- --------------------------------------------------------------------------------
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) September 3, 1998
WMC SECURED ASSETS CORP. (as company under the Pooling and Servicing Agreement,
dated as of September 1, 1998, providing for the issuance of Mortgage
Pass-Through Certificates, Series 1998-B)
WMC SECURED ASSETS CORP.
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in its charter)
UNITED STATES 333-59687 95-4683489
- ---------------------------- ------------ ----------------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification Number)
6320 Canoga Avenue
WOODLAND HILLS, CALIFORNIA 91367
- -------------------------- ---------
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (818) 592-2610
--------------
- -------------------------------------------------------------------------------
<PAGE>
-2-
Item 2. ACQUISITION OR DISPOSITION OF ASSETS
On or about September 4, 1998 (the "Closing Date"), the Registrant
intends to cause the issuance and sale of approximately $800,000,000 initial
principal amount of Mortgage Pass- Through Certificates, Series 1998-B, Class
A-1, Class A-2, Class A-IO, Class M-1, Class M-2, Class B, Class C, Class R-I,
Class R-II and Class R-III (collectively, the "Certificates") pursuant to a
Pooling and Servicing Agreement to be dated as of September 1, 1998, by and
between the Registrant, as company, WMC Mortgage Corp., as seller (the "Seller")
and master servicer, and The First National Bank of Chicago, as trustee (the
"Trustee").
In connection with the sale of Mortgage Pass-Through Certificates,
Series 1998-B, Class A-1, Class A-2, Class A-IO, Class M-1, Class M-2 and Class
B (collectively, the "Underwritten Certificates"), the Registrant previously
filed certain yield tables and other computational materials and structural term
sheets (collectively, the "Computational Materials") as an exhibit to the
Current Report on Form 8-K, dated August 25, 1998 (the "8-K"). In addition a
prospectus supplement, dated August 28, 1998 (the "Prospectus Supplement") was
previously filed describing in detail the initial pool of mortgage loans to be
transferred on the Closing Date to the trust for the benefit of
Certificateholders. Such Prospectus Supplement states that additional mortgage
loans will be originated or acquired by the Seller prior to the Closing Date
(the "Additional Mortgage Loans") and transferred to the trust on the Closing
Date and certain of the mortgage loans described in the Prospectus Supplement
may be removed from the mortgage pool (the "Removed Mortgage Loans"). The
Registrant as of the date hereof has identified such Additional Mortgage Loans
and Removed Mortgage Loans. Detailed information is being filed as an exhibit to
this report describing the characteristics of the pool of mortgage loans
(including the Additional Mortgage Loans) to be included in the trust as it will
be constituted on the Closing Date.
Item 5. OTHER EVENTS.
In connection with the issuance of the Certificates, Thacher Proffitt &
Wood, as counsel to the Registrant, has delivered an opinion of counsel to the
effect that, assuming compliance with the terms of the Pooling and Servicing
Agreement, for income tax purposes, the Trust Fund on the Closing Date will
qualify as two separate real estate mortgage investment conduits within the
meaning of Sections 860A through 860G of the Internal Revenue Code of 1986, as
amended. Such opinion is being filed as an exhibit to this report.
Items 3, 4, 6 and 8 are not included because they are not applicable.
Item 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL INFORMATION AND EXHIBITS.
(a) FINANCIAL STATEMENTS.
Not Applicable.
<PAGE>
-3-
(b) PRO FORMA FINANCIAL INFORMATION.
Not Applicable.
(c) EXHIBITS
Item 601(a) of
Regulation S-K
EXHIBIT NO. EXHIBIT NO. DESCRIPTION
- ----------- ----------- -----------
5.1 5 Opinion of Counsel of Thacher Proffitt &
Wood
99.1 99 Mortgage Pool Charts
<PAGE>
-4-
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of
1934, the registrant has duly caused this report to be signed on its behalf by
the undersigned thereunto duly authorized.
WMC SECURED ASSETS CORP
By: /s/ Todd Wallace
------------------------------------
Name: Todd Wallace
Title: Vice President, Treasurer and
Director
Dated: September 3, 1998
<PAGE>
-5-
EXHIBIT INDEX
================================================================================
EXHIBIT NO. DESCRIPTION PAGE
- ----------- ----------- ----
5.1 Opinion of Counsel of Thacher Proffitt & Wood 6
99.1 Mortgage Pool Charts 7
================================================================================
EXHIBIT 5.1
<PAGE>
[LETTERHEAD OF THACHER PROFFITT & WOOD]
September 3, 1998
WMC Secured Asset Corp.
6320 Canoga Avenue
Woodland Hills, CA 91367
Re: WMC Mortgage Loan Trust 1998-B
WMC Mortgage Pass Through Certificates, Series 1998-B
-----------------------------------------------------
Ladies and Gentlemen:
We have acted as counsel to WMC Secured Assets Corp, (the "Company") in
connection with the issuance by WMC Mortgage Loan Trust 1998-B of WMC Mortgage
Pass-Through Certificates, Series 1998-B (the "Certificates") to be created
pursuant to the Pooling and Servicing Agreement, dated as of September 1, 1998,
among the Company, WMC Mortgage Corp. as Master Servicer and Seller ("WMC"), and
The First National Bank of Chicago, as Trustee (the "Trustee") (the "Pooling and
Servicing Agreement"). The Certificates will consists of three classes of senior
certificates designated as Class A-1, Class A-2 and Class A-IO (the "Senior
Certificates") and seven classes of subordinated certificates designated as
Class M-1 and Class M-2 (collectively, the "Class M Certificates"), Class B (the
"Class B Certificates"), Class C (the "Class C Certificates") and Class R-I,
Class R-II and Class R-III (collectively, the "Residual Certificates"). Only the
Senior Certificates, Class M Certificates and Class B Certificates
(collectively, the "Offered Certificates") will be offered under the Prospectus.
The Certificates will evidence undivided interests in a trust fund (the
"Trust Fund") consisting primarily of a pool of adjustable rate (having initial
fixed rate periods of six months, two years, three years or five years),
closed-end, sub-prime mortgage loans secured by first lien mortgages on
residential one- to four-family properties originated or acquired by WMC for
transfer to the Company and from the Company to the Trust Fund on the Closing
Date, and additional adjustable rate, close-end, sub-prime mortgage loans
secured by first lien mortgages on residential one- to four-family properties
originated or acquired by WMC for transfer to the Company and from the Company
to the Trust Fund from from time to time after the Closing Date and prior to the
end of the Pre-Funding Period (collectively, the "Mortgage Loans"). Capitalized
terms not defined herein have the meanings assigned to them in the Pooling and
Servicing Agreement.
In connection with rendering this opinion letter, we have examined the
Pooling and Servicing Agreement and such other documents as we have deemed
necessary. As to matters of fact, we have examined and relied upon
representations, warranties and covenants of the parties contained therein and,
where we have deemed appropriate, representations or representations or
certifications of
<PAGE>
officers of parties to the Pooling and Servicing Agreement or public officials.
In rendering this opinion letter we have assumed (i) the authenticity of all
documents submitted to us as originals and the conformity to the originals of
all documents submitted to us as copies, (ii) the necessary entity formation and
continuing existence in the jurisdiction of formation, and the necessary
licensing and qualification in all jurisdictions, of all parties to all
documents, (iii) the necessary authorization, execution, delivery and
enforceability of all documents, and the necessary entity power with respect
thereto, (iv) the conformity of the Mortgage Loans and the related documents to
the requirements of the Pooling and Servicing Agreement and (v) that there is
not and will not be any other agreement that modifies or supplements the Pooling
and Servicing Agreement expressed in the documents to which this opinion letter
relates and that renders any of the opinions expressed below inconsistent with
such documents as so modified or supplemented.
Three separate real estate mortgage investment conduit ("REMIC")
elections will be made with respect to segregated pool of assets of the Trust
Fund ("REMIC I", "REMIC II" and "REMIC III," respectively). Assuming compliance
with the pertinent provisions of the Pooling and Servicing Agreement as of the
Closing Date, each of REMIC I, REMIC II and REMIC III will qualify as a REMIC
within the meaning of sections 860A through 860G of the Internal Revenue Code of
1986, as amended (the "Code"). For federal income tax purposes, the Offered
Certificates other than the Class A-IO Certificates (exclusive of the right of
such Certificates to receive amounts from the Available Funds Cap Carryover
Reserve Account), the Class A-IO Components and the Class C Components will
constitute "regular interests" in REMIC III, and the Class R-I, Class R-II and
Class R-III Certificates will represent the sole class of "residual interests"
in REMIC I, REMIC II and REMIC III, respectively.
The opinions set forth herein are based upon the existing provisions of
the Code and Treasury regulations promulgate or proposed thereunder, published
Revenue Rulings and releases of the Internal Revenue Service and existing case
law, and of which could be changed at any time. Any such changes may be
retroactive in application and could modify the legal conclusions upon which
such opinions are based. The opinions expressed herein are limited as described
above, and we do not express an opinion on any other legal or income tax aspect
of the transactions contemplated by the documents relating to the transaction.
In rendering the foregoing opinions, we express no opinion as to any
laws other than the federal income tax laws of the United States. This opinion
will not updated for subsequent changes or modifications to the law and
regulations or to the judicial and administrative interpretations thereof unless
we are specifically engaged to do so. This opinion is rendered only to those to
whom it is addressed and may not be relied on in connection with any
transactions other than the transactions contemplated herein. The opinion may
not be circulated or relied upon for any other purpose, or circulated to or
relied upon by any other person, firm or corporation for any purpose, without
our prior written consent.
Very truly yours,
THACHER PROFFITT & WOOD
By
/s/ THACHER PROFFITT & WOOD
-----------------------
EXHIBIT 99.1
<PAGE>
- --------------------------------------------------------------------------------
ALL OF THE STATISTICAL INFORMATION CONTAINED HEREIN IS AS OF THE CLOSE OF
BUSINESS ON THE CUT-OFF DATE.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
COLLATERAL SUMMARY
- ---------------------------------------------------------------------------------------------------------------
Total Minimum Maximum
----- ------- -------
<S> <C> <C> <C>
Statistical Calculation Date Aggregate Principal Balance $642,680,490.42 $14,300.00 $679,000.00
Number of Loans 6,279
Average Statistical Calculation Loan Balance $102,353.96 $14,300.00 $679,000.00
Weighted Average LTV 78.30% 12.80% 90.00%
Weighted Average Remaining Term to Maturity (months) 359.06 179.00 360
Weighted Average Gross Coupon 10.13% 6.75% 15.75%
Weighted Average Original Term (months) 359.93 180.00 360.00
Weighted Average Gross Margin 6.73% 4.25% 10.20%
Weighted Average Gross Lifetime Cap 16.63% 10.40% 22.25%
Weighted Average Gross Lifetime Floor 10.13% 6.75% 15.75%
Weighted Average Initial Periodic Cap 1.98% 1.00% 3.00%
Weighted Average Subsequent Periodic Cap 1.00% 1.00% 1.00%
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
Characteristics % of Total by
Statistical Calculation
Date Scheduled
Principal Balance
-----------------
<S> <C> <C>
Level-pay Mortgage Loans 100.00%
Index Type 6-month LIBOR 100.00%
Lien Position First 100.00%
Credit Grade A 1.97%
A- 51.93%
B 31.23%
C 10.30%
D 4.58%
Product Type 2/28 6-month LIBOR 83.33%
3/27 6-month LIBOR 2.95%
5/25 6-month LIBOR 0.02%
6-month LIBOR, no neg. amortization 13.70%
Property Type 3-4 family 0.96%
Duplex 5.21%
Low rise condo 2.67%
PUD 9.74%
Single family detached 81.43%
Occupancy Type Investor 4.69%
Owner occupied 94.39%
Second home 0.92%
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
Page 1
<PAGE>
DESCRIPTION OF THE COLLATERAL
- --------------------------------------------------------------------------------
ALL OF THE STATISTICAL INFORMATION CONTAINED HEREIN IS AS OF THE CLOSE OF
BUSINESS ON THE CUT-OFF DATE.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL BALANCE
- -----------------
Aggregate Statistical Percent of Total by
Range of Outstanding Calculation Statistical Calculation
Principal Balance Number Date Scheduled Date Scheduled
From To of Loans Principal Balance Principal Balance
---- -- -------- ----------------- -----------------
<S> <C> <C> <C> <C>
$ 10,000.01 $ 20,000.00 38 $710,210.94 0.11%
20,000.01 30,000.00 310 8,028,277.31 1.25%
30,000.01 40,000.00 547 19,510,159.17 3.04%
40,000.01 50,000.00 615 27,846,493.81 4.33%
50,000.01 60,000.00 650 35,981,167.61 5.60%
60,000.01 70,000.00 502 32,692,542.32 5.09%
70,000.01 80,000.00 506 37,904,431.13 5.90%
80,000.01 90,000.00 430 36,630,052.84 5.70%
90,000.01 100,000.00 368 35,148,404.15 5.47%
100,000.01 110,000.00 356 37,483,590.31 5.83%
110,000.01 120,000.00 287 32,993,186.10 5.13%
120,000.01 130,000.00 221 27,658,572.95 4.30%
130,000.01 140,000.00 211 28,517,143.61 4.44%
140,000.01 150,000.00 156 22,595,771.81 3.52%
150,000.01 160,000.00 128 19,871,495.23 3.09%
160,000.01 170,000.00 119 19,685,945.24 3.06%
170,000.01 180,000.00 83 14,550,576.08 2.26%
180,000.01 190,000.00 61 11,306,470.09 1.76%
190,000.01 200,000.00 95 18,602,218.50 2.89%
200,000.01 250,000.00 256 57,373,660.39 8.93%
250,000.01 300,000.00 130 35,651,930.71 5.55%
300,000.01 350,000.00 77 25,169,494.81 3.92%
350,000.01 400,000.00 56 20,890,537.20 3.25%
400,000.01 450,000.00 35 14,938,573.81 2.32%
450,000.01 $700,000.00 42 20,939,584.30 3.26%
----- -------------- ------
Total 6,279 $642,680,490.42 100.00%
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
Loan-to-Value Aggregate Statistical Percent of Total by
- ------------- Calculation Statistical Calculation
Range Number Date Scheduled Date Scheduled
From To of Loans Principal Balance Principal Balance
---- -- -------- ----------------- -----------------
10.01% 15.00% 2 $54,943.70 0.01%
15.01% 20.00% 4 159,900.04 0.02%
20.01% 25.00% 8 302,359.82 0.05%
25.01% 30.00% 5 177,721.68 0.03%
30.01% 35.00% 12 590,137.87 0.09%
35.01% 40.00% 21 1,351,474.94 0.21%
40.01% 45.00% 38 2,613,154.31 0.41%
45.01% 50.00% 56 3,512,986.46 0.55%
50.01% 55.00% 65 6,149,282.18 0.96%
55.01% 60.00% 223 14,969,743.88 2.33%
60.01% 65.00% 622 48,590,185.03 7.56%
65.01% 70.00% 566 51,120,597.90 7.95%
70.01% 75.00% 1,086 101,263,168.47 15.76%
75.01% 80.00% 1,795 195,345,509.98 30.40%
80.01% 85.00% 966 105,709,545.44 16.45%
85.01% 90.00% 810 110,769,778.72 17.24%
----- -------------- ------
Total 6,279 $642,680,490.42 100.00%
Page 2
<PAGE>
Property Type Aggregate Statistical Percent of Total by
- ------------- Calculation Statistical Calculation
Number Date Scheduled Date Scheduled
Property Description of Loans Principal Balance Principal Balance
- -------------------- -------- ----------------- -----------------
3-4 family 46 $6,161,980.69 0.96%
Duplex 337 33,477,832.25 5.21%
Low rise condo 191 17,143,019.31 2.67%
PUD 418 62,568,632.39 9.74%
Single family detached 5,287 523,329,025.78 81.43%
----- --------------- ------
Total 6,279 $642,680,490.42 100.00%
<TABLE>
<CAPTION>
Loan Type Aggregate Statistical Percent of Total by
- --------- Calculation Statistical Calculation
Number Date Scheduled Date Scheduled
Loan Type of Loans Principal Balance Principal Balance
--------- -------- ----------------- -----------------
<S> <C> <C> <C>
2/28 6-month LIBOR 5,428 $535,525,164.02 83.33%
3/27 6-month LIBOR 134 18,975,098.03 2.95%
5/25 6-month LIBOR 1 129,240.89 0.02%
6-month LIBOR no neg. amortization 716 88,050,987.48 13.70%
----- --------------- ------
Total 6,279 $642,680,490.42 100.00%
</TABLE>
Page 3
<PAGE>
DESCRIPTION OF THE COLLATERAL
Remaining Term to Maturity
- --------------------------
Aggregate Statistical Percent of Total by
Remaining Term Calculation Statistical Calculation
(in months) Number Date Scheduled Date Scheduled
From To of Loans Principal Balance Principal Balance
---- -- -------- ----------------- -----------------
121 180 4 $260,167.42 0.04%
344 354 50 5,242,236.50 0.82%
355 357 206 20,069,394.13 3.12%
358 360 6,019 617,108,692.37 96.02%
----- -------------- ------
Total 6,279 $642,680,490.42 100.00%
Occupancy Aggregate Statistical Percent of Total by
- --------- Calculation Statistical Calculation
Number Date Scheduled Date Scheduled
of Loans Principal Balance Principal Balance
-------- ----------------- -----------------
Investor 415 $30,173,408.49 4.69%
Owner 5,816 606,623,993.92 94.39%
Second home 48 5,883,088.01 0.92%
----- -------------- ------
Total 6,279 $642,680,490.42 100.00%
Documentation Aggregate Statistical Percent of Total by
- ------------- Calculation Statistical Calculation
Number Date Scheduled Date Scheduled
Doc. Type of Loans Principal Balance Principal Balance
--------- -------- ----------------- -----------------
Full 4,249 $441,225,799.66 68.65%
Full-alt 67 10,380,582.11 1.62%
Lite 175 23,574,619.88 3.67%
No 17 2,505,960.46 0.39%
Simple 65 645 39,977,826.24 6.22%
Simple 69 3 246,670.47 0.04%
Stated 1,123 124,769,031.60 19.41%
Total 6,279 $642,680,490.42 100.00%
Page 4
<PAGE>
DESCRIPTION OF THE COLLATERAL
Geographic Dispersion
- ----------------------
Aggregate Statistical Percent of Total by
Calculation Statistical Calculation
Number Date Scheduled Date Scheduled
State of Loans Principal Balance Principal Balance
- ----- -------- ----------------- -----------------
Alabama 91 $5,269,286.52 0.82%
Alaska 57 6,716,159.56 1.05%
Arizona 291 32,716,849.63 5.09%
Arkansas 55 3,467,488.70 0.54%
California 873 159,421,260.19 24.81%
Colorado 204 22,436,257.26 3.49%
Connecticut 74 6,928,839.46 1.08%
Delaware 7 644,292.94 0.10%
District of Columbia 14 1,384,837.17 0.22%
Florida 300 25,955,357.71 4.04%
Georgia 126 12,263,656.87 1.91%
Hawaii 20 4,443,976.56 0.69%
Idaho 78 7,034,322.80 1.09%
Illinois 306 26,811,645.10 4.17%
Indiana 113 5,674,870.14 0.88%
Iowa 53 3,178,862.23 0.49%
Kansas 64 4,789,958.97 0.75%
Kentucky 24 1,212,128.89 0.19%
Louisiana 83 6,023,013.97 0.94%
Maine 63 4,960,816.38 0.77%
Maryland 95 9,989,022.51 1.55%
Massachusetts 75 7,388,189.11 1.15%
Michigan 153 9,232,721.21 1.44%
Minnesota 133 11,344,448.93 1.77%
Mississippi 113 6,611,129.76 1.03%
Missouri 297 16,791,149.34 2.61%
Montana 39 2,622,387.21 0.41%
Nebraska 69 4,230,588.85 0.66%
Nevada 119 13,317,400.81 2.07%
New Hampshire 19 1,631,004.20 0.25%
New Jersey 195 26,495,812.48 4.12%
New Mexico 74 8,122,364.07 1.26%
New York 163 18,647,196.16 2.90%
North Carolina 116 11,020,245.19 1.71%
North Dakota 5 187,142.51 0.03%
Ohio 140 8,126,642.65 1.26%
Oklahoma 50 3,430,522.70 0.53%
Oregon 150 15,940,172.19 2.48%
Pennsylvania 196 13,528,987.79 2.11%
Rhode Island 7 468,999.63 0.07%
South Carolina 50 4,401,908.90 0.68%
South Dakota 16 1,550,905.42 0.24%
Tennessee 100 8,146,044.47 1.27%
Texas 388 33,053,639.04 5.14%
Utah 103 10,931,627.75 1.70%
Vermont 23 1,862,177.51 0.29%
Virginia 74 6,973,843.56 1.09%
Washington 297 36,241,827.96 5.64%
West Virginia 26 1,838,562.34 0.29%
Wisconsin 89 6,399,116.16 1.00%
Wyoming 9 820,828.96 0.13%
----- ------------- ------
Total 6,279 $642,680,490.42 100.00%
Page 5
<PAGE>
DESCRIPTION OF THE COLLATERAL
Coupon
- ------
Aggregate Statistical Percent of Total by
Range of Mortgage Calculation Statistical Calculation
Interest Rates Number Date Scheduled Date Scheduled
From To of Loans Principal Balance Principal Balance
---- -- -------- ----------------- -----------------
6.50% 6.75% 2 $395,332.98 0.06%
6.75% 7.00% 4 566,262.84 0.09%
7.00% 7.25% 7 1,957,382.25 0.30%
7.25% 7.50% 9 1,309,470.70 0.20%
7.50% 7.75% 19 4,124,395.98 0.64%
7.75% 8.00% 61 10,100,065.22 1.57%
8.00% 8.25% 56 8,007,176.04 1.25%
8.25% 8.50% 125 18,465,971.42 2.87%
8.50% 8.75% 148 20,663,273.43 3.22%
8.75% 9.00% 287 41,772,532.65 6.50%
9.00% 9.25% 255 33,835,183.40 5.26%
9.25% 9.50% 331 42,858,978.48 6.67%
9.50% 9.75% 515 61,901,344.80 9.63%
9.75% 10.00% 619 76,759,508.62 11.94%
10.00% 10.25% 383 39,586,946.50 6.16%
10.25% 10.50% 553 55,271,627.25 8.60%
10.50% 10.75% 1,027 77,003,321.29 11.98%
10.75% 11.00% 641 58,099,591.73 9.04%
11.00% 11.25% 339 28,163,543.68 4.38%
11.25% 11.50% 330 22,450,321.35 3.49%
11.50% 11.75% 219 15,055,478.42 2.34%
11.75% 12.00% 145 10,533,092.22 1.64%
12.00% 12.25% 86 6,064,540.10 0.94%
12.25% 12.50% 58 3,886,785.83 0.60%
12.50% 12.75% 19 1,232,271.56 0.19%
12.75% 13.00% 10 912,906.01 0.14%
13.00% 13.25% 20 1,178,267.99 0.18%
13.25% 13.50% 6 273,345.68 0.04%
13.50% 13.75% 1 39,184.07 0.01%
13.75% 14.00% 1 45,750.00 0.01%
14.25% 14.50% 2 127,037.93 0.02%
15.50% 15.75% 1 39,600.00 0.01%
----- -------------- ------
Total 6,279 $642,680,490.42 100.00%
Page 6
<PAGE>
DESCRIPTION OF THE COLLATERAL
Gross Margins
- ------------- Aggregate Statistical Percent of Total by
Calculation Statistical Calculation
Range Number Date Scheduled Date Scheduled
From To of Loans Principal Balance Principal Balance
---- -- -------- ----------------- -----------------
4.00% 4.25% 1 $214,858.64 0.03%
4.25% 4.50% 1 143,500.00 0.02%
4.50% 4.75% 1 68,921.95 0.01%
4.75% 5.00% 11 1,226,577.11 0.19%
5.00% 5.25% 2 238,297.15 0.04%
5.25% 5.50% 32 4,762,214.62 0.74%
5.50% 5.75% 40 5,999,438.18 0.93%
5.75% 6.00% 171 20,934,702.43 3.26%
6.00% 6.25% 871 106,616,893.86 16.59%
6.25% 6.50% 899 95,960,905.27 14.93%
6.50% 6.75% 1,558 125,644,409.20 19.55%
6.75% 7.00% 1,560 155,314,551.61 24.17%
7.00% 7.25% 820 100,622,082.88 15.66%
7.25% 7.50% 223 17,508,784.69 2.72%
7.50% 7.75% 58 4,657,193.03 0.72%
7.75% 8.00% 18 1,654,919.10 0.26%
8.00% 8.25% 4 446,815.82 0.07%
8.25% 8.50% 1 55,083.00 0.01%
8.50% 8.75% 2 202,121.64 0.03%
8.75% 9.00% 3 293,742.63 0.05%
10.00% 10.25% 3 114,477.61 0.02%
----- ------------ ------
Total 6,279 $642,680,490.42 100.00%
Page 7
<PAGE>
DESCRIPTION OF THE COLLATERAL
Month of Next Payment
Adjustment Date Aggregate Statistical Percent of Total by
- --------------------- Calculation Statistical Calculation
Number Date Scheduled Date Scheduled
Month-Year of Loans Principal Balance Principal Balance
- ---------- -------- ----------------- -----------------
1998-10 2 $171,373.57 0.03%
1998-11 2 170,655.45 0.03%
1998-12 7 642,444.09 0.10%
1999-01 44 5,001,723.26 0.78%
1999-02 265 32,046,175.37 4.99%
1999-03 268 32,711,374.24 5.09%
1999-04 122 16,407,027.50 2.55%
1999-05 6 900,214.00 0.14%
1999-06 1 69,225.09 0.01%
1999-10 4 431,404.69 0.07%
1999-11 2 530,749.86 0.08%
1999-12 1 194,954.92 0.03%
2000-01 6 617,129.82 0.10%
2000-02 17 1,379,280.45 0.21%
2000-03 8 987,303.92 0.15%
2000-04 27 3,096,823.51 0.48%
2000-05 56 4,842,936.73 0.75%
2000-06 36 2,689,269.38 0.42%
2000-07 249 28,605,853.07 4.45%
2000-08 1,932 190,663,447.66 29.67%
2000-09 2,150 215,485,847.30 33.53%
2000-10 938 85,821,297.62 13.35%
2000-11 1 109,640.00 0.02%
2001-05 2 196,147.56 0.03%
2001-06 4 762,368.22 0.12%
2001-07 10 1,242,800.85 0.19%
2001-08 51 7,754,086.22 1.21%
2001-09 52 7,344,290.18 1.14%
2001-10 15 1,675,405.00 0.26%
2003-02 1 129,240.89 0.02%
----- --------------- -------
Total 6,279 $642,680,490.42 100.00%
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<PAGE>
DESCRIPTION OF THE COLLATERAL
Maximum Mortgage Rates Aggregate Statistical Percent of Total by
- ---------------------- Calculation Statistical Calculation
Range Number Date Scheduled Date Scheduled
From To of Loans Principal Balance Principal Balance
---- -- -------- ----------------- -----------------
10.00% 11.00% 2 $203,450.78 0.03%
11.00% 12.00% 1 39,984.94 0.01%
12.00% 13.00% 2 155,950.23 0.02%
13.00% 14.00% 22 4,205,762.85 0.65%
14.00% 15.00% 260 41,307,065.29 6.43%
15.00% 16.00% 1,013 138,087,735.82 21.49%
16.00% 17.00% 2,075 233,190,258.48 36.28%
17.00% 18.00% 2,337 186,100,800.19 28.96%
18.00% 19.00% 506 35,450,165.52 5.52%
19.00% 20.00% 53 3,573,266.71 0.56%
20.00% 21.00% 7 326,449.61 0.05%
22.00% 23.00% 1 39,600.00 0.01%
----- ---------- -----
Total 6,279 $642,680,490.42 100.00%
Minimum Mortgage Rates
Aggregate Statistical Percent of Total by
Calculation Statistical Calculation
Range Number Date Scheduled Date Scheduled
From To of Loans Principal Balance Principal Balance
---- -- -------- ----------------- -----------------
6.00% 7.00% 6 $961,595.82 0.15%
7.00% 8.00% 96 17,491,314.15 2.72%
8.00% 9.00% 616 88,908,953.54 13.83%
9.00% 10.00% 1,720 215,355,015.30 33.51%
10.00% 11.00% 2,604 229,961,486.77 35.78%
11.00% 12.00% 1,033 76,202,435.67 11.86%
12.00% 13.00% 173 12,096,503.50 1.88%
13.00% 14.00% 28 1,536,547.74 0.24%
14.00% 15.00% 2 127,037.93 0.02%
15.00% 16.00% 1 39,600.00 0.01%
----- ----------- -------
Total 6,279 $642,680,490.42 100.00%
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