<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 (Date of earliest event reported): June 14, 1999
Banc One ABS Corporation
- --------------------------------------------------------------------------------
(EXACT NAME OF REGISTRANT AS SPECIFIED IN ITS CHARTER)
DELAWARE 333-59845 31-1467431
- --------------------------------------------------------------------------------
(STATE OR OTHER JURISDICTION (COMMISSION) (I.R.S. EMPLOYER
OF INCORPORATION) FILE NUMBER) IDENTIFICATION NO.)
100 East Broad Street, Columbus, Ohio 43271-1038
- --------------------------------------------------------------------------------
(ADDRESS OF PRINCIPAL EXECUTIVE OFFICES) (ZIP CODE)
Registrant's telephone number, including area code (614) 248-5800
Not Applicable
- --------------------------------------------------------------------------------
(FORMER NAME OR FORMER ADDRESS, IF CHANGED SINCE LAST REPORT)
Exhibit Index Located on Page 5
<PAGE> 2
ITEM 5. OTHER EVENTS.
In June 1999, the Registrant will cause the issuance and sale of
approximately $500,000,000 initial principal amount of a single class of HELOC
Asset-Backed Certificates, Series 1999-1 (the "Certificates"), pursuant to a
Pooling and Servicing Agreement to be dated as of May 31, 1999, among the
Registrant, Bank One, N.A., as Servicer, and The Bank of New York, as Trustee.
In connection with the sale of the Certificates, the Registrant has been advised
by Banc One Capital Markets, Inc., Morgan Stanley & Co. Incorporated and
Bear, Stearns & Co. Inc. (together, the "Underwriters"), that the Underwriters
have furnished to prospective investors certain written descriptions of the
securities to be offered that set forth the name of the issuer, the size of the
potential offering, the structure of the potential offering (e.g. interest
rate) and miscellaneous similar items (the "Structural Term Sheets") with
respect to the Certificates following the effective date of Registration
Statement No. 333-59845, but prior to the availability of a final Prospectus
relating to the Certificates. In connection with the sale of the Certificates,
the Registrant also has been informed by the Underwriters that the Underwriters
have furnished to prospective investors certain descriptive information
regarding the mortgage loans (the "Mortgage Loans") underlying the Certificates
that set forth the number of Mortgage Loans, the principal balance of the
Mortgage Loans, information regarding the mortgage rates thereon and
miscellaneous similar items (the "Collateral Term Sheets") following the
effective date of Registration Statement No. 333-59845 but prior to the
availability of a final Prospectus relating to the Certificates. The
Structural Term Sheets and Collateral Term Sheets are being filed as an exhibit
to this report.
The Structural Term Sheets and Collateral Term Sheets attached hereto
have been provided by the Underwriters. The information in the Structural Term
Sheets and Collateral Term Sheets is preliminary and may be superseded by the
Prospectus Supplement relating to the Certificates and by any other information
subsequently filed with the Securities and Exchange Commission.
2
<PAGE> 3
ITEM 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL INFORMATION AND EXHIBITS.
List below the financial statements, pro forma financial information and
exhibits, if any, filed as part of this report.
(a) Financial Statements of Businesses Acquired.
Not applicable
(b) Pro Forma Financial Information.
Not applicable
(c) Exhibits.
99.1 Structural Term Sheets and Collateral Term Sheets prepared by the
Underwriters in connection with the sale of the Certificates of
the Registrant.
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 thereunto duly authorized.
BANC ONE ABS CORPORATION, Registrant
By: /s/ Daniel A. Long, Jr.
-------------------------
Name: Daniel A. Long, Jr.
Title: Vice President
Dated: June 16, 1999
4
<PAGE> 5
INDEX OF EXHIBITS
<TABLE>
<CAPTION>
Exhibit Description
------- -----------
<S> <C>
99.1 Structural Term Sheets and Collateral Term Sheets
prepared by the Underwriters in connection with the
sale of the Certificates of the Registrant.
</TABLE>
5
<PAGE> 1
Exhibit 99.1
TERMSHEET
DATED JUNE 14, 1999
[BANC ONE LOGO]
$500,000,000
BANC ONE HELOC TRUST 1999-1
HELOC ASSET-BACKED CERTIFICATES, SERIES 1999-1
HOME EQUITY LINE OF CREDIT ASSET-BACKED CERTIFICATES
BANC ONE CAPITAL MARKETS, INC. MORGAN STANLEY DEAN WITTER
BEAR, STEARNS & CO. INC.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust and based in part on information
provided by Banc One ABS Corporation or BANK ONE Consumer Lending with respect
to the expected characteristics of the pool of home equity revolving credit line
loans in which the related securities will represent undivided beneficial
interests. The actual characteristics and performance of the home equity
revolving credit line loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. The information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE> 2
$500,000,000 Banc One HELOC Trust 1999-1
HELOC Asset-Backed Certificates, Series 1999-1
Bank One, N.A. - Servicer
Banc One ABS Corporation - Depositor
Transaction Highlights
----------------------
<TABLE>
<CAPTION>
WTD. AVG. PAYMENT WINDOW
EXPECTED RATINGS INITIAL LIFE TO TO CALL/MTY.
DESCRIPTION (S&P/MOODY'S) BALANCE COUPON(1) CALL/MTY. (2)(3) (2)(3)
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
One month LIBOR
Floating Rate Certificates AAA/Aaa $500,000,000 + ___% 2.66 / 2.68 yrs. 78 / 85 mos.
</TABLE>
Notes: (1) Subject to the Net Funds Cap Rate. See details below.
(2) Certificates are priced to the 5% optional clean-up call.
(3) Based on the Pricing Speeds. See details below.
<TABLE>
<CAPTION>
<S> <C>
DEPOSITOR: Banc One ABS Corporation
SERVICER: Bank One, N.A.
TRUSTEE: The Bank of New York
UNDERWRITERS: BANC ONE CAPITAL MARKETS, INC. (BOOKRUNNER), Morgan Stanley Dean Witter (co-lead
manager), and Bear, Stearns & Co. Inc. (co-manager).
EXPECTED PRICING DATE: June [15], 1999.
EXPECTED SETTLEMENT DATE: June [22], 1999 through DTC, Euroclear, and Cedelbank. Settles flat.
DISTRIBUTION DATES: The 20th of each month, beginning July 20, 1999.
MORTGAGE LOANS: The Trust will consist of adjustable rate
home equity revolving credit line loans secured
by first or second mortgages or deeds of trust
on one- to four-family residential properties.
PRICING SPEEDS: 45% CPR and 25% CDR.
CREDIT ENHANCEMENT: The certificates will be credit enhanced by a 100% MBIA financial guaranty
insurance policy, excess interest, overcollateralization and proceeds from a
spread account.
INTEREST RATE: The certificates will bear interest at one-month LIBOR plus ___% per annum,
subject to the Net Funds Cap Rate.
NET FUNDS CAP RATE: The certificates will be subject to a net funds cap rate equal to the weighted
average of the loan rates on the mortgage loans, less 0.65% per annum.
OPTIONAL CLEAN-UP CALL: 5% of original pool balance.
MANAGED AMORTIZATION PERIOD: 5 years.
LEGAL FINAL MATURITY: [April 20, 2020].
TRANSFEROR INTEREST: 2% minimum.
TAX STATUS: The certificates are treated as debt.
ERISA ELIGIBILITY: The certificates are expected to be ERISA eligible.
SMMEA ELIGIBILITY: None of the certificates will be SMMEA eligible.
</TABLE>
This information has been prepared in connection with the issuance of securities
representing interests in the above trust and based in part on information
provided by Banc One ABS Corporation or BANK ONE Consumer Lending with respect
to the expected characteristics of the pool of home equity revolving credit line
loans in which the related securities will represent undivided beneficial
interests. The actual characteristics and performance of the home equity
revolving credit line loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. The information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE> 3
THE BANK ONE HELOC PROGRAM
BANK ONE CORPORATION ("BANK ONE") is the corporation resulting from the
merger, effective October 2, 1998, of BANC ONE CORPORATION and First Chicago NBD
Corporation ("FCN"). BANK ONE, through its affiliated banks, has originated
adjustable rate home equity revolving lines of credit ("HELOCs") since the early
1980's. During the past several years, BANK ONE has undertaken a transition from
managing its business activities at the affiliate (legal entity) level to
centralized management of such business activities by nationally focused lines
of business. As part of this transition, all traditional home equity lending
originated directly with consumers was centralized in early 1997 and became
managed by the BANK ONE Retail Group's Consumer Lending Division. On March 5,
1999, BANK ONE consolidated its home equity lending businesses with its other
consumer lending activities into the BANK ONE Consumer Lending group ("Consumer
Lending"). Reporting through BANK ONE's First USA credit card division, this new
national organization unites BANK ONE's traditional direct home-equity products
with its non-prime and broker home-equity businesses, while also including other
consumer related products such as conventional mortgages, education loans and
tax related products.
DELINQUENCY AND LOSS EXPERIENCE
The following table summarizes the delinquency and loss experience of
HELOCs owned by BANK ONE and its affiliates and serviced by affiliates of BANK
ONE. The statistical information in such table does not include (i) HELOCs
serviced by affiliates of BANK ONE for entities other than BANK ONE and its
affiliates or (ii) FCN Loans (none of which are included in the pool of Mortgage
Loans to be transferred to the Trust). The table below presents home equity
revolving credit line delinquency and loss experience applicable to
substantially all of the United States operations of BANK ONE and its
affiliates, including loans managed in states which are not represented in the
mortgage pool consisting of the Mortgage Loans and real estate acquired through
foreclosure. In early 1997, BANK ONE centralized the management, including loan
servicing, of all HELOCs (including the Mortgage Loans) originated directly with
consumers. Accordingly, the delinquency and loss figures presented below for the
years ending December 31, 1997 and December 31, 1998, and the three-month period
ending March 31, 1999 represent information for HELOCs directly originated and
serviced by BANK ONE and its affiliates under Consumer Lending's management
only. The delinquency and loss information for the three years prior to 1997
represent information with respect to all corporate-owned HELOCs, including
those indirectly originated by BANK ONE and its affiliates and purchased from
correspondent banks and brokers, servicing of substantially all of which is
currently managed by Consumer Lending.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust and based in part on information
provided by Banc One ABS Corporation or BANK ONE Consumer Lending with respect
to the expected characteristics of the pool of home equity revolving credit line
loans in which the related securities will represent undivided beneficial
interests. The actual characteristics and performance of the home equity
revolving credit line loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. The information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE> 4
4
DELINQUENCY AND FORECLOSURE EXPERIENCE
<TABLE>
<CAPTION>
THREE MONTHS
ENDING YEAR ENDING DECEMBER 31,
MARCH 31, ------------------------
1999 1998 1997 1996 1995 1994
---- ---- ---- ---- ---- ----
(DOLLARS IN MILLIONS)
<S> <C> <C> <C> <C> <C> <C>
Principal Amount Outstanding $ 5,034 $ 5,184 $ 5,114 $ 4,828 $ 4,383 $ 3,528
Average Principal Amount
Outstanding (yearend average) $ 5,109 $ 5,149 $ 4,971 $ 4,606 $ 3,956 $ 3,674
Gross Loss $ 5.8 $ 14.5 $ 9.1 $ 11.5 $ 6.8 $ 5.3
Recoveries $ 0.1 $ 0.9 $ 1.4 $ 1.8 $ 1.6 $ 1.6
--------- --------- --------- --------- --------- ---------
Net Loss $ 5.7 $ 13.6 $ 7.7 $ 9.7 $ 5.2 $ 3.7
Net Loss as a Percent of Principal
Outstanding 0.45%(1) 0.26% 0.15% 0.20% 0.12% 0.10%
Net Loss as a Percent of Average
Principal Outstanding 0.45%(1) 0.26% 0.15% 0.21% 0.13% 0.10%
Delinquencies 30-89 days(2) $ 39.2 $ 45.6 $ 40.1 $ 57.8 $ 58.5 $ 28.1
Delinquencies 90+ days(2) $ 3.4 $ 5.5 $ 4.1 $ 11.2 $ 8.1 $ 7.4
--------- --------- --------- --------- --------- ---------
30+ Delinquency(2) $ 42.6 $ 51.1 $ 44.2 $ 69.0 $ 66.6 $ 35.5
Non-Accruals(3) $ 11.2 $ 11.2 $ 10.5 $ 7.0 $ 13.2 $ 8.2
--------- --------- --------- --------- --------- ---------
Non-Performing(4) $ 53.8 $ 62.3 $ 54.7 $ 76.0 $ 79.8 $ 43.7
30+ Delinquency as Percentage of
Principal Amount Outstanding(2)
0.85% 0.99% 0.86% 1.43% 1.52% 1.01%
Non-Accrual as Percentage of
Principal Amount Outstanding 0.22% 0.22% 0.21% 0.14% 0.30% 0.23%
Total Non-Performing as Percentage
of Principal Amount Outstanding
1.07% 1.20% 1.07% 1.57% 1.82% 1.24%
</TABLE>
- -----------------------------
(1) Annualized.
(2) Delinquency calculated at calendar month end.
(3) Non-accruals include all accounts in process of foreclosure.
(4) Non-performing includes 30+ delinquencies and non-accruals.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust and based in part on information
provided by Banc One ABS Corporation or BANK ONE Consumer Lending with respect
to the expected characteristics of the pool of home equity revolving credit line
loans in which the related securities will represent undivided beneficial
interests. The actual characteristics and performance of the home equity
revolving credit line loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. The information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE> 5
5
AVERAGE LIFE SENSITIVITY TO MATURITY
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CPR % 35 35 40 40 45 50 50 55 55
CDR % 30 25 30 25 25 30 25 30 25
Average Life 4.95 4.12 3.91 3.30 2.68 2.52 2.19 2.04 1.79
First Principal 07/99 07/99 07/99 07/99 07/99 07/99 07/99 07/99 07/99
Last Principal 01/07 03/07 10/06 11/06 07/06 03/06 03/06 11/05 09/05
Payment Window 91 93 88 89 85 81 81 77 75
</TABLE>
AVERAGE LIFE SENSITIVITY TO CALL
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CPR % 35 35 40 40 45 50 50 55 55
CDR % 30 25 30 25 25 30 25 30 25
Average Life 4.95 4.11 3.91 3.30 2.66 2.51 2.17 2.02 1.77
First Principal 07/99 07/99 07/99 07/99 07/99 07/99 07/99 07/99 07/99
Last Principal 12/06 12/06 07/06 07/06 12/05 09/05 05/05 02/05 09/04
Payment Window 90 90 85 85 78 75 71 68 63
</TABLE>
This information has been prepared in connection with the issuance of securities
representing interests in the above trust and based in part on information
provided by Banc One ABS Corporation or BANK ONE Consumer Lending with respect
to the expected characteristics of the pool of home equity revolving credit line
loans in which the related securities will represent undivided beneficial
interests. The actual characteristics and performance of the home equity
revolving credit line loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. The information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE> 6
6
COLLATERAL SUMMARY(1)
<TABLE>
<S> <C>
CUT-OFF DATE POOL BALANCE (5/31/99): $510,204,617.60
NUMBER OF LOANS: 23,024
AVERAGE PRINCIPAL BALANCE: $22,159.69
LOAN RATE INDEX: The average weekly
Bank Prime Loan Rate
as published by the
Board of Governors of
the Federal Reserve
System in statistical
release H.15 for the
week which includes
the 15th day of the
month.
WEIGHTED AVERAGE GROSS MARGIN: 1.25%
WEIGHTED AVERAGE LOAN RATE: 8.99%
WEIGHTED AVERAGE MAXIMUM RATE: 23.08%
AGGREGATE LOCKED BALANCES(2): $6,742,554.94 (1.32% of pool balance)
WEIGHTED AVERAGE LOAN RATE ON LOCKED BALANCES: 8.22%
WEIGHTED AVERAGE ORIGINAL TERM: 213 months
WEIGHTED AVERAGE REMAINING TERM: 202 months
WEIGHTED AVERAGE SEASONING: 11 months
LIEN POSITION: 1st Liens - 26.66%
2nd Liens - 73.34%
WEIGHTED AVERAGE 2ND LIEN RATIO: 36.32%
WEIGHTED AVERAGE COMBINED LOAN TO VALUE RATIO: 79.29%
WEIGHTED AVERAGE CREDIT LIMIT UTILIZATION RATE: 55.21%
GEOGRAPHIC DISTRIBUTION > 5%: Arizona (28.21%)
Ohio (25.35%)
Indiana (11.25%)
Colorado ( 7.92%)
Wisconsin (7.75%)
Kentucky (7.66%)
Illinois (6.52%)
</TABLE>
- ----------
(1) Unless otherwise indicated, all statistical percentages described herein
are weighted on the basis of the Cut-Off Date Pool Balance. The final pool
may vary from the pool described herein, but the variances are not expected
to be material.
(2) All of the Mortgage Loans have a lock feature that permits the borrower to
lock the loan rate with respect to all or a portion of the principal
balance thereof to a fixed rate.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust and based in part on information
provided by Banc One ABS Corporation or BANK ONE Consumer Lending with respect
to the expected characteristics of the pool of home equity revolving credit line
loans in which the related securities will represent undivided beneficial
interests. The actual characteristics and performance of the home equity
revolving credit line loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. The information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE> 7
7
MORTGAGE LOAN DETAIL
Set forth below is a description of certain characteristics of the Mortgage
Loans. The sum of certain percentages set forth in the following tables may not
equal exactly 100% due to differences in the rounding of percentages.
COMBINED LOAN-TO-VALUE RATIOS(1)(2)
<TABLE>
<CAPTION>
PERCENT OF
NUMBER OF CUT-OFF DATE MORTGAGE POOL
RANGE OF COMBINED MORTGAGE PRINCIPAL BY CUT-OFF DATE
LOAN-TO-VALUE RATIOS LOANS BALANCE PRINCIPAL BALANCE
- -------------------- ----- ------- -----------------
<S> <C> <C> <C>
60.00 and below......................................... 3,416 $73,382,083.91 14.38%
60.01 to 65.00......................................... 601 $16,746,242.90 3.28%
65.01 to 70.00......................................... 1,267 $32,968,636.92 6.46%
70.01 to 75.00......................................... 981 $23,300,086.20 4.57%
75.01 to 80.00......................................... 6,410 $147,223,791.87 28.86%
80.01 to 85.00......................................... 530 $11,768,486.58 2.31%
85.01 to 90.00......................................... 2,904 $64,171,892.28 12.58%
90.01 to 95.00......................................... 871 $19,275,234.11 3.78%
95.01 to 100.00......................................... 6,044 $121,368,162.83 23.79%
------ --------------- -------
Total................................... 23,024 $510,204,617.60 100.00%
====== =============== =======
</TABLE>
- ----------
(1) The "Combined Loan-to-Value Ratio" or "CLTV" of each Mortgage Loan is the
ratio, expressed as a percentage, of (a) the sum of (i) the credit limit of
each Mortgage Loan and (ii) the principal balance of any senior mortgage
loan as of the origination of such Mortgage Loan, over (b) the value (based
on appraised value or other acceptable valuation method in accordance with
the Sellers' underwriting guidelines) for the related Mortgaged Property
determined at origination of such Mortgage Loan.
(2) Weighted Average CLTV: 79.29%
LIEN PRIORITY
<TABLE>
<CAPTION>
PERCENT OF
NUMBER OF CUT-OFF DATE MORTGAGE POOL
MORTGAGE PRINCIPAL BY CUT-OFF DATE
LIEN PRIORITY LOANS BALANCE PRINCIPAL BALANCE
- ------------- ----- ------- -----------------
<S> <C> <C> <C>
First Lien............................................. 4,958 $136,004,010.26 26.66%
Second Lien............................................ 18,066 $374,200,607.34 73.34%
------ --------------- ------
Total...................................... 23,024 $510,204,617.60 100.00%
====== =============== =======
</TABLE>
This information has been prepared in connection with the issuance of securities
representing interests in the above trust and based in part on information
provided by Banc One ABS Corporation or BANK ONE Consumer Lending with respect
to the expected characteristics of the pool of home equity revolving credit line
loans in which the related securities will represent undivided beneficial
interests. The actual characteristics and performance of the home equity
revolving credit line loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. The information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE> 8
8
PROPERTY TYPE
<TABLE>
<CAPTION>
PERCENT OF
MORTGAGE POOL
NUMBER OF CUT-OFF DATE BY CUT-OFF
MORTGAGE PRINCIPAL DATE PRINCIPAL
PROPERTY TYPE LOANS BALANCE BALANCE
- ------------- ----- ------- -------
<S> <C> <C> <C>
Single Family.......................................... 22,996 $ 509,556,191.57 99.87%
Other.................................................. 28 $ 648,426.03 0.13%
------ ----------------- ------
Total........................................ 23,024 $ 510,204,617.60 100.00%
====== ================= =======
</TABLE>
OWNER OCCUPANCY STATUS
<TABLE>
<CAPTION>
PERCENT OF
MORTGAGE POOL
NUMBER OF CUT-OFF DATE BY CUT-OFF
MORTGAGE PRINCIPAL DATE PRINCIPAL
OWNER OCCUPANCY STATUS LOANS BALANCE BALANCE
- ---------------------- ----- ------- -------
<S> <C> <C> <C>
Owner Occupied......................................... 23,009 $ 509,829,145.82 99.93%
Other.................................................. 15 $ 375,471.78 0.07%
------ ----------------- -------
Total........................................ 23,024 $ 510,204,617.60 100.00%
====== ================= =======
</TABLE>
PRINCIPAL BALANCES(1)
<TABLE>
<CAPTION>
PERCENT OF
MORTGAGE POOL
NUMBER OF CUT-OFF DATE BY CUT-OFF
MORTGAGE PRINCIPAL DATE PRINCIPAL
RANGE OF PRINCIPAL BALANCES LOANS BALANCE BALANCE
- --------------------------- ----- ------- -------
<S> <C> <C> <C>
0.00.............................. 2,201 $ 0.00 0.00%
0.01 to 10,000.00.............................. 4,592 $ 27,440,851.67 5.38%
10,000.01 to 20,000.00.............................. 6,061 $ 91,476,438.83 17.93%
20,000.01 to 30,000.00.............................. 4,620 $ 114,268,613.21 22.40%
30,000.01 to 40,000.00.............................. 2,180 $ 75,678,832.39 14.83%
40,000.01 to 50,000.00.............................. 1,644 $ 74,596,865.12 14.62%
50,000.01 to 60,000.00.............................. 634 $ 34,662,392.22 6.79%
60,000.01 to 70,000.00.............................. 386 $ 25,010,621.17 4.90%
70,000.01 to 80,000.00.............................. 266 $ 19,854,170.42 3.89%
80,000.01 to 90,000.00.............................. 137 $ 11,650,440.93 2.28%
90,000.01 to 100,000.00.............................. 143 $ 13,654,031.20 2.68%
100,000.01 to 125,000.00............................... 78 $ 8,775,325.94 1.72%
125,000.01 to 150,000.00............................... 46 $ 6,389,393.42 1.25%
150,000.01 to 175,000.00............................... 14 $ 2,220,603.31 0.44%
175,000.01 to 200,000.00............................... 11 $ 2,046,055.98 0.40%
200,000.01 to 225,000.00............................... 6 $ 1,258,041.72 0.25%
225,000.01 to 250,000.00............................... 5 $ 1,221,940.08 0.24%
------ ----------------- -------
Total........................................ 23,024 $ 510,204,617.60 100.00%
====== ================= =======
</TABLE>
- ----------
(1) Average Principal Balance: $22,159.69
This information has been prepared in connection with the issuance of securities
representing interests in the above trust and based in part on information
provided by Banc One ABS Corporation or BANK ONE Consumer Lending with respect
to the expected characteristics of the pool of home equity revolving credit line
loans in which the related securities will represent undivided beneficial
interests. The actual characteristics and performance of the home equity
revolving credit line loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. The information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE> 9
9
CREDIT LIMITS(1)
<TABLE>
<CAPTION>
PERCENT OF
MORTGAGE POOL
NUMBER OF CUT-OFF DATE BY CUT-OFF DATE
RANGE OF CREDIT LIMIT MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
5,000.00 to 20,000.00............................... 5,829 $ 60,152,600.88 11.79%
20,000.01 to 40,000.00............................... 7,986 $ 158,568,257.80 31.08%
40,000.01 to 60,000.00............................... 5,524 $ 146,764,148.44 28.77%
60,000.01 to 80,000.00............................... 1,701 $ 58,026,899.32 11.37%
80,000.01 to 100,000.00............................... 1,499 $ 56,079,614.28 10.99%
100,000.01 to 120,000.00............................... 124 $ 5,723,903.65 1.12%
120,000.01 to 140,000.00............................... 103 $ 6,094,204.69 1.19%
140,000.01 to 160,000.00............................... 139 $ 9,060,041.82 1.78%
160,000.01 to 180,000.00............................... 31 $ 2,445,065.80 0.48%
180,000.01 to 200,000.00............................... 41 $ 2,926,784.04 0.57%
200,000.01 to 220,000.00............................... 18 $ 1,906,261.60 0.37%
220,000.01 to 240,000.00............................... 5 $ 230,090.87 0.05%
240,000.01 to 250,000.00............................... 24 $ 2,226,744.41 0.44%
------ ------------------ -------
Total........................................ 23,024 $ 510,204,617.60 100.00%
====== ================== =======
</TABLE>
- ----------
(1) Average Credit Limit: $40,134.68
CREDIT LIMIT UTILIZATION RATES(1)
<TABLE>
<CAPTION>
PERCENT OF
MORTGAGE POOL
NUMBER OF CUT-OFF DATE BY CUT-OFF DATE
RANGE OF CREDIT LIMIT UTILIZATION MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
0.00%.................................... 2,218 $ 20.71 0.00%
0.01% to 10.00%.................................... 1,010 $ 2,939,101.51 0.58%
10.01% to 20.00%.................................... 1,210 $ 9,881,968.58 1.94%
20.01% to 30.00%.................................... 1,161 $ 15,459,355.45 3.03%
30.01% to 40.00%.................................... 1,225 $ 20,157,170.87 3.95%
40.01% to 50.00%.................................... 1,138 $ 22,721,456.56 4.45%
50.01% to 60.00%.................................... 1,312 $ 30,744,230.43 6.03%
60.01% to 70.00%.................................... 1,429 $ 36,644,598.96 7.18%
70.01% to 80.00%.................................... 1,595 $ 43,553,401.83 8.54%
80.01% to 90.00%.................................... 2,169 $ 65,217,838.20 12.78%
90.01% to 100.00%.................................... 8,299 $ 256,403,598.53 50.26%
100.01% to 110.00%.................................... 257 $ 6,463,344.58 1.27%
110.01% to 120.00%.................................... 1 $ 18,531.39 0.00%
------ ----------------- -------
Total....................................... 23,024 $ 510,204,617.60 100.00%
====== ================= =======
</TABLE>
- ----------
(1) Weighted Average Credit Limit Utilization Rate: 55.21%. The Weighted
Average Credit Limit Utilization Rate is the ratio, expressed as a
percentage, of (a) the product of (i) the credit limit of each Mortgage Loan
and (ii) the credit limit utilization rate of such Mortgage Loan, over (b)
the total credit limit of all the Mortgage Loans.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust and based in part on information
provided by Banc One ABS Corporation or BANK ONE Consumer Lending with respect
to the expected characteristics of the pool of home equity revolving credit line
loans in which the related securities will represent undivided beneficial
interests. The actual characteristics and performance of the home equity
revolving credit line loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. The information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE> 10
10
MONTHS REMAINING TO SCHEDULED MATURITY(1)
<TABLE>
<CAPTION>
PERCENT
OF HELOC
NUMBER OF BALANCES
RANGE OF MONTHS REMAINING MORTGAGE CUT-OFF DATE BY CUT-OFF DATE
TO SCHEDULED MATURITY LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------- ----- ----------------- -----------------
<S> <C> <C> <C>
47 to 168............................................ 4,937 $ 101,963,322.67 20.25%
169 to 180............................................ 5,322 $ 109,529,188.47 21.76%
193 to 204............................................ 1 $ 35,296.40 0.01%
205 to 228............................................ 6,275 $ 147,890,058.69 29.37%
229 to 240............................................ 6,488 $ 144,044,196.43 28.61%
241 to 251............................................ 1 $ 0.00 0.00%
------ ----------------- -------
Total....................................... 23,024 $ 503,462,062.66 100.00%
====== ================= =======
</TABLE>
- ----------
(1) Balances do not include the Locked Balances, which as of the Cut-Off Date
represent 1.32% of the Cut-Off Date Pool Balance. As of the Cut-Off Date,
the weighted average months remaining to scheduled maturity for the Locked
Balances is 84 months. The weighted average number of months remaining to
scheduled maturity for the HELOC Balances is 204 months. The weighted
average number of months remaining to scheduled maturity for all Mortgage
Loans is 202 months.
ORIGINATION MONTH/YEAR
<TABLE>
<CAPTION>
PERCENT OF
NUMBER OF MORTGAGE POOL
MORTGAGE CUT-OFF DATE BY CUT-OFF DATE
ORIGINATION MONTH/YEAR LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------------------- ----- ----------------- -----------------
<S> <C> <C> <C>
March 1998............................................ 4,072 $ 95,295,061.50 18.68%
April 1998............................................ 3,656 $ 82,494,534.64 16.17%
May 1998.............................................. 3,420 $ 73,616,293.79 14.43%
June 1998............................................. 3,606 $ 75,590,606.87 14.82%
July 1998............................................. 3,207 $ 71,426,286.98 14.00%
August 1998........................................... 3,422 $ 76,203,980.53 14.94%
September 1998........................................ 1,641 $ 35,577,853.29 6.97%
------ ---------------- -------
Total....................................... 23,024 $ 510,204,617.60 100.00%
====== ================ =======
</TABLE>
This information has been prepared in connection with the issuance of securities
representing interests in the above trust and based in part on information
provided by Banc One ABS Corporation or BANK ONE Consumer Lending with respect
to the expected characteristics of the pool of home equity revolving credit line
loans in which the related securities will represent undivided beneficial
interests. The actual characteristics and performance of the home equity
revolving credit line loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. The information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE> 11
11
MONTHS SINCE ORIGINATION(1)
<TABLE>
<CAPTION>
PERCENT OF
HELOC
BALANCES
NUMBER OF CUT-OFF DATE BY CUT-OFF DATE
MORTGAGE PRINCIPAL PRINCIPAL
MONTHS LOANS BALANCE BALANCE
- ------ ----- ------- -------
<S> <C> <C> <C>
8.................................................. 1,641 $ 35,147,565.39 6.98%
9.................................................. 3,422 $ 75,246,519.15 14.95%
10................................................. 3,207 $ 70,517,599.19 14.01%
11................................................. 3,606 $ 74,613,635.31 14.82%
12................................................. 3,420 $ 72,844,205.96 14.47%
13................................................. 3,656 $ 81,372,311.37 16.16%
14................................................. 4,072 $ 93,720,226.29 18.62%
------ ---------------- --------
Total.................................... 23,024 $503,462,062.66 100.00%
====== =============== =======
</TABLE>
- ----------
(1) Balances do not include the Locked Balances, which as of the Cut-Off Date
represent 1.32% of the Cut-Off Date Pool Balance. As of the Cut-Off Date,
the weighted average months since origination for the Locked Balances is 4
months. The weighted average months since origination for the HELOC Balances
is 11 months. The weighted average months since origination for all Mortgage
Loans is 11 months.
LOAN RATES(1)
<TABLE>
<CAPTION>
PERCENT OF
HELOC
BALANCES
CUT-OFF BY CUT-OFF
NUMBER OF DATE DATE
MORTGAGE PRINCIPAL PRINCIPAL
RANGE OF LOAN RATES LOANS BALANCE BALANCE
- ------------------- ----- ------- -------
<S> <C> <C> <C>
5.500% to 6.000%.................................... 1 $ 13,991.51 0.00%
6.001% to 6.500%.................................... 2 $ 25,439.33 0.01%
6.501% to 7.000%.................................... 1 $ 4,910.23 0.00%
7.001% to 7.500%.................................... 1,125 $ 25,768,565.02 5.12%
7.501% to 8.000%.................................... 5,271 $ 141,788,884.03 28.16%
8.001% to 8.500%.................................... 3,245 $ 74,805,613.46 14.86%
8.501% to 9.000%.................................... 2,720 $ 61,525,144.76 12.22%
9.001% to 9.500%.................................... 2,418 $ 46,735,554.08 9.28%
9.501% to 10.000%.................................... 2,022 $ 44,149,148.16 8.77%
10.001% to 10.500%.................................... 2,182 $ 44,882,544.33 8.91%
10.501% to 11.000%.................................... 1,874 $ 31,139,673.64 6.19%
11.001% to 11.500%.................................... 1,385 $ 19,042,613.59 3.78%
11.501% to 12.000%.................................... 369 $ 7,253,032.12 1.44%
12.001% to 12.500%.................................... 265 $ 4,009,314.74 0.80%
12.501% to 13.000%.................................... 48 $ 869,742.29 0.17%
13.001% to 13.500%.................................... 47 $ 694,766.55 0.14%
13.501% to 14.000%.................................... 17 $ 252,875.59 0.05%
14.001% to 14.500%.................................... 27 $ 415,047.27 0.08%
14.501% to 15.000%.................................... 4 $ 55,206.73 0.01%
18.501% to 19.000%.................................... 1 $ 29,995.23 0.01%
------ ----------------- ---------
Total.......................................... 23,024 $ 503,462,062.66 100.00%
====== ================= =======
</TABLE>
- ----------
(1) Balances do not include the Locked Balances, which as of the Cut-Off Date
represent 1.32% of the Cut-Off Date Pool Balance. As of the Cut-Off Date,
the weighted average Loan Rate for the Locked Balances is 8.22%, the
weighted average Loan Rate for the HELOC Balances is 9.00% and the weighted
average Loan Rate for all Mortgage Loans is 8.99%.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust and based in part on information
provided by Banc One ABS Corporation or BANK ONE Consumer Lending with respect
to the expected characteristics of the pool of home equity revolving credit line
loans in which the related securities will represent undivided beneficial
interests. The actual characteristics and performance of the home equity
revolving credit line loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. The information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE> 12
12
GROSS MARGIN(1)(2)
<TABLE>
<CAPTION>
PERCENT OF
HELOC
BALANCES
CUT-OFF BY CUT-OFF
NUMBER OF DATE DATE
MORTGAGE PRINCIPAL PRINCIPAL
GROSS MARGINS LOANS BALANCE BALANCE
- ------------- ----- ------- -------
<S> <C> <C> <C>
-1.00% to -0.51%.................................... 3 $ 40,971.15 0.01%
-0.50% to -0.01%.................................... 1,126 $ 25,995,225.97 5.16%
0.00%.................................... 3,494 $ 92,327,763.96 18.34%
0.01% to 0.50%.................................... 3,495 $ 88,843,272.47 17.65%
0.51% to 1.00%.................................... 3,100 $ 66,660,743.06 13.24%
1.01% to 1.50%.................................... 2,756 $ 59,263,161.92 11.77%
1.51% to 2.00%.................................... 2,113 $ 44,547,217.39 8.85%
2.01% to 2.50%.................................... 1,897 $ 40,975,515.41 8.14%
2.51% to 3.00%.................................... 2,279 $ 42,213,074.82 8.38%
3.01% to 3.50%.................................... 1,316 $ 18,723,679.66 3.72%
3.51% to 4.00%.................................... 968 $ 16,301,114.55 3.24%
4.01% to 4.50%.................................... 308 $ 4,617,479.15 0.92%
4.51% to 5.00%.................................... 64 $ 1,338,374.57 0.27%
5.01% to 5.50%.................................... 37 $ 536,067.14 0.11%
5.51% to 6.00%.................................... 20 $ 332,441.33 0.07%
6.01% to 6.50%.................................... 40 $ 589,910.71 0.12%
6.51% to 7.00%.................................... 7 $ 126,054.17 0.03%
11.01% to 11.50%.................................... 1 $ 29,995.23 0.01%
------ ------------------- -------
Total....................................... 23,024 $ 503,462,062.66 100.00%
====== =================== =======
</TABLE>
- ----------
(1) Weighted Average Gross Margin: 1.25%
(2) Balances do not include the Locked Balances, which as of the Cut-Off Date
represent 1.32% of the Cut-Off Date Pool Balance.
MAXIMUM RATES(1)
<TABLE>
<CAPTION>
PERCENT OF
CUT-OFF DATE MORTGAGE POOL
NUMBER OF PRINCIPAL BY CUT-OFF DATE
MAXIMUM RATES MORTGAGE LOANS BALANCE PRINCIPAL BALANCE
- ------------- -------------- ------- -----------------
<S> <C> <C> <C>
17.5% to 18.0%........................................ 3,580 $ 80,304,509.01 15.74%
19.5% to 20.0%........................................ 1,720 $ 33,360,516.95 6.54%
20.5% to 21.0%........................................ 2,421 $ 50,768,194.73 9.95%
23.5% to 24.0%........................................ 2,035 $ 42,795,771.86 8.39%
24.5% to 25.0%........................................ 13,268 $ 302,975,625.05 59.38%
------- ------------------ --------
Total....................................... 23,024 $ 510,204,617.60 100.00%
====== ================== =======
</TABLE>
- ----------
(1) Weighted Average Maximum Rate: 23.08%
This information has been prepared in connection with the issuance of securities
representing interests in the above trust and based in part on information
provided by Banc One ABS Corporation or BANK ONE Consumer Lending with respect
to the expected characteristics of the pool of home equity revolving credit line
loans in which the related securities will represent undivided beneficial
interests. The actual characteristics and performance of the home equity
revolving credit line loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. The information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE> 13
13
GEOGRAPHIC DISTRIBUTION(1)
<TABLE>
<CAPTION>
PERCENT OF
MORTGAGE POOL
NUMBER OF CUT-OFF DATE BY CUT-OFF DATE
STATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ----- -------------- ----------------- -----------------
<S> <C> <C> <C>
Arizona............................................... 6,143 $ 143,949,042.95 28.21%
Colorado.............................................. 1,517 $ 40,410,178.74 7.92%
Illinois.............................................. 1,701 $ 33,273,801.64 6.52%
Indiana............................................... 2,716 $ 57,413,782.56 11.25%
Kentucky.............................................. 1,891 $ 39,102,210.14 7.66%
Ohio.................................................. 6,013 $ 129,360,773.47 25.35%
Wisconsin............................................. 2,052 $ 39,550,806.96 7.75%
Other(2).............................................. 991 $ 27,144,021.14 5.32%
------ ------------------ ---------
Total....................................... 23,024 $ 510,204,617.60 100.00%
====== ================== =======
</TABLE>
- ----------
(1) Geographic location is determined by the address of the Mortgaged Property
securing the related Mortgage Loan.
(2) No other state represents more than 5% of the pool principal balance.
LOAN DESIGNATION(1)
<TABLE>
<CAPTION>
PERCENT OF
CUT-OFF DATE MORTGAGE POOL
NUMBER OF PRINCIPAL BY CUT-OFF DATE
LOAN DESIGNATION MORTGAGE LOANS BALANCE PRINCIPAL BALANCE
- ---------------- -------------- ------- -----------------
<S> <C> <C> <C>
Option 1.............................................. 12,809 $ 297,358,371.62 58.28%
Option 2.............................................. 10,215 $ 212,846,245.98 41.72%
------ ----------------- -------
Total....................................... 23,024 $ 510,204,617.60 100.00%
====== ================= =======
</TABLE>
----------
(1) See "Loan Terms" table below.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust and based in part on information
provided by Banc One ABS Corporation or BANK ONE Consumer Lending with respect
to the expected characteristics of the pool of home equity revolving credit line
loans in which the related securities will represent undivided beneficial
interests. The actual characteristics and performance of the home equity
revolving credit line loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. The information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE> 14
LOAN TERMS
The Mortgage Loans have various loan terms, draw periods, amortization periods
and minimum monthly payment requirements as follows:
<TABLE>
<CAPTION>
MINIMUM MONTHLY
REPAYMENT PAYMENT REQUIREMENT
LOAN DESIGNATION CLTV(1) LOAN TERM DRAW PERIOD PERIOD DURING DRAW PERIOD
---------------- ------- --------- ----------- ------ ------------------
<S> <C> <C> <C> <C> <C>
Option 1 80% or less 20 years(2) 10 years 10 years The greatest of:
(1) 1% of outstanding
Principal Balance;
(2) Interest accrued
for the month plus
Assessed Fees(3); and
(3) Minimum of $100
or outstanding
Principal Balance
Option 2 81%-100% 15 years 5 years 10 years The greatest of:
(1) 1% of outstanding
Principal Balance;
(2) Interest accrued
for the month
plus Assessed
Fees(3); and
(3) Minimum of
$100 or outstanding
Principal Balance
</TABLE>
- ----------
(1) As of October 19, 1998, the CLTV percentage for Option 1 was changed to 85%
or less and for Option 2 was changed to 86-100%. No Mortgage Loans in this
pool were originated after September 1998.
(2) The loan term on an Option 1 loan may be extended by a senior credit
officer to a term in excess of 20 years. Only one Mortgage Loan has an
original loan term in excess of 20 years. The original loan term for such
Mortgage Loan is 22 years.
(3) Assessed Fees include late charges, administrative charges and credit and
insurance charges.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust and based in part on information
provided by Banc One ABS Corporation or BANK ONE Consumer Lending with respect
to the expected characteristics of the pool of home equity revolving credit line
loans in which the related securities will represent undivided beneficial
interests. The actual characteristics and performance of the home equity
revolving credit line loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. The information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
