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
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 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 mortgage loans to the company on the Closing
Date pursuant to the Mortgage Loan Purchase Agreement and the company conveyed
the mortgage loans to the trust on the Closing Date pursuant to the Agreement.
The Seller made certain representations and warranties with respect to the
mortgage loans in the Mortgage Loan Purchase Agreement. These representations
and warranties were assigned by the company to the Trustee for the benefit of
the Certificateholders. As more particularly described in the prospectus, the
Seller 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. 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.
PREPAYMENT CHARGES
Approximately 72.11% of the mortgage loans in Loan Group 1 and 67.74%
of the 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
7
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 mortgage loans range from .330% to 2.220% of the Stated Principal Balance of
the related Radian PMI Insured Loan and the Radian PMI Rates for the mortgage
loans have a weighted average of approximately 1.127%.
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.
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.
7
MORTGAGE LOAN CHARACTERISTICS
The mortgage pool is comprised of 3,781 mortgage loans, 1,240 of which
are in Loan Group 1 and 2,541 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 $475,031,765, 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 $383,682. No Group 1 Loan had a principal balance at origination
of greater than approximately $1,850,000 or less than approximately $50,400. The
average principal balance of the Group 1 Loans as of the Cut-off Date was
approximately $383,090. No Group 1 Loan had a principal balance as of the
Cut-off Date of greater than approximately $1,850,000 or less than approximately
$50,362.
As of the Cut-off Date, the Group 1 Loans had mortgage rates ranging
from approximately 3.500% per annum to approximately 10.500% per annum and the
weighted average mortgage rate was approximately 5.724% per annum. The weighted
average remaining term to stated maturity of the Group 1 Loans was approximately
358 months as of the Cut-off Date. None of the Group 1 Loans will have a first
Due Date prior to April 1, 2004, or after February 1, 2005, or will have a
remaining term to maturity of less than 350 months or greater than 360 months as
of the Cut-off Date. The latest maturity date of any Group 1 Loan is January 1,
2035.
Approximately .10%, 74.32% and 10.22% of the Group 1 Loans have initial
interest only periods of three, five and ten years, respectively.
The loan-to-value ratio of a mortgage loan secured by a first lien is
equal to the ratio, expressed as a percentage, of the principal amount of the
loan at origination, to the lesser of the appraised value of the related
mortgaged property at the time of origination and the sales price. The weighted
average of the loan-to-value ratios at origination of the Group 1 Loans was
approximately 75.56%. No loan-to-value ratio at origination of any Group 1 Loan
was greater than approximately 100.00% or less than approximately 25.00%.
8
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 72.11% of the Group 1 Loans provide for prepayment
charges.
Approximately 1.53% and 9.58% 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
1.140% 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.
9
MORTGAGE LOAN PROGRAMS(1)
WEIGHTED
AVERAGE WEIGHTED WEIGHTED
NO. WEIGHTED REMG. AVERAGE AVERAGE
CURRENT OF % OF AVERAGE AVERAGE TERM CREDIT ORIGINAL
LOAN PROGRAMS BALANCE LOANS TOTAL BALANCE GROSS WAC (MONTHS) SCORE LTV
- ---------------------------- ------------ ----- ------ ------- --------- -------- -------- --------
30Y LIB1M - IO ............. $1,902,500 3 0.40% $634,167 4.778% 358 656 77.27%
30Y LIB6M .................. 2,726,181 7 0.57 389,454 6.997 359 691 84.80
30Y LIB6M - I .............. 61,967,113 128 13.04 484,118 5.454 359 695 74.51
30Y LIB12 .................. 817,355 2 0.17 408,678 8.459 359 659 88.55
30Y LIB12M - IO ............ 6,314,765 16 1.33 394,673 5.604 358 686 77.60
2/28 LIB6M ................. 24,190,883 74 5.09 326,904 6.446 358 664 78.30
2/28 LIB6M - IO ............ 184,122,365 408 38.76 451,280 5.883 358 685 78.37
3/27 LIB6M ................. 31,390,999 178 6.61 176,354 6.133 357 664 78.41
3/27 LIB6M - IO ............ 48,727,622 119 10.26 409,476 5.593 358 686 72.54
5/25 LIB6M ................. 11,517,862 41 2.42 280,923 5.737 358 689 74.10
5/25 LIB6M - IO ............ 90,778,829 242 19.11 375,119 5.317 359 707 70.64
7/23 LIB6M ................. 2,344,141 5 0.49 468,828 6.080 358 717 74.82
7/23 LIB6M - IO ............ 8,231,150 17 1.73 484,185 5.280 359 712 69.61
------------ ----- ------- -------- --------- -------- -------- --------
Total $475,031,765 1,240 100.00% $383,090 5.724% 358 689 75.56%
============ ===== ======
- ------------
(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 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 "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 "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 . Any
mortgage loan with a loan program including the term "IO" has an interest
only period.
10
PRINCIPAL BALANCES AS OF ORIGINATION
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
RANGE OF MORTGAGE LOAN CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
PRINCIPAL BALANCES BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
50,000.01 - 100,000.00 ............... $ 5,636,198 72 1.19% $ 78,281 6.227% 358 658 77.52%
100,000.01 - 150,000.00 .............. 14,275,563 113 3.01 126,332 6.131 358 672 77.87
150,000.01 - 200,000.00 .............. 13,135,504 76 2.77 172,836 5.774 358 680 74.75
200,000.01 - 250,000.00 .............. 12,382,536 55 2.61 225,137 5.724 358 691 74.62
250,000.01 - 300,000.00 .............. 10,590,937 39 2.23 271,562 5.975 358 678 77.24
300,000.01 - 350,000.00 .............. 37,305,415 110 7.85 339,140 5.650 358 685 74.43
350,000.01 - 400,000.00 .............. 94,180,840 251 19.83 375,222 5.784 358 691 78.08
400,000.01 - 450,000.00 .............. 64,876,429 153 13.66 424,029 5.717 358 691 77.09
450,000.01 - 500,000.00 .............. 49,136,636 103 10.34 477,055 5.789 358 691 76.65
500,000.01 - 550,000.00 .............. 37,927,455 72 7.98 526,770 5.852 358 684 77.42
550,000.01 - 600,000.00 .............. 30,111,402 52 6.34 579,065 5.753 358 691 77.35
600,000.01 - 650,000.00 .............. 33,814,216 54 7.12 626,189 5.665 358 698 75.23
650,000.01 - 700,000.00 .............. 23,242,512 35 4.89 664,072 5.369 359 687 71.67
700,000.01 - 750,000.00 .............. 18,370,376 25 3.87 734,815 5.298 358 689 68.03
750,000.01 - 800,000.00 .............. 775,000 1 0.16 775,000 5.250 358 745 68.88
800,000.01 - 850,000.00 .............. 4,119,000 5 0.87 823,800 5.495 358 674 71.30
850,000.01 - 900,000.00 .............. 4,378,748 5 0.92 875,750 5.968 357 684 72.89
900,000.01 - 950,000.00 .............. 2,809,500 3 0.59 936,500 5.581 358 661 59.24
950,000.01 - 1,000,000.00 ............ 9,918,199 10 2.09 991,820 5.295 358 681 66.51
1,100,000.01 - 1,200,000.00 .......... 2,317,400 2 0.49 1,158,700 5.176 356 750 74.78
1,200,000.01 - 1,300,000.00 .......... 2,557,900 2 0.54 1,278,950 5.749 358 683 63.21
1,300,000.01 - 1,400,000.00 .......... 1,320,000 1 0.28 1,320,000 5.990 358 707 60.00
1,600,000.01 + ....................... 1,850,000 1 0.39 1,850,000 5.990 358 744 48.68
------------ ----- ------ --------- -------- -------- -------- --------
Total ................................ $475,031,765 1,240 100.00% $ 383,090 5.724% 358 689 75.56%
============ ===== ======
As of origination, the average principal balance of the Group 1 Loans
will be approximately $383,682.
11
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
RANGE OF MORTGAGE LOAN CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
PRINCIPAL BALANCES BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
50,000.01 - 100,000.00 ............... $ 5,706,098 73 1.20% $ 78,166 6.242% 358 658 77.55%
100,000.01 - 150,000.00 .............. 14,275,563 113 3.01 126,332 6.131 358 672 77.87
150,000.01 - 200,000.00 .............. 13,135,504 76 2.77 172,836 5.774 358 680 74.75
200,000.01 - 250,000.00 .............. 12,382,536 55 2.61 225,137 5.724 358 691 74.62
250,000.01 - 300,000.00 .............. 10,590,937 39 2.23 271,562 5.975 358 678 77.24
300,000.01 - 350,000.00 .............. 37,655,199 111 7.93 339,236 5.658 358 686 74.57
350,000.01 - 400,000.00 .............. 93,831,056 250 19.75 375,324 5.781 358 691 78.03
400,000.01 - 450,000.00 .............. 64,876,429 153 13.66 424,029 5.717 358 691 77.09
450,000.01 - 500,000.00 .............. 49,136,636 103 10.34 477,055 5.789 358 691 76.65
500,000.01 - 550,000.00 .............. 37,927,455 72 7.98 526,770 5.852 358 684 77.42
550,000.01 - 600,000.00 .............. 30,111,402 52 6.34 579,065 5.753 358 691 77.35
600,000.01 - 650,000.00 .............. 33,814,216 54 7.12 626,189 5.665 358 698 75.23
650,000.01 - 700,000.00 .............. 23,172,612 34 4.88 681,547 5.362 359 687 71.65
700,000.01 - 750,000.00 .............. 18,370,376 25 3.87 734,815 5.298 358 689 68.03
750,000.01 - 800,000.00 .............. 775,000 1 0.16 775,000 5.250 358 745 68.88
800,000.01 - 850,000.00 .............. 4,119,000 5 0.87 823,800 5.495 358 674 71.30
850,000.01 - 900,000.00 .............. 4,378,748 5 0.92 875,750 5.968 357 684 72.89
900,000.01 - 950,000.00 .............. 2,809,500 3 0.59 936,500 5.581 358 661 59.24
950,000.01 - 1,000,000.00 ............ 9,918,199 10 2.09 991,820 5.295 358 681 66.51
1,100,000.01 - 1,200,000.00 .......... 2,317,400 2 0.49 1,158,700 5.176 356 750 74.78
1,200,000.01 - 1,300,000.00 .......... 2,557,900 2 0.54 1,278,950 5.749 358 683 63.21
1,300,000.01 - 1,400,000.00 .......... 1,320,000 1 0.28 1,320,000 5.990 358 707 60.00
1,600,000.01 + ....................... 1,850,000 1 0.39 1,850,000 5.990 358 744 48.68
------------ ----- ------ --------- -------- -------- -------- --------
Total ................................ $475,031,765 1,240 100.00% $ 383,090 5.724% 358 689 75.56%
============ ===== ======
As of the Cut-off Date, the average current principal balance of the
Group 1 Loans will be approximately $383,090.
12
MORTGAGE RATES
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
RANGE OF MORTGAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
RATES (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
3.500 - 3.999 ........................ $ 2,429,500 5 0.51% $485,900 3.867% 358 677 61.88%
4.000 - 4.499 ........................ 12,837,990 27 2.70 475,481 4.246 359 726 68.50
4.500 - 4.999 ........................ 70,933,497 150 14.93 472,890 4.753 358 713 69.22
5.000 - 5.499 ........................ 103,067,441 264 21.70 390,407 5.217 358 695 71.99
5.500 - 5.999 ........................ 133,700,300 348 28.15 384,196 5.727 358 688 75.70
6.000 - 6.499 ........................ 66,248,628 197 13.95 336,287 6.224 358 678 80.34
6.500 - 6.999 ........................ 55,075,093 165 11.59 333,788 6.720 358 669 81.10
7.000 - 7.499 ........................ 17,154,948 45 3.61 381,221 7.211 358 660 84.79
7.500 - 7.999 ........................ 10,015,822 27 2.11 370,956 7.676 358 660 86.24
8.000 - 8.499 ........................ 1,387,720 4 0.29 346,930 8.254 359 694 86.40
8.500 - 8.999 ........................ 1,227,736 4 0.26 306,934 8.635 358 579 78.32
9.000 - 9.499 ........................ 393,385 2 0.08 196,693 9.076 359 654 85.43
10.000 - 10.499 ...................... 93,550 1 0.02 93,550 10.250 358 685 94.98
10.500 - 10.999 ...................... 466,155 1 0.10 466,155 10.500 359 654 95.00
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $475,031,765 1,240 100.00% $383,090 5.724% 358 689 75.56%
============ ===== ======
As of the Cut-off Date, the weighted average mortgage rate of the Group
1 Loans will be approximately 5.724% per annum.
13
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
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
February 2005 ........................ $ 2,888,500 5 0.61% $577,700 5.023% 357 667 77.90%
April 2005 ........................... 2,170,679 4 0.46 542,670 5.324 357 714 68.73
May 2005 ............................. 26,500,605 50 5.58 530,012 5.296 358 704 74.11
June 2005 ............................ 28,544,310 64 6.01 446,005 5.598 359 688 75.49
July 2005 ............................ 6,491,700 15 1.37 432,780 6.150 360 686 77.40
October 2005 ......................... 251,000 1 0.05 251,000 5.750 357 657 89.97
November 2005 ........................ 2,866,365 7 0.60 409,481 5.739 358 698 77.15
December 2005 ........................ 3,663,555 9 0.77 407,062 6.112 359 674 79.33
January 2006 ......................... 351,200 1 0.07 351,200 5.750 360 665 80.00
March 2006 ........................... 391,087 1 0.08 391,087 6.625 350 715 80.00
July 2006 ............................ 385,600 1 0.08 385,600 4.875 354 727 80.00
September 2006 ....................... 1,798,809 5 0.38 359,762 6.515 356 661 81.91
October 2006 ......................... 77,865,099 176 16.39 442,415 6.340 357 668 83.68
November 2006 ........................ 50,786,033 119 10.69 426,773 5.707 358 689 74.74
December 2006 ........................ 63,136,472 148 13.29 426,598 5.672 359 692 75.29
January 2007 ......................... 13,950,148 32 2.94 435,942 5.822 360 695 75.22
April 2007 ........................... 365,800 1 0.08 365,800 4.500 351 744 80.00
May 2007 ............................. 380,500 1 0.08 380,500 4.625 352 687 78.37
June 2007 ............................ 2,881,699 4 0.61 720,425 5.726 353 683 77.05
July 2007 ............................ 2,362,730 3 0.50 787,577 6.117 354 705 79.86
August 2007 .......................... 1,342,959 4 0.28 335,740 5.966 355 666 71.55
September 2007 ....................... 1,043,222 4 0.22 260,806 6.687 356 656 79.05
October 2007 ......................... 15,212,918 101 3.20 150,623 6.074 357 658 78.95
November 2007 ........................ 32,612,073 109 6.87 299,193 5.813 358 674 73.12
December 2007 ........................ 20,859,321 62 4.39 336,441 5.595 359 690 73.57
January 2008 ......................... 3,057,400 8 0.64 382,175 5.584 360 697 74.47
May 2009 ............................. 591,298 1 0.12 591,298 5.500 352 684 77.93
June 2009 ............................ 775,600 2 0.16 387,800 4.830 353 706 79.79
July 2009 ............................ 892,000 1 0.19 892,000 5.875 354 683 74.34
August 2009 .......................... 880,783 3 0.19 293,594 6.113 355 683 79.00
October 2009 ......................... 3,917,797 17 0.82 230,459 5.392 357 702 78.28
November 2009 ........................ 35,347,776 95 7.44 372,082 5.515 358 701 71.05
December 2009 ........................ 48,602,236 133 10.23 365,430 5.239 359 708 70.23
January 2010 ......................... 11,289,200 31 2.38 364,168 5.358 360 709 70.02
October 2011 ......................... 290,450 2 0.06 145,225 5.615 357 725 79.99
November 2011 ........................ 2,407,141 5 0.51 481,428 6.079 358 716 75.57
December 2011 ........................ 6,008,700 12 1.26 500,725 5.280 359 707 69.81
January 2012 ......................... 1,869,000 3 0.39 623,000 5.203 360 730 66.24
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $475,031,765 1,240 100.00% $383,090 5.724% 358 689 75.56%
============ ===== ======
As of the Cut-off Date, the weighted average remaining months to the
next adjustment date of the Group 1 Loans will be approximately 31 months.
14
GROSS MARGIN
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
RANGE OF GROSS CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
MARGINS (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
1.750 - 1.999 ........................ $ 591,298 1 0.12% $591,298 5.500% 352 684 77.93%
2.000 - 2.249 ........................ 1,053,131 4 0.22 263,283 5.228 359 673 65.07
2.250 - 2.499 ........................ 23,552,046 50 4.96 471,041 5.770 357 698 70.73
2.500 - 2.749 ........................ 2,610,399 5 0.55 522,080 5.407 355 695 75.35
2.750 - 2.999 ........................ 14,717,604 27 3.10 545,096 5.257 358 713 71.10
3.000 - 3.249 ........................ 32,000,503 60 6.74 533,342 5.406 358 705 72.79
3.250 - 3.499 ........................ 77,926,210 188 16.40 414,501 5.359 359 741 72.81
3.500 - 3.749 ........................ 46,742,238 114 9.84 410,020 5.505 359 690 74.38
3.750 - 3.999 ........................ 145,536,614 382 30.64 380,986 5.532 359 676 73.36
4.000 - 4.249 ........................ 3,212,207 8 0.68 401,526 6.311 359 676 75.61
4.250 - 4.499 ........................ 5,479,135 13 1.15 421,472 6.367 359 613 74.86
4.500 - 4.749 ........................ 4,193,572 10 0.88 419,357 6.686 358 656 79.56
4.750 - 4.999 ........................ 1,285,083 7 0.27 183,583 5.714 358 658 82.31
5.000 - 5.249 ........................ 7,439,906 27 1.57 275,552 5.949 358 678 80.49
5.250 - 5.499 ........................ 10,568,248 42 2.22 251,625 5.813 358 668 80.12
5.500 - 5.749 ........................ 12,802,432 45 2.70 284,498 5.831 358 673 80.99
5.750 - 5.999 ........................ 23,899,546 64 5.03 373,430 6.066 358 673 80.37
6.000 - 6.249 ........................ 13,384,557 55 2.82 243,356 6.344 358 657 81.31
6.250 - 6.499 ........................ 19,881,677 56 4.19 355,030 6.622 357 657 86.29
6.500 - 6.749 ........................ 8,942,370 32 1.88 279,449 6.749 357 654 84.30
6.750 - 6.999 ........................ 11,409,000 30 2.40 380,300 6.990 357 657 84.81
7.000 - 7.249 ........................ 2,831,985 8 0.60 353,998 7.248 357 661 86.07
7.250 - 7.499 ........................ 3,456,757 9 0.73 384,084 7.304 357 668 88.50
7.500 - 7.749 ........................ 1,515,250 3 0.32 505,083 7.668 357 637 93.57
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $475,031,765 1,240 100.00% $383,090 5.724% 358 689 75.56%
============ ===== ======
As of the Cut-off Date, the weighted average Gross Margin of the Group
1 Loans will be approximately 4.098% per annum.
15
MAXIMUM MORTGAGE RATE
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
RANGE OF MAXIMUM MORTGAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
RATES (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
9.500 - 9.999 ........................ $ 7,369,467 14 1.55% $526,391 4.664% 357 692 71.43%
10.000 - 10.499 ...................... 14,051,120 34 2.96 413,268 4.320 359 724 69.49
10.500 - 10.999 ...................... 68,766,811 148 14.48 464,641 4.789 358 713 68.95
11.000 - 11.499 ...................... 104,239,051 262 21.94 397,859 5.231 358 695 72.00
11.500 - 11.999 ...................... 129,071,047 337 27.17 383,000 5.727 358 688 75.74
12.000 - 12.499 ...................... 66,633,081 198 14.03 336,531 6.241 358 678 80.35
12.500 - 12.999 ...................... 55,266,551 167 11.63 330,937 6.701 358 669 81.03
13.000 - 13.499 ...................... 15,630,628 41 3.29 381,235 7.198 358 651 84.95
13.500 - 13.999 ...................... 9,966,341 25 2.10 398,654 7.648 358 669 87.23
14.000 - 14.499 ...................... 1,457,673 5 0.31 291,535 8.241 359 691 85.98
14.500 - 14.999 ...................... 1,626,905 5 0.34 325,381 8.449 358 572 76.18
15.000 - 15.499 ...................... 393,385 2 0.08 196,693 9.076 359 654 85.43
16.000 - 16.499 ...................... 93,550 1 0.02 93,550 10.250 358 685 94.98
16.500 - 16.999 ...................... 466,155 1 0.10 466,155 10.500 359 654 95.00
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $475,031,765 1,240 100.00% $383,090 5.724% 358 689 75.56%
============ ===== ======
As of the Cut-off Date, the weighted average Maximum Mortgage Rate of
the Group 1 Loans will be approximately 11.701% per annum.
INITIAL FIXED-RATE PERIOD
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
INITIAL FIXED PERIOD BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
Two Years ............................ $208,313,248 482 43.85% $432,185 5.948% 358 682 78.36%
Three Years .......................... 80,118,621 297 16.87 269,760 5.805 358 677 74.84
Five Years ........................... 102,296,691 283 21.53 361,472 5.365 359 705 71.03
Seven Years .......................... 10,575,291 22 2.23 480,695 5.457 359 714 70.77
Other ................................ 73,727,914 156 15.52 472,615 5.540 359 693 75.39
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $475,031,765 1,240 100.00% $383,090 5.724% 358 689 75.56%
============ ===== ======
16
INITIAL RATE CAP
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
INITIAL CAP (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
1.000 ................................ $ 71,247,049 149 15.00% $478,168 5.534% 359 693 75.38%
2.000 ................................ 3,480,865 8 0.73 435,108 5.362 358 701 76.01
3.000 ................................ 375,092,002 1,024 78.96 366,301 5.743 358 687 75.87
4.000 ................................ 173,300 1 0.04 173,300 4.750 357 755 79.99
5.000 ................................ 8,027,134 30 1.69 267,571 5.782 356 705 79.41
6.000 ................................ 17,011,415 28 3.58 607,551 6.163 358 690 67.45
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $475,031,765 1,240 100.00% $383,090 5.724% 358 689 75.56%
============ ===== ======
SUBSEQUENT RATE CAP
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
SUBSEQUENT CAP (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
1.000 ................................ $454,637,560 1,204 95.71% $377,606 5.709% 358 689 75.86%
1.500 ................................ 536,825 3 0.11 178,942 7.090 357 660 75.47
2.000 ................................ 19,857,380 33 4.18 601,739 6.023 358 692 68.55
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $475,031,765 1,240 100.00% $383,090 5.724% 358 689 75.56%
============ ===== ======
17
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 ........................ $ 200,000 1 0.04% $200,000 3.875% 359 752 25.00%
30.01 - 35.00 ........................ 174,842 1 0.04 174,842 6.500 359 669 33.85
35.01 - 40.00 ........................ 293,500 2 0.06 146,750 5.409 360 638 37.77
45.01 - 50.00 ........................ 3,395,797 4 0.71 848,949 5.497 358 734 49.02
50.01 - 55.00 ........................ 3,095,000 7 0.65 442,143 5.111 359 666 52.94
55.01 - 60.00 ........................ 18,385,365 31 3.87 593,076 5.198 358 683 58.70
60.01 - 65.00 ........................ 17,204,585 38 3.62 452,752 5.244 358 679 63.17
65.01 - 70.00 ........................ 156,226,339 360 32.89 433,962 5.162 359 702 69.59
70.01 - 75.00 ........................ 12,344,744 32 2.60 385,773 5.827 358 702 73.65
75.01 - 80.00 ........................ 210,899,797 637 44.40 331,083 5.991 358 684 79.75
80.01 - 85.00 ........................ 7,554,516 19 1.59 397,606 6.503 358 680 84.36
85.01 - 90.00 ........................ 29,848,599 72 6.28 414,564 6.618 358 666 89.62
90.01 - 95.00 ........................ 14,905,681 35 3.14 425,877 6.958 357 673 94.66
95.01 - 100.00 ....................... 503,000 1 0.11 503,000 5.990 358 756 100.00
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $475,031,765 1,240 100.00% $383,090 5.724% 358 689 75.56%
============ ===== ======
The minimum and maximum loan-to-value ratios of the Group 1 Loans at
origination were approximately 25.00% and 100.00%, respectively, and the
weighted average of the loan-to-value ratios of the Group 1 Loans at origination
was approximately 75.56%.
OCCUPANCY TYPES
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
OCCUPANCY BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
Investment ........................... 65,544,673 $ 154 13.80% $425,615 5.497% 359 709 71.66%
Owner Occupied ....................... 404,237,074 1,073 85.10 376,735 5.766 358 685 76.21
Second Home .......................... 5,250,018 13 1.11 403,848 5.350 358 733 73.56
Total ................................ 475,031,765 $1,240 100.00% $383,090 5.724% 358 689 75.56%
============ ===== ======
Occupancy type is based on the representation of the borrower at the
time of origination.
18
MORTGAGE LOAN PROGRAM AND DOCUMENTATION TYPE
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
DOCUMENTATION TYPE BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
Progressive Series Program
(Full Doc) ........................... $ 97,785,812 327 20.59% $299,039 5.579% 358 679 76.60%
Progressive Express No Doc
Program (No Doc) ..................... 15,701,474 39 3.31 402,602 6.212 358 707 73.06
Progressive Express Program
No Doc Program (Verified
Assets~ .............................. 2,423,509 6 0.51 403,918 6.042 358 699 78.44
Progressive Series Program
(Full Income/Stated Assets
Doc) ~ ............................... 1,678,485 4 0.35 419,621 5.087 358 737 66.75
Progressive Series Program
(Limited (Stated)) Doc) .............. 297,608,835 742 62.65 401,090 5.673 358 691 75.50
Progressive Series Program
(Alt) ................................ 2,975,912 6 0.63 495,985 6.334 358 685 82.26
Progressive Express Program
(Non Verified Assets) ................ 40,761,095 79 8.58 515,963 6.038 358 682 72.99
Progressive Express Program
(Verified Assets) .................... 16,096,644 37 3.39 435,044 6.184 358 687 78.47
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $475,031,765 1,240 100.00% $383,090 5.724% 358 689 75.56%
============ ===== ======
See "--Underwriting Standards" below for a detailed description of the
Seller's loan programs and documentation requirements.
19
RISK CATEGORIES
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
CREDIT GRADE CATEGORY BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
A .................................... $180,556,380 487 38.01% $370,752 5.812% 358 654 75.90%
A+ ................................... 233,621,145 580 49.18 402,795 5.455 358 724 74.37
A- ................................... 22,742,104 73 4.79 311,536 6.579 358 610 81.60
C .................................... 359,365 1 0.08 359,365 8.680 357 542 80.00
CX ................................... 339,500 1 0.07 339,500 8.750 358 515 70.00
Progressive Express(TM) I ............ 19,025,811 49 4.01 388,282 6.217 359 724 78.48
Progressive Express(TM) II ........... 15,610,062 43 3.29 363,025 6.502 359 653 77.09
Progressive Express(TM)III ........... 1,139,038 2 0.24 569,519 7.066 358 605 80.00
Progressive Express(TM) IV ........... 1,239,193 3 0.26 413,064 6.907 359 597 72.57
Progressive Express(TM) V ............ 399,169 1 0.08 399,169 7.875 357 551 69.57
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $475,031,765 1,240 100.00% $383,090 5.724% 358 689 75.56%
============ ===== ======
- -----------------
(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-, C and CX correspond to Progressive Series I+, I and II, III and
III+, 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.
20
PROPERTY TYPES
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
PROPERTY TYPE BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
Single Family Residence .............. $307,638,300 840 64.76% $366,236 5.798% 358 685 76.53%
Planned Unit Development ............. 95,088,168 218 20.02 436,184 5.660 358 691 74.11
Condominium .......................... 36,305,214 112 7.64 324,154 5.667 358 699 76.95
2-4 Family Unit ...................... 34,917,357 65 7.35 537,190 5.308 358 706 69.32
Townhouse ............................ 1,082,726 5 0.23 216,545 5.700 359 687 79.84
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $475,031,765 1,240 100.00% $383,090 5.724% 358 689 75.56%
============ ===== ======
21
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
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
Arizona .............................. $ 7,893,767 28 1.66% $281,920 6.242% 358 687 78.93%
California ........................... 352,143,667 781 74.13 450,888 5.593 358 693 75.09
Colorado ............................. 3,428,543 14 0.72 244,896 5.956 358 684 77.77
Connecticut .......................... 2,662,476 7 0.56 380,354 6.308 358 681 75.18
District of Columbia ................. 598,500 1 0.13 598,500 7.365 357 770 95.00
Delaware ............................. 1,026,753 5 0.22 205,351 5.960 358 693 76.78
Florida .............................. 27,271,598 104 5.74 262,227 6.037 358 669 76.86
Georgia .............................. 3,272,331 18 0.69 181,796 5.192 357 717 78.77
Hawaii ............................... 5,400,600 11 1.14 490,964 6.218 358 689 72.71
Iowa ................................. 103,495 1 0.02 103,495 5.900 358 733 79.70
Idaho ................................ 775,632 3 0.16 258,544 5.543 358 707 70.70
Illinois ............................. 3,051,998 10 0.64 305,200 5.909 358 698 78.24
Indiana .............................. 1,400,202 10 0.29 140,020 5.933 357 633 79.47
Kansas ............................... 344,349 3 0.07 114,783 6.579 358 693 83.41
Kentucky ............................. 245,222 3 0.05 81,741 6.598 357 624 79.39
Louisiana ............................ 110,279 1 0.02 110,279 5.490 357 602 78.86
Massachusetts ........................ 1,455,768 4 0.31 363,942 6.527 359 685 75.81
Maryland ............................. 8,034,015 27 1.69 297,556 6.219 358 670 79.21
Michigan ............................. 3,402,309 17 0.72 200,136 6.474 357 647 80.34
Minnesota ............................ 1,049,303 3 0.22 349,768 6.137 359 622 72.78
Missouri ............................. 1,014,799 8 0.21 126,850 6.535 358 651 78.63
Mississippi .......................... 166,544 2 0.04 83,272 5.714 357 664 78.65
North Carolina ....................... 782,457 2 0.16 391,229 5.919 359 664 74.15
Nebraska ............................. 82,525 1 0.02 82,525 6.500 359 705 70.00
New Hampshire ........................ 335,666 1 0.07 335,666 6.000 358 653 80.00
New Jersey ........................... 4,772,596 12 1.00 397,716 6.933 358 682 82.09
Nevada ............................... 8,315,374 21 1.75 395,970 5.788 358 670 74.57
New York ............................. 2,028,868 5 0.43 405,774 6.622 358 639 79.89
Ohio ................................. 3,304,341 24 0.70 137,681 6.100 357 663 78.36
Oklahoma ............................. 151,723 1 0.03 151,723 6.470 357 736 77.95
Oregon ............................... 750,637 6 0.16 125,106 6.391 358 672 76.07
Pennsylvania ......................... 2,703,907 15 0.57 180,260 6.341 358 648 77.41
South Carolina ....................... 1,268,584 3 0.27 422,861 6.231 359 710 80.34
South Dakota ......................... 79,926 1 0.02 79,926 6.390 358 604 76.20
Tennessee ............................ 1,425,302 12 0.30 118,775 6.070 357 651 77.77
Texas ................................ 5,491,900 17 1.16 323,053 6.238 358 669 76.03
Utah ................................. 2,929,900 5 0.62 585,980 5.624 358 725 56.93
Virginia ............................. 9,726,449 26 2.05 374,094 6.068 358 677 76.00
Washington ........................... 5,592,365 23 1.18 243,146 5.604 359 675 78.66
Wisconsin ............................ 437,096 4 0.09 109,274 6.487 358 652 79.42
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $475,031,765 1,240 100.00% $383,090 5.724% 358 689 75.56%
============ ===== ======
No more than approximately 1.06% 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.
22
DEBT-TO-INCOME RATIO
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
DESCRIPTION (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
5.01 - 10.00 ......................... $ 1,088,500 3 0.23% $362,833 5.620% 357 679 76.31%
10.01 - 15.00 ........................ 1,721,200 3 0.36 573,733 6.033 358 672 76.07
15.01 - 20.00 ........................ 7,571,184 17 1.59 445,364 5.394 358 703 72.27
20.01 - 25.00 ........................ 10,727,897 30 2.26 357,597 5.264 358 698 71.93
25.01 - 30.00 ........................ 24,195,667 67 5.09 361,129 5.807 358 682 75.91
30.01 - 35.00 ........................ 46,021,406 133 9.69 346,026 5.651 358 691 77.52
35.01 - 40.00 ........................ 79,965,446 212 16.83 377,196 5.800 358 685 77.52
40.01 - 45.00 ........................ 100,772,097 258 21.21 390,590 5.757 358 685 76.64
45.01 - 50.00 ........................ 88,591,007 259 18.65 342,050 5.652 358 686 75.28
50.01 - 55.00 ........................ 4,794,589 13 1.01 368,815 5.392 359 679 68.67
55.01 + .............................. 966,579 4 0.20 241,645 5.516 359 660 72.34
Not Required ......................... 108,616,193 241 22.87 450,690 5.790 359 696 73.33
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $475,031,765 1,240 100.00% $383,090 5.724% 358 689 75.56%
============ ===== ======
As of the Cut-off Date, the weighted average debt-to-income ratio of
the Group 1 Loans will be approximately 39.50% per annum.
PREPAYMENT PENALTY
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
NUMBER OF MONTHS BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
12 months ............................ $ 96,230,628 226 20.26% $425,799 5.400% 359 697 73.51%
24 months ............................ 144,463,638 317 30.41 455,721 5.907 358 682 79.20
36 months ............................ 84,172,159 349 17.72 241,181 5.786 358 682 75.40
60 months ............................ 17,694,412 74 3.72 239,114 5.639 359 684 73.24
No Prepay ............................ 132,470,929 274 27.89 483,471 5.732 358 694 73.47
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $475,031,765 1,240 100.00% $383,090 5.724% 358 689 75.56%
============ ===== ======
23
MONTHS REMAINING TO SCHEDULED MATURITY
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
RANGE OF MONTHS BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
241-360 .............................. $475,031,765 1,240 100.00% $383,090 5.724% 358 689 75.56%
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $475,031,765 1,240 100.00% $383,090 5.724% 358 689 75.56%
============ ===== ======
As of the Cut-off Date, the weighted average months remaining to
scheduled maturity of the Group 1 Loans will be approximately 358 months.
CREDIT SCORES
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
RANGE OF CREDIT SCORES BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
501 - 520 ............................ $ 339,500 1 0.07% $339,500 8.750% 358 515 70.00%
541 - 560 ............................ 758,534 2 0.16 379,267 8.256 357 547 74.51
581 - 600 ............................ 3,014,481 6 0.63 502,414 6.943 358 598 74.61
601 - 620 ............................ 22,235,593 73 4.68 304,597 6.560 358 611 82.04
621 - 640 ............................ 48,893,362 143 10.29 341,912 5.957 358 632 75.98
641 - 660 ............................ 66,285,347 192 13.95 345,236 5.922 358 650 75.63
661 - 680 ............................ 79,154,593 189 16.66 418,807 5.781 358 670 76.40
681 - 700 ............................ 69,527,185 188 14.64 369,825 5.633 358 691 75.69
701 - 720 ............................ 61,231,277 145 12.89 422,285 5.586 358 710 75.00
721 - 740 ............................ 52,956,450 126 11.15 420,289 5.424 359 731 74.22
741 - 760 ............................ 36,823,794 93 7.75 395,955 5.448 359 750 73.30
761 - 780 ............................ 21,777,132 55 4.58 395,948 5.472 358 770 75.16
781 - 800 ............................ 10,276,017 22 2.16 467,092 5.107 358 788 73.01
801 - 820 ............................ 1,758,500 5 0.37 351,700 4.754 359 809 65.33
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $475,031,765 1,240 100.00% $383,090 5.724% 358 689 75.56%
============ ===== ======
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 689.
24
RANGE OF MONTHS TO ROLL
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
NUMBER OF MONTHS BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
1 - 12 ............................... $ 73,727,914 156 15.52% $472,615 5.540% 359 693 75.38%
13 - 18 .............................. 776,687 2 0.16 388,344 5.756 352 721 80.00
19 - 24 .............................. 207,536,561 480 43.69 432,368 5.949 358 682 78.35
25 - 31 .............................. 7,333,688 13 1.54 564,130 5.778 354 690 77.17
32 - 49 .............................. 72,784,933 284 15.32 256,285 5.808 358 676 74.61
50 - 55 .............................. 3,139,681 7 0.66 448,526 5.613 354 689 77.67
56 - 61 .............................. 99,157,010 276 20.87 359,265 5.357 359 705 70.82
Greater than 80 ...................... 10,575,291 22 2.23 480,695 5.457 359 714 70.77
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $475,031,765 1,240 100.00% $383,090 5.724% 358 689 75.56%
============ ===== ======
As of the Cut-off Date, the weighted average months to roll of the
Group 1 Loans will be approximately 31 months.
LOAN PURPOSES
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
LOAN PURPOSE BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
Refinance - Cash Out ................. $147,858,702 386 31.13% $383,054 5.699% 358 677 73.61%
Purchase ............................. 273,639,923 739 57.60 370,284 5.760 358 695 77.12
Refinance - Rate/Term ................ 53,533,141 115 11.27 465,506 5.611 358 686 72.94
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $475,031,765 1,240 100.00% $383,090 5.724% 358 689 75.56%
============ ===== ======
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.
UNDERWRITING STANDARDS
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
LOAN PURPOSE BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
3rd Party ............................ $167,252,305 464 35.21% $360,458 6.074% 357 674 79.01%
Progressive Express .................. 37,413,272 98 7.88 381,768 6.402 359 685 77.65
Progressive Series ................... 270,366,189 678 56.92 398,770 5.413 359 698 73.13
----- ------ -------- -------- -------- -------- --------
Total ................................ $475,031,765 1,240 100.00% $383,090 5.724% 358 689 75.56%
============ ===== ======
LOAN GROUP 2
The Group 2 Loans had an aggregate principal balance as of the Cut-off
Date of approximately $524,999,478, 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 $206,818. No Group 2 Loan had a principal balance at origination
of greater than approximately $637,000 or less than approximately $50,000. The
average principal balance of the Group 2 Loans as of the Cut-off Date
25
was
approximately $206,611. No Group 2 Loan had a principal balance as of the
Cut-off Date of greater than approximately $637,000 or less than approximately
$30,400.
As of the Cut-off Date, the Group 2 Loans had mortgage rates ranging
from approximately 3.500% per annum to approximately 10.250% per annum and the
weighted average mortgage rate was approximately 5.842% per annum. The weighted
average remaining term to stated maturity of the Group 2 Loans was approximately
358 months as of the Cut-off Date. None of the Group 2 Loans will have a first
Due Date prior to January 1, 2004, or after February 1, 2005, or will have a
remaining term to maturity of less than 347 months or greater than 360 months as
of the Cut-off Date. The latest maturity date of any Group 2 Loan is January 1,
2035.
Approximately 0.01%, 0.21%, 73.15% and 5.80 of the Group 2 Loans have
initial interest only periods of two, three, five and ten years, respectively.
The loan-to-value ratio of a mortgage loan secured by a first lien is
equal to the ratio, expressed as a percentage, of the principal amount of the
loan at origination, to the lesser of the appraised value of the related
mortgaged property at the time of origination and the sales price. The weighted
average of the loan-to-value ratios at origination of the Group 2 Loans was
approximately 76.09%. No loan-to-value ratio at origination of any Group 2 Loan
was greater than approximately 100.00% or less than approximately 16.67%.
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 67.74% of the Group 2 Loans provide for prepayment
charges.
Approximately 2.02% and 6.65% 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
1.109% 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.
26
MORTGAGE LOAN PROGRAMS(1)
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
LOAN PROGRAM BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
30Y LIB1M ............................ $ 408,800 2 0.08% $204,400 6.351% 360 734 84.23%
30Y LIB1M - IO ....................... 1,053,600 5 0.20 210,720 4.875 358 682 66.51
30Y LIB3M - IO ....................... 162,500 1 0.03 162,500 6.250 359 676 76.66
30Y LIB6M ............................ 6,294,131 31 1.20 203,036 6.537 358 698 81.99
30Y LIB6M - IO ....................... 35,966,478 164 6.85 219,308 5.255 359 700 74.56
30Y LIB12M ........................... 1,442,469 8 0.27 180,309 6.065 359 690 80.12
30Y LIB12M - IO ...................... 8,781,675 37 1.67 237,343 5.618 358 697 77.91
2/28 LIB6M ........................... 56,120,049 298 10.69 188,322 6.648 358 662 78.42
2/28 LIB6M - IO ...................... 211,044,362 950 40.20 222,152 5.788 358 691 76.15
3/27 LIB6M ........................... 27,324,450 178 5.20 153,508 6.147 358 666 78.74
3/27 LIB6M - IO ...................... 82,987,401 433 15.81 191,657 5.825 358 676 76.61
3/27 LIB12M - IO ..................... 1,115,300 5 0.21 223,060 6.067 358 675 78.74
5/25 LIB6M ........................... 16,637,159 87 3.17 191,232 5.831 358 696 76.34
5/25 LIB6M - IO ...................... 71,206,173 325 13.56 219,096 5.551 358 703 72.67
7/23 LIB6M ........................... 832,659 4 0.16 208,165 5.346 358 708 72.48
7/23 LIB6M - IO ...................... 3,322,271 12 0.63 276,856 5.508 359 724 69.91
10/20 LIB6M - IO ..................... 300,000 1 0.06 300,000 6.500 359 643 80.00
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
============ ===== ======
- ------------
(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 "3/27 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
"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 "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.
27
PRINCIPAL BALANCES AS OF ORIGINATION
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
RANGE OF MORTGAGE LOAN CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
PRINCIPAL BALANCES BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
0.01 - 50,000.00 ..................... $ 149,865 3 0.03% $ 49,955 5.721% 358 634 64.81%
50,000.01 - 100,000.00 ............... 17,619,776 207 3.36 85,120 6.143 358 680 75.81
100,000.01 - 150,000.00 .............. 67,010,482 536 12.76 125,020 6.086 358 682 77.38
150,000.01 - 200,000.00 .............. 96,393,143 551 18.36 174,942 5.929 358 686 76.31
200,000.01 - 250,000.00 .............. 102,573,991 456 19.54 224,943 5.828 358 687 76.03
250,000.01 - 300,000.00 .............. 123,053,037 447 23.44 275,286 5.787 358 685 76.34
300,000.01 - 350,000.00 .............. 85,125,689 268 16.21 317,633 5.773 358 690 76.43
350,000.01 - 400,000.00 .............. 7,841,022 21 1.49 373,382 5.608 358 715 75.78
400,000.01 - 450,000.00 .............. 7,572,707 18 1.44 420,706 5.521 358 698 72.46
450,000.01 - 500,000.00 .............. 7,537,262 16 1.44 471,079 5.279 359 703 70.23
500,000.01 - 550,000.00 .............. 4,676,706 9 0.89 519,634 5.291 358 704 66.90
550,000.01 - 600,000.00 .............. 2,310,500 4 0.44 577,625 5.410 360 698 67.47
600,000.01 - 650,000.00 .............. 3,135,300 5 0.60 627,060 4.548 360 732 69.99
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
============ ===== ======
As of origination, the average principal balance of the Group 2 Loans
will be approximately $206,818.
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
RANGE OF MORTGAGE LOAN CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
PRINCIPAL BALANCES BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
0.01 - 50,000.00 ..................... $ 180,265 4 0.03% $ 45,066 5.747% 358 638 67.37%
50,000.01 - 100,000.00 ............... 17,619,776 207 3.36 85,120 6.143 358 680 75.81
100,000.01 - 150,000.00 .............. 67,010,482 536 12.76 125,020 6.086 358 682 77.38
150,000.01 - 200,000.00 .............. 96,393,143 551 18.36 174,942 5.929 358 686 76.31
200,000.01 - 250,000.00 .............. 103,035,367 458 19.63 224,968 5.826 358 688 76.00
250,000.01 - 300,000.00 .............. 122,591,660 445 23.35 275,487 5.788 358 684 76.36
300,000.01 - 350,000.00 .............. 85,095,289 267 16.21 318,709 5.773 358 690 76.43
350,000.01 - 400,000.00 .............. 7,841,022 21 1.49 373,382 5.608 358 715 75.78
400,000.01 - 450,000.00 .............. 7,572,707 18 1.44 420,706 5.521 358 698 72.46
450,000.01 - 500,000.00 .............. 7,537,262 16 1.44 471,079 5.279 359 703 70.23
500,000.01 - 550,000.00 .............. 4,676,706 9 0.89 519,634 5.291 358 704 66.90
550,000.01 - 600,000.00 .............. 2,310,500 4 0.44 577,625 5.410 360 698 67.47
600,000.01 - 650,000.00 .............. 3,135,300 5 0.60 627,060 4.548 360 732 69.99
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
======== ======== ========
============ ===== ======
As of the Cut-off Date, the average current principal balance of the
Group 2 Loans will be approximately $206,611.
28
MORTGAGE RATES
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
RANGE OF MORTGAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
RATES (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
3.500 - 3.999 ........................ $ 3,640,147 14 0.69% $260,010 3.844% 358 722 72.03%
4.000 - 4.499 ........................ 10,019,452 43 1.91 233,011 4.239 359 733 70.55
4.500 - 4.999 ........................ 68,963,559 312 13.14 221,037 4.747 359 716 70.33
5.000 - 5.499 ........................ 97,885,771 446 18.64 219,475 5.223 359 701 72.68
5.500 - 5.999 ........................ 160,277,603 745 30.53 215,138 5.719 358 686 76.29
6.000 - 6.499 ........................ 77,928,131 399 14.84 195,309 6.202 358 670 78.33
6.500 - 6.999 ........................ 53,836,900 289 10.25 186,287 6.699 358 670 79.70
7.000 - 7.499 ........................ 20,676,904 116 3.94 178,249 7.200 358 665 82.15
7.500 - 7.999 ........................ 14,184,247 78 2.70 181,849 7.736 358 673 84.42
8.000 - 8.499 ........................ 6,227,133 37 1.19 168,301 8.134 359 658 84.64
8.500 - 8.999 ........................ 7,300,177 38 1.39 192,110 8.705 358 637 84.32
9.000 - 9.499 ........................ 2,260,611 13 0.43 173,893 9.150 358 609 83.71
9.500 - 9.999 ........................ 1,341,390 9 0.26 149,043 9.674 358 626 89.50
10.000 - 10.499 ...................... 457,455 2 0.09 228,727 10.170 358 647 90.00
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
============ ===== ======
As of the Cut-off Date, the weighted average mortgage rate of the Group
2 Loans will be approximately 5.842% per annum.
29
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
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
February 2005 ........................ $ 903,600 4 0.17% $225,900 4.605% 358 679 68.81%
March 2005 ........................... 1,068,867 5 0.20 213,773 5.779 357 687 71.72
April 2005 ........................... 1,070,939 7 0.20 152,991 5.335 358 727 77.32
May 2005 ............................. 16,775,298 82 3.20 204,577 5.625 358 690 76.66
June 2005 ............................ 18,895,403 85 3.60 222,299 5.290 359 702 74.73
July 2005 ............................ 5,171,400 20 0.99 258,570 5.514 360 720 76.40
October 2005 ......................... 623,500 2 0.12 311,750 6.435 357 700 80.68
November 2005 ........................ 5,091,020 21 0.97 242,430 5.457 358 687 76.81
December 2005 ........................ 3,265,073 17 0.62 192,063 5.938 359 703 79.52
January 2006 ......................... 1,244,550 5 0.24 248,910 5.545 360 711 79.34
July 2006 ............................ 975,073 5 0.19 195,015 6.580 354 683 82.84
August 2006 .......................... 1,100,005 6 0.21 183,334 6.896 355 670 73.34
September 2006 ....................... 4,597,543 21 0.88 218,931 6.501 356 685 81.08
October 2006 ......................... 39,022,061 169 7.43 230,900 6.300 357 658 79.22
November 2006 ........................ 96,550,243 467 18.39 206,746 6.000 358 687 77.47
December 2006 ........................ 103,113,758 483 19.64 213,486 5.786 359 694 74.83
January 2007 ......................... 21,967,247 98 4.18 224,156 5.908 360 688 75.75
June 2007 ............................ 113,600 1 0.02 113,600 5.625 353 748 80.00
July 2007 ............................ 196,800 1 0.04 196,800 6.625 354 648 80.00
August 2007 .......................... 244,400 2 0.05 122,200 5.905 355 670 79.99
September 2007 ....................... 955,523 6 0.18 159,254 6.531 356 661 81.57
October 2007 ......................... 18,077,478 122 3.44 148,176 6.048 357 658 79.16
November 2007 ........................ 54,610,446 309 10.40 176,733 5.953 358 665 78.28
December 2007 ........................ 29,147,193 136 5.55 214,318 5.741 359 697 74.26
January 2008 ......................... 7,920,191 38 1.51 208,426 5.808 360 683 74.69
March 2009 ........................... 206,250 1 0.04 206,250 7.000 350 715 80.00
April 2009 ........................... 188,000 1 0.04 188,000 6.000 351 664 80.00
May 2009 ............................. 525,000 1 0.10 525,000 5.875 352 684 69.07
June 2009 ............................ 159,600 1 0.03 159,600 5.875 353 742 80.00
July 2009 ............................ 255,500 1 0.05 255,500 5.625 354 665 70.00
August 2009 .......................... 358,000 2 0.07 179,000 5.989 355 675 79.92
September 2009 ....................... 1,469,000 6 0.28 244,833 6.032 356 708 79.24
October 2009 ......................... 3,569,986 22 0.68 162,272 5.791 357 697 79.26
November 2009 ........................ 33,042,225 161 6.29 205,231 5.688 358 704 74.39
December 2009 ........................ 41,149,398 187 7.84 220,050 5.531 359 700 72.48
January 2010 ......................... 6,920,375 29 1.32 238,634 5.354 360 702 68.98
September 2011 ....................... 129,600 1 0.02 129,600 5.625 356 663 80.00
November 2011 ........................ 1,897,830 8 0.36 237,229 5.536 358 732 69.38
December 2011 ........................ 1,021,500 4 0.19 255,375 5.499 359 695 71.61
January 2012 ......................... 1,106,000 3 0.21 368,667 5.331 360 733 70.00
December 2014 ........................ 300,000 1 0.06 300,000 6.500 359 643 80.00
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
============ ===== ======
As of the Cut-off Date, the weighted average remaining months to the
next adjustment date of the Group 2 Loans will be approximately 30 months.
30
GROSS MARGIN
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
RANGE OF GROSS CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
MARGINS (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
1.750 - 1.999 ........................ $ 112,000 1 0.02% $112,000 5.250% 359 771 70.00%
2.000 - 2.249 ........................ 551,048 4 0.10 137,762 5.764 358 723 82.69
2.250 - 2.499 ........................ 15,280,761 69 2.91 221,460 5.724 357 705 73.83
2.500 - 2.749 ........................ 1,320,571 7 0.25 188,653 5.411 357 715 76.11
2.750 - 2.999 ........................ 10,447,653 45 1.99 232,170 5.256 358 706 76.12
3.000 - 3.249 ........................ 22,206,709 106 4.23 209,497 5.347 358 719 75.43
3.250 - 3.499 ........................ 97,398,961 448 18.55 217,408 5.381 359 742 73.89
3.500 - 3.749 ........................ 48,961,539 233 9.33 210,135 5.526 359 696 73.87
3.750 - 3.999 ........................ 187,817,336 869 35.77 216,130 5.752 359 674 75.06
4.000 - 4.249 ........................ 3,715,270 18 0.71 206,404 6.274 358 677 80.20
4.250 - 4.499 ........................ 3,716,334 24 0.71 154,847 6.326 359 669 77.35
4.500 - 4.749 ........................ 5,154,475 24 0.98 214,770 6.580 358 671 79.49
4.750 - 4.999 ........................ 3,244,410 18 0.62 180,245 5.792 358 675 78.78
5.000 - 5.249 ........................ 16,810,210 91 3.20 184,728 6.345 358 682 79.75
5.250 - 5.499 ........................ 15,266,725 88 2.91 173,486 6.330 358 656 81.53
5.500 - 5.749 ........................ 25,629,457 128 4.88 200,230 6.311 358 658 80.53
5.750 - 5.999 ........................ 18,936,103 98 3.61 193,226 6.280 358 660 80.59
6.000 - 6.249 ........................ 15,768,572 88 3.00 179,188 6.611 358 638 80.83
6.250 - 6.499 ........................ 14,290,611 81 2.72 176,427 6.948 358 622 76.27
6.500 - 6.749 ........................ 6,997,961 44 1.33 159,045 6.873 357 636 78.71
6.750 - 6.999 ........................ 5,813,634 28 1.11 207,630 7.171 357 641 80.69
7.000 - 7.249 ........................ 2,353,327 14 0.45 168,095 7.725 358 636 84.77
7.250 - 7.499 ........................ 1,949,600 8 0.37 243,700 7.486 357 651 82.46
7.500 - 7.749 ........................ 1,098,798 6 0.21 183,133 7.997 357 678 88.62
8.500 - 8.749 ........................ 157,412 1 0.03 157,412 8.875 358 654 90.00
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
============ ===== ======
As of the Cut-off Date, the weighted average Gross Margin of the Group
2 Loans will be approximately 4.097% per annum.
31
MAXIMUM MORTGAGE RATE
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
RANGE OF MAXIMUM MORTGAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
RATES (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
9.000 - 9.499 ........................ $ 221,406 2 0.04% $110,703 4.882% 350 721 80.00%
9.500 - 9.999 ........................ 5,504,797 22 1.05 250,218 4.233 358 711 72.53
10.000 - 10.499 ...................... 10,284,997 48 1.96 214,271 4.350 359 732 71.15
10.500 - 10.999 ...................... 68,382,538 312 13.03 219,175 4.761 359 716 70.54
11.000 - 11.499 ...................... 99,401,454 450 18.93 220,892 5.242 359 701 72.73
11.500 - 11.999 ...................... 158,729,163 737 30.23 215,372 5.726 358 686 76.22
12.000 - 12.499 ...................... 76,544,761 391 14.58 195,767 6.195 358 670 78.34
12.500 - 12.999 ...................... 54,252,953 292 10.33 185,798 6.691 358 670 79.80
13.000 - 13.499 ...................... 18,752,458 105 3.57 178,595 7.186 358 668 82.28
13.500 - 13.999 ...................... 13,655,929 75 2.60 182,079 7.700 358 678 84.59
14.000 - 14.499 ...................... 6,412,286 36 1.22 178,119 8.003 359 657 85.39
14.500 - 14.999 ...................... 7,046,971 39 1.34 180,692 8.568 358 648 85.66
15.000 - 15.499 ...................... 2,121,613 13 0.40 163,201 8.940 358 613 81.46
15.500 - 15.999 ...................... 2,504,062 13 0.48 192,620 9.152 358 584 81.09
16.000 - 16.499 ...................... 1,041,025 5 0.20 208,205 9.601 358 585 78.15
16.500 - 16.999 ...................... 143,066 1 0.03 143,066 9.750 358 596 80.00
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
============ ===== ======
As of the Cut-off Date, the weighted average Maximum Mortgage Rate of
the Group 2 Loans will be approximately 11.838% per annum.
32
INITIAL FIXED-RATE PERIOD
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
INITIAL FIXED PERIOD BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
Two Years ............................ $267,164,411 1,248 50.89% $214,074 5.969% 358 685 76.63%
Three Years .......................... 111,427,151 616 21.22 180,888 5.906 358 674 77.16
Five Years ........................... 87,843,333 412 16.73 213,212 5.604 358 702 73.36
Seven Years .......................... 4,154,930 16 0.79 259,683 5.475 359 721 70.42
Ten Years ............................ 300,000 1 0.06 300,000 6.500 359 643 80.00
Other ................................ 54,109,652 248 10.31 218,184 5.489 359 698 76.04
------------ ----- ------- -------- -------- -------- -------- --------
Total ................................ $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
============ ===== ======
INITIAL RATE CAP
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
INITIAL CAP (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
1.000 ................................ $ 47,121,586 217 8.98% $217,150 5.489% 359 699 75.87%
2.000 ................................ 8,588,066 39 1.64 220,207 5.703 358 691 78.47
3.000 ................................ 450,881,150 2,192 85.88 205,694 5.870 358 686 76.10
4.000 ................................ 1,368,452 10 0.26 136,845 5.286 357 701 79.99
5.000 ................................ 6,902,960 43 1.31 160,534 6.299 357 700 79.43
6.000 ................................ 10,137,264 40 1.93 253,432 6.112 358 682 71.61
------------ ----- ------- -------- -------- -------- -------- --------
Total ................................ $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
============ ===== ======
SUBSEQUENT RATE CAP
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
SUBSEQUENT CAP (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
1.000 ................................ $504,424,259 2,453 96.08% $205,636 5.822% 358 688 76.19%
1.500 ................................ 3,819,888 18 0.73 212,216 8.255 358 555 71.15
2.000 ................................ 16,755,331 70 3.19 239,362 5.868 358 687 74.12
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
============ ===== ======
33
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 ......................... $ 155,000 2 0.03% $ 77,500 4.669% 359 728 16.76%
25.01 - 30.00 ........................ 203,919 2 0.04 101,959 6.752 359 584 27.04
30.01 - 35.00 ........................ 50,000 1 0.01 50,000 4.375 359 683 34.48
35.01 - 40.00 ........................ 109,888 1 0.02 109,888 5.875 358 670 39.78
40.01 - 45.00 ........................ 189,300 1 0.04 189,300 6.000 359 728 41.89
45.01 - 50.00 ........................ 2,203,922 11 0.42 200,357 5.908 359 657 47.90
50.01 - 55.00 ........................ 1,559,537 8 0.30 194,942 5.633 359 689 52.21
55.01 - 60.00 ........................ 8,107,602 36 1.54 225,211 5.486 358 680 58.74
60.01 - 65.00 ........................ 12,078,672 52 2.30 232,282 5.456 359 684 63.66
65.01 - 70.00 ........................ 174,951,763 796 33.32 219,789 5.198 359 703 69.75
70.01 - 75.00 ........................ 19,347,699 96 3.69 201,539 6.162 358 670 73.89
75.01 - 80.00 ........................ 260,551,314 1,293 49.63 201,509 6.047 358 679 79.70
80.01 - 85.00 ........................ 6,276,589 30 1.20 209,220 6.418 358 663 84.05
85.01 - 90.00 ........................ 30,257,339 168 5.76 180,103 7.302 358 683 89.74
90.01 - 95.00 ........................ 8,676,935 43 1.65 201,789 7.302 358 683 94.73
95.01 - 100.00 ....................... 280,000 1 0.05 280,000 7.000 360 751 100.00
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
============ ===== ======
The minimum and maximum loan-to-value ratios of the Group 2 Loans at
origination were approximately 16.67% and 100.00%, respectively, and the
weighted average of the loan-to-value ratios of the Group 2 Loans at origination
was approximately 76.09%.
OCCUPANCY TYPES
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
OCCUPANCY BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
Investment ........................... $119,771,840 597 22.81% $200,623 5.853% 359 707 74.12%
Owner Occupied ....................... 395,141,464 1,886 75.27 209,513 5.831 358 681 76.63
Second Home .......................... 10,086,173 58 1.92 173,900 6.122 359 698 78.25
------------ ----- ------ -------- -------- -------- -------- --------
Total ................................ $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
============ ===== ======
Occupancy type is based on the representation of the borrower at the
time of origination.
34
MORTGAGE LOAN PROGRAM AND DOCUMENTATION TYPE
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
DOCUMENTATION TYPE BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
rogressive Series Program
(Full Doc) ........................... $148,189,902 798 28.23% $185,702 5.717% 358 675 77.42%
Progressive Express No Doc
Program (No Doc) ..................... 15,935,607 83 3.04 191,995 6.632 358 681 74.32
Progressive Series Program
(Lite Income Stated Asset) ........... 330,000 1 0.06 330,000 6.250 356 625 76.75
Progressive Express Program
No Doc Program
(Verified Assets ..................... 3,422,004 20 0.65 171,100 6.841 358 677 78.01
Progressive Series Program
(Full Income/
Stated Assets Doc) ................... 602,000 3 0.11 200,667 5.309 357 677 77.91
Progressive Series Program
(Limited (Stated)
Doc) ................................. 299,809,565 1,368 57.11 219,159 5.721 359 695 75.21
Progressive Express Program
(Non Verified Assets) ................ 38,027,437 175 7.24 217,300 6.579 358 684 77.06
Progressive Express Program
(Verified Assets) .................... 18,682,963 93 3.56 200,892 6.427 358 678 78.69
------------ ------ ------- -------- -------- -------- -------- --------
Total ................................ $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
============ ===== ======
See "--Underwriting Standards" below for a detailed description of the
Seller's loan programs and documentation requirements.
35
RISK CATEGORIES
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
CREDIT GRADE CATEGORY BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
A .................................... $196,831,025 960 37.49% $205,032 5.959% 358 652 76.70%
A+ ................................... 251,942,154 1,173 47.99 214,784 5.474 358 725 74.96
A- ................................... 25,635,551 144 4.88 178,025 6.490 358 610 79.03
B .................................... 146,000 1 0.03 146,000 7.375 357 569 54.07
C .................................... 1,148,775 6 0.22 191,463 8.493 357 554 71.53
CX ................................... 300,750 1 0.06 300,750 8.875 357 534 75.00
Progressive Express(TM) I ............ 23,980,606 128 4.57 187,348 6.449 359 723 77.79
Progressive Express(TM) II ........... 19,885,051 103 3.79 193,059 7.076 359 652 80.47
Progressive Express(TM)III ........... 787,881 5 0.15 157,576 7.017 358 611 71.85
Progressive Express(TM) IV ........... 1,248,463 6 0.24 208,077 6.747 358 604 70.16
Progressive Express(TM) V ............ 1,047,621 5 0.20 209,524 8.538 358 562 72.28
Progressive Express(TM) VI ........... 2,045,602 9 0.39 227,289 8.223 358 522 68.00
------------ ----- ------- -------- -------- -------- -------- --------
Total ................................ $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
============ ===== ======
- -----------------
(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-, B, 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.
36
PROPERTY TYPES
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
PROPERTY TYPE BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
Single Family Residence .............. $319,722,793 1,605 60.90% $199,204 5.899% 358 682 76.77%
Planned Unit Development ............. 71,720,670 363 13.66 197,578 5.860 358 684 76.87
Condominium .......................... 74,425,948 369 14.18 201,696 5.687 359 701 75.62
2-4 Family Unit ...................... 57,337,156 190 10.92 301,775 5.682 359 705 71.87
Townhouse ............................ 1,792,911 14 0.34 128,065 6.309 358 699 76.67
------------ ----- ------- -------- -------- -------- -------- --------
Total ................................ $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
============ ===== ======
37
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 .............................. $ 332,608 3 0.06% $110,869 5.843% 358 728 80.49%
Arizona .............................. 22,745,850 148 4.33 153,688 6.118 358 676 77.06
California ........................... 288,360,478 1,144 54.93 252,063 5.586 359 696 74.58
Colorado ............................. 10,017,692 56 1.91 178,887 5.964 358 668 77.39
Connecticut .......................... 1,634,502 10 0.31 163,450 6.498 358 677 77.86
District of Columbia ................. 1,868,453 8 0.36 233,557 5.852 358 656 69.40
Delaware ............................. 1,365,886 7 0.26 195,127 6.263 358 649 75.77
Florida .............................. 42,963,824 268 8.18 160,313 6.180 358 683 78.36
Georgia .............................. 6,325,129 47 1.20 134,577 5.992 358 674 77.50
Hawaii ............................... 6,895,829 22 1.31 313,447 5.731 358 697 75.76
Iowa ................................. 1,227,692 11 0.23 111,608 5.772 358 646 77.12
Idaho ................................ 1,330,816 7 0.25 190,117 5.943 358 696 71.74
Illinois ............................. 10,914,098 60 2.08 181,902 6.325 359 681 78.03
Indiana .............................. 859,486 5 0.16 171,897 5.964 359 674 79.93
Kansas ............................... 258,400 2 0.05 129,200 6.080 358 653 80.00
Kentucky ............................. 136,800 1 0.03 136,800 6.420 358 611 80.00
Louisiana ............................ 338,256 3 0.06 112,752 6.044 358 644 80.00
Massachusetts ........................ 5,918,599 23 1.13 257,330 6.127 358 674 75.35
Maryland ............................. 11,688,415 58 2.23 201,524 6.131 358 669 77.07
Michigan ............................. 4,468,686 35 0.85 127,677 6.623 358 661 81.89
Minnesota ............................ 9,684,139 58 1.84 166,968 6.266 358 672 79.88
Missouri ............................. 647,987 6 0.12 107,998 6.751 359 699 81.51
Mississippi .......................... 483,265 4 0.09 120,816 6.418 357 643 82.59
Montana .............................. 180,011 2 0.03 90,005 6.396 357 620 78.30
North Carolina ....................... 2,138,924 13 0.41 164,533 6.540 358 667 81.13
North Dakota ......................... 374,664 3 0.07 124,888 6.110 357 663 79.11
Nebraska ............................. 626,389 5 0.12 125,278 6.837 357 659 79.74
New Hampshire ........................ 652,823 4 0.12 163,206 6.856 358 627 77.33
New Jersey ........................... 7,200,644 37 1.37 194,612 6.905 358 683 80.66
New Mexico ........................... 486,782 4 0.09 121,695 8.469 358 684 82.34
Nevada ............................... 16,563,572 84 3.15 197,185 5.909 358 686 76.47
New York ............................. 3,552,231 14 0.68 253,731 6.543 358 661 78.16
Ohio ................................. 2,854,100 21 0.54 135,910 6.248 358 642 81.31
Oklahoma ............................. 80,216 1 0.02 80,216 5.990 358 672 79.43
Oregon ............................... 8,176,363 56 1.56 146,006 5.809 358 675 76.59
Pennsylvania ......................... 1,146,591 9 0.22 127,399 6.240 358 667 80.55
Rhode Island ......................... 844,820 4 0.16 211,205 6.240 358 673 76.41
South Carolina ....................... 947,447 6 0.18 157,908 6.864 358 671 79.73
South Dakota ......................... 671,084 5 0.13 134,217 6.418 357 658 80.94
Tennessee ............................ 2,456,287 18 0.47 136,460 5.862 358 687 78.41
Texas ................................ 7,579,305 60 1.44 126,322 6.296 358 683 81.62
Utah ................................. 4,667,373 33 0.89 141,436 5.711 358 694 76.01
Virginia ............................. 17,294,402 84 3.29 205,886 6.176 358 679 77.76
Washington ........................... 14,998,677 84 2.86 178,556 5.976 358 665 78.20
Wisconsin ............................ 1,039,883 8 0.20 129,985 7.059 358 643 73.95
------------ ----- ------- -------- -------- -------- -------- --------
Total ................................ $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
============ ===== ======
No more than approximately 0.61% of the Group 2 Loans (by aggregate
outstanding principal balance as of the Cut-off Date) are secured by mortgaged
properties located in any one zip code.
38
DEBT-TO-INCOME RATIO
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
DESCRIPTION (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
0.01 - 5.00 .......................... $ 1,450,421 6 0.28% $241,737 5.703% 358 698 81.60%
5.01 - 10.00 ......................... 1,024,200 5 0.20 204,840 5.356 359 714 62.88
10.01 - 15.00 ........................ 2,417,216 15 0.46 161,148 5.594 359 700 70.18
15.01 - 20.00 ........................ 6,980,568 37 1.33 188,664 5.809 358 693 75.73
20.01 - 25.00 ........................ 14,913,984 82 2.84 181,878 5.752 358 696 75.51
25.01 - 30.00 ........................ 28,471,644 143 5.42 199,102 5.656 358 690 75.35
30.01 - 35.00 ........................ 47,450,878 236 9.04 201,063 5.744 358 693 76.01
35.01 - 40.00 ........................ 79,717,455 396 15.18 201,307 5.802 358 688 76.41
40.01 - 45.00 ........................ 102,998,068 487 19.62 211,495 5.798 358 684 76.55
45.01 - 50.00 ........................ 122,033,372 598 23.24 204,069 5.824 358 683 76.72
50.01 - 55.00 ........................ 8,955,542 41 1.71 218,428 5.492 359 685 72.85
Greater than 55.00 ................... 1,738,431 7 0.33 248,347 5.424 359 685 75.74
Not Required ......................... 106,847,698 488 20.35 218,950 6.089 359 689 75.47
------------ ----- ------- -------- -------- -------- -------- --------
Total ................................ $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
============ ===== ======
As of the Cut-off Date, the weighted average debt-to-income ratio of
the Group 2 Loans will be approximately 39.86% per annum.
PREPAYMENT PENALTY
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
NUMBER OF MONTHS BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
12 ................................... $105,611,546 467 20.12% $226,149 5.549% 359 697 74.38%
24 ................................... 168,595,902 781 32.11 215,872 5.799 358 687 75.63
36 ................................... 81,417,689 465 15.51 175,092 5.974 358 665 78.17
No Prepayment ........................ 169,374,340 828 32.26 204,558 6.002 358 692 76.60
------------ ----- ------- -------- -------- -------- -------- --------
Total ................................ $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
============ ===== ======
39
MONTHS REMAINING TO SCHEDULED MATURITY
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
RANGE OF MONTHS BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
241-360 .............................. $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
------------ ----- ------- -------- -------- -------- -------- --------
Total ................................ $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
============ ===== ======
As of the Cut-off Date, the weighted average months remaining to
scheduled maturity of the Group 2 Loans will be approximately 358 months.
CREDIT SCORES
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
RANGE OF CREDIT SCORES BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
0 - 500 .............................. $ 305,800 2 0.06% $152,900 6.165% 358 0 63.52%
501 - 520 ............................ 890,958 4 0.17 222,740 8.498 359 507 66.20
521 - 540 ............................ 1,260,393 5 0.24 252,079 8.142 357 531 70.69
541 - 560 ............................ 1,842,629 9 0.35 204,737 8.453 357 550 71.22
561 - 580 ............................ 551,701 3 0.11 183,900 8.091 358 571 66.49
581 - 600 ............................ 3,333,072 16 0.63 208,317 7.150 358 595 76.19
601 - 620 ............................ 26,841,854 155 5.11 173,173 6.418 358 611 78.87
621 - 640 ............................ 57,054,402 286 10.87 199,491 6.166 358 631 76.86
641 - 660 ............................ 76,465,968 380 14.56 201,226 6.135 358 650 77.00
661 - 680 ............................ 80,202,459 379 15.28 211,616 5.914 358 670 77.08
681 - 700 ............................ 76,211,640 353 14.52 215,897 5.734 358 690 76.19
701 - 720 ............................ 60,816,738 298 11.58 204,083 5.574 358 710 75.29
721 - 740 ............................ 50,891,719 246 9.69 206,877 5.476 358 731 74.92
741 - 760 ............................ 48,634,284 224 9.26 217,117 5.482 359 750 74.91
761 - 780 ............................ 28,589,848 128 5.45 223,358 5.455 359 770 74.41
781 - 800 ............................ 10,372,513 49 1.98 211,684 5.303 358 789 73.41
801 - 820 ............................ 733,500 4 0.14 183,375 4.734 358 807 72.65
------------ ----- ------- -------- -------- -------- -------- --------
Total ................................ $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
============ ===== ======
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 687.
40
RANGE OF MONTHS TO ROLL
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
NUMBER OF MONTHS BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
1 - 12 ............................... $ 54,109,652 248 10.31% $218,184 5.489% 359 699 76.04%
13 - 18 .............................. 975,073 5 0.19 195,015 6.580 354 683 82.84
19 - 24 .............................. 266,350,858 1,244 50.73 214,108 5.966 358 685 76.61
25 - 31 .............................. 554,800 4 0.11 138,700 6.103 354 678 80.00
32 - 49 .............................. 110,710,831 611 21.09 181,196 5.908 358 673 77.14
50 - 55 .............................. 1,692,349 7 0.32 241,764 6.012 353 686 75.08
56 - 61 .............................. 86,150,984 405 16.41 212,718 5.596 359 702 73.33
Greater than 80 ...................... 4,454,930 17 0.85 262,055 5.544 359 716 71.07
------------ ----- ------- -------- -------- -------- -------- --------
Total ................................ $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
============ ===== ======
As of the Cut-off Date, the weighted average months to roll of the
Group 2 Loans will be approximately 30 months.
LOAN PURPOSES
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
LOAN PURPOSE BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
Refinance - Cash Out ................. $154,824,747 717 29.49% $215,934 5.880% 358 671 73.98%
Purchase ............................. 342,881,726 1,704 65.31 201,222 5.842 358 695 77.18
Refinance - Rate/Term ................ 27,293,004 120 5.20 227,442 5.617 358 678 74.23
------------ ------ ------- -------- -------- -------- -------- --------
Total ................................ $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
============ ===== ======
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.
UNDERWRITING STANDARDS
WEIGHTED
WEIGHTED AVERAGE WEIGHTED WEIGHTED
AVERAGE REMG. AVERAGE AVERAGE
CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL
LOAN PURPOSE BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV
- -------------------------------------- ------------ ------ ------- -------- -------- -------- -------- --------
3rd Party ............................ $150,820,459 794 28.73% $189,950 6.089% 358 669 78.78%
Progressive Express .................. 48,995,222 256 9.33 191,388 6.839 359 677 78.06
Progressive Series ................... 325,183,796 1,491 61.94 218,098 5.576 359 697 74.54
------------ ------ ------- -------- -------- -------- -------- --------
Total ................................ $524,999,478 2,541 100.00% $206,611 5.842% 358 687 76.09%
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