8-K 1 d61757_8k.txt CURRENT REPORT -------------------------------------------------------------------------------- UNITED STATES 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) December 30, 2004 IMH ASSETS CORP. (as depositor under an Indenture, dated as of November 24, 2004, providing for, inter alia, the issuance of Collateralized Asset-Backed Bonds, Series 2004-10) IMH Assets Corp. (Exact name of registrant as specified in its charter) CALIFORNIA 333-117817-03 33-0705301 (State or Other Jurisdiction (Commission (I.R.S. Employer of Incorporation) File Number) Identification No.) 1401 Dove Street Newport Beach, California (Address of Principal 92660 Executive Offices) (Zip Code) Registrant's telephone number, including area code, is (949) 475-3600 -------------------------------------------------------------------------------- Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions (see General Instruction A.2. below): |_| Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) |_| Soliciting material pursuant to Rule 14a-12(b) under the Exchange Act (17 CFR 240.14a-12(b)) |_| Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) |_| Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)) Item 2.01 Completion of Acquisition or Disposition of Assets. On November 24, 2004, a single series of bonds, entitled IMH Assets Corp., Collateralized Asset-Backed Bonds, Series 2004-10 (the "Bonds"), were issued pursuant to an indenture, dated as of November 24, 2004 (the "Agreement"), between Impac CMB Trust Series 2004-10, a Delaware statutory trust, as Issuer (the "Issuer"), and Deutsche Bank National Trust Company, as Indenture Trustee (the "Indenture Trustee"). Item 8.01 Other Events. Description of the Mortgage Pool The Bonds, issued pursuant to the Agreement, evidence in the aggregate the entire beneficial ownership interest in a trust fund (the "Trust Fund"), consisting of mortgage loans (the "Mortgage Pool"). The Mortgage Pool is comprised of one- to four-family, adjustable-rate first lien and fixed-rate second lien mortgage loans (the "Mortgage Loans"). The Mortgage Loans have an initial aggregate principal balance of approximately $2,111,091,000. The tables attached as an exhibit hereto describe certain characteristics of the Mortgage Pool as of the Cut-off Date, with respect to the Mortgage Loans. Item 9.01. Financial Statements and Exhibits. (a) Not applicable (b) Not applicable (c) Exhibits: Exhibit No. Description ----------- ----------- 99.1 Characteristics of the Mortgage Pool as of the Cut-off Date, relating to IMH Assets Corp., Collateralized Asset-Backed Bonds, Series 2004-10. SIGNATURE Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized. By: /s/ Richard J. Johnson --------------------------- Name: Richard J. Johnson Title: Chief Financial Officer Dated: December 30, 2004 EXHIBIT INDEX Exhibit Number Description -------------- ----------- 99.1 Characteristics of the Mortgage Pool as of the Cut-off Date, relating to IMH Assets Corp., Collateralized Asset-Backed Bonds, Series 2004-10. THE MORTGAGE POOL General The mortgage pool consists of four groups of mortgage loans, referred to in the prospectus supplement as "Loan Group 1", "Loan Group 2", "Loan Group 3" and "Loan Group 4" (and each, a "Loan Group"), and also designated as the "Group 1 Loans", the "Group 2 Loans", the "Group 3 Loans" and the "Group 4 Loans", respectively. The Group 1 Loans are one- to four-family, adjustable-rate and fixed-rate, residential mortgage loans secured by first liens on mortgaged properties that conform to Fannie Mae or Freddie Mac loan limits. The Group 2 Loans are one- to four-family, adjustable-rate and fixed-rate, residential mortgage loans secured by first liens on mortgaged properties and one- to four-family, fixed-rate, residential mortgage loans secured by second liens on mortgaged properties that may or may not conform to Fannie Mae or Freddie Mac loan limits. The Group 3 Loans are one- to four-family, adjustable-rate and fixed-rate, residential mortgage loans secured by first liens on mortgaged properties that may or may not conform to Fannie Mae or Freddie Mac loan limits. The Group 4 Loans are adjustable-rate, multifamily mortgage loans secured by first liens on mortgaged properties. The mortgage loans will have original terms to maturity of not greater than 30 years. The Group 2 Loans and Group 3 Loans 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 1 Loans 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 1 Loans have been originated according to underwriting standards that do not satisfy Fannie Mae or Freddie Mac underwriting criteria. The company conveyed the initial mortgage loans to the trust on the Closing Date pursuant to the Trust Agreement. The Seller made certain representations and warranties with respect to the mortgage loans in the Mortgage Loan Purchase Agreement. The company conveyed the Group 2 subsequent mortgage loans to the trust during the Funding Period. The Group 2 subsequent mortgage loans were acquired with amounts on deposit in the Group 2 Pre-Funding Account pursuant to the Group 2 Subsequent Transfer Instrument. The Seller made certain representations and warranties with respect to the initial mortgage loans in the Mortgage Loan Purchase Agreement and with respect to the Group 2 subsequent mortgage loans in the Group 2 subsequent mortgage loan purchase agreement. These representations and warranties were assigned to the indenture trustee for the benefit of the Bondholders and the Bond Insurer. As more particularly described in the prospectus, the Seller has 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 Bondholders or the Bond Insurer. See "The Mortgage Pools -- Representations by Sellers" in the prospectus. None of the initial mortgage loans were 30 days or more delinquent as of the Cut-off Date. 1 Substantially all of the mortgage loans have scheduled monthly payments due on the first of the month. Each adjustable-rate Group 1 Loan, Group 2 Loan, Group 3 Loan and Group 4 Loan is generally assumable in accordance with the terms of the related mortgage note. Each mortgage loan is required to be covered by a standard hazard insurance policy. See "Primary Mortgage Insurance, Hazard Insurance; Claims Thereunder - Hazard Insurance Policies" in the prospectus. Mortgage Rate Adjustment The mortgage rate on substantially all of the adjustable-rate mortgage loans will generally adjust semi-annually or annually commencing after an initial period after origination of generally six months, two years, three years or five years, in each case on each applicable adjustment date to a rate equal to the sum, generally rounded to the nearest one-eighth of one percentage point (12.5 basis points), of (i) the related index and (ii) the gross margin. In addition, the mortgage rate on each adjustable-rate mortgage loan is subject on its first adjustment date following its origination to an initial rate cap and on each adjustment date thereafter to a Subsequent rate cap. All of the adjustable-rate mortgage loans are also subject to maximum and minimum lifetime mortgage rates. The adjustable-rate mortgage loans were generally originated with an initial mortgage rate below the sum of the index at origination and the gross margin. Due to the application of the initial rate caps, Subsequent rate caps, maximum mortgage rates and minimum mortgage rates, the mortgage rate on any adjustable-rate mortgage loan, as adjusted on any related adjustment date, may not equal the sum of the index and the gross margin. The mortgage rate on substantially all of the adjustable-rate mortgage loans in Loan Group 1, substantially all of the mortgage loans in Loan Group 2, substantially all of the mortgage loans in Loan Group 3 and substantially all of the mortgage loans in Loan Group 4 adjusts based on an index equal to Six-Month LIBOR or One-Year 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 adjustable-rate 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 Subsequent rate caps thereafter. Indices on the Mortgage Loans The index applicable to the determination of the mortgage rate on approximately 95.73% of the adjustable-rate mortgage loans 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 2 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 adjustable-rate mortgage loan based on Six-Month LIBOR.

Prepayment Charges Approximately 50.62%, 40.92%, 52.70% and 100.00% of the Group 1 Loans, Group 2 Loans, Group 3 Loans and Group 4 Loans, respectively (in each case, by aggregate outstanding principal balance of the related mortgage loans as of the Cut-off Date), provide for payment by the mortgagor of a prepayment charge in limited circumstances on prepayments. Generally, mortgage loans with prepayment charges provide for payment of a prepayment charge on some partial or full prepayments made within six months, one year, two years, three years, five years, seven years or ten years or other period as provided in the related mortgage note from the date of origination of the mortgage loan. No mortgage loan provides for payment of a prepayment charge on partial or full prepayments made more than ten years from the date of origination of that mortgage loan. The amount of the prepayment charge is as provided in the related mortgage note. 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 on these loans 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. For the multifamily "ARM 3 Year LIB6MO 2/1/1" loans, the amount of the prepayment charge for the first year is 2% of the principal balance of the related mortgage loan for the first year after origination, declining by 1% after the first year and remaining until such charge terminates at the end of the third year. For the multifamily "ARM 3 Year LIB6MO 3/2/1" loans, the amount of the prepayment charge for the first year is 3% of the 3 principal balance of the related mortgage loan for the first year after origination, declining by 1% each year until such charge terminates at the end of the third year. For the multifamily "ARM 3 Year LIB6MO 4/3/2" loan, the amount of the prepayment charge for the first year is 4% of the principal balance of the related mortgage loan for the first year after origination, declining by 1% each year until such charge terminates at the end of the third year. For the "ARM 5 Year LIB6MO 3/2/1/1/1" loans, the amount of the prepayment charge for the first year is 3% of the principal balance of the related mortgage loan for the first year after origination, declining by 1% after the first and second year and remaining until such charge terminates at the end of the fifth year. For the multifamily "ARM 5 Year LIB6MO 5/4/3/2/1" loans, the amount of the prepayment charge for the first year is 5% of the principal balance of the related mortgage loan for the first year after origination, declining by 1% each year until such charge terminates at the end of the fifth year. For the multifamily "ARM 7 Year LIB6MO 3/3/2/2/1/1/0" loan, the amount of the prepayment charge for the first year is 3% of the principal balance of the related mortgage loan for the first and second year after origination, declining by 1% every two years until such charge terminates at the end of the sixth year. For the multifamily "ARM 7 Year LIB6MO 5/4/3/2/1/1/1" loans, the amount of the prepayment charge for the first year is 5% of the principal balance of the related mortgage loan for the first year after origination, declining by 1% each year for each of the following four years and remaining until such charge terminates at the end of the seventh year. For the multifamily "ARM 10 Year LIB6MO 3/3/3/2/2/2/1/1/1/0" loans, the amount of the prepayment charge for the first year is 3% of the principal balance of the related mortgage loan for the first three years after origination, declining by 1% after every three years until such charge terminates at the end of the tenth year. The prepayment charges may, in certain circumstances, be waived by the Master Servicer or the related subservicer. Some of these prepayment charges may not be enforceable in cases where the mortgagor sells the related mortgaged property. There can be no assurance that the prepayment charges will have any effect on the prepayment performance of the mortgage loans. The Master Servicer will deposit all prepayment charges received on the Group 1 Loans, Group 2 Loans and Group 3 Loans into the Payment Account to be included in the related Available Funds. The Master Servicer or the related subservicer will be entitled to all prepayment charges received on the mortgage loans, and these amounts will not be available for payment on the Securities. Primary Mortgage Insurance and the Radian Lender-Paid PMI Policy Substantially all of the Group 1 Loans, Group 2 Loans and Group 3 Loans with a loan-to-value ratio at origination in excess of 80.00% will be insured by one of the following: (1) a Primary Insurance Policy issued by a private mortgage insurer (other than a Radian Lender-Paid PMI Policy) or (2) the Radian Lender-Paid PMI Policy. Each Primary Insurance Policy will insure against default under each insured mortgage note as follows: (A) for which the outstanding principal balance at origination of such mortgage loan is greater than or equal to 80.01% and up to and including 90.00% of the lesser of the Appraised Value and the sale price, such mortgage loan is covered by a Primary Insurance Policy in an amount equal to at least 12.00% of the Allowable Claim and (B) for which the outstanding principal balance at origination of such mortgage loan exceeded 90.00% of the lesser of the Appraised Value and the sales price, such mortgage loan is covered by a Primary Insurance Policy in an amount equal to at least 30.00% of the Allowable Claim. The Radian Lender-Paid PMI Policy will insure against default under each insured mortgage note as follows: (A) for which the outstanding principal balance at origination of such mortgage loan is greater than or equal to 80.01% and up to and including 89.99% of the lesser of the Appraised Value and the sales price, such mortgage loan is covered in an amount equal to at least 22.00% of the Allowable Claim, (B) for which the outstanding principal balance at origination of such mortgage loan is at least 90.00% and up to and including 95.00% of the lesser of the Appraised Value and the sales price, such mortgage loan is covered in an amount equal to at least 22.00% of the Allowable Claim and (C) for which the outstanding principal balance at origination of such mortgage loan is at least 95.01% and up to and including 97.00% of the lesser 4 of the Appraised Value and the sales price, such mortgage loan is covered in an amount equal to at least 35.00% of the Allowable Claim. With respect to the Radian Lender-Paid PMI Policy, the premium will be payable by the Master Servicer out of interest collections on the mortgage loans at a rate equal to the related Radian PMI Rate. The Radian PMI Rates for the mortgage loans will range from 0.33% per annum to 3.06% per annum of the Stated Principal Balance of the related Radian PMI Insured Loan. To the extent of a default by Radian under the Radian Lender-Paid PMI Policy, the Master Servicer will use its best efforts to find a replacement policy with substantially similar terms, with the approval of the Bond Insurer. See "Primary Mortgage Insurance, Hazard Insurance; Claims Thereunder - Hazard Insurance Policies" in the Prospectus. Mortgage Loan Characteristics The Mortgage Pool is comprised of 7,855 mortgage loans, 5,112 of which are in Loan Group 1, 2,003 of which are in Loan Group 2, 592 of which are in Loan Group 3, and 148 of which are in Loan Group 4. References to percentages of the mortgage loans unless otherwise noted are calculated based on the aggregate principal balance of the mortgage loans as of the 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 indenture trustee, and does not have any interest in the mortgage loan. Some of the Group 1 Loans, Group 2 Loans, Group 3 Loans and Group 4 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 Securities-Yield Sensitivity of the Grantor Trust Certificates" in this prospectus supplement. Loan Group 1 The Group 1 Loans had an aggregate principal balance as of the Cut-off Date of approximately $1,000,027,380, after application of scheduled payments due on or before the Cut-off Date, whether or not received. Approximately 91.73% of the Group 1 Loans have adjustable rates and are secured by first liens on the related mortgaged property. Approximately 8.27% of the Group 1 Loans have fixed rates and are secured by first liens on the related mortgaged property. The average principal balance of the Group 1 Loans at origination was approximately $195,722. No Group 1 Loan had a principal balance at origination of greater than approximately $608,300 or less than approximately $18,450. The average principal balance of the Group 1 Loans as of the Cut-off Date was approximately $195,624. No Group 1 Loan had a principal 5 balance as of the Cut-off Date of greater than approximately $608,300 or less than approximately $18,407. As of the Cut-off Date, the Group 1 Loans had mortgage rates ranging from approximately 2.750% per annum to approximately 11.750% per annum and the weighted average mortgage rate was approximately 5.952% per annum. The weighted average remaining term to stated maturity of the Group 1 Loans was approximately 357 months as of the Cut-off Date. None of the Group 1 Loans will have a first Due Date prior to May 1, 2001, or after January 1, 2005, or will have a remaining term to maturity of less than 120 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any Group 1 Loan is December 1, 2034. Approximately 2.55%, 1.29%, 55.77% and 5.09% of the Group 1 Loans have initial interest only periods of 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 and combined loan-to-value ratios, as applicable, at origination of the Group 1 Loans was approximately 76.93%. No loan-to-value ratio at origination of any Group 1 Loan was greater than approximately 100.00% or less than approximately 9.98%. Approximately 0.01% of the Group 1 Loans are balloon loans. The amount of the balloon payment on each of these mortgage loans is substantially in excess of the amount of the scheduled monthly payment on such mortgage loan for the period prior to the Due Date of the balloon payment. These mortgage loans have a weighted average remaining term to maturity of approximately 359 months. None of the Group 1 Loans are buydown mortgage loans. Approximately 99.36% of the Group 1 Loans will not have reached their first adjustment date as of the Closing Date. Approximately 50.62% of the Group 1 Loans provide for prepayment charges. Approximately 3.72% and 8.62% of the Group 1 Loans are covered by a Primary Insurance Policy and the Radian Lender-Paid PMI Policy, respectively. For the 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 1.275% per annum. Set forth below is a description of certain additional characteristics of the Group 1 Loans as of the Cut-off Date, except as otherwise indicated. All percentages of the 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. 6

------------ (1) A mortgage loan with a loan program including the term "30YLIB1M" 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 "30YLIB6M" 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 "30YLIB12M" 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 "2/28LIB6M" 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 "3/27LIB6M" 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 "3/27LIB12M" 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 One-Year LIBOR. A mortgage loan with a loan program including the term "5/25LIB6M" 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 "7/23LIB6M" 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 "7/23LIB12M" 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 One-Year LIBOR. A mortgage loan with a loan program including the term "10/20LIB6M" 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. A mortgage loan with a loan program including the term "15YrFixed" has a term of 15 years with a fixed rate of interest. A mortgage loan with a loan program including the term "30YrFixed" has a term of 30 years with a fixed rate of interest. A mortgage loan with a loan program including the term "30/15FixedBalloon" has a term of 30 years with a fixed rate of interest and allows for a balloon payment. Any mortgage loan with a loan program including the term "IO" has an interest only period. 7

As of origination, the average principal balance of the Group 1 Loans will be approximately $195,722. 8

As of the Cut-off Date, the average current principal balance of the Group 1 Loans will be approximately $195,624. 9

------------ As of the Cut-off Date, the weighted average mortgage rate of the Group 1 Loans will be approximately 5.952% per annum. 10

------------- 11 As of the Cut-off Date, the weighted average remaining months to the next adjustment date of the Group 1 Loans will be approximately 28 months. * Excludes the fixed rate mortgage loans in Loan Group 1. 12

----------- As of the Cut-off Date, the weighted average Gross Margin of the Group 1 Loans will be approximately 4.396% per annum. * Excludes the fixed rate mortgage loans in Loan Group 1. 13

------------- As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the Group 1 Loans will be approximately 11.786% per annum. * Excludes the fixed rate mortgage loans in Loan Group 1.

* Excludes the fixed rate mortgage loans in Loan Group 1. 14

* Excludes the fixed rate mortgage loans in Loan Group 1.

* Excludes the fixed rate mortgage loans in Loan Group 1. 15

---------- The minimum and maximum loan-to-value ratios of the Group 1 Loans at origination were approximately 9.98% and 100.00%, respectively, and the weighted average of the loan-to-value ratios of the Group 1 Loans at origination was approximately 76.93%.

---------- Occupancy type is based on the representation of the borrower at the time of origination. 16

See "--Underwriting Standards" below for a detailed description of the Seller's loan programs and documentation requirements. 17

---------- (1) All of these 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 Group 1 Loans were originated under the Seller's Progressive Express(TM) Program. The underwriting for these Group 1 Loans is generally based on the borrower's "Credit Score" score and therefore these 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.

No more than approximately 0.42% of the 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.

As of the Cut-off Date, the weighted average debt-to-income ratio of the Group 1 Loans will be approximately 38.34% per annum. 19

As of the Cut-off Date, the weighted average months remaining to scheduled maturity of the Group 1 Loans will be approximately 357 months.

As of the Cut-off Date, the weighted average credit score of the Group 1 Loans for which credit scores are available will be approximately 685. 21

As of the Cut-off Date, the weighted average months to roll of the Group 1 Loans will be approximately 28 months. * Excludes the fixed rate mortgage loans in Loan Group 1.

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 Group 2 Loans had an aggregate principal balance as of the Cut-off Date of approximately $670,000,501, after application of scheduled payments due on or before the Cut-off Date, whether or not received. Approximately 88.70% of the Group 2 Loans have adjustable rates and are secured by first liens on the related mortgaged property. Approximately 11.30% of the Group 2 Loans have fixed rates and are secured by second liens on the related mortgaged property. 22 The average principal balance of the Group 2 Loans at origination was approximately $334,632. No Group 2 Loan had a principal balance at origination of greater than approximately $1,440,000 or less than approximately $18,000. The average principal balance of the Group 2 Loans as of the Cut-off Date was approximately $334,499. No Group 2 Loan had a principal balance as of the Cut-off Date of greater than approximately $1,440,000 or less than approximately $17,993. As of the Cut-off Date, the Group 2 Loans had mortgage rates ranging from approximately 3.500% per annum to approximately 13.500% per annum and the weighted average mortgage rate was approximately 5.856% per annum. The weighted average remaining term to stated maturity of the Group 2 Loans was approximately 358 months as of the Cut-off Date. None of the Group 2 Loans will have a first Due Date prior to August 1, 2001, or after January 1, 2005, or will have a remaining term to maturity of less than 176 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any Group 2 Loan is December 1, 2034. Approximately 1.30%, 1.27%, 61.49%, 0.23% and 13.67% of the Group 2 Loans have initial interest only periods of two, three, five, seven 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 combined loan-to-value ratio of a mortgage loan secured by a second lien is equal to the ratio, expressed as a percentage, of the principal amount of the loan at origination, plus the outstanding principal balance of the related senior lien, to the appraised value of the related mortgaged property at the time of origination. The weighted average of the loan-to-value ratios and combined loan-to-value ratios, as applicable, at origination of the Group 2 Loans was approximately 75.18%. No loan-to-value ratio or combined loan-to-value ratio, as applicable, at origination of any Group 2 Loan was greater than approximately 100.00% or less than approximately 10.00 %. Approximately 2.73% of the Group 2 Loans are balloon loans. The amount of the balloon payment on each of these mortgage loans is substantially in excess of the amount of the scheduled monthly payment on such mortgage loan for the period prior to the Due Date of the balloon payment. These mortgage loans have a weighted average remaining term to maturity of approximately 359 months. None of the Group 2 Loans are buydown mortgage loans. Approximately 95.57% of the Group 2 Loans will not have reached their first adjustment date as of the Closing Date. Approximately 40.92% of the Group 2 Loans provide for prepayment charges. Approximately 1.29% and 8.85% of the Group 2 Loans are covered by a Primary Insurance Policy and the Radian Lender-Paid PMI Policy, respectively. For the 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 1.124% per annum. Set forth below is a description of certain additional characteristics of the Group 2 Loans as of the Cut-off Date, except as otherwise indicated. All percentages of the Group 2 Loans are 23 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. All references to loan-to-value ratio or LTV in the following tables refer to the combined-loan-to-value ratio in the case of mortgage loans secured by second liens.

---------------- (1) A mortgage loan with a loan program including the term "30YLIB1M" 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 "30YLIB3M" 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 "30YLIB6M" 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 "30YLIB12M" 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 "2/28LIB6M" 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 "3/27LIB6M" 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 "5/25LIB6M" 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 "5/25LIB12M" 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 One-Year LIBOR. A mortgage loan with a loan program including the term "7/23LIB6M" 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 24 "10/20LIB6M" 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. A mortgage loan with a loan program including the term "10/20LIB12M" 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 One-Year LIBOR. A mortgage loan with a loan program including the term "15YrFixed" has a term of 15 years with a fixed rate of interest. A mortgage loan with a loan program including the term "30YrFixed" has a term of 30 years with a fixed rate of interest. A mortgage loan with a loan program including the term "30/15FixedBalloon" has a term of 30 years with a fixed rate of interest and allows for a balloon payment. Any mortgage loan with a loan program including the term "IO" has an interest only period.

As of origination, the average principal balance of the Group 2 Loans will be approximately $334,632. 25

As of the Cut-off Date, the average current principal balance of the Group 2 Loans will be approximately $334,499. 26

---------- As of the Cut-off Date, the weighted average mortgage rate of the Group 2 Loans will be approximately 5.856% per annum. 27

------------- 28 As of the Cut-off Date, the weighted average remaining months to the next adjustment date of the Group 2 Loans will be approximately 32 months. * Excludes the fixed rate mortgage loans in Loan Group 2. 29

----------- As of the Cut-off Date, the weighted average Gross Margin of the Group 2 Loans will be approximately 3.737% per annum. * Excludes the fixed rate mortgage loans in Loan Group 2. 30

-------------- As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the Group 2 Loans will be approximately 11.490% per annum. * Excludes the fixed rate mortgage loans in Loan Group 2.

* Excludes the fixed rate mortgage loans in Loan Group 2. 31

* Excludes the fixed rate mortgage loans in Loan Group 2.

* Excludes the fixed rate mortgage loans in Loan Group 2. 32

The minimum and maximum loan-to-value ratios of the Group 2 Loans at origination were approximately 10.00% and 100.00%, respectively, and the weighted average of the loan-to-value ratios of the Group 2 Loans at origination was approximately 75.18%. (1) With respect to the fixed-rate second lien Group 2 Loans, the combined loan-to-value ratio.

------------- Occupancy type is based on the representation of the borrower at the time of origination. 33

See "--Underwriting Standards" below for a detailed description of the Seller's loan programs and documentation requirements. 34

-------------- (1) All of these 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 Group 2 Loans were originated under the Seller's Progressive Express(TM) Program. The underwriting for these Group 2 Loans is generally based on the borrower's "Credit Score" score and therefore these 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.

No more than approximately 1.04% of the 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. 36

As of the Cut-off Date, the weighted average debt-to-income ratio of the Group 2 Loans will be approximately 37.13% per annum.

As of the Cut-off Date, the weighted average months remaining to scheduled maturity of the Group 2 Loans will be approximately 358 months.

As of the Cut-off Date, the weighted average credit score of the Group 2 Loans for which credit scores are available will be approximately 692. 38

As of the Cut-off Date, the weighted average months to roll of the Group 2 Loans will be approximately 32 months. * Excludes the fixed rate mortgage loans in Loan Group 2.

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 3 The Group 3 Loans had an aggregate principal balance as of the Cut-off Date of approximately $250,725,039, after application of scheduled payments due on or before the Cut-off Date, whether or not received. Approximately 95.40% of the Group 3 Loans have adjustable rates and are secured by first liens on the related mortgaged property. Approximately 4.60% of 39 the Group 3 Loans have fixed rates and are secured by first liens on the related mortgaged property. The average principal balance of the Group 3 Loans at origination was approximately $423,646. No Group 3 Loan had a principal balance at origination of greater than approximately $1,000,000 or less than approximately $23,225. The average principal balance of the Group 3 Loans as of the Cut-off Date was approximately $423,522. No Group 3 Loan had a principal balance as of the Cut-off Date of greater than approximately $1,000,000 or less than approximately $23,212. As of the Cut-off Date, the Group 3 Loans had mortgage rates ranging from approximately 2.750% per annum to approximately 12.125% per annum and the weighted average mortgage rate was approximately 5.868% per annum. The weighted average remaining term to stated maturity of the Group 3 Loans was approximately 357 months as of the Cut-off Date. None of the Group 3 Loans will have a first Due Date prior to February 1, 2004, or after January 1, 2005, or will have a remaining term to maturity of less than 179 months or greater than 360 months as of the Cut-off Date. The latest maturity date of any Group 3 Loan is December 1, 2034. Approximately 2.37%, 72.20% and 4.35% of the Group 3 Loans have initial interest only periods of 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 and combined loan-to-value ratios, as applicable, at origination of the Group 3 Loans was approximately 78.49%. No loan-to-value ratio at origination of any Group 3 Loan was greater than approximately 100.00% or less than approximately 15.00%. Approximately 0.04% of the Group 2 Loans are balloon loans. The amount of the balloon payment on each of these mortgage loans is substantially in excess of the amount of the scheduled monthly payment on such mortgage loan for the period prior to the Due Date of the balloon payment. These mortgage loans have a weighted average remaining term to maturity of approximately 358 months. None of the Group 3 Loans are buydown mortgage loans. Approximately 98.98% of the Group 3 Loans will not have reached their first adjustment date as of the Closing Date. Approximately 52.70% of the Group 3 Loans provide for prepayment charges. Approximately 4.02% and 12.92% of the Group 3 Loans are covered by a Primary Insurance Policy and the Radian Lender-Paid PMI Policy, respectively. For the Group 3 Loans, the weighted average of the Radian PMI Rates for the mortgage loans covered by the Radian Lender-Paid PMI Policy is approximately 1.024% per annum. Set forth below is a description of certain additional characteristics of the Group 3 Loans as of the Cut-off Date, except as otherwise indicated. All percentages of the Group 3 Loans are approximate percentages by aggregate principal balance as of the Cut-off Date, except as 40 otherwise indicated. Dollar amounts and percentages may not add up to totals due to rounding. All references to loan-to-value ratio or LTV in the following tables refer to the combined-loan-to-value ratio in the case of mortgage loans secured by second liens.

--------------- (1) A mortgage loan with a loan program including the term "30YLIB1M" 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 "30YLIB6M" 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 "30YLIB12M" 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 "2/28LIB6M" 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 "3/27LIB6M" 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 "5/25LIB6M" 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 "7/23LIB6M" 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 "10/20LIB6M" 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. A mortgage loan with a loan program including the term "15YrFixed" has a term of 15 years with a fixed rate of interest. A mortgage loan with a loan program including the term "30YrFixed" has a term of 30 years with a fixed rate of interest. A mortgage loan with a loan program including the term "30/15FixedBalloon" has a term of 30 years with a fixed rate of interest and allows for a balloon payment. Any mortgage loan with a loan program including the term "IO" has an interest only period. 41

As of origination, the average principal balance of the Group 3 Loans will be approximately $423,646. 42

As of the Cut-off Date, the average current principal balance of the Group 3 Loans will be approximately $423,522. 43

---------- As of the Cut-off Date, the weighted average mortgage rate of the Group 3 Loans will be approximately 5.868% per annum. 44

---------- As of the Cut-off Date, the weighted average remaining months to the next adjustment date of the Group 3 Loans will be approximately 29 months. * Excludes the fixed rate mortgage loans in Loan Group 3. 45

------------- As of the Cut-off Date, the weighted average Gross Margin of the Group 3 Loans will be approximately 4.347% per annum. * Excludes the fixed rate mortgage loans in Loan Group 3. 46

---------- As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the Group 3 Loans will be approximately 11.826% per annum. * Excludes the fixed rate mortgage loans in Loan Group 3.

* Excludes the fixed rate mortgage loans in Loan Group 3. 47

* Excludes the fixed rate mortgage loans in Loan Group 3.

* Excludes the fixed rate mortgage loans in Loan Group 3. 48

------------ The minimum and maximum loan-to-value ratios of the Group 3 Loans at origination were approximately 15.00% and 100.00%, respectively, and the weighted average of the loan-to-value ratios of the Group 3 Loans at origination was approximately 78.49%.

------------ Occupancy type is based on the representation of the borrower at the time of origination. 49

See "--Underwriting Standards" below for a detailed description of the Seller's loan programs and documentation requirements. 50

------------ (1) All of these Group 3 Loans were reviewed and placed into risk categories based on the credit standards of the Progressive Series Program. Credit grades of A+, A, and A- correspond to Progressive Series I+, I and II, and III and III+, respectively. (2) These Group 3 Loans were originated under the Seller's Progressive Express(TM) Program. The underwriting for these Group 3 Loans is generally based on the borrower's "Credit Score" score and therefore these Group 3 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.

No more than approximately 1.30% of the Group 3 Loans (by aggregate outstanding principal balance as of the Cut-off Date) are secured by mortgaged properties located in any one zip code. 52

As of the Cut-off Date, the weighted average debt-to-income ratio of the Group 3 Loans will be approximately 38.62% per annum.

As of the Cut-off Date, the weighted average months remaining to scheduled maturity of the Group 3 Loans will be approximately 357 months.

As of the Cut-off Date, the weighted average credit score of the Group 3 Loans for which credit scores are available will be approximately 689. 54

As of the Cut-off Date, the weighted average months to roll of the Group 3 Loans will be approximately 29 months. * Excludes the fixed rate mortgage loans in Loan Group 3.

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 4 The Group 4 Loans had an aggregate principal balance as of the Cut-off Date of approximately $164,913,484, after application of scheduled payments due on or before the Cut-off Date, whether or not received. Approximately 100.00% of the Group 4 Loans have adjustable rates and are secured by first liens on the related mortgaged property. The average principal balance of the Group 4 Loans at origination was approximately $1,115,809. No Group 4 Loan had a principal balance at origination of greater than approximately $3,900,000 or less than approximately $255,000. The average principal balance of 55 the Group 4 Loans as of the Cut-off Date was approximately $1,114,280. No Group 4 Loan had a principal balance as of the Cut-off Date of greater than approximately $3,891,602 or less than approximately $254,237. As of the Cut-off Date, the Group 4 Loans had mortgage rates ranging from approximately 4.000% per annum to approximately 6.625% per annum and the weighted average mortgage rate was approximately 5.276% per annum. The weighted average remaining term to stated maturity of the Group 4 Loans was approximately 358 months as of the Cut-off Date. None of the Group 4 Loans will have a first Due Date prior to September 1, 2004, or after December 1, 2004, or will have a remaining term to maturity of less than 356 months or greater than 359 months as of the Cut-off Date. The latest maturity date of any Group 4 Loan is November 1, 2034. 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 and combined loan-to-value ratios, as applicable, at origination of the Group 4 Loans was approximately 66.80%. No loan-to-value ratio or combined loan-to-value ratio, as applicable, at origination of any Group 4 Loan was greater than approximately 80.00% or less than approximately 22.67%. None of the Group 4 Loans are buydown mortgage loans. None of the Group 4 Loans will be subject to the Home Ownership Act or any comparable state law. Approximately 100.00% of the Group 4 Loans will not have reached their first adjustment date as of the Closing Date. Approximately 100.00% of the Group 4 Loans provide for prepayment charges. The Group 4 Loans had debt service coverage ratios as of the Cut-off Date of at least 1.15x but not more than 2.67x, with a weighted average debt service coverage ratio of approximately 1.31x. The Group 4 Loans had occupancy rates, determined as of the most recent date information was available, ranging from approximately 80% to approximately 100%, with a weighted average occupancy rate at origination of approximately 97.73%. All of the Group 4 Loans accrue interest on an actual number of days in the prior calendar month and a year consisting of 360 days. As a result, the portion of the scheduled monthly payment in respect of interest received on the Group 4 Loans will be greater if the prior calendar month has 31 days, and will be reduced if the prior calendar month is February. However, all of the Group 4 Loans are treated as if they paid interest on a 360-day year consisting of twelve 30-day months. None of the Group 4 Loans are cross-collateralized with other multifamily loans. None of the Group 4 Loans involve borrowers that are bankruptcy-remote special purpose entities. As a result, defaults and losses could occur for reasons unrelated to the financial condition or operation of the related mortgaged property. Set forth below is a description of certain additional characteristics of the Group 4 Loans as of the Cut-off Date, except as otherwise indicated. All percentages of the Group 4 Loans are 56 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.

----------- (1) A mortgage loan with a loan program including the term "30YLIB6M" 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 "3/27LIB6M" 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 "5/25LIB6M" 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 "7/23LIB6M" 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.

57 As of origination, the average principal balance of the Group 4 Loans will be approximately $1,115,809. 58

As of the Cut-off Date, the average current principal balance of the Group 4 Loans will be approximately $1,114,280. 59

------------- As of the Cut-off Date, the weighted average mortgage rate of the Group 4 Loans will be approximately 5.276% per annum. 60

---------- As of the Cut-off Date, the weighted average remaining months to the next adjustment date of the Group 4 Loans will be approximately 39 months. * Excludes the fixed rate mortgage loans in Loan Group 4. 61

---------- As of the Cut-off Date, the weighted average Gross Margin of the Group 4 Loans will be approximately 2.657% per annum. * Excludes the fixed rate mortgage loans in Loan Group 4. 62

---------- As of the Cut-off Date, the weighted average Maximum Mortgage Rate of the Group 4 Loans will be approximately 10.862% per annum. * Excludes the fixed rate mortgage loans in Loan Group 4.

* Excludes the fixed rate mortgage loans in Loan Group 4. 63

* Excludes the fixed rate mortgage loans in Loan Group 4.

* Excludes the fixed rate mortgage loans in Loan Group 4. 64

-------------- The minimum and maximum loan-to-value ratios of the Group 4 Loans at origination were approximately 22.67% and 80.00%, respectively, and the weighted average of the loan-to-value ratios of the Group 4 Loans at origination was approximately 66.80%.

---------------- Occupancy type is based on the representation of the borrower at the time of origination. 65

See "--Underwriting Standards" below for a detailed description of the Seller's loan programs and documentation requirements. 66

---------------- (1) All of these Group 4 Loans were reviewed and placed into risk categories based on the credit standards of the Progressive Series Program. Credit grades of A and correspond to Progressive Series I and II. (2) These Group 4 Loans were originated under the Seller's Progressive Express(TM) Program. The underwriting for these Group 4 Loans is generally based on the borrower's "Credit Score" score and therefore these Group 4 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.

No more than approximately 4.74% of the Group 4 Loans (by aggregate outstanding principal balance as of the Cut-off Date) are secured by mortgaged properties located in any one zip code. 68

As of the Cut-off Date, the weighted average debt-to-income ratio of the Group 4 Loans will be approximately 25.76% per annum.

69 Prepayment Penalty Type

For the multifamily "ARM 3 Year LIB6MO 2/1/1" loans, the amount of the prepayment charge for the first year is 2% of the principal balance of the related mortgage loan for the first year after origination, declining by 1% after the first year and remaining until such charge terminates at the end of the third year. For the multifamily "ARM 3 Year LIB6MO 3/2/1" loans, the amount of the prepayment charge for the first year is 3% of the principal balance of the related mortgage loan for the first year after origination, declining by 1% each year until such charge terminates at the end of the third year. For the multifamily "ARM 3 Year LIB6MO 4/3/2" loan, the amount of the prepayment charge for the first year is 4% of the principal balance of the related mortgage loan for the first year after origination, declining by 1% each year until such charge terminates at the end of the third year. For the "ARM 5 Year LIB6MO 3/2/1/1/1" loans, the amount of the prepayment charge for the first year is 3% of the principal balance of the related mortgage loan for the first year after origination, declining by 1% after the first and second year and remaining until such charge terminates at the end of the fifth year. For the multifamily "ARM 5 Year LIB6MO 5/4/3/2/1" loans, the amount of the prepayment charge for the first year is 5% of the principal balance of the related mortgage loan for the first year after origination, declining by 1% each year until such charge terminates at the end of the fifth year. For the multifamily "ARM 7 Year LIB6MO 3/3/2/2/1/1/0" loan, the amount of the prepayment charge for the first year is 3% of the principal balance of the related mortgage loan for the first and second year after origination, declining by 1% every two years until such charge terminates at the end of the sixth year. For the multifamily "ARM 7 Year LIB6MO 5/4/3/2/1/1/1" loans, the amount of the prepayment charge for the first year is 5% of the principal balance of the related mortgage loan for the first year after origination, declining by 1% each year for each of the following four years and remaining until such charge terminates at the end of the seventh year. For the multifamily "ARM 10 Year LIB6MO 3/3/3/2/2/2/1/1/1/0" loans, the amount of the prepayment charge for the first year is 3% of the principal balance of the related mortgage loan for the first three years after origination, declining by 1% after every three years until such charge terminates at the end of the tenth year. 70

As of the Cut-off Date, the weighted average months remaining to scheduled maturity of the Group 4 Loans will be approximately 358 months.

As of the Cut-off Date, the weighted average credit score of the Group 4 Loans for which credit scores are available will be approximately 722. 71

As of the Cut-off Date, the weighted average months to roll of the Group 4 Loans will be approximately 39 months. * Excludes the fixed rate mortgage loans in Loan Group 4.

IMPAC CMB Trust Series 2004-10 8-K