EX-99.2 3 d289107-ex99_2.txt CHARACTERISTICS OF THE MORTGAGE POOL EXHIBIT 99.2 The mortgage loans delivered to the Trust Fund on the Closing Date (the "Initial Mortgage Loans") and the mortgage loans delivered to the Trust Fund on the Subsequent Transfer Date (the "Subsequent Mortgage Loans" and together with the Initial Mortgage Loans, the Mortgage Loans" will consist of conventional, one-to four- family, adjustable-rate and fixed-rate mortgage loans. The Depositor purchased the Initial Mortgage Loans from the Seller pursuant to the Mortgage Loan Purchase Agreement, dated November 24, 2004 (the " Mortgage Loan Purchase Agreement"), between the Seller and the Depositor. Pursuant to the Pooling and Servicing Agreement, to be dated as of the Cut-off Date (the "Pooling and Servicing Agreement"), among the Depositor, the Master Servicer, the Trustee, the Depositor will cause the Initial Mortgage Loans to be assigned to the Trustee for the benefit of the certificateholders. The Mortgage Loans included in loan group I, loan group II and loan group III are expected to have aggregate principal balances as of the Cut-off Date of approximately $2,356,427,256, $666,645,197 and $1,276,926,965, respectively. Subsequent Group I Mortgage Loans (the "Subsequent Group I Mortgage Loans"), subsequent Group II Mortgage Loans (the "Subsequent Group II Mortgage Loans") and subsequent Group III Mortgage Loans (the "Subsequent Group III Mortgage Loans"; together with the Subsequent Group I Mortgage Loans and the Subsequent Group II Mortgage Loans, the "Subsequent Mortgage Loans") are intended to be purchased by the Trust Fund from the Depositor from time to time on or before the 90th day following the Closing Date from funds on deposit in the Pre-Funding Accounts. The Subsequent Mortgage Loans, if available, will be purchased by the Depositor and sold by the Depositor to the Trust for deposit in the mortgage pool. The Pooling and Servicing Agreement will provide that each Mortgage Loan in the mortgage pool must conform to certain specified characteristics and following the conveyance of the Subsequent Mortgage Loans, the mortgage pool must conform to certain specified characteristics, as described below under "--Conveyance of Subsequent Mortgage Loans and Pre-Funding Accounts." The Mortgage Loans will be secured by mortgages or deeds of trust or other similar security instruments creating first liens and second liens on residential properties (the "Mortgaged Properties") consisting of attached, detached or semi-detached one-to four-family dwelling units, individual condominium units or individual units in planned unit developments and manufactured housing. The Mortgage Loans will have original terms to maturity of not greater than 30 years from the date on which the first payment was due on each Mortgage Loan. Approximately 1.54% of the Group I Initial Mortgage Loans, approximately 0.71% of the Group II Initial Mortgage Loans and approximately 0.99% of the Group III Initial Mortgage Loans are secured by second liens, in each case by aggregate scheduled principal balance of the related loan group as of the Cut-off Date. Each adjustable-rate Mortgage Loan will accrue interest at the adjustable-rate calculated as specified under the terms of the related mortgage note and each fixed-rate Mortgage Loan will have a Mortgage Rate that is fixed for the life of such Mortgage (each such rate, a "Mortgage Rate"). Approximately 93.01% and 6.99% of the Initial Mortgage Loans, in each case, by aggregate scheduled principal balance as of the Cut-off Date, were originated or acquired by the Seller's wholesale lending affiliates, Argent Mortgage Company, LLC ("Argent") and Olympus Mortgage Company ("Olympus"), respectively. Each adjustable-rate Mortgage Loan will accrue interest at a Mortgage Rate that is adjustable. The adjustable-rate Mortgage Loans will provide for semi-annual adjustment to the Mortgage Rate thereon and for corresponding adjustments to the monthly payment amount due thereon, in each case on each adjustment date applicable thereto (each such date, an " Adjustment Date"); provided, that the first adjustment for approximately 72.55% of the adjustable-rate Group I Mortgage Loans, approximately 76.92% of the adjustable-rate Group II Mortgage Loans and approximately 73.74% of the adjustable-rate Group III Mortgage Loans, in each case by aggregate scheduled principal balance of the adjustable-rate Mortgage Loans in the related loan group as of the Cut-off Date, will occur after an initial period of two years after origination, and the first adjustment for approximately 27.45% of the adjustable-rate Group I Initial Mortgage Loans, approximately 23.08% of the adjustable-rate Group II Initial Mortgage Loans and approximately 26.26% of the adjustable-rate Group III Initial Mortgage Loans, in each case by aggregate scheduled principal balance of the adjustable-rate Mortgage Loans in the related loan group as of the Cut-off Date, will occur after an initial period of three years after origination. On each Adjustment Date for each adjustable-rate Mortgage Loan, the Mortgage Rate thereon will be adjusted (subject to rounding) to equal the sum of the applicable Index (as defined below) and a fixed percentage amount (the "Gross Margin"). The Mortgage Rate on each adjustable-rate Mortgage Loan will not decrease on the first related Adjustment Date, will not increase by more than 2.000% per annum on the first related Adjustment Date (the " Initial Periodic Rate Cap") and will not increase or decrease by more than 1.000% per annum on any Adjustment Date thereafter (the " Periodic Rate Cap"). Each Mortgage Rate on each adjustable-rate Mortgage Loan will not exceed a specified maximum Mortgage Rate over the life of such Mortgage Loan (the " Maximum Mortgage Rate") or be less than a specified minimum Mortgage Rate over the life of such Mortgage Loan (the " Minimum Mortgage Rate"). Effective with the first monthly payment due on each adjustable-rate Mortgage Loan after each related Adjustment Date, the monthly payment amount will be adjusted to an amount that will amortize fully the outstanding principal balance of the related Mortgage Loan over its remaining term, and pay interest at the Mortgage Rate as so adjusted. Due to the application of the Periodic Rate Caps and the Maximum Mortgage Rates, the Mortgage Rate on each such adjustable-rate Mortgage Loan, as adjusted on any related Adjustment Date, may be less than the sum of the Index and the related Gross Margin, rounded as described herein. None of the adjustable-rate Mortgage Loans permits the related mortgagor to convert the adjustable Mortgage Rate thereon to a fixed Mortgage Rate. The Mortgage Loans will have scheduled monthly payments due on the first day of the month (with respect to each Mortgage Loan, a "Due Date"). Each Mortgage Loan will contain a customary "due-on-sale" clause which provides that (subject to state and federal restrictions) the Mortgage Loan must be repaid at the time of sale of the related mortgaged property or with the consent of the holder of the mortgage note assumed by a creditworthy purchaser of the related mortgaged property. None of the Mortgage Loans will be buydown mortgage loans. For purposes of calculating interest and principal distributions on the Class A Certificates, the Mortgage Loans will be divided into three loan groups, designated as the "Group I Mortgage Loans," the "Group II Mortgage Loans" and the "Group III Mortgage Loans." The Group I Mortgage Loans will consist of adjustable-rate and fixed-rate mortgage loans with principal balances at origination that conform to Fannie Mae loan limits, the Group II Mortgage Loans will consist of adjustable-rate and fixed-rate mortgage loans with principal balances at origination that conform to Freddie Mac loan limits and the Group III Mortgage Loans will consist of adjustable-rate and fixed-rate mortgage loans with principal balances at origination that may or may not conform to Freddie Mac or Fannie Mae loan limits. Approximately 69.73% of the Group I Initial Mortgage Loans, approximately 75.43% of the Group II Initial Mortgage Loans and approximately 71.14% of the Group III Initial Mortgage Loans, in each case by aggregate scheduled principal balances of the related loan group as of the Cut-off Date, provide for payment by the mortgagor of a prepayment charge on certain principal prepayments, subject to certain limitations in the related mortgage note and limitations upon collection in the Pooling and Servicing Agreement. Generally, each such Mortgage Loan provides for payment of a prepayment charge on certain prepayments made within a defined period set forth in the related Mortgage Note (generally within the first three years but possibly as short as one year from the date of origination of such Mortgage Loan). The amount of the prepayment charge is as provided in the related Mortgage Note. The holders of the Class P Certificates will be entitled to all prepayment charges received on the Mortgage Loans in each loan group, and such amounts will not be available for distribution on the other classes of Certificates. Under certain instances, as described under the terms of the Pooling and Servicing Agreement, the Master Servicer may waive the payment of any otherwise applicable prepayment charge. Investors should conduct their own analysis of the effect, if any, that the prepayment charges, and decisions by the Master Servicer with respect to the waiver thereof, may have on the prepayment performance of the Mortgage Loans. The Depositor makes no representation as to the effect that the prepayment charges, and decisions by the Master Servicer with respect to the waiver thereof, may have on the prepayment performance of the Mortgage Loans. As of July 1, 2003, the Alternative Mortgage Parity Act of 1982 (the "Parity Act"), which regulates the ability of the Originators to impose prepayment charges, was amended, and as a result, the Originators will be required to comply with state and local laws in originating mortgage loans with prepayment charge provisions with respect to loans originated on or after July 1, 2003. The Depositor makes no representations as to the effect that the prepayment charges, decisions by the Master Servicer with respect to the waiver thereof and the recent amendment of the Parity Act, may have on the prepayment performance of the Mortgage Loans. However, the ruling of the Office of Thrift Supervision (the "OTS") does not retroactively affect loans originated before July 1, 2003. See "Legal Aspects of Mortgage Assets--Enforceability of Certain Provisions--Prepayment Charges" in the prospectus. COLLATERAL TYPE

PRINCIPAL BALANCES AT ORIGINATION

* Based on the original balances of the Mortgage Loans. PRINCIPAL BALANCE AS OF THE CUT-OFF DATE

REMAINING TERM TO MATURITY

MORTGAGE RATE

ORIGINAL LOAN-TO-VALUE RATIOS

FICO SCORE AT ORIGINATION

DEBT-TO-INCOME RATIO

GEOGRAPHIC DISTRIBUTION

OCCUPANCY STATUS

* Based on mortgagor representation at origination. DOCUMENTATION TYPE

LOAN PURPOSE

** Cash proceeds to the borrower inclusive of debt consolidation payments exceed 2% or $2,000 of the original principal balance of the related loan. Also includes all home equity loans originated in Texas with any cash proceeds. *** Cash proceeds to the borrower inclusive of debt consolidation payments do not exceed 2% or $2,000 of the original principal balance of the related loan. Excludes home equity loans originated in Texas with any cash proceeds. CREDIT GRADE

PROPERTY TYPE

PREPAYMENT CHARGE TERM

CONFORMING BALANCE

MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS

MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS

MARGINS OF THE ADJUSTABLE-RATE LOANS

NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS

INITIAL PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS

SUBSEQUENT PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS

GROUP I MORTGAGE LOAN STATISTICS The Group I Mortgage Loans consist of 14,904 adjustable-rate and fixed-rate Mortgage Loans having an aggregate principal balance as of the Cut-off Date of approximately $2,356,427,256, after application of scheduled payments due on or before the Cut-off Date whether or not received and application of all unscheduled payments of principal received prior to the Collateral Selection Date, and subject to a permitted variance of plus or minus 5.0%. None of the Group I Mortgage Loans had a first Due Date prior to January 1, 2004, or after January 1, 2005, or will have a remaining term to stated maturity of less than 175 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any Group I Mortgage Loan is December 1, 2034. COLLATERAL TYPE

PRINCIPAL BALANCES AT ORIGINATION

* Based on the original balances of the Mortgage Loans. PRINCIPAL BALANCE AS OF THE CUT-OFF DATE

STATED REMAINING TERM TO MATURITY

MORTGAGE RATE

ORIGINAL LOAN-TO-VALUE RATIOS

FICO SCORE AT ORIGINATION

DEBT-TO-INCOME RATIO

GEOGRAPHIC DISTRIBUTION

OCCUPANCY STATUS

*Based on mortgagor representation at origination. DOCUMENTATION TYPE

LOAN PURPOSE

** Cash proceeds to the borrower inclusive of debt consolidation payments exceed 2% or $2000 of the original principal balance of the related loan. Also includes all home equity loans originated in Texas with any cash proceeds. *** Cash proceeds to the borrower inclusive of debt consolidation payments do not exceed 2% or $2000 of the original principal balance of the related loan. Excludes home equity loans originated in Texas with any cash proceeds. CREDIT GRADE

PROPERTY TYPE

PREPAYMENT CHARGE TERM

CONFORMING BALANCE

MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS

MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS

GROSS MARGINS OF THE ADJUSTABLE-RATE LOANS

NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS

INITIAL PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS

SUBSEQUENT PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS

GROUP II MORTGAGE LOAN STATISTICS The Group II Mortgage Loans consist of 5,205 adjustable-rate and fixed-rate Mortgage Loans having an aggregate principal balance as of the Cut-off Date of approximately $666,645,197, after application of scheduled payments due on or before the Cut-off Date whether or not received and application of all unscheduled payments of principal received prior to the Cut-off Date. None of the Group II Mortgage Loans had a first Due Date prior to January 1, 2004 or after January 1, 2005, or will have a remaining term to stated maturity of less than 178 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any Group II Mortgage Loan is December 1, 2034. COLLATERAL TYPE

PRINCIPAL BALANCES AT ORIGINATION

*Based on the original balances of the Mortgage Loans. PRINCIPAL BALANCE AS OF THE CUT-OFF DATE

STATED REMAINING TERM TO MATURITY

MORTGAGE RATE

ORIGINAL LOAN-TO-VALUE RATIOS

FICO SCORE AT ORIGINATION

DEBT-TO-INCOME RATIO

GEOGRAPHIC DISTRIBUTION

OCCUPANCY STATUS

*Based on mortgagor representation at origination. DOCUMENTATION TYPE

LOAN PURPOSE

PROPERTY TYPE

PREPAYMENT CHARGE TERM

CONFORMING BALANCE

MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS

MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS

GROSS MARGINS OF THE ADJUSTABLE-RATE LOANS

NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS

INITIAL PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS

SUBSEQUENT PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS

GROUP III MORTGAGE LOAN STATISTICS The Group III Mortgage Loans consist of 5,259 adjustable-rate and fixed-rate Mortgage Loans having an aggregate principal balance as of the Cut-off Date of approximately $1,276,926,965, after application of scheduled payments due on or before the Cut-off Date whether or not received and application of all unscheduled payments of principal received prior to the Cut-off Date. None of the Group III Mortgage Loans had a first Due Date prior to February 1, 2004 or after January 1, 2005, or will have a remaining term to stated maturity of less than 172 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any Group II Mortgage Loan is December 1, 2034. COLLATERAL TYPE

PRINCIPAL BALANCES AT ORIGINATION

*Based on the original balances of the Mortgage Loans. PRINCIPAL BALANCE AS OF THE CUT-OFF DATE

STATED REMAINING TERM TO MATURITY

MORTGAGE RATE

ORIGINAL LOAN-TO-VALUE RATIOS

FICO SCORE AT ORIGINATION

DEBT-TO-INCOME RATIO

GEOGRAPHIC DISTRIBUTION

OCCUPANCY STATUS

*Based on mortgagor representation at origination. DOCUMENTATION TYPE

LOAN PURPOSE

PROPERTY TYPE

PREPAYMENT CHARGE TERM

CONFORMING BALANCE

MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS

MINIMUM MORTGAGE RATES OF THE ADJUSTABLE-RATE LOANS

GROSS MARGINS OF THE ADJUSTABLE-RATE LOANS

NEXT RATE ADJUSTMENT DATE OF THE ADJUSTABLE-RATE LOANS

INITIAL PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS

SUBSEQUENT PERIODIC CAP OF THE ADJUSTABLE-RATE LOANS

Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-WHQ2 8-K