-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, HSWGLxwS92dQvtF2y7bvYytGqjGK/6T14S6PcdJjxKR0/kCEiScOeC9ArpkgkElG JnmcBnamoXFXV/Yg/C5dbA== 0000882377-04-000802.txt : 20040415 0000882377-04-000802.hdr.sgml : 20040415 20040415135451 ACCESSION NUMBER: 0000882377-04-000802 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20040330 ITEM INFORMATION: Acquisition or disposition of assets ITEM INFORMATION: Other events ITEM INFORMATION: Financial statements and exhibits FILED AS OF DATE: 20040415 FILER: COMPANY DATA: COMPANY CONFORMED NAME: IMH ASSETS CORP COLLATERALIZED ASSET BACKED BONDS SER 2004 3 CENTRAL INDEX KEY: 0001285679 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] IRS NUMBER: 330705301 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 333-113187-01 FILM NUMBER: 04735431 BUSINESS ADDRESS: STREET 1: 1401 DOVE STREET STREET 2: SUITE 200 CITY: NEWPORT BEACH STATE: CA ZIP: 92660 MAIL ADDRESS: STREET 1: 1401 DOVE STREET STREET 2: STE 200 CITY: NEWPORT BEACH STATE: CA ZIP: 92660 8-K 1 d224716.txt IMH ASSETS CORP - -------------------------------------------------------------------------------- UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 8-K CURRENT REPORT Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 Date of Report (Date of earliest event reported) March 30, 2004 IMH ASSETS CORP. (as depositor under an Indenture, dated as of March 30, 2004, providing for, inter alia, the issuance of Collateralized Asset-Backed Bonds, Series2004-3) IMH Assets Corp. - -------------------------------------------------------------------------------- (Exact name of registrant as specified in its charter) CALIFORNIA 333-109503-04 33-0705301 ---------- ------------- ---------- (State or Other Jurisdiction (Commission (I.R.S. Employer of Incorporation) File Number) Identification No.) 1401 Dove Street Newport Beach, California 92660 - ------------------------- ----- (Address of Principal (Zip Code) Executive Offices) Registrant's telephone number, including area code, is (949) 475-3600 - -------------------------------------------------------------------------------- Item 2. Acquisition or Disposition of Assets. ------------------------------------ On March 30, 2004, a single series of bonds, entitled IMH Assets Corp., Collateralized Asset-Backed Bonds, Series2004-3 (the "Bonds"), were issued pursuant to an indenture, dated as of March 30, 2004 (the "Indenture"), between Impac CMB Trust Series2004-3, a Delaware statutory trust, as Issuer (the "Issuer"), and Deutsche Bank National Trust Company, as Indenture Trustee (the "Indenture Trustee"). On March 30, 2004, a single series of certificates, entitled IMH Assets Corp., Collateralized Asset-Backed Grantor Trust Certificates, Series2004-3 (the "Grantor Trust Certificates" and together with the Bonds, the "Securities"), were issued pursuant to an grantor trust agreement, dated as of March 30, 2004 (the "Grantor Trust Agreement" and together with the Indenture, the "Agreement"), between IMH Assets Corp. (the "Depositor"), and Deutsche Bank National Trust Company, as Grantor Trustee. Item 5. Other Events. ------------ Description of the Mortgage Pool The Securities, issued pursuant to the Agreement, evidence in the aggregate the entire beneficial ownership interest in a trust fund (the "Trust Fund"), consisting of mortgage loans (the "Mortgage Pool"). The Mortgage Pool is comprised of one- to four-family and multifamily, adjustable-rate and fixed-rate mortgage loans having original terms to maturity of not greater than 30 years (the "Mortgage Loans"). The mortgage loans have an aggregate principal balance of approximately $1,359,159,520 as of March 1, 2004. The tables attached as an exhibit hereto describe certain characteristics of the Mortgage Pool as of March 1, 2004. Item 7. Financial Statements, Pro Forma Financial Information and Exhibits. ------------------------------------------------------------------ (a) Not applicable (b) Not applicable (c) Exhibits: EXHIBIT NO. DESCRIPTION ----------- ----------- 99.1 Characteristics of the Mortgage Pool as of March 1, 2004, relating to IMH Assets Corp., Collateralized Asset-Backed Bonds, Series2004-3, and IMH Assets Corp., Collateralized Asset-Backed Grantor Trust Certificates, Series2004-3. SIGNATURE Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized. IMH ASSETS CORP. By: /s/ Richard J. Johnson ---------------------------- Name: Richard J. Johnson Title: Chief Financial Officer Dated: April 15, 2004 EXHIBIT INDEX EXHIBIT NUMBER DESCRIPTION - -------------- ----------- 99.1 Characteristics of the Mortgage Pool as of March 1, 2004, relating to IMH Assets Corp., Collateralized Asset-Backed Bonds, Series2004-3, and IMH Assets Corp., Collateralized Asset-Backed Grantor Trust Certificates, Series2004-3. EX-99.1 3 d224716_ex99-1.txt CHARACTERISTICS OF THE MORTGAGE POOL THE MORTGAGE POOL GENERAL The mortgage pool will consist of three groups of mortgage loans, referred to in this prospectus supplement as "Loan Group 1", "Loan Group 2" and "Loan Group 3" (and each, a "Loan Group"), and also designated as the "Group 1 Loans", the "Group 2 Loans" and the "Group 3 Loans", respectively. The Group 1 Loans are one- to four-family, adjustable-rate, fully-amortizing residential mortgage loans secured by first liens on mortgaged properties. The Group 2 Loans are one- to four-family, fully-amortizing and balloon payment residential mortgage loans, all of which have fixed rates that are secured by first liens on mortgaged properties. The Group 3 Loans are adjustable-rate, fully-amortizing multifamily mortgage loans secured by first liens on mortgaged properties. The mortgage loans will have original terms to maturity of not greater than 30 years. The mortgage pool will include the initial mortgage loans and the subsequent mortgage loans in Loan Group 1 and Loan Group 2 (each, a "Group 1 subsequent mortgage loan" or "Group 2 subsequent mortgage loan", as applicable). The initial mortgage loans will be the mortgage loans deposited into the trust on the Closing Date. The Group 1 subsequent mortgage loans and Group 2 subsequent mortgage loans will be purchased with amounts on deposit in the related pre-funding account described in this prospectus supplement. The company will convey the initial mortgage loans to the trust on the Closing Date pursuant to the Trust Agreement. The company will convey the Group 1 subsequent mortgage loans and Group 2 subsequent mortgage loans to the trust during the Funding Period. The Group 1 subsequent mortgage loans will be acquired with amounts on deposit in the Group 1 Pre-Funding Account pursuant to the Group 1 Subsequent Transfer Instrument. The Group 2 subsequent mortgage loans will be acquired with amounts on deposit in the Group 2 Pre-Funding Account pursuant to the Group 2 Subsequent Transfer Instrument. The Seller will make certain representations and warranties with respect to the initial mortgage loans in the Mortgage Loan Purchase Agreement and with respect to the Group 1 subsequent mortgage loans and Group 2 subsequent mortgage loans in the Group 1 subsequent mortgage loan purchase agreement and Group 2 subsequent mortgage loan purchase agreement . These representations and warranties will be assigned to the indenture trustee for the benefit of the Bondholders. As more particularly described in the prospectus, the Seller will have certain repurchase or substitution obligations in connection with a breach of any such representation or warranty, as well as in connection with an omission or defect in respect of certain constituent documents required to be delivered with respect to the mortgage loans, if such breach, omission or defect cannot be cured and it materially and adversely affects the interests of the Bondholders. SEE "THE MORTGAGE POOLS -- REPRESENTATIONS BY SELLERS" IN THE PROSPECTUS. The mortgage loans will have been originated or acquired by the Seller in accordance with the underwriting criteria described in this prospectus supplement. SEE "--UNDERWRITING STANDARDS" BELOW. Substantially all of the Group 1 Loans will be subserviced by Countrywide Home Loans Servicing LP. Substantially all of the Group 2 Loans will be subserviced by GMAC Mortgage Corporation. The Group 3 Loans will be subserviced by Midland Loan Services, Inc. SEE "DESCRIPTION OF THE SERVICING AGREEMENT -- THE SUBSERVICERS" IN THIS PROSPECTUS SUPPLEMENT. -6- None of the initial mortgage loans were 30 days or more delinquent as of the Cut-off Date. Substantially all of the mortgage loans have scheduled monthly payments due on the first of the month. Each Group 1 Loan and Group 3 Loan is generally assumable in accordance with the terms of the related mortgage note. Each mortgage loan is required to be covered by a standard hazard insurance policy. SEE "PRIMARY MORTGAGE INSURANCE, HAZARD INSURANCE; CLAIMS THEREUNDER--HAZARD INSURANCE POLICIES" IN THE PROSPECTUS. MORTGAGE RATE ADJUSTMENT The mortgage rate on the mortgage loans in Loan Group 1 and Loan Group 3 will generally adjust semi-annually commencing after an initial period after origination of generally six months, two years, three years or five years, in each case on each applicable adjustment date to a rate equal to the sum, generally rounded to the nearest one-eighth of one percentage point (12.5 basis points), of (i) the related index and (ii) the gross margin. In addition, the mortgage rate on each adjustable-rate mortgage loan is subject on its first adjustment date following its origination to an initial rate cap and on each adjustment date thereafter to a periodic rate cap. All of the adjustable-rate mortgage loans are also subject to maximum and minimum lifetime mortgage rates. The adjustable-rate mortgage loans were generally originated with an initial mortgage rate below the sum of the index at origination and the gross margin. Due to the application of the initial rate caps, periodic rate caps, maximum mortgage rates and minimum mortgage rates, the mortgage rate on any adjustable-rate mortgage loan, as adjusted on any related adjustment date, may not equal the sum of the index and the gross margin. The mortgage rate on substantially all of the mortgage loans in Loan Group 1 and all of the mortgage loans in Loan Group 3 adjusts based on an index equal to Six-Month LIBOR. In the event that the related index is no longer available, an index that is based on comparable information will be selected by the Master Servicer, to the extent that it is permissible under the terms of the related mortgage and mortgage note. Substantially all of the adjustable-rate mortgage loans (other than the Seasoned Mortgage Loans) will not have reached their first adjustment date as of the Closing Date. The initial mortgage rate is generally lower than the rate that would have been produced if the applicable gross margin had been added to the index in effect at origination. Adjustable-rate mortgage loans that have not reached their first adjustment date are subject to the initial rate cap on their first adjustment date, and periodic rate caps thereafter. INDICES ON THE MORTGAGE LOANS The index applicable to the determination of the mortgage rate on approximately 99.22% and all (by aggregate outstanding principal balance of the related mortgage loans as of the Cut-off Date) of the mortgage loans in Loan Group 1 and Loan Group 3, respectively, is the average of the interbank offered rates for six-month United States dollar deposits in the London market as published by Fannie Mae or THE WALL STREET JOURNAL and, in most cases, as most recently available as of the first business day of the month preceding such adjustment date, or Six-Month LIBOR. The table below sets forth historical average rates of Six-Month LIBOR for the months indicated as made available from Fannie Mae. The rates are determined from information that is available as of 11:00 a.m. (London time) on the second to last business day of each month. Such average rates may fluctuate -7- significantly from month to month as well as over longer periods and may not increase or decrease in a constant pattern from period to period. There can be no assurance that levels of Six-Month LIBOR published by Fannie Mae, or published on a different reference date would have been at the same levels as those set forth below. The following does not purport to be representative of future levels of Six-Month LIBOR (as published by Fannie Mae). No assurance can be given as to the level of Six-Month LIBOR on any adjustment date or during the life of any adjustable-rate mortgage loan based on Six-Month LIBOR.
SIX-MONTH LIBOR MONTH 1997 1998 1999 2000 2001 2002 2003 2004 - ----- ---- ---- ---- ---- ---- ---- ---- ---- January 5.71% 5.75% 5.04% 6.23% 5.36% 1.99% 1.35% 1.21% February 5.68 5.78 5.17 6.32 4.96 2.06 1.34 1.10% March 5.96 5.80 5.08 6.53 4.71 2.33 1.26 April 6.08 5.87 5.08 6.61 4.23 2.10 1.29 May 6.01 5.81 5.19 7.06 3.91 2.09 1.22 June 5.94 5.87 5.62 7.01 3.83 1.95 1.12 July 5.83 5.82 5.65 6.88 3.70 1.86 1.15 August 5.86 5.69 5.90 6.83 3.48 1.82 1.21 September 5.85 5.36 5.96 6.76 2.53 1.75 1.18 October 5.81 5.13 6.13 6.72 2.17 1.62 1.22 November 6.04 5.28 6.04 6.68 2.10 1.47 1.25 December 6.01 5.17 6.13 6.20 1.98 1.38 1.22
The index applicable to the determination of the mortgage rate on approximately 0.78% (by aggregate outstanding principal balance of the related mortgage loans as of the Cut-off Date) of the mortgage loans in Loan Group 1 is the average of the interbank offered rates for one-year United States dollar deposits in the London market as published by Fannie Mae or THE WALL STREET JOURNAL and, in most cases, as most recently available as of the first business day of the month preceding such adjustment date, or One-Year LIBOR. PREPAYMENT CHARGES Approximately 79.79%, 61.96% and all of the Group 1 Loans, Group 2 Loans and Group 3 Loans, respectively (by aggregate outstanding principal balance of the related mortgage loans as of the Cut- off Date), provide for payment by the mortgagor of a prepayment charge in limited circumstances on prepayments. Generally, mortgage loans with prepayment charges provide for payment of a prepayment charge on some partial or full prepayments made within one year, five years or other period as provided in the related mortgage note from the date of origination of the mortgage loan. No mortgage loan provides for -8- payment of a prepayment charge on partial or full prepayments made more than five years from the date of origination of that mortgage loan. The amount of the prepayment charge is as provided in the related mortgage note. The prepayment charge will generally apply if, in any twelve-month period during the first year, five years or other period as provided in the related mortgage note from the date of origination of the mortgage loan, the mortgagor prepays an aggregate amount exceeding 20% of the original principal balance of the mortgage loan. The amount of the prepayment charge on these loans will generally be equal to 6 months' advance interest calculated on the basis of the mortgage rate in effect at the time of the prepayment on the amount prepaid in excess of 20% of the original principal balance of the mortgage loan. For the multifamily loans with no initial fixed rate period or a three year fixed rate period, the amount of the prepayment charge is 3% of the principal balance of the related mortgage loan for the first year after origination, declining by 1% each year until such charge terminates at the end of the third year. For the multifamily loans with a five year fixed rate period, the amount of the charge is 5% of the principal balance of the related mortgage loan for the first year after origination, declining by 1% each year until such charge terminates at the end of the fifth year. For the multifamily loans with a seven year fixed rate period, the amount of the charge is 5% of the principal balance of the related mortgage loan for the first year after origination, declining by 1% each year until the fifth year and remaining constant at 1% for the fifth, sixth and seventh years. The prepayment charges may, in certain circumstances, be waived by the Master Servicer or the related subservicer. Some of these prepayment charges may not be enforceable in cases where the mortgagor sells the related mortgaged property. There can be no assurance that the prepayment charges will have any effect on the prepayment performance of the mortgage loans. The Master Servicer or the related subservicer will be entitled to all prepayment charges received on the mortgage loans, and these amounts will not be available for payment on the Securities. PRIMARY MORTGAGE INSURANCE AND THE RADIAN LENDER-PAID PMI POLICY Substantially all of the Group 1 Loans and Group 2 Loans (other than the Seasoned Mortgage Loans) and all of the Seasoned Mortgage Loans with a loan-to-value ratio at origination in excess of 80.00% will be insured by one of the following: (1) a Primary Insurance Policy issued by a private mortgage insurer (other than a Radian Lender-Paid PMI Policy) or (2) the Radian Lender-Paid PMI Policy. None of the Group 3 Loans will be insured by Primary Insurance Policy or the Radian Lender-Paid PMI Policy. Each Primary Insurance Policy will insure against default under each insured mortgage note as follows: (A) for which the outstanding principal balance at origination of such mortgage loan is greater than or equal to 80.01% and up to and including 90.00% of the lesser of the Appraised Value and the sale price, such mortgage loan is covered by a Primary Insurance Policy in an amount equal to at least 12.00% of the Allowable Claim and (B) for which the outstanding principal balance at origination of such mortgage loan exceeded 90.00% of the lesser of the Appraised Value and the sales price, such mortgage loan is covered by a Primary Insurance Policy in an amount equal to at least 20.00% of the Allowable Claim. The Radian Lender-Paid PMI Policy will insure against default under each insured mortgage note as follows: (A) for which the outstanding principal balance at origination of such mortgage loan is greater than or equal to 80.01% and up to and including 89.99% of the lesser of the Appraised Value and the sales price, such mortgage loan is covered in an amount equal to at least 22.00% of the Allowable Claim, (B) for which the outstanding principal balance at origination of such mortgage loan is at least 90.00% and up to and including 95.00% of the lesser of the Appraised Value and the sales price, such mortgage loan is covered in an amount equal to at least 22.00% of the Allowable Claim and (C) for which the outstanding principal balance at origination of such mortgage loan is at least 95.01% and up to and including 97.00% of the lesser -9- of the Appraised Value and the sales price, such mortgage loan is covered in an amount equal to at least 35.00% of the Allowable Claim. With respect to the Radian Lender-Paid PMI Policy, the premium will be payable by the Master Servicer out of interest collections on the mortgage loans at a rate equal to the related Radian PMI Rate. The Radian PMI Rates for the mortgage loans will range from 0.230% per annum to 2.220% per annum of the Stated Principal Balance of the related Radian PMI Insured Loan. To the extent of a default by Radian under the Radian Lender-Paid PMI Policy, the Master Servicer will use its best efforts to find a replacement policy with substantially similar terms. SEE "PRIMARY MORTGAGE INSURANCE, HAZARD INSURANCE; CLAIMS THEREUNDER -- HAZARD INSURANCE POLICIES" IN THE PROSPECTUS. MORTGAGE LOAN CHARACTERISTICS The statistical information included in this Form 8-K with respect to the mortgage loans is based on a pool of 5,510 mortgage loans, 72.58% of which are in Loan Group 1, 22.07% of which are in Loan Group 2 and 4.35% of which are in Loan Group 3. 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 indenture trustee, and does not have any interest in the mortgage loan. Some of the Group 1 Loans, Group 2 Loans and Group 3 Loans were recorded in the name of MERS. For additional information regarding the recording of mortgages in the name of MERS see "Yield on the Securities--Yield Sensitivity of the Grantor Trust Certificates" in this prospectus supplement. LOAN GROUP 1 The Group 1 Loans had an aggregate principal balance as of the Cut-off Date of approximately $1,000,058,587, 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 $256,517. No Group 1 Loan had a principal balance at origination of greater than approximately $1,500,000 or less than approximately $43,700. The average principal balance of the Group 1 Loans as of the Cut-off Date was approximately $256,425. No Group 1 Loan had a principal balance as of the Cut-off Date of greater than approximately $1,500,000 or less than approximately $43,700. -10- As of the Cut-off Date, the Group 1 Loans had mortgage rates ranging from approximately 3,250% per annum to approximately 9.875% per annum and the weighted average mortgage rate was approximately 5.537% per annum. The weighted average remaining term to stated maturity of the Group 1 Loans was approximately 359 months as of the Cut-off Date. None of the Group 1 Loans will have a first Due Date prior to January 1, 2003, or after May 1, 2004, or will have a remaining term to maturity of less than 345 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any Group 1 Loan is April 1, 2034. Approximately 0.01%, 0.06%, 0.51%, 0.65%, 66.09%, 0.02% and 2.79% of the Group 1 Loans have initial interest only periods of six months, one, two, three, five, seven and ten years, respectively. The loan-to-value ratio of a mortgage loan secured by a first lien is equal to the ratio, expressed as a percentage, of the principal amount of the loan at origination, to the lesser of the appraised value of the related mortgaged property at the time of origination and the sales price. The weighted average of the loan-to- value ratios at origination of the Group 1 Loans was approximately 78.42%. No loan-to-value ratio at origination of any Group 1 Loan was greater than approximately 100.00% or less than approximately 6.14%. 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. Approximately 99.86% of the Group 1 Loans (other than the Seasoned Mortgage Loans in Loan Group 1) have not reached their first adjustment date as of the Closing Date. Approximately 79.79% of the Group 1 Loans provide for prepayment charges. Approximately 10.55% and 7.96% 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 1.002% 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. -11-
MORTGAGE LOAN PROGRAMS WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF AVERAGE GROSS TERM CREDIT ORIGINAL LOAN PROGRAMS CURRENT BALANCE LOANS % OF TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------- --------------- ----- ---------- ------- --- -------- ----- --- 10/20 LIBOR 6MO IO......... $ 1,607,500 2 0.16% $ 803,750 5.172% 360.00 774 58.0% 2/28 LIBOR 6MO............. 169,052,550 884 16.90 191,236 6.199 359.27 685 83.0 2/28 LIBOR 6MO IO.......... 277,424,574 1,020 27.74 271,985 5.402 359.62 703 78.9 3/1 LIBOR 12MO............. 2,084,576 6 0.21 347,429 4.069 360.00 771 53.7 3/1 LIBOR 12MO IO.......... 3,145,801 12 0.31 262,150 5.138 359.49 739 81.2 3/27 LIBOR 6MO............. 46,357,496 222 4.64 208,818 5.790 359.51 689 77.5 3/27 LIBOR 6MO IO.......... 113,511,481 403 11.35 281,666 5.214 359.66 707 75.6 30Y LIBOR 12M IO........... 787,800 4 0.08 196,950 5.052 360.00 689 79.9 30Y LIBOR 6MO.............. 48,310,326 197 4.83 245,230 5.705 358.92 675 79.6 30Y LIBOR 6MO IO........... 214,681,242 730 21.47 294,084 5.231 359.50 701 78.3 5/1 LIBOR 12MO............. 676,681 3 0.07 225,560 5.037 359.63 677 75.0 5/1 LIBOR 12MO IO.......... 1,080,750 6 0.11 180,125 5.750 358.58 704 81.5 5/25 LIBOR 6MO............. 32,230,268 133 3.22 242,333 5.808 359.32 707 75.7 5/25 LIBOR 6MO IO.......... 87,205,136 273 8.72 319,433 5.581 359.20 718 74.1 7/23 LIBOR 6MO IO.......... 1,902,405 5 0.19 380,481 5.772 357.84 721 69.0 -------------- ----- ------ ------- ----- ------ --- ---- Total............. $1,000,058,587 3,900 100.00% 256,425 5.537 359.45 700 78.4% ============== ===== ====== ======= =====
-12-
PRINCIPAL BALANCES AS OF ORIGINATION WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF MORTGAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL LOAN PRINCIPAL BALANCES CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ----------------------- --------------- ----- ----- ------- --- -------- ----- --- $0.01 - $50,000.00............ $ 90,618 2 0.01% $ 45,309 8.354% 358.45 655 82.3% $50,000.01 - $100,000.00...... 22,320,547 265 2.23 84,228 6.235 359.23 694 79.0 $100,000.01 - $150,000.00..... 84,311,235 661 8.43 127,551 5.989 359.33 690 80.6 $150,000.01 - $200,000.00..... 123,529,932 705 12.35 175,220 5.652 359.44 701 79.5 $200,000.01 - $250,000.00..... 131,718,773 585 13.17 225,160 5.595 359.43 699 80.1 $250,000.01 - $300,000.00..... 139,503,307 510 13.95 273,536 5.531 359.43 699 80.0 $300,000.01 - $350,000.00..... 135,504,118 419 13.55 323,399 5.403 359.49 703 79.4 $350,000.01 - $400,000.00..... 95,038,543 254 9.50 374,167 5.443 359.46 699 78.8 $400,000.01 - $450,000.00..... 59,887,860 141 5.99 424,737 5.520 359.55 703 78.1 $450,000.01 - $500,000.00..... 59,480,858 124 5.95 479,684 5.397 359.47 697 75.5 $500,000.01 - $550,000.00..... 31,035,092 59 3.10 526,019 5.411 359.61 693 76.4 $550,000.01 - $600,000.00..... 32,334,530 56 3.23 577,402 5.314 359.63 707 76.8 $600,000.01 - $650,000.00..... 38,382,117 61 3.84 629,215 5.388 359.57 700 75.3 $650,000.01 - $700,000.00..... 13,663,600 20 1.37 683,180 4.926 359.60 720 70.3 $700,000.01 - $750,000.00..... 10,359,220 14 1.04 739,944 4.600 359.71 673 63.2 $750,000.01 - $800,000.00..... 3,141,000 4 0.31 785,250 4.911 358.23 692 77.1 $800,000.01 - $850,000.00..... 3,303,800 4 0.33 825,950 4.938 359.75 730 66.3 $850,000.01 - $900,000.00..... 1,744,500 2 0.17 872,250 5.270 357.98 697 65.1 $900,000.01 - $950,000.00..... 3,703,140 4 0.37 925,785 5.558 359.24 739 72.5 $950,000.01 - $1,000,000.00... 6,922,048 7 0.69 988,864 5.352 359.00 739 64.6 $1,100,000.01 - $1,150,000.00. 1,102,500 1 0.11 1,102,500 5.750 359.00 709 70.0 $1,450,000.01 - $1,500,000.00. 2,981,250 2 0.30 1,490,625 5.939 358.99 713 63.7 -------------- ----- ------ ---------- ----- ------ --- ---- Total................ $1,000,058,587 3,900 100.00% $ 256,425 5.537% 359.45 700 78.4% ============== ===== ======
As of origination, the average current principal balance of the Group 1 Loans will be approximately $256,517. -13-
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE WEIGHTED WEIGHTED AVERAGE WEIGHTED AVERAGE REMG. WEIGHTED AVERAGE RANGE OF MORTGAGE NO. OF AVERAGE GROSS TERM AVERAGE ORIGINAL LOAN PRINCIPAL BALANCES CURRENT BALANCE LOANS % OF TOTAL BALANCE WAC (MONTHS) CREDIT SCORE LTV - ----------------------- --------------- ----- ---------- ------- --- -------- ------------ --- $0.01 - $50,000.00............ $ 90,618 2 0.01% $ 45,309 8.354% 358.45 655 82.3% $50,000.01 - $100,000.00...... 22,320,547 265 2.23 84,228 6.235 359.23 694 79.0 $100,000.01 - $150,000.00..... 84,460,062 662 8.45 127,583 5.991 359.32 690 80.6 $150,000.01 - $200,000.00..... 123,381,105 704 12.34 175,257 5.650 359.44 701 79.5 $200,000.01 - $250,000.00..... 131,968,224 586 13.20 225,202 5.594 359.43 699 80.1 $250,000.01 - $300,000.00..... 139,253,855 509 13.92 273,583 5.532 359.44 699 80.0 $300,000.01 - $350,000.00..... 135,852,801 420 13.58 323,459 5.407 359.48 703 79.4 $350,000.01 - $400,000.00..... 94,689,860 253 9.47 374,268 5.437 359.47 699 78.7 $400,000.01 - $450,000.00..... 59,887,860 141 5.99 424,737 5.520 359.55 703 78.1 $450,000.01 - $500,000.00..... 59,480,858 124 5.95 479,684 5.397 359.47 697 75.5 $500,000.01 - $550,000.00..... 31,035,092 59 3.10 526,019 5.411 359.61 693 76.4 $550,000.01 - $600,000.00..... 32,334,530 56 3.23 577,402 5.314 359.63 707 76.8 $600,000.01 - $650,000.00..... 38,382,117 61 3.84 629,215 5.388 359.57 700 75.3 $650,000.01 - $700,000.00..... 13,663,600 20 1.37 683,180 4.926 359.60 720 70.3 $700,000.01 - $750,000.00..... 10,359,220 14 1.04 739,944 4.600 359.71 673 63.2 $750,000.01 - $800,000.00..... 3,141,000 4 0.31 785,250 4.911 358.23 692 77.1 $800,000.01 - $850,000.00..... 3,303,800 4 0.33 825,950 4.938 359.75 730 66.3 $850,000.01 - $900,000.00..... 1,744,500 2 0.17 872,250 5.270 357.98 697 65.1 $900,000.01 - $950,000.00..... 3,703,140 4 0.37 925,785 5.558 359.24 739 72.5 $950,000.01 - $1,000,000.00... 6,922,048 7 0.69 988,864 5.352 359.00 739 64.6 $1,100,000.01 - $1,150,000.... 1,102,500 1 0.11 1,102,500 5.750 359.00 709 70.0 $1,450,000.01 - $1,500,000.00. 2,981,250 2 0.30 1,490,625 5.939 358.99 713 63.7 -------------- ----- ------ ---------- ----- ------ --- ---- Total................ $1,000,058,587 3,900 100.00% $ 256,425 5.537% 359.45 700 78.4% ============== ===== ======
As of the Cut-off Date, the average current principal balance of the Group 1 Loans will be approximately $256,425. -14-
MORTGAGE RATES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL MORTGAGE RATES (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------ --------------- ----- ----- ------- --- -------- ----- --- 3.000 - 3.499............ $ 1,467,850 5 0.15% $293,570 3.369% 358.74 678 77.8% 3.500 - 3.999............ 21,821,392 73 2.18 298,923 3.796 359.50 718 68.2 4.000 - 4.499............ 76,392,391 268 7.64 285,046 4.239 359.69 716 69.9 4.500 - 4.999............ 203,809,701 736 20.38 276,915 4.717 359.62 709 74.8 5.000 - 5.499............ 203,218,969 740 20.32 274,620 5.190 359.53 708 76.7 5.500 - 5.999............ 218,447,793 794 21.84 275,123 5.694 359.33 699 79.5 6.000 - 6.499............ 97,735,499 406 9.77 240,728 6.180 359.34 688 81.7 6.500 - 6.999............ 89,977,420 431 9.00 208,764 6.695 359.28 683 85.5 7.000 - 7.499............ 46,019,039 224 4.60 205,442 7.195 359.24 683 87.0 7.500 - 7.999............ 26,792,356 150 2.68 178,616 7.693 359.29 671 87.4 8.000 - 8.499............ 7,749,994 39 0.77 198,718 8.186 359.11 665 88.8 8.500 - 8.999............ 5,287,337 26 0.53 203,359 8.637 359.38 641 87.5 9.000 - 9.499............ 905,578 5 0.09 181,116 9.194 359.84 622 78.3 9.500 - 9.999............ 433,269 3 0.04 144,423 9.739 359.17 635 92.7 -------------- ----- ------ -------- ----- ------ --- ---- Total........... $1,000,058,587 3,900 100.00% $256,425 5.537% 359.45 700 78.4% ============== ===== ======
____________ The weighted average mortgage rate of the Group 1 Loans was approximately 5.537% per annum. -15-
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 - -------------------- ------- ----- ----- ------- --- -------- ----- --- April 1, 2004.......... $ 610,373 3 0.06% $203,458 6.665% 355.00 684 88.4% May 1, 2004............ 3,802,806 19 0.38 200,148 5.610 356.00 691 84.3 June 1, 2004........... 4,629,079 22 0.46 210,413 5.271 356.88 705 77.3 July 1, 2004........... 18,644,696 67 1.86 278,279 5.536 357.88 698 80.1 August 1, 2004......... 82,244,457 291 8.22 282,627 5.425 358.95 700 78.6 September 1, 2004...... 115,183,756 385 11.52 299,179 5.251 359.98 695 77.9 October 1, 2004........ 37,876,400 140 3.79 270,546 5.135 360.00 692 78.7 March 1, 2005.......... 787,800 4 0.08 196,950 5.052 360.00 689 79.9 June 1, 2005........... 69,771 1 0.01 69,771 6.125 351.00 636 80.0 August 1, 2005......... 372,284 1 0.04 372,284 5.875 353.00 655 80.0 September 1, 2005...... 821,257 4 0.08 205,314 6.646 354.00 659 90.1 October 1, 2005........ 1,476,644 10 0.15 147,664 6.235 355.00 682 84.4 November 1, 2005....... 4,420,127 26 0.44 170,005 6.529 356.00 690 86.0 December 1, 2005....... 4,963,967 24 0.50 206,832 6.353 357.00 705 85.0 January 1, 2006........ 16,500,103 75 1.65 220,001 6.100 358.00 691 83.9 February 1, 2006....... 151,652,249 681 15.16 222,691 5.856 359.03 700 81.9 March 1, 2006.......... 211,677,763 867 21.17 244,150 5.643 360.00 695 79.1 April 1, 2006.......... 54,522,960 215 5.45 253,595 5.242 360.00 695 79.4 October 1, 2006........ 207,663 1 0.02 207,663 4.500 355.00 720 80.0 November 1, 2006....... 607,049 4 0.06 151,762 6.245 356.00 716 89.0 December 1, 2006....... 1,198,394 6 0.12 199,732 6.801 357.00 696 84.9 January 1, 2007........ 6,372,125 27 0.64 236,005 5.624 358.00 717 81.1 February 1, 2007....... 44,864,194 184 4.49 243,827 5.510 359.03 705 76.8 March 1, 2007.......... 81,802,002 306 8.18 267,327 5.301 360.00 704 74.9 April 1, 2007.......... 30,047,928 115 3.00 261,286 5.169 360.00 698 76.0 December 1, 2007....... 344,000 1 0.03 344,000 5.625 345.00 668 80.0 January 1, 2008........ 222,253 1 0.02 222,253 6.875 346.00 672 90.0 October 1, 2008........ 795,000 1 0.08 795,000 5.625 355.00 732 79.5 November 1, 2008....... 1,125,729 4 0.11 281,432 5.865 356.00 706 79.7 December 1, 2008....... 2,331,454 7 0.23 333,065 5.872 357.00 738 81.7 January 1, 2009........ 13,832,805 41 1.38 337,385 5.906 358.00 720 73.2 February 1, 2009....... 41,863,258 137 4.19 305,571 5.680 359.00 715 74.7 March 1, 2009.......... 45,232,387 163 4.52 277,499 5.600 360.00 715 75.2 April 1, 2009.......... 15,445,950 60 1.54 257,433 5.343 360.00 708 72.0 December 1, 2010....... 892,500 1 0.09 892,500 6.125 357.00 696 70.0 January 1, 2011........ 420,905 2 0.04 210,452 5.555 358.00 704 60.9 February 1, 2011....... 589,000 2 0.06 294,500 5.391 359.00 771 73.3 March 1, 2014.......... 1,607,500 2 0.16 803,750 5.172 360.00 774 58.0 -------------- ----- ------ -------- ----- ------ --- ---- Total......... $1,000,058,587 3,900 100.00% $256,425 5.537% 359.45 700 78.4% ============== ===== ======
_____________ As of the Cut-off Date, the weighted average remaining months to the next adjustment date of the Group 1 Loans will be approximately 25 months. -16-
GROSS MARGIN WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF GROSS MARGINS CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ---------------------- ------- ------ ---- ------- ----- ---- ------ -------- 1.750 - 1.999.......... $ 248,000 1 0.02% $248,000 5.375% 360.00 795 80.0% 2.000 - 2.249.......... 1,795,784 5 0.18 359,157 4.449 360.00 725 72.4 2.250 - 2.499.......... 57,065,938 141 5.71 404,723 5.311 359.06 718 72.9 2.500 - 2.749.......... 13,565,146 59 1.36 229,918 5.049 358.38 708 77.8 2.750 - 2.999.......... 57,119,250 223 5.71 256,140 5.575 358.74 713 80.1 3.000 - 3.249.......... 186,942,145 661 18.69 282,817 5.217 359.43 699 77.8 3.250 - 3.499.......... 394,024,215 1,561 39.40 252,418 5.348 359.55 707 78.0 3.500 - 3.749.......... 107,881,826 410 10.79 263,126 5.536 359.69 699 75.6 3.750 - 3.999.......... 50,867,431 221 5.09 230,169 5.823 359.66 676 79.2 4.000 - 4.249.......... 18,753,296 76 1.88 246,754 6.305 359.72 666 82.0 4.250 - 4.499.......... 9,855,421 42 0.99 234,653 6.440 359.73 664 83.9 4.500 - 4.749.......... 5,954,572 26 0.60 229,022 6.237 359.73 689 84.0 4.750 - 4.999.......... 5,306,312 18 0.53 294,795 6.015 359.54 670 78.9 5.000 - 5.249.......... 51,275,830 263 5.13 194,965 6.671 359.22 689 89.5 5.250 - 5.499.......... 2,128,510 9 0.21 236,501 6.261 359.64 664 76.1 5.500 - 5.749.......... 2,752,950 14 0.28 196,639 6.538 359.64 633 78.6 5.750 - 5.999.......... 12,179,073 56 1.22 217,483 6.597 359.70 652 77.1 6.000 - 6.249.......... 7,700,639 31 0.77 248,408 6.486 359.66 674 82.8 6.250 - 6.499.......... 3,114,757 15 0.31 207,650 6.841 359.49 645 82.0 6.500 - 6.749.......... 3,482,106 24 0.35 145,088 6.976 359.88 681 77.6 6.750 - 6.999.......... 2,351,666 12 0.24 195,972 7.162 359.54 665 77.9 7.000 - 7.249.......... 1,742,274 11 0.17 158,389 7.609 359.65 679 81.6 7.250 - 7.499.......... 1,196,526 9 0.12 132,947 7.592 359.81 665 85.3 7.500 - 7.749.......... 1,522,316 6 0.15 253,719 7.783 359.94 690 85.4 7.750 - 7.999.......... 510,191 2 0.05 255,095 8.506 360.00 665 90.9 8.000 - 8.249.......... 502,558 2 0.05 251,279 8.375 358.02 679 95.0 8.250- 8.499........... 110,670 1 0.01 110,670 8.690 360.00 673 85.0 8.500- 8.749........... 109,187 1 0.01 109,187 8.750 359.00 666 95.0 -------------- ----- ------ -------- ----- ------ --- ---- Total......... $1,000,058,587 3,900 100.00% $256,425 5.537% 359.45 700 78.4% ============== ===== ======
___________ As of the Cut-off Date, the weighted average Gross Margin of the Group 1 Loans will be approximately 3.448% per annum. -17-
MAXIMUM MORTGAGE RATE WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF MAXIMUM CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL MORTGAGE RATES (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------ ------- ----- ----- ------- --- -------- ----- --- 8.500 - 8.999........... $ 500,000 1 0.05% $500,000 3.875% 360.00 773 69.0% 9.000 - 9.499........... 2,956,746 9 0.30 328,527 3.836 359.23 677 76.6 9.500 - 9.999........... 23,045,985 80 2.30 288,075 3.874 359.53 714 68.8 10.000 - 10.499......... 77,815,525 273 7.78 285,039 4.281 359.69 717 70.0 10.500 - 10.999......... 204,260,429 735 20.42 277,905 4.731 359.60 710 74.8 11.000 - 11.499......... 197,907,288 717 19.79 276,021 5.193 359.54 707 76.6 11.500 - 11.999......... 212,371,654 766 21.24 277,248 5.698 359.35 699 79.3 12.000 - 12.499......... 96,861,567 406 9.69 238,575 6.182 359.36 688 81.4 12.500 - 12.999......... 87,918,546 414 8.79 212,364 6.586 359.29 683 84.7 13.000 - 13.499......... 38,982,234 188 3.90 207,352 7.127 359.29 685 86.5 13.500 - 13.999......... 28,517,914 154 2.85 185,181 7.406 359.25 682 89.8 14.000 - 14.499......... 12,775,994 67 1.28 190,686 7.654 358.90 678 91.7 14.500 - 14.999......... 10,762,263 60 1.08 179,371 8.101 359.13 654 88.3 15.000 - 15.499......... 3,026,547 17 0.30 178,032 8.465 359.23 629 88.3 15.500 - 15.999......... 1,487,292 9 0.15 165,255 8.953 359.18 578 79.1 16.000 - 16.499......... 135,000 1 0.01 135,000 9.375 360.00 550 6.1 18.000 - 18.499......... 197,299 1 0.02 197,299 5.875 360.00 680 100.0 19.500 - 19.999......... 256,279 1 0.03 256,279 6.750 359.00 663 90.0 Greater than 19.999..... 280,026 1 0.03 280,026 7.125 360.00 785 95.0 -------------- ----- ------ -------- ----- ------ --- ---- Total.......... $1,000,058,587 3,900 100.00% $256,425 5.537% 359.45 700 78.4% ============== ===== ======
_________________ As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the Group 1 Loans will be approximately 11.565% per annum. -18-
INITIAL FIXED-RATE PERIOD WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL INITIAL FIXED PERIOD CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - -------------------- --------------- ----- ----- ------- --- -------- ----- --- Six Months.............. $ 262,991,567 927 26.30% $283,702 5.318% 359.39 696 78.5% One Year................ 787,800 4 0.08 196,950 5.052 360.00 689 79.9 Two Years............... 446,477,124 1,904 44.65 234,494 5.704 359.49 696 80.4 Three Years............. 165,099,355 643 16.51 256,764 5.360 359.62 704 76.0 Five Years.............. 121,192,835 415 12.12 292,031 5.640 359.23 715 74.6 Seven Years............. 1,902,405 5 0.19 380,481 5.772 357.84 721 69.0 Ten Years............... 1,607,500 2 0.16 803,750 5.172 360.00 774 58.0 -------------- ----- ------ -------- ----- ------ --- ---- Total.......... $1,000,058,587 3,900 100.00% $256,425 5.537% 359.45 700 78.4% ============== ===== ====== INITIAL RATE CAP WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL INITIAL CAP (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------- --------------- ----- ----- ------- --- -------- ----- --- 1.000................... $ 259,308,116 914 25.93% $283,707 5.305% 359.40 697 78.6% 1.500................... 3,283,920 14 0.33 234,566 6.931 358.92 603 75.2 2.000................... 31,156,015 172 3.12 181,140 6.612 358.93 701 93.9 3.000................... 630,602,882 2,570 63.06 245,371 5.563 359.56 699 77.9 5.000................... 12,539,701 40 1.25 313,493 5.647 359.47 714 77.0 6.000................... 63,167,954 190 6.32 332,463 5.595 358.85 718 75.8 -------------- ----- ------ -------- ----- ------ --- ---- Total.......... $1,000,058,587 3,900 100.00% $256,425 5.537% 359.45 700 78.4% ============== ===== ====== PERIODIC RATE CAP WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL SUBSEQUENT CAP (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------ --------------- ----- ----- ------- --- -------- ----- --- 1.000................... $ 936,022,215 3,675 93.60% $254,700 5.522% 359.49 700 78.6% 1.125................... 322,400 1 0.03 322,400 4.375 360.00 700 80.0 1.500................... 8,807,665 43 0.88 204,829 7.308 359.09 589 72.0 1.625................... 124,650 1 0.01 124,650 5.000 360.00 791 70.0 2.000................... 54,243,507 178 5.42 304,739 5.501 358.90 718 77.2 2.375................... 230,150 1 0.02 230,150 5.375 358.00 648 64.8 2.625................... 308,000 1 0.03 308,000 5.625 360.00 769 80.0 -------------- ----- ------ -------- ----- ------ --- ---- Total.......... $1,000,058,587 3,900 100.00% $256,425 5.537% 359.45 700 78.4% ============== ===== ======
-19-
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............ $ 444,901 5 0.04% $ 88,980 6.530% 359.84 658 13.9% 20.01 - 25.00........... 261,893 2 0.03 130,947 4.852 360.00 704 22.3 25.01 - 30.00........... 555,000 2 0.06 277,500 4.861 360.00 780 26.2 30.01 - 35.00........... 1,156,415 5 0.12 231,283 4.162 358.96 740 33.5 35.01 - 40.00........... 1,540,250 8 0.15 192,531 4.425 359.27 733 38.3 40.01 - 45.00........... 2,962,975 12 0.30 246,915 4.873 359.38 732 42.9 45.01 - 50.00........... 7,896,709 32 0.79 246,772 4.736 359.55 684 48.1 50.01 - 55.00........... 8,246,496 25 0.82 329,860 4.951 359.40 708 53.2 55.01 - 60.00........... 19,974,542 65 2.00 307,301 4.853 359.56 700 57.7 60.01 - 65.00........... 28,360,734 109 2.84 260,190 4.958 359.69 685 63.4 65.01 - 70.00........... 162,886,294 562 16.29 289,833 4.878 359.54 708 69.7 70.01 - 75.00........... 43,257,515 144 4.33 300,399 5.546 359.52 694 74.1 75.01 - 80.00........... 537,242,849 2,026 53.72 265,174 5.458 359.49 700 79.8 80.01 - 85.00........... 20,506,835 88 2.05 233,032 6.198 359.52 690 84.4 85.01 - 90.00........... 92,178,178 457 9.22 201,703 6.560 359.30 691 89.7 90.01 - 95.00........... 47,507,982 218 4.75 217,927 6.733 359.03 696 94.7 95.01 - 100.00.......... 25,079,019 140 2.51 179,136 6.776 358.88 704 99.6 -------------- ----- ------ -------- ----- ------ --- ---- Total.......... $1,000,058,587 3,900 100.00* $256,425 5.537% 359.45 700 78.4% ============== ===== ======
__________ The minimum and maximum loan-to-value ratios of the Group 1 Loans at origination were approximately 6.14% and 100.00%, respectively, and the weighted average of the loan-to-value ratios of the Group 1 Loans at origination was approximately 78.42%.
OCCUPANCY TYPES WEIGHTED WEIGHTED WEIGHTED WEIGHTED AVERAGE AVERAGE AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS REMG. TERM CREDIT ORIGINAL OCCUPANCY CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------- --------------- ----- ----- ------- --- -------- ----- --- Owner Occupied.......... $ 813,914,641 3,064 81.39% $265,638 5.499% 359.46 698 78.8% Non-Owner Occupied...... 163,452,386 745 16.34 219,399 5.693 359.44 707 76.3 Second Home............. 22,691,560 91 2.27 249,358 5.744 359.38 708 78.9 -------------- ----- ------ -------- ----- ------ --- ---- Total.......... $1,000,058,587 3,900 100.00% $256,425 5.537% 359.45 700 78.4% ============== ===== ======
__________ Occupancy type is based on the representation of the borrower at the time of origination. -20-
MORTGAGE LOAN PROGRAM AND DOCUMENTATION TYPE WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL DOCUMENT TYPE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------- --------------- ----- ----- ------- --- -------- ----- --- Progressive Series Program (Limited (Stated) Documentation).......... $ 520,496,937 1,932 52.05% $269,408 5.387% 359.50 703 77.9% Progressive Series Program (Full Documentation).... 191,063,385 758 19.11 252,063 5.079 359.52 699 77.4 Progressive Express(TM) Program (Non Verified Assets)................. 125,050,154 489 12.50 255,726 6.133 359.28 690 79.5 Progressive Express(TM) Program (Verified Assets)................. 96,835,976 404 9.68 239,693 5.926 359.28 696 80.6 Progressive Express(TM) No Doc Program (No Documentation).......... 43,066,222 191 4.31 225,478 6.318 359.33 700 79.8 Progressive Express(TM) Program No Doc Program (Verified Assets)................. 8,306,583 39 0.83 212,989 5.936 359.48 714 79.6 Progressive Series Program (Full Income/Stated Assets Documentation).......... 9,816,127 62 0.98 158,325 6.924 359.89 684 80.5 Progressive Series Program (No Income/No Asset Documentation).......... 3,454,604 18 0.35 191,922 5.836 359.18 689 81.8 Progressive Series Program (No Ratio)...... 1,753,500 5 0.18 350,700 6.263 360.00 704 80.4 Progressive Series Program (Alternative Documentation).......... 215,100 2 0.02 107,550 6.655 359.00 728 90.0 -------------- ----- ------ -------- ----- ------ --- ---- Total.......... $1,000,058,587 3,900 100.00% $256,425 5.537% 359.45 700 78.4% ============== ===== ======
See "--Underwriting Standards" below for a detailed description of the Seller's loan programs and documentation requirements. -21-
RISK CATEGORIES WEIGHTED AVERAGE WEIGHTED WEIGHTED WEIGHTED REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE AVERAGE TERM CREDIT ORIGINAL CREDIT GRADE CATEGORY CURRENT BALANCE LOANS TOTAL BALANCE GROSS WAC (MONTHS) SCORE LTV - --------------------- --------------- ----- ----- ------- --------- -------- ----- --- A+(1)........................ $ 530,890,074 2,010 53.09% $264,124 5.243 359.47 726 77.5% A(1)......................... 252,962,283 975 25.29 259,448 5.634 359.55 657 78.8 A- (1)....................... 15,427,747 63 1.54 244,885 5.914 359.51 621 74.1 B(1)......................... 492,492 2 0.05 246,246 8.032 358.44 580 71.0 C(1)......................... 562,839 4 0.06 140,710 8.683 359.51 550 49.7 CX........................... 333,532 1 0.03 333,532 8.125 360.00 519 75.0 Progressive Express(TM)I(2).. 115,052,550 462 11.50 249,031 5.948 359.35 728 81.2 Progressive Express(TM)II(2). 70,040,013 317 7.00 220,946 6.316 359.20 650 81.4 Progressive Express(TM)III(2) 6,493,683 28 0.65 231,917 6.592 358.98 621 77.6 Progressive Express(TM)IV(2). 3,929,399 18 0.39 218,300 6.466 359.41 589 77.8 Progressive Express(TM)V(2).. 1,862,758 11 0.19 169,342 7.546 359.65 596 67.9 Progressive Express(TM)VI(2). 2,011,216 9 0.20 223,468 7.973 359.16 528 65.2 --------- - ---- ------- ----- ------ --- ---- Total............... $1,000,058,587 3,900 100.00% $256,425 5.537 359.45 700 78.4% ============== ===== ======
_________________ (1) All of these Group 1 Loans were reviewed and placed into risk categories based on the credit standards of the Progressive Series Program. Credit grades of A+, A, A-, B and C correspond to Progressive Series I+, I and II, III and III+, IV and V, respectively. All of the Seasoned Mortgage Loans in Loan Group 1 have been assigned credit grades by Impac Funding. All of the mortgage loans originated pursuant to the Express Priority Refi(TM) Program have been placed in Progressive Express(TM) Programs II and III. (2) These Group 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. SEE "--UNDERWRITING STANDARDS" BELOW FOR A DESCRIPTION OF THE SELLER'S RISK CATEGORIES. -22-
PROPERTY TYPES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL PROPERTY TYPE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------- --------------- ----- ----- ------- --- -------- ----- --- Single-Family Residence....... $ 609,238,821 2,416 60.92% $252,168 5.550% 359.45 697 78.8% De minimis PUD................ 144,761,345 492 14.48 294,230 5.386 359.55 703 78.0 Condominium................... 96,194,506 426 9.62 225,809 5.501 359.39 704 79.0 Planned Unit Development...... 59,741,878 259 5.97 230,664 5.691 359.30 706 81.3 Two Family.................... 36,599,831 136 3.66 269,116 5.841 359.49 702 77.0 Four Family................... 27,442,097 82 2.74 334,660 5.435 359.29 711 69.5 Three Family.................. 17,040,873 52 1.70 327,709 5.578 359.53 713 73.0 Highrise/Condominium.......... 6,068,011 23 0.61 263,827 5.181 359.59 705 73.9 Townhouse..................... 1,994,925 11 0.20 181,357 6.398 359.03 727 87.0 Site Condo.................... 540,800 2 0.05 270,400 5.213 360.00 695 80.0 Condotel...................... 435,500 1 0.04 435,500 4.375 360.00 704 65.0 -------------- ----- ------ -------- ----- ------ --- ---- Total................ $1,000,058,587 3,900 100.00% $256,425 5.537% 359.45 700 78.4% ============== ===== ======
-23-
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................. $ 236,463 2 0.02% $118,232 6.297% 359.00 720 88.7% Arkansas................ 276,041 3 0.03 92,014 7.001 359.27 699 88.6 Arizona................. 16,530,992 105 1.65 157,438 6.125 359.52 690 82.8 California.............. 690,220,790 2,314 69.02 298,280 5.356 359.52 703 77.1 Colorado................ 18,934,250 90 1.89 210,381 5.590 359.51 696 81.2 Connecticut ........... 2,923,941 12 0.29 243,662 5.052 359.84 692 71.7 District of Columbia.... 1,731,765 9 0.17 192,418 6.448 359.19 693 82.9 Florida................. 85,801,290 444 8.58 193,246 5.834 359.41 698 80.5 Georgia................. 10,705,461 62 1.07 172,669 5.389 359.09 686 80.5 Hawaii.................. 7,507,528 21 0.75 357,501 5.257 359.73 708 74.6 Iowa.................... 105,500 1 0.01 105,500 6.750 360.00 698 83.1 Idaho................... 471,995 4 0.05 117,999 5.347 358.79 759 76.4 Illinois................ 12,927,791 68 1.29 190,115 6.442 359.19 693 84.4 Indiana................. 2,082,240 17 0.21 122,485 6.081 359.39 680 82.2 Kansas.................. 179,063 1 0.02 179,063 7.340 359.00 660 99.6 Kentucky................ 354,722 4 0.04 88,680 5.981 360.00 693 78.5 Louisiana............... 350,884 3 0.04 116,961 7.292 359.00 621 90.0 Massachusetts........... 3,774,670 14 0.38 269,619 6.443 359.15 691 84.4 Maryland................ 11,152,516 50 1.12 223,050 6.255 359.14 687 83.5 Maine................... 200,700 1 0.02 200,700 6.125 360.00 583 90.0 Michigan................ 9,760,560 56 0.98 174,296 6.385 357.36 691 87.3 Minnesota............... 6,398,766 30 0.64 213,292 6.385 359.59 683 79.3 Missouri................ 1,061,294 9 0.11 117,922 6.826 358.90 666 85.6 Mississippi............. 572,625 5 0.06 114,525 4.828 359.70 689 79.2 Montana................. 235,000 1 0.02 235,000 6.375 360.00 691 79.1 North Carolina.......... 3,048,371 20 0.30 152,419 6.995 359.13 687 82.7 Nebraska................ 412,269 3 0.04 137,423 7.078 358.03 676 86.0 New Hampshire........... 1,008,969 4 0.10 252,242 5.800 359.40 653 72.4 New Jersey.............. 8,670,396 33 0.87 262,739 6.603 359.56 682 83.1 New Mexico ............. 502,098 4 0.05 125,524 6.900 359.41 672 83.6 Nevada.................. 26,177,209 122 2.62 214,567 5.750 359.52 696 80.6 New York................ 6,275,011 20 0.63 313,751 6.191 359.24 677 79.8 Ohio.................... 4,433,227 34 0.44 130,389 6.354 359.04 686 83.5 Oklahoma................ 67,647 1 0.01 67,647 7.240 359.00 666 97.4 Oregon.................. 4,056,128 23 0.41 176,353 6.016 359.04 688 84.8 Pennsylvania............ 2,694,099 12 0.27 224,508 5.969 359.95 675 75.2 Rhode Island............ 1,371,443 5 0.14 274,289 5.752 359.45 709 80.0 South Carolina.......... 2,622,526 16 0.26 163,908 5.879 358.72 711 75.9 Tennessee............... 3,026,372 16 0.30 189,148 6.049 359.15 689 81.4 Texas................... 7,072,954 46 0.71 153,760 6.733 359.34 686 87.0 Utah.................... 8,977,843 56 0.90 160,319 5.440 359.69 694 80.2 Virginia................ 26,186,079 107 2.62 244,730 5.679 358.98 693 81.4 Washington.............. 7,635,238 41 0.76 186,225 5.960 359.59 690 80.5 Wisconsin............... 1,323,861 11 0.13 120,351 6.611 359.53 661 78.7 -------------- ----- ------ -------- ----- ------ --- ---- Total.......... $1,000,058,587 3,900 100.00% $256,425 5.537% 359.45 700 78.4% ============== ===== ======
-24- No more than approximately 0.85% 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.
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............... $ 341,087 2 0.03% $170,544 5.521% 359.32 720 83.2% 5.01 - 10.00.............. 1,640,300 6 0.16 273,383 4.914 359.56 722 72.0 10.01 - 15.00............. 6,489,542 27 0.65 240,353 4.966 359.26 712 70.9 15.01 - 20.00............. 10,482,176 44 1.05 238,231 5.153 359.79 707 74.5 20.01 - 25.00............. 20,114,249 92 2.01 218,633 5.365 359.25 710 77.6 25.01 - 30.00............. 50,690,911 209 5.07 242,540 5.230 359.56 703 75.8 30.01 - 35.00............. 88,804,279 350 8.88 253,727 5.391 359.51 702 78.0 35.01 - 40.00............. 140,279,057 516 14.03 271,859 5.417 359.46 704 78.1 40.01 - 45.00............. 181,224,478 709 18.12 255,606 5.504 359.53 698 79.6 45.01 - 50.00............. 140,771,454 547 14.08 257,352 5.356 359.53 698 79.2 50.01 - 55.00............. 11,566,242 42 1.16 275,387 4.965 359.65 689 70.8 Greater than 55.00........ 2,969,012 13 0.30 228,386 5.553 359.45 673 73.7 Not Required.............. 344,685,800 1,343 34.47 256,654 5.813 359.34 698 78.8 -------------- ----- ------ -------- ----- ------ --- ---- Total............ $1,000,058,587 3,900 100.00% $256,425 5.537% 359.45 700 78.4% ============== ===== ====== As of the Cut-off Date, the weighted average debt to income ratio of the Group 1 Loans will be approximately 39.05% per annum. PREPAYMENT PENALTY WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL NUMBER OF MONTHS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ---------------- --------------- ----- ----- ------- --- -------- ----- --- 0........................ $ 202,156,009 799 20.21% $253,011 5.599% 359.24 704 79.3% 3........................ 280,000 1 0.03 280,000 5.375 360.00 623 70.0 6........................ 8,788,938 20 0.88 439,447 5.535 359.27 712 72.7 7........................ 2,190,750 4 0.22 547,688 5.850 357.33 741 72.1 12....................... 207,876,841 712 20.79 291,962 5.320 359.49 700 76.9 24....................... 338,690,702 1,429 33.87 237,012 5.619 359.54 696 80.1 36....................... 142,549,708 574 14.25 248,344 5.532 359.56 697 76.8 60....................... 97,525,639 361 9.75 270,154 5.584 359.40 706 77.2 -------------- ----- ------ -------- ----- ------ --- ---- Total........... $1,000,058,587 3,900 100.00% $256,425 5.537% 359.45 700 78.4% ============== ===== ======
-25-
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 - --------------- ------- ----- ----- ------- --- -------- ----- --- 301-360................... $1,000,058,587 3,900 100.00% $256,425 5.537% 359.45 700 78.4% -------------- ----- ------ -------- ------ ------ --- ---- Total..................... $1,000,058,587 3,900 100.00% $256,425 5.537% 359.45 700 78.4% ============== ===== ====== ==== As of the Cut-off Date, the weighted average months remaining to scheduled maturity of the Group 1 Loans will be approximately 359 months. CREDIT SCORES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL RANGE OF CREDIT SCORES BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ---------------------- ------- ----- ----- ------- --- -------- ----- --- Not Required.............. $ 286,135 2 0.03% $143,067 4.680% 360.00 N/A 63.1% 801 - 820................. 6,155,930 23 0.62 267,649 5.084 359.36 806 79.8 781 - 800................. 33,655,256 121 3.37 278,143 5.253 359.49 788 74.8 761 - 780................. 75,412,151 282 7.54 267,419 5.244 359.42 770 77.0 741 - 760................. 93,479,804 349 9.35 267,850 5.281 359.40 751 77.5 721 - 740................. 120,778,565 478 12.08 252,675 5.304 359.40 730 78.3 701 - 720................. 152,401,545 581 15.24 262,309 5.473 359.45 710 79.0 681 - 700................. 171,935,476 665 17.19 258,550 5.464 359.50 691 78.8 661 - 680................. 134,385,099 530 13.44 253,557 5.690 359.41 670 79.9 641 - 660................. 113,139,849 457 11.31 247,571 5.782 359.54 651 78.7 621 - 640................. 68,934,027 284 6.89 242,725 5.998 359.49 631 79.1 601 - 620................. 20,029,262 85 2.00 235,638 6.165 359.39 612 76.0 581 - 600................. 5,442,009 24 0.54 226,750 6.668 359.14 590 77.3 561 - 580................. 1,120,756 5 0.11 224,151 7.635 359.68 567 68.1 541 - 560................. 1,150,106 7 0.12 164,301 8.266 359.46 550 60.4 521 - 540................. 419,746 1 0.04 419,746 8.500 359.00 521 70.0 501 - 520................. 1,168,373 5 0.12 233,675 7.878 359.38 512 64.2 Less than 500............. 164,500 1 0.02 164,500 7.250 360.00 500 70.0 -------------- ----- ------ -------- ----- ------ --- ---- Total..................... $1,000,058,587 3,900 100.00% $256,425 5.537% 359.45 700 78.4% ============== ===== ======
As of the Cut-off Date, the weighted average credit score of the Group 1 Loans will be approximately 700. -26-
RANGE OF MONTHS TO ROLL WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL NUMBER OF MONTHS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ---------------- --------------- ----- ----- ------- --- -------- ----- --- 1 - 6................... $ 262,991,567 927 26.30% $283,702 5.318% 359.39 696 78.5% 7 - 12.................. 787,800 4 0.08 196,950 5.052 360.00 689 79.9 13 - 18................. 1,263,312 6 0.13 210,552 6.390 353.54 657 86.5 19 - 24................. 445,213,812 1,898 44.52 234,570 5.702 359.51 696 80.4 25 - 31................. 207,663 1 0.02 207,663 4.500 355.00 720 80.0 32 - 37................. 164,891,692 642 16.49 256,841 5.361 359.62 704 76.0 43 - 49................. 566,253 2 0.06 283,126 6.116 345.39 670 83.9 50 - 55................. 795,000 1 0.08 795,000 5.625 355.00 732 79.5 56 - 61................. 119,831,582 412 11.98 290,853 5.638 359.32 715 74.5 80 - 85................. 1,902,405 5 0.19 380,481 5.772 357.84 721 69.0 Greater than 85......... 1,607,500 2 0.16 803,750 5.172 360.00 774 58.0 -------------- ----- ------ -------- ----- ------ --- ---- Total................... $1,000,058,587 3,900 100.00% $256,425 5.537% 359.45 700 78.4% ============== ===== ====== As of the Cut-off Date, the weighted average months to roll of the Group 1 Loans will be approximately 25 months. LOAN PURPOSES WEIGHTED AVERAGE WEIGHTED WEIGHTED REMG. WEIGHTED AVERAGE NO. OF % OF AVERAGE AVERAGE TERM AVERAGE ORIGINAL LOAN PURPOSE CURRENT BALANCE LOANS TOTAL BALANCE GROSS WAC (MONTHS) CREDIT SCORE LTV - ------------ --------------- ----- ----- ------- --------- -------- ------------ --- Purchase................ $ 649,404,335 2,558 64.94% $253,872 5.558% 359.41 709 80.7% Refinance - Cash Out.... 253,454,076 974 25.34 260,220 5.554 359.54 679 74.0 Refinance - No Cash Out..................... 97,200,176 368 9.72 264,131 5.348 359.50 693 74.7 -------------- ----- ------ -------- ----- ------ --- ---- Total.......... $1,000,058,587 3,900 100.00% $256,425 5.537% 359.45 700 78.4% ============== ===== ======
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. -27- LOAN GROUP 2 The Group 2 Loans had an aggregate principal balance as of the Cut-off Date of approximately $299,999,874, 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 $193,054. No Group 2 Loan had a principal balance at origination of greater than approximately $1,500,000 or less than approximately $24,400. The average principal balance of the Group 2 Loans as of the Cut-off Date was approximately $192,802. No Group 2 Loan had a principal balance as of the Cut-off Date of greater than approximately $1,491,753 or less than approximately $24,390. As of the Cut-off Date, the Group 2 Loans had mortgage rates ranging from approximately 4.375% per annum to approximately 11.990% per annum and the weighted average mortgage rate was approximately 6.902% per annum. The weighted average remaining term to stated maturity of the Group 2 Loans was approximately 349 months as of the Cut-off Date. None of the Group 2 Loans will have a first Due Date prior to April 1, 1998, or after May 1, 2004, or will have a remaining term to maturity of less than 119 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any Group 2 Loan is April 1, 2034. Approximately 8.33% and 1.36% of the Group 2 Loans have initial interest only periods of five and ten years, respectively years. The loan-to-value ratio of a mortgage loan secured by a first lien is equal to the ratio, expressed as a percentage, of the principal amount of the loan at origination, to the lesser of the appraised value of the related mortgaged property at the time of origination and the sales price. The weighted average of the loan-to-value ratios at origination of the Group 2 Loans was approximately 77.39%. No loan-to-value ratio at origination of any Group 2 Loan was greater than approximately 100.00% or less than approximately 15.00%. Approximately 0.09% of the Group 2 Loans are balloon loans. The amount of the balloon payment on each of these mortgage loans is substantially in excess of the amount of the scheduled monthly payment on such mortgage loan for the period prior to the Due Date of the balloon payment. These mortgage loans have a weighted average remaining term to maturity of approximately 180 months. 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. Approximately 61.96% of the Group 2 Loans provide for prepayment charges. Approximately 27.55% and 7.73% of the Group 2 Loans are covered by a Primary Insurance Policy and the Radian Lender-Paid PMI Policy, respectively. For the Group 2 Loans, the weighted average of the Radian PMI Rates for the mortgage loans covered by the Radian Lender-Paid PMI Policy is approximately 0.883% per annum. -28- 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. -29-
MORTGAGE LOAN PROGRAMS WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF AVERAGE GROSS TERM CREDIT ORIGINAL LOAN PROGRAMS CURRENT BALANCE LOANS % OF TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------- --------------- ----- ---------- ------- --- -------- ----- --- 10 Year Fixed.............. $ 221,583 1 0.07% $221,583 5.250% 119.00 744 78.0% 15 Year Fixed.............. 14,554,859 84 4.85 173,272 6.190 178.58 698 63.2 20 Year Fixed.............. 1,138,692 5 0.38 227,738 6.196 238.81 649 62.2 25 Year Fixed.............. 155,788 1 0.05 155,788 6.375 299.00 665 69.3 30/15 Fixed Balloon........ 257,140 3 0.09 85,713 7.428 179.91 728 87.9 30 Year Fixed.............. 254,607,357 1,351 84.87 188,458 6.984 358.50 685 78.9 30 Year Fixed IO........... 29,064,456 111 9.69 261,842 6.581 359.62 703 72.2 ------------ ----- ------ -------- ----- ------ --- ---- Total............. $299,999,874 1,556 100.00% $192,802 6.902% 349.06 688 77.4% ============ ===== ======
-30- PRINCIPAL BALANCES AS OF ORIGINATION
WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF MORTGAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL LOAN PRINCIPAL BALANCES BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ----------------------- ------- ----- ----- ------- --- -------- ----- --- $0.01 - $50,000.00.............. $ 355,512 8 0.12% $ 44,439 7.543% 299.48 704 49.6% $50,000.01 - $100,000.00........ 24,242,818 297 8.08 81,626 7.298 345.65 681 79.7 $100,000.01 - $150,000.00....... 57,763,990 465 19.25 124,224 7.196 347.61 684 80.6 $150,000.01 - $200,000.00....... 45,386,103 264 15.13 171,917 7.045 348.11 683 80.0 $200,000.01 - $250,000.00....... 36,934,138 166 12.31 222,495 6.875 347.65 683 78.8 $250,000.01 - $300,000.00....... 34,175,808 124 11.39 275,611 6.831 353.05 685 80.1 $300,000.01 - $350,000.00....... 23,642,293 73 7.88 323,867 6.894 356.11 679 78.5 $350,000.01 - $400,000.00....... 21,036,129 56 7.01 375,645 6.695 349.04 704 75.9 $400,000.01 - $450,000.00....... 13,157,651 31 4.39 424,440 6.709 349.15 683 76.6 $450,000.01 - $500,000.00....... 12,829,432 27 4.28 475,164 6.956 358.45 702 72.4 $500,000.01 - $550,000.00....... 5,761,714 11 1.92 523,792 6.142 359.27 716 67.5 $550,000.01 - $600,000.00....... 6,875,867 12 2.29 572,989 5.904 313.31 713 68.4 $600,000.01 - $650,000.00....... 3,753,518 6 1.25 625,586 6.260 328.45 698 66.7 $650,000.01 - $700,000.00....... 2,013,977 3 0.67 671,326 6.708 358.99 714 76.6 $700,000.01 - $750,000.00....... 5,153,217 7 1.72 736,174 5.911 359.43 717 55.7 $950,000.01 - $1,000,000.00..... 2,987,537 3 1.00 995,846 6.376 358.00 690 57.7 $1,150,000.01 - $1,200,000.00... 1,188,004 1 0.40 1,188,004 5.875 351.00 714 47.1 $1,250,000.01 - $1,300,000.00... 1,250,412 1 0.42 1,250,412 6.250 357.00 660 60.0 $1,450,000.01 - $1,500,000.00... 1,491,753 1 0.50 1,491,753 6.500 354.00 673 60.0 ------------ ----- ------ ---------- ----- ------ --- ---- Total.................. $299,999,874 1,556 100.00 $ 192,802 6.902% 349.06 688 77.4% ============ ===== ======
As of origination, the average current principal balance of the Group 2 Loans will be approximately $193,054. -31-
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF MORTGAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL LOAN PRINCIPAL BALANCES BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ----------------------- ------- ----- ----- ------- --- -------- ----- --- $0.01 - $50,000.00.............. $ 405,504 9 0.14% $ 45,056 7.476% 306.32 703 53.0% $50,000.01 - $100,000.00........ 24,192,826 296 8.06 81,733 7.299 345.63 681 79.7 $100,000.01 - $150,000.00....... 57,763,990 465 19.25 124,224 7.196 347.61 684 80.6 $150,000.01 - $200,000.00....... 45,386,103 264 15.13 171,917 7.045 348.11 683 80.0 $200,000.01 - $250,000.00....... 36,934,138 166 12.31 222,495 6.875 347.65 683 78.8 $250,000.01 - $300,000.00....... 34,175,808 124 11.39 275,611 6.831 353.05 685 80.1 $300,000.01 - $350,000.00....... 23,642,293 73 7.88 323,867 6.894 356.11 679 78.5 $350,000.01 - $400,000.00....... 21,036,129 56 7.01 375,645 6.695 349.04 704 75.9 $400,000.01 - $450,000.00....... 13,157,651 31 4.39 424,440 6.709 349.15 683 76.6 $450,000.01 - $500,000.00....... 12,829,432 27 4.28 475,164 6.956 358.45 702 72.4 $500,000.01 - $550,000.00....... 5,761,714 11 1.92 523,792 6.142 359.27 716 67.5 $550,000.01 - $600,000.00....... 6,875,867 12 2.29 572,989 5.904 313.31 713 68.4 $600,000.01 - $650,000.00....... 3,753,518 6 1.25 625,586 6.260 328.45 698 66.7 $650,000.01 - $700,000.00....... 2,013,977 3 0.67 671,326 6.708 358.99 714 76.6 $700,000.01 - $750,000.00....... 5,153,217 7 1.72 736,174 5.911 359.43 717 55.7 $950,000.01 - $1,000,000.00..... 2,987,537 3 1.00 995,846 6.376 358.00 690 57.7 $1,150,000.01 - $1,200,000.00... 1,188,004 1 0.40 1,188,004 5.875 351.00 714 47.1 $1,250,000.01 - $1,300,000.00... 1,250,412 1 0.42 1,250,412 6.250 357.00 660 60.0 $1,450,000.01 - $1,500,000.00... 1,491,753 1 0.50 1,491,753 6.500 354.00 673 60.0 ------------ ----- ------ ---------- ----- ------ --- ---- Total.................. $299,999,874 1,556 100.00% $ 192,802 6.902% 349.06 688 77.4% ============ ===== ======
As of the Cut-off Date, the average current principal balance of the Group 2 Loans will be approximately $192,802. -32-
MORTGAGE RATES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL MORTGAGE RATES (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------ --------------- ----- ----- ------- --- -------- ----- --- 4.000 - 4.499............ $ 563,722 2 0.19% $281,861 4.426% 358.33 741 53.8% 4.500 - 4.999............ 412,299 1 0.14 412,299 4.950 359.00 690 80.0 5.000 - 5.499............ 6,435,333 20 2.15 321,767 5.208 262.75 730 60.3 5.500 - 5.999............ 33,748,341 107 11.25 315,405 5.765 339.36 728 62.4 6.000 - 6.499............ 49,311,203 218 16.44 226,198 6.202 348.64 705 67.4 6.500 - 6.999............ 80,781,977 421 26.93 191,881 6.706 350.71 688 77.7 7.000 - 7.499............ 44,705,252 280 14.90 159,662 7.200 353.78 678 83.9 7.500 - 7.999............ 50,622,458 305 16.87 165,975 7.655 355.68 671 86.8 8.000 - 8.499............ 21,410,722 126 7.14 169,926 8.157 357.44 661 88.6 8.500 - 8.999............ 9,245,492 54 3.08 171,213 8.673 354.41 629 85.3 9.000 - 9.499............ 1,472,569 11 0.49 133,870 9.108 339.91 617 80.8 9.500 - 9.999............ 881,651 6 0.29 146,942 9.633 358.69 613 87.8 10.000 - 10.499.......... 247,127 3 0.08 82,376 10.138 337.94 639 74.6 10.500 - 10.999.......... 42,726 1 0.01 42,726 10.500 179.00 671 15.0 11.500 - 11.999.......... 119,000 1 0.04 119,000 11.990 360.00 613 77.8 ------------ ----- ------ -------- ----- ------ --- ---- Total........... $299,999,874 1,556 100.00% $192,802 6.902% 349.06 688 77.4% ============ ===== ======
____________ The weighted average mortgage rate of the Group 2 Loans was approximately 6.902% per annum. -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............ $ 67,116 2 0.02% $ 33,558 10.409% 179.00 678 16.8% 20.01 - 25.00........... 1,798,549 6 0.60 299,758 6.107 344.34 735 23.6 25.01 - 30.00........... 1,584,276 7 0.53 226,325 5.588 308.25 715 27.5 30.01 - 35.00........... 1,291,618 7 0.43 184,517 6.058 295.06 742 31.9 35.01 - 40.00........... 2,381,565 16 0.79 148,848 6.288 313.95 684 38.3 40.01 - 45.00........... 5,493,565 24 1.83 228,899 6.042 330.06 708 42.9 45.01 - 50.00........... 6,863,417 24 2.29 285,976 5.906 319.53 723 47.3 50.01 - 55.00........... 9,334,560 43 3.11 217,083 6.335 344.53 689 52.9 55.01 - 60.00........... 13,281,366 50 4.43 265,627 6.373 338.95 676 58.7 60.01 - 65.00........... 14,165,020 58 4.72 244,224 6.244 339.99 694 63.1 65.01 - 70.00........... 34,574,356 158 11.52 218,825 6.410 345.93 692 68.8 70.01 - 75.00........... 16,682,093 83 5.56 200,989 6.982 351.44 675 73.6 75.01 - 80.00........... 86,621,408 439 28.87 197,315 6.846 351.98 687 79.6 80.01 - 85.00........... 8,252,901 49 2.75 168,427 7.193 349.00 662 84.5 85.01 - 90.00........... 42,297,763 285 14.10 148,413 7.422 355.59 684 89.7 90.01 - 95.00........... 47,797,936 257 15.93 185,984 7.541 356.42 682 94.8 95.01 - 100.00.......... 7,512,364 48 2.50 156,508 7.537 354.18 723 99.5 ------------ ----- ------ -------- ----- ------ --- ---- Total.......... $299,999,874 1,556 100.00% $192,802 6.902% 349.06 688 77.4% ============ ===== ====== __________ The minimum and maximum loan-to-value ratios of the Group 2 Loans at origination were approximately 15.00% and 100.00%, respectively, and the weighted average of the loan-to-value ratios of the Group 2 Loans at origination was approximately 77.39%. OCCUPANCY TYPES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL OCCUPANCY CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------- --------------- ----- ----- ------- --- -------- ----- --- Owner Occupied.......... $220,631,862 1,053 73.54% $209,527 6.889% 348.19 683 77.9% Non-Owner Occupied...... 67,495,712 446 22.50 151,336 6.957 350.71 700 76.3 Second Home............. 11,872,300 57 3.96 208,286 6.842 355.78 701 74.2 ------------ ----- ------ -------- ----- ------ --- ---- Total.......... $299,999,874 1,556 100.00% $192,802 6.902% 349.06 688 77.4% ============ ===== ======
___________________ 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 NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL DOCUMENT TYPE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------- --------------- ----- ----- ------- --- -------- ----- --- Progressive Series Program (Limited (Stated) Documentation).......... $115,596,655 571 38.53% $202,446 6.569% 347.40 699 73.6% Progressive Express(TM) Program (Non Verified Assets)................. 59,705,133 335 19.90 178,224 7.496 350.40 664 82.5 Progressive Express(TM) Program (Verified Assets)................. 44,049,112 252 14.68 174,798 7.106 349.61 675 80.5 Progressive Series Program (Full Documentation).... 42,495,237 188 14.17 226,038 6.302 345.29 706 72.2 Progressive Express(TM) No Doc Program (No Documentation).......... 32,636,097 184 10.88 177,370 7.451 357.00 683 82.8 Progressive Express(TM) Program No Doc Program (Verified Assets)................. 3,008,404 17 1.00 176,965 7.458 339.92 665 84.4 Progressive Series Program (No Income/No Asset Documentation).......... 1,891,211 5 0.63 378,242 7.036 354.60 730 82.6 Progressive Series Program (Full Income/Stated Assets Documentation).......... 506,876 3 0.17 168,959 6.718 359.21 694 82.1 Progressive Series Program (Alternative Documentation).......... 111,148 1 0.04 111,148 6.500 358.00 649 85.0 ------------ ----- ------ -------- ----- ------ --- ---- Total.......... $299,999,874 1,556 100.00% $192,802 6.902% 349.06 688 77.4% ============ ===== ======
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 NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL CREDIT GRADE CATEGORY CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------------- --------------- ----- ----- ------- --- -------- ----- --- A+(1)...................... $120,327,587 564 40.11% $213,347 6.408% 346.50 730 74.0% A(1)....................... 79,296,611 389 26.43 203,847 6.857 350.82 655 76.3 A- (1)..................... 8,400,040 46 2.80 182,610 7.393 351.34 619 71.7 B(1)....................... 253,717 2 0.08 126,859 8.066 271.31 640 60.6 C(1)....................... 121,326 1 0.04 121,326 8.490 359.00 540 74.0 Progressive Express(TM)I(2).. 74,938 1 0.02 74,938 10.375 358.00 504 52.1 Progressive Express(TM)II(2). 31,959,569 200 10.65 159,798 7.371 349.64 721 86.0 Progressive Express(TM)III(2). 47,825,654 280 15.94 170,806 7.506 352.87 651 84.1 Progressive Express(TM)IV(2). 3,742,546 21 1.25 178,216 7.756 351.94 617 78.2 Progressive Express(TM)V(2).. 2,777,182 21 0.93 132,247 7.816 344.90 593 74.3 Progressive Express(TM)VI(2). 3,282,123 19 1.09 172,743 8.333 355.07 588 72.2 Total............. 1,938,578 12 0.65 161,548 8.937 321.98 535 66.5 --------- -- ---- ------- ----- ------ --- ---- $299,999,874 1,556 100.00% $192,802 6.902% 349.06 688 77.4% ============ ===== ======
_________________ (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 and CX correspond to Progressive Series I+, I and II, III and III+, IV and VI, respectively. All of the Seasoned Mortgage Loans in Loan Group 2 have been assigned credit grades by Impac Funding. All of the mortgage loans originated pursuant to the Express Priority Refi(TM) Program have been placed in Progressive Express(TM) Programs II and III. (2) These Group 2 Loans were originated under the Seller's Progressive Express(TM) Program. The underwriting for these Group 2 Loans is generally based on the borrower's "Credit Score" score and therefore these Group 2 Loans do not correspond to the alphabetical risk categories listed above. SEE "--UNDERWRITING STANDARDS" BELOW FOR A DESCRIPTION OF THE SELLER'S RISK CATEGORIES. -36-
PROPERTY TYPES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL PROPERTY TYPE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------- --------------- ----- ----- ------- --- -------- ----- --- Single-Family Residence... $193,210,581 1,005 64.40% $192,249 6.901% 347.57 685 77.4% De Minimis PUD............ 24,663,037 134 8.22 184,053 6.937 355.50 687 79.3 Two Family................ 23,861,639 110 7.95 216,924 6.999 351.40 689 77.4 Condominium............... 19,092,013 110 6.36 173,564 6.844 351.40 696 80.1 Planned Unit Development .............. 15,377,187 97 5.13 158,528 6.862 353.65 687 81.4 Four Family............... 9,710,837 38 3.24 255,548 6.617 350.34 715 68.8 Three Family.............. 9,635,207 37 3.21 260,411 6.707 341.45 697 69.6 Highrise/Condominium...... 3,428,512 15 1.14 228,567 7.636 358.86 666 77.9 Townhouse................. 488,024 5 0.16 97,605 7.545 313.41 703 72.4 Manufactured Housing...... 305,736 3 0.10 101,912 9.067 353.63 621 81.6 Condotel.................. 122,278 1 0.04 122,278 6.500 358.00 801 70.0 Non-Warrantable Condo..... 104,823 1 0.03 104,823 6.875 358.00 N/A 70.0 ------------ ----- ------ -------- ----- ------ --- ---- Total............ $299,999,874 1,556 100.00% $192,802 6.902% 349.06 688 77.4% ============ ===== ======
-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 - ----- ------- ----- ----- ------- --- -------- ----- --- Arizona................. $ 5,289,904 38 1.76% $139,208 7.150% 339.52 704 85.9% California.............. 97,165,431 373 32.39 260,497 6.344 344.26 705 67.9 Colorado................ 1,802,465 12 0.60 150,205 7.449 357.67 685 80.2 Connecticut ........... 2,667,081 12 0.89 222,257 6.809 342.44 680 60.9 District of Columbia.... 2,436,903 12 0.81 203,075 7.592 349.90 627 74.0 Delaware................ 663,722 4 0.22 165,931 7.234 358.16 629 85.3 Florida................. 68,856,264 465 22.95 148,078 7.215 353.25 678 83.5 Georgia................. 2,024,030 14 0.67 144,574 7.032 340.58 708 81.9 Hawaii.................. 2,688,228 5 0.90 537,646 6.548 356.82 691 67.4 Iowa.................... 113,413 1 0.04 113,413 9.000 357.00 716 80.0 Illinois................ 5,423,164 33 1.81 164,338 7.458 356.25 682 83.5 Indiana................. 1,646,215 16 0.55 102,888 7.229 358.54 690 85.9 Kentucky................ 524,630 6 0.17 87,438 7.415 350.47 674 79.7 Louisiana............... 264,864 3 0.09 88,288 7.133 357.53 695 76.2 Massachusetts........... 3,335,076 15 1.11 222,338 7.106 359.24 684 69.1 Maryland................ 7,540,795 43 2.51 175,367 7.119 346.81 674 83.9 Maine................... 153,782 1 0.05 153,782 7.750 358.00 593 70.0 Michigan................ 4,229,555 26 1.41 162,675 7.468 351.18 672 84.2 Minnesota............... 1,885,176 12 0.63 157,098 6.951 359.55 677 76.1 Missouri................ 832,875 8 0.28 104,109 7.908 356.79 679 85.4 Mississippi............. 690,170 5 0.23 138,034 7.605 355.45 668 90.8 Montana................. 99,832 1 0.03 99,832 6.875 358.00 651 66.7 North Carolina.......... 2,088,268 16 0.70 130,517 6.865 338.51 706 84.4 Nebraska................ 226,616 2 0.08 113,308 7.858 357.93 660 92.3 New Hampshire........... 249,807 2 0.08 124,904 7.315 359.00 727 76.7 New Jersey.............. 20,001,653 82 6.67 243,923 7.012 351.37 677 80.2 New Mexico ............. 1,113,572 7 0.37 159,082 7.842 359.24 659 77.8 Nevada.................. 5,199,600 30 1.73 173,320 7.173 346.45 677 86.2 New York................ 24,039,563 79 8.01 304,298 7.209 349.93 683 82.7 Ohio.................... 3,105,531 28 1.04 110,912 7.130 348.11 670 84.5 Oklahoma................ 378,993 3 0.13 126,331 7.544 358.55 683 95.0 Oregon.................. 3,191,888 21 1.06 151,995 7.072 358.18 688 82.2 Pennsylvania............ 1,971,011 15 0.66 131,401 7.560 358.71 654 85.0 Rhode Island............ 1,084,177 6 0.36 180,696 7.758 333.10 661 85.3 South Carolina.......... 738,508 6 0.25 123,085 7.691 358.72 691 88.3 Tennessee............... 797,029 9 0.27 88,559 7.563 358.04 685 85.9 Texas................... 9,133,221 71 3.04 128,637 7.299 356.27 681 85.7 Utah.................... 1,445,111 11 0.48 131,374 7.244 358.41 652 82.5 Virginia................ 9,836,346 44 3.28 223,553 6.785 336.67 684 76.3 Washington.............. 3,930,229 14 1.31 280,731 6.772 359.36 674 77.3 Wisconsin............... 920,006 3 0.31 306,669 6.215 358.59 686 74.8 West Virginia........... 95,401 1 0.03 95,401 7.250 359.00 700 95.0 Wyoming................. 119,769 1 0.04 119,769 8.250 357.00 708 100.0 ------------ ----- ------ -------- ----- ------ --- ---- Total.......... $299,999,874 1,556 100.00% $192,802 6.902% 349.06 688 77.4% ============ ===== ======
-38- No more than approximately 0.58% of the Group 2 Loans (by aggregate outstanding principal balance as of the Cut-off Date) are secured by mortgaged properties located in any one zip code.
DEBT TO INCOME RATIO WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL DESCRIPTION (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------- ------- ----- ----- ------- --- -------- ----- --- 5.01 - 10.00.............. $ 762,688 2 0.25% $381,344 6.108% 359.36 720 52.2% 10.01 - 15.00............. 1,085,399 7 0.36 155,057 6.953 358.88 698 71.3 15.01 - 20.00............. 4,801,325 22 1.60 218,242 6.155 359.33 715 68.4 20.01 - 25.00............. 7,557,833 45 2.52 167,952 6.715 357.10 694 77.4 25.01 - 30.00............. 13,597,044 71 4.53 191,508 6.501 341.27 714 69.7 30.01 - 35.00............. 25,417,647 109 8.47 233,189 6.348 343.06 704 68.0 35.01 - 40.00............. 33,310,841 163 11.10 204,361 6.574 342.47 700 75.4 40.01 - 45.00............. 40,965,742 203 13.66 201,802 6.692 349.77 693 76.7 45.01 - 50.00............. 28,727,327 145 9.58 198,119 6.729 349.43 688 79.5 50.01 - 55.00............. 6,029,870 27 2.01 223,329 6.467 340.45 688 68.0 Greater than 55.00........ 2,295,539 7 0.77 327,934 6.206 308.22 709 62.8 Not Required.............. 135,448,619 755 45.15 179,402 7.300 352.42 675 81.3 ------------ ----- ------ -------- ----- ------ --- ---- Total..................... $299,999,874 1,556 100.00% $192,802 6.902% 349.06 688 77.4% ============ ===== ====== As of the Cut-off Date, the weighted average debt to income ratio of the Group 2 Loans will be approximately 38.39% 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 - ---------------- ------- ----- ----- ------- --- -------- ----- --- 0......................... $114,129,603 511 38.04% $223,346 6.909% 345.35 690 76.9% 6......................... 618,000 2 0.21 309,000 6.319 359.39 745 73.1 12........................ 20,286,598 96 6.76 211,319 6.798 355.38 697 76.0 24........................ 18,746,826 112 6.25 167,382 7.012 355.43 683 77.8 36........................ 59,526,428 336 19.84 177,162 6.944 350.62 686 79.1 42........................ 77,190 1 0.03 77,190 8.000 356.00 585 90.0 60........................ 86,615,229 498 28.87 173,926 6.870 349.94 684 77.2 ------------ ----- ------ -------- ----- ------ --- ---- Total..................... $299,999,874 1,556 100.00% $192,802 6.902% 349.06 688 77.4% ============ ===== ======
-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 - --------------- ------- ----- ----- ------- --- -------- ----- --- 1-120..................... $ 221,583 1 0.07% $221,583 5.250% 119.00 744 78.0% 121-180................... 14,811,998 87 4.94 170,253 6.212 178.60 699 63.6 181-240................... 1,138,692 5 0.38 227,738 6.196 238.81 649 62.2 241-300................... 155,788 1 0.05 155,788 6.375 299.00 665 69.3 301-360................... 283,671,813 1,462 94.56 194,030 6.943 358.61 687 78.2 ------------ ----- ------ -------- ----- ------ --- ---- Total..................... $299,999,874 1,556 100.00% $192,802 6.902% 349.06 688 77.4% ============ ===== ====== As of the Cut-off Date, the weighted average number of months remaining to scheduled maturity of the Group 2 Loans will be approximately 350 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 - ---------------------- ------- ----- ----- ------- --- -------- ----- --- Not Required.............. $ 1,329,932 8 0.44% $166,242 6.841% 342.15 N/A 68.7% 801 - 820................. 1,039,694 4 0.35 259,923 6.488 337.28 807 77.8 781 - 800................. 9,252,634 47 3.08 196,865 6.465 356.75 790 73.9 761 - 780................. 19,158,070 83 6.39 230,820 6.342 338.06 770 69.5 741 - 760................. 24,490,781 120 8.16 204,090 6.452 344.37 750 74.7 721 - 740................. 25,906,443 133 8.64 194,785 6.608 354.56 730 75.1 701 - 720................. 35,626,028 174 11.88 204,747 6.712 350.10 710 79.9 681 - 700................. 39,005,649 214 13.00 182,269 6.816 343.00 690 79.3 661 - 680................. 47,442,189 244 15.81 194,435 6.985 351.90 670 79.2 641 - 660................. 43,986,843 235 14.66 187,178 7.155 351.07 651 79.0 621 - 640................. 33,088,632 176 11.03 188,004 7.224 351.33 632 79.2 601 - 620................. 10,589,610 59 3.53 179,485 7.575 356.20 614 77.4 581 - 600................. 4,341,972 31 1.45 140,064 7.643 345.86 589 72.3 561 - 580................. 1,592,072 11 0.53 144,734 8.434 350.67 574 71.2 541 - 560................. 1,691,684 9 0.56 187,965 8.540 323.54 551 68.0 521 - 540................. 1,089,872 5 0.36 217,974 8.846 358.50 528 70.9 501 - 520................. 367,769 3 0.12 122,590 9.064 358.80 509 61.4 ------------ ----- ------ -------- ----- ------ --- ---- Total..................... $299,999,874 1,556 100.00% $192,802 6.902% 349.06 688 77.4% ============ ===== ======
As of the Cut-off Date, the weighted average credit score of the Group 2 Loans will be approximately 688. -40-
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 - ------------ ------- ----- ----- ------- --- -------- ----- --- Purchase.................. $143,382,275 788 47.79% $ 181,957 7.138% 356.17 695 85.2% Refinance - Cash Out...... 120,249,329 599 40.08 200,750 6.770 347.45 677 70.8 Refinance - No Cash Out 36,368,270 169 12.12 215,197 6.413 326.38 697 68.3 ------------ ----- ------ --------- ----- ------ --- ---- Total............ $299,999,874 1,556 100.00% $ 192,802 6.902% 349.06 688 77.4% ============ ===== ======
LOAN GROUP 3 The Group 3 Loans had an aggregate principal balance as of the Cut-off Date of approximately $59,101,059 after application of scheduled payments due on or before the Cut-off Date, whether or not received. All of the Group 3 Loans are multifamily loans and are secured by first liens on the related mortgaged property. The average principal balance of the Group 3 Loans at origination was approximately $1,097,356. No Group 3 Loan had a principal balance at origination of greater than approximately $2,700,000 or less than approximately $349,250. The average principal balance of the Group 3 Loans as of the Cut-off Date was approximately $1,094,464. No Group 3 Loan had a principal balance as of the Cut-off Date of greater than approximately $2,694,078 or less than approximately $348,553. As of the Cut-off Date, the Group 3 Loans had mortgage rates ranging from approximately 4.250% per annum to approximately 6.375% per annum and the weighted average mortgage rate was approximately 5.299% per annum. The weighted average remaining term to stated maturity of the Group 3 Loans was approximately 358 months as of the Cut-off Date. None of the Group 3 Loans will have a first Due Date prior to December 1, 2003, or after March 1, 2004, or will have a remaining term to maturity of less than 356 months or greater than 359 months as of the Cut-off Date. The latest maturity date of any Group 3 Loan is February 1, 2034. 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 3 Loans was approximately 64.85%. No loan-to-value ratio at origination of any Group 3 Loan was greater than approximately 75.00% or less than approximately 25.00%. None of the Group 3 Loans are buydown mortgage loans. -41- None of the Group 3 Loans will be subject to the Home Ownership and Equity Protection Act of 1994 or any comparable state law. None of the Group 3 Loans have reached their first adjustment date as of the Closing Date. All of the Group 3 Loans provide for prepayment charges. The Group 3 Loans had debt service coverage ratios as of the Cut-off Date of at least 1.19x but not more than 2.94x, with a weighted average debt service coverage ratio of approximately 1.36x. The Group 3 Loans had occupancy rates, determined as of the most recent date information was available, ranging from approximately 75.00% to approximately 100.00%, with a weighted average occupancy rate at origination of approximately 97.59%. All of the Group 3 Loans will accrue interest on an actual number of days in the prior calendar month and a year consisting of 360 days. As a result, the portion of the scheduled monthly payment in respect of interest received on the Group 3 Loans will be greater if the prior calendar month has 31 days, and will be reduced if the prior calendar month is February. However, all of the Group 3 Loans will be treated as if they paid interest on a 360-day year consisting of twelve 30-day months. None of the Group 3 Loans are cross-collateralized with other multifamily loans. None of the Group 3 Loans involve borrowers that are bankruptcy-remote special purpose entities. As a result, defaults and losses could occur for reasons unrelated to the financial condition or operation of the related mortgaged property. SEE "THE MORTGAGE POOL -- MULTIFAMILY LOANS" IN THIS PROSPECTUS SUPPLEMENT FOR ADDITIONAL INFORMATION ABOUT THE MULTIFAMILY LOANS. SEE "DESCRIPTION OF THE SERVICING AGREEMENT -- SERVICING OF MULTIFAMILY LOANS" IN THIS PROSPECTUS SUPPLEMENT FOR A DISCUSSION OF THE SERVICING OF MULTIFAMILY LOANS. Set forth below is a description of certain additional characteristics of the Group 3 Loans as of the Cut-off Date, except as otherwise indicated. All percentages of the Group 3 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. -42-
MORTGAGE LOAN PROGRAMS WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL LOAN PROGRAMS BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------- ------- ----- ----- ------- --- -------- ----- --- 30Y LIBOR 6MO.............. $ 9,322,375 8 15.77% $ 1,165,297 4.453% 358.56 686 67.4% 3/27 LIBOR 6MO............. 3,151,819 3 5.33 1,050,606 5.228 356.82 766 59.4 5/25 LIBOR 6MO............. 36,779,893 34 62.23 1,081,762 5.342 357.98 721 66.5 7/23 LIBOR 6MO............. 9,846,972 9 16.66 1,094,108 5.961 357.27 727 57.9 ----------- -- ------ ----------- ----- ------ --- ---- Total............. $59,101,059 54 100.00% $ 1,094,464 5.299% 357.89 719 64.8% =========== == ======
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PRINCIPAL BALANCES AS OF ORIGINATION WEIGHTED WEIGHTE WEIGHTED AVERAGE D WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF MORTGAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL LOAN PRINCIPAL BALANCES BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ----------------------- ------- ----- ----- ------- --- -------- ----- --- $300,000.01 - $350,000.00....... $348,553 1 0.59% $348,553 6.000% 358.00 769 73.5% $350,000.01 - $400,000.00....... 732,320 2 1.24 366,160 6.255 357.52 736 57.7 $500,000.01 - $550,000.00....... 1,595,929 3 2.70 531,976 6.053 357.34 746 51.2 $550,000.01 - $600,000.00....... 1,129,110 2 1.91 564,555 5.188 357.01 732 61.6 $600,000.01 - $650,000.00....... 2,555,192 4 4.32 638,798 5.250 359.00 703 70.0 $650,000.01 - $700,000.00....... 673,520 1 1.14 673,520 5.500 358.00 765 75.0 $700,000.01 - $750,000.00....... 2,937,188 4 4.97 734,297 5.412 357.50 775 60.1 $750,000.01 - $800,000.00....... 1,515,014 2 2.56 757,507 4.811 357.00 700 54.4 $800,000.01 - $850,000.00....... 1,665,594 2 2.82 832,797 4.500 358.49 650 72.3 $850,000.01 - $900,000.00....... 1,751,848 2 2.96 875,924 5.804 358.00 759 69.1 $900,000.01 - $950,000.00....... 939,238 1 1.59 939,238 5.500 357.00 740 70.0 $950,000.01 - $1,000,000.00..... 3,960,991 4 6.70 990,248 5.752 357.50 720 52.2 $1,000,000.01 - $1,050,000.00... 2,046,431 2 3.46 1,023,216 5.374 358.50 724 68.7 $1,050,000.01 - $1,100,000.00... 3,281,769 3 5.55 1,093,923 5.457 357.67 733 66.3 $1,100,000.01 - $1,150,000.00... 2,248,388 2 3.80 1,124,194 5.876 358.00 712 67.5 $1,150,000.01 - $1,200,000.00... 3,542,477 3 5.99 1,180,826 4.750 358.67 675 70.0 $1,250,000.01 - $1,300,000.00... 2,584,699 2 4.37 1,292,349 5.877 358.00 768 59.2 $1,300,000.01 - $1,350,000.00... 2,652,078 2 4.49 1,326,039 4.881 357.49 690 70.4 $1,350,000.01 - $1,400,000.00... 2,787,016 2 4.72 1,393,508 5.500 359.00 678 67.5 $1,450,000.01 - $1,500,000.00... 1,498,061 1 2.53 1,498,061 5.250 359.00 688 66.7 $1,550,000.01 - $1,600,000.00... 3,155,519 2 5.34 1,577,760 5.059 357.49 706 61.8 $1,800,000.01 - $1,850,000.00... 1,843,880 1 3.12 1,843,880 5.250 357.00 782 55.2 $1,850,000.01 - $1,900,000.00... 1,868,477 1 3.16 1,868,477 5.000 357.00 721 75.0 $2,150,000.01 - $2,200,000.00... 4,357,353 2 7.37 2,178,676 5.063 356.50 688 66.6 $2,200,000.01 - $2,250,000.00... 2,240,076 1 3.79 2,240,076 5.500 358.00 780 71.1 $2,450,000.01 - $2,500,000.00... 2,496,261 1 4.22 2,496,261 4.250 359.00 738 59.1 $2,650,000.01 - $2,700,000.00... 2,694,078 1 4.56 2,694,078 5.500 359.00 672 71.2 ----------- -- ------ ---------- ----- ------ --- ---- Total........................... $59,101,059 54 100.00 $1,094,464 5.299% 357.89 719 64.8% =========== == ======
As of origination, the average current principal balance of the Group 3 Loans will be approximately $1,094,464. -44-
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE WEIGHTE WEIGHTED D AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF MORTGAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL LOAN PRINCIPAL BALANCES BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ----------------------- ------- ----- ----- ------- --- -------- ----- --- $300,000.01 - $350,000.00....... $ 348,553 1 0.59% $ 348,553 6.000% 358.00 769 73.5% $350,000.01 - $400,000.00....... 732,320 2 1.24 366,160 6.255 357.52 736 57.7 $500,000.01 - $550,000.00....... 1,595,929 3 2.70 531,976 6.053 357.34 746 51.2 $550,000.01 - $600,000.00....... 1,129,110 2 1.91 564,555 5.188 357.01 732 61.6 $600,000.01 - $650,000.00....... 2,555,192 4 4.32 638,798 5.250 359.00 703 70.0 $650,000.01 - $700,000.00....... 673,520 1 1.14 673,520 5.500 358.00 765 75.0 $700,000.01 - $750,000.00....... 2,937,188 4 4.97 734,297 5.412 357.50 775 60.1 $750,000.01 - $800,000.00....... 1,515,014 2 2.56 757,507 4.811 357.00 700 54.4 $800,000.01 - $850,000.00....... 1,665,594 2 2.82 832,797 4.500 358.49 650 72.3 $850,000.01 - $900,000.00....... 1,751,848 2 2.96 875,924 5.804 358.00 759 69.1 $900,000.01 - $950,000.00....... 939,238 1 1.59 939,238 5.500 357.00 740 70.0 $950,000.01 - $1,000,000.00..... 3,960,991 4 6.70 990,248 5.752 357.50 720 52.2 $1,000,000.01 - $1,050,000.00... 2,046,431 2 3.46 1,023,216 5.374 358.50 724 68.7 $1,050,000.01 - $1,100,000.00... 3,281,769 3 5.55 1,093,923 5.457 357.67 733 66.3 $1,100,000.01 - $1,150,000.00... 2,248,388 2 3.80 1,124,194 5.876 358.00 712 67.5 $1,150,000.01 - $1,200,000.00... 3,542,477 3 5.99 1,180,826 4.750 358.67 675 70.0 $1,250,000.01 - $1,300,000.00... 2,584,699 2 4.37 1,292,349 5.877 358.00 768 59.2 $1,300,000.01 - $1,350,000.00... 2,652,078 2 4.49 1,326,039 4.881 357.49 690 70.4 $1,350,000.01 - $1,400,000.00... 2,787,016 2 4.72 1,393,508 5.500 359.00 678 67.5 $1,450,000.01 - $1,500,000.00... 1,498,061 1 2.53 1,498,061 5.250 359.00 688 66.7 $1,550,000.01 - $1,600,000.00... 3,155,519 2 5.34 1,577,760 5.059 357.49 706 61.8 $1,800,000.01 - $1,850,000.00... 1,843,880 1 3.12 1,843,880 5.250 357.00 782 55.2 $1,850,000.01 - $1,900,000.00... 1,868,477 1 3.16 1,868,477 5.000 357.00 721 75.0 $2,150,000.01 - $2,200,000.00... 4,357,353 2 7.37 2,178,676 5.063 356.50 688 66.6 $2,200,000.01 - $2,250,000.00... 2,240,076 1 3.79 2,240,076 5.500 358.00 780 71.1 $2,450,000.01 - $2,500,000.00... 2,496,261 1 4.22 2,496,261 4.250 359.00 738 59.1 $2,650,000.01 - $2,700,000.00... 2,694,078 1 4.56 2,694,078 5.500 359.00 672 71.2 ----------- -- ------ ----------- ----- ------ --- ---- Total.................. $59,101,059 54 100.00 $ 1,094,464 5.299% 357.89 719 64.8% =========== == ======
As of the Cut-off Date, the average current principal balance of the Group 3 Loans will be approximately $1,097,356. -45-
MORTGAGE RATES WEIGHTE WEIGHTED D AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL MORTGAGE RATES (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------ ------- ----- ----- ------- --- -------- ----- --- 4.250.................... $ 2,496,261 1 4.22% $ 2,496,261 4.250% 359.00 738 59.1% 4.500.................... 6,092,136 6 10.31 1,015,356 4.500 358.33 650 72.5 4.625.................... 1,591,922 1 2.69 1,591,922 4.625 356.00 707 60.4 4.750.................... 733,978 1 1.24 733,978 4.750 359.00 802 53.3 5.000.................... 4,035,910 2 6.83 2,017,955 5.000 357.00 731 69.6 5.125.................... 3,505,364 3 5.93 1,168,455 5.125 356.00 670 61.9 5.250.................... 16,933,507 17 28.65 996,089 5.250 358.12 725 65.1 5.500.................... 12,535,782 9 21.21 1,392,865 5.500 358.26 720 68.2 5.625.................... 503,453 1 0.85 503,453 5.625 357.00 786 69.7 5.750.................... 1,391,323 1 2.35 1,391,323 5.750 359.00 705 70.0 5.875.................... 1,086,830 1 1.84 1,086,830 5.875 357.00 794 60.6 6.000.................... 1,337,664 2 2.26 668,832 6.000 358.00 763 60.5 6.125.................... 894,526 2 1.51 447,263 6.125 357.00 701 56.2 6.250.................... 3,420,698 3 5.79 1,140,233 6.250 357.71 726 50.3 6.375.................... 2,541,704 4 4.30 635,426 6.375 357.71 774 59.4 ----------- -- ------ ----------- ----- ------ --- ---- Total........... $59,101,059 54 100.00% $ 1,094,464 5.299% 357.89 719 64.8% =========== == ====== ____________ The weighted average mortgage rate of the Group 3 Loans was approximately 5.299% per annum. 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 - -------------------- ------- ----- ----- ------- --- -------- ----- --- July 1, 2004........... $ 4,092,426 4 6.92% $ 1,023,106 4.500% 358.00 650 72.1% August 1, 2004......... 5,229,950 4 8.85 1,307,487 4.416 359.00 713 63.7 November 1, 2006....... 560,420 1 0.95 560,420 5.125 356.00 693 65.5 December 1, 2006....... 2,591,398 2 4.38 1,295,699 5.250 357.00 782 58.1 November 1, 2008....... 2,346,946 2 3.97 1,173,473 4.786 356.00 721 54.1 December 1, 2008....... 10,499,431 10 17.77 1,049,943 5.269 357.00 738 68.3 January 1, 2009........ 9,525,856 10 16.12 952,586 5.515 358.00 742 67.1 February 1, 2009....... 14,407,660 12 24.38 1,200,638 5.372 359.00 693 66.9 November 1, 2010....... 2,189,919 1 3.71 2,189,919 5.125 356.00 636 68.2 December 1, 2010....... 2,832,186 3 4.79 944,062 6.139 357.00 755 49.4 January 1, 2011........ 4,824,867 5 8.16 964,973 6.235 358.00 752 58.2 ----------- -- ------ ----------- ----- ------ --- ---- Total......... $59,101,059 54 100.00% $ 1,094,464 5.299% 357.89 719 64.8% =========== == ====== =========== ===== ====== === ====
______________ As of the Cut-off Date, the weighted average remaining months to the next adjustment date of the Group 3 Loans will be approximately 52 months. -46-
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 - ----------- ------- ----- ----- ------- --- -------- ----- --- 2.001 - 3.000.......... $53,759,435 47 90.96% $ 1,143,818 5.255% 357.94 715 65.4% 3.001 - 4.000.......... 5,341,624 7 9.04 763,089 5.737 357.35 756 59.4 ----------- -- ------ ----------- ----- ------ --- ---- Total......... $59,101,059 54 100.00% $ 1,094,464 5.299% 357.89 719 64.8% =========== == ====== ___________ As of the Cut-off Date, the weighted average Gross Margin of the Group 3 Loans will be approximately 3.003% per annum. MAXIMUM MORTGAGE RATE WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF MAXIMUM CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL MORTGAGE RATES (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------ ------- ----- ----- ------- --- -------- ----- --- 9.001 -10.000........... $ 5,627,832 3 9.52% $ 1,875,944 4.894% 356.72 724 67.0% 10.001 - 11.000......... 46,616,298 42 78.88 1,109,912 5.203 358.07 715 66.1 11.001 - 12.000......... 6,856,929 9 11.60 761,881 6.280 357.62 740 54.5 ----------- -- ------ ----------- ----- ------ --- ---- Total.......... $59,101,059 54 100.00% $ 1,094,464 5.299% 357.89 719 64.8% =========== == ====== _________________ As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the Group 3 Loans will be approximately 10.457% per annum. INITIAL FIXED-RATE PERIOD WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL INITIAL FIXED PERIOD CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - -------------------- --------------- ----- ----- ------- --- -------- ----- --- Six Months.............. $ 9,322,375 8 15.77% $ 1,165,297 4.453% 358.56 686 67.4% Three Years............. 3,151,819 3 5.33 1,050,606 5.228 356.82 766 59.4 Five Years.............. 36,779,893 34 62.23 1,081,762 5.342 357.98 721 66.5 Seven Years............. 9,846,972 9 16.66 1,094,108 5.961 357.27 727 57.9 ----------- -- ------ ----------- ----- ------ --- ---- Total.......... $59,101,059 54 100.00% $ 1,094,464 5.299% 357.89 719 64.8% =========== == ======
-47-
INITIAL RATE CAP WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL INITIAL CAP (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------- --------------- ----- ----- ------- --- -------- ----- --- 1.000................... $ 9,322,375 8 15.77% $1,165,297 4.453% 358.56 686 67.4% 5.000................... 49,778,684 46 84.23 1,082,145 5.457 357.76 725 64.4 ---------- -- ----- --------- ----- ------ --- ---- Total.......... $59,101,059 54 100.00% $1,094,464 5.299% 357.89 719 64.8% =========== == ====== PERIODIC RATE CAP WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL SUBSEQUENT CAP (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------ --------------- ----- ----- ------- --- -------- ----- --- 1.000................... $59,101,059 54 100.00% $1,094,464 5.299% 357.89 719 64.8% ----------- -- ------ ---------- ----- ------ --- ---- Total.......... $59,101,059 54 100.00% $1,094,464 5.299% 357.89 719 64.8% =========== == ====== ORIGINAL LOAN-TO-VALUE RATIOS WEIGHTE WEIGHTED D AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF LOAN-TO- CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL VALUE RATIOS (%) BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ---------------- ------- ----- ----- ------- --- -------- ----- --- 0.01 - 50.00........... $ 2,301,319 3 3.89% $ 767,106 5.911% 356.91 729 30.8% 50.01 - 55.00........... 1,085,008 2 1.84 542,504 5.195 358.35 763 53.3 55.01 - 60.00........... 11,742,391 10 19.87 1,174,239 5.286 358.05 744 57.6 60.01 - 65.00........... 9,233,983 8 15.62 1,154,248 5.445 357.97 723 62.4 65.01 - 70.00........... 16,504,700 16 27.93 1,031,544 5.281 357.67 705 67.8 70.01 - 75.00........... 18,233,659 15 30.85 1,215,577 5.179 358.04 708 73.1 ----------- -- ------ ----------- ----- ------ --- ---- Total.......... $59,101,059 54 100.00% $ 1,094,464 5.299% 357.89 719 64.8% =========== == ======
__________ The minimum and maximum loan-to-value ratios of the Group 3 Loans at origination were approximately 25.00% and 75.00%, respectively, and the weighted average of the loan-to-value ratios of the Group 3 Loans at origination was approximately 64.85%. -48-
OCCUPANCY TYPES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL OCCUPANCY CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------- --------------- ----- ----- ------- --- -------- ----- --- Non-Owner Occupied...... $59,101,059 54 100.00% $1,094,464 5.299% 357.89 719 64.8% ----------- -- ------ ---------- ----- ------ --- ---- Total.......... $59,101,059 54 100.00% $1,094,464 5.299% 357.89 719 64.8% =========== == ====== Occupancy type is based on the representation of the borrower at the time of origination. MORTGAGE LOAN PROGRAM AND DOCUMENTATION TYPE WEIGHTE WEIGHTED WEIGHTE D AVERAGE WEIGHTED D AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL DOCUMENT TYPE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------- --------------- ----- ----- ------- --- -------- ----- --- Progressive Series Program (Full Documentation).... $59,101,059 54 100.00% $1,094,464 5.299% 357.89 719 64.8% ----------- -- ------ ---------- ----- ------ --- ---- Total.......... $59,101,059 54 100.00% $1,094,464 5.299% 357.89 719 64.8% =========== == ====== SEE "--UNDERWRITING STANDARDS" BELOW FOR A DETAILED DESCRIPTION OF THE SELLER'S LOAN PROGRAMS AND DOCUMENTATION REQUIREMENTS. RISK CATEGORIES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE CREDIT GRADE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL CATEGORY CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - -------- --------------- ----- ----- ------- --- -------- ----- --- A(1).................... $59,101,059 54 100.00% $1,094,464 5.299% 357.89 719 64.8% ----------- -- ------ ---------- ----- ------ --- ---- Total.......... $59,101,059 54 100.00% $1,094,464 5.299% 357.89 719 64.8% =========== == ======
_________________ SEE "--UNDERWRITING STANDARDS" BELOW. -49-
PROPERTY TYPES WEIGHTE WEIGHTED WEIGHTE D AVERAGE WEIGHTED D AVERAGE REMG. AVERAGE AVERAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL PROPERTY TYPE BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------- ------- ----- ----- ------- --- -------- ----- --- Multi-Family Residence.... $59,101,059 54 100.00% $1,094,464 5.299% 357.89 719 64.8% ----------- -- ------ ---------- ----- ------ --- ---- Total............ $59,101,059 54 100.00% $1,094,464 5.299% 357.89 719 64.8% =========== == ====== GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES WEIGHTE WEIGHTED WEIGHTE D AVERAGE WEIGHTED D AVERAGE REMG. AVERAGE AVERAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL STATE BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ----- ------- ----- ----- ------- --- -------- ----- --- Arizona................. $ 1,691,282 2 2.86% $ 845,641 5.500% 358.00 724 75.0% California.............. 51,587,267 46 87.29 1,121,462 5.237 357.94 713 65.7 Oregon.................. 381,291 1 0.65 381,291 6.375 358.00 788 61.6 Washington.............. 5,441,219 5 9.21 1,088,244 5.748 357.34 767 54.1 ----------- -- ------ ----------- ----- ------ --- ---- Total.......... $59,101,059 54 100.00% $ 1,094,464 5.299% 357.89 719 64.8% =========== == ====== No more than approximately 8.10% of the Group 3 Loans (by aggregate outstanding principal balance as of the Cut-off Date) are secured by mortgaged properties located in any one zip code. PREPAYMENT PENALTY WEIGHTE WEIGHTED WEIGHTE D AVERAGE WEIGHTED D AVERAGE REMG. AVERAGE AVERAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL NUMBER OF MONTHS BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ---------------- ------- ----- ----- ------- --- -------- ----- --- 36........................ $12,474,194 11 21.11% $1,134,018 4.649% 358.12 706 65.4% 60........................ 36,779,893 34 62.23 1,081,762 5.342 357.98 721 66.5 84........................ 9,846,972 9 16.66 1,094,108 5.961 357.27 727 57.9 ----------- -- ------ ---------- ----- ------ --- ---- Total..................... $59,101,059 54 100.00% $1,094,464 5.299% 357.89 719 64.8% =========== == ======
PREPAYMENT PENALTY TYPE -50-
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 - ---------------- ------- ----- ----- ------- --- -------- ----- --- 30Y LIB6M - 3/2/1......... $ 9,322,375 8 15.77% $ 1,165,297 4.453% 358.56 686 67.4% 3/27 LIB6M - 3/2/1........ 3,151,819 3 5.33 1,050,606 5.228 356.82 766 59.4 5/25 LIB6M - 5/4/3/2/1.... 36,779,893 34 62.23 1,081,762 5.342 357.98 721 66.5 7/23 LIB6M - 5/4/3/2/1/1/1............. 9,846,972 9 16.66 1,094,108 5.961 357.27 727 57.9 ----------- -- ------ ----------- ----- ------ --- ---- Total..................... $59,101,059 54 100.00% $ 1,094,464 5.299% 357.89 719 64.8% =========== == ====== MONTHS REMAINING TO SCHEDULED MATURITY WEIGHTE WEIGHTED WEIGHTE D AVERAGE WEIGHTED D AVERAGE REMG. AVERAGE AVERAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL RANGE OF MONTHS BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------- ------- ----- ----- ------- --- -------- ----- --- 301-360................... $59,101,059 54 100.00% $1,094,464 5.299% 357.89 719 64.8% ----------- -- ------ ---------- ----- ------ --- ---- Total..................... $59,101,059 54 100.00% $1,094,464 5.299% 357.89 719 64.8% =========== == ====== As of the Cut-off Date, the weighted average months remaining to scheduled maturity of the Group 3 Loans will be approximately 358 months. 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 - 6..................... $ 9,322,375 8 15.77% $1,165,297 4.453 358.56 686 67.4% 32 - 37................... 3,151,819 3 5.33 1,050,606 5.228 356.82 766 59.4 56 - 61................... 36,779,893 34 62.23 1,081,762 5.342 357.98 721 66.5 80 - 85................... 9,846,972 9 16.66 1,094,108 5.961 357.27 727 57.9 ----------- -- ------ ---------- ----- ------ --- ---- Total..................... $59,101,059 54 100.00% $1,094,464 5.299 357.89 719 64.8% =========== == ======
As of the Cut-off Date, the weighted average months to roll of the Group 3 Loans will be approximately 52 months. -51-
FIRST PAYMENT DATE WEIGHTE WEIGHTED WEIGHTE D AVERAGE WEIGHTED D AVERAGE REMG. AVERAGE AVERAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL NUMBER OF MONTHS BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ---------------- ------- ----- ----- ------- --- -------- ----- --- December 1, 2003.......... $ 5,097,286 4 8.62% $ 1,274,321 4.969% 356.00 681 61.4% January 1, 2004........... 15,923,015 15 26.94 1,061,534 5.421 357.00 748 63.3 February 1, 2004.......... 18,443,149 19 31.21 970,692 5.478 358.00 724 65.9 March 1, 2004............. 19,637,610 16 33.23 1,227,351 5.117 359.00 699 66.1 ----------- -- ------ ----------- ----- ------ --- ---- Total..................... $59,101,059 54 100.00% $ 1,094,464 5.299% 357.89 719 64.8% =========== == ====== =========== ===== ====== === ==== CREDIT SCORES WEIGHTE WEIGHTED WEIGHTE D AVERAGE WEIGHTED D 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 - ---------------------- ------- ----- ----- ------- --- -------- ----- --- 801 - 820................. $ 733,978 1 1.24% $ 733,978 4.750% 359.00 802 53.3% 781 - 800................. 6,713,538 7 11.36 959,077 5.636 357.38 789 61.3 761 - 780................. 6,544,748 7 11.07 934,964 5.643 357.74 771 67.8 741 - 760................. 5,434,212 6 9.19 905,702 5.585 357.58 747 57.0 721 - 740................. 12,013,720 8 20.33 1,501,715 5.071 357.78 731 65.3 701 - 720................. 8,642,847 9 14.62 960,316 5.431 358.09 705 61.0 681 - 700................. 4,198,776 4 7.10 1,049,694 5.361 358.09 694 70.8 661 - 680................. 4,143,685 3 7.01 1,381,228 5.487 358.83 670 68.0 641 - 660................. 8,485,636 8 14.36 1,060,705 4.741 358.40 650 69.3 621 - 640................. 2,189,919 1 3.71 2,189,919 5.125 356.00 636 68.2 ----------- -- ------ ----------- ----- ------ --- ---- Total..................... $59,101,059 54 100.00% $ 1,094,464 5.299% 357.89 719 64.8 =========== == ====== =========== ===== ====== === ==== As of the Cut-off Date, the weighted average credit score of the Group 3 Loans will be approximately 719. DEBT SERVICE COVERAGE RATIOS WEIGHTE WEIGHTED WEIGHTE D AVERAGE WEIGHTED D AVERAGE REMG. AVERAGE AVERAGE DEBT SERVICE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL COVERAGE RATIOS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------- --------------- ----- ----- ------- --- -------- ----- --- 1.14 - 1.19............. $ 1,182,469 1 2.00% $ 1,182,469 5.250% 359.00 726 60.0% 1.20 - 1.21............. 14,509,480 14 24.55 1,036,391 5.415 357.98 726 67.9 1.22 - 1.24............. 5,586,891 4 9.45 1,396,723 5.281 357.89 746 61.9
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1.25 - 1.29............. 15,317,671 13 25.92 1,178,282 5.378 357.70 701 68.1 1.30 - 1.49............. 13,724,583 14 23.22 980,327 5.406 357.70 725 65.3 1.50 - 1.99............. 7,475,962 6 12.65 1,245,994 4.675 358.46 702 59.4 Greater than 2.00....... 1,304,004 2 2.21 652,002 5.651 356.84 747 35.3 ----------- -- ------ ----------- ----- ------ --- ---- Total.......... $59,101,059 54 100.00% $ 1,094,464 5.299% 357.89 719 64.8% =========== == As of the Cut-off Date, the weighted average debt service coverage ratio of the Group 3 Loans will be approximately 1.36x. CURRENT OCCUPANCY RATES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE CURRENT NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL OCCUPANCY RATES (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------------- --------------- ----- ----- ------- --- -------- ----- --- 70.00 - 79.99........... $ 673,520 1 1.14% $ 673,520 5.500% 358.00 765 75.0% 80.00 - 89.99........... 4,336,461 3 7.34 1,445,487 5.437 358.25 719 66.0 90.00 - 94.99........... 6,609,175 5 11.18 1,321,835 5.128 358.18 736 58.9 95.00 - 97.99........... 7,329,742 5 12.4 1,465,948 5.129 357.45 724 67.1 100.00 - 100.00......... 40,152,161 40 67.94 1,003,804 5.340 357.88 714 65.1 ----------- -- ------ ----------- ----- ------ --- ---- Total................... $59,101,059 54 100.00% $ 1,094,464 5.299% 357.89 719 64.8% =========== == ====== As of the Cut-off Date, the weighted average current occupancy rate of the Group 3 Loans will be approximately 97.59%. NUMBER OF UNITS WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL NUMBER OF UNITS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------------- --------------- ----- ----- ------- --- -------- ----- --- 5 - 9................... $ 9,649,734 14 16.33% $ 689,267 5.474% 358.05 718 63.5% 10 - 14................. 9,869,824 9 16.70 1,096,647 5.389 357.85 738 62.2 15 - 24................. 21,213,044 20 35.89 1,060,652 5.279 357.86 700 67.2 25 - 49................. 14,028,316 9 23.74 1,558,702 5.338 357.78 721 66.3 50 - 99................. 4,340,140 2 7.34 2,170,070 4.675 358.15 757 57.5 ----------- -- ------ ----------- ----- ------ --- ---- Total................... $59,101,059 54 100.00% $ 1,094,464 5.299% 357.89 719 64.8% =========== == ====== YEAR BUILT WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL YEAR BUILT CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ---------- --------------- ----- ----- ------- --- -------- ----- --- < 1954.................. $ 6,306,202 5 10.67% $ 1,261,240 5.271% 356.82 725 56.1% 1954 - 1970............. 28,321,102 25 47.92 1,132,844 5.192 358.11 700 66.3
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1971 - 1975............. 5,355,971 5 9.06 1,071,194 5.387 357.59 769 62.3 1976 - 1980............. 1,994,822 2 3.38 997,411 5.411 357.65 780 56.5 1981 - 1985............. 1,297,528 1 2.20 1,297,528 6.25 358.00 742 61.3 1986 - 1990............. 12,488,189 14 21.13 892,014 5.361 357.80 733 67.1 1991 - 1995............. 3,337,246 2 5.65 1,668,623 5.452 359.00 678 70.9 ----------- -- ------ ----------- ----- ------ --- ---- Total.......... $59,101,059 54 100.00% $ 1,094,464 5.299% 357.89 719 64.8% =========== == ======
-54-
RENOVATED WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL RENOVATED CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - --------- --------------- ----- ----- ------- --- -------- ----- --- No...................... $36,131,406 35 61.13% $1,032,326 5.257% 357.63 715 66.2% Yes..................... 22,969,653 19 38.87 1,208,929 5.365 358.30 725 62.7 ---------- -- ----- --------- ----- ------ --- ---- $59,101,059 54 100.00% $1,094,464 5.299% 357.89 719 64.8% Total =========== == ====== LOAN PURPOSES WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL LOAN PURPOSE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV - ------------ --------------- ----- ----- ------- --- -------- ----- --- Purchase................ $28,698,614 26 48.56% $ 1,103,793 5.393% 358.04 731 66.4% Refinance - Cash Out.... 24,604,817 23 41.63 1,069,775 5.154 357.71 710 64.2 Refinance - No Cash Out..................... 5,797,628 5 9.81 1,159,526 5.445 357.95 695 59.6 ----------- -- ------ ----------- ----- ------ --- ---- Total.......... $59,101,059 54 100.00% $ 1,094,464 5.299% 357.89 719 64.8% =========== == ======
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. -55- -----END PRIVACY-ENHANCED MESSAGE-----