-----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, IX9GbemIf9teWEZgmMIBkBcHOy1HKy2g1Z7NmE/deekz5vG8TuOP9XLCJpwjt7I7 FIx/egvH2U7o5y7Ztk91Fg== 0000882377-02-000197.txt : 20020415 0000882377-02-000197.hdr.sgml : 20020415 ACCESSION NUMBER: 0000882377-02-000197 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20020227 ITEM INFORMATION: Acquisition or disposition of assets ITEM INFORMATION: Other events ITEM INFORMATION: Financial statements and exhibits FILED AS OF DATE: 20020326 FILER: COMPANY DATA: COMPANY CONFORMED NAME: IMH ASSETS CORP CENTRAL INDEX KEY: 0001017447 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: 333-06637 FILM NUMBER: 02586116 BUSINESS ADDRESS: STREET 1: 1401 DOVE STREET STREET 2: SUITE 200 CITY: NEWPORT BEACH STATE: CA ZIP: 92660 BUSINESS PHONE: 9494753600 MAIL ADDRESS: STREET 1: 20371 IRVINE AVENUE CITY: SANTA ANA HEIGHTS STATE: CA ZIP: 92707 8-K 1 d43641.txt IMH ASSETS CORP - -------------------------------------------------------------------------------- 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) February 27, 2002 IMH ASSETS CORP. (as depositor under an Indenture, dated as of February 27, 2002, providing for, inter alia, the issuance of Collateralized Asset-Backed Bonds, Series 2002-1) IMH Assets Corp. - -------------------------------------------------------------------------------- (Exact name of registrant as specified in its charter) CALIFORNIA 333-69178 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 February 27, 2002, a single series of bonds, entitled IMH Assets Corp., Collateralized Asset-Backed Bonds, Series 2002-1(the "Bonds"), were issued pursuant to an indenture, dated as of February 27, 2002 (the "Agreement"), between Impac CMB Trust Series 2002-1, a Delaware business trust, as Issuer (the "Issuer"), and Bankers Trust Company of California, N.A., a national banking association, as Indenture Trustee (the "Indenture Trustee"). On March 8, 2002, following the closing of the initial issuance of the Bonds, the Indenture Trustee purchased from the Company certain Subsequent Mortgage Loans, as defined in the Agreement, with an aggregate principal balance equal to approximately $45,572,034 with funds on deposit in the pre-funding account (the "Pre-Funding Account") established pursuant to the Agreement at a purchase price equal to the principal balance thereof, which Subsequent Mortgage Loans were conveyed to the Indenture Trustee pursuant to a Subsequent Transfer Instrument, dated March 8, 2002, between the Company and the Indenture Trustee (the "Instrument"). Attached to the Instrument is the Mortgage Loan Schedule listing the Subsequent Mortgage Loans that are the subject of such Instrument. Item 5. Other Events. ------------ Description of the Mortgage Pool The Bonds, issued pursuant to the Agreement, evidence in the aggregate the entire beneficial ownership interest in a trust fund (the "Trust Fund"), consisting primarily of a segregated pool (the "Mortgage Pool") of conventional, one- to four- family, adjustable-rate first lien and fixed-rate second lien mortgage loans having original terms to maturity of not greater than 30 years (the "Mortgage Loans"). As of the Subsequent Transfer Date, the Trust Fund primarily consisted of (i) the Mortgage Pool, which consisted of initial Mortgage Loans having an aggregate principal balance of approximately $454,423,916 as of February 1, 2002 and (ii) the Pre-Funding Account, which contained approximately $45,576,084. As more fully described above, on March 8, 2002, the Company purchased the Subsequent Mortgage Loans with the funds on deposit in the Pre-Funding Account. The tables attached as an exhibit hereto describe certain characteristics of the Mortgage Pool as of February 1, 2002, with respect to the Mortgage Loans, including the Subsequent Mortgage Loans. Item 7. Financial Statements, Pro Forma Financial Information and Exhibits. --------------------------------------------------------- (a) Not applicable (b) Not applicable (c) Exhibits:
EXHIBIT NO. DESCRIPTION ----------- ----------- 4.2 Subsequent Transfer Instrument, dated as of March 8, 2002 between IMH Assets Corp. as Company and Bankers Trust Company of California, N.A., as Indenture Trustee. 99.1 Characteristics of the Mortgage Pool as of February 1, 2002, relating to IMH Assets Corp., Collateralized Asset-Backed Bonds, Series 2002-1.
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: March 22, 2002 EXHIBIT INDEX Exhibit Number Description - -------------- ----------- 4.2 Subsequent Transfer Instrument, dated March 8, 2002, between IMH Assets Corp., as company, and Bankers Trust Company of California, N.A. as indenture trustee of the IMH Assets Corp., Collateralized Asset- Backed Bonds, Series 2002-1, as purchaser. 99.1 Characteristics of the Mortgage Pool as of February 1, 2002, relating to IMH Assets Corp., Collateralized Asset-Backed, Series 2002-1. EX-4.2 3 d43641_ex4-2.txt SUBSEQUENT TRANSFER INSTRUMENT Exhibit 4.2 ----------- SUBSEQUENT TRANSFER INSTRUMENT Pursuant to this Subsequent Transfer Instrument, dated March 8, 2002 (the "Instrument"), between IMH Assets Corp. as Company (the "Company"), and Bankers Trust Company of California, N.A. as indenture trustee of the IMH Assets Corp., Collateralized Asset-Backed Bonds, Series 2002-1, as purchaser (the "Indenture Trustee"), and pursuant to the Indenture, dated as of February 27, 2002 (the "Indenture"), between Impac CMB Trust Series 2002-1, as issuer (the "Issuer") and the Indenture Trustee as indenture trustee, the Company and the Indenture Trustee agree to the sale by the Company and the purchase by the Indenture Trustee in trust, on behalf of the Trust, of the Subsequent Mortgage Loans on the attached Schedule 1 of Mortgage Loans (the "Subsequent Mortgage Loans"). Capitalized terms used but not otherwise defined herein shall have the meanings set forth in the Indenture. Section 1. Conveyance of Subsequent Mortgage Loans. --------------------------------- (a) The Company does hereby sell, transfer, assign, set over and convey to the Indenture Trustee in trust, on behalf of the Trust, without recourse, all of its right, title and interest in and to the Subsequent Mortgage Loans, and including all amounts due on the Subsequent Mortgage Loans after the related Subsequent Cut-off Date, and all items with respect to the Subsequent Mortgage Loans to be delivered pursuant to Section 2.05 of the Indenture; provided, however that the Company reserves and retains all right, title and interest in and to amounts due on the Subsequent Mortgage Loans on or prior to the related Subsequent Cut-off Date. The Company, contemporaneously with the delivery of this Agreement, has delivered or caused to be delivered to the Indenture Trustee each item set forth in Section 2.05 of the Indenture. The transfer to the Indenture Trustee by the Company of the Subsequent Mortgage Loans identified on the Mortgage Loan Schedule shall be absolute and is intended by the Company, the Master Servicer, the Indenture Trustee and the Bondholders to constitute and to be treated as a sale by the Company to the Trust Fund. (b) The Company, concurrently with the execution and delivery hereof, does hereby transfer, assign, set over and otherwise convey to the Indenture Trustee without recourse for the benefit of the Bondholders all the right, title and interest of the Company, in, to and under the Subsequent Mortgage Loan Sale and Contribution Agreement, dated March 8, 2002, between the Company, as purchaser, and Impac Mortgage Holdings, Inc., as seller (the "Purchase Agreement"). (c) Additional terms of the sale are set forth on Attachment A hereto. Section 2. Representations and Warranties; Conditions Precedent. ------------------------------- (a) The Company hereby confirms that each of the conditions precedent and the representations and warranties set forth in Section 2.05 of the Indenture are satisfied as of the date hereof. (b) All terms and conditions of the Indenture are hereby ratified and confirmed; provided, however, that in the event of any conflict, the provisions of this Instrument shall control over the conflicting provisions of the Indenture. Section 3. Recordation of Instrument. ------------------------- To the extent permitted by applicable law, this Instrument, or a memorandum thereof if permitted under applicable law, is subject to recordation in all appropriate public offices for real property records in all of the counties or other comparable jurisdictions in which any or all of the properties subject to the Mortgages are situated, and in any other appropriate public recording office or elsewhere, such recordation to be effected by the Master Servicer at the Bondholders' expense on direction of the related Bondholders, but only when accompanied by an Opinion of Counsel to the effect that such recordation materially and beneficially affects the interests of the Bondholders or is necessary for the administration or servicing of the Subsequent Mortgage Loans. Section 4. Governing Law. ------------- This Instrument shall be construed in accordance with the laws of the State of New York and the obligations, rights and remedies of the parties hereunder shall be determined in accordance with such laws, without giving effect to principles of conflicts of law. Section 5. Counterparts. ------------ This Instrument may be executed in one or more counterparts and by the different parties hereto on separate counterparts, each of which, when so executed, shall be deemed to be an original; such counterparts, together, shall constitute one and the same instrument. Section 6. Successors and Assigns. ---------------------- This Instrument shall inure to the benefit of and be binding upon the Company and the Indenture Trustee and their respective successors and assigns. IMH ASSETS CORP. By: /s/ Richard J. Johnson ---------------------------------- Name: Richard J. Johnson Title: Chief Financial Officer BANKERS TRUST COMPANY OF CALIFORNIA, N.A., not in its individual capacity but solely as Indenture Trustee for the Trust. By: /s/ James Noriega ------------------------------------ Name: James Noriega Title: Associate EX-99.1 4 d43641_ex99-1.txt CHARACTERISTICS OF THE MORTGAGE POOL Exhibit 99.1 ------------ THE MORTGAGE POOL GENERAL References to percentages of the mortgage loans unless otherwise noted are calculated based on the aggregate principal balance of the mortgage loans as of the later of (1) the first day of the month in which the related mortgage loan was deposited with the indenture trustee or (2) the origination date of such mortgage loan (each a "Cut-off Date"). The mortgage pool will consist of approximately 2,163 conventional one- to four-family, adjustable-rate and fixed-rate, fully-amortizing and balloon payment mortgage loans secured by first and second liens on mortgaged properties and having an aggregate principal balance as of the Cut-off Date of approximately $499,995,950, after application of scheduled payments due on or before the Cut-off Date whether or not received. Approximately 98.39% of the mortgage loans have adjustable rates and are secured by first liens on the related mortgaged property. Approximately 1.61% of the mortgage loans have fixed rates and are secured by second liens on the related mortgaged property. The mortgage loans will have original terms to maturity of not greater than 30 years. MORTGAGE RATE ADJUSTMENT The mortgage rate on each adjustable-rate mortgage loan 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 plus (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 adjustable-rate mortgage loans will adjust based on an index equal to Six-Month LIBOR. In the event that Six-Month LIBOR 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. A majority of the 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. PREPAYMENT CHARGES Approximately 60.51% of the mortgage loans provide for payment by the mortgagor of a prepayment charge in limited circumstances on prepayments. Generally, these mortgage loans provide for payment of a prepayment charge on 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 initial mortgage loan provides for payment of a prepayment charge on partial or full prepayments made more than five years from the date of origination of the initial mortgage loan. The amount of the prepayment charge is as provided in the related mortgage note, and the prepayment charge will generally apply if, in any twelve-month period during the first year, five years or other period as provided in the related mortgage note from the date of origination of the initial mortgage loan, the mortgagor prepays an aggregate amount exceeding 20% of the original principal balance of the initial mortgage loan. The amount of the prepayment charge will generally be equal to 6 months' advance interest calculated on the basis of the mortgage rate in effect at the time of the prepayment on the amount prepaid in excess of 20% of the original principal balance of the initial mortgage loan. 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 distribution on the Bonds. PRIMARY MORTGAGE INSURANCE AND THE RADIAN LENDER-PAID PMI POLICY Substantially all of the adjustable-rate initial 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) a Radian Lender-Paid PMI Policy. None of the fixed-rate initial mortgage loans are so insured. Each Primary Insurance Policy will insure against default under each insured mortgage note as follows: (A) for which the outstanding principal balance at origination of such mortgage loan is greater than or equal to 80.01% and up to and including 90.00% of the lesser of the Appraised Value and the sales price, such mortgage loan is covered by a Primary Insurance Policy in an amount equal to at least 20.00% 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 22.00% of the Allowable Claim. Each Radian Lender-Paid PMI Policy will insure against default under each insured mortgage note as follows: (A) for which the outstanding principal balance at origination of such mortgage loan is greater than or equal to 80.01% and up to and including 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 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 Policies, the premium will be payable by the Master Servicer out of interest collections on the mortgage loans at a rate equal to the related Radian PMI Rate. The Radian PMI Rates will range from 0.50% per annum to 1.34% per annum of the Stated Principal Balance of the related Radian PMI Insured Loan. Each mortgage loan is required to be covered by a standard hazard insurance policy. SEE "PRIMARY MORTGAGE INSURANCE, HAZARD INSURANCE; CLAIMS THEREUNDER -- HAZARD INSURANCE POLICIES" IN THE PROSPECTUS. MORTGAGE LOAN CHARACTERISTICS The average principal balance of the mortgage loans at origination was approximately $231,702. No mortgage loan had a principal balance at origination of greater than approximately $750,000 or less than approximately $17,200. The average principal balance of the mortgage loans as of the Cut-off Date was approximately $231,159. No mortgage loan had a principal balance as of the Cut-off Date of greater than approximately $750,000 or less than approximately $14,087. As of the Cut-off Date, the mortgage loans had mortgage rates ranging from approximately 2.875% per annum to approximately 16.750% per annum and the weighted average mortgage rate was approximately 6.664% per annum. The weighted average remaining term to stated maturity of the mortgage loans was approximately 356 months as of the Cut-off Date. None of the mortgage loans will have a first Due Date prior to February 1, 1997 or after April 1, 2002, or will have a remaining term to maturity of less than 64 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any mortgage loan is March 1, 2032. Approximately 87.46% of the fixed-rate mortgage loans (by aggregate outstanding principal balance as of the Cut-off Date), are High CLTV Loans. 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 combined loan-to-value ratio of a mortgage loan secured by a second lien is equal to the ratio, expressed as a percentage, of the principal amount of the loan at origination, plus the outstanding principal balance of the related senior lien, to the appraised value of the related mortgaged property at the time of origination. The weighted average of the loan-to-value ratios and combined loan-to-value ratios, as applicable, at origination of the mortgage loans was approximately 83.40%. No loan-to-value ratio or combined loan-to-value ratio, as applicable, at origination of any mortgage loan was greater than approximately 125.00% or less than approximately 20.06%. 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 mortgage loans were recorded in the name of MERS. For additional information regarding the recording of mortgages in the name of MERS see "Yield on the Bonds - -- Yield Sensitivity of the Class B Bonds" in this prospectus supplement. Some of the High CLTV Loans will include provisions allowing the related borrower to substitute the related mortgaged property. The Servicing Agreement provides that this substitution will only be permitted if the following requirements are met: o the combined loan-to-value ratio of the High CLTV Loan after such substitution must be less than or equal to the combined loan-to-value ratio prior to such substitution, o the loan-to-value ratio of the obligation secured by a first lien on the new mortgaged property must be less than or equal to the loan-to-value ratio of the obligation secured by a first lien on the released mortgaged property at the time such High CLTV Loan was originated, and o both the released and the new mortgaged property must be a single-family owner occupied property. In addition, the Servicing Agreement will provide that with respect to any High CLTV Loan the Master Servicer may allow the refinancing of a senior lien on the related mortgaged property, provided that certain requirements are met, including, except under certain limited circumstances, that the resulting combined loan-to-value ratio of such High CLTV Loan is no higher than the combined loan-to-value ratio prior to such refinancing and the interest rate on the refinancing senior loan is no higher than the interest rate on the refinanced senior loan. One mortgage loan, representing approximately 0.01% of the mortgage pool (by aggregate outstanding principal balance as of the Cut-off Date), is a balloon loan. The amount of the balloon payment on this mortgage loan 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. This balloon loan has a remaining term to maturity of approximately 119 months. None of the mortgage loans are buydown mortgage loans. A substantial majority and possibly all of the fixed-rate mortgage loans are subject to the Home Ownership and Equity Protection Act of 1994 or any comparable state law. Three of the adjustable-rate mortgage loans have reached their first adjustment date as of the Closing Date. Approximately 60.51% of the mortgage loans provide for prepayment charges. Approximately 34.44% and 15.66% of the mortgage loans are covered by a Primary Insurance Policy and the Radian Lender-Paid PMI Policy, respectively. For the mortgage loans, the Radian PMI Rates have a weighted average of approximately 0.83% per annum Set forth below is a description of certain additional characteristics of the mortgage loans as of the Cut-off Date, except as otherwise indicated. All percentages of the mortgage loans are approximate percentages by aggregate principal balance as of the Cut-off Date, except as otherwise indicated. Dollar amounts and percentages may not add up to totals due to rounding.
PRINCIPAL BALANCES AT ORIGINATION PERCENTAGE OF ORIGINAL CUT-OFF DATE MORTGAGE LOAN NUMBER OF AGGREGATE UNPAID AGGREGATE PRINCIPAL BALANCES ($) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE ------------------- -------------- ----------------- ------------------ 0.01 - 50,000.01...................... 79 $ 3,282,066 0.66% 50,000.01 - 100,000.00...................... 211 15,426,994 3.09 100,000.01 - 150,000.00...................... 311 39,715,423 7.94 150,000.01 - 200,000.00...................... 397 69,799,415 13.96 200,000.01 - 250,000.00...................... 339 76,124,017 15.22 250,000.01 - 300,000.00...................... 269 73,832,203 14.77 300,000.01 - 350,000.00...................... 208 67,319,996 13.46 350,000.01 - 400,000.00...................... 166 62,669,404 12.53 400,000.01 - 450,000.00...................... 64 27,359,367 5.47 450,000.01 - 500,000.00...................... 59 28,264,753 5.65 500,000.01 - 550,000.00...................... 16 8,371,707 1.67 550,000.01 - 600,000.00...................... 15 8,619,438 1.72 600,000.01 - 650,000.00...................... 18 11,490,984 2.30 650,000.01 or greater........................ 11 7,720,182 1.54 ----- ------------ ------ Total................................... 2,163 $499,995,950 100.00% ===== ============ ======
The average principal balance of the mortgage loans at origination was approximately $231,702.
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE PERCENTAGE OF CUT-OFF DATE CURRENT MORTGAGE LOAN NUMBER OF AGGREGATE UNPAID AGGREGATE PRINCIPAL BALANCES ($) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE ------------------- -------------- ----------------- ------------------ 0.01 - 50,000.00...................... 113 $ 4,886,160 0.98% 50,000.01 - 100,000.00...................... 177 13,822,901 2.76 100,000.01 - 150,000.00...................... 311 39,715,423 7.94 150,000.01 - 200,000.00...................... 397 69,799,415 13.96 200,000.01 - 250,000.00...................... 339 76,124,017 15.22 250,000.01 - 300,000.00...................... 269 73,832,203 14.77 300,000.01 - 350,000.00...................... 208 67,319,996 13.46 350,000.01 - 400,000.00...................... 166 62,669,404 12.53 400,000.01 - 450,000.00...................... 64 27,359,367 5.47 450,000.01 - 500,000.00...................... 59 28,264,753 5.65 500,000.01 - 550,000.00...................... 16 8,371,707 1.67 550,000.01 - 600,000.00...................... 15 8,619,438 1.72 600,000.01 - 650,000.00...................... 18 11,490,984 2.30 650,000.01 or greater........................ 11 7,720,182 1.54 ----- ------------ ------ Total................................... 2,163 $499,995,950 100.00% ===== ============ ======
As of the Cut-off Date, the average current principal balance of the mortgage loans will be approximately $231,159.
MORTGAGE RATES PERCENTAGE OF CUT-OFF DATE NUMBER OF AGGREGATE UNPAID AGGREGATE MORTGAGE RATES(%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE -------------- -------------- ----------------- ----------------- 2.875 - 2.999....................... 1 $ 274,518 0.05% 3.000 - 3.499....................... 7 2,575,800 0.52 3.500 - 3.999....................... 33 11,857,437 2.37 4.000 - 4.499....................... 51 14,706,021 2.94 4.500 - 4.999....................... 125 35,290,529 7.06 5.000 - 5.499....................... 114 32,456,072 6.49 5.500 - 5.999....................... 219 58,996,204 11.8 6.000 - 6.499....................... 227 59,584,064 11.92 6.500 - 6.999....................... 370 93,804,229 18.76 7.000 - 7.499....................... 250 59,105,322 11.82 7.500 - 7.999....................... 265 58,566,168 11.71 8.000 - 8.499....................... 134 26,263,646 5.25 8.500 - 8.999....................... 119 23,764,983 4.75 9.000 - 9.499....................... 41 7,580,017 1.52 9.500 - 9.999....................... 24 4,338,114 0.87 10.000 - 10.499..................... 9 1,546,405 0.31 10.500 - 10.999..................... 5 779,718 0.16 11.000 - 11.499..................... 1 93,750 0.02 11.500 - 11.999..................... 12 859,363 0.17 12.000 - 12.499..................... 2 96,656 0.02 12.500 - 12.999..................... 30 1,418,678 0.28 13.000 - 13.499..................... 16 776,818 0.16 13.500 - 13.999..................... 46 2,307,515 0.46 14.000 - 14.499..................... 15 658,324 0.13 14.500 - 14.999..................... 31 1,565,435 0.31 15.000 - 15.499..................... 3 165,999 0.03 15.500 - 15.999..................... 8 326,878 0.07 16.000 - 16.499..................... 4 180,172 0.04 16.500 - 16.999..................... 1 57,116 0.01 ----- ------------ ------ Total.......................... 2,163 $499,995,950 100.00% ===== ============ ======
The weighted average mortgage rate of the mortgage loans was approximately 6.664% per annum.
NEXT ADJUSTMENT DATE PERCENTAGE OF CUT-OFF DATE NUMBER OF AGGREGATE UNPAID AGGREGATE NEXT ADJUSTMENT DATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE -------------------- -------------- ----------------- ----------------- Fixed-Rate Loans (N/A).......... 166 $ 8,048,102 1.61% March 1, 2002................... 1 111,687 0.02 April 1, 2002................... 14 3,362,565 0.67 May 1, 2002..................... 30 7,916,851 1.58 June 1, 2002.................... 100 25,334,237 5.07 July 1, 2002.................... 415 108,078,219 21.62 August 1, 2002.................. 534 140,591,818 28.12 September 1, 2002............... 145 37,703,827 7.54 April 1, 2003................... 1 162,778 0.03 May 1, 2003..................... 2 391,836 0.08 June 1, 2003.................... 2 352,742 0.07 July 1, 2003.................... 1 457,683 0.09 August 1, 2003.................. 1 547,119 0.11 September 1, 2003............... 8 2,317,533 0.46 October 1, 2003................. 10 2,831,856 0.57 November 1, 2003................ 37 7,541,529 1.51 December 1, 2003................ 83 18,764,530 3.75 January 1, 2004................. 233 54,511,158 10.90 February 1, 2004................ 266 55,684,764 11.14 March 1, 2004................... 68 14,398,266 2.88 April 1, 2004................... 2 390,429 0.08 May 1, 2004..................... 1 161,837 0.03 June 1, 2004.................... 1 495,152 0.10 July 1, 2004.................... 1 143,275 0.03 August 1, 2004.................. 1 344,933 0.07 September 1, 2004............... 1 273,775 0.05 October 1, 2004................. 1 342,995 0.07 November 1, 2004................ 5 672,184 0.13 December 1, 2004................ 4 949,797 0.19 January 1, 2005................. 13 2,780,119 0.56 February 1, 2005................ 8 2,455,641 0.49 March 1, 2005................... 4 848,900 0.17 January 1, 2007................. 3 703,814 0.14 February 1, 2007................ 1 324,000 0.06 ----- ------------ ------ Total........................ 2,163 $499,995,950 100.00% ===== ============ ======
As of the Cut-off Date, the weighted average remaining months to the next adjustment date of the adjustable-rate mortgage loans will be approximately 356 months.
GROSS MARGIN PERCENTAGE OF CUT-OFF DATE NUMBER OF AGGREGATE UNPAID AGGREGATE GROSS MARGINS (%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE ------------- -------------- ----------------- ------------------ Fixed-Rate Loans (N/A)...... 166 $ 8,048,102 1.61% 1.999 or Less............... 3 1,122,651 0.22 2.000 - 2.249............... 33 12,041,115 2.41 2.250 - 2.499............... 24 6,143,396 1.23 2.500 - 2.749............... 464 122,259,227 24.45 2.750 - 2.999............... 610 149,785,555 29.96 3.000 - 3.249............... 395 94,373,106 18.87 3.250 - 3.499............... 236 56,595,233 11.32 3.500 - 3.749............... 72 16,802,376 3.36 3.750 - 3.999............... 52 11,538,458 2.31 4.000 - 4.249............... 39 7,998,497 1.60 4.250 - 4.499............... 16 3,058,253 0.61 4.500 - 4.749............... 18 3,447,092 0.69 4.750 - 4.999............... 14 2,884,485 0.58 5.000 - 5.249............... 12 2,345,591 0.47 5.250 - 5.499............... 3 512,433 0.10 5.500 - 5.749............... 1 200,000 0.04 5.750 - 5.999............... 2 340,461 0.07 6.250 - 6.499............... 2 338,081 0.07 6.500 - 6.749............... 1 161,837 0.03 ----- ------------- ------ Total....................... 2,163 $499,995,950 100.00% ===== ============= ======
As of the Cut-off Date, the weighted average Gross Margin of the adjustable-rate mortgage loans will be approximately 2.907% per annum.
MAXIMUM MORTGAGE RATE PERCENTAGE OF CUT-OFF DATE NUMBER OF AGGREGATE UNPAID AGGREGATE MAXIMUM MORTGAGE RATE(%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE - --------------------- -------------- ----------------- ----------------- Fixed-Rate Loans (N/A).. 166 $ 8,048,102 1.61% 10.001 - 10.500 ........ 1 331,532 0.07 11.001 - 11.500 ........ 3 1,339,018 0.27 11.501 - 12.000......... 11 3,226,739 0.65 12.001 - 12.500......... 877 238,286,525 47.66 12.501 - 13.000......... 343 85,621,834 17.12 13.001 - 13.500......... 249 57,552,229 11.51 13.501 - 14.000......... 214 48,806,138 9.76 14.001 - 14.500......... 121 23,302,847 4.66 14.501 - 15.000......... 92 17,882,910 3.58 15.001 - 15.500......... 48 9,063,397 1.81 15.501 - 16.000......... 20 3,347,924 0.67 16.001 - 16.500......... 10 1,867,248 0.37 16.501 - 17.000......... 3 537,662 0.11 17.001 - 17.500......... 3 598,128 0.12 17.501 - 18.000......... 1 89,967 0.02 18.001 - 18.500......... 1 93,750 0.02 ----- ------------ ------ Total................ 2,163 $499,995,950 100.00% ===== ============ ======
As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the adjustable-rate mortgage loans will be approximately 13.039% per annum. INITIAL FIXED-RATE PERIOD PERCENTAGE OF CUT-OFF DATE NUMBER OF AGGREGATE UNPAID AGGREGATE INITIAL FIXED-RATE PERIOD MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE - ------------------------- -------------- ----------------- ----------------- Fixed-Rate Loans (N/A) .. 166 $ 8,048,102 1.61% Six Months............... 1,239 323,099,204 64.62 Two Years................ 712 157,976,389 31.60 Three Years.............. 42 9,844,441 1.97 Five Years............... 4 1,027,814 0.21 ----- ------------ ------ Total.................... 2,163 $499,995,950 100.00% ===== ============ ====== INITIAL RATE CAP PERCENTAGE OF CUT-OFF DATE NUMBER OF AGGREGATE UNPAID AGGREGATE INITIAL RATE CAP (%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE ----------------- -------------- ----------------- ----------------- Fixed-Rate Loans (N/A) .. 166 $ 8,048,102 1.61% 1.00..................... 1,215 318,440,070 63.69 1.50..................... 24 4,683,970 0.94 3.00..................... 758 168,823,808 33.77 ----- ------------- ------ Total............... 2,163 $499,995,950 100.00% ===== ============ ====== PERIODIC RATE CAP PERCENTAGE OF CUT-OFF DATE NUMBER OF AGGREGATE UNPAID AGGREGATE PERIODIC RATE CAP (%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE - ------------------ -------------- ----------------- ----------------- Fixed-Rate Loans (N/A)... 166 $ 8,048,102 1.61% 1.00..................... 1,963 485,468,697 97.09 1.50..................... 31 5,739,717 1.15 2.00..................... 3 739,434 0.15 ----- ------------ ------ Total............... 2,163 $499,995,950 100.00% ===== ============ ======
ORIGINAL LOAN-TO-VALUE RATIOS (1) PERCENTAGE OF NUMBER OF AGGREGATE UNPAID CUT-OFF DATE AGGREGATE ORIGINAL LOAN-TO-VALUE RATIOS (%)(1) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE - ----------------------------------- -------------- ----------------- ----------------- 20.01 - 25.00....................... 4 $ 999,544 0.20% 25.01 - 30.00....................... 2 259,707 0.05 30.01 - 35.00....................... 2 280,000 0.06 35.01 - 40.00....................... 7 2,203,287 0.44 40.01 - 45.00....................... 12 3,318,290 0.66 45.01 - 50.00....................... 12 4,046,096 0.81 50.01 - 55.00....................... 17 4,982,517 1.00 55.01 - 60.00....................... 32 9,509,743 1.90 60.01 - 65.00....................... 35 9,844,990 1.97 65.01 - 70.00....................... 136 41,812,533 8.36 70.01 - 75.00....................... 88 24,340,220 4.87 75.01 - 80.00....................... 558 139,591,712 27.92 80.01 - 85.00....................... 61 14,230,619 2.85 85.01 - 90.00....................... 510 118,697,620 23.74 90.01 - 95.00....................... 489 110,132,335 22.03 95.01 - 100.00...................... 53 8,707,773 1.74 100.01 -105.00...................... 3 144,586 0.03 105.01 -110.00...................... 9 431,821 0.09 110.01 -115.00...................... 11 566,442 0.11 115.01 -120.00...................... 30 1,385,558 0.28 120.01 -125.00...................... 92 4,510,554 0.90 ----- ------------ ------ Total........................... 2,163 $499,995,950 100.00% ===== ============ ======
The minimum and maximum loan-to-value ratios of the mortgage loans at origination were approximately 20.06% and 125.00%, respectively, and the weighted average of the loan-to-value ratios of the mortgage loans at origination was approximately 83.40%. - ------------------------ (1) With respect to the fixed-rate mortgage loans, the combined loan-to-value ratio. OCCUPANCY TYPES PERCENTAGE OF CUT-OFF DATE NUMBER OF AGGREGATE UNPAID AGGREGATE OCCUPANCY TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE - -------------- --------------- ----------------- ----------------- Owner Occupied......... 1,966 $458,483,950 91.70% Non-Owner Occupied..... 154 30,133,689 6.03 Second Home............ 43 11,378,311 2.28 ----- ------------ ------ Total............. 2,163 $499,995,950 100.00% ===== ============ ====== Occupancy type is based on the representation of the borrower at the time of origination.
MORTGAGE LOAN PROGRAM AND DOCUMENTATION TYPE PERCENTAGE OF CUT-OFF DATE NUMBER OF AGGREGATE UNPAID AGGREGATE LOAN PROGRAM AND DOCUMENTATION TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE - ----------------------------------- -------------- ----------------- ----------------- Progressive Series Program (Full Documentation)......................... 317 $ 53,406,972 10.68% Progressive Series Program (Lite Income/Stated Asset Documentation)..... 1 581,476 0.12 Progressive Series Program (Limited (Stated) Documentation)................ 208 48,177,057 9.64 Progressive Series Program (No Income/No Asset Documentation)......... 30 11,030,432 2.21 Progressive Express(TM)No Doc Program (No Documentation)..................... 156 33,429,836 6.69 Progressive Express(TM)Program (Verified Assets)...................... 664 175,873,652 35.18 Progressive Express(TM)Program (Non Verified Assets)....................... 786 177,332,282 35.47 Progressive Express(TM)Program (Self- Employed).............................. 1 164,243 0.03 ----- ------------ ------ Total............................. 2,163 $499,995,950 100.00% ===== ============ ======
SEE "-- UNDERWRITING STANDARDS" BELOW FOR A DETAILED DESCRIPTION OF THE SELLER'S LOAN PROGRAMS AND DOCUMENTATION REQUIREMENTS.
RISK CATEGORIES PERCENTAGE OF CUT-OFF DATE NUMBER OF AGGREGATE UNPAID AGGREGATE CREDIT GRADE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE ------------ -------------- ----------------- ----------------- A+(1).......................... 185 $ 51,354,255 10.27% A(1)........................... 325 55,512,647 11.10 A-(1).......................... 40 5,546,455 1.11 B(1)........................... 5 643,994 0.13 C(1)........................... 1 174,421 0.03 CX(1).......................... 1 163,661 0.03 Progressive Express(TM)I(2).... 733 180,923,695 36.19 Progressive Express(TM)II(2)... 730 173,324,280 34.67 Progressive Express(TM)III(2).. 75 17,821,355 3.56 Progressive Express(TM)IV(2)... 52 11,449,951 2.29 Progressive Express(TM)V(2).... 12 2,111,163 0.42 Progressive Express(TM)VI(2)... 4 970,072 0.19 ----- ------------ ------ Total.................... 2,163 $499,995,950 100.00% ===== ============ ======
- ----------------- (1) All of these mortgage loans were reviewed and placed into risk categories based on the credit standards of the Progressive Series Program. Credit grades of A+, A, A-, B, C and CX correspond to Progressive Series I+, I and II, III and III+, IV, V, and VI, respectively. All of the mortgage loans originated pursuant to the Express Priority Refi(TM) Program have been placed in Progressive Express(TM) Programs II and III. SEE "-- UNDERWRITING STANDARDS." (2) These mortgage loans were originated under the Seller's Progressive Express(TM) Program. The underwriting foR these mortgage loans is generally based on the borrower's "FICO" score and therefore these mortgage loans do not correspond to the alphabetical risk categories listed above. SEE "-- UNDERWRITING STANDARDS" BELOW FOR A DESCRIPTION OF THE SELLER'S RISK CATEGORIES. PROPERTY TYPES PERCENTAGE OF NUMBER OF CUT-OFF DATE MORTGAGE AGGREGATE UNPAID AGGREGATE PROPERTY TYPE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE ------------- ----- ----------------- ----------------- Single-Family............. 1,514 $345,136,873 69.03% Planned Unit Development.. 342 94,087,840 18.82 Condominium............... 250 47,771,008 9.55 Two-Family................ 25 5,452,731 1.09 Four-Family............... 13 3,363,643 0.67 Hi-Rise Condo............. 9 2,385,389 0.48 Three-Family.............. 9 1,710,170 0.34 Leaseholds................ 1 88,295 0.02 ----- ------------ ------ Total.................. 2,163 $499,995,950 100.00% ===== ============ ======
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES PERCENTAGE OF CUT-OFF DATE NUMBER OF AGGREGATE UNPAID AGGREGATE STATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE ----- -------------- ----------------- ----------------- California.............................. 1,243 $321,604,092 64.32% Florida................................. 139 25,287,524 5.06 Illinois................................ 87 18,262,961 3.65 Other (less than 3% in any one state)... 694 134,841,373 26.97 ----- ------------ ------ Total................................ 2,163 $499,995,950 100.00% ===== ============ ======
No more than approximately 1.22% of the mortgage loans (by aggregate outstanding principal balance as of the Cut-off Date) will be secured by mortgaged properties located in any one zip code. LOAN PURPOSES PERCENTAGE OF CUT-OFF DATE NUMBER OF AGGREGATE UNPAID AGGREGATE LOAN PURPOSE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE ------------ -------------- ----------------- ----------------- Purchase................... 1,230 $289,962,504 57.99% Cash-Out Refinance......... 712 152,482,448 30.50 Rate and Term Refinance.... 221 57,550,998 11.51 ----- ------------ ------ Total................... 2,163 $499,995,950 100.00% ===== ============ ====== In general, in the case of a mortgage loan made for "rate and term" refinance purposes, substantially all of the proceeds are used to pay in full the principal balance of a previous mortgage loan of the mortgagor with respect to a mortgaged property and to pay origination and closing costs associated with such refinancing. Mortgage loans made for "cash-out" refinance purposes may involve the use of the proceeds to pay in full the principal balance of a previous mortgage loan and related costs except that a portion of the proceeds are generally retained by the mortgagor for uses unrelated to the mortgaged property. The amount of these proceeds retained by the mortgagor may be substantial. -----END PRIVACY-ENHANCED MESSAGE-----