- --------------------------------------------------------------------------------
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) August 25, 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 5. OTHER EVENTS.
On or about September 4, 1998, the Registrant will 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, 1998, by and among the Registrant, as company, WMC Mortgage
Corp., as master servicer, and The First National Bank of Chicago, as
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 has been advised by Bear, Stearns & Co.
Inc., NationsBanc Montgomery Securities LLC, Lehman Brothers Inc.,
Credit Suisse First Boston Corporation and First Union Capital Markets,
a division of Wheat First Securities, Inc. (together, the
"Underwriters") that the Underwriters have furnished to prospective
investors certain yield tables and other computational materials and
structural term sheets (collectively, the "Computational Materials")
with respect to the Underwritten Certificates following the effective
date of Registration Statement No. 333-59687, which Computational
Materials are being filed as exhibits to this report.
The information in the Computational Materials will be
superseded by the Prospectus Supplement relating to the Certificates
and by any other information subsequently filed with the Securities and
Exchange Commission.
The Computational Materials were prepared by the Underwriters
at the request of certain prospective investors, based on collateral
information provided by the Registrant and assumptions provided by, and
satisfying the special requirements of, such prospective investors. The
Computational Materials may be based on assumptions that differ from
the assumptions set forth in the Prospectus Supplement. The
Computational Materials may not include, and do not purport to include,
information based on assumptions representing a complete set of
possible scenarios. Accordingly, the Computational Materials may not be
relevant to or appropriate for investors other than those specifically
requesting them.
In addition, the actual characteristics and performance of the
mortgage loans underlying the Underwritten Certificates (the "Mortgage
Loans") may differ from the assumptions used in the Computational
Materials, which are hypothetical in nature and which were provided to
certain investors only to give a general sense of how the yield,
average life, duration, expected maturity, interest rate sensitivity
and cash flow characteristics of a particular class of Underwritten
Certificates might vary under varying prepayment and other scenarios.
Any difference between such assumptions and the actual characteristics
and performance of the Mortgage Loans will affect the actual yield,
average
<PAGE>
-3-
life, duration, expected maturity, interest rate sensitivity and cash
flow characteristics of the Underwritten Certificates.
Item 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL INFORMATION AND EXHIBITS.
(a) FINANCIAL STATEMENTS.
Not Applicable.
(b) PRO FORMA FINANCIAL INFORMATION.
Not Applicable.
(c) EXHIBITS
Item 601(a) of
Regulation S-K
Exhibit No. Exhibit No. Description
- ----------- ----------- -----------
1 99 Computational Materials
<PAGE>
-4-
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 thereunto duly authorized.
WMC SECURED ASSETS CORP
By /s/ Todd Wallace
------------------------------------
Name: Todd Wallace
Title: Vice President, Treasurer and
Director
Dated: August 25, 1998
<PAGE>
-5-
EXHIBIT INDEX
Exhibit No. Description Page
- ----------- ----------- ----
1 Computational Materials 6
*The Computational Materials have been filed on paper format pursuant to a
continuing hardship exemption from certain electronic filing requirements.
EXHIBIT 1
- --------------------------------------------------------------------------------
WMC Mortgage Loan Trust 1998-2
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
<TABLE>
<CAPTION>
<S> <C>
BEAR STEARNS BEAR, STEARNS & CO. INC.
ATLANTA o BOSTON o CHICAGO o DALLAS o LOS ANGELES ASSET-BACKED SECURITIES GROUP
NEW YORK o SAN FRANCISCO o BEIJING oBUENOS AIRES 245 Park Avenue
DUBLIN o FRANKFURT o GENEVA o HONG KONG o LONDON New York, New York 10167
LUGANO o PARIS o SAO PAULO o SHANGHAI o SINGAPORE o TOKYO (212) 272-2000; (212) 272-7294 fax
</TABLE>
- --------------------------------------------------------------------------------
WMC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1998-B: COMPUTATIONAL MATERIALS
- --------------------------------------------------------------------------------
Fax to: Date: August 25, 1998
Company: # of Pages (incl. cover): 22
Fax No: Phone No:
From: Phone No:
- ------------------ -----------------------------------------------
STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES,
AND OTHER INFORMATION
The information contained in the attached materials (the "Information") may
include various forms of performance analysis, security characteristics and
securities pricing estimates for the securities addressed. Please read and
understand this entire statement before utilizing the Information. The
Information is provided solely by Bear, Stearns & Co. Inc. ("Bear Stearns"), not
as agent for any issuer, and although it may be based on data supplied to it by
an issuer, the issuer has not participated in its preparation and makes no
representations regarding its accuracy or completeness. Should you receive
Information that refers to the "Statement Regarding Assumptions and Other
Information," please refer to this statement instead.
The Information is illustrative and is not intended to predict actual results
which may differ substantially from those reflected in the Information.
Performance analysis is based on certain assumptions with respect to significant
factors that may prove not to be as assumed. You should understand the
assumptions and evaluate whether they are appropriate for your purposes.
Performance results are based on mathematical models that use inputs to
calculate results. As with all models, results may vary significantly depending
upon the value of the inputs given. Inputs to these models include but are not
limited to: prepayment expectations (economic prepayment models, single expected
lifetime prepayments or a vector of periodic prepayments), interest rate
assumptions (parallel and nonparallel changes for different maturity
instruments), collateral assumptions (actual pool level data, aggregated pool
level data, reported factors or imputed factors), volatility assumptions
(historically observed or implied current) and reported information (paydown
factors, rate resets, and trustee statements). Models used in any analysis may
be proprietary making the results difficult for any third party to reproduce.
Contact your registered representative for detailed explanations of any modeling
techniques employed in the Information.
The Information addresses only certain aspects of the applicable security's
characteristics and thus does not provide a complete assessment. As such, the
Information may not reflect the impact of all structural characteristics of the
security, including call events and cash flow priorities at all prepayment
speeds and/or interest rates. You should consider whether the behavior of these
securities should be tested as assumptions different from those included in the
Information. The assumptions underlying the Information, including structure and
collateral may be modified from time to time to reflect changed circumstances.
Any investment decision should be based only on the data in the prospectus and
the prospectus supplement or private placement memorandum (Offering Documents)
and the then current version of the Information. Offering Documents contain data
that is current as of their publication dates and after publication may no
longer be complete or current. Contact your registered representative for
Offering Documents, current Information or additional materials, including other
models for performance analysis which are likely to produce different results,
and any further explanation regarding the Information.
Any pricing estimates Bear Stearns has supplied at your request (a) represent
our view, at the time determined, of the investment value of the securities
between the estimated bid and offer levels, the spread between which may be
significant due to market volatility or illiquidity, (b) do not constitute a bid
by any person for any security, (c) may not constitute prices at which the
securities could have been purchased or sold in any market, (d) have not been
confirmed by actual trades, may vary from the value Bear Stearns assigns any
such security while in its inventory, and may not take into account the size of
a position you have in the security, and (e) may have been derived from matrix
pricing that uses data relating to other securities whose prices are more
readily ascertainable to produce a hypothetical price based on the estimated
yield spread relationship between the securities.
GENERAL INFORMATION: The data underlying the Information has been obtained from
sources that we believe are reliable, but we do not guarantee the accuracy of
the underlying data or computations based thereon. Bear Stearns and/or
individuals thereof may have positions in these securities while the Information
is circulating or during such period may engage in transactions with the issuer
or its affiliates. We act as principal in transactions with you, and
accordingly, you must determine the appropriateness for you of such transactions
and address any legal, tax, or accounting considerations applicable to you. Bear
Stearns shall not be a fiduciary or advisor unless we have agreed in writing to
receive compensation specifically to act in such capacities. If you are subject
to ERISA, the Information is being furnished on the condition that it will not
form a primary basis for any investment decision. The Information is not a
solicitation of any transaction in securities which may be made only by
prospectus when required by law, in which event you may obtain such prospectus
from Bear Stearns.
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
WMC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1998-B
- ------------------------------------------------------------------------------------------------------------------------------------
THE INFORMATION SET FORTH HEREIN SUPERCEDES IN ITS ENTIRETY
ALL PREVIOUS COMPUTATIONAL MATERIALS INCLUDING MATERIALS DATED AUGUST 24, 1998
OFFERED CERTIFICATES (PRICED TO CALL)
- ------------------------------------------------------------------------------------------------------------------------------------
AVERAGE AVERAGE MODIFIED PRINCIPAL
LIFE TO LIFE TO DURATION WINDOW TO
EXPECTED RATINGS APPROXIMATE EXPECTED MATURITY CALL TO CALL MATURITY
CLASS CLASS DESCRIPTION S&P/MOODY'S SIZE COUPON (YEARS) (YEARS) (YEARS) (MONTHS)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-IO(1) Senior IO Strip AAAr/Aaa $80,000,000(2) n/a n/a n/a n/a n/a
- ------------------------------------------------------------------------------------------------------------------------------------
A-1 Senior Sequential AAA/Aaa $400,000,000 TBD(3) 1.03 1.03 0.96 26
- ------------------------------------------------------------------------------------------------------------------------------------
A-2 Senior Sequential AAA/Aaa $232,000,000 TBD(3) 5.25 4.71 3.91 187
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
M-1 Mezzanine AA/Aa2 $64,000,000 TBD(3) 5.95 5.37 4.40 146
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
M-2 Mezzanine A/A2 $56,000,000 TBD(3) 5.84 5.30 4.31 133
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
B Subordinate BBB/Baa3 $48,000,000 TBD(3) 5.67 5.27 4.20 114
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
OFFERED CERTIFICATES (PRICED TO CALL)
- --------------------------------------------------------
PRINCIPAL
WINDOW TO LEGAL TARGET
CALL FINAL SUBORDINATED
CLASS (MONTHS) MATURITY %
- --------------------------------------------------------
- --------------------------------------------------------
<S> <C> <C> <C>
A-IO(1) n/a 3/20/01 n/a
- --------------------------------------------------------
A-1 26 9/20/29 49.70%
- --------------------------------------------------------
A-2 70 9/20/29 49.70%
- --------------------------------------------------------
- --------------------------------------------------------
M-1 55 9/20/29 33.70%
- --------------------------------------------------------
- --------------------------------------------------------
M-2 57 9/20/29 19.70%
- --------------------------------------------------------
- --------------------------------------------------------
B 59 9/20/29 7.70%
- --------------------------------------------------------
</TABLE>
(1) Bear Stearns is Sole Manager of the Class A-IO Certificates.
(2) Amount set forth based upon a Notional Amount described herein.
(3) For modeling purposes assumed one-month LIBOR of 5.64453% and coupons based
on one-month LIBOR+0.06% for the Class A-1; one-month LIBOR+0.19% for the
Class A-2; one-month LIBOR+0.35% for the Class M-1; one-month LIBOR+0.58%
for the Class M-2; and one-month LIBOR+1.17% for the Class B. For
collateral modeling purposes, six-month LIBOR was assumed to be 5.71875%.
- --------------------------------------------------------------------------------
THE CERTIFICATES:
The Certificates are backed by six-month LIBOR-indexed, "2/28," "3/27" and
"5/25" conventional, adjustable-rate mortgage loans.
All Classes are priced to call.
Classes are payable monthly starting 10/20/98; the floating-rate Certificates
pay on an Actual/360 basis and the fixed-rate Class A-IO Certificates pay on a
30/360 basis.
Floating-rate Classes reset monthly to one month LIBOR plus their respective
margins subject to the available funds cap with no delay.
Optional call is 10% of the Assumed Pool Principal Balance. Step function is
subject to available funds cap. If the loans are not called, the Certificate
Margin of the Class A-1 and Class A-2 Certificates will increase by a multiple
of 2X and the Certificate Margin of the Subordinate Certificates will increase
by a multiple of 1.5X. Adjustable-rate mortgage loans pricing speeds: 25%
constant CPR.
The applicable Pass-through Rate with respect to the Class A-IO Certificates is
equal to 5.50% for the first 12 Distribution Dates, 4.00% for the 13th through
the 24th Distribution Dates, 2.50% for the 25th through the 30th Distribution
Dates, and 0.00% thereafter. The Class A-IO Certificates will be divided into
three components, which are not separately transferable as distinct securities.
STRUCTURE SUMMARY:
Credit enhancement is provided using excess cash, overcollateralization and
subordination. The initial Overcollateralization Amount is equal to 0.00% of the
sum of the Cut-off Date Pool Principal Balance and the Original Pre-funded
Amount. The Required Overcollateralization Amount is equal to 3.85% of the
Cut-off Date Pool Principal Balance and the Original Pre-funded Amount.
On each Distribution Date (a) before the Stepdown Date or (b) with respect to
which a Trigger Event is in effect, the Principal Distribution Amount will be
distributed sequentially to the Class A-1, the Class A-2, the Class M-1, the
Class M-2 and the Class B Certificates, in that order, until each Certificate
Principal Balance of each such class has been reduced to zero.
Following the occurrence of the Stepdown Date and so long as no Trigger Event is
in effect, the Class A-1 and the Class A-2 Certificates will sequentially
receive 100% of the Principal Distribution Amount until the Required
Overcollateralization Amount is reached. At the point when this event occurs,
the Class B Certificates will have 7.7% subordination, the Class M-2
Certificates will have 19.7% subordination, the Class M-1 Certificates will have
33.7% subordination and the Class A-1 and A-2 Certificates will have 49.7%
subordination. The Certificates will be paid in the proper proportions to keep
these subordination levels in line until the Overcollateralization Amount
reaches a floor equal to 0.50% of the sum of the Cut-off Date Pool Principal
Balance and the Original Pre-funded Amount. At and after that point, the
Overcollateralization Amount will remain constant at the floor.
The Class C Certificates and the Residual Certificates, which are not offered,
will get all excess cash, if any, on each Distribution Date after payment to the
Class A-IO, Class A-1, Class A-2, Class M-1, Class M-2 and Class B of all
amounts to which they are entitled.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
<PAGE>
- --------------------------------------------------------------------------------
WMC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1998-B
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
COMPUTATIONAL MATERIALS: PRELIMINARY TERM SHEET
-----------------------------------------------
<S> <C>
DEPOSITOR/COMPANY: WMC Secured Assets Corp. a wholly owned
subsidiary of WMC Mortgage Corp.
MASTER SERVICER
AND SELLER: WMC Mortgage Corp.
TRUSTEE: The First National Bank of Chicago, a
national banking association.
OFFERING: Public offering of $800,000,000 Class A-1,
Class A-2, Class M-1, Class M-2 and Class B
Certificates and the Class A-IO
Certificates, subject to a permitted
variance of 5%+/-.
LEAD MANAGER, BOOK
RUNNER AND SOLE MANAGER
OF THE CLASS A-IO CERTIFICATES: Bear, Stearns & Co. Inc.
CO-LEAD MANAGER: Credit Suisse First Boston
CO-MANAGERS: First Union Capital Markets
Lehman Brothers Inc.
NationsBanc Montgomery Securities
CERTIFICATES: The Trust will issue 9 or more classes of
Certificates namely, the Class A-IO, Class
A-1, Class A-2 Certificates (the "Senior
Certificates"), the Class M-1, Class M-2 and
Class B Certificates (the "Subordinate
Certificates", and together with the Senior
Certificates, the "Offered Certificates"),
the Class C Certificates (the "Class C
Certificates") and two or more classes of
residual certificates (the "Residual
Certificates"). The Class C Certificates and
the Residual Certificates are not being
offered hereby.
STATISTICAL
CALCULATION DATE: August 17, 1998
CUT-OFF DATE: The close of business on September 1, 1998
PRICING DATE: August __, 1998
CLOSING DATE: September [4], 1998
REGISTRATION: Book-entry form through DTC, Euroclear or CEDEL
DISTRIBUTION
DATE: The 20th of each month (or next succeeding
business day), beginning October 20, 1998
PAYMENT TERMS: Monthly
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 3
<PAGE>
- --------------------------------------------------------------------------------
WMC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1998-B
- --------------------------------------------------------------------------------
INTEREST
CALCULATION: The Offered Certificates are payable monthly
starting October 20, 1998. The Offered
Certificates other than the Class A-IO
Certificates (the "Floating-rate
Certificates") accrue interest monthly on an
actual/360 basis. The Pass-through Rate for
the Floating-rate Certificates will be equal
to the lesser of (i) One-Month LIBOR plus
their respective margins in the case of each
Distribution Date up to the Distribution
Date on which the aggregate principal
balance of the Mortgage Loans is reduced to
10% or less of the Assumed Pool Principal
Balance (as defined herein), or One-Month
LIBOR plus their respective higher margins,
in the case of any Distribution Date
thereafter or (ii) the Available Funds Cap
(as defined herein). The applicable Interest
Accrual Period with respect to each
Distribution Date and class of Floating-rate
Certificates is the Period from the
Distribution Date in the month preceding the
month of such Distribution Date (or, in the
case of the first Distribution Date, from
the Closing Date) through the day before
such Distribution Date.
On each Distribution Date, the holders of
the Class A-IO Certificates will be entitled
to receive, to the extent of amounts
available for distributions as described
herein, interest distributions in an amount
equal to the sum of (i) interest accrued for
the related Interest Accrual Period on the
Notional Amount (as defined herein) thereof
immediately prior to such Distribution Date
at the then-applicable Pass-through Rate
(based on a 30/360 basis). The applicable
Interest Accrual Period with respect to the
Class A-IO Certificates is the calendar
month preceding the related Distribution
Date. The applicable Pass-through Rate with
respect to the Class A-IO Certificates is
equal to 5.50% for the first 12 Distribution
Dates, 4.00% for the 13th through the 24th
Distribution Dates, 2.50% for the 25th
through the 30th Distribution Dates, and
0.00% thereafter. The "Notional Amount" for
the Class A-IO Certificates will be equal to
10% of the aggregate Certificate Principal
Balances of the Floating-rate Certificates
as of the Closing Date.
AVAILABLE FUNDS CAP: The Floating-rate Certificates will be
subject to an Available Funds Cap equal to
the weighted average of the rates on the
Mortgage Loans as of the second day of the
month preceding the month of such
Distribution Date less an amount equal to
the sum of the Servicing Fee Rate and the
applicable Pass-through Rate with respect to
the Class A-IO Certificates.
AVAILABLE FUNDS CARRYOVER: If on any Distribution Date, the
Pass-Through Rate for a Floating-rate
Certificate is based on the Available Funds
Cap, holders of such Certificates will be
entitled to receive the available funds cap
carryover amount on future Distribution
Dates, subject to available funds.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 4
<PAGE>
- --------------------------------------------------------------------------------
WMC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1998-B
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CHARACTERISTICS OF THE OFFERED CERTIFICATES:
- ---------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE PRINCIPAL PRINCIPAL
OFFERED APPROXIMATE TO CALL LOCKOUT TO CALL WINDOW TO CALL EXPECTED RATINGS
CERTIFICATES SIZE (YEARS) (MONTHS) (MONTHS) (S&P/MOODY'S)
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Class A-IO Certificates n/a(1) n/a n/a n/a AAAr/Aaa
- ---------------------------------------------------------------------------------------------------------------------
Class A-1 Certificates $400,000,000 1.03 0 26 AAA/Aaa
- ---------------------------------------------------------------------------------------------------------------------
Class A-2 Certificates $232,000,000 4.71 25 70 AAA/Aaa
- ---------------------------------------------------------------------------------------------------------------------
Class M-1 Certificates $64,000,000 5.37 40 55 AA/Aa2
- ---------------------------------------------------------------------------------------------------------------------
Class M-2 Certificates $56,000,000 5.30 38 57 A/A2
- ---------------------------------------------------------------------------------------------------------------------
Class B Certificates $48,000,000 5.27 36 59 BBB/Baa3
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Based on a Notional Amount of $80,000,000.
(2) See also information in page 2.
OPTIONAL CALL: 10% optional clean-up call at the option of
the Master Servicer (or in certain instances,
the holders of the Class C Certificates or
the holders of the Residual Certificates).
PRINCIPAL ALLOCATION: Principal distribution amounts will be
allocated to holders of Floating-rate
Certificates (holders of Class A-IO
Certificates will not be entitled to
distributions with respect to principal) on
each Distribution Date in the following
priority:
FOR PERIODS PRIOR TO THE STEPDOWN DATE (AS
DEFINED HEREIN) OR WHILE A TRIGGER EVENT (AS
DEFINED HEREIN) EXISTS:
1. To the Class A-1 Certificates,
100% of the principal
distribution amount until the
principal balance thereof is
equal to zero;
2. Thereafter, to the Class A-2
Certificates, 100% of the
principal distribution amount
until the principal balance
thereof is equal to zero;
3. The balance, if any, of the
principal distribution amount
shall be distributed to the
Class M-1, Class M-2 and Class
B Certificates, in that order,
in each case, until the
corresponding principal balance
has been reduced to zero; and
4. Any amount remaining shall be
included as part of the net
monthly excess cash flow to
cover shortfalls and other
amounts.
FOR PERIODS ON AND AFTER THE STEPDOWN DATE
AND WHILE NO TRIGGER EVENT EXISTS:
1. To the Class A-1 Certificates,
an amount required to reach and
maintain the credit enhancement
target for the Class A-1
Certificates;
2. To the Class A-2 Certificates,
an amount required to reach and
maintain the credit enhancement
target for the Class A-2
Certificates;
3. To the Class M-1 Certificates,
an amount required to reach and
maintain the credit enhancement
target for the Class M-1
Certificates;
4. To the Class M-2 Certificates,
an amount required to reach and
maintain the credit enhancement
target for the Class M-2
Certificates;
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 5
<PAGE>
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WMC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1998-B
- --------------------------------------------------------------------------------
5. To the Class B Certificates, an
amount required to reach and
maintain the credit enhancement
target for the Class B
Certificates; and
6. Any amount remaining shall be
included as part of the net
monthly excess cash flow to
cover shortfalls and other
amounts.
Notwithstanding the foregoing, on
any Distribution Date on which the
sum of (i) the principal balances of
the Subordinate Certificates and
(ii) the overcollateralization
amount is reduced to zero, any
amounts of principal payable to the
Class A-1 and Class A-2 Certificates
shall be distributed pro rata.
A "Trigger Event" is in effect if on any
Distribution Date the percentage obtained by
dividing (x) the aggregate Stated Principal
Balance (as defined herein) of the Mortgage
Loans that are 60 or more days delinquent in
payment of principal and interest as of the
last day of the preceding calendar month, by
(y) the Pool Principal Balance (as defined
herein) as of the last day of the preceding
calendar month, equals or exceeds 35% of the
Senior Enhancement Percentage. "Senior
Enhancement Percentage" for any Distribution
Date is the percentage obtained by dividing
(x) the sum of the aggregate Certificate
Principal Balance of the Subordinates (or if
the Certificate Principal Balance of the
Class A Certificate has been reduced to
zero, the aggregate Certificate Principal
Balance of each Class of Subordinate
Certificates other than the most senior
Class of Subordinate Certificates then
outstanding) and (ii) the
Overcollateralization Amount after taking
into account the distribution of the related
Principal Distribution Amount on such
Distribution Date by (y) the sum of (i) the
aggregate Loan Balance of the Mortgage Loans
as the last day of the related Due Period
and (ii) the Pre-funded Amount as to the
last day of the related Due Period.
The "Stated Principal Balance" of a Mortgage
Loan as of any date of determination is
equal to the unpaid principal balance
thereof at the close of business on the
Cut-off Date or subsequent Cut-off Date,
reduced by all amounts that are allocable to
principal that have been distributed to
Certificateholders with respect to such
Mortgage Loan and as further reduced to the
extent of any realized loss incurred with
respect to such Mortgage Loan or on before
the last day of the most recently ended due
period. With respect to any date, the "Pool
Principal Balance" will be equal to the
aggregate Stated Principal Balance of all
Mortgage Loans included in the Trust as of
such date.
PRICING PREPAYMENT
SPEED ASSUMPTION: Constant at 25.0% CPR.
MORTGAGE
LOANS: The "Initial Mortgage Loans," as of the
Statistical Calculation Date, with remaining
terms to maturity ranging from approximately
180 months to 360 months, consist of 5,863
Mortgage Loans with an approximate balance of
$600,413,234.52. 685 six-month LIBOR indexed,
5,051 "2/28" adjustable-rate, 125 "3/27"
adjustable-rate and 2 "5/25" adjustable-rate
conventional, fully amortizing, first lien,
closed end, one- to four-family residential
mortgage loans.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 6
<PAGE>
- --------------------------------------------------------------------------------
WMC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1998-B
- --------------------------------------------------------------------------------
Additional Mortgage Loans originated or
acquired prior to the Closing Date (the
"Additional Mortgage Loans") will also be
included in the assets of the Trust. It is
anticipated that the aggregate principal
balance of the Additional Mortgage Loans as
of the Cut-off Date will not exceed
$80,000,000. The "Initial Pool Principal
Balance" is defined as the sum of the
principal balances of the Initial Mortgage
Loans and the Additional Mortgage Loans as of
the Closing Date. The Initial Pool Principal
Balance is subject to a permitted variance of
5%+/-.
PRE-FUNDING FEATURE: An amount equal to the excess of the
Aggregate Certificate Principal Balance over
the Initial Pool Principal Balance plus the
overcollateralization amount (the "Original
Pre-funded Amount") will be deposited on the
Closing Date for the acquisition of Mortgage
Loans (the "Subsequent Mortgage Loans")
during a 90 day period following the Closing
Date. Any amount not so used will be
distributed to the holders of the Class A-1
Certificates. It is anticipated that the
Original Pre-funded Amount will be
approximately $120,000,000, which will be
deposited in a Pre-funding Account.
ASSUMED POOL PRINCIPAL
BALANCE: The sum of (i) the Initial Pool Principal
Balance and (ii) the amount deposited in the
Pre-funding Account. This amount represents
the approximate final pool of Mortgage Loans
for the transaction, after amounts in the
Pre-funding Account have been used to
purchase Subsequent Mortgage Loans as
described under the caption "Pre-funding
Feature" above.
STEPDOWN DATE: The "Stepdown Date" means the latter to occur
of:
1) The Distribution Date in October 2001
(i.e. on the 37th Distribution Date);
and
2) The first Distribution Date on which the
Senior Enhancement Percentage is greater
than or equal to the Senior Specified
Enhancement Percentage.
SUMMARY OF EXPECTED SUBORDINATION AND OVERCOLLATERALIZATION TARGET PERCENTAGES
PRIOR TO STEPDOWN DATE:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
EXPECTED
OFFERED EXPECTED INITIAL OVERCOLLATERALIZATION TARGET CREDIT
CERTIFICATES SUBORDINATION(A) AMOUNT ENHANCEMENT
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
Class A-IO Certificates n/a n/a n/a
- ---------------------------------------------------------------------------------------------------------------------
Class A-1 Certificates 21.00% 3.85% 24.85%
- ---------------------------------------------------------------------------------------------------------------------
Class A-2 Certificates 21.00% 3.85% 24.85%
- ---------------------------------------------------------------------------------------------------------------------
Class M-1 Certificates 13.00% 3.85% 16.85%
- ---------------------------------------------------------------------------------------------------------------------
Class M-2 Certificates 6.00% 3.85% 9.85%
- ---------------------------------------------------------------------------------------------------------------------
Class B Certificates 0.00% 3.85% 3.85%
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Represents the expected amount of subordination for each class as of the
Closing Date (as a percentage of the Offered Certificates). Excess cash
flow will be applied to payment of principal until the
overcollateralization target (expressed as a percentage of the Assumed
Principal Pool Balance) is reached.
<TABLE>
<CAPTION>
AFTER STEPDOWN DATE:
- ---------------------------------------------------------------------------------------------------------------------
OFFERED SUBORDINATION OVERCOLLATERALIZATION TARGET CREDIT
CERTIFICATES TARGET TARGET (A) ENHANCEMENT
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Class A-IO Certificates n/a n/a n/a
- ---------------------------------------------------------------------------------------------------------------------
Class A-1 Certificates 42.00% 7.70% 49.70%
- ---------------------------------------------------------------------------------------------------------------------
Class A-2 Certificates 42.00% 7.70% 49.70%
- ---------------------------------------------------------------------------------------------------------------------
Class M-1 Certificates 26.00% 7.70% 33.70%
- ---------------------------------------------------------------------------------------------------------------------
Class M-2 Certificates 12.00% 7.70% 19.70%
- ---------------------------------------------------------------------------------------------------------------------
Class B Certificates 0.00% 7.70% 7.70%
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
a) On or after the Stepdown Date, the targeted overcollateralization amount is
allowed to step down to the targeted percentage of the then current Pool
Principal Balance.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 7
<PAGE>
- --------------------------------------------------------------------------------
WMC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1998-B
- --------------------------------------------------------------------------------
Servicing Fee/
Trustee Fee: The Trust is subject to certain fees,
including a Servicing Fee of approximately
0.51% per annum payable monthly at
one-twelfth of the annual rate. The Trustee
Fee will be paid separately by the Master
Servicer and will not be deducted from cash
flows allocable to the Trust.
Denominations: $25,000 minimum and integral multiples of $1
in excess thereof, except for the Class A-IO
Certificates, which will be issued in
minimum denominations of a 20% percentage
interest and integral multiples of 0.01% in
excess thereof. The Class A-IO Certificates
will be divided into three components (each,
a "Component"). The Class A-IO Components
are not separately transferable as distinct
securities.
Tax Status: For federal income tax purposes, two or more
real estate mortgage investment conduit
(each, a "REMIC") elections will be made and
each REMIC will qualify as a REMIC under the
Internal Revenue Code.
ERISA Eligibility: The Class A-1, Class A-2 and Class A-IO
Certificates only will be ERISA eligible.
Prospective pension plan investors should
consult their own counsel with respect to an
investment in the Offered Certificates. The
Class M-1, Class M-2 and Class B
Certificates will not be ERISA eligible.
SMMEA Treatment: At such time as the Pre-funding Account has
been reduced to zero, the Senior
Certificates and the Class M-1 Certificates
will constitute "mortgage related
securities" for purposes of SMMEA. The Class
M-2 and Class B Certificates will not
constitute "mortgage related securities" for
purposes of SMMEA.
Prospectus: The Offered Certificates are being offered
pursuant to a prospectus which includes a
prospectus supplement (together, the
"Prospectus"). Complete information with
respect to the Offered Certificates and the
Mortgage Loans is contained in the
Prospectus. The material presented herein is
qualified in its entirety by the information
appearing in the Prospectus. To the extent
that the foregoing is inconsistent with the
Prospectus, the Prospectus shall govern in
all respects. Sales of the Offered
Certificates may not be consummated unless
the purchaser has received the Prospectus.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 8
<PAGE>
- --------------------------------------------------------------------------------
WMC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1998-B
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE
DESCRIPTION OF THE COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
ALL OF THE STATISTICAL INFORMATION CONTAINED IN THIS COMPUTATIONAL
MATERIALS IS AS OF THE CLOSE OF BUSINESS ON THE STATISTICAL CALCULATION DATE.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
TOTAL MINIMUM MAXIMUM
----- ------- -------
<S> <C> <C> <C>
Statistical Calculation Date Aggregate Principal $600,413,234.52 $14,300.00 $679,000.00
Balance
Number of Loans
5,863
Average Statistical Calculation Loan $102,407.17 $14,300.00 $679,000.00
Balance
Weighted Average LTV 78.36% 12.80% 90.00%
Weighted Average Remaining Term to Maturity (months) 359.34 180.00 360.00
Weighted Average Gross Coupon 10.14% 6.75% 15.75%
Weighted Average Original Term (months) 359.94 180.00 360.00
Weighted Average Gross Margin 6.74% 4.25% 15.88%
Weighted Average Gross Lifetime Cap 16.64% 6.50% 22.25%
Weighted Average Gross Lifetime Floor 10.14% 6.75% 15.75%
Weighted Average Initial Periodic Cap 2.02% 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 1.80%
A- 51.64%
B 31.64%
C 10.35%
D 4.56%
Product Type 2/28 6-month LIBOR 83.12%
3/27 6-month LIBOR 3.00%
5/25 6-month LIBOR 0.05%
6-month LIBOR, no neg. 13.83%
amortization
Property Type 3-4 family 1.02%
Duplex 5.52%
Low rise condo 2.59%
PUD 9.71%
Single family 81.16%
detached
Occupancy Type Investor 4.83%
Owner occupied 94.23%
Second home 0.94%
</TABLE>
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 9
<PAGE>
- --------------------------------------------------------------------------------
WMC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1998-B
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
- --------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE
DESCRIPTION OF THE COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
ALL OF THE STATISTICAL INFORMATION CONTAINED IN THIS COMPUTATIONAL
MATERIALS IS AS OF THE CLOSE OF BUSINESS ON THE STATISTICAL CALCULATION 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> <C>
$ 10,000.01 $ 20,000.00 35 $ 650,706.14 0.11%
20,000.01 30,000.00 287 7,446,178.00 1.24%
30,000.01 40,000.00 513 18,317,187.32 3.05%
40,000.01 50,000.00 576 26,057,056.51 4.34%
50,000.01 60,000.00 611 33,767,820.68 5.62%
60,000.01 70,000.00 469 30,581,942.43 5.09%
70,000.01 80,000.00 473 35,455,805.15 5.91%
80,000.01 90,000.00 391 33,259,354.72 5.54%
90,000.01 100,000.00 341 32,591,996.52 5.43%
100,000.01 110,000.00 337 35,484,341.87 5.91%
110,000.01 120,000.00 267 30,722,398.36 5.12%
120,000.01 130,000.00 204 25,532,010.58 4.25%
130,000.01 140,000.00 201 27,144,244.55 4.52%
140,000.01 150,000.00 142 20,569,441.99 3.43%
150,000.01 160,000.00 118 18,311,271.72 3.05%
160,000.01 170,000.00 117 19,350,737.57 3.22%
170,000.01 180,000.00 79 13,846,589.15 2.31%
180,000.01 190,000.00 55 10,206,747.13 1.70%
190,000.01 200,000.00 94 18,394,600.23 3.06%
200,000.01 250,000.00 236 52,857,973.73 8.80%
250,000.01 300,000.00 121 33,214,596.98 5.53%
300,000.01 350,000.00 67 21,805,669.93 3.63%
350,000.01 400,000.00 56 20,880,884.90 3.48%
400,000.01 450,000.00 34 14,481,804.10 2.41%
$450,000.01 $ 700,000.00 39 19,481,874.26 3.24%
----- --------------- ------
TOTAL 5,863 $600,413,234.52 100.00%
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 10
<PAGE>
- --------------------------------------------------------------------------------
WMC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1998-B
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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
---- -- -------- ----------------- -----------------
<S> <C> <C> <C> <C> <C>
10.01% 15.00% 2 $ 54,954.19 0.01%
15.01% 20.00% 4 159,921.03 0.03%
20.01% 25.00% 7 282,433.82 0.05%
25.01% 30.00% 5 177,918.08 0.03%
30.01% 35.00% 10 462,263.29 0.08%
35.01% 40.00% 18 1,114,001.87 0.19%
40.01% 45.00% 33 2,256,827.96 0.38%
45.01% 50.00% 48 3,168,542.43 0.53%
50.01% 55.00% 58 4,904,909.46 0.82%
55.01% 60.00% 193 12,813,332.60 2.13%
60.01% 65.00% 577 45,216,607.79 7.53%
65.01% 70.00% 539 48,519,231.52 8.08%
70.01% 75.00% 1,041 96,607,637.08 16.09%
75.01% 80.00% 1,694 184,062,825.15 30.66%
80.01% 85.00% 902 99,903,456.18 16.64%
85.01% 90.00% 732 100,708,372.07 16.77%
----------- -------------- ------
TOTAL 5,863 $ 600,413,234.52 100.00%
</TABLE>
<TABLE>
<CAPTION>
PROPERTY TYPE AGGREGATE STATISTICAL PERCENT OF TOTAL BY
- ------------- CALCULATION STATISTICAL CALCULATION
NUMBER DATE SCHEDULED DATE SCHEDULED
PROPERTY DESCRIPTION OF LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------------- -------- ------------------ -----------------
<S> <C> <C> <C>
3-4 family 47 $ 6,134,191.09 1.02%
Duplex 325 33,148,475.05 5.52%
Low rise condo 173 15,536,969.29 2.59%
PUD 389 58,304,241.18 9.71%
Single family detached 4,929 487,289,357.91 81.16%
--------- --------------- ------
Total 5,863 $ 600,413,234.52 100.00%
</TABLE>
<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 5,051 $ 499,047,146.14 83.12%
3/27 6-month LIBOR 125 17,986,089.28 3.00%
5/25 6-month LIBOR 2 314,940.89 0.05%
6-month LIBOR no neg. amortization 685 83,065,058.21 13.83%
----- ---------------- -------
TOTAL 5,863 $ 600,413,234.52 100.00%
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 11
<PAGE>
- --------------------------------------------------------------------------------
WMC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1998-B
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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
---- -- -------- ----------------- -----------------
<S> <C> <C> <C> <C>
121 180 3 $ 189,480.00 0.03%
344 354 48 4,334,207.96 0.72%
355 357 155 13,207,789.85 2.20%
358 360 5,657 582,681,756.71 97.05%
----- -------------- ------
Total 5,863 $ 600,413,234.52 100.00%
</TABLE>
<TABLE>
<CAPTION>
Occupancy
- ---------
Calculation Statistical Calculation
Number Date Scheduled Date Scheduled
of Loans Principal Balance Principal Balance
-------- ----------------- -----------------
<S> <C> <C> <C>
Investor 392 $ 29,029,526.20 4.83%
Owner 5,426 565,759,398.38 94.23%
Second home 45 5,624,309.94 0.94%
----- -------------- -------
Total 5,863 $ 600,413,234.52 100.00%
</TABLE>
<TABLE>
<CAPTION>
Documentation
- -------------
Aggregate Statistical Percent of Total by
Calculation Statistical Calculation
Number Date Scheduled Date Scheduled
Doc. Type of Loans Principal Balance Principal Balance
--------- -------- ----------------- -----------------
<S> <C> <C> <C>
Full 3,973 $ 411,754,646.91 68.58%
Full-alternate 64 10,418,883.94 1.74%
Lite 164 21,310,475.99 3.55%
No documentation 16 2,434,589.17 0.41%
Simple 65 571 35,557,184.66 5.92%
Stated 1,075 118,937,453.85 19.81%
----- -------------- -------
Total 5,863 $ 600,413,234.52 100.00%
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 12
<PAGE>
- --------------------------------------------------------------------------------
WMC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1998-B
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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
- ----- -------- ----------------- -----------------
<S> <C> <C> <C>
Alabama 81 $ 4,807,007.38 0.80%
Alaska 51 6,075,351.94 1.01%
Arizona 267 29,652,268.13 4.94%
Arkansas 51 3,359,566.36 0.56%
California 817 149,932,509.78 24.97%
Colorado 186 20,949,655.04 3.49%
Connecticut 69 6,574,663.18 1.10%
Delaware 7 644,388.89 0.11%
District of 13 1,315,438.35 0.22%
Columbia
Florida 280 23,742,987.48 3.95%
Georgia 113 11,739,066.42 1.96%
Hawaii 19 3,974,926.19 0.66%
Idaho 74 6,682,107.77 1.11%
Illinois 280 24,089,400.77 4.01%
Indiana 109 5,780,209.40 0.96%
Iowa 50 3,012,336.80 0.50%
Kansas 57 3,837,259.97 0.64%
Kentucky 20 915,380.28 0.15%
Louisiana 81 6,138,575.13 1.02%
Maine 56 4,311,073.57 0.72%
Maryland 85 9,597,356.81 1.60%
Massachusetts 72 7,153,903.56 1.19%
Michigan 140 8,584,170.85 1.43%
Minnesota 135 11,059,771.27 1.84%
Mississippi 115 6,866,506.15 1.14%
Missouri 295 16,753,879.38 2.79%
Montana 32 2,128,502.67 0.35%
Nebraska 57 3,515,299.74 0.59%
Nevada 111 12,608,358.25 2.10%
New Hampshire 17 1,473,150.99 0.25%
New Jersey 184 24,175,338.34 4.03%
New Mexico 74 8,047,221.29 1.34%
New York 147 16,912,712.88 2.82%
North Carolina 109 9,968,518.81 1.66%
North Dakota 4 157,918.50 0.03%
Ohio 125 7,642,854.24 1.27%
Oklahoma 51 3,550,545.79 0.59%
Oregon 141 15,062,565.88 2.51%
Pennsylvania 180 12,072,541.72 2.01%
Rhode Island 7 469,025.75 0.08%
South Carolina 48 4,261,211.37 0.71%
South Dakota 15 1,464,330.41 0.24%
Tennessee 91 7,505,884.45 1.25%
Texas 362 30,390,860.89 5.06%
Utah 98 10,925,075.89 1.82%
Vermont 20 1,552,847.36 0.26%
Virginia 68 6,285,064.46 1.05%
Washington 279 33,803,897.18 5.63%
West Virginia 24 1,866,521.17 0.31%
Wisconsin 90 6,447,546.04 1.07%
Wyoming 6 575,679.60 0.10%
----- -------------- -------
Total 5,863 $ 600,413,234.52 100.00%
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 13
<PAGE>
- --------------------------------------------------------------------------------
WMC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1998-B
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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
---- -- -------- ----------------- -----------------
<S> <C> <C> <C> <C>
6.501% 6.750% 2 $ 395,459.22 0.07%
6.751% 7.000% 5 619,948.71 0.10%
7.001% 7.250% 5 1,624,120.93 0.27%
7.251% 7.500% 10 1,379,791.29 0.23%
7.501% 7.750% 17 3,636,777.77 0.61%
7.751% 8.000% 56 9,244,023.85 1.54%
8.001% 8.250% 52 7,507,106.96 1.25%
8.251% 8.500% 117 17,418,142.07 2.90%
8.501% 8.750% 137 19,457,989.07 3.24%
8.751% 9.000% 253 36,861,934.87 6.14%
9.001% 9.250% 241 31,905,751.47 5.31%
9.251% 9.500% 304 39,752,290.09 6.62%
9.501% 9.750% 488 57,292,806.64 9.54%
9.751% 10.000% 589 74,046,476.52 12.33%
10.001% 10.250% 364 36,838,702.41 6.14%
10.251% 10.500% 520 52,161,973.86 8.69%
10.501% 10.750% 923 69,745,341.35 11.62%
10.751% 11.000% 600 54,369,956.66 9.06%
11.001% 11.250% 317 25,460,669.83 4.24%
11.251% 11.500% 312 21,245,613.16 3.54%
11.501% 11.750% 211 15,079,075.85 2.51%
11.751% 12.000% 140 10,381,496.66 1.73%
12.001% 12.250% 84 6,108,193.95 1.02%
12.251% 12.500% 55 3,875,731.21 0.65%
12.501% 12.750% 21 1,311,233.52 0.22%
12.751% 13.000% 9 995,562.49 0.17%
13.001% 13.250% 23 1,313,015.83 0.22%
13.251% 13.500% 3 132,464.21 0.02%
13.501% 13.750% 1 39,184.07 0.01%
13.751% 14.000% 1 45,750.00 0.01%
14.251% 14.500% 2 127,050.00 0.02%
15.501% 15.750% 1 39,600.00 0.01%
----- -------------- -------
5,863 $600,413,234.52 100.00%
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 14
<PAGE>
- --------------------------------------------------------------------------------
WMC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1998-B
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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
---- -- -------- ----------------- -----------------
<S> <C> <C> <C> <C>
0.000% 5.000% 12 $ 1,458,445.08 0.24%
5.001% 5.250% 2 238,390.00 0.04%
5.251% 5.500% 26 3,847,436.44 0.64%
5.501% 5.750% 33 4,835,093.48 0.81%
5.751% 6.000% 149 17,242,536.97 2.87%
6.001% 6.250% 818 100,235,847.45 16.69%
6.251% 6.500% 852 90,565,446.19 15.08%
6.501% 6.750% 1,447 117,322,102.46 19.54%
6.751% 7.000% 1,464 147,349,671.27 24.54%
7.001% 7.250% 763 93,004,837.64 15.49%
7.251% 7.500% 214 17,189,416.48 2.86%
7.501% 7.750% 54 4,436,952.41 0.74%
7.751% 8.000% 18 1,655,063.71 0.28%
8.001% 8.250% 4 446,837.95 0.07%
8.501% 8.750% 2 202,154.98 0.03%
8.751% 9.000% 3 293,778.00 0.05%
10.001% 10.250% 1 30,574.01 0.01%
15.751% 16.000% 1 58,650.00 0.01%
----- -------------- ------
5,863 $600,413,234.52 100.00%
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 15
<PAGE>
- --------------------------------------------------------------------------------
WMC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1998-B
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION OF THE COLLATERAL
Month of Next Adjustment Date Aggregate Statistical Percent of Total by
Calculation Statistical Calculation
Number Date Scheduled Date Scheduled
Month-Year of Loans Principal Balance Principal Balance
---------- -------- ----------------- -----------------
<S> <C> <C> <C>
October-98 1 $ 122,805.79 0.02%
November-98 1 73,474.92 0.01%
December-98 8 682,503.94 0.11%
January-99 50 6,130,145.53 1.02%
February-99 292 35,641,547.19 5.94%
March-99 262 31,956,651.84 5.32%
April-99 72 8,503,127.41 1.42%
June-99 1 69,225.09 0.01%
October-99 5 249,592.04 0.04%
November-99 2 530,777.03 0.09%
December-99 1 195,074.44 0.03%
January-00 5 317,403.65 0.05%
February-00 26 2,268,403.10 0.38%
March-00 7 457,938.35 0.08%
April-00 34 3,742,988.01 0.62%
May-00 69 5,596,296.83 0.93%
June-00 41 2,698,550.10 0.45%
July-00 263 29,224,025.17 4.87%
August-00 2,025 200,938,217.66 33.47%
September-00 2,097 211,447,932.26 35.22%
October-00 474 41,265,524.00 6.87%
May-01 2 196,236.77 0.03%
June-01 4 762,962.48 0.13%
July-01 10 1,242,859.60 0.21%
August-01 52 7,852,857.90 1.31%
September-01 50 7,207,907.53 1.20%
October-01 7 723,265.00 0.12%
February-03 2 314,940.89 0.05%
----- -------------- ------
Total 5,863 $600,413,234.52 100.00%
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 16
<PAGE>
- --------------------------------------------------------------------------------
WMC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1998-B
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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
---- -- -------- ----------------- -----------------
<S> <C> <C> <C> <C>
6.001% 7.000% 3 $ 243,030.00 0.04%
10.001% 11.000% 2 203,538.41 0.03%
12.001% 13.000% 1 95,950.23 0.02%
13.001% 14.000% 22 3,996,634.23 0.67%
14.001% 15.000% 240 37,742,766.39 6.29%
15.001% 16.000% 927 127,397,410.83 21.22%
16.001% 17.000% 1,967 220,133,735.76 36.66%
17.001% 18.000% 2,149 171,051,914.55 28.49%
18.001% 19.000% 490 35,453,440.92 5.90%
19.001% 20.000% 56 3,812,655.12 0.64%
20.001% 21.000% 5 242,558.08 0.04%
22.001% 23.000% 1 39,600.00 0.01%
------ -------------- ------
Total 5,863 $600,413,234.52 100.00%
</TABLE>
<TABLE>
<CAPTION>
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
---- -- -------- ----------------- -----------------
<S> <C> <C> <C> <C>
6.001% 7.000% 7 $ 1,015,407.93 0.17%
7.001% 8.000% 88 15,884,713.84 2.65%
8.001% 9.000% 559 81,245,172.97 13.53%
9.001% 10.000% 1,622 202,997,324.72 33.81%
10.001% 11.000% 2,407 213,115,974.28 35.49%
11.001% 12.000% 980 72,166,855.50 12.02%
12.001% 13.000% 169 12,290,721.17 2.05%
13.001% 14.000% 28 1,530,414.11 0.25%
14.001% 15.000% 2 127,050.00 0.02%
15.001% 16.000% 1 39,600.00 0.01%
----- -------------- ------
Total 5,863 $600,413,234.52 100.00%
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 17
<PAGE>
- --------------------------------------------------------------------------------
WMC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1998-B
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
THE INFORMATION SET FORTH HEREIN SUPERCEDES IN ITS ENTIRETY ALL PREVIOUS COMPUTATIONAL
MATERIALS INCLUDING MATERIALS DATED AUGUST 24, 1998
---------------------------------------------------
BOND SUMMARY (TO MATURITY)
--------------------------
A-1 (To Maturity)
CPR % 0.00% 10.00% 20.00% 25.00% 30.00% 40.00% 50.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 15.83 2.47 1.27 1.03 0.86 0.65 0.52
Modified Duration (yrs.) 9.44 2.18 1.18 0.96 0.82 0.62 0.49
First Principal Payment Date 10/20/98 10/20/98 10/20/98 10/20/98 10/20/98 10/20/98 10/20/98
Last Principal Payment Date 8/20/22 5/20/04 6/20/01 11/20/00 6/20/00 12/20/99 09/20/99
Principal Windows (mos.) 287 68 33 26 21 15 12
Yield @ 100.0000 5.86 5.85 5.85 5.85 5.84 5.84 5.83
A-2 (To Maturity)
CPR % 0.00% 10.00% 20.00% 25.00% 30.00% 40.00% 50.00%
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 27.19 12.83 6.79 5.25 3.98 1.96 1.51
Modified Duration (yrs.) 13.16 8.28 5.17 4.19 3.30 1.80 1.40
First Principal Payment Date 8/20/22 5/20/04 6/20/01 11/20/00 6/20/00 12/20/99 9/20/99
Last Principal Payment Date 9/20/28 10/20/27 7/20/20 5/20/16 3/20/13 6/20/01 10/20/00
Principal Windows (mos.) 74 282 230 187 154 19 14
Yield @ 100.0000 5.99 6.00 6.00 6.00 6.01 5.99 5.99
M-1 (To Maturity)
CPR % 0.00% 10.00% 20.00% 25.00% 30.00% 40.00% 50.00%
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 27.63 13.86 7.34 5.95 5.42 5.23 2.37
Modified Duration (yrs.) 13.02 8.70 5.51 4.70 4.42 4.25 2.15
First Principal Payment Date 4/20/23 1/20/05 10/20/01 2/20/02 7/20/02 6/20/01 10/20/00
Last Principal Payment Date 8/20/28 12/20/26 1/20/18 3/20/14 5/20/11 12/20/08 4/20/01
Principal Windows (mos.) 65 264 196 146 107 91 7
Yield @ 100.0000 6.16 6.16 6.17 6.17 6.17 6.20 6.16
M-2 (To Maturity)
CPR % 0.00% 10.00% 20.00% 25.00% 30.00% 40.00% 50.00%
- -----------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 27.63 13.82 7.29 5.84 5.05 4.79 4.00
Modified Duration (yrs.) 12.71 8.56 5.44 4.59 4.12 4.00 3.38
First Principal Payment Date 4/20/23 1/20/05 10/20/01 12/20/01 2/20/02 7/20/02 4/20/01
Last Principal Payment Date 8/20/28 3/20/26 8/20/16 12/20/12 4/20/10 11/20/06 5/20/06
Principal Windows (mos.) 65 255 179 133 99 53 62
Yield @ 100.0000 6.40 6.40 6.41 6.42 6.42 6.42 6.46
B (To Maturity)
CPR % 0.00% 10.00% 20.00% 25.00% 30.00% 40.00% 50.00%
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 27.62 13.67 7.12 5.67 4.82 4.06 4.18
Modified Duration (yrs.) 11.95 8.20 5.25 4.41 3.89 3.41 3.51
First Principal Payment Date 4/20/23 1/20/05 10/20/01 10/20/01 11/20/01 12/20/01 3/20/02
Last Principal Payment Date 7/20/28 10/20/24 6/20/14 3/20/11 11/20/08 11/20/05 1/20/04
Principal Windows (mos.) 64 238 153 114 85 48 23
Yield @ 100.0000 7.01 7.02 7.04 7.04 7.04 7.04 7.11
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 18
<PAGE>
<TABLE>
<CAPTION>
THE INFORMATION SET FORTH HEREIN SUPERCEDES IN ITS ENTIRETY ALL PREVIOUS COMPUTATIONAL
MATERIALS INCLUDING MATERIALS DATED AUGUST 24, 1998
---------------------------------------------------
BOND SUMMARY (TO CALL)
----------------------
A-1 (To Call)
CPR % 0.00% 10.00% 20.00% 25.00% 30.00% 40.00% 50.00%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 15.83 2.47 1.27 1.03 0.86 0.65 0.52
Modified Duration (yrs.) 9.44 2.18 1.18 0.96 0.82 0.62 0.49
First Principal Payment Date 10/20/98 10/20/98 10/20/98 10/20/98 10/20/98 10/20/98 10/20/98
Last Principal Payment Date 8/20/22 5/20/04 6/20/01 11/20/00 6/20/00 12/20/99 09/20/99
Principal Windows (mos.) 287 68 33 26 21 15 12
Yield @ 100.0000 5.86 5.85 5.85 5.85 5.84 5.84 5.83
A-2 (To Call)
CPR % 0.00% 10.00% 20.00% 25.00% 30.00% 40.00% 50.00%
- -----------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 27.12 12.07 6.13 4.71 3.54 1.96 1.51
Modified Duration (yrs.) 13.14 8.08 4.88 3.91 3.04 1.80 1.40
First Principal Payment Date 8/20/22 5/20/04 6/20/01 11/20/00 6/20/00 12/20/99 9/20/99
Last Principal Payment Date 11/20/27 12/20/17 10/20/08 8/20/06 2/20/05 6/20/01 10/20/00
Principal Windows (mos.) 64 164 89 70 57 19 14
Yield @ 100.0000 5.99 5.99 5.99 5.99 5.99 5.99 5.99
M-1 (To Call)
CPR % 0.00% 10.00% 20.00% 25.00% 30.00% 40.00% 50.00%
- -----------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 27.55 12.99 6.62 5.37 4.95 3.84 2.37
Modified Duration (yrs.) 13.01 8.48 5.18 4.40 4.14 3.32 2.15
First Principal Payment Date 4/20/23 1/20/05 10/20/01 2/20/02 7/20/02 6/20/01 10/20/00
Last Principal Payment Date 11/20/27 12/20/17 10/20/08 8/20/06 2/20/05 3/20/03 4/20/01
Principal Windows (mos.) 56 156 85 55 32 22 7
Yield @ 100.0000 6.16 6.16 6.16 6.16 6.16 6.15 6.16
M-2 (To Call)
CPR % 0.00% 10.00% 20.00% 25.00% 30.00% 40.00% 50.00%
- -----------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 27.55 12.99 6.62 5.30 4.61 4.37 3.04
Modified Duration (yrs.) 12.69 8.35 5.14 4.31 3.86 3.71 2.69
First Principal Payment Date 4/20/23 1/20/05 10/20/01 12/20/01 2/20/02 7/20/02 4/20/01
Last Principal Payment Date 11/20/27 12/20/17 10/20/08 8/20/06 2/20/05 3/20/03 1/20/02
Principal Windows (mos.) 56 156 85 57 37 9 10
Yield @ 100.0000 6.40 6.40 6.40 6.40 6.40 6.39 6.40
B (To Call)
CPR % 0.00% 10.00% 20.00% 25.00% 30.00% 40.00% 50.00%
- -----------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 27.55 12.99 6.62 5.27 4.48 3.82 3.38
Modified Duration (yrs.) 11.94 8.04 5.02 4.20 3.70 3.25 2.92
First Principal Payment Date 4/20/23 1/20/05 10/20/01 10/20/01 11/20/01 12/20/01 1/20/02
Last Principal Payment Date 11/20/27 12/20/17 10/20/08 8/20/06 2/20/05 3/20/03 1/20/02
Principal Windows (mos.) 56 156 85 59 40 16 1
Yield @ 100.0000 7.01 7.01 7.01 7.01 7.01 7.01 7.01
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 19
<PAGE>
- --------------------------------------------------------------------------------
WMC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1998-B
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AVAILABLE FUNDS CAP ("AFC")*
Period Pay Date AFC Period Pay Date AFC Period Pay Date AFC
------ -------- --- ------ -------- --- ------ -------- ---
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 10/20/98 9.07 41 02/20/02 11.95 81 06/20/05 11.95
2 11/20/98 9.08 42 03/20/02 11.95 82 07/20/05 11.95
3 12/20/98 9.06 43 04/20/02 11.95 83 08/20/05 11.95
4 01/20/99 9.05 44 05/20/02 11.95 84 09/20/05 11.95
5 02/20/99 9.03 45 06/20/02 11.95 85 10/20/05 11.95
6 03/20/99 9.13 46 07/20/02 11.95 86 11/20/05 11.95
7 04/20/99 9.13 47 08/20/02 11.95 87 12/20/05 11.95
8 05/20/99 9.13 48 09/20/02 11.95 88 01/20/06 11.95
9 06/20/99 9.11 49 10/20/02 11.95 89 02/20/06 11.95
10 07/20/99 9.10 50 11/20/02 11.95 90 03/20/06 11.95
11 08/20/99 9.08 51 12/20/02 11.95 91 04/20/06 11.95
12 09/20/99 9.18 52 01/20/03 11.95 92 05/20/06 11.95
13 10/20/99 9.37 53 02/20/03 11.95 93 06/20/06 11.95
14 11/20/99 9.37 54 03/20/03 11.95 94 07/20/06 11.95
15 12/20/99 9.36 55 04/20/03 11.95 95 08/20/06 11.95
16 01/20/00 9.35 56 05/20/03 11.95 96 09/20/06 11.95
17 02/20/00 9.33 57 06/20/03 11.95 97 10/20/06 11.95
18 03/20/00 9.42 58 07/20/03 11.95 98 11/20/06 11.95
19 04/20/00 9.42 59 08/20/03 11.95 99 12/20/06 11.95
20 05/20/00 9.42 60 09/20/03 11.95 100 01/20/07 11.95
21 06/20/00 9.44 61 10/20/03 11.95 101 02/20/07 11.95
22 07/20/00 9.42 62 11/20/03 11.95 102 03/20/07 11.95
23 08/20/00 9.50 63 12/20/03 11.95 103 04/20/07 11.95
24 09/20/00 10.08 64 01/20/04 11.95 104 05/20/07 11.95
25 10/20/00 11.11 65 02/20/04 11.95 105 06/20/07 11.95
26 11/20/00 11.24 66 03/20/04 11.95 106 07/20/07 11.95
27 12/20/00 11.23 67 04/20/04 11.95 107 08/20/07 11.95
28 01/20/01 11.22 68 05/20/04 11.95 108 09/20/07 11.95
29 02/20/01 11.21 69 06/20/04 11.95 109 10/20/07 11.95
30 03/20/01 11.20 70 07/20/04 11.95 110 11/20/07 11.95
31 04/20/01 11.84 71 08/20/04 11.95 111 12/20/07 11.95
32 05/20/01 11.87 72 09/20/04 11.95 112 01/20/08 11.95
33 06/20/01 11.87 73 10/20/04 11.95 113 02/20/08 11.95
34 07/20/01 11.87 74 11/20/04 11.95 114 03/20/08 11.95
35 08/20/01 11.87 75 12/20/04 11.95 115 04/20/08 11.95
36 09/20/01 11.91 76 01/20/05 11.95 116 05/20/08 11.95
37 10/20/01 11.91 77 02/20/05 11.95 117 06/20/08 11.95
38 11/20/01 11.95 78 03/20/05 11.95 118 07/20/08 11.95
39 12/20/01 11.95 79 04/20/05 11.95 119 08/20/08 11.95
40 01/20/02 11.95 80 05/20/05 11.95 120 09/20/08 11.95
Note: The Available Funds Cap is the Adjustable Rate Group loan net WAC (net of Servicing Fee and the Class
A-IO Strip). Achieved assuming 6-month LIBOR stays constant at 5.71875%; run at the pricing speed.
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 20
<PAGE>
- --------------------------------------------------------------------------------
WMC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1998-B
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AVAILABLE FUNDS CAP ("AFC")*
Period Pay Date AFC Period Pay Date AFC Period Pay Date AFC
------ -------- --- ------ -------- --- ------ -------- ---
<S> <C> <C> <C> <C> <C> <C> <C> <C>
121 10/20/08 11.95 161 02/20/12 11.95 201 06/20/15 11.95
122 11/20/08 11.95 162 03/20/12 11.95 202 07/20/15 11.95
123 12/20/08 11.95 163 04/20/12 11.95 203 08/20/15 11.95
124 01/20/09 11.95 164 05/20/12 11.95 204 09/20/15 11.95
125 02/20/09 11.95 165 06/20/12 11.95 205 10/20/15 11.95
126 03/20/09 11.95 166 07/20/12 11.95 206 11/20/15 11.95
127 04/20/09 11.95 167 08/20/12 11.95 207 12/20/15 11.95
128 05/20/09 11.95 168 09/20/12 11.95 208 01/20/16 11.95
129 06/20/09 11.95 169 10/20/12 11.95 209 02/20/16 11.95
130 07/20/09 11.95 170 11/20/12 11.95 210 03/20/16 11.95
131 08/20/09 11.95 171 12/20/12 11.95 211 04/20/16 11.95
132 09/20/09 11.95 172 01/20/13 11.95 212 05/20/16 11.95
133 10/20/09 11.95 173 02/20/13 11.95 213 06/20/16 11.95
134 11/20/09 11.95 174 03/20/13 11.95 214 07/20/16 11.95
135 12/20/09 11.95 175 04/20/13 11.95 215 08/20/16 11.95
136 01/20/10 11.95 176 05/20/13 11.95 216 09/20/16 11.95
137 02/20/10 11.95 177 06/20/13 11.95 217 10/20/16 11.95
138 03/20/10 11.95 178 07/20/13 11.95 218 11/20/16 11.95
139 04/20/10 11.95 179 08/20/13 11.95 219 12/20/16 11.95
140 05/20/10 11.95 180 09/20/13 11.95 220 01/20/17 11.95
141 06/20/10 11.95 181 10/20/13 11.95 221 02/20/17 11.95
142 07/20/10 11.95 182 11/20/13 11.95 222 03/20/17 11.95
143 08/20/10 11.95 183 12/20/13 11.95 223 04/20/17 11.95
144 09/20/10 11.95 184 01/20/14 11.95 224 05/20/17 11.95
145 10/20/10 11.95 185 02/20/14 11.95 225 06/20/17 11.95
146 11/20/10 11.95 186 03/20/14 11.95 226 07/20/17 11.95
147 12/20/10 11.95 187 04/20/14 11.95 227 08/20/17 11.95
148 01/20/11 11.95 188 05/20/14 11.95 228 09/20/17 11.95
149 02/20/11 11.95 189 06/20/14 11.95 229 10/20/17 11.95
150 03/20/11 11.95 190 07/20/14 11.95 230 11/20/17 11.95
151 04/20/11 11.95 191 08/20/14 11.95 231 12/20/17 11.95
152 05/20/11 11.95 192 09/20/14 11.95 232 01/20/18 11.95
153 06/20/11 11.95 193 10/20/14 11.95 233 02/20/18 11.95
154 07/20/11 11.95 194 11/20/14 11.95 234 03/20/18 11.95
155 08/20/11 11.95 195 12/20/14 11.95 235 04/20/18 11.95
156 09/20/11 11.95 196 01/20/15 11.95 236 05/20/18 11.95
157 10/20/11 11.95 197 02/20/15 11.95 237 06/20/18 11.95
158 11/20/11 11.95 198 03/20/15 11.95 238 07/20/18 11.95
159 12/20/11 11.95 199 04/20/15 11.95 239 08/20/18 11.95
160 01/20/12 11.95 200 05/20/15 11.95 240 09/20/18 11.95
Note: The Available Funds Cap is the Adjustable Rate Group loan net WAC (net of Servicing Fee and the Class
A-IO Strip). Achieved assuming 6-month LIBOR stays constant at 5.71875%; run at the pricing speed.
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 21
<PAGE>
- --------------------------------------------------------------------------------
WMC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1998-B
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AVAILABLE FUNDS CAP ("AFC")*
----------------------------
Period Pay Date AFC Period Pay Date AFC Period Pay Date AFC
------ -------- --- ------ -------- --- ------ -------- ---
<S> <C> <C> <C> <C> <C> <C> <C> <C>
241 10/20/18 11.95 281 02/20/22 11.95 321 06/20/25 11.95
242 11/20/18 11.95 282 03/20/22 11.95 322 07/20/25 11.95
243 12/20/18 11.95 283 04/20/22 11.95 323 08/20/25 11.95
244 01/20/19 11.95 284 05/20/22 11.95 324 09/20/25 11.95
245 02/20/19 11.95 285 06/20/22 11.95 325 10/20/25 11.95
246 03/20/19 11.95 286 07/20/22 11.95 326 11/20/25 11.95
247 04/20/19 11.95 287 08/20/22 11.95 327 12/20/25 11.95
248 05/20/19 11.95 288 09/20/22 11.95 328 01/20/26 11.95
249 06/20/19 11.95 289 10/20/22 11.95 329 02/20/26 11.95
250 07/20/19 11.95 290 11/20/22 11.95 330 03/20/26 11.95
251 08/20/19 11.95 291 12/20/22 11.95 331 04/20/26 11.95
252 09/20/19 11.95 292 01/20/23 11.95 332 05/20/26 11.95
253 10/20/19 11.95 293 02/20/23 11.95 333 06/20/26 11.95
254 11/20/19 11.95 294 03/20/23 11.95 334 07/20/26 11.95
255 12/20/19 11.95 295 04/20/23 11.95 335 08/20/26 11.95
256 01/20/20 11.95 296 05/20/23 11.95 336 09/20/26 11.95
257 02/20/20 11.95 297 06/20/23 11.95 337 10/20/26 11.95
258 03/20/20 11.95 298 07/20/23 11.95 338 11/20/26 11.95
259 04/20/20 11.95 299 08/20/23 11.95 339 12/20/26 11.95
260 05/20/20 11.95 300 09/20/23 11.95 340 01/20/27 11.95
261 06/20/20 11.95 301 10/20/23 11.95 341 02/20/27 11.95
262 07/20/20 11.95 302 11/20/23 11.95 342 03/20/27 11.95
263 08/20/20 11.95 303 12/20/23 11.95 343 04/20/27 11.95
264 09/20/20 11.95 304 01/20/24 11.95 344 05/20/27 11.95
265 10/20/20 11.95 305 02/20/24 11.95 345 06/20/27 11.95
266 11/20/20 11.95 306 03/20/24 11.95 346 07/20/27 11.95
267 12/20/20 11.95 307 04/20/24 11.95 347 08/20/27 11.95
268 01/20/21 11.95 308 05/20/24 11.95 348 09/20/27 11.95
269 02/20/21 11.95 309 06/20/24 11.95 349 10/20/27 11.95
270 03/20/21 11.95 310 07/20/24 11.95 350 11/20/27 11.95
271 04/20/21 11.95 311 08/20/24 11.95 351 12/20/27 11.95
272 05/20/21 11.95 312 09/20/24 11.95 352 01/20/28 11.95
273 06/20/21 11.95 313 10/20/24 11.95 353 02/20/28 11.95
274 07/20/21 11.95 314 11/20/24 11.95 354 03/20/28 11.95
275 08/20/21 11.95 315 12/20/24 11.95 355 04/20/28 11.95
276 09/20/21 11.95 316 01/20/25 11.95 356 05/20/28 11.95
277 10/20/21 11.95 317 02/20/25 11.95 357 06/20/28 11.95
278 11/20/21 11.95 318 03/20/25 11.95 358 07/20/28 11.95
279 12/20/21 11.95 319 04/20/25 11.95 359 08/20/28 11.96
280 01/20/22 11.95 320 05/20/25 11.95
</TABLE>
Note: The Available Funds Cap is the Adjustable Rate Group loan net WAC (net of
Servicing Fee and the Class A-IO Strip). Achieved assuming 6-month LIBOR stays
constant at 5.71875%; run at the pricing speed.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 22
