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Impac Secured Assets Corp – ‘424B5’ on 9/1/04 re: Impac Secured Assets Corp Mortgage Pass-Through Certificates, Series 2004-3

On:  Wednesday, 9/1/04, at 3:00pm ET   ·   Accession #:  882377-4-1809   ·   File #s:  333-117991, -01

Previous ‘424B5’:  ‘424B5’ on 5/28/04   ·   Next:  ‘424B5’ on 1/3/05   ·   Latest:  ‘424B5’ on 6/13/05

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  As Of                Filer                Filing    For·On·As Docs:Size              Issuer               Agent

 9/01/04  Impac Secured Assets Corp         424B5                  1:1.1M Impac Secured Assets Corp… 2004-3 Thacher Proffitt… LLP/FA

Prospectus   —   Rule 424(b)(5)
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: 424B5       Impac Secured Assets Corp                            311   1.59M 


Document Table of Contents

Page (sequential) | (alphabetic) Top
 
11st Page   -   Filing Submission
"Impac Funding Corporation
2Table of Contents
3Summary of Prospectus Supplement
4Offered Certificates
6The Mortgage Loans
"Loan Group 1
"Loan Group 2
7Pre-Funding Account
8Interest Coverage Accounts
"Interest Distributions
9The Corridor Contracts
10Federal Income Tax Consequences
"Ratings
"Legal Investment
"ERISA Considerations
11Risk Factors
14The Pass-Through Rates on the Offered Certificates are Subject to Limitation
21The Mortgage Pool
"General
41Credit Scores
60Underwriting Standards
76Yield on the Certificates
79Yield Sensitivity of the Mezzanine Certificates
111Percent of Initial Certificate Principal Balance Outstanding at the Following Percentages of the Prepayment Assumption
124The Certificate Insurer
126Description of the Certificates
127Registration of the Book-Entry Certificates
128Definitive Certificates
"Calculation of One-Month LIBOR for the Offered Certificates
129Allocation of Available Funds
"Interest Distributions on the Offered Certificates
130Principal Distributions on the Offered Certificates
132Overcollateralization Provisions
143Pooling and Servicing Agreement
144The Trustee
145The Subservicers
146Servicing and Other Compensation and Payment of Expenses
"Termination
150Method of Distribution
151Secondary Market
"Experts
"Legal Opinions
154Glossary
170Annex I
"Global Clearance, Settlement and Tax Documentation Procedures
176Introduction
177The Mortgage Pools
185Qualifications of Originators and Sellers
186Representations by Sellers
189Servicing of Mortgage Loans
"The Master Servicer
190Collection and Other Servicing Procedures; Mortgage Loan Modifications
192Subservicers
"Special Servicers
"Realization Upon or Sale of Defaulted Mortgage Loans
195Servicing and Other Compensation and Payment of Expenses; Retained Interest
196Evidence as to Compliance
197Description of the Securities
199Form of Securities
200Global Securities
203Assignment of Trust Fund Assets
206Certificate Account
210Distributions
"Distributions of Interest and Principal on the Securities
212Allocation of Losses and Shortfalls
"Advances
213Reports to Securityholders
214Description of Credit Enhancement
215Subordinate Securities
"Cross-Support
216Overcollateralization
"Financial Guaranty Insurance Policy
"Mortgage Pool Insurance Policies
218Letter of Credit
"Special Hazard Insurance Policies
219Reserve Funds
220Cash Flow Agreements
"Maintenance of Credit Enhancement
222Reduction or Substitution of Credit Enhancement
223Other Financial Obligations Related to the Securities
"Swaps and Yield Supplement Agreements
"Purchase Obligations
224Primary Mortgage Insurance, Hazard Insurance; Claims Thereunder
"Primary Mortgage Insurance Policies
225Hazard Insurance Policies
227FHA Insurance
"VA Mortgage Guaranty
228The Company
"Impac Mortgage Holdings, Inc
229The Agreements
"Certain Matters Regarding the Master Servicer and the Company
230Events of Default and Rights Upon Event Default
234Amendment
235Termination; Retirement of Securities
237Duties of the Trustee
"Some Matters Regarding the Trustee
"Resignation and Removal of the Trustee
238Yield Considerations
240Maturity and Prepayment Considerations
242Legal Aspects of Mortgage Loans
"Mortgages
243Cooperative Mortgage Loans
244Tax Aspects of Cooperative Ownership
"Leases and Rents
"Contracts
246Foreclosure on Mortgages and Some Contracts
248Foreclosure on Shares of Cooperatives
249Repossession with respect to Contracts
251Rights of Redemption
"Anti-Deficiency Legislation and Other Limitations on Lenders
253Environmental Legislation
254Consumer Protection Laws with Respect to Contracts
255Enforceability of Some Provisions
257Subordinate Financing
"Installment Contracts
258Applicability of Usury Laws
"Alternative Mortgage Instruments
259Formaldehyde Litigation with Respect to Contracts
"Servicemembers' Civil Relief Act of 1940
260Forfeitures in Drug and RICO Proceedings
"Junior Mortgages
261Negative Amortization Loans
262REMICs
"Classification of Remics
263Characterization of Investments in Remic Certificates
"Taxation of Owners of REMIC Regular Certificates
264Original Issue Discount
266Market Discount
268Premium
"Taxation of Owners of REMIC Residual Certificates
270Taxable Income of the REMIC
271Basis Rules, Net Losses and Distributions
272Excess Inclusions
274Possible Pass-Through of Miscellaneous Itemized Deductions
275Sales of REMIC Certificates
276Prohibited Transactions and Other Possible REMIC Taxes
278Reporting and Other Administrative Matters
279Backup Withholding with Respect to REMIC Certificates
"Foreign investors in REMIC Certificates
280Notes
"Grantor Trust Funds
281Characterization of Investments in Grantor Trust Certificates
"Taxation of Owners of Grantor Trust Fractional Interest Certificates
282If Stripped Bond Rules Apply
284If Stripped Bond Rules Do Not Apply
287Taxation of Owners of Grantor Trust Strip Certificates
288Possible Application of Contingent Payment Rules
289Sales of Grantor Trust Certificates
"Grantor Trust Reporting
290State and Other Tax Consequences
295Representation from Plans Investing in Notes with "Substantial Equity Features" or Non-exempt Certificates
296Tax Exempt Investors
"Consultation with Counsel
"Legal Investment Matters
298Use of Proceeds
"Methods of Distribution
299Legal Matters
"Financial Information
"Rating
300Available Information
"Incorporation of Information by Reference
311Underwriters
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PROSPECTUS SUPPLEMENT dated August 30, 2004 (to Prospectus dated August 30, 2004) $2,300,000,000 [insert Impac logo] IMPAC FUNDING CORPORATION MASTER SERVICER IMPAC SECURED ASSETS CORP. COMPANY MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 2004-3 -------------------------------------------------------------------------------- YOU SHOULD CONSIDER CAREFULLY THE RISK FACTORS BEGINNING ON PAGE S-11 IN THIS PROSPECTUS SUPPLEMENT. -------------------------------------------------------------------------------- THE TRUST The trust will consist primarily of a pool of one- to four-family adjustable-rate first lien residential mortgage loans divided into two loan groups. The trust will be represented by seventeen classes of certificates, thirteen of which are offered under this prospectus supplement. CREDIT ENHANCEMENT The offered certificates will have credit enhancement in the form of excess interest and overcollateralization, cross-collateralization between the loan groups to cover realized losses, subordination and a certificate guaranty insurance policy issued by Ambac Assurance Corporation for the benefit of the Class 2-A Certificates only. In addition, the offered certificates may benefit from a series of corridor contract payments pursuant to corridor contracts which is intended partially to mitigate interest rate risk. The price to investors will vary from time to time and will be determined at the time of sale. The proceeds to the company from the offering will be approximately 99.75% of the aggregate certificate principal balance of the offered certificates, less expenses estimated to be approximately $900,000. SEE "METHOD OF DISTRIBUTION" IN THIS PROSPECTUS SUPPLEMENT. NEITHER THE SECURITIES AND EXCHANGE COMMISSION NOR ANY STATE SECURITIES COMMISSION HAS APPROVED OR DISAPPROVED OF THESE SECURITIES OR PASSED UPON THE ADEQUACY OF THIS PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE. THE ATTORNEY GENERAL OF THE STATE OF NEW YORK HAS NOT PASSED ON OR ENDORSED THE MERITS OF THIS OFFERING. ANY REPRESENTATION TO THE CONTRARY IS UNLAWFUL. COUNTRYWIDE SECURITIES CORPORATION BEAR, STEARNS & CO. INC. UNDERWRITERS
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IMPORTANT NOTICE ABOUT INFORMATION PRESENTED IN THIS PROSPECTUS SUPPLEMENT AND THE ACCOMPANYING PROSPECTUS YOU SHOULD RELY ON THE INFORMATION CONTAINED IN THIS DOCUMENT. WE HAVE NOT AUTHORIZED ANYONE TO PROVIDE YOU WITH DIFFERENT INFORMATION. We provide information to you about the offered certificates in two separate documents that provide progressively more detail: o the accompanying prospectus, which provides general information, some of which may not apply to this series of certificates; and o this prospectus supplement, which describes the specific terms of this series of certificates. The company's principal offices are located at 1401 Dove Street, Newport Beach, CA 92660 and its phone number is (949) 475-3600. TABLE OF CONTENTS PROSPECTUS SUPPLEMENT PAGE Summary of Prospectus Supplement.............................................S-3 Risk Factors................................................................S-11 The Mortgage Pool...........................................................S-21 Yield on the Certificates...................................................S-76 The Certificate Insurer....................................................S-124 Description of the Certificates............................................S-126 Pooling and Servicing Agreement............................................S-143 Federal Income Tax Consequences............................................S-147 Method of Distribution.....................................................S-150 Secondary Market...........................................................S-151 Experts....................................................................S-151 Legal Opinions.............................................................S-151 Ratings....................................................................S-151 Legal Investment...........................................................S-152 ERISA Considerations.......................................................S-152 Glossary...................................................................S-154 Annex I -- Global Clearance, Settlement and Tax Documentation Procedures...........................................I-1 S-2
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SUMMARY OF PROSPECTUS SUPPLEMENT THE FOLLOWING SUMMARY IS A VERY BROAD OVERVIEW OF THE OFFERED CERTIFICATES AND DOES NOT CONTAIN ALL OF THE INFORMATION THAT YOU SHOULD CONSIDER IN MAKING YOUR INVESTMENT DECISION. TO UNDERSTAND ALL OF THE TERMS OF THE OFFERED CERTIFICATES, READ CAREFULLY THIS ENTIRE PROSPECTUS SUPPLEMENT AND THE ACCOMPANYING PROSPECTUS. A GLOSSARY IS INCLUDED AT THE END OF THIS PROSPECTUS SUPPLEMENT. CAPITALIZED TERMS USED BUT NOT DEFINED IN THE GLOSSARY AT THE END OF THIS PROSPECTUS SUPPLEMENT HAVE THE MEANINGS ASSIGNED TO THEM IN THE GLOSSARY AT THE END OF THE PROSPECTUS. [Enlarge/Download Table] Title of Series..................... Impac Secured Assets Corp., Mortgage Pass-Through Certificates, Series 2004-3. Cut-off Date........................ August 1, 2004. Closing Date........................ August 31, 2004. Company Impac Secured Assets Corp., an affiliate of Impac Funding Corporation. Seller.............................. Impac Funding Corporation. Master Servicer..................... Impac Funding Corporation. Subservicers........................ Countrywide Home Loans Servicing LP and Wells Fargo Bank, N.A. Trustee............................. Deutsche Bank National Trust Company. Securities Administrator............ Wells Fargo Bank, N.A. Distribution Date................... Distributions on the offered certificates will be made on the 25th day of each month or, if the 25th day is not a business day, on the next business day, beginning in September 2004. Offered Certificates................ The classes of offered certificates and their pass-through rates and certificate principal balances are set forth in the table below. S-3
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[Enlarge/Download Table] OFFERED CERTIFICATES PASS-THROUGH INITIAL CERTIFICATE INITIAL RATING CLASS RATE PRINCIPAL BALANCE (S&P/MOODY'S)(1) DESIGNATION --------------------------------------------------------------------------------------------------------------------------------- CLASS A CERTIFICATES: --------------------------------------------------------------------------------------------------------------------------------- 1-A-1 Adjustable Rate $ 475,414,000 AAA/Aaa Super Senior/Adjustable Rate 1-A-2 Adjustable Rate $ 200,000,000 AAA/Aaa Super Senior/Adjustable Rate 1-A-3 Adjustable Rate $ 145,231,000 AAA/Aaa Super Senior/Adjustable Rate 1-A-4 Adjustable Rate $ 554,152,000 AAA/Aaa Super Senior/Adjustable Rate 1-A-5 Adjustable Rate $ 152,755,000 AAA/Aaa Senior Support/Adjustable Rate 2-A-1 Adjustable Rate $ 400,124,000 AAA/Aaa Senior/Insured/Adjustable Rate 2-A-2 Adjustable Rate $ 225,124,000 AAA/Aaa Senior/Insured/Adjustable Rate Total Class A Certificates: $ 2,152,800,000 --------------------------------------------------------------------------------------------------------------------------------- [Enlarge/Download Table] MEZZANINE CERTIFICATES: --------------------------------------------------------------------------------------------------------------------------------- M-1 Adjustable Rate $ 26,450,000 AA+/Aa1 Mezzanine/Adjustable Rate M-2 Adjustable Rate $ 23,000,000 AA+/Aa2 Mezzanine/Adjustable Rate M-3 Adjustable Rate $ 23,000,000 AA+/Aa3 Mezzanine/Adjustable Rate M-4 Adjustable Rate $ 23,000,000 AA/A1 Mezzanine/Adjustable Rate M-5 Adjustable Rate $ 23,000,000 AA/A2 Mezzanine/Adjustable Rate B Adjustable Rate $ 28,750,000 A+/Baa1 Mezzanine/Adjustable Rate Total Mezzanine Certificates: $ 147,200,000 --------------------------------------------------------------------------------------------------------------------------------- Total offered certificates: $ 2,300,000,000 --------------------------------------------------------------------------------------------------------------------------------- (1) SEE "RATINGS" IN THIS PROSPECTUS SUPPLEMENT. OTHER INFORMATION: CLASS A, CLASS M AND CLASS B CERTIFICATES: The pass-through rate on the Class A, Class M and Class B Certificates will be equal to the least of: (1) one-month LIBOR plus the related certificate margin set forth on the following page; (2) 11.25% per annum; and (3) (A) with respect to the Class A Certificates, a per annum rate equal to the weighted average of the net mortgage rates on the related mortgage loans as described in this prospectus supplement and (B) with respect to the Class M Certificates and Class B Certificates, a per annum rate equal to the weighted average (weighted in proportion to the results of subtracting from the aggregate principal balance of each loan group the aggregate Certificate Principal Balance of the related Class A Certificates) of (i) the weighted average of the net mortgage rates of the mortgage loans in loan group 1 and (ii) the weighted average of the net mortgage rates of the mortgage loans in loan group 2, in each case, as described in this prospectus supplement. S-4
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CERTIFICATE MARGIN CLASS (1) (2) 1-A-1................................... 0.200% 0.400% 1-A-2................................... 0.350% 0.700% 1-A-3................................... 0.530% 1.060% 1-A-4................................... 0.400% 0.800% 1-A-5................................... 0.470% 0.940% 2-A-1................................... 0.320% 0.640% 2-A-2................................... 0.320% 0.640% M-1..................................... 0.600% 0.900% M-2..................................... 0.650% 0.975% M-3..................................... 0.700% 1.050% M-4..................................... 1.150% 1.725% M-5..................................... 1.250% 1.875% B....................................... 1.850% 2.775% ______ (1) Initially. (2) On and after the step-up date as described in this prospectus supplement. S-5
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THE TRUST The company will establish a trust with respect to the Series 2004-3 Certificates, pursuant to a pooling and servicing agreement dated as of August 1, 2004 among the company, the master servicer, the securities administrator and the trustee. On the closing date, the company will deposit into the trust the mortgage loans, the original pre-funded amount described below and an amount as specified in the pooling and servicing agreement into the interest coverage accounts described below. There are seventeen classes of certificates representing the trust, thirteen of which are offered by this prospectus supplement. The trust will also include a certificate guaranty insurance policy provided by Ambac Assurance Corporation, which will guarantee certain payments on the Class 2-A Certificates. In addition, the company will assign to the trust four corridor contracts, which may cover interest shortfalls on the offered certificates. The certificates represent in the aggregate the entire beneficial ownership interest in the trust. Distributions of interest and/or principal on the offered certificates will be made only from payments received from the trust as described below. The Class C, Class P, Class R and Class R-X Certificates are the classes of certificates that are not offered by this prospectus supplement. SEE "DESCRIPTION OF THE CERTIFICATES" IN THIS PROSPECTUS SUPPLEMENT. THE MORTGAGE LOANS The mortgage loans will be divided into two mortgage loan groups, loan group 1 and loan group 2. LOAN GROUP 1 The mortgage loans in loan group 1 are one- to four-family, adjustable-rate residential mortgage loans secured by first liens on the related mortgaged property with mortgage loan balances at origination that may or may not conform to Fannie Mae or Freddie Mac loan limits. The interest rate on the mortgage loans in loan group 1 will adjust on each adjustment date to equal the sum of the related index and the related gross margin on such mortgage loan, subject to a maximum and minimum interest rate, as described in this prospectus supplement. LOAN GROUP 2 The mortgage loans in loan group 2 are one- to four-family, adjustable-rate residential mortgage loans secured by first liens on the related mortgaged property with mortgage loan balances at origination that conform to Fannie Mae or Freddie Mac loan limits. Notwithstanding these conforming balances, the Group 2 Loans have been originated according to underwriting standards that do not satisfy Fannie Mae or Freddie Mac underwriting criteria. The interest rate on the mortgage loans in loan group 2 will adjust on each adjustment date to equal the sum of the related index and the related gross margin on such mortgage loan, subject to a maximum and minimum interest rate, as described in this prospectus supplement. The mortgage loans in loan group 1 and loan group 2 will include initial mortgage loans and subsequent mortgage loans. The initial mortgage loans in loan group 1 and loan group 2 will be the mortgage loans deposited into the trust on the closing date. The subsequent mortgage loans in loan group 1 and loan group 2 will be the mortgage loans purchased with amounts on deposit in the related pre-funding account described in this prospectus supplement and S-6
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deposited in the trust no later than September 30, 2004. With respect to each loan group, the statistical information included in this prospectus supplement with respect to the mortgage loans in such loan group is based on a pool of sample mortgage loans. The characteristics of the final groups will not materially differ from the information provided with respect to the sample groups. Unless otherwise specified, all percentages described with respect to the sample mortgage loans are calculated based on the aggregate principal balance of the sample mortgage loans as of the cut-off date. It is expected that mortgage loans will be added to and certain sample mortgage loans will be deleted from the pool of sample mortgage loans to constitute the final groups of mortgage loans. The sample mortgage loans in loan group 1 have original terms to maturity of not greater than 30 years and the following characteristics as of the cut-off date: Range of mortgage rates (approximate): 2.875% to 10.000% Weighted average mortgage rate (approximate): 5.530% Weighted average remaining term to stated maturity (approximate): 359 months Range of principal balances (approximate): $9,154 to $4,000,000 Average principal balance: $268,377 Range of loan-to-value ratios s s (approximate): 12.90% to 100.00% Weighted average of loan-to- value ratios (approximate): 79.77% The sample mortgage loans in loan group 2 have original terms to maturity of not greater than 30 years and the following characteristics as of the cut-off date: Range of mortgage rates (approximate): 2.490% to 9.875% Weighted average mortgage rate (approximate): 5.566% Weighted average remaining term to stated maturity (approximate): 359 months Range of principal balances (approximate): $122,071 to $637,000 Average principal balance: $218,658 Range of loan-to-value ratios (approximate): 25.17% to 100.00% Weighted average of loan-to- value ratios (approximate): 80.94% FOR ADDITIONAL INFORMATION REGARDING THE MORTGAGE LOANS, SEE "THE MORTGAGE POOL" IN THIS PROSPECTUS SUPPLEMENT. Approximately 0.03%, 1.06%, 2.73%, 44.68% and 3.85% of the sample mortgage loans, by aggregate outstanding principal balance as of the cut-off date, are interest only for the first six months, two years, three years, five years and ten years, respectively, after origination. As a result, no principal payments will be received with respect to these mortgage loans during this period except in the case of a prepayment. PRE-FUNDING ACCOUNT On or before September 30, 2004, the company may sell and the securities administrator will be obligated to purchase, on behalf of the trust, with respect to loan group 1 and loan group 2, subsequent mortgage loans to be included in the related mortgage pool. On the closing date, the company will pay to the securities administrator on behalf of the trustee, with respect to each loan group, an amount equal to the difference between: the sum of the aggregate initial certificate principal balance of the related offered certificates and the initial overcollateralized amount and S-7
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the aggregate stated principal balance of the initial mortgage loans in the related loan group as of the cut-off date, which will be held by the securities administrator on behalf of the trustee in the related pre-funding account. The amounts on deposit in the pre- funding accounts will be reduced by the amounts thereof used to purchase the subsequent mortgage loans during the period from the closing date up to and including September 30, 2004. Any amounts remaining in the pre-funding accounts after September 30, 2004, will be distributed as principal on the next distribution date to the holders of the offered certificates. INTEREST COVERAGE ACCOUNTS On the closing date, the company will pay to the securities administrator for deposit in an interest coverage account with respect to each loan group, an amount which will be applied by the securities administrator, on behalf of the trustee, to cover shortfalls in the amount of interest generated by the mortgage loans in each loan group attributable to the pre-funding feature and loans that do not have a payment due during the first interest accrual period with respect to the certificates. FOR ADDITIONAL INFORMATION REGARDING THE INTEREST COVERAGE ACCOUNTS, SEE "DESCRIPTION OF THE CERTIFICATES--INTEREST COVERAGE ACCOUNTS" IN THIS PROSPECTUS SUPPLEMENT. THE OFFERED CERTIFICATES PRIORITY OF DISTRIBUTIONS FROM LOAN GROUP 1. In general, on any distribution date, funds available for distribution from payments and other amounts received on the mortgage loans in loan group 1 and on amounts in the related pre-funding account, after the payment of certain fees and expenses, will be distributed in the following order: INTEREST DISTRIBUTIONS first, to pay current interest and any previously unpaid interest, concurrently, on the Class 1-A Certificates; second, to pay current interest and any previously unpaid interest, concurrently, on the Class 2-A Certificates; and third, to pay current interest and any previously unpaid interest on the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and Class B Certificates, in that order of priority. PRINCIPAL DISTRIBUTIONS Amounts available after distributions of interest on the Class 1-A Certificates and the Mezzanine Certificates will be used to pay principal (including the payment of amounts to create and maintain overcollateralization) on the Class 1-A Certificates and the Mezzanine Certificates, but only in the order of priority and in the amounts described herein. To the extent that the Class 1-A Certificates are no longer outstanding, such amounts available after distributions of interest on the Class 1-A Certificates and the Mezzanine Certificates will be used to pay principal (including the payment of amounts to create and maintain overcollateralization) on the Class 2-A Certificates. All principal payments on the mortgage loans from loan group 1 will be distributed among the offered certificates unless they are no longer outstanding. NET MONTHLY EXCESS CASHFLOW DISTRIBUTIONS Amounts available after distributions of interest and principal as described above will be the related net monthly excess cashflow and will be used for various purposes, including reimbursing the certificate insurer, maintaining the required level of overcollateralization with respect to the related and non-related loan groups and making distributions for reimbursement of losses. PRIORITY OF DISTRIBUTIONS FROM LOAN GROUP 2. In general, on any distribution date, funds available for distribution from payments and other amounts received on the mortgage loans in loan group 2 and on amounts in the related pre-funding account, after the payment of certain fees and expenses, will be distributed in the following order: S-8
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INTEREST DISTRIBUTIONS first, to pay current interest and any previously unpaid interest, concurrently, on the Class 2-A Certificates; second, to pay current interest and any previously unpaid interest, concurrently, on the Class 1-A Certificates; and third, to pay current interest and any previously unpaid interest on the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and Class B Certificates, in that order of priority. PRINCIPAL DISTRIBUTIONS Amounts available after distributions of interest on the Class 2-A Certificates and the Mezzanine Certificates will be used to pay principal (including the payment of amounts to create and maintain overcollateralization) on the Class 2-A Certificates and the Mezzanine Certificates, but only in the order of priority and in the amounts described herein. To the extent that the Class 2-A Certificates are no longer outstanding, such amounts available after distributions of interest on the Class 2-A Certificates and the Mezzanine Certificates will be used to pay principal (including the payment of amounts to create and maintain overcollateralization) on the Class 1-A Certificates. All principal payments on the mortgage loans from loan group 2 will be distributed among the offered certificates unless they are no longer outstanding. NET MONTHLY EXCESS CASHFLOW DISTRIBUTIONS Amounts available after distributions of interest and principal as described above will be the related net monthly excess cashflow and will be used for various purposes, including reimbursing the certificate insurer, maintaining the required level of overcollateralization with respect to the related and non-related loan groups and making distributions for reimbursement of losses. SEE "DESCRIPTION OF THE CERTIFICATES" IN THIS PROSPECTUS SUPPLEMENT FOR ADDITIONAL INFORMATION. CREDIT ENHANCEMENT The credit enhancement provided for the benefit of the holders of the offered certificates consists of excess spread, overcollateralization related to each loan group, cross-collateralization between the loan groups to cover realized losses and, with respect to the Class 2-A Certificates only, a certificate guaranty insurance policy issued by Ambac Assurance Corporation for the benefit of the Class 2-A Certificates and the subordination provided to the more senior classes of certificates by the more subordinate classes of certificates as described in this prospectus supplement. SEE "THE CERTIFICATE INSURER" AND "DESCRIPTION OF THE CERTIFICATES--OVERCOLLATERALIZATION PROVISIONS," "--ALLOCATION OF REALIZED LOSSES," "--DESCRIPTION OF THE CERTIFICATE INSURANCE POLICY," "--SUBORDINATION," AND "--ALLOCATION OF LOSSES" IN THIS PROSPECTUS SUPPLEMENT. THE CORRIDOR CONTRACTS The holders of the offered certificates may benefit from a series of corridor contract payments from the corridor contract counterparty pursuant to the related corridor contract. The corridor contracts are intended to partially mitigate the interest rate risk that could result from the difference between one-month LIBOR plus the related certificate margin and the weighted average of the net mortgage rates of the mortgage loans as described in this prospectus supplement. The corridor contracts (other than the corridor contract related to the Class 2-A-1 Certificates) will terminate after the distribution date in January 2011. The corridor contract related to the Class 2-A-1 Certificates will terminate after the distribution date in August 2007. SEE "DESCRIPTION OF THE CERTIFICATES -- THE CORRIDOR CONTRACTS" IN THIS PROSPECTUS SUPPLEMENT. S-9
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OPTIONAL TERMINATION At its option, the Class C Certificateholder may purchase all of the mortgage loans, together with any properties in respect thereof acquired on behalf of the trust, and thereby effect termination and early retirement of the certificates on the distribution date after the aggregate stated principal balance of the mortgage loans, and properties acquired in respect thereof, remaining in the trust has been reduced to less than or equal to 10% of the sum of the aggregate stated principal balance of the initial mortgage loans as of the cut-off date and the aggregate amount deposited into the pre-funding accounts on the closing date. If the Class C Certificateholder fails to exercise such option, Countrywide Home Loans Servicing LP may purchase all of the mortgage loans, together with any properties in respect thereof acquired on behalf of the trust, and thereby effect termination and early retirement of the certificates on the distribution date after the aggregate stated principal balance of the mortgage loans, and properties acquired in respect thereof, remaining in the trust has been reduced to less than or equal to 5% of the sum of the aggregate stated principal balance of the initial mortgage loans as of the cut-off date and the aggregate amount deposited into the pre-funding accounts on the closing date. SEE "POOLING AND SERVICING AGREEMENT-- TERMINATION" IN THIS PROSPECTUS SUPPLEMENT. FEDERAL INCOME TAX CONSEQUENCES Elections will be made to treat the trust (excluding the corridor contracts, the pre-funding accounts, the interest coverage accounts and the reserve fund) as comprising two or more real estate mortgage investment conduits for federal income tax purposes. SEE "FEDERAL INCOME TAX CONSEQUENCES" IN THIS PROSPECTUS SUPPLEMENT. RATINGS When issued, the offered certificates will receive the ratings set forth on page S-4 of this prospectus supplement. The ratings on the offered certificates address the likelihood that holders of the offered certificates will receive all distributions on the underlying mortgage loans to which they are entitled. However, the ratings do not address the possibility that certificateholders might suffer a lower than anticipated yield. A security rating is not a recommendation to buy, sell or hold a security and is subject to change or withdrawal at any time by the assigning rating agency. The ratings also do not address the rate of principal prepayments on the mortgage loans. In particular, the rate of prepayments, if different than originally anticipated, could adversely affect the yield realized by holders of the offered certificates. SEE "RATINGS" IN THIS PROSPECTUS SUPPLEMENT. LEGAL INVESTMENT The offered certificates, other than the Class B Certificates, will constitute "mortgage related securities" for purposes of SMMEA. The Class B Certificates will not constitute "mortgage related securities" for purposes of SMMEA. SEE "LEGAL INVESTMENT" IN THIS PROSPECTUS SUPPLEMENT AND IN THE PROSPECTUS. ERISA CONSIDERATIONS The offered certificates may be purchased by persons investing assets of employee benefit plans or individual retirement accounts, subject to important considerations. Plans should consult with their legal advisors before investing in the offered certificates. SEE "ERISA CONSIDERATIONS" IN THIS PROSPECTUS SUPPLEMENT. S-10
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RISK FACTORS You should carefully consider, among other things, the following factors in connection with the purchase of the offered certificates: THE OFFERED CERTIFICATES MAY HAVE LIMITED LIQUIDITY, SO YOU MAY BE UNABLE TO SELL YOUR SECURITIES OR MAY BE FORCED TO SELL THEM AT A DISCOUNT FROM THEIR FAIR MARKET VALUE There can be no assurance that a secondary market for the offered certificates will develop or, if one does develop, that it will provide holders of the offered certificates with liquidity of investment or that it will continue for the life of the offered certificates. As a result, any resale prices that may be available for any offered certificate in any market that may develop may be at a discount from the initial offering price or the fair market value thereof. The offered certificates will not be listed on any securities exchange. SOME OF THE MORTGAGE LOANS MAY HAVE BEEN AFFECTED BY HURRICANE CHARLEY, WHICH MAY RESULT IN LOSSES WITH RESPECT TO THESE MORTGAGE LOANS Hurricane Charley, which struck the state of Florida and surrounding areas on August 13 and 14, 2004, may have adversely affected mortgaged properties located in those areas. The seller will make a representation and warranty that no mortgaged property is subject to any material damage as of the closing date. It is unknown at this time how many mortgaged properties have been or may be affected by Hurricane Charley. No assurance can be given as to the effect of this event on the rate of delinquencies and losses on the mortgage loans secured by mortgaged properties that were or may be affected by Hurricane Charley. Any adverse impact as a result of this event may be borne by the holders of the offered certificates, particularly if the seller fails to repurchase any mortgage loan that breaches this representation and warranty. THE CREDIT ENHANCEMENT IS LIMITED, AND THE POTENTIAL INADEQUACY OF THE CREDIT ENHANCEMENT MAY CAUSE LOSSES OR SHORTFALLS TO BE INCURRED ON THE OFFERED CERTIFICATES The credit enhancement features described in the summary of this prospectus supplement are intended to enhance the likelihood that holders of the Class A Certificates, and to a limited extent, the holders of the Mezzanine Certificates, will receive regular payments of interest and principal. However, we cannot assure you that the applicable credit enhancement will adequately cover any shortfalls in cash available to pay your certificates as a result of delinquencies or defaults on the mortgage loans. On the Closing Date, the initial amount of overcollateralization will approximately equal the initial overcollateralization target amount of zero. However, commencing on the distribution date in February 2005, the overcollateralization target amount will increase to 0.35% of the sum of the aggregate stated principal balance of the initial mortgage loans and the original pre-funded amounts, as described herein. Cross-collateralization allows interest from a loan group to be paid to non-related Class A Certificates after payments to related Class A Certificates and net monthly excess cashflow from one loan group to cover realized losses in the other loan group to the extent provided in this prospectus supplement. However, this excess interest from a loan group is available solely to the extent the related certificates have received the interest and principal to which they are entitled, to the extent that any realized losses in the related loan group have been covered by net monthly excess cashflow and to the extent the certificate insurer has been reimbursed, and are subject to the priorities of payment in this prospectus supplement. SEE "DESCRIPTION OF THE CERTIFICATES -- OVERCOLLATERALIZATION PROVISIONS" in this prospectus supplement. If delinquencies or defaults occur on the mortgage loans, neither the master servicer nor any other entity will advance scheduled monthly payments of interest and principal on delinquent or defaulted S-11
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mortgage loans if, in the good faith judgment of the master servicer, these advances would not be ultimately recovered from the proceeds of the mortgage loan. If substantial losses occur as a result of defaults and delinquent payments on the mortgage loans, you may suffer losses. Losses on the mortgage loans in loan group 1, to the extent not covered by net monthly excess cashflow, overcollateralization or cross-collateralization, will be allocated first to the Class B, Class M-5, Class M-4, Class M-3, Class M-2 and Class M-1 Certificates, in that order, and then to the Class 1-A-5 Certificates, in each case, until the certificate principal balance of thereof has been reduced to zero. Losses on the mortgage loans in loan group 2, to the extent not covered by net monthly excess cashflow, overcollateralization or cross-collateralization, will be allocated to the Class B, Class M-5, Class M-4, Class M-3, Class M-2 and Class M-1 Certificates, in that order. Losses on the mortgage loans in loan group 1 will not be allocated to the Class 1-A-1, Class 1-A-2, Class 1-A-3 and Class 1-A-4 Certificates and losses on the mortgage loans in loan group 2 will not be allocated to the Class 2-A Certificates. The securities administrator, on behalf of the trustee will make a draw on the certificate insurance policy to the extent that payments on the mortgage loans in loan group 2 and certain payments on the mortgage loans in loan group 1 as described in this prospectus supplement are insufficient to make certain payments on the Class 2-A Certificates. The ratings of the offered certificates by the rating agencies may be lowered following the initial issuance thereof as a result of losses on the mortgage loans in excess of the levels contemplated by the rating agencies at the time of their initial rating analysis or, in the case of the Class 2-A Certificates, by a change of the financial strength rating of the certificate insurer. None of the company, the master servicer, the securities administrator, the trustee or any of their respective affiliates will have any obligation to replace or supplement any credit enhancement, or to take any other action to maintain the ratings of the offered certificates. SEE "DESCRIPTION OF CREDIT ENHANCEMENT" IN THE PROSPECTUS. INTEREST GENERATED BY THE MORTGAGE LOANS AND AMOUNTS CONTRIBUTED FROM THE INTEREST COVERAGE ACCOUNTS MAY BE INSUFFICIENT TO CREATE OR MAINTAIN OVERCOLLATERALIZATION OR TO PROVIDE CROSS- COLLATERALIZATION The amount of interest generated by the mortgage loans (net of fees and expenses) and amounts contributed from the interest coverage account related to each loan group may be higher than the amount of interest required to be paid to the offered certificates. Any such excess interest will be used to provide additional credit enhancement by making payments of interest to non-related certificates, to reimburse the certificate insurer, to maintain the current level of overcollateralization by covering realized losses on the mortgage loans, to create additional overcollateralization until the required level of overcollateralization is reached and to provide cross-collateralization by covering realized losses on the mortgage loans in the other loan group. We cannot assure you, however, that enough excess interest will be available to create or maintain the required level of overcollateralization or to provide cross-collateralization. The factors described below will affect the amount of excess interest that the mortgage loans will generate: o Every time a mortgage loan is prepaid in full, excess interest may be reduced because the mortgage loan will no longer be outstanding and generating interest or, in the case of a partial prepayment, will be generating less interest. o Every time a mortgage loan is liquidated, excess interest may be reduced because such mortgage loans will no longer be outstanding and generating interest. S-12
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o If the rates of delinquencies, defaults or losses on the mortgage loans turn out to be higher than expected, excess interest will be reduced by the amount necessary to compensate for any shortfalls in cash available on such date to make required distributions on the offered certificates. o If prepayments, defaults and liquidations occur more rapidly on the mortgage loans with relatively higher interest rates than on the mortgage loans with relatively lower interest rates, the amount of excess interest generated by the mortgage loans will be less than would otherwise be the case. In addition, during the funding period, amounts on deposit in the pre-funding accounts will earn a limited amount of interest which will be available to the certificateholders. The interest earned will be significantly less than interest generated by the mortgage loans in the trust. Further, certain of the mortgage loans will not have a first scheduled payment due until October 2004 and, therefore, interest on such mortgage loans will not be available for payments in September 2004. Any such shortfalls will be covered by the interest coverage accounts as described in "Description of the Certificates--Interest Coverage Accounts" below, but will not be covered by any third-party, including the certificate insurer. THE DIFFERENCE BETWEEN THE INTEREST RATES ON THE OFFERED CERTIFICATES AND THE RELATED MORTGAGE LOANS MAY RESULT IN NET WAC SHORTFALL WITH RESPECT TO SUCH CERTIFICATES The pass-through rates with respect to the offered certificates adjust each month and are based upon the value of an index (One-Month LIBOR) plus the related certificate margin, limited by the weighted average of the net mortgage rates on the related mortgage loans. However, the mortgage rate of substantially all of the mortgage loans in loan group 1 and loan group 2 is based upon the value of an index (Six-Month LIBOR) plus the related gross margin, and adjusts semi-annually, commencing, in many cases, after an initial fixed-rate period. One-Month LIBOR and Six-Month LIBOR may respond differently to economic and market factors, and there is not necessarily any correlation between them. Moreover, the mortgage loans are subject to periodic rate caps, maximum mortgage rates and minimum mortgage rates. Also, because the mortgage rates on the mortgage loans generally adjust semi-annually, and, in many cases, after an initial fixed-rate period, there will be a delay between the change in Six-Month LIBOR and the rate on the related mortgage loan. Thus, it is possible, for example, that One-Month LIBOR may rise during periods in which Six-Month LIBOR is stable or falling or that, even if both One-Month LIBOR and Six-Month LIBOR rise during the same period, One-Month LIBOR may rise much more rapidly than Six-Month LIBOR. To the extent that the related pass-through rate is limited to the weighted average of the net mortgage rates of the related mortgage loans, Net WAC shortfall amounts may occur. SEE "DESCRIPTION OF THE CERTIFICATES--INTEREST PAYMENTS ON THE CERTIFICATES." The corridor contracts will be assigned to, or entered into by, the trust and the net amounts payable from these contracts will provide some protection against certain interest shortfalls on the offered certificates. However, net amounts payable under the corridor contracts are based on the parameters described in this prospectus supplement, and to the extent the actual performance of the mortgage loans differs from the expectations on which these parameters were based, the corridor contracts may provide insufficient funds to cover Net WAC shortfall amounts. To the extent that net amounts payable under the corridor contracts are insufficient to cover Net WAC shortfall amounts on the related certificates, related net monthly excess cashflow may be used, subject to the priorities described in this prospectus supplement. However, there can be no assurance that available net monthly excess cashflow will be sufficient to cover these shortfalls, particularly because in a situation where the pass-through rate on a class of certificates is limited to the weighted average net mortgage rates of the related mortgage loans, there will be little or no related net monthly excess cashflow. Net WAC S-13
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shortfall amounts with respect to the Class 2-A Certificates are not covered by the certificate guaranty insurance policy and may remain unpaid on the final scheduled distribution date. THE PASS-THROUGH RATES ON THE OFFERED CERTIFICATES ARE SUBJECT TO LIMITATION The offered certificates accrue interest at an annual rate equal to the least of (i) an adjustable pass- through rate, (ii) a maximum rate cap equal to 11.25% per annum and (iii) a rate equal to the weighted average of the interest rates on the related mortgage loans, net of certain fees and expenses of the trust as described in this prospectus supplement. A variety of factors could limit the pass-through rate on one or more classes of the offered certificates and adversely affect the yield to maturity on such class or classes of certificates: o If prepayments, defaults and liquidations occur more rapidly on the mortgage loans with relatively higher interest rates than on the mortgage loans with relatively lower interest rates, the pass- through rates on these offered certificates are more likely to be limited. o The interest rates on the offered certificates will vary with One-Month LIBOR. Therefore, the yield to investors on the offered certificates will be sensitive to fluctuations of One-Month LIBOR. o The required payment by the master servicer of mortgage insurance premiums from interest collected on the mortgage loans will result in the limits on the pass-through rates on these offered certificates being lower than would be the case if the master servicer did not have such obligations. The holders of these offered certificates WILL NOT be entitled to recover interest in excess of any applicable limited rate on any distribution date from excess cash flow or from any other source. SEE "DESCRIPTION OF THE CERTIFICATES-- OVERCOLLATERALIZATION PROVISIONS" IN THIS PROSPECTUS SUPPLEMENT. The offered certificates will be entitled to the benefit of corridor contracts to cover any shortfalls as a result of the pass-through rate on these certificates being reduced to the net weighted average rate. STATUTORY AND JUDICIAL LIMITATIONS ON FORECLOSURE PROCEDURES MAY DELAY RECOVERY IN RESPECT OF THE MORTGAGED PROPERTIES AND, IN SOME INSTANCES, LIMIT THE AMOUNT THAT MAY BE RECOVERED BY THE FORECLOSING LENDER, RESULTING IN LOSSES ON THE MORTGAGE LOANS THAT MIGHT CAUSE LOSSES OR SHORTFALLS TO BE INCURRED ON THE OFFERED CERTIFICATES Foreclosure procedures vary from state to state. Two primary methods of foreclosing a mortgage instrument are judicial foreclosure, involving court proceedings, and non-judicial foreclosure pursuant to a power of sale granted in the mortgage instrument. A foreclosure action is subject to most of the delays and expenses of other lawsuits if defenses are raised or counterclaims are asserted. Delays may also result from difficulties in locating necessary defendants. Non-judicial foreclosures may be subject to delays resulting from state laws mandating the recording of notice of default and notice of sale and, in some states, notice to any party having an interest of record in the real property, including junior lienholders. Some states have adopted "anti-deficiency" statutes that limit the ability of a lender to collect the full amount owed on a loan if the property sells at foreclosure for less than the full amount owed. In addition, United States courts have traditionally imposed general equitable principles to limit the remedies available to lenders in foreclosure actions that are perceived by the court as harsh or unfair. The effect of these statutes and judicial principles may be to delay and/or reduce distributions in respect of the offered certificates. SEE "LEGAL ASPECTS OF MORTGAGE LOANS--FORECLOSURE ON MORTGAGES AND SOME CONTRACTS" IN THE PROSPECTUS. S-14
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THE VALUE OF THE MORTGAGE LOANS MAY BE AFFECTED BY, AMONG OTHER THINGS, A DECLINE IN REAL ESTATE VALUES AND CHANGES IN THE BORROWERS' FINANCIAL CONDITION, WHICH MAY CAUSE LOSSES OR SHORTFALLS TO BE INCURRED ON THE OFFERED CERTIFICATES No assurance can be given that values of the mortgaged properties have remained or will remain at their levels as of the dates of origination of the related mortgage loans. If the residential real estate market should experience an overall decline in property values so that the outstanding balances of the mortgage loans, and any secondary financing on the mortgaged properties, become equal to or greater than the value of the mortgaged properties, the actual rates of delinquencies, foreclosures and losses could be higher than those now generally experienced in the mortgage lending industry. A decline in property values is more likely to result in losses on mortgage loans with high loan-to-value ratios. Such losses will be allocated to the offered certificates to the extent not covered by credit enhancement. THE GROUP 1 LOANS AND GROUP 2 LOANS WERE UNDERWRITTEN TO NON-CONFORMING UNDERWRITING STANDARDS, WHICH MAY RESULT IN LOSSES OR SHORTFALLS ON THE OFFERED CERTIFICATES The group 1 loans and group 2 loans were underwritten generally in accordance with underwriting standards which are primarily intended to provide for single family "non-conforming" mortgage loans. A "non-conforming" mortgage loan means a mortgage loan which is ineligible for purchase by Fannie Mae or Freddie Mac due to either credit characteristics of the related mortgagor or documentation standards in connection with the underwriting of the related mortgage loan that do not meet the Fannie Mae or Freddie Mac underwriting guidelines for "A" credit mortgagors. These credit characteristics include mortgagors whose creditworthiness and repayment ability do not satisfy such Fannie Mae or Freddie Mac underwriting guidelines and mortgagors who may have a record of credit write-offs, outstanding judgments, prior bankruptcies and other credit items that do not satisfy such Fannie Mae or Freddie Mac underwriting guidelines. These documentation standards may include mortgagors who provide limited or no documentation in connection with the underwriting of the related mortgage loan. Accordingly, mortgage loans underwritten under the seller's non-conforming credit underwriting standards are likely to experience rates of delinquency, foreclosure and loss that are higher, and may be substantially higher, than mortgage loans originated in accordance with the Fannie Mae or Freddie Mac underwriting guidelines. Any resulting losses, to the extent not covered by credit enhancement, may affect the yield to maturity of the offered certificates. SOME OF THE MORTGAGE LOANS HAVE AN INITIAL INTEREST ONLY PERIOD, WHICH MAY RESULT IN INCREASED DELINQUENCIES AND LOSSES WITH RESPECT TO THESE MORTGAGE LOANS Approximately 0.03%, 1.20%, 3.68%, 45.85% and 4.60% of the sample mortgage loans in loan group 1 (by aggregate outstanding principal balance of the related sample mortgage loans as of the cut-off date) have initial interest only periods of six months, two, three, five, and ten years, respectively, and approximately 0.04%, 0.72%, 0.39%, 41.81%, and 2.03% of the sample mortgage loans in loan group 2 (by aggregate outstanding principal balance of the related sample mortgage loans as of the cut-off date) have initial interest only periods of six months and two, three, five and ten years, respectively. During this period, the payment made by the related borrower will be less than it would be if the mortgage loan amortized. In addition, the mortgage loan balance will not be reduced by the principal portion of scheduled monthly payments during this period. As a result, no principal payments will be made to the offered certificates from these mortgage loans during their interest only period except in the case of a prepayment. After the initial interest only period, the scheduled monthly payment on these mortgage loans will increase, which may result in increased delinquencies by the related borrowers, particularly if interest rates have increased and the borrower is unable to refinance. In addition, losses may be greater on these mortgage S-15
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loans as a result of the mortgage loan not amortizing during the early years of these mortgage loans. Although the amount of principal included in each scheduled monthly payment for a traditional mortgage loan is relatively small during the first few years after the origination of a mortgage loan, in the aggregate the amount can be significant. Any resulting delinquencies and losses, to the extent not covered by credit enhancement, will be allocated to the offered certificates. Mortgage loans with an initial interest only period are relatively new in the mortgage marketplace. The performance of these mortgage loans may be significantly different than mortgage loans that fully amortize. In particular, there may be a higher expectation by these borrowers of refinancing their mortgage loans with a new mortgage loan, in particular one with an initial interest only period, which may result in higher or lower prepayment speeds than would otherwise be the case. In addition, the failure to build equity in the property by the related mortgagor may affect the delinquency and prepayment of these mortgage loans. THE MORTGAGE LOANS ARE CONCENTRATED IN THE STATE OF CALIFORNIA, WHICH MAY RESULT IN LOSSES WITH RESPECT TO THESE MORTGAGE LOANS Investors should note that some geographic regions of the United States from time to time will experience weaker regional economic conditions and housing markets, and, consequently, will experience higher rates of loss and delinquency than will be experienced on mortgage loans generally. For example, a region's economic condition and housing market may be directly, or indirectly, adversely affected by natural disasters such as earthquakes, hurricanes, floods and eruptions, civil disturbances such as riots, and by other disruptions such as ongoing power outages or terrorist actions or acts of war. The economic impact of any of these types of events may also be felt in areas beyond the region immediately affected by the disaster or disturbance. Approximately 53.64% and 44.17% of the sample mortgage loans in loan group 1 and loan group 2, respectively (by aggregate outstanding principal balance of the related sample mortgage loans as of the cut-off date), are in the state of California. The concentration of the mortgage loans in the state of California may present risk considerations in addition to those generally present for similar mortgage-backed securities without this concentration. Any risks associated with mortgage loan concentration may affect the yield to maturity of the offered certificates to the extent losses caused by these risks which are not covered by credit enhancement are allocated to the offered certificates. THE RATE AND TIMING OF PREPAYMENTS WILL AFFECT YOUR YIELD Borrowers may prepay their mortgage loans in whole or in part at any time. We cannot predict the rate at which borrowers will repay their mortgage loans. A prepayment of a mortgage loan generally will result in a prepayment on the certificates. o If you purchase your certificates at a discount and principal is repaid slower than you anticipate, then your yield may be lower than you anticipate. o If you purchase your certificates at a premium and principal is repaid faster than you anticipate, then your yield may be lower than you anticipate. o The rate of prepayments on the mortgage loans will be sensitive to prevailing interest rates. Generally, if interest rates decline, mortgage loan prepayments may increase due to the availability of other mortgage loans at lower interest rates. Conversely, if prevailing interest rates rise significantly, the prepayments on mortgage loans may decrease. o Approximately 67.19% and 69.55% of all of the sample mortgage loans in loan group 1 and loan group 2, respectively (by aggregate outstanding principal balance of the related sample mortgage loans S-16
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as of the cut-off date), require the mortgagor to pay a charge in certain instances if the mortgagor prepays the mortgage loan during a stated period, which may be from six months to five years after the mortgage loan was originated. A prepayment charge may or may not discourage a mortgagor from prepaying the mortgage loan during the applicable period. o The seller may be required to purchase mortgage loans from the trust in the event certain breaches of representations and warranties occur and have not been cured. These purchases will have the same effect on the holders of the offered certificates as a prepayment of the mortgage loans. o The overcollateralization provisions, initially and whenever overcollateralization is at a level below the required level, are intended to result in an accelerated rate of principal distributions to holders of the classes of offered certificates then entitled to distributions of principal. An earlier return of principal to the holders of the offered certificates as a result of the overcollateralization provisions will influence the yield on the offered certificates in a manner similar to the manner in which principal prepayments on the mortgage loans will influence the yield on the offered certificates. o Because principal distributions are paid to certain classes of offered certificates before other such classes, holders of classes of offered certificates having a later priority of payment bear a greater risk of losses than holders of classes having earlier priorities for distribution of principal. SEE "YIELD, PREPAYMENT AND MATURITY CONSIDERATIONS" IN THIS PROSPECTUS SUPPLEMENT FOR A DESCRIPTION OF FACTORS THAT MAY INFLUENCE THE RATE AND TIMING OF PREPAYMENTS ON THE MORTGAGE LOANS AND THE WEIGHTED AVERAGE LIVES OF THE OFFERED CERTIFICATES. THE MORTGAGE LOANS MAY HAVE ENVIRONMENTAL RISKS, WHICH MAY RESULT IN INCREASED LOSSES WITH RESPECT TO THESE MORTGAGE LOANS To the extent the master servicer for a mortgage loan acquires title to any related mortgaged property contaminated with or affected by hazardous wastes or hazardous substances, these mortgage loans may incur losses. SEE "SERVICING OF MORTGAGE LOANS--REALIZATION UPON OR SALE OF DEFAULTED MORTGAGE LOANS" AND "LEGAL ASPECTS OF MORTGAGE LOANS--ENVIRONMENTAL LEGISLATION" IN THE PROSPECTUS. To the extent these environmental risks result in losses on the mortgage loans, the yield to maturity of the offered certificates, to the extent not covered by credit enhancement, may be affected. SOME ADDITIONAL RISKS ARE ASSOCIATED WITH THE CLASS 1-A-5 CERTIFICATES AND MEZZANINE CERTIFICATES The weighted average lives of, and the yields to maturity on, the Class 1-A-5, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and Class B Certificates will be progressively more sensitive, in that order, to the rate and timing of mortgagor defaults and the severity of ensuing losses on the mortgage loans. If the actual rate and severity of losses on the mortgage loans is higher than those assumed by an investor in such certificates, the actual yield to maturity of such certificates may be lower than the yield anticipated by such holder based on such assumption. The timing of losses on the mortgage loans will also affect an investor's actual yield to maturity, even if the rate of defaults and severity of losses over the life of the mortgage pool are consistent with an investor's expectations. In general, the earlier a loss occurs, the greater the effect on an investor's yield to maturity. Realized losses on the mortgage loans, to the extent they exceed the amount of overcollateralization following distributions of principal on the related distribution date, will reduce the certificate principal balance of the class of Mezzanine Certificates then outstanding with the lowest payment priority. In addition, after the certificate principal balance of the Mezzanine Certificates has been reduced to zero, any realized losses on the mortgage loans in loan group 1 will be allocated to the Class 1-A-5 Certificates. As a result of such reductions, less interest will accrue on the Class 1-A-5 Certificates and such S-17
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class of Mezzanine Certificates than would otherwise be the case. Once a Realized Loss is allocated to a Class 1-A-5 Certificate and Mezzanine Certificate, no amounts will be distributable with respect to such written down amount. If the certificate principal balances of the Class 1-A-5 Certificates and Mezzanine Certificates have been reduced to zero, there may not be enough principal and interest generated from the mortgage loans available to for payments on the other classes of offered certificates, to the extent that realized losses on the mortgage loans reduce the amount available to be paid to such certificates. In addition, the yield on the Class 1-A-5 Certificates and Mezzanine Certificates will be sensitive to changes in the rates of prepayment of the mortgage loans. Because distributions of principal will be made to the holders of such certificates according to the priorities described in this prospectus supplement, the yield to maturity on such classes of certificates will be sensitive to the rates of prepayment on the mortgage loans experienced both before and after the commencement of principal distributions on such classes. The yield to maturity on such classes of certificates will also be extremely sensitive to losses due to defaults on the mortgage loans (and the timing thereof), to the extent such losses are not covered by excess interest, overcollateralization, or a class of Mezzanine Certificates with a lower payment priority. Furthermore, as described in this prospectus supplement, the timing of receipt of principal and interest by the Class 1-A-5 Certificates and Mezzanine Certificates may be adversely affected by losses even if such classes of certificates do not ultimately bear such loss. PREPAYMENT INTEREST SHORTFALLS AND RELIEF ACT SHORTFALLS WILL AFFECT YOUR YIELD When a principal prepayment in full is made on a mortgage loan, the mortgagor is charged interest only up to the date of the principal prepayment, instead of for a full month. When a partial principal prepayment is made on a mortgage loan, the mortgagor is not charged interest on the amount of the prepayment for the month in which the prepayment is made. In addition, the application of the Servicemembers Civil Relief Act, as amended, to any mortgage loan will adversely affect, for an indeterminate period of time, the ability of the Subservicer and Master Servicer to collect full amounts of interest on the mortgage loan. This may result in a shortfall in interest collections available for distribution to certificateholders on the next distribution date. The Subservicer is required to cover a portion of the shortfall in interest collections that are attributable to prepayments, but only up to the amount of the Subservicer's aggregate servicing fee for the related calendar month, and the Master Servicer is required to cover a portion of the shortfall in interest collections that are attributable to prepayments, but only up to the amount required to be paid by the Subservicer which is not paid by the Subservicer and the amount of the Master Servicer's aggregate servicing fee for the related calendar month. In addition, certain shortfalls in interest collections arising from the application of the Relief Act will not be covered by the Subservicer or the Master Servicer. Further, any such shortfalls on the Class 2-A Certificates will not be covered by the certificate guaranty insurance policy. On any distribution date, any shortfalls resulting from the application of the Relief Act and any Prepayment Interest Shortfalls to the extent not covered by Compensating Interest paid by the Subservicer or the Master Servicer will be allocated, first, in reduction of amounts otherwise distributable to the holders of the Class C Certificates, and thereafter, to the Monthly Interest Distributable Amounts with respect to the offered certificates on a pro rata basis based on the respective amounts of interest accrued on such certificates for such distribution date. The holders of the offered certificates will be entitled to reimbursement for any such interest shortfalls with interest thereon solely from the net monthly excess cashflow in accordance with the payment provisions in this prospectus supplement. If these shortfalls are allocated to the offered certificates and are not reimbursed on any distribution date, the amount of interest paid to those certificates will be reduced, adversely affecting the yield on your investment. S-18
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VIOLATION OF VARIOUS FEDERAL AND STATE LAWS MAY RESULT IN LOSSES ON THE MORTGAGE LOANS Applicable state laws generally regulate interest rates and other charges, require specific disclosure, and require licensing of the seller. In addition, other state laws, public policy and general principles of equity relating to the protection of consumers, unfair and deceptive practices and debt collection practices may apply to the origination, servicing and collection of the mortgage loans. The mortgage loans also are subject to federal laws, including: o the Federal Truth-in-Lending Act and Regulation Z promulgated thereunder, which require specific disclosures to the borrowers regarding the terms of the mortgage loans; o the Equal Credit Opportunity Act and Regulation B promulgated thereunder, which prohibit discrimination on the basis of age, race, color, sex, religion, marital status, national origin, receipt of public assistance or the exercise of any right under the Consumer Credit Protection Act, in the extension of credit; and o the Fair Credit Reporting Act, which regulates the use and reporting of information related to the borrower's credit experience. Depending on the provisions of the applicable law and the specific facts and circumstances involved, violations of these federal or state laws, policies and principles may limit the ability of the trust to collect all or part of the principal of or interest on the mortgage loans, may entitle the borrower to a refund of amounts previously paid and, in addition, could subject the trust to damages and administrative enforcement. The seller will represent that as of the closing date, to the best of seller's knowledge, each mortgage loan at the time it was originated complied in all material respects with applicable local, state and federal laws, including, without limitation, usury, equal credit opportunity, truth-in-lending and disclosure laws; and each mortgage loan is being serviced in all material respects in accordance with applicable local, state and federal laws, including, without limitation, usury, equal credit opportunity and disclosure laws. In the event of a breach of this representation, it will be obligated to cure the breach or repurchase or replace the affected mortgage loan in the manner described in the prospectus. THERE MAY BE VARIATIONS IN THE MORTGAGE LOANS FROM THE SAMPLE MORTGAGE LOANS The sample mortgage loans include mortgage loans whose characteristics may vary from the specific characteristics reflected in the mortgage loans, although the extent of such variance is not expected to be material. Within 15 days of the closing date, tables will be filed on Form 8-K reflecting the mortgage loans. THERE MAY BE VARIATIONS IN THE SUBSEQUENT MORTGAGE LOANS FROM THE INITIAL MORTGAGE LOANS Each subsequent mortgage loan in loan group 1 and loan group 2 generally will satisfy the eligibility criteria described in this prospectus supplement at the time of its sale to the trust. The characteristics of the subsequent mortgage loans in loan group 1 and loan group 2, however, may vary from the specific characteristics reflected in the statistical information relating to the sample mortgage loans presented in this prospectus supplement, although the extent of such variance is not expected to be material. Within 15 days of the delivery of the last subsequent mortgage loan in loan group 1 and loan group 2 to the trust, tables will be filed on Form 8-K reflecting the final pool of mortgage loans. S-19
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MANDATORY PREPAYMENT To the extent that the amounts on deposit in the pre-funding accounts have not been fully applied to the purchase of subsequent mortgage loans in loan group 1 and loan group 2 on or before September 30, 2004, the holders of the certificates then entitled to principal distributions will receive on the distribution date immediately following September 30, 2004, any amounts remaining in the pre-funding accounts. Although no assurance can be given, the company intends that the principal amount of subsequent mortgage loans in loan group 1 and loan group 2 sold to the trustee on behalf of the trust will require the application of substantially all amounts on deposit in the pre-funding accounts and that there will be no material principal payment to the holders of the certificates on such distribution date. THE RATINGS ON THE OFFERED CERTIFICATES ARE NOT A RECOMMENDATION TO BUY, SELL OR HOLD THE OFFERED CERTIFICATES AND ARE SUBJECT TO WITHDRAWAL AT ANY TIME, WHICH MAY RESULT IN LOSSES ON THE OFFERED CERTIFICATES It is a condition to the issuance of the offered certificates that each class of offered certificates be rated no lower than the ratings described on page S-4 of this prospectus supplement. A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time. No person is obligated to maintain the rating on any offered certificate, and, accordingly, there can be no assurance that the ratings assigned to any offered certificate on the date on which the offered certificates are initially issued will not be lowered or withdrawn by a rating agency at any time thereafter. In the event any rating is revised or withdrawn, the liquidity or the market value of the related offered certificates may be adversely affected. SEE "RATINGS" IN THIS PROSPECTUS SUPPLEMENT AND IN THE PROSPECTUS. THE RECORDING OF MORTGAGES IN THE NAME OF MERS MAY AFFECT THE YIELD ON THE CERTIFICATES. The mortgages or assignments of mortgage for some of the mortgage loans have been or may be recorded in the name of Mortgage Electronic Registration Systems, Inc., or MERS, solely as nominee for the seller and its successors and assigns. Subsequent assignments of those mortgages are registered electronically through the MERS(R) System. However, if MERS discontinues the MERS(R) System and it becomes necessary to record an assignment of the mortgage to the trustee, then any related expenses shall be paid by the trust and will reduce the amount available to pay principal of and interest on the mezzanine certificates. The recording of mortgages in the name of MERS is a new practice in the mortgage lending industry. Public recording officers and others may have limited, if any, experience with lenders seeking to foreclose mortgages, assignments of which are registered with MERS. Accordingly, delays and additional costs in commencing, prosecuting and completing foreclosure proceedings and conducting foreclosure sales of the mortgaged properties could result. Those delays and additional costs could in turn delay the distribution of liquidation proceeds to certificateholders and increase the amount of losses on the mortgage loans. FOR ADDITIONAL INFORMATION REGARDING MERS AND THE MERS(R) SYSTEM, SEE "DESCRIPTION OF THE MORTGAGE POOL--MORTGAGE POOL CHARACTERISTICS" AND "YIELD ON THE CERTIFICATES--YIELD SENSITIVITY OF THE MEZZANINE CERTIFICATES" IN THIS PROSPECTUS SUPPLEMENT. S-20
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THE MORTGAGE POOL GENERAL References to percentages of the mortgage loans unless otherwise noted are calculated based on the aggregate principal balance of the sample mortgage loans as of the Cut-off Date. The mortgage pool will consist of two groups of mortgage loans, referred to in this prospectus supplement as "Loan Group 1" and "Loan Group 2" (and each, a "Loan Group"), and also designated as the "Group 1 Loans" and the "Group 2 Loans", respectively. The Group 1 Loans are one- to four-family, adjustable-rate, fully-amortizing residential mortgage loans with non-conforming loan balances secured by first liens on mortgaged properties. The Group 2 Loans are one- to four-family, adjustable-rate, fully- amortizing residential mortgage loans with conforming loan balances secured by first liens on mortgaged properties. The mortgage loans will have original terms to maturity of not greater than 30 years. The Group 1 Loans will consist of mortgage loans which had principal balances at origination which may or may not be greater than Fannie Mae or Freddie Mac conforming balances and the Group 2 Loans will consist of mortgage loans which had principal balances at origination which are less than or equal to Fannie Mae or Freddie Mac conforming balances. The conforming balance for mortgage loans secured by a single family property is $333,700 for all mortgage loans other than those originated in Alaska, Hawaii, Guam and the U.S. Virgin Islands, for which it is $500,550. The conforming balance is higher for mortgage loans secured by two- to four-family properties. Notwithstanding these conforming balances, the Group 2 Loans have been originated according to underwriting standards that do not satisfy Fannie Mae or Freddie Mac underwriting criteria. The 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 Seller will convey the initial mortgage loans to the company on the Closing Date pursuant to the Mortgage Loan Purchase Agreement and the company will convey the initial mortgage loans to the trust on the Closing Date pursuant to the 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 by the company to the Trustee for the benefit of the Certificateholders and the Certificate Insurer. As more particularly described in the prospectus, the Seller will have certain repurchase or substitution obligations in connection with a breach of any such representation or warranty, as well as in connection with an omission or defect in respect of certain constituent documents required to be delivered with respect to the mortgage loans, if such breach, omission or defect cannot be cured and it materially and adversely affects the interests of the Certificateholders or the Certificate Insurer. In the event the Seller fails S-21
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to repurchase a mortgage loan, Impac Holdings will be required to do so. 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" BELOW. Substantially all of the mortgage loans will be subserviced by Countrywide Home Loans Servicing LP or an affiliate thereof and Wells Fargo Bank, N.A., as described in this prospectus supplement under "Pooling and Servicing Agreement--The Subservicers" in this prospectus supplement. All of the mortgage loans have scheduled monthly payments due on the Due Date. Each mortgage loan will contain a customary "due-on-sale" clause. Certain of the mortgage loans will have their first scheduled monthly payments due in October 2004. As to those mortgage loans, no principal amortization payments will be distributed (unless prepayments are received thereon) until the distribution date occurring in October 2004, the month in which the first scheduled monthly payment is due. However, on the Closing Date, cash will be deposited in the Interest Coverage Account in an amount equal to one month's interest accrued from August 1, 2004 (at the related mortgage rates) on such mortgage loans, to be remitted to the securities administrator for distribution on the distribution date occurring in September 2004, the month prior to the month in which the first scheduled monthly payment is due on such mortgage loans. In addition, the Interest Coverage Account will be available to cover any interest shortfalls as a result of the pre-funding feature as provided in the Agreement. MORTGAGE RATE ADJUSTMENT The mortgage rate on the mortgage loans will generally adjust semi-annually commencing after an initial period after origination of generally one month, three months, six months, one year, two years, three years, five years, seven years or ten 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 a substantial majority of the sample mortgage loans in Loan Group 1 and substantially all of the sample mortgage loans in Loan Group 2 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 sample 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. 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. S-22
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INDICES ON THE MORTGAGE LOANS The index applicable to the determination of the mortgage rate on approximately 93.02% and 98.85% (in each case, by aggregate outstanding principal balance of the related sample mortgage loans as of the Cut- off Date) of the sample Group 1 Loans and sample Group 2 Loans, 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 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 mortgage loan based on Six-Month LIBOR. [Download Table] 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 1.09 April 6.08 5.87 5.08 6.61 4.23 2.10 1.29 1.10 May 6.01 5.81 5.19 7.06 3.91 2.09 1.22 1.11 June 5.94 5.87 5.62 7.01 3.83 1.95 1.12 1.36 July 5.83 5.82 5.65 6.88 3.70 1.86 1.15 1.99 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 5.85% and 0.58% (in each case, by aggregate outstanding principal balance of the related sample mortgage loans as of the Cut- off Date) of the sample mortgage loans in Loan Group 1 and the sample mortgage loans in Loan Group 2, respectively, 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. The index applicable to the determination of the mortgage rate on approximately 0.88% and 0.40% (in each case, by aggregate outstanding principal balance of the related sample mortgage loans as of the Cut- off Date) of the sample mortgage loans in Loan Group 1 and the sample mortgage loans in Loan Group 2, respectively, will be based on One-Month LIBOR. One-Month LIBOR will be a per annum rate equal to the average of interbank offered rates for one-month U.S. dollar-denominated deposits in the London market based on quotations of major banks as published in The Wall Street Journal and are most recently available as of the time specified in the related mortgage note. S-23
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The index applicable to the determination of the mortgage rate on approximately 0.25% and 0.17% (in each case, by aggregate outstanding principal balance of the related sample mortgage loans as of the Cut- off Date) of the sample mortgage loans in Loan Group 1 and the sample mortgage loans in Loan Group 2, respectively, will be based on Three-Month LIBOR. Three-Month LIBOR will be a per annum rate equal to the average of interbank offered rates for three-month U.S. dollar-denominated deposits in the London market based on quotations of major banks as published in The Wall Street Journal and are most recently available as of the time specified in the related mortgage note. PREPAYMENT CHARGES Approximately 67.19% of the sample mortgage loans in Loan Group 1 and 69.55% of the sample mortgage loans in Loan Group 2, provide for payment by the mortgagor of a prepayment charge in limited circumstances on prepayments. Generally, these mortgage loans provide for payment of a prepayment charge on partial or full prepayments made within six months, one year, five years or other period as provided in the related mortgage note from the date of origination of the mortgage loan. The amount of the prepayment charge is as provided in the related mortgage note, and the prepayment charge will generally apply if, in any twelve-month period during the first year, five years or other period as provided in the related mortgage note from the date of origination of the mortgage loan, the mortgagor prepays an aggregate amount exceeding 20% of the original principal balance of the mortgage loan. The amount of the prepayment charge will generally be equal to 6 months' advance interest calculated on the basis of the mortgage rate in effect at the time of the prepayment on the amount prepaid in excess of 20% of the original principal balance of the mortgage loan. The holders of the Class P Certificates will be entitled to all prepayment charges received on the mortgage loans, and these amounts will not be available for distribution on the other classes of certificates. The Master Servicer may waive the collection of any otherwise applicable prepayment charge or reduce the amount thereof actually collected, but only if the Master Servicer does so in compliance with the prepayment charge waiver standards set forth in the Agreement. If the Master Servicer waives any prepayment charge other than in accordance with the standards set forth in the Agreement, the Master Servicer will be required to pay the amount of the waived prepayment charge. There can be no assurance that the prepayment charges will have any effect on the prepayment performance of the mortgage loans. PRIMARY MORTGAGE INSURANCE AND THE RADIAN LENDER-PAID PMI POLICY Each mortgage loan with a loan-to-value ratio at origination in excess of 80.00% will be insured by one of the following: (1) a Primary Insurance Policy issued by a private mortgage insurer (other than a Radian Lender-Paid PMI Policy) or (2) a Radian Lender-Paid PMI Policy. Each Primary Insurance Policy will insure against default under each insured mortgage note as follows: (A) for which the outstanding principal balance at origination of such mortgage loan is greater than or equal to 80.01% and up to and including 90.00% of the lesser of the Appraised Value and the sales price, such mortgage loan is covered by a Primary Insurance Policy in an amount equal to at least 12.00% of the Allowable Claim and (B) for which the outstanding principal balance at origination of such mortgage loan exceeded 90.01% of the lesser of the Appraised Value and the sales price, such mortgage loan is covered by a Primary Insurance Policy in an amount equal to at least 30.00% of the Allowable Claim. Each Radian Lender-Paid PMI Policy will insure against default under each insured mortgage note as follows: (A) for which the outstanding principal balance at origination of such mortgage loan is greater than or equal to 80.01% and up to and including 95.00% of the lesser of the Appraised Value and the sales price, such mortgage loan is covered by a Radian Lender-Paid PMI Policy in an amount equal to at least 22.00% of the Allowable Claim and (B) for which the outstanding principal balance at origination of such mortgage loan is at least 95.01% and up to and including 97.00% of the lesser of the Appraised Value and S-24
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the sales price, such mortgage loan is covered by such Radian Lender-Paid PMI Policy in an amount equal to at least 35.00% of the Allowable Claim. With respect to the Radian Lender-Paid PMI Policies, the premium will be payable by the Master Servicer out of interest collections on the mortgage loans at a rate equal to the related Radian PMI Rate. The Radian PMI Rates for the sample mortgage loans range from 0.280% to 2.430% of the Stated Principal Balance of the related Radian PMI Insured Loan and the Radian PMI Rates for the sample mortgage loans have a weighted average of approximately 1.062%. 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 Certificate Insurer. 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. SAMPLE MORTGAGE LOAN CHARACTERISTICS The statistical information included in this prospectus supplement with respect to the mortgage loans is based on a pool of 9,136 sample mortgage loans, 70.96% of which are in Loan Group 1 and 29.04% of which are in Loan Group 2. References to percentages of the sample mortgage loans unless otherwise noted are calculated based on the aggregate principal balance of the sample mortgage loans as of the Cut-off Date. The original mortgages for some of the mortgage loans have been, or in the future may be, at the sole discretion of the Master Servicer, recorded in the name of Mortgage Electronic Registration Systems, Inc., or MERS, solely as nominee for the Seller and its successors and assigns, and subsequent assignments of those mortgages have been, or in the future may be, at the sole discretion of the Master Servicer, registered electronically through the MERS(R) System. In some other cases, the original mortgage was recorded in the name of the originator of the mortgage loan, record ownership was later assigned to MERS, solely as nominee for the owner of the mortgage loan, and subsequent assignments of the mortgage were, or in the future may be, at the sole discretion of the Master Servicer, registered electronically through the MERS(R) System. For each of these mortgage loans, MERS serves as mortgagee of record on the mortgage solely as a nominee in an administrative capacity on behalf of the trustee, and does not have any interest in the mortgage loan. Some of the sample Group 1 Loans and sample Group 2 Loans were recorded in the name of MERS. For additional information regarding the recording of mortgages in the name of MERS see "Yield on the Certificates--Yield Sensitivity of the Mezzanine Certificates" in this prospectus supplement. LOAN GROUP 1 The sample Group 1 Loans had an aggregate principal balance as of the Cut-off Date of approximately $1,631,999,917, after application of scheduled payments due on or before the Cut-off Date, whether or not received. All of the sample Group 1 Loans are secured by first liens on the related mortgaged property. The average principal balance of the sample Group 1 Loans at origination was approximately $268,819. No sample Group 1 Loan had a principal balance at origination of greater than approximately $4,000,000 or less than approximately $22,050. The average principal balance of the sample Group 1 Loans S-25
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as of the Cut-off Date was approximately $268,377. No sample Group 1 Loan had a principal balance as of the Cut-off Date of greater than approximately $4,000,000 or less than approximately $9,154. As of the Cut-off Date, the sample Group 1 Loans had mortgage rates ranging from approximately 2.875% per annum to approximately 10.000% per annum and the weighted average mortgage rate was approximately 5.530% per annum. The weighted average remaining term to stated maturity of the sample Group 1 Loans was approximately 359 months as of the Cut-off Date. None of the sample Group 1 Loans will have a first Due Date prior to September 1, 1999, or after October 1, 2004, or will have a remaining term to maturity of less than 300 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any sample Group 1 Loan is September 1, 2034. Approximately 0.03%, 1.20%, 3.68%, 45.85% and 4.60% of the sample Group 1 Loans have initial interest only periods of six months, two, three, five and ten years, respectively. The loan-to-value ratio of a mortgage loan secured by a first lien is equal to the ratio, expressed as a percentage, of the principal amount of the loan at origination, to the lesser of the appraised value of the related mortgaged property at the time of origination and the sales price. The weighted average of the loan-to- value ratios at origination of the sample Group 1 Loans was approximately 79.77%. No loan-to-value ratio at origination of any sample Group 1 Loan was greater than approximately 100.00% or less than approximately 12.90%. None of the sample Group 1 Loans are buydown mortgage loans. None of the Group 1 Loans will be subject to the Home Ownership and Equity Protection Act of 1994 or any comparable state law. Substantially all of the sample Group 1 Loans will not have reached their first adjustment date as of the Closing Date. Approximately 67.19% of the sample Group 1 Loans provide for prepayment charges. Approximately 20.88% and 9.78% of the sample Group 1 Loans are covered by a Primary Insurance Policy and the Radian Lender-Paid PMI Policy, respectively. For the sample 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 1.065% 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 sample Group 1 Loans as of the Cut-off Date, except as otherwise indicated. All percentages of the sample 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. S-26
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MORTGAGE LOAN PROGRAMS(1) [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL LOAN PROGRAMS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV ------------- --------------- ----- ----- ------- --- -------- ----- --- 30Y LIBOR 1MO............ $ 2,595,170 8 0.16% $324,396 4.906% 359.73 686 74.10% 30Y LIBOR 1MO IO......... 11,708,349 28 0.72 418,155 4.557 359.51 718 74.24 30Y LIBOR 3MO IO......... 4,100,300 10 0.25 410,030 5.087 359.73 691 78.78 30Y LIBOR 6MO............ 30,063,273 113 1.84 266,047 5.818 359.06 678 82.09 30Y LIBOR 6MO IO......... 161,957,902 503 9.92 321,984 5.230 359.42 702 78.28 30Y LIBOR 12MO........... 1,553,111 8 0.10 194,139 6.708 359.86 644 84.54 30Y LIBOR 12MO IO........ 7,833,992 26 0.48 301,307 5.224 359.71 696 77.29 2/28 LIBOR 6MO........... 404,573,218 1,818 24.79 222,538 5.551 357.86 681 84.88 2/28 LIBOR 6MO IO........ 445,424,375 1,398 27.29 318,615 5.841 359.23 687 80.41 3/27 LIBOR 6MO........... 242,656,819 1,233 14.87 196,802 5.303 357.99 678 80.43 3/27 LIBOR 6MO IO........ 126,526,329 439 7.75 288,215 5.530 359.26 701 74.72 3/1 LIBOR 12MO........... 23,108,418 41 1.42 563,620 4.377 355.82 719 71.27 3/1 LIBOR 12MO IO........ 55,824,725 88 3.42 634,372 4.670 356.39 728 72.54 5/25 LIBOR 6MO........... 21,413,296 83 1.31 257,992 5.987 359.20 703 71.73 5/25 LIBOR 6MO IO........ 72,255,649 256 4.43 282,249 5.855 359.20 707 71.02 5/1 LIBOR 12MO........... 1,307,283 5 0.08 261,457 6.488 359.66 665 85.01 5/1 LIBOR 12MO IO........ 5,865,200 7 0.36 837,886 6.263 358.07 730 74.66 7/23 LIBOR 6MO........... 1,111,252 4 0.07 277,813 5.837 356.37 703 77.35 7/23 LIBOR 6MO IO........ 7,109,371 10 0.44 710,937 5.774 349.02 725 66.01 10/20 LIBOR 6MO.......... 111,886 1 0.01 111,886 5.875 359.00 745 57.43 10/20 LIBOR 6MO IO....... 4,900,000 2 0.30 2,450,000 5.138 357.18 730 63.69 -------------- ----- ------ -------- ----- ------ --- ----- Total........... $1,631,999,917 6,081 100.00% $268,377 5.530% 358.53 690 79.77% ============== ===== ====== ____________ (1) A mortgage loan with a loan program including the term "30Y LIBOR 1MO" has a term of 30 years and the mortgage rate adjusts monthly based on the value of One-Month LIBOR. A mortgage loan with a loan program including the term "30Y LIBOR 3MO" has a term of 30 years and the mortgage rate adjusts quarterly based on the value of Three-Month LIBOR. A mortgage loan with a loan program including the term "30Y LIBOR 6MO" has a term of 30 years and the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term "30Y LIBOR 12MO" has a term of 30 years and the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term "2/28 LIBOR 6MO" has a term of 30 years, the first two of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term "3/27 LIBOR 6MO" has a term of 30 years, the first three of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term "3/1 LIBOR 12MO" has a term of 30 years, the first three of which consist of a fixed rate period, and thereafter the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term "5/25 LIBOR 6MO" has a term of 30 years, the first five of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term "5/1 LIBOR 12MO" has a term of 30 years, the first five of which consist of a fixed rate period, and thereafter the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term "7/23 LIBOR 6MO" has a term of 30 years, the first seven of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR . A mortgage loan with a loan program including the term "10/20 LIBOR 6MO" has a term of 30 years, the first ten of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. Any mortgage loan with a loan program including the term "IO" has an interest only period. S-27
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PRINCIPAL BALANCES AS OF ORIGINATION [Enlarge/Download Table] 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............. $ 2,666,655 68 0.16% $39,216 5.905% 357.29 703 85.61% $50,000.01 - $100,000.00....... 65,458,761 790 4.01 82,859 5.840 358.43 682 80.76 $100,000.01 - $150,000.00...... 138,215,104 1,148 8.47 120,396 5.781 358.54 685 81.81 $150,000.01 - $200,000.00...... 132,641,469 760 8.13 174,528 5.681 358.63 688 81.10 $200,000.01 - $250,000.00...... 131,687,972 586 8.07 224,724 5.588 358.71 690 81.64 $250,000.01 - $300,000.00...... 129,301,323 471 7.92 274,525 5.553 358.80 691 80.17 $300,000.01 - $350,000.00...... 157,791,997 481 9.67 328,050 5.518 358.66 689 80.55 $350,000.01 - $400,000.00...... 213,813,375 570 13.10 375,111 5.486 358.60 690 81.35 $400,000.01 - $450,000.00...... 141,083,233 332 8.64 424,949 5.525 358.66 697 81.05 $450,000.01 - $500,000.00...... 130,509,386 274 8.00 476,312 5.478 358.48 689 80.32 $500,000.01 - $550,000.00...... 96,959,234 185 5.94 524,104 5.453 358.63 691 79.60 $550,000.01 - $600,000.00...... 80,338,253 139 4.92 577,973 5.474 358.48 685 78.47 $600,000.01 - $650,000.00...... 79,895,312 126 4.90 634,090 5.365 358.39 685 77.13 $650,000.01 - $700,000.00...... 18,970,026 28 1.16 677,501 5.269 358.87 695 72.42 $700,000.01 - $750,000.00...... 41,899,487 57 2.57 735,079 5.406 358.71 681 73.55 $750,000.01 - $800,000.00...... 6,937,549 9 0.43 770,839 5.233 357.79 693 74.36 $800,000.01 - $850,000.00...... 4,141,286 5 0.25 828,257 4.467 357.61 685 69.93 $850,000.01 - $900,000.00...... 5,264,200 6 0.32 877,367 5.353 357.34 715 75.43 $900,000.01 - $950,000.00...... 1,854,000 2 0.11 927,000 5.868 358.49 700 75.09 $950,000.01 - $1,000,000.00.... 30,707,708 31 1.88 990,571 5.066 357.55 722 68.62 $1,000,000.01 - $1,050,000.00.. 1,032,575 1 0.06 1,032,575 3.875 357.00 729 57.36 $1,050,000.01 - $1,100,000.00.. 1,092,500 1 0.07 1,092,500 3.875 357.00 793 58.26 $1,100,000.01 - $1,150,000.00.. 1,112,950 1 0.07 1,112,950 4.500 359.00 714 69.99 $1,150,000.01 - $1,200,000.00.. 1,200,000 1 0.07 1,200,000 4.875 355.00 756 60.00 $1,250,000.01 - $1,300,000.00.. 1,260,000 1 0.08 1,260,000 5.625 359.00 715 70.00 $1,300,000.01 - $1,350,000.00.. 1,299,941 1 0.08 1,299,941 4.625 357.00 739 60.00 $1,350,000.01 - $1,400,000.00.. 1,365,000 1 0.08 1,365,000 4.000 357.00 743 66.58 $1,450,000.01 - $1,500,000.00.. 3,000,000 2 0.18 1,500,000 5.563 358.00 672 54.08 $1,750,000.01 - $1,800,000.00.. 1,760,000 1 0.11 1,760,000 5.875 357.00 750 80.00 $1,950,000.01 - $2,000,000.00.. 2,000,000 1 0.12 2,000,000 4.250 357.00 796 57.80 $2,700,000.01 - $2,750,000.00.. 2,740,621 1 0.17 2,740,621 6.250 338.00 740 61.09 $3,950,000.01 - $4,000,000.00.. 4,000,000 1 0.25 4,000,000 5.000 357.00 740 64.52 -------------- ----- ------ -------- ----- ------ --- ----- Total................. $1,631,999,917 6,081 100.00% $268,377 5.530% 358.53 690 79.77% ============== ===== ====== As of origination, the average principal balance of the sample Group 1 Loans will be approximately $268,819. S-28
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PRINCIPAL BALANCES AS OF THE CUT-OFF DATE [Enlarge/Download Table] 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.............. $ 2,675,808 69 0.16% $38,780 5.899% 357.27 703 85.62% $50,000.01 - $100,000.00........ 65,644,276 791 4.02 82,989 5.835 358.43 682 80.73 $100,000.01 - $150,000.00....... 138,618,093 1,150 8.49 120,537 5.780 358.54 685 81.86 $150,000.01 - $200,000.00....... 132,243,263 757 8.10 174,694 5.681 358.64 687 81.06 $200,000.01 - $250,000.00....... 132,737,155 590 8.13 224,978 5.588 358.70 690 81.70 $250,000.01 - $300,000.00....... 128,052,688 466 7.85 274,791 5.555 358.81 691 80.09 $300,000.01 - $350,000.00....... 160,934,323 490 9.86 328,437 5.504 358.63 689 80.71 $350,000.01 - $400,000.00....... 211,469,006 563 12.96 375,611 5.494 358.62 689 81.24 $400,000.01 - $450,000.00....... 141,631,304 333 8.68 425,319 5.518 358.64 697 81.08 $450,000.01 - $500,000.00....... 130,163,248 273 7.98 476,788 5.492 358.51 689 80.23 $500,000.01 - $550,000.00....... 97,054,397 185 5.95 524,618 5.439 358.60 691 79.71 $550,000.01 - $600,000.00....... 79,842,637 138 4.89 578,570 5.481 358.51 685 78.46 $600,000.01 - $650,000.00....... 79,295,876 125 4.86 634,367 5.367 358.40 684 77.03 $650,000.01 - $700,000.00....... 18,970,026 28 1.16 677,501 5.269 358.87 695 72.42 $700,000.01 - $750,000.00....... 42,649,175 58 2.61 735,331 5.421 358.71 681 73.67 $750,000.01 - $800,000.00....... 6,187,861 8 0.38 773,483 5.110 357.65 693 73.68 $800,000.01 - $850,000.00....... 4,141,286 5 0.25 828,257 4.467 357.61 685 69.93 $850,000.01 - $900,000.00....... 5,264,200 6 0.32 877,367 5.353 357.34 715 75.43 $900,000.01 - $950,000.00....... 1,854,000 2 0.11 927,000 5.868 358.49 700 75.09 $950,000.01 - $1,000,000.00..... 30,707,708 31 1.88 990,571 5.066 357.55 722 68.62 $1,000,000.01 - $1,050,000.00... 1,032,575 1 0.06 1,032,575 3.875 357.00 729 57.36 $1,050,000.01 - $1,100,000.00... 1,092,500 1 0.07 1,092,500 3.875 357.00 793 58.26 $1,100,000.01 - $1,150,000.00... 1,112,950 1 0.07 1,112,950 4.500 359.00 714 69.99 $1,150,000.01 - $1,200,000.00... 1,200,000 1 0.07 1,200,000 4.875 355.00 756 60.00 $1,250,000.01 - $1,300,000.00... 2,559,941 2 0.16 1,279,971 5.117 357.98 727 64.92 $1,350,000.01 - $1,400,000.00... 1,365,000 1 0.08 1,365,000 4.000 357.00 743 66.58 $1,450,000.01 - $1,500,000.00... 3,000,000 2 0.18 1,500,000 5.563 358.00 672 54.08 $1,750,000.01 - $1,800,000.00... 1,760,000 1 0.11 1,760,000 5.875 357.00 750 80.00 $1,950,000.01 - $2,000,000.00... 2,000,000 1 0.12 2,000,000 4.250 357.00 796 57.80 $2,700,000.01 - $2,750,000.00... 2,740,621 1 0.17 2,740,621 6.250 338.00 740 61.09 $3,950,000.01 - $4,000,000.00... 4,000,000 1 0.25 4,000,000 5.000 357.00 740 64.52 -------------- ----- ------ -------- ----- ------ --- ----- Total.................. $1,631,999,917 6,081 100.00% $268,377 5.530% 358.53 690 79.77% ============== ===== ====== As of the Cut-off Date, the average current principal balance of the sample Group 1 Loans will be approximately $268,377. S-29
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MORTGAGE RATES [Enlarge/Download Table] 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 ------------------ --------------- ----- ----- ------- --- -------- ----- --- 2.500 - 2.999............ $ 2,511,310 4 0.15% $627,827 2.894% 359.16 730 59.53% 3.000 - 3.499............ 10,349,749 27 0.63 383,324 3.277 357.83 750 71.44 3.500 - 3.999............ 61,281,611 170 3.76 360,480 3.775 357.33 718 71.87 4.000 - 4.499............ 112,695,839 343 6.91 328,559 4.218 357.84 708 74.41 4.500 - 4.999............ 297,951,887 1,033 18.26 288,434 4.722 358.15 699 77.78 5.000 - 5.499............ 293,926,676 1,119 18.01 262,669 5.211 358.53 697 78.75 5.500 - 5.999............ 396,626,788 1,569 24.30 252,790 5.704 358.79 684 80.83 6.000 - 6.499............ 198,778,070 766 12.18 259,501 6.200 358.64 682 80.97 6.500 - 6.999............ 141,830,677 502 8.69 282,531 6.696 358.96 674 83.85 7.000 - 7.499............ 51,249,886 222 3.14 230,855 7.189 359.07 676 86.24 7.500 - 7.999............ 36,758,268 184 2.25 199,773 7.706 359.31 666 87.79 8.000 - 8.499............ 12,141,100 61 0.74 199,034 8.171 359.17 658 87.69 8.500 - 8.999............ 7,838,943 48 0.48 163,311 8.684 359.39 656 88.65 9.000 - 9.499............ 4,704,888 19 0.29 247,626 9.202 359.48 669 90.16 9.500 - 9.999............ 2,387,726 10 0.15 238,773 9.655 359.88 637 88.81 10.000 - 10.499.......... 966,500 4 0.06 241,625 10.000 359.34 638 94.55 -------------- ----- ------ -------- ----- ------ --- ----- Total........... $1,631,999,917 6,081 100.00% $268,377 5.530% 358.53 690 79.77% ============== ===== ====== ____________ As of the Cut-off Date, the weighted average mortgage rate of the sample Group 1 Loans will be approximately 5.530% per annum. S-30
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NEXT ADJUSTMENT DATE [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL NEXT ADJUSTMENT DATE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV -------------------- --------------- ----- ----- ------- --- -------- ----- --- August 1, 2004......... $ 3,321,867 7 0.20 $474,552 4.421% 355.15 718 75.61% September 1, 2004...... 1,326,600 3 0.08 442,200 4.532 358.03 692 81.34 October 1, 2004........ 5,225,010 12 0.32 435,417 4.342 358.72 695 71.14 November 1, 2004....... 11,850,059 40 0.73 296,251 5.030 359.21 707 80.33 December 1, 2004....... 16,976,889 55 1.04 308,671 4.988 357.96 689 79.97 January 1, 2005........ 71,732,245 226 4.40 317,399 5.076 359.00 700 78.47 February 1, 2005....... 89,060,084 289 5.46 308,166 5.587 360.00 701 79.10 March 1, 2005.......... 11,120,820 31 0.68 358,736 5.443 360.00 676 74.96 June 1, 2005........... 758,400 3 0.05 252,800 4.903 358.00 655 80.00 July 1, 2005........... 973,010 4 0.06 243,253 5.567 359.00 705 82.22 August 1, 2005......... 5,126,843 20 0.31 256,342 5.475 360.00 692 78.52 September 1, 2005...... 2,528,850 7 0.15 361,264 5.589 360.00 682 76.52 December 1, 2005....... 241,542 1 0.01 241,542 5.950 352.00 628 90.00 February 1, 2006....... 794,267 5 0.05 158,853 5.845 354.00 656 88.65 March 1, 2006.......... 2,486,667 11 0.15 226,061 5.882 355.26 651 78.25 April 1, 2006.......... 45,282,912 167 2.77 271,155 4.892 356.00 678 86.59 May 1, 2006............ 139,618,923 591 8.56 236,242 5.111 357.01 685 86.88 June 1, 2006........... 156,620,122 654 9.60 239,480 5.719 357.98 678 85.80 July 1, 2006........... 272,328,188 930 16.69 292,826 6.082 359.00 681 81.70 August 1, 2006......... 199,043,274 739 12.20 269,341 5.766 360.00 696 78.60 September 1, 2006...... 34,261,028 119 2.10 287,908 5.695 359.85 678 74.37 October 1, 2006........ 481,543 1 0.03 481,543 4.500 350.00 718 49.58 December 1, 2006....... 1,605,782 5 0.10 321,156 5.157 352.00 579 72.02 January 1, 2007........ 2,373,117 7 0.15 339,017 4.951 353.00 723 75.44 February 1, 2007....... 9,106,933 20 0.56 455,347 4.319 354.00 701 74.21 March 1, 2007.......... 10,545,836 19 0.65 555,044 4.369 355.00 728 67.52 April 1, 2007.......... 27,594,520 99 1.69 278,733 4.693 356.01 697 79.16 May 1, 2007............ 113,060,670 378 6.93 299,102 4.762 357.06 704 78.48 June 1, 2007........... 102,196,907 513 6.26 199,214 5.396 358.20 681 80.67 July 1, 2007........... 99,831,656 476 6.12 209,730 5.621 359.00 684 76.92 August 1, 2007......... 70,555,675 245 4.32 287,982 5.696 360.00 698 73.67 September 1, 2007...... 9,895,742 36 0.61 274,882 5.453 360.00 700 70.89 January 1, 2009........ 560,000 1 0.03 560,000 5.625 353.00 652 69.48 February 1, 2009....... 596,701 1 0.04 596,701 6.500 354.00 665 80.00 March 1, 2009.......... 525,000 1 0.03 525,000 5.625 355.00 702 75.00 April 1, 2009.......... 1,294,026 4 0.08 323,506 4.930 356.00 704 76.41 May 1, 2009............ 2,141,052 6 0.13 356,842 5.708 357.00 746 71.89 June 1, 2009........... 10,516,093 40 0.64 262,902 6.118 358.00 719 76.73 July 1, 2009........... 43,987,831 147 2.70 299,237 5.887 359.00 714 71.12 August 1, 2009......... 33,001,075 125 2.02 264,009 5.996 360.00 696 72.58 September 1, 2009...... 8,219,650 26 0.50 316,140 5.682 360.00 690 61.79 October 1, 2009........ 2,740,621 1 0.17 2,740,621 6.250 338.00 740 61.09 August 1, 2010......... 920,000 2 0.06 460,000 4.864 348.00 721 68.42 October 1, 2010........ 316,746 1 0.02 316,746 5.375 350.00 778 75.23 March 1, 2011.......... 857,000 1 0.05 857,000 5.250 355.00 691 72.94 April 1, 2011.......... 375,000 1 0.02 375,000 5.625 356.00 733 72.82 June 1, 2011........... 206,931 1 0.01 206,931 5.625 358.00 726 79.84 July 1, 2011........... 1,402,575 3 0.09 467,525 6.036 359.00 709 70.55 August 1, 2011......... 1,148,750 3 0.07 382,917 5.771 360.00 695 69.42 September 1, 2011...... 253,000 1 0.02 253,000 5.375 360.00 746 63.25 May 1, 2014............ 4,000,000 1 0.25 4,000,000 5.000 357.00 740 64.52 June 1, 2014........... 900,000 1 0.06 900,000 5.750 358.00 688 60.00 July 1, 2014........... 111,886 1 0.01 111,886 5.875 359.00 745 57.43 -------------- ----- ------ -------- ----- ------ --- ----- Total......... $1,631,999,917 6,081 100.00% $268,377 5.530% 358.53 690 79.77% ============== ===== ====== _____________ As of the Cut-off Date, the weighted average remaining months to the next adjustment date of the sample Group 1 Loans will be approximately 26 months. S-31
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GROSS MARGIN [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF GROSS NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL MARGINS (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV ----------- --------------- ----- ----- ------- --- -------- ----- --- 1.500 - 1.749.......... $ 684,066 4 0.04% $171,016 4.806% 359.42 769 55.94% 1.750 - 1.999.......... 8,519,346 38 0.52 224,193 3.718 357.37 738 73.10 2.000 - 2.249.......... 18,177,070 72 1.11 252,459 4.219 357.74 705 72.76 2.250 - 2.499.......... 165,604,290 344 10.15 481,408 4.846 356.78 719 72.66 2.500 - 2.749.......... 55,967,526 192 3.43 291,498 4.665 357.40 693 78.03 2.750 - 2.999.......... 107,361,070 390 6.58 275,285 4.930 357.69 694 81.10 3.000 - 3.249.......... 168,557,048 648 10.33 260,119 5.114 358.16 701 83.90 3.250 - 3.499.......... 258,335,813 977 15.83 264,417 5.425 358.87 724 79.24 3.500 - 3.749.......... 171,893,654 654 10.53 262,834 5.478 359.04 686 80.36 3.750 - 3.999.......... 277,955,196 1,059 17.03 262,469 5.871 359.45 671 77.55 4.000 - 4.249.......... 16,708,703 84 1.02 198,913 6.067 357.54 686 82.71 4.250 - 4.499.......... 21,976,654 94 1.35 233,794 6.112 358.86 663 78.50 4.500 - 4.749.......... 21,165,803 100 1.30 211,658 5.725 359.00 681 81.29 4.750 - 4.999.......... 17,893,557 99 1.10 180,743 5.614 358.96 670 80.96 5.000 - 5.249.......... 69,404,255 338 4.25 205,338 6.283 358.84 678 81.85 5.250 - 5.499.......... 31,506,635 176 1.93 179,015 5.863 358.83 657 81.54 5.500 - 5.749.......... 35,113,468 218 2.15 161,071 5.984 358.78 653 81.08 5.750 - 5.999.......... 73,145,282 272 4.48 268,916 6.233 358.81 668 80.87 6.000 - 6.249.......... 65,368,450 174 4.01 375,681 6.478 358.76 654 85.34 6.250 - 6.499.......... 34,505,950 103 2.11 335,009 6.638 358.72 644 91.30 6.500 - 6.749.......... 6,864,890 22 0.42 312,040 6.653 358.40 632 92.03 6.750 - 6.999.......... 1,223,640 5 0.07 244,728 6.348 358.34 637 76.06 7.000 - 7.249.......... 732,642 2 0.04 366,321 7.250 358.51 637 90.00 7.250 - 7.499.......... 815,633 3 0.05 271,878 8.118 359.40 616 86.72 7.500 - 7.749.......... 768,278 6 0.05 128,046 8.214 359.24 635 80.69 7.750 - 7.999.......... 346,892 1 0.02 346,892 9.000 359.00 653 95.00 8.000 - 8.249.......... 367,421 1 0.02 367,421 8.375 360.00 717 95.00 8.250 - 8.499.......... 208,829 1 0.01 208,829 8.625 360.00 642 95.00 8.500- 8.749........... 196,650 1 0.01 196,650 8.875 360.00 638 95.00 8.750 - 8.999.......... 147,250 1 0.01 147,250 9.125 360.00 667 95.00 9.000- 9.249........... 312,958 1 0.02 312,958 9.250 359.00 643 95.00 9.750 - 9.999.......... 171,000 1 0.01 171,000 10.000 360.00 676 95.00 -------------- ----- ------ -------- ----- ------ --- ----- Total......... $1,631,999,917 6,081 100.00% $268,377 5.530% 358.53 690 79.77% ============== ===== ====== ___________ As of the Cut-off Date, the weighted average Gross Margin of the sample Group 1 Loans will be approximately 3.726% per annum. S-32
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MAXIMUM MORTGAGE RATE [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF MAXIMUM NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL MORTGAGE RATES (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV ------------------ --------------- ----- ----- ------- --- -------- ----- --- 8.500 - 8.999........... $ 1,584,394 4 0.10% $396,099 3.056% 358.96 737 49.95% 9.000 - 9.499........... 9,776,749 25 0.60 391,070 3.332 357.66 748 71.61 9.500 - 9.999........... 78,530,553 217 4.81 361,892 4.033 357.77 716 72.97 10.000 - 10.499......... 114,234,338 350 7.00 326,384 4.258 357.82 708 74.53 10.500 - 10.999......... 296,686,223 1,029 18.18 288,325 4.746 358.13 699 77.77 11.000 - 11.499......... 289,241,317 1,109 17.72 260,813 5.230 358.57 697 78.68 11.500 - 11.999......... 390,510,169 1,550 23.93 251,942 5.717 358.80 684 80.82 12.000 - 12.499......... 195,398,486 754 11.97 259,149 6.192 358.65 681 81.14 12.500 - 12.999......... 140,778,323 491 8.63 286,718 6.655 358.95 674 84.18 13.000 - 13.499......... 48,905,007 215 3.00 227,465 7.160 359.02 676 86.72 13.500 - 13.999......... 34,500,448 176 2.11 196,025 7.660 359.16 670 88.39 14.000 - 14.499......... 12,802,167 63 0.78 203,209 7.982 358.35 654 88.64 14.500 - 14.999......... 9,593,039 57 0.59 168,299 8.426 359.42 642 84.89 15.000 - 15.499......... 4,770,368 20 0.29 238,518 9.032 359.42 660 87.33 15.500 - 15.999......... 2,723,943 12 0.17 226,995 9.390 359.60 627 86.79 16.000 - 16.499......... 1,670,428 7 0.10 238,633 9.621 359.46 624 85.19 16.500 - 16.999......... 293,967 2 0.02 146,984 9.750 360.00 566 78.14 -------------- ----- ------ -------- ----- ------ --- ----- Total.......... $1,631,999,917 6,081 100.00% $268,377 5.530% 358.53 690 79.77% ============== ===== ====== _________________ As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the sample Group 1 Loans will be approximately 11.516% per annum. INITIAL FIXED-RATE PERIOD [Enlarge/Download Table] 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 -------------------- --------------- ----- ----- ------- --- -------- ----- --- One Month............... $ 3,607,500 7 0.22% $ 515,357 4.381% 359.22 724 74.77% Three Months............ 14,796,319 39 0.91 379,393 4.808 359.68 703 75.35 Six Months.............. 192,021,175 616 11.77 311,723 5.322 359.36 698 78.87 One Year................ 9,387,103 34 0.58 276,091 5.469 359.73 688 78.49 Two Years............... 849,997,593 3,216 52.08 264,303 5.703 358.58 684 82.54 Three Years............. 448,116,291 1,801 27.46 248,815 5.240 358.04 693 77.36 Five Years.............. 100,841,428 351 6.18 287,298 5.915 359.14 707 71.57 Seven Years............. 8,220,623 14 0.50 587,187 5.782 350.01 722 67.54 Ten Years............... 5,011,886 3 0.31 1,670,629 5.154 357.22 731 63.55 -------------- ----- ------ ---------- ----- ------ --- ----- Total.......... $1,631,999,917 6,081 100.00% $ 268,377 5.530% 358.53 690 79.77% ============== ===== ====== S-33
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INITIAL RATE CAP [Enlarge/Download Table] 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................... $ 218,364,793 688 13.38% $317,391 5.260% 359.42 700 78.51% 1.500................... 2,880,427 11 0.18 261,857 6.848 358.72 593 75.48 2.000................... 85,006,524 149 5.21 570,514 4.643 356.32 721 72.98 3.000................... 889,284,309 3,478 54.49 255,688 5.878 359.20 685 78.80 5.000................... 23,677,958 71 1.45 333,492 5.923 358.29 714 73.00 6.000................... 412,785,907 1,684 25.29 245,122 5.077 357.08 689 84.32 -------------- ----- ------ -------- ----- ------ --- ----- Total.......... $1,631,999,917 6,081 100.00% $268,377 5.530% 358.53 690 79.77% ============== ===== ====== PERIODIC RATE CAP [Enlarge/Download Table] 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................... $1,495,410,822 5,811 91.63% $257,341 5.564% 358.70 688 80.45% 1.500................... 11,294,096 48 0.69 235,294 6.969 358.74 595 73.68 2.000................... 125,295,000 222 7.68 564,392 5.004 356.47 720 72.21 -------------- ----- ------ -------- ----- ------ --- ----- Total.......... $1,631,999,917 6,081 100.00% $268,377 5.530% 358.53 690 79.77% ============== ===== ====== S-34
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ORIGINAL LOAN-TO-VALUE RATIOS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF LOAN-TO- NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL VALUE RATIOS (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV ---------------- --------------- ----- ----- ------- --- -------- ----- --- 0.01 - 20.00............ $ 1,231,258 4 0.08% $307,814 5.257% 358.79 765 18.00% 20.01 - 25.00........... 134,573 2 0.01 67,287 4.742 358.57 719 22.52 25.01 - 30.00........... 892,002 7 0.05 127,429 4.779 358.51 718 28.60 30.01 - 35.00........... 2,057,649 9 0.13 228,628 4.062 359.00 718 32.12 35.01 - 40.00........... 2,683,136 15 0.16 178,876 4.595 358.25 683 38.01 40.01 - 45.00........... 8,402,454 23 0.51 365,324 4.910 358.51 687 42.64 45.01 - 50.00........... 8,858,522 29 0.54 305,466 5.324 358.38 686 47.16 50.01 - 55.00........... 17,918,967 53 1.10 338,094 4.757 358.34 700 53.16 55.01 - 60.00........... 35,235,209 98 2.16 359,543 4.923 358.25 708 58.31 60.01 - 65.00........... 49,114,577 133 3.01 369,283 5.057 357.19 698 63.44 65.01 - 70.00........... 210,974,207 696 12.93 303,124 4.955 359.17 703 69.40 70.01 - 75.00........... 72,529,684 239 4.44 303,471 5.409 358.35 689 73.91 75.01 - 80.00........... 719,056,869 2,657 44.06 270,627 5.527 358.86 692 79.75 80.01 - 85.00........... 50,185,170 178 3.08 281,939 5.775 358.19 672 83.96 85.01 - 90.00........... 275,206,589 1,185 16.86 232,242 5.899 357.98 682 89.67 90.01 - 95.00........... 175,353,977 740 10.74 236,965 6.041 357.86 677 94.72 95.01 - 100.00.......... 2,165,074 13 0.13 166,544 6.275 359.04 714 98.84 -------------- ----- ------ -------- ----- ------ --- ----- Total.......... $1,631,999,917 6,081 100.00% $268,377 5.530% 358.53 690 79.77% ============== ===== ====== __________ The minimum and maximum loan-to-value ratios of the sample Group 1 Loans at origination were approximately 12.90% and 100.00%, respectively, and the weighted average of the loan-to-value ratios of the sample Group 1 Loans at origination was approximately 79.77%. OCCUPANCY TYPES [Enlarge/Download Table] 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.......... $1,344,057,008 4,750 82.36% $282,959 5.491% 358.52 687 80.00% Investment.............. 227,641,593 1,123 13.95 202,708 5.816 358.58 706 79.26 Second Home............. 60,301,317 208 3.69 289,910 5.332 358.37 708 76.48 -------------- ----- ------ -------- ----- ------ --- ----- Total.......... $1,631,999,917 6,081 100.00% $268,377 5.530% 358.53 690 79.77% ============== ===== ====== Occupancy type is based on the representation of the borrower at the time of origination. S-35
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MORTGAGE LOAN PROGRAM AND DOCUMENTATION TYPE [Enlarge/Download Table] 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).......... $ 684,998,148 2,142 41.97% $319,794 5.596% 358.95 696 77.87% Progressive Series Program (Full Documentation).... 366,553,985 1,583 22.46 231,557 5.407 358.79 681 78.03 Progressive Express(TM) Program (Non Verified Assets)................. 305,287,598 1,237 18.71 246,797 5.376 357.61 686 83.48 Progressive Express(TM) No Doc Program (No Documentation).......... 149,680,199 664 9.17 225,422 5.495 357.76 694 84.22 Progressive Express(TM) Program (Verified Assets)................. 102,617,636 375 6.29 273,647 5.969 358.68 688 80.72 Progressive Series Program (No Income/No Asset Documentation).......... 7,562,891 16 0.46 472,681 5.528 356.73 730 78.33 Progressive Express(TM) No Doc Program (Verified Assets)....... 7,451,711 32 0.46 232,866 6.200 359.48 703 81.39 Progressive Series Program (Full Income/Stated Assets Documentation).......... 5,838,173 26 0.36 224,545 5.649 358.45 667 81.82 Progressive Series Program (Alternative Documentation).......... 1,746,850 4 0.11 436,713 6.455 358.23 645 93.58 Progressive Series Program (Lite/Reduced Documentation (SE))..... 262,726 2 0.02 131,363 6.191 345.14 733 81.34 -------------- ----- ------ -------- ----- ------ --- ----- Total.......... $1,631,999,917 6,081 100.00% $268,377 5.530% 358.53 690 79.77% ============== ===== ====== See "--Underwriting Standards" below for a detailed description of the Seller's loan programs and documentation requirements. S-36
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RISK CATEGORIES [Enlarge/Download Table] 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)...................... $ 788,845,589 2,817 48.34% $280,030 5.224% 358.42 727 78.17% A(1)....................... 633,991,823 2,365 38.85 268,073 5.614 358.46 653 81.42 A- (1)..................... 51,122,166 224 3.13 228,224 6.205 358.75 610 79.24 B(1)....................... 1,432,170 4 0.09 358,043 5.124 354.09 571 71.22 C(1)....................... 620,809 5 0.04 124,162 9.005 358.88 566 74.17 CX(1)...................... 852,872 3 0.05 284,291 6.649 354.79 511 70.98 Progressive Express(TM) I(2).. 79,118,925 335 4.85 236,176 6.224 359.44 726 82.15 Progressive Express(TM) II(2). 64,320,214 274 3.94 234,745 6.760 359.17 651 82.46 Progressive Express(TM)III(2). 5,124,274 22 0.31 232,922 6.711 359.29 618 71.70 Progressive Express(TM) IV(2). 2,242,585 11 0.14 203,871 6.478 359.61 598 76.03 Progressive Express(TM) V(2).. 2,943,296 13 0.18 226,407 7.655 359.51 582 68.47 Progressive Express(TM) VI(2). 1,385,193 8 0.08 173,149 8.070 359.39 539 66.60 -------------- ----- ------ -------- ----- ------ --- ----- Total............. $1,631,999,917 6,081 100.00% $268,377 5.530% 358.53 690 79.77% ============== ===== ====== _________________ (1) All of these sample 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, C and CX correspond to Progressive Series I+, I and II, III and III+, IV, V and VI respectively. (2) These sample Group 1 Loans were originated under the Seller's Progressive Express(TM) Program. The underwriting for these sample Group 1 Loans is generally based on the borrower's "Credit Score" score and therefore these sample Group 1 Loans do not correspond to the alphabetical risk categories listed above. Each mortgage loan originated pursuant to the Express Priority Refi(TM) Program has been placed in either Progressive Express(TM) Program II or III. SEE "--UNDERWRITING STANDARDS" BELOW FOR A DESCRIPTION OF THE SELLER'S RISK CATEGORIES. S-37
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PROPERTY TYPES [Enlarge/Download Table] 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....... $1,203,701,973 4,533 73.76% $265,542 5.498% 358.48 686 80.06% Condominium................... 146,760,564 663 8.99 221,358 5.495 358.52 702 80.57 Planned Unit Development...... 89,680,998 258 5.50 347,601 5.524 358.15 702 77.47 De minimis PUD................ 72,612,115 230 4.45 315,705 5.728 359.31 694 79.10 Two Family.................... 50,498,953 180 3.09 280,550 5.834 358.67 696 80.35 Four Family................... 25,262,419 72 1.55 350,867 5.799 358.84 709 76.64 Three Family.................. 21,046,444 59 1.29 356,719 5.788 358.63 707 76.31 Highrise/Condominium 16,077,771 49 0.99 328,118 5.545 359.19 724 74.21 Townhouse..................... 5,803,751 35 0.36 165,821 5.895 359.37 687 77.57 Condominium................... 408,000 1 0.03 408,000 6.625 360.00 717 89.68 Condotel...................... 146,930 1 0.01 146,930 3.875 358.00 708 69.67 -------------- ----- ------ -------- ----- ------ --- ----- Total................ $1,631,999,917 6,081 100.00% $268,377 5.530% 358.53 690 79.77% ============== ===== ====== S-38
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GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL STATE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV ----- --------------- ----- ----- ------- --- -------- ----- --- Alabama................. $ 5,672,348 27 0.35% $210,087 5.142% 358.80 713 74.03% Arkansas................ 1,210,563 9 0.07 134,507 5.825 357.70 670 91.36 Arizona................. 49,015,351 274 3.00 178,888 5.616 358.35 680 81.12 California.............. 875,346,929 2,441 53.64 358,602 5.483 358.82 694 78.36 Colorado................ 41,668,248 164 2.55 254,075 5.334 356.53 699 80.89 Connecticut ........... 8,711,805 34 0.53 256,230 5.608 357.94 669 83.01 District of Columbia.... 3,533,926 12 0.22 294,494 5.290 358.37 679 81.57 Delaware................ 3,737,227 22 0.23 169,874 5.615 357.76 675 87.37 Florida................. 123,571,399 634 7.57 194,908 5.894 358.80 693 81.86 Georgia................. 21,392,593 110 1.31 194,478 5.567 358.03 692 82.56 Hawaii.................. 10,337,623 22 0.63 469,892 5.546 358.57 695 73.46 Iowa.................... 3,246,228 32 0.20 101,445 5.194 357.44 698 87.60 Idaho................... 1,666,379 17 0.10 98,022 5.686 358.38 656 81.30 Illinois................ 36,143,493 159 2.21 227,318 5.731 358.40 680 80.62 Indiana................. 6,692,066 56 0.41 119,501 5.759 358.24 684 85.48 Kansas.................. 3,715,322 26 0.23 142,897 5.593 357.56 692 86.30 Kentucky................ 3,315,379 25 0.20 132,615 5.444 358.23 665 85.43 Louisiana............... 2,880,756 19 0.18 151,619 5.995 357.89 657 81.90 Massachusetts........... 37,289,417 106 2.28 351,787 5.223 357.79 691 81.21 Maryland................ 36,142,772 127 2.21 284,589 5.665 358.38 681 81.26 Maine................... 3,349,409 17 0.21 197,024 5.258 357.78 705 77.77 Michigan................ 14,081,373 85 0.86 165,663 5.666 357.49 679 78.15 Minnesota............... 29,505,733 144 1.81 204,901 5.203 357.82 677 81.37 Missouri................ 11,343,799 84 0.70 135,045 5.671 358.03 676 85.36 Mississippi............. 2,914,221 21 0.18 138,772 5.174 358.32 659 79.84 Montana................. 1,281,369 10 0.08 128,137 6.449 358.45 655 83.22 North Carolina.......... 13,141,022 92 0.81 142,837 5.805 358.48 682 83.36 North Dakota............ 475,921 5 0.03 95,184 6.117 358.83 667 78.91 Nebraska................ 2,066,415 18 0.13 114,801 5.590 357.66 672 88.08 New Hampshire........... 1,733,135 9 0.11 192,571 5.801 358.63 682 78.80 New Jersey.............. 28,190,624 89 1.73 316,749 6.068 357.96 678 81.27 New Mexico ............. 4,241,377 22 0.26 192,790 5.001 357.73 673 80.50 Nevada.................. 56,065,728 207 3.44 270,849 5.605 358.51 697 80.46 New York................ 23,945,980 67 1.47 357,403 5.120 357.22 676 80.49 Ohio.................... 11,967,636 106 0.73 112,902 5.587 358.12 669 83.60 Oklahoma................ 1,064,099 10 0.07 106,410 5.803 357.93 679 89.21 Oregon.................. 13,161,709 79 0.81 166,604 5.331 358.87 688 80.99 Pennsylvania............ 6,773,883 43 0.42 157,532 5.786 358.65 670 82.49 Rhode Island............ 4,160,682 14 0.25 297,192 5.426 358.08 681 78.36 South Carolina.......... 7,350,991 37 0.45 198,675 5.506 358.36 682 84.59 South Dakota............ 1,314,123 8 0.08 164,265 4.958 357.68 693 83.58 Tennessee............... 7,525,247 54 0.46 139,356 5.536 357.97 675 83.09 Texas................... 19,830,884 123 1.22 161,227 5.963 358.42 695 81.51 Utah.................... 14,311,556 81 0.88 176,686 5.417 358.63 696 83.39 Virginia................ 43,490,371 170 2.66 255,826 5.421 358.35 681 81.05 Vermont................. 595,353 1 0.04 595,353 3.625 355.00 707 38.71 Washington.............. 23,518,411 111 1.44 211,878 5.321 358.31 679 79.76 Wisconsin............... 7,066,176 46 0.43 153,613 5.573 357.92 676 84.36 West Virginia........... 1,491,673 7 0.09 213,096 4.659 357.24 713 85.34 Wyoming................. 751,195 5 0.05 150,239 5.161 357.99 661 88.79 -------------- ----- ------ -------- ----- ------ --- ----- Total.......... $1,631,999,917 6,081 100.00% $268,377 5.530% 358.53 690 79.77% ============== ===== ====== No more than approximately 0.43% of the sample 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. S-39
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DEBT-TO-INCOME RATIO [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL DESCRIPTION (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV --------------- --------------- ----- ----- ------- --- -------- ----- --- 0.01 - 5.00............. $ 2,320,600 3 0.14% $773,533 3.709% 356.73 757 67.99% 5.01 - 10.00............ 4,222,660 10 0.26 422,266 5.328 357.98 719 76.95 10.01 - 15.00........... 6,764,584 32 0.41 211,393 5.429 358.99 719 78.60 15.01 - 20.00........... 17,707,098 70 1.08 252,959 5.174 358.39 714 75.64 20.01 - 25.00........... 41,873,724 147 2.57 284,855 5.517 358.74 694 77.33 25.01 - 30.00........... 72,387,965 248 4.44 291,887 5.591 357.99 697 76.02 30.01 - 35.00........... 122,696,830 410 7.52 299,261 5.618 358.90 697 77.98 35.01 - 40.00........... 196,161,664 682 12.02 287,627 5.689 359.02 689 78.61 40.01 - 45.00........... 248,586,145 847 15.23 293,490 5.735 359.03 688 78.86 45.01 - 50.00........... 193,114,599 773 11.83 249,825 5.605 359.07 684 79.33 50.01 - 55.00........... 15,657,450 51 0.96 307,009 5.564 359.09 677 74.24 Greater than 55.00...... 2,823,283 12 0.17 235,274 6.625 359.84 660 78.49 Not Required............ 707,683,314 2,796 43.36 253,106 5.386 358.03 690 81.66 -------------- ----- ------ -------- ----- ------ --- ----- Total.......... $1,631,999,917 6,081 100.00% $268,377 5.530% 358.53 690 79.77% ============== ===== ====== As of the Cut-off Date, the weighted average debt-to-income ratio of the sample Group 1 Loans will be approximately 38.65% per annum. PREPAYMENT PENALTY [Enlarge/Download Table] 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........................ $ 535,452,733 1,845 32.81% $290,218 5.403% 357.95 698 79.11% 6........................ 12,383,334 46 0.76 269,203 5.665 358.92 705 76.97 7........................ 1,312,800 3 0.08 437,600 3.932 360.00 769 70.25 12....................... 193,088,799 614 11.83 314,477 5.388 359.12 690 78.69 24....................... 547,713,115 2,089 33.56 262,189 5.658 358.72 683 82.27 36....................... 227,489,224 1,074 13.94 211,815 5.450 358.76 684 78.07 48....................... 281,500 2 0.02 140,750 5.357 359.46 705 75.40 60....................... 114,278,412 408 7.00 280,094 5.919 358.79 700 76.48 -------------- ----- ------ -------- ----- ------ --- ----- Total........... $1,631,999,917 6,081 100.00% $268,377 5.530% 358.53 690 79.77% ============== ===== ====== S-40
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MONTHS REMAINING TO SCHEDULED MATURITY [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL RANGE OF MONTHS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV --------------- --------------- ----- ----- ------- --- -------- ----- --- 241-300..................$ 188,580 1 0.01% $188,580 5.375% 300.00 657 90.00% 301-360.................. 1,631,811,337 6,080 99.99 268,390 5.530 358.53 690 79.77 -------------- ----- ------ -------- ----- ------ --- ----- Total........... $1,631,999,917 6,081 100.00% $268,377 5.530% 358.53 690 79.77% ============== ===== ====== As of the Cut-off Date, the weighted average months remaining to scheduled maturity of the sample Group 1 Loans will be approximately 359 months. CREDIT SCORES [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL RANGE OF CREDIT SCORES CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV ---------------------- --------------- ----- ----- ------- --- -------- ----- --- Not Required.............. $ 1,570,183 6 0.10% $261,697 5.861% 357.87 N/A 73.75% Greater than 820.......... 548,000 1 0.03 548,000 3.375 357.00 836 80.00 801 - 820................. 7,225,020 31 0.44 233,065 5.337 358.59 807 76.94 781 - 800................. 45,363,046 162 2.78 280,019 4.983 358.65 790 73.33 761 - 780................. 99,501,437 355 6.10 280,286 5.069 358.49 770 77.67 741 - 760................. 139,160,056 474 8.53 293,587 5.282 358.55 750 77.58 721 - 740................. 160,560,637 548 9.84 292,994 5.380 358.31 730 78.65 701 - 720................. 201,550,578 761 12.35 264,850 5.360 358.63 710 79.66 681 - 700................. 226,946,286 865 13.91 262,366 5.451 358.56 690 79.48 661 - 680................. 240,247,873 885 14.72 271,467 5.580 358.55 670 81.05 641 - 660................. 241,216,292 933 14.78 258,538 5.797 358.56 650 81.34 621 - 640................. 197,417,453 748 12.10 263,927 5.792 358.42 631 82.36 601 - 620................. 55,271,851 245 3.39 225,599 6.235 358.82 612 79.98 581 - 600................. 8,794,319 38 0.54 231,429 6.283 358.56 596 75.04 561 - 580................. 3,552,463 13 0.22 273,266 6.533 357.26 572 68.78 541 - 560................. 1,345,627 9 0.08 149,514 8.219 359.22 555 67.78 521 - 540................. 875,923 4 0.05 218,981 8.119 359.50 532 72.27 501 - 520................. 852,872 3 0.05 284,291 6.649 354.79 511 70.98 -------------- ----- ------ -------- ----- ------ --- ----- Total............ $1,631,999,917 6,081 100.00% $268,377 5.530% 358.53 690 79.77% ============== ===== ====== As of the Cut-off Date, the weighted average credit score of the sample Group 1 Loans for which credit scores are available will be approximately 690. S-41
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RANGE OF MONTHS TO ROLL [Enlarge/Download Table] 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................... $ 210,613,574 663 12.91% $317,668 5.270% 359.33 699 78.56% 7 - 12.................. 9,387,103 34 0.58 276,091 5.469 359.73 688 78.49 13 - 18................. 1,035,810 6 0.06 172,635 5.870 353.53 650 88.96 19 - 24................. 849,186,716 3,210 52.03 264,544 5.702 358.59 684 82.53 25 - 31................. 24,567,608 53 1.51 463,540 4.479 354.03 707 71.12 32 - 37................. 423,135,170 1,747 25.93 242,207 5.285 358.28 692 77.71 50 - 55................. 1,681,701 3 0.10 560,567 5.935 353.98 672 74.94 56 - 61................. 99,159,727 348 6.08 284,942 5.915 359.23 707 71.51 62 - 67................. 2,740,621 1 0.17 2,740,621 6.250 338.00 740 61.09 68 - 73................. 920,000 2 0.06 460,000 4.864 348.00 721 68.42 74 - 79................. 1,173,746 2 0.07 586,873 5.284 353.65 714 73.56 80 - 85................. 3,386,256 9 0.21 376,251 5.826 359.02 711 70.44 Greater than 85......... 5,011,886 3 0.31 1,670,629 5.154 357.22 731 63.55 -------------- ----- ------ -------- ----- ------ --- ----- Total.......... $1,631,999,917 6,081 100.00% $268,377 5.530% 358.53 690 79.77% ============== ===== ====== As of the Cut-off Date, the weighted average months to roll of the sample Group 1 Loans will be approximately 26 months. LOAN PURPOSES [Enlarge/Download Table] 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................ $1,023,352,397 3,974 62.71% $257,512 5.568% 358.67 699 81.40% Refinance - Cash Out.... 442,562,004 1,488 27.12 297,421 5.517 358.48 673 77.29 Refinance - Rate/Term... 166,085,516 619 10.18 268,313 5.334 357.76 682 76.31 -------------- ----- ------ -------- ----- ------ --- ----- Total.......... $1,631,999,917 6,081 100.00% $268,377 5.530% 358.53 690 79.77% ============== ===== ====== 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. LOAN GROUP 2 The sample Group 2 Loans had an aggregate principal balance as of the Cut-off Date of approximately $668,000,383, after application of scheduled payments due on or before the Cut-off Date, S-42
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whether or not received. All of the sample Group 2 Loans are secured by first liens on the related mortgaged property. The average principal balance of the sample Group 2 Loans at origination was approximately $219,045. No sample Group 2 Loan had a principal balance at origination of greater than approximately $637,000 or less than approximately $122,320. The average principal balance of the sample Group 2 Loans as of the Cut-off Date was approximately $218,658. No sample Group 2 Loan had a principal balance as of the Cut-off Date of greater than approximately $637,000 or less than approximately $122,071. As of the Cut-off Date, the sample Group 2 Loans had mortgage rates ranging from approximately 2.490% per annum to approximately 9.875% per annum and the weighted average mortgage rate was approximately 5.566% per annum. The weighted average remaining term to stated maturity of the sample Group 2 Loans was approximately 359 months as of the Cut-off Date. None of the sample Group 2 Loans will have a first Due Date prior to January 1, 2004, or after October 1, 2004, or will have a remaining term to maturity of less than 352 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any sample Group 2 Loan is September 1, 2034. Approximately 0.04%, 0.72%, 0.39%, 41.81% and 2.03 of the sample Group 2 Loans have initial interest only periods of six months and two, three, five and ten years, respectively. The loan-to-value ratio of a mortgage loan secured by a first lien is equal to the ratio, expressed as a percentage, of the principal amount of the loan at origination, to the lesser of the appraised value of the related mortgaged property at the time of origination and the sales price. The weighted average of the loan-to- value ratios at origination of the sample Group 2 Loans was approximately 80.94%. No loan-to-value ratio at origination of any sample Group 2 Loan was greater than approximately 100.00% or less than approximately 25.17%. None of the sample Group 2 Loans are buydown mortgage loans. None of the Group 2 Loans will be subject to the Home Ownership and Equity Protection Act of 1994 or any comparable state law. Substantially all of the sample Group 2 Loans will not have reached their first adjustment date as of the Closing Date. Approximately 69.55% of the sample Group 2 Loans provide for prepayment charges. Approximately 23.61% and 8.29% of the sample Group 2 Loans are covered by a Primary Insurance Policy and the Radian Lender-Paid PMI Policy, respectively. For the sample Group 2 Loans, the weighted average of the Radian PMI Rates for the mortgage loans covered by the Radian Lender-Paid PMI Policy is approximately 1.055% per annum. With respect to substantially all of the Group 2 Loans, the Minimum Mortgage Rate is equal to the Gross Margin. Set forth below is a description of certain additional characteristics of the sample Group 2 Loans as of the Cut-off Date, except as otherwise indicated. All percentages of the sample 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. S-43
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MORTGAGE LOAN PROGRAMS(1) [Enlarge/Download Table] 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 ------------ --------------- ----- ----- ------- --- -------- ----- --- 30Y LIBOR 1MO.............. $ 612,969 3 0.09% $204,323 4.800% 359.75 731 78.55% 30Y LIBOR 1MO IO........... 2,059,800 8 0.31 257,475 4.898 359.47 695 80.21 30Y LIBOR 3MO.............. 199,801 1 0.03 199,801 6.000 360.00 710 80.00 30Y LIBOR 3MO IO........... 942,948 4 0.14 235,737 5.061 360.00 688 80.89 30Y LIBOR 6MO.............. 13,363,530 59 2.00 226,501 5.883 359.41 671 80.82 30Y LIBOR 6MO IO........... 52,573,523 217 7.87 242,274 5.353 359.41 705 80.01 30Y LIBOR 12MO............. 228,822 1 0.03 228,822 8.875 359.00 634 95.00 30Y LIBOR 12MO IO.......... 1,828,616 8 0.27 228,577 5.457 359.62 681 79.24 2/28 LIBOR 6MO............. 219,052,853 1,023 32.79 214,128 5.586 358.05 681 84.63 2/28 LIBOR 6MO IO.......... 171,940,177 739 25.74 232,666 5.771 359.39 694 79.11 3/27 LIBOR 6MO............. 127,636,483 653 19.11 195,462 5.322 358.12 677 81.16 3/27 LIBOR 6MO IO.......... 52,118,942 226 7.80 230,615 5.430 359.21 711 75.96 3/1 LIBOR 12MO............. 409,551 2 0.06 204,776 5.872 359.41 641 73.45 3/1 LIBOR 12MO IO.......... 796,000 3 0.12 265,333 4.651 355.19 719 67.27 5/25 LIBOR 6MO............. 5,941,734 29 0.89 204,887 5.783 359.13 696 71.95 5/25 LIBOR 6MO IO.......... 17,129,135 75 2.56 228,388 5.878 359.31 710 72.70 5/1 LIBOR 12MO IO.......... 610,500 2 0.09 305,250 6.994 359.49 632 85.79 7/23 LIBOR 6MO IO.......... 275,000 1 0.04 275,000 4.750 358.00 739 63.22 10/20 LIBOR 6MO IO......... 280,000 1 0.04 280,000 7.250 359.00 664 80.00 ------------ ----- ------ -------- ----- ------ --- ----- Total............. $668,000,383 3,055 100.00% $218,658 5.566% 358.69 689 80.94% ============ ===== ====== ____________ (1) A mortgage loan with a loan program including the term "30Y LIBOR 1MO" has a term of 30 years and the mortgage rate adjusts monthly based on the value of One-Month LIBOR. A mortgage loan with a loan program including the term "30Y LIBOR 3MO" has a term of 30 years and the mortgage rate adjusts quarterly based on the value of Three-Month LIBOR. A mortgage loan with a loan program including the term "30Y LIBOR 6MO" has a term of 30 years and the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term "30Y LIBOR 12MO" has a term of 30 years and the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term "2/28 LIBOR 6MO" has a term of 30 years, the first two of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term "3/27 LIBOR 6MO" has a term of 30 years, the first three of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi- annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term "3/1 LIBOR 12MO" has a term of 30 years, the first three of which consist of a fixed rate period, and thereafter the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term "5/25 LIBOR 6MO" has a term of 30 years, the first five of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six- Month LIBOR. A mortgage loan with a loan program including the term "5/1 LIBOR 12MO" has a term of 30 years, the first five of which consist of a fixed rate period, and thereafter the mortgage rate adjusts annually based on the value of One-Year LIBOR. A mortgage loan with a loan program including the term "7/23 LIBOR 6MO" has a term of 30 years, the first seven of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. A mortgage loan with a loan program including the term "10/20 LIBOR 6MO" has a term of 30 years, the first ten of which consist of a fixed rate period, and thereafter the mortgage rate adjusts semi-annually based on the value of Six-Month LIBOR. Any mortgage loan with a loan program including the term "IO" has an interest only period. S-44
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PRINCIPAL BALANCES AS OF ORIGINATION [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF MORTGAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL LOAN PRINCIPAL BALANCE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV ---------------------- --------------- ----- ----- ------- --- -------- ----- --- $100,000.01 - $150,000.00...... $ 72,611,792 535 10.87% $135,723 5.684% 358.48 683 81.81% $150,000.01 - $200,000.00...... 145,777,082 837 21.82 174,166 5.622 358.61 684 81.21 $200,000.01 - $250,000.00...... 160,640,541 714 24.05 224,987 5.519 358.59 686 81.61 $250,000.01 - $300,000.00...... 158,079,420 577 23.66 273,968 5.532 358.81 691 80.35 $300,000.01 - $350,000.00...... 106,728,563 335 15.98 318,593 5.518 358.93 694 80.62 $350,000.01 - $400,000.00...... 10,121,713 27 1.52 374,878 5.536 358.29 708 83.05 $400,000.01 - $450,000.00...... 5,483,924 13 0.82 421,840 6.016 358.68 707 77.82 $450,000.01 - $500,000.00...... 5,672,623 12 0.85 472,719 5.404 358.65 708 71.07 $500,000.01 - $550,000.00...... 1,613,976 3 0.24 537,992 5.390 359.00 670 71.47 $600,000.01 - $650,000.00...... 1,270,750 2 0.19 635,375 5.751 360.00 742 67.51 ------------ ----- ------ -------- ----- ------ --- ----- Total................. $668,000,383 3,055 100.00% $218,658 5.566% 358.69 689 80.94% ============ ===== ====== As of origination, the average principal balance of the sample Group 2 Loans will be approximately $219,045. PRINCIPAL BALANCES AS OF THE CUT-OFF DATE [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF MORTGAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL LOAN PRINCIPAL BALANCE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV ---------------------- --------------- ----- ----- ------- --- -------- ----- --- $100,000.01 - $150,000.00....... $ 73,060,679 538 10.94% $135,801 5.682% 358.47 683 81.86% $150,000.01 - $200,000.00....... 146,326,318 839 21.91 174,406 5.619 358.60 684 81.23 $200,000.01 - $250,000.00....... 161,140,015 715 24.12 225,371 5.527 358.58 687 81.64 $250,000.01 - $300,000.00....... 156,880,541 572 23.49 274,267 5.523 358.82 691 80.24 $300,000.01 - $350,000.00....... 106,429,843 334 15.93 318,652 5.522 358.94 694 80.66 $350,000.01 - $400,000.00....... 10,121,713 27 1.52 374,878 5.536 358.29 708 83.05 $400,000.01 - $450,000.00....... 5,483,924 13 0.82 421,840 6.016 358.68 707 77.82 $450,000.01 - $500,000.00....... 5,672,623 12 0.85 472,719 5.404 358.65 708 71.07 $500,000.01 - $550,000.00....... 1,613,976 3 0.24 537,992 5.390 359.00 670 71.47 $600,000.01 - $650,000.00....... 1,270,750 2 0.19 635,375 5.751 360.00 742 67.51 ------------ ----- ------ -------- ----- ------ --- ----- Total.................. $668,000,383 3,055 100.00% $218,658 5.566% 358.69 689 80.94% ============ ===== ====== As of the Cut-off Date, the average current principal balance of the sample Group 2 Loans will be approximately $218,658. S-45
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MORTGAGE RATES [Enlarge/Download Table] 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 ------------------ --------------- ----- ----- ------- --- -------- ----- --- 2.000 - 2.449............ $ 168,000 1 0.03% $168,000 2.490% 359.00 816 65.88% 3.000 - 3.449............ 733,846 3 0.11 244,615 3.334 357.40 734 55.77 3.500 - 3.999............ 17,567,990 78 2.63 225,231 3.767 357.82 720 75.36 4.000 - 4.499............ 41,547,615 190 6.22 218,672 4.258 357.96 710 76.16 4.500 - 4.999............ 122,134,001 538 18.28 227,015 4.727 358.40 697 78.95 5.000 - 5.499............ 143,803,750 652 21.53 220,558 5.207 358.63 693 80.31 5.500 - 5.999............ 157,842,016 740 23.63 213,300 5.705 358.84 687 81.24 6.000 - 6.499............ 79,670,884 369 11.93 215,910 6.179 358.92 680 82.29 6.500 - 6.999............ 51,541,141 234 7.72 220,261 6.695 359.04 675 84.65 7.000 - 7.499............ 23,032,713 105 3.45 219,359 7.207 359.27 669 85.59 7.500 - 7.999............ 17,008,632 86 2.55 197,775 7.681 359.08 661 87.84 8.000 - 8.499............ 5,188,245 24 0.78 216,177 8.153 359.38 643 85.90 8.500 - 8.999............ 5,577,974 25 0.84 223,119 8.664 359.39 653 88.71 9.000 - 9.499............ 1,309,475 5 0.20 261,895 9.268 359.33 684 88.06 9.500 - 9.999............ 874,102 5 0.13 174,820 9.693 359.86 611 82.54 ------------ ----- ------ -------- ----- ------ --- ----- Total........... $668,000,383 3,055 100.00% $218,658 5.566% 358.69 689 80.94% ============ ===== ====== ____________ As of the Cut-off Date, the weighted average mortgage rate of the sample Group 2 Loans will be approximately 5.566% per annum. S-46
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NEXT ADJUSTMENT DATE [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL NEXT ADJUSTMENT DATE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV -------------------- --------------- ----- ----- ------- --- -------- ----- --- August 1, 2004......... $ 553,700 2 0.08% $276,850 4.782% 359.00 705 70.00% September 1, 2004...... 211,500 1 0.03 211,500 6.375 356.00 653 90.00 October 1, 2004........ 828,469 4 0.12 207,117 5.267 358.51 689 88.79 November 1, 2004....... 3,920,245 16 0.59 245,015 5.079 358.87 694 80.87 December 1, 2004....... 4,781,330 22 0.72 217,333 5.891 358.05 679 86.35 January 1, 2005........ 23,731,050 98 3.55 242,154 5.152 359.00 701 79.56 February 1, 2005....... 32,693,626 136 4.89 240,394 5.590 360.00 703 79.98 March 1, 2005.......... 3,032,650 13 0.45 233,281 5.800 360.00 672 75.21 July 1, 2005........... 918,022 4 0.14 229,505 6.427 359.00 655 83.74 August 1, 2005......... 992,916 4 0.15 248,229 5.269 360.00 700 78.72 September 1, 2005...... 146,500 1 0.02 146,500 5.990 360.00 649 79.19 December 1, 2005....... 275,492 1 0.04 275,492 6.250 352.00 702 90.00 January 1, 2006........ 384,969 1 0.06 384,969 6.375 353.00 668 94.88 February 1, 2006....... 134,822 1 0.02 134,822 6.750 354.00 704 95.00 March 1, 2006.......... 378,262 2 0.06 189,131 6.859 355.00 682 91.76 April 1, 2006.......... 20,682,053 98 3.10 211,041 4.767 356.00 685 85.78 May 1, 2006............ 63,385,075 294 9.49 215,595 5.028 357.01 685 87.10 June 1, 2006........... 73,740,847 344 11.04 214,363 5.745 358.04 679 86.43 July 1, 2006........... 107,261,717 469 16.06 228,703 6.062 359.00 683 80.16 August 1, 2006......... 109,386,420 482 16.38 226,943 5.717 360.00 699 78.46 September 1, 2006...... 15,363,374 70 2.30 219,477 5.969 360.00 675 76.95 December 1, 2006....... 293,000 1 0.04 293,000 5.625 352.00 723 77.93 January 1, 2007........ 330,000 1 0.05 330,000 4.500 353.00 744 70.97 February 1, 2007....... 296,893 2 0.04 148,446 4.754 354.00 729 64.60 March 1, 2007.......... 233,051 1 0.03 233,051 5.125 355.00 623 60.26 April 1, 2007.......... 7,761,470 40 1.16 194,037 4.801 356.02 688 80.48 May 1, 2007............ 34,700,841 170 5.19 204,123 4.938 357.07 689 83.87 June 1, 2007........... 54,128,967 279 8.10 194,011 5.416 358.28 678 80.97 July 1, 2007........... 51,901,487 260 7.77 199,621 5.524 359.00 680 78.31 August 1, 2007......... 27,457,227 114 4.11 240,853 5.566 360.00 715 74.92 September 1, 2007...... 3,858,040 16 0.58 241,128 5.521 360.00 679 73.45 April 1, 2009.......... 597,330 4 0.09 149,333 5.317 356.00 739 77.46 May 1, 2009............ 296,800 1 0.04 296,800 5.750 357.00 722 75.14 June 1, 2009........... 3,651,362 16 0.55 228,210 5.692 358.09 700 74.61 July 1, 2009........... 7,137,216 31 1.07 230,233 5.797 359.00 713 71.44 August 1, 2009......... 9,677,011 43 1.45 225,047 6.089 360.00 701 73.57 September 1, 2009...... 2,321,650 11 0.35 211,059 5.756 360.00 689 69.92 June 1, 2011........... 275,000 1 0.04 275,000 4.750 358.00 739 63.22 July 1, 2014........... 280,000 1 0.04 280,000 7.250 359.00 664 80.00 ------------ ----- ------ -------- ----- ------ --- ----- Total......... $668,000,383 3,055 100.00% $218,658 5.566% 358.69 689 80.94% ============ ===== ====== _____________ As of the Cut-off Date, the weighted average remaining months to the next adjustment date of the sample Group 2 Loans will be approximately 25 months. S-47
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GROSS MARGIN [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF GROSS NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL MARGINS (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV ----------- --------------- ----- ----- ------- --- -------- ----- --- 1.750 - 1.999.......... $ 5,483,826 25 0.82% $219,353 4.055% 357.54 725 76.99% 2.000 - 2.249.......... 7,493,258 37 1.12 202,520 4.327 357.50 705 73.73 2.250 - 2.499.......... 21,726,570 96 3.25 226,318 4.599 357.49 711 75.36 2.500 - 2.749.......... 16,577,626 78 2.48 212,534 4.778 357.47 701 76.66 2.750 - 2.999.......... 42,173,932 188 6.31 224,329 5.024 357.56 688 81.75 3.000 - 3.249.......... 71,725,050 325 10.74 220,692 5.106 358.01 700 85.12 3.250 - 3.499.......... 120,305,524 531 18.01 226,564 5.322 358.94 726 80.25 3.500 - 3.749.......... 72,171,409 319 10.80 226,243 5.477 358.90 692 81.73 3.750 - 3.999.......... 133,464,596 604 19.98 220,968 5.840 359.39 676 79.04 4.000 - 4.249.......... 8,146,628 39 1.22 208,888 6.540 358.35 676 88.76 4.250 - 4.499.......... 14,126,260 65 2.11 217,327 5.625 358.83 664 80.19 4.500 - 4.749.......... 10,764,244 51 1.61 211,064 5.330 358.80 674 80.63 4.750 - 4.999.......... 13,536,611 66 2.03 205,100 5.772 358.76 657 82.92 5.000 - 5.249.......... 38,358,336 173 5.74 221,724 6.272 358.82 680 81.40 5.250 - 5.499.......... 19,162,535 103 2.87 186,044 5.749 358.71 655 80.65 5.500 - 5.749.......... 18,362,069 101 2.75 181,803 5.939 358.84 655 80.16 5.750 - 5.999.......... 21,300,267 103 3.19 206,799 6.296 358.83 657 80.95 6.000 - 6.249.......... 16,301,040 73 2.44 223,302 6.642 358.86 646 83.60 6.250 - 6.499.......... 11,637,766 53 1.74 219,580 6.956 358.77 633 87.83 6.500 - 6.749.......... 1,603,142 7 0.24 229,020 7.085 358.74 620 88.49 6.750 - 6.999.......... 746,399 3 0.11 248,800 6.523 359.17 689 89.16 7.000 - 7.249.......... 542,280 2 0.08 271,140 7.250 359.48 634 62.92 7.250 - 7.499.......... 686,669 4 0.10 171,667 7.852 358.76 664 80.21 7.500 - 7.749.......... 525,443 3 0.08 175,148 7.778 358.73 669 87.76 8.250 - 8.499.......... 189,000 1 0.03 189,000 9.750 360.00 526 54.00 8.500- 8.749........... 351,050 2 0.05 175,525 8.661 359.43 659 83.08 9.250 - 9.499.......... 250,000 1 0.04 250,000 9.500 360.00 700 94.34 9.500 - 9.749.......... 288,852 2 0.04 144,426 9.875 359.56 642 94.82 ------------ ----- ------ -------- ----- ------ --- ----- Total......... $668,000,383 3,055 100.00% $218,658 5.566% 358.69 689 80.94% ============ ===== ====== ___________ As of the Cut-off Date, the weighted average Gross Margin of the sample Group 2 Loans will be approximately 3.824% per annum. S-48
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MAXIMUM MORTGAGE RATE [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF MAXIMUM NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL MORTGAGE RATES (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV ------------------ --------------- ----- ----- ------- --- -------- ----- --- 8.000 - 8.499........... $ 168,000 1 0.03% $168,000 2.490% 359.00 816 65.88% 8.500 - 8.999........... 149,092 1 0.02 149,092 3.750 356.00 762 49.18 9.000 - 9.499........... 733,846 3 0.11 244,615 3.334 357.40 734 55.77 9.500 - 9.999........... 20,738,915 90 3.10 230,432 3.972 358.10 717 75.92 10.000 - 10.499......... 42,550,033 195 6.37 218,205 4.303 357.86 710 76.13 10.500 - 10.999......... 121,306,620 537 18.16 225,897 4.742 358.38 698 79.02 11.000 - 11.499......... 144,539,170 654 21.64 221,008 5.209 358.65 693 80.29 11.500 - 11.999......... 154,270,817 723 23.09 213,376 5.710 358.87 686 81.28 12.000 - 12.499......... 78,024,474 363 11.68 214,943 6.180 358.93 680 82.25 12.500 - 12.999......... 50,515,254 229 7.56 220,591 6.671 359.00 676 84.96 13.000 - 13.499......... 23,396,097 107 3.50 218,655 7.172 359.22 670 85.87 13.500 - 13.999......... 16,684,519 83 2.50 201,018 7.624 359.04 664 87.83 14.000 - 14.499......... 5,096,312 24 0.76 212,346 7.944 359.37 654 86.89 14.500 - 14.999......... 6,299,125 29 0.94 217,211 8.508 359.43 644 87.71 15.000 - 15.499......... 2,268,616 9 0.34 252,068 8.800 359.39 616 80.50 15.500 - 15.999......... 724,243 4 0.11 181,061 9.426 359.57 638 88.30 16.500 - 16.999......... 535,250 3 0.08 178,417 9.239 359.63 570 67.24 ------------ ----- ------ -------- ----- ------ --- ----- Total.......... $668,000,383 3,055 100.00% $218,658 5.566% 358.69 689 80.94% ============ ===== ====== _______________ As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the sample Group 2 Loans will be approximately 11.562% per annum. S-49
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INITIAL FIXED-RATE PERIOD [Enlarge/Download Table] 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 -------------------- --------------- ----- ----- ------- --- -------- ----- --- One Month............... $ 553,700 2 0.08% $276,850 4.782% 359.00 705 70.00% Three Months............ 3,261,817 14 0.49 232,987 5.014 359.79 699 81.81 Six Months.............. 65,937,052 276 9.87 238,902 5.460 359.41 698 80.18 One Year................ 2,057,438 9 0.31 228,604 5.837 359.55 676 80.99 Two Years............... 390,993,030 1,762 58.53 221,903 5.667 358.64 687 82.20 Three Years............. 180,960,976 884 27.09 204,707 5.351 358.42 687 79.59 Five Years.............. 23,681,369 106 3.55 223,409 5.883 359.27 705 72.85 Seven Years............. 275,000 1 0.04 275,000 4.750 358.00 739 63.22 Ten Years............... 280,000 1 0.04 280,000 7.250 359.00 664 80.00 ------------ ----- ------ -------- ----- ------ --- ----- Total.......... $668,000,383 3,055 100.00% $218,658 5.566% 358.69 689 80.94% ============ ===== ====== INITIAL RATE CAP [Enlarge/Download Table] 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................... $ 70,313,325 293 10.53% $239,977 5.386% 359.44 701 80.22% 1.500................... 2,473,604 13 0.37 190,277 7.044 358.61 609 81.49 2.000................... 2,476,959 10 0.37 247,696 5.348 357.46 674 76.51 3.000................... 403,710,036 1,848 60.44 218,458 5.812 359.25 687 78.89 4.000................... 532,000 2 0.08 266,000 7.096 359.00 580 67.69 5.000................... 4,405,824 18 0.66 244,768 5.917 358.31 701 74.09 6.000................... 184,088,635 871 27.56 211,353 5.066 357.20 689 85.95 ------------ ----- ------ -------- ----- ------ --- ----- Total.......... $668,000,383 3,055 100.00% $218,658 5.566% 358.69 689 80.94% ============ ===== ====== PERIODIC RATE CAP [Enlarge/Download Table] 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................... $656,964,718 3,007 98.35% $218,478 5.551% 358.69 690 81.01% 1.500................... 5,517,348 27 0.83 204,346 7.146 358.88 596 77.12 2.000................... 4,986,316 19 0.75 262,438 5.570 358.47 691 77.34 2.500................... 532,000 2 0.08 266,000 7.096 359.00 580 67.69 ------------ ----- ------ -------- ----- ------ --- ----- Total.......... $668,000,383 3,055 100.00% $218,658 5.566% 358.69 689 80.94% ============ ===== ====== S-50
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ORIGINAL LOAN-TO-VALUE RATIOS [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE RANGE OF LOAN-TO- NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL VALUE RATIOS (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV ---------------- --------------- ----- ----- ------- --- -------- ----- --- 25.01 - 30.00........... $ 151,000 1 0.02% $151,000 4.750% 360.00 737 25.17% 30.01 - 35.00........... 745,786 5 0.11 149,157 5.881 357.51 680 32.91 35.01 - 40.00........... 1,421,149 7 0.21 203,021 5.174 358.30 683 37.39 40.01 - 45.00........... 776,664 4 0.12 194,166 4.698 358.11 652 43.02 45.01 - 50.00........... 4,894,677 22 0.73 222,485 4.956 358.33 703 48.25 50.01 - 55.00........... 2,628,163 13 0.39 202,166 5.349 359.15 674 53.32 55.01 - 60.00........... 6,195,756 24 0.93 258,157 5.045 359.03 685 58.57 60.01 - 65.00........... 12,364,314 54 1.85 228,969 5.177 358.82 680 63.34 65.01 - 70.00........... 84,123,694 357 12.59 235,641 4.968 359.36 711 69.62 70.01 - 75.00........... 27,207,880 118 4.07 230,575 5.421 358.66 681 73.76 75.01 - 80.00........... 313,122,218 1,437 46.87 217,900 5.527 359.00 689 79.80 80.01 - 85.00........... 19,070,126 89 2.85 214,271 5.638 358.07 674 84.10 85.01 - 90.00........... 107,476,783 509 16.09 211,153 6.080 358.12 684 89.77 90.01 - 95.00........... 86,831,223 410 13.00 211,783 5.810 357.72 679 94.76 95.01 - 100.00.......... 990,949 5 0.15 198,190 6.855 358.41 741 99.36 ------------ ----- ------ -------- ----- ------ --- ----- Total.......... $668,000,383 3,055 100.00% $218,658 5.566% 358.69 689 80.94% ============ ===== ====== __________ The minimum and maximum loan-to-value ratios of the sample Group 2 Loans at origination were approximately 25.17% and 100.00%, respectively, and the weighted average of the loan-to-value ratios of the sample Group 2 Loans at origination was approximately 80.94%. OCCUPANCY TYPES [Enlarge/Download Table] 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.......... $536,229,301 2,456 80.27% $218,334 5.525% 358.71 685 81.19% Investment.............. 115,639,599 521 17.31 221,957 5.780 358.64 707 80.01 Second Home............. 16,131,482 78 2.41 206,814 5.385 358.28 689 79.13 ------------ ----- ------ -------- ----- ------ --- ----- Total.......... $668,000,383 3,055 100.00% $218,658 5.566% 358.69 689 80.94% ============ ===== ====== Occupancy type is based on the representation of the borrower at the time of origination. S-51
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MORTGAGE LOAN PROGRAM AND DOCUMENTATION TYPE [Enlarge/Download Table] 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).......... $235,032,443 1,013 35.18% $232,016 5.544% 359.24 700 78.25% Progressive Series Program (Full Documentation).... 169,899,435 815 25.43 208,466 5.443 359.05 679 78.99 Progressive Express(TM) Program (Non Verified Assets)................. 145,043,524 668 21.71 217,131 5.549 357.86 684 84.71 Progressive Express(TM) No Doc Program (No Documentation).......... 71,951,543 350 10.77 205,576 5.497 357.65 690 85.34 Progressive Express(TM) Program (Verified Assets)................. 38,933,854 174 5.83 223,758 6.293 358.72 682 83.16 Progressive Express(TM) No Doc Program (Verified Assets)....... 3,746,842 19 0.56 197,202 6.401 359.22 678 82.19 Progressive Series Program (Full Income/Stated Assets Documentation).......... 1,889,299 10 0.28 188,930 5.917 358.29 637 85.55 Progressive Series Program ( Alternative Documentation).......... 524,893 2 0.08 262,446 6.897 358.00 638 93.03 Progressive Series Program (No Income/No Asset Documentation).......... 461,349 2 0.07 230,674 7.281 359.42 655 78.66 Progressive Series Program (Lite/Reduced Documentation (SE))..... 270,000 1 0.04 270,000 4.375 359.00 691 61.37 Progressive Series Program (No Ratio) 247,200 1 0.04 247,200 5.750 360.00 688 80.00 ------------ ----- ------ -------- ----- ------ --- ----- Total.......... $668,000,383 3,055 100.00% $218,658 5.566% 358.69 689 80.94% ============ ===== ====== See "--Underwriting Standards" below for a detailed description of the Seller's loan programs and documentation requirements. S-52
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RISK CATEGORIES [Enlarge/Download Table] 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)...................... $312,626,344 1,400 46.80% $223,305 5.249% 358.71 725 79.96% A(1)....................... 252,152,448 1,174 37.75 214,781 5.595 358.42 654 82.12 A- (1)..................... 25,760,289 127 3.86 202,837 6.136 358.92 610 79.69 B(1)....................... 129,781 1 0.02 129,781 6.875 359.00 564 78.78 C(1)....................... 185,390 1 0.03 185,390 8.625 359.00 549 70.00 CX(1)...................... 390,492 2 0.06 195,246 8.976 359.48 517 64.84 Progressive Express(TM) I(2).. 37,439,760 164 5.60 228,291 6.199 359.47 726 81.78 Progressive Express(TM) II(2). 32,881,265 155 4.92 212,137 6.771 359.30 650 82.05 Progressive Express(TM)III(2). 3,480,644 16 0.52 217,540 7.083 359.41 617 81.47 Progressive Express(TM) IV(2). 1,014,295 5 0.15 202,859 7.090 358.92 608 85.37 Progressive Express(TM) V(2).. 446,334 2 0.07 223,167 7.097 359.31 637 72.28 Progressive Express(TM) VI(2). 1,493,339 8 0.22 186,667 8.160 359.80 527 65.40 ------------ ----- ------ -------- ----- ------ --- ----- Total............. $668,000,383 3,055 100.00% $218,658 5.566% 358.69 689 80.94% ============ ===== ====== _________________ (1) All of these sample Group 2 Loans were reviewed and placed into risk categories based on the credit standards of the Progressive Series Program. Credit grades of A+, A, A-, B, C and CX correspond to Progressive Series I+, I and II, III and III+, IV, V and VI, respectively. (2) These sample Group 2 Loans were originated under the Seller's Progressive Express(TM) Program. The underwriting for these sample Group 2 Loans is generally based on the borrower's "Credit Score" score and therefore these sample Group 2 Loans do not correspond to the alphabetical risk categories listed above. Each mortgage loan originated pursuant to the Express Priority Refi(TM) Program has been placed in either Progressive Express(TM) Program II or III. SEE "--UNDERWRITING STANDARDS" BELOW FOR A DESCRIPTION OF THE SELLER'S RISK CATEGORIES. S-53
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PROPERTY TYPES [Enlarge/Download Table] 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....... $462,374,558 2,177 69.22% $212,391 5.522% 358.61 684 81.46% Condominium................... 80,314,536 370 12.02 217,066 5.406 358.79 701 80.10 Two Family.................... 32,821,196 126 4.91 260,486 5.757 358.59 697 81.56 Planned Unit Development...... 30,609,523 142 4.58 215,560 6.039 359.03 686 80.45 De minimis PUD................ 23,712,576 105 3.55 225,834 5.749 359.47 698 80.69 Four Family................... 18,905,959 58 2.83 325,965 5.600 358.70 711 75.46 Three Family.................. 12,447,207 43 1.86 289,470 5.702 358.46 708 76.59 Townhouse..................... 3,532,975 20 0.53 176,649 5.949 359.21 678 77.24 Highrise/Condominium.......... 3,146,963 13 0.47 242,074 6.802 359.40 685 79.37 Coop.......................... 134,889 1 0.02 134,889 7.000 359.00 N/A 90.00 ------------ ----- ------ -------- ----- ------ --- ----- Total................ $668,000,383 3,055 100.00% $218,658 5.566% 358.69 689 80.94% ============ ===== ====== S-54
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GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL STATE CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV ----- --------------- ----- ----- ------- --- -------- ----- --- Alabama................. $ 1,489,962 7 0.22% $212,852 5.391% 358.61 686 74.68% Arkansas................ 872,117 5 0.13 174,423 5.808 358.58 692 87.61 Arizona................. 24,092,121 129 3.61 186,761 5.720 358.35 676 83.79 California.............. 295,045,988 1,178 44.17 250,463 5.473 359.07 698 78.33 Colorado................ 20,925,836 109 3.13 191,980 5.460 358.20 679 82.34 Connecticut ........... 2,522,137 12 0.38 210,178 5.503 357.56 689 85.83 District of Columbia.... 1,532,679 6 0.23 255,446 6.559 359.12 636 77.09 Delaware................ 1,241,114 7 0.19 177,302 5.134 357.55 688 81.83 Florida................. 50,521,704 268 7.56 188,514 5.840 358.76 682 82.26 Georgia................. 10,555,695 54 1.58 195,476 5.605 357.86 675 87.27 Hawaii.................. 2,942,096 11 0.44 267,463 5.548 358.59 668 75.06 Iowa.................... 851,884 5 0.13 170,377 4.732 357.18 664 85.58 Idaho................... 898,813 6 0.13 149,802 5.945 358.39 665 89.62 Illinois................ 22,373,516 114 3.35 196,259 5.860 358.54 682 83.22 Indiana................. 1,311,073 7 0.20 187,296 5.638 358.89 698 80.79 Kansas.................. 1,561,867 9 0.23 173,541 5.490 358.16 684 85.51 Kentucky................ 764,377 5 0.11 152,875 5.101 358.21 678 77.96 Louisiana............... 1,206,605 7 0.18 172,372 4.997 357.83 738 83.48 Massachusetts........... 20,129,739 83 3.01 242,527 5.249 358.19 688 79.80 Maryland................ 14,916,908 73 2.23 204,341 5.616 358.88 679 80.05 Maine................... 1,251,164 6 0.19 208,527 5.279 357.31 691 75.82 Michigan................ 6,889,333 35 1.03 196,838 6.009 358.01 677 85.32 Minnesota............... 25,085,203 132 3.76 190,039 5.469 358.12 684 84.47 Missouri................ 3,314,218 20 0.50 165,711 5.446 357.66 673 88.24 Mississippi............. 1,061,616 6 0.16 176,936 5.571 358.38 664 81.56 Montana................. 987,742 5 0.15 197,548 5.737 358.01 668 88.75 North Carolina.......... 5,424,793 31 0.81 174,993 5.478 357.90 677 84.66 North Dakota............ 252,070 2 0.04 126,035 7.997 359.00 661 84.26 Nebraska................ 459,502 2 0.07 229,751 5.951 357.70 675 95.00 New Hampshire........... 4,183,690 18 0.63 232,427 5.296 357.80 676 83.67 New Jersey.............. 16,987,167 69 2.54 246,191 6.109 358.31 675 85.38 New Mexico.............. 1,679,697 9 0.25 186,633 5.961 357.46 667 83.88 Nevada.................. 31,758,508 149 4.75 213,144 5.803 358.62 691 82.41 New York................ 7,982,040 29 1.19 275,243 5.685 357.80 677 82.14 Ohio.................... 4,617,859 26 0.69 177,610 5.485 358.13 672 86.73 Oklahoma................ 396,015 3 0.06 132,005 6.757 358.97 647 83.11 Oregon.................. 8,456,466 48 1.27 176,176 5.306 358.37 687 82.29 Pennsylvania............ 4,580,886 25 0.69 183,235 5.560 358.02 681 86.36 Rhode Island............ 2,292,557 10 0.34 229,256 5.654 358.12 691 82.37 South Carolina.......... 3,752,829 21 0.56 178,706 5.307 357.91 688 87.12 Tennessee............... 2,702,788 16 0.40 168,924 5.441 358.55 669 84.15 Texas................... 6,961,386 39 1.04 178,497 5.644 358.51 682 83.38 Utah.................... 6,477,183 38 0.97 170,452 5.697 358.48 690 84.20 Virginia................ 23,473,207 108 3.51 217,345 5.608 358.62 682 82.50 Washington.............. 18,491,337 97 2.77 190,632 5.321 358.66 676 81.30 Wisconsin............... 2,218,165 13 0.33 170,628 5.418 357.56 672 85.87 West Virginia........... 506,732 3 0.08 168,911 4.623 357.54 665 89.26 ------------ ----- ------ -------- ----- ------ --- ----- Total.......... $668,000,383 3,055 100.00% $218,658 5.566% 358.69 689 80.94% ============ ===== ====== No more than approximately 0.69% of the sample 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. S-55
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DEBT-TO-INCOME RATIO [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL DESCRIPTION (%) CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV --------------- --------------- ----- ----- ------- --- -------- ----- --- 0.01 - 5.00............... $ 454,000 2 0.07% $227,000 4.933% 359.65 661 62.26% 5.01 - 10.00.............. 1,123,799 7 0.17 160,543 6.037 358.35 670 82.89 10.01 - 15.00............. 2,221,071 11 0.33 201,916 5.933 359.07 685 80.48 15.01 - 20.00............. 5,570,618 28 0.83 198,951 5.565 359.23 699 78.35 20.01 - 25.00............. 12,352,055 55 1.85 224,583 5.555 359.13 693 76.83 25.01 - 30.00............. 22,663,490 106 3.39 213,807 5.676 359.27 694 78.04 30.01 - 35.00............. 45,416,035 211 6.80 215,242 5.665 359.15 684 78.71 35.01 - 40.00............. 66,287,468 304 9.92 218,051 5.744 359.11 687 80.33 40.01 - 45.00............. 95,458,827 419 14.29 227,825 5.674 359.16 687 78.96 45.01 - 50.00............. 99,622,516 458 14.91 217,516 5.665 359.16 683 79.52 50.01 - 55.00............. 6,321,685 27 0.95 234,136 5.665 359.43 696 77.66 Greater than 55.00........ 1,326,218 6 0.20 221,036 6.712 359.25 704 86.63 Not Required.............. 309,182,600 1,421 46.28 217,581 5.430 358.14 691 82.95 ------------ ----- ------ -------- ----- ------ --- ----- Total............ $668,000,383 3,055 100.00% $218,658 5.566% 358.69 689 80.94% ============ ===== ====== As of the Cut-off Date, the weighted average debt-to-income ratio of the sample Group 2 Loans will be approximately 39.80% per annum. PREPAYMENT PENALTY [Enlarge/Download Table] 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........................ $203,381,658 913 30.45% $222,762 5.584% 358.34 692 82.53% 6........................ 4,352,891 20 0.65 217,645 5.950 359.37 692 82.71 7........................ 651,000 2 0.10 325,500 4.274 360.00 734 70.00 12....................... 86,037,024 368 12.88 233,796 5.439 359.05 697 78.54 24....................... 254,720,791 1,165 38.13 218,644 5.647 358.78 687 81.22 36....................... 118,857,019 587 17.79 202,482 5.446 358.80 681 79.33 ------------ ----- ------ -------- ----- ------ --- ----- Total........... $668,000,383 3,055 100.00% $218,658 5.566% 358.69 689 80.94% ============ ===== ====== S-56
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MONTHS REMAINING TO SCHEDULED MATURITY [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL RANGE OF MONTHS CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV --------------- --------------- ----- ----- ------- --- -------- ----- --- 301-360................... $668,000,383 3,055 100.00% $218,658 5.566% 358.69 689 80.94% ------------ ----- ------ -------- ----- ------ --- ----- Total............ $668,000,383 3,055 100.00% $218,658 5.566% 358.69 689 80.94% ============ ===== ====== As of the Cut-off Date, the weighted average months remaining to scheduled maturity of the sample Group 2 Loans will be approximately 359 months. CREDIT SCORES [Enlarge/Download Table] WEIGHTED WEIGHTED AVERAGE WEIGHTED WEIGHTED AVERAGE REMG. AVERAGE AVERAGE NO. OF % OF AVERAGE GROSS TERM CREDIT ORIGINAL RANGE OF CREDIT SCORES CURRENT BALANCE LOANS TOTAL BALANCE WAC (MONTHS) SCORE LTV ---------------------- --------------- ----- ----- ------- --- -------- ----- --- Not Required.............. $ 442,889 2 0.07% $221,445 5.870% 359.00 N/A 83.05% 801 - 820................. 2,331,683 10 0.35 233,168 4.483 358.92 807 77.03 781 - 800................. 16,947,758 75 2.54 225,970 5.184 358.76 788 76.56 761 - 780................. 37,996,913 166 5.69 228,897 5.280 358.88 770 77.55 741 - 760................. 54,816,061 236 8.21 232,271 5.320 359.04 750 79.84 721 - 740................. 64,347,663 291 9.63 221,126 5.320 358.65 730 80.52 701 - 720................. 81,197,337 365 12.16 222,458 5.416 358.76 710 81.58 681 - 700................. 99,354,594 449 14.87 221,280 5.478 358.75 691 80.49 661 - 680................. 95,199,379 438 14.25 217,350 5.599 358.56 671 81.55 641 - 660................. 103,595,852 488 15.51 212,287 5.770 358.55 650 82.66 621 - 640................. 77,883,620 369 11.66 211,067 5.809 358.42 631 82.35 601 - 620................. 28,587,092 140 4.28 204,194 6.141 358.89 612 80.21 581 - 600................. 2,768,539 13 0.41 212,965 7.038 359.45 592 81.52 561 - 580................. 129,781 1 0.02 129,781 6.875 359.00 564 78.78 541 - 560................. 482,422 3 0.07 160,807 8.120 359.62 546 60.63 521 - 540................. 1,098,649 4 0.16 274,662 7.867 359.42 530 65.74 501 - 520................. 820,151 5 0.12 164,030 8.297 359.75 514 67.88 ------------ ----- ------ -------- ----- ------ --- ----- Total............ $668,000,383 3,055 100.00% $218,658 5.566% 358.69 689 80.94% ============ ===== ====== As of the Cut-off Date, the weighted average credit score of the sample Group 2 Loans for which credit scores are available will be approximately 689. S-57
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RANGE OF MONTHS TO ROLL [Enlarge/Download Table] 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................... $ 69,752,569 292 10.44% $238,879 5.434% 359.42 698 80.17% 7 - 12.................. 2,057,438 9 0.31 228,604 5.837 359.55 676 80.99 13 - 18................. 795,283 3 0.12 265,094 6.395 352.82 686 93.21 19 - 24................. 390,197,747 1,759 58.41 221,829 5.666 358.65 687 82.18 25 - 31................. 1,152,944 5 0.17 230,589 4.978 353.41 710 68.93 32 - 37................. 179,808,032 879 26.92 204,560 5.354 358.46 687 79.65 56 - 61................. 23,681,369 106 3.55 223,409 5.883 359.27 705 72.85 80 - 85................. 275,000 1 0.04 275,000 4.750 358.00 739 63.22 Greater than 85......... 280,000 1 0.04 280,000 7.250 359.00 664 80.00 ------------ ----- ------ -------- ----- ------ --- ----- Total.......... $668,000,383 3,055 100.00% $218,658 5.566% 358.69 689 80.94% ============ ===== ====== As of the Cut-off Date, the weighted average months to roll of the sample Group 2 Loans will be approximately 25 months. LOAN PURPOSES [Enlarge/Download Table] 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................ $439,132,309 2,015 65.74% $217,932 5.594% 358.78 698 81.81% Refinance - Cash Out.... 168,377,751 751 25.21 224,205 5.488 358.48 670 78.99 Refinance - Rate/Term... 60,490,323 289 9.06 209,309 5.577 358.58 669 80.01 ------------ ----- ------ -------- ----- ------ --- ----- Total.......... $668,000,383 3,055 100.00% $218,658 5.566% 358.69 689 80.94% ============ ===== ====== 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. CONVEYANCE OF SUBSEQUENT MORTGAGE LOANS AND THE PRE-FUNDING ACCOUNT Under and to the extent provided in the Agreement, the Securities Administrator, on behalf of the Trust, will be obligated to purchase from the company during the Funding Period, subject to the availability thereof, Group 1 subsequent mortgage loans and Group 2 subsequent mortgage loans. The Group 1 subsequent mortgage loans and Group 2 subsequent mortgage loans will be transferred to the Securities Administrator, on behalf of the Trust, on the related Subsequent Transfer Date pursuant to the related Subsequent Transfer Instrument between the company and the Trustee. In connection with the purchase of Group 1 subsequent S-58
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mortgage loans and Group 2 subsequent mortgage loans on such Subsequent Transfer Dates, the Trustee, on behalf of the Trust, will be required to pay to the company solely from amounts on deposit in the related Pre-Funding Account, a cash purchase price of 100% of the principal balance of the Group 1 subsequent mortgage loans and Group 2 subsequent mortgage loans. The amount paid from the related Pre-Funding Account on each Subsequent Transfer Date will not include accrued interest on the related Group 1 subsequent mortgage loans and Group 2 subsequent mortgage loans. Following each Subsequent Transfer Date, the aggregate Stated Principal Balance of the mortgage loans will increase by an amount equal to the aggregate Stated Principal Balance of the related Group 1 subsequent mortgage loans and Group 2 subsequent mortgage loans so purchased and the amount in the related Pre-Funding Account will decrease accordingly. The Group 1 Pre-Funding Account will be established to provide the Securities Administrator, on behalf of the Trust, with sufficient funds to purchase the Group 1 subsequent mortgage loans. On or about September 30, 2004, and otherwise during the Funding Period, the Group 1 Original Pre-Funded Amount will be reduced by the amount used to purchase the Group 1 subsequent mortgage loans for the mortgage pool in accordance with the Agreement. Any investment income on funds in the Group 1 Pre-Funding Account will be included in Group 1 Available Funds. Any conveyance of Group 1 subsequent mortgage loans on a Subsequent Transfer Date is subject to certain conditions including, but not limited to the following: (a) each such mortgage loan must satisfy the representations and warranties specified in the related Subsequent Transfer Instrument and the Agreement; (b) the company will not select such mortgage loans in a manner that it believes to be adverse to the interests of the Certificateholders; (c) the company will deliver certain opinions of counsel with respect to the validity of the conveyance of such mortgage loans; (d) as of the related Subsequent Cut-off Date, each such mortgage loan will satisfy the following criteria: (i) such mortgage loan may not be 30 or more days delinquent as of the last day of the month preceding the Subsequent Cut-off Date; (ii) the original term to stated maturity of such mortgage loan will be 360 months; (iii) each Group 1 subsequent mortgage loan must be an adjustable-rate mortgage loan with a first lien on the related mortgaged property; (iv) no Group 1 subsequent mortgage loan will have a first distribution date occurring after November 1, 2004; (v) the latest maturity date of any Group 1 subsequent mortgage loan will be no later than October 1, 2034; (vi) none of the Group 1 subsequent mortgage loans will be a buydown loan; (vii) such mortgage loan will have a credit score of not less than 500; (viii) such mortgage loan will have a Mortgage Rate as of the applicable Subsequent Cut-off Date ranging from approximately 2.49% per annum to approximately 10.00% per annum; (ix) none of the Group 1 subsequent mortgage loans will be a New York State "high cost" loan; and (x) such mortgage loan shall have been underwritten in accordance with the criteria set forth under "The Mortgage Pool--Underwriting Standards" in this prospectus supplement; (e) as of the related Subsequent Cut-off Date, each group of such mortgage loans will satisfy the following criteria: (i) have a weighted average Mortgage Rate ranging from 5.285% to 6.375% per annum; (ii) consist of mortgage loans with prepayment charges representing no less than approximately 47.27% of the Group 1 Loans; (iii) have a weighted average credit score ranging from 680 to 705; (iv) have no more than 60% of such mortgage loans concentrated in the state of California; (v) have no less than 70% of the mortgaged properties securing Group 1 Loans be owner occupied; (vi) have no less than 55% of the mortgaged properties securing Group 1 Loans be single family detached and de minimis planned unit developments; (vii) have no more than 30% of the Group 1 Loans be cash-out refinance; (viii) all of the subsequent mortgage loans with a loan to value ratio greater than 80% will be covered by a Primary Insurance Policy or the Radian Lender-Paid PMI Policy; (ix) have no more than 0.58% of the Group 1 Loans be mortgage loans with an interest only period; and (x) together with the Group 1 Loans already included in the trust, have no more than 1.5% of such mortgage loans (by aggregate Stated Principal Balance as of the Subsequent Cut-off Date) secured by mortgaged properties located in any one zip code. The Group 2 Pre-Funding Account will be established to provide the Securities Administrator, on behalf of the Trust, with sufficient funds to purchase the Group 2 subsequent mortgage loans. On or about S-59
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September 30, 2004, and otherwise during the Funding Period, the Group 2 Original Pre-Funded Amount will be reduced by the amount used to purchase the Group 2 subsequent mortgage loans for the mortgage pool in accordance with the Agreement. Any investment income on funds in the Group 2 Pre-Funding Account will be included in Group 2 Available Funds. Any conveyance of Group 2 subsequent mortgage loans on a Subsequent Transfer Date is subject to certain conditions including, but not limited to the following: (a) each such mortgage loan must satisfy the representations and warranties specified in the related Subsequent Transfer Instrument and the Agreement; (b) the company will not select such mortgage loans in a manner that it believes to be adverse to the interests of the Certificateholders or the Certificate Insurer; (c) the company will deliver certain opinions of counsel with respect to the validity of the conveyance of such mortgage loans; (d) as of the related Subsequent Cut-off Date, each such mortgage loan will satisfy the following criteria: (i) such mortgage loan may not be 30 or more days delinquent as of the last day of the month preceding the related Subsequent Cut off Date; (ii) the original term to stated maturity of such mortgage loan will be 360 months; (iii) each Group 2 subsequent mortgage loan must be an adjustable-rate mortgage loan with a first lien on the related mortgaged property; (iv) no Group 2 subsequent mortgage loan will have a first distribution date occurring after November 1, 2004; (v) the latest maturity date of any Group 2 subsequent mortgage loan will be no later than October 1, 2034; (vi) none of the Group 2 subsequent mortgage loans will be a buydown loan; (vii) such mortgage loan will have a credit score of not less than 500; (viii) such mortgage loan will have a Mortgage Rate ranging from approximately 5.453% per annum to approximately 10.000% per annum; (ix) none of the Group 2 subsequent mortgage loans will be a New York State "high cost" loan; and (x) such mortgage loan shall have been underwritten in accordance with the criteria set forth under "The Mortgage Pool--Underwriting Standards" in this prospectus supplement; (e) as of the related Subsequent Cut-off Date, each group of such mortgage loans will satisfy the following criteria: (i) have a weighted average Mortgage Rate ranging from 4.875% to 6.375% per annum; (ii) consist of mortgage loans with prepayment charges representing no less than approximately 57.486% of the Group 2 Loans; (iii) have a weighted average credit score ranging from 684 to 705; (iv) have no more than 60% of such mortgage loans concentrated in the state of California; (v) have no less than 70% of the mortgaged properties be owner occupied; (vi) have no less than 55% of the mortgaged properties be single family detached and de minimis planned unit developments; (vii) have no more than 30% of the mortgage loans be cash-out refinance; (viii) all of the subsequent mortgage loans with a loan to value ratio greater than 80% will be covered by a Primary Insurance Policy or the Radian Lender-Paid PMI Policy; (ix) have no more than 58% of the Group 2 Loans be mortgage loans with an interest only period; and (x) together with the Group 2 Loans already included in the Trust, have no more than 1.5% of such mortgage loans (by aggregate Stated Principal Balance as of the applicable Subsequent Cut-off Date) be secured by mortgaged properties located in any one zip code. Notwithstanding the foregoing, any Group 1 subsequent mortgage loan or Group 2 subsequent mortgage loans may be rejected by any one of the Rating Agencies if the inclusion of such mortgage loan would adversely affect the ratings on any class of certificates, without, in the case of the Class 2-A Certificates, taking the Policy into account. In addition, minor variances from the characteristics stated above will be permitted with the consent of the Rating Agencies so long as there are compensating factors. The final characteristics of the mortgage loans will be reflected in a Form 8-K which will be filed within 15 days of the end of the Funding Period. UNDERWRITING STANDARDS GENERAL Approximately 36.34% and 37.93% of the sample Group 1 Loans and sample Group 2 Loans, respectively, were underwritten pursuant to, or in accordance with, the standards of the Seller's Progressive Series Program which is described below. Approximately 9.51% and 11.49% of the sample Group 1 Loans S-60
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and sample Group 2 Loans, respectively, were underwritten pursuant to, or in accordance with, the standards of the Progressive Express(TM) Program, each of which is described below. Approximately 54.16% and 50.58% of the sample Group 1 Loans and sample Group 2 Loans, respectively, were acquired in bulk purchases from underwriters, the underwriting standards of whom were reviewed for acceptability by the Master Servicer. DETAILS OF SPECIFIC PROGRAMS The following provisions apply to all of the mortgage loans originated under the Seller's Progressive Series Program and Progressive Express(TM) Program. ELIGIBILITY. The Seller generally performs a pre-funding audit on each mortgage loan. This audit includes a review for compliance with the related program parameters and accuracy of the legal documents. QUALITY CONTROL. The Seller performs a post-closing quality control review on a minimum of 25% of the mortgage loans originated or acquired under the programs described below for complete re-verification of employment, income and liquid assets used to qualify for such mortgage loan. Such review also includes procedures intended to detect evidence of fraudulent documentation and/or imprudent activity during the processing, funding, servicing or selling of the mortgage loan. Verification of occupancy and applicable information is made by regular mail. VARIATIONS. The Seller uses the following parameters as guidelines only. On a case-by-case basis, the Seller may determine that the prospective mortgagor warrants an exception outside the standard program guidelines. An exception may be allowed if the loan application reflects certain compensating factors, including instances where the prospective mortgagor: o has demonstrated an ability to save and devote a greater portion of income to basic housing needs; o may have a potential for increased earnings and advancement because of education or special job training, even if the prospective mortgagor has just entered the job market; o has demonstrated an ability to maintain a debt free position; o may have short term income that is verifiable but could not be counted as stable income because it does not meet the remaining term requirements; and o has net worth substantial enough to suggest that repayment of the loan is within the prospective mortgagor's ability. APPRAISALS. The Seller does not publish an approved appraiser list for the conduit seller. Each conduit seller maintains its own list of appraisers, provided that each appraiser must: o be a state licensed or certified appraiser; o meet the independent appraiser requirements for staff appraisers, or, if appropriate, be on a list of appraisers specified by the Office of the Comptroller of the Currency, the Board of Governors of the Federal Reserve System, the FDIC and the Office of Thrift Supervision under their respective real estate appraisal regulations adopted in accordance with Title XI of the Financial Institutions Reform Recovery and Enforcement Act of 1989, regardless of whether the seller is subject to those regulations; S-61
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o be experienced in the appraisal of properties similar to the type being appraised; o be actively engaged in appraisal work; and o subscribe to a code of ethics that is at least as strict as the code of the American Institute of Real Estate Appraisers or the Society of Real Estate Appraisers. With respect to the Seller's Progressive Series Program or Progressive Express(TM) Program in general one full appraisal is required on each loan. In addition, an automated valuation model, or AVM, or a quantitative appraisal report (Fannie Mae Form 2055), or a Hansen Pro, or enhanced desk review is obtained either (a) when the loan-to-value ratio is 90.01% to 95% or (b) when the property has multiple units and the loan-to-value ratio is greater than 80%, or (c) the loan is a Progressive Express(TM) No Doc Program and the loan-to-value ratio is 80.01% to 90%. In addition, a quantitative appraisal report (Fannie Mae Form 2055), or a Hansen Pro, or enhanced desk review is obtained when the loan is a Progressive Express(TM) No Doc Program and the loan-to-value ratio is equal to or greater than 90.01%. An enhanced field review is also required when the loan-to-value ratio is equal to or greater than 95.01% or when the loan amount is above $500,000 or the property is located in Georgia and the loan-to-value ratio is 70.01% and above. At the underwriter's discretion, any one of the above appraisal reviews may be required when program parameters do not require an appraisal review. THE PROGRESSIVE SERIES PROGRAM GENERAL. The underwriting guidelines utilized in the Progressive Series Program, as developed by the Seller, are intended to assess the borrower's ability and willingness to repay the mortgage loan obligation and to assess the adequacy of the mortgaged property as collateral for the mortgage loan. The Progressive Series Program is designed to meet the needs of borrowers with excellent credit, as well as those whose credit has been adversely affected. The Progressive Series Program consists of seven mortgage loan programs. Each program has different credit criteria, reserve requirements, qualifying ratios and loan-to-value ratio restrictions. Series I is designed for credit history and income requirements typical of "A" credit borrowers. In the event a borrower does not fit the Series I criteria, the borrower's mortgage loan is placed into either Series II, III, III+, IV, V or VI, depending on which series' mortgage loan parameters meets the borrower's unique credit profile. Series II, III, III+, IV, V or VI allow for less restrictive standards because of certain compensating or offsetting factors such as a lower loan-to-value ratio, verified liquid assets, job stability, pride of ownership and, in the case of refinanced mortgage loans, length of time owning the mortgaged property. The philosophy of the Progressive Series Program is that no single borrower characteristic should automatically determine whether an application for a mortgage loan should be approved or disapproved. Lending decisions are based on a risk analysis assessment after the review of the entire mortgage loan file. Each mortgage loan is individually underwritten with emphasis placed on the overall quality of the mortgage loan. The Progressive Series I, II, III, III+, IV, V and VI Program borrowers are required to have debt service- to-income ratios within the range of 45% to 60% calculated on the basis of monthly income and depending on the loan-to-value ratio of the mortgage loan. Under the Progressive Series Program, the Seller underwrites one- to four-family mortgage loans with loan-to-value ratios at origination of up to 100%, depending on, among other things, a borrower's credit history, repayment ability and debt service-to-income ratio, as well as the type and use of the mortgaged property. Second lien financing of the mortgaged properties may be provided by lenders other than the Seller at origination; however, the combined loan-to-value ratio ("CLTV") generally may not exceed 100%. Generally, when the loan-to-value ratio is 97.00% to 100.00%, second liens are ineligible. Mortgage loans with a loan-to-value ratio of up to 95.00% on owner-occupied mortgage properties are allowed a CLTV of up to 100%. Generally, second home-owner-occupied and non-owner-occupied mortgage properties are allowed a maximum CLTV of up to 95%. Under the Seller's 80/20 program, which is available to Progressive S-62
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Series I and II borrowers only, the Seller may allow second lien financing at the same time as the origination of the first lien with CLTVs of up to 100%. The mortgage loans in the Progressive Series Program generally bear rates of interest that are greater than those which are originated in accordance with Freddie Mac and Fannie Mae standards. In general, the maximum amount for mortgage loans originated under the Progressive Series Program is $750,000; however, the Seller may approve mortgage loans in excess of such amount on a case-by-case basis where generally the maximum loan amount is up to $1 million, owner-occupied, with a minimum credit score of 681, the maximum loan-to-value is 80% on full documentation and 75% on reduced documentation, the CLTV is 100% on full documentation and 90% on reduced documentation and the property must be a single-family residence, excluding condominiums. All of the mortgage loans originated under the Progressive Series I, II and III Programs are prior approved and/or underwritten either by employees of the Seller or underwritten by contracted mortgage insurance companies or delegated conduit sellers. Generally all of the mortgage loans originated under the Series III+, IV, V and VI Programs are prior approved and/or underwritten by employees of the Seller and underwritten by designated conduit sellers. All of the Series I, Series II and Series III Program mortgage loans with loan-to-value ratios at origination in excess of 80% have mortgage insurance which may include insurance by Radian, Republic Mortgage Insurance Corporation, General Electric Mortgage Insurance, PMI or United Guaranty Insurance. The borrower may elect to have primary mortgage insurance covered by their loan payment. If the borrower makes such election, a loan-to-value ratio between 80.01% and 90.00% requires 22% coverage, a loan-to-value ratio between 90.01% and 95.00% requires 30% coverage and a loan- to-value ratio between 95.01% and 100% requires 35% coverage. Generally, when the borrower's credit score is less than 660 or the borrower does not make such an election, the related mortgage loan will be covered by a modified primary mortgage insurance policy issued by Radian to the Seller providing coverage in the amount of (i) 22% coverage for a mortgage loan with a loan-to-value ratio between 80.01% and 90.00%, (ii) 30% coverage for a mortgage loan with a loan-to-value ratio between 90.01% and 95.00% and (iii) 35% coverage for a mortgage loan with a loan-to-value ratio between 95.01% and 100%. None of the Series III+ Program mortgage loans with loan-to-value ratios at origination in excess of 80% will be insured by a Primary Insurance Policy. All Series IV, V and VI Program mortgage loans have loan-to-value ratios at origination which are less than or equal to 85% and do not require a Primary Insurance Policy. The Seller receives verbal verification from the conduit seller of employment prior to funding or acquiring each Progressive Series Program mortgage loan. FULL/ALTERNATIVE DOCUMENTATION AND REDUCED DOCUMENTATION PROGRESSIVE SERIES PROGRAMS. Each prospective borrower completes a mortgage loan application which includes information with respect to the applicant's liabilities, income, credit history, employment history and personal information. The Seller requires a credit report on each applicant from a credit reporting company. The report typically contains information relating to credit history with local and national merchants and lenders, installment debt payments and any record of defaults, bankruptcies, repossessions or judgments. The Progressive Series Program allows for approval of an application pursuant to the (a) Full/Alternative Documentation Program, or (b) the Limited Documentation Program or the "No Income, No Assets" Program or the No Ratio Program (any of the foregoing, a "Reduced Documentation Program"). The Full/Alternative Documentation Program requires the following documents: (i) Uniform Residential Loan Application (Fannie Mae Form 1003 or Freddie Mac Form 65), (ii) Statement of Assets and Liabilities (Fannie Mae Form 1003A or Freddie Mac Form 65A), (iii) In-File Tri-Merged Credit Report or Residential Mortgage Credit Report with records obtained from at least two separate repositories, (iv) Verification of Employment Form providing a complete two year employment history, (v) Verification of Deposit Form for all liquid assets, verifying minimum cash reserves based upon the loan-to-value ratio and borrower's income, and (vi) a Uniform Residential Appraisal Report (Fannie Mae Form 1004 or Freddie Mac Form 70). The S-63
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Full/Alternative Documentation Program allows for the use of certain alternative documents in lieu of the Verification of Deposit Form and Verification of Employment Form. These include W-2 Statements, tax returns and one pay check from the most recent full month for verification of income and the most recent one month personal bank statement for verification of liquid assets. In addition, self-employed borrowers must provide federal tax returns for the previous two years, including K-1's, federal business tax returns for two years, year-to-date financial statements and a signed IRS Form 4506 (Request for Copy of Tax Returns). Under the Full Income Documentation/Stated Assets Program available to borrowers in the Series I, II and III programs, the borrower provides full income and employment documentation information, which the Seller is required to verify. The borrower states assets on the Residential Loan Application (Fannie Mae Form 1003 or Freddie Mac Form 65); however, verification of assets is not required. With respect to the Full Income Documentation/Stated Assets Program, a mortgage loan is allowed to have a loan-to-value ratio at origination of up to 100%. Under each Reduced Documentation Program, which is available to borrowers in every Progressive Series Program, the Seller obtains from prospective borrowers either a verification of deposits or bank statements for the most recent one-month period preceding the mortgage loan application. Under this program the borrower provides income information on the mortgage loan application, and the debt service-to-income ratio is calculated. However, income is not verified. Permitted maximum loan-to-value ratios (including secondary financing) under the Reduced Documentation Program generally are limited. Under the "No Ratio" program available to borrowers in the Series I and II program, the borrower provides no income information, but provides employment and asset information, which the Seller is required to verify, on the mortgage loan application. With respect to the "No Ratio" program, a mortgage loan with a loan-to-value ratio at origination in excess of 80% is generally not eligible. Under the "No Income, No Assets" Program available to borrowers in the Series I Program, the borrower provides no income information, but provides employment and unverified asset information on the mortgage loan application. With respect to the "No Income, No Assets" Program, a mortgage loan with a loan-to-value ratio at origination in excess of 80% is generally not eligible. Under the Lite Income/Stated Assets Program which is available to borrowers for the Series I, II, and III Programs, the Seller obtains from prospective salaried borrowers a 30-day pay stub and from prospective self-employed borrowers bank statements for the most recent twelve-month period preceding the mortgage loan application and a year-to-date profit and loss statement. Under this program the borrower provides income information on the mortgage loan application, and the debt service-to-income ratio is provided. The maximum loan-to-value ratio under this program is 97%. Under the Lite Documentation Program, which is available to Series III+, Series IV, and Series V Program self-employed borrowers, the previous 12 months bank statements are utilized in lieu of tax returns. Under these programs the borrower provides income information on the mortgage loan applicant and the debt-to-service-to income ratio is calculated. However, income is not verified. Permitted maximum loan-to-value ratios (including secondary financing) under the Lite Documentation Program generally are limited. Under all Progressive Series Programs, the Seller or the conduit seller verbally verifies the borrower's employment prior to closing. Credit history, collateral quality and the amount of the down payment are important factors in evaluating a mortgage loan submitted under one of the Reduced Documentation Programs. In addition, in order to qualify for a Reduced Documentation Program, a mortgage loan must conform to certain criteria regarding maximum loan amount, property type and occupancy status. Mortgage loans having a loan-to-value ratio at origination in excess of 95% where the related mortgaged property is used as a second S-64
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or vacation home or is a non-owner occupied home are not eligible for the Series I, II or III Reduced Documentation Program. In general, the maximum loan amount for mortgage loans underwritten in accordance with Series I, II and III Reduced Documentation Program is $750,000 for purchase transactions, rate-term transactions and cash out refinance transactions. The maximum loan amount is $500,000 for mortgage loans underwritten in accordance with Series III+ Reduced Documentation Program, $400,000 for mortgage loans underwritten in accordance with Series IV and V Reduced Documentation Program, and $175,000 for mortgage loans underwritten in accordance with Series VI Reduced Documentation Program, however, exceptions are granted on a case-by-case basis. Secondary financing is allowed in the origination of the Reduced Documentation Program but must meet the CLTV requirements described above and certain other requirements for subordinate financing. In all cases, liquid assets must support the level of income of the borrower as stated in proportion to the type of employment of the borrower. Full Documentation is requested by the underwriter if it is the judgment of the underwriter that the compensating factors are insufficient for loan approval. CREDIT HISTORY. The Progressive Series Program defines an acceptable credit history in each of the Series I, II and III Programs. The Series I Program defines an acceptable credit history as a borrower who has "A" credit, meaning a minimum of four trade accounts, including a mortgage and/or rental history, along with one non-traditional trade account to satisfy five trades, with 24 months credit history, no 30-day delinquent mortgage payments in the last 12 months, and a maximum of one 30-day delinquent payments on any revolving credit account within the past 12 months and a maximum of one 30-day delinquent payment on installment credit account within the past 12 months. However, if the loan-to-value ratio of the loan is 90% or less, consumer credit is disregarded. Bankruptcies must be at least 24 months old, fully discharged and the borrower must have re-established or re-affirmed satisfactory credit history. Foreclosures are not allowed in the past 3 years. No judgments, suits, tax liens, other liens, collections or charge-offs in the past 24 months, generally older items must be paid prior to or at closing. With respect to the Series II Program, a borrower must have a minimum of four trade accounts including a mortgage and/or rental history, along with one non-traditional trade account to satisfy five trades, and no 30-day delinquent mortgage payments in the past 12 months. A borrower may not have more than three 30-day delinquent payments on any revolving credit account and a maximum of three 30-day delinquent payments within the past 12 months on any installment credit account. However, if the loan-to-value ratio of the loan is 90% or less, consumer credit is disregarded. All bankruptcies must be at least 24 months old, fully discharged and the borrower must have re-established or re-affirmed satisfactory credit history. Foreclosures are not allowed in the past 3 years. No judgments, suits, tax liens, other liens, collections or charge-offs in the past 24 months, generally older items must be paid prior to or at closing. With respect to the Series III Program, a borrower must have a minimum of four trade accounts including a mortgage and/or rental history, along with one non-traditional trade account to satisfy five trades, with 24-months credit history, a borrower may not have more than two 30-day delinquent mortgage payments within the past 12 months. Bankruptcies must be at least 24 months old, fully discharged and the borrower must have re-established or re-affirmed satisfactory credit history. Foreclosures are not allowed in the past 3 years. No judgments, suits, tax liens, other liens, collections or charge-offs in the past 24 months, generally older items must be paid prior to or at closing. With respect to the Series III+ Program, a borrower must have a minimum of two trade accounts including a mortgage and/or rental history, along with one non-traditional trade account to satisfy three trades, with 12 months credit history, a borrower may not have more than two 30-day delinquent mortgage payments within the past 12 months. Any open judgments, suits, liens, collections and charge-offs not to exceed $500 cumulatively within the past 12 months generally are paid prior to or at closing. Bankruptcies must be at least 24 months old, fully discharged and the borrower must have re-established or re-affirmed satisfactory credit S-65
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history. Foreclosures are not allowed during the past 24 months. Tax liens are not allowed within the last 12 months. With respect to the Series IV Program, a borrower must have a minimum of two trade accounts including a mortgage and/or rental history, along with one non-traditional trade account to satisfy three trades, with 12 months credit history, a borrower may not have more than four 30-day delinquent mortgage payments or three 30-day delinquent mortgage payments and one 60-day delinquent mortgage payment within the past 12 months. Any open judgments, suits, liens, collections and charge-offs not to exceed $1,000 cumulatively within the past 12 months generally are paid prior to or at closing. Bankruptcies must be at least 18 months old, fully discharged and the borrower must have re-established or re-affirmed satisfactory credit history. Foreclosures are not allowed in the past 18 months. Tax liens are not allowed within the last 12 months. With respect to the Series V Program, a borrower must have a minimum of two trade accounts including a mortgage and/or rental history, along with one non-traditional trade account to satisfy three trades, with 12 months credit history, a borrower may not have more than five 30-day delinquent mortgage payments or two 60-day delinquent mortgage payments or one 90-day delinquent mortgage payment within the past 12 months. Any open judgments, suits, liens, collections and charge-offs not to exceed $4,000 cumulatively within the past 12 months generally are paid prior to or at closing. Bankruptcies must be at least 12 months old, fully discharged and the borrower must have re-established or re-affirmed satisfactory credit history. Foreclosures are not allowed in the past 12 months. Tax liens are not allowed within the last 12 months. With respect to the Series VI program, a borrower must have a minimum of two trade accounts including a mortgage and/or rental history, along with one non-traditional trade account to satisfy three trades, with 12 months credit history, a borrower may not have more than one 90-day delinquent mortgage payment within the past 12 months. Any open judgments, suits, liens, collections and charge-offs generally are paid prior to or at closing. Bankruptcies must be at least 6 months old. Foreclosures are not allowed in the past 6 months. Tax liens are not allowed within the last 6 months. THE PROGRESSIVE EXPRESS(TM) PROGRAMS PROGRESSIVE EXPRESS(TM) PROGRAMS WITH DOCUMENTATION GENERAL. In July 1996, the Seller developed an additional series to the Progressive Program, the "Progressive Express(TM) Program." The concept of the Progressive Express(TM) Program is to underwrite the loan focusing on the borrower's Credit Score, ability and willingness to repay the mortgage loan obligation, and assess the adequacy of the mortgaged property as collateral for the loan. The Credit Score is an electronic evaluation of past and present credit accounts on the borrower's credit bureau report. This includes all reported accounts as well as public records and inquiries. The Progressive Express(TM) Program offers six levels of mortgage loan programs. The Progressive Express(TM) Program has a minimum Credit Score that must be met by the borrower's primary wage earner and does not allow for exceptions to the Credit Score requirement. The Credit Score requirement is as follows: Progressive Express(TM) I above 680, Progressive Express(TM) II 680-620, Progressive Express(TM) III 619-601, Progressive Express(TM) IV 600-581, Progressive Express(TM) V 580-551, and Progressive Express(TM) VI 550-500. Each Progressive Express(TM) program has different Credit Score requirements, credit criteria, reserve requirements, and loan-to-value ratio restrictions. Progressive Express(TM) I is designed for credit history and income requirements typical of "A+" credit borrowers. In the event a borrower does not fit the Progressive Express(TM) I criteria, the borrower's mortgage loan is placed into either Progressive Express(TM) II, III, IV, V, or VI, depending on which series' mortgage loan parameters meets the borrowers unique credit profile. All of the mortgage loans originated under the Progressive Express(TM) program are prior approved and/or underwritten either by employees of the Seller or underwritten by contracted mortgage insurance S-66
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companies or delegated conduit sellers. Under the Progressive Express(TM) Program, the Seller underwrites single family dwellings with loan-to-value ratios at origination of up to 100%. In general, the maximum amount for mortgage loans originated under the Progressive Express Program is $750,000; however, the Seller may approve mortgage loans on a case-by-case basis where generally the maximum loan amount is up to $1 million, owner-occupied, with a minimum credit score of 681. The borrower must disclose employment and assets which both are verified by the Seller, the loan-to-value must not be greater than 70%, the CLTV must not be greater than 80% and the property must be single-family residence, excluding condominiums. For loans that exceed a 97% loan-to-value ratio to a maximum of a 100% loan-to-value ratio, (i) such loans must be for purchase transactions only, (ii) the borrower must have a minimum credit score of 700, (iii) the mortgaged property must be an owner-occupied, primary residence, (iv) the borrower must state income and assets on the Residential Loan Application and meet a debt ratio not to exceed 50% and (v) such loan must be underwritten utilizing the Impac Direct Access System for Lending (IDASL) automated underwriting system. Condominiums are not allowed on the 100% loan-to-value ratio feature. In order for the property to be eligible for the Progressive Express(TM) Program, it may include a single-family residence (1-unit), 2-4 units, condominium and/or planned unit development (PUD). Progressive Express(TM) I & II allow owner- occupied and second home single-family residence property subject to a maximum loan-to-value ratio of 95% and a maximum 100% CLTV on owner-occupied mortgaged properties and 95% on mortgaged properties that are second homes. Express III allows owner-occupied single-family residence property subject to a maximum 90% loan-to-value ratio and a combined loan-to-value of 95%. Progressive Express(TM) I & II allow owner- occupied and non-owner occupied properties to a maximum 90% loan-to-value ratio on 1-2 units and 80% loan-to-value ratio on 3-4 units with a maximum 100% CLTV on owner-occupied and Express II non-owner occupied to 95% CLTV. Express III allow non-owner occupied subject to a maximum 80% loan-to-value ratio on 1-4 units with a maximum 95% CLTV. Express IV, V and VI allow owner-occupied and second homes only and non-owner occupied property is not allowed. Express IV owner-occupied is subject to a maximum 90% loan-to-value ratio, Express V is subject to a maximum of 80% loan-to-value ratio and Express VI is subject to a maximum of 75% loan-to-value ratio and CLTV is not allowed on Express IV, V or VI. Express IV, V or VI loans secured by a second home are subject to a maximum of 70% loan-to-value ratio on Express IV, V and VI and CLTV is not allowed. Progressive Express(TM) Programs I through IV loans with loan-to- value ratios at origination in excess of 80% are insured by MGIC, Radian or RMIC. The borrower can elect to have primary mortgage insurance covered by their loan payment. If the borrower makes such election, a loan-to-value ratio between 80.01% and 89.99% requires 22% coverage, and a loan-to-value ratio between 90.00% and 95.00% requires 30% coverage and a loan-to-value ratio between 95.01% and 100% requires 35% coverage. Generally, when the borrower's credit score is less than 660 or the borrower does not make such an election, the related mortgage loan will be covered by a modified primary mortgage insurance policy issued by Radian to the Seller providing coverage in the amount of (i) 22% for a mortgage loan with a loan-to-value ratio between 80.01% and 89.99%, (ii) 30% for a mortgage loan with a loan-to-value ratio between 90% and 95% and (iii) 35% for mortgage loan with a loan-to-value ratio between 95.01% and 100%. Each borrower completes a Residential Loan Application (Fannie Mae Form 1003 or Freddie Mac Form 65). The borrower must disclose employment and assets on the application, however, there is no verification of the information. If the borrower elects to verify assets, the Seller obtains from the borrower either verification of deposits or bank statements for the most recent one-month period preceding the mortgage loan application. The conduit seller obtains a verbal verification of employment on each borrower. The Seller uses the foregoing parameters as guidelines only. The Seller may include certain provisions in the note that the Seller may not enforce. Full documentation is requested by the underwriter if it is the judgment of the underwriter that the compensating factors are insufficient for loan approval under the Progressive Express(TM) Product Line. CREDIT HISTORY. The Progressive Express(TM) Program defines an acceptable credit history in each of the programs I through VI. Progressive Express(TM) I defines an acceptable credit history as a borrower who S-67
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has "A+" credit, meaning a minimum of four trade accounts including a mortgage and/or rental history, along with one non-traditional trade account to satisfy five trades, no 30-day delinquent mortgage payments in the past 12 months, and a maximum of one 30-day delinquent payments on any revolving credit accounts within the past 12 months and one 30-day delinquent payment on any installment credit accounts within the past 12 months. However, if the loan-to-value ratio of the loan is 90% or less, consumer credit is disregarded. All bankruptcies must be at least 24 months old, fully discharged and the borrower must have re-established or re-affirmed satisfactory credit history. Foreclosures are not allowed in the past 3 years. No judgments, suits, tax liens, other liens, collections or charge-offs in the past 24 months, generally older items must be paid prior to or at closing. With respect to Progressive Express(TM) II, a borrower must have a minimum of four trade accounts including a mortgage and/or rental history, along with one non-traditional trade account to satisfy five trades, and no late mortgage payments for the past 12 months. In addition, a borrower must have a maximum of two 30-day delinquent payments on any revolving credit accounts within the past 12 months and one 30-day delinquent payment on any installment credit accounts within the past 12 months. However, if the loan-to- value ratio of the loan is 90% or less, revolving and installment credit is disregarded. All bankruptcies must be at least 24 months old, fully discharged and the borrower must have re-established or re-affirmed satisfactory credit history. Foreclosures are not allowed in the past 3 years. No judgments, suits, tax liens, other liens, collections or charge-offs allowed within the past 24 months, generally older items must be paid prior to or at closing. With respect to Progressive Express(TM) III, a borrower must have a minimum of four trade accounts including a mortgage and/or rental history, along with one non-traditional trade account to satisfy five trades and no more than one 30-day late mortgage payment for the past 12 months. All bankruptcies must be at least 24 months old, fully discharged and the borrower must have re-established or re-affirmed satisfactory credit history. Foreclosures are not allowed in the past 3 years. No judgments, suits, tax liens, other liens, collections or charge-offs allowed within the past 24 months, generally older items must be paid prior to or at closing. With respect to Progressive Express(TM) IV, a borrower must have a minimum of four trade accounts including a mortgage and/or rental history, along with one non-traditional trade account to satisfy five trades, no more than two 30-day late mortgage payments for the past 12 months. All bankruptcies must be at least 24 months old, fully discharged and the borrower must have re-established or re-affirmed satisfactory credit history. Foreclosures are not allowed in the past 3 years. No judgments, suits, tax liens, other liens, collections or charge-offs allowed within the past 24 months, generally older items must be paid prior to or at closing. With respect to Progressive Express(TM) V, a borrower must have a minimum of two trade accounts including a mortgage and/or rental history, along with one non-traditional trade account to satisfy three trades, with 12 months credit history, no more than two 30-day late mortgage payments in the past 12 months. All bankruptcies must be at least 24 months old, fully discharged and the borrower must have re-established or re-affirmed satisfactory credit history. Foreclosures are not allowed in the past 24 months. Judgments, suits, liens, collections or charge-offs, may not exceed $500 cumulatively within the past 12 months, and must be paid prior to or at closing. Tax liens are not allowed within the last 12 months. With respect to Progressive Express(TM) VI, a borrower must have a minimum of two trade accounts including a mortgage and/or rental history, along with one non-traditional trade account to satisfy three trades, with 12 months credit history, no more than four 30-day or three 30-day and one 60-day late mortgage payments in the past 12 months. All bankruptcies must be at least 18 months old and fully discharged. Foreclosures are not allowed in the past 18 months. Judgments, suits, liens, collections or charge-offs, may S-68
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not exceed $1,000 cumulatively within the past 12 months, and must be paid prior to or at closing. Tax liens are not allowed within the last 12 months. PROGRESSIVE EXPRESS(TM) NO DOC PROGRAM In May, 1999, the Seller introduced a Progressive Express(TM) No Doc Program (the "No Doc program"). The concept of the No Doc program is to underwrite the loan focusing on the borrower's credit score, ability and willingness to repay the mortgage loan obligation, and assess the adequacy of the mortgaged property as collateral for the loan. The No Doc program has a minimum credit score and does not allow for exceptions to the credit score. The credit score requirement is as follows: 681 for Progressive Express(TM) No Doc I and 620 for Progressive Express(TM) No Doc II. Each program has a different credit score requirement and credit criteria. All of the mortgage loans originated under the Progressive Express(TM) No Doc program are prior approved and/or underwritten either by employees of the Seller or underwritten by contracted mortgage insurance companies or delegated conduit sellers. Under the Progressive Express(TM) No Doc program, the Seller employees or contracted mortgage insurance companies or delegated conduit sellers underwrite single family dwellings with loan-to-value ratios at origination up to 95% and $500,000. In order for the property to be eligible for the Progressive Express(TM) No Doc program, it must be a single family residence (single unit only), condominium and/or planned unit development (PUD) or 2-units to a maximum loan-to-value ratio of 80%. The borrower can elect to have primary mortgage insurance covered by their loan payment. If the borrower makes such election, the loan-to-value ratios at origination in excess of 80%, are insured by MGIC, Radian or RMIC. For loan-to-value ratios of 80.01% to 89.99%, mortgage insurance coverage is 22% and for loan-to-value ratios of 90% to 95%, mortgage insurance coverage is 30%. Generally, when the borrower's credit score is less than 660 or if the borrower does not make such election, the related mortgage loan will be covered by a modified primary insurance policy issued by Radian to the Seller providing coverage in the amount of 22% for a mortgage loan with a loan-to-value ratio between 80.01% and 89.99% and 30% for a mortgage loan with a loan-to-value ratio of 90% to 95%. Each borrower completes a Residential Loan Application (Fannie Mae Form 1003 or Freddie Mac Form 65). The borrower does not disclose income, employment, or assets and a Verbal Verification of Employment is not provided. Generally, borrowers provide a daytime telephone number as well as an evening telephone number. If the prospective borrower elects to state and verify assets on the Residential Loan Application, Seller obtains from prospective borrowers either a verification of deposits or bank statements for the most recent one-month period preceding the mortgage loan application. CREDIT HISTORY. The Progressive Express(TM) No Doc program defines an acceptable credit history as follows: Progressive Express(TM) No Doc I defines an acceptable credit history as a borrower who has "A+" credit, meaning a minimum of four trade accounts including a mortgage and/or rental history, along with one non-traditional trade account to satisfy five trades, and no 30-day delinquent mortgage payments in the past 12 months and a maximum of one 30-day delinquent payments on any revolving credit accounts within the past 12 months and one 30-day delinquent payment on any installment credit accounts within the past 12 months. However, if the loan-to-value ratio of the loan is 90% or less, revolving and installment credit is disregarded. All bankruptcies must be at least 24 months old, fully discharged and the borrower must have re-established or re-affirmed a satisfactory credit history. Foreclosures are not allowed in the past 3 years. No judgments, suits, tax liens, other liens, collections or charge-offs are allowed within the past 24 months, generally older items must be paid prior to or at closing. With respect to Progressive Express(TM) No Doc II a borrower must have a minimum of four trade accounts including a mortgage and/or rental history, along with one non-traditional trade account to satisfy five trades, and no late mortgage payments for the past 12 months and a maximum of two 30-day delinquent S-69
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payments on any revolving credit accounts and one 30-day delinquent payment on any installment credit accounts within the past 12 months. However, if the loan-to-value ratio of the loan is 90% or less, revolving and installment credit is disregarded. All bankruptcies must be at least 24 months old, fully discharged and the borrower must have re-established or re-affirmed satisfactory credit history. Foreclosures are not allowed in past 3 years. No judgments, suits, tax liens, other liens, collections or charge-offs allowed within the past 24 months, generally older items must be paid prior to or at closing. IN ADDITION, SEE "THE MORTGAGE POOLS -- UNDERWRITING STANDARDS" IN THE PROSPECTUS. DELINQUENCY AND FORECLOSURE EXPERIENCE OF THE SELLER Based solely upon information provided by the Seller, the following tables summarize, for the respective dates indicated, the delinquency, foreclosure, bankruptcy and REO property status with respect to all one- to four-family residential mortgage loans originated or acquired by the Seller which were being master serviced by the Seller at the dates indicated. The indicated periods of delinquency are based on the number of days past due on a contractual basis. The monthly payments under all of such mortgage loans are due on the first day of each calendar month. A mortgage loan is considered "30 days" delinquent if a payment due on the first of the month is not received by the second day of the following month, and so forth. S-70
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[Enlarge/Download Table] At December 31, 2000 At December 31, 2001 At December 31, 2002 NUMBER PRINCIPAL NUMBER PRINCIPAL NUMBER PRINCIPAL OF LOANS AMOUNT OF LOANS AMOUNT OF LOANS AMOUNT -------- ------ -------- ------ -------- ------ (DOLLARS IN THOUSANDS) (DOLLARS IN THOUSANDS) (DOLLARS IN THOUSANDS) Total Loan Outstanding 31,971 $ 4,042,859 37,972 $5,568,740 48,520 $8,694,474 DELINQUENCY 1 Period of Delinquency: 30-59 Days..... 1,941 $ 242,081 2,064 $ 287,616 2,331 $ 383,855 60-89 Days..... 529 65,809 531 72,460 644 100,878 90- Days or More 266 25,952 705 72,544 616 71,466 ----- ----------- ----- ------- ----- ---------- Total Delinquencies 2,736 $ 333,842 3,300 432,620 3,591 $ 556,200 ===== =========== ===== ======= ===== ========== Delinquencies as a Percentage of Total Loans Outstanding... 8.56% 8.26% 8.69% 7.77% 7.40% 6.40% [Download Table] At December 31, 2003 At June 30, 2004 NUMBER PRINCIPAL NUMBER PRINCIPAL OF LOANS AMOUNT OF LOANS AMOUNT -------- ------ -------- ------ (DOLLARS IN THOUSANDS) (DOLLARS IN THOUSANDS) Total Loan Outstanding 65,256 $ 13,919,693 90,398 $20,128,690 DELINQUENCY 1 Period of Delinquency: 30-59 Days..... 2,432 $ 419,202 2,221 $ 566,141 60-89 Days..... 601 105,455 695 121,312 90- Days or More 560 87,297 513 58,061 ----- ------------ ----- ----------- Total Delinquencies 3,593 $ 611,954 3,429 $ 745,514 ===== ============ ===== =========== Delinquencies as a Percentage of Total Loans Outstanding... 5.51% 4.40% 3.79% 3.70% ---------- 1 The delinquency balances, percentages and numbers set forth under this heading exclude (a) delinquent mortgage loans that were in foreclosure at the respective dates indicated ("Foreclosure Loans"), (b) delinquent mortgage loans as to which the related mortgagor was in bankruptcy proceedings at the respective dates indicated ("Bankruptcy Loans") and (c) REO properties that have been purchased upon foreclosure of the related mortgage loans. All Foreclosure Loans, Bankruptcy Loans and REO properties have been segregated into the sections of the table entitled "Foreclosures Pending," "Bankruptcies Pending" and "REO Properties," respectively, and are not included in the "30-59 Days," "60-89 Days," "90 Days or More" and "Total Delinquencies" sections of the table. See the section of the table entitled "Total Delinquencies plus Foreclosures Pending and Bankruptcies Pending" for total delinquency balances, percentages and numbers which include Foreclosure Loans and Bankruptcy Loans, and see the section of the table entitled "REO Properties" for delinquency balances, percentages and numbers related to REO properties that have been purchased upon foreclosure of the related mortgage loans. S-71
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[Enlarge/Download Table] At December 31, 2000 At December 31, 2001 At December 31, 2002 NUMBER PRINCIPAL NUMBER PRINCIPAL NUMBER PRINCIPAL OF LOANS AMOUNT OF LOANS AMOUNT OF LOANS AMOUNT -------- ------ -------- ------ -------- ------ (DOLLARS IN THOUSANDS) (DOLLARS IN THOUSANDS) (DOLLARS IN THOUSANDS) FORECLOSURES PENDING 1 396 $57,133 931 $132,571 1,452 $212,309 Foreclosures Pending as a Percentage of Total Loans Outstanding.................... 1.24% 1.41% 2.45% 2.38% 2.99% 2.44% BANKRUPTCIES PENDING 2 227 $22,556 259 $22,054 328 $26,402 Bankruptcies Pending as a Percentage of Total Loans Outstanding.................... 0.71% 0.56% 0.68% 0.40% 0.68% 0.30% Total Delinquencies plus Foreclosures Pending and Bankruptcies Pending........... 3,359 $413,531 4,490 $587,245 5,371 $794,910 Total Delinquencies plus Foreclosures Pending and Bankruptcies Pending as a Percentage of Total Loans Outstanding.................... 10.51% 10.23% 11.82% 10.55% 11.07% 9.14% REO PROPERTIES 3 105 $13,944 223 $37,631 329 $53,055 REO Properties as a Percentage. 0.33% 0.34% 0.59% 0.68% 0.68% 0.61% [Download Table] At December 31, 2003 At June 30, NUMBER PRINCIPAL NUMBER PRINCIPAL OF LOANS AMOUNT OF LOANS AMOUNT -------- ------ -------- ------ (DOLLARS IN THOUSANDS) (DOLLARS IN THOUSANDS) FORECLOSURES PENDING 1 1,049 $158,261 1,603 $229,718 Foreclosures Pending as a Percentage of Total Loans Outstanding.................... 1.61% 1.14% 1.77% 1.14% BANKRUPTCIES PENDING 2 227 $19,912 350 $ 21,893 Bankruptcies Pending as a Percentage of Total Loans Outstanding.................... 0.35% 0.14% 0.39% 0.11% Total Delinquencies plus Foreclosures Pending and Bankruptcies Pending........... 4,869 $790,127 5,382 $997,125 Total Delinquencies plus Foreclosures Pending and Bankruptcies Pending as a Percentage of Total Loans Outstanding.................... 7.46% 5.68% 5.95% 4.95% REO PROPERTIES 3 316 $50,383 340 $60,085 REO Properties as a Percentage. 0.48% 0.36% 0.38% 0.30% ---------- 1 Mortgage loans that are in foreclosure but as to which the mortgaged property has not been liquidated at the respective dates indicated. It is generally the Master Servicer's policy, with respect to mortgage loans originated by the Seller, to commence foreclosure proceedings when a mortgage loan is 60 days or more delinquent. However, the Master Servicer may delay the foreclosure process as a result of loss mitigation efforts. 2 Mortgage loans as to which the related mortgagor is in bankruptcy proceedings at the respective dates indicated. 3 REO properties that have been purchased upon foreclosure of the related mortgage loans, including mortgaged properties that were purchased by the Seller after the respective dates indicated. S-72
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Based solely on information provided by the Seller, the following table presents the changes in the Seller's charge-offs and recoveries for the periods indicated. [Enlarge/Download Table] TWELVE MONTHS TWELVE MONTHS TWELVE MONTHS TWELVE MONTHS SIX MONTHS ENDED ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, JUNE 30, 2000 2001 2002 2003 2004 ---- ---- ---- ---- ---- (DOLLARS IN (DOLLARS IN (DOLLARS IN (DOLLARS IN (DOLLARS IN THOUSANDS) THOUSANDS) THOUSANDS) THOUSANDS) THOUSANDS) Charge-offs: Mortgage Loan Properties... $ 12,785 6,475 2,416 3,049 315 REO Properties................. 4,779 4,584 4,043 10,687 1,964 Recoveries: Mortgage Loan Properties... 409 849 1,509 913 948 REO Properties ............ 0 0 0 0 0 Net charge-offs ............... 17,155 10,210 4,950 12,823 1,331 Ratio of net charge-offs ...... to average loans outstanding during the indicated period** ............ 0.51%* 0.21%* 0.07%* 0.12%* 0.03%* ---------- *The ratio of net charge-offs was based upon annualized charge-offs for the indicated periods. The average loans outstanding was computed using monthly balances for the indicated periods. **The information on this table does not include statistical information on mortgage loans which have recently been sold on a servicing-released basis by the Seller to third parties. The above data on charge-offs and recoveries are calculated on the basis of the total mortgage loans originated or acquired by the Seller. However, the total amount of mortgage loans on which the above data are based includes many mortgage loans which were not, as of the respective dates indicated, outstanding long enough to give rise to some of the indicated charge-offs. In the absence of such mortgage loans, the charge-off percentages indicated above would be higher and could be substantially higher. Because the mortgage pool will consist of a fixed group of mortgage loans, the actual charge-off percentages with respect to the mortgage pool may therefore be expected to be higher, and may be substantially higher, than the percentages indicated above. The information set forth in the preceding paragraphs concerning the Seller has been provided by the Seller. WELLS FARGO BANK, N.A. Approximately 17.33% and 8.13% of the Group 1 Loans and Group 2 Loans, respectively, were underwritten pursuant to, or in accordance with, the standards of Wells Fargo Bank, N.A.'s which is described below. Wells Fargo Bank, N.A. ("Wells Fargo") originates first lien residential mortgage loans (referred to as "Mortgage Loans" for purposes of this section) through a network of retail, wholesale, and correspondent offices located throughout all 50 states. S-73
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The underwriting functions of Wells Fargo are performed in its Arizona, California, Louisiana, Minnesota and North Carolina offices. Wells Fargo employs loan credit underwriters to scrutinize the applicant's credit profile and to evaluate whether an impaired credit history is a result of adverse circumstances or a continuing inability or unwillingness to meet credit obligations in a timely manner. Personal circumstances such as divorce, family illnesses or deaths and temporary job loss due to layoffs and corporate downsizing will often impair an applicant's credit record. The underwriting guidelines used by Wells Fargo are primarily intended to evaluate the prospective borrower's credit standing and ability to repay the loan, as well as the value and adequacy of the proposed mortgaged property as collateral. A prospective borrower applying for a mortgage loan is required to complete a detailed application. The loan application elicits pertinent information about the applicant including, depending on the program, the applicant's financial condition (assets, liabilities, income and expenses), the property being financed and the type of loan desired. With respect to every applicant, a credit report summarizing the applicant's credit history with merchants and lenders is obtained. Significant unfavorable credit information reported by the applicant or by a credit reporting agency is taken into account in the credit decision. Loan applications are classified according to certain characteristics, including but not limited to: condition and location of the collateral, credit history of the applicant, ability to pay, loan-to-value ratio and general stability of the applicant in terms of employment history and time in residence. Wells Fargo has established classifications with respect to the credit profile of the applicant. Terms of Mortgage Loans made by Wells Fargo, as well as maximum loan-to-value ratios and debt-to-income ratios, vary depending on the classification of the applicant. Generally, the loan-to-value ratio is the ratio, expressed as a percentage, of the principal amount of the mortgage loan at origination to the lesser of (i) the appraised value of the related mortgaged property, as established by an appraisal obtained by the originator generally no more than four months prior to origination (or, with respect to newly constructed properties, no more than 180 days prior to origination), or (ii) the sale price for such property. In some instances, the loan-to-value may be based on the value determined by an appraisal that was obtained by the originator more than 120 days prior to origination, provided that (i) an appraisal update is obtained and (ii) the original appraisal was obtained no more than 180 days prior to origination. Loan applicants with less favorable credit ratings generally are restricted to consideration for loans with higher interest rates and lower loan-to-value ratios than applicants with more favorable credit ratings. Wells Fargo uses these classifications as guidelines only. On a case-by-case basis, Wells Fargo makes exceptions to these classifications for a prospective borrower based upon the presence of acceptable compensating factors. Examples of compensating factors include, but are not limited to, loan-to-value ratio, debt-to-income ratio, long-term stability of employment and/or residence, statistical credit scores, verified cash reserves or reduction in overall monthly expenses. Except for balloon loans, the Mortgage Loans originated or acquired by Wells Fargo have loan terms of 15, 20 or 30 years and fully amortize over such terms. Wells Fargo generally does not originate or acquire any Mortgage Loans for which the combined loan-to-value ratio at origination exceeds 100% in the event of concurrent secondary financing. The loans originated or acquired by Wells Fargo are generally secured by single-family detached residences, condominium units or two-to four-family residences, and such properties may or may not be occupied by the owner. It is Wells Fargo's policy not to accept commercial properties or unimproved land as collateral for Mortgage Loans. Wells Fargo, will, however, accept mixed-use properties such as a property where more than 80% is used for residential purposes and the balance is used for commercial purposes. Wells Fargo's mortgage loan programs include various "stated income, stated asset" and "no ratio" programs. Wells Fargo may perform a telephone verification of employment for salaried employees prior to funding. In some cases, employment histories may be obtained through V.I.E., Inc., an entity jointly owned by Wells Fargo and an unaffiliated third party that obtains employment data from state unemployment insurance departments or other state agencies. S-74
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Under Wells Fargo's "stated income, stated asset" programs, the applicant's employment, income sources and/or assets must be stated on the initial signed application. The applicant's income as stated must be reasonable for the applicant's occupation as determined in the discretion of the loan underwriter; however, such income is not independently verified. Similarly the applicant's assets as stated must be reasonable for the applicant's occupation as determined in the discretion of the loan underwriter; however, such assets are not independently verified. Wells Fargo's underwriting of every mortgage loan submitted consists of not only a thorough credit review, but also a separate appraisal conducted by (i) Value Information Technology, Inc., ("Value I.T."), an entity jointly owned by Wells Fargo and an unaffiliated third party, (ii) an appraiser approved by Value I.T. or (iii) another third-party appraiser. Appraisals generally conform to current Fannie Mae and Freddie Mac secondary market requirements for residential property appraisals. All appraisals are subject to an internal appraisal review by the loan underwriter irrespective of the loan-to-value ratio, the mortgage loan amount or the identity of the appraiser. Certain loans may require a third party review in the form of either a desk review or field review. Additionally, at the discretion of Wells Fargo, any mortgage loan is subject to further review in the form of a desk review, field review or additional full appraisal. No assurance can be given that values of the Mortgaged Properties have remained or will remain at the levels that existed on the dates of appraisal (or, when applicable, on the dates of appraisal updates) of the related Mortgage Loans. In comparison to Wells Fargo's "general" underwriting standards, the underwriting standards applicable to Mortgage Loans under Wells Fargo's "alternative" mortgage loan underwriting program permit different underwriting criteria, additional types of mortgaged properties or categories of borrowers such as "foreign nationals" without a FICO Score who hold certain types of visas and have acceptable credit references, and include certain other less restrictive parameters. Generally, relative to the "general" underwriting standards, these standards include higher loan amounts, higher maximum loan-to-value ratios, higher maximum "combined" loan-to-value ratios (in each case, relative to Mortgage Loans with otherwise similar characteristics) in cases of simultaneous primary and secondary financings, less restrictive requirements for "equity take out" refinancings, the removal of limitations on the number of permissible Mortgage Loans that may be extended to one borrower and the ability to originate Mortgage Loans with loan-to-value ratios in excess of 80% without the requirement to obtain primary mortgage insurance if such loans are secured by cooperatives or investment properties. Under a program available to eligible borrowers who meet certain underwriting criteria and for which program a minimum downpayment of only 3% is required, Mortgage Loans may be originated with loan-to-value ratios between 95.01% and 97% with the application of less restrictive maximum qualifying ratios of borrower monthly housing debt or total monthly debt obligations to borrower monthly income and reduced minimum requirements for primary mortgage insurance coverage. With respect to mortgaged property types, Mortgage Loans may be secured by shares in cooperative housing corporations, manufactured homes, investment properties permitted under less stringent guidelines, condotels (features of which may include maid service, a front desk or resident manager, rental pools and up to 20% of commercial space) and the mortgaged properties may represent an unusually high percentage of land vs. structure or have other unique characteristics. In addition, borrowers who satisfy certain guidelines regarding credit history may have been approved under a "No Ratio" program (such Mortgage Loans, "No Ratio Loans") or under a "No Income/No Asset" program (such Mortgage Loans, "No Income/No Asset Loans"). In the case of No Ratio Loans, the borrower's income would not have been verified nor would there have been the calculation of any ratios, as part of the loan underwriting decision, of the borrower's expected monthly housing debt or total monthly debt obligations to the borrower's monthly income. In connection with such No Ratio program, the borrower's assets may have been verified and certain minimum "cash reserves" required. In the case of No Income/No Asset Loans, borrowers may not have been required to provide any information in their loan application S-75
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regarding their employment and in that instance employment would not have been verified. Also in the case of No Income/No Asset Loans, borrowers would not have been required to provide any information in their loan application regarding their income or assets. RECENT DEVELOPMENTS WITH RESPECT TO THE SELLER On July 23, 2004, the Seller announced that it would correct and restate certain of its previously issued financial statements for the years ended December 31, 2001, 2002 and 2003 and its unaudited financial statements for the three months ended March 31, 2003 and 2004. While the change affects net earnings in accordance with generally accepted accounting principles, it does not affect its estimated taxable income, future cash flows, past dividends or future dividends. ADDITIONAL INFORMATION The description in this prospectus supplement of the sample mortgage loans and the mortgaged properties is based upon the sample mortgage pool as of the Cut-off Date, as adjusted for the scheduled principal payments due on or before this date. The sample mortgage loans consist of mortgage loans that are intended to be included in the trust as initial mortgage loans, but not the Group 1 subsequent mortgage loans and Group 2 subsequent mortgage loans. However, many of the sample mortgage loans may not be included in the trust as initial mortgage loans as a result of incomplete documentation or otherwise if the company deems this removal necessary or desirable, and may be prepaid at any time. The characteristics of each final loan group will not materially differ from the information provided with respect to each sample loan group. Within 15 days of the Closing Date and 15 days of the end of the Funding Period, tables reflecting the composition of the initial mortgage loans in each loan group and the final pool of mortgage loans in each loan group, respectively, will be filed on Form 8-K with the Commission. However, only one set of tables will be filed if the final pool of mortgage loans in each loan group is determined within 15 days of the closing date. YIELD ON THE CERTIFICATES SHORTFALLS IN COLLECTIONS OF INTEREST When a principal prepayment in full is made on a mortgage loan, the mortgagor is charged interest only for the period from the Due Date of the preceding monthly payment up to the date of the principal prepayment, instead of for a full month. When a partial principal prepayment is made on a mortgage loan, the mortgagor is not charged interest on the amount of the prepayment for the month in which the prepayment is made. In addition, the application of the Relief Act to any mortgage loan will adversely affect, for an indeterminate period of time, the ability of the Master Servicer to collect full amounts of interest on the mortgage loan. SEE "LEGAL ASPECTS OF THE MORTGAGE LOANS--SERVICEMEMBERS CIVIL RELIEF ACT" IN THE PROSPECTUS. The Subservicer is obligated to pay from its own funds only those interest shortfalls attributable to full and partial prepayments by the mortgagors on the mortgage loans subserviced by it, but only to the extent of its aggregate Subservicing Fee for the related Due Period. The Master Servicer is obligated to pay from its own funds only those interest shortfalls attributable to full and partial prepayments by the mortgagors on the mortgage loans master serviced by it, but only to the extent required to be paid by Subservicer and not so paid, and to the extent of its aggregate Master Servicing Fee for the related Due Period. See "Pooling and Servicing Agreement--Servicing and Other Compensation and Payment of Expenses" in this prospectus supplement. Accordingly, the effect of (1) any principal prepayments on the mortgage loans, to the extent that any resulting Prepayment Interest Shortfall exceeds any Compensating Interest or (2) any shortfalls resulting from the application of the Relief Act, will be to reduce the aggregate amount of interest collected that is available for distribution to holders of the certificates. Any resulting S-76
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shortfalls will be allocated among the certificates as provided in this prospectus supplement under "Description of the Certificates--Interest Distributions." GENERAL YIELD AND PREPAYMENT CONSIDERATIONS The yield to maturity of the Offered Certificates will be sensitive to defaults on the mortgage loans. If a purchaser of an Offered Certificate calculates its anticipated yield based on an assumed rate of default and amount of losses that is lower than the default rate and amount of losses actually incurred, its actual yield to maturity will be lower than that so calculated. In general, the earlier a loss occurs, the greater is the effect on an investor's yield to maturity. There can be no assurance as to the delinquency, foreclosure or loss experience with respect to the mortgage loans. Because the mortgage loans were underwritten in accordance with standards less stringent than those generally acceptable to Fannie Mae and Freddie Mac with regard to a borrower's credit standing and repayment ability, the risk of delinquencies with respect to, and losses on, the mortgage loans will be greater than that of mortgage loans underwritten in accordance with Fannie Mae or Freddie Mac standards. The rate of principal payments, the aggregate amount of distributions and the yields to maturity of the Offered Certificates will be affected by the rate and timing of payments of principal on the mortgage loans. The rate of principal payments on the mortgage loans will in turn be affected by the amortization schedules of the mortgage loans and by the rate of principal prepayments (including for this purpose prepayments resulting from refinancing, liquidations of the mortgage loans due to defaults, casualties or condemnations and repurchases by the Seller). Certain of the mortgage loans contain prepayment charge provisions. The rate of principal payments may or may not be less than the rate of principal payments for mortgage loans that did not have prepayment charge provisions. The mortgage loans are subject to the "due- on-sale" provisions included therein. SEE "THE MORTGAGE POOL" HEREIN. Prepayments, liquidations and purchases of the mortgage loans (including any optional purchases) will result in distributions on the Offered Certificates of principal amounts which would otherwise be distributed over the remaining terms of the mortgage loans. Since the rate of payment of principal on the mortgage loans will depend on future events and a variety of other factors, no assurance can be given as to such rate or the rate of principal prepayments. The extent to which the yield to maturity of a class of Offered Certificates may vary from the anticipated yield will depend, in the case of the Offered Certificates, upon the degree to which such class of certificates is purchased at a discount or premium. Further, an investor should consider the risk that, in the case of any Offered Certificate purchased at a discount, a slower than anticipated rate of principal payments (including prepayments) on the mortgage loans could result in an actual yield to such investor that is lower than the anticipated yield and, in the case of any Offered Certificate purchased at a premium, a faster than anticipated rate of principal payments on the mortgage loans could result in an actual yield to such investor that is lower than the anticipated yield. The rate of principal payments (including prepayments) on pools of mortgage loans may vary significantly over time and may be influenced by a variety of economic, geographic, social and other factors, including changes in mortgagors' housing needs, job transfers, unemployment, mortgagors' net equity in the mortgaged properties and servicing decisions. In general, if prevailing interest rates were to fall significantly below the mortgage rates on the mortgage loans, such mortgage loans could be subject to higher prepayment rates than if prevailing interest rates were to remain at or above the mortgage rates on such mortgage loans. Conversely, if prevailing interest rates were to rise significantly, the rate of prepayments on such mortgage loans would generally be expected to decrease. The mortgage loans may be subject to a greater rate of principal prepayments in a low interest rate environment. For example, if prevailing interest rates were to fall, mortgagors may be inclined to refinance their mortgage loans with a fixed-rate loan to "lock in" a lower interest rate or to refinance their mortgage loans with adjustable-rate mortgage loans with low introductory S-77
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interest rates. No assurances can be given as to the rate of prepayments on the mortgage loans in stable or changing interest rate environments. Because principal distributions are paid to certain classes of Offered Certificates before other such classes, holders of classes of Offered Certificates having a later priority of payment bear a greater risk of losses than holders of classes having earlier priorities for distribution of principal. To the extent the related Net WAC Rate becomes the Pass-Through Rate on the Offered Certificates, then in any such case, less interest will accrue on such certificates than would otherwise be the case. The related Net WAC Rate on the Offered Certificates will be equal to the weighted average of the net mortgage rates on the related mortgage loans, multiplied by a fraction equal to (x) 30 divided by (y) the number of days in the related Accrual Period. Corridor Contract payments may be used to cover Net WAC Shortfall Amounts as described under "Description of the Certificates--The Corridor Contracts" in this prospectus supplement. The holders of the Offered Certificates WILL NOT be entitled to recover interest in excess of any applicable limited rate on any future distribution date from Net Monthly Excess Cashflow or from any other source. For a discussion of factors that could limit the Pass-Through Rate on the certificates, see "Risk Factors--The Pass-Through Rates on the Offered Certificates are Subject to Limitation" in this prospectus supplement. Approximately 0.03%, 1.20%, 3.68%, 45.85% and 4.60% of the sample Group 1 Loans have initial interest only periods of six months, two, three, five and ten years, respectively. Approximately 0.04%, 0.72%, 0.39%, 41.81%, and 2.03% of the sample Group 2 Loans have initial interest only periods of six months, two, three, five and ten years, respectively. During this period, the payment made by the related borrower will be less than it would be if the mortgage loan amortized. In addition, the mortgage loan balance will not be reduced by the principal portion of scheduled monthly payments during this period. As a result, no principal payments will be made to the certificates from these mortgage loans during their interest only period except in the case of a prepayment. Approximately 67.19% and 69.55% of the sample Group 1 Loans and sample Group 2 Loans, respectively, provide for payment by the borrower of a prepayment charge in limited circumstances on certain prepayments. The holders of the Class P Certificates will be entitled to all prepayment charges received on the mortgage loans, and these amounts will not be available for distribution on the other classes of certificates. The Master Servicer may waive the collection of any otherwise applicable prepayment charge or reduce the amount thereof actually collected, but only if the Master Servicer does so in compliance with the prepayment charge waiver standards set forth in the Agreement. If the Master Servicer waives any prepayment charge other than in accordance with the standards set forth in the Agreement, the Master Servicer will be required to pay the amount of the waived prepayment charge. There can be no assurance that the prepayment charges will have any effect on the prepayment performance of the mortgage loans. Investors should conduct their own analysis of the effect, if any, that the prepayment premiums, and decisions by the master servicer with respect to the waiver thereof, may have on the prepayment performance of the mortgage loans. The Corridor Contracts will be assigned to, or entered into by, the trust and will provide some protection against Net WAC Shortfall Amounts on the Offered Certificates. However, the Corridor Contracts may not provide sufficient funds to cover such Net WAC Shortfall Amounts on the Offered Certificates. In addition, payments under the Corridor Contracts are limited to a specified rate in effect from time to time. To the extent that net amounts payable under the Corridor Contracts are insufficient to cover Net WAC Shortfall Amounts on the Offered Certificates, some or all of the Net Monthly Excess Cashflow may be used. However, there can be no assurance that the Net Monthly Excess Cashflow will be sufficient to cover these shortfalls, particularly because on any distribution date where the pass-through rate of the Offered Certificates is limited to the related Net WAC Rate, there will be little or no excess interest. S-78
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YIELD SENSITIVITY OF THE MEZZANINE CERTIFICATES If the overcollateralization and the certificate principal balances of the Class M-2, Class M-3, Class M-4, Class M-5 and Class B Certificates have been reduced to zero, the yield to maturity on the Class M-1 Certificates will become extremely sensitive to losses on the mortgage loans (and the timing thereof) that are covered by subordination, because the entire amount of any Realized Losses (to the extent not covered by Net Monthly Excess Cashflow) will be allocated to the Class M-1 Certificates. If the overcollateralization and the certificate principal balance of the Class M-3, Class M-4, Class M-5 and Class B Certificates have been reduced to zero, the yield to maturity on the Class M-2 Certificates will become extremely sensitive to losses on the mortgage loans (and the timing thereof) that are covered by subordination, because the entire amount of any Realized Losses (to the extent not covered by Net Monthly Excess Cashflow) will be allocated to the Class M-2 Certificates. If the overcollateralization and the certificate principal balance of the Class M-4, Class M-5 and Class B Certificates have been reduced to zero, the yield to maturity on the Class M-3 Certificates will become extremely sensitive to losses on the mortgage loans (and the timing thereof) that are covered by subordination, because the entire amount of any Realized Losses (to the extent not covered by Net Monthly Excess Cashflow) will be allocated to the Class M-3 Certificates. If the overcollateralization and the certificate principal balance of the Class M-5 Certificates and Class B Certificates have been reduced to zero, the yield to maturity on the Class M-4 Certificates will become extremely sensitive to losses on the mortgage loans (and the timing thereof) that are covered by subordination, because the entire amount of any Realized Losses (to the extent not covered by Net Monthly Excess Cashflow) will be allocated to the Class M-4 Certificates. If the overcollateralization and the certificate principal balance of the Class B Certificates have been reduced to zero, the yield to maturity on the Class M-5 Certificates will become extremely sensitive to losses on the mortgage loans (and the timing thereof) that are covered by subordination, because the entire amount of any Realized Losses (to the extent not covered by Net Monthly Excess Cashflow) will be allocated to the Class M-5 Certificates. If the overcollateralization has been reduced to zero, the yield to maturity on the Class B Certificates will become extremely sensitive to losses on the mortgage loans (and the timing thereof) that are covered by subordination, because the entire amount of any Realized Losses (to the extent not covered by Net Monthly Excess Cashflow) will be allocated to the Class B Certificates. The initial undivided interests in the trust evidenced by the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and Class B Certificates are approximately 1.15%, 1.00%, 1.00%, 1.00%, 1.00% and 1.25%, respectively, of the Cut-off Date Balance. On the Closing Date, the initial Overcollateralized Amount will approximately equal the initial Overcollateralization Target Amount of zero. However, on the distribution date in February 2005, the Overcollateralization Target Amount will increase to 0.35% of the Cut-off Date Balance, as described herein. The recording of mortgages in the name of MERS is a relatively new practice in the mortgage lending industry. While the company expects that the master servicer or applicable subservicer will be able to commence foreclosure proceedings on the mortgaged properties, when necessary and appropriate, public recording officers and others, however, may have limited, if any, experience with lenders seeking to foreclose mortgages, assignments of which are registered with MERS. Accordingly, delays and additional costs in commencing, prosecuting and completing foreclosure proceedings, defending litigation commenced by third parties and conducting foreclosure sales of the mortgaged properties could result. Those delays and additional costs could in turn delay the distribution of liquidation proceeds to the certificateholders and increase the amount of Realized Losses on the mortgage loans. In addition, if, as a result of MERS discontinuing or becoming unable to continue operations in connection with the MERS(R) System, it becomes necessary to remove any mortgage loan from registration on the MERS(R) System and to arrange for the assignment of the related mortgages to the trustee, then any related expenses shall be reimbursable by the trust to the Master Servicer, which will reduce the amount available to pay principal of and interest on the Mezzanine Certificates. For additional information regarding the recording of mortgages in the name of MERS see "The Mortgage Pool--Mortgage Loan Characteristics" in this prospectus supplement. S-79
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Investors in the Mezzanine Certificates should fully consider the risk that Realized Losses on the mortgage loans could result in the failure of such investors to fully recover their investments. In addition, once Realized Losses have been allocated to the Mezzanine Certificates, such amounts with respect to such certificates will no longer accrue interest and will not be reinstated thereafter. Unless the Certificate Principal Balances of the Class A Certificates have been reduced to zero, the Mezzanine Certificates will not be entitled to any principal distributions until the Stepdown Date or during any period in which a Trigger Event is in effect. As a result, the weighted average lives of the Mezzanine Certificates will be longer than would otherwise be the case if distributions of principal were allocated on a pro rata basis among the Class A Certificates and Mezzanine Certificates. As a result of the longer weighted average lives of the Mezzanine Certificates, the holders of such certificates have a greater risk of suffering a loss on their investments. Further, because a Trigger Event could result from either delinquencies or losses, it is possible for the Mezzanine Certificates to receive no principal distributions (unless the certificate principal balances of the Class A Certificates have been reduced to zero) on and after the Stepdown Date even if no losses have occurred on the mortgage loans. YIELD SENSITIVITY OF THE OFFERED CERTIFICATES The yield to investors on the Offered Certificates will be sensitive to fluctuations in the level of One- Month LIBOR. The Pass-Through Rate on the Offered Certificates will vary with One-Month LIBOR. Changes in the level of One-Month LIBOR may not correlate with changes in prevailing mortgage interest rates or changes in other indices. It is possible that lower prevailing mortgage interest rates, which might be expected to result in faster prepayments, could occur concurrently with an increased level of One-Month LIBOR. Investors in the Offered Certificates should also fully consider the effect on the yields on those certificates of changes in the level of One-Month LIBOR. WEIGHTED AVERAGE LIVES The timing of changes in the rate of principal prepayments on the mortgage loans may significantly affect an investor's actual yield to maturity, even if the average rate of principal prepayments is consistent with such investor's expectation. In general, the earlier a principal prepayment on the mortgage loans occurs, the greater the effect of such principal prepayment on an investor's yield to maturity. The effect on an investor's yield of principal prepayments occurring at a rate higher (or lower) than the rate anticipated by the investor during the period immediately following the issuance of the Offered Certificates may not be offset by a subsequent like decrease (or increase) in the rate of principal prepayments. The weighted average life of an Offered Certificate is the average amount of time that will elapse from the Closing Date, until each dollar of principal is repaid to the investors in such certificate. Because it is expected that there will be prepayments and defaults on the mortgage loans, the actual weighted average lives of these certificates are expected to vary substantially from the weighted average remaining terms to stated maturity of the mortgage loans as set forth herein under "The Mortgage Pool." Prepayments of mortgage loans are commonly measured relative to a prepayment standard or model. The model used in this Prospectus Supplement is the Prepayment Assumption. The Prepayment Assumption does not purport to be either an historical description of the prepayment experience of any pool of mortgage loans or a prediction of the anticipated rate of prepayment of any mortgage loans, including the mortgage loans to be included in the trust. The tables entitled "Percent of Initial Certificate Principal Balance Outstanding at the Following Percentages of the Prepayment Assumption" were prepared on the basis of the assumptions in the following paragraph and the table set forth below. There are certain differences between the loan characteristics S-80
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included in such assumptions and the characteristics of the actual mortgage loans. Any such discrepancy may have an effect upon the percentages of original certificate principal balances outstanding and weighted average lives of the Class A Certificates and the Mezzanine Certificates set forth in the tables. In addition, since the actual mortgage loans in the trust will have characteristics that differ from those assumed in preparing the tables set forth below, the distributions of principal of the Class A Certificates and the Mezzanine Certificates may be made earlier or later than indicated in the table. The percentages and weighted average lives in the tables entitled "Percent of Initial Certificate Principal Balance Outstanding at the Following Percentages of the Prepayment Assumption" were determined assuming that: (i) the mortgage groups consists of 637 hypothetical mortgage loans having the following characteristics: [Enlarge/Download Table] ORIGINAL REMAINING AGE INTEREST ONLY AMORTIZATION LOAN LOAN PRINCIPAL NET MORTGAGE MORTGAGE (IN PERIOD (IN TERM TO MATURITY NUMBER GROUP BALANCE ($) RATE (%) RATE (%) MONTHS) MONTHS) (IN MONTHS) INDEX ------ ----- ----------- -------- -------- ------- ------- ----------- ----- 1 1 503,200.00 5.345000 5.750000 2 6 358 6 Month LIBOR 2 1 6,135,539.98 5.150332 6.328447 2 24 358 6 Month LIBOR 3 1 108,000.00 6.095000 6.500000 2 24 358 6 Month LIBOR 4 1 559,074.00 6.365061 6.770061 2 24 358 6 Month LIBOR 5 1 4,869,400.00 5.645125 6.050125 2 24 358 6 Month LIBOR 6 1 5,507,070.00 5.939896 6.344896 2 24 358 6 Month LIBOR 7 1 219,100.00 6.095000 6.500000 4 24 356 6 Month LIBOR 8 1 2,113,600.00 5.601056 6.006056 3 24 357 6 Month LIBOR 9 1 54,854,325.19 4.268856 4.673856 4 36 356 1 Year LIBOR 10 1 440,499.99 4.225000 5.690000 2 36 358 6 Month LIBOR 11 1 324,499.99 5.220000 5.625000 7 36 353 6 Month LIBOR 12 1 839,200.00 5.526244 5.931244 3 36 357 6 Month LIBOR 13 1 369,000.00 7.095000 7.500000 2 36 358 6 Month LIBOR 14 1 1,221,500.00 4.751212 5.156212 3 36 357 6 Month LIBOR 15 1 1,166,400.00 4.662970 5.067970 3 36 357 1 Year LIBOR 16 1 731,250.00 4.272356 5.027735 3 36 357 6 Month LIBOR 17 1 184,500.00 4.595000 5.000000 3 36 357 6 Month LIBOR 18 1 1,093,500.00 5.444931 5.849931 0 60 360 6 Month LIBOR 19 1 476,000.00 4.845000 5.250000 1 60 359 6 Month LIBOR 20 1 943,700.00 5.944873 7.004173 1 60 359 6 Month LIBOR 21 1 30,550,325.00 4.862636 5.432114 1 60 359 6 Month LIBOR 22 1 2,750,750.00 4.819890 5.253924 1 60 359 6 Month LIBOR 23 1 510,325.00 6.220255 7.401581 1 60 359 6 Month LIBOR 24 1 1,269,600.00 5.572236 6.074905 0 60 360 6 Month LIBOR 25 1 1,643,100.00 4.556703 4.961703 1 60 359 6 Month LIBOR 26 1 370,150.00 6.018272 6.835405 0 60 360 6 Month LIBOR 27 1 356,800.00 4.995000 5.400000 2 60 358 6 Month LIBOR 28 1 113,920.00 4.845000 5.250000 1 60 359 6 Month LIBOR 29 1 114,913,393.00 5.180512 5.916965 1 60 359 6 Month LIBOR 30 1 27,855,926.00 5.245575 5.711649 0 60 360 6 Month LIBOR 31 1 415,833.00 5.595000 6.000000 1 60 359 6 Month LIBOR 32 1 2,255,982.00 6.060802 6.601362 1 60 359 6 Month LIBOR 33 1 4,060,900.00 4.934540 5.339540 0 60 360 6 Month LIBOR S-81
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ORIGINAL REMAINING AGE INTEREST ONLY AMORTIZATION LOAN LOAN PRINCIPAL NET MORTGAGE MORTGAGE (IN PERIOD (IN TERM TO MATURITY NUMBER GROUP BALANCE ($) RATE (%) RATE (%) MONTHS) MONTHS) (IN MONTHS) INDEX ------ ----- ----------- -------- -------- ------- ------- ----------- ----- 34 1 157,500.00 4.230000 5.625000 2 60 358 6 Month LIBOR 35 1 269,239.00 4.950000 6.125000 1 60 359 6 Month LIBOR 36 1 6,193,750.00 5.708467 6.294902 1 60 359 6 Month LIBOR 37 1 881,250.00 5.666106 6.071106 1 60 359 6 Month LIBOR 38 1 35,499,870.00 5.348524 5.900971 1 60 359 6 Month LIBOR 39 1 358,400.00 5.095000 5.500000 2 60 358 1 Year LIBOR 40 1 1,111,450.00 5.380826 5.785826 0 60 360 6 Month LIBOR 41 1 407,840.00 4.928543 5.333543 1 60 359 6 Month LIBOR 42 1 14,097,953.00 5.005619 5.471515 1 60 359 6 Month LIBOR 43 1 1,677,900.00 6.014112 6.568866 1 60 359 6 Month LIBOR 44 1 449,500.00 4.780512 5.185512 0 60 360 6 Month LIBOR 45 1 4,077,002.00 5.129644 5.560648 1 60 359 6 Month LIBOR 46 1 3,696,800.00 4.774037 5.179037 0 60 360 6 Month LIBOR 47 1 453,992.00 4.839634 5.244634 1 60 359 6 Month LIBOR 48 1 3,468,737.82 4.549140 5.494853 2 60 358 6 Month LIBOR 49 1 1,194,650.00 5.159881 5.730434 2 60 358 6 Month LIBOR 50 1 154,760.00 4.795000 5.200000 1 60 359 6 Month LIBOR 51 1 262,710.00 5.866121 6.742378 2 60 358 6 Month LIBOR 52 1 22,926,873.00 4.933699 5.426853 1 60 359 6 Month LIBOR 53 1 10,664,500.00 5.198549 5.603549 1 60 359 6 Month LIBOR 54 1 389,150.00 4.929126 5.639471 1 60 359 6 Month LIBOR 55 1 2,808,050.00 5.463032 6.204946 0 60 360 6 Month LIBOR 56 1 10,515,757.00 5.269668 5.802523 1 60 359 6 Month LIBOR 57 1 494,750.00 4.370455 4.775455 0 60 360 1 Year LIBOR 58 1 316,000.00 5.095000 5.500000 0 60 360 1 Year LIBOR 59 1 349,600.00 5.095000 5.500000 0 60 360 1 Year LIBOR 60 1 490,000.00 4.345000 4.750000 0 60 360 1 Year LIBOR 61 1 342,400.00 6.095000 6.500000 0 60 360 1 Year LIBOR 62 1 956,200.00 3.504616 3.909616 0 60 360 1 Month LIBOR 63 1 524,000.00 3.720000 4.125000 1 60 359 1 Month LIBOR 64 1 457,500.00 4.345000 4.750000 0 60 360 1 Month LIBOR 65 1 540,000.00 3.845000 4.250000 0 60 360 1 Month LIBOR 66 1 335,700.00 4.000094 4.779491 0 60 360 1 Month LIBOR 67 1 420,000.00 3.095000 3.500000 1 60 359 1 Month LIBOR 68 1 787,500.00 2.807302 3.212302 1 60 359 1 Month LIBOR 69 1 559,200.00 5.345000 5.750000 0 60 360 3 Month LIBOR 70 1 365,500.00 4.595000 5.000000 0 60 360 3 Month LIBOR 71 1 365,000.00 2.720000 3.125000 0 60 360 3 Month LIBOR 72 1 604,000.00 4.720000 5.125000 1 60 359 3 Month LIBOR 73 1 519,200.00 4.345000 4.750000 1 60 359 3 Month LIBOR 74 1 3,477,900.00 4.418295 4.823295 1 60 359 6 Month LIBOR 75 1 1,973,850.00 4.244546 4.649546 1 60 359 6 Month LIBOR 76 1 14,613,230.00 4.447856 5.036444 1 60 359 6 Month LIBOR 77 1 2,670,650.00 4.650124 5.254765 0 60 360 6 Month LIBOR 78 1 81,000.00 5.345000 5.750000 3 60 357 6 Month LIBOR S-82
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ORIGINAL REMAINING AGE INTEREST ONLY AMORTIZATION LOAN LOAN PRINCIPAL NET MORTGAGE MORTGAGE (IN PERIOD (IN TERM TO MATURITY NUMBER GROUP BALANCE ($) RATE (%) RATE (%) MONTHS) MONTHS) (IN MONTHS) INDEX ------ ----- ----------- -------- -------- ------- ------- ----------- ----- 79 1 6,774,550.00 4.711847 5.116847 1 60 359 6 Month LIBOR 80 1 5,182,741.00 4.739413 5.306322 0 60 360 6 Month LIBOR 81 1 714,000.00 4.132990 4.537990 0 60 360 6 Month LIBOR 82 1 2,623,753.00 4.487805 4.993157 0 60 360 6 Month LIBOR 83 1 7,654,305.00 4.740357 5.195323 1 60 359 6 Month LIBOR 84 1 129,500.00 4.345000 4.750000 0 60 360 6 Month LIBOR 85 1 649,500.00 5.123521 6.178406 1 60 359 6 Month LIBOR 86 1 16,780,488.00 4.888493 5.437883 1 60 359 6 Month LIBOR 87 1 959,500.00 6.086589 7.183585 0 60 360 6 Month LIBOR 88 1 624,000.00 5.970000 6.375000 1 60 359 6 Month LIBOR 89 1 28,117,426.00 4.705164 5.212993 1 60 359 6 Month LIBOR 90 1 956,000.00 6.595000 7.000000 2 60 358 1 Year LIBOR 91 1 1,000,000.00 5.720000 6.125000 2 60 358 1 Year LIBOR 92 1 2,859,200.00 5.450904 5.855904 2 60 358 1 Year LIBOR 93 1 3,790,292.00 5.341966 5.746966 0 60 360 6 Month LIBOR 94 1 130,000.00 5.595000 6.000000 2 60 358 6 Month LIBOR 95 1 3,661,233.00 5.341226 5.746226 1 60 359 6 Month LIBOR 96 1 1,174,400.00 5.360295 5.765295 1 60 359 6 Month LIBOR 97 1 650,000.00 5.720000 6.125000 2 60 358 6 Month LIBOR 98 1 3,568,840.00 5.181306 5.586306 1 60 359 6 Month LIBOR 99 1 1,422,880.00 5.183528 5.588528 3 60 357 6 Month LIBOR 100 1 1,417,097.00 5.511096 5.916096 1 60 359 6 Month LIBOR 101 1 12,232,720.00 5.492591 5.897591 1 60 359 6 Month LIBOR 102 1 6,246,650.00 5.544356 5.962085 1 60 359 6 Month LIBOR 103 1 258,750.00 6.095000 6.500000 0 60 360 6 Month LIBOR 104 1 375,000.00 5.220000 5.625000 4 60 356 6 Month LIBOR 105 1 1,042,000.00 4.734036 5.139036 4 60 356 6 Month LIBOR 106 1 21,240,190.00 4.956227 5.409573 1 60 359 6 Month LIBOR 107 1 442,500.00 6.470000 6.875000 0 60 360 6 Month LIBOR 108 1 896,050.00 5.644236 6.616751 3 60 357 6 Month LIBOR 109 1 1,052,950.00 5.416554 5.821554 1 60 359 6 Month LIBOR 110 1 796,650.00 5.885992 6.290992 1 60 359 6 Month LIBOR 111 1 284,900.00 4.095000 4.500000 1 60 359 6 Month LIBOR 112 1 93,126,564.00 5.282685 5.939050 2 60 358 6 Month LIBOR 113 1 15,984,109.00 5.052331 5.512390 1 60 359 6 Month LIBOR 114 1 194,500.00 4.952134 5.357134 0 60 360 6 Month LIBOR 115 1 118,384.00 4.920000 5.325000 2 60 358 6 Month LIBOR 116 1 188,800.00 4.970000 5.375000 2 60 358 6 Month LIBOR 117 1 3,225,750.00 4.979986 5.384986 1 60 359 6 Month LIBOR 118 1 1,636,650.00 4.874332 5.279332 0 60 360 6 Month LIBOR 119 1 5,302,480.00 5.325737 5.740378 1 60 359 6 Month LIBOR 120 1 484,800.00 5.095000 5.500000 1 60 359 6 Month LIBOR 121 1 27,907,229.00 5.420378 5.922194 1 60 359 6 Month LIBOR 122 1 5,527,115.00 5.065209 5.543728 1 60 359 6 Month LIBOR 123 1 1,311,500.00 4.809068 5.214068 1 60 359 6 Month LIBOR S-83
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ORIGINAL REMAINING AGE INTEREST ONLY AMORTIZATION LOAN LOAN PRINCIPAL NET MORTGAGE MORTGAGE (IN PERIOD (IN TERM TO MATURITY NUMBER GROUP BALANCE ($) RATE (%) RATE (%) MONTHS) MONTHS) (IN MONTHS) INDEX ------ ----- ----------- -------- -------- ------- ------- ----------- ----- 124 1 277,500.00 5.913243 6.318243 2 60 358 6 Month LIBOR 125 1 2,126,450.00 5.033236 5.438236 1 60 359 6 Month LIBOR 126 1 911,650.00 5.214303 5.619303 1 60 359 6 Month LIBOR 127 1 732,000.00 4.970000 5.375000 1 60 359 6 Month LIBOR 128 1 6,347,175.00 5.168730 5.573730 1 60 359 6 Month LIBOR 129 1 4,373,424.00 5.462543 5.894715 1 60 359 6 Month LIBOR 130 1 1,315,750.00 4.586744 4.991744 2 60 358 6 Month LIBOR 131 1 9,826,400.00 5.060950 5.465950 1 60 359 6 Month LIBOR 132 1 376,000.00 5.095000 5.500000 1 60 359 1 Year LIBOR 133 1 2,282,242.00 4.300818 4.753490 1 60 359 1 Year LIBOR 134 1 100,000.00 3.595000 4.000000 1 60 359 1 Year LIBOR 135 1 75,000.00 4.220000 4.625000 1 60 359 1 Year LIBOR 136 1 400,000.00 5.470000 5.875000 0 60 360 1 Year LIBOR 137 1 234,800.00 5.345000 5.750000 1 60 359 1 Year LIBOR 138 1 452,000.00 4.720000 5.125000 0 60 360 1 Year LIBOR 139 1 754,800.00 5.895146 6.300146 1 60 359 1 Year LIBOR 140 1 264,000.00 4.220000 4.625000 2 60 358 1 Month LIBOR 141 1 356,000.00 5.970000 6.375000 1 60 359 1 Month LIBOR 142 1 388,500.00 3.095000 3.500000 0 60 360 1 Month LIBOR 143 1 1,615,449.00 4.921343 5.786015 1 60 359 1 Month LIBOR 144 1 1,456,000.00 4.660591 5.065591 1 60 359 1 Month LIBOR 145 1 399,000.00 4.345000 4.750000 0 60 360 3 Month LIBOR 146 1 427,100.00 6.642062 7.047062 1 60 359 3 Month LIBOR 147 1 861,300.00 4.478969 4.883969 1 60 359 3 Month LIBOR 148 1 735,600.00 4.509579 4.914579 2 60 358 6 Month LIBOR 149 1 10,383,265.00 4.888964 5.527761 1 60 359 6 Month LIBOR 150 1 70,200.00 7.105000 8.750000 0 60 360 6 Month LIBOR 151 1 229,500.00 3.470000 3.875000 1 60 359 6 Month LIBOR 152 1 5,151,170.00 4.590560 5.043573 1 60 359 6 Month LIBOR 153 1 1,705,502.00 5.143815 5.548815 1 60 359 6 Month LIBOR 154 1 72,000.00 5.095000 5.500000 1 60 359 6 Month LIBOR 155 1 3,444,800.00 4.813177 5.236400 2 60 358 6 Month LIBOR 156 1 1,662,150.00 4.498226 4.940533 1 60 359 6 Month LIBOR 157 1 1,248,600.00 5.856403 6.261403 1 60 359 6 Month LIBOR 158 1 10,817,657.00 4.958884 5.395359 1 60 359 6 Month LIBOR 159 1 2,972,400.00 5.160019 5.565019 1 60 359 6 Month LIBOR 160 1 1,312,800.00 3.526939 3.931939 1 60 359 6 Month LIBOR 161 1 13,230,515.00 5.012147 5.471591 1 60 359 6 Month LIBOR 162 1 3,091,000.00 5.313052 5.718052 1 60 359 6 Month LIBOR 163 1 297,500.00 4.970000 5.375000 1 60 359 6 Month LIBOR 164 1 167,650.00 5.220000 5.625000 2 60 358 6 Month LIBOR 165 1 292,400.00 6.076703 6.481703 2 60 358 6 Month LIBOR 166 1 1,691,600.00 5.312161 5.717161 1 60 359 6 Month LIBOR 167 1 580,965.00 5.345000 5.750000 1 60 359 6 Month LIBOR 168 1 3,624,200.00 5.400243 5.805243 1 60 359 6 Month LIBOR S-84
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ORIGINAL REMAINING AGE INTEREST ONLY AMORTIZATION LOAN LOAN PRINCIPAL NET MORTGAGE MORTGAGE (IN PERIOD (IN TERM TO MATURITY NUMBER GROUP BALANCE ($) RATE (%) RATE (%) MONTHS) MONTHS) (IN MONTHS) INDEX ------ ----- ----------- -------- -------- ------- ------- ----------- ----- 169 1 968,400.00 6.374474 7.076370 2 60 358 6 Month LIBOR 170 1 152,000.00 5.470000 5.875000 2 60 358 6 Month LIBOR 171 1 1,346,000.00 5.826575 6.231575 0 60 360 6 Month LIBOR 172 1 6,124,070.00 5.349385 5.754385 1 60 359 6 Month LIBOR 173 1 6,312,456.00 5.194771 5.599771 2 60 358 6 Month LIBOR 174 1 1,003,000.00 5.063470 5.468470 1 60 359 6 Month LIBOR 175 1 4,000,000.00 4.595000 5.000000 3 120 357 6 Month LIBOR 176 1 900,000.00 5.345000 5.750000 2 120 358 6 Month LIBOR 177 1 1,716,250.00 4.919251 6.274369 2 120 358 6 Month LIBOR 178 1 819,500.00 4.659140 5.064140 1 120 359 6 Month LIBOR 179 1 4,065,412.82 4.233150 6.211327 2 120 358 6 Month LIBOR 180 1 3,435,400.00 5.139510 5.544510 1 120 359 6 Month LIBOR 181 1 572,405.47 3.805983 5.720252 2 120 358 6 Month LIBOR 182 1 157,500.00 4.845000 5.250000 1 120 359 6 Month LIBOR 183 1 1,851,016.00 5.295821 6.989614 2 120 358 6 Month LIBOR 184 1 612,000.00 3.470000 3.875000 4 120 356 1 Year LIBOR 185 1 336,000.00 5.585000 5.990000 0 120 360 6 Month LIBOR 186 1 822,000.00 5.147311 5.552311 0 120 360 6 Month LIBOR 187 1 3,287,800.00 4.854588 5.259588 1 120 359 6 Month LIBOR 188 1 1,512,950.00 4.224548 4.629548 1 120 359 1 Month LIBOR 189 1 448,000.00 3.585000 3.990000 1 120 359 1 Month LIBOR 190 1 1,156,550.00 3.751876 4.156876 1 120 359 1 Month LIBOR 191 1 490,000.00 4.095000 4.500000 1 120 359 1 Month LIBOR 192 1 88,350.00 4.095000 4.500000 1 120 359 6 Month LIBOR 193 1 3,501,900.00 4.376869 4.781869 1 120 359 6 Month LIBOR 194 1 652,000.00 5.017546 5.422546 1 120 359 6 Month LIBOR 195 1 1,108,000.00 5.537708 5.942708 1 120 359 6 Month LIBOR 196 1 1,520,200.00 4.451212 4.856212 1 120 359 6 Month LIBOR 197 1 1,004,000.00 4.246355 4.651355 1 120 359 6 Month LIBOR 198 1 2,574,200.00 4.330607 4.735607 0 120 360 6 Month LIBOR 199 1 102,000.00 6.585000 6.990000 1 120 359 6 Month LIBOR 200 1 91,000.00 6.095000 6.500000 0 120 360 6 Month LIBOR 201 1 3,636,250.00 6.296460 6.724832 1 120 359 6 Month LIBOR 202 1 1,000,000.00 5.585000 5.990000 1 120 359 6 Month LIBOR 203 1 1,500,000.00 6.345000 6.750000 1 120 359 6 Month LIBOR 204 1 770,000.00 5.845000 6.250000 1 120 359 6 Month LIBOR 205 1 3,160,621.44 5.678893 6.083893 21 120 339 6 Month LIBOR 206 1 500,000.00 4.345000 4.750000 12 120 348 6 Month LIBOR 207 1 584,800.00 4.773523 5.178523 1 120 359 6 Month LIBOR 208 1 640,800.00 5.913352 6.318352 2 120 358 6 Month LIBOR 209 1 257,114.00 6.095000 6.500000 2 120 358 6 Month LIBOR 210 1 2,025,765.00 5.114567 5.519567 2 120 358 6 Month LIBOR 211 1 1,766,746.00 4.830983 5.235983 3 120 357 6 Month LIBOR 212 1 554,800.00 5.694766 6.099766 1 120 359 6 Month LIBOR 213 1 571,550.00 4.884421 5.289421 1 120 359 6 Month LIBOR S-85
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ORIGINAL REMAINING AGE INTEREST ONLY AMORTIZATION LOAN LOAN PRINCIPAL NET MORTGAGE MORTGAGE (IN PERIOD (IN TERM TO MATURITY NUMBER GROUP BALANCE ($) RATE (%) RATE (%) MONTHS) MONTHS) (IN MONTHS) INDEX ------ ----- ----------- -------- -------- ------- ------- ----------- ----- 214 1 195,000.00 4.595000 5.000000 2 120 358 6 Month LIBOR 215 1 1,233,913.00 5.440101 5.845101 2 120 358 6 Month LIBOR 216 1 728,840.00 4.703878 5.108878 2 120 358 6 Month LIBOR 217 1 234,400.00 7.095000 7.500000 3 120 357 6 Month LIBOR 218 1 6,816,000.00 4.591295 4.996295 1 120 359 6 Month LIBOR 219 1 431,200.00 3.845000 4.250000 2 120 358 6 Month LIBOR 220 1 518,000.00 2.845000 3.250000 3 120 357 6 Month LIBOR 221 1 3,078,550.00 4.141660 4.546660 1 120 359 6 Month LIBOR 222 1 700,000.00 6.095000 6.500000 1 120 359 1 Year LIBOR 223 1 350,000.00 7.095000 7.500000 3 120 357 1 Year LIBOR 224 1 330,000.00 5.345000 5.750000 2 120 358 6 Month LIBOR 225 1 166,240.00 6.095000 6.500000 3 120 357 6 Month LIBOR 226 1 676,250.00 4.819353 5.224353 2 120 358 6 Month LIBOR 227 1 342,700.00 4.993818 5.398818 2 120 358 6 Month LIBOR 228 1 2,645,141.00 5.313952 5.718952 3 120 357 6 Month LIBOR 229 1 240,000.00 4.595000 5.000000 5 120 355 6 Month LIBOR 230 1 2,583,715.00 4.853482 5.258482 2 120 358 6 Month LIBOR 231 1 111,885.81 5.470000 5.875000 1 N/A 359 6 Month LIBOR 232 1 445,237.01 4.419657 6.120350 2 N/A 358 6 Month LIBOR 233 1 1,282,363.06 5.303005 5.708005 1 N/A 359 6 Month LIBOR 234 1 5,119,972.38 5.217424 5.715458 1 N/A 359 6 Month LIBOR 235 1 812,315.03 5.066193 5.471193 1 N/A 359 6 Month LIBOR 236 1 1,037,326.48 5.914272 6.574312 2 N/A 358 6 Month LIBOR 237 1 191,751.07 6.017010 7.277295 1 N/A 359 6 Month LIBOR 238 1 600,855.46 6.008013 6.413013 1 N/A 359 6 Month LIBOR 239 1 190,642.05 6.545000 6.950000 1 N/A 359 6 Month LIBOR 240 1 629,657.59 6.026287 6.873478 0 N/A 360 6 Month LIBOR 241 1 166,000.00 5.845000 6.250000 0 N/A 360 6 Month LIBOR 242 1 115,878.89 5.345000 5.750000 1 N/A 359 6 Month LIBOR 243 1 25,259,009.20 5.489963 6.317292 1 N/A 359 6 Month LIBOR 244 1 7,989,988.80 5.609596 6.118053 1 N/A 359 6 Month LIBOR 245 1 166,330.25 5.470000 5.875000 1 N/A 359 6 Month LIBOR 246 1 96,750.00 6.970000 7.375000 0 N/A 360 6 Month LIBOR 247 1 128,000.00 7.220000 7.625000 0 N/A 360 6 Month LIBOR 248 1 1,496,969.46 6.014917 6.806574 1 N/A 359 6 Month LIBOR 249 1 1,019,043.04 5.030342 5.640747 1 N/A 359 6 Month LIBOR 250 1 99,419.43 6.095000 6.500000 2 N/A 358 6 Month LIBOR 251 1 368,502.76 6.301075 6.706075 0 N/A 360 6 Month LIBOR 252 1 6,229,519.85 6.808354 7.251203 1 N/A 359 6 Month LIBOR 253 1 66,390.44 4.995000 6.990000 2 N/A 358 6 Month LIBOR 254 1 26,892,527.98 5.818283 6.504788 1 N/A 359 6 Month LIBOR 255 1 382,544.84 4.345000 4.750000 3 N/A 357 1 Year LIBOR 256 1 22,725,873.01 3.965693 4.370693 4 N/A 356 1 Year LIBOR 257 1 274,690.40 4.945000 5.350000 1 N/A 359 6 Month LIBOR 258 1 130,113.91 5.095000 5.500000 2 N/A 358 6 Month LIBOR S-86
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ORIGINAL REMAINING AGE INTEREST ONLY AMORTIZATION LOAN LOAN PRINCIPAL NET MORTGAGE MORTGAGE (IN PERIOD (IN TERM TO MATURITY NUMBER GROUP BALANCE ($) RATE (%) RATE (%) MONTHS) MONTHS) (IN MONTHS) INDEX ------ ----- ----------- -------- -------- ------- ------- ----------- ----- 259 1 2,182,423.82 4.986350 5.499016 1 N/A 359 6 Month LIBOR 260 1 437,279.70 4.548560 5.227705 1 N/A 359 6 Month LIBOR 261 1 1,832,796.20 4.702060 5.173224 1 N/A 359 6 Month LIBOR 262 1 236,056.34 6.595000 7.000000 1 N/A 359 6 Month LIBOR 263 1 107,200.00 5.585000 5.990000 0 N/A 360 6 Month LIBOR 264 1 100,694.76 5.345000 5.750000 1 N/A 359 6 Month LIBOR 265 1 106,177.30 5.345000 5.750000 2 N/A 358 6 Month LIBOR 266 1 77,276.60 5.845000 6.250000 1 N/A 359 6 Month LIBOR 267 1 2,256,832.52 5.039330 5.444330 0 N/A 360 6 Month LIBOR 268 1 73,710.00 6.845000 7.250000 0 N/A 360 6 Month LIBOR 269 1 3,773,591.84 5.189848 5.726528 1 N/A 359 6 Month LIBOR 270 1 1,938,013.98 5.196911 5.784683 1 N/A 359 6 Month LIBOR 271 1 1,086,833.80 4.883513 5.615717 1 N/A 359 6 Month LIBOR 272 1 404,177.80 5.586430 5.991430 2 N/A 358 6 Month LIBOR 273 1 740,678.17 6.874691 7.279691 0 N/A 360 6 Month LIBOR 274 1 387,313.44 5.246873 5.651873 1 N/A 359 6 Month LIBOR 275 1 14,090,396.97 5.459086 5.963957 1 N/A 359 6 Month LIBOR 276 1 1,636,918.99 5.058467 5.463467 1 N/A 359 6 Month LIBOR 277 1 2,072,456.65 5.909708 6.314708 1 N/A 359 6 Month LIBOR 278 1 10,773,360.57 5.438063 5.929382 2 N/A 358 6 Month LIBOR 279 1 471,500.50 5.803011 6.537224 0 N/A 360 1 Year LIBOR 280 1 189,000.00 2.845000 3.250000 0 N/A 360 1 Month LIBOR 281 1 391,500.00 4.095000 4.500000 0 N/A 360 1 Month LIBOR 282 1 103,500.00 6.875000 8.500000 0 N/A 360 1 Month LIBOR 283 1 1,196,923.70 3.653975 4.111863 1 N/A 359 1 Month LIBOR 284 1 545,873.96 4.980163 5.385163 1 N/A 359 6 Month LIBOR 285 1 118,750.00 6.595000 7.000000 0 N/A 360 6 Month LIBOR 286 1 783,788.89 3.663105 4.068105 2 N/A 358 6 Month LIBOR 287 1 2,690,928.30 4.671004 5.170365 0 N/A 360 6 Month LIBOR 288 1 1,371,695.01 5.821263 6.580661 1 N/A 359 6 Month LIBOR 289 1 382,500.00 5.470000 5.875000 0 N/A 360 6 Month LIBOR 290 1 859,404.66 5.150196 6.430865 1 N/A 359 6 Month LIBOR 291 1 324,000.00 4.720000 5.125000 0 N/A 360 6 Month LIBOR 292 1 601,616.87 4.516688 4.921688 1 N/A 359 6 Month LIBOR 293 1 539,429.05 6.527449 7.673232 1 N/A 359 6 Month LIBOR 294 1 3,838,480.32 5.551201 6.050422 1 N/A 359 6 Month LIBOR 295 1 9,436,035.64 4.719578 5.277499 2 N/A 358 6 Month LIBOR 296 1 583,796.74 6.293139 6.698139 1 N/A 359 6 Month LIBOR 297 1 419,989.72 5.470000 5.875000 2 N/A 358 6 Month LIBOR 298 1 832,621.47 5.552094 6.579014 1 N/A 359 6 Month LIBOR 299 1 217,500.00 5.720000 6.125000 0 N/A 360 6 Month LIBOR 300 1 850,633.70 5.037901 5.524540 1 N/A 359 6 Month LIBOR 301 1 789,792.95 5.878129 6.283129 0 N/A 360 6 Month LIBOR 302 1 110,720.00 5.470000 5.875000 0 N/A 360 6 Month LIBOR 303 1 1,246,029.76 6.100957 6.505957 1 N/A 359 6 Month LIBOR S-87
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ORIGINAL REMAINING AGE INTEREST ONLY AMORTIZATION LOAN LOAN PRINCIPAL NET MORTGAGE MORTGAGE (IN PERIOD (IN TERM TO MATURITY NUMBER GROUP BALANCE ($) RATE (%) RATE (%) MONTHS) MONTHS) (IN MONTHS) INDEX ------ ----- ----------- -------- -------- ------- ------- ----------- ----- 304 1 2,726,074.39 5.407725 5.812725 1 N/A 359 6 Month LIBOR 305 1 2,740,371.72 5.387600 5.792600 2 N/A 358 6 Month LIBOR 306 1 140,000.00 5.470000 5.875000 0 N/A 360 6 Month LIBOR 307 1 447,574.92 5.845000 6.250000 1 N/A 359 6 Month LIBOR 308 1 316,745.66 4.970000 5.375000 10 N/A 350 6 Month LIBOR 309 1 945,218.82 4.247942 4.652942 4 N/A 356 6 Month LIBOR 310 1 189,669.38 7.470000 7.875000 1 N/A 359 6 Month LIBOR 311 1 7,701,381.90 4.475893 4.916197 4 N/A 356 6 Month LIBOR 312 1 307,000.00 8.095000 8.500000 0 N/A 360 6 Month LIBOR 313 1 7,131,879.62 4.843399 5.310619 3 N/A 357 6 Month LIBOR 314 1 239,448.22 4.845000 5.250000 2 N/A 358 6 Month LIBOR 315 1 4,422,352.98 5.054308 5.482975 3 N/A 357 6 Month LIBOR 316 1 7,862,821.30 4.869547 5.274547 4 N/A 356 6 Month LIBOR 317 1 465,114.94 6.470000 6.875000 2 N/A 358 6 Month LIBOR 318 1 3,551,361.09 4.792182 5.197182 3 N/A 357 6 Month LIBOR 319 1 5,775,031.82 4.415492 4.820492 4 N/A 356 6 Month LIBOR 320 1 577,453.13 7.644252 8.719488 0 N/A 360 6 Month LIBOR 321 1 2,449,098.86 5.144083 5.549083 3 N/A 357 6 Month LIBOR 322 1 107,004,738.60 4.735084 5.172913 3 N/A 357 6 Month LIBOR 323 1 10,545,768.54 6.033974 6.530301 2 N/A 358 6 Month LIBOR 324 1 159,131.33 4.830817 5.235817 2 N/A 358 6 Month LIBOR 325 1 154,576.29 6.010000 7.125000 1 N/A 359 6 Month LIBOR 326 1 1,313,810.35 6.161584 6.566584 1 N/A 359 6 Month LIBOR 327 1 409,815.40 4.736000 5.141000 2 N/A 358 6 Month LIBOR 328 1 856,494.87 6.358226 7.324828 1 N/A 359 6 Month LIBOR 329 1 1,514,112.68 6.625585 7.257650 1 N/A 359 6 Month LIBOR 330 1 1,202,476.94 5.191326 5.596326 4 N/A 356 6 Month LIBOR 331 1 159,390,010.30 4.935227 5.354734 4 N/A 356 6 Month LIBOR 332 1 335,694.53 5.285645 5.690645 3 N/A 357 6 Month LIBOR 333 1 183,289.38 5.795000 6.200000 4 N/A 356 6 Month LIBOR 334 1 2,544,096.14 5.223929 5.670887 2 N/A 358 6 Month LIBOR 335 1 4,121,307.62 4.489508 4.894508 4 N/A 356 6 Month LIBOR 336 1 7,165,762.24 4.807269 5.271190 3 N/A 357 6 Month LIBOR 337 1 918,618.68 4.446268 4.851268 4 N/A 356 6 Month LIBOR 338 1 2,525,191.47 4.481612 4.886612 4 N/A 356 6 Month LIBOR 339 1 631,486.81 5.095000 5.500000 4 N/A 356 6 Month LIBOR 340 1 1,235,623.41 4.111115 4.516115 4 N/A 356 6 Month LIBOR 341 1 24,919,044.79 4.329895 4.734895 4 N/A 356 6 Month LIBOR 342 1 230,978.86 6.183749 6.588749 3 N/A 357 6 Month LIBOR 343 1 4,733,851.96 4.633816 5.098566 3 N/A 357 6 Month LIBOR 344 1 223,342.26 7.345000 7.750000 1 N/A 359 6 Month LIBOR 345 1 5,063,921.45 5.129367 5.574051 3 N/A 357 6 Month LIBOR 346 1 2,685,762.77 4.785713 5.190713 3 N/A 357 6 Month LIBOR 347 1 6,776,085.42 4.013745 4.418745 4 N/A 356 6 Month LIBOR 348 1 647,100.79 4.785238 5.275506 3 N/A 357 6 Month LIBOR S-88
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ORIGINAL REMAINING AGE INTEREST ONLY AMORTIZATION LOAN LOAN PRINCIPAL NET MORTGAGE MORTGAGE (IN PERIOD (IN TERM TO MATURITY NUMBER GROUP BALANCE ($) RATE (%) RATE (%) MONTHS) MONTHS) (IN MONTHS) INDEX ------ ----- ----------- -------- -------- ------- ------- ----------- ----- 349 1 68,866,965.59 4.780767 5.221954 3 N/A 357 6 Month LIBOR 350 1 1,290,160.42 5.956624 6.361624 1 N/A 359 6 Month LIBOR 351 1 159,672.94 5.470000 5.875000 2 N/A 358 6 Month LIBOR 352 1 1,188,659.40 4.877669 5.282669 3 N/A 357 6 Month LIBOR 353 1 61,491,208.58 4.923034 5.333481 4 N/A 356 6 Month LIBOR 354 1 551,283.90 7.220393 7.625393 1 N/A 359 1 Year LIBOR 355 1 530,326.61 5.091330 5.905968 1 N/A 359 1 Year LIBOR 356 1 714,246.10 4.896605 6.377076 0 N/A 360 1 Month LIBOR 357 1 1,097,161.39 5.712469 6.478832 2 N/A 358 6 Month LIBOR 358 1 107,445.09 4.670000 5.875000 4 N/A 356 6 Month LIBOR 359 1 526,063.45 5.564267 5.969267 2 N/A 358 6 Month LIBOR 360 1 98,129.19 4.470000 4.875000 1 N/A 359 6 Month LIBOR 361 1 527,904.13 5.811423 6.382489 1 N/A 359 6 Month LIBOR 362 1 136,620.00 4.720000 5.125000 0 N/A 360 6 Month LIBOR 363 1 2,237,444.44 6.342275 7.032086 2 N/A 358 6 Month LIBOR 364 1 3,840,002.57 5.697250 6.325202 1 N/A 359 6 Month LIBOR 365 1 1,307,282.66 6.037624 6.488113 1 N/A 359 1 Year LIBOR 366 1 1,048,873.15 5.202150 5.607150 1 N/A 359 6 Month LIBOR 367 1 505,332.95 5.677784 6.082784 1 N/A 359 6 Month LIBOR 368 1 1,866,793.30 5.594983 5.999983 1 N/A 359 6 Month LIBOR 369 1 680,153.25 5.660801 6.065801 1 N/A 359 6 Month LIBOR 370 1 136,794.39 4.720000 5.125000 3 N/A 357 6 Month LIBOR 371 1 365,515.33 6.309316 6.714316 2 N/A 358 6 Month LIBOR 372 1 2,193,555.06 5.974420 6.379420 1 N/A 359 6 Month LIBOR 373 1 115,757.20 5.345000 5.750000 2 N/A 358 6 Month LIBOR 374 1 3,982,991.01 5.316505 5.721505 2 N/A 358 6 Month LIBOR 375 1 206,931.10 5.220000 5.625000 3 N/A 357 6 Month LIBOR 376 2 288,000.00 5.845000 6.250000 4 6 356 6 Month LIBOR 377 2 895,249.99 4.779365 6.485482 2 24 358 6 Month LIBOR 378 2 205,600.00 6.470000 6.875000 2 24 358 6 Month LIBOR 379 2 1,706,900.00 5.523357 5.928357 2 24 358 6 Month LIBOR 380 2 1,666,240.00 6.445947 6.850947 2 24 358 6 Month LIBOR 381 2 320,000.00 5.470000 5.875000 2 24 358 6 Month LIBOR 382 2 476,000.00 4.095000 4.500000 7 36 353 1 Year LIBOR 383 2 614,500.00 5.779093 6.184093 2 36 358 6 Month LIBOR 384 2 238,000.00 6.170000 6.575000 2 36 358 1 Year LIBOR 385 2 451,200.00 4.702801 5.107801 2 36 358 1 Year LIBOR 386 2 717,000.00 5.155418 5.560418 2 36 358 6 Month LIBOR 387 2 126,900.00 4.465000 6.000000 2 36 358 6 Month LIBOR 388 2 416,000.00 4.984423 5.389423 0 60 360 6 Month LIBOR 389 2 196,000.00 6.095000 6.500000 0 60 360 6 Month LIBOR 390 2 352,650.00 7.010355 7.415355 0 60 360 6 Month LIBOR 391 2 11,970,872.00 4.735234 5.183300 1 60 359 6 Month LIBOR 392 2 247,200.00 5.345000 5.750000 0 60 360 6 Month LIBOR 393 2 200,000.00 6.345000 6.750000 2 60 358 6 Month LIBOR S-89
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ORIGINAL REMAINING AGE INTEREST ONLY AMORTIZATION LOAN LOAN PRINCIPAL NET MORTGAGE MORTGAGE (IN PERIOD (IN TERM TO MATURITY NUMBER GROUP BALANCE ($) RATE (%) RATE (%) MONTHS) MONTHS) (IN MONTHS) INDEX ------ ----- ----------- -------- -------- ------- ------- ----------- ----- 394 2 219,600.00 7.200000 8.375000 1 60 359 6 Month LIBOR 395 2 524,642.00 5.146402 6.068225 1 60 359 6 Month LIBOR 396 2 131,000.00 4.470000 4.875000 1 60 359 6 Month LIBOR 397 2 220,000.00 5.595000 6.000000 1 60 359 6 Month LIBOR 398 2 242,000.00 7.220000 7.625000 1 60 359 6 Month LIBOR 399 2 41,011,599.00 5.194035 5.735172 1 60 359 6 Month LIBOR 400 2 13,846,830.00 5.153684 5.618741 0 60 360 6 Month LIBOR 401 2 266,000.00 5.535000 6.750000 1 60 359 6 Month LIBOR 402 2 521,700.00 4.731101 5.503427 1 60 359 6 Month LIBOR 403 2 1,479,300.00 5.666167 6.225656 1 60 359 6 Month LIBOR 404 2 698,800.00 5.079402 5.484402 0 60 360 6 Month LIBOR 405 2 14,946,502.00 5.219071 5.782076 1 60 359 6 Month LIBOR 406 2 320,000.00 4.470000 4.875000 2 60 358 1 Year LIBOR 407 2 641,100.00 5.304387 6.205545 2 60 358 6 Month LIBOR 408 2 582,400.00 4.688613 5.093613 2 60 358 6 Month LIBOR 409 2 188,000.00 4.995000 5.400000 1 60 359 6 Month LIBOR 410 2 4,494,959.00 4.875463 5.310961 1 60 359 6 Month LIBOR 411 2 310,000.00 5.345000 5.750000 1 60 359 6 Month LIBOR 412 2 248,000.00 5.344194 5.749194 1 60 359 6 Month LIBOR 413 2 142,373.00 4.245000 4.650000 1 60 359 6 Month LIBOR 414 2 4,010,050.00 4.724652 5.172757 1 60 359 6 Month LIBOR 415 2 877,300.00 4.497114 4.902114 0 60 360 6 Month LIBOR 416 2 136,000.00 5.145000 5.550000 1 60 359 6 Month LIBOR 417 2 959,700.00 4.202951 4.856466 1 60 359 6 Month LIBOR 418 2 136,570.00 4.845000 5.250000 1 60 359 6 Month LIBOR 419 2 279,000.00 4.695000 6.100000 2 60 358 6 Month LIBOR 420 2 184,500.00 6.285000 7.750000 2 60 358 6 Month LIBOR 421 2 10,955,668.00 4.630232 5.119344 1 60 359 6 Month LIBOR 422 2 4,545,102.00 5.054821 5.477917 0 60 360 6 Month LIBOR 423 2 5,549,966.97 5.335933 5.829182 1 60 359 6 Month LIBOR 424 2 287,000.00 3.970000 4.375000 0 60 360 1 Year LIBOR 425 2 312,300.00 3.595000 4.000000 0 60 360 1 Month LIBOR 426 2 205,000.00 3.345000 3.750000 1 60 359 1 Month LIBOR 427 2 639,900.00 4.993343 5.398343 1 60 359 1 Month LIBOR 428 2 258,500.00 4.470000 4.875000 0 60 360 3 Month LIBOR 429 2 156,900.00 4.970000 5.375000 0 60 360 3 Month LIBOR 430 2 194,400.00 5.480000 6.875000 0 60 360 3 Month LIBOR 431 2 2,203,600.00 4.613779 5.018779 1 60 359 6 Month LIBOR 432 2 688,000.00 4.108953 4.513953 1 60 359 6 Month LIBOR 433 2 8,140,331.50 4.586189 5.295125 1 60 359 6 Month LIBOR 434 2 788,200.00 5.371680 6.704358 1 60 359 6 Month LIBOR 435 2 248,000.00 4.970000 5.375000 0 60 360 6 Month LIBOR 436 2 1,632,100.00 4.482660 4.887660 0 60 360 6 Month LIBOR 437 2 2,977,593.00 4.855235 5.626997 1 60 359 6 Month LIBOR 438 2 196,000.00 4.095000 4.500000 0 60 360 6 Month LIBOR S-90
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ORIGINAL REMAINING AGE INTEREST ONLY AMORTIZATION LOAN LOAN PRINCIPAL NET MORTGAGE MORTGAGE (IN PERIOD (IN TERM TO MATURITY NUMBER GROUP BALANCE ($) RATE (%) RATE (%) MONTHS) MONTHS) (IN MONTHS) INDEX ------ ----- ----------- -------- -------- ------- ------- ----------- ----- 439 2 1,979,100.00 4.288271 4.783168 0 60 360 6 Month LIBOR 440 2 2,001,700.00 5.319110 6.042714 1 60 359 6 Month LIBOR 441 2 915,500.00 5.498273 6.143419 0 60 360 6 Month LIBOR 442 2 12,752,045.00 4.796501 5.362029 1 60 359 6 Month LIBOR 443 2 681,800.00 5.345000 5.750000 1 60 359 6 Month LIBOR 444 2 1,273,200.00 5.289206 5.694206 1 60 359 6 Month LIBOR 445 2 598,000.00 5.316237 5.721237 1 60 359 6 Month LIBOR 446 2 144,000.00 5.095000 5.500000 1 60 359 6 Month LIBOR 447 2 1,257,215.00 5.619718 6.024718 1 60 359 6 Month LIBOR 448 2 583,750.00 5.649872 6.054872 0 60 360 6 Month LIBOR 449 2 1,534,600.00 5.609971 6.014971 0 60 360 6 Month LIBOR 450 2 275,000.00 4.345000 4.750000 2 60 358 6 Month LIBOR 451 2 496,600.00 5.811935 6.216935 1 60 359 6 Month LIBOR 452 2 261,250.00 4.535000 6.630000 3 60 357 6 Month LIBOR 453 2 569,750.00 5.004267 5.750000 1 60 359 6 Month LIBOR 454 2 9,183,495.00 4.916279 5.385161 1 60 359 6 Month LIBOR 455 2 240,500.00 4.845000 5.250000 1 60 359 6 Month LIBOR 456 2 285,000.00 3.995000 5.940000 2 60 358 6 Month LIBOR 457 2 318,040.00 6.110000 6.515000 2 60 358 6 Month LIBOR 458 2 144,900.00 6.970000 7.375000 2 60 358 6 Month LIBOR 459 2 307,700.00 4.850444 5.255444 1 60 359 6 Month LIBOR 460 2 37,665,970.00 5.462113 5.931865 2 60 358 6 Month LIBOR 461 2 9,160,792.00 5.179673 5.716417 1 60 359 6 Month LIBOR 462 2 252,000.00 5.295000 5.700000 2 60 358 6 Month LIBOR 463 2 1,147,930.00 5.412862 5.817862 1 60 359 6 Month LIBOR 464 2 532,000.00 4.916429 5.321429 1 60 359 6 Month LIBOR 465 2 418,000.00 5.630885 6.035885 1 60 359 6 Month LIBOR 466 2 11,266,765.00 5.386736 5.815417 1 60 359 6 Month LIBOR 467 2 3,386,690.00 4.983262 5.388262 1 60 359 6 Month LIBOR 468 2 1,263,400.00 4.847276 5.252276 1 60 359 6 Month LIBOR 469 2 200,000.00 4.720000 5.125000 0 60 360 6 Month LIBOR 470 2 230,400.00 5.720000 6.125000 1 60 359 6 Month LIBOR 471 2 3,599,191.00 5.550960 6.026264 1 60 359 6 Month LIBOR 472 2 3,345,250.00 5.384159 5.840660 1 60 359 6 Month LIBOR 473 2 2,637,350.00 5.073691 5.478691 1 60 359 6 Month LIBOR 474 2 146,500.00 5.585000 5.990000 0 60 360 1 Year LIBOR 475 2 243,616.00 5.595000 6.000000 1 60 359 1 Year LIBOR 476 2 160,200.00 6.095000 6.500000 1 60 359 1 Year LIBOR 477 2 302,100.00 4.470000 4.875000 1 60 359 1 Year LIBOR 478 2 125,900.00 4.945000 7.000000 0 60 360 1 Month LIBOR 479 2 223,000.00 4.470000 4.875000 1 60 359 1 Month LIBOR 480 2 333,148.00 3.595000 4.000000 1 60 359 3 Month LIBOR 481 2 420,400.00 4.905823 5.310823 1 60 359 6 Month LIBOR 482 2 642,000.00 4.577866 4.982866 1 60 359 6 Month LIBOR 483 2 2,612,580.00 4.377139 4.808286 1 60 359 6 Month LIBOR S-91
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ORIGINAL REMAINING AGE INTEREST ONLY AMORTIZATION LOAN LOAN PRINCIPAL NET MORTGAGE MORTGAGE (IN PERIOD (IN TERM TO MATURITY NUMBER GROUP BALANCE ($) RATE (%) RATE (%) MONTHS) MONTHS) (IN MONTHS) INDEX ------ ----- ----------- -------- -------- ------- ------- ----------- ----- 484 2 206,500.00 4.720000 5.125000 0 60 360 6 Month LIBOR 485 2 1,363,760.00 5.172010 5.815388 1 60 359 6 Month LIBOR 486 2 1,568,891.00 4.571221 5.073021 2 60 358 6 Month LIBOR 487 2 1,389,600.00 4.163836 4.643944 1 60 359 6 Month LIBOR 488 2 1,377,200.00 4.952283 5.357283 1 60 359 6 Month LIBOR 489 2 216,000.00 5.595000 6.000000 1 60 359 6 Month LIBOR 490 2 269,600.00 5.845000 6.250000 2 60 358 6 Month LIBOR 491 2 651,000.00 3.869194 4.274194 1 60 359 6 Month LIBOR 492 2 5,386,472.00 5.203236 5.726195 1 60 359 6 Month LIBOR 493 2 1,704,430.00 5.402241 5.807241 1 60 359 6 Month LIBOR 494 2 329,275.00 5.511939 5.916939 1 60 359 6 Month LIBOR 495 2 191,900.00 5.345000 5.750000 1 60 359 6 Month LIBOR 496 2 1,745,115.00 5.386048 5.791048 1 60 359 6 Month LIBOR 497 2 235,000.00 5.720000 6.125000 1 60 359 6 Month LIBOR 498 2 2,433,850.00 5.501203 5.906203 2 60 358 6 Month LIBOR 499 2 329,000.00 4.887553 5.292553 1 60 359 6 Month LIBOR 500 2 2,778,600.00 5.634372 6.039372 1 60 359 6 Month LIBOR 501 2 215,650.00 4.305000 6.400000 1 120 359 6 Month LIBOR 502 2 178,400.00 6.095000 6.500000 1 120 359 6 Month LIBOR 503 2 129,600.00 4.095000 5.990000 2 120 358 6 Month LIBOR 504 2 2,218,077.93 5.168268 6.991579 2 120 358 6 Month LIBOR 505 2 488,000.00 5.166721 5.571721 1 120 359 6 Month LIBOR 506 2 185,500.00 6.095000 6.500000 0 120 360 6 Month LIBOR 507 2 315,200.00 5.405216 7.115397 2 120 358 6 Month LIBOR 508 2 1,056,000.00 4.578428 4.983428 0 120 360 6 Month LIBOR 509 2 235,200.00 4.095000 4.500000 1 120 359 1 Month LIBOR 510 2 318,500.00 4.585000 4.990000 1 120 359 1 Month LIBOR 511 2 308,000.00 4.970000 5.375000 1 120 359 6 Month LIBOR 512 2 224,000.00 4.470000 4.875000 1 120 359 6 Month LIBOR 513 2 283,450.00 5.585000 5.990000 0 120 360 6 Month LIBOR 514 2 280,000.00 6.845000 7.250000 2 120 358 6 Month LIBOR 515 2 516,300.00 4.220000 4.625000 2 120 358 6 Month LIBOR 516 2 719,520.00 5.341206 5.746206 2 120 358 6 Month LIBOR 517 2 2,023,952.00 4.947739 5.352739 2 120 358 6 Month LIBOR 518 2 269,000.00 5.345000 5.750000 2 120 358 6 Month LIBOR 519 2 145,600.00 5.220000 5.625000 1 120 359 6 Month LIBOR 520 2 126,072.00 5.095000 5.500000 3 120 357 6 Month LIBOR 521 2 436,000.00 5.091560 5.496560 3 120 357 6 Month LIBOR 522 2 983,400.00 4.206501 4.611501 2 120 358 6 Month LIBOR 523 2 610,500.00 5.851081 6.993550 2 120 358 1 Year LIBOR 524 2 260,000.00 5.345000 5.750000 2 120 358 6 Month LIBOR 525 2 352,000.00 5.970000 6.375000 3 120 357 6 Month LIBOR 526 2 230,000.00 4.720000 5.125000 3 120 357 6 Month LIBOR 527 2 467,400.00 5.283650 5.688650 3 120 357 6 Month LIBOR 528 2 244,759.58 5.240000 6.075000 1 N/A 359 6 Month LIBOR S-92
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ORIGINAL REMAINING AGE INTEREST ONLY AMORTIZATION LOAN LOAN PRINCIPAL NET MORTGAGE MORTGAGE (IN PERIOD (IN TERM TO MATURITY NUMBER GROUP BALANCE ($) RATE (%) RATE (%) MONTHS) MONTHS) (IN MONTHS) INDEX ------ ----- ----------- -------- -------- ------- ------- ----------- ----- 529 2 1,123,873.18 5.574182 5.979182 1 N/A 359 6 Month LIBOR 530 2 264,000.00 6.970000 7.375000 0 N/A 360 6 Month LIBOR 531 2 2,933,890.62 5.315918 5.887518 1 N/A 359 6 Month LIBOR 532 2 649,072.03 5.741891 6.391053 1 N/A 359 6 Month LIBOR 533 2 430,490.01 6.000077 6.405077 1 N/A 359 6 Month LIBOR 534 2 388,587.67 5.859183 6.858951 1 N/A 359 6 Month LIBOR 535 2 277,850.00 7.970000 8.375000 0 N/A 360 6 Month LIBOR 536 2 529,968.29 6.211674 6.616674 1 N/A 359 6 Month LIBOR 537 2 235,600.00 4.970000 5.375000 0 N/A 360 6 Month LIBOR 538 2 598,134.37 6.455996 7.750920 1 N/A 359 6 Month LIBOR 539 2 14,728,004.01 5.559718 6.271060 1 N/A 359 6 Month LIBOR 540 2 7,610,048.44 5.591006 6.200306 1 N/A 359 6 Month LIBOR 541 2 502,187.61 5.628045 6.513518 1 N/A 359 6 Month LIBOR 542 2 237,500.00 7.470000 7.875000 0 N/A 360 6 Month LIBOR 543 2 281,280.40 6.845000 7.250000 1 N/A 359 6 Month LIBOR 544 2 756,853.64 4.608036 5.013036 0 N/A 360 6 Month LIBOR 545 2 739,721.30 6.324628 6.729628 0 N/A 360 6 Month LIBOR 546 2 171,881.63 7.470000 7.875000 1 N/A 359 6 Month LIBOR 547 2 14,158,942.82 5.547863 6.306962 1 N/A 359 6 Month LIBOR 548 2 259,720.72 5.195000 5.600000 1 N/A 359 6 Month LIBOR 549 2 2,582,574.69 5.005289 5.561847 1 N/A 359 6 Month LIBOR 550 2 600,578.10 5.184424 5.805973 1 N/A 359 6 Month LIBOR 551 2 1,831,622.75 5.507873 5.912873 1 N/A 359 6 Month LIBOR 552 2 135,693.10 4.945000 5.350000 2 N/A 358 6 Month LIBOR 553 2 305,328.64 5.095000 5.500000 2 N/A 358 6 Month LIBOR 554 2 162,228.83 5.295000 5.700000 1 N/A 359 6 Month LIBOR 555 2 130,295.78 6.085000 7.250000 2 N/A 358 6 Month LIBOR 556 2 736,011.35 5.215385 5.620385 1 N/A 359 6 Month LIBOR 557 2 1,860,385.68 5.155752 5.560752 1 N/A 359 6 Month LIBOR 558 2 1,710,625.78 4.786906 5.312942 1 N/A 359 6 Month LIBOR 559 2 656,975.03 5.153146 5.558146 1 N/A 359 6 Month LIBOR 560 2 175,840.89 6.095000 6.500000 1 N/A 359 6 Month LIBOR 561 2 146,569.70 5.445000 5.850000 1 N/A 359 6 Month LIBOR 562 2 8,216,578.63 5.269243 5.715058 1 N/A 359 6 Month LIBOR 563 2 914,058.00 5.878053 6.487053 1 N/A 359 6 Month LIBOR 564 2 4,843,015.87 5.167585 5.663544 1 N/A 359 6 Month LIBOR 565 2 228,821.65 6.700000 8.875000 1 N/A 359 1 Year LIBOR 566 2 175,000.00 5.470000 5.875000 0 N/A 360 1 Month LIBOR 567 2 282,700.00 3.345000 3.750000 0 N/A 360 1 Month LIBOR 568 2 238,064.10 3.720000 4.125000 1 N/A 359 6 Month LIBOR 569 2 284,000.00 3.845000 4.250000 0 N/A 360 6 Month LIBOR 570 2 886,681.63 5.051208 5.628323 1 N/A 359 6 Month LIBOR 571 2 185,250.13 3.970000 4.375000 1 N/A 359 6 Month LIBOR 572 2 509,007.90 5.258897 5.663897 0 N/A 360 6 Month LIBOR 573 2 629,500.00 5.692597 6.097597 0 N/A 360 6 Month LIBOR S-93
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ORIGINAL REMAINING AGE INTEREST ONLY AMORTIZATION LOAN LOAN PRINCIPAL NET MORTGAGE MORTGAGE (IN PERIOD (IN TERM TO MATURITY NUMBER GROUP BALANCE ($) RATE (%) RATE (%) MONTHS) MONTHS) (IN MONTHS) INDEX ------ ----- ----------- -------- -------- ------- ------- ----------- ----- 574 2 149,802.47 4.095000 4.500000 1 N/A 359 6 Month LIBOR 575 2 4,752,812.94 5.471484 6.235042 1 N/A 359 6 Month LIBOR 576 2 382,834.57 5.768488 6.173488 0 N/A 360 6 Month LIBOR 577 2 124,907.23 7.095000 7.500000 1 N/A 359 6 Month LIBOR 578 2 469,267.83 5.385186 5.790186 2 N/A 358 6 Month LIBOR 579 2 297,189.39 5.345000 5.750000 1 N/A 359 6 Month LIBOR 580 2 491,304.47 5.097993 5.502993 1 N/A 359 6 Month LIBOR 581 2 635,111.81 4.888470 5.293470 1 N/A 359 6 Month LIBOR 582 2 1,186,410.07 5.296910 5.701910 1 N/A 359 6 Month LIBOR 583 2 561,540.65 4.122153 4.527153 2 N/A 358 6 Month LIBOR 584 2 135,646.12 5.545000 5.950000 2 N/A 358 6 Month LIBOR 585 2 3,935,891.28 4.363491 4.768491 4 N/A 356 6 Month LIBOR 586 2 843,878.68 5.573795 5.978795 1 N/A 359 6 Month LIBOR 587 2 4,497,821.57 5.425365 5.884426 3 N/A 357 6 Month LIBOR 588 2 407,571.04 4.936008 6.384435 4 N/A 356 6 Month LIBOR 589 2 2,720,026.71 5.091548 5.496548 3 N/A 357 6 Month LIBOR 590 2 4,620,507.39 4.637188 5.042188 4 N/A 356 6 Month LIBOR 591 2 287,477.87 6.095000 6.500000 2 N/A 358 6 Month LIBOR 592 2 1,748,236.69 4.714854 5.304634 3 N/A 357 6 Month LIBOR 593 2 4,555,533.59 5.037828 5.442828 4 N/A 356 6 Month LIBOR 594 2 367,410.00 7.147913 8.203438 0 N/A 360 6 Month LIBOR 595 2 292,329.53 4.366391 4.771391 4 N/A 356 6 Month LIBOR 596 2 57,301,397.01 4.829663 5.287188 3 N/A 357 6 Month LIBOR 597 2 4,963,993.24 5.486243 5.891243 1 N/A 359 6 Month LIBOR 598 2 291,314.74 5.395000 5.800000 2 N/A 358 6 Month LIBOR 599 2 603,782.57 5.726359 6.234832 1 N/A 359 6 Month LIBOR 600 2 216,846.17 5.465000 6.500000 2 N/A 358 6 Month LIBOR 601 2 650,944.07 5.088771 5.493771 3 N/A 357 6 Month LIBOR 602 2 83,188,058.79 5.004889 5.423713 3 N/A 357 6 Month LIBOR 603 2 409,551.27 5.467097 5.872097 2 N/A 358 1 Year LIBOR 604 2 354,839.69 5.164139 5.569139 3 N/A 357 6 Month LIBOR 605 2 3,206,950.03 5.304331 5.751975 2 N/A 358 6 Month LIBOR 606 2 1,784,432.33 4.446940 4.851940 3 N/A 357 6 Month LIBOR 607 2 2,074,721.02 4.668975 5.073975 3 N/A 357 6 Month LIBOR 608 2 552,272.28 4.941562 5.346562 4 N/A 356 6 Month LIBOR 609 2 484,524.09 4.629176 5.034176 4 N/A 356 6 Month LIBOR 610 2 343,737.17 4.591905 4.996905 3 N/A 357 6 Month LIBOR 611 2 1,324,493.55 4.006987 4.411987 4 N/A 356 6 Month LIBOR 612 2 390,663.90 3.419458 3.824458 4 N/A 356 6 Month LIBOR 613 2 11,022,120.96 4.479839 4.884839 4 N/A 356 6 Month LIBOR 614 2 2,145,868.63 4.801248 5.206248 3 N/A 357 6 Month LIBOR 615 2 3,443,364.20 5.206178 5.611178 3 N/A 357 6 Month LIBOR 616 2 1,585,302.75 5.007893 5.412893 3 N/A 357 6 Month LIBOR 617 2 241,735.12 5.095000 5.500000 1 N/A 359 6 Month LIBOR 618 2 3,567,478.06 4.285251 4.690251 3 N/A 357 6 Month LIBOR S-94
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ORIGINAL REMAINING AGE INTEREST ONLY AMORTIZATION LOAN LOAN PRINCIPAL NET MORTGAGE MORTGAGE (IN PERIOD (IN TERM TO MATURITY NUMBER GROUP BALANCE ($) RATE (%) RATE (%) MONTHS) MONTHS) (IN MONTHS) INDEX ------ ----- ----------- -------- -------- ------- ------- ----------- ----- 619 2 480,277.18 5.196729 5.601729 3 N/A 357 6 Month LIBOR 620 2 41,797,904.53 4.859261 5.273737 3 N/A 357 6 Month LIBOR 621 2 718,103.13 5.304544 5.709544 2 N/A 358 6 Month LIBOR 622 2 261,046.99 5.306077 5.711077 2 N/A 358 6 Month LIBOR 623 2 26,588,543.61 4.894359 5.323040 4 N/A 356 6 Month LIBOR 624 2 155,268.56 5.095000 5.500000 2 N/A 358 1 Month LIBOR 625 2 199,800.90 5.595000 6.000000 1 N/A 359 3 Month LIBOR 626 2 543,427.50 4.726267 5.131267 2 N/A 358 6 Month LIBOR 627 2 445,840.99 6.921641 7.754218 0 N/A 360 6 Month LIBOR 628 2 231,415.07 4.345000 4.750000 2 N/A 358 6 Month LIBOR 629 2 539,295.33 4.256600 4.661600 1 N/A 359 6 Month LIBOR 630 2 289,251.98 4.220000 4.625000 2 N/A 358 6 Month LIBOR 631 2 3,679,179.49 5.549934 6.087019 1 N/A 359 6 Month LIBOR 632 2 157,835.03 5.345000 5.750000 1 N/A 359 6 Month LIBOR 633 2 498,294.70 5.607979 6.012979 3 N/A 357 6 Month LIBOR 634 2 300,000.00 5.220000 5.625000 0 N/A 360 6 Month LIBOR 635 2 322,231.06 5.589838 5.994838 1 N/A 359 6 Month LIBOR 636 2 641,854.33 5.706884 6.111884 1 N/A 359 6 Month LIBOR 637 2 434,493.72 5.029122 5.434122 1 N/A 359 6 Month LIBOR
S-95
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[Enlarge/Download Table] MONTHS TO MONTHS NEXT RATE INITIAL BETWEEN RATE SUBSEQUENT MAXIMUM MINIMUM LOAN LOAN GROSS ADJUSTMENT RATE ADJUSTMENT PERIODIC RATE MORTGAGE MORTGAGE PRE-FUNDING NUMBER GROUP MARGIN (%) DATE CAP (%) DATES CAP (%) RATE (%) RATE (%) TERM (MONTHS) ------ ----- ---------- ---- ------- ----- ------- -------- -------- ------------- 1 1 3.000000 4 1.000000 6 1.000000 11.750000 3.000000 1 2 1 5.619664 22 2.758886 6 1.470534 12.919538 6.328447 N/A 3 1 5.000000 22 3.000000 6 1.000000 12.500000 5.000000 1 4 1 5.000000 22 3.000000 6 1.000000 12.770061 6.770061 1 5 1 5.082675 22 2.890746 6 1.054627 12.159379 5.060989 1 6 1 5.000000 22 3.000000 6 1.000000 12.344896 6.344896 1 7 1 3.250000 20 5.000000 6 1.000000 11.500000 3.250000 1 8 1 3.879258 21 4.280848 6 1.000000 11.365632 3.879258 1 9 1 2.250000 32 2.000000 12 2.000000 10.673856 2.250000 N/A 10 1 5.990000 34 2.000000 6 1.500000 12.690000 5.690000 N/A 11 1 2.250000 29 3.000000 6 1.000000 10.625000 2.250000 N/A 12 1 4.685415 33 3.000000 6 1.000000 11.931244 4.685415 1 13 1 5.000000 34 3.000000 6 1.000000 13.500000 7.500000 1 14 1 3.500716 33 3.000000 6 1.000000 10.299478 5.156212 1 15 1 3.000000 9 2.000000 12 2.000000 11.067970 5.067970 1 16 1 2.875000 3 1.000000 6 1.000000 11.027735 5.027735 1 17 1 2.875000 3 1.000000 6 1.000000 11.000000 5.000000 1 18 1 3.594650 24 3.000000 6 1.000000 11.849931 3.594650 N/A 19 1 3.875000 23 3.000000 6 1.000000 11.250000 3.875000 N/A 20 1 5.915227 23 3.000000 6 1.000000 13.004173 7.004173 N/A 21 1 3.833870 23 3.000000 6 1.000000 11.420435 4.008224 N/A 22 1 3.611808 23 3.000000 6 1.000000 11.253924 3.611808 N/A 23 1 6.133016 23 3.000000 6 1.000000 13.401581 7.401581 N/A 24 1 4.639020 24 3.000000 6 1.000000 12.074905 5.044581 N/A 25 1 3.618222 23 3.000000 6 1.000000 10.961703 3.618222 N/A 26 1 4.083851 24 3.000000 6 1.000000 12.835405 4.083851 N/A 27 1 5.150000 22 3.000000 6 1.000000 11.400000 5.150000 N/A 28 1 3.250000 23 3.000000 6 1.000000 11.250000 3.250000 N/A 29 1 4.876341 23 3.000000 6 1.000000 11.916976 5.058987 N/A 30 1 3.652926 24 3.000000 6 1.000000 11.711649 3.652926 N/A 31 1 3.250000 23 3.000000 6 1.000000 12.000000 3.250000 N/A 32 1 3.884261 23 3.000000 6 1.000000 12.601362 3.972959 N/A 33 1 3.616837 24 3.000000 6 1.000000 11.339540 3.616837 N/A 34 1 4.500000 22 3.000000 6 1.000000 11.625000 4.500000 N/A 35 1 3.750000 23 3.000000 6 1.000000 12.125000 3.750000 N/A 36 1 3.710437 23 3.000000 6 1.000000 12.294902 3.710437 N/A 37 1 3.779695 23 3.000000 6 1.000000 12.071106 3.779695 N/A 38 1 4.053070 23 3.000000 6 1.000000 11.898362 4.212744 N/A 39 1 3.250000 34 3.000000 12 2.000000 11.500000 3.250000 N/A 40 1 3.830413 36 3.000000 6 1.000000 11.785826 3.830413 N/A 41 1 5.083543 35 3.000000 6 1.000000 11.333543 5.083543 N/A 42 1 3.585513 35 3.000000 6 1.000000 11.471441 3.585513 N/A 43 1 3.829296 35 3.000000 6 1.000000 12.568866 3.829296 N/A 44 1 3.693465 36 3.000000 6 1.000000 11.185512 3.693465 N/A 45 1 3.780444 35 3.000000 6 1.000000 11.560648 3.780444 N/A S-96
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MONTHS TO MONTHS NEXT RATE INITIAL BETWEEN RATE SUBSEQUENT MAXIMUM MINIMUM LOAN LOAN GROSS ADJUSTMENT RATE ADJUSTMENT PERIODIC RATE MORTGAGE MORTGAGE PRE-FUNDING NUMBER GROUP MARGIN (%) DATE CAP (%) DATES CAP (%) RATE (%) RATE (%) TERM (MONTHS) ------ ----- ---------- ---- ------- ----- ------- -------- -------- ------------- 46 1 3.498309 36 3.000000 6 1.000000 11.179037 3.498309 N/A 47 1 4.994634 35 3.000000 6 1.000000 11.244634 4.994634 N/A 48 1 5.052927 34 3.000000 6 1.000000 11.494853 5.052927 N/A 49 1 5.469887 34 3.000000 6 1.000000 11.730434 5.469887 N/A 50 1 4.950000 35 3.000000 6 1.000000 11.200000 4.950000 N/A 51 1 3.750000 34 3.000000 6 1.000000 12.742378 3.750000 N/A 52 1 4.284201 35 3.059458 6 1.019819 11.427707 4.284201 N/A 53 1 3.456670 35 3.000000 6 1.000000 11.603549 3.456670 N/A 54 1 3.600524 35 3.000000 6 1.000000 11.639471 3.600524 N/A 55 1 3.886365 36 3.000000 6 1.000000 12.204946 3.886365 N/A 56 1 3.572959 35 3.578418 6 1.192806 11.771836 3.572959 N/A 57 1 3.336281 12 1.000000 12 1.000000 10.775455 3.336281 N/A 58 1 3.875000 12 1.000000 12 1.000000 11.500000 3.875000 N/A 59 1 3.000000 12 1.000000 12 1.000000 11.500000 3.000000 N/A 60 1 3.500000 12 1.000000 12 1.000000 10.750000 3.500000 N/A 61 1 3.875000 12 1.000000 12 1.000000 12.500000 3.875000 N/A 62 1 3.290865 3 1.000000 1 1.000000 9.708601 3.290865 N/A 63 1 2.000000 2 1.000000 1 1.000000 10.125000 2.000000 N/A 64 1 3.000000 3 1.000000 1 1.000000 9.999000 3.000000 N/A 65 1 3.250000 3 1.000000 1 1.000000 9.999000 3.250000 N/A 66 1 3.382038 3 1.000000 1 1.000000 9.999000 3.382038 N/A 67 1 1.875000 2 1.000000 1 1.000000 9.990000 1.875000 N/A 68 1 2.222222 2 1.000000 1 1.000000 9.175873 2.222222 N/A 69 1 2.250000 3 1.000000 3 1.000000 9.999000 2.250000 N/A 70 1 3.625000 3 1.000000 3 1.000000 9.999000 3.625000 N/A 71 1 3.000000 3 1.000000 3 1.000000 9.990000 3.000000 N/A 72 1 3.625000 2 1.000000 3 1.000000 9.990000 3.625000 N/A 73 1 3.500000 2 1.000000 3 1.000000 9.999000 3.500000 N/A 74 1 3.352943 5 1.000000 6 1.000000 10.823295 3.352943 N/A 75 1 3.559569 5 1.000000 6 1.000000 10.649546 3.559569 N/A 76 1 3.469344 5 1.000000 6 1.000000 11.036444 3.469344 N/A 77 1 3.147572 6 1.000000 6 1.000000 11.254765 3.147572 N/A 78 1 3.625000 3 1.000000 6 1.000000 11.750000 3.625000 N/A 79 1 3.371252 5 1.000000 6 1.000000 11.116847 3.371252 N/A 80 1 3.304319 6 1.000000 6 1.000000 11.306322 3.304319 N/A 81 1 3.625000 6 1.000000 6 1.000000 10.537990 3.625000 N/A 82 1 2.837623 6 1.000000 6 1.000000 10.993157 2.837623 N/A 83 1 3.189165 5 1.000000 6 1.000000 11.195323 3.189165 N/A 84 1 3.625000 6 1.000000 6 1.000000 10.750000 3.625000 N/A 85 1 4.205254 5 1.000000 6 1.000000 12.178406 4.205254 N/A 86 1 3.364491 5 1.000000 6 1.000000 11.383038 3.364491 N/A 87 1 3.940998 6 1.000000 6 1.000000 13.183585 3.940998 N/A 88 1 3.000000 5 1.000000 6 1.000000 12.375000 3.000000 N/A 89 1 3.275508 5 1.000000 6 1.000000 11.201620 3.275508 N/A 90 1 2.250000 58 5.000000 12 2.000000 12.000000 2.250000 N/A S-97
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MONTHS TO MONTHS NEXT RATE INITIAL BETWEEN RATE SUBSEQUENT MAXIMUM MINIMUM LOAN LOAN GROSS ADJUSTMENT RATE ADJUSTMENT PERIODIC RATE MORTGAGE MORTGAGE PRE-FUNDING NUMBER GROUP MARGIN (%) DATE CAP (%) DATES CAP (%) RATE (%) RATE (%) TERM (MONTHS) ------ ----- ---------- ---- ------- ----- ------- -------- -------- ------------- 91 1 2.250000 58 5.000000 12 2.000000 11.125000 2.250000 N/A 92 1 2.250000 58 5.000000 12 2.000000 10.855904 2.250000 N/A 93 1 3.658823 60 3.000000 6 1.000000 11.746966 3.658823 N/A 94 1 3.750000 58 3.000000 6 1.000000 12.000000 3.750000 N/A 95 1 3.442481 59 3.000000 6 1.000000 11.716400 3.442481 N/A 96 1 3.337917 59 3.000000 6 1.000000 11.765295 3.337917 N/A 97 1 2.250000 58 5.000000 6 1.000000 11.125000 2.250000 N/A 98 1 3.912742 59 3.000000 6 1.000000 11.586306 3.912742 N/A 99 1 3.759864 57 3.000000 6 1.000000 11.588528 3.759864 N/A 100 1 3.415347 59 3.000000 6 1.000000 11.916096 3.415347 N/A 101 1 3.422260 59 3.363206 6 1.121069 11.899208 3.422260 N/A 102 1 3.556941 59 3.172893 6 1.057631 11.951819 3.556941 N/A 103 1 3.500000 84 3.000000 6 1.000000 12.500000 3.500000 N/A 104 1 2.250000 80 6.000000 6 2.000000 11.625000 2.250000 N/A 105 1 2.427543 80 5.467370 6 1.822457 11.139036 2.427543 N/A 106 1 3.918105 23 3.000000 6 1.000000 11.405892 4.011317 1 107 1 3.750000 24 3.000000 6 1.000000 12.875000 3.750000 1 108 1 5.994713 21 3.000000 6 1.000000 12.616751 6.616751 1 109 1 5.445973 23 3.000000 6 1.000000 11.821554 5.493475 1 110 1 3.831341 23 3.000000 6 1.000000 12.290992 3.831341 1 111 1 3.250000 23 3.000000 6 1.000000 10.500000 3.250000 1 112 1 5.046952 22 3.000000 6 1.000000 11.939064 5.177654 1 113 1 3.620843 23 3.000000 6 1.000000 11.543407 3.620843 1 114 1 3.636889 24 3.000000 6 1.000000 11.357134 3.636889 1 115 1 3.000000 22 2.000000 6 2.000000 11.325000 3.000000 1 116 1 3.500000 22 3.000000 6 1.000000 11.375000 3.500000 1 117 1 3.841703 23 2.934279 6 1.065721 11.384986 3.841703 1 118 1 3.652594 24 3.000000 6 1.000000 11.279332 3.652594 1 119 1 3.711853 23 3.000000 6 1.000000 11.740378 3.711853 1 120 1 3.500000 23 3.000000 6 1.000000 11.500000 3.500000 1 121 1 4.246236 23 3.000000 6 1.000000 11.885577 4.449951 1 122 1 3.506899 35 3.000000 6 1.000000 11.543728 3.506899 1 123 1 3.549037 35 3.000000 6 1.000000 11.214068 3.549037 1 124 1 3.836486 34 3.000000 6 1.000000 12.318243 3.836486 1 125 1 3.772085 35 3.000000 6 1.000000 11.438236 3.772085 1 126 1 3.704807 35 3.000000 6 1.000000 11.619303 3.704807 1 127 1 3.500000 35 3.000000 6 1.000000 11.375000 3.500000 1 128 1 3.678500 35 3.000000 6 1.000000 11.513357 3.678500 1 129 1 3.590359 35 3.000000 6 1.000000 11.949591 3.590359 1 130 1 3.385284 34 3.000000 6 1.000000 10.991744 3.385284 1 131 1 3.313837 35 3.222767 6 1.105125 11.436641 3.313837 1 132 1 3.875000 11 1.000000 12 1.000000 11.500000 3.875000 1 133 1 3.726309 11 1.000000 12 1.000000 10.640064 3.726309 1 134 1 3.500000 11 1.000000 12 1.000000 10.000000 3.500000 1 135 1 3.250000 11 1.000000 12 1.000000 10.625000 3.250000 1 S-98
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MONTHS TO MONTHS NEXT RATE INITIAL BETWEEN RATE SUBSEQUENT MAXIMUM MINIMUM LOAN LOAN GROSS ADJUSTMENT RATE ADJUSTMENT PERIODIC RATE MORTGAGE MORTGAGE PRE-FUNDING NUMBER GROUP MARGIN (%) DATE CAP (%) DATES CAP (%) RATE (%) RATE (%) TERM (MONTHS) ------ ----- ---------- ---- ------- ----- ------- -------- -------- ------------- 136 1 3.250000 12 1.000000 12 1.000000 11.875000 3.250000 1 137 1 3.750000 11 1.000000 12 1.000000 11.750000 3.750000 1 138 1 3.750000 12 1.000000 12 1.000000 11.125000 3.750000 1 139 1 3.250000 11 1.000000 12 1.000000 12.300146 3.250000 1 140 1 3.500000 1 1.000000 1 1.000000 9.999000 3.500000 1 141 1 2.500000 2 1.000000 1 1.000000 12.375000 2.500000 1 142 1 3.000000 3 1.000000 1 1.000000 9.999000 3.000000 1 143 1 3.846173 2 1.000000 1 1.000000 9.999000 3.846173 1 144 1 3.228022 2 1.000000 1 1.000000 10.532234 3.228022 1 145 1 3.625000 3 1.000000 3 1.000000 9.999000 3.625000 1 146 1 2.113908 2 1.000000 3 1.000000 9.999000 2.113908 1 147 1 3.363549 2 1.000000 3 1.000000 9.999000 3.363549 1 148 1 3.375204 4 1.000000 6 1.000000 10.914579 3.375204 1 149 1 3.678149 5 1.000000 6 1.000000 11.569290 3.678149 1 150 1 4.500000 6 1.000000 6 1.000000 14.750000 4.500000 1 151 1 3.000000 5 1.000000 6 1.000000 9.875000 3.000000 1 152 1 3.331953 5 1.000000 6 1.000000 11.043573 3.331953 1 153 1 3.294749 5 1.000000 6 1.000000 11.548815 3.294749 1 154 1 3.625000 5 1.000000 6 1.000000 11.500000 3.625000 1 155 1 3.093347 4 1.000000 6 1.000000 11.236400 3.093347 1 156 1 3.335811 5 1.000000 6 1.000000 10.940533 3.335811 1 157 1 3.013555 5 1.000000 6 1.000000 12.261403 3.013555 1 158 1 3.234672 5 1.000000 6 1.000000 11.288831 3.234672 1 159 1 3.245593 5 1.000000 6 1.000000 11.565019 3.245593 1 160 1 3.000000 5 1.000000 6 1.000000 9.931939 3.000000 1 161 1 3.136566 5 1.000000 6 1.000000 11.458440 3.146430 1 162 1 3.536558 59 3.357166 6 1.000000 11.539469 3.536558 1 163 1 3.750000 59 3.000000 6 1.000000 11.375000 3.750000 1 164 1 3.250000 58 3.000000 6 1.000000 11.625000 3.250000 1 165 1 3.875000 58 3.000000 6 1.000000 12.481703 3.875000 1 166 1 3.817274 59 3.000000 6 1.000000 11.717161 3.817274 1 167 1 3.250000 59 3.000000 6 1.000000 11.750000 3.250000 1 168 1 3.882905 59 3.000000 6 1.000000 11.805243 3.882905 1 169 1 4.695464 58 3.000000 6 1.000000 13.076370 6.011327 1 170 1 3.250000 58 3.000000 6 1.000000 11.875000 3.250000 1 171 1 3.592218 60 3.000000 6 1.000000 12.232353 3.592218 1 172 1 3.685141 59 3.000000 6 1.000000 11.754385 3.685141 1 173 1 2.982901 58 3.731696 6 1.000000 11.233923 4.288409 1 174 1 3.436939 83 3.000000 6 1.000000 11.468470 3.436939 1 175 1 2.250000 117 6.000000 6 2.000000 11.000000 2.250000 N/A 176 1 3.250000 118 5.000000 6 1.000000 11.750000 5.750000 N/A 177 1 5.905608 22 3.000000 6 1.000000 12.274369 6.274369 N/A 178 1 3.179073 23 3.000000 6 1.000000 11.064140 3.179073 N/A 179 1 6.197208 22 3.000000 6 1.000000 12.211327 6.211327 N/A 180 1 3.102615 23 3.000000 6 1.000000 11.544510 3.102615 N/A S-99
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MONTHS TO MONTHS NEXT RATE INITIAL BETWEEN RATE SUBSEQUENT MAXIMUM MINIMUM LOAN LOAN GROSS ADJUSTMENT RATE ADJUSTMENT PERIODIC RATE MORTGAGE MORTGAGE PRE-FUNDING NUMBER GROUP MARGIN (%) DATE CAP (%) DATES CAP (%) RATE (%) RATE (%) TERM (MONTHS) ------ ----- ---------- ---- ------- ----- ------- -------- -------- ------------- 181 1 6.115126 22 3.000000 6 1.000000 11.720252 5.720252 N/A 182 1 2.875000 23 3.000000 6 1.000000 11.250000 2.875000 N/A 183 1 6.117295 22 3.000000 6 1.000000 12.989614 6.989614 N/A 184 1 2.250000 32 2.000000 12 2.000000 9.875000 2.250000 N/A 185 1 2.250000 36 6.000000 6 2.000000 11.990000 2.250000 N/A 186 1 2.250000 36 6.000000 6 2.000000 11.552311 2.250000 N/A 187 1 2.250000 35 6.000000 6 2.000000 11.259588 2.250000 N/A 188 1 2.816096 1 1.000000 1 1.000000 9.999000 2.816096 N/A 189 1 2.750000 1 1.000000 1 1.000000 9.999000 2.750000 N/A 190 1 2.750000 1 1.000000 1 1.000000 9.999000 2.750000 N/A 191 1 2.750000 1 1.000000 1 1.000000 9.999000 2.750000 N/A 192 1 2.750000 5 1.000000 6 1.000000 10.500000 2.750000 N/A 193 1 3.029420 5 1.000000 6 1.000000 10.781869 3.029420 N/A 194 1 3.000000 5 1.000000 6 1.000000 11.422546 3.000000 N/A 195 1 3.315884 5 1.000000 6 1.000000 11.942708 3.315884 N/A 196 1 2.871645 5 1.000000 6 1.000000 10.856212 2.871645 N/A 197 1 2.750000 5 1.000000 6 1.000000 10.651355 2.750000 N/A 198 1 2.338416 6 1.000000 6 1.000000 10.735607 2.338416 N/A 199 1 2.250000 59 6.000000 6 2.000000 12.990000 2.250000 N/A 200 1 2.250000 60 6.000000 6 2.000000 12.500000 2.250000 N/A 201 1 2.250000 59 5.927508 6 1.927508 12.652339 2.250000 N/A 202 1 2.250000 59 6.000000 6 2.000000 11.990000 2.250000 N/A 203 1 3.750000 59 5.000000 6 2.000000 11.750000 3.750000 N/A 204 1 2.250000 83 6.000000 6 2.000000 12.250000 2.250000 N/A 205 1 2.250000 63 6.000000 6 2.000000 12.083893 2.250000 N/A 206 1 2.250000 72 6.000000 6 2.000000 10.750000 2.250000 N/A 207 1 3.250000 23 3.000000 6 1.000000 11.178523 3.250000 1 208 1 3.000000 22 3.000000 6 1.000000 12.318352 3.000000 1 209 1 3.750000 22 3.000000 6 1.000000 12.500000 3.750000 1 210 1 3.233948 22 3.000000 6 1.000000 11.519567 3.233948 1 211 1 3.305683 21 3.000000 6 1.000000 11.023666 3.305683 1 212 1 3.000000 23 3.000000 6 1.000000 12.099766 3.000000 1 213 1 3.369871 23 3.000000 6 1.000000 11.289421 3.369871 1 214 1 3.250000 22 3.000000 6 1.000000 11.000000 3.250000 1 215 1 3.040343 22 3.000000 6 1.000000 11.772810 3.040343 1 216 1 3.050423 34 3.000000 6 1.000000 10.645238 3.050423 1 217 1 3.000000 33 3.000000 6 1.000000 12.500000 3.000000 1 218 1 2.250000 35 4.316901 6 1.794601 10.996295 2.250000 1 219 1 3.000000 4 1.000000 6 1.000000 10.250000 3.000000 1 220 1 3.000000 3 1.000000 6 1.000000 9.250000 3.000000 1 221 1 2.452003 5 1.000000 6 1.000000 10.546660 2.452003 1 222 1 3.750000 59 5.000000 12 2.000000 11.500000 3.750000 1 223 1 3.500000 57 5.000000 12 2.000000 12.500000 3.500000 1 224 1 3.875000 58 3.000000 6 1.000000 11.750000 3.875000 1 225 1 3.000000 57 5.000000 6 1.000000 11.500000 3.000000 1 S-100
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MONTHS TO MONTHS NEXT RATE INITIAL BETWEEN RATE SUBSEQUENT MAXIMUM MINIMUM LOAN LOAN GROSS ADJUSTMENT RATE ADJUSTMENT PERIODIC RATE MORTGAGE MORTGAGE PRE-FUNDING NUMBER GROUP MARGIN (%) DATE CAP (%) DATES CAP (%) RATE (%) RATE (%) TERM (MONTHS) ------ ----- ---------- ---- ------- ----- ------- -------- -------- ------------- 226 1 3.000000 58 5.000000 6 1.000000 10.224353 3.000000 1 227 1 3.000000 58 5.000000 6 1.000000 10.398818 3.000000 1 228 1 3.000000 57 5.000000 6 1.000000 10.718952 3.000000 1 229 1 2.750000 55 5.000000 6 1.000000 10.000000 2.750000 1 230 1 2.942743 58 4.341613 6 1.111822 10.755408 2.942743 1 231 1 2.250000 119 6.000000 6 2.000000 11.875000 2.250000 N/A 232 1 5.778348 22 3.000000 6 1.000000 12.120350 6.062020 N/A 233 1 3.487090 23 3.000000 6 1.000000 11.708005 3.487090 N/A 234 1 4.104810 23 3.000000 6 1.015115 11.745687 4.171442 N/A 235 1 3.634774 23 3.000000 6 1.000000 11.471193 3.634774 N/A 236 1 5.394195 22 3.000000 6 1.048522 12.671355 5.787735 N/A 237 1 3.978443 23 3.000000 6 1.000000 13.277295 3.978443 N/A 238 1 4.921422 23 3.000000 6 1.000000 12.413013 4.921422 N/A 239 1 3.875000 23 3.000000 6 1.000000 13.000000 3.875000 N/A 240 1 3.952487 24 3.000000 6 1.000000 12.873478 3.952487 N/A 241 1 4.250000 24 3.000000 6 1.000000 12.250000 4.250000 N/A 242 1 3.750000 23 3.000000 6 1.000000 11.750000 3.750000 N/A 243 1 4.683928 23 2.982322 6 1.026041 12.385756 4.795460 N/A 244 1 3.686651 23 3.000000 6 1.000000 12.127510 3.686651 N/A 245 1 3.500000 23 3.000000 6 1.000000 11.875000 3.500000 N/A 246 1 3.875000 24 3.000000 6 1.000000 13.375000 3.875000 N/A 247 1 3.875000 24 3.000000 6 1.000000 13.625000 3.875000 N/A 248 1 4.687623 23 3.000000 6 1.000000 12.806574 4.786285 N/A 249 1 3.395747 23 3.000000 6 1.000000 11.640747 3.395747 N/A 250 1 3.500000 22 3.000000 6 1.000000 12.500000 3.500000 N/A 251 1 3.456075 24 3.000000 6 1.000000 12.706075 3.456075 N/A 252 1 3.683654 23 3.000000 6 1.008718 13.268639 3.720705 N/A 253 1 6.250000 22 3.000000 6 1.000000 12.990000 6.990000 N/A 254 1 4.198466 23 2.973980 6 1.032459 12.593258 4.347560 N/A 255 1 2.250000 33 2.000000 12 2.000000 10.750000 2.250000 N/A 256 1 2.316487 32 2.000000 12 2.000000 10.370693 2.316487 N/A 257 1 5.100000 35 3.000000 6 1.000000 11.350000 5.100000 N/A 258 1 3.750000 34 3.000000 6 1.000000 11.500000 3.750000 N/A 259 1 5.249016 35 3.000000 6 1.000000 11.499016 5.280801 N/A 260 1 4.977705 35 3.000000 6 1.000000 11.227705 5.073509 N/A 261 1 4.026274 35 3.000000 6 1.000000 11.173224 4.026274 N/A 262 1 4.250000 35 3.000000 6 1.000000 13.000000 4.250000 N/A 263 1 3.875000 36 3.000000 6 1.000000 12.000000 3.875000 N/A 264 1 2.250000 35 6.000000 6 2.000000 11.750000 2.250000 N/A 265 1 5.500000 34 3.000000 6 1.000000 11.750000 5.500000 N/A 266 1 3.875000 35 3.000000 6 1.000000 12.250000 3.875000 N/A 267 1 3.674233 36 3.000000 6 1.000000 11.444330 3.674233 N/A 268 1 3.875000 36 3.000000 6 1.000000 13.250000 3.875000 N/A 269 1 5.480649 35 3.000000 6 1.000000 11.726528 5.500973 N/A 270 1 5.540333 35 3.000000 6 1.000000 11.784683 5.540333 N/A S-101
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MONTHS TO MONTHS NEXT RATE INITIAL BETWEEN RATE SUBSEQUENT MAXIMUM MINIMUM LOAN LOAN GROSS ADJUSTMENT RATE ADJUSTMENT PERIODIC RATE MORTGAGE MORTGAGE PRE-FUNDING NUMBER GROUP MARGIN (%) DATE CAP (%) DATES CAP (%) RATE (%) RATE (%) TERM (MONTHS) ------ ----- ---------- ---- ------- ----- ------- -------- -------- ------------- 271 1 5.365717 35 3.000000 6 1.000000 11.615717 5.365717 N/A 272 1 4.936514 34 3.000000 6 1.000000 11.991430 5.034796 N/A 273 1 4.849614 36 3.000000 6 1.259897 13.799485 6.019150 N/A 274 1 5.401873 35 3.000000 6 1.000000 11.651873 5.401873 N/A 275 1 5.009192 35 3.000000 6 1.030198 12.024428 5.218665 N/A 276 1 3.630995 35 3.000000 6 1.000000 11.463467 3.630995 N/A 277 1 3.522430 35 4.050631 6 1.350210 12.314708 3.522430 N/A 278 1 4.271816 34 2.994525 6 1.061276 11.923188 4.288297 N/A 279 1 3.750000 12 1.000000 12 1.000000 12.537224 3.750000 N/A 280 1 1.500000 3 1.000000 1 1.000000 9.999000 1.500000 N/A 281 1 3.500000 3 1.000000 1 1.000000 9.999000 3.500000 N/A 282 1 4.875000 3 1.000000 1 1.000000 14.500000 4.875000 N/A 283 1 3.365005 2 1.000000 1 1.000000 9.999000 3.365005 N/A 284 1 3.625000 5 1.000000 6 1.000000 11.385163 3.625000 N/A 285 1 3.625000 6 1.000000 6 1.000000 13.000000 3.625000 N/A 286 1 3.361598 4 1.000000 6 1.000000 10.068105 3.361598 N/A 287 1 3.662928 6 1.000000 6 1.000000 11.170365 3.662928 N/A 288 1 3.360959 5 1.000000 6 1.000000 12.580661 3.360959 N/A 289 1 3.250000 6 1.000000 6 1.000000 11.875000 3.250000 N/A 290 1 4.548458 5 1.000000 6 1.000000 12.430865 4.548458 N/A 291 1 3.000000 6 1.000000 6 1.000000 11.125000 3.000000 N/A 292 1 3.597662 5 1.000000 6 1.000000 10.921688 3.597662 N/A 293 1 5.652608 5 1.248279 6 1.248279 14.169789 6.583653 N/A 294 1 3.613737 5 1.043421 6 1.043421 12.184955 3.698263 N/A 295 1 3.425233 5 1.197670 6 1.022603 11.674529 3.482964 N/A 296 1 3.844510 59 3.000000 6 1.000000 12.698139 3.844510 N/A 297 1 3.250000 58 3.000000 6 1.000000 11.875000 3.250000 N/A 298 1 4.889407 59 3.000000 6 1.000000 12.579014 5.183623 N/A 299 1 3.875000 60 3.000000 6 1.000000 12.125000 3.875000 N/A 300 1 3.854605 59 3.000000 6 1.000000 11.524540 3.854605 N/A 301 1 3.402582 60 3.000000 6 1.000000 12.283129 3.402582 N/A 302 1 3.750000 60 3.000000 6 1.000000 11.875000 3.750000 N/A 303 1 3.687496 59 3.000000 6 1.000000 12.505957 3.687496 N/A 304 1 2.858095 59 4.512604 6 1.477843 11.784513 2.858095 N/A 305 1 3.392189 58 3.718681 6 1.000000 11.433259 3.392189 N/A 306 1 3.875000 84 3.000000 6 1.000000 11.875000 3.875000 N/A 307 1 2.250000 83 6.000000 6 2.000000 12.250000 2.250000 N/A 308 1 2.250000 74 6.000000 6 2.000000 11.375000 2.250000 N/A 309 1 2.408145 20 6.000000 6 1.000000 10.652942 2.408145 1 310 1 6.375000 23 3.000000 6 1.500000 14.875000 7.875000 1 311 1 3.152768 20 5.664052 6 1.000000 10.916197 3.152768 1 312 1 6.375000 24 3.000000 6 1.500000 15.500000 8.500000 1 313 1 3.415289 21 4.500734 6 1.000000 11.316957 3.481718 1 314 1 3.875000 22 3.000000 6 1.000000 11.250000 3.875000 1 315 1 2.945757 21 5.789093 6 1.000000 11.482975 2.945757 1 S-102
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MONTHS TO MONTHS NEXT RATE INITIAL BETWEEN RATE SUBSEQUENT MAXIMUM MINIMUM LOAN LOAN GROSS ADJUSTMENT RATE ADJUSTMENT PERIODIC RATE MORTGAGE MORTGAGE PRE-FUNDING NUMBER GROUP MARGIN (%) DATE CAP (%) DATES CAP (%) RATE (%) RATE (%) TERM (MONTHS) ------ ----- ---------- ---- ------- ----- ------- -------- -------- ------------- 316 1 3.152587 20 5.647933 6 1.000000 11.274547 3.174871 1 317 1 5.000000 22 3.000000 6 1.000000 12.875000 6.875000 1 318 1 3.099772 21 5.534941 6 1.000000 11.197182 3.108748 1 319 1 2.902928 20 6.000000 6 1.000000 10.820492 2.902928 1 320 1 4.401575 24 3.000000 6 1.000000 14.719488 4.729987 1 321 1 3.521803 21 5.510914 6 1.000000 11.549083 3.537435 1 322 1 3.308116 21 5.211047 6 1.005286 11.184373 3.347313 1 323 1 4.314813 22 2.965697 6 1.011434 12.546824 5.109598 1 324 1 4.985817 22 3.000000 6 1.000000 11.235817 5.142534 1 325 1 3.625000 23 3.000000 6 1.000000 13.125000 3.625000 1 326 1 4.248391 23 3.000000 6 1.036101 12.638785 4.374743 1 327 1 3.418684 22 3.000000 6 1.000000 11.141000 3.418684 1 328 1 4.345771 23 3.000000 6 1.000000 13.324828 4.345771 1 329 1 4.024781 23 3.000000 6 1.023105 13.303861 4.180741 1 330 1 3.026709 20 5.573682 6 1.047369 11.691064 3.026709 1 331 1 3.199601 20 5.679721 6 1.000878 11.356994 3.201298 1 332 1 4.421727 33 4.630268 6 1.000000 11.690645 4.535872 1 333 1 5.950000 32 3.000000 6 1.000000 12.200000 6.200000 1 334 1 5.420887 34 3.000000 6 1.000000 11.670887 5.583611 1 335 1 3.297163 32 5.480665 6 1.000000 10.894508 3.330766 1 336 1 3.709360 33 4.725759 6 1.027053 11.325297 3.660933 1 337 1 2.756252 32 6.000000 6 1.000000 10.851268 2.756252 1 338 1 3.015899 32 6.000000 6 1.000000 10.886612 3.015899 1 339 1 3.125000 32 6.000000 6 1.000000 11.500000 3.125000 1 340 1 2.660555 32 6.000000 6 1.000000 10.516115 2.660555 1 341 1 2.775448 32 5.864396 6 1.000000 10.734895 2.776399 1 342 1 3.000000 33 3.000000 6 1.000000 11.588749 3.000000 1 343 1 3.886257 33 4.714634 6 1.000000 11.098566 3.962025 1 344 1 3.875000 35 3.000000 6 1.000000 13.750000 3.875000 1 345 1 4.779202 33 3.926214 6 1.000000 11.574051 4.888697 1 346 1 3.917930 33 4.542481 6 1.000000 11.190713 4.020425 1 347 1 2.763167 32 5.721663 6 1.000000 10.418745 2.770972 1 348 1 4.528277 33 3.994458 6 1.000000 11.275506 4.576702 1 349 1 4.254942 33 4.016702 6 1.000000 11.220470 4.318645 1 350 1 3.973899 35 3.000000 6 1.037961 12.437545 4.289833 1 351 1 3.000000 34 3.000000 6 1.000000 10.875000 3.000000 1 352 1 3.618497 33 4.721691 6 1.000000 11.282669 3.642761 1 353 1 3.393144 32 5.542524 6 1.000000 11.327840 3.408675 1 354 1 5.487193 11 1.530621 12 1.530621 14.261084 7.132909 1 355 1 4.256044 11 1.000000 12 1.000000 11.905968 4.256044 1 356 1 3.560770 3 1.000000 1 1.000000 9.999000 3.560770 1 357 1 3.710840 4 1.000000 6 1.000000 12.478832 3.710840 1 358 1 3.875000 2 1.000000 6 1.000000 11.875000 3.875000 1 359 1 3.797134 4 1.000000 6 1.000000 11.969267 3.797134 1 360 1 3.625000 5 1.000000 6 1.000000 9.999000 3.625000 1 S-103
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MONTHS TO MONTHS NEXT RATE INITIAL BETWEEN RATE SUBSEQUENT MAXIMUM MINIMUM LOAN LOAN GROSS ADJUSTMENT RATE ADJUSTMENT PERIODIC RATE MORTGAGE MORTGAGE PRE-FUNDING NUMBER GROUP MARGIN (%) DATE CAP (%) DATES CAP (%) RATE (%) RATE (%) TERM (MONTHS) ------ ----- ---------- ---- ------- ----- ------- -------- -------- ------------- 361 1 4.914795 5 1.293614 6 1.293614 12.969716 5.648830 1 362 1 3.000000 6 1.000000 6 1.000000 11.125000 3.000000 1 363 1 3.821538 4 1.000000 6 1.000000 13.032086 3.821538 1 364 1 3.345838 5 1.000000 6 1.000000 12.325202 3.345838 1 365 1 3.430382 59 5.000000 12 2.000000 11.488113 4.197465 1 366 1 3.500000 59 3.000000 6 1.000000 11.607150 3.500000 1 367 1 3.707751 59 3.000000 6 1.000000 12.082784 3.707751 1 368 1 3.889992 59 3.106941 6 1.000000 11.999983 4.012980 1 369 1 4.131409 59 3.000000 6 1.000000 12.065801 4.558478 1 370 1 3.000000 57 5.000000 6 1.000000 10.125000 3.000000 1 371 1 3.806033 58 3.000000 6 1.000000 12.714316 3.806033 1 372 1 3.266136 59 3.468373 6 1.000000 12.145233 3.266136 1 373 1 5.000000 58 3.000000 6 1.000000 11.750000 5.000000 1 374 1 3.280264 58 3.582791 6 1.079599 11.430110 3.489428 1 375 1 3.000000 81 5.000000 6 1.000000 10.625000 3.000000 1 376 2 5.000000 2 6.000000 6 1.000000 12.250000 5.000000 1 377 2 6.253379 22 2.653449 6 1.826724 13.485482 6.485482 N/A 378 2 5.000000 22 3.000000 6 1.000000 12.875000 5.000000 1 379 2 5.653231 22 3.311676 6 1.467514 12.551709 5.653231 1 380 2 5.000000 22 3.000000 6 1.000000 12.850947 6.850947 1 381 2 5.000000 22 3.000000 6 1.000000 11.875000 5.000000 1 382 2 2.250000 29 2.000000 12 2.000000 10.500000 2.250000 N/A 383 2 5.000000 34 3.000000 6 1.000000 12.184093 6.184093 1 384 2 3.000000 10 2.000000 12 2.000000 12.575000 6.575000 1 385 2 3.000000 10 2.000000 12 2.000000 11.107801 5.107801 1 386 2 2.787134 4 1.000000 6 1.000000 11.560418 5.560418 1 387 2 3.250000 4 1.000000 6 1.000000 12.000000 6.000000 1 388 2 3.663462 24 3.000000 6 1.000000 11.389423 3.663462 N/A 389 2 3.750000 24 3.000000 6 1.000000 12.500000 3.750000 N/A 390 2 3.875000 24 3.000000 6 1.000000 13.415355 3.875000 N/A 391 2 3.597073 23 3.000000 6 1.000000 11.187644 3.667893 N/A 392 2 3.750000 24 3.000000 6 1.000000 11.750000 3.750000 N/A 393 2 3.875000 22 3.000000 6 1.000000 12.750000 3.875000 N/A 394 2 3.750000 23 3.000000 6 1.000000 14.375000 3.750000 N/A 395 2 4.787804 23 3.000000 6 1.000000 12.068225 5.090558 N/A 396 2 3.875000 23 3.000000 6 1.000000 10.875000 3.875000 N/A 397 2 3.750000 23 3.000000 6 1.000000 12.000000 3.750000 N/A 398 2 4.625000 23 3.000000 6 1.000000 13.625000 4.625000 N/A 399 2 4.229611 23 3.000000 6 1.000000 11.735243 4.358589 N/A 400 2 3.531131 24 3.000000 6 1.000000 11.618863 3.531131 N/A 401 2 3.250000 23 3.000000 6 1.000000 12.750000 3.250000 N/A 402 2 4.938902 23 3.000000 6 1.000000 11.503427 5.158401 N/A 403 2 3.692773 23 3.000000 6 1.000000 12.225656 3.692773 N/A 404 2 3.686176 24 3.000000 6 1.000000 11.484402 3.686176 N/A 405 2 3.885114 23 3.000000 6 1.000000 11.782076 3.972134 N/A S-104
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MONTHS TO MONTHS NEXT RATE INITIAL BETWEEN RATE SUBSEQUENT MAXIMUM MINIMUM LOAN LOAN GROSS ADJUSTMENT RATE ADJUSTMENT PERIODIC RATE MORTGAGE MORTGAGE PRE-FUNDING NUMBER GROUP MARGIN (%) DATE CAP (%) DATES CAP (%) RATE (%) RATE (%) TERM (MONTHS) ------ ----- ---------- ---- ------- ----- ------- -------- -------- ------------- 406 2 2.250000 34 3.000000 12 2.000000 10.875000 2.250000 N/A 407 2 3.572181 34 3.000000 6 1.000000 12.205545 3.572181 N/A 408 2 4.843613 34 3.000000 6 1.000000 11.093613 4.843613 N/A 409 2 5.150000 35 3.000000 6 1.000000 11.400000 5.150000 N/A 410 2 3.629276 35 3.000000 6 1.000000 11.310961 3.629276 N/A 411 2 3.500000 35 3.000000 6 1.000000 11.750000 3.500000 N/A 412 2 3.560484 35 3.000000 6 1.000000 11.749194 3.560484 N/A 413 2 4.400000 35 3.000000 6 1.000000 10.650000 4.400000 N/A 414 2 3.606071 35 3.000000 6 1.000000 11.172757 3.606071 N/A 415 2 3.673629 36 3.000000 6 1.000000 10.902114 3.673629 N/A 416 2 5.300000 35 3.000000 6 1.000000 11.550000 5.300000 N/A 417 2 4.260733 35 3.000000 6 1.000000 10.856466 4.260733 N/A 418 2 3.750000 35 3.000000 6 1.000000 11.250000 3.750000 N/A 419 2 5.850000 34 3.000000 6 1.000000 12.100000 5.850000 N/A 420 2 7.500000 34 3.000000 6 1.000000 13.750000 7.500000 N/A 421 2 4.306506 35 3.000000 6 1.000000 11.119627 4.306506 N/A 422 2 3.472231 36 3.000000 6 1.000000 11.477917 3.472231 N/A 423 2 3.718504 35 3.083892 6 1.027964 11.743393 3.718504 N/A 424 2 3.750000 12 1.000000 12 1.000000 10.375000 3.750000 N/A 425 2 3.625000 3 1.000000 1 1.000000 9.999000 3.625000 N/A 426 2 3.625000 2 1.000000 1 1.000000 9.750000 3.625000 N/A 427 2 3.564834 2 1.000000 1 1.000000 9.999000 3.564834 N/A 428 2 3.000000 3 1.000000 3 1.000000 9.999000 3.000000 N/A 429 2 4.750000 3 1.000000 3 1.000000 11.375000 4.750000 N/A 430 2 5.375000 3 1.000000 3 1.000000 9.999000 5.375000 N/A 431 2 3.346172 5 1.000000 6 1.000000 11.021479 3.346172 N/A 432 2 3.305233 5 1.000000 6 1.000000 10.518256 3.305233 N/A 433 2 3.545468 5 1.000000 6 1.000000 11.295125 3.545468 N/A 434 2 4.357650 5 1.000000 6 1.000000 12.704358 4.357650 N/A 435 2 3.000000 6 1.000000 6 1.000000 11.375000 3.000000 N/A 436 2 3.358112 6 1.000000 6 1.000000 10.887660 3.358112 N/A 437 2 3.619229 5 1.000000 6 1.000000 11.626997 3.619229 N/A 438 2 2.750000 6 1.000000 6 1.000000 10.500000 2.750000 N/A 439 2 3.356889 6 1.000000 6 1.000000 10.783168 3.356889 N/A 440 2 3.600658 5 1.000000 6 1.000000 12.042714 3.600658 N/A 441 2 3.451338 6 1.000000 6 1.000000 12.143419 3.451338 N/A 442 2 3.382199 5 1.000000 6 1.000000 11.362029 3.382199 N/A 443 2 3.342146 59 3.000000 6 1.000000 11.750000 3.342146 N/A 444 2 3.401223 59 3.000000 6 1.000000 11.694206 3.401223 N/A 445 2 3.250000 59 3.000000 6 1.000000 11.721237 3.250000 N/A 446 2 3.875000 59 3.000000 6 1.000000 11.500000 3.875000 N/A 447 2 3.794316 59 3.000000 6 1.000000 12.024718 3.794316 N/A 448 2 3.564186 60 3.000000 6 1.000000 12.054872 3.564186 N/A 449 2 3.535131 60 3.000000 6 1.000000 12.014971 3.535131 N/A 450 2 2.250000 82 5.000000 6 1.000000 9.750000 2.250000 N/A S-105
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MONTHS TO MONTHS NEXT RATE INITIAL BETWEEN RATE SUBSEQUENT MAXIMUM MINIMUM LOAN LOAN GROSS ADJUSTMENT RATE ADJUSTMENT PERIODIC RATE MORTGAGE MORTGAGE PRE-FUNDING NUMBER GROUP MARGIN (%) DATE CAP (%) DATES CAP (%) RATE (%) RATE (%) TERM (MONTHS) ------ ----- ---------- ---- ------- ----- ------- -------- -------- ------------- 451 2 3.485350 23 3.000000 6 1.000000 12.220701 3.485350 1 452 2 6.250000 21 3.000000 6 1.000000 12.630000 6.630000 1 453 2 3.875000 23 3.000000 6 1.000000 11.750000 3.875000 1 454 2 3.912421 23 3.000000 6 1.000000 11.385161 4.041075 1 455 2 3.875000 23 3.000000 6 1.000000 11.250000 3.875000 1 456 2 6.250000 22 3.000000 6 1.000000 11.940000 5.940000 1 457 2 6.000000 22 3.000000 6 1.000000 12.515000 6.515000 1 458 2 5.000000 22 3.000000 6 1.000000 13.375000 5.000000 1 459 2 3.500000 23 3.000000 6 1.000000 11.255444 3.500000 1 460 2 4.480054 22 3.000000 6 1.000000 11.931865 4.610901 1 461 2 3.676488 23 3.000000 6 1.000000 11.716417 3.676488 1 462 2 3.000000 22 2.000000 6 2.000000 11.700000 3.000000 1 463 2 4.006361 23 3.000000 6 1.000000 11.612972 4.094346 1 464 2 3.250000 23 3.000000 6 1.000000 11.321429 3.250000 1 465 2 3.613038 23 3.000000 6 1.000000 12.035885 3.613038 1 466 2 3.790775 23 3.000000 6 1.000000 11.815417 3.885244 1 467 2 3.439756 35 3.000000 6 1.000000 11.388262 3.439756 1 468 2 3.376286 35 3.000000 6 1.000000 11.252276 3.376286 1 469 2 3.875000 36 3.000000 6 1.000000 11.125000 3.875000 1 470 2 3.875000 35 3.000000 6 1.000000 12.125000 3.875000 1 471 2 4.040420 35 3.000000 6 1.000000 12.026264 4.205983 1 472 2 3.538175 35 3.000000 6 1.000000 11.840660 3.538175 1 473 2 3.170706 35 2.772499 6 1.000000 11.478691 3.170706 1 474 2 3.875000 12 1.000000 12 1.000000 12.000000 3.875000 1 475 2 3.500000 11 1.000000 12 1.000000 12.000000 3.500000 1 476 2 3.750000 11 1.000000 12 1.000000 12.500000 3.750000 1 477 2 3.500000 11 1.000000 12 1.000000 10.875000 3.500000 1 478 2 4.875000 3 1.000000 1 1.000000 13.000000 4.875000 1 479 2 3.000000 2 1.000000 1 1.000000 9.999000 3.000000 1 480 2 3.250000 2 1.000000 3 1.000000 9.999000 3.250000 1 481 2 3.000000 5 1.000000 6 1.000000 11.315771 3.000000 1 482 2 3.165498 5 1.000000 6 1.000000 10.982866 3.165498 1 483 2 3.108944 5 1.000000 6 1.000000 10.808286 3.108944 1 484 2 2.500000 6 1.000000 6 1.000000 11.125000 2.500000 1 485 2 3.704559 5 1.000000 6 1.000000 11.815388 3.704559 1 486 2 3.113612 4 1.000000 6 1.000000 11.073021 3.113612 1 487 2 3.247103 5 1.000000 6 1.000000 10.643944 3.247103 1 488 2 3.289210 5 1.000000 6 1.000000 11.357283 3.289210 1 489 2 3.250000 5 1.000000 6 1.000000 12.000000 3.250000 1 490 2 3.625000 4 1.000000 6 1.000000 12.250000 3.625000 1 491 2 3.362903 5 1.000000 6 1.000000 10.274194 3.362903 1 492 2 3.193395 5 1.000000 6 1.000000 11.726500 3.193395 1 493 2 3.439763 59 3.000000 6 1.000000 11.807241 3.439763 1 494 2 3.750000 59 3.000000 6 1.000000 11.916939 3.750000 1 495 2 3.750000 59 3.000000 6 1.000000 11.750000 3.750000 1 S-106
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MONTHS TO MONTHS NEXT RATE INITIAL BETWEEN RATE SUBSEQUENT MAXIMUM MINIMUM LOAN LOAN GROSS ADJUSTMENT RATE ADJUSTMENT PERIODIC RATE MORTGAGE MORTGAGE PRE-FUNDING NUMBER GROUP MARGIN (%) DATE CAP (%) DATES CAP (%) RATE (%) RATE (%) TERM (MONTHS) ------ ----- ---------- ---- ------- ----- ------- -------- -------- ------------- 496 2 3.711617 59 3.217751 6 1.000000 11.682173 3.711617 1 497 2 3.750000 59 3.000000 6 1.000000 12.125000 3.750000 1 498 2 4.235150 58 3.504222 6 1.000000 11.655859 4.235150 1 499 2 3.622340 59 3.000000 6 1.000000 11.292553 3.622340 1 500 2 4.024248 59 3.412942 6 1.000000 11.832901 4.066895 1 501 2 6.250000 23 3.000000 6 1.000000 12.400000 6.400000 N/A 502 2 2.875000 23 3.000000 6 1.000000 12.500000 2.875000 N/A 503 2 6.000000 22 3.000000 6 1.000000 11.990000 5.990000 N/A 504 2 6.170032 22 3.000000 6 1.000000 12.991579 6.991579 N/A 505 2 3.250000 23 3.000000 6 1.000000 11.571721 3.250000 N/A 506 2 2.875000 24 3.000000 6 1.000000 12.500000 2.875000 N/A 507 2 6.250000 22 3.000000 6 1.000000 13.115397 7.115397 N/A 508 2 2.250000 36 6.000000 6 2.000000 10.983428 2.250000 N/A 509 2 2.750000 1 1.000000 1 1.000000 9.999000 2.750000 N/A 510 2 3.000000 1 1.000000 1 1.000000 9.999000 3.000000 N/A 511 2 3.625000 5 1.000000 6 1.000000 11.375000 3.625000 N/A 512 2 2.750000 5 1.000000 6 1.000000 10.875000 2.750000 N/A 513 2 2.750000 6 1.000000 6 1.000000 11.990000 2.750000 N/A 514 2 3.250000 118 5.000000 6 1.000000 13.250000 7.250000 1 515 2 3.250000 22 3.000000 6 1.000000 10.625000 3.250000 1 516 2 3.250000 22 3.000000 6 1.000000 11.746206 3.250000 1 517 2 3.238710 22 3.000000 6 1.000000 11.352739 3.238710 1 518 2 3.250000 22 3.000000 6 1.000000 11.750000 3.250000 1 519 2 3.000000 23 3.000000 6 1.000000 11.625000 3.000000 1 520 2 3.000000 33 3.000000 6 1.000000 10.500000 3.000000 1 521 2 3.000000 33 3.000000 6 1.000000 10.496560 3.000000 1 522 2 2.491001 34 3.339333 6 1.339333 10.290167 2.491001 1 523 2 3.750000 58 5.000000 12 2.000000 11.993550 3.750000 1 524 2 3.000000 58 5.000000 6 1.000000 10.750000 3.000000 1 525 2 3.000000 57 5.000000 6 1.000000 11.375000 3.000000 1 526 2 2.750000 57 5.000000 6 1.000000 10.125000 2.750000 1 527 2 3.000000 57 5.000000 6 1.000000 10.688650 3.000000 1 528 2 5.825000 23 3.000000 6 1.000000 12.075000 5.825000 N/A 529 2 5.729182 23 3.000000 6 1.000000 11.979182 5.729182 N/A 530 2 4.250000 24 3.000000 6 1.000000 13.375000 4.250000 N/A 531 2 3.814476 23 3.000000 6 1.000000 11.887518 3.814476 N/A 532 2 4.055265 23 3.000000 6 1.000000 12.391053 4.055265 N/A 533 2 4.153201 23 3.000000 6 1.000000 12.405077 4.153201 N/A 534 2 6.354224 23 3.000000 6 1.000000 12.858951 6.494169 N/A 535 2 6.375000 24 3.000000 6 1.500000 15.375000 8.375000 N/A 536 2 4.405260 23 3.000000 6 1.000000 12.644730 4.405260 N/A 537 2 3.875000 24 3.000000 6 1.000000 11.375000 3.875000 N/A 538 2 4.329009 23 3.000000 6 1.000000 13.750920 4.329009 N/A 539 2 4.572586 23 2.956366 6 1.046855 12.365118 4.764770 N/A 540 2 3.917939 23 3.000000 6 1.019698 12.239701 3.981956 N/A S-107
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MONTHS TO MONTHS NEXT RATE INITIAL BETWEEN RATE SUBSEQUENT MAXIMUM MINIMUM LOAN LOAN GROSS ADJUSTMENT RATE ADJUSTMENT PERIODIC RATE MORTGAGE MORTGAGE PRE-FUNDING NUMBER GROUP MARGIN (%) DATE CAP (%) DATES CAP (%) RATE (%) RATE (%) TERM (MONTHS) ------ ----- ---------- ---- ------- ----- ------- -------- -------- ------------- 541 2 6.263518 23 3.000000 6 1.000000 12.513518 6.263518 N/A 542 2 3.500000 24 3.000000 6 1.000000 13.875000 3.500000 N/A 543 2 7.000000 23 3.000000 6 1.000000 13.250000 7.000000 N/A 544 2 4.042493 24 3.000000 6 1.000000 11.016312 4.042493 N/A 545 2 3.567593 24 3.000000 6 1.000000 12.729628 3.567593 N/A 546 2 4.250000 23 3.000000 6 1.000000 13.000000 4.250000 N/A 547 2 4.267325 23 3.000000 6 1.005721 12.318403 4.397537 N/A 548 2 5.350000 35 3.000000 6 1.000000 11.600000 5.350000 N/A 549 2 5.311847 35 3.000000 6 1.000000 11.561847 5.350849 N/A 550 2 5.555973 35 3.000000 6 1.000000 11.805973 5.555973 N/A 551 2 3.909504 35 3.000000 6 1.000000 11.912873 3.909504 N/A 552 2 5.100000 34 3.000000 6 1.000000 11.350000 5.100000 N/A 553 2 3.750000 34 3.000000 6 1.000000 11.500000 3.750000 N/A 554 2 5.450000 35 3.000000 6 1.000000 11.700000 5.450000 N/A 555 2 3.875000 34 3.000000 6 1.000000 13.250000 3.875000 N/A 556 2 5.370385 35 3.000000 6 1.000000 11.620385 5.421959 N/A 557 2 5.310752 35 3.000000 6 1.000000 11.560752 5.310752 N/A 558 2 5.062942 35 3.000000 6 1.000000 11.312942 5.062942 N/A 559 2 5.308146 35 3.000000 6 1.000000 11.558146 5.308146 N/A 560 2 3.250000 35 3.000000 6 1.000000 12.500000 3.250000 N/A 561 2 5.600000 35 3.000000 6 1.000000 11.850000 5.600000 N/A 562 2 5.003539 35 3.000000 6 1.000000 11.716699 5.021033 N/A 563 2 3.780579 35 3.000000 6 1.000000 12.487053 3.780579 N/A 564 2 4.262804 35 3.061570 6 1.000000 11.601602 4.270478 N/A 565 2 5.625000 11 1.000000 12 1.000000 14.875000 5.625000 N/A 566 2 2.000000 3 1.000000 1 1.000000 9.999000 2.000000 N/A 567 2 3.000000 3 1.000000 1 1.000000 9.999000 3.000000 N/A 568 2 3.500000 5 1.000000 6 1.000000 10.125000 3.500000 N/A 569 2 3.000000 6 1.000000 6 1.000000 10.250000 3.000000 N/A 570 2 4.473127 5 1.147127 6 1.147127 11.922578 5.098418 N/A 571 2 3.625000 5 1.000000 6 1.000000 10.375000 3.625000 N/A 572 2 3.495846 6 1.000000 6 1.000000 11.663897 3.495846 N/A 573 2 3.000000 6 1.000000 6 1.000000 12.097597 3.000000 N/A 574 2 3.000000 5 1.000000 6 1.000000 10.500000 3.000000 N/A 575 2 4.011792 5 1.056324 6 1.056324 12.347689 4.135121 N/A 576 2 4.054093 60 3.000000 6 1.000000 12.173488 4.054093 N/A 577 2 2.250000 59 6.000000 6 2.000000 13.500000 2.250000 N/A 578 2 3.190903 58 3.000000 6 1.000000 11.790186 3.190903 N/A 579 2 3.250000 59 3.000000 6 1.000000 11.750000 3.250000 N/A 580 2 3.292389 59 3.000000 6 1.000000 11.502993 3.292389 N/A 581 2 3.250000 59 3.000000 6 1.000000 11.293470 3.250000 N/A 582 2 3.666723 59 3.364405 6 1.121468 11.701910 3.666723 N/A 583 2 3.394976 22 4.217226 6 1.000000 10.527153 3.394976 1 584 2 5.700000 22 3.000000 6 1.000000 11.950000 5.950000 1 585 2 2.900237 20 5.837659 6 1.000000 10.768491 2.900237 1 S-108
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MONTHS TO MONTHS NEXT RATE INITIAL BETWEEN RATE SUBSEQUENT MAXIMUM MINIMUM LOAN LOAN GROSS ADJUSTMENT RATE ADJUSTMENT PERIODIC RATE MORTGAGE MORTGAGE PRE-FUNDING NUMBER GROUP MARGIN (%) DATE CAP (%) DATES CAP (%) RATE (%) RATE (%) TERM (MONTHS) ------ ----- ---------- ---- ------- ----- ------- -------- -------- ------------- 586 2 3.289816 23 3.000000 6 1.000000 11.978795 3.289816 1 587 2 3.869707 21 3.620056 6 1.000000 11.884426 4.083470 1 588 2 2.667080 20 3.000000 6 1.000000 12.384435 2.667080 1 589 2 2.961760 21 5.827943 6 1.000000 11.496548 2.961760 1 590 2 3.174954 20 5.821169 6 1.000000 11.042188 3.189857 1 591 2 5.000000 22 3.000000 6 1.000000 12.500000 6.500000 1 592 2 3.941828 21 4.853701 6 1.000000 11.304634 3.984209 1 593 2 3.110801 20 5.744604 6 1.000000 11.442828 3.110801 1 594 2 5.060729 24 3.000000 6 1.000000 14.203438 5.060729 1 595 2 3.181627 20 6.000000 6 1.000000 10.771391 3.181627 1 596 2 3.483585 21 4.973613 6 1.012114 11.306041 3.526042 1 597 2 4.079095 23 3.000000 6 1.013860 11.918963 4.518075 1 598 2 5.550000 22 3.000000 6 1.000000 11.800000 5.550000 1 599 2 4.812203 23 3.000000 6 1.000000 12.234832 4.812203 1 600 2 3.875000 22 3.000000 6 1.000000 12.500000 3.875000 1 601 2 2.738099 21 6.000000 6 1.000000 11.493771 2.738099 1 602 2 3.271322 21 5.498974 6 1.000000 11.423713 3.276735 1 603 2 3.018414 34 2.414731 12 1.585269 11.872097 4.627903 1 604 2 5.319139 33 3.000000 6 1.000000 11.569139 5.319139 1 605 2 5.501975 34 3.000000 6 1.000000 11.751975 5.618234 1 606 2 3.428324 33 5.194750 6 1.000000 10.851940 3.460975 1 607 2 3.826198 33 4.320016 6 1.000000 11.073975 3.851426 1 608 2 3.203128 32 6.000000 6 1.000000 11.346562 3.203128 1 609 2 3.325178 32 6.000000 6 1.000000 11.034176 3.325178 1 610 2 2.746905 33 6.000000 6 1.000000 10.996905 2.746905 1 611 2 2.674394 32 6.000000 6 1.000000 10.411987 2.674394 1 612 2 2.132972 32 6.000000 6 1.000000 9.824458 2.132972 1 613 2 2.900590 32 5.904935 6 1.000000 10.884839 2.903976 1 614 2 3.828530 33 4.745804 6 1.000000 11.206248 3.915676 1 615 2 4.787819 33 3.562931 6 1.000000 11.611178 4.959517 1 616 2 4.175681 33 4.193071 6 1.000000 11.412893 4.261537 1 617 2 4.250000 35 3.000000 6 1.000000 11.500000 4.250000 1 618 2 2.886961 33 5.667880 6 1.000000 10.690251 2.901228 1 619 2 4.469583 33 4.264511 6 1.000000 11.601729 4.523780 1 620 2 4.443737 33 3.865177 6 1.001827 11.274165 4.515114 1 621 2 3.608104 34 3.000000 6 1.000000 11.709544 3.608104 1 622 2 5.461077 34 3.000000 6 1.000000 11.711077 5.461077 1 623 2 3.512777 32 5.533815 6 1.004804 11.332647 3.532452 1 624 2 3.625000 1 1.000000 1 1.000000 9.990000 3.625000 1 625 2 1.875000 2 1.000000 3 1.000000 9.999000 1.875000 1 626 2 3.408924 4 1.000000 6 1.000000 11.131267 3.408924 1 627 2 3.458015 6 1.000000 6 1.000000 13.754218 3.458015 1 628 2 3.650000 4 1.000000 6 1.000000 10.750000 3.650000 1 629 2 3.411600 5 1.000000 6 1.000000 10.661600 3.411600 1 630 2 2.875000 4 1.000000 6 1.000000 10.625000 2.875000 1 S-109
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MONTHS TO MONTHS NEXT RATE INITIAL BETWEEN RATE SUBSEQUENT MAXIMUM MINIMUM LOAN LOAN GROSS ADJUSTMENT RATE ADJUSTMENT PERIODIC RATE MORTGAGE MORTGAGE PRE-FUNDING NUMBER GROUP MARGIN (%) DATE CAP (%) DATES CAP (%) RATE (%) RATE (%) TERM (MONTHS) ------ ----- ---------- ---- ------- ----- ------- -------- -------- ------------- 631 2 3.713530 5 1.048500 6 1.048500 12.184019 3.864734 1 632 2 3.750000 59 3.000000 6 1.000000 11.750000 3.750000 1 633 2 5.000000 57 4.020767 6 1.000000 11.012979 5.000000 1 634 2 3.500000 60 3.000000 6 1.000000 11.625000 3.500000 1 635 2 3.875000 59 3.000000 6 1.000000 11.994838 3.875000 1 636 2 3.947702 59 3.468053 6 1.000000 11.877858 4.358247 1 637 2 4.668580 59 3.000000 6 1.000000 11.434122 4.668580 1
(ii) with respect to the certificates, the level of One-Month LIBOR remains constant at 1.60%; (iii) the hypothetical mortgage loans with an Index indicated as "3 Month LIBOR", "6 Month LIBOR", "1 Year LIBOR", or "1 Month LIBOR" have an Index of Three-Month LIBOR, Six-Month LIBOR, One-Year LIBOR and One-Month LIBOR which remain constant at 1.71%, 1.93%, 2.25% and 1.60% per annum, respectively; (iv) payments on the certificates are received, in cash, on the 25th day of each month, commencing in September 2004; (v) there are no delinquencies or losses on the mortgage loans and principal payments on the mortgage loans are timely received together with prepayments, if any, at the respective percentages of the Prepayment Assumption set forth in the following tables; (vi) there are no repurchases of the mortgage loans; (vii) all of the hypothetical mortgage loans are fully-amortizing; (viii) there is no Prepayment Interest Shortfall, Net WAC Shortfall Amount or any other interest shortfall in any month; (ix) the scheduled monthly payment for the mortgage loan is calculated based on its principal balance, mortgage rate and remaining term to maturity such that such mortgage loan will amortize in amounts sufficient to repay the remaining principal balance of such mortgage loan by its remaining term to maturity, in some cases following an interest only period; (x) with respect to each mortgage loan, the Index remains constant at the rate set forth above and the mortgage rate on each mortgage loan is adjusted on the next adjustment date (and on subsequent adjustment dates, as necessary) to equal the Index plus the applicable gross margin, subject to the maximum mortgage rates, minimum mortgage rates and periodic rate caps listed above; (xi) none of the mortgage loans provide for negative amortization; (xii) the monthly payment on each mortgage loan is adjusted on the due date immediately following the next related adjustment date (and on subsequent adjustment dates, as necessary) to equal a fully amortizing payment as described in clause (ix) above, in some cases, after an initial interest only period; (xiii) payments on the mortgage loans earn no reinvestment return; (xiv) there are no additional ongoing expenses payable out of the trust, other than the Policy Premium Rate payable to the Certificate Insurer; (xv) the holder of the Class C Certificates exercises its optional call on the first distribution date on which it would be permitted to do so as described in "Pooling and Servicing Agreement -- Termination" in this prospectus supplement; (xvi) the certificates will be purchased on August 31, 2004; (xvii) with respect to the "Pre-Funding Term" column, hypothetical mortgage loans with a value of 1, will begin to pay interest based on the mortgage rates in September 2004 and principal in October 2004 with the characteristics set forth in the previous table, and in each case are computed prior to giving effect to prepayments received on the last day of the prior month; and (xviii) scheduled payments on the mortgage loans are received on the first day of each month commencing in the calendar month following the Closing Date and are computed prior to giving effect to prepayments received on the last day of the prior month. Nothing contained in the foregoing assumptions should be construed as a representation that the mortgage loans will not experience delinquencies or losses or will otherwise behave in accordance with any of the above structuring assumptions. Based on the foregoing assumptions, the following tables indicate the projected weighted average lives of each class of the Offered Certificates and set forth the percentages of the original Certificate Principal Balance of each such class of Offered Certificates that would be outstanding after each of the dates shown, at various constant percentages of the Prepayment Assumption. S-110
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[Enlarge/Download Table] PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING AT THE FOLLOWING PERCENTAGES OF THE PREPAYMENT ASSUMPTION CLASS 1-A-1 CERTIFICATES ------------------------------------------------------- PREPAYMENT ASSUMPTION 0% 80% 100% 150% 180% --------------------- -- --- ---- ---- ---- DISTRIBUTION DATE ----------------- Initial Percentage...................... 100% 100% 100% 100% 100% August 25, 2005......................... 98 56 45 19 2 August 25, 2006......................... 97 21 6 0 0 August 25, 2007......................... 96 0 0 0 0 August 25, 2008......................... 94 0 0 0 0 August 25, 2009......................... 93 0 0 0 0 August 25, 2010......................... 89 0 0 0 0 August 25, 2011......................... 86 0 0 0 0 August 25, 2012......................... 83 0 0 0 0 August 25, 2013......................... 79 0 0 0 0 August 25, 2014......................... 75 0 0 0 0 August 25, 2015......................... 70 0 0 0 0 August 25, 2016......................... 65 0 0 0 0 August 25, 2017......................... 60 0 0 0 0 August 25, 2018......................... 55 0 0 0 0 August 25, 2019......................... 50 0 0 0 0 August 25, 2020......................... 44 0 0 0 0 August 25, 2021......................... 37 0 0 0 0 August 25, 2022......................... 31 0 0 0 0 August 25, 2023......................... 24 0 0 0 0 August 25, 2024......................... 16 0 0 0 0 August 25, 2025......................... 8 0 0 0 0 August 25, 2026......................... 1 0 0 0 0 August 25, 2027......................... 0 0 0 0 0 August 25, 2028......................... 0 0 0 0 0 August 25, 2029......................... 0 0 0 0 0 August 25, 2030......................... 0 0 0 0 0 August 25, 2031......................... 0 0 0 0 0 August 25, 2032......................... 0 0 0 0 0 August 25, 2033......................... 0 0 0 0 0 August 25, 2034......................... 0 0 0 0 0 Weighted Average Life in years (to Maturity)*... 14.0 1.3 1.0 0.6 0.5 Weighted Average Life in years (to Call)*....... 14.0 1.3 1.0 0.6 0.5 (*) The weighted average life of a certificate is determined by (i) multiplying the net reduction, if any, of Certificate Principal Balance by the number of years from the date of issuance of the certificate to the related distribution date, (ii) adding the results, and (iii) dividing the sum by the aggregate of the net reductions of the Certificate Principal Balance described in (i) above. S-111
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[Enlarge/Download Table] PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING AT THE FOLLOWING PERCENTAGES OF THE PREPAYMENT ASSUMPTION CLASS 1-A-2 CERTIFICATES ------------------------------------------------------ PREPAYMENT ASSUMPTION 0% 80% 100% 150% 180% --------------------- -- --- ---- ---- ---- DISTRIBUTION DATE ----------------- Initial Percentage....................... 100% 100% 100% 100% 100% August 25, 2005.......................... 100 100 100 100 100 August 25, 2006.......................... 100 100 100 32 0 August 25, 2007.......................... 100 89 48 0 0 August 25, 2008.......................... 100 52 17 0 0 August 25, 2009.......................... 100 21 0 0 0 August 25, 2010.......................... 100 0 0 0 0 August 25, 2011.......................... 100 0 0 0 0 August 25, 2012.......................... 100 0 0 0 0 August 25, 2013.......................... 100 0 0 0 0 August 25, 2014.......................... 100 0 0 0 0 August 25, 2015.......................... 100 0 0 0 0 August 25, 2016.......................... 100 0 0 0 0 August 25, 2017.......................... 100 0 0 0 0 August 25, 2018.......................... 100 0 0 0 0 August 25, 2019.......................... 100 0 0 0 0 August 25, 2020.......................... 100 0 0 0 0 August 25, 2021.......................... 100 0 0 0 0 August 25, 2022.......................... 100 0 0 0 0 August 25, 2023.......................... 100 0 0 0 0 August 25, 2024.......................... 100 0 0 0 0 August 25, 2025.......................... 100 0 0 0 0 August 25, 2026.......................... 100 0 0 0 0 August 25, 2027.......................... 84 0 0 0 0 August 25, 2028.......................... 65 0 0 0 0 August 25, 2029.......................... 45 0 0 0 0 August 25, 2030.......................... 23 0 0 0 0 August 25, 2031.......................... 1 0 0 0 0 August 25, 2032.......................... 0 0 0 0 0 August 25, 2033.......................... 0 0 0 0 0 August 25, 2034.......................... 0 0 0 0 0 Weighted Average Life in years (to Maturity)*...... 24.7 4.2 3.2 1.9 1.4 Weighted Average Life in years (to Call)*.......... 24.7 4.2 3.2 1.9 1.4 (*) The weighted average life of a certificate is determined by (i) multiplying the net reduction, if any, of Certificate Principal Balance by the number of years from the date of issuance of the certificate to the related distribution date, (ii) adding the results, and (iii) dividing the sum by the aggregate of the net reductions of the Certificate Principal Balance described in (i) above. S-112
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[Enlarge/Download Table] PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING AT THE FOLLOWING PERCENTAGES OF THE PREPAYMENT ASSUMPTION CLASS 1-A-3 CERTIFICATES ------------------------------------------------------ PREPAYMENT ASSUMPTION 0% 80% 100% 150% 180% --------------------- -- --- ---- ---- ---- DISTRIBUTION DATE ----------------- Initial Percentage....................... 100% 100% 100% 100% 100% August 25, 2005.......................... 100 100 100 100 100 August 25, 2006.......................... 100 100 100 100 90 August 25, 2007.......................... 100 100 100 60 0 August 25, 2008.......................... 100 100 100 0 0 August 25, 2009.......................... 100 100 86 0 0 August 25, 2010.......................... 100 96 59 0 0 August 25, 2011.......................... 100 72 0 0 0 August 25, 2012.......................... 100 53 0 0 0 August 25, 2013.......................... 100 0 0 0 0 August 25, 2014.......................... 100 0 0 0 0 August 25, 2015.......................... 100 0 0 0 0 August 25, 2016.......................... 100 0 0 0 0 August 25, 2017.......................... 100 0 0 0 0 August 25, 2018.......................... 100 0 0 0 0 August 25, 2019.......................... 100 0 0 0 0 August 25, 2020.......................... 100 0 0 0 0 August 25, 2021.......................... 100 0 0 0 0 August 25, 2022.......................... 100 0 0 0 0 August 25, 2023.......................... 100 0 0 0 0 August 25, 2024.......................... 100 0 0 0 0 August 25, 2025.......................... 100 0 0 0 0 August 25, 2026.......................... 100 0 0 0 0 August 25, 2027.......................... 100 0 0 0 0 August 25, 2028.......................... 100 0 0 0 0 August 25, 2029.......................... 100 0 0 0 0 August 25, 2030.......................... 100 0 0 0 0 August 25, 2031.......................... 100 0 0 0 0 August 25, 2032.......................... 68 0 0 0 0 August 25, 2033.......................... 0 0 0 0 0 August 25, 2034.......................... 0 0 0 0 0 Weighted Average Life in years (to Maturity)*...... 28.5 9.1 7.2 4.2 2.9 Weighted Average Life in years (to Call)*.......... 28.1 7.5 5.9 3.4 2.5 (*) The weighted average life of a certificate is determined by (i) multiplying the net reduction, if any, of Certificate Principal Balance by the number of years from the date of issuance of the certificate to the related distribution date, (ii) adding the results, and (iii) dividing the sum by the aggregate of the net reductions of the Certificate Principal Balance described in (i) above. S-113
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[Enlarge/Download Table] PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING AT THE FOLLOWING PERCENTAGES OF THE PREPAYMENT ASSUMPTION CLASS 1-A-4 CERTIFICATES ------------------------------------------------------ PREPAYMENT ASSUMPTION 0% 80% 100% 150% 180% --------------------- -- --- ---- ---- ---- DISTRIBUTION DATE ----------------- Initial Percentage....................... 100% 100% 100% 100% 100% August 25, 2005.......................... 99 75 68 53 43 August 25, 2006.......................... 98 54 45 26 16 August 25, 2007.......................... 98 39 29 11 0 August 25, 2008.......................... 97 30 22 0 0 August 25, 2009.......................... 96 23 15 0 0 August 25, 2010.......................... 94 17 10 0 0 August 25, 2011.......................... 92 13 0 0 0 August 25, 2012.......................... 90 9 0 0 0 August 25, 2013.......................... 88 0 0 0 0 August 25, 2014.......................... 85 0 0 0 0 August 25, 2015.......................... 83 0 0 0 0 August 25, 2016.......................... 80 0 0 0 0 August 25, 2017.......................... 77 0 0 0 0 August 25, 2018.......................... 74 0 0 0 0 August 25, 2019.......................... 71 0 0 0 0 August 25, 2020.......................... 67 0 0 0 0 August 25, 2021.......................... 64 0 0 0 0 August 25, 2022.......................... 60 0 0 0 0 August 25, 2023.......................... 56 0 0 0 0 August 25, 2024.......................... 51 0 0 0 0 August 25, 2025.......................... 47 0 0 0 0 August 25, 2026.......................... 43 0 0 0 0 August 25, 2027.......................... 38 0 0 0 0 August 25, 2028.......................... 34 0 0 0 0 August 25, 2029.......................... 29 0 0 0 0 August 25, 2030.......................... 23 0 0 0 0 August 25, 2031.......................... 18 0 0 0 0 August 25, 2032.......................... 12 0 0 0 0 August 25, 2033.......................... 0 0 0 0 0 August 25, 2034.......................... 0 0 0 0 0 Weighted Average Life in years (to Maturity)*...... 19.2 3.4 2.6 1.6 1.2 Weighted Average Life in years (to Call)*.......... 19.1 3.1 2.4 1.4 1.1 (*) The weighted average life of a certificate is determined by (i) multiplying the net reduction, if any, of Certificate Principal Balance by the number of years from the date of issuance of the certificate to the related distribution date, (ii) adding the results, and (iii) dividing the sum by the aggregate of the net reductions of the Certificate Principal Balance described in (i) above. S-114
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[Enlarge/Download Table] PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING AT THE FOLLOWING PERCENTAGES OF THE PREPAYMENT ASSUMPTION CLASS 1-A-5 CERTIFICATES ------------------------------------------------------ PREPAYMENT ASSUMPTION 0% 80% 100% 150% 180% --------------------- -- --- ---- ---- ---- DISTRIBUTION DATE ----------------- Initial Percentage....................... 100% 100% 100% 100% 100% August 25, 2005.......................... 99 75 68 53 43 August 25, 2006.......................... 98 54 45 26 16 August 25, 2007.......................... 98 39 29 11 0 August 25, 2008.......................... 97 30 22 0 0 August 25, 2009.......................... 96 23 15 0 0 August 25, 2010.......................... 94 17 10 0 0 August 25, 2011.......................... 92 13 0 0 0 August 25, 2012.......................... 90 9 0 0 0 August 25, 2013.......................... 88 0 0 0 0 August 25, 2014.......................... 85 0 0 0 0 August 25, 2015.......................... 83 0 0 0 0 August 25, 2016.......................... 80 0 0 0 0 August 25, 2017.......................... 77 0 0 0 0 August 25, 2018.......................... 74 0 0 0 0 August 25, 2019.......................... 71 0 0 0 0 August 25, 2020.......................... 67 0 0 0 0 August 25, 2021.......................... 64 0 0 0 0 August 25, 2022.......................... 60 0 0 0 0 August 25, 2023.......................... 56 0 0 0 0 August 25, 2024.......................... 51 0 0 0 0 August 25, 2025.......................... 47 0 0 0 0 August 25, 2026.......................... 43 0 0 0 0 August 25, 2027.......................... 38 0 0 0 0 August 25, 2028.......................... 34 0 0 0 0 August 25, 2029.......................... 29 0 0 0 0 August 25, 2030.......................... 23 0 0 0 0 August 25, 2031.......................... 18 0 0 0 0 August 25, 2032.......................... 12 0 0 0 0 August 25, 2033.......................... 0 0 0 0 0 August 25, 2034.......................... 0 0 0 0 0 Weighted Average Life in years (to Maturity)*...... 19.2 3.4 2.6 1.6 1.2 Weighted Average Life in years (to Call)*.......... 19.1 3.1 2.4 1.4 1.1 (*) The weighted average life of a certificate is determined by (i) multiplying the net reduction, if any, of Certificate Principal Balance by the number of years from the date of issuance of the certificate to the related distribution date, (ii) adding the results, and (iii) dividing the sum by the aggregate of the net reductions of the Certificate Principal Balance described in (i) above. S-115
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[Enlarge/Download Table] PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING AT THE FOLLOWING PERCENTAGES OF THE PREPAYMENT ASSUMPTION CLASS 2-A-1 CERTIFICATES ------------------------------------------------------ PREPAYMENT ASSUMPTION 0% 80% 100% 150% 180% --------------------- -- --- ---- ---- ---- DISTRIBUTION DATE ----------------- Initial Percentage....................... 100% 100% 100% 100% 100% August 25, 2005.......................... 99 75 68 53 44 August 25, 2006.......................... 98 54 45 26 16 August 25, 2007.......................... 97 39 29 11 0 August 25, 2008.......................... 96 30 22 0 0 August 25, 2009.......................... 95 23 15 0 0 August 25, 2010.......................... 93 17 10 0 0 August 25, 2011.......................... 91 13 0 0 0 August 25, 2012.......................... 89 9 0 0 0 August 25, 2013.......................... 87 0 0 0 0 August 25, 2014.......................... 85 0 0 0 0 August 25, 2015.......................... 82 0 0 0 0 August 25, 2016.......................... 79 0 0 0 0 August 25, 2017.......................... 76 0 0 0 0 August 25, 2018.......................... 73 0 0 0 0 August 25, 2019.......................... 70 0 0 0 0 August 25, 2020.......................... 67 0 0 0 0 August 25, 2021.......................... 63 0 0 0 0 August 25, 2022.......................... 59 0 0 0 0 August 25, 2023.......................... 55 0 0 0 0 August 25, 2024.......................... 51 0 0 0 0 August 25, 2025.......................... 47 0 0 0 0 August 25, 2026.......................... 43 0 0 0 0 August 25, 2027.......................... 38 0 0 0 0 August 25, 2028.......................... 34 0 0 0 0 August 25, 2029.......................... 29 0 0 0 0 August 25, 2030.......................... 23 0 0 0 0 August 25, 2031.......................... 18 0 0 0 0 August 25, 2032.......................... 12 0 0 0 0 August 25, 2033.......................... 0 0 0 0 0 August 25, 2034.......................... 0 0 0 0 0 Weighted Average Life in years (to Maturity)*...... 19.1 3.4 2.6 1.6 1.2 Weighted Average Life in years (to Call)*.......... 19.0 3.1 2.4 1.4 1.1 (*) The weighted average life of a certificate is determined by (i) multiplying the net reduction, if any, of Certificate Principal Balance by the number of years from the date of issuance of the certificate to the related distribution date, (ii) adding the results, and (iii) dividing the sum by the aggregate of the net reductions of the Certificate Principal Balance described in (i) above. S-116
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[Enlarge/Download Table] PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING AT THE FOLLOWING PERCENTAGES OF THE PREPAYMENT ASSUMPTION CLASS 2-A-2 CERTIFICATES ------------------------------------------------------ PREPAYMENT ASSUMPTION 0% 80% 100% 150% 180% --------------------- -- --- ---- ---- ---- DISTRIBUTION DATE ----------------- Initial Percentage....................... 100% 100% 100% 100% 100% August 25, 2005.......................... 99 75 68 53 44 August 25, 2006.......................... 98 54 45 26 16 August 25, 2007.......................... 97 39 29 11 0 August 25, 2008.......................... 96 30 22 0 0 August 25, 2009.......................... 95 23 15 0 0 August 25, 2010.......................... 93 17 10 0 0 August 25, 2011.......................... 91 13 0 0 0 August 25, 2012.......................... 89 9 0 0 0 August 25, 2013.......................... 87 0 0 0 0 August 25, 2014.......................... 85 0 0 0 0 August 25, 2015.......................... 82 0 0 0 0 August 25, 2016.......................... 79 0 0 0 0 August 25, 2017.......................... 76 0 0 0 0 August 25, 2018.......................... 73 0 0 0 0 August 25, 2019.......................... 70 0 0 0 0 August 25, 2020.......................... 67 0 0 0 0 August 25, 2021.......................... 63 0 0 0 0 August 25, 2022.......................... 59 0 0 0 0 August 25, 2023.......................... 55 0 0 0 0 August 25, 2024.......................... 51 0 0 0 0 August 25, 2025.......................... 47 0 0 0 0 August 25, 2026.......................... 43 0 0 0 0 August 25, 2027.......................... 38 0 0 0 0 August 25, 2028.......................... 34 0 0 0 0 August 25, 2029.......................... 29 0 0 0 0 August 25, 2030.......................... 23 0 0 0 0 August 25, 2031.......................... 18 0 0 0 0 August 25, 2032.......................... 12 0 0 0 0 August 25, 2033.......................... 0 0 0 0 0 August 25, 2034.......................... 0 0 0 0 0 Weighted Average Life in years (to Maturity)*...... 19.1 3.4 2.6 1.6 1.2 Weighted Average Life in years (to Call)*.......... 19.0 3.1 2.4 1.4 1.1 (*) The weighted average life of a certificate is determined by (i) multiplying the net reduction, if any, of Certificate Principal Balance by the number of years from the date of issuance of the certificate to the related distribution date, (ii) adding the results, and (iii) dividing the sum by the aggregate of the net reductions of the Certificate Principal Balance described in (i) above. S-117
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[Enlarge/Download Table] PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING AT THE FOLLOWING PERCENTAGES OF THE PREPAYMENT ASSUMPTION CLASS M-1 CERTIFICATES ------------------------------------------------------ PREPAYMENT ASSUMPTION 0% 80% 100% 150% 180% --------------------- -- --- ---- ---- ---- DISTRIBUTION DATE ----------------- Initial Percentage....................... 100% 100% 100% 100% 100% August 25, 2005.......................... 100 100 100 100 100 August 25, 2006.......................... 100 100 100 100 100 August 25, 2007.......................... 100 100 100 100 0 August 25, 2008.......................... 100 66 47 0 0 August 25, 2009.......................... 100 49 33 0 0 August 25, 2010.......................... 100 37 23 0 0 August 25, 2011.......................... 100 27 0 0 0 August 25, 2012.......................... 100 20 0 0 0 August 25, 2013.......................... 100 0 0 0 0 August 25, 2014.......................... 100 0 0 0 0 August 25, 2015.......................... 100 0 0 0 0 August 25, 2016.......................... 100 0 0 0 0 August 25, 2017.......................... 100 0 0 0 0 August 25, 2018.......................... 100 0 0 0 0 August 25, 2019.......................... 100 0 0 0 0 August 25, 2020.......................... 100 0 0 0 0 August 25, 2021.......................... 100 0 0 0 0 August 25, 2022.......................... 100 0 0 0 0 August 25, 2023.......................... 100 0 0 0 0 August 25, 2024.......................... 100 0 0 0 0 August 25, 2025.......................... 100 0 0 0 0 August 25, 2026.......................... 92 0 0 0 0 August 25, 2027.......................... 83 0 0 0 0 August 25, 2028.......................... 73 0 0 0 0 August 25, 2029.......................... 62 0 0 0 0 August 25, 2030.......................... 51 0 0 0 0 August 25, 2031.......................... 39 0 0 0 0 August 25, 2032.......................... 26 0 0 0 0 August 25, 2033.......................... 0 0 0 0 0 August 25, 2034.......................... 0 0 0 0 0 Weighted Average Life in years (to Maturity)*...... 25.9 5.8 4.8 3.9 4.1 Weighted Average Life in years (to Call)*.......... 25.8 5.4 4.4 3.6 3.0 (*) The weighted average life of a certificate is determined by (i) multiplying the net reduction, if any, of Certificate Principal Balance by the number of years from the date of issuance of the certificate to the related distribution date, (ii) adding the results, and (iii) dividing the sum by the aggregate of the net reductions of the Certificate Principal Balance described in (i) above. S-118
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[Enlarge/Download Table] PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING AT THE FOLLOWING PERCENTAGES OF THE PREPAYMENT ASSUMPTION CLASS M-2 CERTIFICATES ------------------------------------------------------ PREPAYMENT ASSUMPTION 0% 80% 100% 150% 180% --------------------- -- --- ---- ---- ---- DISTRIBUTION DATE ----------------- Initial Percentage....................... 100% 100% 100% 100% 100% August 25, 2005.......................... 100 100 100 100 100 August 25, 2006.......................... 100 100 100 100 100 August 25, 2007.......................... 100 100 100 100 0 August 25, 2008.......................... 100 66 47 0 0 August 25, 2009.......................... 100 49 33 0 0 August 25, 2010.......................... 100 37 23 0 0 August 25, 2011.......................... 100 27 0 0 0 August 25, 2012.......................... 100 20 0 0 0 August 25, 2013.......................... 100 0 0 0 0 August 25, 2014.......................... 100 0 0 0 0 August 25, 2015.......................... 100 0 0 0 0 August 25, 2016.......................... 100 0 0 0 0 August 25, 2017.......................... 100 0 0 0 0 August 25, 2018.......................... 100 0 0 0 0 August 25, 2019.......................... 100 0 0 0 0 August 25, 2020.......................... 100 0 0 0 0 August 25, 2021.......................... 100 0 0 0 0 August 25, 2022.......................... 100 0 0 0 0 August 25, 2023.......................... 100 0 0 0 0 August 25, 2024.......................... 100 0 0 0 0 August 25, 2025.......................... 100 0 0 0 0 August 25, 2026.......................... 92 0 0 0 0 August 25, 2027.......................... 83 0 0 0 0 August 25, 2028.......................... 73 0 0 0 0 August 25, 2029.......................... 62 0 0 0 0 August 25, 2030.......................... 51 0 0 0 0 August 25, 2031.......................... 39 0 0 0 0 August 25, 2032.......................... 26 0 0 0 0 August 25, 2033.......................... 0 0 0 0 0 August 25, 2034.......................... 0 0 0 0 0 Weighted Average Life in years (to Maturity)*...... 25.9 5.8 4.7 3.8 3.9 Weighted Average Life in years (to Call)*.......... 25.8 5.4 4.4 3.6 3.0 (*) The weighted average life of a certificate is determined by (i) multiplying the net reduction, if any, of Certificate Principal Balance by the number of years from the date of issuance of the certificate to the related distribution date, (ii) adding the results, and (iii) dividing the sum by the aggregate of the net reductions of the Certificate Principal Balance described in (i) above. S-119
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[Enlarge/Download Table] PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING AT THE FOLLOWING PERCENTAGES OF THE PREPAYMENT ASSUMPTION CLASS M-3 CERTIFICATES ------------------------------------------------------ PREPAYMENT ASSUMPTION 0% 80% 100% 150% 180% --------------------- -- --- ---- ---- ---- DISTRIBUTION DATE ----------------- Initial Percentage....................... 100% 100% 100% 100% 100% August 25, 2005.......................... 100 100 100 100 100 August 25, 2006.......................... 100 100 100 100 100 August 25, 2007.......................... 100 100 100 100 0 August 25, 2008.......................... 100 66 47 0 0 August 25, 2009.......................... 100 49 33 0 0 August 25, 2010.......................... 100 37 23 0 0 August 25, 2011.......................... 100 27 0 0 0 August 25, 2012.......................... 100 20 0 0 0 August 25, 2013.......................... 100 0 0 0 0 August 25, 2014.......................... 100 0 0 0 0 August 25, 2015.......................... 100 0 0 0 0 August 25, 2016.......................... 100 0 0 0 0 August 25, 2017.......................... 100 0 0 0 0 August 25, 2018.......................... 100 0 0 0 0 August 25, 2019.......................... 100 0 0 0 0 August 25, 2020.......................... 100 0 0 0 0 August 25, 2021.......................... 100 0 0 0 0 August 25, 2022.......................... 100 0 0 0 0 August 25, 2023.......................... 100 0 0 0 0 August 25, 2024.......................... 100 0 0 0 0 August 25, 2025.......................... 100 0 0 0 0 August 25, 2026.......................... 92 0 0 0 0 August 25, 2027.......................... 83 0 0 0 0 August 25, 2028.......................... 73 0 0 0 0 August 25, 2029.......................... 62 0 0 0 0 August 25, 2030.......................... 51 0 0 0 0 August 25, 2031.......................... 39 0 0 0 0 August 25, 2032.......................... 26 0 0 0 0 August 25, 2033.......................... 0 0 0 0 0 August 25, 2034.......................... 0 0 0 0 0 Weighted Average Life in years (to Maturity)*...... 25.9 5.7 4.7 3.7 3.7 Weighted Average Life in years (to Call)*.......... 25.8 5.4 4.4 3.5 3.0 (*) The weighted average life of a certificate is determined by (i) multiplying the net reduction, if any, of Certificate Principal Balance by the number of years from the date of issuance of the certificate to the related distribution date, (ii) adding the results, and (iii) dividing the sum by the aggregate of the net reductions of the Certificate Principal Balance described in (i) above. S-120
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[Enlarge/Download Table] PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING AT THE FOLLOWING PERCENTAGES OF THE PREPAYMENT ASSUMPTION CLASS M-4 CERTIFICATES ------------------------------------------------------ PREPAYMENT ASSUMPTION 0% 80% 100% 150% 180% --------------------- -- --- ---- ---- ---- DISTRIBUTION DATE ----------------- Initial Percentage....................... 100% 100% 100% 100% 100% August 25, 2005.......................... 100 100 100 100 100 August 25, 2006.......................... 100 100 100 100 100 August 25, 2007.......................... 100 100 100 100 0 August 25, 2008.......................... 100 66 47 0 0 August 25, 2009.......................... 100 49 33 0 0 August 25, 2010.......................... 100 37 23 0 0 August 25, 2011.......................... 100 27 0 0 0 August 25, 2012.......................... 100 20 0 0 0 August 25, 2013.......................... 100 0 0 0 0 August 25, 2014.......................... 100 0 0 0 0 August 25, 2015.......................... 100 0 0 0 0 August 25, 2016.......................... 100 0 0 0 0 August 25, 2017.......................... 100 0 0 0 0 August 25, 2018.......................... 100 0 0 0 0 August 25, 2019.......................... 100 0 0 0 0 August 25, 2020.......................... 100 0 0 0 0 August 25, 2021.......................... 100 0 0 0 0 August 25, 2022.......................... 100 0 0 0 0 August 25, 2023.......................... 100 0 0 0 0 August 25, 2024.......................... 100 0 0 0 0 August 25, 2025.......................... 100 0 0 0 0 August 25, 2026.......................... 92 0 0 0 0 August 25, 2027.......................... 83 0 0 0 0 August 25, 2028.......................... 73 0 0 0 0 August 25, 2029.......................... 62 0 0 0 0 August 25, 2030.......................... 51 0 0 0 0 August 25, 2031.......................... 39 0 0 0 0 August 25, 2032.......................... 26 0 0 0 0 August 25, 2033.......................... 0 0 0 0 0 August 25, 2034.......................... 0 0 0 0 0 Weighted Average Life in years (to Maturity)*...... 25.9 5.7 4.6 3.6 3.5 Weighted Average Life in years (to Call)*.......... 25.8 5.4 4.4 3.4 3.0 (*) The weighted average life of a certificate is determined by (i) multiplying the net reduction, if any, of Certificate Principal Balance by the number of years from the date of issuance of the certificate to the related distribution date, (ii) adding the results, and (iii) dividing the sum by the aggregate of the net reductions of the Certificate Principal Balance described in (i) above. S-121
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[Enlarge/Download Table] PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING AT THE FOLLOWING PERCENTAGES OF THE PREPAYMENT ASSUMPTION CLASS M-5 CERTIFICATES ------------------------------------------------------ PREPAYMENT ASSUMPTION 0% 80% 100% 150% 180% --------------------- -- --- ---- ---- ---- DISTRIBUTION DATE ----------------- Initial Percentage....................... 100% 100% 100% 100% 100% August 25, 2005.......................... 100 100 100 100 100 August 25, 2006.......................... 100 100 100 100 100 August 25, 2007.......................... 100 100 100 100 0 August 25, 2008.......................... 100 66 47 0 0 August 25, 2009.......................... 100 49 33 0 0 August 25, 2010.......................... 100 37 23 0 0 August 25, 2011.......................... 100 27 0 0 0 August 25, 2012.......................... 100 18 0 0 0 August 25, 2013.......................... 100 0 0 0 0 August 25, 2014.......................... 100 0 0 0 0 August 25, 2015.......................... 100 0 0 0 0 August 25, 2016.......................... 100 0 0 0 0 August 25, 2017.......................... 100 0 0 0 0 August 25, 2018.......................... 100 0 0 0 0 August 25, 2019.......................... 100 0 0 0 0 August 25, 2020.......................... 100 0 0 0 0 August 25, 2021.......................... 100 0 0 0 0 August 25, 2022.......................... 100 0 0 0 0 August 25, 2023.......................... 100 0 0 0 0 August 25, 2024.......................... 100 0 0 0 0 August 25, 2025.......................... 100 0 0 0 0 August 25, 2026.......................... 92 0 0 0 0 August 25, 2027.......................... 83 0 0 0 0 August 25, 2028.......................... 73 0 0 0 0 August 25, 2029.......................... 62 0 0 0 0 August 25, 2030.......................... 51 0 0 0 0 August 25, 2031.......................... 39 0 0 0 0 August 25, 2032.......................... 26 0 0 0 0 August 25, 2033.......................... 0 0 0 0 0 August 25, 2034.......................... 0 0 0 0 0 Weighted Average Life in years (to Maturity)*...... 25.8 5.5 4.4 3.4 3.3 Weighted Average Life in years (to Call)*.......... 25.8 5.4 4.3 3.4 3.0 (*) The weighted average life of a certificate is determined by (i) multiplying the net reduction, if any, of Certificate Principal Balance by the number of years from the date of issuance of the certificate to the related distribution date, (ii) adding the results, and (iii) dividing the sum by the aggregate of the net reductions of the Certificate Principal Balance described in (i) above. S-122
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[Enlarge/Download Table] PERCENT OF INITIAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING AT THE FOLLOWING PERCENTAGES OF THE PREPAYMENT ASSUMPTION CLASS B CERTIFICATES ------------------------------------------------------ PREPAYMENT ASSUMPTION 0% 80% 100% 150% 180% --------------------- -- --- ---- ---- ---- DISTRIBUTION DATE ----------------- Initial Percentage....................... 100% 100% 100% 100% 100% August 25, 2005.......................... 100 100 100 100 100 August 25, 2006.......................... 100 100 100 100 100 August 25, 2007.......................... 100 100 100 100 0 August 25, 2008.......................... 100 56 33 0 0 August 25, 2009.......................... 100 35 14 0 0 August 25, 2010.......................... 100 19 1 0 0 August 25, 2011.......................... 100 7 0 0 0 August 25, 2012.......................... 100 0 0 0 0 August 25, 2013.......................... 100 0 0 0 0 August 25, 2014.......................... 100 0 0 0 0 August 25, 2015.......................... 100 0 0 0 0 August 25, 2016.......................... 100 0 0 0 0 August 25, 2017.......................... 100 0 0 0 0 August 25, 2018.......................... 100 0 0 0 0 August 25, 2019.......................... 100 0 0 0 0 August 25, 2020.......................... 100 0 0 0 0 August 25, 2021.......................... 100 0 0 0 0 August 25, 2022.......................... 100 0 0 0 0 August 25, 2023.......................... 100 0 0 0 0 August 25, 2024.......................... 100 0 0 0 0 August 25, 2025.......................... 100 0 0 0 0 August 25, 2026.......................... 90 0 0 0 0 August 25, 2027.......................... 78 0 0 0 0 August 25, 2028.......................... 65 0 0 0 0 August 25, 2029.......................... 51 0 0 0 0 August 25, 2030.......................... 37 0 0 0 0 August 25, 2031.......................... 21 0 0 0 0 August 25, 2032.......................... 5 0 0 0 0 August 25, 2033.......................... 0 0 0 0 0 August 25, 2034.......................... 0 0 0 0 0 Weighted Average Life in years (to Maturity)*...... 25.0 4.6 3.8 3.1 3.1 Weighted Average Life in years (to Call)*.......... 25.0 4.6 3.8 3.1 3.0 (*) The weighted average life of a certificate is determined by (i) multiplying the net reduction, if any, of Certificate Principal Balance by the number of years from the date of issuance of the certificate to the related distribution date, (ii) adding the results, and (iii) dividing the sum by the aggregate of the net reductions of the Certificate Principal Balance described in (i) above. S-123
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There is no assurance that prepayments of the mortgage loans will conform to any of the percentages of the Prepayment Assumption indicated in the tables above or to any other level, or that the actual weighted average life of any class of Offered Certificates will conform to any of the weighted average lives set forth in the tables above. Furthermore, the information contained in the tables with respect to the weighted average life of each specified class of Offered Certificates is not necessarily indicative of the weighted average life that might be calculated or projected under different or varying prepayment assumptions or other structuring assumptions. The characteristics of the mortgage loans will differ from those assumed in preparing the table above. In addition, it is unlikely that any mortgage loan will prepay at any constant percentage of the Prepayment Assumption until maturity or that all of the mortgage loans will prepay at the same rate. The timing of changes in the rate of prepayments may significantly affect the actual yield to maturity to investors, even if the average rate of principal prepayments is consistent with the expectations of investors. FINAL SCHEDULED DISTRIBUTION DATES The final scheduled distribution date with respect to the Offered Certificates will be the distribution date in November 2034, which is the distribution date following the month of the last possible scheduled monthly payment of a mortgage loan. Due to losses and prepayments on the mortgage loans, the final scheduled distribution date on each class of certificates may be substantially earlier. In addition, the actual final distribution date may be later than the final scheduled distribution date. THE CERTIFICATE INSURER The following information has been supplied by Ambac Assurance Corporation, the Certificate Insurer, for inclusion in this prospectus supplement. No representation is made by the company, the Master Servicer, the Underwriters or any of their affiliates as to the accuracy or completeness of the information. The Certificate Insurer is a Wisconsin-domiciled stock insurance corporation regulated by the Office of the Commissioner of Insurance of the State of Wisconsin and licensed to do business in 50 states, the District of Columbia, the Commonwealth of Puerto Rico, the Territory of Guam and the U.S. Virgin Islands. The Certificate Insurer primarily insures newly-issued municipal and structured finance obligations. The Certificate Insurer is a wholly owned subsidiary of Ambac Financial Group, Inc. (formerly, AMBAC Inc.), a 100% publicly-held company. Moody's, Standard & Poor's and Fitch Ratings have each assigned a triple-A financial strength rating to the Certificate Insurer. The consolidated financial statements of the Certificate Insurer and subsidiaries as of December 31, 2003 and December 31, 2002, and for each of the years in the three-year period ended December 31, 2003, prepared in accordance with accounting principles generally accepted in the United States of America, included in the Annual Report on Form 10-K of Ambac Financial Group, Inc. (which was filed with the Commission on March 15, 2004; Commission File Number 1-10777), the unaudited consolidated financial statements of the Certificate Insurer and subsidiaries as of March 31, 2004 and for the periods ending March 31, 2004 and March 31, 2003 included in the Quarterly Report on Form 10-Q of Ambac Financial Group, Inc. for the period ended March 31, 2004 (which was filed with the Commission on May 10, 2004); the unaudited consolidated financial statements of the Certificate Insurer and subsidiaries as of June 30, 2004 and for the periods ended June 30, 2004 and June 30, 2003 included in the Quarterly Report on Form 10-Q of Ambac Financial Group, Inc. for the period ended June 30, 2004 (which was filed with the Commission on August 9, 2004) and the Current Reports on Form 8-K filed with the Commission on April 22, 2004, July 22, 2004 and August 20, 2004, as each related to the Certificate Insurer, are hereby incorporated by reference into this prospectus supplement and shall be deemed to be a part of this prospectus supplement. Any statement S-124
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contained in a document incorporated in this prospectus supplement by reference shall be modified or superseded for the purposes of this prospectus supplement to the extent that a statement contained in this prospectus supplement by reference in this prospectus supplement also modifies or supersedes the statement. Any statement so modified or superseded shall not be deemed, except as so modified or superseded, to constitute a part of this prospectus supplement. All consolidated financial statements of the Certificate Insurer and subsidiaries included in documents filed by Ambac Financial Group, Inc. with the Commission pursuant to Section 13(a), 13(c), 14 or 15(d) of the Exchange Act, as amended, subsequent to the date of this prospectus supplement and prior to the termination of the offering of the certificates shall be deemed to be incorporated by reference into this prospectus supplement and to be a part hereof from the respective dates of filing such consolidated financial statements. The following table sets forth the capitalization of the Certificate Insurer as of December 31, 2002, December 31, 2003, and June 30, 2004, in conformity with accounting principles generally accepted in the United States of America. [Enlarge/Download Table] AMBAC ASSURANCE CORPORATION AND SUBSIDIARIES CONSOLIDATED CAPITALIZATION TABLE (DOLLARS IN MILLIONS) DECEMBER 31, DECEMBER 31, JUNE 30, 2004 2002 2003 (UNAUDITED) ---- ---- ----------- Unearned premiums................................................ $2,137 $2,553 $2,733 Notes payable to affiliates...................................... 111 84 90 Other liabilities................................................ 1,865 2,197 2,253 ------ ------ ------- Total liabilities........................................... 4,113 4,834 5,076 ------ ------ ------- Stockholder's equity: Common stock................................................ 82 82 82 Additional paid-in capital.................................. 920 1,144 1,157 Accumulated other comprehensive income.................................................. 231 243 97 Retained earnings........................................... 2,849 3,430 3,754 ------ ------ ------- Total stockholder's equity.................................. 4,082 4,899 5,090 ------ ------ ------- Total liabilities and stockholder's equity.................. $8,195 $9,733 $10,166 ====== ====== ======= For additional financial information concerning the Certificate Insurer, see the audited consolidated financial statements of the Certificate Insurer incorporated by reference in this prospectus supplement. Copies of the consolidated financial statements of the Certificate Insurer incorporated by reference and copies of the Certificate Insurer's annual statement for the year ended December 31, 2003 prepared on the basis of accounting practices prescribed or permitted by the State of Wisconsin Office of the Commissioner of Insurance are available, without charge, from the Certificate Insurer. The address of the Certificate Insurer's administrative offices and its telephone number are One State Street Plaza, 19th Floor, New York, New York 10004 and (212) 668-0340. The Certificate Insurer makes no representation regarding the certificates or the advisability of investing in the certificates and makes no representation regarding, nor has it participated in the preparation of, this prospectus supplement other than the information supplied by the Certificate Insurer and presented under the headings "The Certificate Insurer" and "Description of the Certificates -- Description of the S-125
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Certificate Guaranty Insurance Policy" in this prospectus supplement and in the financial statements incorporated in this prospectus supplement by reference. DESCRIPTION OF THE CERTIFICATES GENERAL The Series 2004-3 Certificates will consist of seventeen classes of certificates, thirteen of which are offered hereby. Only the Offered Certificates are offered by this prospectus supplement. The Class C, the Class R and Class R-X Certificates, which are not offered hereby, will be entitled to distributions on any distribution date only after all required distributions have been made on the Offered Certificates. The Certificate Principal Balance of the Class C Certificates as of any date of determination will be equal to aggregate stated principal balance of the mortgage loans minus the aggregate Certificate Principal Balance of all other classes of certificates and will be entitled to distributions of interest as provided in the Agreement. The Class R Certificates and Class R-X Certificates will not have principal balances and will not be entitled to distributions of interest. The Class P Certificates, which are not offered hereby, will have an initial Certificate Principal Balance of $100 and will not be entitled to distributions in respect of interest. The Class P Certificates will be entitled to all prepayment charges received in respect of the mortgage loans. The Class 1-A Certificates represent interests primarily in the Group 1 Loans and the Class 2-A Certificates represent interests primarily in the Group 2 Loans. Payments of principal and interest on the Class 1-A Certificates will be made first from payments received on the Group 1 Loans and payments of principal and interest on the Class 2-A Certificates will be made first from payments received on the Group 2 Loans, in each case, as described in this prospectus supplement. SEE "--ALLOCATION OF AVAILABLE FUNDS--INTEREST DISTRIBUTIONS ON THE OFFERED CERTIFICATES", "--ALLOCATION OF AVAILABLE FUNDS--PRINCIPAL DISTRIBUTIONS ON THE OFFERED CERTIFICATES" AND "--OVERCOLLATERALIZATION PROVISIONS" IN THIS PROSPECTUS SUPPLEMENT. Each class of the Offered Certificates will have the approximate initial Certificate Principal Balance as set forth on page S-4 hereof and will have the Pass-Through Rate as defined under "Glossary" in this prospectus supplement. The Pass-Through Rate on each class of the Offered Certificates will be limited to the related Net WAC Rate. The holders of the Offered Certificates WILL NOT be entitled to recover interest in excess of any applicable limitation on the Pass-Through Rate thereof on any future distribution date from excess cashflow or from any other source except as provided in "--Overcollateralization Provisions" below. The Offered Certificates will be issued, maintained and transferred on the book-entry records of DTC and its participants in minimum denominations representing Certificate Principal Balances of $25,000 and integral multiples of $1 in excess thereof. The Book-Entry Certificates will initially be represented by one or more global certificates registered in the name of a nominee of DTC. The company has been informed by DTC that DTC's nominee will be Cede & Co. No person acquiring an interest in any class of the Book-Entry Certificates will be entitled to receive a certificate representing such person's interest, except as set forth below under "--Definitive Certificates." Unless and until definitive certificates are issued under the limited circumstances described in this prospectus supplement, all references to actions by certificateholders with respect to the Book-Entry Certificates shall refer to actions taken by DTC upon instructions from its participants and all references in this prospectus supplement to distributions, notices, reports and statements to certificateholders with respect S-126
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to the Book-Entry Certificates shall refer to distributions, notices, reports and statements to DTC or Cede & Co., as the registered holder of the Book-Entry Certificates, for distribution to Certificate Owners in accordance with DTC procedures. SEE "--REGISTRATION OF THE BOOK-ENTRY CERTIFICATES" AND "--DEFINITIVE CERTIFICATES" IN THIS PROSPECTUS SUPPLEMENT. The definitive certificates, if ever issued, will be transferable and exchangeable at the offices of the Securities Administrator designated by the Securities Administrator from time to time for these purposes. The Securities Administrator has initially designated its offices located at Sixth Street and Marquette Avenue, Minneapolis, Minnesota 55479-0113, Attention: Corporate Trust Services - Impac Secured Assets Corp. 2004- 3, for such purpose. No service charge will be imposed for any registration of transfer or exchange, but the Trustee or the Securities Administrator may require payment of a sum sufficient to cover any tax or other governmental charge imposed in connection therewith. All distributions to holders of the certificates, other than the final distribution on any class of certificates, will be made on each distribution date by or on behalf of the Securities Administrator to the persons in whose names the certificates are registered at the close of business on the related Record Date. Distributions will be made by wire transfer in immediately available funds to the account of the certificateholders specified in the request. The final distribution on any class of certificates will be made in like manner, but only upon presentment and surrender of the class at the location specified by the Securities Administrator in the notice to certificateholders of the final distribution. REGISTRATION OF THE BOOK-ENTRY CERTIFICATES DTC is a limited-purpose trust company organized under the laws of the State of New York, a member of the Federal Reserve System, a "clearing corporation" within the meaning of the New York Uniform Commercial Code, and a "clearing agency" registered pursuant to the provisions of Section 17A of the Exchange Act. DTC was created to hold securities for its participants and to facilitate the clearance and settlement of securities transactions between participants through electronic book entries, thereby eliminating the need for physical movement of certificates. Certificate Owners that are not participants or indirect participants but desire to purchase, sell or otherwise transfer ownership of, or other interests in, the Book-Entry Certificates may do so only through participants and indirect participants. In addition, Certificate Owners will receive all distributions of principal of and interest on the Book-Entry Certificates from the Securities Administrator on behalf of the Trustee through DTC and DTC participants. Accordingly, Certificate Owners may experience delays in their receipt of payments. Unless and until definitive certificates are issued, it is anticipated that the only certificateholders of the Book-Entry Certificates will be Cede & Co., as nominee of DTC. Certificate Owners will not be recognized by the Trustee or the Securities Administrator as certificateholders, as such term is used in the Agreement and Certificate Owners will be permitted to exercise the rights of certificateholders only indirectly through DTC and its participants. Under the Rules, DTC is required to make book-entry transfers of Book-Entry Certificates among participants and to receive and transmit distributions of principal of, and interest on, the Book-Entry Certificates. Participants and indirect participants with which Certificate Owners have accounts with respect to the Book-Entry Certificates similarly are required to make book-entry transfers and receive and transmit these payments on behalf of their respective Certificate Owners. Accordingly, although Certificate Owners will not possess definitive certificates, the Rules provide a mechanism by which Certificate Owners, through their participants and indirect participants, will receive payments and will be able to transfer their interest in the Book-Entry Certificates. S-127
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Because DTC can only act on behalf of participants, who in turn act on behalf of indirect participants and on behalf of certain banks, the ability of a Certificate Owner to pledge Book-Entry Certificates to persons or entities that do not participate in the DTC system, or to otherwise act with respect to Book-Entry Certificates, may be limited due to the absence of physical certificates for the Book-Entry Certificates. In addition, under a book-entry format, Certificate Owners may experience delays in their receipt of payments since distribution will be made by the Securities Administrator on behalf of the Trustee to Cede & Co., as nominee for DTC. Under the Rules, DTC will take action permitted to be taken by a certificateholders under the Agreement only at the direction of one or more participants to whose DTC account the Book-Entry Certificates are credited. Additionally, under the Rules, DTC will take actions with respect to specified Voting Rights only at the direction of and on behalf of participants whose holdings of Book-Entry Certificates evidence these specified Voting Rights. DTC may take conflicting actions with respect to Voting Rights, to the extent that participants whose holdings of Book-Entry Certificates evidence Voting Rights, authorize divergent action. The company, the Master Servicer, the Securities Administrator and the Trustee will have no liability for any aspect of the records relating to or payments made on account of beneficial ownership interests in the Book-Entry Certificates held by Cede & Co., as nominee for DTC, or for maintaining, supervising or reviewing any records relating to beneficial ownership interests. DEFINITIVE CERTIFICATES Definitive certificates will be issued to Certificate Owners or their nominees, respectively, rather than to DTC or its nominee, only if (1) the company advises the Securities Administrator in writing that DTC is no longer willing or able to discharge properly its responsibilities as clearing agency with respect to the Book- Entry Certificates and the company is unable to locate a qualified successor, (2) the company, at its option, elects to terminate the book-entry system through DTC, or (3) after the occurrence of an Event of Default, Certificate Owners representing in the aggregate not less than 51% of the Voting Rights of the Book-Entry Certificates advise the Securities Administrator and DTC through participants, in writing, that the continuation of a book-entry system through DTC (or a successor thereto) is no longer in the Certificate Owners' best interest. Upon the occurrence of any event described in the immediately preceding paragraph, the Securities Administrator is required to notify all Certificate Owners through participants of the availability of definitive certificates. Upon surrender by DTC of the definitive certificates representing the Book-Entry Certificates and receipt of instructions for re-registration, the Securities Administrator on behalf of the Trustee will reissue the Book-Entry Certificates as definitive certificates issued in the respective principal amounts owned by individual Certificate Owners, and thereafter the Trustee and the Securities Administrator will recognize the holders of definitive certificates as certificateholders under the Agreement. Definitive certificates will be issued in minimum denominations of $25,000, except that any beneficial ownership represented by a Book- Entry Certificate in an amount less than $25,000 immediately prior to the issuance of a definitive certificate shall be issued in a minimum denomination equal to the amount of the beneficial ownership. CALCULATION OF ONE-MONTH LIBOR FOR THE OFFERED CERTIFICATES On each LIBOR Determination Date, the Securities Administrator will determine One-Month LIBOR for the next Accrual Period for the Offered Certificates on the basis of the offered rates of the Reference Banks for one-month United States dollar deposits, as such rate appears on the Telerate Screen Page 3750, as of 11:00 a.m. (London time) on such LIBOR Determination Date. S-128
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On each LIBOR Determination Date, if the rate does not appear or is not available on Telerate Screen Page 3750, One-Month LIBOR for the related Accrual Period for the Offered Certificates will be established by the Securities Administrator as follows: (a) If on such LIBOR Determination Date two or more Reference Banks provide such offered quotations, One-Month LIBOR for the related Accrual Period shall be the arithmetic mean of such offered quotations (rounded upwards if necessary to the nearest whole multiple of 0.0625%). (b) If on such LIBOR Determination Date fewer than two Reference Banks provide such offered quotations, One-Month LIBOR for the related Accrual Period shall be the higher of (x) One- Month LIBOR as determined on the previous LIBOR Determination Date and (y) the Reserve Interest Rate. The establishment of One-Month LIBOR on each LIBOR Determination Date by the Securities Administrator and the Securities Administrator's calculation of the rate of interest applicable to the Offered Certificates for the related Accrual Period shall (in the absence of manifest error) be final and binding. ALLOCATION OF AVAILABLE FUNDS Distributions to holders of each class of Offered Certificates will be made on each distribution date from the Available Distribution Amount. INTEREST DISTRIBUTIONS ON THE OFFERED CERTIFICATES On each distribution date the Securities Administrator shall withdraw from the Certificate Account that portion of the Available Distribution Amount for such distribution date consisting of the Interest Remittance Amount for such distribution date, and make the following disbursements and transfers in the order of priority described below, in each case to the extent of the Interest Remittance Amount remaining for such distribution date. (i) (a) from the Interest Remittance Amount in respect of the Group 1 Loans (and after the distribution of the Interest Remittance Amount in respect of the Group 2 Loans as provided in clause (b) below, from the Interest Remittance Amount in respect of the Group 2 Loans), concurrently to the holders of the Class 1-A-1, Class 1-A-2, Class 1-A-3, Class 1-A-4 and Class 1-A-5 Certificates, the related Monthly Interest Distributable Amount and any Unpaid Interest Shortfall Amount for each such class for such distribution date, and (b) from the Interest Remittance Amount in respect of the Group 2 Loans (and after the distribution of the Interest Remittance Amount in respect of the Group 1 Loans as provided in clause (a) above, from the Interest Remittance Amount in respect of the Group 1 Loans), concurrently to the holders of the Class 2-A-1 Certificates and Class 2-A-2 Certificates, the related Monthly Interest Distributable Amount and any Unpaid Interest Shortfall Amount for each such class for such distribution date; (ii) from the remaining Interest Remittance Amount, to the Class M-1 Certificates, the related Monthly Interest Distributable Amount for such class for such distribution date; (iii) from the remaining Interest Remittance Amount, to the Class M-2 Certificates, the related Monthly Interest Distributable Amount for such class for such distribution date; (iv) from the remaining Interest Remittance Amount, to the Class M-3 Certificates, the related Monthly Interest Distributable Amount for such class for such distribution date; (v) from the remaining Interest Remittance Amount, to the Class M-4 Certificates, the related S-129
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Monthly Interest Distributable Amount for such class for such distribution date; (vi) from the remaining Interest Remittance Amount, to the Class M-5 Certificates, the related Monthly Interest Distributable Amount for such class for such distribution date; and (vii) from the remaining Interest Remittance Amount, to the Class B Certificates, the related Monthly Interest Distributable Amount for such class for such distribution date. On any distribution date, any shortfalls resulting from the application of the Relief Act and any Prepayment Interest Shortfalls to the extent not covered by Compensating Interest paid by the related Subservicer or the Master Servicer will be allocated, first, in reduction of amounts otherwise distributable to the Class C, Class R and Class R-X Certificates, and thereafter, to the Monthly Interest Distributable Amounts with respect to the Offered Certificates on a pro rata basis based on the respective amounts of interest accrued on such certificates for such distribution date. The holders of the Offered Certificates will not be entitled to reimbursement for any such interest shortfalls. Unpaid Interest Shortfalls Amounts allocated to the certificates shall only be reimbursed as described in "--Overcollateralization Provisions" below. In addition, during the Funding Period, amounts on deposit in the Pre-Funding Accounts will earn a limited amount of interest which will primarily be available to the Certificateholders. The interest earned will be significantly less than interest generated by the mortgage loans in the trust. Any such shortfalls will be covered by the Interest Coverage Accounts as described in "-- Interest Coverage Accounts" below, but will not be covered by the Certificate Guaranty Insurance Policy or by any other third-party. PRINCIPAL DISTRIBUTIONS ON THE OFFERED CERTIFICATES Except as provided below, on each distribution date (a) prior to the Stepdown Date or (b) on or after the Stepdown Date if a Trigger Event is in effect, the holders of each class of Offered Certificates shall be entitled to receive distributions in respect of principal to the extent of the Principal Distribution Amount in the following amounts and order of priority: (i) first, concurrently (a) to the holders of the Class 1-A-1, Class 1-A-2, Class 1-A-3, Class 1-A-4 and Class 1-A-5 Certificates, the Principal Distribution Amount for Loan Group 1 (allocated among such Class 1-A Certificates in the priority described below) and (b) to the holders of the Class 2-A-1 Certificates and Class 2-A-2 Certificates, the Principal Distribution Amount for Loan Group 2 (allocated among such Class 2-A Certificates in the priority described below), in each case until the Certificate Principal Balances thereof have been reduced to zero; provided, that if on any distribution date, the Class 1-A Certificates or Class 2-A Certificates are no longer outstanding, the related portion of the Principal Distribution Amount will be allocated to the Class 2-A Certificates and Class 1-A Certificates, respectively, in the order described above, in each case until the Certificate Principal Balances thereof have been reduced to zero; and (ii) second, from the remaining Principal Distribution Amount for both Loan Groups, sequentially to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and Class B Certificates, in each case until the Certificate Principal Balance thereof has been reduced to zero. Except as provided below, on each distribution date (a) on or after the Stepdown Date and (b) on which a Trigger Event is not in effect, the holders of each class of Offered Certificates shall be entitled to receive distributions in respect of principal to the extent of the Principal Distribution Amount in the following amounts and order of priority: (i) first, concurrently (a) to the holders of the Class 1-A-1, Class 1-A-2, Class 1-A-3, Class 1-A-4 and Class 1-A-5 Certificates, the Class 1-A Principal Distribution Amount (allocated among such Class 1-A S-130
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Certificates in the priority described below) and (b) to the holders of the Class 2-A-1 Certificates and Class 2-A-2 Certificates, the Class 2-A Principal Distribution Amount (allocated among such Class 2-A Certificates in the priority described below), in each case until the Certificate Principal Balances thereof have been reduced to zero; provided, however, that (x) after the Certificate Principal Balance of the Class 1-A Certificates has been reduced to zero, the remaining Class 1-A Principal Distribution Amount will be applied to the Class 2-A Certificates until the Certificate Principal Balance thereof is reduced to zero and (y) after the Certificate Principal Balance of the Class 2-A Certificates has been reduced to zero, the remaining Class 2-A Principal Distribution Amount will be applied to the Class 1-A Certificates until the Certificate Principal Balance thereof is reduced to zero; (ii) to the Class M-1 Certificates, the Class M-1 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (iii) to the Class M-2 Certificates, the Class M-2 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (iv) to the Class M-3 Certificates, the Class M-3 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (v) to the Class M-4 Certificates, the Class M-4 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; (vi) to the Class M-5 Certificates, the Class M-5 Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero; and (vii) to the Class B Certificates, the Class B Principal Distribution Amount, until the Certificate Principal Balance thereof has been reduced to zero. With respect to the Class 1-A Certificates, all principal distributions will be distributed concurrently (a) to the holders of the Class 1-A-1, Class 1-A-2 and Class 1-A-3 Certificates, sequentially, and (b) to the holders of the Class 1-A-4 Certificates and Class 1-A-5 Certificates, pro rata. With respect to the Class 2-A Certificates, all principal distributions will be distributed pro rata to the holders of the Class 2-A-1 Certificates and Class 2-A-2 Certificates. Notwithstanding the foregoing, on any distribution date on which the aggregate Certificate Principal Balance of the Mezzanine Certificates and the Overcollateralized Amount have been reduced to zero, the Principal Distribution Amount will be paid to the Class A Certificates on a pro rata basis, based on the Certificate Principal Balances thereof, until reduced to zero. The allocation of distributions in respect of principal to the Class A Certificates on each distribution date (a) prior to the Stepdown Date or (b) on or after the Stepdown Date on which a Trigger Event has occurred, will have the effect of accelerating the amortization of the Class A Certificates while, in the absence of Realized Losses, increasing the respective percentage interest in the principal balance of the mortgage loans evidenced by the Mezzanine Certificates. Increasing the respective percentage interest in the trust of the Mezzanine Certificates relative to that of the Class A Certificates is intended to preserve the availability of the subordination provided by the Mezzanine Certificates. Payments made to the Class A Certificates with amounts from non-related Loan Groups are a type of credit enhancement, which has the effect of providing limited cross-collateralization among the Loan Groups. S-131
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CREDIT ENHANCEMENT The credit enhancement provided for the benefit of the holders of the Class A Certificates consists of subordination, the Certificate Guaranty Insurance Policy for the Class 2-A Certificates, as described below, excess interest, cross-collateralization and overcollateralization, as described under "--Overcollateralization Provisions" below and corridor contracts as described under "--Corridor Contracts" below. The rights of the holders of the Mezzanine Certificates and the Class C Certificates to receive distributions will be subordinated, to the extent described herein, to the rights of the holders of the Class A Certificates. The protection afforded to the holders of the Class A Certificates by means of the subordination of the Mezzanine Certificates and Class C Certificates will be accomplished by (i) the preferential right of the holders of the Class A Certificates to receive on any distribution date, prior to distributions on the Mezzanine Certificates and Class C Certificates, distributions in respect of interest and principal, subject to funds available for such distributions and (ii) if necessary, the right of the holders of the Class A Certificates to receive future distributions of amounts that would otherwise be payable to the holders of the Mezzanine Certificates and Class C Certificates. The rights of the holders of Mezzanine Certificates with higher payment priorities to receive distributions in respect of interest and principal will be senior to the rights of holders of Mezzanine Certificates with lower payment priorities and the rights of the holders of the Mezzanine Certificates to receive distributions will be senior to the rights of the holders of the Class C Certificates in respect of interest and principal, in each case to the extent described herein. The subordination feature is intended to enhance the likelihood of regular receipt by the holders of more senior certificates of distributions and to afford such holders protection against Realized Losses. OVERCOLLATERALIZATION PROVISIONS Interest collections on the mortgage loans in each Loan Group (including, during the Funding Period, interest contributed by the related Interest Coverage Account) are expected to be generated in excess of the fees and expenses payable by the trust and the amount of interest payable to the holders of the Offered Certificates. The Agreement requires that, on each distribution date, the Net Monthly Excess Cashflow, if any, be applied on such distribution date as follows: (i) to the extent of Net Monthly Excess Cashflow related to the Group 2 Loans, to pay the Certificate Insurer the aggregate of all payments made by the Certificate Insurer under the Certificate Guaranty Insurance Policy with respect to the Class 2-A Certificates; (ii) to the holders of the class or classes of Offered Certificates then entitled to receive distributions in respect of principal, in an amount equal to any Extra Principal Distribution Amount, payable to such holders as part of the Principal Distribution Amount as described under "--Allocation of Available Funds--Principal Distributions on the Offered Certificates" above; (iii) sequentially, to the holders of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and Class B Certificates, in that order, an amount equal to any related Unpaid Interest Shortfall Amount for such Mezzanine Certificates; (iv) first, to the Class 1-A-5 Certificates, any related Allocated Realized Loss Amount and second, S-132
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sequentially to the holders of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and Class B Certificates, an amount equal to any related Allocated Realized Loss Amount; (v) to the extent of Net Monthly Excess Cashflow related to the Group 1 Loans, to pay the Certificate Insurer the aggregate of all payments made by the Certificate Insurer under the Certificate Guaranty Insurance Policy with respect to the Class 2-A Certificates; (vi) to the Net WAC Shortfall Reserve Fund to pay the Offered Certificates, to the extent not covered by the related Corridor Contract, the related Net WAC Shortfall Amount, which shall be paid first, to the Class 1-A-1, Class 1-A-2, Class 1-A-3, Class 1-A-4, Class 1-A-5, Class 2-A-1 and Class 2-A-2 Certificates, pro rata, and second, sequentially to the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and Class B Certificates, in each case until the related Net WAC Shortfall Amount has been reduced to zero; and (vii) to the holders of the Class C Certificates as provided in the Agreement. DESCRIPTION OF THE CERTIFICATE GUARANTY INSURANCE POLICY On the Closing Date, the Certificate Insurer will issue the Certificate Guaranty Insurance Policy in favor of the Trustee on behalf of the Class 2-A Certificateholders. The Certificate Guaranty Insurance Policy will unconditionally and irrevocably guarantee certain payments on the Class 2-A Certificates. Provided that timely notice has been received by the Certificate Insurer, the Certificate Insurer will be required to forward the Class 2-A Insured Amount, if any, to the Securities Administrator, on behalf of the Trust by the related distribution date. For purposes of the foregoing, amounts in the Certificate Account available for interest payments on any distribution date shall be deemed to include all amounts in the Certificate Account for such distribution date available for payment on such distribution date. Notwithstanding the foregoing two sentences, the Certificate Insurer shall not be obligated to pay any Preference Amount in respect of principal (other than principal paid in connection with Realized Losses) except on the final scheduled distribution date or earlier termination of the trust pursuant to the terms of the Agreement. Prepayment Interest Shortfalls, Net WAC Shortfall Amounts and any Relief Act Shortfalls will not be covered by the Certificate Guaranty Insurance Policy. The Certificate Guaranty Insurance Policy also will not cover any shortfalls as a result of limited earnings in the or Group 2 Pre-Funding Account. Pursuant to the terms of the Agreement, draws under the Certificate Guaranty Insurance Policy in respect of any Insured Undercollateralization Amount with respect to the Class 2-A Certificates will be paid to the Class 2-A Certificateholders by the Securities Administrator as principal. In the absence of payments under the Certificate Guaranty Insurance Policy, Class 2-A Certificateholders will directly bear the credit risks associated with their investment to the extent such risks are not covered by overcollateralization or otherwise. IN THE EVENT THAT THE CERTIFICATE INSURER WERE TO BECOME INSOLVENT, ANY CLAIMS ARISING UNDER THE CERTIFICATE GUARANTY INSURANCE POLICY WOULD BE EXCLUDED FROM COVERAGE BY THE CALIFORNIA INSURANCE GUARANTY ASSOCIATION, ESTABLISHED PURSUANT TO THE LAWS OF THE STATE OF CALIFORNIA. THE CORRIDOR CONTRACTS On the Closing Date, the Corridor Contracts will be assigned to, or entered into by, the trust for the benefit of the holders of the Offered Certificates with the Corridor Contract Provider. The Corridor Contracts will contain Monthly Strike Rates and provide for the calculation of One-Month LIBOR. The Corridor Contracts consists of four cap contracts, where net payments will be made to the trust if One-Month LIBOR exceeds the related Monthly Strike Rate, but not greater than the Ceiling Rate. On any distribution date, any amounts from the related Corridor Contract not paid to the related Offered Certificates will be paid to the S-133
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Class C Certificates and will be not be available to make payments to the Offered Certificates on future distribution dates. Payments will be made with respect to the Corridor Contracts based on an effective notional balance in accordance with the schedule set forth in the Corridor Contracts. On each distribution date, the Securities Administrator will determine the total amount payable to the trust under the Corridor Contracts. The Securities Administrator will determine whether a net payment is due to the trust and will collect such payment. The Corridor Contracts will be governed by and construed in accordance with the laws of the State of New York. The obligations of the Corridor Contract Provider are limited to those specifically set forth in the Corridor Contracts. The Corridor Contract Provider, or the guarantor thereof making payments under the Corridor Contracts is, as of the Closing Date, rated at least "AA-" (or its equivalent) by two of S&P, Moody's or Fitch Ratings. The Monthly Strike Rates and the effective notional balances of the Class 1-A Corridor Contract will be determined in accordance with the following table: [Enlarge/Download Table] Distribution Date Effective Notional Balance ($) Monthly Strike Rate (%) Ceiling Rate (%) ----------------- ------------------------------ ----------------------- ---------------- September 25, 2004............ 1,527,552,000 6.275600 8.300000 October 25, 2004.............. 1,505,511,040 5.270830 8.297820 November 25, 2004............. 1,457,570,071 5.110290 8.294640 December 25, 2004............. 1,411,053,087 5.274040 8.286430 January 25, 2005.............. 1,365,917,994 5.114740 8.279590 February 25, 2005............. 1,322,124,023 5.140410 8.227690 March 25, 2005................ 1,279,634,348 5.678150 8.173920 April 25, 2005................ 1,238,408,214 5.153370 8.180960 May 25, 2005.................. 1,198,406,856 5.318200 8.175470 June 25, 2005................. 1,159,593,797 5.156380 8.179100 July 25, 2005................. 1,121,933,804 5.322830 8.174670 August 25, 2005............... 1,085,392,796 5.198740 8.149890 September 25, 2005............ 1,049,939,886 5.229770 8.130050 October 25, 2005.............. 1,015,541,429 5.397210 8.124750 November 25, 2005............. 982,165,079 5.232300 8.130760 December 25, 2005............. 949,780,519 5.399900 8.125280 January 25, 2006.............. 918,358,357 5.235810 8.131230 February 25, 2006............. 887,870,136 5.274040 8.101450 March 25, 2006................ 858,289,807 5.838220 8.055720 April 25, 2006................ 829,589,308 5.298340 8.079870 May 25, 2006.................. 801,741,914 5.467950 8.073630 June 25, 2006................. 774,722,317 5.450880 7.614310 July 25, 2006................. 748,587,154 5.784940 7.312500 S-134
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Distribution Date Effective Notional Balance ($) Monthly Strike Rate (%) Ceiling Rate (%) ----------------- ------------------------------ ----------------------- ---------------- August 25, 2006............... 723,276,295 6.133830 7.094280 September 25, 2006............ 698,731,812 6.284060 7.981420 October 25, 2006.............. 674,914,922 6.490050 7.935400 November 25, 2006............. 651,802,597 6.290490 7.980820 December 25, 2006............. 629,373,895 6.552990 7.962400 January 25, 2007.............. 607,610,897 6.401890 7.984640 February 25, 2007............. 586,496,232 6.571090 7.846380 March 25, 2007................ 566,011,513 7.311750 7.624390 April 25, 2007................ 546,133,098 6.629830 7.785420 May 25, 2007.................. 526,842,564 6.937690 7.735240 June 25, 2007................. 508,103,490 6.893990 7.616940 July 25, 2007................. 489,952,940 7.348450 7.513170 August 25, 2007............... 472,363,024 7.341520 7.341520 September 25, 2007............ 455,301,948 7.438420 8.165610 October 25, 2007.............. 455,301,948 7.679270 8.092830 November 25, 2007............. 455,301,948 7.440030 8.164310 December 25, 2007............. 442,474,011 7.720190 8.112110 January 25, 2008.............. 429,383,928 7.521560 8.149390 February 25, 2008............. 416,683,393 7.629390 7.956660 March 25, 2008................ 404,360,682 8.183600 8.183600 April 25, 2008................ 392,401,635 7.672990 7.892670 May 25, 2008.................. 380,795,313 7.948120 7.948120 June 25, 2008................. 369,537,277 7.742470 7.870920 July 25, 2008................. 358,611,185 8.025240 8.025240 August 25, 2008............... 348,009,350 7.843970 7.853340 September 25, 2008............ 337,720,824 7.869500 8.846520 October 25, 2008.............. 327,735,749 8.124180 8.764830 November 25, 2008............. 318,045,054 7.870370 8.846730 December 25, 2008............. 308,640,075 8.152280 8.792680 January 25, 2009.............. 299,512,409 7.926380 8.892630 February 25, 2009............. 290,654,099 8.008010 8.924080 March 25, 2009................ 282,057,526 8.879710 8.879710 April 25, 2009................ 273,714,528 8.045750 8.938070 May 25, 2009.................. 265,617,568 8.322130 8.782240 June 25, 2009................. 257,762,289 8.096560 8.895280 July 25, 2009................. 250,138,416 8.396560 8.819070 August 25, 2009............... 242,738,569 8.256360 8.896640 September 25, 2009............ 235,516,449 8.315860 9.846100 October 25, 2009.............. 228,486,947 8.586990 9.765090 November 25, 2009............. 221,665,461 8.318000 9.845150 December 25, 2009............. 215,046,373 8.605480 9.770880 S-135
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Distribution Date Effective Notional Balance ($) Monthly Strike Rate (%) Ceiling Rate (%) ----------------- ------------------------------ ----------------------- ---------------- January 25, 2010.............. 208,623,731 8.357780 9.870810 February 25, 2010............. 202,391,752 8.436450 9.917750 March 25, 2010................ 196,345,573 9.359770 9.696360 April 25, 2010................ 190,479,308 8.479630 9.944080 May 25, 2010.................. 184,787,200 8.768660 9.881900 June 25, 2010................. 179,264,077 8.531590 9.995140 July 25, 2010................. 173,904,966 8.836370 9.946910 August 25, 2010............... 168,705,033 8.604000 10.038490 September 25, 2010............ 163,660,098 8.616360 10.029130 October 25, 2010.............. 158,765,415 8.895320 9.953770 November 25, 2010............. 154,016,144 8.616690 10.027050 December 25, 2010............. 149,407,987 8.904280 9.960750 January 25, 2011.............. 144,936,758 8.639140 10.048300
After the distribution date in January 2011, the Class 1-A Corridor Contract will terminate without termination payments by either party. The Monthly Strike Rates and the effective notional balances of the Class 2-A Corridor Contract will be determined in accordance with the following table: [Enlarge/Download Table] Distribution Date Effective Notional Balance ($) Monthly Strike Rate (%) Ceiling Rate (%) ----------------- ------------------------------ ----------------------- ---------------- September 25, 2004........... 625,248,000 6.272410 8.304480 October 25, 2004............. 617,653,857 5.256660 8.303480 November 25, 2004............ 597,918,755 5.095490 8.301440 December 25, 2004............ 578,771,449 5.259450 8.295800 January 25, 2005............. 560,194,522 5.098910 8.293120 February 25, 2005............ 542,171,054 5.121050 8.253610 March 25, 2005............... 524,685,765 5.656620 8.216840 April 25, 2005............... 507,722,341 5.133260 8.222020 May 25, 2005................. 491,264,366 5.296790 8.218970 June 25, 2005................ 475,296,765 5.135560 8.221110 July 25, 2005................ 459,804,971 5.299060 8.219030 August 25, 2005.............. 444,774,820 5.170060 8.195120 September 25, 2005........... 430,193,459 5.193690 8.179050 October 25, 2005............. 416,047,315 5.359390 8.174560 November 25, 2005............ 402,322,822 5.195250 8.179130 December 25, 2005............ 389,007,413 5.361570 8.175290 January 25, 2006............. 376,088,931 5.197410 8.179890 February 25, 2006............ 363,555,579 5.229880 8.154090 March 25, 2006............... 351,396,513 5.784600 8.117800 April 25, 2006............... 339,600,443 5.250050 8.135320 May 25, 2006................. 328,156,135 5.417570 8.130450 S-136
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Distribution Date Effective Notional Balance ($) Monthly Strike Rate (%) Ceiling Rate (%) ----------------- ------------------------------ ----------------------- ---------------- June 25, 2006................ 317,053,105 5.280810 8.051290 July 25, 2006................ 306,287,541 5.811520 7.210610 August 25, 2006.............. 295,903,322 6.107990 6.947510 September 25, 2006........... 285,836,634 6.270480 7.814520 October 25, 2006............. 276,070,618 6.473190 7.763730 November 25, 2006............ 266,594,022 6.273590 7.814030 December 25, 2006............ 257,398,211 6.487010 7.772160 January 25, 2007............. 248,475,013 6.412600 7.786930 February 25, 2007............ 239,820,580 6.579610 7.652880 March 25, 2007............... 231,424,971 7.324240 7.406030 April 25, 2007............... 223,278,688 6.641000 7.588590 May 25, 2007................. 215,373,710 6.854820 7.531730 June 25, 2007................ 207,702,880 6.789250 7.407640 July 25, 2007................ 200,272,468 7.353720 7.353720 August 25, 2007.............. 193,076,558 7.417510 7.417510 September 25, 2007........... 186,099,724 7.515710 7.997870 October 25, 2007............. 186,099,724 7.757690 7.918210 November 25, 2007............ 186,099,724 7.513940 7.993470 December 25, 2007............ 180,900,726 7.774070 7.913700 January 25, 2008............. 175,547,726 7.613320 7.982670 February 25, 2008............ 170,354,392 7.743320 7.792020 March 25, 2008............... 165,316,220 8.307200 8.307200 April 25, 2008............... 160,426,804 7.788210 7.788210 May 25, 2008................. 155,681,566 8.039720 8.039720 June 25, 2008................ 151,076,259 7.808330 7.808330 July 25, 2008................ 146,606,765 8.125010 8.125010 August 25, 2008.............. 142,270,226 7.947090 7.947090 September 25, 2008........... 138,062,270 7.971480 8.713340 October 25, 2008............. 133,978,392 8.229240 8.626950 November 25, 2008............ 130,014,938 7.971920 8.713240 December 25, 2008............ 126,168,362 8.242320 8.640010 January 25, 2009............. 122,435,226 8.042930 8.770500 February 25, 2009............ 118,812,333 8.127050 8.775350 March 25, 2009............... 115,296,811 9.012780 9.012780 April 25, 2009............... 111,884,975 8.165490 8.783490 May 25, 2009................. 108,573,768 8.429610 8.699860 June 25, 2009................ 105,360,230 8.180800 8.798770 July 25, 2009................ 102,241,486 8.501210 8.757900 August 25, 2009.............. 99,214,560 8.316400 8.871040 September 25, 2009........... 96,262,184 8.375830 9.824940 October 25, 2009............. 93,388,585 8.648100 9.743940 S-137
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Distribution Date Effective Notional Balance ($) Monthly Strike Rate (%) Ceiling Rate (%) ----------------- ------------------------------ ----------------------- ---------------- November 25, 2009............ 90,600,201 8.377200 9.824750 December 25, 2009............ 87,894,550 8.655340 9.751100 January 25, 2010............. 85,269,187 8.427610 9.873760 February 25, 2010............ 82,721,754 8.503210 9.936180 March 25, 2010............... 80,250,090 9.434720 9.716890 April 25, 2010............... 77,851,984 8.546780 9.962490 May 25, 2010................. 75,525,073 8.823660 9.886540 June 25, 2010................ 73,267,248 8.564450 9.980110 July 25, 2010................ 71,076,466 8.896170 9.958340 August 25, 2010.............. 68,950,752 8.661580 10.062870 September 25, 2010........... 66,888,294 8.672720 10.055750 October 25, 2010............. 64,887,254 8.953560 9.982010 November 25, 2010............ 62,945,665 8.672770 10.055120 December 25, 2010............ 61,061,762 8.957520 9.985930 January 25, 2011............. 59,233,839 8.704490 10.086170
After the distribution date in January 2011, the Class 2-A Corridor Contract will terminate without termination payments by either party. The Monthly Strike Rates and the effective notional balances of the Class 2-A-1 Corridor Contract will be determined in accordance with the following table: [Enlarge/Download Table] Distribution Date Effective Notional Balance ($) Monthly Strike Rate (%) Ceiling Rate (%) ----------------- ------------------------------ ----------------------- ---------------- September 25, 2004........... 400,124,000 8.304480 12.284480 October 25, 2004............. 395,264,170 8.303480 10.253480 November 25, 2004............ 382,634,801 8.301440 10.251440 December 25, 2004............ 370,381,588 8.295800 10.245800 January 25, 2005............. 358,493,386 8.293120 10.243120 February 25, 2005............ 346,959,368 8.253610 10.203610 March 25, 2005............... 335,769,754 8.216840 10.166840 April 25, 2005............... 324,914,104 8.222020 10.172020 May 25, 2005................. 314,381,914 8.218970 10.168970 June 25, 2005................ 304,163,536 8.221110 10.171110 July 25, 2005................ 294,249,648 8.219030 10.169030 August 25, 2005.............. 284,631,187 8.195120 10.145120 September 25, 2005........... 275,299,925 8.179050 10.129050 October 25, 2005............. 266,247,179 8.174560 10.124560 November 25, 2005............ 257,464,265 8.179130 10.129130 December 25, 2005............ 248,943,143 8.175290 10.125290 January 25, 2006............. 240,676,032 8.179890 10.129890 February 25, 2006............ 232,655,382 8.154090 10.104090 S-138
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Distribution Date Effective Notional Balance ($) Monthly Strike Rate (%) Ceiling Rate (%) ----------------- ------------------------------ ----------------------- ---------------- March 25, 2006............... 224,874,255 8.117800 10.067800 April 25, 2006............... 217,325,426 8.135320 10.085320 May 25, 2006................. 210,001,704 8.130450 10.080450 June 25, 2006................ 202,896,381 8.051290 10.001290 July 25, 2006................ 196,007,018 7.210610 9.160610 August 25, 2006.............. 189,361,695 6.947510 8.897510 September 25, 2006........... 182,919,573 7.814520 8.764520 October 25, 2006............. 176,669,866 7.763730 8.713730 November 25, 2006............ 170,605,370 7.814030 8.764030 December 25, 2006............ 164,720,562 7.772160 8.722160 January 25, 2007............. 159,010,211 7.786930 8.736930 February 25, 2007............ 153,471,854 7.652880 8.602880 March 25, 2007............... 148,099,130 7.406030 8.356030 April 25, 2007............... 142,885,962 7.588590 8.538590 May 25, 2007................. 137,827,215 7.531730 8.481730 June 25, 2007................ 132,918,309 7.407640 8.357640 July 25, 2007................ 128,163,259 7.353720 8.263720 August 25, 2007.............. 123,558,276 7.417510 8.067510
After the distribution date in August 2007, the Class 2-A-1 Corridor Contract will terminate without termination payments by either party. The Monthly Strike Rates and the effective notional balances of the Mezzanine Corridor Contract will be determined in accordance with the following table: [Enlarge/Download Table] Distribution Date Effective Notional Balance ($) Monthly Strike Rate (%) Ceiling Rate (%) ----------------- ------------------------------ ----------------------- ---------------- September 25, 2004........... 147,200,000 6.293710 8.300000 October 25, 2004............. 147,200,000 5.285730 8.298150 November 25, 2004............ 147,200,000 5.124350 8.295300 December 25, 2004............ 147,200,000 5.288730 8.287750 January 25, 2005............. 147,200,000 5.128420 8.282120 February 25, 2005............ 147,200,000 5.153020 8.233780 March 25, 2005............... 147,200,000 5.691990 8.184700 April 25, 2005............... 147,200,000 5.165590 8.191270 May 25, 2005................. 147,200,000 5.330600 8.186390 June 25, 2005................ 147,200,000 5.168290 8.189580 July 25, 2005................ 147,200,000 5.334430 8.185730 August 25, 2005.............. 147,200,000 5.208260 8.161200 September 25, 2005........... 147,200,000 5.237090 8.142400 October 25, 2005............. 147,200,000 5.404560 8.137220 November 25, 2005............ 147,200,000 5.239220 8.142810 December 25, 2005............ 147,200,000 5.406970 8.137680 S-139
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Distribution Date Effective Notional Balance ($) Monthly Strike Rate (%) Ceiling Rate (%) ----------------- ------------------------------ ----------------------- ---------------- January 25, 2006............. 147,200,000 5.242210 8.143240 February 25, 2006............ 147,200,000 5.278710 8.114560 March 25, 2006............... 147,200,000 5.841940 8.071260 April 25, 2006............... 147,200,000 5.301670 8.093650 May 25, 2006................. 147,200,000 5.471180 8.087660 June 25, 2006................ 147,200,000 5.418690 7.738760 July 25, 2006................ 147,200,000 5.810370 7.280290 August 25, 2006.............. 147,200,000 6.143380 7.049030 September 25, 2006........... 147,200,000 6.297090 7.930250 October 25, 2006............. 147,200,000 6.502610 7.882660 November 25, 2006............ 147,200,000 6.302390 7.929510 December 25, 2006............ 147,200,000 6.551100 7.904090 January 25, 2007............. 147,200,000 6.421630 7.924180 February 25, 2007............ 147,200,000 6.590100 7.787040 March 25, 2007............... 147,200,000 7.333580 7.557390 April 25, 2007............... 147,200,000 6.649410 7.724910 May 25, 2007................. 147,200,000 6.930390 7.672570 June 25, 2007................ 147,200,000 6.879690 7.552600 July 25, 2007................ 147,200,000 7.366530 7.451260 August 25, 2007.............. 147,200,000 7.379500 7.379500 September 25, 2007........... 147,200,000 7.476660 8.113010 October 25, 2007............. 123,872,880 7.718870 8.038600 November 25, 2007............ 101,233,902 7.478280 8.111780 December 25, 2007............ 97,289,699 7.753390 8.051780 January 25, 2008............. 94,411,299 7.565180 8.098340 February 25, 2008............ 91,618,614 7.679440 7.906210 March 25, 2008............... 88,909,112 8.237620 8.237620 April 25, 2008............... 86,279,583 7.723420 7.840030 May 25, 2008................. 83,727,605 7.992260 7.992260 June 25, 2008................ 81,251,824 7.778570 7.830410 July 25, 2008................ 78,849,044 8.071740 8.071740 August 25, 2008.............. 76,517,622 7.890880 7.890880 September 25, 2008........... 74,255,165 7.916080 8.805210 October 25, 2008............. 72,059,433 8.172220 8.722060 November 25, 2008............ 69,928,438 7.916820 8.805330 December 25, 2008............ 67,860,276 8.195960 8.745620 January 25, 2009............. 65,853,099 7.977180 8.854520 February 25, 2009............ 63,905,166 8.059530 8.878250 March 25, 2009............... 62,014,839 8.937120 8.937120 April 25, 2009............... 60,148,324 8.097460 8.890530 May 25, 2009................. 58,367,576 8.370860 8.755570 S-140
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Distribution Date Effective Notional Balance ($) Monthly Strike Rate (%) Ceiling Rate (%) ----------------- ------------------------------ ----------------------- ---------------- June 25, 2009................ 56,639,786 8.137980 8.864600 July 25, 2009................ 54,962,904 8.444460 8.798550 August 25, 2009.............. 53,335,312 8.290760 8.886540 September 25, 2009........... 51,747,087 8.350240 9.837290 October 25, 2009............. 50,201,214 8.622270 9.756190 November 25, 2009............ 48,701,102 8.352160 9.836560 December 25, 2009............ 47,245,488 8.637500 9.762390 January 25, 2010............. 45,833,061 8.395020 9.868990 February 25, 2010............ 44,462,550 8.472800 9.920420 March 25, 2010............... 43,132,858 9.400310 9.699350 April 25, 2010............... 41,735,261 8.516090 9.946750 May 25, 2010................. 40,482,436 8.802160 9.880480 June 25, 2010................ 39,266,755 8.558100 9.988100 July 25, 2010................ 38,087,122 8.871260 9.947460 August 25, 2010.............. 36,942,475 8.637680 10.042880 September 25, 2010........... 35,831,876 8.649690 10.034180 October 25, 2010............. 34,754,297 8.929770 9.959210 November 25, 2010............ 33,708,677 8.649940 10.032520 December 25, 2010............ 32,694,072 8.937270 9.965300 January 25, 2011............. 31,709,561 8.675070 10.056610
After the distribution date in January 2011, the Mezzanine Corridor Contract will terminate without termination payments by either party. With respect to the Corridor Contracts, on each distribution date, the Corridor Contract Payment Amount with respect to such distribution date will be allocated to the Offered Certificates and the Class C Certificates in the following order of priority, in each case to the extent of amounts remaining: (i) in respect of amounts received from the Class 1-A Corridor Contract, to the holders of the Class 1-A-1, Class 1-A-2, Class 1-A-3, Class 1-A-4 and Class 1-A-5 Certificates, pro rata, based on any related Net WAC Shortfall Amount, an amount equal to any related Net WAC Shortfall Amount for such distribution date; (ii) in respect of amounts received from the Class 2-A Corridor Contract, to the holders of the Class 2-A-1 Certificates and Class 2-A-2 Certificates, pro rata, based on any related Net WAC Shortfall Amount, an amount equal to any related Net WAC Shortfall Amount for such distribution date; (iii) in respect of amounts received from the Class 2-A-1 Corridor Contract, to the holders of the Class 2-A-1 Certificates, an amount equal to any related Net WAC Shortfall Amount for such distribution date; (iv) in respect of amounts received from the Mezzanine Corridor Contract, to the holders of the Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and Class B Certificates, pro rata, based on any related Net WAC Shortfall Amount, an amount equal to any related Net WAC Shortfall Amount for such distribution date; and S-141
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(v) any remaining amounts to the holders of the Class C Certificates, the Seller or otherwise as provided in the Agreement. ALLOCATION OF LOSSES; SUBORDINATION Any Realized Losses on the mortgage loans will be allocated on any distribution date, first, to Net Monthly Excess Cashflow, through a distribution of the Extra Principal Distribution Amount for that distribution date, second, in reduction of the Overcollateralized Amount, which will also result in a reduction of the Certificate Principal Balance of the Class C Certificates, third, to the Class B Certificates, in reduction of the Certificate Principal Balance thereof, until reduced to zero, fourth, to the Class M-5 Certificates, in reduction of the Certificate Principal Balance thereof, until reduced to zero, fifth, to the Class M-4 Certificates, in reduction of the Certificate Principal Balance thereof, until reduced to zero, sixth, to the Class M-3 Certificates, in reduction of the Certificate Principal Balance thereof, until reduced to zero, seventh, to the Class M-2 Certificates, in reduction of the Certificate Principal Balance thereof, until reduced to zero, and eighth, to the Class M-1 Certificates, in reduction of the Certificate Principal Balance thereof, until reduced to zero. Thereafter, any Realized Losses on the Group 1 Loans will be allocated on any distribution date to the Class 1-A-5 Certificates, in reduction of the Certificate Principal Balance thereof, until reduced to zero. Any allocation of a Realized Loss to a certificate will be made by reducing the Certificate Principal Balance thereof by the amount so allocated as of the distribution date in the month following the calendar month in which such Realized Loss was incurred. The Agreement does not permit the allocation of Realized Losses to the Super Senior Certificates. Investors in the Super Senior Certificates should note that although Realized Losses cannot be allocated to the Super Senior Certificates, under certain loss scenarios there will not be enough principal and interest on the mortgage loans to pay the Super Senior Certificates all interest and principal amounts to which they are then entitled. The Securities Administrator, on behalf of Trustee will make a draw on the Policy to the extent that principal and interest payments on the Class 2-A Certificates cannot be made due to Realized Losses on the Group 2 Loans. Although Realized Losses may reduce the Certificate Principal Balances of the Class 1-A-5 Certificates and Mezzanine Certificates, Allocated Realized Loss Amounts may be paid to the holders of the Class 1-A-5 Certificates and Mezzanine Certificates from available Net Monthly Excess Cashflow, according to the priorities set forth under "--Overcollateralization Provisions" above. If, after taking into account Subsequent Recoveries, the amount of a Realized Loss is reduced, the amount of such Subsequent Recoveries will be applied to increase the Certificate Principal Balance of the class of Class 1-A-5 Certificates and Mezzanine Certificates with the highest payment priority to which Realized Losses have been allocated, but not by more than the amount of Realized Losses previously allocated to that class of certificates. The amount of any remaining Subsequent Recoveries will be applied to increase the Certificate Principal Balance of the class of certificates with the next highest payment priority, up to the amount of such Realized Losses previously allocated to that class of certificates, and so on. Holders of such certificates will not be entitled to any payment in respect of any Monthly Interest Distributable Amount on the amount of such increases for any Accrual Period preceding the Distribution Date on which such increase occurs. Any such increases shall be applied to the Certificate Principal Balance of each certificate of such class in accordance with its respective percentage interest. INTEREST COVERAGE ACCOUNTS On the Closing Date, the company will deliver to the Securities Administrator for deposit in the Group 1 Interest Coverage Account and Group 2 Interest Coverage Account, respectively, a cash amount as S-142
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specified in the Agreement. On each distribution date during the Funding Period and on the distribution date immediately following the termination of the Funding Period, funds on deposit in the Interest Coverage Accounts will be applied by the Securities Administrator, on behalf of the Trustee, to cover shortfalls in the amount of interest generated by the related assets in the trust attributable to the pre-funding feature. The Agreement permits funds in the Interest Coverage Accounts, to the extent that they will not be needed to fund any shortfall of the kind described above, to be released by the Securities Administrator, on behalf of the Trustee, to the company or its designee on the first distribution date following the termination of the Funding Period (after the distribution on the certificates to be made on such distribution date). The Interest Coverage Account will not be an asset of any REMIC. P&I ADVANCES Subject to the following limitations, the Master Servicer will be obligated to advance or cause to be advanced on or before each distribution date its own funds, advances made by a Subservicer or funds in the Certificate Account that are not included in the Available Distribution Amount for such distribution date, in an amount equal to the P&I Advances for such distribution date. P&I Advances are required to be made only to the extent they are deemed, in the good faith judgment of the Master Servicer, to be recoverable from related late collections, insurance proceeds or liquidation Proceeds. The purpose of making P&I Advances is to maintain a regular cash flow to the certificateholders, rather than to guarantee or insure against losses. The Master Servicer will not be required to make any P&I Advances with respect to reductions in the amount of the monthly payments due on the mortgage loans due to bankruptcy proceedings or the application of the Relief Act. All P&I Advances will be reimbursable to the Master Servicer from late collections, insurance proceeds and liquidation proceeds from the mortgage loan as to which the unreimbursed P&I Advance was made. In addition, any P&I Advances previously made in respect of any mortgage loan that are deemed by the Master Servicer to be nonrecoverable from related late collections, insurance proceeds or liquidation proceeds may be reimbursed to the Master Servicer out of any funds in the Certificate Account prior to the distributions on the certificates. In the event the Master Servicer fails in its obligation to make any such advance, the Trustee, as successor Master Servicer, will be obligated to make any such advance, to the extent required in the Agreement. POOLING AND SERVICING AGREEMENT GENERAL The certificates will be issued pursuant to the Agreement, a form of which is filed as an exhibit to the registration statement. A Current Report on Form 8-K relating to the certificates containing a copy of the Agreement as executed will be filed by the company with the Securities and Exchange Commission within fifteen days of the initial issuance of the certificates. The trust fund created under the Agreement will consist of the following: (1) the mortgage loans; (2) collections in respect of principal and interest on the mortgage loans received after the Cut-off Date (other than payments due on or before the Cut-off Date); (3) the amounts on deposit in any Certificate Account (as defined in the prospectus); (4) certain insurance policies maintained by the related mortgagors or by or on behalf of the Master Servicer or related subservicer in respect of the mortgage loans; (5) an assignment of the company's rights under the Mortgage Loan Purchase Agreement; (6) the Corridor Contracts; (7) the Pre-Funding Accounts and the Interest Coverage Accounts; (8) the Net WAC Shortfall Reserve Fund; (9) the Certificate Guaranty Insurance Policy and (10) proceeds of the foregoing. Reference is made to the prospectus for important information in addition to that set forth in this prospectus supplement regarding the trust fund, the terms and conditions of the Agreement and the Offered S-143
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Certificates. The Offered Certificates will be transferable and exchangeable at the office designated by the Securities Administrator for such purposes located in Minneapolis, Minnesota. The company will provide to prospective or actual certificateholders without charge, on written request, a copy (without exhibits) of the Agreement. Requests should be addressed to the Secretary, Impac Secured Assets Corp., 1401 Dove Street, Newport Beach, CA 92660 and its phone number is (949) 475-3600. ASSIGNMENT OF THE MORTGAGE LOANS The company will deliver to the Trustee with respect to each mortgage loan (1) the mortgage note endorsed without recourse to the Trustee to reflect the transfer of the mortgage loan, (2) the original mortgage with evidence of recording indicated thereon and (3) an assignment of the mortgage in recordable form to the Trustee, reflecting the transfer of the mortgage loan. THE SECURITIES ADMINISTRATOR Wells Fargo Bank, N.A., a national banking association organized and existing under the laws of the United States, will be the Securities Administrator under the Agreement. The address of the Securities Administrator for the purpose of notices and other matters shall be the corporate trust office of the Securities Administrator at which at any particular time its corporate trust business with respect to this Agreement shall be administered, which office at the date of the execution of this Agreement is located at (i) for purposes of the transfer and exchange of the certificates, Sixth Street and Marquette Avenue, Minneapolis, Minnesota 55479-0113, Attention: Corporate Trust Services - Impac Secured Assets Corp. 2004-3, and (ii) for all other purposes, 9062 Old Annapolis Road, Columbia, Maryland 21045, Attention: Client Manager - Impac Secured Assets Corp. 2004-3, or such other address as the Securities Administrator may designate from time to time by notice to the Certificateholders, the company and the Master Servicer. The principal compensation to be paid to the Securities Administrator in respect of its obligations under the Agreement will be equal to interest or other income earned on funds held in the Certificate Account. The Securities Administrator and any director, officer, employee or agent of the Securities Administrator shall be indemnified and held harmless by the trust fund against any claim, loss, liability, fee or expense incurred in connection with any Event of Default, any breach of the Agreement or any claim or legal action (including any pending or threatened claim or legal action) relating to the acceptance or administration of its obligations and duties under the Agreement or the certificates, other than any claim, loss, liability or expense (i) sustained in connection with the Agreement related to the willful misfeasance, bad faith or negligence of the Master Servicer in the performance of its duties under the Agreement or (ii) incurred in connection with a breach constituting willful misfeasance, bad faith or negligence of the Securities Administrator in the performance of its duties under the Agreement or by reason of reckless disregard of its obligations and duties under the Agreement. The Securities Administrator will make no representation or warranty, express or implied, and will have no liability as to the validity, adequacy or accuracy of any of the information contained in this prospectus supplement. THE TRUSTEE Deutsche Bank National Trust Company will act as Trustee for the certificates pursuant to the Agreement. The Trustee's offices for notices under the Agreement are located at 1761 East St. Andrew Place, Santa Ana, California 92705, Attention: Impac Secured Assets Corp., Series 2004-3 (IM04S3). The principal compensation to be paid to the Trustee in respect of its obligations under the Agreement will be equal to an amount agreed to in a separate agreement. The Trustee and any director, officer, employee S-144
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or agent of the Trustee shall be indemnified and held harmless by the trust fund against any claim, loss, liability, fee or expense incurred in connection with any Event of Default, any breach of the Agreement or any claim or legal action (including any pending or threatened claim or legal action) relating to the acceptance or administration of its obligations and duties under the Agreement or the certificates, other than any claim, loss, liability or expense (i) sustained in connection with the Agreement related to the willful misfeasance, bad faith or negligence of the Master Servicer in the performance of its duties under the Agreement or (ii) incurred in connection with a breach constituting willful misfeasance, bad faith or negligence of the Trustee in the performance of its duties under the Agreement or by reason of reckless disregard of its obligations and duties under the Agreement. The Trustee will make no representation or warranty, express or implied, and will have no liability as to the validity, adequacy or accuracy of any of the information contained in this prospectus supplement. REPORTS TO CERTIFICATEHOLDERS On each distribution date, the Securities Administrator will make the monthly statements discussed in the prospectus under "Description of the Securities--Reports to Securityholders" through the Securities Administrator's website. Such website is currently located at www.ctslink.com. Assistance in using the website can currently be obtained by calling the Securities Administrator's investor relations desk at (301) 815-6660. Parties unable to use this distribution method may request that a paper copy be mailed to them via first class mail by calling the investor relations desk. The location of such web page and the procedures used therein are subject to change from time to time at the Securities Administrator's discretion. The Securities Administrator shall have the right to change the way monthly distribution statements are distributed in order to make such distribution more convenient and/or more accessible to interested parties and the Securities Administrator shall provide timely and adequate notification to all above parties regarding any such changes. The Securities Administrator shall be entitled to rely on but shall not be responsible for the content or accuracy of any information provided by third parties for purposes of preparing such monthly statements, and may affix thereto any disclaimer it deems appropriate in its reasonable discretion (without suggesting liability on the part of any other party hereto). As a condition to access the Securities Administrator's website, the Securities Administrator may require registration and the acceptance of a disclaimer. THE SUBSERVICERS Substantially all of the mortgage loans will be subserviced by Countrywide Home Loans Servicing LP and Wells Fargo Bank, N.A. Countrywide Home Loans Servicing LP is an approved mortgage loan servicer for Fannie Mae, Freddie Mac, Ginnie Mae, HUD and VA and is licensed to service mortgage loans in each state where a license is required. As of June 30, 2004, Countrywide Home Loans Servicing LP had a net worth of approximately $11.1 billion. The principal executive offices of Countrywide Home Loans Servicing LP are located at 7105 Corporate Drive, Plano, Texas 75024. Countrywide Home Loans Servicing LP is a Texas limited partnership directly owned by Countrywide GP, Inc. and Countrywide LP, Inc., each a Nevada corporation and a direct wholly owned subsidiary of Countrywide Home Loans, Inc., a New York corporation. Countrywide Home Loans, Inc., is a direct wholly owned subsidiary of Countrywide Financial Corporation, a Delaware corporation (formerly known as Countrywide Credit Industries, Inc.). Countrywide Home Loans Servicing LP is an affiliate of Countrywide Securities Corporation. Wells Fargo Bank, N.A. is an indirect, wholly owned subsidiary of Wells Fargo & Company. Wells Fargo Bank, N.A. is engaged in the business of (i) originating, purchasing and selling residential mortgage loans in its own name and through its affiliates and (ii) servicing residential mortgage loans for its own account and for the account of others. Wells Fargo Bank, N.A. is an approved servicer of Fannie Mae and S-145
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Freddie Mac. Wells Fargo Bank N.A.'s principal office for servicing functions is located at 1 Home Campus, Des Moines, Iowa 50328-0001. SERVICING AND OTHER COMPENSATION AND PAYMENT OF EXPENSES The principal compensation to be paid to the Master Servicer in respect of its master servicing activities for the mortgage loans will be equal to the Master Servicing Fee. The principal compensation to be paid to any subservicer of the mortgage loans will be equal to the Subservicing Fee. As additional servicing compensation, the Master Servicer or any subservicer is entitled to retain all assumption fees and late payment charges in respect of mortgage loans serviced by it, to the extent collected from mortgagors, together with any interest or other income earned on funds held in the Certificate Account and any escrow accounts in respect of mortgage loans serviced by it. Neither the Master Servicer nor any subservicer is entitled to retain any prepayment charges or penalties; prepayment charges will be distributed to the holders of the Class P Certificates. The Master Servicer is obligated to offset any Prepayment Interest Shortfall in respect of the mortgage loans on any distribution date with Compensating Interest to the extent of the sum of its aggregate Master Servicing Fee and the Subservicing Fee for such distribution date. The Master Servicer or the related subservicer is obligated to pay insurance premiums and ongoing expenses associated with the mortgage pool in respect of mortgage loans serviced by it and incurred by the Master Servicer or such subservicer in connection with its responsibilities under the Agreement or the related subservicing agreement. However, the Master Servicer or such subservicer is entitled to reimbursement therefor as provided in the Agreement or the related subservicing agreement. Each subservicer will be required to represent that it will accurately and fully report its borrower credit files to all three credit repositories in a timely manner. VOTING RIGHTS At all times 98% of all Voting Rights will be allocated among the holders of the Class A Certificates, the Mezzanine Certificates and the Class C Certificates in proportion to the then outstanding Certificate Principal Balances of their respective certificates. At all times 1% of all Voting Rights will be allocated to the holders of the Class P Certificates. At all times 1% of all Voting Rights will be allocated to the holders of the Class R Certificates and the Class R-X Certificates. However, unless an Insurer Default exists, on any date on which any Class 2-A Certificates are outstanding or any amounts are owed to the Certificate Insurer, the Certificate Insurer will have all rights, including all voting rights the Class 2-A Certificates are entitled to under the Agreement and the other transaction documents. The Voting Rights allocated to any class of certificates shall be allocated among all holders of the certificates of such class in proportion to the outstanding percentage interests in such class represented thereby. TERMINATION The circumstances under which the obligations created by the Agreement will terminate in respect of the certificates are described in "The Agreements--Termination; Retirement of Securities" in the prospectus. The Class C Certificateholder will have the option on any distribution date on which the aggregate Stated Principal Balance of the mortgage loans is less than or equal to 10% of the Cut-off Date Balance to purchase all remaining mortgage loans and other assets in the trust, thereby effecting early retirement of the certificates. To the extent that the Class C Certificateholder does not elect to exercise such option, Countrywide Home Loans LP will have the option on any distribution date on which the aggregate Stated Principal Balance of the mortgage loans is less than or equal to 5% of the Cut-off Date Balance to purchase all remaining mortgage loans and other assets in the trust, thereby effecting early retirement of the certificates. However, this option may only be exercised if the termination price is sufficient to pay all amounts owed to the Certificate Insurer under the certificate guaranty insurance policy. If such termination will result in a draw S-146
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on the Certificate Guaranty Insurance Policy, the consent of the Certificate Insurer will also be required prior to exercising such option. Any such purchase of mortgage loans and other assets of the trust fund shall be made at a price equal to the sum of (a) 100% of the unpaid principal balance of each mortgage loan (or the fair market value of the related underlying mortgaged properties with respect to defaulted mortgage loans as to which title to such mortgaged properties has been acquired if such fair market value is less than such unpaid principal balance) (net of any unreimbursed P&I Advance attributable to principal) as of the date of repurchase plus (b) accrued interest thereon at the mortgage rate to, but not including, the first day of the month in which such repurchase price is distributed. In the event the Master Servicer exercises this option, the portion of the purchase price allocable to the Offered Certificates will be, to the extent of available funds: (i) 100% of the then outstanding certificate principal balance of the Offered Certificates, plus (ii) one month's interest on the then outstanding Certificate Principal Balance of the Offered Certificates at the then applicable Pass-Through Rate for each class of Offered Certificates, plus (iii) any previously accrued but unpaid interest thereon to which the holders of the Offered Certificates are entitled. The proceeds of any such distribution may not be sufficient to distribute the full amount to each class of certificates if the purchase price is based in part on the fair market value of the underlying mortgaged property and such fair market value is less than 100% of the unpaid principal balance of the related mortgage loan. FEDERAL INCOME TAX CONSEQUENCES GENERAL Elections will be made to treat the trust fund, exclusive of the Corridor Contracts, the Pre-Funding Accounts, the Interest Coverage Accounts and the Net WAC Shortfall Reserve Fund, as two or more separate REMICs for federal income tax purposes. Upon the issuance of the Offered Certificates, Thacher Proffitt & Wood LLP, counsel to the company, will deliver its opinion generally to the effect that, assuming compliance with all provisions of the Agreement, for federal income tax purposes, the trust fund will consist of two or more separate REMICs, and each REMIC elected by the trust fund will qualify as a REMIC under Sections 860A through 860G of the Code. For federal income tax purposes, (i) the Class R Certificates and Class R-X Certificates will consist of components, each of which will represent the sole class of "residual interests" in each REMIC elected by the trust fund and (ii) except as described below with respect to the Net WAC Shortfall Reserve Fund, the Class A, Mezzanine, Class P and Class C Certificates will represent the "regular interests" in, and which generally will be treated as debt instruments of, a REMIC. SEE "FEDERAL INCOME TAX CONSEQUENCES--REMIC--CLASSIFICATION OF REMICS" IN THE PROSPECTUS. For federal income tax reporting purposes, based on expected issue prices, the Class 1-A-1, Class 1-A- 2 and Class 1-A-5 may, and all other classes of Offered Certificates will not, be treated as having been issued with original issue discount. The prepayment assumption that will be used in determining the rate of accrual of original issue discount, premium and market discount, if any, for federal income tax purposes will be based on the assumption that subsequent to the date of any determination the mortgage loans will prepay at 120% of the Prepayment Assumption. No representation is made that the mortgage loans will prepay at that rate S-147
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or at any other rate. SEE "FEDERAL INCOME TAX CONSEQUENCES--REMICS--TAXATION OF OWNERS OF REMIC REGULAR CERTIFICATES--ORIGINAL ISSUE DISCOUNT" IN THE PROSPECTUS. The IRS has issued OID Regulations under Sections 1271 to 1275 of the Code generally addressing the treatment of debt instruments issued with original issue discount. Purchasers of the Offered Certificates should be aware that the OID Regulations do not adequately address certain issues relevant to, or are not applicable to, prepayable securities such as the Offered Certificates. Because of the uncertainty concerning the application of Section 1272(a)(6) of the Code to the Offered Certificates, the IRS could assert that the Offered Certificates should be treated as issued with original issue discount or should be governed by the rules applicable to debt instruments having contingent payments or by some other method not yet set forth in regulations. Prospective purchasers of the Offered Certificates are advised to consult their tax advisors concerning the tax treatment of such certificates. If the method of computing original issue discount described in the prospectus results in a negative amount for any period with respect to any certificateholders, the amount of original issue discount allocable to such period would be zero, and such certificateholders will be permitted to offset such amounts only against the respective future income (if any) from such certificate. Although uncertain, a certificateholder may be permitted to deduct a loss to the extent that his or her respective remaining basis in such certificate exceeds the maximum amount of future payments to which such certificateholders is entitled, assuming no further prepayments of the mortgage loans. Although the matter is not free from doubt, any such loss might be treated as a capital loss. The OID Regulations in some circumstances permit the holder of a debt instrument to recognize original issue discount under a method that differs from that of the issuer. Accordingly, it is possible that holders of Offered Certificates issued with original issue discount may be able to select a method for recognizing original issue discount that differs from that used in preparing reports to certificateholders and the IRS. Prospective purchasers of Offered Certificates issued with original issue discount are advised to consult their tax advisors concerning the tax treatment of such certificates in this regard. Some classes of Offered Certificates may be treated for federal income tax purposes as having been issued with a premium. Certificateholders may elect to amortize such premium under a constant yield method in which case such amortizable premium will generally be allocated among the interest payments on such certificates and will be applied as an offset against such interest payments. SEE "FEDERAL INCOME TAX CONSEQUENCES-- REMICS--TAXATION OF OWNERS OF REMIC REGULAR CERTIFICATES--PREMIUM" IN THE PROSPECTUS. Each holder of an Offered Certificate is deemed to own an undivided beneficial ownership interest in two assets, a REMIC regular interest and the right to receive payments in respect of the Net WAC Shortfall Reserve Fund. The treatment of amounts received by a holder of an Offered Certificate under such certificateholder's right to receive the Net WAC Shortfall Amount will depend on the portion, if any, of such Certificateholder's purchase price allocable thereto. Under the REMIC Regulations, each holder of an Offered Certificate must allocate its purchase price for that certificate between its undivided interest in the REMIC regular interest and its undivided interest in the right to receive payments in respect of the Net WAC Shortfall Amount in accordance with the relative fair market values of each property right. The securities administrator intends to treat payments made to the holders of the Offered Certificates with respect to the Net WAC Shortfall Amount as includible in income based on the tax regulations relating to notional principal contracts. The OID Regulations provide that the trust's allocation of the issue price is binding on all holders unless the holder explicitly discloses on its tax return that its allocation is different from the trust's allocation. For tax reporting purposes, the Underwriters estimate that the right to receive Net WAC Shortfall Amounts has a DE MINIMIS value with respect to the other Offered Certificates entitled to receive Net WAC Shortfall Amounts. Under the REMIC Regulations, the securities administrator is required to account for the REMIC regular interest and the right to receive payments in respect of the Net WAC Shortfall Amount as discrete property S-148
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rights. Holders of the Offered Certificates are advised to consult their own tax advisors regarding the allocation of issue price, timing, character and source of income and deductions resulting from the ownership of their Certificates. Treasury regulations have been promulgated under section 1275 of the Code generally providing for the integration of a "qualifying debt instrument" with a hedge if the combined cash flows of the components are substantially equivalent to the cash flows on a variable rate debt instrument. However, such regulations specifically disallow integration of debt instruments subject to Section 1272(a)(6) of the Code. Therefore, holders of such Offered Certificates will be unable to use the integration method provided for under such regulations with respect to such certificates. If the securities administrator's treatment of the Net WAC Shortfall Amount is respected, ownership of the right to the Net WAC Shortfall Amount will nevertheless entitle the owner to amortize the separate price paid for the right to the Net WAC Shortfall Amount under the notional principal contract regulations. In the event that the right to receive the Net WAC Shortfall Amount is characterized as a "notional principal contract" for federal income tax purposes, upon the sale of an Offered Certificate, the amount of the sale allocated to the selling certificateholder's right to receive payments in respect of the Net WAC Shortfall Amount would be considered a "termination payment" under the notional principal contract regulations allocable to the related certificate. A holder of an Offered Certificate would have gain or loss from such a termination of the right to receive payments in respect of the Net WAC Shortfall Amount equal to (i) any termination payment it received or is deemed to have received minus (ii) the unamortized portion of any amount paid, or deemed paid, by the certificateholder upon entering into or acquiring its interest in the right to receive payments in respect of the Net WAC Shortfall Amount. Gain or loss realized upon the termination of the right to receive payments in respect of the Net WAC Shortfall Amount will generally be treated as capital gain or loss. Moreover, in the case of a bank or thrift institution, Code section 582(c) would likely not apply to treat such gain or loss as ordinary. With respect to the Offered Certificates, this paragraph applies exclusive of any rights in respect of the Net WAC Shortfall Amount. The Offered Certificates will be treated as assets described in Section 7701(a)(19)(C) of the Code and "real estate assets" under Section 856(c)(4)(A) of the Code, generally in the same proportion that the assets in the related trust fund would be so treated. In addition, interest on the Offered Certificates will be treated as "interest on obligations secured by mortgages on real property" under Section 856(c)(3)(B) of the Code, generally to the extent that the Offered Certificates are treated as "real estate assets" under Section 856(c)(4)(A) of the Code. Amounts held in the Pre-Funding Accounts and the Interest Coverage Accounts may not be treated as assets described in the foregoing sections of the Code. Moreover, the Offered Certificates also will be treated as "qualified mortgages" under Section 860G(a)(3) of the Code. SEE "POOLING AND SERVICING AGREEMENT--TERMINATION" HEREIN AND "CERTAIN FEDERAL INCOME TAX CONSEQUENCES--REMICS-- CHARACTERIZATION OF INVESTMENTS IN REMIC CERTIFICATES" IN THE PROSPECTUS. SEE "FEDERAL INCOME TAX CONSEQUENCES--REMICS--CHARACTERIZATION OF INVESTMENTS IN REMIC CERTIFICATES" IN THE PROSPECTUS. Each holder of an Offered Certificate is deemed to own an undivided beneficial ownership interest in a REMIC regular interest. Holders of the Offered Certificates are advised to consult their own tax advisors regarding the allocation of issue price, timing, character and source of income and deductions resulting from the ownership of their Certificates. Treasury regulations have been promulgated under section 1275 of the Code generally providing for the integration of a "qualifying debt instrument" with a hedge if the combined cash flows of the components are substantially equivalent to the cash flows on a variable rate debt instrument. However, such regulations specifically disallow integration of debt instruments subject to Section 1272(a)(6) of the Code. Therefore, holders of such Offered Certificates will be unable to use the integration method provided for under such regulations with respect to such certificates. S-149
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It is not anticipated that any REMIC elected by the trust will engage in any transactions that would subject it to the prohibited transactions tax as defined in Section 860F(a)(2) of the Code, the contributions tax as defined in Section 860G(d) of the Code or the tax on net income from foreclosure property as defined in Section 860G(c) of the Code. However, in the event that any such tax is imposed on any such REMIC, such tax will be borne (1) by the Trustee, if the Trustee has breached its obligations with respect to REMIC compliance under the Agreement, (2) by the Master Servicer, if the Master Servicer has breached its obligations with respect to REMIC compliance under the Agreement and (3) otherwise by the trust fund, with a resulting reduction in amounts otherwise distributable to holders of the Offered Certificates. See "Description of the Certificates--General" and "Federal Income Tax Consequences--REMICs--Prohibited Transactions Tax and Other Taxes" in the prospectus. The responsibility for filing annual federal information returns and other reports will be borne by the Securities Administrator. SEE "FEDERAL INCOME TAX CONSEQUENCES--REMICS--REPORTING AND OTHER ADMINISTRATIVE MATTERS" IN THE PROSPECTUS. FOR FURTHER INFORMATION REGARDING THE FEDERAL INCOME TAX CONSEQUENCES OF INVESTING IN THE OFFERED CERTIFICATES, SEE "FEDERAL INCOME TAX CONSEQUENCES--REMICS" IN THE PROSPECTUS. METHOD OF DISTRIBUTION Subject to the terms and conditions set forth in an underwriting agreement, dated August 30, 2004, the Underwriters have agreed to purchase and the company has agreed to sell to the Underwriters the Offered Certificates. It is expected that delivery of the Offered Certificates will be made only in book-entry form through the Same Day Funds Settlement System of DTC on or about August 31, 2004, against payment therefor in immediately available funds. The Offered Certificates will be purchased from the company by the Underwriters and will be offered by the Underwriters from time to time to the public in negotiated transactions or otherwise at varying prices to be determined at the time of sale. The proceeds to the company from the sale of the Offered Certificates are expected to be approximately 99.75% of the aggregate initial Certificate Principal Balance of the Offered Certificates, less expenses expected to equal approximately $900,000. The Underwriters may effect such transactions by selling the Offered Certificates to or through dealers, and such dealers may receive compensation in the form of underwriting discounts, concessions or commissions from the Underwriters. In connection with the sale of the Offered Certificates, the Underwriters may be deemed to have received compensation from the company in the form of underwriting compensation. The Underwriters and any dealers that participate with the Underwriters in the distribution of the Offered Certificates may be deemed to be underwriters and any profit on the resale of the Offered Certificates positioned by them may be deemed to be underwriting discounts and commissions under the Securities Act of 1933, as amended. The underwriting agreement provides that the company, the Seller and Impac Holdings will jointly and severally indemnify the Underwriters, and that under limited circumstances the Underwriters will indemnify the company, the Seller and Impac Holdings against certain civil liabilities under the Securities Act of 1933, as amended, or contribute to payments required to be made in respect thereof. Countrywide Securities Corporation is an affiliate of Countrywide Home Loans Servicing LP. S-150
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SECONDARY MARKET There can be no assurance that a secondary market for the Offered Certificates will develop or, if it does develop, that it will continue. The primary source of information available to investors concerning the Offered Certificates will be the monthly statements discussed in the prospectus under "Description of the Securities--Reports to Securityholders", which will include information as to the outstanding principal balance of the Offered Certificates and the status of the applicable form of credit enhancement. There can be no assurance that any additional information regarding the Offered Certificates will be available through any other source. In addition, the company is not aware of any source through which price information about the Offered Certificates will be generally available on an ongoing basis. The limited nature of information regarding the Offered Certificates may adversely affect the liquidity of the Offered Certificates, even if a secondary market for the Offered Certificates becomes available. EXPERTS The consolidated financial statements of Ambac Assurance Corporation and subsidiaries as of December 31, 2003 and 2002 and for each of the years in the three-year period ended December 31, 2003, are incorporated by reference in this prospectus supplement and in the registration statement in reliance upon the report of KPMG LLP, independent registered public accounting firm, incorporated by reference in this prospectus supplement and in the registration statement upon the authority of that firm as experts in accounting and auditing. The report of KPMG LLP refers to changes, in 2003, in Ambac Assurance Corporation's methods of accounting for variable interest entities and stock-based compensation. LEGAL OPINIONS Legal matters relating to the Offered Certificates will be passed upon for the company by Thacher Proffitt & Wood LLP, New York, New York and for the Underwriters by Sidley Austin Brown & Wood LLP, New York, New York. Sidley Austin Brown & Wood LLP represents Impac Holdings on certain matters from time to time. RATINGS It is a condition to the issuance of the certificates that the Class A Certificates be rated "AAA" by S&P and "Aaa" by Moody's, that the Class M-1 Certificates be rated at least "AA+" by S&P and "Aa1" by Moody's, that the Class M-2 Certificates be rated at least "AA+" by S&P and "Aa2" by Moody's, that the Class M-3 Certificates be rated at least "AA+" by S&P and "Aa3" by Moody's, that the Class M-4 Certificates be rated at least "AA" by S&P and "A1" by Moody's, that the Class M-5 Certificates be rated at least "AA" by S&P and "A2" by Moody's, and that the Class B Certificates be rated at least "A+" by S&P and "Baa1" by Moody's. The ratings of S&P and Moody's assigned to mortgage pass-through certificates address the likelihood of the receipt by certificateholders of all distributions to which the certificateholders are entitled. The rating process addresses structural and legal aspects associated with the certificates, including the nature of the underlying mortgage loans. The ratings assigned to mortgage pass-through certificates do not represent any assessment of the likelihood that principal prepayments will be made by the mortgagors or the degree to which the rate and timing principal prepayments will differ from that originally anticipated. The ratings do not address the possibility that certificateholders might suffer a lower than anticipated yield due to non-credit events. S-151
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In addition, the ratings by S&P and Moody's do not address the likelihood of the receipt of any amounts in respect of Net WAC Shortfall Amounts. A security rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time by the assigning rating organization. Each security rating should be evaluated independently of any other security rating. In the event that the ratings initially assigned to the Offered Certificates are subsequently lowered for any reason, no person or entity is obligated to provide any additional credit support or credit enhancement with respect to the Offered Certificates. The company has not requested that any rating agency rate any class of the Offered Certificates other than as stated above. However, there can be no assurance as to whether any other rating agency will rate any class of the Offered Certificates, or, if it does, what rating would be assigned by any other rating agency. A rating on any class of the Offered Certificates by another rating agency, if assigned at all, may be lower than the ratings assigned to the Offered Certificates as stated above. LEGAL INVESTMENT The Class A, Class M-1, Class M-2, Class M-3, Class M-4 and Class M-5 Certificates will constitute "mortgage related securities" for purposes of SMMEA for so long as they are rated not lower than the second highest rating category by a Rating Agency (as defined in the prospectus) and, as such, will be legal investments for entities to the extent provided in SMMEA. SMMEA, however, provides for state limitation on the authority of these entities to invest in "mortgage related securities" provided that restrictive legislation by the state was enacted prior to October 3, 1991. Some states have enacted legislation which overrides the preemption provisions of SMMEA. The Class B Certificates will not constitute "mortgage related securities" for purposes of SMMEA. The company makes no representations as to the proper characterization of any class of Offered Certificates for legal investment or other purposes, or as to the ability of particular investors to purchase any class of Offered Certificates under applicable legal investment restrictions. These uncertainties may adversely affect the liquidity of any class of Offered Certificates. Accordingly, all institutions whose investment activities are subject to legal investment laws and regulations, regulatory capital requirements or review by regulatory authorities should consult with their legal advisors in determining whether and to what extent any class of Offered Certificates constitutes a legal investment or is subject to investment, capital or other restrictions. SEE "LEGAL INVESTMENT" IN THE PROSPECTUS. ERISA CONSIDERATIONS A fiduciary of any Plan and any person investing Plan Assets of any Plan should carefully review with its legal advisors whether the purchase, sale or holding of certificates will give rise to a prohibited transaction under ERISA or Section 4975 of the Code. The U.S. Department of Labor has issued an Exemption, as described under "ERISA Considerations" in the prospectus, to the Underwriters. The Exemption generally exempts from the application of certain of the prohibited transaction provisions of Section 406 of ERISA, and the excise taxes imposed on such prohibited transactions by Section 4975(a) and (b) of the Code and Section 502(i) of ERISA, transactions relating to the purchase, sale and holding of pass-through certificates rated at least "BBB-" (or its equivalent) by S&P, Fitch Ratings or Moody's at the time of purchase and underwritten by the Underwriters, such as the S-152
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Offered Certificates, and the servicing and operation of asset pools, such as the mortgage loans, provided that the conditions of the Exemption are satisfied. The purchase of the Offered Certificates by, on behalf of or with the Plan Assets of any Plan may qualify for exemptive relief under the Exemption, as amended and as currently in effect. However, the Exemption contains a number of conditions which must be met for the Exemption, as amended, to apply (as described in the prospectus), including the requirement that any such Plan must be an "accredited investor" as defined in Rule 501(a)(1) of Regulation D of the Securities and Exchange Commission under the Securities Act of 1933, as amended. A fiduciary of a Plan contemplating purchasing an Offered Certificate must make its own determination that the conditions set forth in the Exemption, as amended, will be satisfied with respect to such certificates, including the requirement that the rating on a particular class of certificates be "BBB-" or higher at the time of purchase. Each beneficial owner of a Mezzanine Certificate or any interest therein shall be deemed to have represented, by virtue of its acquisition or holding of that certificate or interest therein, that either (i) it is not a Plan or investing with "Plan Assets", (ii) it has acquired and is holding such certificate in reliance on the Exemption, and that it understands that there are certain conditions to the availability of the Exemption, including that the certificate must be rated, at the time of purchase, not lower than "BBB-"(or its equivalent) by S&P, Fitch or Moody's Investors Service, Inc., and the certificate is so rated or (iii) (1) it is an insurance company, (2) the source of funds used to acquire or hold the certificate or interest therein is an "insurance company general account," as such term is defined in Prohibited Transaction Class Exemption ("PTCE") 95- 60, and (3) the conditions in Sections I and III of PTCE 95-60 have been satisfied. Any fiduciary or other investor of Plan Assets that proposes to acquire or hold an Offered Certificate on behalf of or with Plan Assets of any Plan should consult with its counsel with respect to the application of the fiduciary responsibility provisions of ERISA and the prohibited transaction provisions of the ERISA and the Code to the proposed investment. SEE "ERISA CONSIDERATIONS" IN THE PROSPECTUS. The sale of any class of Offered Certificates to a Plan is in no respect a representation by the company, the Trustee or the Underwriters that such an investment meets all relevant legal requirements with respect to investments by Plans generally or any particular Plan, or that such an investment is appropriate for Plans generally or any particular Plan. S-153
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GLOSSARY ACCRUAL PERIOD -- For any class of Offered Certificates, (i) with respect to the distribution date in September 2004, the period commencing on the closing date and ending on the day preceding the distribution date in September 2004, and (ii) with respect to any distribution date after the distribution date in September 2004, the period commencing on the distribution date in the month immediately preceding the month in which that distribution date occurs and ending on the day preceding that distribution date. AGREEMENT -- The pooling and servicing agreement, dated as of August 1, 2004, among Impac Secured Assets Corp., as company, Impac Funding Corporation, as master servicer, Deutsche Bank National Trust Company, as trustee, and Wells Fargo Bank, N.A., as securities administrator. ALLOCATED REALIZED LOSS AMOUNT -- With respect to any class of the Class 1-A-5 Certificates and Mezzanine Certificates and any distribution date, an amount equal to the sum of any Realized Loss allocated to that class of certificates on that distribution date and any Allocated Realized Loss Amount for that class remaining unpaid from any previous distribution date. ALLOWABLE CLAIM -- For any mortgage loan covered by a Primary Insurance Policy, the current principal balance of such mortgage loan plus accrued interest and allowable expenses at the time of the claim. APPRAISED VALUE -- The appraised value of the related mortgaged property at the time of origination of such mortgage loan. AVAILABLE DISTRIBUTION AMOUNT -- For any distribution date, an amount equal to the amount received by the Securities Administrator and available in the Certificate Account on that distribution date. The Available Distribution Amount will generally be equal to (a) the sum of (1) the aggregate amount of scheduled payments on the mortgage loans received or advanced that were due during the related Due Period, (2) any unscheduled payments and receipts, including mortgagor prepayments on such mortgage loans, Insurance Proceeds, Liquidation Proceeds and Subsequent Recoveries, received during the related Prepayment Period, in each case, net of amounts reimbursable therefrom to the Trustee, the Securities Administrator, the Master Servicer and any Subservicer, (3) any Compensating Interest paid by the Master Servicer in respect of the mortgage loans,(4) amounts transferred from the Interest Coverage Accounts and, at the end of the Funding Period, any excess amounts transferred from the Pre-Funding Accounts and (5) interest earned on amounts on deposit in the Pre-Funding Accounts and reduced by (b) Master Servicing Fees, Subservicing Fees, the fees of the Trustee, the fees to the Securities Administrator, any amounts in respect of the premiums payable to Radian under the Radian Lender-Paid PMI Policies and, with respect to such amounts related to the Group 2 Loans, the amount payable to the Certificate Insurer. The holders of the Class P Certificates will be entitled to all prepayment charges received on the mortgage loans and such amounts will not be available for distribution to the Offered Certificates. BASIC PRINCIPAL DISTRIBUTION AMOUNT -- With respect to any distribution date and each Loan Group, the related Principal Remittance Amount and, with respect to the Group 2 Loans, the Class 2-A Insured Amount, if any, for such distribution date. BOOK-ENTRY CERTIFICATES -- Each class of the Offered Certificates for so long as they are issued, maintained and transferred at the DTC. CERTIFICATE GUARANTY INSURANCE POLICY - The certificate guaranty insurance policy issued by the Certificate Insurer for the benefit of the Class 2-A Certificateholders. S-154
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CERTIFICATE MARGIN -- With respect to the Class 1-A-1, Class 1-A-2, Class 1-A-3, Class 1-A-4, Class 1-A-5, Class 2-A-1, Class 2-A-2, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and Class B Certificates, on any distribution date prior to the Step-Up Date, 0.200%, 0.350%, 0.530%, 0.400%, 0.470%, 0.320%, 0.320%, 0.600%, 0.650%, 0.700%, 1.150%, 1.250% and 1.850% per annum, respectively, and on any distribution date on and after the Step-Up Date, 0.400%, 0.700%, 1.060%, 0.800%, 0.940%, 0.640%, 0.640%, 0.900%, 0.975%, 1.050%, 1.725%, 1.875% and 2.775% per annum, respectively. CERTIFICATE PRINCIPAL BALANCE -- With respect to any Offered Certificate as of any date of determination, the initial Certificate Principal Balance thereof, increased by any Subsequent Recoveries allocated thereto, and reduced by the aggregate of (a) all amounts allocable to principal previously distributed with respect to such Offered Certificate and (b) in the case of any Class 1-A-5 Certificates and Mezzanine Certificates, any reductions in the Certificate Principal Balance thereof deemed to have occurred in connection with allocations of Realized Losses in the manner described herein. CLASS 1-A CORRIDOR CONTRACT -- The Corridor Contract between the trust and the Corridor Contract Provider for the benefit of the Class 1-A Certificates. CLASS 1-A NET WAC RATE -- With respect to the Class 1-A Certificates, a per annum rate equal to the weighted average of the Net Mortgage Rates of the Group 1 Loans as of the first day of the month preceding the month in which such distribution date occurs, multiplied by a fraction equal to (x) 30 divided by (y) the number of days in the related Accrual Period. CLASS 1-A PRINCIPAL DISTRIBUTION AMOUNT -- For any distribution date will equal the product of (x) the Class A Principal Distribution Target Amount and (y) a fraction, the numerator of which is the Class 1-A Principal Distribution Target Amount and the denominator of which is the sum of the Class 1-A Principal Distribution Target Amount and Class 2-A Principal Distribution Target Amount. CLASS 1-A PRINCIPAL DISTRIBUTION TARGET AMOUNT -- For any distribution date will equal the excess of: (1) the Certificate Principal Balance of the Class 1-A Certificates immediately prior to such distribution date, over (2) the lesser of (x) 86.50% of the sum of (i) aggregate Stated Principal Balance of the Group 1 Loans for such distribution date after giving effect to distributions to be made on that distribution date and (ii) the Group 1 Pre-Funded Amount and (y) the aggregate sum of (i) the Stated Principal Balance of the Group 1 Loans for such distribution date after giving effect to distributions to be made on that distribution date and (ii) the Group 1 Pre-Funded Amount minus 0.35% of the sum of (i) the aggregate Stated Principal Balance of the Group 1 Loans as of the Cut-off Date and (ii) the Group 1 Original Pre-Funded Amount. CLASS 2-A CORRIDOR CONTRACT -- The Corridor Contract between the trust and the Corridor Contract Provider for the benefit of the Class 2-A Certificates. CLASS 2-A-1 CORRIDOR CONTRACT -- The Corridor Contract between the trust and the Corridor Contract Provider for the benefit of the Class 2-A-1 Certificates. CLASS 2-A INSURED AMOUNT - Draws on the Certificate Guaranty Insurance Policy to cover related Deficiency Amounts and Preference Amounts on the Class 2-A Certificates. CLASS 2-A NET WAC RATE -- With respect to the Class 2-A Certificates, a per annum rate equal to (i) the weighted average of the Net Mortgage Rates of the Group 2 Loans as of the first day of the month preceding S-155
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the month in which such distribution date occurs, multiplied by a fraction equal to (x) 30 divided by (y) the number of days in the related Accrual Period, minus (ii) the Policy Premium Rate in respect of the Class 2-A Certificates. CLASS 2-A PRINCIPAL DISTRIBUTION AMOUNT -- For any distribution date will equal the product of (x) the Class A Principal Distribution Target Amount and (y) a fraction, the numerator of which is the Class 2-A Principal Distribution Target Amount and the denominator of which is the sum of the Class 1-A Principal Distribution Target Amount and Class 2-A Principal Distribution Target Amount. CLASS 2-A PRINCIPAL DISTRIBUTION TARGET AMOUNT -- For any distribution date will equal the excess of: (2) the Certificate Principal Balance of the Class 2-A Certificates immediately prior to such distribution date, over (2) the lesser of (x) 86.50% of the sum of (i) the aggregate Stated Principal Balance of the Group 2 Loans for such distribution date after giving effect to distributions to be made on that distribution date and (ii) the Group 2 Pre-Funded Amount and (y) the sum of (i) the aggregate Stated Principal Balance of the Group 2 Loans for such distribution date after giving effect to distributions to be made on that distribution date and (ii) the Group 2 Pre-Funded Amount minus 0.35% of (i) the aggregate Stated Principal Balance of the Group 2 Loans as of the Cut-off Date and (ii) the Group 2 Original Pre-Funded Amount. CLASS A CERTIFICATES -- The Class 1-A-1, Class 1-A-2, Class 1-A-3, Class 1-A-4, Class 1-A-5, Class 2-A-1 and Class 2-A-2 Certificates. CLASS A PRINCIPAL DISTRIBUTION TARGET AMOUNT -- For any distribution date will equal the excess of: (1) the sum of the Certificate Principal Balances of the Class 1-A Certificates and Class 2-A Certificates immediately prior to such distribution date, over (2) the lesser of (x) 86.50% of the sum of (i) the aggregate Stated Principal Balance of the mortgage loans for such distribution date after giving effect to distributions to be made on that distribution date and (ii) the Pre-Funded Amounts and (y) (i) the sum of (A) the aggregate Stated Principal Balance of the mortgage loans for such distribution date after giving effect to distributions to be made on that distribution date and (B) the Pre-Funded Amounts minus (ii) the Overcollateralization Floor. CLASS B PRINCIPAL DISTRIBUTION AMOUNT -- For any distribution date is the excess of: (1) the sum of: (a) the Certificate Principal Balances of the Class 1-A Certificates and Class 2-A Certificates (after taking into account distributions of the Class 1-A Principal Distribution Amount and Class 2-A Principal Distribution Amount for such distribution date); (b) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account distributions of the Class M-1 Principal Distribution Amount for such distribution date) immediately prior to such distribution date; S-156
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(c) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account distributions of the Class M-2 Principal Distribution Amount for such distribution date) immediately prior to such distribution date; (d) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account distributions of the Class M-3 Principal Distribution Amount for such distribution date) immediately prior to such distribution date; (e) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account distributions of the Class M-4 Principal Distribution Amount for such distribution date) immediately prior to such distribution date; (f) the Certificate Principal Balance of the Class M-5 Certificates (after taking into account distributions of the Class M-5 Principal Distribution Amount for such distribution date) immediately prior to such distribution date; and (g) the Certificate Principal Balance of the Class B Certificates immediately prior to such distribution date OVER (2) the lesser of (x) 99.30% of the sum of (i) the aggregate Stated Principal Balance of the mortgage loans for such distribution date after giving effect to distributions to be made on that distribution date and (ii) the Pre-Funded Amounts and (y)(i) the sum of (A) the aggregate Stated Principal Balance of the mortgage loans after giving effect to distributions to be made on that distribution date and (B) the Pre-Funded Amounts minus (ii) the Overcollateralization Floor; provided, however, that if the Class B Certificates are the only class of certificates outstanding on such distribution date they will be entitled to receive the entire Principal Distribution Amount until the Certificate Principal Balance thereof is reduced to zero. CLASS C CERTIFICATES -- The Class C Certificates. CLASS M-1 PRINCIPAL DISTRIBUTION AMOUNT -- For any distribution date is the excess of: (1) the sum of: (a) the Certificate Principal Balances of the Class 1-A Certificates and Class 2-A Certificates (after taking into account distributions of the Class 1-A Principal Distribution Amount and Class 2-A Principal Distribution Amount for such distribution date); and (b) the Certificate Principal Balance of the Class M-1 Certificates immediately prior to such distribution date OVER (2) the lesser of (x) 88.80% of the sum of (i) the aggregate Stated Principal Balance of the mortgage loans for such distribution date after giving effect to distributions to be made on that distribution date and (ii) the Pre-Funded Amounts and (y) (i) the sum of (A) the aggregate Stated Principal Balance of the mortgage loans after giving effect to distributions to be made on that distribution date and (B) the Pre-Funded Amounts minus (ii) the Overcollateralization Floor; S-157
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provided, however, that if the Class M-1 Certificates are the only class of certificates outstanding on such distribution date they will be entitled to receive the entire Principal Distribution Amount until the Certificate Principal Balance thereof is reduced to zero. CLASS M-2 PRINCIPAL DISTRIBUTION AMOUNT -- For any distribution date is the excess of: (1) the sum of: (a) the Certificate Principal Balances of the Class 1-A Certificates and Class 2-A Certificates (after taking into account distributions of the Class 1-A Principal Distribution Amount and Class 2-A Principal Distribution Amount for such distribution date); (b) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account distributions of the Class M-1 Principal Distribution Amount for such distribution date) immediately prior to such distribution date; and (c) the Certificate Principal Balance of the Class M-2 Certificates immediately prior to such distribution date OVER (2) the lesser of (x) 90.80% of the sum of (i) the aggregate Stated Principal Balance of the mortgage loans for such distribution date after giving effect to distributions to be made on that distribution date and (ii) the Pre-Funded Amounts and (y) (i) the sum of (A) the aggregate Stated Principal Balance of the mortgage loans after giving effect to distributions to be made on that distribution date and (B) the Pre-Funded Amounts minus (ii) the Overcollateralization Floor; provided, however, that if the Class M-2 Certificates are the only class of certificates outstanding on such distribution date they will be entitled to receive the entire Principal Distribution Amount until the Certificate Principal Balance thereof is reduced to zero. CLASS M-3 PRINCIPAL DISTRIBUTION AMOUNT -- For any distribution date is the excess of: (1) the sum of: (a) the Certificate Principal Balances of the Class 1-A Certificates and Class 2-A Certificates (after taking into account distributions of the Class 1-A Principal Distribution Amount and Class 2-A Principal Distribution Amount for such distribution date); (b) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account distributions of the Class M-1 Principal Distribution Amount for such distribution date) immediately prior to such distribution date; (c) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account distributions of the Class M-2 Principal Distribution Amount for such distribution date) immediately prior to such distribution date; and S-158
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(d) the Certificate Principal Balance of the Class M-3 Certificates immediately prior to such distribution date OVER (2) the lesser of (x) 92.80% of the sum of (i) the aggregate Stated Principal Balance of the mortgage loans for such distribution date after giving effect to distributions to be made on that distribution date and (ii) the Pre-Funded Amounts and (y) (i) the sum of (A) the aggregate Stated Principal Balance of the mortgage loans after giving effect to distributions to be made on that distribution date and (B) the Pre-Funded Amounts minus (ii) the Overcollateralization Floor; provided, however, that if the Class M-3 Certificates are the only class of certificates outstanding on such distribution date they will be entitled to receive the entire Principal Distribution Amount until the Certificate Principal Balance thereof is reduced to zero. CLASS M-4 PRINCIPAL DISTRIBUTION AMOUNT -- For any distribution date is the excess of: (1) the sum of: (a) the Certificate Principal Balances of the Class 1-A Certificates and Class 2-A Certificates (after taking into account distributions of the Class 1-A Principal Distribution Amount and Class 2-A Principal Distribution Amount for such distribution date); (b) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account distributions of the Class M-1 Principal Distribution Amount for such distribution date) immediately prior to such distribution date; (c) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account distributions of the Class M-2 Principal Distribution Amount for such distribution date) immediately prior to such distribution date; (d) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account distributions of the Class M-3 Principal Distribution Amount for such distribution date) immediately prior to such distribution date; and (e) the Certificate Principal Balance of the Class M-4 Certificates immediately prior to such distribution date OVER (2) the lesser of (x) 94.80% of the sum of (i) the aggregate Stated Principal Balance of the mortgage loans for such distribution date after giving effect to distributions to be made on that distribution date and (ii) the Pre-Funded Amounts and (y) (i) the sum of (A) the aggregate Stated Principal Balance of the mortgage loans after giving effect to distributions to be made on that distribution date and (B) the Pre-Funded Amounts minus (ii) the Overcollateralization Floor; provided, however, that if the Class M-4 Certificates are the only class of certificates outstanding on such distribution date they will be entitled to receive the entire Principal Distribution Amount until the Certificate Principal Balance thereof is reduced to zero. S-159
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CLASS M-5 PRINCIPAL DISTRIBUTION AMOUNT -- For any distribution date is the excess of: (1) the sum of: (a) the Certificate Principal Balances of the Class 1-A Certificates and Class 2-A Certificates (after taking into account distributions of the Class 1-A Principal Distribution Amount and Class 2-A Principal Distribution Amount for such distribution date); (b) the Certificate Principal Balance of the Class M-1 Certificates (after taking into account distributions of the Class M-1 Principal Distribution Amount for such distribution date) immediately prior to such distribution date; (c) the Certificate Principal Balance of the Class M-2 Certificates (after taking into account distributions of the Class M-2 Principal Distribution Amount for such distribution date) immediately prior to such distribution date; (d) the Certificate Principal Balance of the Class M-3 Certificates (after taking into account distributions of the Class M-3 Principal Distribution Amount for such distribution date) immediately prior to such distribution date; (e) the Certificate Principal Balance of the Class M-4 Certificates (after taking into account distributions of the Class M-4 Principal Distribution Amount for such distribution date) immediately prior to such distribution date; and (f) the Certificate Principal Balance of the Class M-5 Certificates immediately prior to such distribution date OVER (2) the lesser of (x) 96.80% of the sum of (i) the aggregate Stated Principal Balance of the mortgage loans for such distribution date after giving effect to distributions to be made on that distribution date and (ii) the Pre-Funded Amounts and (y) (i) the sum of (A) the aggregate Stated Principal Balance of the mortgage loans after giving effect to distributions to be made on that distribution date and (B) the Pre-Funded Amounts minus (ii) the Overcollateralization Floor; provided, however, that if the Class M-5 Certificates are the only class of certificates outstanding on such distribution date they will be entitled to receive the entire Principal Distribution Amount until the Certificate Principal Balance thereof is reduced to zero. CLASS P CERTIFICATES -- The Class P Certificates. CLASS R CERTIFICATES -- The Class R Certificates. CLASS R-X CERTIFICATES -- The Class R-X Certificates. CODE -- The Internal Revenue Code of 1986. COMPENSATING INTEREST -- Any payments made by the Subservicer or Master Servicer from its own funds to cover Prepayment Interest Shortfalls. S-160
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CORRIDOR CONTRACT -- Any of the Class 1-A Corridor Contract, Class 2-A Corridor Contract, Class 2-A-1 Corridor Contract or Mezzanine Corridor Contract. CORRIDOR CONTRACT PROVIDER -- Wachovia Bank, National Association. CORRIDOR CONTRACT PAYMENT AMOUNT -- With respect to any distribution date, the amount equal to the aggregate amount payable on that distribution date to the trust from the Corridor Contract Provider pursuant to the related Corridor Contract, as described in "Description of the Certificates--The Corridor Contracts" in this prospectus supplement. CPR -- A constant rate of prepayment on the mortgage loans. CREDIT ENHANCEMENT PERCENTAGE -- For any distribution date is the percentage equivalent of a fraction, the numerator of which is equal to (a) the excess of (i) the aggregate principal balance of the mortgage loans for the preceding distribution date over (ii) (1) before the Certificate Principal Balances of the Class A Certificates have been reduced to zero, the sum of the Certificate Principal Balances of the Class A Certificates, or (2) after such time, the Certificate Principal Balance of the most senior class of Mezzanine Certificates outstanding, as of the preceding distribution date, and the denominator of which is equal to (b) the aggregate principal balance of the mortgage loans, calculated after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period and distribution of the Principal Distribution Amount to the holders of the certificates then entitled to distributions of principal on the distribution date. CREDIT SCORE -- A measurement of the relative degree of risk a borrower represents to a lender obtained from credit reports utilizing, among other things, payment history, delinquencies on accounts, levels of outstanding indebtedness, length of credit history, types of credit, and bankruptcy experience. CUT-OFF DATE -- August 1, 2004. CUT-OFF DATE BALANCE -- The sum of (a) the aggregate Stated Principal Balance of the initial mortgage loans as of the Cut-off Date and (b) the Original Pre-Funded Amounts. DEFICIENCY AMOUNT - With respect to each distribution date prior to the final scheduled distribution date and the Class 2-A Certificates, an amount equal to the sum of (i) the excess, if any, of (a) the amount of any Monthly Interest Distributable Amount on the Class 2-A Certificates for that distribution date over (b) the related Available Distribution Amount for that distribution date, and (ii) the excess, if any of (a) the Certificate Principal Balance of the Class 2-A Certificates over (b) the sum of the aggregate Stated Principal Balance of the Group 2 Loans and the Group 2 Pre-Funded Amount, in each case immediately following such distribution date. With respect to the final scheduled distribution date and the Class 2-A Certificates, an amount equal to the sum of (i) the excess, if any, of (a) the amount of any Monthly Interest Distributable Amount on the Class 2-A Certificates for that distribution date over (b) the related Available Distribution Amount for that distribution date and (ii) the excess, if any, of the Certificate Principal Balance of all outstanding Class 2-A Certificates due on such final scheduled distribution date to the extent not paid from the related Available Distribution Amount on that distribution date. For the Class 2-A Certificates and any date on which the acceleration of the certificates has been directed or consented to by the Certificateholders pursuant to the Agreement, the amount required to pay the Certificate Principal Balance of the Class 2-A Certificates in full, together with accrued and unpaid interest thereon through the date of payment of the Class 2-A Certificates. S-161
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DETERMINATION DATE -- With respect to any distribution date is on the 15th day of the month in which such distribution date occurs or, if such day is not a business day, on the immediately preceding business day. DUE DATE -- With respect to each mortgage loan, the first day of the month. DUE PERIOD -- With respect to any distribution date commences on the second day of the month immediately preceding the month in which such distribution date occurs and ends on the first day of the month in which such distribution date occurs. ERISA -- The Employee Retirement Income Security Act of 1974, as amended. EXTRA PRINCIPAL DISTRIBUTION AMOUNT -- With respect to any distribution date and Loan Group, the lesser of (x) the Overcollateralization Deficiency Amount for such distribution date multiplied by a fraction, the numerator of which is the Principal Remittance Amount for such Loan Group and the denominator of which is the Principal Remittance Amount for both Loan Groups and (y) the Loan Group Excess Cashflow Allocation Amount for such distribution date available for payment thereof in the priority set forth in this prospectus supplement. EXEMPTION -- Prohibited Transaction Exemption 90-30, as amended. FINAL DISPOSITION -- With respect to a defaulted mortgage loan, when a determination is made by the Master Servicer that it has received all Insurance Proceeds, Liquidation Proceeds and other payments or cash recoveries which the Master Servicer reasonably and in good faith expects to be finally recoverable with respect to such mortgage loan. FUNDING PERIOD - The period from the Closing Date until the earlier of (i) the date on which the amount on deposit in the Pre-Funding Account is reduced to less than $10,000 or (ii) September 30, 2004. GROUP 1 INTEREST COVERAGE ACCOUNT -- A trust account that the Securities Administrator, on behalf of the Trustee, will establish for the benefit of the Certificateholders. GROUP 1 ORIGINAL PRE-FUNDED AMOUNT - The amount deposited in the Group 1 Pre-Funding Account on the Closing Date by the Securities Administrator. GROUP 1 PRE-FUNDED AMOUNT - The amount on deposit in the Group 1 Pre-Funding Account on any date of determination. GROUP 1 PRE-FUNDING ACCOUNT - An account established by the Securities Administrator for the benefit of the Certificateholders and funded on the Closing Date by the company with the Group 1 Original Pre-Funded Amount. GROUP 1 PRINCIPAL FRACTION -- With respect to any distribution date, a fraction equal to (x) the Principal Remittance Amount received from the Group 1 Loans for that distribution date over (y) the Principal Remittance Amount received from all of the mortgage loans for that distribution date. GROUP 2 INTEREST COVERAGE ACCOUNT -- A trust account that the Securities Administrator, on behalf of the Trustee, will establish for the benefit of the Certificateholders. GROUP 2 ORIGINAL PRE-FUNDED AMOUNT - The amount deposited in the Group 2 Pre-Funding Account on the Closing Date by the Securities Administrator. S-162
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GROUP 2 PRE-FUNDED AMOUNT - The amount on deposit in the Group 2 Pre-Funding Account on any date of determination. GROUP 2 PRE-FUNDING ACCOUNT - An account established by the Securities Administrator for the benefit of the Certificateholders and funded on the Closing Date by the company with the Group 2 Original Pre-Funded Amount. GROUP 2 PRINCIPAL FRACTION -- With respect to any distribution date, a fraction equal to (x) the Principal Remittance Amount received from the Group 2 Loans for that distribution date over (y) the Principal Remittance Amount received from all of the mortgage loans for that distribution date. IMPAC HOLDINGS -- Impac Mortgage Holdings, Inc., an affiliate of the company and the Seller. INSURED UNDERCOLLATERALIZATION AMOUNT - With respect to any distribution date and the Group 2 Loans, the amount by which the Certificate Principal Balance of the Class 2-A Certificates exceeds the aggregate Stated Principal Balance of the Group 2 Loans and the Group 2 Pre-Funded Amount immediately following distributions on that distribution date. INSURER DEFAULT - An insurer default will occur in the event the certificate insurer fails to make a payment under the Certificate Guaranty Insurance Policy or if certain events of bankruptcy or insolvency occur with respect to the certificate insurer. INTEREST COVERAGE ACCOUNT -- Either of the Group 1 Interest Coverage Account or Group 2 Interest Coverage Account. INTEREST REMITTANCE AMOUNT -- For any distribution date, that portion of the Available Distribution Amount for such distribution date that represents interest received or advanced on the mortgage loans. IRS -- The Internal Revenue Service. LIBOR BUSINESS DAY -- A day on which banks are open for dealing in foreign currency and exchange in London and New York City. LIBOR DETERMINATION DATE -- With respect to each distribution date, the second LIBOR Business Day immediately preceding the commencement of the related Accrual Period. LOAN GROUP EXCESS CASHFLOW ALLOCATION AMOUNT -- With respect to any distribution date and Loan Group, the product of Net Monthly Excess Cashflow for such distribution date multiplied by a fraction, the numerator of which is the Principal Remittance Amount for such Loan Group for such distribution date and the denominator of which is the sum of the Principal Remittance Amount for both Loan Groups. MASTER SERVICER -- Impac Funding Corporation, in its capacity as master servicer under the Agreement. MASTER SERVICING FEE -- With respect to each mortgage loan, an amount, payable out of any payment of interest on the mortgage loan, equal to interest at the Master Servicing Fee Rate on the Stated Principal Balance of such mortgage loan for the calendar month preceding the month in which the payment is due. The Master Servicing Fee consists of servicing compensation payable to the Master Servicer in respect of its master servicing responsibilities. MASTER SERVICING FEE RATE -- On each mortgage loan, a rate equal to 0.03% per annum. S-163
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MEZZANINE CERTIFICATES -- The Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and Class B Certificates. MEZZANINE CORRIDOR CONTRACT -- The Corridor Contract between the trust and the Corridor Contract Provider for the benefit of the Mezzanine Certificates. MEZZANINE NET WAC RATE -- With respect to the Mezzanine Certificates, a per annum rate equal to the weighted average (weighted in proportion to the results of subtracting from the aggregate principal balance of each Loan Group the aggregate Certificate Principal Balance of the related Class A Certificates) of (i) the weighted average of the net mortgage rates of the mortgage loans in loan group 1 and (ii) the weighted average of the net mortgage rates of the mortgage loans in loan group 2, in each case, as of the first day of the month preceding the month in which the distribution occurs. MONTHLY INTEREST DISTRIBUTABLE AMOUNT -- For any distribution date and each class of Offered Certificates, the amount of interest accrued during the related Accrual Period at the related Pass-Through Rate on the Certificate Principal Balance of such Class immediately prior to such distribution date, in each case, reduced by any Prepayment Interest Shortfalls to the extent not covered by Compensating Interest payable by the Subservicer or Master Servicer and any shortfalls resulting from the application of the Relief Act (in each case to the extent allocated to such class of Offered Certificates as described under "Description of the Certificates--Allocation of Available Funds--Interest Distributions on the Offered Certificates" in this prospectus supplement). The Monthly Interest Distributable Amount on the Offered Certificates will be calculated on the basis of the actual number of days in the related Accrual Period and a 360-day year. MONTHLY STRIKE RATE - With respect to the Corridor Contract, the fixed rate set forth in the Corridor Contract used to determine payments to the trust. MOODY'S -- Moody's Investors Service, Inc. MORTGAGE LOAN PURCHASE AGREEMENT -- The Mortgage Loan Purchase Agreement among the Seller, Impac Holdings and the company, whereby the mortgage loans are being sold to the company. NET MONTHLY EXCESS CASHFLOW -- For any distribution date, the excess of (x) the Available Distribution Amount and, with respect to the Group 2 Loans, the Class 2-A Insured Amount, if any, for such distribution date over (y) the sum for such distribution date of (A) the aggregate Monthly Interest Distributable Amount for the Offered Certificates and (B) the Principal Remittance Amount. NET MORTGAGE RATE -- On any mortgage loan, the then applicable mortgage rate thereon minus the sum of (1) the Master Servicing Fee Rate, (2) the Subservicing Fee Rate and (3) the related Radian PMI Rate, if such mortgage loan is a Radian PMI Insured Loan. NET WAC RATE -- Any of the Class 1-A Net WAC Rate, Class 2-A Net WAC Rate or the Mezzanine Net WAC Rate. NET WAC SHORTFALL AMOUNT -- If on any distribution date the pass-through rate for the Offered Certificates is limited to the related Net WAC Rate, the sum of (i) the excess of (a) the amount of interest such Offered Certificates would have been entitled to receive on such distribution date if the Net WAC Rate would not have been applicable to such certificates over (b) the amount of interest accrued on such classes at the applicable Net WAC Pass-Through Rate plus (ii) the related Net WAC Shortfall Amount from the prior distribution date not previously distributed together with interest thereon at the related pass-through rate for the most recently ended Accrual Period. S-164
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NET WAC SHORTFALL RESERVE FUND -- A reserve fund established by the Securities Administrator for the benefit of the holders of the Offered Certificates. OFFERED CERTIFICATES -- The Class A Certificates and the Mezzanine Certificates. OID REGULATIONS -- Treasury regulations under Sections 1271 to 1275 of the Code generally addressing the treatment of debt instruments issued with original issue discount. ONE-MONTH LIBOR -- The London interbank offered rate for one-month United States dollar deposits, determined as described in "Description of the Certificates--Calculation of One-Month LIBOR for the Offered Certificates" in this prospectus supplement. ORIGINAL PRE-FUNDED AMOUNT - Any of the Group 1 Original Pre-Funded Amount or Group 2 Original Pre- Funded Amount. OVERCOLLATERALIZATION DEFICIENCY AMOUNT -- With respect to any distribution date, the amount, if any, by which the Overcollateralization Target Amount exceeds the Overcollateralized Amount on such distribution date (after giving effect to distributions in respect of the Basic Principal Distribution Amount on such distribution date). OVERCOLLATERALIZATION FLOOR -- With respect to any distribution date, 0.35% of the Cut-off Date Balance. OVERCOLLATERALIZATION TARGET AMOUNT -- With respect to any distribution date prior to the distribution date occurring in February 2005, $0. With respect to any distribution date on or after the distribution date in February 2005, 0.35% of the Cut-off Date Balance. OVERCOLLATERALIZED AMOUNT -- For any distribution date, the amount, if any, by which (i) the aggregate principal balance of the mortgage loans (after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, unscheduled collections of principal received during the related Prepayment Period and any Realized Losses on the mortgage loans during the related Prepayment Period), plus the amount on deposit in the Pre-Funding Accounts, exceeds (ii) the aggregate Certificate Principal Balance of the Offered Certificates and the Class P Certificates as of such distribution date (after giving effect to distributions to be made on such distribution date). P&I ADVANCE -- The aggregate of all payments of principal and interest, net of the Master Servicing Fee and the Subservicing Fee, that were due during the related Due Period on the mortgage loans master serviced by it and that were delinquent on the related Determination Date. PASS-THROUGH RATE -- With respect to any distribution date and o the Class 1-A Certificates, the least of (x) One-Month LIBOR plus the related Certificate Margin, (y) the Class 1-A Net WAC Rate and (z) 11.25% per annum; o the Class 2-A Certificates, the least of (x) One-Month LIBOR plus the related Certificate Margin, (y) the Class 2-A Net WAC Rate and (z) 11.25% per annum; o the Mezzanine Certificates, the least of (x) One-Month LIBOR plus the related Certificate Margin, (y) the Mezzanine Net WAC Rate and (z) 11.25% per annum; PLAN -- Any employee benefit plan subject to ERISA and any plan or other arrangement described in Section 4975(e)(1) of the Code. S-165
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PLAN ASSETS -- The assets of a Plan as determined under Department of Labor regulation section 2510.3-101 or other applicable law. POLICY PREMIUM RATE - The rate per annum set forth in the Agreement. PREFERENCE AMOUNT - With respect to the Class 2-A Certificates, any amount previously distributed to a Class 2-A Certificateholder that is recoverable and sought to be recovered as a voidable preference by a trustee in bankruptcy pursuant to the United States Bankruptcy Code, as amended from time to time, in accordance with a final nonappealable order of a court having competent jurisdiction. PRE-FUNDED AMOUNT - Any of the Group 1 Pre-Funded Amount or Group 2 Pre-Funded Amount. PRE-FUNDING ACCOUNT - Any of the Group 1 Pre-Funding Account or Group 2 Pre-Funding Account. PREPAYMENT PERIOD -- With respect to any distribution date is the calendar month immediately preceding the month in which such distribution date occurs. PREPAYMENT ASSUMPTION -- A Prepayment Assumption of 100% assumes that the outstanding balance of a pool of mortgage loans prepays at a rate of 30% CPR. PRINCIPAL DISTRIBUTION AMOUNT -- For any distribution date and any Loan Group, the related Basic Principal Distribution Amount plus the related Extra Principal Distribution Amount. PRINCIPAL REMITTANCE AMOUNT -- For any distribution date and each Loan Group, the sum of (1) the principal portion of all scheduled monthly payments on the related mortgage loans due on the related Due Date, to the extent received or advanced; (2) the principal portion of all proceeds of the repurchase of a mortgage loan (or, in the case of a substitution, certain amounts representing a principal adjustment) in the related Loan Group as required by the Agreement during the preceding calendar month; (3) the principal portion of all other unscheduled collections received during the preceding calendar month, including full and partial prepayments, Liquidation Proceeds, Insurance Proceeds and Subsequent Recoveries, in each case to the extent applied as recoveries of principal with respect to the mortgage loans in the related Loan Group; (4) any amount remaining on deposit in the related Pre-Funding Accounts at the end of the Funding Period; and (5) with respect to the Group 2 Loans, any portion of any Class 2-A Insured Amount for such distribution date representing an Insured Undercollateralization Amount allocable to the Class 2-A Certificates. RADIAN -- Radian Guaranty, Inc., formerly known as Commonwealth Mortgage Assurance Company. RADIAN LENDER-PAID PMI POLICY -- A Primary Insurance Policy issued by Radian in accordance with a March 29, 2002 letter between the Seller and Radian. RADIAN PMI INSURED LOANS -- The mortgage loans covered by a Radian Lender-Paid PMI Policy. S-166
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RADIAN PMI RATE -- With respect to each Radian PMI Insured Loan, the per annum rate payable to Radian under the related Radian Lender-Paid PMI Policy. RATING AGENCIES -- S&P and Moody's. RECORD DATE -- For each distribution date and the Offered Certificates, so long as such certificates are Book- Entry Certificates, the business day prior to such distribution date. With respect to any Offered Certificates which are not Book-Entry Certificates, the close of business on the last business day of the month preceding the month in which such distribution date occurs. REFERENCE BANKS -- Leading banks selected by the Securities Administrator (after consultation with the Master Servicer)and engaged in transactions in Eurodollar deposits in the international Eurocurrency market (i) with an established place of business in London, (ii) whose quotations appear on the Telerate Screen Page 3750 on the applicable LIBOR Determination Date, (iii) which have been designated as such by the Securities Administrator (after consultation with the Master Servicer and the Certificate Insurer) and (iv) not controlling, controlled by, or under common control with, the company or the Seller. REMIC -- A real estate mortgage investment conduit within the meaning of Section 860D of the Code. REMIC REGULATIONS -- Treasury regulations under Sections 860A to 860G of the Code generally addressing the treatment of REMICs. RELIEF ACT SHORTFALL -- For any distribution date and any mortgage loan (other than a mortgage loan relating to an REO Property), any shortfalls relating to the Relief Act or similar legislation or regulations. RESERVE INTEREST RATE - With respect to any LIBOR Determination Date, the rate per annum that the Securities Administrator determines to be either (i) the arithmetic mean (rounded upwards if necessary to the nearest whole multiple of 0.0625%) of the one-month United States dollar lending rates which New York City banks selected by the Securities Administrator are quoting on the relevant LIBOR Determination Date to the principal London offices of leading banks in the London interbank market or (ii) in the event that the Securities Administrator can determine no such arithmetic mean, the lowest one-month United States dollar lending rate which New York City banks selected by the Securities Administrator are quoting on such LIBOR Determination Date to leading European banks. RULES -- The rules, regulations and procedures creating and affecting DTC and its operations. S&P -- Standard & Poor's, a division of The McGraw-Hill Companies, Inc. SECURITIES ADMINISTRATOR -- Wells Fargo Bank, N.A. SELLER -- Impac Funding Corporation, in its capacity as seller under the Mortgage Loan Purchase Agreement. STATED PRINCIPAL BALANCE -- With respect to any mortgage loan as of any date of determination, the principal balance thereof as of the Cut-off Date, after application of all scheduled principal payments due on or before the Cut-off Date, whether or not received, reduced by all amounts allocable to principal that have been distributed to certificateholders with respect to such mortgage loan on or before such date, and as further reduced to the extent that any Realized Loss thereon has been allocated to one or more classes of certificates on or before the date of determination. S-167
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STEP-UP DATE -- The first distribution date following the first month in which the aggregate unpaid principal balance of the mortgage loans, and properties acquired in respect thereof, remaining in the trust has been reduced to less than or equal to 10% of the Cut-off Date Balance. STEPDOWN DATE -- Is the earlier of (i) the first distribution date on which the certificate principal balances of the Class A Certificates have been reduced to zero and (ii) the later to occur of (x) the distribution date occurring in September 2007 and (y) the first distribution date on which the aggregate certificate principal balance of the Class A Certificates (calculated for this purpose only after taking into account the receipt of principal on the mortgage loans, but prior to any distribution of principal to the holders of the certificates) is less than or equal to approximately 86.50% of the aggregate principal balance of the mortgage loans, calculated after giving effect to scheduled payments of principal due during the related Due Period, to the extent received or advanced, and unscheduled collections of principal received during the related Prepayment Period. SUBSEQUENT CUT-OFF DATE - With respect to any subsequent mortgage loan, the date, as designated by the company, that is the later of (i) the first day of the month in which the related Subsequent Transfer Date occurs and (ii) the origination date of such subsequent mortgage loan, as the cut-off date with respect to the related subsequent mortgage loan. SUBSEQUENT RECOVERIES -- Any liquidation proceeds (net of amounts owed to the Master Servicer or any subservicer with respect to the related mortgage loan) received after the final liquidation of a mortgage loan. If Subsequent Recoveries are received, they will be included as part of the Principal Remittance Amount for the following distribution date and distributed in accordance with the priorities described in this prospectus supplement. In addition, after giving effect to all distributions on a distribution date, if any Allocated Realized Loss Amounts are outstanding, the Allocated Realized Loss Amount for the class of Class 1-A-5 Certificates or Mezzanine Certificates then outstanding with the highest distribution priority will be decreased by the amount of such Subsequent Recoveries until reduced to zero (with any remaining Subsequent Recoveries applied to reduce the Allocated Realized Loss Amount of the class with the next highest distribution priority), and the Certificate Principal Balance of such class or classes of Class 1-A-5 Certificates or Mezzanine Certificates will be increased by the same amount. Thereafter, such class or classes of Class 1-A-5 Certificates or Mezzanine Certificates will accrue interest on the increased Certificate Principal Balance. SUBSEQUENT TRANSFER DATE - With respect to any subsequent mortgage loan , the applicable date upon which such mortgage loan was purchased from the Seller with amounts on deposit in the Pre-Funding Account. SUBSEQUENT TRANSFER INSTRUMENT - With respect to the subsequent mortgage loans, the subsequent transfer instrument, dated as of the applicable Subsequent Transfer Date, between the company and the Trustee, or such other instrument as agreed upon by the company and the Trustee. SUBSERVICERS -- Countrywide Home Loans Servicing LP and Wells Fargo Bank, N.A. SUBSERVICING FEE -- With respect to each mortgage loan, accrued interest at the Servicing Fee Rate with respect to the mortgage loan on the same principal balance on which interest on the mortgage loan accrues for the calendar month. The Subservicing Fee consists of subservicing and other related compensation payable to the Subservicer or to the Master Servicer if the Master Servicer is directly servicing the loan. SUBSERVICING FEE RATE -- On each mortgage loan, a rate equal to 0.375% per annum. SUPER SENIOR CERTIFICATE -- Any of the Class 1-A-1, Class 1-A-2, Class 1-A-3 and Class 1-A-4 Certificates. S-168
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TRIGGER EVENT -- A Trigger Event is in effect with respect to any distribution date if (1) the average three-month rolling percentage obtained by dividing (x) aggregate principal balance of mortgage loans that are 60 or more days delinquent (including for this purpose any such mortgage loans in foreclosure, mortgage loans with respect to which the related mortgaged property has been acquired by the trust, and mortgage loans discharged due to bankruptcy) by (y) the aggregate principal balance of the mortgage loans, in each case, as of the last day of the previous calendar month, exceeds 44.50% multiplied by the Credit Enhancement Percentage; or (2) the cumulative amount of Realized Losses incurred on the mortgage loans from the Cut-off Date through the end of the calendar month immediately preceding such distribution date divided by the Cut-off Date Balance exceeds (i) 1.00% with respect to the distribution date occurring in September 2007, plus an additional 1/12th of 0.50% for each month thereafter up to and including the distribution date in August 2008, (ii) 1.50% with respect to the distribution date occurring in September 2008, plus an additional 1/12th of 0.50% for each month thereafter up to and including the distribution date in August 2009, (iii) 2.00% with respect to the distribution date occurring in September 2009, plus an additional 1/12th of 0.50% for each month thereafter up to and including the distribution date in August 2010 and (iv) 2.50% with respect to any distribution date occurring in September 2010 and thereafter. For purposes of the foregoing calculation, a mortgage loan is considered "60 days" delinquent if a payment due on the first day of a month has not been received by the second day of the second following month. TRUSTEE -- Deutsche Bank National Trust Company. UNDERWRITERS -- Countrywide Securities Corporation and Bear, Stearns & Co. Inc. UNPAID INTEREST SHORTFALL AMOUNT -- For each class of Offered Certificates and the first distribution date, zero, and with respect to each class of Offered Certificates and any distribution date after the first distribution date, the amount, if any, by which (a) the sum of (1) the Monthly Interest Distributable Amount for such class for the immediately preceding distribution date and (2) the outstanding Unpaid Interest Shortfall Amount, if any, for such class for such preceding distribution date exceeds (b) the aggregate amount distributed on such class in respect of interest pursuant to clause (a) of this definition on such preceding distribution date, plus interest on the amount of interest due but not paid on the certificates of such class on such preceding distribution date, to the extent permitted by law, at the Pass-Through Rate for such class for the related Accrual Period. S-169
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ANNEX I GLOBAL CLEARANCE, SETTLEMENT AND TAX DOCUMENTATION PROCEDURES Except in certain limited circumstances, the globally offered Impac Mortgage Pass-Through Certificates, Series 2004-3 Class 1-A-1, Class 1-A-2, Class 1-A-3, Class 1-A-4, Class 1-A-5, Class 2-A-1, Class 2-A-2, Class M-1, Class M-2, Class M-3, Class M-4, Class M-5 and Class B (the "Global Securities") will be available only in book-entry form. Investors in the Global Securities may hold interests in such Global Securities through any of DTC, Clearstream or Euroclear. The Global Securities will be tradable as home market instruments in both the European and U.S. domestic markets. Initial settlement and all secondary trades will settle in same day funds. Capitalized terms used but not defined in this Annex I have the meanings assigned to them in the prospectus supplement and the prospectus. Secondary market trading between investors holding interests in Global Securities through Clearstream and Euroclear will be conducted in accordance with their normal rules and operating procedures and in accordance with conventional eurobond practice (i.e., seven calendar day settlement). Secondary market trading between investors holding interests in Global Securities through DTC will be conducted according to the rules and procedures applicable to U.S. corporate debt obligations. Secondary cross-market trading between investors holding interests in Global Securities through Clearstream or Euroclear and investors holding interests in Global Securities through DTC participants will be effected on a delivery-against-payment basis through the respective depositories of Clearstream and Euroclear (in such capacity) and as DTC participants. Non-U.S. holders (as described below) of Global Securities will be subject to U.S. withholding taxes unless such holders meet certain requirements and deliver appropriate U.S. tax documents to the securities clearing organizations or their participants. INITIAL SETTLEMENT All Global Securities will be held in book-entry form by DTC in the name of Cede & Co. as nominee of DTC. Investors' interests in the Global Securities will be represented through financial institutions acting on their behalf as direct and indirect participants in DTC. Clearstream and Euroclear will hold positions on behalf of their participants through their respective depositories, which in turn will hold such positions in accounts as DTC participants. Investors electing to hold interests in Global Securities through DTC participants will be subject to the settlement practices applicable to similar issues of pass-through certificates. Investors' securities custody accounts will be credited with their holdings against payment in same-day funds on the settlement date. Investors electing to hold interests in Global Securities through Clearstream or Euroclear accounts will follow the settlement procedures applicable to conventional eurobonds, except that there will be no temporary global security and no "lock-up" or restricted period. Global Securities will be credited to the securities custody accounts on the settlement date against payment in same-day funds. SECONDARY MARKET TRADING Since the purchaser determines the place of delivery, it is important to establish at the time of the trade where both the purchaser's and seller's accounts are located to ensure that settlement can be made on the desired value date. I-1
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TRANSFERS BETWEEN DTC PARTICIPANTS. Secondary market trading between DTC participants will be settled using the DTC procedures applicable to similar issues of pass-through certificates in same-day funds. TRANSFERS BETWEEN CLEARSTREAM AND/OR EUROCLEAR PARTICIPANTS. Secondary market trading between Clearstream participants or Euroclear participants will be settled using the procedures applicable to conventional eurobonds in same-day funds. TRANSFERS BETWEEN DTC SELLER AND CLEARSTREAM OR EUROCLEAR PURCHASER. When Global Securities are to be transferred from the account of a DTC participant to the account of a Clearstream participant or a Euroclear participant, the purchaser will send instructions to Clearstream or Euroclear through a Clearstream participant or Euroclear participant at least one business day prior to settlement. Clearstream or Euroclear will instruct its respective depository to receive the Global Securities against payment. Payment will include interest accrued on the Global Securities from and including the last distribution date to but excluding the settlement date. Payment will then be made by the respective depository to the DTC participant's account against delivery of the Global Securities. After such settlement has been completed, the Global Securities will be credited to the respective clearing system, and by the clearing system, in accordance with its usual procedures, to the Clearstream participant's or Euroclear participant's account. The Global Securities credit will appear on the next business day (European time) and the cash debit will be back-valued to, and the interest on the Global Securities will accrue from, the value date (which would be the preceding day when settlement occurred in New York). If settlement is not completed through DTC on the intended value date (i.e., the trade fails), the Clearstream or Euroclear cash debit will be valued instead as of the actual settlement date. Clearstream participants and Euroclear participants will need to make available to the respective clearing system the funds necessary to process same-day funds settlement. The most direct means of doing so is to pre-position funds for settlement, either from cash on hand or existing lines of credit, as they would for any settlement occurring with Clearstream or Euroclear. Under this approach, they may take on credit exposure to Clearstream or Euroclear until the Global Securities are credited to their accounts one day later. As an alternative, if Clearstream or Euroclear has extended a line of credit to them, Clearstream participants or Euroclear participants can elect not to pre-position funds and allow that credit line to be drawn upon the finance settlement. Under this procedure, Clearstream participants or Euroclear