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Previous: HAVANA GROUP INC, SC 13D, 1999-12-08 |
Next: ZIFF DAVIS INC, 8-K, 1999-12-08 |
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report: December 8, 1999
(Date of earliest event reported)
Commission File No. 333-62547
Asset Backed Funding Corporation
- --------------------------------------------------------------------------------
Delaware 75-2533468
- --------------------------------------------------------------------------------
(State of Incorporation) (I.R.S. Employer
Identification No.)
100 North Tryon Street
- --------------------------------------------------------------------------------
Charlotte, North Carolina 28255
Address of principal executive offices (Zip Code)
(704) 386-2400
- --------------------------------------------------------------------------------
Registrant's Telephone Number, including area code
NationsBanc Asset Securities, Inc.
- --------------------------------------------------------------------------------
(Former name, former address and former fiscal year,
if changed since last report)
<PAGE>
ITEM 5. Other Events
------------
Attached as an exhibit are the Computational Materials (as
defined in the no-action letter dated May 21, 1994 issued by the
Securities and Exchange Commission to Kidder, Peabody Acceptance
Corporation-I, Kidder, Peabody & Co. Incorporated and Kidder Structured
Asset Corporation (the "Kidder Letter")) and Collateral Term Sheets and
Structural Term Sheets (as each are defined in the no-action letter dated
February 17, 1995 issued by the Securities and Exchange Commission to the
Public Securities Association) prepared by Banc of America Securities LLC,
which are hereby filed pursuant to such letter.
<PAGE>
ITEM 7. Financial Statements and Exhibits
---------------------------------
(c) Exhibits
Item 601(a)
of Regulation S-K
Exhibit No. Description
- ----------------- ----------------------------------------
(99) Computational Materials, Structural Term
Sheets and Collateral Term Sheets
prepared by Banc of America
Securities LLC in
connection with Asset Backed Funding
Certificates, Series 1999-1
<PAGE>
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
ASSET BACKED FUNDING CORPORATION
December 8, 1999
By: /s/ Bob Perret
--------------------------------------
Name: Bob Perret
Title: Senior Vice President
<PAGE>
INDEX TO EXHIBITS
Paper (P) or
Exhibit No. Description Electronic (E)
- ----------- ----------- --------------
(99) Computational Materials, Structural
Term Sheets and Collateral Term Sheets E
prepared by Banc of America
Securities LLC in connection with
Asset-Backed FundingCertificates,
Series 1999-1
<TABLE>
BANC OF AMERICA SECURITIES LLC
C-BASS 99-CB6
<CAPTION>
- ------------------------------------------------------------------------------------------------------
UPB IntRate OrigAmTerm OrigTerm RemTerm Age MI fee FNMA
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
388,514.19 9.3300 59 59 47 12 0 Y
- ------------------------------------------------------------------------------------------------------
5,576,844.38 9.6277 116 116 105 11 0 Y
- ------------------------------------------------------------------------------------------------------
16,602,039.06 9.7601 179 177 167 10 0 Y
- ------------------------------------------------------------------------------------------------------
12,460,717.35 9.9396 239 239 227 12 0 Y
- ------------------------------------------------------------------------------------------------------
5,052,942.40 9.9999 299 296 287 9 0 Y
- ------------------------------------------------------------------------------------------------------
33,117,038.67 10.1370 360 348 342 6 0 Y
- ------------------------------------------------------------------------------------------------------
1,121,657.83 9.5489 120 120 111 9 0.58 Y
- ------------------------------------------------------------------------------------------------------
7,476,433.77 9.6934 180 180 172 8 0.58 Y
- ------------------------------------------------------------------------------------------------------
7,216,045.87 9.8198 240 240 231 9 0.58 Y
- ------------------------------------------------------------------------------------------------------
1,873,559.53 9.8451 299 299 289 10 0.58 Y
- ------------------------------------------------------------------------------------------------------
32,507,642.19 9.9337 360 356 351 5 0.58 Y
- ------------------------------------------------------------------------------------------------------
196,182.60 8.9437 120 120 120 0 0 N
- ------------------------------------------------------------------------------------------------------
25,858.00 8.4700 180 180 180 0 0 N
- ------------------------------------------------------------------------------------------------------
151,768.50 8.9041 240 240 239 1 0 N
- ------------------------------------------------------------------------------------------------------
4,633,418.50 9.4331 360 360 315 45 0 N
- ------------------------------------------------------------------------------------------------------
753,484.54 9.3088 240 240 228 12 0.58 N
- ------------------------------------------------------------------------------------------------------
86,240.99 8.5500 300 300 299 1 0.58 N
- ------------------------------------------------------------------------------------------------------
1,624,402.13 9.9200 360 360 355 5 0.58 N
- ------------------------------------------------------------------------------------------------------
130,864,790.50
</TABLE>
<PAGE>
BANC OF AMERICA SECURITIES LLC
PRUDENTIAL SECURITIES INCORPORATED
[BANC OF AMERICA LOGO] [PRUDENTIAL SECURITIES LOGO]
- --------------------------------------------------------------------------------
RMBS NEW ISSUE TERM SHEET
$125,957,000 CERTIFICATES (APPROXIMATE)
ASSET BACKED FUNDING CERTIFICATES, SERIES 1999-1
CLASSES A-1A, A-1F, A-2F, M-1, M-2, & B
ASSET BACKED FUNDING CORPORATION
DEPOSITOR
CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC
SELLER
LITTON LOAN SERVICING LP
SERVICER
DECEMBER 7, 1999
<PAGE>
ASSET BACKED FUNDING CERTIFICATES, SERIES 1999-1
$125,957,000 (APPROXIMATE)
Banc of America Securities LLC Prudential Securities Incorporated
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC and Prudential Securities Incorporated (the
"Underwriters") are not soliciting any action based upon it. This material is
not to be construed as an offer to sell or the solicitation of any offer to buy
any security in any jurisdiction where such an offer or solicitation would be
illegal. This material is based on information that the Underwriters considers
reliable, but the Underwriters do not represent that it is accurate or complete
and it should not be relied upon as such. By accepting this material the
recipient agrees that it will not distribute or provide the material to any
other person. The information contained in this material may pertain to
securities that ultimately are not sold. The information contained in this
material may be based on assumptions regarding market conditions and other
matters as reflected herein. The Underwriters makes no representation regarding
the reasonableness of such assumptions or the likelihood that any of such
assumptions will coincide with actual market conditions or events, and this
material should not be relied upon for such purposes. The Underwriters and their
affiliates, officers, directors, partners and employees, including persons
involved in the preparation or issuance of this material may, from time to time,
have long or short positions in, and buy and sell, the securities mentioned
therein or derivatives thereof (including options). This material may be filed
with the Securities and Exchange Commission (the "SEC") and incorporated by
reference into an effective registration statement previously filed with the SEC
under Rule 415 of the Securities Act of 1933, including all cases where the
material does not pertain to securities that are ultimately offered for sale
pursuant to such registration statement. Information contained in this material
is current as of the date appearing on this material only. Information in this
material regarding any assets backing any securities discussed herein supersedes
all prior information regarding such assets. Any information in the material,
whether regarding the assets backing any securities discussed herein or
otherwise, will be superseded by the information contained in any final
prospectus for any securities actually sold to you. This material is furnished
solely by the Underwriters and not by the issuer of the securities. The issuer
of the securities has not prepared, reviewed or participated in the preparation
of this material, is not responsible for the accuracy of this material and has
not authorized the dissemination of this material. The Underwriters are acting
as underwriter and not acting as agent for the issuer in connection with the
proposed transaction.
<TABLE>
OFFERED CERTIFICATES:
- ----------------------------------------------------------------------------------------------------------------------------
TO MATURITY:
- ----------- ----------------- ------- ----------- ------ ----------- ------------- -----------------------------------------
<CAPTION>
Final
Approximate Est. Est. Scheduled Expected Ratings
Class Size* Group Coupon WAL Prin. Distribution
Type (yrs) Window Date
(mos) ------------ ------------ ---------------
Moody's Fitch DCR
- ----------- ----------------- ------- ----------- ------ ----------- ------------- ------------ ------------ ---------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1A** $51,597,000 1 Flt 0.85 1-24 06/25/2013 Aaa AAA AAA
A-1F** 47,116,000 1 Fxd 4.95 24-207 10/25/2030 Aaa AAA AAA
A-2F** 5,977,000 2 Fxd 2.98 1-208 10/25/2030 Aaa AAA AAA
M-1 9,161,000 1,2 Fxd 5.82 39-174 10/25/2030 Aa2 AA AA
M-2 6,544,000 1,2 Fxd 5.74 38-159 10/25/2030 A2 A A
B 5,562,000 1,2 Fxd 5.60 37-141 10/25/2030 Baa2 BBB BBB
- ----------- ----------------- ------- ----------- ------ ----------- ------------- ------------ ------------ ---------------
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
TO CALL:
- ----------- ----------------- ------- ----------- ------ ----------- ------------- -----------------------------------------
Final
Approximate Est. Est. Scheduled Expected Ratings
Class Size* Group Coupon WAL Prin. Distribution
Type (yrs) Window Date
(mos) ------------ ------------ ---------------
Moody's Fitch DCR
- ----------- ----------------- ------- ----------- ------ ----------- ------------- ------------ ------------ ---------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1A** $51,597,000 1 Flt 0.85 1-24 06/25/2013 Aaa AAA AAA
A-1F** 47,116,000 1 Fxd 4.50 24-96 10/25/2030 Aaa AAA AAA
A-2F** 5,977,000 2 Fxd 2.68 1-96 10/25/2030 Aaa AAA AAA
M-1 9,161,000 1,2 Fxd 5.28 39-96 10/25/2030 Aa2 AA AA
M-2 6,544,000 1,2 Fxd 5.25 38-96 10/25/2030 A2 A A
B 5,562,000 1,2 Fxd 5.24 37-96 10/25/2030 Baa2 BBB BBB
- ----------- ----------------- ------- ----------- ------ ----------- ------------- ------------ ------------ ---------------
</TABLE>
* The Approximate Size is subject to a permitted variance in the aggregate of
plus or minus 5%.
** Priced to call.
- --------------------------------------------------------------------------------
DISTRIBUTIONS:
- --------------
(1) If the Optional Clean-Up Call is not exercised by the Seller, the margin on
the Class A-1A will double, and the Class A-1F and Class A-2F Pass-Through
Rates will increase by 50 bps per annum.
(2) The pricing speed for the Mortgage Loans is 23% CPR.
(3) All classes are subject to a Maximum Rate as defined herein.
(4) Classes M-1, M-2 and B are not expected to receive principal payments until
the Stepdown Date.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CONTACT: BANC OF AMERICA SECURITIES LLC
<S> <C>
Mortgage Trading/Syndicate (704) 386-7744 (704) 335-5904 (Fax)
Chris Hentemann (email: [email protected])
David Nagle (email: [email protected])
Alex Cha (email: [email protected])
Mortgage Finance (704) 388-9668(Fax)
Shahid Quraishi (704) 388-9399 (email: [email protected])
Michael Ciuffo (704) 388-8737 (email: [email protected])
Mary Rapoport (704) 387-0998 (email: [email protected])
Structuring
Michael Tri (704) 388-8786 (email: [email protected])
Peter Faigl (704) 388-8245 (email: [email protected])
William White (704) 387-6040 (email: [email protected])
</TABLE>
<PAGE>
SUMMARY OF TERMS
TITLE OF SECURITIES: Asset Backed Funding Certificates, Series
1999-1
SERVICER: Litton Loan Servicing LP, an affiliate of
the Seller.
SELLER: Credit-Based Asset Servicing and
Securitization LLC (C-BASS)
TRUSTEE: The Chase Manhattan Bank
CUSTODIAN: Bank One Trust Company, NA
RATING AGENCIES: Moody's Investors Service, Inc.
("Moody's"), Fitch IBCA, Inc. ("Fitch")
and Duff & Phelps Credit Rating Co.
("DCR").
UNDERWRITERS: Banc of America Securities LLC
Prudential Securities Incorporated
SETTLEMENT DATE: On or about December 21, 1999.
DISTRIBUTION DATES: 25th of each month, or if such day is not
a business day, the next succeeding
business day, beginning on December 27,
1999.
RECORD DATE: The last business day in the month
preceding the applicable Distribution
Date (except for the Class A-1A
Certificates, as to which the Record Date
is the business day preceding the
Distribution Date).
CUT-OFF DATE: The close of business November 1, 1999.
PAYMENT DELAY: With respect to the Offered Certificates,
other than the Class A-1A Certificates,
24 days and with respect to the Class
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.
BASE SERVICING FEE: 0.50% of the aggregate Principal Balance
of the Mortgage Loans.
SERVICING FEE: 0.50% to [1.08%] of the aggregate
Principal Balance of the Mortgage Loans.
TRUSTEE FEE: 0.0125% of the aggregate Principal
Balance of the Mortgage Loans.
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 $1,000 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.
GROUP 1 MORTGAGE LOANS: Consist of 1,995 fixed-rate Mortgage
Loans with agency conforming balances and
an aggregate principal balance of
$123,393,435.25 as of the Cut-off Date.
GROUP 2 MORTGAGE LOANS: Consist of 39 fixed-rate Mortgage Loans
with an aggregate principal balance of
$7,471,355.26 as of the Cut-off Date.
INITIAL MORTGAGE LOAN POOL: o The collateral information presented
in this term sheet regarding the
mortgage pool is as of the Cut-off
Date.
o Consists of fixed-rate closed-end
mortgage loans, secured by 1st lien,
level pay and balloon mortgages on
primarily 1-4 family properties (the
"Mortgage Loans").
o For collateral statistics please see
the "Description of the Collateral"
below.
CREDIT ENHANCEMENT: CLASS A CREDIT ENHANCEMENT
(1) Excess cash.
(2) Subordination of Class M-1, M-2, and
B Certificates, totaling [16.25%] of
the original Mortgage Loan amount
and initial overcollateralization of
[3.75%] of the original Mortgage
Loan amount.
CLASS M-1, M-2, AND B 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 [3.75%]
of the original Mortgage Loan
amount.
(3) Class M-2 is enhanced by [4.25%] in
subordinate certificates and
overcollateralization initially
equal to the requirement of [3.75%]
of the original Mortgage Loan
amount.
(4) Class B is enhanced by
overcollateralization initially
equal to the requirement of [3.75%]
of the original Mortgage Loan
amount.
OVERCOLLATERALIZATION: (1) Before the Stepdown Date, the
overcollateralization requirement is
[3.75%] of the original Mortgage
Loan amount.
(2) On and after the Stepdown Date, the
overcollateralization requirement is
the lower of [7.50%] of the current
aggregate Mortgage Loan amount and
[3.75%] 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
nonrecoverable 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 ("Relief
Act").
SIMPLE INTEREST LOANS
The Servicer is NOT required to advance
scheduled principal and interest for any
delinquent Mortgage Loan.
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
INTEREST SHORTFALLS: The Servicer will be obligated to pay
from its own funds Prepayment Interest
Shortfalls for any prepayment in full on
an Actuarial Loan, but only to the extent
of 50% of its Base Servicing Fee for the
related Collection Period. THE SERVICER
WILL NOT COVER ANY PREPAYMENT INTEREST
SHORTFALLS ON SIMPLE INTEREST LOANS.
<PAGE>
INTEREST DISTRIBUTIONS
INTEREST ACCRUAL: o Interest will accrue on the Offered
Certificates at a rate equal to the
lesser of (i) the applicable pass
through rate and (ii) the Maximum
Rate.
o For any Distribution Date, 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.
o The "Class A-1A Pass-Through Rate"
is equal 1 month LIBOR plus the
applicable margin.
o For any Distribution Date, interest
on the Offered Certificates (other
than the Class A-1A Certificates)
accrues during the calendar month
prior to the current Distribution
Date on a 30/360 basis.
STEP-UP COUPON: If the Optional Clean-Up Call is
not exercised by the Seller, the margin
on the Class A-1A Certificates will
double, and the Class A-1F and Class A-2F
Pass-Through Rates will increase by 50
bps per annum.
LIBOR CARRYOVER AMOUNT: If the Class A-1A
Pass-Through Rate is reduced to the
Maximum Rate, any interest which would
have accrued at the Class A-1A
Pass-Through Rate but is unpaid due to
the application of the Maximum Rate will
be payable on the next Distribution Date,
together with accrued interest thereon at
the then current Class A-1A Pass-Through
Rate, to the extent of certain available
funds.
MAXIMUM RATE: The Maximum Rate shall equal the
average of the mortgage interest rates
(net of the Servicing Fee and the rate at
which the Trustee Fee is calculated),
weighted on the basis of the Mortgage
Loan balances as of the first day of the
related Collection Period.
<PAGE>
PRINCIPAL DISTRIBUTIONS
SENIOR CERTIFICATES: Class A-1A, Class A-1F, and Class A-2F
Certificates.
SUBORDINATE CERTIFICATES: Class M-1, Class M-2, and Class B
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
amount, if any, by which the Targeted
Overcollateralization Amount exceeds the
overcollateralization amount for such
Distribution Date.
SENIOR PRINCIPAL DISTRIBUTION AMOUNT
(SENIOR PDA): As to (a) any Distribution Date prior to
the Stepdown Date or during the
continuation of a Trigger Event, the
lesser of (1) 100% of the Principal
Distribution Amount and (2) the aggregate
Principal Balance of the Senior
Certificates, and (b) any other
Distribution Date, an amount equal to the
excess, if any, of (x) the aggregate
Principal Balance of the Senior
Certificates immediately prior to such
Distribution Date over (y) the lesser of
(A) [60.00%] of the Mortgage Loan balance
as of the last day of the related
Collection Period and (B) the Mortgage
Loan balance as of the last day of the
related Collection Period minus the
overcollateralization floor.
GROUP 1 SENIOR PRINCIPAL
DISTRIBUTION AMOUNT: The Group 1 Senior Principal Distribution
Amount ("Group 1 Senior PDA") equals the
lesser of (i) the Senior PDA multiplied
by the Group 1 Principal Percentage and
(ii) the Group 1 Principal Balance of the
Senior Certificates.
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 Mortgage Loans for such period.
GROUP 2 SENIOR PRINCIPAL
DISTRIBUTION AMOUNT: The Group 2 Senior Principal Distribution
Amount ("Group 2 Senior PDA") equals the
lesser of (i) the Senior PDA less the
Group 1 Senior PDA and (ii) the Group 2
Principal Balance of the Senior
Certificates.
ALLOCATION OF PRINCIPAL BETWEEN THE
SENIOR CERTIFICATES: Senior PDA is paid as follows:
1. The Group 1 Senior PDA to the Class
A-1A Certificates until their
principal balance has been reduced
to zero and to Class A-1F
Certificates thereafter.
2. The Group 2 Senior PDA to the Class
A-2F Certificates.
CLASS M-1, M-2, AND B PRINCIPAL
DISTRIBUTIONS: On any Distribution Date prior to the
Stepdown Date or during the continuation
of a Trigger Event, any portion of the
Principal Distribution Amount remaining
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 and third, to
the Class B Certificates until their
respective principal balances have been
reduced to zero.
On any Distribution Date on or after the
Stepdown Date and so long as a Trigger
Event is not in effect, any portion of
the Principal Distribution Amount
remaining after the Senior Principal
Distribution Amount has been distributed
to the Senior Certificates will be
distributed to the Class M-1, Class M-2,
and Class B Certificates, in that order,
up to their Subordinate Principal
Distribution Amounts. The "Subordinate
Principal Distribution Amount" for the
Class M-1, Class M-2, and Class B
Certificates, respectively, is the
excess, of (i) the sum of the certificate
principal balance of such Class and all
more senior classes of the Offered
Certificates (after taking into account
principal distributions to the more
senior certificates) over (ii) the lesser
of (a) one minus the related Credit
Support Percentage multiplied by the Pool
Balance of the last day of the related
Collection Period and (b) the Mortgage
Loan balance as of the last day of the
related Collection Period minus the
overcollateralization floor.
<PAGE>
CREDIT ENHANCEMENT - SENIOR/SUBORDINATE STRUCTURE
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
Subordinate Certificates.
SUBORDINATION: If overcollateralization is insufficient
to cover losses on any Mortgage Loans,
those losses will be applied in reduction
of the principal balances of the
Subordinate Certificates, in reverse
order of seniority.
CROSS-COLLATERALIZATION: o Interest collections on the Group 1
Mortgage Loans will be available to
cover certain shortfalls and
maintain overcollateralization on
the Class A-2F Certificates.
o Interest collections on the Group 2
Mortgage Loans will be available
cover certain shortfalls and cover
certain shortfalls on the Class A-1A
and Class A-1F Certificates.
TARGETED OVERCOLLATERALIZATION
AMOUNT: Prior to the Stepdown Date, [3.75%] of
the aggregate initial principal balance
of the Mortgage Loans. On and after the
Stepdown Date, the lesser of (1) [3.75%]
of the aggregate initial principal
balance of the Mortgage Loans and (2) the
greater of [7.50%] of the aggregate
current principal balance of the Mortgage
Loans and [0.50%] of the aggregate
initial principal balance of the Mortgage
Loans.
<TABLE>
<CAPTION>
CREDIT SUPPORT PERCENTAGE: Initial Credit Support After Stepdown Date
---------------------- -------------------
Class Percent Class Percent
----- ------- ----- -------
<S> <C> <C> <C>
A-1A,A-1F,A-2F [20.00%] A-1A,A-1F,A-2F [40.00%]
M1 [13.00%] M-1 [26.00%]
M-2 [8.00%] M-2 [16.00%]
B [3.75%] B [7.50%]
</TABLE>
STEPDOWN DATE: The later to occur of (i) the
Distribution Date in December 2002 and
(ii) the first Distribution Date on which
the Senior Enhancement Percentage is
greater than or equal to the Senior
Specified Enhancement Percentage.
SENIOR SPECIFIED ENHANCEMENT As of any date, [40.00%].
PERCENTAGE:
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 immediately preceding Collection
Period:
(a) the "Rolling Six Month 60+
Delinquency Percentage" equals or
exceeds [50] % of the Senior
Enhancement Percentage; or
(b) the aggregate amount of realized
losses incurred since the Cut-off
Date through the last day of such
preceding Collection Period divided
by the Cut-off Date Pool Principal
Balance exceeds the applicable
percentages set forth below with
respect to such Distribution Date:
Distribution Date Percentage
----------------- ----------
December 25, 2002 to November 25, 2003 [2.50%]
December 25, 2003 to November 25, 2004 [3.00%]
December 25, 2004 to November 25, 2005 [3.75%]
December 25, 2005 and thereafter [4.00%]
60+ DAY DELINQUENT LOAN: Each Mortgage Loan with respect to which
any portion of a monthly payment is, as
of the last day of the prior Collection
Period, two months or more past due, each
Mortgage Loan in foreclosure, all REO
Property and each Mortgage Loan for which
the Mortgagor has filed for bankruptcy
after the Settlement Date.
ROLLING SIX MONTH 60+ DAY
DELINQUENT PERCENTAGE: With respect to any Distribution Date,
the average of the percentage equivalents
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.
<PAGE>
<TABLE>
DESCRIPTION OF THE COLLATERAL
TOTAL POOL
<CAPTION>
SUMMARY TOTAL MINIMUM MAXIMUM
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Cut-off Date Aggregate Principal Balance $130,864,790.51
Number of Loans 2,034
Average Original Loan Balance 65,429.21 6,000.00 460,000.00
Average Current Loan Balance 64,338.64 1,556.58 424,950.88
Weighted Average Original LTV 82.06% 5.30% 100.00%
Weighted Average Gross Coupon 9.90% 7.00% 18.00%
Weighted Average Remaining Term to Maturity (months) 277 7 360
Weighted Average Loan Age 9 0 153
Weighted Average Original Term (months) 286 42 361
Weighted Average Credit Score* 627 422 800
- -----------------------------------------------------------------------------------------------------------------------------
* Based upon Credit Score available on 97.75% of the Total Pool of mortgage loans.
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
PERCENT OF CUT-OFF DATE
RANGE PRINCIPAL BALANCE
----- -----------------
<S> <C> <C>
Fully Amortizing Mortgage Loans 97.90%
Balloon Mortgage Loans 2.10%
Interest Type Simple Interest Loans 76.83%
Actuarial Loans 23.17%
Loan Type Conventional 98.66%
Seller Financed Loans 1.34%
Property Type Single Family 93.22%
Townhouse 1.55%
Manufactured 1.52%
2-4 Family 1.20%
Condominium 1.06%
Multi-Family 1.02%
PUD 0.23%
Mobile Home 0.20%
Occupancy Status Owner Occupied 94.00%
Non-Owner Occupied 6.00%
Geographic Distribution Florida 20.30%
California 9.79%
North Carolina 7.64%
South Carolina 6.33%
Georgia 6.14%
Largest Zip Code Concentration 47834 0.39%
Loans with Prepayment Penalties 52.94%
Delinquency 30 - 59 days 3.96%
60 - 89 days 0.65%
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 1
<CAPTION>
SUMMARY TOTAL MINIMUM MAXIMUM
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Cut-off Date Aggregate Principal Balance $123,393,435.25
Number of Loans 1,995
Average Original Loan Balance 62,839.22 6,000.00 240,000.00
Average Current Loan Balance 61,851.35 1,556.58 239,690.90
Weighted Average Original LTV 82.12% 5.30% 100.00%
Weighted Average Gross Coupon 9.93% 7.00% 18.00%
Weighted Average Remaining Term to Maturity (months) 276 7 360
Weighted Average Loan Age 8 0 153
Weighted Average Original Term (months) 283 42 361
Weighted Average Credit Score* 627 422 800
- -----------------------------------------------------------------------------------------------------------------------------
* Based upon Credit Score available on 99.38% of Loan Group 1 mortgage loans.
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
PERCENT OF CUT-OFF DATE
RANGE PRINCIPAL BALANCE
----- -----------------
<S> <C> <C>
Fully Amortizing Mortgage Loans 97.77%
Balloon Mortgage Loans 2.23%
Interest Type Simple Interest Loans 76.40%
Actuarial Loans 23.60%
Loan Type Conventional 98.58%
Seller Financed Loans 1.42%
Property Type Single Family 93.89%
Townhouse 1.65%
Manufactured 1.61%
2-4 Family 1.27%
Condominium 1.13%
PUD 0.24%
Mobile Home 0.21%
Occupancy Status Owner Occupied 93.78%
Non-Owner Occupied 6.22%
Geographic Distribution Florida 20.66%
North Carolina 8.10%
California 7.12%
South Carolina 6.71%
Georgia 6.01%
Largest Zip Code Concentration 47834 0.42%
Loans with Prepayment Penalties 53.69%
Delinquency 30 - 59 days 4.20%
60 - 89 days 0.69%
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 1
<CAPTION>
CUT-OFF DATE PRINCIPAL BALANCES
RANGE OF NUMBER OF PERCENTAGE OF
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
PRINCIPAL BALANCES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
$ 0.01 - $ 25,000.00 192 $ 3,546,153.06 2.87%
$ 25,000.01 - $ 50,000.00 685 25,908,534.05 21.00
$ 50,000.01 - $ 75,000.00 607 37,315,139.41 30.24
$ 75,000.01 - $100,000.00 261 22,449,542.52 18.19
$100,000.01 - $125,000.00 126 14,044,367.87 11.38
$125,000.01 - $150,000.00 59 8,124,799.76 6.58
$150,000.01 - $175,000.00 28 4,545,101.66 3.68
$175,000.01 - $200,000.00 19 3,572,889.56 2.90
$200,000.01 - $225,000.00 13 2,728,882.82 2.21
$225,000.01 - $250,000.00 5 1,158,024.54 0.94
---------------------------------------------------------------------------
TOTAL 1,995 $123,393,435.25 100.00%
<CAPTION>
ORIGINAL LOAN-TO-VALUE RATIOS
NUMBER OF PERCENTAGE OF
RANGE OF ORIGINAL CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
LOAN-TO-VALUE RATIOS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
0.01% - 10.00% 3 $ 114,200.29 0.09%
10.01% - 15.00% 13 275,006.49 0.22
15.01% - 20.00% 17 359,247.25 0.29
20.01% - 25.00% 24 632,776.13 0.51
25.01% - 30.00% 19 409,103.19 0.33
30.01% - 35.00% 24 644,548.28 0.52
35.01% - 40.00% 34 1,010,471.91 0.82
40.01% - 45.00% 37 1,328,257.09 1.08
45.01% - 50.00% 36 1,174,580.22 0.95
50.01% - 55.00% 57 2,286,952.64 1.85
55.01% - 60.00% 66 3,356,553.38 2.72
60.01% - 65.00% 94 4,392,848.94 3.56
65.01% - 70.00% 98 5,096,537.45 4.13
70.01% - 75.00% 132 7,567,838.62 6.13
75.01% - 80.00% 253 15,093,610.27 12.23
80.01% - 85.00% 271 18,479,156.15 14.98
85.01% - 90.00% 328 23,489,140.83 19.04
90.01% - 95.00% 304 23,133,384.40 18.75
95.01% - 100.00% 185 14,549,221.71 11.79
----------------------------------------------------------------------------
TOTAL 1,995 $123,393,435.25 100.00%
</TABLE>
<PAGE>
<TABLE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 1
<CAPTION>
GEOGRAPHIC DISTRIBUTION
NUMBER OF PERCENTAGE OF
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
GEOGRAPHIC DISTRIBUTION MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Florida 424 $ 25,493,958.54 20.66%
North Carolina 153 9,993,554.95 8.10
California 79 8,791,054.72 7.12
South Carolina 154 8,281,127.71 6.71
Georgia 125 7,411,375.86 6.01
Texas 132 6,385,339.32 5.17
Virginia 98 6,218,776.61 5.04
Indiana 103 5,955,852.89 4.83
Michigan 93 5,659,775.48 4.59
Tennessee 93 5,253,277.30 4.26
Illinois 64 5,116,162.74 4.15
Alabama 89 4,662,921.38 3.78
Ohio 69 4,455,619.52 3.61
Maryland 50 4,326,670.18 3.51
Missouri 68 3,395,316.46 2.75
Nevada 24 2,240,978.98 1.82
Kansas 31 1,631,410.48 1.32
Mississippi 32 1,568,247.62 1.27
Arizona 20 1,234,099.26 1.00
Kentucky 22 1,179,873.90 0.96
Pennsylvania 21 1,014,483.71 0.82
Louisiana 18 886,922.97 0.72
District of Columbia 11 652,071.55 0.53
Colorado 6 602,260.43 0.49
Arkansas 7 453,831.66 0.37
New Mexico 4 234,829.18 0.19
New Jersey 2 152,447.29 0.12
Delaware 1 78,776.53 0.06
Connecticut 1 32,496.98 0.03
West Virginia 1 29,921.05 0.02
----------------------------------------------------------------------------
TOTAL 1,995 $123,393,435.25 100.00%
</TABLE>
<PAGE>
<TABLE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 1
<CAPTION>
CUT-OFF DATE LOAN RATES
RANGE OF NUMBER OF PERCENTAGE OF
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
LOAN RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
---------- -------------- ----------------- -----------------
<S> <C> <C> <C>
6.501% - 7.000% 3 $ 85,591.77 0.07%
7.001% - 7.500% 4 133,851.51 0.11
7.501% - 8.000% 11 263,663.18 0.21
8.001% - 8.500% 19 951,247.04 0.77
8.501% - 9.000% 37 2,005,984.73 1.63
9.001% - 9.500% 467 26,345,281.04 21.35
9.501% - 10.000% 681 42,071,819.68 34.10
10.001% - 10.500% 582 37,646,582.10 30.51
10.501% - 11.000% 110 8,702,217.02 7.05
11.001% - 11.500% 35 2,500,279.32 2.03
11.501% - 12.000% 14 846,101.01 0.69
12.001% - 12.500% 10 767,549.43 0.62
12.501% - 13.000% 6 353,952.62 0.29
13.001% - 13.500% 4 207,774.75 0.17
13.501% - 14.000% 2 86,734.00 0.07
14.001% - 14.500% 5 229,145.76 0.19
14.501% - 15.000% 2 151,057.00 0.12
17.501% - 18.000% 3 44,603.30 0.04
----------------------------------------------------------------------------
TOTAL 1,995 $123,393,435.25 100.00%
<CAPTION>
ORIGINAL TERMS TO STATED MATURITY
NUMBER OF PERCENTAGE OF
RANGE OF ORIGINAL TERMS CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
TO STATED MATURITY (IN MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
1 - 60 41 $ 2,344,642.14 1.90%
61 - 120 214 6,859,260.26 5.56
121 - 180 485 23,899,938.16 19.37
181 - 240 330 19,620,656.33 15.90
241 - 300 95 6,839,003.88 5.54
301 - 360 829 63,771,148.35 51.68
361 - 400 1 58,786.13 0.05
---------------------------------------------------------------------------
TOTAL 1,995 $123,393,435.25 100.00%
</TABLE>
<PAGE>
<TABLE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 1
<CAPTION>
REMAINING TERMS TO STATED MATURITY
NUMBER OF PERCENTAGE OF
RANGE OF REMAINING TERMS CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
TO STATED MATURITY (IN MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
1 - 60 56 $ 2,654,804.78 2.15%
61 - 120 209 6,756,056.01 5.48
121 - 180 480 23,982,413.06 19.44
181 - 240 327 19,418,382.55 15.74
241 - 300 95 6,842,553.32 5.55
301 - 360 828 63,739,225.53 51.66
-----------------------------------------------------------------------------
TOTAL 1,995 $123,393,435.25 100.00%
<CAPTION>
MONTHS SINCE ORIGINATION
NUMBER OF PERCENTAGE OF
RANGE OF MONTHS CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
SINCE ORIGINATION MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
1 - 3 644 $45,338,384.44 36.74%
4 - 6 365 24,438,597.68 19.81
7 - 12 564 33,002,380.64 26.75
13 - 24 343 17,349,891.96 14.06
25 - 36 44 2,040,677.44 1.65
37 - 48 12 333,141.69 0.27
49 - 60 10 307,285.42 0.25
61 - 72 4 171,498.92 0.14
73 - 84 3 56,405.83 0.05
85 - 96 2 39,147.56 0.03
97 - 108 3 261,336.25 0.21
145 - 156 1 54,687.42 0.04
------------------------------------------------------------------------------
TOTAL 1,995 $123,393,435.25 100.00%
</TABLE>
<PAGE>
<TABLE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 1
<CAPTION>
PROPERTY TYPE
NUMBER OF PERCENTAGE OF
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
PROPERTY TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Single Family Residence 1,853 $115,852,506.18 93.89%
PUD 3 302,151.38 0.24
Condominium 31 1,390,291.47 1.13
2-Family 16 1,045,375.57 0.85
Townhouse 35 2,030,848.23 1.65
3-Family 3 190,547.31 0.15
4-Family 2 332,952.54 0.27
Manufactured 45 1,986,514.47 1.61
Mobile Home 7 262,248.10 0.21
------------------------------------------------------------------------------
TOTAL 1,995 $123,393,435.25 100.00%
<CAPTION>
OCCUPANCY TYPE
NUMBER OF PERCENTAGE OF
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
OCCUPANCY TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Primary Residence 1,826 $114,364,158.79 92.68%
Second Home 23 1,354,970.55 1.10
Investor Property 146 7,674,305.91 6.22
-----------------------------------------------------------------------------
TOTAL 1,995 $123,393,435.25 100.00%
<CAPTION>
DOCUMENTATION TYPE
NUMBER OF PERCENTAGE OF
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
DOCUMENTATION TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
Full Documentation 1,935 $121,471,728.84 98.44%
No Documentation 57 1,748,194.46 1.42
Stated Income 1 25,513.34 0.02
Limited Documentation 2 147,998.61 0.12
-----------------------------------------------------------------------------
TOTAL 1,995 $123,393,435.25 100.00%
</TABLE>
<PAGE>
<TABLE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 1
<CAPTION>
LOAN PURPOSE
NUMBER OF PERCENTAGE OF
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
PURPOSE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Purchase 392 $24,716,157.66 20.03%
Rate/Term Refinance 195 13,312,472.33 10.79
Cash Out Refinance 1,408 85,364,805.26 69.18
-----------------------------------------------------------------------------
TOTAL 1,995 $123,393,435.25 100.00%
<CAPTION>
CREDIT SCORE DISTRIBUTION
NUMBER OF PERCENTAGE OF
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
RANGE OF CREDIT SCORES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
---------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
751 to 800 35 $ 1,928,999.24 1.56%
701 to 750 154 9,142,193.19 7.41
651 to 700 469 29,040,929.22 23.54
601 to 650 699 45,308,103.92 36.72
551 to 600 450 27,725,916.04 22.47
501 to 550 132 7,676,197.47 6.22
451 to 500 32 1,726,976.11 1.40
401 to 450 2 82,470.67 0.07
Not Available 22 761,649.39 0.62
-----------------------------------------------------------------------------
TOTAL 1,995 $123,393,435.25 100.00%
</TABLE>
<PAGE>
<TABLE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 2
<CAPTION>
SUMMARY
TOTAL MINIMUM MAXIMUM
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Cut-off Date Aggregate Principal Balance $7,471,355.26
Number of Loans 39
Average Original Loan Balance 197,917.22 16,898.00 460,000.00
Average Current Loan Balance 191,573.21 16,898.00 424,950.88
Weighted Average Original LTV 81.12% 41.71% 99.58%
Weighted Average Gross Coupon 9.49% 8.21% 11.15%
Weighted Average Remaining Term to Maturity (months) 307 120 360
Weighted Average Loan Age 31 0 93
Weighted Average Original Term (months) 338 120 360
Weighted Average Credit Score* 630 517 784
- -----------------------------------------------------------------------------------------------------------------------------
* Based upon Credit Score available on 70.87% of Loan Group 2 mortgage loans.
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
PERCENT OF CUT-OFF DATE
RANGE PRINCIPAL BALANCE
----- -----------------
<S> <C> <C>
Fully Amortizing Mortgage Loans 100.00%
Interest Type Simple Interest Loans 83.94%
Actuarial Loans 16.06%
Loan Type Conventional 100%
Property Type Single Family 82.19%
Multi-Family 17.81%
Occupancy Status Owner Occupied 97.64%
Non-Owner Occupied 2.36%
Geographic Distribution California 53.90%
Florida 14.36%
Georgia 8.31%
Virginia 5.21%
Largest Zip Code Concentration 94550 5.69%
Loans with Prepayment Penalties 40.66%
Delinquency 30 - 59 days 0.00%
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 2
<CAPTION>
CUT-OFF DATE PRINCIPAL BALANCES
RANGE OF NUMBER OF PERCENTAGE OF
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
PRINCIPAL BALANCES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
$ 0.01 - $ 25,000.00 2 $ 36,258.00 0.49%
$ 25,000.01 - $ 50,000.00 5 190,347.62 2.55
$ 50,000.01 - $ 75,000.00 3 191,974.66 2.57
$ 75,000.01 - $100,000.00 2 167,869.59 2.25
$100,000.01 - $125,000.00 1 103,445.50 1.38
$125,000.01 - $150,000.00 2 264,873.40 3.55
$150,000.01 - $175,000.00 1 151,902.50 2.03
$200,000.01 - $225,000.00 2 446,787.17 5.98
$225,000.01 - $250,000.00 8 1,896,867.44 25.39
$250,000.01 - $275,000.00 3 759,771.66 10.17
$275,000.01 - $300,000.00 4 1,135,330.41 15.20
$300,000.01 - $325,000.00 2 628,986.32 8.42
$325,000.01 - $350,000.00 1 332,354.25 4.45
$350,000.01 - $375,000.00 2 739,635.86 9.90
$425,000.01 - $450,000.00 1 424,950.88 5.69
---------------------------------------------------------------------------
TOTAL 39 $7,471,355.26 100.00%
<CAPTION>
ORIGINAL LOAN-TO-VALUE RATIOS
NUMBER OF PERCENTAGE OF
RANGE OF ORIGINAL CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
LOAN-TO-VALUE RATIOS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
40.01% - 45.00% 2 $ 164,872.40 2.21%
55.01% - 60.00% 2 243,533.44 3.26
60.01% - 65.00% 5 825,054.94 11.04
65.01% - 70.00% 3 1,022,028.44 13.68
70.01% - 75.00% 6 708,294.86 9.48
75.01% - 80.00% 4 635,246.32 8.50
80.01% - 85.00% 5 1,163,830.29 15.58
85.01% - 90.00% 5 967,719.56 12.95
90.01% - 95.00% 4 1,097,851.29 14.69
95.01% - 100.00% 3 642,923.72 8.61
----------------------------------------------------------------------------
TOTAL 39 $7,471,355.26 100.00%
</TABLE>
<PAGE>
<TABLE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 2
<CAPTION>
GEOGRAPHIC DISTRIBUTION
NUMBER OF PERCENTAGE OF
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
GEOGRAPHIC DISTRIBUTION MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
California 15 $4,026,851.22 53.90%
Florida 5 1,072,718.83 14.36
Georgia 4 620,893.88 8.31
Virginia 3 389,164.25 5.21
Indiana 3 328,016.00 4.39
Michigan 3 284,977.35 3.81
Illinois 4 279,953.66 3.75
Texas 1 235,974.08 3.16
New York 1 232,805.99 3.12
----------------------------------------------------------------------------
TOTAL 39 $7,471,355.26 100.00%
<CAPTION>
CUT-OFF DATE LOAN RATES
RANGE OF NUMBER OF PERCENTAGE OF
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
LOAN RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
---------- -------------- ----------------- -----------------
<S> <C> <C> <C>
8.001% - 8.500% 7 $ 977,886.86 13.09%
8.501% - 9.000% 7 1,485,938.37 19.89
9.001% - 9.500% 5 1,135,186.30 15.19
9.501% - 10.000% 7 1,647,710.14 22.05
10.001% - 10.500% 10 1,882,127.43 25.19
10.501% - 11.000% 1 64,744.66 0.87
11.001% - 11.500% 2 277,761.50 3.72
----------------------------------------------------------------------------
TOTAL 39 $7,471,355.26 100.00%
<CAPTION>
ORIGINAL TERMS TO STATED MATURITY
NUMBER OF PERCENTAGE OF
RANGE OF ORIGINAL TERMS CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
TO STATED MATURITY (IN MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
61 - 120 4 $ 196,182.60 2.63%
121 - 180 1 25,858.00 0.35
181 - 240 5 905,253.04 12.12
241 - 300 1 86,240.99 1.15
301 - 360 28 6,257,820.63 83.76
---------------------------------------------------------------------------
TOTAL 39 $7,471,355.26 100.00%
</TABLE>
<PAGE>
<TABLE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 2
<CAPTION>
REMAINING TERMS TO STATED MATURITY
NUMBER OF PERCENTAGE OF
RANGE OF REMAINING TERMS CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
TO STATED MATURITY (IN MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
61 - 120 4 $ 196,182.60 2.63%
121 - 180 1 25,858.00 0.35
181 - 240 5 905,253.04 12.12
241 - 300 9 2,262,685.93 30.28
301 - 360 20 4,081,375.69 54.63
-----------------------------------------------------------------------------
TOTAL 39 $7,471,355.26 100.00%
<CAPTION>
MONTHS SINCE ORIGINATION
NUMBER OF PERCENTAGE OF
RANGE OF MONTHS CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
SINCE ORIGINATION MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
1 - 3 22 $2,812,330.25 37.64%
4 - 6 3 929,683.59 12.44
7 - 12 4 1,031,651.48 13.81
13 - 24 1 242,221.35 3.24
25 - 36 1 279,023.65 3.73
85 - 96 8 2,176,444.94 29.13
------------------------------------------------------------------------------
TOTAL 39 $7,471,355.26 100.00%
<CAPTION>
PROPERTY TYPE
NUMBER OF PERCENTAGE OF
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
PROPERTY TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Single Family Residence 22 $6,140,793.10 82.19%
Multi-Family 17 1,330,562.16 17.81
------------------------------------------------------------------------------
TOTAL 39 $7,471,355.26 100.00%
</TABLE>
<PAGE>
<TABLE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 2
<CAPTION>
OCCUPANCY TYPE
NUMBER OF PERCENTAGE OF
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
OCCUPANCY TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Primary Residence 33 $7,068,577.54 94.61%
Second Home 1 226,635.44 3.03
Investor Property 5 176,142.28 2.36
-----------------------------------------------------------------------------
TOTAL 39 $7,471,355.26 100.00%
<CAPTION>
DOCUMENTATION TYPE
NUMBER OF PERCENTAGE OF
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
DOCUMENTATION TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
Full Documentation 34 $6,174,862.13 82.65%
Alternate Documentation 5 1,296,493.13 17.35
-----------------------------------------------------------------------------
TOTAL 39 $7,471,355.26 100.00%
<CAPTION>
LOAN PURPOSE
NUMBER OF PERCENTAGE OF
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
PURPOSE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Purchase 9 $1,454,478.59 19.47%
Rate/Term Refinance 6 1,628,533.59 21.80
Cash Out Refinance 24 4,388,343.08 58.74
-----------------------------------------------------------------------------
TOTAL 39 $7,471,355.26 100.00%
</TABLE>
<PAGE>
<TABLE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 2
<CAPTION>
CREDIT SCORE DISTRIBUTION
NUMBER OF PERCENTAGE OF
CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
RANGE OF CREDIT SCORES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
---------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
751 to 800 2 $ 220,643.00 2.95%
701 to 750 3 417,977.45 5.59
651 to 700 9 1,324,666.13 17.73
601 to 650 7 1,382,378.80 18.50
551 to 600 8 1,384,478.97 18.53
501 to 550 2 564,765.97 7.56
Not Available 8 2,176,444.94 29.13
-----------------------------------------------------------------------------
TOTAL 39 $7,471,355.26 100.00%
</TABLE>
<PAGE>
BOND SUMMARY (TO MATURITY)
--------------------------
The following tables are based on assumed mortgage loan pools with different
characteristics from the characteristics described in the collateral summary and
tables on the preceding pages.
<TABLE>
<CAPTION>
A-1A (TO MATURITY)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 0% 10% 17% 23% 30% 36% 48%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 7.74 1.93 1.17 0.85 0.63 0.50 0.34
First Principal Payment Date 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999
Last Principal Payment Date 06/25/2013 02/25/2004 07/25/2002 11/25/2001 05/25/2001 01/25/2001 09/25/2000
Payment Windows (mos.) 163 51 32 24 18 14 10
</TABLE>
<TABLE>
<CAPTION>
A-1F (TO MATURITY)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 0% 10% 17% 23% 30% 36% 48%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield 100.0% 7.706 7.690 7.671 7.649 7.613 7.563 7.367
Average Life (yrs.) 21.31 10.01 6.63 4.95 3.55 2.57 1.43
Modified Duration (yrs.) 9.97 6.32 4.71 3.76 2.85 2.16 1.30
First Principal Payment Date 06/25/2013 02/25/2004 07/25/2002 11/25/2001 05/25/2001 01/25/2001 09/25/2000
Last Principal Payment Date 02/25/2029 06/25/2027 10/25/2021 02/25/2017 03/25/2013 11/25/2010 04/25/2002
Payment Windows (mos.) 189 281 232 184 143 119 20
</TABLE>
<TABLE>
<CAPTION>
A-2F (TO MATURITY)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 0% 10% 17% 23% 30% 36% 48%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield 100.0% 7.920 7.871 7.828 7.782 7.713 7.626 7.326
Average Life (yrs.) 16.85 6.48 4.09 2.98 2.12 1.56 0.87
Modified Duration (yrs.) 8.31 4.15 2.94 2.29 1.72 1.32 0.79
First Principal Payment Date 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999
Last Principal Payment Date 02/25/2029 08/25/2027 01/25/2022 03/25/2017 04/25/2013 12/25/2010 04/25/2002
Payment Windows (mos.) 351 333 266 208 161 133 29
</TABLE>
<TABLE>
<CAPTION>
M-1 (TO MATURITY)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 0% 10% 17% 23% 30% 36% 48%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 99.85610% 8.762 8.742 8.723 8.705 8.693 8.695 8.625
Average Life (yrs.) 23.31 11.49 7.62 5.82 4.93 4.96 2.80
Modified Duration (yrs.) 9.54 6.62 5.08 4.20 3.76 3.83 2.36
First Principal Payment Date 02/25/2016 04/25/2005 04/25/2003 02/25/2003 06/25/2003 11/25/2003 04/25/2002
Last Principal Payment Date 01/25/2029 05/25/2025 08/25/2018 05/25/2014 02/25/2011 02/25/2009 09/25/2007
Payment Windows (mos.) 156 242 185 136 93 64 66
</TABLE>
<PAGE>
BOND SUMMARY (TO MATURITY)
The following tables are based on assumed mortgage loan pools with different
characteristics from the characteristics described in the collateral summary and
tables on the preceding pages.
<TABLE>
<CAPTION>
M-2 (TO MATURITY)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 0% 10% 17% 23% 30% 36% 48%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 95.97052% 9.179 9.342 9.505 9.655 9.786 9.841 9.690
Average Life (yrs.) 23.29 11.42 7.55 5.74 4.68 4.30 5.18
Modified Duration (yrs.) 9.29 6.47 4.96 4.08 3.54 3.36 3.94
First Principal Payment Date 02/25/2016 04/25/2005 04/25/2003 01/25/2003 03/25/2003 05/25/2003 01/25/2004
Last Principal Payment Date 10/25/2028 11/25/2023 01/25/2017 02/25/2013 02/25/2010 03/25/2008 02/25/2007
Payment Windows (mos.) 153 224 166 122 84 59 38
</TABLE>
<TABLE>
<CAPTION>
B (TO MATURITY)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 0% 10% 17% 23% 30% 36% 48%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 90.20509% 9.851 10.308 10.772 11.205 11.622 11.867 11.969
Average Life (yrs.) 23.28 11.22 7.39 5.60 4.49 3.99 3.78
Modified Duration (yrs.) 8.91 6.24 4.78 3.92 3.35 3.09 3.00
First Principal Payment Date 02/25/2016 04/25/2005 04/25/2003 12/25/2002 01/25/2003 02/25/2003 04/25/2003
Last Principal Payment Date 05/25/2028 10/25/2021 02/25/2015 08/25/2011 11/25/2008 03/25/2007 01/25/2005
Payment Windows (mos.) 148 199 143 105 71 50 22
</TABLE>
<PAGE>
BOND SUMMARY (TO CALL)
The following tables are based on assumed mortgage loan pools with different
characteristics from the characteristics described in the collateral summary and
tables on the preceding pages.
<TABLE>
<CAPTION>
A-1A (TO CALL)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 0% 10% 17% 23% 30% 36% 48%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 7.74 1.93 1.17 0.85 0.63 0.50 0.34
First Principal Payment Date 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999
Last Principal Payment Date 06/25/2013 02/25/2004 07/25/2002 11/25/2001 05/25/2001 01/25/2001 09/25/2000
Payment Windows (mos.) 163 51 32 24 18 14 10
A-1F (TO CALL)
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
CPR 0% 10% 17% 23% 30% 36% 48%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.0% 7.706 7.674 7.644 7.614 7.566 7.501 7.367
Average Life (yrs.) 21.19 9.31 6.07 4.50 3.19 2.28 1.43
Modified Duration (yrs.) 9.96 6.15 4.51 3.55 2.65 1.98 1.30
First Principal Payment Date 06/25/2013 02/25/2004 07/25/2002 11/25/2001 05/25/2001 01/25/2001 09/25/2000
Last Principal Payment Date 06/25/2027 07/25/2015 06/25/2010 11/25/2007 12/25/2005 10/25/2004 04/25/2002
Payment Windows (mos.) 169 138 96 73 56 46 20
A-2F (TO CALL)
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
CPR 0% 10% 17% 23% 30% 36% 48%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.0% 7.919 7.852 7.796 7.740 7.657 7.553 7.326
Average Life (yrs.) 16.71 5.93 3.68 2.68 1.90 1.38 0.87
Modified Duration (yrs.) 8.30 4.03 2.80 2.16 1.61 1.22 0.79
First Principal Payment Date 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999
Last Principal Payment Date 06/25/2027 07/25/2015 06/25/2010 11/25/2007 12/25/2005 10/25/2004 04/25/2002
Payment Windows (mos.) 331 188 127 96 73 59 29
</TABLE>
<TABLE>
<CAPTION>
M-1 (TO CALL)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 0% 10% 17% 23% 30% 36% 48%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 99.85610% 8.762 8.741 8.719 8.699 8.686 8.688 8.619
Average Life (yrs.) 23.14 10.60 6.94 5.28 4.51 4.55 2.67
Modified Duration (yrs.) 9.52 6.45 4.86 3.98 3.55 3.60 2.28
First Principal Payment Date 02/25/2016 04/25/2005 04/25/2003 02/25/2003 06/25/2003 11/25/2003 04/25/2002
Last Principal Payment Date 06/25/2027 07/25/2015 06/25/2010 11/25/2007 12/25/2005 10/25/2004 04/25/2003
Payment Windows (mos.) 137 124 87 58 31 12 13
</TABLE>
<PAGE>
BOND SUMMARY (TO CALL)
The following tables are based on assumed mortgage loan pools with different
characteristics from the characteristics described in the collateral summary and
tables on the preceding pages.
<TABLE>
<CAPTION>
M-2 (TO CALL)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 0% 10% 17% 23% 30% 36% 48%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 95.97052% 9.179 9.354 9.532 9.697 9.841 9.900 10.071
Average Life (yrs.) 23.14 10.60 6.94 5.25 4.30 3.98 3.34
Modified Duration (yrs.) 9.28 6.33 4.78 3.90 3.36 3.18 2.75
First Principal Payment Date 02/25/2016 04/25/2005 04/25/2003 01/25/2003 03/25/2003 05/25/2003 04/25/2003
Last Principal Payment Date 06/25/2027 07/25/2015 06/25/2010 11/25/2007 12/25/2005 10/25/2004 04/25/2003
Payment Windows (mos.) 137 124 87 59 34 18 1
</TABLE>
<TABLE>
<CAPTION>
B (TO CALL)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 0% 10% 17% 23% 30% 36% 48%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 90.20509% 9.852 10.335 10.829 11.294 11.739 12.001 12.315
Average Life (yrs.) 23.14 10.60 6.94 5.24 4.20 3.76 3.34
Modified Duration (yrs.) 8.90 6.15 4.66 3.79 3.22 2.97 2.70
First Principal Payment Date 02/25/2016 04/25/2005 04/25/2003 12/25/2002 01/25/2003 02/25/2003 04/25/2003
Last Principal Payment Date 06/25/2027 07/25/2015 06/25/2010 11/25/2007 12/25/2005 10/25/2004 04/25/2003
Payment Windows (mos.) 137 124 87 60 36 21 1
</TABLE>
<PAGE>
MAXIMUM RATE*
<TABLE>
<CAPTION>
- ------------------------------------- ------------------------------------ ------------------------------------
Period Pay Date Max Rate Period Pay Date Max Rate Period Pay Date Max Rate
===================================== ==================================== ====================================
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 12/25/99 9.156 33 8/25/02 9.160 65 4/25/05 9.166
2 1/25/00 9.156 34 9/25/02 9.160 66 5/25/05 9.166
3 2/25/00 9.156 35 10/25/02 9.160 67 6/25/05 9.166
4 3/25/00 9.156 36 11/25/02 9.160 68 7/25/05 9.166
5 4/25/00 9.156 37 12/25/02 9.161 69 8/25/05 9.166
6 5/25/00 9.156 38 1/25/03 9.161 70 9/25/05 9.167
7 6/25/00 9.156 39 2/25/03 9.161 71 10/25/05 9.167
8 7/25/00 9.156 40 3/25/03 9.161 72 11/25/05 9.167
9 8/25/00 9.157 41 4/25/03 9.161 73 12/25/05 9.167
10 9/25/00 9.157 42 5/25/03 9.161 74 1/25/06 9.168
11 10/25/00 9.157 43 6/25/03 9.162 75 2/25/06 9.168
12 11/25/00 9.157 44 7/25/03 9.162 76 3/25/06 9.168
13 12/25/00 9.157 45 8/25/03 9.162 77 4/25/06 9.168
14 1/25/01 9.157 46 9/25/03 9.162 78 5/25/06 9.169
15 2/25/01 9.157 47 10/25/03 9.162 79 6/25/06 9.169
16 3/25/01 9.157 48 11/25/03 9.163 80 7/25/06 9.169
17 4/25/01 9.158 49 12/25/03 9.163 81 8/25/06 9.169
18 5/25/01 9.158 50 1/25/04 9.163 82 9/25/06 9.170
19 6/25/01 9.158 51 2/25/04 9.163 83 10/25/06 9.170
20 7/25/01 9.158 52 3/25/04 9.163 84 11/25/06 9.170
21 8/25/01 9.158 53 4/25/04 9.163 85 12/25/06 9.170
22 9/25/01 9.158 54 5/25/04 9.164 86 1/25/07 9.171
23 10/25/01 9.158 55 6/25/04 9.164 87 2/25/07 9.171
24 11/25/01 9.159 56 7/25/04 9.164 88 3/25/07 9.171
25 12/25/01 9.159 57 8/25/04 9.164 89 4/25/07 9.171
26 1/25/02 9.159 58 9/25/04 9.164 90 5/25/07 9.172
27 2/25/02 9.159 59 10/25/04 9.164 91 6/25/07 9.172
28 3/25/02 9.159 60 11/25/04 9.165 92 7/25/07 9.172
29 4/25/02 9.159 61 12/25/04 9.165 93 8/25/07 9.173
30 5/25/02 9.159 62 1/25/05 9.165 94 9/25/07 9.173
31 6/25/02 9.160 63 2/25/05 9.165 95 10/25/07 9.173
32 7/25/02 9.160 64 3/25/05 9.165 96 11/25/07 9.173
- ------------------------------------- ------------------------------------ ------------------------------------
</TABLE>
* MAXIMUM RATE is calculated using the pricing speed and run to call.
<PAGE>
DESCRIPTION OF THE COLLATERAL
TOTAL POOL
<TABLE>
<CAPTION>
SUMMARY TOTAL MINIMUM MAXIMUM
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Cut-off Date Aggregate Principal Balance $130,864,790.51
Number of Loans 2,034
Average Original Loan Balance 65,429.21 6,000.00 460,000.00
Average Current Loan Balance 64,338.64 1,556.58 424,950.88
Weighted Average Original LTV 82.06% 5.30% 100.00%
Weighted Average Gross Coupon 9.90% 7.00% 18.00%
Weighted Average Remaining Term to Maturity (months) 277 7 360
Weighted Average Loan Age 9 0 153
Weighted Average Original Term (months) 286 42 361
Weighted Average Credit Score* 627 422 800
- -----------------------------------------------------------------------------------------------------------------------------
* Based upon Credit Score available on 97.75% of the Total Pool of mortgage loans.
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
PERCENT OF CUT-OFF DATE
RANGE PRINCIPAL BALANCE
----- -----------------
<S> <C> <C>
Fully Amortizing Mortgage Loans 97.90%
Balloon Mortgage Loans 2.10%
Interest Type Simple Interest Loans 76.83%
Actuarial Loans 23.17%
Loan Type Conventional 98.66%
Seller Financed Loans 1.34%
Property Type Single Family 93.22%
Townhouse 1.55%
Manufactured 1.52%
2-4 Family 1.20%
Condominium 1.06%
Multi-Family 1.02%
PUD 0.23%
Mobile Home 0.20%
Occupancy Status Owner Occupied 94.00%
Non-Owner Occupied 6.00%
Geographic Distribution Florida 20.30%
California 9.79%
North Carolina 7.64%
South Carolina 6.33%
Georgia 6.14%
Largest Zip Code Concentration 47834 0.39%
Loans with Prepayment Penalties 52.94%
Delinquency 30 - 59 days 3.96%
60 - 89 days 0.65%
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 1
<TABLE>
<CAPTION>
SUMMARY TOTAL MINIMUM MAXIMUM
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Cut-off Date Aggregate Principal Balance $123,393,435.25
Number of Loans 1,995
Average Original Loan Balance 62,839.22 6,000.00 240,000.00
Average Current Loan Balance 61,851.35 1,556.58 239,690.90
Weighted Average Original LTV 82.12% 5.30% 100.00%
Weighted Average Gross Coupon 9.93% 7.00% 18.00%
Weighted Average Remaining Term to Maturity (months) 276 7 360
Weighted Average Loan Age 8 0 153
Weighted Average Original Term (months) 283 42 361
Weighted Average Credit Score* 627 422 800
- -----------------------------------------------------------------------------------------------------------------------------
* Based upon Credit Score available on 99.38% of Loan Group 1 mortgage loans.
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
PERCENT OF CUT-OFF DATE
RANGE PRINCIPAL BALANCE
----- -----------------
<S> <C> <C>
Fully Amortizing Mortgage Loans 97.77%
Balloon Mortgage Loans 2.23%
Interest Type Simple Interest Loans 76.40%
Actuarial Loans 23.60%
Loan Type Conventional 98.58%
Seller Financed Loans 1.42%
Property Type Single Family 93.89%
Townhouse 1.65%
Manufactured 1.61%
2-4 Family 1.27%
Condominium 1.13%
PUD 0.24%
Mobile Home 0.21%
Occupancy Status Owner Occupied 93.78%
Non-Owner Occupied 6.22%
Geographic Distribution Florida 20.66%
North Carolina 8.10%
California 7.12%
South Carolina 6.71%
Georgia 6.01%
Largest Zip Code Concentration 47834 0.42%
Loans with Prepayment Penalties 53.69%
Delinquency 30 - 59 days 4.20%
60 - 89 days 0.69%
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 2
<TABLE>
<CAPTION>
SUMMARY
TOTAL MINIMUM MAXIMUM
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Cut-off Date Aggregate Principal Balance $7,471,355.26
Number of Loans 39
Average Original Loan Balance 197,917.22 16,898.00 460,000.00
Average Current Loan Balance 191,573.21 16,898.00 424,950.88
Weighted Average Original LTV 81.12% 41.71% 99.58%
Weighted Average Gross Coupon 9.49% 8.21% 11.15%
Weighted Average Remaining Term to Maturity (months) 307 120 360
Weighted Average Loan Age 31 0 93
Weighted Average Original Term (months) 338 120 360
Weighted Average Credit Score* 630 517 784
- -----------------------------------------------------------------------------------------------------------------------------
* Based upon Credit Score available on 70.87% of Loan Group 2 mortgage loans.
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
PERCENT OF CUT-OFF DATE
RANGE PRINCIPAL BALANCE
----- -----------------
<S> <C> <C>
Fully Amortizing Mortgage Loans 100.00%
Interest Type Simple Interest Loans 83.94%
Actuarial Loans 16.06%
Loan Type Conventional 100%
Property Type Single Family 82.19%
Multi-Family 17.81%
Occupancy Status Owner Occupied 97.64%
Non-Owner Occupied 2.36%
Geographic Distribution California 53.90%
Florida 14.36%
Georgia 8.31%
Virginia 5.21%
Largest Zip Code Concentration 94550 5.69%
Loans with Prepayment Penalties 40.66%
Delinquency 30 - 59 days 0.00%
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
BOND SUMMARY (TO MATURITY)
The following tables are based on assumed mortgage loan pools with different
characteristics from the characteristics described in the collateral summary and
tables on the preceding pages.
<TABLE>
<CAPTION>
A-1A (TO MATURITY)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 0% 10% 17% 23% 30% 36% 48%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Average Life (yrs.) 7.74 1.93 1.17 0.85 0.63 0.50 0.34
First Principal Payment Date 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999
Last Principal Payment Date 06/25/2013 02/25/2004 07/25/2002 11/25/2001 05/25/2001 01/25/2001 09/25/2000
Payment Windows (mos.) 163 51 32 24 18 14 10
</TABLE>
<TABLE>
<CAPTION>
A-1F (TO MATURITY)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 0% 10% 17% 23% 30% 36% 48%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Yield 100.0% 7.706 7.690 7.671 7.649 7.613 7.563 7.367
Average Life (yrs.) 21.31 10.01 6.63 4.95 3.55 2.57 1.43
Modified Duration (yrs.) 9.97 6.32 4.71 3.76 2.85 2.16 1.30
First Principal Payment Date 06/25/2013 02/25/2004 07/25/2002 11/25/2001 05/25/2001 01/25/2001 09/25/2000
Last Principal Payment Date 02/25/2029 06/25/2027 10/25/2021 02/25/2017 03/25/2013 11/25/2010 04/25/2002
Payment Windows (mos.) 189 281 232 184 143 119 20
</TABLE>
<TABLE>
<CAPTION>
A-2F (TO MATURITY)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 0% 10% 17% 23% 30% 36% 48%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield 100.0% 7.920 7.871 7.828 7.782 7.713 7.626 7.326
Average Life (yrs.) 16.85 6.48 4.09 2.98 2.12 1.56 0.87
Modified Duration (yrs.) 8.31 4.15 2.94 2.29 1.72 1.32 0.79
First Principal Payment Date 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999
Last Principal Payment Date 02/25/2029 08/25/2027 01/25/2022 03/25/2017 04/25/2013 12/25/2010 04/25/2002
Payment Windows (mos.) 351 333 266 208 161 133 29
</TABLE>
<PAGE>
BOND SUMMARY (TO CALL)
The following tables are based on assumed mortgage loan pools with different
characteristics from the characteristics described in the collateral summary and
tables on the preceding pages.
<TABLE>
<CAPTION>
A-1A (TO CALL)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 0% 10% 17% 23% 30% 36% 48%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 7.74 1.93 1.17 0.85 0.63 0.50 0.34
First Principal Payment Date 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999
Last Principal Payment Date 06/25/2013 02/25/2004 07/25/2002 11/25/2001 05/25/2001 01/25/2001 09/25/2000
Payment Windows (mos.) 163 51 32 24 18 14 10
</TABLE>
<TABLE>
<CAPTION>
A-1F (TO CALL)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 0% 10% 17% 23% 30% 36% 48%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.0% 7.706 7.674 7.644 7.614 7.566 7.501 7.367
Average Life (yrs.) 21.19 9.31 6.07 4.50 3.19 2.28 1.43
Modified Duration (yrs.) 9.96 6.15 4.51 3.55 2.65 1.98 1.30
First Principal Payment Date 06/25/2013 02/25/2004 07/25/2002 11/25/2001 05/25/2001 01/25/2001 09/25/2000
Last Principal Payment Date 06/25/2027 07/25/2015 06/25/2010 11/25/2007 12/25/2005 10/25/2004 04/25/2002
Payment Windows (mos.) 169 138 96 73 56 46 20
</TABLE>
<TABLE>
<CAPTION>
A-2F (TO CALL)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 0% 10% 17% 23% 30% 36% 48%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.0% 7.919 7.852 7.796 7.740 7.657 7.553 7.326
Average Life (yrs.) 16.71 5.93 3.68 2.68 1.90 1.38 0.87
Modified Duration (yrs.) 8.30 4.03 2.80 2.16 1.61 1.22 0.79
First Principal Payment Date 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999
Last Principal Payment Date 06/25/2027 07/25/2015 06/25/2010 11/25/2007 12/25/2005 10/25/2004 04/25/2002
Payment Windows (mos.) 331 188 127 96 73 59 29
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
TOTAL POOL
<TABLE>
<CAPTION>
SUMMARY
TOTAL MINIMUM MAXIMUM
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Cut-off Date Aggregate Principal Balance $130,864,790.51
Number of Loans 2,034
Average Original Loan Balance 65,429.21 6,000.00 460,000.00
Average Current Loan Balance 64,338.64 1,556.58 424,950.88
Weighted Average Original LTV 82.06% 5.30% 100.00%
Weighted Average Gross Coupon 9.90% 7.00% 18.00%
Weighted Average Remaining Term to Maturity (months) 277 7 360
Weighted Average Loan Age 9 0 153
Weighted Average Original Term (months) 286 42 361
Weighted Average Credit Score* 627 422 800
- -----------------------------------------------------------------------------------------------------------------------------
* Based upon Credit Score available on 97.75% of the Total Pool of mortgage loans.
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
PERCENT OF CUT-OFF DATE
RANGE PRINCIPAL BALANCE
----- -----------------
<S> <C> <C>
Fully Amortizing Mortgage Loans 97.90%
Balloon Mortgage Loans 2.10%
Interest Type Simple Interest Loans 76.83%
Actuarial Loans 23.17%
Loan Type Conventional 98.66%
Seller Financed Loans 1.34%
Property Type Single Family 93.22%
Townhouse 1.55%
Manufactured 1.52%
2-4 Family 1.20%
Condominium 1.06%
Multi-Family 1.02%
PUD 0.23%
Mobile Home 0.20%
Occupancy Status Owner Occupied 94.00%
Non-Owner Occupied 6.00%
Geographic Distribution Florida 20.30%
California 9.79%
North Carolina 7.64%
South Carolina 6.33%
Georgia 6.14%
Largest Zip Code Concentration 47834 0.39%
Loans with Prepayment Penalties 52.94%
Delinquency 30 - 59 days 3.96%
60 - 89 days 0.65%
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 1
<TABLE>
<CAPTION>
SUMMARY
TOTAL MINIMUM MAXIMUM
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Cut-off Date Aggregate Principal Balance $123,393,435.25
Number of Loans 1,995
Average Original Loan Balance 62,839.22 6,000.00 240,000.00
Average Current Loan Balance 61,851.35 1,556.58 239,690.90
Weighted Average Original LTV 82.12% 5.30% 100.00%
Weighted Average Gross Coupon 9.93% 7.00% 18.00%
Weighted Average Remaining Term to Maturity (months) 276 7 360
Weighted Average Loan Age 8 0 153
Weighted Average Original Term (months) 283 42 361
Weighted Average Credit Score* 627 422 800
- -----------------------------------------------------------------------------------------------------------------------------
* Based upon Credit Score available on 99.38% of Loan Group 1 mortgage loans.
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
PERCENT OF CUT-OFF DATE
RANGE PRINCIPAL BALANCE
----- -----------------
<S> <C> <C>
Fully Amortizing Mortgage Loans 97.77%
Balloon Mortgage Loans 2.23%
Interest Type Simple Interest Loans 76.40%
Actuarial Loans 23.60%
Loan Type Conventional 98.58%
Seller Financed Loans 1.42%
Property Type Single Family 93.89%
Townhouse 1.65%
Manufactured 1.61%
2-4 Family 1.27%
Condominium 1.13%
PUD 0.24%
Mobile Home 0.21%
Occupancy Status Owner Occupied 93.78%
Non-Owner Occupied 6.22%
Geographic Distribution Florida 20.66%
North Carolina 8.10%
California 7.12%
South Carolina 6.71%
Georgia 6.01%
Largest Zip Code Concentration 47834 0.42%
Loans with Prepayment Penalties 53.69%
Delinquency 30 - 59 days 4.20%
60 - 89 days 0.69%
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
BOND SUMMARY (TO MATURITY)
The following tables are based on assumed mortgage loan pools with different
characteristics from the characteristics described in the collateral summary and
tables on the preceding pages.
<TABLE>
<CAPTION>
A-1A (TO MATURITY)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 0% 10% 17% 23% 30% 36% 48%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 7.74 1.93 1.17 0.85 0.63 0.50 0.34
First Principal Payment Date 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999
Last Principal Payment Date 06/25/2013 02/25/2004 07/25/2002 11/25/2001 05/25/2001 01/25/2001 09/25/2000
Payment Windows (mos.) 163 51 32 24 18 14 10
</TABLE>
<TABLE>
<CAPTION>
A-1F (TO MATURITY)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 0% 10% 17% 23% 30% 36% 48%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield 100.0% 7.706 7.690 7.671 7.649 7.613 7.563 7.367
Average Life (yrs.) 21.31 10.01 6.63 4.95 3.55 2.57 1.43
Modified Duration (yrs.) 9.97 6.32 4.71 3.76 2.85 2.16 1.30
First Principal Payment Date 06/25/2013 02/25/2004 07/25/2002 11/25/2001 05/25/2001 01/25/2001 09/25/2000
Last Principal Payment Date 02/25/2029 06/25/2027 10/25/2021 02/25/2017 03/25/2013 11/25/2010 04/25/2002
Payment Windows (mos.) 189 281 232 184 143 119 20
</TABLE>
BOND SUMMARY (TO CALL)
The following tables are based on assumed mortgage loan pools with different
characteristics from the characteristics described in the collateral summary and
tables on the preceding pages.
<TABLE>
<CAPTION>
A-1A (TO CALL)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 0% 10% 17% 23% 30% 36% 48%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 7.74 1.93 1.17 0.85 0.63 0.50 0.34
First Principal Payment Date 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999 12/25/1999
Last Principal Payment Date 06/25/2013 02/25/2004 07/25/2002 11/25/2001 05/25/2001 01/25/2001 09/25/2000
Payment Windows (mos.) 163 51 32 24 18 14 10
</TABLE>
<TABLE>
<CAPTION>
A-1F (TO CALL)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 0% 10% 17% 23% 30% 36% 48%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.0% 7.706 7.674 7.644 7.614 7.566 7.501 7.367
Average Life (yrs.) 21.19 9.31 6.07 4.50 3.19 2.28 1.43
Modified Duration (yrs.) 9.96 6.15 4.51 3.55 2.65 1.98 1.30
First Principal Payment Date 06/25/2013 02/25/2004 07/25/2002 11/25/2001 05/25/2001 01/25/2001 09/25/2000
Last Principal Payment Date 06/25/2027 07/25/2015 06/25/2010 11/25/2007 12/25/2005 10/25/2004 04/25/2002
Payment Windows (mos.) 169 138 96 73 56 46 20
</TABLE>
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