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SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported): January 28, 2000
IMH ASSETS CORP.
(as depositor under a Series 2000-1 Indenture dated as of January 28, 2000,
providing for, among other things, the issuance of Collateralized Asset-Backed
Bonds Series 2000-1)
IMH ASSETS CORP.
----------------
(Exact name of Depositor as specified in its charter)
DELAWARE 333-60707 33-0705301
-------- --------- ----------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
1401 Dove Street
Newport Beach, California 92660
- ------------------------- -----
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code, is (949) 475-3600
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<PAGE>
Item 2. Acquisition or Disposition of Assets
------------------------------------
For a description of the Bonds and the Mortgage Pool, refer to
the Indenture.
Item 5. Other Events
------------
On or about January 28, 2000, the Registrant will cause the issuance
and sale of $451,950,000 (approximate) initial principal amount of
Collateralized Asset-Backed Bonds, Series 2000-1 (collectively, the "Bonds")
pursuant to an Indenture, to be dated as of January 28, 2000, between Impac CMB
Trust Series 2000-1, as issuer, and Norwest Bank Minnesota, National
Association, as indenture trustee.
The Bonds, issued pursuant to the Indenture, evidence interest in a
trust (the "Trust"), consisting primarily of a pool (the "Mortgage Pool") of
adjustable-rate mortgage loans (the "Mortgage Loans"). The Prospectus
Supplement, dated January 26, 2000, relating to the issuance of the Bonds
described a sample of the Mortgage Loans in the Trust, and did not include
information regarding additional loans included in the Trust on the closing
date.
The information attached as an exhibit hereto describes certain
characteristics of the complete Mortgage Pool, including the additional loans,
as of the cut-off date.
<PAGE>
Item 7. Financial Statements and Exhibits
(a) Not applicable
(b) Not applicable
(c) Exhibits
Exhibit No. Description
----------- -----------
99.1 Characteristics of the Mortgage Pool as of January 1,
2000, relating to IMH Assets Corp. Collateralized
Asset-Backed Bonds, Series 2000-1
<PAGE>
SIGNATURE
Pursuant to the requirements of the Securities Exchange Act of
1934, the registrant has duly caused this report to be signed on its behalf by
the undersigned hereunto duly authorized.
IMH ASSETS CORP.
By: /s/ Lisa Duehring
-------------------------------
Name: Lisa Duehring
Title: Vice President
Dated: January 28, 2000
<PAGE>
Index to Exhibits
-----------------
Sequentially
Exhibit No. Description Numbered Page
- ----------- ----------- -------------
99.1 Characteristics of the Mortgage Pool as of
January 1, 2000, relating to IMH Assets Corp.
Collateralized Asset-Backed Bonds, Series
2000-1
Exhibit 99.1
------------
<PAGE>
DESCRIPTION OF THE MORTGAGE POOL
GENERAL
The Mortgage Loans had an aggregate outstanding principal balance as of
the Cut-off Date of approximately $460,003,998 (the "Cut-off Date Balance").
Approximately 0.37% of the Mortgage Loans (by aggregate outstanding principal
balance as of the Cut-off Date), have fixed interest rates, are secured by
second liens, and were originated with a limited expectation of recovering any
amounts from the foreclosure of the related mortgaged property and are
underwritten with an emphasis on the creditworthiness of the related borrower
(the "High LTV Loans"). The Mortgage Loans that are not High LTV Loans are
referred to herein as the "Non-High LTV Loans." The "Cut-off Date" for the
Non-High LTV Loans is January 1, 2000 and the close of business on December 31,
1999 for the High LTV Loans. The Mortgage Loans will have adjustable or fixed
rates and will be secured by first or second liens on the related Mortgage
Property as described herein. Mortgage Loans with adjustable rates and fixed
rates are referred to herein as "ARM Loans" and "Fixed Rate Loans,"
respectively.
Approximately 93.78% and 6.22% of the Mortgage Loans are ARM Loans and
Fixed Rate Loans, respectively. All of the ARM Loans are secured by first liens
on the related Mortgaged Property. All of the Fixed Rate Loans are secured by
first or second liens on the related Mortgaged Property.
The Company will acquire the Mortgage Loans to be included in the
Mortgage Pool from Impac Mortgage Holdings, Inc. (the "Seller") pursuant to a
Mortgage Loan Sale and Contribution Agreement dated the Closing Date (the
"Mortgage Loan Sale and Contribution Agreement"). The Seller in turn acquired
them on previous dates from Impac Funding Corporation ("Impac Funding"). Impac
Funding acquired approximately 4.38% of the Mortgage Loans (the "Seasoned
Loans") in connection with the termination of a prior securitization of mortgage
loans originated or acquired by Impac Funding. Each Seasoned Loan was originated
on or before May 1, 1996. All of the Seasoned Loans were previously acquired by
ICI Funding, the predecessor of the Seller, pursuant to its underwriting
standards in effect during 1996. In addition to the Seasoned Loans, Impac
Funding acquired approximately 73.45% of the Mortgage Loans pursuant to various
agreements from affiliates of Impac Funding and various mortgage loan conduit
sellers pursuant to the underwriting guidelines of Impac Funding. Impac Funding
acquired approximately 12.64% of the Mortgage Loans (the "GMAC Mortgage Loans")
from GMAC Mortgage Corporation ("GMAC") pursuant to the underwriting standards
described herein. Impac acquired 10.32% of the Mortgage Loans in bulk purchases
from third-party originators.
MORTGAGE RATE ADJUSTMENT
Approximately 93.61% of the ARM 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. ARM Loans that have not
reached their first Adjustment Date are, therefore, more likely to be subject to
the Initial Periodic Rate Cap on their first Adjustment Date.
SIX-MONTH LIBOR
The index applicable to the determination of the Mortgage Rate on
75.39% of the Mortgage Loans will be 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 ("Six-Month LIBOR").
ONE-YEAR U.S. TREASURY
<PAGE>
With respect to 18.39% of the Mortgage Loans, the related Index will
be a per annum rate equal to the weekly average yield on U.S. Treasury
securities adjusted to a constant maturity of one year as reported by the
Federal Reserve Board in statistical Release No. H.15(519) (the "Release") as
most recently available as of the date forty-five days, thirty-five days or
thirty days prior to the Adjustment Date or on the Adjustment Date ("One-Year
U.S. Treasury"). Such average yields reflect the yields for the week prior to
that week.
MORTGAGE INSURANCE
Except with respect to approximately 3.27% of the Mortgage Loans (by
aggregate outstanding principal balance as of the Cut-off Date), each Mortgage
Loan with a Loan-to-Value Ratio at origination in excess of 80.00% will be
insured by either (i) a Primary Insurance Policy (as defined in the Prospectus)
issued by a private mortgage insurer or (ii) by an insurance policy (the "Radian
PMI Policy," and the Mortgage Loans covered by such policies, the "Radian PMI
Insured Loans") issued by Radian Guaranty, Inc., formerly known as Commonwealth
Mortgage Assurance Company ("Radian").
The Radian PMI Policy will be issued with respect to approximately
47.88% of the Mortgage Loans (by aggregate outstanding principal balance as of
the Cut-off Date).
BALLOON LOANS
Approximately 0.99% of the Mortgage Loans require monthly payments of
principal generally based on a 30-year amortization schedule and generally have
scheduled maturity dates of 15 years from the due date of the first monthly
payment (each such Mortgage Loan, a "Balloon Loan"), in each case leaving a
substantial portion of the original principal amount due and payable on the
respective scheduled maturity date (a "Balloon Payment").
CONVERTIBLE LOANS
Approximately 2.24% of the Mortgage Loans provide that, at the option
of the related Mortgagors, the adjustable interest rate on such Mortgage Loans
may be converted to a fixed interest rate (such Mortgage Loans, "Convertible
Mortgage Loans").
PREPAYMENT CHARGES
Approximately 27.42% of the Mortgage Loans provide for payment of a
prepayment charge. As to each such Mortgage Loan, the prepayment charge
generally is the maximum amount permitted under applicable state law (or, if no
maximum prepayment charge is specified, the prepayment charge generally is
calculated as set forth in the following sentence). Approximately 1.24%, 1.43%,
10.00%, 0.01% and 14.74% of the Mortgage Loans provide for payment of a
prepayment charge for partial prepayments and full prepayments made within
approximately one year, two years, three years, four years and five years,
respectively, of the origination of such Mortgage Loan calculated in accordance
with the terms of the related Mortgage Note; provided, that certain of such
Mortgage Loans will not have a prepayment charge if the related Mortgagor sells
the related Mortgaged Property.
MORTGAGE LOAN CHARACTERISTICS
The Mortgage Loans have original terms to stated maturity of between 10
and 30 years.
Effective with the first payment due on an ARM Loan after each related
Adjustment Date, the Monthly Payment will be adjusted to an amount that will
fully amortize the outstanding principal balance
<PAGE>
of the ARM Loan over its remaining term. For the Mortgage Loans, the weighted
average number of months from the Cut-off Date to the next Adjustment Date is 25
months.
As of the Cut-off Date, each Mortgage Loan will have an unpaid
principal balance of not less than $8,835 or more than $846,755 and the average
unpaid principal balance of the Mortgage Loans will be approximately $181,964.
The latest stated maturity date of any of the Mortgage Loans will be February 1,
2030; however, the actual date on which any Mortgage Loan is paid in full may be
earlier than the stated maturity date due to unscheduled payments of principal.
The weighted average remaining term to stated maturity of the Mortgage
Loans will be approximately 349 months.
The earliest month and year in which the first payment was due on any
Mortgage Loan is January 1, 1993, and the latest month and year of first payment
will be March 1, 2000.
As of the Cut-off Date, 0.56% of the Mortgage Loans are 30 to 59 days
delinquent in payment of principal and interest. None of the Mortgage Loans will
be more than 59 days delinquent in payment of principal and interest as of the
Cut-off Date. In addition, a portion of the Mortgage Loans have been delinquent
in the past.
None of the Mortgage Loans are Buydown Mortgage Loans.
None of the Mortgage Loans provide for negative amortization.
Set forth below is a description of certain additional characteristics
of the Mortgage Loans as of the Cut-off Date (except as otherwise indicated).
All percentages of the Mortgage Loans are approximate percentages by aggregate
outstanding principal balance of the Mortgage Loans as of the Cut-off Date
(except as otherwise indicated). Dollar amounts and percentages may not add up
to totals due to rounding.
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL BALANCES AT ORIGINATION
ORIGINAL PERCENTAGE OF CUT-OFF
MORTGAGE LOAN NUMBER OF AGGREGATE UNPAID DATE AGGREGATE
PRINCIPAL BALANCE($) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
0.01 - 50,000.00.................. 265 $ 8,308,183 1.81%
50,000.01 - 100,000.00.................. 362 27,646,315 6.01
100,000.01 - 150,000.00.................. 491 61,197,277 13.30
150,000.01 - 200,000.00.................. 427 73,465,273 15.97
200,000.01 - 250,000.00.................. 357 79,661,054 17.32
250,000.01 - 300,000.00.................. 291 79,483,415 17.28
300,000.01 - 350,000.00.................. 141 45,157,170 9.82
350,000.01 - 400,000.00.................. 102 38,276,598 8.32
400,000.01 - 450,000.00.................. 31 12,884,231 2.80
450,000.01 - 500,000.00.................. 21 9,883,955 2.15
500,000.01 - 550,000.00.................. 8 4,141,592 0.90
550,000.01 - 600,000.00.................. 11 6,316,213 1.37
600,000.01 - 650,000.00.................. 18 11,250,411 2.45
650,000.01 - 700,000.00.................. 1 691,453 0.15
750,000.01 - 800,000.00.................. 1 794,103 0.17
850,000.01 - 900,000.00.................. 1 846,755 0.18
----- ----------- ------
Total............................... 2,528 $460,003,998 100.00%
===== =========== ======
</TABLE>
The average principal balance of the Mortgage Loans at origination was
approximately $183,329.
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL BALANCES AT THE CUT-OFF DATE
PERCENTAGE OF CUT-OFF
MORTGAGE LOAN NUMBER OF AGGREGATE UNPAID DATE AGGREGATE
PRINCIPAL BALANCE($) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
0.01 - 50,000.00.................. 269 $ 8,505,633 1.85%
50,000.01 - 100,000.00.................. 364 27,993,429 6.09
100,000.01 - 150,000.00.................. 497 62,332,521 13.55
150,000.01 - 200,000.00.................. 418 72,258,717 15.71
200,000.01 - 250,000.00.................. 363 81,184,654 17.65
250,000.01 - 300,000.00.................. 289 79,458,596 17.27
300,000.01 - 350,000.00.................. 143 46,252,433 10.05
350,000.01 - 400,000.00.................. 96 36,251,677 7.88
400,000.01 - 450,000.00.................. 30 12,727,140 2.77
450,000.01 - 500,000.00.................. 21 9,987,386 2.17
500,000.01 - 550,000.00.................. 7 3,702,165 0.80
550,000.01 - 600,000.00.................. 11 6,362,064 1.38
600,000.01 - 650,000.00.................. 17 10,655,381 2.32
650,000.01 - 700,000.00.................. 1 691,453 0.15
750,000.01 - 800,000.00.................. 1 794,103 0.17
800,000.01 - 850,000.00.................. 1 846,755 0.18
----- ----------- ------
Total................................... 2,528 $460,003,998 100.00%
===== =========== ======
</TABLE>
As of the Cut-off Date, the average current principal balance of the
Mortgage Loans will be approximately $181,964.
<PAGE>
<TABLE>
<CAPTION>
MORTGAGE RATES AT ORIGINATION
PERCENTAGE OF CUT-OFF
NUMBER OF AGGREGATE UNPAID DATE AGGREGATE
MORTGAGE RATES(%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------- --------------- ----------------- -----------------
<S> <C> <C> <C>
3.500 - 3.999...................... 4 $ 745,687 0.16%
4.000 - 4.499...................... 7 1,971,071 0.43
4.500 - 4.999...................... 16 3,268,422 0.71
5.000 - 5.499...................... 25 5,938,935 1.29
5.500 - 5.999...................... 56 18,126,245 3.94
6.000 - 6.499...................... 72 26,042,520 5.66
6.500 - 6.999...................... 75 22,923,810 4.98
7.000 - 7.499...................... 135 28,695,970 6.24
7.500 - 7.999...................... 323 66,726,751 14.51
8.000 - 8.499...................... 440 89,057,027 19.36
8.500 - 8.999...................... 506 96,017,177 20.87
9.000 - 9.499...................... 243 41,310,671 8.98
9.500 - 9.999...................... 173 27,870,817 6.06
10.000 - 10.499....................... 59 7,118,137 1.55
10.500 - 10.999....................... 63 6,608,481 1.44
11.000 - 11.499....................... 41 3,250,957 0.71
11.500 - 11.999....................... 48 4,058,837 0.88
12.000 - 12.499....................... 26 2,161,942 0.47
12.500 - 12.999....................... 41 2,034,836 0.44
13.000 - 13.499....................... 26 1,246,255 0.27
13.500 - 13.999....................... 55 1,570,477 0.34
14.000 - 14.499....................... 67 2,284,586 0.50
14.500 - 14.999....................... 16 698,828 0.15
15.000 - 15.499....................... 7 163,396 0.04
15.500 - 15.999....................... 2 65,669 0.01
16.500 - 16.999....................... 2 46,494 0.01
----- ----------- ------
Total............................ 2,528 $480,003,998 100.00%
===== =========== ======
</TABLE>
The weighted average Mortgage Rate of the Mortgage Loans at origination
was approximately 8.205% per annum.
<PAGE>
<TABLE>
<CAPTION>
MORTGAGE RATES AT THE CUT-OFF DATE
PERCENTAGE OF
NUMBER OF AGGREGATE UNPAID CUT-OFF DATE AGGREGATE
MORTGAGE RATES(%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
4.500 - 4.999...................... 1 $ 309,434 0.07%
5.000 - 5.499...................... 10 3,608,125 0.78
5.500 - 5.999...................... 42 16,121,577 3.50
6.000 - 6.499...................... 63 24,880,460 5.41
6.500 - 6.999...................... 64 21,072,091 4.58
7.000 - 7.499...................... 130 28,206,941 6.13
7.500 - 7.999...................... 314 65,439,067 14.23
8.000 - 8.499...................... 436 88,380,051 19.21
8.500 - 8.999...................... 554 104,453,815 22.71
9.000 - 9.499...................... 261 45,379,942 9.87
9.500 - 9.999...................... 177 28,018,557 6.09
10.000 - 10.499....................... 63 7,469,182 1.62
10.500 - 10.999....................... 70 7,466,846 1.62
11.000 - 11.499....................... 47 3,858,239 0.84
11.500 - 11.999....................... 53 5,019,394 1.09
12.000 - 12.499....................... 26 2,161,942 0.47
12.500 - 12.999....................... 42 2,082,632 0.45
13.000 - 13.499....................... 26 1,246,255 0.27
13.500 - 13.999....................... 55 1,570,477 0.34
14.000 - 14.499....................... 67 2,284,586 0.50
14.500 - 14.999....................... 16 698,828 0.15
15.000 - 15.499....................... 7 163,396 0.04
15.500 - 15.999....................... 2 65,669 0.01
16.500 - 16.999....................... 2 46,494 0.01
----- ----------- ------
Total............................ 2,528 $460,003,998 100.00%
===== =========== ======
</TABLE>
As of the Cut-off Date, the weighted average Mortgage Rate of the
Mortgage Loans will be approximately 8.330% per annum.
<PAGE>
<TABLE>
<CAPTION>
NEXT ADJUSTMENT DATE
PERCENTAGE OF
NUMBER OF AGGREGATE UNPAID CUT-OFF DATE AGGREGATE
NEXT ADJUSTMENT DATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Fixed Rate Loans (N/A)..................... 446 $ 28,627,392 6.22%
February 1, 2000........................... 19 2,812,686 0.61
March 1, 2000.............................. 39 6,350,521 1.38
March 2, 2000.............................. 1 62,147 0.01
April 1, 2000.............................. 45 8,666,157 1.88
May 1, 2000................................ 48 10,594,424 2.30
June 1, 2000............................... 56 15,006,994 3.26
July 1, 2000............................... 79 21,110,230 4.59
August 1, 2000............................. 21 7,003,939 1.52
September 1, 2000.......................... 8 2,293,935 0.50
October 1, 2000............................ 2 351,696 0.08
November 1, 2000........................... 4 666,223 0.14
December 1, 2000........................... 4 648,567 0.14
January 1, 2001............................ 9 1,877,519 0.41
February 1, 2001........................... 3 552,294 0.12
March 1, 2001.............................. 4 787,545 0.17
April 1, 2001.............................. 2 209,624 0.05
May 1, 2001................................ 6 1,254,543 0.27
June 1, 2001............................... 1 68,050 0.01
July 1, 2001............................... 4 648,581 0.14
August 1, 2001............................. 15 2,368,376 0.51
September 1, 2001.......................... 87 15,978,802 3.47
October 1, 2001............................ 302 57,337,437 12.46
November 1, 2001........................... 323 65,715,218 14.29
December 1, 2001........................... 275 56,314,570 12.24
January 1, 2002............................ 180 38,577,517 7.95
February 1, 2002........................... 11 2,164,477 0.47
April 1, 2002.............................. 3 292,096 0.06
May 1, 2002................................ 8 2,970,935 0.65
June 1, 2002............................... 7 2,550,984 0.55
July 1, 2002............................... 12 3,871,713 0.84
August 1, 2002............................. 29 10,332,089 2.25
September 1, 2002.......................... 13 3,926,114 0.85
October 1, 2002............................ 34 6,095,123 1.33
November 1, 2002........................... 62 11,890,220 2.58
December 1, 2002........................... 53 10,240,847 2.23
January 1, 2003............................ 29 5,228,271 1.14
April 1, 2003.............................. 1 846,755 0.18
May 1, 2003................................ 4 1,642,703 0.36
August 1, 2003............................. 1 631,301 0.14
September 1, 2003.......................... 1 603,204 0.13
October 1, 2003............................ 1 394,220 0.09
November 1, 2003........................... 2 939,239 0.20
December 1, 2003........................... 1 208,241 0.05
February 1, 2004........................... 4 997,875 0.22
March 1, 2004.............................. 1 639,166 0.14
April 1, 2004.............................. 2 792,054 0.17
August 1, 2004............................. 3 1,566,381 0.34
October 1, 2004............................ 51 9,353,115 2.03
November 1, 2004........................... 98 17,832,989 3.88
December 1, 2004........................... 87 15,815,595 3.44
January 1, 2005............................ 24 3,918,105 0.85
February 1, 2005........................... 3 375,200 0.08
----- ----------- ------
Total......................... 2,528 $460,003,998 100.00%
===== =========== ======
</TABLE>
<PAGE>
As of the Cut-off Date, the weighted average remaining months to the
next Adjustment Date of the ARM Loans that are Mortgage Loans will be
approximately 25 months.
<PAGE>
<TABLE>
<CAPTION>
GROSS MARGIN
PERCENTAGE OF
CUT-OFF DATE
NUMBER OF AGGREGATE UNPAID AGGREGATE
GROSS MARGINS (%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Fixed Rate Loans (N/A).............. 446 $ 28,627,392 6.22%
2.500 - 2.749.................... 5 1,196,293 0.26
2.750 - 2.999.................... 271 85,192,826 18.52
3.000 - 3.249.................... 47 10,345,479 2.25
3.250 - 3.499.................... 49 8,102,255 1.76
3.500 - 3.749.................... 26 4,442,664 0.97
3.750 - 3.999.................... 37 7,125,048 1.55
4.000 - 4.249.................... 790 156,506,220 34.02
4.250 - 4.499.................... 451 87,748,275 19.08
4.500 - 4.749.................... 265 48,886,988 10.63
4.750 - 4.999.................... 29 4,478,754 0.97
5.000 - 5.249.................... 35 5,899,688 1.28
5.250 - 5.499.................... 12 2,364,194 0.51
5.500 - 5.749.................... 7 1,156,776 0.25
5.750 - 5.999.................... 12 2,281,588 0.50
6.000 - 6.249.................... 11 1,610,917 0.35
6.500 - 6.749.................... 6 1,191,224 0.26
6.750 - 6.999.................... 7 1,079,820 0.23
7.000 - 7.249.................... 2 102,651 0.02
7.250 - 7.499.................... 3 442,006 0.10
7.500 - 7.749.................... 5 340,004 0.07
7.750 - 7.999.................... 3 343,565 0.07
8.000 - 8.249.................... 4 303,229 0.07
8.250 - 8.499.................... 1 30,531 0.01
8.500 - 8.749.................... 1 66,430 0.01
8.750 - 8.999.................... 2 80,092 0.02
9.250 - 9.499.................... 1 59,090 0.01
----- ----------- ------
Total.............................. 2,528 $460,003,998 100.00%
===== =========== ======
</TABLE>
As of the Cut-off Date, the weighted average Gross Margin of the ARM
Loans that are Mortgage Loans will be approximately 3.951% per annum.
<PAGE>
<TABLE>
<CAPTION>
MAXIMUM MORTGAGE RATE
PERCENTAGE OF
CUT-OFF DATE
NUMBER OF AGGREGATE UNPAID AGGREGATE
MAXIMUM MORTGAGE RATE (%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Fixed Rate Loans (N/A)....................... 446 $ 28,627,392 6.22%
9.500 - 9.999.............................. 4 745,687 0.16
10.000 - 10.499.............................. 7 1,971,071 0.43
10.500 - 10.999.............................. 17 3,424,497 0.74
11.000 - 11.499.............................. 25 5,938,935 1.29
11.500 - 11.999.............................. 53 17,423,233 3.79
12.000 - 12.499.............................. 70 25,898,956 5.63
12.500 - 12.999.............................. 83 24,432,571 5.31
13.000 - 13.499.............................. 134 28,532,905 6.20
13.500 - 13.999.............................. 321 66,455,056 14.45
14.000 - 14.499.............................. 431 86,942,452 18.90
14.500 - 14.999.............................. 494 94,531,937 20.55
15.000 - 15.499.............................. 230 39,857,463 8.66
15.500 - 15.999.............................. 128 22,927,432 4.98
16.000 - 16.499.............................. 32 4,867,744 1.06
16.500- 16.999.............................. 27 4,019,043 0.87
17.000- 17.499.............................. 9 867,589 0.19
17.500- 17.999.............................. 8 1,638,424 0.36
18.000- 18.499.............................. 5 577,235 0.13
18.500- 18.999.............................. 4 324,376 0.07
----- ------------ ------
Total.................................... 2,528 $460,003,998 100.00%
===== ============ ======
</TABLE>
As of the Cut-off Date, the weighted average Maximum Mortgage Rate of
the ARM Loans that are Mortgage Loans will be approximately 14.003% per annum.
<PAGE>
<TABLE>
<CAPTION>
INITIAL PERIOD
PERCENTAGE OF
CUT-OFF DATE
NUMBER OF AGGREGATE UNPAID AGGREGATE
INITIAL PERIOD MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Fixed Rate Loans (N/A)....................... 446 $ 28,627,392 6.22%
Six Months................................... 193 32,914,645 7.16
One Year..................................... 98 37,790,051 8.22
Two Years.................................... 1,226 239,534,399 52.07
Three Years.................................. 273 63,690,680 13.85
Four Years................................... 6 554,297 0.12
Five Years................................... 286 56,892,533 12.37
----- ----------- ------
Total.................................... 2,528 $460,003,998 100.00%
===== =========== ======
</TABLE>
<TABLE>
<CAPTION>
INITIAL PERIODIC RATE CAP
PERCENTAGE OF
CUT-OFF DATE
NUMBER OF AGGREGATE UNPAID AGGREGATE
INITIAL PERIODIC RATE CAP (%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----------------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Fixed Rate Loans (N/A)....................... 446 $ 28,627,392 6.22%
0.50......................................... 2 213,771 0.05
1.00......................................... 179 31,063,120 6.75
1.50......................................... 20 2,389,169 0.52
2.00......................................... 245 81,668,504 17.75
3.00......................................... 1,636 316,042,042 68.70
----- ----------- -----
Total.................................... 2,528 $460,003,998 100.00%
===== ============ ======
</TABLE>
<TABLE>
<CAPTION>
PERIODIC RATE CAP
PERCENTAGE OF
CUT-OFF DATE
NUMBER OF AGGREGATE UNPAID AGGREGATE
PERIODIC RATE CAP (%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
--------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Fixed Rate Loans (N/A).................... 446 $ 28,627,392 6.22%
0.50...................................... 2 213,771 0.05
1.00...................................... 1,792 342,980,557 74.56
1.50...................................... 43 6,513,773 1.42
2.00...................................... 245 81,668,504 17.75
--- ----------- -------
Total................................. 2,528 $460,003,998 100.00%
===== =========== ======
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
LOAN-TO-VALUE RATIOS(1)
PERCENTAGE OF
CUT-OFF DATE
NUMBER OF AGGREGATE UNPAID AGGREGATE
ORIGINAL LOAN-TO-VALUE RATIOS (%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
--------------------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
15.01 - 20.00......................... 2 $ 263,746 0.06%
20.01 - 25.00......................... 5 469,071 0.10
25.01 - 30.00......................... 2 74,636 0.02
30.01 - 35.00......................... 2 842,689 0.18
35.01 - 40.00......................... 6 1,120,479 0.24
40.01 - 45.00......................... 4 718,184 0.16
45.01 - 50.00......................... 14 2,058,760 0.45
50.01 - 55.00......................... 6 2,379,553 0.52
55.01 - 60.00......................... 23 4,410,761 0.96
60.01 - 65.00......................... 50 7,537,373 1.64
65.01 - 70.00......................... 78 16,976,374 3.69
70.01 - 75.00......................... 156 34,010,219 7.39
75.01 - 80.00......................... 481 100,592,177 21.87
80.01 - 85.00......................... 90 15,075,443 3.28
85.01 - 90.00......................... 1,007 188,279,816 40.93
90.01 - 95.01......................... 452 80,354,855 17.47
95.01 - 100.00......................... 99 3,201,059 0.70
100.01 - 105.00(2)...................... 6 219,506 0.05
105.01 - 110.00(2)...................... 7 295,687 0.06
110.01 - 115.00(2)...................... 12 321,593 0.07
115.01 - 120.00(2)...................... 8 244,732 0.05
120.01 - 125.00(2)...................... 18 557,285 0.12
------ ------------ ------
Total................................ 2,528 $460,003,998 100.00%
===== ============ ======
</TABLE>
- -----------
(1) With respect to the Fixed Rate Loans secured by second liens, the
Combined Loan-to-Value Ratio.
(2) The Seller has recently obtained current statistical valuations on the
Mortgaged Properties securing the Mortgage Loans with initial Combined
Loan-to-Value Ratios over 100% (all of which are High LTV Loans) and
has determined that the current Combined Loan-to-Value Ratio for each
such High LTV Loan is less than or equal to 100%.
The minimum and maximum Loan-to-Value Ratios or Combined Loan-to-Value
Ratios of the Mortgage Loans were approximately 4.69% and 100.00%, respectively,
and the weighted average of the Loan-to-Value Ratios and Combined Loan-to-Value
Ratios of the Mortgage Loans was approximately 83.74%.
<PAGE>
<TABLE>
<CAPTION>
OCCUPANCY TYPES
PERCENTAGE OF
CUT-OFF DATE
NUMBER OF AGGREGATE UNPAID AGGREGATE
OCCUPANCY (AS INDICATED BY BORROWER) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------------------------ -------------- ----------------------- ---------------------
<S> <C> <C> <C>
Second Home.................................. 53 $ 12,175,027 2.65%
Non-Owner Occupied........................... 56 3,621,964 0.79
Primary Residence............................ 2,419 444,207,007 96.57
----- ----------- ------
Total................................ 2,528 $460,003,998 100.00%
===== ============ ======
</TABLE>
<TABLE>
<CAPTION>
MORTGAGE LOAN PROGRAM
PERCENTAGE OF
CUT-OFF DATE
NUMBER OF AGGREGATE UNPAID AGGREGATE
LOAN PROGRAM MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------ -------------- ----------------------- --------------------
<S> <C> <C> <C>
Full......................................... 579 $ 67,379,929 14.65%
Limited (Stated)............................. 116 26,127,481 5.68
No Ratio..................................... 11 1,273,619 0.28
Alternative Documentation.................... 98 35,116,129 7.63
No Income/No Asset........................... 1 98,297 0.02
Lite Documentation........................... 51 7,133,274 1.55
Express (Non-Verified Assets)................ 1,016 186,359,241 40.51
Express (Verified Assets).................... 654 136,169,684 29.60
Express (Self-Employed)...................... 1 149,071 0.03
Express (Priority Refinance)................. 1 197,273 0.04
----- ------------ ------
Total................................ 2,528 $460,003,998 100.00%
===== ============ ======
</TABLE>
See "--Underwriting" below and Appendix A attached hereto for a
description of each Originator's documentation programs.
<PAGE>
<TABLE>
<CAPTION>
RISK CATEGORIES
PERCENTAGE OF
CUT-OFF DATE
NUMBER OF AGGREGATE UNPAID AGGREGATE
CREDIT GRADE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
A+(1)...................................... 21 $ 1,196,828 0.26
A(1)....................................... 496 106,931,143 23.25%
A-(1)...................................... 196 19,036,424 4.14
B(1)....................................... 63 5,155,037 1.12
B+(1)...................................... 13 375,448 0.08
C(1)....................................... 56 3,753,075 0.82
CX(1)...................................... 11 680,773 0.15
Progressive Express(TM)I(2)................ 875 168,017,352 36.53
Progressive Express(TM)II(2)............... 692 135,720,676 29.50
Progressive Express(TM)III(2).............. 40 7,765,782 1.69
Progressive Express(TM)IV(2)............... 48 8,988,736 1.95
Progressive Express(TM)V(2)................ 13 1,799,506 0.39
Progressive Express(TM)VI(2)............... 4 583,217 0.13
----- ------------ ------
Total................................ 2,528 $460,003,998 100.00%
===== ============ ======
</TABLE>
- -----------------
(1) All of these Mortgage Loans were reviewed and placed into risk categories
based on the credit standards of the Progressive Series Program. Credit grades
of A+, A, A-, B and C correspond to Progressive Series I and II, III, IV, V and
VI, respectively. All of the Seasoned Loans have been assigned credit grades.
All of the Mortgage Loans originated by GMAC or that have been acquired by the
Seller in bulk purchases have been assigned credit grades. See "-Underwriting"
and Appendix A attached hereto.
(2) These Mortgage Loans were originated under Impac Funding's Progressive
Express(TM) Program. The underwriting for such Mortgage Loans is generally based
on the borrower's "FICO" score and therefore such Mortgage Loans do not
correspond to the alphabetical risk categories listed above.
<PAGE>
<TABLE>
<CAPTION>
PROPERTY TYPES
PERCENTAGE OF CUT-OFF
NUMBER OF AGGREGATE UNPAID DATE AGGREGATE
PROPERTY TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Single-Family............................... 2,094 $388,157,010 84.38%
Condominium................................. 216 34,786,981 7.56
Planned Unit Development.................... 121 24,209,818 5.26
Two- to Four-Family......................... 67 9,834,989 2.14
Hi-Rise..................................... 14 2,043,084 0.44
Manufactured Home........................... 15 820,198 0.18
Leasehold................................... 1 151,919 0.03
----- ------------ ------
Total.................................... 2,528 $460,003,998 100.00%
===== ============ ======
</TABLE>
<TABLE>
<CAPTION>
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
PERCENTAGE OF
CUT-OFF DATE
NUMBER OF AGGREGATE UNPAID AGGREGATE
STATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- -------------- ----------------- -----------------
<S> <C> <C> <C>
California................................. 1,325 $275,854,085 59.97%
Colorado................................... 110 18,852,625 4.10
Florida.................................... 136 15,601,160 3.39
Michigan................................... 72 17,851,317 3.88
Texas...................................... 108 13,881,088 3.02
Other (less than 3% in any one state)...... 777 117,963,724 25.64
----- ------------ ------
Total................................... 2,528 $460,003,998 100.00%
===== ============ ======
</TABLE>
No more than approximately 0.93% of the Mortgage Loans will be secured
by Mortgaged Properties located in any one zip code.
<TABLE>
<CAPTION>
LOAN PURPOSES
PERCENTAGE OF
CUT-OFF DATE
NUMBER OF AGGREGATE UNPAID AGGREGATE
LOAN PURPOSE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
Purchase................................. 1,756 $336,788,373 73.21%
Rate and Term Refinance.................. 298 62,787,654 13.65
Cash-Out Refinance....................... 421 58,264,260 12.67
Debt Consolidation....................... 45 1,469,104 0.32
Construction............................. 2 493,438 0.11
Home Improvement......................... 6 201,168 0.04
Total................................. 2,528 $460,003,998 100.00%
===== ============ ======
</TABLE>
