_________________________________________________________________
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): May 28, 1997
CWABS, INC., (as depositor under the Pooling and
Servicing Agreement, to be dated as of May 23, 1997,
providing for the issuance of the CWABS, Inc.,
Countrywide Home Equity Loan Trust 1997-B Revolving Home
Equity Loan Asset Backed Certificates, Series 1997-B).
CWABS, INC.
______________________________________________________
(Exact name of registrant as specified in its charter)
Delaware 333-11095 95-4596514
____________________________ ___________ __________________
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
4500 Park Granada
Calabasas, California 91302
_________________________ __________
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (818) 225-3240
_____ ________
_________________________________________________________________
Item 5. Other Events.
____ ____________
Filing of Certain Materials
___________________________
Pursuant to Rule 424(b)(5) under the Securities Act of 1933,
concurrently with, or subsequent to, the filing of this Current Report on
Form 8-K (the "Form 8-K"), CWABS, Inc. (the "Company") is filing a prospectus
and prospectus supplement with the Securities and Exchange Commission (the
"Commission") relating to its Revolving Home Equity Loan Asset Backed
Certificates, Series 1997-B.
The audited financial statements of Capital Markets Assurance
Corporation ("CapMac") that are included in this Form 8-K and the prospectus
supplement (the "Audited CapMac Financials") have been audited by KPMG Peat
Marwick LLP ("KPMG"). The consent of KPMG is attached hereto as Exhibit
23.1. The audited financial statements of CapMAC are attached hereto as
Exhibit 99.1. The unaudited financial statements of CapMAC for the period
ended March 31, 1997 (the "Unaudited CapMAC Financials") that are included in
this Form 8-K and the prospectus supplement are attached hereto as Exhibit
99.2.
In connection with the offering of the Revolving Home Equity
Loan Asset Backed Certificates, Series 1997-B, each of Morgan Stanley & Co.
Incorporated ("Morgan Stanley") and Countrywide Securities Corporation
("Countrywide Securities" and together with Prudential, the "Underwriters"),
as underwriters of the Certificates, have prepared certain materials (the
"Computational Materials") for distribution to its potential investors.
Although the Company provided the Underwriters with certain information
regarding the characteristics of the Mortgage Loans in the related portfolio,
the Company did not participate in the preparation of the Computational
Materials.
For purposes of this Form 8-K, "Computational Materials" shall
mean computer generated tables and/or charts displaying, with respect to the
Certificates, any of the following: yield; average life; duration; expected
maturity; interest rate sensitivity; loss sensitivity; cash flow
characteristics; background information regarding the Mortgage Loans; the
proposed structure; decrement tables; or similar information (tabular or
otherwise) of a statistical, mathematical, tabular or computational nature.
The Computational Materials of the Underwriters are filed as Exhibit 99.3.
___________________
* Capitalized terms used and not otherwise defined herein shall
have the meanings assigned to them in the prospectus dated February 21, 1997
and the prospectus supplement dated May 23, 1997, of CWABS, Inc., relating to
its Revolving Home Equity Loan Asset Backed Certificates, Series 1997-B.
Item 7. Financial Statements, Pro Forma Financial
____ _________________________________________
Information and Exhibits.
________________________
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
23.1 Consent of KPMG Peat Marwick LLP
99.1 Audited CapMAC Financials.
99.2 Unaudited CapMAC Financials
99.3 Computational Materials.
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.
CWMBS, INC.
By: /s/ David Walker
___________________________
David Walker
Vice President
Dated: May 27, 1997
Exhibit Index
_____________
Exhibit Page
_______ ____
23.1 Consent of KPMG Peat Marwick LLP
99.1 Audited CapMAC Financials.
99.2 Unaudited CapMAC Financials
99.3 Computational Materials.
EXHIBIT 23.1: CONSENT OF INDEPENDENT ACCOUNTANTS
See Attached.
Exhibit 23.1
____________
Consent of Independent Certified Public Accountants
The Board of Directors
Capital Markets Assurance Corporation:
We consent to the use of our report included in the Form 8-K of CWABS, Inc.
and to the reference to our firm under the heading "Experts" in the
Prospectus Supplement for Countrywide Home Equity Loan Trust 1997-B,
Revolving Home Equity Loan Asset Backed Certificates, Series 1997-B.
New York, New York
May 27, 1997
Exhibit 99.1
------------
[KPMG LOGO]
CAPITAL MARKETS ASSURANCE CORPORATION
FINANCIAL STATEMENTS
DECEMBER 31, 1996, 1995 AND 1994
(WITH INDEPENDENT AUDITORS' REPORT THEREON)
[KPMG LETTERHEAD]
Independent Auditors' Report
The Board of Directors
Capital Markets Assurance Corporation:
We have audited the accompanying balance sheets of Capital Markets Assurance
Corporation as of December 31, 1996 and 1995 and the related statements of
income, stockholder's equity and cash flows for each of the years in the
three-year period ended December 31, 1996. These financial statements are the
responsibility of the Company's management. Our responsibility is to express an
opinion on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of Capital Markets Assurance
Corporation as of December 31, 1996 and 1995 and the results of its operations
and its cash flows for each of the years in the three-year period ended December
31, 1996 in conformity with generally accepted accounting principles.
[KPMG PEAT MARWICK LLP SIGNATURE]
New York, New York
January 29, 1997
CAPITAL MARKETS ASSURANCE CORPORATION
BALANCE SHEETS
(DOLLARS IN THOUSANDS, EXCEPT PER SHARE DATA)
<TABLE>
<CAPTION>
ASSETS
------
December 31 December 31
1996 1995
- ---------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENTS:
Bonds at fair value (amortized cost $294,861 at December 31,
1996 and $210,651 at December 31, 1995) $297,893 215,706
Short-term investments (at amortized cost which approximates
fair value) 16,810 68,646
- ---------------------------------------------------------------------------------------------
Total investments 314,703 284,352
- ---------------------------------------------------------------------------------------------
Cash 371 344
Accrued investment income 3,807 3,136
Deferred acquisition costs 45,380 35,162
Premiums receivable 5,141 3,540
Prepaid reinsurance 18,489 13,171
Other assets 6,424 3,428
- ---------------------------------------------------------------------------------------------
TOTAL ASSETS $394,315 343,133
=============================================================================================
LIABILITIES AND STOCKHOLDER'S EQUITY
------------------------------------
LIABILITIES:
Unearned premiums $ 68,262 45,767
Reserve for losses and loss adjustment expenses 10,985 6,548
Ceded reinsurance 1,738 2,469
Accounts payable and other accrued expenses 8,019 10,844
Current income taxes 679 136
Deferred income taxes 15,139 11,303
- ---------------------------------------------------------------------------------------------
Total liabilities 104,822 77,067
- ---------------------------------------------------------------------------------------------
STOCKHOLDER'S EQUITY:
Common stock - $1.00 par value per share; 15,000,000 share
are authorized, issued and outstanding at December 31, 1996
and 1995 15,000 15,000
Additional paid-in capital 208,475 205,808
Unrealized appreciation on investments, net of tax 1,970 3,286
Retained earnings 64,048 41,972
- ---------------------------------------------------------------------------------------------
Total stockholder's equity 289,493 266,066
- ---------------------------------------------------------------------------------------------
TOTAL LIABILITIES AND STOCKHOLDER'S EQUITY $394,315 343,133
=============================================================================================
</TABLE>
See accompanying notes to financial statements.
CAPITAL MARKETS ASSURANCE CORPORATION
STATEMENTS OF INCOME
(DOLLARS IN THOUSANDS)
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended
December 31, 1996 December 31,1995 December 31, 1994
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C>
REVENUES:
Direct premiums written $ 71,752 56,541 43,598
Assumed premiums written 1,086 935 1,064
Ceded premiums written (15,104) (15,992) (11,069)
- ----------------------------------------------------------------------------------------
Net premiums written 57,734 41,484 33,593
Increase in unearned premiums (17,177) (12,242) (10,490)
- ----------------------------------------------------------------------------------------
Net premiums earned 40,557 29,242 23,103
Net investment income 16,992 11,953 10,072
Net realized capital gains 236 1,301 92
Other income 146 2,273 120
- ----------------------------------------------------------------------------------------
Total revenues 57,931 44,769 33,387
- ----------------------------------------------------------------------------------------
EXPENSES:
Losses and loss adjustment expenses 4,815 3,141 1,429
Underwriting and operating expenses 14,613 13,808 11,833
Policy acquisition costs 7,824 7,203 4,529
- ----------------------------------------------------------------------------------------
Total expenses 27,252 24,152 17,791
- ----------------------------------------------------------------------------------------
Income before income taxes 30,679 20,617 15,596
- ----------------------------------------------------------------------------------------
INCOME TAXES:
Current income tax 5,235 2,113 865
Deferred income tax 3,368 3,102 2,843
- ----------------------------------------------------------------------------------------
Total income taxes 8,603 5,215 3,708
- ----------------------------------------------------------------------------------------
NET INCOME $ 22,076 15,402 11,888
========================================================================================
</TABLE>
See accompanying notes to financial statements.
CAPITAL MARKETS ASSURANCE CORPORATION
STATEMENTS OF STOCKHOLDER'S EQUITY
(DOLLARS IN THOUSANDS)
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended
December 31,1996 December 31, 1995 December 31, 1994
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
COMMON STOCK:
Balance at beginning of year $ 15,000 15,000 15,000
- -------------------------------------------------------------------------------------------------------
Balance at end of year 15,000 15,000 15,000
- -------------------------------------------------------------------------------------------------------
ADDITIONAL PAID-IN CAPITAL:
Balance at beginning of year 205,808 146,808 146,808
Capital contribution 2,667 59,000 --
- -------------------------------------------------------------------------------------------------------
Balance at end of year 208,475 205,808 146,808
- -------------------------------------------------------------------------------------------------------
UNREALIZED APPRECIATION (DEPRECIATION)
ON INVESTMENTS, NET OF TAX:
Balance at beginning of year 3,286 (5,499) 3,600
Unrealized appreciation (depreciation)
on investments (1,316) 8,785 (9,099)
- -------------------------------------------------------------------------------------------------------
Balance at end of year 1,970 3,286 (5,499)
- -------------------------------------------------------------------------------------------------------
RETAINED EARNINGS:
Balance at beginning of year 41,972 26,570 14,682
Net income 22,076 15,402 11,888
- -------------------------------------------------------------------------------------------------------
Balance at end of year 64,048 41,972 26,570
- -------------------------------------------------------------------------------------------------------
TOTAL STOCKHOLDER'S EQUITY $ 289,493 266,066 182,879
=======================================================================================================
</TABLE>
See accompanying notes to financial statements.
CAPITAL MARKETS ASSURANCE CORPORATION
STATEMENTS OF CASH FLOWS
(DOLLAR IN THOUSANDS)
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended
December 31, 1996 December 31, 1995 December 31, 1994
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CASH FLOWS FROM OPERATING ACTIVITIES:
Net income $ 22,076 15,402 11,888
- ---------------------------------------------------------------------------------------------------------------
ADJUSTMENTS TO RECONCILE NET INCOME TO NET
CASH PROVIDED (USED) BY OPERATING ACTIVITIES:
Reserve for losses and loss adjustment
expenses 4,437 1,357 1,429
Unearned premiums, net 22,496 19,862 15,843
Deferred acquisition costs (10,218) (10,302) (9,611)
Premiums receivable (1,601) (161) (2,103)
Accrued investment income (671) (390) (848)
Income taxes payable 3,911 3,621 2,611
Net realized capital gains (236) (1,301) (92)
Accounts payable and other accrued
expenses 1,020 472 3,726
Prepaid reinsurance (5,318) (7,620) (5,352)
Other, net (3,396) 992 689
- ---------------------------------------------------------------------------------------------------------------
Total adjustments 10,424 6,530 6,292
- ---------------------------------------------------------------------------------------------------------------
NET CASH PROVIDED BY OPERATING ACTIVITIES 32,500 21,932 18,180
- ---------------------------------------------------------------------------------------------------------------
CASH FLOWS FROM INVESTING ACTIVITIES:
Purchases of investments (199,989) (158,830) (77,980)
Proceeds from sales of investments 57,210 49,354 39,967
Proceeds from maturities of investments 110,306 28,803 19,665
- ---------------------------------------------------------------------------------------------------------------
NET CASH USED IN INVESTING ACTIVITIES (32,473) (80,673) (18,348)
- ---------------------------------------------------------------------------------------------------------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Capital contribution - 59,000 -
- ---------------------------------------------------------------------------------------------------------------
NET CASH PROVIDED BY FINANCING ACTIVITIES - 59,000 -
- ---------------------------------------------------------------------------------------------------------------
Net increase (decrease) in cash 27 259 (168)
Cash balance at beginning of year 344 85 253
- ---------------------------------------------------------------------------------------------------------------
CASH BALANCE AT END OF YEAR $ 371 344 85
===============================================================================================================
SUPPLEMENTAL DISCLOSURE OF CASH FLOW
INFORMATION:
Income taxes paid $ 4,525 1,450 1,063
===============================================================================================================
</TABLE>
See accompanying notes to financial statements.
CAPITAL MARKETS ASSURANCE CORPORATION
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996 AND 1995
1) BACKGROUND
Capital Markets Assurance Corporation ("CapMAC" or "the Company") is a
New York-domiciled monoline stock insurance company which engages only
in the business of financial guarantee and surety insurance. CapMAC is a
wholly owned subsidiary of CapMAC Holdings Inc. ("Holdings"). CapMAC is
licensed in all 50 states in addition to the District of Columbia, the
Commonwealth of Puerto Rico and the territory of Guam. CapMAC insures
structured asset-backed, corporate, municipal and other financial
obligations in the U.S. and international capital markets. CapMAC also
provides financial guarantee reinsurance for structured asset- backed,
corporate, municipal and other financial obligations written by other
major insurance companies.
CapMAC's claims-paying ability is rated "Aaa" by Moody's Investors
Service, Inc. ("Moody's"), "AAA" by Standard & Poor's Ratings Group
("S&P"), "AAA" by Duff & Phelps Credit Rating Co. ("Duff & Phelps"), and
"AAA" by Nippon Investors Service, Inc., a Japanese rating agency. Such
ratings reflect only the views of the respective rating agencies, are
not recommendations to buy, sell or hold securities and are subject to
revision or withdrawal at any time by such rating agencies.
2) SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies used in the preparation of the
accompanying financial statements are as follows:
a) BASIS OF PRESENTATION
The accompanying financial statements are prepared on the basis
of generally accepted accounting principles ("GAAP"). Such
accounting principles differ from statutory reporting practices
used by insurance companies in reporting to state regulatory
authorities.
The preparation of financial statements in conformity with
generally accepted accounting principles requires management to
make estimates and assumptions that affect the reported amounts
of assets and liabilities and the disclosure of contingent assets
and liabilities at the date of the financial statements and the
reported amounts of revenues and expenses during the reporting
period. Management believes the most significant estimates relate
to deferred acquisition costs, reserve for losses and loss
adjustment expenses and disclosures of financial guarantees
outstanding. Actual results could differ from those estimates.
b) INVESTMENTS
As of December 31, 1996 and 1995, all of the Company's securities
have been classified as available-for-sale. Available-for-sale
securities are recorded at fair value. Fair value is generally
based upon quoted market prices. Unrealized holding gains and
losses, net of the related tax effect, on available-for-sale
securities are excluded from earnings and are reported as a
separate component of stockholder's equity until realized.
Transfers of securities between categories are recorded at fair
value at the date of transfer. A decline in the fair value of any
available-for-sale security below cost that is deemed other than
temporary is charged to earnings resulting in the establishment
of a new cost basis for the security.
CAPITAL MARKETS ASSURANCE CORPORATION
NOTES TO FINANCIAL STATEMENTS
Short-term investments are those investments having a maturity of
less than one year at purchase date. Short-term investments are
carried at amortized cost which approximates fair value.
Premiums and discounts are amortized or accreted over the life of
the related security as an adjustment to yield using the
effective interest method. Dividend and interest income are
recognized when earned. Realized gains and losses are included in
earnings and are derived using the FIFO (first-in, first-out)
method for determining the cost of securities sold.
c) PREMIUM REVENUE RECOGNITION
Premiums which are payable monthly to CapMAC are reflected in
income when due, net of amounts payable to reinsurers. Premiums
which are payable quarterly, semi-annually or annually are
reflected in income, net of amounts payable to reinsurers, on an
equal monthly basis over the corresponding policy term. Premiums
that are collected as a single premium at the inception of the
policy and have a term longer than one year are earned, net of
amounts payable to reinsurers, by allocating premium to each bond
maturity based on the principal amount and earning it
straight-line over the term of each bond maturity. For the years
ended December 31, 1996 and 1995, 91% of net premiums earned were
attributable to premiums payable in installments and 9% were
attributable to premiums collected on an up-front basis.
d) DEFERRED ACQUISITION COSTS
Certain costs incurred by CapMAC, which vary with and are
primarily related to the production of new business, are
deferred. These costs include direct and indirect expenses
related to underwriting, marketing and policy issuance, rating
agency fees and premium taxes, net of reinsurance ceding
commissions. The deferred acquisition costs are amortized over
the period in proportion to the related premium earnings. The
actual amount of premium earnings may differ from projections due
to various factors such as renewal or early termination of
insurance contracts or different run-off patterns of exposure
resulting in a corresponding change in the amortization pattern
of the deferred acquisition costs.
e) RESERVE FOR LOSSES AND LOSS ADJUSTMENT EXPENSES
The reserve for losses and loss adjustment expenses consists of a
supplemental loss reserve ("SLR") and a case basis loss reserve.
The SLR is established for expected levels of losses resulting
from credit failures on currently insured issues and reflects the
estimated portion of earned premiums required to cover those
losses.
A case basis loss reserve is established for insured obligations
when, in the judgment of management, a default in the timely
payment of debt service is imminent. For defaults considered
temporary, a case basis loss reserve is established in an amount
equal to the present value of the anticipated defaulted debt
service payments over the expected period of default. If the
default is judged not to be temporary, the present value of all
remaining defaulted debt service payments is recorded as a case
basis loss reserve. Anticipated salvage recoveries are considered
in establishing case basis loss reserves when such amounts are
reasonably estimable. Case basis loss reserves may be allocated
from any SLR outstanding at the time the case basis reserves are
established.
CAPITAL MARKETS ASSURANCE CORPORATION
NOTES TO FINANCIAL STATEMENTS
Management believes that the current level of reserves is
adequate to cover the ultimate net cost of claims and the related
expenses with respect to financial guarantees issued by CapMAC.
The establishment of the appropriate level of loss reserves is an
inherently uncertain process involving estimates and subjective
judgments by management, and therefore there can be no assurance
that ultimate losses in CapMAC's insured portfolio will not
exceed the current estimate of loss reserves.
f) DEPRECIATION
Leasehold improvements, furniture, fixtures and electronic data
processing equipment are being amortized or depreciated over the
lease term or useful life, whichever is shorter, using the
straight-line method.
g) INCOME TAXES
Deferred income taxes are provided with respect to temporary
differences between the financial statement and tax basis of
assets and liabilities using enacted tax rates in effect for the
year in which the differences are expected to reverse. The effect
on deferred tax assets and liabilities of a change in tax rates
is recognized in the period that includes the enactment date.
CAPITAL MARKETS ASSURANCE CORPORATION
NOTES TO FINANCIAL STATEMENTS
3) INSURED PORTFOLIO
At December 31, 1996 and 1995, the principal amount of financial
obligations insured by CapMAC was $24.5 billion and $16.9 billion,
respectively, and net of reinsurance (net principal outstanding), was
$19.7 billion and $12.6 billion, respectively, with a weighted average
life of 6.4 years and 6.0 years, respectively. CapMAC's insured
portfolio was broadly diversified by geographic distribution and type of
insured obligations, with no single insured obligation in excess of
statutory single risk limits, after giving effect to any reinsurance and
collateral, which are a function of CapMAC's statutory qualified capital
(the sum of statutory capital and surplus and mandatory contingency
reserve). At December 31, 1996 and 1995, the statutory qualified capital
was approximately $260 million and $240 million, respectively.
<TABLE>
<CAPTION>
Net Principal Outstanding
December 31, 1996 December 31, 1995
------------------------- -----------------------
Type of Obligations Insured ($ in millions) Amount % Amount %
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Consumer receivables $ 10,362 52.8 $ 6,959 55.1
Trade and other corporate
obligations 8,479 43.1 4,912 38.9
Municipal/government obligations 814 4.1 757 6.0
- ----------------------------------------------------------------------------------------------
TOTAL $ 19,655 100.0 $ 12,628 100.0
==============================================================================================
</TABLE>
At December 31, 1996 and 1995, the principal and interest amount of
financial obligations insured by CapMAC was $29.8 billion and $20.3
billion, respectively, and net of reinsurance (net principal and
interest outstanding) was $23.3 billion and $15.1 billion, respectively.
At December 31, 1996, approximately 93% of CapMAC's insured portfolio
was comprised of structured asset-backed transactions. Under these
structures, a pool of assets covering at least 100% of the principal
amount guaranteed under its insurance contract is sold or pledged to a
special purpose bankruptcy remote entity. CapMAC's primary risk from
such insurance contracts is the impairment of cash flows due to
delinquency or loss on the underlying assets. CapMAC, therefore,
evaluates all the factors affecting past and future asset performance by
studying historical data on losses, delinquencies and recoveries of the
underlying assets. Each transaction is reviewed to ensure that an
appropriate legal structure is used to protect against the bankruptcy
risk of the originator of the assets. Along with the legal structure, an
additional level of first loss protection is also created to protect
against losses due to credit or dilution. This first level of loss
protection is usually available from reserve funds, excess cash flows,
overcollateralization, or recourse to a third party. The level of first
loss protection depends upon the historical losses and dilution of the
underlying assets, but is typically several times the normal historical
loss experience for the underlying type of assets.
During 1995, the Company sold without recourse its interest in potential
cash flows from transactions included in its insured portfolio and
recognized $2,200,000 of income which has been included in other income
in the accompanying financial statements.
The following entities each accounted for, through referrals and
otherwise, 10% or more of total revenues for each of the periods
presented:
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended
December 31, 1996 December 31, 1995 December 31, 1994
---------------------- ----------------------- -----------------------
% of % of % of
Revenues Revenues Revenues
---------------------- ----------------------- -----------------------
<S> <C> <C> <C>
Citicorp 14.5 15.2 16.3
</TABLE>
CAPITAL MARKETS ASSURANCE CORPORATION
NOTES TO FINANCIAL STATEMENTS
4) INVESTMENTS
The amortized cost, gross unrealized gains, gross unrealized losses and
estimated fair value for available-for-sale securities by major security
type at December 31, 1996 and 1995 were as follows ($ in thousands):
<TABLE>
<CAPTION>
December 31, 1996
- -----------------------------------------------------------------------------------
Gross Gross Estimated
Amortized Unrealized Unrealized Fair
Securities Available-for-sale Cost Gains Losses Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Treasury obligations $ 4,059 10 - 4,069
Mortgage-backed securities of
U.S. government instrumentalities
and agencies 109,436 265 1,160 108,541
Obligations of states, municipalities
and political subdivisions 177,811 4,602 555 181,858
Corporate and asset-backed
securities 20,365 23 153 20,235
- -----------------------------------------------------------------------------------
TOTAL $ 311,671 4,900 1,868 314,703
===================================================================================
December 31, 1995
- -----------------------------------------------------------------------------------
Gross Gross Estimated
Amortized Unrealized Unrealized Fair
Securities Available-for-sale Cost Gains Losses Value
- -----------------------------------------------------------------------------------
U.S. Treasury obligations $ 4,153 55 - 4,208
Mortgage-backed securities of
U.S. government instrumentalities
and agencies 100,628 313 79 100,862
Obligations of states, municipalities
and political subdivisions 166,010 4,809 82 170,737
Corporate and asset-backed
securities 8,506 45 6 8,545
- -----------------------------------------------------------------------------------
TOTAL $ 279,297 5,222 167 284,352
===================================================================================
</TABLE>
CAPITAL MARKETS ASSURANCE CORPORATION
NOTES TO FINANCIAL STATEMENTS
The amortized cost and estimated fair value of investments in debt
securities at December 31, 1996 by contractual maturity are shown below
($ in thousands):
<TABLE>
<CAPTION>
December 31, 1996
- ------------------------------------------------------------------------------------
Amortized Estimated
Securities Available-for-sale Cost Fair Value
- ------------------------------------------------------------------------------------
<S> <C> <C>
Due in one year or less $ 11,627 11,644
Due after one year through five years 31,821 32,815
Due after five years through ten years 76,450 78,200
Due after ten years 82,337 83,503
- ------------------------------------------------------------------------------------
Sub-total 202,235 206,162
Mortgage-backed securities 109,436 108,541
- ------------------------------------------------------------------------------------
TOTAL $ 311,671 314,703
====================================================================================
</TABLE>
Actual maturities may differ from contractual maturities because
borrowers may call or prepay obligations with or without call or
prepayment penalties.
Proceeds from sales of investment securities were approximately $57.2
million, $49.3 million and $39.9 million in 1996, 1995 and 1994,
respectively. Gross realized capital gains of $772,000, $1,320,000 and
$714,000, and gross realized capital losses of $536,000, $19,000 and
$622,000 were realized on those sales for the years ended December 31,
1996, 1995 and 1994, respectively.
Investments include bonds having a fair value of approximately
$3,884,000 and $3,985,000 which are on deposit at December 31, 1996 and
1995, respectively, with state regulators as required by law.
Investment income is comprised of interest and dividends, net of related
expenses, and is applicable to the following sources:
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended
$ in thousands December 31, 1996 December 31, 1995 December 31, 1994
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Bonds $ 15,726 11,105 9,193
Short-term investments 1,534 1,245 484
Mutual funds - (162) 579
Investment expenses (268) (235) (184)
- -----------------------------------------------------------------------------------------
TOTAL $ 16,992 11,953 10,072
=========================================================================================
</TABLE>
CAPITAL MARKETS ASSURANCE CORPORATION
NOTES TO FINANCIAL STATEMENTS
The change in unrealized appreciation (depreciation) on
available-for-sale securities is included as a separate component of
stockholder's equity as shown below:
<TABLE>
<CAPTION>
Year Ended Year Ended
$ in thousands December 31, 1996 December 31, 1995
- -------------------------------------------------------------------------------------
<S> <C> <C>
Balance at beginning of year $ 3,286 (5,499)
Change in unrealized (depreciation) appreciation (2,024) 13,386
Income tax effect 708 (4,601)
- -------------------------------------------------------------------------------------
Net change (1,316) 8,785
- -------------------------------------------------------------------------------------
BALANCE AT END OF YEAR $ 1,970 3,286
====================================================================================
No single issuer, except for investments in U.S. Treasury and U.S.
government agency securities, exceeds 2% of stockholder's equity as of
December 31, 1996 and 1995, respectively.
5) DEFERRED ACQUISITION COSTS
The following table reflects acquisition costs deferred by CapMAC and
amortized in proportion to the related premium earnings:
</TABLE>
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended
$ in thousands December 31, 1996 December 31, 1995 December 31, 1994
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C>
Balance at beginning of year $ 35,162 24,860 15,249
Additions 18,042 17,505 14,140
Amortization (policy
acquisition costs) (7,824) (7,203) (4,529)
- ---------------------------------------------------------------------------------------
BALANCE AT END OF YEAR $ 45,380 35,162 24,860
=======================================================================================
</TABLE>
6) EMPLOYEE BENEFITS
CapMAC has a service agreement with CapMAC Financial Services, Inc.
("CFS"). Under the service agreement, CFS has agreed to provide various
services, including underwriting, reinsurance, marketing, data
processing and other services to CapMAC in connection with the operation
of CapMAC's insurance business. CapMAC pays CFS a fee for providing such
services, but not in excess of CFS's cost for such services. CFS
incurred, on behalf of CapMAC, total compensation expenses, excluding
bonuses, of $13,374,000, $13,484,000 and $11,081,000 in 1996, 1995 and
1994, respectively.
The Company, through CFS, maintains an incentive compensation plan for
its employees. The plan is an annual discretionary bonus award. For the
years ended December 31, 1996, 1995 and 1994, the Company had provided
approximately $8,810,000, $7,804,000 and $5,253,000, respectively, for
the plan. CFS also provides health and welfare benefits to substantially
all of its employees. The Company incurred $551,943, $598,530, and
$562,508 of expense for the years ended December 31, 1996, 1995 and
1994, respectively, for such plan. The Company also has a defined
contribution retirement plan which allows participants to make voluntary
contributions by salary reduction pursuant to section 401 (k) of the
Internal Revenue Code. The Company provides for the administrative cost
for the 401 (k) plan.
CAPITAL MARKETS ASSURANCE CORPORATION
NOTES TO FINANCIAL STATEMENTS
On June 25, 1992, certain officers of CapMAC were granted 182,633
restricted stock units ("RSU") at $13.33 a share in respect of certain
deferred compensation. On December 7, 1995, the RSU's were converted to
cash in the amount of approximately $3.7 million, and such officers
agreed to defer receipt of such cash amount in exchange for receiving
the same number of new shares of restricted stock of Holdings as the
number of RSU's such officers previously held. During 1995 and 1994, the
expense was $1.3 million and $0.1 million, respectively. During 1996,
Holdings assumed the liability of $3.7 million less the related deferred
tax asset of $1.1 million as capital contribution. The cash amount is
held by Holdings and invested in accordance with certain guidelines.
Such amount, including the investment earnings thereon, will be paid to
each officer upon the occurrence of certain events but no later than
December 2000.
7) EMPLOYEE STOCK OWNERSHIP PLAN
Holdings maintains an Employee Stock Ownership Plan ("ESOP") to provide
its employees the opportunity to obtain beneficial interests in the
stock of Holdings through a trust (the "ESOP Trust"). Compensation
expense related to the ESOP and allocated to CapMAC was approximately
$2,764,000, $2,087,000 and $2,086,000 for the years ended December 31,
1996, 1995 and 1994, respectively.
CAPITAL MARKETS ASSURANCE CORPORATION
NOTES TO FINANCIAL STATEMENTS
8) RESERVE FOR LOSSES AND LOSS ADJUSTMENT EXPENSES
The reserve for losses and loss adjustment expenses consists of a case
basis loss reserve and the SLR.
In 1995, CapMAC incurred its first claim on a financial guarantee
policy. Based on its current estimate, the Company expects the aggregate
amount of claims and related expenses not to exceed $2.7 million,
although no assurance can be given that such claims and related expenses
will not exceed that amount. Such loss amount was covered through a
recovery under a quota share reinsurance agreement of $0.2 million and a
reduction in the SLR of $2.5 million. The portion of such claims and
expenses not covered under the quota share agreement is being funded
through payments to CapMAC from the Lureco Trust Account (see note 12).
The following is a summary of the activity in the case basis loss
reserve account and the components of the reserve for losses and loss
adjustment expenses ($ in thousands):
<TABLE>
<CAPTION>
1996 1995 1994
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C>
CASE BASIS LOSS RESERVE:
Net balance at January 1 $ 620 - -
- ---------------------------------------------------------------------------------------
INCURRED RELATED TO:
Current year - 2,473 -
Prior years - - -
- ---------------------------------------------------------------------------------------
Total incurred - 2,473 -
PAID RELATED TO:
Current year - 1,853 -
Prior years 309 - -
- ---------------------------------------------------------------------------------------
Total paid 309 1,853 -
- ---------------------------------------------------------------------------------------
Net balance at December 31 311 620 -
Reinsurance recoverable - 69 -
- ---------------------------------------------------------------------------------------
GROSS BALANCE AT DECEMBER 31 311 689 -
- ---------------------------------------------------------------------------------------
SUPPLEMENTAL LOSS RESERVE
Balance at January 1 5,859 5,191 3,762
- ---------------------------------------------------------------------------------------
Additions to supplemental loss reserve 4,815 3,141 1,429
Allocated to case basis reserve - (2,473) -
- ---------------------------------------------------------------------------------------
BALANCE AT DECEMBER 31 10,674 5,859 5,191
- ---------------------------------------------------------------------------------------
TOTAL RESERVE FOR LOSSES AND LOSS ADJUSTMENT
EXPENSES $ 10,985 6,548 5,191
=======================================================================================
</TABLE>
CAPITAL MARKETS ASSURANCE CORPORATION
NOTES TO FINANCIAL STATEMENTS
9) INCOME TAXES
Pursuant to a tax sharing agreement with Holdings, the Company is
included in Holdings' consolidated U.S. Federal income tax return. The
Company's annual Federal income tax liability is determined by computing
its pro rata share of the consolidated group Federal income tax
liability.
Total income tax expense differed from the amount computed by applying
the U.S. Federal income tax rate of 35% in 1996 and 1995 and 34% in
1994:
<TABLE>
<CAPTION>
Year Ended Year Ended Year Ended
December 31, 1996 December 31, 1995 December 31, 1994
$ in thousands Amount % Amount % Amount %
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Expected tax expense computed
at the statutory rate $10,738 35.0 $7,216 35.0 $5,303 34.0
Increase (decrease) in tax
resulting from:
Tax-exempt interest (2,916) (9.5) (2,335) (11.3) (1,646) (10.6)
Other, net 781 2.5 334 1.6 51 0.4
- -----------------------------------------------------------------------------------------
TOTAL INCOME TAX EXPENSE $ 8,603 28.0 $5,215 25.3 $3,708 23.8
=========================================================================================
</TABLE>
The tax effects of temporary differences that give rise to significant
portions of the deferred Federal income tax liability are as follows:
<TABLE>
<CAPTION>
$ in thousands December 31, 1996 December 31, 1995
- -----------------------------------------------------------------------------------
<S> <C> <C>
DEFERRED TAX ASSETS:
Deferred compensation $ 200 1,901
Losses and loss adjustment expenses 1,527 1,002
Unearned premiums 866 852
Other, net 96 98
- -----------------------------------------------------------------------------------
Total gross deferred tax assets 2,689 3,853
- -----------------------------------------------------------------------------------
DEFERRED TAX LIABILITIES:
Deferred acquisition costs 15,883 12,307
Unrealized capital gains on investments 1,061 1,769
Other, net 884 1,080
- -----------------------------------------------------------------------------------
Total gross deferred tax liabilities 17,828 15,156
- -----------------------------------------------------------------------------------
NET DEFERRED TAX LIABILITY $ 15,139 11,303
===================================================================================
</TABLE>
A valuation allowance is provided when it is more likely than not that
some portion of the deferred tax assets will not be realized. Management
believes that the deferred tax assets will be fully realized in the
future.
CAPITAL MARKETS ASSURANCE CORPORATION
NOTES TO FINANCIAL STATEMENTS
10) INSURANCE REGULATORY RESTRICTIONS
CapMAC is subject to insurance regulatory requirements of the State of
New York and other states in which it is licensed to conduct business.
Generally, New York insurance laws require that dividends be paid from
earned surplus and restrict the amount of dividends in any year that may
be paid without obtaining approval for such dividends from the
Superintendent of Insurance to the lower of (i) net investment income as
defined or (ii) 10% of statutory surplus as of December 31 of the
preceding year. No dividends were paid by CapMAC to Holdings during the
years ended December 31, 1996, 1995 and 1994. No dividends could be paid
during these periods because CapMAC had negative earned surplus.
Statutory surplus at December 31, 1996 and 1995 was approximately
$193,726,000 and $195,018,000, respectively. Statutory surplus differs
from stockholder's equity determined under GAAP principally due to the
mandatory contingency reserve required for statutory accounting purposes
and differences in accounting for investments, deferred acquisition
costs, SLR and deferred taxes provided under GAAP. Statutory net income
was $18,737,000, $9,000,000 and $4,543,000 for the years ended December
31, 1996, 1995 and 1994, respectively. Statutory net income differs from
net income determined under GAAP principally due to deferred acquisition
costs, SLR and deferred income taxes.
11) COMMITMENTS AND CONTINGENCIES
The Company's lease agreement for the space occupied in New York expires
on November 20, 2008. CapMAC has a lease agreement for its London
office, which expires on October 1, 2002. As of December 31, 1996,
future minimum payments under the lease agreements are as follows:
<TABLE>
<CAPTION>
$ in thousands Payment
- ------------------------------------------------------------------------------------
<S> <C>
1997 $ 2,647
1998 2,715
1999 3,077
2000 3,152
2001 and thereafter 28,660
- ------------------------------------------------------------------------------------
TOTAL $ 40,251
====================================================================================
</TABLE>
Rent expense, commercial rent taxes and electricity for the years ended
December 31, 1996, 1995 and 1994 amounted to $1,618,000, $1,939,000 and
$2,243,000, respectively.
CapMAC has available a $150,000,000 standby corporate liquidity facility
(the "Liquidity Facility") scheduled to terminate in September 1999. The
Liquidity Facility is provided by a consortium of banks, headed by Bank
of Montreal, as agent, which is rated "A-1+" and "P-1" by S&P and
Moody's, respectively. Under the Liquidity Facility, CapMAC will be
able, subject to satisfying certain conditions, to borrow funds from
time to time in order to enable it to fund any claim payments or
payments made in settlement or mitigation of claim payments under its
insurance contracts. There have been no draws under the Liquidity
Facility.
CapMAC has agreed to make an investment of 50 million French Francs
(approximately $10 million U.S. dollars) in CapMAC Assurance, S.A., an
insurance subsidiary to be established in Paris, France. This investment
is anticipated to be made in 1997.
CAPITAL MARKETS ASSURANCE CORPORATION
NOTES TO FINANCIAL STATEMENTS
12) REINSURANCE
In the ordinary course of business, CapMAC cedes exposure under various
treaty and facultative reinsurance contracts, both on a pro rata and
excess of loss basis, primarily designed to minimize losses from large
risks and protect the capital and surplus of CapMAC.
The effect of reinsurance on premiums written and earned was as follows:
<TABLE>
<CAPTION>
Years Ended December 31
1996 1995 1994
-------------------- ------------------ -------------------
$ in thousands Written Earned Written Earned Written Earned
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Direct $ 71,752 48,835 56,541 36,853 43,598 28,561
Assumed 1,086 1,508 935 761 1,064 258
Ceded (15,104) (9,786) (15,992) (8,372) (11,069) (5,716)
- -----------------------------------------------------------------------------------
NET PREMIUMS $ 57,734 40,557 41,484 29,242 33,593 23,103
===================================================================================
</TABLE>
The reinsurance of risk does not relieve the ceding insurer of its
original liability to its policyholders. A contingent liability exists
with respect to the aforementioned reinsurance arrangements, which may
become a liability of CapMAC in the event the reinsurers are unable to
meet obligations assumed by them under the reinsurance contracts. At
December 31, 1996 and 1995, CapMAC had ceded loss reserves of $0 and
$69,000, respectively, and had ceded unearned premiums of $18,489,000
and $13,171,000, respectively.
In 1994, CapMAC entered into a reinsurance agreement (the "Lureco
Treaty") with Luxembourg European Reinsurance LURECO S.A. ("Lureco"), a
European-based reinsurer. The agreement is renewable annually at the
Company's option, subject to satisfying certain conditions. The
agreement reinsured and indemnified the Company for any loss incurred by
CapMAC during the agreement period up to the limits of the agreement.
The Lureco Treaty provides that the annual reinsurance premium payable
by CapMAC to Lureco, after deduction of the reinsurer's fee payable to
Lureco, be deposited in a trust account (the "Lureco Trust Account") to
be applied by CapMAC, at its option, to offset losses and loss expenses
incurred by CapMAC in connection with incurred claims. Amounts on
deposit in the Lureco Trust Account which have not been applied against
claims are contractually due to CapMAC at the termination of the treaty.
The premium deposit amounts in the Lureco Trust Account have been
reflected as assets by CapMAC during the term of the agreement. Premiums
in excess of the deposit amounts have been recorded as ceded premiums in
the statements of income. For the 1996 policy year, the agreement
provides $7 million of loss coverage in excess of the premium deposit
amount of $5 million retained in the Lureco Trust Account. Additional
coverage is provided for losses incurred in excess of 200% of the net
premiums earned up to $4 million for any one agreement year. In
September 1995, a claim of approximately $2.5 million on an insurance
policy was applied against the Lureco Trust Account.
CAPITAL MARKETS ASSURANCE CORPORATION
NOTES TO FINANCIAL STATEMENTS
In addition to its capital (including statutory contingency reserves),
CapMAC has other reinsurance available to pay claims under its insurance
contracts. Effective November 30, 1995, CapMAC entered into a Stop-loss
Reinsurance Agreement with Mitsui Marine and Fire Insurance Co. (the
"Mitsui Stop-loss Agreement"). Under the Mitsui Stop-loss Agreement,
Mitsui Marine and Fire Insurance Co. ("Mitsui") will be required to pay
any losses in excess of $100 million in the aggregate incurred by CapMAC
during the term of the Mitsui Stop-loss Agreement on the insurance
policies in effect on December 1, 1995 and written during the one-year
period thereafter, up to an aggregate limit payable under the Mitsui
Stop-loss Agreement of $50 million. The Mitsui Stop-loss Agreement has a
term of seven years and is subject to early termination by CapMAC in
certain circumstances. Effective January 1, 1997 the stop-loss
reinsurance coverage increased to $75 million in excess of incurred
losses of $150 million increasing annually based on increases in
CapMAC's statutory qualified capital. The new stop-loss reinsurance is
provided by Mitsui, AXA Re Finance S.A. ("AXA Re") and Munchener
Ruckversicherungs-Gesellschaft ("Munich Re").
On November 30, 1995, CapMAC canceled the quota share reinsurance
agreement with Winterthur Swiss Insurance Company ("Winterthur")
pursuant to which Winterthur had the right to reinsure on a quota share
basis 10% of each policy written by CapMAC. As a result, CapMAC
reassumed approximately $1.4 billion of principal insured by Winterthur
on January 1, 1996. In connection with the commutation, Winterthur
returned $2.0 million of unearned premiums, net of ceding commission and
Federal excise tax.
13) DISCLOSURES ABOUT FAIR VALUE OF FINANCIAL INSTRUMENTS
The following table presents the carrying amounts and estimated fair
values of the Company's financial instruments at December 31, 1996 and
1995. The fair value amounts were determined by the Company using
independent market information when available, and appropriate valuation
methodologies when market information was not available. Such valuation
methodologies require significant judgment and are not necessarily
indicative of the amount the Company could recognize in a current market
exchange.
<TABLE>
<CAPTION>
December 31, 1996 December 31, 1995
Carrying Estimated Carrying Estimated
$ in thousands Amount Fair Value Amount Fair Value
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FINANCIAL ASSETS:
Available-for-sale securities $314,703 314,703 284,352 284,352
- ------------------------------------------------------------------------------------------------------
OFF-BALANCE-SHEET INSTRUMENTS:
Financial guarantees outstanding $ - 219,989 - 147,840
Less: ceding commission - 65,997 - 44,352
- ------------------------------------------------------------------------------------------------------
Net financial guarantees outstanding $ - 153,992 103,488
======================================================================================================
</TABLE>
CAPITAL MARKETS ASSURANCE CORPORATION
NOTES TO FINANCIAL STATEMENTS
The following methods and assumptions were used to estimate the fair
value of each class of financial instruments summarized above:
AVAILABLE-FOR-SALE SECURITIES
The fair values of fixed maturities are based upon quoted market prices.
The fair value of short-term investments approximates amortized cost.
FINANCIAL GUARANTEES OUTSTANDING
The fair value of financial guarantees outstanding consists of (1) the
current unearned premium reserve, net of prepaid reinsurance and (2) the
fair value of installment revenue which is derived by calculating the
present value of the estimated future cash inflow to CapMAC of policies
in force having installment premiums, net of amounts payable to
reinsurers, at a discount rate of 7% at December 31, 1996 and 1995. The
amount calculated is assumed to be equivalent to the consideration that
would be paid by CapMAC under market conditions prevailing at the
reporting dates to transfer CapMAC's financial guarantee business to a
third party under reinsurance and other agreements. Ceding commission
represents the expected amount that would be paid to CapMAC to
compensate CapMAC for originating and servicing the insurance contracts.
In constructing estimated future cash inflows, management makes
assumptions regarding prepayments for amortizing asset-backed securities
which are consistent with relevant historical experience. For revolving
programs, assumptions are made regarding program utilization based on
discussions with program users. The amount of future installment revenue
actually realized by the Company could be reduced in the future due to
factors such as early termination of insurance contracts, accelerated
prepayments of underlying obligations or lower than anticipated
utilization of insured structured programs, such as commercial paper
conduits. Although increases in future installment revenue earnings due
to renewals of existing insurance contracts historically have been
greater than reductions in future installment revenue due to factors
such as those described above, there can be no assurance that future
circumstances might not cause a material net reduction in the future
installment revenue.
14) CAPITALIZATION
In 1995, $59.0 million of the proceeds received by Holdings from the
sale of shares in connection with an initial public offering and private
placements were contributed to CapMAC.
Exhibit 99.2
------------
CAPITAL MARKETS ASSURANCE CORPORATION AND SUBSIDIARY
CONSOLIDATED FINANCIAL STATEMENTS
MARCH 31, 1997
(UNAUDITED)
CAPITAL MARKETS ASSURANCE CORPORATION AND SUBSIDIARY
CONSOLIDATED BALANCE SHEETS
(DOLLARS IN THOUSANDS)
<TABLE>
<CAPTION>
ASSETS
March 31,1997
(Unaudited) December 31,1996
- --------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENTS:
Bonds at fair value (amortized cost $276,563 at March 31, 1997
and $294,861 at December 31, 1996) $ 273,096 297,893
Short-term investments (at amortized cost which approximates fair
value) 37,903 16,810
- --------------------------------------------------------------------------------------------------------
Total investments 310,999 314,703
- --------------------------------------------------------------------------------------------------------
Cash 9,399 371
Accrued investment income 3,070 3,807
Deferred acquisition costs 48,442 45,380
Premiums receivable 4,788 5,141
Prepaid reinsurance 18,703 18,489
Other assets 6,901 6,424
- --------------------------------------------------------------------------------------------------------
TOTAL ASSETS $ 402,302 394,315
========================================================================================================
LIABILITIES AND STOCKHOLDER'S EQUITY
------------------------------------
LIABILITIES:
Unearned premiums $ 68,838 68,262
Reserve for losses and loss adjustment expenses 12,528 10,985
Ceded reinsurance 2,163 1,738
Accounts payable and other accrued expenses 11,214 8,019
Current income taxes 1,301 679
Deferred income taxes 13,784 15,139
- --------------------------------------------------------------------------------------------------------
Total liabilities 109,828 104,822
- --------------------------------------------------------------------------------------------------------
STOCKHOLDER'S EQUITY:
Common stock - $1.00 par value per share; 15,000,000 shares are
authorized, issued and outstanding at March 31, 1997 and
December 31, 1996 15,000 15,000
Additional paid-in capital 208,475 208,475
Unrealized (depreciation) appreciation on investments, net of tax (2,253) 1,970
Retained earnings 71,252 64,048
- --------------------------------------------------------------------------------------------------------
Total stockholder's equity 292,474 289,493
- --------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES AND STOCKHOLDER'S EQUITY $ 402,302 394,315
========================================================================================================
</TABLE>
See accompanying notes to consolidated financial statements.
CAPITAL MARKETS ASSURANCE CORPORATION AND SUBSIDIARY
CONSOLIDATED STATEMENTS OF INCOME
(UNAUDITED)
(DOLLARS IN THOUSANDS)
<TABLE>
<CAPTION>
Three Months Ended Three Months Ended
March 31, 1997 March 31, 1996
- --------------------------------------------------------------------------------------
<S> <C> <C>
REVENUES:
Direct premiums written $ 16,454 14,155
Assumed premiums written 261 874
Ceded premiums written (4,349) (1,910)
- --------------------------------------------------------------------------------------
Net premiums written 12,366 13,119
Increase in unearned premiums (363) (4,291)
- --------------------------------------------------------------------------------------
Net premiums earned 12,003 8,828
Net investment income 4,702 3,877
Net realized capital gains 2,043 149
Other income 43 54
- --------------------------------------------------------------------------------------
Total revenues 18,791 12,908
- --------------------------------------------------------------------------------------
EXPENSES:
Losses and loss adjustment expenses 1,543 1,075
Underwriting and operating expenses 4,671 3,978
Policy acquisition costs 2,581 2,064
- --------------------------------------------------------------------------------------
Total expenses 8,795 7,117
- --------------------------------------------------------------------------------------
Income before income taxes 9,996 5,791
- --------------------------------------------------------------------------------------
INCOME TAXES:
Current income tax 1,873 664
Deferred income tax 919 823
- --------------------------------------------------------------------------------------
Total income taxes 2,792 1,487
- --------------------------------------------------------------------------------------
NET INCOME $ 7,204 4,304
======================================================================================
</TABLE>
See accompanying notes to consolidated financial statements.
CAPITAL MARKETS ASSURANCE CORPORATION AND SUBSIDIARY
CONSOLIDATED STATEMENT OF STOCKHOLDER'S EQUITY
(UNAUDITED)
(DOLLARS IN THOUSANDS)
<TABLE>
<CAPTION>
Three Months Ended
March 31, 1997
- -----------------------------------------------------------------------------------
<S> <C>
COMMON STOCK:
Balance at beginning of period $ 15,000
- -----------------------------------------------------------------------------------
Balance at end of period 15,000
- -----------------------------------------------------------------------------------
ADDITIONAL PAID-IN CAPITAL:
Balance at beginning of period 208,475
- -----------------------------------------------------------------------------------
Balance at end of period 208,475
UNREALIZED (DEPRECIATION) APPRECIATION
ON INVESTMENTS, NET OF TAX:
Balance at beginning of period 1,970
Unrealized depreciation on investments (4,223)
- -----------------------------------------------------------------------------------
Balance at end of period (2,253)
- -----------------------------------------------------------------------------------
RETAINED EARNINGS:
Balance at beginning of period 64,048
Net income 7,204
- -----------------------------------------------------------------------------------
Balance at end of period 71,252
- -----------------------------------------------------------------------------------
TOTAL STOCKHOLDER'S EQUITY $ 292,474
===================================================================================
</TABLE>
See accompanying notes to consolidated financial statements.
CAPITAL MARKETS ASSURANCE CORPORATION AND SUBSIDIARY
CONSOLIDATED STATEMENTS OF CASH FLOWS
(UNAUDITED)
(DOLLARS IN THOUSANDS)
<TABLE>
<CAPTION>
Three Months Ended Three Months Ended
March 31, 1997 March 31, 1996
- -------------------------------------------------------------------------------------------
<S> <C> <C>
CASH FLOWS FROM OPERATING ACTIVITIES:
Net income $ 7,204 4,304
- -------------------------------------------------------------------------------------------
ADJUSTMENTS TO RECONCILE NET INCOME TO NET CASH
PROVIDED (USED) BY OPERATING ACTIVITIES:
Reserve for losses and loss adjustment expenses 1,543 713
Unearned premiums, net 576 4,499
Deferred acquisition costs (3,062) (2,397)
Premiums receivable 353 77
Accrued investment income 737 (220)
Income taxes payable 1,541 947
Net realized capital gains (2,043) (149)
Accounts payable and other accrued expenses 3,195 287
Prepaid reinsurance (214) (208)
Other, net 78 89
- -------------------------------------------------------------------------------------------
Total adjustments 2,704 3,638
- -------------------------------------------------------------------------------------------
NET CASH PROVIDED BY OPERATING ACTIVITIES 9,908 7,942
- -------------------------------------------------------------------------------------------
CASH FLOWS FROM INVESTING ACTIVITIES:
Purchases of investments (74,308) (87,335)
Proceeds from sales of investments 58,658 6,158
Proceeds from maturities of investments 14,770 73,280
- -------------------------------------------------------------------------------------------
NET CASH USED IN INVESTING ACTIVITIES (880) (7,897)
- -------------------------------------------------------------------------------------------
Net increase in cash 9,028 45
Cash balance at beginning of period 371 344
- -------------------------------------------------------------------------------------------
CASH BALANCE AT END OF PERIOD $ 9,399 389
===========================================================================================
SUPPLEMENTAL DISCLOSURES OF CASH FLOW
INFORMATION:
Income taxes paid $ 1,250 525
===========================================================================================
</TABLE>
See accompanying notes to consolidated financial statements.
CAPITAL MARKETS ASSURANCE CORPORATION AND SUBSIDIARY
NOTES TO UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS
MARCH 31, 1997
1. BACKGROUND
Capital Markets Assurance Corporation ("CapMAC") is a New York-domiciled
monoline stock insurance company which engages only in the business of
financial guaranty and surety insurance. CapMAC is a wholly owned
subsidiary of CapMAC Holdings Inc. ("Holdings"). In early 1997, CapMAC
made an investment of 50 million French francs (approximately 10 million
U.S. dollars) in CapMAC Assurance, S.A., an insurance subsidiary to be
established in Paris, France. CapMAC Assurance, S.A., is licensed to
write financial guarantee insurance in the European Union member states.
CapMAC is licensed in all 50 states in addition to the District of
Columbia, the Commonwealth of Puerto Rico and the territory of Guam.
CapMAC insures structured asset-backed, corporate, municipal and other
financial obligations in the U.S. and international capital markets.
CapMAC also provides financial guaranty reinsurance for structured
asset-backed, corporate, municipal and other financial obligations
written by other major insurance companies.
CapMAC's claims-paying ability is rated triple-A by Moody's Investors
Service, Inc., Standard & Poor's Ratings Services, Duff & Phelps Credit
Rating Co., and Nippon Investors Service, Inc., a Japanese rating
agency. Such ratings reflect only the views of the respective rating
agencies, are not recommendations to buy, sell or hold securities and
are subject to revision or withdrawal at any time by such rating
agencies.
2. BASIS OF PRESENTATION
CapMAC's consolidated unaudited interim financial statements have been
prepared on the basis of generally accepted accounting principles and,
in the opinion of management, reflect all adjustments necessary for a
fair presentation of the CapMAC's financial condition, results of
operations and cash flows for the periods presented. The results of
operations for the three months ended March 31, 1997 may not be
indicative of the results that may be expected for the full year ending
December 31, 1997. These consolidated financial statements and notes
should be read in conjunction with the financial statements and notes
included in the audited financial statements of CapMAC as of December
31, 1996 and 1995, and for each of the years in the three-year period
ended December 31, 1996.
Exhibit 99.3
____________
Computational Materials
$165,000,000
(Approximate)
Countrywide Home Equity Loan Trust, Series 1997-B
Revolving Home Equity Line of Credit ("HELOC")
Asset Backed Certificates
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by Countrywide Home Loans, Inc. with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity 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 loans will prepay at a constant rate or follow a
predictable pattern. This 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 home equity loans contained herein, shall be deemed superseded, amended
and supplemented in their entirety by such Prospectus and Prospectus
Supplement. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
COUNTRYWIDE HOME LOANS, INC.
SELLER AND MASTER SERVICER
COUNTRYWIDE HOME EQUITY LOAN TRUST 1997-B
$165,000,000 (APPROXIMATE) CLASS A CERTIFICATES
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
Expected Average Expected
Par Ratings Life Payment Window Pricing Price Targeted
Class Amount (Moody's/S&P) (to 10% (to 10% call)/(1)/ Index Talk Price
call)/(1)/
A $165,000,000 Aaa/AAA 4.13 yrs. month 1 - 92 1-month LIBOR +( ) Par
</TABLE>
(1)/ Assumes a 30% CPR and a 18% Constant Draw Rate.
<TABLE>
<CAPTION>
<S> <C>
ORIGINATOR: Countrywide Home Loans, Inc.
MASTER SERVICER: Countrywide Home Loans, Inc.
TRUSTEE: The First National Bank of Chicago.
CERTIFICATE INSURER: Capital Markets Assurance Corporation ("CapMAC")
CERTIFICATE INSURANCE POLICY: 100% coverage of timely interest and ultimate repayment of principal due to Certificateholders.
EXPECTED PRICING DATE: May 14-15, 1997.
EXPECTED SETTLEMENT: May 29, 1997 through DTC, Euroclear and CEDEL.
DISTRIBUTION DATES: The 15th of each month, beginning July 15, 1997.
CERTIFICATE INTEREST RATE CAP: The Certificates pay 1-month LIBOR plus a spread capped at the weighted average of the loan
rates (net of the 0.50% Servicing fee rate, the Trustee fee rate, and the Certificate Insurer
fee rate).
COLLATERAL DESCRIPTION: The Loans are indexed to the Wall Street Journal Prime Rate and have a weighted average
initial coupon of 6.13%, a weighted average margin of 2.25%, and a weighted average lifetime
rate cap of 17.8%.
PRICING SPEED: 30% CPR with a 18% Constant Draw Rate, for a "net" 12% CPR.
DAY COUNT BASIS: Actual/360 day interest accrual.
FINAL DISTRIBUTION DATE: June 15, 2022
OPTIONAL CLEAN-UP CALL: 10% of original certificate balance.
TRUST TAX STATUS: "Revolving Trust." This is not a REMIC trust.
ERISA ELIGIBILITY: This issue will be ERISA eligible based on an underwriter's exemption.
SMMEA ELIGIBILITY: The Certificates are not SMMEA eligible.
</TABLE>
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by Countrywide Home Loans, Inc. with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity 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 loans will prepay at a constant rate or follow a
predictable pattern. This 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 home equity loans contained herein, shall be deemed superseded, amended
and supplemented in their entirety by such Prospectus and Prospectus
Supplement. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
DESCRIPTION OF THE MORTGAGE LOANS
---------------------------------
The Statistical pool balance is $137,422,904.12, which is equal to the
aggregate Principal Balances of the Statistic Calculation Pool Mortgage
Loans as of the Statistic Calculation Date. The statistical information
presented herein is based on the Statistic Calculation Pool. The
Statistic Calculation Pool reflects the Mortgage Loans originated by the
Seller through the Statistic Calculation Date. The Depositor expects
that the actual pool as of the Closing Date will represent approximately
$168,367,347 aggregate Principal Balance of Mortgage Loans.
<TABLE>
<CAPTION>
<S> <C>
AGGREGATE POOL BALANCE: $137,422,904.12
NUMBER OF LOANS: 5,754
AVERAGE OUTSTANDING BALANCE: $23,883.02 (Range: $0.00 - $500,000)
AVERAGE CREDIT LIMIT: $34,164.87 (Range: $10,000 - $500,000)
INTEREST RATE INDEX: Prime Rate (Wall Street Journal Index)
WEIGHTED AVERAGE COUPON: 6.13% (Range: 5.99% - 11.88%)
WEIGHTED AVERAGE MARGIN: 2.25% (Range: 0.13% - 5.63%)
WEIGHTED AVERAGE LIFETIME CAP: 17.80% (Range: 12.25% - 18.00%)
INTEREST RATE ROLL FREQUENCY: Monthly
ORIGINAL WEIGHTED AVERAGE TERM: 282.2 months (Range: 156 months - 302 months)
REMAINING WEIGHTED AVERAGE TERM: 280.5 months (Range: 153 months - 301 months)
WEIGHTED AVERAGE SEASONING: 2 months
LOAN UTILIZATION RATE: 71.47% (Range: 0.00% - 100.00%)
LIEN POSITION: 95.59% 2nd Liens, 4.41% 1st Liens
WEIGHTED COMBINED LOAN TO VALUE RATIO: 81.92% (57.02% are 80+% LTVs)
WEIGHTED AVERAGE SECOND MORTGAGE
RATIO/(1)/: 25.33%
PROPERTY TYPE: 87.24% single family; 9.20% PUD; 3.04% Condo; 0.52% other
OWNER OCCUPANCY: 97.80% owner occupied; 2.20% non-owner-occupied
GEOGRAPHIC DISTRIBUTION: CA (29.14%), WA (5.91%), FL (4.20%), CO (3.97%), OR (3.82%)
</TABLE>
Note: (1) The weighted average second mortgage ratio is computed as the 2nd
Lien (1st Lien + 2nd Lien).
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by Countrywide Home Loans, Inc. with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity 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 loans will prepay at a constant rate or follow a
predictable pattern. This 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 home equity loans contained herein, shall be deemed superseded, amended
and supplemented in their entirety by such Prospectus and Prospectus
Supplement. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
AVERAGE LIFE SENSITIVITY
------------------------
AVERAGE LIFE SENSITIVITY TO PREPAYMENTS AND DRAWS
ASSUMES OPTIONAL 10% CLEAN-UP CALL IS EXERCISED
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
% CPR
0% 15% 20% 30%* 40% 45% 55%
CONSTANT DRAW WAL DATE WAL DATE WAL DATE WAL DATE WAL DATE WAL DATE WAL DATE
0% 16.16 9/20 5.09 6/09 3.86 12/06 2.47 6/03 1.76 9/01 1.52 2/01 1.17 4/00
5% 14.55 12/16 5.83 1/09 4.45 3/07 2.82 2/04 1.96 3/02 1.66 6/01 1.25 6/00
10% 13.89 6/16 6.72 6/08 5.16 3/07 3.25 8/04 2.19 9/02 1.84 11/01 1.34 9/00
18%* 13.65 3/16 7.65 3/07 6.63 10/06 4.13 2/05 2.71 7/03 2.23 10/02 1.54 2/01
20% 13.65 3/16 7.40 10/06 7.09 8/06 4.41 3/05 2.87 9/03 2.35 12/02 1.60 4/01
</TABLE>
* Expected Pricing Speed.
AVERAGE LIFE SENSITIVITY TO PREPAYMENTS AND DRAWS
ASSUMES OPTIONAL 10% CLEAN-UP CALL IS NOT EXERCISED
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0% 15% 20% 30%* 40% 45% 55%
CONSTANT DRAW WAL DATE WAL DATE WAL DATE WAL DATE WAL DATE WAL DATE WAL DATE
0% 16.23 4/22 5.37 5/17 4.09 8/13 2.65 5/08 1.88 2/05 1.62 1/04 1.24 5/02
5% 14.61 2/18 5.94 7/11 4.57 12/09 2.96 7/07 2.07 4/05 1.77 5/04 1.32 9/02
10% 13.94 7/17 6.77 7/09 5.21 7/08 3.34 11/06 2.30 5/05 1.94 7/04 1.42 1/03
18%* 13.70 5/17 7.66 7/07 6.65 4/07 4.17 2/06 2.78 3/05 2.31 9/04 1.63 7/03
20% 13.70 5/17 7.42 3/07 7.11 1/07 4.44 12/05 2.94 2/05 2.42 9/04 1.69 8/03
</TABLE>
* Expected Pricing Speed.
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by Countrywide Home Loans, Inc. with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity 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 loans will prepay at a constant rate or follow a
predictable pattern. This 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 home equity loans contained herein, shall be deemed superseded, amended
and supplemented in their entirety by such Prospectus and Prospectus
Supplement. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
COLLATERAL TABLES
-----------------
<TABLE>
<CAPTION>
<S> <C> <C>
- ---------------------------- -------------- ------------------ -----------------
Number of Calculation Date Date
Range of Principal Mortgage Principal Principal
Balances Loans Balance Balance
- ---------------------------- -------------- ------------------ -----------------
0.00 to 10,000.00 1441 6,999,120.50 5.09
10,000.01 to 20,000.00 1904 29,610,059.65 21.55
20,000.01 to 30,000.00 1126 28,418,346.77 20.68
30,000.01 to 40,000.00 526 18,487,744.90 13.45
40,000.01 to 50,000.00 302 13,891,979.14 10.11
50,000.01 to 60,000.00 128 7,086,174.59 5.16
60,000.01 to 70,000.00 89 5,822,661.21 4.24
70,000.01 to 80,000.00 69 5,218,328.85 3.8
80,000.01 to 90,000.00 38 3,255,081.45 2.37
90,000.01 to 100,000.00 55 5,360,697.01 3.9
100,000.01 to 125,000.00 24 2,738,909.66 1.99
125,000.01 to 150,000.00 24 3,427,135.43 2.49
150,000.01 to 175,000.00 9 1,477,799.90 1.08
175,000.01 to 200,000.00 5 983,978.87 0.72
200,000.01 to 225,000.00 1 225,000.00 0.16
225,000.01 to 250,000.00 3 713,000.00 0.52
250,000.01 to 275,000.00 1 265,000.00 0.19
275,000.01 to 300,000.00 2 599,986.19 0.44
300,000.01 to 325,000.00 1 305,400.00 0.22
350,000.01 and up 6 2,536,500.00 1.85
- ---------------------------- -------------- ------------------ -----------------
Total: 5754 137,422,904.12 100
- ---------------------------- -------------- ------------------ -----------------
Min: 0.00
Max: 500,000.00
Average: 23,883.02
- ---------------------------- -------------- ------------------ -----------------
</TABLE>
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by Countrywide Home Loans, Inc. with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity 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 loans will prepay at a constant rate or follow a
predictable pattern. This 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 home equity loans contained herein, shall be deemed superseded, amended
and supplemented in their entirety by such Prospectus and Prospectus
Supplement. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<TABLE>
<CAPTION>
<S> <C> <C>
- ---------------------------- -------------- ------------------ -----------------
Number of Calculation Date Date
Mortgage Principal Principal
Geographical Distribution (1) Loans Balance Balance
- ---------------------------- -------------- ------------------ -----------------
AK 2 47,500.00 0.03
AL 113 2,149,249.95 1.56
AZ 211 5,168,300.58 3.76
CA 1288 40,041,987.90 29.14
CO 282 5,452,186.25 3.97
CT 48 1,241,025.04 0.9
DC 4 264,842.00 0.19
DE 9 173,684.80 0.13
FL 311 5,766,072.07 4.2
GA 130 3,077,571.36 2.24
IA 17 333,780.67 0.24
ID 98 2,402,728.69 1.75
IL 213 4,604,497.22 3.35
IN 82 1,367,231.51 0.99
KS 57 1,118,983.70 0.81
KY 38 769,573.54 0.56
LA 73 1,481,311.41 1.08
MA 153 3,580,771.40 2.61
MD 117 2,429,988.19 1.77
ME 15 325,966.99 0.24
MI 266 5,172,378.79 3.76
MO 103 2,218,425.18 1.61
MS 15 306,176.99 0.22
MT 29 519,542.96 0.38
NC 109 2,107,471.33 1.53
ND 3 74,816.55 0.05
NE 27 473,896.48 0.34
NH 24 505,835.09 0.37
NJ 169 3,782,937.77 2.75
NM 61 1,270,244.52 0.92
NV 107 2,324,379.29 1.69
NY 130 3,653,063.28 2.66
OH 235 4,295,084.65 3.13
OK 27 751,814.18 0.55
OR 187 5,249,047.62 3.82
PA 187 3,763,210.39 2.74
RI 12 160,477.05 0.12
SC 34 821,340.29 0.6
SD 5 35,841.00 0.03
TN 85 1,838,732.54 1.34
TX 7 275,688.00 0.2
UT 192 4,778,636.46 3.48
VA 76 1,757,270.83 1.28
VT 6 79,118.99 0.06
WA 316 8,121,693.28 5.91
WI 57 950,316.12 0.69
WY 24 338,211.22 0.25
- ---------------------------- -------------- ------------------ -----------------
Total: 5754 137,422,904.12 100
</TABLE>
(1) Geograhic location is determined by the address of the Mortgaged Property
securing the related Mortgage Loan.
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by Countrywide Home Loans, Inc. with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity 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 loans will prepay at a constant rate or follow a
predictable pattern. This 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 home equity loans contained herein, shall be deemed superseded, amended
and supplemented in their entirety by such Prospectus and Prospectus
Supplement. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<TABLE>
<CAPTION>
<S> <C> <C>
---------------------------- -------------- ------------------ -----------------
Number of Calculation Date Date
Range of Combined Mortgage Principal Principal
Loan-to-Value Ratios Loans Balance Balance
---------------------------- -------------- ------------------ -----------------
0.0000% to 10.000% 4 90,000.00 0.07
10.001% to 20.000% 23 416,129.10 0.3
20.001% to 30.000% 33 711,548.15 0.52
30.001% to 40.000% 58 1,432,362.28 1.04
40.001% to 50.000% 104 2,260,793.00 1.65
50.001% to 60.000% 186 5,479,824.37 3.99
60.001% to 70.000% 662 14,587,519.13 10.62
70.001% to 80.000% 1342 34,081,873.71 24.8
80.001% to 90.000% 2567 60,781,729.38 44.23
90.001% to 100.000% 775 17,581,125.00 12.79
---------------------------- -------------- ------------------ -----------------
Total: 5754 137,422,904.12 100
---------------------------- -------------- ------------------ -----------------
Min: 7.810
Max: 100.000
Weighted Average: 81.919
---------------------------- -------------- ------------------ -----------------
The ratio (expressed as a percentage ) of (A) the sum of (i) the Credit Limit of the Mortgage Loans and (ii) any
outstanding principal balances of mortgage loans senior or of equal priority to the Mortgage Loans (calculated
generally at the date of origination of the Mortgage Loans) to (B) the lesser of (i) the appraised value of the
related Mortgaged Property as set forth in the loan files at such date of origination or (ii) in the case of a
Mortgage Property purchased within one year of the origination of the related Mortgaged Loan, the purchase price
of such Mortgaged Property.
</TABLE>
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by Countrywide Home Loans, Inc. with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity 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 loans will prepay at a constant rate or follow a
predictable pattern. This 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 home equity loans contained herein, shall be deemed superseded, amended
and supplemented in their entirety by such Prospectus and Prospectus
Supplement. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<TABLE>
<CAPTION>
Number of Calculation Date Date
Mortgage Principal Principal
Property Type Loans Balance Balance
---------------------------- -------------- ------------------ -----------------
<S> <C> <C> <C>
Single Family Residence 5112 119,885,188.56 87.24
PUD 432 12,636,068.45 9.2
Manufactured Housing 13 212,595.80 0.15
Condominium 169 4,176,455.06 3.04
Two-to-Four-Family 28 512,596.25 0.37
---------------------------- -------------- ------------------ -----------------
Total: 5754 137,422,904.12 100
---------------------------- -------------- ------------------ -----------------
---------------------------- -------------- ------------------ -----------------
Number of Calculation Date Date
Mortgage Principal Principal
Lien Priority Loans Balance Balance
---------------------------- -------------- ------------------ -----------------
First Lien 124 6,062,368.36 4.41
Second Lien 5630 131,360,535.76 95.59
---------------------------- -------------- ------------------ -----------------
Total: 5754 137,422,904.12 100
---------------------------- -------------- ------------------ -----------------
</TABLE>
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by Countrywide Home Loans, Inc. with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity 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 loans will prepay at a constant rate or follow a
predictable pattern. This 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 home equity loans contained herein, shall be deemed superseded, amended
and supplemented in their entirety by such Prospectus and Prospectus
Supplement. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<TABLE>
<CAPTION>
<S> <C> <C> <C>
---------------------------- -------------- ------------------ -----------------
Number of Calculation Date Date
Range of Mortgage Principal Principal
Margins Loans Balance Balance
---------------------------- -------------- ------------------ -----------------
0.001 - 0.250 2 48,444.99 0.04
0.251 - 0.500 980 21,616,020.22 15.73
0.501 - 0.750 13 177,673.73 0.13
0.751 - 1.000 194 8,795,349.63 6.4
1.001 - 1.250 134 3,388,256.21 2.47
1.251 - 1.500 598 12,647,967.86 9.2
1.501 - 1.750 105 2,784,575.23 2.03
1.751 - 2.000 153 3,859,943.98 2.81
2.001 - 2.250 997 21,635,860.69 15.74
2.251 - 2.500 79 1,909,674.32 1.39
2.501 - 2.750 453 15,160,553.83 11.03
2.751 - 3.000 708 15,421,817.47 11.22
3.001 - 3.250 55 1,027,772.63 0.75
3.251 - 3.500 269 7,345,408.81 5.35
3.501 - 3.750 448 10,273,380.04 7.48
3.751 - 4.000 43 569,475.10 0.41
4.001 - 4.250 122 3,148,056.52 2.29
4.251 - 4.500 333 6,625,621.26 4.82
4.501 - 4.750 32 507,537.80 0.37
4.751 - 5.000 17 273,522.36 0.2
5.001 >= 19 205,991.44 0.15
---------------------------- -------------- ------------------ -----------------
Total: 5754 137,422,904.12 100
---------------------------- -------------- ------------------ -----------------
Min: 0.125
Max: 5.625
Weighted Average: 2.252
---------------------------- -------------- ------------------ -----------------
</TABLE>
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by Countrywide Home Loans, Inc. with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity 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 loans will prepay at a constant rate or follow a
predictable pattern. This 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 home equity loans contained herein, shall be deemed superseded, amended
and supplemented in their entirety by such Prospectus and Prospectus
Supplement. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<TABLE>
<CAPTION>
<S> <C> <C> <C>
---------------------------- -------------- ------------------ -----------------
Number of Calculation Date Date
Range of Mortgage Principal Principal
Loan Rates Loans Balance Balance
---------------------------- -------------- ------------------ -----------------
5.99% 5637 133,139,305.77 96.88
6.51% to 6.75% 1 13,474.00 0.01
8.01% to 8.25% 2 121,070.00 0.09
9.01% to 9.25% 3 110,700.00 0.08
9.26% to 9.50% 14 553,523.57 0.4
9.51% to 9.75% 3 218,500.00 0.16
9.76% to 10.00% 12 526,354.71 0.38
10.01% to 10.25% 12 423,843.10 0.31
10.26% to 10.50% 19 412,801.08 0.3
10.51% to 10.75% 7 293,567.00 0.21
10.76% to 11.00% 12 476,836.57 0.35
11.01% to 11.25% 19 742,032.24 0.54
11.26% to 11.50% 5 224,835.88 0.16
11.51% to 11.75% 4 65,408.75 0.05
11.76% to 12.00% 4 100,651.45 0.07
---------------------------- -------------- ------------------ -----------------
Total: 5754 137,422,904.12 100
---------------------------- -------------- ------------------ -----------------
Min: 5.990
Max: 11.875
WAC: 6.127
---------------------------- -------------- ------------------ -----------------
</TABLE>
Approximately 96.88% of the Statistic Calculation Pool Mortgage Loans
by Statistic Calculation Date Principal Balance are subject to an
introductory rate per annum of 5.99% per annum.
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by Countrywide Home Loans, Inc. with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity 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 loans will prepay at a constant rate or follow a
predictable pattern. This 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 home equity loans contained herein, shall be deemed superseded, amended
and supplemented in their entirety by such Prospectus and Prospectus
Supplement. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<TABLE>
<CAPTION>
<S> <C> <C> <C>
---------------------------- -------------- ------------------ -----------------
Number of Calculation Date Date
Range of Credit Limit Mortgage Principal Principal
Utilization Rates Loans Balance Balance
---------------------------- -------------- ------------------ -----------------
0.0000% to 10.000% 666 279,089.08 0.2
10.001% to 20.000% 116 962,611.01 0.7
20.001% to 30.000% 182 1,987,633.81 1.45
30.001% to 40.000% 229 3,181,144.50 2.31
40.001% to 50.000% 293 4,530,594.46 3.3
50.001% to 60.000% 297 5,225,233.57 3.8
60.001% to 70.000% 438 7,972,450.84 5.8
70.001% to 80.000% 354 8,227,651.90 5.99
80.001% to 90.000% 363 9,866,770.43 7.18
90.001% to 100.000% 2816 95,189,724.52 69.27
---------------------------- -------------- ------------------ -----------------
Total: 5754 137,422,904.12 100
---------------------------- -------------- ------------------ -----------------
Min: 0.000
Max: 100.000
Simple Average: 71.470
---------------------------- -------------- ------------------ -----------------
</TABLE>
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by Countrywide Home Loans, Inc. with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity 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 loans will prepay at a constant rate or follow a
predictable pattern. This 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 home equity loans contained herein, shall be deemed superseded, amended
and supplemented in their entirety by such Prospectus and Prospectus
Supplement. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<TABLE>
<CAPTION>
---------------------------- -------------- ------------------ -----------------
Number of Calculation Date Date
Mortgage Principal Principal
Range of Credit Limits Loans Balance Balance
---------------------------- -------------- ------------------ -----------------
<S> <C> <C> <C>
0.00 to 10,000.00 78 495,636.51 0.36
10,000.01 to 20,000.00 1913 23,070,021.09 16.79
20,000.01 to 30,000.00 1575 29,170,222.76 21.23
30,000.01 to 40,000.00 836 20,594,587.57 14.99
40,000.01 to 50,000.00 558 17,135,732.81 12.47
50,000.01 to 60,000.00 224 8,813,718.08 6.41
60,000.01 to 70,000.00 141 6,340,518.75 4.61
70,000.01 to 80,000.00 109 5,803,564.28 4.22
80,000.01 to 90,000.00 64 4,007,617.36 2.92
90,000.01 to 100,000.00 138 7,147,198.08 5.2
100,000.01 to 125,000.00 38 2,917,323.84 2.12
125,000.01 to 150,000.00 35 3,981,062.62 2.9
150,000.01 to 175,000.00 14 1,530,456.02 1.11
175,000.01 to 200,000.00 10 1,336,688.87 0.97
200,000.01 to 225,000.00 3 245,078.31 0.18
225,000.01 to 250,000.00 7 968,003.94 0.7
250,000.01 to 275,000.00 1 265,000.00 0.19
275,000.01 to 300,000.00 2 599,986.19 0.44
300,000.01 to 325,000.00 1 305,400.00 0.22
350,000.01 and up 7 2,695,087.04 1.96
---------------------------- ------------- ------------------ -----------------
Total: 5754 137,422,904.12 100
---------------------------- -------------- ------------------ -----------------
Min: 10,000.00
Max: 500,000.00
Simple Average: 34,164.87
---------------------------- -------------- ------------------ -----------------
</TABLE>
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by Countrywide Home Loans, Inc. with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity 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 loans will prepay at a constant rate or follow a
predictable pattern. This 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 home equity loans contained herein, shall be deemed superseded, amended
and supplemented in their entirety by such Prospectus and Prospectus
Supplement. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<TABLE>
<CAPTION>
<S> <C> <C> <C>
---------------------------- -------------- ------------------ -----------------
Number of Calculation Date Date
Mortgage Principal Principal
Maximum Rates Loans Balance Balance
---------------------------- -------------- ------------------ -----------------
12.250 52 1,148,289.49 0.84
12.500 33 690,443.05 0.5
15.000 29 519,542.96 0.38
16.000 110 2,152,271.33 1.57
17.000 599 11,477,446.42 8.35
18.000 4931 121,434,910.87 88.37
---------------------------- -------------- ------------------ -----------------
Total: 5754 137,422,904.12 100
---------------------------- -------------- ------------------ -----------------
Min: 12.250
Max: 18.000
Weighted Average: 17.798
---------------------------- -------------- ------------------ -----------------
---------------------------- -------------- ------------------ -----------------
Range of Months Number of Calculation Date Date
Remaining to Scheduled Mortgage Principal Principal
Maturity Loans Balance Balance
---------------------------- -------------- ------------------ -----------------
151 - 155 759 17,014,215.75 12.38
296 - 300 4914 118,994,297.91 86.59
301 - 305 81 1,414,390.46 1.03
---------------------------- -------------- ------------------ -----------------
Total: 5754 137,422,904.12 100
---------------------------- -------------- ------------------ ----------------
</TABLE>
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by Countrywide Home Loans, Inc. with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity 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 loans will prepay at a constant rate or follow a
predictable pattern. This 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 home equity loans contained herein, shall be deemed superseded, amended
and supplemented in their entirety by such Prospectus and Prospectus
Supplement. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
<TABLE>
<CAPTION>
---------------------------- -------------- ------------------ -----------------
Number of Calculation Date Date
Mortgage Principal Principal
Origination Year Loans Balance Balance
---------------------------- -------------- ------------------ -----------------
<S> <C> <C> <C>
1997 5754 137,422,904.12 100
---------------------------- -------------- ------------------ -----------------
Total: 5754 137,422,904.12 100
---------------------------- -------------- ------------------ -----------------
---------------------------- -------------- ------------------ -----------------
Number of Calculation Date Date
Number of Days Mortgage Principal Principal
Delinquent Loans Balance Balance
---------------------------- -------------- ------------------ -----------------
0 - 29 5754 137,422,904.12 100
---------------------------- -------------- ------------------ -----------------
Total: 5754 137,422,904.12 100
---------------------------- -------------- ------------------ -----------------
</TABLE>
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by Countrywide Home Loans, Inc. with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity 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 loans will prepay at a constant rate or follow a
predictable pattern. This 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 home equity loans contained herein, shall be deemed superseded, amended
and supplemented in their entirety by such Prospectus and Prospectus
Supplement. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We recommend
that investors obtain the advice of their Morgan Stanley & Co. International
Limited or Morgan Stanley Japan Ltd. representative about the investment
concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K.
SECURITIES AND FUTURES AUTHORITY.
$165,000,000
(Approximate)
Countrywide Home Equity Loan Trust Series 1997-B
Revolving Home Equity Line of Credit ("HELOC")
Asset Backed Certificates
CWABS, Inc.
Depositor
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by Countrywide Home Loans, Inc. with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity 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 loans will prepay at a constant rate or follow a
predictable pattern. This 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 PROSPETUS AND
PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUY 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 home equity loans contained herein, shall be deemed superseded,
amended and supplemented in their entirety by such Prospectus and Prospectus
Supplement. COUNTRYWIDE SECURITIES CORPORATION IS ACTING AS AN UNDERWRITER OF
SUCH SECURITIES. COUNTRYWIDE SECURITIES CORPORATION IS AN AFFILIATE OF CWABS,
INC., AND COUNTRYWIDE HOME LOANS, INC.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR COUNTRYWIDE SECURITIES CORPORATION
REPRESENTATIVE IMMEDIATELY.
Countrywide Home Loans, Inc.
SELLER AND MASTER SERVICER
Countrywide Home Equity Loan Trust 1997-B
$165,000,000 (Approximate) Class A Certificates
<TABLE>
<CAPTION>
Expected Average Expected
Par Ratings Life Payment Window Pricing Price Targeted
Class Amount (Moody's/S&P) (to 10% call)/(1)/ (to 10% call)/(1)/ Index Talk Price
<S> <C> <C> <C> <C> <C> <C> <C>
A $165,000,000 Aaa/AAA 4.13 yrs. Month 1 - 92 1-month LIBOR +( ) Par
(1)/ Assumes a 30% CPR and a 18% Constant Draw Rate.
</TABLE>
ORIGINATOR: Countrywide Home Loans, Inc.
MASTER SERVICER: Countrywide Home Loans, Inc.
TRUSTEE: The First National Bank of Chicago.
CERTIFICATE INSURER: Capital Markets Assurance Corporation
("CapMAC")
CERTIFICATE INSURANCE POLICY: 100% coverage of timely interest and
ultimate repayment of principal due
to Certificateholders.
EXPECTED PRICING DATE: May 14-15, 1997.
EXPECTED SETTLEMENT: May 29, 1997 through DTC, Euroclear and
CEDEL.
DISTRIBUTION DATES: The 15th of each month, beginning July 15,
1997.
CERTIFICATE INTEREST RATE CAP: The Certificates pay 1-month LIBOR plus a
spread capped at the weighted average of
the loan rates (net of the 0.50% Servicing
fee rate, the Trustee fee rate, and the
Certificate Insurer fee rate).
COLLATERAL DESCRIPTION: The Loans are indexed to the Wall Street
Journal Prime Rate and have a weighted
average initial coupon of 6.13%, a weighted
average margin of 2.25%, and a weighted
average lifetime rate cap of 17.8%.
PRICING SPEED: 30% CPR with a 18% Constant Draw Rate, for
a "net" 12% CPR.
DAY COUNT BASIS: Actual/360 day interest accrual.
FINAL DISTRIBUTION DATE: June 15, 2022
OPTIONAL CLEAN-UP CALL: 10% of original certificate balance.
TRUST TAX STATUS: "Revolving Trust." This is not a REMIC
trust.
ERISA ELIGIBILITY: This issue will be ERISA eligible based on
an underwriter's exemption.
SMMEA ELIGIBILITY: The Certificates are not SMMEA eligible.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR COUNTRYWIDE SECURITIES CORPORATION
REPRESENTATIVE IMMEDIATELY.
The Statistical pool balance is $137,422,904.12, which is equal to the
aggregate Principal Balances of the Statistic Calculation Pool Mortgage Loans
as of the Statistic Calculation Date. The statistical information presented
herein is based on the Statistic Calculation Pool. The Statistic Calculation
Pool reflects the Mortgage Loans originated by the Seller through the Statistic
Calculation Date. The Depositor expects that the actual pool as of the Closing
Date will represent approximately $168,367,347 aggregate Principal Balance of
Mortgage Loans.
AGGREGATE POOL BALANCE: $137,422,904.12
NUMBER OF LOANS: 5,754
AVERAGE OUTSTANDING BALANCE: $23,883.02 (Range: $0.00 - $500,000)
AVERAGE CREDIT LIMIT: $34,164.87 (Range: $10,000 - $500,000)
INTEREST RATE INDEX: Prime Rate (Wall Street Journal Index)
WEIGHTED AVERAGE COUPON: 6.13% (Range: 5.99% - 11.88%)
WEIGHTED AVERAGE MARGIN: 2.25% (Range: 0.13% - 5.63%)
WEIGHTED AVERAGE LIFETIME CAP: 17.80% (Range: 12.25% - 18.00%)
INTEREST RATE ROLL FREQUENCY: Monthly
ORIGINAL WEIGHTED AVERAGE TERM: 282.2 months (Range: 156 months -
302 months)
REMAINING WEIGHTED AVERAGE TERM: 280.5 months (Range: 153 months -
301 months)
WEIGHTED AVERAGE SEASONING: 2 months
LOAN UTILIZATION RATE: 71.47% (Range: 0.00% - 100.00%)
LIEN POSITION: 95.59% 2/nd/ Liens, 4.41% 1/st/ Liens
WEIGHTED COMBINED LOAN TO
VALUE RATIO: 81.92% (57.02% are 80+% LTVs)
WEIGHTED AVERAGE SECOND
MORTGAGE RATIO/(1)/: 25.33%
PROPERTY TYPE: 87.24% single family; 9.20% PUD; 3.04%
Condo; 0.52% other
OWNER OCCUPANCY: 97.80% owner occupied;
2.20% non-owner-occupied
GEOGRAPHIC DISTRIBUTION: CA (29.14%), WA (5.91%), FL (4.20%),
CO (3.97%), OR (3.82%)
Note: (1) The weighted average second mortgage ratio is computed as the
/2/nd/ Lien/(1/st/ Lien + 2/nd/ Lien)./
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR COUNTRYWIDE SECURITIES CORPORATION
REPRESENTATIVE IMMEDIATELY.
AVERAGE LIFE SENSITIVITY TO PREPAYMENTS AND DRAWS
ASSUMES OPTIONAL 10% CLEAN-UP CALL IS EXERCISED
<TABLE>
<CAPTION>
% CPR
0% 15% 20% 30%* 40% 45% 55%
Constant Draw WAL Date WAL Date WAL Date WAL Date WAL Date WAL Date WAL Date
Rate
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0% 16.16 9/20 5.09 6/09 3.86 12/06 2.47 6/03 1.76 9/01 1.52 2/01 1.17 4/00
5% 14.55 12/16 5.83 1/09 4.45 3/07 2.82 2/04 1.96 3/02 1.66 6/01 1.25 6/00
10% 13.89 6/16 6.72 6/08 5.16 3/07 3.25 8/04 2.19 9/02 1.84 11/01 1.34 9/00
18%* 13.65 3/16 7.65 3/07 6.63 10/06 4.13 2/05 2.71 7/03 2.23 10/02 1.54 2/01
20% 13.65 3/16 7.40 10/06 7.09 8/06 4.41 3/05 2.87 9/03 2.35 12/02 1.60 4/01
</TABLE>
Expected Pricing Speed.
AVERAGE LIFE SENSITIVITY TO PREPAYMENTS AND DRAWS
ASSUMES OPTIONAL 10% CLEAN-UP CALL IS NOT EXERCISED
<TABLE>
<CAPTION>
% CPR
0% 15% 20% 30%* 40% 45% 55%
Constant Draw WAL Date WAL Date WAL Date WAL Date WAL Date WAL Date WAL Date
Rate
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0% 16.23 4/22 5.37 5/17 4.09 8/13 2.65 5/08 1.88 2/05 1.62 1/4 1.24 5/02
5% 14.61 2/18 5.94 7/11 4.57 12/09 2.96 7/07 2.07 4/05 1.77 5/04 1.32 9/02
10% 13.94 7/17 6.77 7/09 5.21 7/08 3.34 11/06 2.30 5/05 1.94 7/04 1.42 1/03
18%* 13.70 5/17 7.66 7/07 6.65 4/07 4.17 2/06 2.78 3/05 2.31 9/04 1.63 7/03
20% 13.70 5/17 7.42 3/07 7.11 1/07 4.44 12/05 2.94 2/05 2.42 9/04 1.69 8/03
</TABLE>
Expected Pricing Speed.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR COUNTRYWIDE SECURITIES CORPORATION
REPRESENTATIVE IMMEDIATELY.
<TABLE>
<CAPTION>
PERCENT OF POOL BY
STATISTIC CALCULATION
DATE PRINCIPAL BALANCE
NUMBER OF STATISTIC CALCULATION DATE
RANGE OF PRINCIPAL BALANCES MORTGAGE LOANS PRINCIPAL BALANCE
<S> <C> <C> <C>
0.00 to 10,000.00 1441 6,999,120.50 5.09
10,000.01 to 20,000.00 1904 29,610,059.65 21.55
20,000.01 to 30,000.00 1126 28,418,346.77 20.68
30,000.01 to 40,000.00 526 18,487,744.90 13.45
40,000.01 to 50,000.00 302 13,891,979.14 10.11
50,000.01 to 60,000.00 128 7,086,174.59 5.16
60,000.01 to 70,000.00 89 5,822,661.21 4.24
70,000.01 to 80,000.00 69 5,218,328.85 3.8
80,000.01 to 90,000.00 38 3,255,081.45 2.37
90,000.01 to 100,000.00 55 5,360,697.01 3.9
100,000.01 to 125,000.00 24 2,738,909.66 1.99
125,000.01 to 150,000.00 24 3,427,135.43 2.49
150,000.01 to 175,000.00 9 1,477,799.90 1.08
175,000.01 to 200,000.00 5 983,978.87 0.72
200,000.01 to 225,000.00 1 225,000.00 0.16
225,000.01 to 250,000.00 3 713,000.00 0.52
250,000.01 to 275,000.00 1 265,000.00 0.19
275,000.01 to 300,000.00 2 599,986.19 0.44
300,000.01 to 325,000.00 1 305,400.00 0.22
350,000.01 and up 6 2,536,500.00 1.85
Total: 5754 137,422,904.12 100
Minimum: 0.00
Maximum: 500,000
Average: 23,883.02
</TABLE>
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR COUNTRYWIDE SECURITIES CORPORATION
REPRESENTATIVE IMMEDIATELY.
<TABLE>
<CAPTION>
PERCENT OF POOL BY
STATISTIC CALCULATION STATISTIC
NUMBER OF DATE PRINCIPAL CALCULATION DATE
GEOGRAPHICAL DISTRIBUTION (1) MORTGAGE LOANS BALANCE PRINCIPAL BALANCE
<S> <C> <C> <C>
AK 2 47,500.00 0.03
AL 113 2,149,249.95 1.56
AZ 211 5,168,300.58 3.76
CA 1288 40,041,987.90 29.14
CO 282 5,452,186.25 3.97
CT 48 1,241,025.04 0.9
DC 4 264,842.00 0.19
DE 9 173,684.80 0.13
FL 311 5,766,072.07 4.2
GA 130 3,077,571.36 2.24
IA 17 333,780.67 0.24
ID 98 2,402,728.69 1.75
IL 213 4,604,497.22 3.35
IN 82 1,367,231.51 0.99
KS 57 1,118,983.70 0.81
KY 38 769,573.54 0.56
LA 73 1,481,311.41 1.08
MA 153 3,580,771.40 2.61
MD 117 2,429,988.19 1.77
ME 15 325,966.99 0.24
MI 266 5,172,378.79 3.76
MO 103 2,218,425.18 1.61
MS 15 306,176.99 0.22
MT 29 519,542.96 0.38
NC 109 2,107,471.33 1.53
ND 3 74,816.55 0.05
NE 27 473,896.48 0.34
NH 24 505,835.09 0.37
NJ 169 3,782,937.77 2.75
NM 61 1,270,244.52 0.92
NV 107 2,324,379.29 1.69
NY 130 3,653,063.28 2.66
OH 235 4,295,084.65 3.13
OK 27 751,814.18 0.55
OR 187 5,249,047.62 3.82
PA 187 3,763,210.39 2.74
RI 12 160,477.05 0.12
SC 34 821,340.29 0.6
SD 5 35,841.00 0.03
TN 85 1,838,732.54 1.34
TX 7 275,688.00 0.2
UT 192 4,778,636.46 3.48
VA 76 1,757,270.83 1.28
VT 6 79,118.99 0.06
WA 316 8,121,693.28 5.91
WI 57 950,316.12 0.69
WY 24 338,211.22 0.25
Total: 5754 137,422,904.12 100
</TABLE>
(1) Geographic location is determined by the address of the Mortgaged
Property securing the related Mortgage Loan.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR COUNTRYWIDE SECURITIES CORPORATION
REPRESENTATIVE IMMEDIATELY.
<TABLE>
<CAPTION>
PERCENT OF POOL BY
STATISTIC CALCULATION DATE STATISTIC CALCULATION DATE
RANGE OF COMBINED LOAN-TO-VALUE RATIOS NUMBER OF MORTGAGE PRINCIPAL BALANCE PRINCIPAL BALANCE
LOANS
<S> <C> <C> <C>
0.0000% to 10.000% 4 90,000.00 0.07
10.001% to 20.000% 23 416,129.10 0.3
20.001% to 30.000% 33 711,548.15 0.52
30.001% to 40.000% 58 1,432,362.28 1.04
40.001% to 50.000% 104 2,260,793.00 1.65
50.001% to 60.000% 186 5,479,824.37 3.99
60.001% to 70.000% 662 14,587,519.13 10.62
70.001% to 80.000% 1342 34,081,873.71 24.8
80.001% to 90.000% 2567 60,781,729.38 44.23
90.001% to 100.000% 775 17,581,125.00 12.79
Total: 5754 137,422,904.12 100
Minimum: 7.810
Maximum: 100.000
Weighted Average: 81.919
</TABLE>
The ratio (expressed as a percentage ) of (A) the sum of (i) the Credit Limit
of the Mortgage Loans and (ii) any outstanding principal balances of
mortgage loans senior or of equal priority to the Mortgage Loans (calculated
generally at the date of origination of the Mortgage Loans) to (B) the
lesser of (i) the appraised value of the related Mortgaged Property as set
forth in the loan files at such date of origination or (ii) in the case of
a Mortgage Property purchased within one year of the origination
of the related Mortgaged Loan, the purchase price of such Mortgaged Property.
<TABLE>
<CAPTION>
PERCENT OF POOL BY
STATISTIC CALCULATION DATE STATISTIC CALCULATION
NUMBER OF MORTGAGE PRINCIPAL BALANCE DATE PRINCIPAL BALANCE
PROPERTY TYPE LOANS
<S> <C> <C> <C>
Single Family Residence 5112 119,885,188.56 87.24
PUD 432 12,636,068.45 9.2
Manufactured Housing 13 212,595.80 0.15
Condominium 169 4,176,455.06 3.04
Two-to-Four-Family 28 512,596.25 0.37
Total: 5754 137,422,904.12 100
</TABLE>
<TABLE>
<CAPTION>
PERCENT OF POOL BY
STATISTIC CALCULATION DATE STATISTIC CALCULATION DATE
NUMBER OF MORTGAGE PRINCIPAL BALANCE PRINCIPAL BALANCE
LIEN PRIORITY LOANS
<S> <C> <C> <C>
First Lien 124 6,062,368.36 4.41
Second Lien 5630 131,360,535.76 95.59
Total: 5754 137,422,904.12 100
</TABLE>
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR COUNTRYWIDE SECURITIES CORPORATION
REPRESENTATIVE IMMEDIATELY.
<TABLE>
<CAPTION>
PERCENT OF POOL BY
STATISTIC CALCULATION DATE STATISTIC
NUMBER OF DATE PRINCIPAL CALCULATION DATE
RANGE OF MARGINS MORTGAGE LOANS BALANCE PRINCIPAL BALANCE
<S> <C> <C> <C>
0.001 - 0.250 2 48,444.99 0.04
0.251 - 0.500 980 21,616,020.22 15.73
0.501 - 0.750 13 177,673.73 0.13
0.751 - 1.000 194 8,795,349.63 6.4
1.001 - 1.250 134 3,388,256.21 2.47
1.251 - 1.500 598 12,647,967.86 9.2
1.501 - 1.750 105 2,784,575.23 2.03
1.751 - 2.000 153 3,859,943.98 2.81
2.001 - 2.250 997 21,635,860.69 15.74
2.251 - 2.500 79 1,909,674.32 1.39
2.501 - 2.750 453 15,160,553.83 11.03
2.751 - 3.000 708 15,421,817.47 11.22
3.001 - 3.250 55 1,027,772.63 0.75
3.251 - 3.500 269 7,345,408.81 5.35
3.501 - 3.750 448 10,273,380.04 7.48
3.751 - 4.000 43 569,475.10 0.41
4.001 - 4.250 122 3,148,056.52 2.29
4.251 - 4.500 333 6,625,621.26 4.82
4.501 - 4.750 32 507,537.80 0.37
4.751 - 5.000 17 273,522.36 0.2
5.001 >= 19 205,991.44 0.15
Total: 5754 137,422,904.12 100
Minimum: 0.125
Maximum: 5.625
Weighted Average: 2.252
</TABLE>
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR COUNTRYWIDE SECURITIES CORPORATION
REPRESENTATIVE IMMEDIATELY.
<TABLE>
<CAPTION>
PERCENT OF POOL BY
STATISTIC CALCULATION STATISTIC CALCULATION
NUMBER OF DATE PRINCIPAL DATE PRINCIPAL
RANGE OF LOAN RATES MORTGAGE LOANS BALANCE BALANCE
<S> <C> <C> <C>
5.99% 5637 133,139,305.77 96.88
6.51% to 6.75% 1 13,474.00 0.01
8.01% to 8.25% 2 121,070.00 0.09
9.01% to 9.25% 3 110,700.00 0.08
9.26% to 9.50% 14 553,523.57 0.4
9.51% to 9.75% 3 218,500.00 0.16
9.76% to 10.00% 12 526,354.71 0.38
10.01% to 10.25% 12 423,843.10 0.31
10.26% to 10.50% 19 412,801.08 0.3
10.51% to 10.75% 7 293,567.00 0.21
10.76% to 11.00% 12 476,836.57 0.35
11.01% to 11.25% 19 742,032.24 0.54
11.26% to 11.50% 5 224,835.88 0.16
11.51% to 11.75% 4 65,408.75 0.05
11.76% to 12.00% 4 100,651.45 0.07
Total: 5754 137,422,904.12 100
Minimum: 5.990
Maximum: 11.875
WAC: 6.127
</TABLE>
Approximately 96.88% of the Statistic Calculation Pool Mortgage Loans by
Statistic Calculation Date Principal Balance are subject to an introductory
rate per annum of 5.99% per annum.
<TABLE>
<CAPTION>
PERCENT OF POOL BY
STATISTIC CALCULATION STATISTIC CALCULATION
RANGE OF CREDIT LIMIT NUMBER OF DATE PRINCIPAL DATE PRINCIPAL
UTILIZATION RATES MORTGAGE LOANS BALANCE BALANCE
<S> <C> <C> <C>
0.0000% to 10.000% 666 279,089.08 0.2
10.001% to 20.000% 116 962,611.01 0.7
20.001% to 30.000% 182 1,987,633.81 1.45
30.001% to 40.000% 229 3,181,144.50 2.31
40.001% to 50.000% 293 4,530,594.46 3.3
50.001% to 60.000% 297 5,225,233.57 3.8
60.001% to 70.000% 438 7,972,450.84 5.8
70.001% to 80.000% 354 8,227,651.90 5.99
80.001% to 90.000% 363 9,866,770.43 7.18
90.001% to 100.000% 2816 95,189,724.52 69.27
Total: 5754 137,422,904.12 100
Minimum: 0.000
Maximum: 100.000
Simple Average: 71.470
</TABLE>
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR COUNTRYWIDE SECURITIES CORPORATION
REPRESENTATIVE IMMEDIATELY.
<TABLE>
<CAPTION>
PERCENT OF POOL BY
STATISTIC CALCULATION STATISTIC CALCULATION
NUMBER OF DATE PRINCIPAL DATE PRINCIPAL
RANGE OF CREDIT LIMITS MORTGAGE LOANS BALANCE BALANCE
<S> <C> <C> <C>
0.00 to 10,000.00 78 495,636.51 0.36
10,000.01 to 20,000.00 1913 23,070,021.09 16.79
20,000.01 to 30,000.00 1575 29,170,222.76 21.23
30,000.01 to 40,000.00 836 20,594,587.57 14.99
40,000.01 to 50,000.00 558 17,135,732.81 12.47
50,000.01 to 60,000.00 224 8,813,718.08 6.41
60,000.01 to 70,000.00 141 6,340,518.75 4.61
70,000.01 to 80,000.00 109 5,803,564.28 4.22
80,000.01 to 90,000.00 64 4,007,617.36 2.92
90,000.01 to 100,000.00 138 7,147,198.08 5.2
100,000.01 to 125,000.00 38 2,917,323.84 2.12
125,000.01 to 150,000.00 35 3,981,062.62 2.9
150,000.01 to 175,000.00 14 1,530,456.02 1.11
175,000.01 to 200,000.00 10 1,336,688.87 0.97
200,000.01 to 225,000.00 3 245,078.31 0.18
225,000.01 to 250,000.00 7 968,003.94 0.7
250,000.01 to 275,000.00 1 265,000.00 0.19
275,000.01 to 300,000.00 2 599,986.19 0.44
300,000.01 to 325,000.00 1 305,400.00 0.22
350,000.01 and up 7 2,695,087.04 1.96
Total: 5754 137,422,904.12 100
Minimum: 10,000.00
Maximum: 500,000.00
Simple Average: 34,164.87
</TABLE>
<TABLE>
<CAPTION>
PERCENT OF POOL BY
STATISTIC CALCULATION STATISTIC CALCULATION
NUMBER OF DATE PRINCIPAL DATE PRINCIPAL
MAXIMUM RATES MORTGAGE LOANS BALANCE BALANCE
<S> <C> <C> <C>
12.250 52 1,148,289.49 0.84
12.500 33 690,443.05 0.5
15.000 29 519,542.96 0.38
16.000 110 2,152,271.33 1.57
17.000 599 11,477,446.42 8.35
18.000 4931 121,434,910.87 88.37
Total: 5754 137,422,904.12 100
Minimum: 12.250
Maximum: 18.000
Weighted Average: 17.798
</TABLE>
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR COUNTRYWIDE SECURITIES CORPORATION
REPRESENTATIVE IMMEDIATELY.
<TABLE>
<CAPTION>
PERCENT OF POOL BY
RANGE OF MONTHS STATISTIC CALCULATION STATISTIC CALCULATION
REMAINING TO NUMBER OF DATE PRINCIPAL DATE PRINCIPAL
SCHEDULED MATURITY MORTGAGE LOANS BALANCE BALANCE
<S> <C> <C> <C>
151 - 155 759 17,014,215.75 12.38
296 - 300 4914 118,994,297.91 86.59
301 - 305 81 1,414,390.46 1.03
Total: 5754 137,422,904.12 100
</TABLE>
ASSUMES THAT THE DRAW PERIOD FOR STATISTIC CALCULATION POOL MORTGAGE LOANS
WITH FIVE YEAR DRAW PERIODS WILL BE EXTENDED FOR AN ADDITIONAL FIVE YEARS.
<TABLE>
<CAPTION>
PERCENT OF POOL BY
STATISTIC CALCULATION STATISTIC CALCULATION
NUMBER OF DATE PRINCIPAL DATE PRINCIPAL
ORIGINATION YEAR MORTGAGE LOANS BALANCE BALANCE
<S> <C> <C> <C>
1997 5754 137,422,904.12 100
Total: 5754 137,422,904.12 100
</TABLE>
<TABLE>
<CAPTION>
PERCENT OF POOL BY
STATISTIC CALCULATION STATISTIC CALCULATION
NUMBER OF DAYS NUMBER OF DATE PRINCIPAL DATE PRINCIPAL
DELINQUENT MORTGAGE LOANS BALANCE BALANCE
<S> <C> <C> <C>
0 - 29 5754 137,422,904.12 100
Total: 5754 137,422,904.12 100
</TABLE>
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR COUNTRYWIDE SECURITIES CORPORATION
REPRESENTATIVE IMMEDIATELY.
