-----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, Nnvr7du6BDonvbaqtS1Ei5e2N9lVqpeelnr6mDe/Rr4wv8e1pS+mRNVz0irtO51m U/KxHq880l4nCj1GCsScuA== 0000882377-02-000833.txt : 20021114 0000882377-02-000833.hdr.sgml : 20021114 20021114170107 ACCESSION NUMBER: 0000882377-02-000833 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20021030 ITEM INFORMATION: Acquisition or disposition of assets ITEM INFORMATION: Other events ITEM INFORMATION: Financial statements and exhibits FILED AS OF DATE: 20021114 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: 02825974 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 d104177.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) October 30, 2002 IMH ASSETS CORP. (as depositor under an Indenture, dated as of October 30, 2002, providing for, inter alia, the issuance of Collateralized Asset-Backed Bonds, Series 2002-7) IMH Assets Corp. - -------------------------------------------------------------------------------- (Exact name of registrant as specified in its charter) CALIFORNIA 333-83600 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 October 30, 2002, a single series of bonds, entitled IMH Assets Corp., Collateralized Asset-Backed Bonds, Series 2002-7 (the "Bonds"), were issued pursuant to an indenture, dated as of October 30, 2002 (the "Agreement"), between Impac CMB Trust Series 2002-7, a Delaware business trust, as Issuer (the "Issuer"), and Deutsche Bank National Trust Company, as Indenture Trustee (the "Indenture Trustee"). 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"). The mortgage loans have an aggregate principal balance of approximately $600,001,24 as of October 1, 2002. The tables attached as an exhibit hereto describe certain characteristics of the Mortgage Pool as of October 1, 2002. 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 October 1, 2002, relating to IMH Assets Corp., Collateralized Asset-Backed Bonds, Series 2002-7. 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: November 14, 2002 EXHIBIT INDEX Exhibit Number Description - -------------- ----------- 99.1 Characteristics of the Mortgage Pool as of October 1, 2002, relating to IMH Assets Corp., Collateralized Asset-Backed, Series 2002-7. EX-99.1 3 d104177_ex99-1.txt CHARACTERISTICS OF THE MORTGAGE POOL THE MORTGAGE POOL GENERAL The mortgage pool will consist of conventional one- to four-family, adjustable-rate, fully-amortizing mortgage loans secured by first liens on mortgaged properties. The mortgage loans will have original terms to maturity of not greater than 30 years. MORTGAGE RATE ADJUSTMENT The mortgage rate on each 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 and (ii) the gross margin. In addition, the mortgage rate on each 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 mortgage loans are also subject to maximum and minimum lifetime mortgage rates. The 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 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 all of the mortgage loans 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 mortgage loans have not 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. 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 84.57% 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 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 mortgage loan. The amount of the prepayment charge is as provided in the related mortgage note, and the prepayment charge will generally apply if, in any twelve-month period during the first year, five years or other period as provided in the related mortgage note from the date of origination of the mortgage loan, the mortgagor prepays an aggregate amount exceeding 20% of the original principal balance of the mortgage loan. The amount of the prepayment charge will generally be equal to 6 months' advance interest calculated on the basis of the mortgage rate in effect at the time of the prepayment on the amount prepaid in excess of 20% of the original principal balance of the mortgage loan. The 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 Bonds. PRIMARY MORTGAGE INSURANCE AND THE RADIAN LENDER-PAID PMI POLICY Substantially all of the 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. 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 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 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 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 will range from 0.25% per annum to 1.94% 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, with the approval of the Bond Insurer. MORTGAGE LOAN CHARACTERISTICS The average principal balance of the mortgage loans at origination was approximately $252,746. No mortgage loan had a principal balance at origination of greater than approximately $1,000,000 or less than approximately $53,900. The average principal balance of the mortgage loans as of the Cut-off Date was approximately $252,526. No mortgage loan had a principal balance as of the Cut-off Date of greater than approximately $999,003 or less than approximately $53,807. As of the Cut-off Date, the mortgage loans had mortgage rates ranging from approximately 2.250% per annum to approximately 11.750% per annum and the weighted average mortgage rate was approximately 6.128% per annum. The weighted average remaining term to stated maturity of the mortgage loans was approximately 359 months as of the Cut-off Date. None of the mortgage loans will have a first Due Date prior to December 1, 2001, or after December 1, 2002, or will have a remaining term to maturity of less than 349 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any mortgage loan is November 1, 2032. Approximately 30.97% of the mortgage loans have initial interest only periods of five 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 mortgage loans was approximately 81.45%. No loan-to-value ratio at origination of any mortgage loan was greater than approximately 100.00% or less than approximately 23.81%. 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. None of the mortgage loans are buydown mortgage loans. None of the mortgage loans will be subject to the Home Ownership and Equity Protection Act of 1994 or any comparable state law. Approximately 99.79% of the mortgage loans have not reached their first adjustment date as of the Closing Date. Approximately 84.57% of the mortgage loans provide for prepayment charges. Approximately 24.53% and 15.88% of the mortgage loans are covered by a Primary Insurance Policy and the Radian Lender-Paid PMI Policy, respectively. For the mortgage loans, the weighted average of the Radian PMI Rates for the mortgage loans covered by the Radian Lender-Paid PMI Policy is approximately 0.15% 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 ---------------------- -------------- ----------------- ----------------- 50,000.01 - 100,000.00...................... 115 $ 9,876,381 1.65% 100,000.01 - 150,000.00...................... 364 46,384,059 7.73 150,000.01 - 200,000.00...................... 447 78,253,345 13.04 200,000.01 - 250,000.00...................... 414 93,357,394 15.56 250,000.01 - 300,000.00...................... 357 98,317,480 16.39 300,000.01 - 350,000.00...................... 233 75,499,836 12.58 350,000.01 - 400,000.00...................... 207 77,858,814 12.98 400,000.01 - 450,000.00...................... 89 37,765,816 6.29 450,000.01 - 500,000.00...................... 70 33,880,134 5.65 500,000.01 - 550,000.00...................... 32 16,702,315 2.78 550,000.01 - 600,000.00...................... 16 9,275,800 1.55 600,000.01 - 650,000.00...................... 14 8,854,296 1.48 650,000.01 - 700,000.00...................... 6 4,088,735 0.68 700,000.01 - 750,000.00...................... 6 4,477,673 0.75 750,000.01 - 800,000.00...................... 2 1,552,871 0.26 850,000.01 - 900,000.00...................... 1 885,000 0.15 950,000.01 - 1,000,000.00.................... 3 2,971,299 0.50 ----- ------------ ------ Total................................... 2,376 $600,001,246 100.00% ===== ============ ======
The average principal balance of the mortgage loans at origination was approximately $252,746.
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE PERCENTAGE OF CUT-OFF DATE CURRENT MORTGAGE LOAN NUMBER OF AGGREGATE UNPAID AGGREGATE PRINCIPAL BALANCES ($) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE ---------------------- -------------- ----------------- ----------------- 50,000.01 - 100,000.00...................... 115 $ 9,876,381 1.65% 100,000.01 - 150,000.00...................... 366 46,670,374 7.78 150,000.01 - 200,000.00...................... 445 77,967,030 12.99 200,000.01 - 250,000.00...................... 415 93,607,369 15.60 250,000.01 - 300,000.00...................... 359 98,966,534 16.49 300,000.01 - 350,000.00...................... 230 74,600,807 12.43 350,000.01 - 400,000.00...................... 208 78,258,148 13.04 400,000.01 - 450,000.00...................... 88 37,366,482 6.23 450,000.01 - 500,000.00...................... 71 34,378,853 5.73 500,000.01 - 550,000.00...................... 33 17,302,695 2.88 550,000.01 - 600,000.00...................... 14 8,176,700 1.36 600,000.01 - 650,000.00...................... 14 8,854,296 1.48 650,000.01 - 700,000.00...................... 6 4,088,735 0.68 700,000.01 - 750,000.00...................... 6 4,477,673 0.75 750,000.01 - 800,000.00...................... 6 5,409,170 0.90 ----- ------------ ------ Total................................... 2,376 $600,001,246 100.00% ===== ============ ======
As of the Cut-off Date, the average current principal balance of the mortgage loans will be approximately $252,526.
MORTGAGE RATES PERCENTAGE OF CUT-OFF DATE NUMBER OF AGGREGATE UNPAID AGGREGATE MORTGAGE RATES (%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE ------------------ -------------- ----------------- ----------------- 2.000 - 2.499..................... 2 $ 432,000 0.07% 2.500 - 2.999..................... 15 4,018,888 0.67 3.000 - 3.499..................... 20 6,244,858 1.04 3.500 - 3.999..................... 85 22,916,150 3.82 4.000 - 4.499..................... 124 34,712,324 5.79 4.500 - 4.999..................... 228 62,096,643 10.35 5.000 - 5.499..................... 220 59,714,902 9.95 5.500 - 5.999..................... 335 91,905,564 15.32 6.000 - 6.499..................... 279 74,260,507 12.38 6.500 - 6.999..................... 359 92,203,700 15.37 7.000 - 7.499..................... 209 47,542,761 7.92 7.500 - 7.999..................... 213 47,738,358 7.96 8.000 - 8.499..................... 101 21,752,909 3.63 8.500 - 8.999..................... 93 16,717,418 2.79 9.000 - 9.499..................... 50 10,228,988 1.70 9.500 - 9.999..................... 30 5,638,766 0.94 10.000 - 10.499..................... 7 898,932 0.15 10.500 - 10.999..................... 3 415,918 0.07 11.000 - 11.499..................... 1 87,280 0.01 11.500 - 11.999..................... 2 474,383 0.08 ----- ------------ ------ Total.......................... 2,376 $600,001,246 100.00% ===== ============ ======
The weighted average mortgage rate of the mortgage loans was approximately 6.128% per annum.
NEXT ADJUSTMENT DATE PERCENTAGE OF CUT-OFF DATE NUMBER OF AGGREGATE UNPAID AGGREGATE NEXT ADJUSTMENT DATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE -------------------- -------------- ----------------- ----------------- November 1, 2002.................... 7 $ 1,804,461 0.30% December 1, 2002.................... 20 4,475,152 0.75 January 1, 2003..................... 54 15,581,107 2.60 February 1, 2003.................... 279 72,408,790 12.07 March 1, 2003....................... 811 216,612,327 36.10 April 1, 2003....................... 538 139,176,258 23.20 May 1, 2003......................... 77 19,699,867 3.28 November 1, 2003.................... 1 441,753 0.07 March 1, 2004....................... 2 306,176 0.05 April 1, 2004....................... 1 359,270 0.06 May 1, 2004......................... 12 2,394,801 0.40 June 1, 2004........................ 31 5,066,443 0.84 July 1, 2004........................ 35 7,843,203 1.31 August 1, 2004...................... 76 16,004,491 2.67 September 1, 2004................... 195 40,670,706 6.78 October 1, 2004..................... 111 23,243,280 3.87 November 1, 2004.................... 12 2,123,000 0.35 March 1, 2005....................... 1 398,382 0.07 July 1, 2005........................ 4 676,932 0.11 August 1, 2005...................... 7 1,607,409 0.27 September 1, 2005................... 26 7,344,176 1.22 October 1, 2005..................... 11 3,213,912 0.54 November 1, 2005.................... 4 966,000 0.16 August 1, 2007...................... 11 2,754,930 0.46 September 1, 2007................... 25 7,264,324 1.21 October 1, 2007..................... 25 7,564,096 1.26 ----- ------------ ------ Total............................ 2,376 $600,001,246 100.00% ===== ============ ======
As of the Cut-off Date, the weighted average remaining months to the next adjustment date of the mortgage loans will be approximately 10 months.
GROSS MARGIN PERCENTAGE OF CUT-OFF DATE NUMBER OF AGGREGATE UNPAID AGGREGATE GROSS MARGINS (%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE ----------------- -------------- ----------------- ----------------- 0.000 - 1.999 ...................... 23 $ 6,905,091 1.15 2.000 - 2.249....................... 28 7,484,851 1.25 2.250 - 2.499....................... 342 93,710,498 15.62 2.500 - 2.749....................... 644 170,886,384 28.48 2.750 - 2.999....................... 548 137,277,718 22.88 3.000 - 3.249....................... 322 78,718,461 13.12 3.250 - 3.499....................... 151 35,065,270 5.84 3.500 - 3.749....................... 100 21,992,614 3.67 3.750 - 3.999....................... 56 12,401,817 2.07 4.000 - 4.249....................... 52 14,271,968 2.38 4.250 - 4.499....................... 24 4,902,481 0.82 4.500 - 4.749....................... 33 6,697,907 1.12 4.750 - 4.999....................... 18 3,484,168 0.58 5.000 - 5.249....................... 18 2,791,701 0.47 5.250 - 5.499....................... 8 1,482,417 0.25 5.500 - 5.749....................... 1 208,800 0.03 5.750 - 5.999....................... 1 284,050 0.05 6.000 - 6.249....................... 2 374,994 0.06 6.250 - 6.499....................... 1 100,000 0.02 7.750 - 7.999....................... 1 187,517 0.03 8.000 - 8.249....................... 1 131,699 0.02 8.250 - 8.499....................... 1 264,839 0.04 9.000 - 9.249....................... 1 376,000 0.06 ----- ------------ ------ Total............................ 2,376 $600,001,246 100.00% ===== ============ ======
As of the Cut-off Date, the weighted average Gross Margin of the mortgage loans will be approximately 2.824% per annum.
MAXIMUM MORTGAGE RATE PERCENTAGE OF CUT-OFF DATE NUMBER OF AGGREGATE UNPAID AGGREGATE MAXIMUM MORTGAGE RATE (%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE ------------------------- -------------- ----------------- ----------------- 7.991 - 8.499.................... 2 $ 432,000 0.07 8.500 - 8.999.................... 15 4,018,888 0.67 9.000 - 9.499.................... 20 6,244,858 1.04 9.500 - 9.999.................... 82 21,908,266 3.65 10.000 - 10.499.................... 122 34,165,151 5.69 10.500 - 10.999.................... 221 59,469,863 9.91 11.000 - 11.499.................... 207 56,293,687 9.38 11.500 - 11.999.................... 307 85,590,576 14.27 12.000 - 12.499.................... 260 69,988,304 11.66 12.500 - 12.999.................... 424 109,255,590 18.21 13.000 - 13.499.................... 207 47,268,609 7.88 13.500 - 13.999.................... 203 45,596,153 7.60 14.000 - 14.499.................... 97 20,945,695 3.49 14.500 - 14.999.................... 95 17,659,947 2.94 15.000 - 15.499.................... 55 11,121,213 1.85 15.500 - 15.999.................... 36 6,550,380 1.09 16.000 - 16.499.................... 10 1,553,429 0.26 16.500 - 16.999.................... 5 667,318 0.11 17.000 - 17.499.................... 2 202,186 0.03 17.500 - 17.999.................... 3 612,320 0.10 18.000 - 18.499.................... 1 174,000 0.03 20.000 - 20.499.................... 1 156,000 0.03 20.500 - 22.499.................... 1 126,815 0.02 ----- ------------ ------ Total........................... 2,376 $600,001,246 100.00% ===== ============ ======
As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the mortgage loans will be approximately 12.179% 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 ------------------------- -------------- ----------------- ----------------- Six Months.......................... 1,786 $469,757,963 78.29% Two Years........................... 476 98,453,123 16.41 Three Years......................... 53 14,206,810 2.37 Five Years.......................... 61 17,583,350 2.93 ----- ------------ ------ Total............................ 2,376 $600,001,246 100.00% ===== ============ ======
INITIAL RATE CAP PERCENTAGE OF CUT-OFF DATE NUMBER OF AGGREGATE UNPAID AGGREGATE INITIAL RATE CAP (%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE -------------------- -------------- ----------------- ----------------- 1.00................................ 1,764 $465,724,766 77.62% 1.50................................ 22 4,033,197 0.67 3.00................................ 590 130,243,283 21.71 ----- ------------ ------ Total............................ 2,376 $600,001,246 100.00% ===== ============ ======
PERIODIC RATE CAP PERCENTAGE OF CUT-OFF DATE NUMBER OF AGGREGATE UNPAID AGGREGATE PERIODIC RATE CAP (%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE --------------------- -------------- ----------------- ----------------- 1.00................................ 2,341 $593,801,473 98.97% 1.50................................ 35 6,199,773 1.03 ----- ------------ ------ Total............................ 2,376 $600,001,246 100.00% ===== ============ ======
ORIGINAL LOAN-TO-VALUE RATIOS PERCENTAGE OF NUMBER OF AGGREGATE UNPAID CUT-OFF DATE AGGREGATE ORIGINAL LOAN-TO-VALUE RATIOS (%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE --------------------------------- -------------- ----------------- ----------------- 20.01 - 25.00...................... 3 $ 670,000 0.11% 25.01 - 30.00...................... 4 685,598 0.11 30.01 - 35.00...................... 7 1,516,679 0.25 35.01 - 40.00...................... 8 1,702,862 0.28 40.01 - 45.00...................... 6 1,198,822 0.20 45.01 - 50.00...................... 16 3,734,748 0.62 50.01 - 55.00...................... 22 7,111,245 1.19 55.01 - 60.00...................... 36 10,907,303 1.82 60.01 - 65.00...................... 44 14,330,238 2.39 65.01 - 70.00...................... 207 61,252,925 10.21 70.01 - 75.00...................... 106 31,453,047 5.24 75.01 - 80.00...................... 883 222,801,710 37.13 80.01 - 85.00...................... 66 17,403,501 2.90 85.01 - 90.00...................... 502 124,621,423 20.77 90.01 - 95.00...................... 426 93,272,736 15.55 95.01 - 100.00....................... 40 7,338,408 1.22 ----- ------------ ------ Total.............................. 2,376 $600,001,246 100.00% ===== ============ ======
The minimum and maximum loan-to-value ratios of the mortgage loans at origination were approximately 23.81% and 100.00%, respectively, and the weighted average of the loan-to-value ratios of the mortgage loans at origination was approximately 81.45%.
OCCUPANCY TYPES PERCENTAGE OF CUT-OFF DATE NUMBER OF AGGREGATE UNPAID AGGREGATE OCCUPANCY TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE - -------------- -------------- ----------------- ----------------- Owner Occupied............................ 2,113 $545,121,766 90.85% Investor.................................. 226 45,887,725 7.65 Second Home............................... 37 8,991,755 1.50 ----- ------------ ------ Total................................ 2,376 $600,001,246 100.00% ===== ============ ======
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)............................ 402 $ 99,863,485 16.64% Progressive Series Program (Lite Income/Stated Asset Documentation)........ 1 262,625 0.04 Progressive Series Program (Limited (Stated) Documentation)................... 451 128,092,687 21.35 Progressive Series Program (No Income/No Asset Documentation)............ 31 11,020,855 1.84 Progressive Express(TM)No Doc Program (No Documentation)........................ 165 37,507,956 6.25 Progressive Express(TM)Program (Verified Assets)......................... 620 162,400,789 27.07 Progressive Express(TM)Program (Non Verified Assets).......................... 673 153,837,633 25.64 Progressive Express(TM)Program No Doc Program (Verified Assets)................. 33 7,015,217 1.17 ----- ------------ ------ Total................................ 2,376 $600,001,246 100.00% ===== ============ ======
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)........................................ 565 $152,555,003 25.43% A(1)......................................... 294 80,345,346 13.39 A-(1)........................................ 25 6,239,302 1.04 C(1)......................................... 1 100,000 0.02 Progressive Express(TM)I(2).................. 705 172,683,607 28.78 Progressive Express(TM)II(2)................. 660 159,933,869 26.66 Progressive Express(TM)III(2)................ 50 12,101,885 2.02 Progressive Express(TM)IV(2)................. 47 10,851,518 1.81 Progressive Express(TM)V(2).................. 16 3,031,950 0.51 Progressive Express(TM)VI(2)................. 13 2,158,766 0.36 ----- ------------ ------ Total..................................... 2,376 $600,001,246 100.00% ===== ============ ======
_________________ (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- and C correspond to Progressive Series I+, I and II, III and III+, IV, and V, 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. (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 CUT-OFF DATE NUMBER OF AGGREGATE UNPAID AGGREGATE PROPERTY TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE ------------- -------------- ----------------- ----------------- Single-Family............................... 1,530 $387,766,647 64.63% De Minimis PUD.............................. 373 104,499,638 17.42 Condominium................................. 294 63,346,271 10.56 Planned Unit Development.................... 93 21,527,321 3.59 Two-Family.................................. 38 9,120,246 1.52 Hi-Rise Condo............................... 19 4,947,228 0.82 Three-Family................................ 15 4,440,651 0.74 Four-Family................................. 11 3,537,473 0.59 Hotel Condominium........................... 2 720,776 0.12 Manufactured Housing........................ 1 94,996 0.02 ----- ------------ ------ Total.................................... 2,376 $600,001,246 100.00% ===== ============ ======
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES PERCENTAGE OF CUT-OFF DATE NUMBER OF AGGREGATE UNPAID AGGREGATE STATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE ----- -------------- ----------------- ----------------- California................................. 1,433 $403,994,172 67.33% Florida.................................... 160 30,250,531 5.04 Other (less than 3% in any one state)...... 783 165,756,543 27.63 ----- ------------ ------ Total................................... 2,376 $600,001,246 100.00% ===== ============ ======
No more than approximately 0.49% of the mortgage loans (by aggregate outstanding principal balance as of the Cut-off Date) are 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................................... 1,505 $369,724,425 61.62% Cash-Out Refinance......................... 645 172,045,514 28.67 Rate and Term Refinance.................... 226 58,231,306 9.71 ----- ------------ ------ Total................................... 2,376 $600,001,246 100.00% ===== ============ ======
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-----