944,171 532 17.51 219,820 5.819 358.86 703 79.02
Second Home ...... 17,507,922 85 2.62 205,976 5.356 358.80 704 78.72
------------- ----- ------ --------- ----- ------ --- -----
Total ......... $ 667,920,389 3,110 100.00% $ 214,765 5.592% 358.89 690 80.44%
============= ===== ======
- ----------
Occupancy type is based on the representation of the borrower at the time
of origination.
99-29
Mortgage Loan Program and Documentation Type
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Document Type Current Balance Loans Total Balance WAC (Months) Score LTV
- ----------------------------------- --------------- ------ ------ --------- -------- -------- -------- --------
Progressive Series Program
(Limited
(Stated) Documentation) ........ $ 254,355,862 1,101 38.08% $ 231,023 5.593% 359.43 700 77.85%
Progressive Series Program
(Full Documentation) ........... 162,992,178 809 24.40 201,474 5.442 359.31 681 78.56
Progressive Express(TM)
Program (Non Verified
Assets) ........................ 136,861,067 645 20.49 212,188 5.607 357.97 680 84.34
Progressive Express(TM) No
Doc Program (No
Documentation) ................. 69,310,519 354 10.38 195,792 5.496 357.70 692 85.43
Progressive Express(TM)
Program (Verified Assets) ...... 34,961,037 157 5.23 222,682 6.206 358.86 687 82.49
Progressive Express(TM)No
Doc Program (Verified
Assets) ........................ 3,988,306 19 0.60 209,911 6.734 359.68 705 90.01
Progressive Series Program (
Alternative Documentation) ..... 1,990,840 8 0.30 248,855 5.942 359.71 670 80.86
Progressive Series Program
(Full Income/Stated Assets
Documentation) ................. 1,931,218 12 0.29 160,935 6.036 358.57 659 84.76
Progressive Series Program
(No Income/No Asset
Documentation) ................. 1,529,363 5 0.23 305,873 6.445 359.41 671 58.35
------------- ----- ------ --------- ----- ------ --- -----
Total ....................... $ 667,920,389 3,110 100.00% $ 214,765 5.592% 358.89 690 80.44%
============= ===== ======
See "--Underwriting Standards" below for a detailed description of the
Seller's loan programs and documentation requirements.
99-30
Risk Categories
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Credit Grade Category Current Balance Loans Total Balance WAC (Months) Score LTV
- --------------------------------- --------------- ------ ------ --------- -------- -------- -------- -------
A+(1) ........................... $ 320,543,032 1,449 47.99% $ 221,217 5.321% 358.95 725 79.32%
A(1) ............................ 254,546,663 1,200 38.11 212,122 5.610 358.65 654 81.78
A-(1) ........................... 22,998,053 123 3.44 186,976 6.102 359.08 613 78.77
C(1) ............................ 229,802 1 0.03 229,802 6.750 359.00 545 68.24
CX(1) ........................... 415,553 2 0.06 207,776 9.014 356.73 526 62.15
Progressive Express(TM) I(2) .... 36,384,573 179 5.45 203,266 6.220 359.52 726 80.82
Progressive Express(TM) II(2) ... 26,241,760 126 3.93 208,268 6.980 359.37 650 83.14
Progressive Express(TM)III(2) ... 2,512,043 12 0.38 209,337 7.041 359.49 624 82.43
Progressive Express(TM) IV(2) ... 2,324,684 11 0.35 211,335 6.540 359.29 602 77.53
Progressive Express(TM) V(2) .... 1,278,318 5 0.19 255,664 7.601 359.25 588 72.06
Progressive Express(TM) VI(2) ... 445,907 2 0.07 222,953 8.521 359.00 518 69.40
------------- ----- ------ --------- ----- ------ --- -----
Total ........................ $ 667,920,389 3,110 100.00% $ 214,765 5.592% 358.89 690 80.44%
============= ===== ======
- ----------
(1) All of these Group 2 Loans were reviewed and placed into risk categories
based on the credit standards of the Progressive Series Program. Credit grades
of A+, A, A-, C and CX correspond to Progressive Series I+, I and II, III and
III+, V and VI, respectively.
(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 "Credit Score" score and therefore these Group 2 Loans do not
correspond to the alphabetical risk categories listed above. Each mortgage loan
originated pursuant to the Express Priority Refi(TM) Program has been placed in
either Progressive Express(TM) Program II or III.
See "--Underwriting Standards" below for a description of the Seller's
risk categories.
99-31
Property Types
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Property Type Current Balance Loans Total Balance WAC (Months) Score LTV
- ---------------------------- --------------- ------ ------ --------- -------- -------- -------- --------
Single-Family Residence .... $ 439,920,897 2,122 65.86% $ 207,314 5.533% 358.73 686 81.32%
Condominium ................ 79,759,458 385 11.94 207,167 5.458 359.00 702 79.89
De minimis PUD ............. 44,848,303 196 6.71 228,818 5.835 359.57 689 79.12
Planned Unit Development ... 30,908,311 148 4.63 208,840 5.919 359.51 691 80.32
Two Family ................. 27,705,791 114 4.15 243,033 5.940 358.96 697 79.80
Four Family ................ 24,146,516 70 3.62 344,950 5.674 359.05 702 74.68
Three Family ............... 13,678,051 45 2.05 303,957 5.617 359.08 699 71.96
Highrise/Condominium ....... 4,620,191 17 0.69 271,776 6.110 359.33 712 80.95
Townhouse .................. 2,332,871 13 0.35 179,452 6.266 359.44 654 77.33
------------- ----- ------ --------- ----- ------ --- -----
Total ................... $ 667,920,389 3,110 100.00% $ 214,765 5.592% 358.89 690 80.44%
============= ===== ======
99-32
Geographic Distribution of Mortgaged Properties
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
Current No. of % of Average Gross Term Credit Original
State Balance Loans Total Balance WAC (Months) Score LTV
- ------------------------ ------------- ------ ------ --------- -------- -------- -------- --------
Alabama ................ $ 1,648,465 9 0.25% $ 183,163 4.760% 358.57 706 77.46%
Arkansas ............... 1,708,471 10 0.26 170,847 6.052 358.18 697 90.65
Arizona ................ 22,780,051 131 3.41 173,894 5.752 358.56 670 82.88
California ............. 297,215,804 1,179 44.50 252,091 5.460 359.28 698 77.47
Colorado ............... 18,735,559 99 2.81 189,248 5.439 358.31 684 83.61
Connecticut ............ 3,414,573 18 0.51 189,698 6.094 358.16 675 83.61
District of Columbia ... 1,395,180 6 0.21 232,530 6.064 358.72 626 81.86
Delaware ............... 2,086,181 12 0.31 173,848 5.094 357.27 673 86.17
Florida ................ 50,417,563 281 7.55 179,422 6.021 358.96 689 83.67
Georgia ................ 8,952,932 49 1.34 182,713 5.435 358.27 683 87.48
Hawaii ................. 3,699,549 12 0.55 308,296 6.182 358.93 674 76.51
Iowa ................... 975,775 7 0.15 139,396 5.547 358.13 689 87.66
Idaho .................. 1,059,667 7 0.16 151,381 5.881 358.69 650 87.93
Illinois ............... 20,224,166 107 3.03 189,011 5.871 358.68 684 82.49
Indiana ................ 2,567,594 14 0.38 183,400 6.003 359.13 711 81.84
Kansas ................. 2,501,387 14 0.37 178,670 5.608 358.42 697 84.71
Kentucky ............... 1,007,525 9 0.15 111,947 5.563 358.71 675 85.45
Louisiana .............. 421,207 3 0.06 140,402 5.292 356.97 686 88.98
Massachusetts .......... 19,018,484 80 2.85 237,731 5.408 358.47 680 77.87
Maryland ............... 15,800,113 76 2.37 207,896 5.712 358.99 686 81.69
Maine .................. 679,918 3 0.10 226,639 4.967 357.29 733 76.34
Michigan ............... 5,171,742 30 0.77 172,391 6.160 358.72 676 85.81
Minnesota .............. 23,267,935 121 3.48 192,297 5.624 358.24 675 84.42
Missouri ............... 5,765,932 34 0.86 169,586 5.604 358.06 668 86.88
Mississippi ............ 1,446,582 9 0.22 160,731 5.331 358.06 660 81.95
Montana ................ 997,095 5 0.15 199,419 6.708 358.18 643 88.77
North Carolina ......... 5,569,102 32 0.83 174,034 5.709 358.43 691 84.66
North Dakota ........... 135,855 1 0.02 135,855 5.650 360.00 752 80.00
Nebraska ............... 1,012,418 6 0.15 168,736 5.596 357.42 662 92.54
New Hampshire .......... 3,503,664 16 0.52 218,979 5.329 357.94 678 78.71
New Jersey ............. 14,342,729 58 2.15 247,288 5.997 358.53 675 82.60
New Mexico ............. 1,907,643 10 0.29 190,764 5.916 358.40 694 84.20
Nevada ................. 30,869,630 146 4.62 211,436 5.699 358.71 694 81.46
New York ............... 8,883,513 35 1.33 253,815 5.787 358.10 671 81.57
Ohio ................... 6,103,172 37 0.91 164,951 5.375 358.33 674 82.61
Oklahoma ............... 640,189 5 0.10 128,038 7.005 358.79 691 91.00
Oregon ................. 10,350,693 62 1.55 166,947 5.289 358.81 683 80.11
Pennsylvania ........... 4,095,943 22 0.61 186,179 5.659 358.77 677 80.97
Rhode Island ........... 1,477,132 6 0.22 246,189 5.779 357.86 694 89.54
South Carolina ......... 3,117,758 18 0.47 173,209 5.500 357.77 696 90.53
South Dakota ........... 580,166 3 0.09 193,389 5.520 359.00 672 78.45
Tennessee .............. 1,706,559 11 0.26 155,142 5.448 358.19 669 85.87
Texas .................. 9,495,964 55 1.42 172,654 5.847 358.69 686 83.94
Utah ................... 6,149,523 37 0.92 166,203 5.450 358.78 715 83.05
Virginia ............... 21,674,854 99 3.25 218,938 5.705 358.62 682 83.36
Washington ............. 18,718,516 100 2.80 187,185 5.317 358.83 681 80.47
Wisconsin .............. 4,497,681 25 0.67 179,907 5.540 357.86 672 82.99
West Virginia .......... 128,236 1 0.02 128,236 4.250 358.00 674 78.04
------------- ----- ------ --------- ----- ------ --- -----
Total ............... $ 667,920,389 3,110 100.00% $ 214,765 5.592% 358.89 690 80.44%
============= ===== ======
99-33
No more than approximately 0.64% 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.
Debt-to-Income Ratio
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Description (%) Current Balance Loans Total Balance WAC (Months) Score LTV
- ----------------------- --------------- ------ ------ --------- -------- -------- -------- -------
0.01 - 5.00 ....... $ 487,500 2 0.07% $ 243,750 5.255% 359.65 732 63.33%
5.01 - 10.00 ....... 735,463 5 0.11 147,093 5.498 359.19 644 79.29
10.01 - 15.00 ....... 2,159,295 9 0.32 239,922 5.688 359.45 672 76.53
15.01 - 20.00 ....... 7,296,702 35 1.09 208,477 5.441 359.47 698 75.92
20.01 - 25.00 ....... 13,573,713 62 2.03 218,931 5.868 359.35 694 75.16
25.01 - 30.00 ....... 24,000,196 114 3.59 210,528 5.641 359.45 694 76.71
30.01 - 35.00 ....... 46,670,377 216 6.99 216,067 5.614 359.46 690 77.99
35.01 - 40.00 ....... 81,024,487 380 12.13 213,222 5.691 359.44 693 78.70
40.01 - 45.00 ....... 112,255,189 491 16.81 228,626 5.760 359.44 688 78.71
45.01 - 50.00 ....... 107,144,097 496 16.04 216,016 5.663 359.40 686 79.10
50.01 - 55.00 ....... 9,036,407 37 1.35 244,227 5.272 359.37 695 72.94
Greater than 55.00 .... 1,273,145 6 0.19 212,191 6.775 359.64 661 74.45
Not Required .......... 262,263,818 1,257 39.27 208,643 5.447 358.06 690 83.79
------------- ----- ------ --------- ----- ------ --- -----
Total .............. $ 667,920,389 3,110 100.00% $ 214,765 5.592% 358.89 690 80.44%
============= ===== ======
As of the Cut-off Date, the weighted average debt-to-income ratio of the
Group 2 Loans will be approximately 39.87% per annum.
Prepayment Penalty
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Number of Months Current Balance Loans Total Balance WAC (Months) Score LTV
- ----------------------- --------------- ------ ------ --------- -------- -------- -------- -------
0 ..................... $ 176,924,978 821 26.49% $ 215,499 5.638% 358.39 690 82.30%
6 ..................... 5,382,765 24 0.81 224,282 5.534 359.14 703 77.79
7 ..................... 366,800 2 0.05 183,400 4.099 360.00 711 70.00
12 .................... 97,644,924 417 14.62 234,160 5.441 359.35 697 76.86
24 .................... 265,221,210 1,224 39.71 216,684 5.657 358.97 689 81.23
36 .................... 122,379,712 622 18.32 196,752 5.512 359.06 683 79.05
------------- ----- ------ --------- ----- ------ --- -----
Total .............. $ 667,920,389 3,110 100.00% $ 214,765 5.592% 358.89 690 80.44%
============= ===== ======
99-34
Months Remaining to Scheduled Maturity
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Range of Months Current Balance Loans Total Balance WAC (Months) Score LTV
- -------------------------------- --------------- ------ ------ --------- -------- -------- -------- --------
301-360 ........................ $ 667,920,389 3,110 100.00% $ 214,765 5.592% 358.89 690 80.44%
------------- ----- ------ --------- ------ ------ --- -----
Total ....................... $ 667,920,389 3,110 100.00% $ 214,765 5.592% 358.89 690 80.44%
============= ===== ======
As of the Cut-off Date, the weighted average months remaining to scheduled
maturity of the Group 2 Loans will be approximately 359 months.
Credit Scores
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Range of Credit Scores Current Balance Loans Total Balance WAC (Months) Score LTV
- -------------------------------- --------------- ------ ------ --------- -------- -------- -------- --------
801-820 ........................ $ 2,214,307 9 0.33% $ 246,034 4.959% 358.42 805 75.95%
781-800 ........................ 21,889,959 98 3.28 223,367 5.155 359.00 789 77.57
761-780 ........................ 36,282,875 162 5.43 223,968 5.158 358.99 770 77.40
741-760 ........................ 50,114,504 226 7.50 221,746 5.345 359.23 749 78.21
721-740 ........................ 67,469,320 304 10.10 221,939 5.386 359.00 730 79.18
701-720 ........................ 81,311,989 375 12.17 216,832 5.526 358.96 710 81.20
681-700 ........................ 100,855,676 472 15.10 213,677 5.564 358.98 690 80.35
661-680 ........................ 102,040,100 462 15.28 220,866 5.571 358.84 671 80.61
641-660 ........................ 97,265,793 468 14.56 207,833 5.786 358.75 651 81.97
621-640 ........................ 77,120,790 373 11.55 206,758 5.871 358.53 631 83.04
601-620 ........................ 26,171,206 137 3.92 191,031 6.143 359.00 612 80.42
581-600 ........................ 2,951,891 15 0.44 196,793 6.706 359.49 593 75.96
561-580 ........................ 817,259 3 0.12 272,420 7.022 359.62 577 67.57
541-560 ........................ 553,261 2 0.08 276,631 8.036 358.42 549 75.12
521-540 ........................ 715,352 3 0.11 238,451 8.589 357.68 525 64.04
501-520 ........................ 146,108 1 0.02 146,108 9.590 359.00 506 75.00
------------- ----- ------ --------- ----- ------ --- -----
Total ....................... $ 667,920,389 3,110 100.00% $ 214,765 5.592% 358.89 690 80.44%
============= ===== ======
As of the Cut-off Date, the weighted average credit score of the Group 2
Loans for which credit scores are available will be approximately 690.
99-35
Range of Months to Roll
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Number of Months Current Balance Loans Total Balance WAC (Months) Score LTV
- ------------------- --------------- ------ ------ --------- -------- -------- -------- --------
1-6 ............... $ 62,020,430 272 9.29% $ 228,016 5.353% 359.53 701 79.23%
7-12 .............. 2,817,526 13 0.42 216,733 6.144 359.64 700 82.00
13-18 ............. 546,994 2 0.08 273,497 7.507 354.00 596 84.03
19-24 ............. 384,966,616 1,755 57.64 219,354 5.681 358.85 689 81.69
25-31 ............. 312,381 1 0.05 312,381 4.250 355.00 689 78.75
32-37 ............. 190,930,064 950 28.59 200,979 5.442 358.69 684 79.48
56-61 ............. 23,747,403 107 3.56 221,938 5.921 359.52 711 72.39
80-85 ............. 1,469,725 6 0.22 244,954 5.513 359.51 710 64.96
Greater than 85 ... 1,109,249 4 0.17 277,312 5.204 358.27 752 69.80
------------- ----- ------ --------- ----- ------ --- -----
Total .......... $ 667,920,389 3,110 100.00% $ 214,765 5.592% 358.89 690 80.44%
============= ===== ======
As of the Cut-off Date, the weighted average months to roll of the Group 2
Loans will be approximately 26 months.
Loan Purposes
Weighted
Weighted Average Weighted Weighted
Average Remg. Average Average
No. of % of Average Gross Term Credit Original
Loan Purpose Current Balance Loans Total Balance WAC (Months) Score LTV
- ------------------------- --------------- ------ ------ --------- -------- -------- -------- --------
Purchase ................ $ 433,406,565 2,016 64.89% $ 214,983 5.606% 358.98 699 81.47%
Refinance - Cash Out .... 177,750,283 810 26.61 219,445 5.562 358.67 673 78.06
Refinance - Rate/Term ... 56,763,540 284 8.50 199,872 5.579 358.90 672 80.04
------------- ----- ------ --------- ----- ------ --- -----
Total ................ $ 667,920,389 3,110 100.00% $ 214,765 5.592% 358.89 690 80.44%
============= ===== ======
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.
99-36