Exhibit 99.1
THE MORTGAGE POOL
General
References to percentages of the mortgage loans unless otherwise noted are
calculated based on the aggregate principal balance of the subsequent mortgage
loans as of the Subsequent Cut-off Date.
The mortgage pool will consist of conventional, one- to four-family,
fixed-rate, fully-amortizing and balloon payment mortgage loans secured by first
liens on mortgaged properties. The mortgage pool will include the subsequent
mortgage loans which will be acquired by the trust during the Funding Period
with amounts on deposit in the Pre-Funding Account. The subsequent mortgage
loans consist of 193 mortgage loans with an aggregate principal balance as of
the Subsequent Cut-off Date of approximately $34,866,262 after application of
scheduled payments due on or before the Subsequent Cut-off Date whether or not
received.
The mortgage pool will consist of two groups of mortgage loans, Loan Group
1 and Loan Group 2. The mortgage loans in the two groups are referred to as the
Group 1 Loans and the Group 2 Loans, and the subsequent mortgage loans in the
two groups are referred to as the subsequent Group 1 Loans and the subsequent
Group 2 Loans. The Group 1 Loans will consist of mortgage loans which had
principal balances at origination which are less than or equal to the conforming
balance. The conforming balance for mortgage loans secured by a single family
property is $275,000 for all mortgage loans other than those originated in
Alaska, Hawaii, Guam and the U.S. Virgin Islands, for which it is $412,500. The
conforming balance is higher for mortgage loans secured by two- to four-family
properties.
The Seller will convey the subsequent mortgage loans to the company on the
Subsequent Transfer Date pursuant to the Subsequent Mortgage Loan Purchase
Agreement. The company will convey the subsequent mortgage loans to the trust on
the Subsequent Transfer Date pursuant to the Subsequent Transfer Instrument. The
Seller will make certain representations and warranties with respect to the
subsequent mortgage loans in the Mortgage Loan Purchase Agreement. These
representations and warranties will be assigned by the company to the Trustee
for the benefit of the Certificateholders. As more particularly described in the
prospectus, the Seller will have certain repurchase or substitution obligations
in connection with a breach of any such representation or warranty, as well as
in connection with an omission or defect in respect of certain constituent
documents required to be delivered with respect to the mortgage loans, if such
breach, omission or defect cannot be cured and it materially and adversely
affects the interests of the Certificateholders. In the event the Seller fails
to repurchase an subsequent mortgage loan, Impac Holdings will be required to do
so. See "The Mortgage Pools--Representations by Sellers" in the prospectus.
Prepayment Charges
Approximately 73.65% of the subsequent mortgage loans in the aggregate,
70.07% of the subsequent Group 1 Loans and 79.51% of the subsequent Group 2
Loans, provide for payment by the mortgagor of a prepayment charge in limited
circumstances on prepayments. Generally, these subsequent mortgage loans provide
for payment of a prepayment charge on partial or full prepayments made within
one year, five years or other period as provided in the related mortgage note
from the date of origination of the subsequent 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
subsequent mortgage loan, the mortgagor prepays an aggregate amount exceeding
20% of the original principal balance of the subsequent 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 subsequent mortgage loan. There can be no assurance that the
prepayment charges will have any effect on the prepayment performance of the
subsequent mortgage loans.
Mortgage Loan Characteristics
The average principal balance of the subsequent mortgage loans at
origination was approximately $180,745. No subsequent mortgage loan had a
principal balance at origination of greater than approximately $780,000 or less
than approximately $48,450. The average principal balance of the subsequent
mortgage loans as of the Subsequent Cut-off Date was approximately $180,654. No
subsequent mortgage loan had a principal balance as of the Subsequent Cut-off
Date of greater than approximately $778,686 or less than approximately $48,450.
As of the Subsequent Cut-off Date, the subsequent mortgage loans had
mortgage rates ranging from approximately 6.750% per annum to approximately
11.900% per annum and the weighted average mortgage rate was approximately
8.499% per annum. The weighted average remaining term to stated maturity of the
subsequent mortgage loans will be approximately 355 months as of the Subsequent
Cut-off Date. None of the subsequent mortgage loans will have a first Due Date
prior to July 1, 2001 or after December 1, 2001, or will have a remaining term
to maturity of less than 178 months or greater than 360 months as of the
Subsequent Cut-off Date. The latest maturity date of any subsequent mortgage
loan is November 1, 2031.
The weighted average loan-to-value ratio at origination of the subsequent
mortgage loans was approximately 81.03%. No loan-to-value ratio at origination
was greater than approximately 97.00% or less than approximately 23.53%.
The original mortgages for some of the mortgage loans have been, or in the
future may be, at the sole discretion of the master servicer, recorded in the
name of Mortgage Electronic Registration Systems, Inc., or MERS, solely as
nominee for the seller and its successors and assigns, and subsequent
assignments of those mortgages have been, or in the future may be, at the sole
discretion of the master servicer, registered electronically through the MERS(R)
System. In some other cases, the original mortgage was recorded in the name of
the originator of the mortgage loan, record ownership was later assigned to
MERS, solely as nominee for the owner of the mortgage loan, and subsequent
assignments of the mortgage were, or in the future may be, at the sole
discretion of the master servicer, registered electronically through the MERS(R)
System. For each of these mortgage loans, MERS serves as mortgagee of record on
the mortgage solely as a nominee in an administrative capacity on behalf of the
trustee, and does not have any interest in the mortgage loan. As of the
Subsequent Cut-off Date, approximately 17.03% of the aggregate principal balance
of the mortgage loans were recorded in the name of MERS. For additional
information regarding the recording of mortgages in the name of MERS see "Yield
on the Certificates--Yield Sensitivity of the Mezzanine Certificates" in this
prospectus supplement.
Five subsequent mortgage loans, representing approximately 1.88% of the
mortgage pool (by aggregate outstanding principal balance as of the Subsequent
Cut-off Date), are balloon loans. The
amount of the balloon payment on each of these subsequent mortgage loans is
substantially in excess of the amount of the scheduled monthly payment on such
subsequent mortgage loan for the period prior to the Due Date of the balloon
payment. These subsequent mortgage loans have a weighted average remaining term
to maturity of approximately 178 months.
None of the subsequent mortgage loans are buydown mortgage loans.
None of the subsequent mortgage loans were 30 days or more delinquent as of
the Subsequent Cut-off Date.
Set forth below is a description of certain additional characteristics of
the subsequent mortgage loans as of the Subsequent Cut-off Date, except as
otherwise indicated. All percentages of the subsequent mortgage loans are
approximate percentages by aggregate principal balance as of the Subsequent
Cut-off Date, except as otherwise indicated. Dollar amounts and percentages may
not add up to totals due to rounding.
Principal Balances at Origination
Percentage of
Subsequent Cut-off
Original Number of Date
Subsequent Mortgage Loan Subsequent Aggregate Unpaid Aggregate
Principal Balances($) Mortgage Loans Principal Balance Principal Balance
--------------------- -------------- ----------------- -----------------
0.01 - 50,000.00 ................. 1 $ 48,450 0.14%
50,000.01 - 100,000.00.................. 58 4,324,642 12.40
100,000.01 - 150,000.00.................. 45 5,438,265 15.60
150,000.01 - 200,000.00.................. 33 5,702,752 16.36
200,000.01 - 250,000.00.................. 21 4,779,463 13.71
250,000.01 - 300,000.00.................. 9 2,494,801 7.16
300,000.01 - 350,000.00.................. 4 1,317,686 3.78
350,000.01 - 400,000.00.................. 7 2,646,468 7.59
400,000.01 - 450,000.00.................. 6 2,563,167 7.35
450,000.01 - 500,000.00.................. 2 955,000 2.74
500,000.01 - 550,000.00.................. 1 528,000 1.51
550,000.01 - 600,000.00.................. 1 570,500 1.64
600,000.01 - 650,000.00.................. 2 1,269,949 3.64
650,000.01 - 700,000.00.................. 1 698,432 2.00
700,000.01 - 750,000.00.................. 1 750,000 2.15
750,000.01 - 800,000.00.................. 1 778,686 2.23
--- ----------- ------
Total............................... 193 $34,866,262 100.00%
=== =========== ======
The average principal balance of the subsequent mortgage loans at
origination was approximately $180,745.
Principal Balances as of the Subsequent Cut-off Date
Percentage of
Subsequent Cut-off
Number of Date
Current Subsequent Mortgage Loan Subsequent Aggregate Unpaid Aggregate
Principal Balances($) Mortgage Loans Principal Balance Principal Balance
--------------------- -------------- ----------------- -----------------
0.01 - 50,000.00 ........................ 1 $ 48,450 0.14%
50,000.01 - 100,000.00......................... 58 4,324,642 12.40
100,000.01 - 150,000.00......................... 45 5,438,265 15.60
150,000.01 - 200,000.00......................... 33 5,702,752 16.36
200,000.01 - 250,000.00......................... 21 4,779,463 13.71
250,000.01 - 300,000.00......................... 9 2,494,801 7.16
300,000.01 - 350,000.00......................... 4 1,317,686 3.78
350,000.01 - 400,000.00......................... 7 2,646,468 7.59
400,000.01 - 450,000.00......................... 6 2,563,167 7.35
450,000.01 - 500,000.00......................... 2 955,000 2.74
500,000.01 - 550,000.00......................... 1 528,000 1.51
550,000.01 - 600,000.00......................... 1 570,500 1.64
600,000.01 - 650,000.00......................... 2 1,269,949 3.64
650,000.01 - 700,000.00......................... 1 698,432 2.00
700,000.01 - 750,000.00......................... 1 750,000 2.15
750,000.01 - 800,000.00......................... 1 778,686 2.23
--- ----------- ------
Total...................................... 193 $34,866,262 100.00%
=== =========== ======
As of the Subsequent Cut-off Date, the average current principal balance of
the subsequent mortgage loans will be approximately $180,654.
Mortgage Rates
Percentage of
Subsequent Cut-off
Number of Date
Subsequent Aggregate Unpaid Aggregate
Mortgage Rates(%) Mortgage Loans Principal Balance Principal Balance
----------------- -------------- ----------------- -----------------
6.500 - 6.999 ........................ 5 $ 2,241,286 6.43%
7.000 - 7.499 ........................ 7 2,999,555 8.60
7.500 - 7.999 ........................ 12 4,348,422 12.47
8.000 - 8.499 ........................ 39 6,750,920 19.36
8.500 - 8.999 ........................ 51 7,824,533 22.44
9.000 - 9.499 ........................ 37 5,115,928 14.67
9.500 - 9.999 ........................ 24 3,857,614 11.06
10.000 - 10.499......................... 9 966,540 2.77
10.500 - 10.999......................... 7 604,891 1.73
11.500 - 11.999......................... 2 156,572 0.45
--- ----------- ------
Total............................... 193 $34,866,262 100.00%
=== =========== ======
The weighted average mortgage rate of the subsequent mortgage loans was
approximately 8.499% per annum.
Original Loan-to-Value Ratios
Percentage of
Number of Subsequent Cut-off
Subsequent Aggregate Unpaid Date Aggregate
Original Loan-to-Value Ratios(%) Mortgage Loans Principal Balance Principal Balance
-------------------------------- -------------- ----------------- -----------------
20.01 - 25.00.................................. 1 $ 399,672 1.15%
30.01 - 35.00.................................. 1 778,686 2.23
50.01 - 55.00.................................. 1 750,000 2.15
55.01 - 60.00.................................. 3 749,742 2.15
60.01 - 65.00.................................. 5 1,949,134 5.59
65.01 - 70.00.................................. 10 2,234,016 6.41
70.01 - 75.00.................................. 7 926,841 2.66
75.01 - 80.00.................................. 46 9,730,313 27.91
80.01 - 85.00.................................. 4 545,714 1.57
85.01 - 90.00.................................. 65 9,622,625 27.60
90.01 - 95.00.................................. 49 7,053,419 20.23
95.01 -100.00.................................. 1 126,100 0.36
--- ----------- ------
Total...................................... 193 $34,866,262 100.00%
=== =========== ======
The minimum and maximum loan-to-value ratios of the subsequent mortgage
loans at origination were approximately 23.53% and 97.00%, respectively, and the
weighted average of the loan-to-value ratios of the subsequent mortgage loans at
origination was approximately 81.03.
Occupancy Types
Percentage of
Subsequent Cut-off
Number of Date
Subsequent Aggregate Unpaid Aggregate
Occupancy (as indicated by borrower) Mortgage Loans Principal Balance Principal Balance
- ------------------------------------ -------------- ----------------- -----------------
Second Home................................. 3 $ 574,507 1.65%
Non-Owner Occupied.......................... 24 3,244,428 9.31
Primary Residence........................... 166 31,047,326 89.05
--- ----------- ------
Total................................... 193 $34,866,262 100.00%
=== =========== ======
Mortgage Loan Program and Documentation Type
Percentage of
Subsequent Cut-off
Number of Date
Subsequent Aggregate Unpaid Aggregate
Loan Program and Documentation Type Mortgage Loans Principal Balance Principal Balance
----------------------------------- -------------- ----------------- -----------------
Progressive Series Program (Full
Documentation).............................. 14 $ 3,003,870 8.62%
Progressive Series Program (Limited
(Stated) Documentation)..................... 16 6,162,646 17.68
Progressive Series Program (Lite
Income/Stated Asset Documentation).......... 2 501,912 1.44
Progressive Express(TM)Program (Verified
Assets)..................................... 54 9,059,804 25.98
Progressive Express(TM)Program (Non
Verified Assets)............................ 99 14,904,103 42.75
Progressive Express(TM)No Doc Program
(No Documentation).......................... 8 1,233,926 3.54
--- ----------- ------
Total................................... 193 $34,866,262 100.00%
=== =========== ======
See "--Underwriting Standards" below for a detailed description of the
Seller's loan programs and documentation requirements.
Risk Categories
Percentage of
Subsequent Cut-off
Number of Date
Subsequent Aggregate Unpaid Aggregate
Credit Grade Mortgage Loans Principal Balance Principal Balance
------------ -------------- ----------------- -----------------
A+(1).................................... 14 $ 4,793,310 13.75%
A(1)..................................... 15 4,701,748 13.49
A-(1).................................... 3 173,370 0.50
Progressive Express(TM)I(2).............. 52 9,012,673 25.85
Progressive Express(TM)II(2)............. 88 13,308,539 38.17
Progressive Express(TM)III(2)............ 15 2,102,863 6.03
Progressive Express(TM)IV(2)............. 4 529,493 1.52
Progressive Express(TM)V(2).............. 2 244,265 0.70
--- ----------- ------
Total.............................. 193 $34,866,262 100.00%
=== =========== ======
- ----------
(1) All of these subsequent mortgage loans were reviewed and placed into risk
categories based on the credit standards of the Progressive Series Program.
Credit grades of A+, A, and A- correspond to Progressive Series I+, I and II,
and III and III+ , respectively.
(2) These subsequent mortgage loans were originated under the Seller's
Progressive Express(TM) Program. The underwriting for these subsequent mortgage
loans is generally based on the borrower's "FICO" score and therefore these
subsequent mortgage loans do not correspond to the alphabetical risk categories
listed above.
See "--Underwriting Standards" below for a description of the Seller's risk
categories.
Property Types
Percentage of
Subsequent Cut-off
Number of Date
Subsequent Aggregate Unpaid Aggregate
Property Type Mortgage Loans Principal Balance Principal Balance
------------- -------------- ----------------- -----------------
Single-Family................. 136 $24,825,296 71.20%
Condominium................... 15 1,854,800 5.32
Two- to Four-Family........... 10 1,513,996 4.34
De Minimis PUD................ 20 5,475,701 15.70
Planned Unit Development...... 8 842,332 2.42
Hi-Rise....................... 4 354,136 1.02
--- ----------- ------
Total...................... 193 $34,866,262 100.00%
=== =========== ======
Geographic Distribution of Mortgaged Properties
Percentage of
Subsequent Cut-off
Number of Date
Subsequent Aggregate Unpaid Aggregate
State Mortgage Loans Principal Balance Principal Balance
----- -------------- ----------------- -----------------
California............................ 58 $13,978,389 40.09%
Florida............................... 41 5,500,147 15.77
New York.............................. 8 1,777,877 5.10
Texas................................. 13 2,180,304 6.25
Virginia.............................. 6 2,008,875 5.76
Other (less than 3% in any one state). 67 9,420,669 27.02
--- ----------- ------
Total.............................. 193 $34,866,262 100.00%
=== =========== ======
No more than approximately 2.23% of the subsequent mortgage loans (by
aggregate outstanding principal balance as of the Subsequent Cut-off Date) will
be secured by mortgaged properties located in any one zip code.
Loan Purposes
Percentage of
Subsequent Cut-off
Number of Date
Subsequent Aggregate Unpaid Aggregate
Loan Purpose Mortgage Loans Principal Balance Principal Balance
------------ -------------- ----------------- -----------------
Purchase........................... 129 $21,062,351 60.41%
Cash-Out Refinance................. 47 9,259,272 26.56
Rate and Term Refinance............ 16 3,906,690 11.20
Construction....................... 1 637,949 1.83
--- ----------- ------
Total........................... 193 $34,866,262 100.00%
=== =========== ======
In general, in the case of an subsequent 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. Subsequent 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.
Subsequent Group 1 Loan Characteristics
The subsequent Group 1 Loans will consist of 163 conventional, one- to
four-family, fixed-rate, fully- amortizing and balloon payment mortgage loans
secured by first liens on mortgaged properties and having an aggregate principal
balance as of the Subsequent Cut-off Date of approximately $21,642,973 after
application of scheduled payments due on or before the Subsequent Cut-off Date
whether or not received.
The average principal balance of the subsequent Group 1 Loans at
origination was approximately $132,837. No Subsequent Group 1 Loan had a
principal balance at origination of greater than approximately $290,500 or less
than approximately $48,450. The average principal balance of the subsequent
Group 1 Loans as of the Subsequent Cut-off Date was approximately $132,779. No
subsequent Group 1 Loan had a principal balance as of the Subsequent Cut-off
Date of greater than approximately $290,198 or less than approximately $48,450.
As of the Subsequent Cut-off Date, the subsequent Group 1 Loans had
mortgage rates ranging from approximately 6.875% per annum to approximately
11.900% per annum and the weighted average mortgage rate was approximately
8.900% per annum. The weighted average remaining term to stated maturity of the
subsequent Group 1 Loans will be approximately 352 months as of the Subsequent
Cut-off Date. None of the subsequent Group 1 Loans will have a first Due Date
prior to July 1, 2001 or after December 1, 2001, or will have a remaining term
to maturity of less than 178 months or greater than 360 months as of the
Subsequent Cut-off Date. The latest maturity date of any subsequent Group 1 Loan
is November 1, 2031.
The weighted average loan-to-value ratio at origination of the subsequent
Group 1 Loans was approximately 86.16%. No loan-to-value ratio at origination
was greater than approximately 97.00% or less than approximately 56.82%.
Five subsequent Group 1 Loans, representing approximately 3.02% of the
subsequent Group 1 Loans (by aggregate outstanding principal balance as of the
Subsequent Cut-off Date), are balloon loans. The amount of the balloon payment
on each of these subsequent Group 1 Loans is substantially in excess of the
amount of the scheduled monthly payment on such subsequent Group 1 Loan for the
period prior to the Due Date of the balloon payment. These subsequent Group 1
Loans have a weighted average remaining term to maturity of approximately 178
months.
None of the subsequent Group 1 Loans are buydown mortgage loans.
None of the subsequent Group 1 Loans were 30 days or more delinquent as of
the Subsequent Cut- off Date.
Set forth below is a description of certain additional characteristics of
the subsequent Group 1 Loans as of the Subsequent Cut-off Date, except as
otherwise indicated. All percentages of the subsequent Group 1 Loans are
approximate percentages by aggregate principal balance of the subsequent Group 1
Loans as of the Subsequent Cut-off Date, except as otherwise indicated. Dollar
amounts and percentages may not add up to totals due to rounding.
Principal Balances at Origination
Percentage of
Subsequent Cut-off
Original Number of Date
Mortgage Loan Subsequent Group Aggregate Unpaid Aggregate
Principal Balances($) 1 Loans Principal Balance Principal Balance
--------------------- ------- ----------------- -----------------
0.01 - 50,000.00....................... 1 $ 48,450 0.22%
50,000.01 - 100,000.00....................... 58 4,324,642 19.98
100,000.01 - 150,000.00....................... 45 5,438,265 25.13
150,000.01 - 200,000.00....................... 33 5,702,752 26.35
200,000.01 - 250,000.00....................... 21 4,779,463 22.08
250,000.01 - 300,000.00....................... 5 1,349,401 6.23
--- ----------- ------
Total.................................... 163 $21,642,973 100.00%
=== =========== ======
The average principal balance of the subsequent Group 1 Loans at
origination was approximately $132,837.
Principal Balances as of the Subsequent Cut-off Date
Percentage of
Subsequent Cut-off
Number of Date
Current Mortgage Loan Subsequent Group Aggregate Unpaid Aggregate
Principal Balances($) 1 Loans Principal Balance Principal Balance
--------------------- ------- ----------------- -----------------
0.01 - 50,000.00........... 1 $ 48,450 0.22%
50,000.01 - 100,000.00........... 58 4,324,642 19.98
100,000.01 - 150,000.00........... 45 5,438,265 25.13
150,000.01 - 200,000.00........... 33 5,702,752 26.35
200,000.01 - 250,000.00........... 21 4,779,463 22.08
250,000.01 - 300,000.00........... 5 1,349,401 6.23
--- ----------- ------
Total........................ 163 $21,642,973 100.00%
=== =========== ======
As of the Subsequent Cut-off Date, the average current principal balance of
the subsequent Group 1 Loans will be approximately $132,779.
Mortgage Rates
Percentage of
Subsequent Cut-off
Number of Date
Subsequent Group Aggregate Unpaid Aggregate
Mortgage Rates(%) 1 Loans Principal Balance Principal Balance
----------------- ------- ----------------- -----------------
6.500 - 6.999 ...................... 1 $ 155,200 0.72%
7.500 - 7.999 ...................... 6 1,012,087 4.68
8.000 - 8.499 ...................... 36 5,279,590 24.39
8.500 - 8.999 ...................... 45 5,903,254 27.28
9.000 - 9.499 ...................... 36 4,840,428 22.36
9.500 - 9.999 ...................... 21 2,724,411 12.59
10.000 - 10.499....................... 9 966,540 4.47
10.500 - 10.999....................... 7 604,891 2.79
11.500 - 11.999....................... 2 156,572 0.72
--- ----------- ------
Total............................. 163 $21,642,973 100.00%
=== =========== ======
The weighted average mortgage rate of the subsequent Group 1 Loans was
approximately 8.900% per annum.
Original Loan-to-Value Ratios
Percentage of
Subsequent Cut-off
Number of Date
Subsequent Group Aggregate Unpaid Aggregate
Original Loan-to-Value Ratios(%) 1 Loans Principal Balance Principal Balance
----------------- ------- ----------------- -----------------
55.01 - 60.00.......................... 2 $ 349,742 1.62%
60.01 - 65.00.......................... 2 247,702 1.14
65.01 - 70.00.......................... 7 884,628 4.09
70.01 - 75.00.......................... 7 926,841 4.28
75.01 - 80.00.......................... 35 5,069,627 23.42
80.01 - 85.00.......................... 4 545,714 2.52
85.01 - 90.00.......................... 60 7,731,039 35.72
90.01 - 95.00.......................... 45 5,761,581 26.62
95.01 -100.00.......................... 1 126,100 0.58
--- ----------- ------
Total.............................. 163 $21,642,973 100.00%
=== =========== ======
The minimum and maximum loan-to-value ratios of the subsequent Group 1
Loans at origination were approximately 56.82% and 97.00%, respectively, and the
weighted average of the loan-to-value ratios of the subsequent Group 1 Loans at
origination was approximately 86.16%.
Occupancy Types
Percentage of
Subsequent Cut-off
Number of Date
Subsequent Group Aggregate Unpaid Aggregate
Occupancy (as indicated by borrower) 1 Loans Principal Balance Principal Balance
- ----------------------------------- ------- ----------------- -----------------
Second Home.............................. 2 $ 276,907 1.28%
Non-Owner Occupied....................... 23 2,465,742 11.39
Primary Residence........................ 138 18,900,324 87.33
--- ----------- ------
Total................................ 163 $21,642,973 100.00%
=== =========== ======
Mortgage Loan Program and Documentation Type
Percentage of
Subsequent Cut-off
Number of Date
Subsequent Group Aggregate Unpaid Aggregate
Loan Program and Documentation Type 1 Loans Principal Balance Principal Balance
- ----------------------------------- ------- ----------------- -----------------
Progressive Series Program (Full
Documentation)........................... 10 $ 1,482,344 6.85%
Progressive Series Program
(Limited (Stated) Documentation)......... 6 718,961 3.32
Progressive Series Program (Lite
Income/Stated Asset
Documentation)........................... 1 62,070 0.29
Progressive Express(TM)Program
(Verified Assets)........................ 50 7,163,962 33.10
Progressive Express(TM)Program
(Non Verified Assets).................... 88 10,981,709 50.74
Progressive Express(TM)No Doc
Program (No Documentation)............... 8 1,233,926 5.70
--- ----------- ------
Total........................................ 163 $21,642,973 100.00%
=== =========== ======
See "--Underwriting Standards" below for a detailed description of the
Seller's loan programs and documentation requirements.
Risk Categories
Percentage of
Subsequent Cut-off
Number of Date
Subsequent Group Aggregate Unpaid Aggregate
Credit Grade 1 Loans Principal Balance Principal Balance
------------ ------- ----------------- -----------------
A+(1).................................. 6 $ 794,765 3.67%
A(1)................................... 8 1,295,241 5.98
A-(1).................................. 3 173,370 0.80
Progressive Express(TM)I(2)............ 44 5,516,279 25.49
Progressive Express(TM)II(2)........... 81 10,986,697 50.76
Progressive Express(TM)III(2).......... 15 2,102,863 9.72
Progressive Express(TM)IV(2)........... 4 529,493 2.45
Progressive Express(TM)V(2)............ 2 244,265 1.13
--- ----------- ------
Total............................ 163 $21,642,973 100.00%
=== =========== ======
- ----------
(1) All of these mortgage loans were reviewed and placed into risk categories
based on the credit standards of the Progressive Series Program. Credit grades
of A+, A, and A-, correspond to Progressive Series I+, I and II, and III and
III+ , respectively.
(2) These mortgage loans were originated under the Seller's Progressive
Express(TM) Program. The underwriting for these mortgage loans is generally
based on the borrower's "FICO" score and therefore these mortgage loans do not
correspond to the alphabetical risk categories listed above.
See "--Underwriting Standards" below for a description of the Seller's risk
categories.
Property Types
Percentage of
Subsequent Cut-off
Number of Date
Subsequent Group Aggregate Unpaid Aggregate
Property Type 1 Loans Principal Balance Principal Balance
------------- ------- ----------------- -----------------
Single-Family........................ 113 $15,171,454 70.10%
Condominium.......................... 14 1,557,200 7.19
Two- to Four-Family.................. 10 1,513,996 7.00
De Minimis PUD....................... 14 2,203,855 10.18
Planned Unit Development............. 8 842,332 3.89
Hi-Rise.............................. 4 354,136 1.64
--- ----------- ------
Total............................. 163 $21,642,973 100.00%
=== =========== ======
Geographic Distribution of Mortgaged Properties
Percentage of
Subsequent Cut-off
Number of Date
Subsequent Group Aggregate Unpaid Aggregate
State 1 Loans Principal Balance Principal Balance
----- ------- ----------------- -----------------
California........................... 41 $ 6,773,142 31.29%
Florida.............................. 37 4,225,247 19.52
Georgia.............................. 6 725,350 3.35
New York............................. 7 1,378,389 6.37
Pennsylvania......................... 5 696,504 3.22
Texas................................ 12 1,430,304 6.61
Other (less than 3% in any one state) 55 6,414,037 29.64
--- ----------- ------
Total............................. 163 $21,642,973 100.00%
=== =========== ======
No more than approximately 1.34% of the subsequent Group 1 Loans (by
aggregate outstanding principal balance as of the Subsequent Cut-off Date) will
be secured by mortgaged properties located in any one zip code.
Loan Purposes
Percentage of
Subsequent Cut-off
Number of Date
Subsequent Group Aggregate Unpaid Aggregate
Loan Purpose 1 Loans Principal Balance Principal Balance
------------ ------- ----------------- -----------------
Purchase............................... 114 $14,881,155 68.76%
Cash-Out Refinance..................... 38 5,173,080 23.90
Rate and Term Refinance................ 11 1,588,738 7.34
--- ----------- ------
Total............................... 163 $21,642,973 100.00%
=== =========== ======
In general, in the case of a mortgage loan made for "rate and term"
refinance purposes, substantially all of the proceeds are used to pay in full
the principal balance of a previous mortgage loan of the mortgagor with respect
to a mortgaged property and to pay origination and closing costs associated with
such refinancing. Mortgage loans made for "cash-out" refinance purposes may
involve the use of the proceeds to pay in full the principal balance of a
previous mortgage loan and related costs except that a portion of the proceeds
are generally retained by the mortgagor for uses unrelated to the mortgaged
property. The amount of these proceeds retained by the mortgagor may be
substantial.
Subsequent Group 2 Loan Characteristics
The subsequent Group 2 Loans will consist of 30 conventional, one- to
four-family, fixed-rate, fully- amortizing and balloon payment mortgage loans
secured by first liens on mortgaged properties and having an aggregate principal
balance as of the Subsequent Cut-off Date of approximately $13,223,289 after
application of scheduled payments due on or before the Subsequent Cut-off Date
whether or not received.
The average principal balance of the subsequent Group 2 Loans at
origination was approximately $441,043. No subsequent Group 2 Loan had a
principal balance at origination of greater than approximately $780,000 or less
than approximately $275,500. The average principal balance of the subsequent
Group 2 Loans as of the Subsequent Cut-off Date was approximately $440,776. No
subsequent Group 2 Loan had a principal balance as of the Subsequent Cut-off
Date of greater than approximately $778,686 or less than approximately $275,500.
As of the Subsequent Cut-off Date, the subsequent Group 2 Loans had
mortgage rates ranging from approximately 6.750% per annum to approximately
9.875% per annum and the weighted average mortgage rate was approximately 7.841%
per annum. The weighted average remaining term to stated maturity of the
subsequent Group 2 Loans will be approximately 359 months as of the Subsequent
Cut-off Date. None of the subsequent Group 2 Loans will have a first Due Date
prior to August 1, 2001 or after December 1, 2001, or will have a remaining term
to maturity of less than 356 months or greater than 360 months as of the
Subsequent Cut-off Date. The latest maturity date of any subsequent Group 2 Loan
is November 1, 2031.
The weighted average loan-to-value ratio at origination of the subsequent
Group 2 Loans was approximately 72.63%. No loan-to-value ratio at origination
was greater than approximately 95.00% or less than approximately 23.53%.
None of the subsequent Group 2 Loans are balloon loans.
None of the subsequent Group 2 Loans are buydown mortgage loans.
None of the subsequent Group 2 Loans were 30 days or more delinquent as of
the Subsequent Cut- off Date.
Set forth below is a description of certain additional characteristics of
the subsequent Group 2 Loans as of the Subsequent Cut-off Date, except as
otherwise indicated. All percentages of the subsequent Group 2 Loans are
approximate percentages by aggregate principal balance of the subsequent Group 2
Loans as of the Subsequent Cut-off Date, except as otherwise indicated. Dollar
amounts and percentages may not add up to totals due to rounding.
Principal Balances at Origination
Percentage of
Subsequent Cut-off
Original Number of Date
Mortgage Loan Subsequent Group Aggregate Unpaid Aggregate
Principal Balances($) 2 Loans Principal Balance Principal Balance
--------------------- ------- ----------------- -----------------
250,000.01 - 300,000.00............... 4 $ 1,145,400 8.66%
300,000.01 - 350,000.00............... 4 1,317,686 9.96
350,000.01 - 400,000.00............... 7 2,646,468 20.01
400,000.01 - 450,000.00............... 6 2,563,167 19.38
450,000.01 - 500,000.00............... 2 955,000 7.22
500,000.01 - 550,000.00............... 1 528,000 3.99
550,000.01 - 600,000.00............... 1 570,500 4.31
600,000.01 - 650,000.00............... 2 1,269,949 9.60
650,000.01 - 700,000.00............... 1 698,432 5.28
700,000.01 - 750,000.00............... 1 750,000 5.67
750,000.01 - 800,000.00............... 1 778,686 5.89
-- ----------- ------
Total............................ 30 $13,223,289 100.00%
== =========== ======
The average principal balance of the subsequent Group 2 Loans at
origination was approximately $441,043.
Principal Balances as of the Subsequent Cut-off Date
Percentage of
Subsequent Cut-off
Number of Date
Current Mortgage Loan Subsequent Group Aggregate Unpaid Aggregate
Principal Balances($) 2 Loans Principal Balance Principal Balance
--------------------- ------- ----------------- -----------------
250,000.01 - 300,000.00................ 4 $1,145,400 8.66%
300,000.01 - 350,000.00................ 4 1,317,686 9.96
350,000.01 - 400,000.00................ 7 2,646,468 20.01
400,000.01 - 450,000.00................ 6 2,563,167 19.38
450,000.01 - 500,000.00................ 2 955,000 7.22
500,000.01 - 550,000.00................ 1 528,000 3.99
550,000.01 - 600,000.00................ 1 570,500 4.31
600,000.01 - 650,000.00................ 2 1,269,949 9.60
650,000.01 - 700,000.00................ 1 698,432 5.28
700,000.01 - 750,000.00................ 1 750,000 5.67
750,000.01 - 800,000.00................ 1 778,686 5.89
-- ----------- ------
Total............................. 30 $13,223,289 100.00%
== =========== ======
As of the Subsequent Cut-off Date, the average current principal balance of
the subsequent Group 2 Loans will be approximately $440,776.
Mortgage Rates
Percentage of
Subsequent Cut-off
Number of Date
Subsequent Group Aggregate Unpaid Aggregate
Mortgage Rates(%) 2 Loans Principal Balance Principal Balance
----------------- ------- ----------------- -----------------
6.500 - 6.999 .................... 4 $ 2,086,086 15.78%
7.000 - 7.499 .................... 7 2,999,555 22.68
7.500 - 7.999 .................... 6 3,336,334 25.23
8.000 - 8.499 .................... 3 1,471,330 11.13
8.500 - 8.999 .................... 6 1,921,279 14.53
9.000 - 9.499 .................... 1 275,500 2.08
9.500 - 9.999..................... 3 1,133,204 8.57
-- ----------- ------
Total............................. 30 $13,223,289 100.00%
== =========== ======
The weighted average mortgage rate of the subsequent Group 2 Loans was
approximately 7.841% per annum.
Original Loan-to-Value Ratios
Percentage of
Subsequent Cut-off
Number of Date
Subsequent Group Aggregate Unpaid Aggregate
Original Loan-to-Value Ratios(%) 2 Loans Principal Balance Principal Balance
------------------------------- ------- ----------------- -----------------
20.01 - 25.00.......................... 1 $ 399,672 3.02%
30.01 - 35.00.......................... 1 778,686 5.89
50.01 - 55.00.......................... 1 750,000 5.67
55.01 - 60.00.......................... 1 400,000 3.02
60.01 - 65.00.......................... 3 1,701,432 12.87
65.01 - 70.00.......................... 3 1,349,388 10.20
75.01 - 80.00.......................... 11 4,660,686 35.25
85.01 - 90.00.......................... 5 1,891,587 14.30
90.01 - 95.00.......................... 4 1,291,839 9.77
-- ----------- ------
Total.............................. 30 $13,223,289 100.00%
== =========== ======
The minimum and maximum loan-to-value ratios of the subsequent Group 2
Loans at origination were approximately 23.53% and 95.00%, respectively, and the
weighted average of the loan-to-value ratios of the subsequent Group 2 Loans at
origination was approximately 72.63%.
Occupancy Types
Percentage of
Subsequent Cut-off
Number of Date
Subsequent Group Aggregate Unpaid Aggregate
Occupancy (as indicated by borrower) 2 Loans Principal Balance Principal Balance
- ------------------------------------ ------- ----------------- -----------------
Second Home........................ 1 $ 297,600 2.25%
Non-Owner Occupied................. 1 778,686 5.89
Primary Residence.................. 28 12,147,003 91.86
-- ----------- ------
Total.......................... 30 $13,223,289 100.00%
== =========== ======
Mortgage Loan Program and Documentation Type
Percentage of
Subsequent Cut-off
Number of Date
Subsequent Group Aggregate Unpaid Aggregate
Loan Program and Documentation Type 2 Loans Principal Balance Principal Balance
- ----------------------------------- ------- ----------------- -----------------
Progressive Series Program (Full
Documentation).......................... 4 $ 1,521,525 11.51%
Progressive Series Program (Limited
(Stated) Documentation)................. 10 5,443,685 41.17
Progressive Express(TM)Program
(Verified Assets)....................... 4 1,895,842 14.34
Progressive Series Program (Lite
Income/Stated Asset
Documentation).......................... 1 439,842 3.33
Progressive Express(TM)Program (Non
Verified Assets)........................ 11 3,922,394 29.66
-- ----------- ------
Total............................... 30 $13,223,289 100.00%
== =========== ======
See "--Underwriting Standards" below for a detailed description of the
Seller's loan programs and documentation requirements.
Risk Categories
Percentage of
Subsequent Cut-off
Number of Date
Subsequent Group Aggregate Unpaid Aggregate
Credit Grade 2 Loans Principal Balance Principal Balance
------------ ------- ----------------- -----------------
A+(1)............................. 8 $ 3,998,545 30.24%
A(1).............................. 7 3,406,507 25.76
Progressive Express(TM)I(2)....... 8 3,496,394 26.44
Progressive Express(TM)II(2)...... 7 2,321,842 17.56
-- ----------- ------
Total....................... 30 $13,223,289 100.00%
== =========== ======
- ----------
(1) All of these mortgage loans were reviewed and placed into risk categories
based on the credit standards of the Progressive Series Program. Credit grades
of A+ and A correspond to Progressive Series I+, and I and II respectively. See
"-Underwriting Standards."
(2) These mortgage loans were originated under the Seller's Progressive
Express(TM) Program. The underwriting for these mortgage loans is generally
based on the borrower's "FICO" score and therefore these mortgage loans do not
correspond to the alphabetical risk categories listed above.
See "--Underwriting Standards" below for a description of the Seller's risk
categories.
Property Types
Percentage of
Subsequent Cut-off
Number of Date
Subsequent Group Aggregate Unpaid Aggregate
Property Type 2 Loans Principal Balance Principal Balance
------------- ------- ----------------- -----------------
Single-Family.......................... 23 $ 9,653,843 73.01%
Condominium............................ 1 297,600 2.25
De Minimis PUD......................... 6 3,271,846 24.74
-- ----------- ------
Total............................... 30 $13,223,289 100.00%
== =========== ======
Geographic Distribution of Mortgaged Properties
Percentage of
Subsequent Cut-off
Number of Date
Subsequent Group Aggregate Unpaid Aggregate
State 2 Loans Principal Balance Principal Balance
----- ------- ----------------- -----------------
Arizona................................ 1 $ 439,842 3.33%
California............................. 17 7,205,247 54.49
Florida................................ 4 1,274,900 9.64
Hawaii................................. 1 778,686 5.89
New Jersey............................. 1 449,365 3.40
New York............................... 1 399,488 3.02
Texas.................................. 1 750,000 5.67
Virginia............................... 3 1,650,261 12.48
Other (less than 3% in any one state).. 1 275,500 2.08
-- ----------- ------
Total............................... 30 $13,223,289 100.00%
== =========== ======
No more than approximately 5.89% of the subsequent Group 2 Loans (by
aggregate outstanding principal balance as of the Subsequent Cut-off Date) will
be secured by mortgaged properties located in any one zip code.
Loan Purposes
Percentage of
Subsequent Cut-off
Number of Date
Subsequent Group Aggregate Unpaid Aggregate
Loan Purpose 2 Loans Principal Balance Principal Balance
------------ ------- ----------------- -----------------
Purchase.................................. 15 $ 6,181,196 46.74%
Cash-Out Refinance........................ 9 4,086,192 30.90
Rate and Term Refinance................... 5 2,317,952 17.53
Construction.............................. 1 637,949 4.82
-- ----------- ------
Total.................................. 30 $13,223,289 100.00%
== =========== ======
In general, in the case of a mortgage loan made for "rate and term"
refinance purposes, substantially all of the proceeds are used to pay in full
the principal balance of a previous mortgage loan of the mortgagor with respect
to a mortgaged property and to pay origination and closing costs associated with
such refinancing. Mortgage loans made for "cash-out" refinance purposes may
involve the use of the proceeds to pay in full the principal balance of a
previous mortgage loan and related costs except that a portion of the proceeds
are generally retained by the mortgagor for uses unrelated to the mortgaged
property. The amount of these proceeds retained by the mortgagor may be
substantial.