EXHIBIT 99.1
SUBJECT TO REVISION
COMPUTATIONAL MATERIALS DATED DECEMBER 4, 2000
[C-BASS LOGO]
$162,386,000
(APPROXIMATE)
CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC
Seller
LITTON LOAN SERVICING LP
Servicer
RESIDENTIAL ASSET FUNDING CORPORATION
Depositor
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-CB4
DISCLAIMER
Attached are preliminary Computational Materials describing the structure,
collateral pool and certain aspects of the C-BASS Mortgage Loan Asset-Backed
Certificates, Series 2000-CB4. These Computational Materials have been prepared
by the Underwriters based on collateral information provided by Credit-Based
Asset Servicing Securitization LLC ("C-BASS") for informational purposes only
and is subject to modification or change. The information and assumptions
contained therein are preliminary and will be superseded by a prospectus
supplement and by any other additional information subsequently filed with the
Securities and Exchange Commission or incorporated by reference in the
Registration Statement.
Neither First Union Securities, Inc., Bear Stearns & Co., Inc., the Seller nor
any of their respective affiliates make any representation as to the accuracy or
completeness of any of the information set forth in the attached Computational
Materials. This cover is not part of the Computational Materials.
A Registration Statement (including a base prospectus) relating to the
Certificates has been filed with the Securities and Exchange Commission. The
final Prospectus Supplement relating to the securities will be filed after the
securities have been priced and all of the terms and information are finalized.
This communication is not an offer to sell or the solicitation of an offer to
buy nor shall there be any sale of the securities in any state in which such
offer, solicitation or sale would be unlawful prior to registration or
qualification under the securities laws of any such state. Interested persons
are referred to the Final Prospectus and Prospectus Supplement to which the
securities relate. Any investment decision should be based only upon the
information in the Final Prospectus and Prospectus Supplement as of their
publication dates.
[FIRST UNION LOGO]
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
OFFERED CERTIFICATES:
TO CALL:
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------
Expected Expected
Est. Est. Prin Final Legal Final
Approximate Coupon WAL Window Distribution Distribution
Class Size Type (yrs) (mths) Date Date Moody's S&P Fitch
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1F 34,490,000 Fixed 1.01 1 - 27 2/25/03 4/25/13 Aaa AAA AAA
A-2F 19,000,000 Fixed 3.96 27 - 80 7/25/07 11/25/31 Aaa AAA AAA
A-1A 82,039,000 Floating 2.52 1 - 90 5/25/08 2/25/30 Aaa AAA AAA
M-1 11,569,000 Fixed 4.99 41 - 90 5/25/08 11/25/31 Aa2 AA AA
M-2 7,851,000 Fixed 4.89 39 - 90 5/25/08 11/25/31 A2 A A
B-1 4,958,000 Fixed 4.85 37 - 90 5/25/08 11/25/31 Baa2 BBB BBB
B-2 2,479,000 Fixed 4.76 37 - 90 5/25/08 11/25/31 - - BBB
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
TO MATURITY:
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------
Expected Expected
Est. Est. Prin Final Legal Final
Approximate Coupon WAL Window Distribution Distribution
Class Size Type (yrs) (mths) Date Date Moody's S&P Fitch
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1F 34,490,000 Fixed 1.01 1 - 27 2/25/03 4/25/13 Aaa AAA AAA
A-2F 19,000,000 Fixed 3.96 27 - 80 7/25/07 11/25/31 Aaa AAA AAA
A-1A 82,039,000 Floating 2.95 1 - 218 1/25/19 2/25/30 Aaa AAA AAA
M-1 11,569,000 Fixed 5.58 41 - 173 4/25/15 11/25/31 Aa2 AA AA
M-2 7,851,000 Fixed 5.42 39 - 150 5/25/13 11/25/31 A2 A A
B-1 4,958,000 Fixed 5.20 37 - 132 11/25/11 11/25/31 Baa2 BBB BBB
B-2 2,479,000 Fixed 4.81 37 - 102 5/25/09 11/25/31 - - BBB
------------------------------------------------------------------------------------------------------------------------------------
<FN>
------------------------------------------------------------------------------------------------------------------------------------
NOTES:
------
(1) If the optional clean-up call is not exercised by the Seller, the margin on the Class A-1A Certificates will double, and
the pass-through rate on the Class A-2F Certificates will increase by 50 bps per annum.
(2) The pricing speed for Loan Group 1 is as follows: 12% CPR for Sub-group 1A and 21% CPR for Sub-group 1B.
(3) The pricing speed for Loan Group 2 is as follows: months 1-10 3.5-35% CPR; months 11-22 35%CPR; months 23-25 50% CPR;
months 26-34 35% CPR; months 35-37 50% CPR; and months 38+ 35% CPR.
(4) The Class A-1F and A-2F Certificates are subject to a maximum rate equal to the lesser of (i) the Group 1 Net Funds Cap and
(ii) the Pool Cap. The Class A-1A Certificates are subject to a maximum rate equal to the lesser of (i) the Group 2 Net
Funds Cap and (ii) the Pool Cap. The Class M-1, Class M-2, Class B-1, and Class B-2 Certificates are subject to a maximum
rate equal to the Pool Cap.
(5) The Class M-1, Class M-2, Class B-1, and Class B-2 Certificates are not expected to receive principal payments until the
Stepdown Date.
(6) Prior to the Stepdown Date, Class M-1, Class M-2, Class B-1, and Class B-2 will receive distributions primarily from the
mortgage loans in Loan Group 1. After the Stepdown Date, Class M-1, Class M-2, Class B-1, and Class B-2 may, under certain
circumstances, also receive distributions from the mortgage loans in Loan Group 2.
------------------------------------------------------------------------------------------------------------------------------------
</FN>
</TABLE>
2
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
SUMMARY OF TERMS
<TABLE>
<S> <C>
TITLE OF SECURITIES: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2000-CB4
SERVICER: Litton Loan Servicing LP, an affiliate of the Seller
SELLER: Credit-Based Asset Servicing and Securitization LLC ("C-BASS")
DEPOSITOR: Residential Asset Funding Corporation
TRUSTEE: The Chase Manhattan Bank
CUSTODIAN: Bank One Trust Company, NA
RATING AGENCIES: Moody's Investors Service. Inc. ("Moody's"), Standard and Poor's Rating Services
("S&P") and Fitch, Inc. ("Fitch")
UNDERWRITERS: First Union Securities, Inc. (Lead Underwriter)
Bear Stearns & Co., Inc. (Co-Manager)
SETTLEMENT DATE: On or about December 13, 2000
DISTRIBUTION DATES: 25th of each month, or if such day is not a business day, the next succeeding
business day, commencing December 26, 2000.
RECORD DATE: For the Offered Certificates (other than the Class A-1A Certificates), the last
business day in the month preceding the applicable Distribution Date. For the
Class A-1A Certificates, the Record Date is the business day preceding the
applicable Distribution Date.
CUT-OFF DATE: The close of business on November 1, 2000
PAYMENT DELAY: With respect to the Offered Certificates (other than the Class A-1A
Certificates), 24 days and with respect to the A-1A Certificates, 0 days.
DAY COUNT: With respect to the Offered Certificates (other than the Class A-1A
Certificates), 30/360 and with respect to the Class A-1A Certificates,
Actual/360.
SERVICING FEE: 0.50% for Group 1 and Group 2 Mortgage Loans.
LENDER PAID MORTGAGE INSURANCE FEE: 35.70% of the mortgage loans in Group 1 and 51.11% of the mortgage loans in
Group 2 are insured by a lender paid mortgage insurance policy.
SPECIAL SERVICING FEE: $150 for all loans that are 90 or more days delinquent, with the exception of
Re-Performing Loans, payable monthly for eighteen consecutive months commencing
in the first month after the Cut-off Date in which payments on such mortgage
loans are 90 or more days delinquent, unless such mortgage loan becomes less
than 90 days delinquent or is liquidated or repurchased. The Special Servicing
Fee will be subordinate to cashflows to the Offered Certificates.
</TABLE>
3
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
OPTIONAL CLEAN-UP CALL: Any Distribution Date on or after which the aggregate principal balance of the
mortgage loans declines to 10% or less of the aggregate principal balance as of
the Cut-off Date ("Cut-off Balance").
DENOMINATION: $25,000 and multiples of $1 in excess thereof.
SMMEA ELIGIBILITY: The Offered Certificates will NOT be SMMEA eligible.
ERISA ELIGIBILITY: The Senior Certificates may be ERISA eligible.
TAX STATUS: The Offered Certificates will be designated as regular interests in a REMIC and,
as such, will be treated as debt instruments of a REMIC for federal income tax
purposes.
SENIOR CERTIFICATES: Class A-1F, A-2F and Class A-1A Certificates.
SUBORDINATE CERTIFICATES: Class M-1, Class M-2, Class B-1, and Class B-2 Certificates.
THE MORTGAGE LOAN POOL
----------------------
GROUP 1 MORTGAGE LOANS: Consist of mortgage loans from Sub-group 1A and Sub-group 1B.
SUB-GROUP 1A consists of approximately 388 fixed-rate, FHA/VA/FHAUN/VAUN
mortgage loans with an aggregate principal balance of approximately
$10,710,594.65. 28.60% of the mortgage loans are FHAUN mortgage loans, 1.99% of
the mortgage loans are VAUN mortgage loans, and 69.42% are FHA/VA mortgage
loans.
SUB-GROUP 1B consists of approximately 878 fixed-rate, conventional mortgage
loans with an aggregate principal balance of approximately $72,528,613.35.
GROUP 2 MORTGAGE LOANS: Consist of approximately 718 adjustable rate mortgage loans with an aggregate
principal balance of approximately $82,038,828.61.
MORTGAGE POOL: o The collateral information presented in these Computational Materials
regarding the Mortgage Pool is as of the Cut-off Date.
o Consists of fixed and adjustable-rate, FHA insured, VA guaranteed, FHA
uninsured, VA non-guaranteed, and conventional closed-end mortgage loans,
secured by 1st and 2nd lien, level pay and balloon mortgages on primarily
1-4 family properties.
o The Group 1 Mortgage Loans and Group 2 Mortgage Loans consist of Performing
Mortgage Loans, Sub-Performing Mortgage Loans and Re-Performing Mortgage
Loans. (Please see "Collateral Overview" for additional information.)
o For collateral statistics, please see "Description of the Collateral"
CREDIT ENHANCEMENT: CLASS A-1F, CLASS A-2F, AND CLASS A-1A CREDIT ENHANCEMENT
---------------------------------------------------------
(1) Excess cash.
(2) Subordination of Class M-1, Class M-2, Class B-1, and Class B-2
Certificates, totaling [16.25%] of the original mortgage loan amount and
initial overcollateralization of [1.75%] of the original mortgage loan
amount.
</TABLE>
4
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
CLASS M-1, CLASS M-2, CLASS B-1, AND CLASS B-2 CREDIT ENHANCEMENT
-----------------------------------------------------------------
(1) Excess cash.
(2) Class M-1 is enhanced by [9.25%] in subordinate certificates and
overcollateralization initially equal to the requirement of [1.75%] of the
original mortgage loan amount.
(3) Class M-2 is enhanced by [4.50%] in subordinate certificates and
overcollateralization initially equal to the requirement of [1.75%] of the
original mortgage loan amount.
(4) Class B-1 is enhanced by [1.50%] in subordinate certificates and
overcollateralization initially equal to the requirement of [1.75%] of the
original mortgage loan amount.
(5) Class B-2 is enhanced by overcollateralization initially equal to [1.75%]
of the original mortgage loan amount.
OVERCOLLATERALIZATION: (1) Before the Stepdown Date, the overcollateralization requirement is [1.75%]
of the original mortgage loan amount.
(2) On and after the Stepdown Date, the overcollateralization requirement is
the lower of [3.50%] of the current aggregate mortgage loan amount and
[1.75%] of the original mortgage loan amount.
(3) The overcollateralization requirement is subject to a floor of [0.50%] of
the original mortgage loan amount.
MONTHLY SERVICER ADVANCES: ACTUARIAL LOANS
---------------
The Servicer is required to advance scheduled principal and interest (net of the
Servicing Fee) for any delinquent mortgage loan until such loan becomes an REO,
but is not required to make any advance which the Servicer deems to be
non-recoverable or with respect to reduction in the monthly payment due to
bankruptcy proceedings or the application of the Soldiers' and Sailors' Civil
Relief Act of 1940, as amended (the "Relief Act").
SIMPLE INTEREST LOANS
---------------------
The Servicer is NOT required to advance scheduled principal and interest for any
Simple Interest Loans. Approximately 1.37% of the mortgage loans are Simple
Interest Loans.
PREPAYMENT INTEREST SHORTFALL: For any Distribution Date, an amount equal to the interest at the mortgage
interest rate for such mortgage loan (the "Mortgage Interest Rate") (net of the
related Servicing Fee) on the amount of such principal prepayment for the number
of days commencing on the date on which the principal prepayment is applied and
ending on the last day of the prior calendar month.
SERVICER OBLIGATIONS FOR PREPAYMENT The Servicer will be obligated to pay, from its own funds, Prepayment Interest
INTEREST SHORTFALLS: Shortfalls for any prepayment in full on an Actuarial Loan, but only to the
extent of 50% of its Servicing Fee for the related collection period. THE
SERVICER WILL NOT COVER ANY PREPAYMENT INTEREST SHORTFALLS ON SIMPLE INTEREST
LOANS.
</TABLE>
5
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
INTEREST DISTRIBUTIONS
----------------------
<TABLE>
<CAPTION>
<S> <C>
INTEREST ACCRUAL: o Interest will accrue on the Class A-1F and Class A-2F Certificates at a
rate equal to the least of (i) the applicable pass through rate, (ii) the
Group 1 Net Funds Cap, and (iii) the Pool Cap.
o Interest will accrue on the Class A-1A Certificates at a rate equal to the
least of (i) the applicable pass through rate, (ii) the Group 2 Net Funds
Cap, and (iii) the Pool Cap.
o Interest will accrue on the Class M-1, Class M-2, Class B-1, and Class B-2
Certificates at a rate equal to the lesser of (i) the applicable pass
through rate, and (ii) the Pool Cap.
o The pass-through rate for the Class A-1A Certificates is equal to 1 month
LIBOR plus the applicable margin.
o For any Distribution Date, interest on the Offered Certificates (other than
Class A-1A Certificates) accrues during the calendar month prior to the
current Distribution Date on a 30/360 basis.
o For any Distribution Date, except for the first accrual period, interest on
the Class A-1A Certificates accrues from the last Distribution Date to the
day preceding the current Distribution Date on an Actual/360 basis. The
first accrual period for the Class A-1A Certificates will begin on the
Closing Date and end on December 25, 2000.
STEP-UP COUPON RATE: If the optional clean-up call is not exercised by the Seller, the margin on the
Class A-1A Certificates will double, and the pass-through rate on the Class A-2F
Certificates will increase by 50 bps per annum.
GROUP 1 NET FUNDS CAP: The Group 1 Net Funds Cap shall equal the product of (x) the average of the Net
Mortgage Interest Rates of the Group 1 Mortgage Loans, weighted on the basis of
the related mortgage loan balances as of the first day of the related Collection
Period, and (y) the aggregate principal balance of the Group 1 and Group 2
mortgage loans divided by the aggregate Certificate Principal Balance of the
Offered Certificates.
GROUP 2 NET FUNDS CAP: The Group 2 Net Funds Cap shall equal the product of (x) the average of the Net
Mortgage Interest Rates of the Group 2 Mortgage Loans, weighted on the basis of
the related mortgage loan balances as of the first day of the related Collection
Period, expressed on the basis of an assumed 360-day year and the actual number
of days elapsed during the related accrual period, and (y) the aggregate
principal balance of the Group 1 and Group 2 mortgage loans divided by the
aggregate Certificate Principal Balance of the Offered Certificates.
POOL CAP: The Pool Cap shall equal the product of (x) the average of the Net Mortgage
Interest Rates of the Mortgage Pool, weighted on the basis of the mortgage loan
balances as of the first day of the related collection period, and (y) the
aggregate principal balance of the Group 1 and Group 2 mortgage loans divided by
the aggregate certificate principal balance of the Offered Certificates
NET MORTGAGE INTEREST RATE: The Net Mortgage Interest Rate for each mortgage loan is the applicable Mortgage
Interest Rate less (i) the Servicing Fee Rate, (ii) the rate at which the
Trustee Fee accrues and (iii) the lender paid Mortgage Insurance Fee, if any.
</TABLE>
6
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
CLASS A-1A LIBOR CARRYOVER AMOUNT: If on any Distribution Date, the accrued certificate interest for the Class A-1A
Certificates is based on the Group 2 Net Funds Cap or the Pool Cap, the excess of
(i) the amount of interest the Class A-1A Certificates would have been entitled to
receive on such Distribution Date based on its applicable pass-through rate, over
(ii) the amount of interest the Class A-1A Certificates received on such
Distribution Date based on the Group 2 Net Funds Cap or the Pool Cap, together with
the unpaid portion of any such excess from prior Distribution Dates (and interest
accrued thereon at the then applicable pass-through rate on the Class-A-1A
Certificates) will be the Class A-1A LIBOR Carryover Amount.
PRIORITY OF INTEREST DISTRIBUTION: On each Distribution Date, based upon the information provided to it in the
remittance report, the Trustee will distribute the Interest Remittance Amount in
the following order of priority to the extent available:
o First, to the Trustee, the trustee fee;
o Second, concurrently, to the Class A-1F, Class A-2F and Class A-1A
Certificates, pro rata, the applicable accrued certificate interest for
such Distribution Date;
o Third, concurrently, to the Class A-1F, Class A-2F and Class A-1A
Certificates, pro rata, the applicable Interest Carry Forward Amount for
the Class A-1F, Class A-2F and Class A-1A Certificates, respectively;
o Fourth, to the Class M-1 Certificates, the interest that is accrued thereon
for such Distribution Date;
o Fifth, to the Class M-2 Certificates, the interest that is accrued thereon
for such Distribution Date
o Sixth, to the Class B-1 Certificates, the interest that is accrued thereon
for such Distribution Date
o Seventh, to the Class B-2 Certificates, the interest that is accrued
thereon for such Distribution Date; and
o Eighth, the amount, if any, of the interest remaining after application
with respect to the priorities set forth above which is defined as the
Monthly Excess Interest Amount for such Distribution Date and will be
applied as described below under "Monthly Excess Cashflow Allocation."
INTEREST REMITTANCE AMOUNT The Interest Remittance Amount means, as of any determination date, the sum,
without duplication, of (i) all interest collected or advanced with respect to
the related collection period on the mortgage loans (less the servicing fee, the
mortgage insurance premiums, certain amounts available for reimbursement of
advances and servicing advances and certain other reimbursable expenses, (ii)
all compensating interest the servicer paid on such Distribution Date with
respect to the mortgage loans and (iii) the portion of any payment in connection
with any substitution, purchase price, termination price, liquidation proceeds
(net of certain expenses) or insurance proceeds relating to interest with
respect to the mortgage loans received during the related collection period.
INTEREST CARRY FORWARD AMOUNT: The Interest Carry Forward Amount means for any class of Certificates and any
Distribution Date the sum of (a) the excess, if any, of the interest accrued for
each such Certificate and any Interest Carry Forward Amount for the prior
Distribution Date, over the amount in respect of interest actually distributed
on each class on such prior Distribution Date and (b) interest on such excess at
the applicable Pass-Through Rate (x) with respect to the Offered Certificates
(other than the Class A-1A Certificates) on the basis of a 360-day year
consisting of twelve 30-day months and (y) with respect to the Class A-1A
Certificates, on the basis of the actual number of days elapsed since the prior
Distribution Date.
</TABLE>
7
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
PRINCIPAL DISTRIBUTIONS
-----------------------
<TABLE>
<S> <C>
SENIOR CERTIFICATES: Senior Certificates shall mean the Class A-1F, Class A-2F and Class A-1A
Certificates.
PRINCIPAL PAYMENTS: Payments of principal to the Senior Certificates are derived primarily from
collections of principal on the related mortgage loan group.
PRINCIPAL DISTRIBUTION AMOUNT: The sum of (i) all principal amounts collected or advanced on the mortgage loans
during the related collection period or prepayment period, as applicable, less
the amount, if any, by which the overcollateralization amount for the Offered
Certificates exceeds the Targeted Overcollateralization Amount for such
Distribution Date and (ii) the Extra Principal Distribution Amount. Extra
Principal Distribution Amount means, as of any Distribution Date, the lesser of
(x) the Monthly Excess Interest Amount for such Distribution Date and (y) the
overcollateralization deficiency for such Distribution Date.
SENIOR PRINCIPAL DISTRIBUTION As to (a) any Distribution Date prior to the Stepdown Date or during the
AMOUNT ("SENIOR PDA"): continuation of a Trigger Event, the lesser of (1) 100% of the Principal
Distribution Amount and (2) the aggregate certificate principal balance of the
Senior Certificates, and (b) any other Distribution Date the lesser of (i) the
Principal Distribution Amount and (ii) an amount equal to the excess, if any, of
(x) the aggregate certificate principal balance of the Senior Certificates
immediately prior to such Distribution Date over (y) the lesser of (A) the
product of (i) [64.00%] and (ii) the pool balance as of the last day of the
related collection period and (B) the pool balance as of the last day of the
related collection period minus the product of (i) [.50%] and (ii) the pool
balance on the Cut-off Date.
GROUP 1 SENIOR PRINCIPAL The Group 1 Senior Principal Distribution Amount ("Group 1 Senior PDA") equals
DISTRIBUTION AMOUNT: the lesser of (i) the Senior PDA multiplied by the Group 1 Principal Percentage
and (ii) the aggregate principal balance of the Class A-1F and A-2F Certificates
as of the immediately prior Distribution Date.
The "Group 1 Principal Percentage" equals the amount of principal collections on
the Group 1 Mortgage Loans for the related collection period or prepayment
period, as applicable, divided by the aggregate amount of principal collections
on the Group 1 and Group 2 mortgage loans for such period.
The "Group 1 Principal Balance" is equal to the sum of the principal balance of
the mortgage loans in Loan Group 1.
GROUP 2 SENIOR PRINCIPAL The Group 2 Senior Principal Distribution Amount ("Group 2 Senior PDA") equals
DISTRIBUTION AMOUNT: the lesser of (i) the Senior PDA multiplied by the Group 2 Principal Percentage
and (ii) the aggregate principal balance of the Class A-1A Certificates as of
the immediately prior Distribution Date.
The "Group 2 Principal Percentage" equals the amount of principal collections on
the Group 2 Mortgage Loans for the related collection period or prepayment
period, as applicable, divided by the aggregate amount of principal collections
on the Group 1 and Group 2 mortgage loans for such period.
The "Group 2 Principal Balance" is equal to the sum of the principal balance of
the mortgage loans in Loan Group 2.
</TABLE>
8
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
CLASS M-1, CLASS M-2, CLASS B-1, On any Distribution Date prior to the Stepdown Date or during the continuation
AND CLASS B-2 PRINCIPAL of a Trigger Event, any portion of the Principal Distribution Amount remaining
DISTRIBUTION AMOUNTS: after the Senior Certificates have been reduced to zero will be distributed
first to the Class M-1 Certificates, second, to the Class M-2 Certificates,
third, to the Class B-1 Certificates, and fourth, to the Class B-2 Certificates
in that sequential order until their respective principal balances have been
reduced to zero.
Class M-1 Principal Distribution Amount means as of any Distribution Date on or
after the Stepdown Date and as long as a Trigger Event is not in effect, the
excess of (x) the sum of (i) the sum of the Certificate Principal Balances of
the Senior Certificates (after taking into account the payment of the Senior
Principal Distribution Amount on such Distribution Date) and (ii) the
Certificate Principal Balance of the Class M-1 Certificates immediately prior to
such Distribution Date over (y) the lesser of (A) the product of (i)
approximately [78.00%] and (ii) the Pool Balance as of the last day of the
related Collection Period and (B) the Pool Balance as of the last day of the
related Collection Period minus the product of (i) [0.50%] and (ii) the Pool
Balance on the Cut-off Date.
Class M-2 Principal Distribution Amount means as of any Distribution Date on or
after the Stepdown Date and as long as a Trigger Event is not in effect, the
excess of (x) the sum of (i) the sum of the Certificate Principal Balances of
the Senior Certificates (after taking into account the payment of the Senior
Principal Distribution Amount on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after taking into account the
payment of the Class M-1 Principal Distribution Amount on such Distribution
Date) and (iii) the Certificate Principal Balance of the Class M-2 Certificates
immediately prior to such Distribution Date over (y) the lesser of (A) the
product of (i) approximately [87.50%] and (ii) the Pool Balance as of the last
day of the related Collection Period and (B) the Pool Balance as of the last day
of the related Collection Period minus the product of (i) [0.50%] and (ii) the
Pool Balance on the Cut-off Date.
Class B-1 Principal Distribution Amount means as of any Distribution Date on or
after the Stepdown Date and as long as a Trigger Event is not in effect, the
excess of (x) the sum of (i) the sum of the Certificate Principal Balances of
the Senior Certificates (after taking into account the payment of the Senior
Principal Distribution Amount on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after taking into account the
payment of the Class M-1 Principal Distribution Amount on such Distribution
Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates
(after taking into account the payment of the Class M-2 Principal Distribution
Amount on such Distribution Date), and (iv) the Certificate Principal Balance of
the Class B-1 Certificates immediately prior to such Distribution Date over (y)
the lesser of (A) the product of (i) approximately [93.50%] and (ii) the Pool
Balance as of the last day of the related Collection Period and (B) the Pool
Balance as of the last day of the related Collection Period minus the product of
(i) [0.50%] and (ii) the Pool Balance on the Cut-off Date.
</TABLE>
9
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
Class B-2 Principal Distribution Amount means as of any Distribution Date on or
after the Stepdown Date and as long as a Trigger Event is not in effect, the
excess of (x) the sum of (i) the sum of the Certificate Principal Balances of
the Senior Certificates (after taking into account the payment of the Senior
Principal Distribution Amount on such Distribution Date), (ii) the Certificate
Principal Balance of the Class M-1 Certificates (after taking into account the
payment of the Class M-1 Principal Distribution Amount on such Distribution
Date), (iii) the Certificate Principal Balance of the Class M-2 Certificates
(after taking into account the payment of the Class M-2 Principal Distribution
Amount on such Distribution Date), (iv) the Certificate Principal Balance of the
Class B-1 Certificates (after taking into account the payment of the Class B-1
Principal Distribution Amount on such Distribution Date), and (v) the
Certificate Principal Balance of the Class B-2 Certificates immediately prior to
such Distribution Date over (y) the lesser of (A) the product of (i)
approximately [96.50%] and (ii) the Pool Balance as of the last day of the
related Collection Period and (B) the Pool Balance as of the last day of the
related Collection Period minus the product of (i) [0.50%] and (ii) the Pool
Balance on the Cut-off Date.
PRIORITY OF PRINCIPAL DISTRIBUTION: With respect to each Distribution Date (a) on or after the Step Down Date and
(b) as long as a Trigger Event is not in effect, the holders of all classes of
Certificates will be entitled to receive payment of principal, in the order of
priority and in the amounts set forth below:
first, concurrently as follows:
(i) the Group 1 Principal Percentage of the lesser of (x) the Principal
Distribution Amount and (y) Senior PDA will be distributed sequentially, to the
Class A-1F Certificates and Class A-2F Certificates, in that order, until the
certificate principal balance of each such class has been reduced to zero and
then to the Class A-1A Certificates, until the certificate principal balance of
such class has been reduced to zero;
(ii) the Group 2 Principal Percentage of the lesser of (x) the Principal
Distribution Amount and (y) Senior PDA will be distributed to the Class A-1A
Certificates, until the certificate principal balance of such class has been
reduced to zero and then sequentially to the Class A-1F and Class A-2F
Certificates, in that order, until the certificate principal balance of each
such class has been reduced to zero;
second, the lesser of (x) the excess of (i) the Principal Distribution Amount
over (ii) the amount distributed to the Senior Certificates in priority first
above and (y) the Class M-1 Principal Distribution Amount will be distributed to
the Class M-1 Certificates, until the certificate principal balance thereof has
been reduced to zero;
third, the lesser of (x) the excess of (i) the Principal Distribution Amount
over (ii) the sum of the amount distributed to the Senior Certificates in
priority first above and the amount distributed to the Class M-1 Certificate in
priority second above and (y) the Class M-2 Principal Distribution Amount will
be distributed to the Class M-2 Certificates, until the certificate principal
balance thereof has been reduced to zero;
fourth, the lesser of (x) the excess of (i) the Principal Distribution Amount
over (ii) the sum of the amount distributed to the Senior Certificates pursuant
to priority first above, the amount distributed to the Class M-1 Certificates
pursuant to priority second above and the amount distributed to the Class M-2
Certificates pursuant to priority third above and (y) the Class B-1 Principal
Distribution Amount will be distributed to the Class B-1 Certificates, until the
certificate balance thereof has been reduced to zero;
fifth, the lesser of (x) the excess of (i) the Principal Distribution Amount
over (ii) the sum of the amount distributed to the Senior Certificates pursuant
to priority first above, the amount distributed to the Class M-1 Certificates
pursuant to priority second above, the amount distributed to the Class M-2
Certificates pursuant to priority third above and the amount distributed to the
Class B-1 Certificates pursuant to priority fourth above and (y) the Class B-2
Principal Distribution Amount will be distributed to the Class B-2 Certificates,
until the certificate balance thereof has been reduced to zero; and
</TABLE>
10
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
Sixth, any amount of the Principal Distribution Amount remaining after making
all of the distributions in priority first, second, third, fourth and fifth
above will be included as part of the Monthly Excess Cashflow Amount and will be
applied as described below under "Monthly Excess Cashflow Allocation."
MONTHLY EXCESS CASHFLOW On any Distribution Date, the sum of the Monthly Excess Interest Amount, any
ALLOCATION overcollateralization release amount and any portion of the Principal
Distribution Amount (without duplication) remaining after principal
distributions on the Offered Certificates is the "Monthly Excess Cashflow
Amount," which is required to be applied in the following order of priority on
such Distribution Date:
(i) to fund any remaining applicable accrued certificate interest for such
Distribution Date, pro rata, among the Class A-1F, Class A-2F and Class A-1A
Certificates;
(ii) to fund the remaining Interest Carry Forward Amounts for the classes of
Senior Certificates, if any, pro rata, among the Class A-1F, Class A-2F and
Class A1-A Certificates;
(iii) to fund the Extra Principal Distribution Amount for such Distribution
Date;
(iv) to fund any remaining accrued certificate interest for such Distribution
Date for the Class M-1 Certificates;
(v) to fund the Interest Carry Forward Amount for the Class M-1 Certificates, if
any;
(vi) to Class M-1, the amount of any realized losses previously allocated to
such class;
(vii) to fund any remaining accrued certificate interest for such Distribution
Date for the Class M-2 Certificates;
(viii) to fund the Interest Carry Forward Amount for the Class M-2 Certificates,
if any;
(ix) to Class M-2, the amount of any realized losses previously allocated to
such class;
(x) to fund any remaining accrued certificate interest for such Distribution
Date for the Class B-1 Certificates;
(xi) to fund the Interest Carry Forward Amount for the Class B-1 Certificates,
if any;
(xii) to Class B-1, the amount of any realized losses previously allocated to
such class;
(xiii) to fund any remaining accrued certificate interest for such Distribution
Date for the Class B-2 Certificates;
(xiv) to fund the Interest Carry Forward Amount for the Class B-2 Certificates,
if any;
(xv) to Class B-2, the amount of any realized losses previously allocated to
such class;
(xvi) to fund the amount of any Class A-1A LIBOR Carryover Amount;
(xvii) to pay any Special Servicing Fees for such Distribution Date or which
remain unpaid from any previous Distribution Date; and
(xviii) to fund distributions to the holders of the Class N, Class X and Class R
Certificates, which are not being offered.
</TABLE>
11
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
CREDIT ENHANCEMENT - SENIOR/SUBORDINATE STRUCTURE
-------------------------------------------------
<TABLE>
<S> <C>
OVERCOLLATERALIZATION: On any Distribution Date, interest and principal collections on the mortgage
loans in excess of the amount required to make interest and principal
distributions on the Offered Certificates will be applied first to cover certain
shortfalls on the Senior Certificates, then to maintain the
overcollateralization for the Offered Certificates and finally, to cover certain
shortfalls on the Class M-1, Class M-2, Class B-1 and Class B-2 Certificates.
SUBORDINATION: If overcollateralization is insufficient to cover losses on any mortgage loans,
those losses will be applied by reducing the principal balances of the Class
M-1, Class M-2, Class B-1 and Class B-2 Certificates, in reverse order of
seniority.
CROSS-COLLATERALIZATION: o Interest collections on the Group 1 mortgage loans will be available to
cover certain shortfalls on the Class A-1A Certificates.
o Interest collections on the Group 2 mortgage loans will be available to
cover certain shortfalls on the Class A-1F and Class A-2F Certificates.
o Excess interest from both groups will be used to maintain the
overcollateralization.
TARGETED OVERCOLLATERALIZATION Prior to the Stepdown Date, [1.75%] of the aggregate initial principal balance
AMOUNT: of the mortgage loans. On and after the Stepdown Date, the lesser of (i) [1.75%]
of the aggregate initial principal balance of the mortgage loans and (ii) the
greater of (A) [3.50%] of the aggregate principal balance of the mortgage loans
as of the last date of the related collection period of (B) [0.50%] of the
aggregate initial principal balance of the mortgage loans.
CREDIT SUPPORT PERCENTAGE: Initial Credit Support After Stepdown Date
---------------------- -------------------
Class Percent Class Percent
----- ------- ----- -------
A-1F, A-2F, A-1A [18.00%] A-1F, A-2F, A-1A [36.00%]
M-1 [11.00%] M-1 [22.00%]
M-2 [6.25%] M-2 [12.50%]
B-1 [3.25%] B-1 [6.50%]
B-2 [1.75%] B-2 [3.50%]
STEPDOWN DATE: The later to occur of (i) the earlier to occur of (A) the Distribution Date in
December 2003 and (B) the Distribution Date on which the aggregate Certificate
Principal Balance of the Senior Certificates is reduced to zero, and (ii) the
first Distribution Date on which the Senior Enhancement Percentage is greater
than or equal to the Senior Specified Enhancement Percentage.
SENIOR ENHANCEMENT PERCENTAGE The Senior Enhancement Percentage for any Distribution Date is the percentage
obtained by dividing (x) the sum of (i) the aggregate Certificate Principal
Balance of the Class M-1, Class M-2, Class B-1 and Class B-2 Certificates and
(ii) the Overcollateralization Amount, in each case before taking into account
the distribution of the Principal Distribution Amount on such Distribution Date
by (y) the aggregate principal balance of the mortgage loans as of the last day
of the related collection period.
SENIOR SPECIFIED ENHANCEMENT The Senior Specified Enhancement Percentage on any date of determination thereof
PERCENTAGE means approximately 36.00%
</TABLE>
12
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disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
TRIGGER EVENT: Is in effect on a Distribution Date if any one or more of the following
conditions exist as of the last day of the related collection period:
(a) The Rolling Six Month 60+ Delinquent Percentage equals or exceeds [45.00%]
of the Senior Enhancement Percentage; provided, that if the certificate
principal balance of the Senior Certificates has been reduced to zero, a
Trigger Event will have occurred if the six-month rolling average of the
60+ Day Delinquent Loans equals or exceeds [16.20%]; or
(b) The aggregate amount of realized losses incurred since the Cut-off Date
through the last day of such related collection period divided by the
initial principal balance of the mortgage loans exceeds the applicable
percentages set forth below with respect to such Distribution Date:
Distribution Date Percentage
----------------- ----------
December 25, 2003 to November 25, 2004 [2.75%]
December 25, 2004 to November 25, 2005 [3.50%]
December 25, 2005 to November 25, 2006 [4.00%]
December 25, 2006 and thereafter [4.50%]
60+ DAY DELINQUENT LOAN: Each mortgage loan with respect to which any portion of the monthly payment is,
as of the last day of the prior collection period, two months or more past due
(other than a Re-Performing 60+ Day Delinquent Loan), each mortgage loan in
foreclosure, all REO Property and each mortgage loan for which the mortgagor has
filed for bankruptcy after the Settlement Date. Any mortgage loan which, on a
3-month rolling average basis, has made its scheduled principal and interest
payments, will not be considered to be a 60+ Day Delinquent Loan.
RE-PERFORMING 60+ DAY Each mortgage loan with respect to which, as of any date of determination, (x)
DELINQUENT LOAN any portion of a monthly payment is, as of the last day of the prior collection
period, two months or more past due and (y) with respect to which the mortgagor
has made three monthly payments within the three calendar months preceding such
date of determination. To the extent that, as of any date of determination, more
than 20.00% of the mortgage loans (measured by scheduled principal balance) are
Re-performing 60+ Day Delinquent Loans, the Re-performing 60+ Day Delinquent
Loans constituting such excess shall be deemed to be 60+ Day Delinquent Loans.
ROLLING SIX MONTH 60+ DAY With respect to any Distribution Date, the average of the percentage equivalents
DELINQUENT PERCENTAGE: of the fractions determined for each of the six immediately preceding collection
periods, the numerator of each of which is equal to the aggregate principal
balance of mortgage loans that are 60+ Day Delinquent Loans as of the end of the
day immediately preceding the end of each such collection period, and the
denominator of which is the aggregate mortgage loan balance as of the end of the
related collection period.
</TABLE>
13
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disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
COLLATERAL OVERVIEW
-------------------
The mortgage pool will consist of two loan groups, Loan Group 1 and Loan Group
2. Loan Group 1 will consist of two Sub-groups (Sub-group 1A and Sub-group 1B).
The mortgage loans in Sub-group 1A are fixed rate, FHA insured, VA guaranteed
FHA uninsured ("FHAUN"), VA non-guaranteed ("VAUN") and first lien mortgage
loans. The mortgage loans in Sub-group 1B are fixed rate, conventional, one- to
four-family, first and second lien mortgage loans. The mortgage loans in Loan
Group 2 are adjustable rate, one- to four-family, first lien mortgage loans.
Each of Sub-group 1A, Sub-group 1B and Loan Group 2 consists of Performing
Mortgage Loans, Sub-Performing Mortgage Loans and Re-Performing Mortgage Loans.
PERFORMING MORTGAGE LOANS
-------------------------
A "Performing Mortgage Loan" is a mortgage loan (which might be a Forbearance
Plan Mortgage Loan or a Bankruptcy Plan Mortgage Loan) pursuant to which no
payment due under the related mortgage note (or any modification thereto) prior
to the Cut-off Date, is 30 days delinquent.
A mortgage loan is "Delinquent," if the scheduled monthly payment of principal
and interest on such mortgage loan which is payable by the related mortgagor
under the related mortgage note (the "Monthly Payment") due on a due date is not
paid by the close of business on the next scheduled due date for such mortgage
loan. Thus, a mortgage loan for which the mortgagor failed to make the monthly
payment on October 1, 2000 will be reported as Delinquent as of the close of
business on November 1, 2000 if the payment is not made by such time.
RE-PERFORMING MORTGAGE LOAN
---------------------------
A "Re-Performing Mortgage Loan" is a mortgage loan (that might be a Forbearance
Plan Mortgage Loan or a Bankruptcy Plan Mortgage Loan) which had defaulted in
the past and which is currently at least 90 days delinquent with respect to
certain regular scheduled payments but which satisfies one of the following
criteria (the "Re-Performance Test"):
(i) the mortgagor has made at least three aggregate
regular scheduled payments in the three calendar
months preceding the Cut-off Date (regardless of
either the timing of receipt of such payments or the
payment history of such loans prior to August 1,
2000), or
(ii) the mortgagor has made at least four aggregate
regular scheduled payments in the four calendar
months preceding the Cut-off Date (regardless of
either the timing of receipt of such payments or the
payment history of such loans prior to July 1, 2000),
or
(iii) the mortgagor has made at least five aggregate
regular scheduled payments in the five calendar
months preceding the Cut-off Date (regardless of
either the timing of receipt of such payments or the
payment history of such loans prior to June 1, 2000).
SUB-PERFORMING MORTGAGE LOAN
----------------------------
A "Sub-Performing Mortgage Loan" is a mortgage loan pursuant to which a payment
due prior to the Cut-off Date under the terms of the related mortgage note (or
any modification thereto), is at least 30 but not more than 89 days delinquent.
Certain Sub-Performing Mortgage Loans have been modified in writing and are also
characterized as follows:
(i) "Forbearance Plan Mortgage Loan" is a mortgage loan
in which the related mortgagor must make monthly
payments ("Modified Scheduled Payments") in an amount
at least equal to the sum of (i) the amount of the
monthly scheduled payment of principal and interest
determined in accordance with such mortgage loan's
original amortization schedule ("Regular Scheduled
Payments") plus (ii) an additional amount to be
applied to pay down the total amount of scheduled
monthly payments due thereon on or before the Cut-off
Date but not received prior to the Cut-off Date plus
the aggregate amount of tax and insurance advances
made with respect to such mortgage loan to the extent
remaining outstanding as of the Cut-off Date.
(ii) "Bankruptcy Plan Mortgage Loan" is a mortgage loan in
which the related mortgagor defaulted and, after
default, became the subject of a case under Title 11
of the United States Code (the "Bankruptcy Code")
and, as of the Cut-off Date, had a confirmed
bankruptcy plan. Each such bankruptcy plan generally
requires the related mortgagor to make Modified
Scheduled Payments in an amount at least equal to (i)
the Regular Scheduled Payment plus (ii) an additional
amount sufficient to pay down overdue amounts
resulting from the period of default, generally over
a period of three to five years from the commencement
of such bankruptcy plan.
14
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disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
ARREARAGE
---------
With respect to certain Delinquent mortgage loans, the total amount of scheduled
monthly payments due thereon on or before the Cut-off Date but not received
prior to the Cut-off Date, together with any outstanding servicing advances on
such mortgage loans, is referred to as the "Arrearage." The Servicer has
previously made advances in respect of the Arrearages. Any Arrearage shall not
be included as part of the Trust Fund and, accordingly, payments with respect to
Arrearage will not be payable to the Certificateholders as and when received.
However, the Servicer shall be required to make servicing advances on Delinquent
mortgage loans and make advances of delinquent payments of principal and
interest on Delinquent mortgage loans (other than Simple Interest Mortgage Loans
or REO Properties), each to the extent such advances are deemed recoverable,
until such mortgage loans become current.
FHA MORTGAGE LOANS
------------------
The FHA Mortgage Loans will be insured by the Federal Housing Administration
("FHA") of the United States Department of Housing and Urban Development ("HUD")
as authorized under the National Housing Act of 1934, as amended (the "National
Housing Act"), and the United States Housing Act of 1937, as amended (the
"United States Housing Act"). No FHA Mortgage Loan may have an interest rate or
original principal amount exceeding the applicable FHA limits at the time of
origination of such FHA Mortgage Loan.
VA MORTGAGE LOANS
-----------------
The VA Mortgage Loans will be partially guaranteed by The United States
Department of Veterans Affairs (the "VA") under the Servicemen's Readjustment
Act of 1944, as amended. The Servicemen's Readjustment Act of 1944, as amended,
permits a veteran (or in certain instances the spouse of a veteran) to obtain a
mortgage loan guarantee by the VA covering mortgage financing of the purchase of
a one- to four-family dwelling unit at interest rates permitted by the VA. The
program has a current mortgage loan limit of $203,000, requires no down payment
from the purchaser and permits the guarantee of mortgage loans of generally up
to 30 years' duration. However, no VA Mortgage Loan will have an original
principal amount greater than five times the amount of the related guarantee.
FHAUN MORTGAGE LOANS
--------------------
The FHAUN Mortgage Loans were originated using FHA documents, but for various
reasons, are not covered by FHA insurance. The Seller acquired the FHAUN
Mortgage Loans without FHA insurance in effect.
VAUN MORTGAGE LOANS
-------------------
The VAUN Mortgage Loans were originated using VA documents, but for various
reasons, are not covered by a VA guarantee. The Seller acquired the VAUN
Mortgage Loans without a VA guarantee in effect.
15
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disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
MORTGAGE LOAN CHARACTERISTICS
LOAN GROUP 1: SUB-GROUP 1A AND SUB-GROUP 1B
-------------------------------------------
The following summarizes the characteristics of the mortgage loans (percentages
are based on the aggregate principal balances as of November 1, 2000). The
characteristics of the mortgage moans in the Prospectus Supplement will
supersede the descriptions of the characteristics below.
<TABLE>
<CAPTION>
<S> <C>
Aggregate Unpaid Principal Balance: $83,239,208.00
Aggregate Original Principal Balance: $91,444,075.07
Wtd. Avg. Gross Coupon: 9.823%
Gross Coupon Range: 3.000% - 18.000%
Average Principal Balance: $65,749.77
Principal Balance Range: $275.85 - $864,064.15
Average Original Principal Balance: $72,230.71
Original Principal Balance Range: $8,900.00 - $865,000.00
Wtd. Avg. Remaining Term: 266 months
Remaining Term Range: 2 - 359 months
Wtd. Avg. Seasoning: 40 months
Seasoning Range: 1 - 411 months
Wtd. Avg. CLTV: 83.755%
CLTV Range: 3.594% - 234.127%(1)
Wtd. Avg. Net Coupon: 9.547%
Loans with Prepayment Penalties: 22.09%
Percentage of Second Lien Loans: 0.35%
Percentage of Simple Interest Loans: 2.62%
Percentage of Loans with
Lender Paid Mortgage Insurance: 35.70%
Percentage of FHA Insured Loans: 7.38%
Percentage of FHAUN Loans: 3.68%
Percentage of VA Guaranteed Loans: 1.55%
Percentage of VAUN Loans: 0.26%
Percentage of Subprime Loans: 58.98%
Percentage of Performing Loans: 82.00%
Percentage of Seller Financed Loans: 11.82%
Percentage of Sub-Performing Loans: 12.72%
Sub-Performing with Forbearance Plan: 0.55%
Sub-Performing with Bankruptcy Plan: 0.94%
Percentage of Re-Performing Loans: 5.28%
Re-Performing with Forbearance Plan: 1.39%
Re-Performing with Bankruptcy Plan: 2.32%
Percentage of Delinquent Loans: 12.72%
30-59 Days Delinquent: 8.14%
60-89 Days Delinquent: 4.58%
Maximum ZIP Code Concentration (%): 1.03%
Maximum ZIP Code Concentration (ZIP): 75034
</TABLE>
16
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
Geographic Concentration (Top 4 States):
New York 21.78%
California 13.86%
Florida 8.01%
Texas 7.91%
</TABLE>
(1) The loan with a CLTV of 243.127% is being re-examined. The maximum CLTV
will not be greater than 125.000% in the event that this loan is removed
from the mortgage pool.
17
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
MORTGAGE LOAN CHARACTERISTICS
SUB-GROUP 1A - FHA/VA/FHAUN/VAUN
The following summarizes the characteristics of the mortgage loans (percentages
are based on the aggregate principal balances as of November 1, 2000). The
characteristics of the mortgage loans in the Prospectus Supplement will
supersede the descriptions of the characteristics below.
<TABLE>
<CAPTION>
<S> <C>
Aggregate Unpaid Principal Balance: $10,710,594.65
Aggregate Original Principal Balance: $15,750,092.31
Wtd. Avg. Gross Coupon: 8.198%
Gross Coupon Range: 5.000% - 16.500%
Average Principal Balance: $27,604.63
Principal Balance Range: $275.85 - $249,595.92
Average Original Principal Balance: $40,593.02
Original Principal Balance Range: $8,900.00 - $252,400.00
Wtd. Avg. Remaining Term: 270 months
Remaining Term Range: 2 - 359 months
Wtd. Avg. Seasoning: 83 months
Seasoning Range: 1 - 411 months
Wtd. Avg. CLTV: 99.716%
CLTV Range: 51.700% - 234.127% (1)
Wtd. Avg. Net Coupon: 8.198%
Loans with Prepayment Penalties: 0.00%
Percentage of Second Lien Loans: 0.00%
Percentage of Simple Interest Loans: 0.00%
Percentage of Loans with
Lender Paid Mortgage Insurance: 0.00%
Percentage of FHA Insured Loans: 57.36%
Percentage of FHAUN Loans: 28.60%
Percentage of VA Guaranteed Loans: 12.06%
Percentage of VAUN Loans: 1.99%
Percentage of Subprime Loans: 0.00%
Percentage of Performing Loans: 61.79%
Percentage of Seller Financed Loans: 0.00%
Percentage of Sub-Performing Loans: 30.32%
Sub-Performing with Forbearance Plan: 0.61%
Sub-Performing with Bankruptcy Plan: 3.82%
Percentage of Re-Performing Loans: 7.90%
Re-Performing with Forbearance Plan: 4.14%
Re-Performing with Bankruptcy Plans: 0.00%
Percentage of Delinquent Loans: 30.32%
30-59 Days Delinquent: 18.35%
60-89 Days Delinquent: 11.97%
Maximum ZIP Code Concentration (%): 3.13%
Maximum ZIP Code Concentration (ZIP): 10469
</TABLE>
18
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disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
Geographic Concentration (Top 4 States):
Florida 15.47%
New York 10.66%
Ohio 8.24%
Pennsylvania 8.04%
</TABLE>
(1) The loan with a CLTV of 243.127% is being re-examined. The maximum CLTV
will not be greater than 125.000% in the event that this loan is removed
from the mortgage pool.
19
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
MORTGAGE LOAN CHARACTERISTICS
SUB-GROUP 1B - FIXED-RATE, NON-FHA/VA/FHAUN/VAUN
The following summarizes the characteristics of the mortgage loans (percentages
are based on the aggregate principal balances as of November 1, 2000). The
characteristics of the mortgage loans in the Prospectus Supplement will
supersede the descriptions of the characteristics below.
<TABLE>
<CAPTION>
<S> <C>
Aggregate Unpaid Principal Balance: $72,528,613.35
Aggregate Original Principal Balance: $75,693,982.76
Wtd. Avg. Gross Coupon: 10.063%
Gross Coupon Range: 3.000% - 18.000%
Average Principal Balance: $82,606.62
Principal Balance Range: $9,816.53 - $864,064.15
Average Original Principal Balance: $86,211.83
Original Principal Balance Range: $11,808.28 - $865,000.00
Wtd. Avg. Remaining Term: 265 months
Remaining Term Range: 8 - 358 months
Wtd. Avg. Seasoning: 33 months
Seasoning Range: 2 - 353 months
Wtd. Avg. CLTV: 81.398%
CLTV Range: 3.594% - 122.440%
Wtd. Avg. Net Coupon: 9.747%
Loans with Prepayment Penalties: 25.35%
Percentage of Second Lien Loans: 0.41%
Percentage of Simple Interest Loans: 3.01%
Percentage of Loans with
Lender Paid Mortgage Insurance: 35.70%
Percentage of FHA Insured Loans: 0.00%
Percentage of FHAUN Loans: 0.00%
Percentage of VA Guaranteed Loans: 0.00%
Percentage of VAUN Loans: 0.00%
Percentage of Subprime Loans: 67.69%
Percentage of Performing Loans: 84.99%
Percentage of Seller Financed Loans: 13.56%
Percentage of Sub-Performing Loans: 10.12%
Sub-Performing with Forbearance Plan: 0.54%
Sub-Performing with Bankruptcy Plan: 0.51%
Percentage of Re-Performing Loans: 4.89%
Re-Performing with Forbearance Plan: 0.98%
Re-Performing with Bankruptcy Plan: 2.66%
Percentage of Delinquent Loans: 10.12%
30-59 Days Delinquent: 6.63%
60-89 Days Delinquent: 3.49%
Maximum ZIP Code Concentration (%) 1.19%
Maximum ZIP Code Concentration (ZIP) 75034
</TABLE>
20
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
Geographic Concentration (Top 4 States):
New York 23.43%
California 14.98%
Texas 8.32%
Florida 6.91%
</TABLE>
21
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
MORTGAGE LOAN CHARACTERISTICS
LOAN GROUP 2 - ARMS
-------------------
The following summarizes the characteristics of the mortgage loans (percentages
are based on the aggregate principal balances as of November 1, 2000). The
characteristics of the mortgage loans in the Prospectus Supplement will
supersede the descriptions of the characteristics below.
<TABLE>
<CAPTION>
<S> <C>
Aggregate Unpaid Principal Balance: $82,038,828.61
Aggregate Original Principal Balance: $83,236,289.02
Wtd. Avg. Gross Coupon: 10.728%
Gross Coupon Range: 6.500% - 16.500%
Wtd. Avg. Gross Margin: 6.025%
Gross Margin Range: 2.000% - 9.750%
Wtd. Avg. Life Cap (Gross): 16.822%
Gross Life Cap Range: 10.000% - 21.500%
Wtd. Avg. Life Floor (Gross): 7.633%
Gross Life Floor Range: 0.000% - 14.880%
Average Principal Balance: $114,260.21
Principal Balance Range: $13,533.57 - $633,602.96
Average Original Principal Balance: $115,927.98
Original Principal Balance Range: $14,000.00 - $650,000.00
Wtd. Avg. Remaining Term: 338 months
Remaining Term Range: 109 - 357 months
Wtd. Avg. Seasoning: 19 months
Seasoning Range: 3 - 204 months
Wtd. Avg. CLTV: 79.269%
CLTV Range: 17.778% - 117.209%
Wtd. Avg. Net Coupon: 10.263%
Wtd. Avg. Periodic Interest Cap: 1.308% (1)
Periodic Interest Cap Range: 0.000% - 2.000% (1)
Wtd. Avg. Months to Interest Roll: 16 months
Months to Interest Roll Range: 0 - 72 months
Wtd. Avg. Interest Roll Frequency: 6 months
Interest Roll Frequency Range: 6 - 36 months
Wtd. Avg. Initial Rate Cap: 1.681% (2)
Initial Rate Cap Range: 0.000% - 6.000% (2)
Index
Six - Month LIBOR: 92.49%
1-YR CMT: 7.39%
Other: 0.13%
Mortgage Interest Rates by Index
Six-Month LIBOR: 10.94%
1-YR CMT: 8.09%
Other: 8.75%
</TABLE>
22
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
Gross Margin by Index
Six-Month LIBOR: 6.29%
1-YR CMT: 2.83%
Other: 2.50%
Loans with Prepayment Penalties: 68.02%
Percentage of Second Lien Loans: 0.00%
Percentage of Simple Interest Loans: 0.09%
Percentage of Loans with
Lender Paid Mortgage Insurance: 51.11%
Percentage of FHA Insured Loans: 1.52%
Percentage of FHAUN Loans: 0.49%
Percentage of VA Guaranteed Loans: 0.21%
Percentage of VAUN Loans: 0.00%
Percentage of Subprime Loans: 97.22%
Percentage of Performing Loans: 85.54%
Percentage of Seller Financed Loans: 0.00%
Percentage of Sub-Performing Loans: 11.53%
Sub-Performing with Forbearance Plan: 0.43%
Sub-Performing with Bankruptcy Plan: 0.10%
Percentage of Re-Performing Loans: 2.94%
Re-Performing with Forbearance Plan: 0.90%
Re-Performing with Bankruptcy Plan: 1.41%
Percentage of Delinquent Loans: 11.53%
30-59 Days Delinquent: 9.04%
60-89 Days Delinquent: 2.48%
Maximum ZIP Code Concentration (%) 1.15%
Maximum ZIP Code Concentration (ZIP) 10504
Geographic concentration (Top 4 States):
California 30.85%
Illinois 5.86%
Colorado 5.50%
Michigan 5.24%
</TABLE>
(1) Values exclude 1 loan with periodic rate cap equal to zero.
(2) Values exclude 3 loans with initial rate cap equal to zero.
23
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 1
GROSS MORTGAGE INTEREST RATE
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
RANGE LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
2.501 - 3.000 1 44,561.87 0.05
4.501 - 5.000 1 132,295.55 0.16
5.501 - 6.000 15 688,004.73 0.83
6.001 - 6.500 5 342,092.60 0.41
6.501 - 7.000 171 2,408,663.32 2.89
7.001 - 7.500 36 3,459,048.37 4.16
7.501 - 8.000 95 5,172,334.00 6.21
8.001 - 8.250 27 1,744,216.70 2.10
8.251 - 8.500 111 4,196,116.11 5.04
8.501 - 8.750 30 2,542,320.10 3.05
8.751 - 9.000 61 5,899,685.31 7.09
9.001 - 9.250 30 3,586,708.86 4.31
9.251 - 9.500 68 7,279,795.20 8.75
9.501 - 9.750 29 2,841,036.29 3.41
9.751 - 10.000 118 9,418,621.88 11.32
10.001 - 10.250 35 3,616,121.84 4.34
10.251 - 10.500 75 7,339,866.50 8.82
10.501 - 10.750 39 3,238,543.22 3.89
10.751 - 11.000 61 5,298,157.83 6.36
11.001 - 11.250 24 1,643,375.47 1.97
11.251 - 11.500 33 2,077,798.39 2.50
11.501 - 11.750 19 1,067,119.40 1.28
11.751 - 12.000 48 2,651,588.59 3.19
12.001 - 12.250 16 1,034,857.04 1.24
12.251 - 12.500 23 1,319,421.82 1.59
12.501 - 12.750 10 488,562.92 0.59
12.751 - 13.000 18 781,115.15 0.94
13.001 - 13.250 11 450,253.53 0.54
13.251 - 13.500 9 272,868.38 0.33
13.501 - 13.750 7 418,609.55 0.50
13.751 - 14.000 14 861,153.09 1.03
14.001 - 14.250 5 227,165.35 0.27
14.251 - 14.500 3 81,648.07 0.10
14.501 - 14.750 2 98,554.75 0.12
14.751 - 15.000 5 199,075.04 0.24
15.001 - 15.250 1 41,924.10 0.05
15.251 - 15.500 5 142,887.69 0.17
15.501 - 15.750 1 64,566.99 0.08
15.751 - 16.000 1 37,389.26 0.04
16.251 - 16.500 2 16,181.60 0.02
17.751 - 18.000 1 14,901.54 0.02
--------------------------------------------------------------------------------
1,266 83,239,208.00 100.00
</TABLE>
24
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
ORIGINAL TERM
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
RANGE LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
25 - 36 2 63,192.54 0.08
37 - 48 1 12,144.55 0.01
49 - 60 2 24,935.71 0.03
61 - 72 2 22,869.35 0.03
73 - 84 4 92,249.52 0.11
85 - 96 3 124,985.82 0.15
97 - 108 6 150,714.68 0.18
109 - 120 32 981,595.07 1.18
121 - 132 4 105,748.75 0.13
133 - 144 9 290,502.55 0.35
145 - 156 6 225,217.43 0.27
157 - 168 10 358,901.85 0.43
169 - 180 285 18,400,028.34 22.11
181 - 192 2 72,662.82 0.09
193 - 204 7 262,963.04 0.32
205 - 216 4 203,412.12 0.24
229 - 240 68 3,448,739.56 4.14
241 - 252 5 224,233.74 0.27
253 - 264 4 199,428.80 0.24
265 - 276 1 50,142.91 0.06
289 - 300 29 1,244,941.38 1.50
301 - 312 2 335,547.55 0.40
313 - 324 1 126,630.73 0.15
325 - 336 5 694,950.95 0.83
337 - 348 8 467,835.07 0.56
349 - 360 755 54,761,738.66 65.79
361 - 372 3 142,920.33 0.17
373 - 384 1 30,499.83 0.04
409 - 420 4 96,511.60 0.12
421 - 432 1 22,962.75 0.03
--------------------------------------------------------------------------------
1,266 83,239,208.00 100.00
</TABLE>
25
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
CURRENT MORTGAGE LOAN AMOUNTS
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
RANGE LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
0.01 - 25,000.00 374 3,304,956.91 3.97
25,000.01 - 50,000.00 281 10,573,433.80 12.70
50,000.01 - 75,000.00 232 14,257,777.78 17.13
75,000.01 - 100,000.00 125 10,701,470.53 12.86
100,000.01 - 150,000.00 130 15,978,864.76 19.20
150,000.01 - 200,000.00 59 10,213,298.20 12.27
200,000.01 - 250,000.00 36 8,158,836.13 9.80
250,000.01 - 300,000.00 14 3,783,701.91 4.55
300,000.01 - 350,000.00 7 2,243,283.65 2.69
350,000.01 - 400,000.00 3 1,095,715.65 1.32
400,000.01 - 450,000.00 1 418,069.13 0.50
450,000.01 - 500,000.00 1 456,125.66 0.55
500,000.01 - 550,000.00 1 548,903.67 0.66
600,000.01 - 650,000.00 1 640,706.07 0.77
850,000.01 - 900,000.00 1 864,064.15 1.04
--------------------------------------------------------------------------------
1,266 83,239,208.00 100.00
</TABLE>
COMBINED LOAN-TO-VALUE RATIO
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
RANGE LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
0.001 - 5.000 1 44,898.84 0.05
5.001 - 10.000 1 74,226.51 0.09
10.001 - 15.000 1 19,671.90 0.02
20.001 - 25.000 1 24,436.96 0.03
25.001 - 30.000 3 95,122.74 0.11
30.001 - 35.000 3 123,102.16 0.15
35.001 - 40.000 5 347,314.04 0.42
40.001 - 45.000 3 175,888.89 0.21
45.001 - 50.000 12 466,000.50 0.56
50.001 - 55.000 12 1,515,449.69 1.82
55.001 - 60.000 27 1,310,645.83 1.57
60.001 - 65.000 41 3,506,508.40 4.21
65.001 - 70.000 62 3,728,247.45 4.48
70.001 - 75.000 105 9,857,237.80 11.84
75.001 - 80.000 173 16,398,553.42 19.70
80.001 - 85.000 113 9,731,152.36 11.69
85.001 - 90.000 139 10,683,568.99 12.83
90.001 - 95.000 81 5,278,843.34 6.34
95.001 - 100.000 376 14,984,614.94 18.00
100.001 - 105.000 77 3,035,791.58 3.65
105.001 - 110.000 15 882,508.06 1.06
110.001 - 115.000 5 261,742.73 0.31
115.001 - 120.000 6 389,712.96 0.47
120.001 - 125.000 3 303,293.65 0.36
230.001 - 235.000 1 674.26 0.00
--------------------------------------------------------------------------------
1,266 83,239,208.00 100.00
</TABLE>
26
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
GEOGRAPHICAL DISTRIBUTION OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
STATE LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
Alabama 17 701,780.36 0.84
Alaska 2 99,874.50 0.12
Arizona 24 674,044.04 0.81
Arkansas 6 105,490.66 0.13
California 97 11,534,880.14 13.86
Colorado 8 480,556.21 0.58
Connecticut 12 1,236,792.65 1.49
Delaware 3 184,230.42 0.22
District of Columbia 1 63,207.67 0.08
Florida 137 6,669,023.89 8.01
Georgia 27 1,179,296.20 1.42
Hawaii 5 527,944.91 0.63
Idaho 1 52,052.20 0.06
Illinois 26 1,814,031.52 2.18
Indiana 32 1,875,039.07 2.25
Iowa 2 65,633.37 0.08
Kansas 4 224,381.42 0.27
Kentucky 12 610,436.52 0.73
Louisiana 16 450,443.15 0.54
Maine 1 59,017.83 0.07
Maryland 21 2,003,080.28 2.41
Massachusetts 16 1,571,843.46 1.89
Michigan 78 4,788,844.39 5.75
Minnesota 3 186,753.36 0.22
Mississippi 12 119,623.67 0.14
Missouri 17 864,846.36 1.04
Montana 1 36,634.63 0.04
Nevada 7 558,412.92 0.67
New Hampshire 4 242,547.66 0.29
New Jersey 40 3,891,085.82 4.67
New Mexico 10 422,940.97 0.51
New York 126 18,132,553.39 21.78
North Carolina 55 2,159,479.92 2.59
Ohio 48 2,786,863.01 3.35
Oklahoma 14 554,378.23 0.67
Oregon 10 828,999.28 1.00
Pennsylvania 121 3,444,707.70 4.14
Puerto Rico 2 65,973.48 0.08
Rhode Island 1 123,015.71 0.15
South Carolina 17 1,011,045.93 1.21
Tennessee 36 1,184,695.52 1.42
Texas 136 6,582,931.68 7.91
Utah 2 99,448.95 0.12
Virginia 39 1,665,056.75 2.00
Washington 13 1,162,747.69 1.40
West Virginia 2 27,266.09 0.03
Wisconsin 2 115,274.42 0.14
--------------------------------------------------------------------------------
1,266 83,239,208.00 100.00
</TABLE>
27
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
PROPERTY TYPE
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
PROPERTY LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
2-Family 63 7,102,194.73 8.53
3-Family 11 1,583,872.95 1.90
4-Family 7 557,121.60 0.67
Condo 30 1,321,401.94 1.59
High Rise Condo 2 145,261.36 0.17
Manufactured 11 604,561.49 0.73
Mixed Use 1 249,595.92 0.30
Mobile Home 18 962,508.08 1.16
PUD 11 1,810,517.10 2.18
Single Family 1,104 68,282,320.87 82.03
Townhouse 8 619,851.96 0.74
--------------------------------------------------------------------------------
1,266 83,239,208.00 100.00
</TABLE>
OWNER OCCUPANCY
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
OWNER OCCUPANCY LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
Investment 111 5,806,552.89 6.98
Primary 1,142 76,311,429.95 91.68
Secondary 13 1,121,225.16 1.35
--------------------------------------------------------------------------------
1,266 83,239,208.00 100.00
</TABLE>
DOCUMENTATION LEVEL
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
DOCUMENTATION LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
Alternative 91 9,544,304.66 11.47
Full 798 49,374,399.30 59.32
Limited 40 3,944,937.11 4.74
Missing 26 1,700,532.28 2.04
None 211 9,122,232.44 10.96
Stated 94 8,964,966.12 10.77
Streamlined 6 587,836.09 0.71
--------------------------------------------------------------------------------
1,266 83,239,208.00 100.00
</TABLE>
28
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
LOAN PURPOSE
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
LOAN PURPOSE LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
Cash Out 373 32,296,246.14 38.80
Purchase 793 42,125,540.82 50.61
Refinance 100 8,817,421.04 10.59
--------------------------------------------------------------------------------
1,266 83,239,208.00 100.00
</TABLE>
STATUS LEVEL
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
OTS STATUS LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
30 Days Past Due 123 6,774,668.65 8.14
60 Days Past Due 54 3,811,861.43 4.58
Current 1,025 68,258,869.55 82.00
Re-performing 64 4,393,808.37 5.28
--------------------------------------------------------------------------------
1,266 83,239,208.00 100.00
</TABLE>
29
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 2
GROSS MORTGAGE INTEREST RATE
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
RANGE LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
6.001 - 6.500 1 109,216.27 0.13
6.501 - 7.000 3 332,942.03 0.41
7.001 - 7.500 9 2,215,788.36 2.70
7.501 - 8.000 19 1,939,603.27 2.36
8.001 - 8.250 6 1,009,397.47 1.23
8.251 - 8.500 9 1,420,934.32 1.73
8.501 - 8.750 10 1,673,399.01 2.04
8.751 - 9.000 15 1,718,160.32 2.09
9.001 - 9.250 19 3,003,475.13 3.66
9.251 - 9.500 23 3,712,006.75 4.52
9.501 - 9.750 34 5,581,445.90 6.80
9.751 - 10.000 46 6,830,192.27 8.33
10.001 - 10.250 33 4,575,342.13 5.58
10.251 - 10.500 47 5,829,731.56 7.11
10.501 - 10.750 48 6,223,711.82 7.59
10.751 - 11.000 62 7,435,995.09 9.06
11.001 - 11.250 34 2,966,377.61 3.62
11.251 - 11.500 31 3,567,910.27 4.35
11.501 - 11.750 33 2,777,953.88 3.39
11.751 - 12.000 20 1,547,750.36 1.89
12.001 - 12.250 28 2,340,736.49 2.85
12.251 - 12.500 36 2,937,832.44 3.58
12.501 - 12.750 19 1,868,380.62 2.28
12.751 - 13.000 20 1,686,147.37 2.06
13.001 - 13.250 25 2,020,317.94 2.46
13.251 - 13.500 19 1,237,170.23 1.51
13.501 - 13.750 21 1,434,687.31 1.75
13.751 - 14.000 18 1,830,224.43 2.23
14.001 - 14.250 11 648,975.71 0.79
14.251 - 14.500 10 815,519.94 0.99
14.501 - 14.750 2 337,290.03 0.41
14.751 - 15.000 3 146,548.37 0.18
15.001 - 15.250 1 22,255.26 0.03
15.251 - 15.500 1 84,911.90 0.10
16.001 - 16.250 1 43,752.93 0.05
16.251 - 16.500 1 112,743.82 0.14
--------------------------------------------------------------------------------
718 82,038,828.61 100.00
</TABLE>
30
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
ORIGINAL TERM
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
RANGE LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
169 - 180 17 1,193,963.22 1.46
229 - 240 2 236,574.87 0.29
289 - 300 3 274,395.49 0.33
349 - 360 696 80,333,895.03 97.92
--------------------------------------------------------------------------------
718 82,038,828.61 100.00
</TABLE>
CURRENT MORTGAGE LOAN AMOUNTS
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
RANGE LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
0.01 - 25,000.00 19 399,315.18 0.49
25,000.01 - 50,000.00 104 4,207,455.64 5.13
50,000.01 - 75,000.00 142 8,903,244.98 10.85
75,000.01 - 100,000.00 138 11,987,447.37 14.61
100,000.01 - 150,000.00 159 19,068,872.26 23.24
150,000.01 - 200,000.00 72 12,291,029.12 14.98
200,000.01 - 250,000.00 34 7,694,293.34 9.38
250,000.01 - 300,000.00 20 5,486,126.44 6.69
300,000.01 - 350,000.00 12 3,788,920.83 4.62
350,000.01 - 400,000.00 4 1,457,007.97 1.78
400,000.01 - 450,000.00 6 2,605,423.79 3.18
450,000.01 - 500,000.00 5 2,385,394.71 2.91
500,000.01 - 550,000.00 1 509,275.35 0.62
600,000.01 - 650,000.00 2 1,255,021.63 1.53
--------------------------------------------------------------------------------
718 82,038,828.61 100.00
</TABLE>
31
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
COMBINED LOAN-TO-VALUE RATIO
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
RANGE LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
15.001 - 20.000 2 99,238.00 0.12
20.001 - 25.000 2 64,742.68 0.08
25.001 - 30.000 2 120,886.65 0.15
30.001 - 35.000 1 99,822.51 0.12
35.001 - 40.000 8 758,526.27 0.92
40.001 - 45.000 4 654,552.79 0.80
45.001 - 50.000 8 618,508.02 0.75
50.001 - 55.000 8 424,088.87 0.52
55.001 - 60.000 21 1,676,285.97 2.04
60.001 - 65.000 54 5,123,089.61 6.24
65.001 - 70.000 80 7,178,606.11 8.75
70.001 - 75.000 95 10,176,395.94 12.40
75.001 - 80.000 158 17,812,105.08 21.71
80.001 - 85.000 132 18,922,402.05 23.07
85.001 - 90.000 95 13,610,409.84 16.59
90.001 - 95.000 11 1,286,592.05 1.57
95.001 - 100.000 28 2,797,924.17 3.41
100.001 - 105.000 5 261,209.80 0.32
105.001 - 110.000 1 58,094.15 0.07
110.001 - 115.000 1 32,795.68 0.04
115.001 - 120.000 2 262,552.37 0.32
--------------------------------------------------------------------------------
718 82,038,828.61 100.00
</TABLE>
32
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
GEOGRAPHICAL DISTRIBUTION OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
STATE LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
Alabama 2 155,873.04 0.19
Arizona 14 1,401,104.35 1.71
Arkansas 1 53,128.46 0.06
California 147 25,308,014.33 30.85
Colorado 38 4,510,006.14 5.50
Connecticut 12 1,299,037.62 1.58
Delaware 2 205,595.23 0.25
District of Columbia 1 81,416.81 0.10
Florida 33 2,967,129.58 3.62
Georgia 12 1,423,683.07 1.74
Hawaii 1 55,193.49 0.07
Idaho 4 548,433.85 0.67
Illinois 42 4,810,730.06 5.86
Indiana 15 775,769.52 0.95
Iowa 4 174,154.01 0.21
Kansas 3 178,987.08 0.22
Kentucky 6 404,277.91 0.49
Louisiana 7 301,740.02 0.37
Maine 3 194,407.40 0.24
Maryland 8 968,083.84 1.18
Massachusetts 28 2,996,878.18 3.65
Michigan 53 4,299,390.37 5.24
Minnesota 17 1,824,516.78 2.22
Missouri 12 905,373.11 1.10
Montana 3 320,222.87 0.39
Nebraska 3 215,164.37 0.26
Nevada 11 2,091,065.90 2.55
New Hampshire 3 321,965.85 0.39
New Jersey 34 3,449,659.75 4.20
New Mexico 2 166,644.35 0.20
New York 18 3,372,913.01 4.11
North Carolina 23 1,434,024.37 1.75
Ohio 37 2,574,589.20 3.14
Oklahoma 5 349,281.38 0.43
Oregon 7 576,232.25 0.70
Pennsylvania 16 1,706,425.08 2.08
Rhode Island 3 236,311.84 0.29
South Carolina 4 278,521.29 0.34
Tennessee 11 1,231,273.63 1.50
Texas 36 3,562,983.64 4.34
Utah 15 1,829,713.21 2.23
Virginia 4 643,242.83 0.78
Washington 10 1,323,359.79 1.61
Wisconsin 7 410,075.70 0.50
Wyoming 1 102,234.05 0.12
--------------------------------------------------------------------------------
718 82,038,828.61 100.00
</TABLE>
33
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
PROPERTY TYPE
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
PROPERTY LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
2-Family 12 1,474,423.94 1.80
3-Family 7 889,947.18 1.08
4-Family 4 449,276.62 0.55
Condo 20 2,486,844.47 3.03
Low Rise Condo 1 95,018.26 0.12
Manufactured 11 706,580.10 0.86
Mobile Home 15 1,162,104.10 1.42
Multi-Family (5+) 1 112,387.06 0.14
PUD 26 3,894,947.32 4.75
Single Family 617 70,443,213.50 85.87
Townhouse 4 324,086.06 0.40
--------------------------------------------------------------------------------
718 82,038,828.61 100.00
</TABLE>
OWNER OCCUPANCY
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
OWNER OCCUPANCY LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
Investment 64 4,432,022.59 5.40
Primary 651 77,025,815.49 93.89
Secondary 3 580,990.53 0.71
--------------------------------------------------------------------------------
718 82,038,828.61 100.00
</TABLE>
DOCUMENTATION LEVEL
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
DOCUMENTATION LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
Alternative 28 2,996,353.94 3.65
Full 486 55,979,136.53 68.23
Limited 34 4,120,622.94 5.02
Missing 7 733,450.90 0.89
Stated 154 16,972,183.06 20.69
Streamlined 9 1,237,081.24 1.51
--------------------------------------------------------------------------------
718 82,038,828.61 100.00
</TABLE>
34
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
LOAN PURPOSE
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
LOAN PURPOSE LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
Cash Out 381 44,090,628.54 53.74
Purchase 262 28,517,946.96 34.76
Refinance 75 9,430,253.11 11.49
--------------------------------------------------------------------------------
718 82,038,828.61 100.00
</TABLE>
GROSS MARGIN
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
RANGE LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
1.001 - 2.000 16 1,046,492.38 1.28
2.001 - 3.000 33 4,914,767.27 5.99
3.001 - 4.000 10 856,293.88 1.04
4.001 - 5.000 34 3,701,872.38 4.51
5.001 - 6.000 159 20,814,470.21 25.37
6.001 - 7.000 392 44,835,666.57 54.65
7.001 - 8.000 54 4,529,623.54 5.52
8.001 - 9.000 13 859,124.92 1.05
9.001 - 10.000 7 480,517.46 0.59
--------------------------------------------------------------------------------
718 82,038,828.61 100.00
</TABLE>
PERIODIC INTEREST CAP
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
INTEREST CAP LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
0.00000000 1 105,352.14 0.13
1.00000000 353 36,273,674.87 44.22
1.50000000 337 40,902,257.62 49.86
2.00000000 27 4,757,543.98 5.80
--------------------------------------------------------------------------------
718 82,038,828.61 100.00
</TABLE>
INITIAL INTEREST CAP
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
INTEREST CAP LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
0.000 3 229,908.87 0.28
1.000 208 22,802,630.48 27.79
1.400 1 80,678.09 0.10
1.500 318 40,287,460.13 49.11
2.000 27 3,035,009.17 3.70
3.000 160 15,159,576.33 18.48
6.000 1 443,565.54 0.54
--------------------------------------------------------------------------------
718 82,038,828.61 100.00
</TABLE>
35
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
LIFE FLOOR
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
RANGE LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
Life Floor = 0.000 168 21,172,646.00 25.81
0.00 - 0.50 9 599,924.93 0.73
0.50 - 1.00 3 269,454.59 0.33
1.00 - 1.50 4 268,044.43 0.33
1.50 - 2.00 4 367,377.60 0.45
2.00 - 2.50 2 199,898.43 0.24
2.50 - 3.00 2 116,259.63 0.14
3.00 - 3.50 1 32,795.68 0.04
7.00 - 7.50 3 774,361.23 0.94
7.50 - 8.00 1 92,635.27 0.11
8.00 - 8.50 12 2,195,315.98 2.68
8.50 - 9.00 24 3,282,780.66 4.00
9.00 - 9.50 31 4,964,115.96 6.05
9.50 - 10.00 70 9,574,165.62 11.67
10.00 - 10.50 82 9,798,011.29 11.94
10.50 - 11.00 100 11,652,608.69 14.20
11.00 - 11.50 63 5,610,534.84 6.84
11.50 - 12.00 47 3,638,186.43 4.43
12.00 - 12.50 42 3,464,370.22 4.22
12.50 - 13.00 19 1,383,985.50 1.69
13.00 - 13.50 17 1,269,795.93 1.55
13.50 - 14.00 6 618,414.75 0.75
14.00 - 14.50 7 650,779.36 0.79
14.50 - 15.00 1 42,365.59 0.05
--------------------------------------------------------------------------------
718 82,038,828.61 100.00
</TABLE>
36
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
LIFE CAP
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
RANGE LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
9.501 - 10.000 2 139,214.37 0.17
10.001 - 10.500 9 599,924.93 0.73
10.501 - 11.000 2 189,652.78 0.23
11.001 - 11.500 5 321,289.35 0.39
11.501 - 12.000 8 914,162.11 1.11
12.001 - 12.500 7 1,165,669.75 1.42
12.501 - 13.000 5 446,179.58 0.54
13.001 - 13.500 5 1,045,656.81 1.27
13.501 - 14.000 8 1,377,318.77 1.68
14.001 - 14.500 11 2,101,349.85 2.56
14.501 - 15.000 18 2,405,401.78 2.93
15.001 - 15.500 21 3,100,196.35 3.78
15.501 - 16.000 52 6,701,627.05 8.17
16.001 - 16.500 62 8,301,780.69 10.12
16.501 - 17.000 108 14,583,288.80 17.78
17.001 - 17.500 106 11,396,690.60 13.89
17.501 - 18.000 107 11,606,504.54 14.15
18.001 - 18.500 68 5,589,983.61 6.81
18.501 - 19.000 37 3,777,098.68 4.60
19.001 - 19.500 35 2,786,077.66 3.40
19.501 - 20.000 15 1,144,066.01 1.39
20.001 - 20.500 12 824,647.47 1.01
20.501 - 21.000 7 1,137,377.14 1.39
21.001 - 21.500 8 383,669.93 0.47
--------------------------------------------------------------------------------
718 82,038,828.61 100.00
</TABLE>
STATUS LEVEL
<TABLE>
<CAPTION>
% OF CUT-OFF DATE
NUMBER OF MORTGAGE AGGREGATE UNPAID AGGREGATE PRINCIPAL
OTS STATUS LOANS PRINCIPAL BALANCE BALANCE
<S> <C> <C> <C>
30 Days Past Due 60 7,418,983.51 9.04
60 Days Past Due 18 2,037,097.81 2.48
Current 615 70,174,312.12 85.54
Re-performing 25 2,408,435.17 2.94
--------------------------------------------------------------------------------
718 82,038,828.61 100.00
</TABLE>
37
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
BOND SUMMARY (TO CALL)
----------------------
The following tables are based on assumed mortgage loan groups with different
characteristics from the characteristics described in the collateral summary and
tables on the preceding pages.
<TABLE>
<CAPTION>
A-1F (TO CALL)
-----------------------------------------------------------------------------------------------------------------
0% Base 50% Base 80% Base 100% BASE 120% Base 150% Base
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life 8.44 1.96 1.26 1.01 0.83 0.65
Modified Duration 5.77 1.72 1.15 0.93 0.77 0.61
First Payment 12 / 00 12 / 00 12 / 00 12 / 00 12 / 00 12 / 00
Last Payment 4 / 13 3 / 05 9 / 03 2 / 03 10 / 02 5 / 02
</TABLE>
<TABLE>
<CAPTION>
A-2F (TO CALL)
-----------------------------------------------------------------------------------------------------------------
0% Base 50% Base 80% Base 100% BASE 120% Base 150% Base
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life 15.62 7.32 4.97 3.96 3.10 2.04
Modified Duration 8.81 5.35 3.95 3.25 2.62 1.82
First Payment 4 / 13 3 / 05 9 / 03 2 / 03 10 / 02 5 / 02
Last Payment 3 / 20 3 / 12 10 / 08 7 / 07 10 / 06 9 / 03
</TABLE>
<TABLE>
<CAPTION>
A-1A (TO CALL)
-----------------------------------------------------------------------------------------------------------------
0% Base 50% Base 80% Base 100% BASE 120% Base 150% Base
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life 20.70 5.23 3.32 2.52 1.93 1.25
Modified Duration 10.19 3.76 2.61 2.07 1.64 1.12
First Payment 12 / 00 12 / 00 12 / 00 12 / 00 12 / 00 12 / 00
Last Payment 5 / 28 4 / 14 5 / 10 5 / 08 1 / 07 8 / 05
</TABLE>
<TABLE>
<CAPTION>
M-1 (TO CALL)
-----------------------------------------------------------------------------------------------------------------
0% Base 50% Base 80% Base 100% BASE 120% Base 150% Base
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life 24.61 9.08 6.00 4.99 4.59 4.62
Modified Duration 10.34 6.03 4.46 3.89 3.68 3.72
First Payment 11 / 20 6 / 05 1 / 04 4 / 04 7 / 04 2 / 05
Last Payment 5 / 28 4 / 14 5 / 10 5 / 08 1 / 07 8 / 05
</TABLE>
38
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
BOND SUMMARY (TO CALL)
<TABLE>
<CAPTION>
M-2 (TO CALL)
-----------------------------------------------------------------------------------------------------------------
0% Base 50% Base 80% Base 100% BASE 120% Base 150% Base
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life 24.61 9.08 5.99 4.89 4.31 4.02
Modified Duration 9.81 5.86 4.36 3.76 3.42 3.26
First Payment 11 / 20 6 / 05 12 / 03 2 / 04 3 / 04 6 / 04
Last Payment 5 / 28 4 / 14 5 / 10 5 / 08 1 / 07 8 / 05
</TABLE>
<TABLE>
<CAPTION>
B-1 (TO CALL)
-----------------------------------------------------------------------------------------------------------------
0% Base 50% Base 80% Base 100% BASE 120% Base 150% Base
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life 24.61 9.08 5.98 4.85 4.20 3.72
Modified Duration 9.57 5.79 4.31 3.70 3.32 3.03
First Payment 11 / 20 6 / 05 12 / 03 12 / 03 1 / 04 2 / 04
Last Payment 5 / 28 4 / 14 5 / 10 5 / 08 1 / 07 8 / 05
</TABLE>
<TABLE>
<CAPTION>
B-2 (TO CALL)
-----------------------------------------------------------------------------------------------------------------
0% Base 50% Base 80% Base 100% BASE 120% Base 150% Base
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life 24.57 9.00 5.90 4.76 4.10 3.56
Modified Duration 9.57 5.76 4.27 3.65 3.26 2.91
First Payment 11 / 20 6 / 05 12 / 03 12 / 03 12 / 03 1 / 04
Last Payment 5 / 28 4 / 14 5 / 10 5 / 08 1 / 07 8 / 05
</TABLE>
39
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
BOND SUMMARY (TO MATURITY)
The following tables are based on assumed mortgage loan groups with different
characteristics from the characteristics described in the collateral summary and
tables on the preceding pages.
<TABLE>
<CAPTION>
A-1F (TO MATURITY)
---------------------------------------------------------------------------------------------------------------
0% Base 50% Base 80% Base 100% BASE 120% Base 150% Base
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life 8.44 1.96 1.26 1.01 0.83 0.65
Modified Duration 5.77 1.72 1.15 0.93 0.77 0.61
First Payment 12 / 00 12 / 00 12 / 00 12 / 00 12 / 00 12 / 00
Last Payment 4 / 13 3 / 05 9 / 03 2 / 03 10 / 02 5 / 02
</TABLE>
<TABLE>
<CAPTION>
A-2F (TO MATURITY)
---------------------------------------------------------------------------------------------------------------
0% Base 50% Base 80% Base 100% BASE 120% Base 150% Base
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life 15.62 7.32 4.97 3.96 3.10 2.04
Modified Duration 8.81 5.35 3.95 3.25 2.62 1.82
First Payment 4 / 13 3 / 05 9 / 03 2 / 03 10 / 02 5 / 02
Last Payment 3 / 20 3 / 12 10 / 08 7 / 07 10 / 06 9 / 03
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------
A-1A (TO MATURITY) 0% Base 50% Base 80% Base 100% BASE 120% Base 150% Base
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life 20.80 5.84 3.79 2.95 2.31 1.50
Modified Duration 10.20 3.95 2.81 2.28 1.85 1.27
First Payment 12 / 00 12 / 00 12 / 00 12 / 00 12 / 00 12 / 00
Last Payment 2 / 30 12 / 26 2 / 22 1 / 19 8 / 16 9 / 13
</TABLE>
<TABLE>
<CAPTION>
M-1 (TO MATURITY)
---------------------------------------------------------------------------------------------------------------
0% Base 50% Base 80% Base 100% BASE 120% Base 150% Base
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life 24.37 9.95 6.64 5.58 5.13 5.53
Modified Duration 10.36 6.26 4.70 4.16 3.95 4.26
First Payment 11 / 20 6 / 05 1 / 04 4 / 04 7 / 04 2 / 05
Last Payment 12 / 29 11 / 23 2 / 18 4 / 15 4 / 13 12 / 10
</TABLE>
40
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
BOND SUMMARY (TO MATURITY)
<TABLE>
<CAPTION>
M-2 (TO MATURITY)
---------------------------------------------------------------------------------------------------------------
0% Base 50% Base 80% Base 100% BASE 120% Base 150% Base
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life 24.75 9.85 6.53 5.42 4.77 4.39
Modified Duration 9.83 6.06 4.56 3.99 3.65 3.47
First Payment 11 / 20 6 / 05 12 / 03 2 / 04 3 / 04 6 / 04
Last Payment 9 / 29 12 / 21 2 / 16 5 / 13 11 / 11 7 / 09
</TABLE>
<TABLE>
<CAPTION>
B-1 (TO MATURITY)
---------------------------------------------------------------------------------------------------------------
0% Base 50% Base 80% Base 100% BASE 120% Base 150% Base
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life 24.71 9.60 6.35 5.20 4.49 3.96
Modified Duration 9.58 5.92 4.45 3.85 3.47 3.17
First Payment 11 / 20 6 / 05 12 / 03 12 / 03 1 / 04 2 / 04
Last Payment 4 / 29 4 / 19 8 / 13 11 / 11 12 / 09 1 / 08
</TABLE>
<TABLE>
<CAPTION>
B-2 (TO MATURITY)
---------------------------------------------------------------------------------------------------------------
0% Base 50% Base 80% Base 100% BASE 120% Base 150% Base
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life 24.59 9.08 5.95 4.81 4.15 3.59
Modified Duration 9.57 5.78 4.29 3.67 3.28 2.93
First Payment 11 / 20 6 / 05 12 / 03 12 / 03 12 / 03 1 / 04
Last Payment 9 / 28 11 / 15 6 / 11 5 / 09 11 / 07 4 / 06
</TABLE>
41
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
<PAGE>
C-BASS
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-CB4
$162,386,000 (APPROXIMATE)
--------------------------------------------------------------------------------
MAXIMUM GROUP 2 NET COUPON
<TABLE>
<CAPTION>
------------------------------------------
Maximum
Collateral Net
Period Date Coupon*
------------------------------------------
<S> <C> <C>
1 12/25/00 9.56
2 1/25/01 9.56
3 2/25/01 9.56
4 3/25/01 9.56
5 4/25/01 9.63
6 5/25/01 9.63
7 6/25/01 9.63
8 7/25/01 9.63
9 8/25/01 9.63
10 9/25/01 9.64
11 10/25/01 9.71
12 11/25/01 9.71
13 12/25/01 9.71
14 1/25/02 9.71
15 2/25/02 9.71
16 3/25/02 9.71
17 4/25/02 9.89
18 5/25/02 9.89
19 6/25/02 9.90
20 7/25/02 9.90
21 8/25/02 10.10
22 9/25/02 10.10
23 10/25/02 10.20
24 11/25/02 10.20
25 12/25/02 10.20
26 1/25/03 10.20
27 2/25/03 10.28
28 3/25/03 10.27
29 4/25/03 10.30
30 5/25/03 10.29
31 6/25/03 10.29
32 7/25/03 10.28
33 8/25/03 10.33
34 9/25/03 10.33
35 10/25/03 10.33
36 11/25/03 10.33
------------------------------------------
</TABLE>
* MAXIMUM NET COUPON is calculated using 6-Month LIBOR = 6.60%, 1-Year CMT =
5.93%, and 3-Year CMT =5.55%
42
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. These structural Computational Materials supersedes any previous
structural Computational Materials and will be superseded by the structural
information in the Prospectus Supplement.
