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): October 18, 1999
Block Mortgage Finance, Inc.
(Exact name of registrant as specified in its charter)
Delaware 333-65215 43-1758633
(State or other jurisdiction (Commission File Number) (IRS Employer
of incorporation) Identification No.)
4435 Main Street, Suite 500, Kansas City, Missouri 64111
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code: (816) 932-4960
------------
<PAGE>
ITEM 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL INFORMATION AND EXHIBITS
Exhibit 99 Computational Materials Relating to Block Mortgage Finance Asset
Backed Certificates, Series 1999-2.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as
amended, the Registrant has duly caused this report to be signed on its behalf
by the undersigned hereunto duly authorized.
BLOCK MORTGAGE FINANCE, INC., as
Registrant
Date: October 19, 1999 By: /s/ Bret G. Wilson
----------------------------
Bret G. Wilson, President
Block Mortgage Finance
Asset Backed Certificates, Series 1999-2
$162,780,000 (Approximate)
Subject to Revision
October 18, 1999 - Computational Materials
The analysis in this report is based on information provided by the Seller.
Chase Securities Inc. ("CSI") makes no representations as to the accuracy or
completeness of the information contained herein. The information contained
herein is qualified in its entirety by the information in the Prospectus and
Prospectus Supplement for this transaction. The information contained herein is
preliminary as of the date hereof, supersedes any previous information delivered
to you by CSI and will be superseded by the applicable final Prospectus and
Prospectus Supplement and any other information subsequently filed with the
Securities and Exchange Commission. These materials are subject to change,
completion, or amendment from time to time without notice, and CSI is under no
obligation to keep you advised of such changes. These materials are not intended
as an offer or solicitation with respect to the purchase or sale of any
security. Any investment decision with respect to the securities should be made
by you based upon the information contained in the final Prospectus Supplement
and Prospectus relating to the securities. You should consult your own counsel,
accountant, and other advisors as to the legal, tax, business, financial and
related aspects of a purchase of these securities.
The attached information contains certain tables and other statistical analyses
(the "Computational Materials") which have been prepared in reliance upon
information furnished by the Seller. They may not be provided to any third party
other than the addressee's legal, tax, financial and/or accounting advisors for
the purposes of evaluating said material. Numerous assumptions were used in
preparing the Computational Materials which may or may not be reflected therein.
As such, no assurance can be given as to the Computational Materials' accuracy,
appropriateness or completeness in any particular context; nor as to whether the
Computational Materials and/or the assumptions upon which they are based reflect
present market conditions or future market performance. These Computational
Materials should not be construed as either projections or predictions or as
legal, tax, financial or accounting advice. Any weighted average lives, yields
and principal payment periods shown in the Computational Materials are based on
prepayment assumptions, and changes in such prepayment assumptions may
dramatically affect such weighted average lives, yields and principal payment
periods. In addition, it is possible that prepayments on the underlying assets
will occur at rates slower or faster than the rates shown in the attached
Computational Materials. Furthermore, unless otherwise provided, the
Computational Materials assume no losses on the underlying assets and no
interest shortfalls. The specific characteristics of the securities may differ
from those shown in the Computational Materials due to differences between the
actual underlying assets and the hypothetical underlying assets used in
preparing the Computational Materials. The principal amount and designation of
any security described in the Computational Materials are subject to change
prior to issuance. Neither CSI nor any of its affiliates makes any
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities.
THIS INFORMATION IS FURNISHED TO YOU SOLELY BY CSI AND NOT BY THE ISSUER OF THE
SECURITIES OR ANY OF ITS AFFILIATES. CSI IS ACTING AS UNDERWRITER AND NOT ACTING
AS AGENT FOR THE ISSUER IN CONNECTION WITH THE PROPOSED TRANSACTION.
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October 18, 1999
TERM SHEET
$162,780,000 (Approximate)
Asset Backed Certificates, Series 1999-2
Block Mortgage Finance, Inc.
Depositor
Block Financial Corporation
Master Servicer
Companion Mortgage Corporation
Seller
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
Expected Average Life Average Life Payment Payment Price
Class Size (1) Tranche Type Ratings to Call (2) to Maturity Window to Window to Talk
Class ($) (Moody's/S&P) (years) (years) Call (2) Maturity
- ------------------------------------------------------------------------------------------------------------------------------------
Group I Certificates
A-1 26,500,000 Fixed Sequential Aaa / AAA 0.95 0.95 11/99-9/01 11/99-9/01
A-2 20,000,000 Fixed Sequential Aaa / AAA 3.12 3.12 9/01-9/04 9/01-9/04
A-3 13,692,000 Fixed Sequential Aaa / AAA 7.39 9.00 9/04-6/08 9/04-11/16
A-4 6,688,000 Fixed NAS Aaa / AAA 6.65 6.84 11/02-6/08 11/02-4/14
Group II Certificates
A-5 39,351,000 Fixed Sequential Aaa / AAA 0.73 0.73 11/99-4/01 11/99-4/01
A-6 56,549,000 Floater Sequential Aaa / AAA 4.39 4.73 4/01-6/08 4/01-7/17
- ------------------------------------------------------------------------------------------------------------------------------------
Total 162,780,000 -- -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) The actual initial certificate balances of the certificates may vary
from these amounts by as much as plus or minus 5%.
(2) Run to 10% call.
Collateral: Group I Certificates are backed by an approximately $68.4
million pool of fixed rate, first or second lien mortgage
loans.
Group II Certificates are backed by an approximately $98.9
million pool of adjustable rate, first lien mortgage loans.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
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Certificates: $26,500,000 Class A-1 Certificates, Fixed Rate
$20,000,000 Class A-2 Certificates, Fixed Rate
$13,692,000 Class A-3 Certificates, Fixed Rate
$6,688,000 Class A-4 `NAS' Certificates, Fixed Rate
$39,351,000 Class A-5 Certificates, Fixed Rate
$56,549,000 Class A-6 Certificates, Floating Rate
Seller: Companion Mortgage Corporation.
Master Servicer: Block Financial Corporation.
Subserivcers: Companion Servicing Company, LLC, and
Fairbanks Capital Corp. (for loans which become 60
days or more delinquent).
Trustee: Bank One, National Association.
Underwriters: Chase Securities Inc. (lead manager),
Salomon Smith Barney (co-manager).
Prepayment Assumption: This transaction will be priced to call using 100%
PPC and 25% CPR for the fixed and adjustable rate
collateral, respectively.
100% PPC assumes a conditional prepayment rate of
3% per annum of the then outstanding principal
balance of the loans in the first month of the
life of the loans and an additional 1.545%
(precisely 17/11) per annum in each month
thereafter until the twelfth month. Beginning in
the twelfth month and in each month thereafter,
the assumed conditional prepayment rate is 20%.
Expected Pricing Date: October 20, 1999
Date:
Cut-Off Date: October 1, 1999
Expected Settlement Date: October 27, 1999
Distribution Date: The 25th day of each month or, if such day is not
a business day, the next succeeding business day,
beginning in November 1999.
Clean-up Call: 10% optional clean up call (10% of pool balance)
followed in 90 days by a mandatory auction call.
Form of Certificates: Book entry form, same day funds (through DTC,
Euroclear and CEDEL).
Interest Accrual Period: 30/360 on fixed rate certificates, actual/360 on
floating rate certificates.
Interest Carry Forward: The amount, if any, by which the interest due
exceeded the amount actually paid, plus interest
on such amount.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
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Interest / Coupon If the 10% clean up call option is not exercised,
Step-Up: then, as an incentive to exercise the call, (i) the
Class A-4 and A-5 pass-through rates will increase
by 0.75%, and (ii) the Class A-6 Certificate spread
to LIBOR doubles.
Class A-4 Fixed Rate The Class A-4 fixed rate NAS class is backed by the
NAS Certificates: fixed rate Group I loans, and pays according to the
following schedule of the Certificates' pro rata
share:
Distribution Dates Lockout Percentages
November 1999-October 2002: 0%
November 2002-October 2004: 45%
November 2004-October 2005: 80%
November 2005-October 2006: 100%
November 2006 and thereafter: 300%
Class A-6 Available The Class A-6 Certificates pay LIBOR plus a spread
Funds Cap: capped at the weighted average coupon on the
adjustable rate loans in a given month, less:
- the Servicing Fee rate
- the Trustee Fee rate
- the Insurance Premium rate, and
- commencing on the 7th Distribution Date, 0.50%.
Basis Risk Carryover: Whenever the Class A-6 pass-through rate is capped,
the basis risk carryover amount is the excess of
interest that would have been distributable had the
certificates not been capped over the interest
actually distributed. No interest will accrue on
any basis risk carryover amount.
Certificate Insurer: MBIA Insurance Corporation ("MBIA"). Timely
interest and ultimate principal payments on the
Certificates will be 100% guaranteed by MBIA.
ERISA
Considerations: All of the Certificates will be ERISA eligible.
Taxation: REMIC for federal income tax purposes.
Legal Investment: The Certificates will not be SMMEA eligible.
Credit Enhancement: 1) 100% wrap from MBIA guarantees timely payment of
interest and ultimate payment of principal;
2) Overcollateralization and Crosscollateralization
mechanisms.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
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Preliminary Mortgage Pools
The information herein regarding the collateral represents the Mortgage Pool as
of October 1, 1999. Certain additions and deletions have been made to the
Mortgage Pool, and further additions and deletions will be made prior to the
Settlement Date. Any additions or deletions are not anticipated to have a
material impact on the information provided below. The information herein will
be superseded by the information regarding the collateral set forth in the
Prospectus Supplement.
Group I Collateral Summary
Aggregate Outstanding Principal Balance $65,140,565.56
Aggregate Original Principal Balance $65,484,393.86
Number of Mortgage Loans 1,073
Minimum Maximum Weighted Average
_______ _______ ________________
Original Term (mos) 120 360 231.175
Stated Remaining Term (mos) 103 359 225.267
Loan Age (mos) 1 26 5.879
Mortgage Rate 7.000% 14.990% 10.713%
Combined Loan-To-Value 12.96% 99.98% 79.37%
Earliest Latest
________ ______
Origination Dates 08/1997 09/1999
Maturity Dates 05/2008 09/2029
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
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Remaining Principal Balances (Group I)
<TABLE>
<CAPTION>
<S> <C> <C> <C>
Number of Aggregate Principal Percent of
Remaining Principal Balances Mortgage Loans Balance Outstanding Loan Group
Up to $25,000 124 $ 2,518,510.60 3.87%
$ 25,001 to $ 50,000 449 16,958,495.54 26.03
$ 50,001 to $ 75,000 252 15,480,078.03 23.76
$ 75,001 to $ 100,000 107 9,411,117.61 14.45
$100,001 to $ 125,000 67 7,471,425.38 11.47
$125,001 to $ 150,000 37 4,995,271.04 7.67
$150,001 to $ 175,000 10 1,613,848.98 2.48
$175,001 to $ 200,000 8 1,507,023.55 2.31
$200,001 to $ 225,000 4 863,071.44 1.32
$225,001 to $ 250,000 3 719,626.90 1.10
$250,001 to $ 275,000 6 1,565,521.21 2.40
$275,001 to $ 300,000 2 596,700.45 0.92
$300,001 to $ 325,000 1 306,691.81 0.47
$350,001 to $ 375,000 1 360,859.17 0.55
$375,001 to $ 400,000 2 772,323.85 1.19
----- --------------- ------
Grand Total 1,073 $65,140,565.56 100.00%
===== ============== ======
</TABLE>
Current Mortgage Loan Principal Balance Range is from: $10,222.41 to $391,957.34
Average is: $60,708.82
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
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Mortgage Rates (Group I)
Number of Aggregate Principal Percent of
Mortgage Rates Mortgage Loans Balance Outstanding Loan Group
7.000% to 7.499% 1 $ 58,637.40 0.09%
7.500% to 7.999% 5 908,608.00 1.39
8.000% to 8.499% 16 2,139,057.83 3.28
8.500% to 8.999% 41 4,048,947.81 6.22
9.000% to 9.499% 37 2,442,247.93 3.75
9.500% to 9.999% 106 7,748,938.68 11.90
10.000% to 10.499% 137 8,105,061.53 12.44
10.500% to 10.999% 227 13,962,747.04 21.43
11.000% to 11.499% 140 8,508,155.78 13.06
11.500% to 11.999% 164 8,227,645.90 12.63
12.000% to 12.499% 82 3,688,816.11 5.66
12.500% to 12.999% 72 3,220,021.18 4.94
13.000% to 13.499% 31 1,445,666.82 2.22
13.500% to 13.999% 13 601,829.54 0.92
14.500% to 14.999% 1 34,184.01 0.05
----- -------------- ------
Grand Total 1,073 $65,140,565.56 100.00%
===== ============== ======
Mortgage Rate Range is from: 7.000% to 14.990%
Weighted Average is: 10.713%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
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Months Remaining to Scheduled Maturity (Group I)
Number of Aggregate Principal Percent of
Months Mortgage Loans Balance Outstanding Loan Group
97 to 108 2 $ 42,354.97 0.07%
109 to 120 15 397,392.93 0.61
145 to 156 2 52,067.49 0.08
157 to 168 53 3,288,584.35 5.05
169 to 180 702 41,236,790.62 63.30
217 to 228 9 405,833.32 0.62
229 to 240 35 1,779,599.85 2.73
337 to 348 14 1,055,073.68 1.62
349 to 360 241 16,882,868.35 25.92
----- --------------- ------
Grand Total 1,073 $65,140,565.56 100.00%
===== ============== ======
Remaining Term Range is from: 103 to 359
Weighted Average is: 225.267
Distribution of Loan Purpose (Group I)
Number of Aggregate Principal Percent of
Loan Purpose Mortgage Loans Balance Outstanding Loan Group
Purchase 307 $18,440,906.69 28.31%
Refinance (1) 766 46,699,658.87 71.69
----- -------------- ------
Grand Total 1,073 $65,140,565.56 100.00%
===== ============== ======
(1) A "Refinance" loan is any loan other than loans the proceeds of which were
used by the related borrower to purchase a home and such term includes
loans the proceeds of which were primarily used by the related borrower:
o to refinance an existing loan,
o to refinance a balloon payment,
o for debt consolidation,
o for home improvement, or
o for cashout.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
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Distribution of Occupancy Status (Group I)
Number of Aggregate Principal Percent of
Occupancy Status Mortgage Loans Balance Outstanding Loan Group
Non Owner occupied 178 $ 7,727,679.56 11.86%
Owner occupied 895 57,412,886.00 88.14
------ -------------- -----
Grand Total 1,073 $65,140,565.56 100.00%
===== ============== ======
Distribution of Property Type (Group I)
Number of Aggregate Principal Percent of
Property Type Mortgage Loans Balance Outstanding Loan Group
Condominium 8 $ 337,464.61 0.52%
Manufactured 10 620,243.70 0.95
2-4 Family 67 3,773,522.72 5.79
Single Family 988 60,409,334.53 92.74
----- -------------- ------
Grand Total 1,073 $65,140,565.56 100.00%
===== ============== ======
Lien Position (Group I)
Number of Aggregate Principal Percent of
Lien Position Mortgage Loans Balance Outstanding Loan Group
1 917 $59,839,109.57 91.86%
2 156 5,301,455.99 8.14
----- -------------- ------
Grand Total 1,073 $65,140,565.56 100.00%
===== ============== ======
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[OBJECT OMITTED]
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Geographic Distribution (Group I)
Number of Aggregate Principal Percent of
States Mortgage Loans Balance Outstanding Loan Group
Florida 110 $8,470,442.52 13.00%
Michigan 125 6,833,908.62 10.49
Ohio 94 6,195,501.11 9.51
Colorado 58 4,752,599.69 7.30
Illinois 68 4,676,191.82 7.18
Indiana 87 4,207,280.66 6.46
Georgia 55 3,760,177.87 5.77
Virginia 56 3,726,861.93 5.72
Kentucky 65 3,433,525.56 5.27
Missouri 51 2,868,854.26 4.40
Louisiana 67 2,851,286.10 4.38
Tennessee 28 2,197,957.49 3.37
North Carolina 32 1,973,216.05 3.03
Mississippi 33 1,297,962.86 1.99
Pennsylvania 18 1,188,429.72 1.82
Maryland 24 1,150,155.26 1.77
South Carolina 17 1,011,454.42 1.55
Utah 19 949,434.29 1.46
Arizona 14 698,498.87 1.07
California 6 358,496.76 0.55
Wisconsin 10 327,735.90 0.50
Kansas 6 288,064.51 0.44
District of Columbia 3 285,991.24 0.44
New Jersey 2 265,279.77 0.41
Iowa 5 259,877.10 0.40
Washington 3 240,795.48 0.37
Connecticut 4 220,066.29 0.34
Arkansas 4 160,344.39 0.25
Texas 3 149,327.88 0.23
Idaho 1 95,265.37 0.15
Alabama 2 86,281.58 0.13
West Virginia 1 66,239.97 0.10
Nevada 1 65,893.90 0.10
Oklahoma 1 27,166.32 0.04
----- -------------- ------
Grand Total 1,073 $65,140,565.56 100.00%
===== ============== ======
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[OBJECT OMITTED]
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Geographic Distribution (Group I)
Number of Aggregate Principal Percent of
States Mortgage Loans Balance Outstanding Loan Group
Alabama 2 $ 86,281.58 0.13%
Arizona 14 698,498.87 1.07
Arkansas 4 160,344.39 0.25
California 6 358,496.76 0.55
Colorado 58 4,752,599.69 7.30
Connecticut 4 220,066.29 0.34
District of Columbia 3 285,991.24 0.44
Florida 110 8,470,442.52 13.00
Georgia 55 3,760,177.87 5.77
Idaho 1 95,265.37 0.15
Illinois 68 4,676,191.82 7.18
Indiana 87 4,207,280.66 6.46
Iowa 5 259,877.10 0.40
Kansas 6 288,064.51 0.44
Kentucky 65 3,433,525.56 5.27
Louisiana 67 2,851,286.10 4.38
Maryland 24 1,150,155.26 1.77
Michigan 125 6,833,908.62 10.49
Mississippi 33 1,297,962.86 1.99
Missouri 51 2,868,854.26 4.40
Nevada 1 65,893.90 0.10
New Jersey 2 265,279.77 0.41
North Carolina 32 1,973,216.05 3.03
Ohio 94 6,195,501.11 9.51
Oklahoma 1 27,166.32 0.04
Pennsylvania 18 1,188,429.72 1.82
South Carolina 17 1,011,454.42 1.55
Tennessee 28 2,197,957.49 3.37
Texas 3 149,327.88 0.23
Utah 19 949,434.29 1.46
Virginia 56 3,726,861.93 5.72
Washington 3 240,795.48 0.37
West Virginia 1 66,239.97 0.10
Wisconsin 10 327,735.90 0.50
----- -------------- ------
Grand Total 1,073 $65,140,565.56 100.00%
===== ============== ======
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[OBJECT OMITTED]
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Calendar Year of Origination (Group I)
Number of Aggregate Principal Percent of
Year of Origination Mortgage Loans Balance Outstanding Loan Group
1997 4 $ 145,014.50 0.22%
1998 263 14,827,442.05 22.76
1999 806 50,168,109.01 77.02
----- -------------- ------
Grand Total 1,073 $65,140,565.56 100.00%
===== ============== ======
Combined Loan-to-Value Ratios
Number of Aggregate Principal Percent of
Loan-to-Value Ratios Mortgage Loans Balance Outstanding Loan Group
50.00% or Less 40 $1,781,971.82 2.74%
50.01% to 55.00% 11 490,081.20 0.75
55.01% to 60.00% 20 796,839.51 1.22
60.01% to 65.00% 31 1,618,363.88 2.48
65.01% to 70.00% 80 5,391,224.94 8.28
70.01% to 75.00% 150 8,587,682.52 13.18
75.01% to 80.00% 308 18,659,200.10 28.64
80.01% to 85.00% 187 12,390,572.82 19.02
85.01% to 90.00% 222 14,504,922.70 22.27
90.01% to 95.00% 4 273,830.27 0.42
95.01% to 100.00% 20 645,875.80 0.99
----- -------------- ------
Grand Total 1,073 $65,140,565.56 100.00%
===== ============== ======
Loan-to-Value Range is from: 12.96% to 99.98%
Weighted Average is: 79.37%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[OBJECT OMITTED]
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Junior Lien Ratios (1) (Group I)
Number of Aggregate Principal Percent of
Junior Lien Ratios Mortgage Loans Balance Outstanding Loan Group
5.01% to 10.00% 6 $ 131,582.42 2.48%
10.01% to 15.00% 18 466,808.94 8.81
15.01% to 20.00% 46 1,389,277.88 26.21
20.01% to 25.00% 21 603,668.03 11.39
25.01% to 30.00% 26 871,956.44 16.45
30.01% to 35.00% 8 340,243.55 6.42
35.01% to 40.00% 14 704,703.70 13.29
40.01% to 45.00% 9 377,361.26 7.12
45.01% to 50.00% 2 138,837.98 2.62
50.01% to 55.00% 3 162,717.33 3.07
55.01% to 60.00% 1 43,828.98 0.83
60.01% to 65.00% 1 23,161.33 0.44
90.01% to 95.00% 1 47,308.15 0.89
--- ------------- ------
Grand Total 156 $5,301,455.99 100.00%
=== ============= ======
Junior Lien Ratio Range is from: 5.74% to 92.72%
Weighted Average is: 27.48%
(1) Excludes senior lien Mortgage Loans. Defined as the ratio of the original
principal balance of the second lien Mortgage Loan to the sum of:
- the original principal balance of the second lien Mortgage Loan, and
- the unpaid principal balance of any senior lien mortgage loan at the
time of origination of the second lien Mortgage Loan.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[OBJECT OMITTED]
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Product Type (Group I)
Number of Aggregate Principal Percent of
Product Type Mortgage Loans Balance Outstanding Loan Group
Balloon - 15 Yrs. 466 $33,835,910.63 51.94%
Fixed Rate - 10 Yr. 17 439,747.90 0.68
Fixed Rate - 15 Yrs. 291 10,741,531.83 16.49
Fixed Rate - 20 Yrs. 44 2,185,433.17 3.35
Fixed Rate - 30 Yrs. 255 17,937,942.03 27.54
----- -------------- ------
Grand Total 1,073 $65,140,565.56 100.00%
===== ============== ======
Prepayment Penalty (Group I)
Number of Aggregate Principal Percent of
Prepayment Penalty Mortgage Loans Balance Outstanding Loan Group
None 244 $14,470,157.44 22.21%
6 Months 4 166,466.84 0.26
1 Year 10 751,679.16 1.15
2 Year 20 1,898,314.56 2.91
3 Year 777 47,139,419.49 72.37
5 Year 18 714,528.07 1.10
------ -------------- -------
Grand Total 1,073 $65,140,565.56 100.00%
===== ============== ======
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[OBJECT OMITTED]
14
<PAGE>
Preliminary Mortgage Pools
The information herein regarding the collateral represents the Mortgage Pool as
of October 1, 1999. Certain additions and deletions have been made to the
Mortgage Pool, and further additions and deletions will be made prior to the
Settlement Date. Any additions or deletions are not anticipated to have a
material impact on the information provided below. The information herein will
be superseded by the information regarding the collateral set forth in the
Prospectus Supplement.
Group II Collateral Summary
Aggregate Outstanding Principal Balance $96,576,448.50
Aggregate Original Principal Balance $96,864,713.34
Number of Mortgage Loans 909
Minimum Maximum Weighted Average
_______ _______ ________________
Original Term (mos) 180 360 358.130
Stated Remaining Term (mos) 143 360 351.933
Loan Age (mos) 0 27 6.160
Mortgage Rate 6.800% 12.990% 10.142%
Gross Margin 4.650% 9.750% 7.628%
Maximum Mortgage Rate 12.800% 18.990% 16.131%
Loan-To-Value 34.66% 95.00% 82.22%
Earliest Latest
________ ______
Origination Dates 07/1997 09/1999
Maturity Dates 09/2011 10/2029
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
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Remaining Principal Balances (Group II)
Remaining Number of Aggregate Principal Percent of
Principal Balances Mortgage Loans Balance Outstanding Loan Group
Up to $25,000 1 $ 24,353.81 0.03%
$ 25,001 to $ 50,000 69 3,037,616.03 3.15
$ 50,001 to $ 75,000 258 16,247,837.12 16.82
$ 75,001 to $ 100,000 197 17,052,754.11 17.66
$ 100,001 to $ 125,000 141 15,777,488.37 16.34
$ 125,001 to $ 150,000 107 14,538,800.58 15.05
$ 150,001 to $ 175,000 34 5,462,220.87 5.66
$ 175,001 to $ 200,000 34 6,392,035.88 6.62
$ 200,001 to $ 225,000 19 3,978,919.23 4.12
$ 225,001 to $ 250,000 17 4,051,634.41 4.20
$ 250,001 to $ 275,000 12 3,120,689.93 3.23
$ 275,001 to $ 300,000 6 1,713,314.52 1.77
$ 300,001 to $ 325,000 5 1,552,365.09 1.61
$ 325,001 to $ 350,000 1 339,759.72 0.35
$ 350,001 to $ 375,000 3 1,065,147.17 1.10
$ 375,001 to $ 400,000 1 383,578.05 0.40
$ 400,001 to $ 425,000 2 832,816.83 0.86
$ 475,001 to $ 500,000 1 495,472.73 0.51
$ 500,001 to $ 525,000 1 509,644.05 0.53
---- -------------- ------
Grand Total 909 $96,576,448.50 100.00%
=== ============== ======
Remaining Principal Balance Range is from: $24,353.81 to $509,644.05
Average is: $106,244.72
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
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Mortgage Rates (Group II)
Number of Aggregate Principal Percent of
Mortgage Rates Mortgage Loans Balance Outstanding Loan Group
6.500% to 6.999% 1 $ 108,434.44 0.11%
7.000% to 7.499% 2 330,892.98 0.34
7.500% to 7.999% 12 1,479,237.99 1.53
8.000% to 8.499% 26 2,757,658.42 2.86
8.500% to 8.999% 64 8,059,959.10 8.35
9.000% to 9.499% 79 9,459,239.36 9.79
9.500% to 9.999% 216 22,393,641.71 23.19
10.000% to 10.499% 176 18,817,915.99 19.48
10.500% to 10.999% 158 15,746,476.73 16.30
11.000% to 11.499% 90 9,275,194.53 9.60
11.500% to 11.999% 54 5,523,363.52 5.72
12.000% to 12.499% 20 1,824,477.79 1.89
12.500% to 12.999% 11 799,955.94 0.83
---- ------------- -------
Grand Total 909 $96,576,448.50 100.00%
=== ============== ======
Mortgage Rate Range is from: 6.800% to 12.990%
Weighted Average is: 10.142%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
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Gross Margin (Group II)
Number of Aggregate Principal Percent of
Gross Margin Mortgage Loans Balance Outstanding Loan Group
4.500% to 4.999% 4 $ 803,466.11 0.83%
5.000% to 5.499% 4 482,258.33 0.50
5.500% to 5.999% 11 813,643.75 0.84
6.000% to 6.499% 38 3,526,437.42 3.65
6.500% to 6.999% 85 8,800,968.65 9.11
7.000% to 7.499% 150 15,183,089.39 15.72
7.500% to 7.999% 292 31,268,989.15 32.38
8.000% to 8.499% 191 21,092,828.28 21.84
8.500% to 8.999% 90 9,431,779.69 9.77
9.000% to 9.499% 24 2,834,386.43 2.93
9.500% to 9.999% 20 2,338,601.30 2.42
----- -------------- ------
Grand Total 909 $96,576,448.50 100.00%
==== ============== ======
Gross Margin Range is from: 4.650% to 9.750%
Weighted Average is: 7.628%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
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Next Mortgage Rate Adjustment (Group II)
Number of Aggregate Principal Percent of
Next Mortgage Rate Adjustment Mortgage Loans Balance Outstanding Loan Group
Dec 1999 1 $ 39,543.15 0.04%
Jan 2000 1 53,401.45 0.06
Feb 2000 3 165,498.09 0.17
Mar 2000 5 348,219.43 0.36
Apr 2000 3 302,021.58 0.31
May 2000 5 476,910.25 0.49
Jun 2000 10 949,988.30 0.98
Jul 2000 3 559,466.52 0.58
Aug 2000 4 228,018.50 0.24
Sep 2000 9 842,958.15 0.87
Oct 2000 20 1,920,676.21 1.99
Nov 2000 33 3,326,569.17 3.44
Dec 2000 45 4,407,755.17 4.56
Jan 2001 52 5,216,683.38 5.40
Feb 2001 83 8,286,216.06 8.58
Mar 2001 113 12,155,177.43 12.59
Apr 2001 97 11,911,848.31 12.33
May 2001 66 7,047,157.04 7.30
Jun 2001 88 8,614,654.52 8.92
Jul 2001 70 7,776,497.91 8.05
Aug 2001 122 12,988,065.87 13.45
Sep 2001 49 5,958,782.95 6.17
Oct 2001 7 685,272.13 0.71
Nov 2001 4 384,299.52 0.40
Dec 2001 1 76,129.80 0.08
Feb 2002 1 46,376.76 0.05
Mar 2002 3 281,384.69 0.29
Apr 2002 3 490,978.41 0.51
May 2002 1 186,612.04 0.19
Jun 2002 1 80,843.75 0.08
Aug 2002 5 640,682.80 0.66
Sep 2002 1 127,759.16 0.13
---- -------------- ------
Grand Total 909 $96,576,448.50 100.00%
==== ============== ======
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
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Months Remaining to Scheduled Maturity (Group II)
Number of Aggregate Principal Percent of
Months Mortgage Loans Balance Outstanding Loan Group
133 to 144 1 $ 114,940.72 0.12%
157 to 168 4 322,243.86 0.33
169 to 180 7 566,286.47 0.59
325 to 336 2 202,527.84 0.21
337 to 348 70 6,881,455.01 7.13
349 to 360 825 88,488,994.60 91.63
--- -------------- ------
Grand Total 909 $96,576,448.50 100.00%
=== ============== ======
Remaining Term Range is from: 143 to 360
Weighted Average is: 351.933
Distribution of Loan Purpose (Group II)
Number of Aggregate Principal Percent of
Loan Purpose Mortgage Loans Balance Outstanding Loan Group
Purchase 368 $39,076,697.93 40.46%
Refinance 541 57,499,750.57 56.04
--- --------------- ------
Grand Total 909 $96,576,448.50 100.00%
=== ============== ======
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
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Distribution of Occupancy Status (Group II)
Number of Aggregate Principal Percent of
Occupancy Status Mortgage Loans Balance Outstanding Loan Group
Non Owner occupied 61 $ 5,336,448.36 5.53%
Owner occupied 848 91,240,000.14 94.47
--- --------------- -----
Grand Total 909 $96,576,448.50 100.00%
=== ============== ======
Distribution of Property Type (Group II)
Number of Aggregate Principal Percent of
Property Type Mortgage Loans Balance Outstanding Loan Group
Condominium 8 $ 645,224.85 0.67%
Manufactured 8 493,892.38 0.51
2-4 Family 39 3,953,601.43 4.09
Single Family 854 91,483,729.84 94.73
--- -------------- ------
Grand Total 909 $96,576,448.50 100.00%
=== ============== ======
Lien Position (Group II)
Number of Aggregate Principal Percent of
Lien Position Mortgage Loans Balance Outstanding Loan Group
1 909 $96,576,448.50 100.00
--- ------
Grand Total 909 $96,576,448.50 100.00%
=== ======
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DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
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Geographical Distribution (Group II)
Number of Aggregate Principal Percent of
States Mortgage Loans Balance Outstanding Loan Group
Colorado 97 $13,481,548.57 13.96%
Florida 105 11,656,734.71 12.07
Michigan 110 10,723,516.95 11.10
Ohio 115 9,878,291.49 10.23
Georgia 62 7,271,096.63 7.53
Missouri 57 5,675,323.82 5.88
Kentucky 57 5,369,179.08 5.56
Indiana 59 5,019,411.58 5.20
Illinois 47 4,996,938.58 5.17
Virginia 24 2,815,964.93 2.92
Kansas 17 2,798,101.49 2.90
Tennessee 24 2,257,750.93 2.34
Utah 16 2,059,598.61 2.13
North Carolina 17 1,952,060.99 2.02
Arizona 15 1,704,592.44 1.77
Washington 9 1,144,655.98 1.19
Maryland 9 1,138,764.87 1.18
Louisiana 11 932,024.37 0.97
Wisconsin 10 894,510.31 0.93
South Carolina 10 860,924.92 0.89
Pennsylvania 8 677,336.65 0.70
California 2 598,358.26 0.62
Mississippi 7 566,120.22 0.59
Iowa 7 506,322.43 0.52
Connecticut 3 370,477.31 0.38
Nevada 2 348,026.38 0.36
District of Columbia 3 310,693.27 0.32
Idaho 2 249,982.58 0.26
Alabama 2 170,021.70 0.18
New Jersey 1 107,714.49 0.11
West Virginia 1 40,403.96 0.04
---- ---------------- -------
Grand Total 909 $96,576,448.50 100.00%
=== ============== ======
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
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<PAGE>
Geographical Distribution (Group II)
Number of Aggregate Principal Percent of
States Mortgage Loans Balance Outstanding Loan Group
Alabama 2 $ 170,021.70 0.18%
Arizona 15 1,704,592.44 1.77
California 2 598,358.26 0.62
Colorado 97 13,481,548.57 13.96
Connecticut 3 370,477.31 0.38
District of Columbia 3 310,693.27 0.32
Florida 105 11,656,734.71 12.07
Georgia 62 7,271,096.63 7.53
Idaho 2 249,982.58 0.26
Illinois 47 4,996,938.58 5.17
Indiana 59 5,019,411.58 5.20
Iowa 7 506,322.43 0.52
Kansas 17 2,798,101.49 2.90
Kentucky 57 5,369,179.08 5.56
Louisiana 11 932,024.37 0.97
Maryland 9 1,138,764.87 1.18
Michigan 110 10,723,516.95 11.10
Mississippi 7 566,120.22 0.59
Missouri 57 5,675,323.82 5.88
Nevada 2 348,026.38 0.36
New Jersey 1 107,714.49 0.11
North Carolina 17 1,952,060.99 2.02
Ohio 115 9,878,291.49 10.23
Pennsylvania 8 677,336.65 0.70
South Carolina 10 860,924.92 0.89
Tennessee 24 2,257,750.93 2.34
Utah 16 2,059,598.61 2.13
Virginia 24 2,815,964.93 2.92
Washington 9 1,144,655.98 1.19
West Virginia 1 40,403.96 0.04
Wisconsin 10 894,510.31 0.93
--- -------------- ------
Grand Total 909 $96,576,448.50 100.00%
=== ============== ======
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
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Calendar Year of Origination (Group II)
Number of Aggregate Principal Percent of
Year of Origination Mortgage Loans Balance Outstanding Loan Group
1997 2 $ 202,527.84 0.21%
1998 173 16,969,616.08 17.57
1999 734 79,404,304.58 82.22
--- --------------
Grand Total 909 $96,576,448.50 100.00%
--- ============== ======
Loan-to-Value Ratios (Group II)
Number of Aggregate Principal Percent of
Loan-to-Value Ratios Mortgage Loans Balance Outstanding Loan Group
50.00% or Less 9 $ 570,331.29 0.59%
50.01% to 55.00% 2 253,159.42 0.26
55.01% to 60.00% 10 847,514.18 0.88
60.01% to 65.00% 11 1,086,069.17 1.12
65.01% to 70.00% 34 2,764,727.39 2.86
70.01% to 75.00% 112 10,908,261.43 11.29
75.01% to 80.00% 268 28,680,172.00 29.70
80.01% to 85.00% 191 21,246,150.34 22.00
85.01% to 90.00% 269 29,917,729.03 30.98
90.01% to 95.00% 3 302,334.25 0.31
---- --------------- ------
Grand Total 909 $96,576,448.50 100.00%
--- ==============
Loan-to-Value Range is from: 34.66% to 95.00%
Weighted Average is: 82.22%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
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Product Type (Group II)
Number of Aggregate Principal Percent of
Product Type Mortgage Loans Balance Outstanding Loan Group
1 Mo LIBOR - Adjust 12 Mos. 1 $ 140,872.09 0.15%
1 Mo LIBOR - Adjust 24/12 Mos. 1 109,962.86 0.11
1 Mo LIBOR - Adjust 6 Mos. 1 114,940.72 0.12
1 Yr Treasury - Adjust 12 Mos. 8 819,462.14 0.85
1 Yr Treasury - Adjust 36/06 Mos. 1 133,115.70 0.14
1 Yr Treasury - Adjust 36/12 Mos 1 339,759.72 0.35
3 Yr Treasury - Adjust 36 Mos. 1 118,631.84 0.12
6 Mo LIBOR - Adjust 12 Mos. 3 604,927.42 0.63
6 Mo LIBOR - Adjust 24/06 Mos. 856 90,093,962.50 93.29
6 Mo LIBOR - Adjust 36/06 Mos. 35 3,991,581.07 4.13
6 Mo LIBOR - Adjust 6 Mos. 1 109,232.44 0.11
---- -------------- -------
Grand Total 909 $96,576,448.50 100.00%
=== ============== ======
Prepayment Penalty (Group II)
Number of Aggregate Principal Percent of
Prepayment Penalty Mortgage Loans Balance Outstanding Loan Group
None 250 $28,137,387.98 29.13%
6 Months 15 2,597,627.13 2.69
1 Year 19 2,637,236.18 2.73
2 Year 553 56,066,654.30 58.05
3 Year 69 6,784,727.09 7.03
5 Year 3 352,815.82 0.37
---- --------------- ------
Grand Total 909 $96,576,448.50 100.00%
=== ============== ======
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
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