<PAGE> 1
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: June 16, 1997
(Date of earliest event reported)
FIRSTPLUS INVESTMENT CORPORATION
(Exact name of Registrant as specified in its charter)
Nevada 333-26527 75-2596063
(State of Incorporation) (Commission File No.) (I.R.S.) Employer
Identification No.)
3773 Howard Hughes Parkway
Suite 300N
Las Vegas, Nevada 89109
(Address of Principal executive offices) (Zip Code)
Registrant's Telephone Number, Including Area Code: (702) 892-3772
<PAGE> 2
Item 5. Other Events.
Reference is hereby made to Amendment No. 1 to the Registrant's
Registration Statement on Form S-3 (File No. 333-26527) filed with the
Securities and Exchange Commission (the "Commission") on May 22, 1997 (the
"Registration Statement"), pursuant to which the Registrant registered
$5,000,000,000 aggregate principal amount of its asset backed securities,
issuable in various series, for sale in accordance with the provisions of the
Securities Act of 1933, as amended (the "Act"). Reference is also hereby made
to the Prospectus and the related Prospectus Supplement (collectively, the
"Prospectus"), which will be filed with the Commission pursuant to Rule
424(b)(5), with respect to the Registrant's Asset Backed Notes and Asset Backed
Certificates, Series 1997-2 (the "Offered Securities").
The Registrant is filing this Current Report on Form 8-K to provide
prospective investors with certain materials which constitute "Collateral Term
Sheets" as described in the no-action letter dated February 27, 1995 issued by
the Division of Corporation Finance of the Commission to the Public Securities
Association (the "PSA Letter"), the filing of which materials is a condition of
the relief granted in such letters (such materials being the "Collateral Term
Sheets"). The Collateral Term Sheets were prepared solely by PaineWebber
Incorporated in connection with the offering of the Offered Securities, and the
Registrant did not prepare or participate in the preparation of the Collateral
Term Sheets. The Collateral Term Sheets are set forth in Exhibit 28.1 hereto.
The assumptions used in preparing the Collateral Term Sheets were
based upon a preliminary compilation of the underlying collateral and the
estimated principal amount and other features of the Offered Securities. The
actual features of the Offered Securities and a detailed description of the
final constituency of the underlying collateral will be set forth in the
Prospectus.
Due to the preliminary nature of the information regarding the
collateral and the structure of the Offered Securities used in preparing the
Collateral Term Sheets, no assurance can be given as to either the Collateral
Term Sheets' or the underlying assumptions' accuracy, appropriateness or
completeness in any particular context; nor can assurance be given as to
whether the Collateral Term Sheets and/or the assumptions upon which they are
based reflect present market conditions or future market performance. These
Collateral Term Sheets should not be construed as either projections or
predictions or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Collateral Term
Sheets are based on prepayment assumptions, and changes in such prepayment
assumptions may dramatically affect such yields or weighted average lives. In
addition, it is possible that prepayments on the collateral will occur at rates
slower or faster than the rates shown in the Collateral Term Sheets.
Furthermore, unless otherwise provided, the Collateral Term Sheets assume no
losses on the collateral and no interest shortfall. The specific
characteristics of the Offered Securities may differ from those shown in the
Collateral Term Sheets due to differences between the actual collateral and the
hypothetical collateral used in preparing the Collateral Term Sheets. As noted
above, the principal amount and designation of any security described in the
Collateral Term Sheets are subject to change prior to issuance.
-2-
<PAGE> 3
Please be advised that mortgage-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, mortgage prepayments, yield curve
and interest rate risks. Investors should make every effort to consider the
risks of these securities.
Any statement or information contained in the Collateral Term Sheets
shall be deemed to be modified or superseded for purposes of the Prospectus and
the Registration Statement by statements or information contained in the
Prospectus.
Item 7. Financial Statements and Exhibits.
(c) Exhibits
Exhibit No. Description
28.1 Collateral Term Sheets provided by
PaineWebber Incorporated
-3-
<PAGE> 4
Signatures
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.
FIRSTPLUS INVESTMENT CORPORATION
June 16, 1997
By: /s/ CHRISTOPHER J. GRAMLICH
--------------------------------
Christopher J. Gramlich
Senior Vice President
-4-
<PAGE> 5
INDEX TO EXHIBITS
<TABLE>
<CAPTION>
Exhibit No. Description
- ----------- -----------
<S> <C>
28.1 Collateral Term Sheets provided by Paine Webber Incorporated
</TABLE>
<PAGE> 1
EXHIBIT 28.1
Collateral Term Sheets provided by Paine Webber Incorporated
[Begins on Next Page]
<PAGE> 2
PAINEWEBBER INCORPORATED
PRELIMINARY BACKGROUND INFORMATION
FIRSTPLUS HOME LOAN OWNER TRUST 1997-2
DISCLAIMER
The information included herein is produced and provided exclusively by
PaineWebber Incorporated ("PW") as underwriter for the FIRSTPLUS Home Loan
Owner Trust 1997-2, and not by or as agent for FIRSTPLUS Financial, Inc. or any
of its affiliates (collectively, the "Transferor"). The Transferor has not
prepared, reviewed or participated in the preparation hereof, is not
responsible for the accuracy hereof and has not authorized the dissemination
hereof. The analysis in this report is accurate to the best of PW's knowledge
and is based on information provided by the Transferor. PW makes no
representations as to the accuracy of such information provided by the
Transferor.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and prospectus and by any other information subsequently
filed with the Securities and Exchange Commission.
All opinions and conclusions in this report reflect PW's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may
be differences between these assumptions and your actual business practices.
Further, PW does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in this analysis. The decision to adopt
any strategy remains your responsibility. PW (or any of its affiliates) or
their officers, directors, analysts or employees may have positions in
securities, commodities or derivative instruments thereon referred to herein,
and may, as principal or agent, buy or sell such securities, commodities or
derivative instruments. In addition, PW may make a market in the securities
referred to herein. Neither the information nor the opinions expressed shall
be construed to be, or constitute, an offer to sell or buy or a solicitation of
an offer to sell or buy any securities, commodities or derivative instruments
mentioned herein. Finally, PW has not addressed the legal, accounting and tax
implications of the analysis with respect to you and PW strongly urges you to
seek advice from your counsel, accountant and tax advisor.
<PAGE> 3
PRICING INFORMATION
<TABLE>
<CAPTION>
AVG. PRINCIPAL RATINGS
CLASS SIZE RATE LIFE WINDOW(MTHS) S&P/DUFF/FITCH
- ------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
A-1 Notes: [$52,580,000] [%] 0.30 7 AAA/AAA/AAA
A-2 Notes: [$104,450,000] [%] 1.00 13 AAA/AAA/AAA
A-3 Notes: [$83,610,000] [%] 2.00 12 AAA/AAA/AAA
A-4 Notes: [$80,870,000] [%] 3.00 14 AAA/AAA/AAA
A-5 Notes: [$64,330,000] [%] 4.00 12 AAA/AAA/AAA
A-6 Notes: [$46,900,000] [%] 5.00 17 AAA/AAA/AAA
A-7 Notes: [$54,600,000] [%] 7.00 31 AAA/AAA/AAA
A-8 Notes: [$49,520,000] [%] 10.00 45 AAA/AAA/AAA
A-9 Notes: [$46,265,000] [%] 15.74 133 AAA/AAA/AAA
M-1 Notes: [$78,750,000] [%] 9.86 204 AA/ AA/ AA
M-2 Notes: [$39,375,000] [%] 9.82 185 A/ A/ A
B-1 Notes: [$31,875,000] [%] 9.75 171 BBB/BBB/BBB
</TABLE>
NOT OFFERED
B-2 Certificates:
<TABLE>
<S> <C> <C> <C>
[$16,875,000] [%] 9.60 149
</TABLE>
Red Herring Available: Monday June 9, 1997
Pricing Speed: 2% CPR, increasing to 12% CPR over 12 months
First Payment Date: July 10, 1997
Settlement Date: On or about June 18, 1997
Cut-off Date: May 31, 1997
Payment Delay: 9 Days
Interest Payment: 30/360
Payment Terms: Monthly
-2-
<PAGE> 4
DESCRIPTION OF SECURITIES
Title of Securities: FIRSTPLUS HOME LOAN OWNER TRUST 1997-2
Notes: Class A-1 through A-9 Notes (the "Class A Notes" or
"Senior Notes"), Class M-1 and Class M-2 Notes (the
"Mezzanine Notes") and Class B-1 Notes (the "Class B-1
Notes", and together with the Senior Notes and
Mezzanine Notes, the "Notes").
Certificates: A single class of subordinated certificates (the
"Certificates") will be issued by the Trust, but NOT
offered pursuant to the Prospectus (defined below).
Lead Underwriters: PaineWebber Incorporated
Co-Underwriters: Banc One Capital Corporation, Bear Stearns and Co. Inc.
and Merrill Lynch & Co.
Seller: FIRSTPLUS Investment Corporation
Transferor/Servicer: FIRSTPLUS Financial Inc.
Underlying Collateral: The Notes will be secured, in part, by debt
consolidation, home improvement, and other primarily
second lien home equity loans, with combined loan to
value ratios generally in excess of 100%.
Owner Trustee: Wilmington Trust Company
Co-owner Trustee and
Indenture Trustee: First Bank National Association
Securities Offered: Only the Class A, Class M-1, Class M-2 and Class B-1
Notes are being offered pursuant to the prospectus.
Neither the Certificates nor the Residual Interest are
being offered hereby.
Offering: Public shelf offering - a prospectus and prospectus
supplement will be distributed after pricing.
Settlement Date: On or about June 18, 1997
Cut-off Date: May 31, 1997 (Close of business)
First Payment Date: July 10, 1997
-3-
<PAGE> 5
Form of Offering: Book-Entry form, same-day funds through DTC for all of
the Notes.
Pricing Assumption: 2% CPR, increasing to 12% CPR over 12 months
Interest Accrual
Period: Interest will accrue at a fixed rate during the month
prior to the month of the related distribution date
based on a 30/360 year.
Payment Date: The 10th day of each month (or, if any such date is not
a business day, the next business day thereafter)
commencing on July 10, 1997.
Credit Enhancement: Credit enhancement with respect to the Notes and
Certificates will be provided by (1) the subordination
of the rights of holders of the Residual Interest, the
Certificates and lower-rated classes of Notes to
receive interest and principal, respectively, and (2)
Overcollateralization.
Excess Interest. The weighted average coupon rate on
the loans is generally expected to be higher than the
sum of (a) the servicing fee, (b) the trustee fee, and
(c) the weighted average pass through rate on the Notes
and Certificates, thus generating excess interest
collections which will be available to fund payments
and distributions on the Notes and Certificates on each
payment date.
Overcollateralization: Excess Interest is applied, to
the extent available, to make accelerated payments of
principal to the Notes and Certificates then entitled
to receive distributions of principal; such application
will cause the aggregate principal balance of the Notes
and Certificates to amortize more rapidly than the
loans, thus increasing the Over-collateralization
Amount. Prior to the step down date, the Required
Overcollateralization Amount equals the greater of (a)
[4.25]% of the original balance of the loans as of the
Cut-off Dates and (b) the Net Delinquency Calculation
Amount. On and after the Step Down Date, the Required
Overcollateralization Amount equals the greater of (a)
[8.50]% of the current principal balance of the loans
and (b) the Net Delinquency Calculation Amount, subject
to a floor of [0.50]% of the original balance of the
loans as of the Cut-Off Dates (the
"Overcollateralization Floor").
Subordination: The rights of the Class M-1 Notes to
receive payments of interest on each Payment Date will
be subordinate to
-4-
<PAGE> 6
those of the Senior Notes, the rights of the Class M-2
Notes to receive payments of interest on each Payment
Date will be subordinate to those of the Senior Notes
and the Class M-1 Notes, the rights of the Class B-1
Notes to receive payments of interest on each Payment
Date will be subordinate to those of the Senior Notes
and Mezzanine Notes, the rights of the Class B-2
Certificates to receive distributions of interest on
each Payment Date will be subordinate to those of the
Notes, and the rights of the Residual Interest to
receive distributions on each Payment Date will be
subordinate to those of the Notes and Certificates.
Subordination(Continued): The rights of the Class M-1
Notes to receive payments of principal on each Payment
Date will be subordinate to those of the Senior Notes,
the rights of the Class M-2 Notes to receive payments
of principal on each Payment Date will be subordinate
to those of the Senior Notes and the Class M-1 Notes,
the rights of the Class B-1 Notes to receive payments
of principal on each Payment Date will be subordinate
to those of the Senior Notes and Mezzanine Notes, the
rights of the Class B-2 Certificates to receive
distributions of principal on each Payment Date will be
subordinate to those of Notes, and the rights of the
Residual Interest to receive distributions on each
Payment Date will be subordinate to those of the Notes
and Certificates.
Step Down Date: The step down date means the first Payment Date
occurring after [June 2000] in which the balance of
the Senior Notes equals the Senior Optimal Balance.
Net Delinquency
Calculation Amount: With respect to any Payment Date, the excess, if any, of
(x) the product of [1.7] and the Six Month Rolling
Delinquency Average over (y) the aggregate amounts of
Excess Spread for the three preceding Payment Dates.
-5-
<PAGE> 7
SUMMARY OF SUBORDINATION & REQUIRED OVERCOLLATERALIZATION AMOUNTS:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------
INITIAL EXPECTED BEFORE STEP DOWN AFTER STEP DOWN AFTER STEP DOWN
SUBORD.(a) O/C AMOUNT (b) SUBORD. (c) O/CAMOUNT (d)
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Class A Notes 22.25% 4.25% 44.50% 8.50%
Class M-1 Notes 11.75% 4.25% 23.50% 8.50%
Class M-2 Notes 6.50% 4.25% 13.00% 8.50%
Class B-1 Notes 2.25% 4.25% 4.50% 8.50%
</TABLE>
a) The initial amount of subordination for each class as of the closing
date.
b) The Required Overcollateralization Amount prior to the step down date.
c) The expected subordination for each class on the step down date.
d) The Required Overcollateralization Amount on and after the step down date
as a percentage of the current collateral balance, but at no time less
than the Overcollateralization Floor.
Payment and Distribution
Priorities:
(1) interest to the holders of the Senior Notes;
(2) interest to the holders of the Class M-1 Notes;
(3) interest to the holders of the Class M-2 Notes;
(4) interest to the holders of the Class B-1 Notes;
(5) interest to the holders of the B-2 Certificates;
(6) sequentially to the Class A-1, Class A-2, Cass A-3, Class
A-4, Class A-5, Class A-6, Class A-7, Class A-8, Class A-9, in that
order until the respective Class Principal Balances thereof are
reduced to zero, the amount necessary to reduce the aggregate of
the Senior Notes to the Senior Optimal Principal Balance.
(7) to the Class M-1 Notes the amount necessary to reduce the
Class M-1 Notes to the Class M-1 Optimal Principal Balance.
(8) to the Class M-2 Notes the amount necessary to reduce the
Class M-2 Notes to the Class M-2 Optimal Principal Balance.
(9) to the Class B-1 Notes the amount necessary to reduce the
Class B-1 Notes to the Class B-1 Optimal Principal Balance.
(10) to the Class B-2 Certificates the amount necessary to
reduce the Class B-2 Certificates to the Class B-2 Optimal
Principal Balance.
(11) sequentially to the Class M-1 Notes and the Class M-2
Notes, in that order, until their respective Deferred Amounts, if
any, have been paid in full;
(12) to the Class B-1 Notes until the applicable Deferred
Amount, if any, has been paid in full;
-6-
<PAGE> 8
(13) to the Class B-2 Certificates until the Loss Reimbursement
Deficiency, if any, has been paid in full; and
(14) any remaining amounts to the holders of the Residual
Interest.
Application of Applicable
Loss Amounts: Realized losses will be absorbed first by Excess
Interest and the reduction of the
Over-collateralization Amount. Following the reduction
of any Overcollateralization Amount to zero, any
Allocable Loss Amounts will be applied in reduction of
(1) the Certificates until the Certificates have been
reduced to zero; (2) the Class B-1 Notes until the
Class B-1 Notes have been reduced to zero; (3) the
Class M-2 Notes until the Class M-2 Notes have been
reduced to zero; and (4) the Class M-1 Notes until the
Class M-1 Notes have been reduced to zero. The Senior
Notes will not be reduced for any Allocable Loss
Amounts. Any Allocable Loss Amounts with respect to
the Notes ("Deferred Amounts") or the Certificates
("Loss Reimbursement Deficiency") will entitle such
class to receive reimbursement for such amounts as
described under "Payment and Distribution Priorities"
above.
Optional Termination: The Affiliated Holder may cause the Indenture Trustee
to sell all of the Home Loans and thus cause an early
termination of the Notes and Certificates on any
remittance date when the pool principal balance is less
than or equal to 17% of the original pool balance
(including those loans purchased during the pre-funding
period), so long as a minimum termination price is
reached. In addition, the holder of the residual
interest may cause an early termination of the Notes
and Certificates on any remittance date when the pool
principal balance is less than or equal to 10% of the
original pool balance (including those loans purchased
during the pre-funding period), by providing for the
payment of the termination price.
Servicing/Other Fees: The collateral is subject to certain fees, including a
servicing fee of 0.75% per annum payable monthly, and
trustee fees.
Advancing by Servicer: There is no required advancing of delinquent principal
or interest by the servicer or trustees.
Pre-funding Account: Approximately $182,137,784 of the proceeds from the
sale of the Notes and the Certificates will be placed
in a pre-funding account for the acquisition of
additional mortgage loans during a 90 day period
following the closing date. Sale proceeds will also
fund the Capitalized Interest Account.
-7-
<PAGE> 9
Tax Considerations: The trust will be a Owner Trust. The Notes will be
characterized as debt for federal income tax purposes.
ERISA Considerations: The Notes will be ERISA eligible. However, investors
should consult with their counsel with respect to the
consequences under ERISA and the Internal Revenue Code
of the Plan's acquisition and ownership of such
certificates.
SMMEA Eligibility: NONE of the Notes will be SMMEA-eligible.
Prospectus: The Notes are being offered pursuant to a Prospectus
which includes a Prospectus Supplement (together, the
"Prospectus"). Complete information with respect to
the Notes and the collateral is contained in the
Prospectus. The material presented herein is qualified
in its entirety by the information appearing in the
Prospectus. To the extent that the foregoing is
inconsistent with the Prospectus, the Prospectus shall
govern in all respects. Sales of the Notes may not be
consummated unless the purchaser has received the
Prospectus.
-8-
<PAGE> 10
DESCRIPTION OF INITIAL HOME LOANS AS OF THE CUT-OFF DATE
<TABLE>
<S> <C>
Number of Loans: 18,554
Current Balance: $567,862,216
Average Current Balance: $30,606
Minimum Balance: $1,892
Maximum Balance: $80,000
Weighted Average Coupon: 13.75
Weighted Average Age: 3
Weighted Average Remaining Term: 229
Weighted Average Original CLTV: 109.63%
Loans with CLTV Over 100%: 77.76%
Maximum CLTV: 125%
Weighted Average FICO Score: 681
Weighted Average DTI Ratio: 36%
</TABLE>
The sums and percentages in the following tables may not equal the totals shown
due to rounding.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE POOL%
- ------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Home Loan Rates (%) 9.000 to 9.999 2 114,648 0.02
10.000 to 10.999 242 7,585,681 1.34
11.000 to 11.999 2,301 76,680,024 13.50
12.000 to 12.999 4,434 145,586,542 25.64
13.000 to 13.999 4,233 131,884,065 23.22
14.000 to 14.999 3,797 111,351,027 19.61
15.000 to 15.999 2,196 60,511,493 10.66
16.000 to 16.999 1,005 26,156,240 4.61
17.000 to 17.999 293 6,798,768 1.20
18.000 to 18.999 47 1,100,684 0.19
19.000 to 19.999 4 93,044 0.02
------ ----------- ------
18,554 567,862,216 100.00
- ------------------------------------------------------------------------
</TABLE>
-9-
<PAGE> 11
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE POOL%
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Current Balance ($) Up to 10,000 166 1,538,322 0.27
10,000.01 to 20,000.00 3,144 52,155,910 9.18
20,000.01 to 30,000.00 7,231 183,702,377 32.35
30,000.01 to 40,000.00 4,938 173,698,052 30.59
40,000.01 to 50,000.00 2,127 98,752,530 17.39
50,000.01 to 60,000.00 572 32,023,225 5.64
60,000.01 to 70,000.00 268 17,616,513 3.10
------ ----------- -----
70,000.01 to 80,000.00 108 8,375,286 1.47
- --------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE POOL%
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Original Balance ($) Up to 10,000 158 1,467,753 0.26
10,000.01 to 20,000.00 3,110 51,422,737 9.06
20,000.01 to 30,000.00 7,252 183,911,351 32.39
30,000.01 to 40,000.00 4,947 173,847,269 30.61
40,000.01 to 50,000.00 2,137 99,098,986 17.45
50,000.01 to 60,000.00 572 32,002,506 5.64
60,000.01 to 70,000.00 270 17,736,329 3.12
------ ----------- ------
70,000.01 to 80,000.00 108 8,375,286 1.47
- --------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE POOL%
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Remaining Term
(Months) Up to 60 310 6,053,401 1.07
61 to 90 200 4,276,214 0.75
91 to 120 1,890 46,262,043 8.15
121 to 150 67 1,709,934 0.30
151 to 180 6,218 180,757,625 31.83
181 to 210 11 381,855 0.07
211 to 240 3,206 100,652,910 17.72
241 to 270 1 11,833 0.00
------ ----------- ------
271 to 300 6,651 227,756,402 40.11
------ ----------- ------
18,554 567,862,216 100.00
- --------------------------------------------------------------------------
</TABLE>
-10-
<PAGE> 12
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE POOL%
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Age (Months) Up to 12 18,104 557,000,348 98.09
13 to 24 447 10,752,047 1.89
Over 24 3 109,821 0.02
------ ----------- ------
18,554 567,862,216 100.00
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE POOL%
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
State AK 12 529,374 0.09
AL 13 337,838 0.06
AR 71 2,117,602 0.37
AZ 796 23,075,015 4.06
CA 7,056 234,347,620 41.27
CO 861 25,480,069 4.49
CT 41 1,124,114 0.20
DC 7 234,592 0.04
DE 9 302,443 0.05
FL 1,308 37,361,471 6.58
GA 757 21,649,990 3.81
HI 1 34,747 0.01
IA 54 1,506,896 0.27
ID 233 6,866,851 1.21
IL 364 10,652,358 1.88
IN 411 11,712,458 2.06
KS 151 4,708,931 0.83
KY 105 2,683,790 0.47
LA 70 2,102,899 0.37
MA 140 4,534,272 0.80
MD 453 13,874,536 2.44
MI 367 10,167,589 1.79
MN 305 9,319,905 1.64
MO 260 7,050,042 1.24
MS 67 1,817,353 0.32
MT 36 1,117,767 0.20
NC 370 10,365,509 1.83
</TABLE>
-11-
<PAGE> 13
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE POOL%
- -------------------------------------------------------------------------
<S> <C> <C> <C> <C>
State (continued) ND 6 150,459 0.03
NE 53 1,467,959 0.26
NH 32 953,818 0.17
NJ 127 3,449,055 0.61
NM 138 4,331,387 0.76
NV 585 17,665,426 3.11
NY 53 1,453,282 0.26
OH 324 8,186,443 1.44
OK 221 6,074,756 1.07
OR 236 7,011,559 1.23
PA 172 4,794,510 0.84
RI 24 671,779 0.12
SC 278 7,633,129 1.34
SD 10 318,167 0.06
TN 377 10,265,703 1.81
TX 11 120,631 0.02
UT 286 8,625,124 1.52
VA 465 13,344,989 2.35
VT 4 134,007 0.02
WA 686 21,838,934 3.85
WI 93 2,662,388 0.47
WV 15 366,868 0.06
WY 40 1,265,811 0.22
------ ----------- ------
18,554 567,862,216 100.0
- -------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE POOL%
- -------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FICO Score 600 to 619 121 2,906,993 0.51
620 to 639 2,278 55,330,430 9.74
640 to 659 3,792 107,450,245 18.92
660 to 679 3,625 114,747,911 20.21
680 to 699 3,507 115,619,343 20.36
700 to 719 2,700 90,722,121 15.98
720 to 739 1,470 47,020,647 8.28
740 to 759 711 22,542,307 3.97
760 to 779 272 8,960,674 1.58
780 or More 78 2,561,545 0.45
------ ----------- ------
18,554 567,862,216 100.00
- -------------------------------------------------------------------------
</TABLE>
-12-
<PAGE> 14
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE POOL%
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Debt to Income Ratio 20.00 and Under 440 12,594,078 2.22
20.01 to 25.00 1,323 38,260,055 6.74
25.01 to 30.00 2,568 76,253,550 13.43
30.01 to 35.00 3,975 118,696,592 20.90
35.01 to 40.00 4,578 138,293,516 24.35
40.01 to 45.00 4,348 136,744,565 24.08
45.01 to 50.00 1,287 45,941,895 8.09
Greater than 50 35 1,077,965 0.19
------ ----------- ------
18,554 567,862,216 100.00
- ---------------------------------------------------------------------------
</TABLE>
BOND SENSITIVITY TO PREPAYMENT ASSUMPTIONS
<TABLE>
<CAPTION>
% OF PREPAYMENT ASSUMPTION
CLASS A-1 0% 50% 75% 100% 125% 150%
---------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Average Life (years) 0.57 0.37 0.33 0.30 0.28 0.26
Mod. Duration (years) 0.54 0.36 0.32 0.29 0.27 0.25
First Principal Pymt. 7/97 7/97 7/97 7/97 7/97 7/97
Last Principal Pymt. 1/99 2/98 1/98 1/98 12/97 12/97
Illustrative Yield (%) 6.02 5.87 5.82 5.78 5.74 5.69
(at 100-00)
</TABLE>
<TABLE>
<CAPTION>
% OF PREPAYMENT ASSUMPTION
CLASS A-2 0% 50% 75% 100% 125% 150%
---------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 4.25 1.54 1.20 1.00 0.88 0.79
Mod. Duration (years) 3.57 1.41 1.12 0.94 0.83 0.75
First Principal Pymt. 1/99 2/98 1/98 1/98 12/97 12/97
Last Principal Pymt. 12/03 12/99 5/99 1/99 10/98 8/98
Illustrative Yield (%) 6.35 6.28 6.25 6.23 6.20 6.18
(at 100-00)
</TABLE>
-13-
<PAGE> 15
<TABLE>
<CAPTION>
% OF PREPAYMENT ASSUMPTION
CLASS A-3 0% 50% 75% 100% 125% 150%
--------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 7.92 3.27 2.48 2.00 1.69 1.47
Mod. Duration (years) 5.98 2.85 2.22 1.82 1.55 1.36
First Principal Pymt. 12/03 12/99 5/99 1/99 10/98 8/98
Last Principal Pymt. 8/06 7/01 7/00 12/99 7/99 4/99
Illustrative Yield (%) 6.63 6.60 6.59 6.57 6.55 6.54
(at 100-00)
</TABLE>
<TABLE>
<CAPTION>
% OF PREPAYMENT ASSUMPTION
CLASS A-4 0% 50% 75% 100% 125% 150%
-------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 10.30 4.90 3.74 3.00 2.51 2.16
Mod. Duration (years) 7.20 4.04 3.20 2.63 2.24 1.95
First Principal Pymt. 8/06 7/01 7/00 12/99 7/99 4/99
Last Principal Pymt. 12/08 3/03 11/01 1/01 6/00 1/00
Illustrative Yield (%) 6.79 6.77 6.76 6.75 6.74 6.73
</TABLE>
<TABLE>
<CAPTION>
% OF PREPAYMENT ASSUMPTION
CLASS A-5 0% 50% 75% 100% 125% 150%
-------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 12.27 6.46 4.96 4.00 3.34 2.86
Mod. Duration (years) 8.05 5.06 4.07 3.39 2.89 2.52
First Principal Pymt. 12/08 3/03 11/01 1/01 6/00 1/00
Last Principal Pymt. 6/10 9/04 1/03 12/01 3/01 9/00
Illustrative Yield (%) 6.92 6.90 6.90 6.89 6.88 6.87
(at 100-00)
</TABLE>
<TABLE>
<CAPTION>
% OF PREPAYMENT ASSUMPTION
CLASS A-6 0% 50% 75% 100% 125% 150%
------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 13.66 7.94 6.19 5.00 4.18 3.58
Mod. Duration (years) 8.55 5.91 4.87 4.09 3.51 3.07
First Principal Pymt. 6/10 9/04 1/03 12/01 3/01 9/00
Last Principal Pymt. 12/11 6/06 8/04 4/03 4/02 8/01
Illustrative Yield (%) 7.01 7.00 7.00 6.99 6.98 6.97
(at 100-00)
</TABLE>
-14-
<PAGE> 16
<TABLE>
<CAPTION>
% OF PREPAYMENT ASSUMPTION
CLASS A-7 0% 50% 75% 100% 125% 150%
---------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 16.52 10.57 8.51 7.00 5.88 5.04
Mod. Duration (years) 9.22 7.08 6.10 5.28 4.61 4.06
First Principal Pymt. 12/11 6/06 8/04 4/03 4/02 8/01
Last Principal Pymt. 1/16 10/09 7/07 11/05 7/04 7/03
Illustrative Yield (%) 7.38 7.31 7.26 7.21 7.15 7.08
(at 102-00)
</TABLE>
<TABLE>
<CAPTION>
% OF PREPAYMENT ASSUMPTION
CLASS A-8 0% 50% 75% 100% 125% 150%
---------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 20.18 14.04 11.87 10.00 8.53 7.38
Mod. Duration (years) 10.08 8.40 7.59 6.80 6.08 5.47
First Principal Pymt. 1/16 10/09 7/07 11/05 7/04 7/03
Last Principal Pymt. 7/19 11/13 5/11 7/09 10/07 6/06
Illustrative Yield (%) 7.50 7.45 7.43 7.39 7.35 7.31
(at 102-00)
</TABLE>
<TABLE>
<CAPTION>
% OF PREPAYMENT ASSUMPTION
CLASS A-9 0% 50% 75% 100% 125% 150%
----------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 23.55 20.10 17.80 15.74 13.89 12.29
Mod. Duration (years) 10.53 9.85 9.30 8.73 8.15 7.58
First Principal Pymt. 7/19 11/13 5/11 7/09 10/07 6/06
Last Principal Pymt. 4/22 12/21 6/21 7/20 12/18 12/16
Illustrative Yield (%) 7.73 7.72 7.70 7.69 7.67 7.65
(at 102-00)
</TABLE>
<TABLE>
<CAPTION>
% OF PREPAYMENT ASSUMPTION
CLASS M-1 0% 50% 75% 100% 125% 150%
----------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 19.02 13.71 11.59 9.86 8.48 7.38
Mod. Duration (years) 9.70 8.05 7.22 6.48 5.83 5.27
First Principal Pymt. 12/10 2/05 6/03 4/02 7/01 12/00
Last Principal Pymt. 3/22 7/21 9/20 3/19 2/17 4/15
Illustrative Yield (%) 7.55 7.52 7.51 7.49 7.47 7.45
(at 101-00)
</TABLE>
-15-
<PAGE> 17
<TABLE>
<CAPTION>
% OF PREPAYMENT ASSUMPTION
CLASS M-2 0% 50% 75% 100% 125% 150%
---------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 19.02 13.69 11.55 9.82 8.44 7.34
Mod. Duration (years) 9.58 7.96 7.14 6.41 5.77 5.21
First Principal Pymt. 12/10 2/05 6/03 4/02 7/01 12/00
Last Principal Pymt. 1/22 1/21 10/19 8/17 9/15 9/13
Illustrative Yield (%) 7.75 7.75 7.75 7.74 7.74 7.74
(at 100-00)
</TABLE>
<TABLE>
<CAPTION>
% OF PREPAYMENT ASSUMPTION
CLASS B-1 0% 50% 75% 100% 125% 150%
---------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 19.01 13.65 11.48 9.75 8.36 7.27
Mod. Duration (years) 9.26 7.74 6.96 6.26 5.63 5.10
First Principal Pymt. 12/10 2/05 6/03 4/02 7/01 12/00
Last Principal Pymt. 12/21 6/20 8/18 6/16 4/14 4/12
Illustrative Yield (%) 8.20 8.20 8.19 8.19 8.19 8.18
(at 100-00)
</TABLE>
<TABLE>
<CAPTION>
% OF PREPAYMENT ASSUMPTION
CLASS A-8 (17% CALL) 0% 50% 75% 100% 125% 150%
---------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 20.02 13.81 11.71 9.85 8.39 7.24
Mod. Duration (years) 10.05 8.32 7.54 6.73 6.02 5.40
First Principal Pymt. 1/16 10/09 7/07 11/05 7/04 7/03
Last Principal Pymt. 6/18 2/12 3/10 4/08 9/06 6/05
Illustrative Yield (%) 7.49 7.45 7.42 7.39 7.35 7.31
(at 102-00)
</TABLE>
<TABLE>
<CAPTION>
CLASS A-9 (17% CALL) 0% 50% 75% 100% 125% 150%
---------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 20.98 14.64 12.73 10.81 9.23 7.98
Mod. Duration (years) 10.07 8.49 7.84 7.09 6.38 5.76
First Principal Pymt. 6/18 2/12 3/10 4/08 9/06 6/05
Last Principal Pymt. 6/18 2/12 3/10 4/08 9/06 6/05
Illustrative Yield (%) 7.72 7.68 7.66 7.63 7.60 7.56
(at 102-00)
</TABLE>
-16-
<PAGE> 18
<TABLE>
<CAPTION>
CLASS M-1 (17% CALL) 0% 50% 75% 100% 125% 150%
---------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 18.30 12.22 10.23 8.55 7.25 6.24
Mod. Duration (years) 9.57 7.66 6.81 6.02 5.34 4.76
First Principal Pymt. 12/10 2/05 6/03 4/02 7/01 12/00
Last Principal Pymt. 6/18 2/12 3/10 4/08 9/06 6/05
Illustrative Yield (%) 7.55 7.52 7.50 7.47 7.45 7.42
(at 101-00)
</TABLE>
<TABLE>
<CAPTION>
CLASS M-2 (17% CALL) 0% 50% 75% 100% 125% 150%
---------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 18.30 12.22 10.23 8.55 7.25 6.24
Mod. Duration (years) 9.45 7.58 6.75 5.97 5.30 4.73
First Principal Pymt. 12/10 2/05 6/03 4/02 7/01 12/00
Last Principal Pymt. 6/18 2/12 3/10 4/08 9/06 6/05
Illustrative Yield (%) 7.75 7.75 7.74 7.74 7.74 7.73
(at 100-00)
</TABLE>
<TABLE>
<CAPTION>
CLASS B-1 (17% CALL) 0% 50% 75% 100% 125% 150%
---------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 18.30 12.22 10.23 8.55 7.25 6.24
Mod. Duration (years) 9.15 7.40 6.61 5.86 5.21 4.66
First Principal Pymt. 12/10 2/05 6/03 4/02 7/01 12/00
Last Principal Pymt. 6/18 2/12 3/10 4/08 9/06 6/05
Illustrative Yield (%) 8.20 8.20 8.19 8.19 8.18 8.18
(at 100-00)
</TABLE>
-17-
